Common Investment Meeting (BERS)Schedule Thursday, September 19, 2019 9:00 AM — 2:00 PM EDTVenue Office of the New York City Comptroller, 1 Centre Street, 10th
Floor (Room 1005) - Northside, New York, NY 10007Organizer Kim Boston
Public Agenda
PUBLIC SESSION 1
9:00 AM Welcome and Opening
9:05 AM Quarterly Fund Performance Overview: 2
(RISK) Excluded Companies List: 3
CIM_Excluded Companies List_09-19-2019 (BERS).pdf 4
SUPPLEMENTAL MATERIAL - PERFORMANCE REPORTING(Public):
231
Total Fund Overview (Public): 232
BERS 2Q19 Quarterly Report Overview_(Public).pdf 233
ETI Quarterly Report (Public): 287
CIM_ETI 2Q Qtrly Rpt (Public)_09.19.2019 (BERS).pdf 288
Private Equity Quarterly Report (Public): 295
CIM_PE 1Q Qrtly Report (Public)_(BERS).pdf 296
Real Estate Quarterly Report (Public): 324
CIM_RE 1Q Qtrly Rpt (Public)_(BERS).pdf 325
Infrastructure Quarterly Report (Public): 331
CIM_Infra 1Q Qtrly Rpt (Public)_09.19.2019 (BERS).pdf 332
Risk Quarterly Report (Public): 350
CIM_Risk 2Q Quarterly Report_09.19.2019 (BERS).pdf 351
APPENDICES: 392
Basket Clause 393
CIM_Basket Clause Rpt_09.19.19 (BERS).pdf 394
Liquidity Analysis 395
CIM_Liquidity Report_09.19.2019 (BERS).pdf 396
PUBLIC SESSION
Quarterly Fund Performance Overview:
(RISK) Excluded Companies List:
OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER Alex Doñé, Deputy Comptroller - Asset Management / Chief Investment Officer Bureau of Asset Management | 1 Centre Street Room 800, New York, NY 10007-2341 | www.comptroller.nyc.gov Telephone: (212) 669 – 3257 | Email: [email protected]
SEE DISCLOSURE STATEMENTS
TO: Trustees of the Teachers’ Retirement System of the City of New York Trustees of the New York City Employees’ Retirement System Trustees of the New York City Police Pension Fund Trustees of the New York City Fire Pension Fund Trustees of the Board of Education Retirement System of the City of New York FROM: Miles Draycott DATE: September 19, 2019 RE: Excluded Companies List – Annual Update
I. PURPOSE AND BACKGROUND: The purpose of this memorandum is to provide Trustees with recommended updates to the excluded company lists (as of 6/30/2019) and to solicit Board feedback and/or decisions on the proposed changes. The excluded companies list is generated in accordance with various resolutions passed by the System’s Trustees and is produced using MSCI’s ESG data and screening tool. BAM understands these resolutions to limit or prohibit investment in equity securities issued by companies engaged in the activities listed below. Publicly-traded debt securities are issued by both publicly-owned and privately-owned companies. Data/Analytics companies such as MSCI can only obtain data detailing the revenues of publicly-owned companies. Although BAM circulates the excluded companies list to managers of Fixed Income (debt) securities, BAM cannot produce a comprehensive list of companies (publicly-owned and privately-owned) that engage in activities referred to in the resolutions passed by the trustees and which have issued debt securities. Ex ante tracking error is the expected standard deviation of the difference between the portfolio return and the return of a benchmark. The ex-ante tracking error resulting from each resolution and the cumulative ex-ante tracking error resulting from all of the exclusions is detailed below. Please note that the cumulative tracking error resulting from all of the exclusions is de minimus for every system except NYCERS where a country screen preventing investment in China is still in place. The 64 basis points of tracking error resulting from this exclusion is material.
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 2
II. TOBACCO In 1998, the Board of the New York City Employees’ Retirement System (“NYCERS”) passed a resolution prohibiting additional purchases of tobacco stocks in passive domestic equity accounts. As of 6/30/2019 no additional shares in the six companies identified in the resolution had been purchased in the system’s passive domestic equity accounts. BAM Risk screened for U.S. companies that derive more than 50% of their revenues from any one of the four business activities classified as tobacco-related and identified three additional companies. These companies were not included in the list of excluded companies compiled in 1998, but the resolution would seem to prohibit investment in these companies. Equities issued by two of these companies are currently held in NYCERS’ passive domestic equity portfolios. The results of BAM’s review appear below:
BAM recommends three additions to the excluded companies list (highlighted in green): Pyxus International, 22nd Century Group, Inc., and Amcon Distributing Co.
RISK SUMMARY BERS FIRE NYCERS POLICE TRSPortfolio Risk without Exclusions (%) 12.14 12.20 12.12 12.22 12.14
Active Risk by Policy DirectiveTobacco - - 0.08 - -
Thermal Coal 0.01 - 0.01 - 0.01
Civilian Firearms Manufacturers 0.00 - 0.00 - 0.00
Civilian Firearms Retailers 0.00 - 0.00 - 0.00
For-Profit Prisons 0.00 0.00 0.00 0.00 0.00
UN Sanctions 0.00 0.00 0.00 0.00 0.00
Country Screens - - 0.65 - 0.05
Cumulative Tracking Error 0.01 0.01 0.64 0.01 0.05
Portfolio Risk with Exclusions 12.15 12.21 12.76 12.23 12.19
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Russell Passive
Investments6/30/19
# Shares in Russell Passive
Investments12/31/18
Suggested Action
UNIVERSAL CORPORATION UVV 100.0 1,011 1,011 PHILIP MORRIS INTERNATIONAL INC. PM 100.0 306,093 306,093 TURNING POINT BRANDS, INC. TPB 98.0 - - ALTRIA GROUP, INC. MO 96.8 672,306 672,306 CORE-MARK HOLDING COMPANY, INC. CORE 77.5 2,795 2,795 SCHWEITZER-MAUDUIT INTERNATIONAL, INC. SWM 60.0 2,553 2,553 VECTOR GROUP LTD. VGR 59.4 - - PYXUS INTERNATIONAL PYX 100.0 403 - Add22ND CENTURY GROUP INC XXII 100.0 29,509 - AddAMCON DISTRIBUTING CO DIT 83.8 - - Add
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 3
The ex-ante tracking error resulting from the above resolution is set out below:
BAM’s recommends three additions and no deletions to NYCERS’ excluded companies list.
III. THERMAL COAL
In a resolution passed in 2015, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the extraction of thermal coal. The following list shows companies currently deriving at least 50% of revenues from the extraction of thermal coal -- and companies previously thought to derive at least 50% of their revenues from this business activity.
BERS FIRE NYCERS POLICE TRS- - 0.08% - -
Tracking Error Impact from Tobacco Exclusion
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 4
BAM recommends six additions to the excluded companies list (highlighted in green): Alliance Resource Partners, LP, Foresight Energy, LP, Geo Energy Resources Limited, New Hope Corporation Limited, Bukit Asam TBK PT, and Yang Quan Coal Industry (Group) Co., Ltd. In addition, BAM recommends one deletion from the list (highlighted in red): Indika Energy TBK PT. Analysis of this company using the MSCI data/screening tool suggests that the company now derives less than 50% of its revenues from the extraction of thermal coal. As a result, BAM is now recommending that they be dropped from the list.
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Suggested Action
PT BUMI RESOURCES TBK BUMI 99.4LUBELSKI WEGIEL BOGDANKA SA LWB 97.2EXXARO RESOURCES LIMITED EXX 96.1PT DELTA DUNIA MAKMUR TBK DOID 95.0INNER MONGOLIA YITAI COAL CO., LTD 900948 94.6WASHINGTON H. SOUL PATTINSON AND COMPANY LIMITED SOL 89.3COAL INDIA LTD COALINDIA 87.8AGRITRADE RESOURCES LIMITED 1131 86.5CONSOL ENERGY INC. CEIX 84.3PT ADARO ENERGY TBK ADRO 83.4WHITEHAVEN COAL LIMITED WHC 80.5GUJARAT MINERAL DEVELOPMENT CORPORATION LIMITED GMDCLTD 78.4BANPU PUBLIC COMPANY LIMITED BANPU 78.0CLOUD PEAK ENERGY INC. CLDPQ 72.3PEABODY ENERGY CORPORATION BTU 70.7YANZHOU COAL MINING COMPANY LIMITED 600188 68.5ARCH COAL, INC. ARCH 57.2PT UNITED TRACTORS TBK UNTR 56.9SEMIRARA MINING AND POWER CORP SCC 55.2ALLIANCE RESOURCE PARTNERS, L.P. ARLP 93.0 AddFORESIGHT ENERGY LP FELP 98.9 AddGEO ENERGY RESOURCES LIMITED RE4 98.3 AddNEW HOPE CORPORATION LIMITED NHC 97.3 AddBUKIT ASAM TBK PT PTBA 96.7 AddYANG QUAN COAL INDUSTRY (GROUP) CO., LTD. 600348 75.3 AddINDIKA ENERGY TBK PT PNKGF ** DeleteINDO TAMBANGRAYA MEGAH PTIZF ** KeepTAMBANG BATUBARA BUKIT PBATF ** KeepHARGREAVES SERVICES PLC HSP ** KeepHALLADOR ENERGY COMPANY HNRG ** KeepPT HARUM ENERGY TBK HRUM ** KeepTHE LANNA RESOURCES PUBLIC CO. LTD LANNA-R ** KeepWESTMORELAND COAL COMPANY WLBAQ ** Keep
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 5
Finally, MSCI no longer provides coverage for seven companies previously on the list (highlighted in yellow): Indo Tambangraya Megah, Tambang Batubara Bukit, Hargreaves Services, PLC, Hallador Energy Company, PT Harum Energy Tbk, The Lanna Resources Public Co., Ltd. and Westmoreland Coal Company. Based on information observed on Bloomberg and/or corporate websites, BAM believes it unlikely that these companies have changed their business model. BAM believes that they continue to be engaged in, and derive the majority of their revenues from, the extraction of thermal coal. BAM recommends that those companies remain on the list. The ex-ante tracking error resulting from the above resolution is set out below:
IV. CIVILIAN FIREARMS MANUFACTURERS In a 2013 resolution, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the manufacture of civilian firearms. The following list shows companies deriving at least 5% of their revenues from this business activity.
BERS FIRE NYCERS POLICE TRS0.01% - 0.01% - 0.01%
Tracking Error Impact from Thermal Coal Divestment
ISSUER TICKER
% Revenue from Activity as of
6/30/2019Suggested
ActionREMINGTON ARMS COMPANY, LLC REMIG 90.0STURM RUGER & COMPANY INC. RGR 80.0AMERICAN OUTDOOR BRANDS CORPORATION AOBC 75.0MIROKU CORPORATION 7983 62.8COLT DEFENSE LLC COESE 45.0SIG SAUER INC. SIGSR 45.0VISTA OUTDOOR INC. VSTO 45.0FORJAS TAURUS SA FJTA3 44.0VERNEY CARRON SA MLVER 35.0HECKLER & KOCH GMBH HK 20.0POONGSAN CORPORATION 103140 12.0OLIN CORPORATION OLN 10.0IZHEVSKIY MASHZAVOD OAO ROSTE 10.0HOWA MACHINERY, LTD. 6203 10.0CLARUS CORPORATION CLAR 5.0NORTHRUP GRUMMAN INNOVATIONS SYSTEMS, INC. NOC 5.0 AddS&T MOTIV CO., LTD. 064960 5.0 Add
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 6
BAM recommends two additions to the excluded companies list (highlighted in green), Northrup Grumman Innovations Systems, INC., and S&T Motiv Co., Ltd., as revenues derived from the manufacture of civilian firearms exceed the 5% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
V. CIVILIAN FIREARMS RETAILERS In a 2016 resolution, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the retail sale of civilian firearms. The following list shows companies deriving at least 5% of their revenues from this business activity.
BAM recommends two additions to the excluded companies list: Cabela’s Inc. and Sportsman’s Warehouse Holdings, Inc. (highlighted in green), as revenue from the retail sale of civilian firearms exceeds the 5% threshold. BAM also recommends two deletions from the list (highlighted in red): Big 5 Sporting Goods Corp. and Vista Outdoor Inc., since revenue from the retail sale of civilian firearms has fallen below the 5% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
BERS FIRE NYCERS POLICE TRS0.00% - 0.00% - 0.00%
Tracking Error Impact from Civilian Firearms Manufacturers Divestment
ISSUER TICKER
% Revenue from Activity as of
6/30/2019Suggested
ActionDICK'S SPORTING GOODS, INC. DKS 5.0SPORTSMAN'S WAREHOUSE HOLDINGS, INC. SPWH 15.0 AddCABELA'S INCORPORATED BSGRP 5.0 AddBIG 5 SPORTING GOODS CORPORATION BGFV 2.0 DeleteVISTA OUTDOOR INC. VSTO ** Delete
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 7
VI. FOR-PROFIT PRISONS
In a 2017 resolution, the Boards of NYCERS, POLICE, FIRE, TRS and BERS prohibited investment in companies engaged in the operation of incarceration facilities. The following list shows companies deriving at least 20% of their revenues from this business activity.
BAM recommends one deletion from the excluded companies list, G4S (highlighted in red), as revenue derived from the operation of private incarceration facilities has dropped below the 20% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
VII. UN Sanctions
In a 2008 resolution and subsequent 2009 investment directive, the Boards of NYCERS, POLICE, FIRE, TRS and BERS prohibited investment in two companies found to be non-compliant with UN sanctions on Iran and Sudan and which were also non-responsive to repeated requests for information from the Comptroller and other institutional investors. These companies are listed below:
BERS FIRE NYCERS POLICE TRS0.00% - 0.00% - 0.00%
Tracking Error Impact from Civilian Firearms Retailers Divestment
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Suggested Action
CORECIVIC, INC. CXW 97.4THE GEO GROUP, INC. GEO 75.0G4S PLC GFS 1.0 Delete
BERS FIRE NYCERS POLICE TRS0.00% 0.00% 0.00% 0.00% 0.00%
Tracking Error Impact from For-Profit Prisons Divestment
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 8
The ex-ante tracking error resulting from the above resolution is set out below:
VIII. Country Screens In a 2006 resolution, the Boards of NYCERS and TRS prohibited investment in any company incorporated in China, Russia or Pakistan. In June of this year, TRS’s policy was revised to only prohibit investment in companies incorporated in China, Russia or Pakistan with poor rankings relative to the UN Global Compact Principles and controversies. As a result, the TRS trustees recently approved adding the following companies to TRS’s excluded companies list:
ISSUER COUNTRY TICKERPETROCHINA COMPANY LIMITED CN 601857OIL AND NATURAL GAS CORPORATION LIMITED IN ONGC
BERS FIRE NYCERS POLICE TRS0.00% 0.00% 0.00% 0.00% 0.00%
Tracking Error Impact from UN Sanctions Exclusion
ISSUER COUNTRY TICKERPETROCHINA COMPANY LIMITED CN 601857ZIJIN MINING GROUP COMPANY LIMITED CN 601899JIANGXI COPPER COMPANY LIMITED CN 600362CHINA PETROLEUM & CHEMICAL CORPORATION CN 600028ZTE CORPORATION CN 000063AVICHINA INDUSTRY & TECHNOLOGY COMPANY LIMITED CN 2357CHINA RAILWAY GROUP LIMITED CN 601390CHINA SOUTHERN AIRLINES COMPANY LIMITED CN 600029ALUMINUM CORPORATION OF CHINA LIMITED CN 601600CHINA EASTERN AIRLINES CORPORATION LIMITED CN 600115SEVERSTAL' PAO RU CHMFPJSC MMC NORILSK NICKEL RU GMKNGAZPROM PAO RU GAZPHABIB BANK LIMITED PK HBL
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 9
At present NYCERS retains the country screen which prohibits investment in every company incorporated in China, Russia and Pakistan. The ex-ante tracking error resulting from the above resolution is set out below:
DISCLOSURES The information contained in this memo is confidential, may not be distributed to unauthorized persons, and may contain material non-public information pertaining to certain investment activities and portfolio companies. Federal, state, and/or foreign securities laws prohibit any person who has received such information from purchasing or selling such securities based on material non-public information or from communicating such information to any other person under circumstances in which it is reasonably foreseeable that such person is likely to purchase or sell such securities.
BERS FIRE NYCERS POLICE TRS- - 0.65% - 0.05%
Tracking Error Impact from Country Screens Exclusion
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
Appendix A: Excluded Companies Lists by System and Category
BERS1
Exclusion Category Asset Name Security Ticker
Thermal Coal AGRITRADE RESOURCES LIMITED 1131
Thermal Coal ALLIANCE RESOURCE PARTNERS, L.P. ARLP
Thermal Coal ARCH COAL, INC. ARCH
Thermal Coal BANPU PUBLIC COMPANY LIMITED BANPU
Thermal Coal BUKIT ASAM TBK PT PTBA
Thermal Coal CLOUD PEAK ENERGY INC. CLDPQ
Thermal Coal COAL INDIA LTD COALINDIA
Thermal Coal CONSOL ENERGY INC. CEIX
Thermal Coal EXXARO RESOURCES LIMITED EXX
Thermal Coal FORESIGHT ENERGY LP FELP
Thermal Coal GEO ENERGY RESOURCES LIMITED RE4
Thermal Coal GUJARAT MINERAL DEVELOPMENT CORPORATION LIMITED GMDCLTD
Thermal Coal HALLADOR ENERGY COMPANY HNRG
Thermal Coal HARGREAVES SERVICES PLC HSP
Thermal Coal INDO TAMBANGRAYA MEGAH PTIZF
Thermal Coal INNER MONGOLIA YITAI COAL CO., LTD 900948
Thermal Coal LUBELSKI WEGIEL BOGDANKA SA LWB
Thermal Coal NEW HOPE CORPORATION LIMITED NHC
Thermal Coal PEABODY ENERGY CORPORATION BTU
Thermal Coal PT ADARO ENERGY TBK ADRO
Thermal Coal PT BUMI RESOURCES TBK BUMI
Thermal Coal PT DELTA DUNIA MAKMUR TBK DOID
Thermal Coal PT HARUM ENERGY TBK HRUM
Thermal Coal PT UNITED TRACTORS TBK UNTR
Thermal Coal SEMIRARA MINING AND POWER CORP SCC
Thermal Coal TAMBANG BATUBARA BUKIT PBATF
Thermal Coal THE LANNA RESOURCES PUBLIC CO. LTD LANNA-R
Thermal Coal WASHINGTON H. SOUL PATTINSON AND COMPANY LIMITED SOL
Thermal Coal WESTMORELAND COAL COMPANY WLBAQ
Thermal Coal WHITEHAVEN COAL LIMITED WHC
Thermal Coal YANG QUAN COAL INDUSTRY (GROUP) CO., LTD. 600348
Thermal Coal YANZHOU COAL MINING COMPANY LIMITED 600188
For Profit Prison Companies CORECIVIC, INC. CXW
For Profit Prison Companies THE GEO GROUP, INC. GEO
Iran / Sudan OIL AND NATURAL GAS CORPORATION LIMITED ONG
Iran / Sudan PETROCHINA COMPANY LIMITED PETROCHINA
1. 1In the event the System is invested in commingled vehicles, BAM will make every effort to notify investment managers of the decisions of the Trustees, but may be unable to direct changes to the guidelines.
The above list replaces all prior instruction relating to the divestment of thermal coal companies, for profit prison companies and investment in Iran and Sudan. All managers of public equity or fixed-income accounts for the New York City Board of Education Retirement System are hereby directed: (i) to sell as soon as practicable and in an orderly manner any holdings of the companies listed above, and (ii) to not buy in the future any securities of any kind of the companies listed above. These instructions apply to public market investments where BERS exclusively controls the investment guidelines, excluding securities held in a mutual fund or commingled structure where BERS does not exclusively control investment guidelines.
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SUPPLEMENTAL MATERIAL -PERFORMANCE REPORTING (Public):
Total Fund Overview (Public):
New York CityBoard of Education Retirement SystemPerformance Overview as of June 30, 2019
Total Fund Overview
New York City Board of Education Retirement System 1Performance Overview as of June 30, 2019
Page 233 of 591
New York CityBoard of Education Retirement System
Consultant's Commentary & Performance Charts p.3
Appendix A - Consolidated Performance Report p.32
Appendix B - Public Markets Manager Performance Detail p.37
Appendix C - Alternative Assets Manager Performance Detail p.45
Appendix D - Footnotes p.50
Table of Contents:
New York City Board of Education Retirement System 2Performance Overview as of June 30, 2019
Page 234 of 591
New York City Board of Education Retirement System (BERS)
Consultant’s Commentary – Through June 30, 2019
Total Fund Performance
The Board of Education Retirement System (BERS) Total Fund returned +3.36% net of fees for the quarter ended June 30, 2019, versus the policy benchmark’s return of +4.09%. For the fiscal year to date as of June 30, 2019, the Total Fund returned +6.99% net of fees, versus the benchmark return of +7.30%.
Total Fund Asset Allocation
As of June 30, 2019, the BERS Total Fund had $6.45 billion, up from $6.24 billion at March 2019. For the quarter, both asset allocation and investment manager selection detracted value relative to the policy index. The largest asset allocation detractions derived from the overweight within U.S. Government Treasuries and domestic equities. From a manager selection perspective, the private equity managers were unable to keep up with the Russell 3000 plus 300 basis points.
On a fiscal year to date perspective, the Fund was behind its policy index primarily due to asset allocation. The largest drag to returns came fromthe Treasury portfolio and to a lesser extent from domestic equity, emerging markets, and investment grade credit.
Active U.S. Equity Commentary
As of June 30, 2019, U.S. Equity was $2.07 billion (32.1%) of the NYBERS Total Fund. The U.S. equity composite was positive in the second quarter of 2019 returning +4.09%. This performance basically matched the Russell 3000 index return of +4.10%.
Active U.S. Equity Managers
• Wellington returned +4.39% during the quarter versus +3.05% for the S&P Midcap 400 index. For the fiscal year to date as of June 30, 2019,Wellington returned +8.11% versus +1.36% for the S&P Midcap 400 index. Wellington is the only active mid cap U.S. manager. BERS is participating in the search to expand the allocation to mid cap U.S. active.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 3Performance Overview as of June 30, 2019
Page 235 of 591
• Security selection was a driver of relative outperformance. Strong selection in consumer discretionary was partially offset by selection in health care. Sector allocation, a result of our bottom-up stock selection process, a lso contributed to returns. Allocation effect was driven by our underweight to real estate, but partially offset by our overweight to health care.
• The top two relative contributors were the out of benchmark allocations to Veeva Systems and Ball, while the top two relative detractors wereout of benchmark allocations to 2U and Aerie Pharmaceutical. Shares of Veeva Systems rose during the period as the cloud-computing company reported better-than-expected quarterly results and raised its full-year earnings guidance. 2U Inc's shares dropped during the quarter as they cut their full-year revenue outlook creating concerns going forward. Their core business is a lso struggling due to expectations for lower enrollment.
World ex-USA Commentary
As of June 30, 2019, World ex-USA Equity was $791.2 million (12.3%) of the NYBERS Total Fund. World ex-USA Equity returned +3.37% in the second quarter of 2019 versus +3.50% for the World ex-USA custom benchmark. This asset class relatively underperformed for the quarter.
Active World ex-USA Equity Managers
• Sprucegrove returned +3.43% during the quarter versus +3.79% for NYC Developed Value Benchmark. For the fiscal year to date as of June 30,2019, Sprucegrove returned +1.42% versus +1.29% for the NYC Developed Value Benchmark.
• The portfolio continues to represent high quality value style holdings with a projected ROE of 14.5%, which is higher than the World ex-USAIndex at 11.0% and financial leverage of 2.2x, which is below the World ex-USA Index at 2.6x. The portfolio has had a normalized P/E of 13.3x, a 2.1x P/B and a 3.4% dividend yield. These characteristics are consistent with the historical profile of the manager. The manager believes theportfolio is attractively valued compared to the market.
• The U.K. was the largest country exposure in the Fund at 23.4%, followed by Japan at 11.3%. Exposure to Emerging Markets was 13.6% and cash was 3.6% of the Fund at quarter end.
• Over the quarter, the Fund’s underperformance was mainly due to the Emerging Markets exposure (South Africa, India) and stock selection in Holland (Boskalis Westminster, Fugro). Underperformance was partially offset by positive relative performance due to a combination of an underweight position and stock selection in Japan (Omron, Kubota). Stock selection in Norway (Yara International, TGS) and Canada (CAE, TC Energy) also had a positive impact on relative performance.
• The top 10 holdings represent 23.1% of the portfolio.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 4Performance Overview as of June 30, 2019
Page 236 of 591
• Baillie Gifford returned +3.68% in the quarter versus +3.79% for NYC Developed Growth Benchmark. For the fiscal year to date as of June 30, 2019, Baillie Gifford returned -2.62% versus +1.29% for the NYC Developed Growth Benchmark.
• Ferrari, which designs and manufactures sports cars, was the portfolio’s largest holding at 6.6%.
• At quarter end, the portfolio had +13.7% invested in Emerging Markets.
• The top 10 holdings represent +43.7% of the portfolio.
• Acadian underperformed for the quarter, +2.05% versus +2.37% for the S&P EPAC Small Cap Index. Acadian outperformed for the fiscal year as of June 30, 2019, -6.23% versus -6.38% for the S&P EPAC Small Cap Index.
• Gains realized from stock selection were more than offset by value lost from country allocations. Key sources of negative active return included a combination of stock selection and underweight positions in France and Germany, along with an overweight position in China. A combination of stock selection and underweight positions in Korea and the U.K. were more successful, as was stock selection in Australia. • At quarter end, the portfolio’s emerging markets exposure was 10.7%. The portfolio held 1,189 stocks.
Emerging Markets Equity Commentary
As of June 30, 2019, Emerging Markets Equity was $448.8 million (7.0%) of the NYBERS Total Fund. Emerging Markets outperformed for the quarter, +0.91% versus +0.61% for the MSCI Emerging Markets, net Index. Emerging Markets underperformed for the fiscal year as of June 30, 2019, -0.56% versus +1.21% for the MSCI Emerging Markets, net Index.
Emerging Markets Equity Managers
• Acadian outperformed for the quarter, posting a +1.00% versus +0.61% for the MSCI Emerging Markets, net Index. Acadian underperformed for the fiscal year as of June 30, 2019, -1.42% versus +1.21% for the MSCI Emerging Markets, net Index.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 5Performance Overview as of June 30, 2019
Page 237 of 591
• Gains realized from stock selection were enhanced by value added from country allocations. Key sources of positive active return included a combination of stock selection and an underweight position in China, a combination of stock selection and a market overweight in Brazil, and stock selection in India. Stock selection in Taiwan, Poland, and Colombia proved less successful. • At quarter end, the portfolio held 449 stocks. • CONY GT EM BlackRock returned +0.70% versus +0.61% for the MSCI Emerging Markets, net Index during the quarter. CONY GT EM BlackRock returned +1.42% versus +1.21% for the MSCI Emerging Markets, net Index during the fiscal year as of June 30, 2019.
•Five GICS 1 sectors advanced in the quarter. Financials (+4.43%), consumer staples (+3.43%), and Utilities (+2.76%) led the market. Health care (-6.56%) was the worst performing sector, followed by Communication Services (-2.28%), and Consumer Discretionary (-1.12%).
• In North America, the U.S. administration targeted Mexico by threatening to impose a 5% tariff on all Mexican imports while raising the rate by 5 percentage points a month until it reached a levy of 25%. This pushed the Mexican shares down -7% in May. However, the U.S. later reneged on this threat after finding that Mexico had begun to make progress on stopping the flow of migrants into the U.S. The Mexican component of the MSCI EM Index rallied +1% in the quarter. Eastern Europe gained +11.6% in the quarter, making it the best performing region. Russia (+17%) outperformed as a relatively stable economic backdrop, range-bound crude prices ahead of the early July OPEC+ meeting and growing investor confidence that the U.S. government would not take further actions that would impact Russia’s economy contributed to the outperformance.
Fixed Income – Structured Manager Composite Commentary
As of June 30, 2019, the Total Structured Portfolio was $1.26 billion (19.6%) of the NYBERS Total Fund. Structured Fixed Income returned +3.45% in the second quarter versus +3.92% for the benchmark. For the fiscal year as of June 30, 2019, Structured Fixed Income returned +8.19% versus +9.47% for the benchmark.
Fixed Income – Structured Manager Composite Managers
• BlackRock (mortgages) returned +2.26% in the quarter, outperforming the FTSE Mortgage index return of +2.09%. For the fiscal year as of June 30, 2019, BlackRock (mortgages) returned +6.63% versus +6.39% for the FTSE Mortgage index.
• Sector selection added to performance during the quarter. The portfolio overweight position in CMBS and Agency CMOs benefited the portfolio’ total performance. CMBS had an average weight of 9.33 vs. the FTSE Mortgage Index of 0.0. The overweight to CMBS added +34 basis points to the portfolio’s total performance. Agency CMOs had an average weight of 3.42 vs the the FTSE Mortgage Index of 0.0. The overweight position added +8 basis points to the portfolio’s total performance.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 6Performance Overview as of June 30, 2019
Page 238 of 591
• At quarter end, the portfolio held 1,168 holdings.
• Prudential (credit) returned +4.17% in the quarter, outperforming the Investment Grade Credit index return of +4.07%. For the fiscal year asof June 30, 2019, Prudential (credit) returned +10.14% versus +10.13% for the Investment Grade Credit index.
• SSgA (governments) returned +4.53% in the quarter, slightly below the +4.56% return for its NYC - Treasury Agency plus five index benchmark.For the fiscal year as of June 30, 2019, SSgA (governments) returned +10.29% versus +10.38% for the NYC - Treasury Agency plus five index.
• U.S. rates rallied significantly over the quarter overall, particularly over the months of May and June, driven by dovish comments from the Fed, escalation of US-China trade tension and softer data. The risk-off tone started on the back of escalation in US-China trade tension and implementation of the newest tariff implementation on Mexico. In the beginning of May, U.S. increased tariffs on $200bn Chinese exports from 10% to 25%, and later threatened to impose 25% tariffs on $300bn worth of additional goods. In retaliation, China imposed tariffs on $60bn worth of US goods. However, towards the end of quarter, there was positive development in the trade negotiations as President Trump and President Xi met at the G-20 meeting and announced a truce, implying no further escalation for time being.
• SSgA 1 -3 Yr. Treasury Index returned +1.44% in the quarter, matching the FTSE USBIG Treasury 1 -3 Yr. index return of +1.44%. For the fiscalyear as of June 30, 2019, the SSGA 1-3 Yr. Treasury Index returned +3.95%, matching the FTSE USBIG Treasury 1 -3 Yr. index return of +3.95%.
• Over the reporting period, tracking for the strategy was very tight; therefore, an attribution analysis is not applicable.
• Taplin, Canida & Habacht returned +4.48% in the quarter versus +4.07% for the Investment Grade Credit index. For the fiscal year as of June30, 2019, Taplin, Canida & Habacht returned +10.13%, matching the Investment Grade Credit index of +10.13%.
• Sector and quality selection added to performance during the quarter. The portfolio had an overweight to corporate credit (+104 basis pointsof excess return vs. +23 basis points for non-corporate credit), which benefitted as spreads tightened marginally despite volatility. By sector, the overweight to industrials (+113 basis points of excess return) added to relative performance.
• Security selection was a mild drag on performance in the quarter. Security selection within the pharmaceutical and technology sectorsdetracted from performance, while selection within automotive and telecommunications sectors added to performance for the quarter.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 7Performance Overview as of June 30, 2019
Page 239 of 591
Enhanced Yield Fixed Income & Bank Loans Commentary
As of June 30, 2019, Enhanced Yield Fixed Income & Bank Loans was $413.8 million (6.4%) of the NYBERS Total Fund. This allocation is in line with the investment policy target. The high yield manager search has been completed and Shenkman and Loomis were replaced with Nomura and Mackay Shields.
• Mackay Shields returned +2.43 in the quarter versus +2.50% for Bloomberg Barclays US High Yield – 2% Issuer Cap index.
• The portfolio’s underweight and positive security selection within Energy - Oil Field Services contributed to relative performance, as the portfolio did not own the bonds of Weatherford International, whose bonds fell in price after the company announced its intention to file for Chapter 11 protection. This effect was mitigated by an overweight and security selection in the Exploration & Production sector. Selection was positive within Electric-Integrated as GenOn Energy performed well over the quarter. An underweight to Tenet Healthcare contributed to returns in Health Facilities as the bonds lagged on headlines of “Medicare for all” reform.
• An underweight and positive selection in CCC-rated credits was positive for returns as this segment underperformed the broader market. The portfolio’s underweight to longer maturity BBs was a detractor from performance as long-term rates fell.
• Nomura returned +2.19 in the quarter versus +2.50 for Bloomberg Barclays US High Yield – 2% Issuer Cap index.
• Our US high yield strategy underperformed the index during the quarter due to a few key factors. A significant driver of our underperformance was our legacy overweight to Bs, our underweight to BBs, and our short duration posture. This positioning did not benefit our strategy with the rally in rates and the market’s focus on higher quality bonds. We have mitigated this posture by buying longer duration BB bonds, and we will continue to seek to manage risk in a late-cycle environment.
• On a sector basis, the top contributors to relative performance for the quarter included positive security selection in Electric-Integrated, Oil Field Equipment & Services, and Cons/Comm/Lease Financing. Sector detractors included Energy-Exploration & Production, Wireline Telecom, Cable & Satellite TV, and Specialty Retail. While we have reduced our Energy sector exposure over the course of the quarter, our positioning still caused part of the performance deficit. We had a constructive view on oil prices at the beginning of 2019, given OPEC (+Russia) production restraint, Venezuela and Iran sanctions, and slower North American capital spending. However, the sector continues to see a number of production problems, and the market has become reluctant to fund companies with cash flow deficits.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 8Performance Overview as of June 30, 2019
Page 240 of 591
Enhanced Yield Fixed Income & Bank Loans Managers
• Babson returned +0.95% during the quarter, underperforming the +1.58% return of the Credit Suisse Leveraged Loan Index. For the fiscal year as of June 30, 2019, Babson returned +2.98%, underperforming the +4.15% return of the Credit Suisse Leveraged Loan Index.
• Quarterly attribution analysis indicates that Credit Selection was the primary contributor to the unfavorable performance comparison for the quarter. Industry Sector Allocation had only a modest negative impact. The attribution within Credit Selection highlights a mix of sector specific factors as well as some idiosyncratic issues that impacted performance. Sector specific factors include certain credits in the Healthcare space have traded poorly as regulatory uncertainty emerges as an issue during the early stages of the upcoming presidential election. •Energy issues were in the spotlight during the quarter as volatility in oil prices once again factored into valuations for certain E&P and Service oriented Companies. A look at the Top Ten/Bottom Ten performers reveals issuers Seadrill partners and Fieldwood Energy back in the bottom ten list. Serta Simmons remains a portfolio challenge in the consumer Durables space as the largest North American mattress distributor continues to underperform in the very competitive mattress industry. • Portfolio statistics reflect some of the performance challenges during the quarter. The average price of loans in the portfolio declined by 0.08% from 96.23% of par to 96.15 of par. This compares to an increase in the Index average price of 0.47% during the period. The weighted average spread of the portfolio declined modestly to 365 basis points from 376 basis points. Meanwhile the yield to an assumed 3-year maturity fell by 30 basis points to 7.37% while the 3-year Discount Margin declined 16 basis points to 498 basis points. Note that the portfolio yield decline can largely be attributed to the 26 basis point decline in three-month Libor during the quarter as interest rates across the curve fell following continued dovish signals coming from the Federal Reserve.
TIPS, ETI , Cash Commentary
As of June 30, 2019, Fixed Income – TIPS, ETI and Cash was $391.37 million (6.0%) of the NYBERS Total Fund.
Fixed Income – TIPS Managers
• SSgA (TIPS) returned +2.85% in the quarter, slightly below the +2.86% return for its Barclays Global Inflation Linked Index. SSgA (TIPS) returned +4.83% for the fiscal year as of June 30, 2019, slightly below the +4.84% return for its Barclays Global Inflation Linked Index.
Consultant's Commentary
Through June 30, 2019
New York City Board of Education Retirement System 9Performance Overview as of June 30, 2019
Page 241 of 591
TOTAL BOARD OF EDUCATION - Gross TOTAL BOARD OF EDUCATION - Net Mgr Board of Education Policy Benchmark
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years Trailing 5 Years Trailing 10 Years
Trailing 15 Years
0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
13.50
Ra
te o
f R
etu
rn
3.42 3.36
4.09
7.23 6.997.30 7.23 6.99
7.30
11.0910.84
9.74
7.32 7.076.62
10.6310.20
7.787.35
TOTAL BOARD OF EDUCATION - Gross TOTAL BOARD OF EDUCATION - Net Mgr Board of Education Policy Benchmark
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years Trailing 5 Years Trailing 10 Years
Trailing 15 Years
0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
13.50
Ra
te o
f R
etu
rn
3.42 3.36
4.09
7.23 6.997.30 7.23 6.99
7.30
11.0910.84
9.74
7.32 7.076.62
10.6310.20
7.787.35
Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 10 Years Benchmark 10 YearsStandard Deviation
TOTAL BOARD OF EDUCATION 6.8 6.5 7.3 7.1 8.8 8.7
Market Value (Billions)
TOTAL BOARD OF EDUCATION $6.4
Total Portfolio Returns: June 30, 2019
New York City Board of Education Retirement System 10Performance Overview as of June 30, 2019
Page 242 of 591
2.1%
-0.7%
0.0%
-2.5% -1.7% -1.5%
1.0% 1.7%
-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
$2.1 32.1%
Domestic US Equity World ex-USA Emerging Markets Private Equity
$0.8 12.3%
$0.4 7.0%
$0.4 6.5%
$0.3 4.5%
$0.1 2.3%
Private Real Estate– Non Core
Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
High Yield
Int’l Emerging Managers FoF Global Equity
$0.1 1.7%
$0.1 1.0%
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 11Performance Overview as of June 30, 2019
Page 243 of 591
Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
-1.2%
0.0% 0.2% 0.0% 0.0%
-1.5%
0.0% 0.1%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%Relative Mix to Adjusted Policy Weights
Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate– Non Core High Yield
Int’l Emerging Managers FoF Global Equity
$2.1 32.1% $0.8
12.3%
$0.4 7.0%
$0.4 6.5%
$0.3 4.5%
$0.1 2.3% $0.1
1.7%
$0.1 1.0%
Note: On June 28, 2019 BERS' combined Fixed Income and Cash portfolios have a duration of 6.2 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 12Performance Overview as of June 30, 2019
Page 244 of 591
Asset Allocation
US Government Treasuries
3.8%
0.2% 0.1% 0.8%
-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
Relative Mix to New Policy Weights
Portfolio Asset Allocation – Deflation Protection
$0.8 12.8%
$0.2 3.6%
$0.2 3.7%
$0.1 0.8%
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 13Performance Overview as of June 30, 2019
Page 245 of 591
Asset Allocation
US Government Treasuries Mortgages Investment Grade Credit Short Term
Relative Mix to Adjusted Policy Weights
Portfolio Asset Allocation – Deflation Protection
3.4%
-0.6% -0.7%
0.8%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
$0.8 12.8%
$0.2 3.6%
$0.2 3.7%
$0.1 0.8%
Note: On June 28, 2019 BERS' combined Fixed Income and Cash portfolios have a duration of 6.2 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 14Performance Overview as of June 30, 2019
Page 246 of 591
Asset Allocation
Infrastructure US TIPS Real Estate - Core Bank Loans
Relative Mix to New Policy Weights
Note: Brackets represent rebalancing ranges versus Policy.
Portfolio Asset Allocation – Inflation Protection
$0.3 4.7%
$0.2 3.2%
$0.1 1.9%
$0.1 1.8%
-2.2%
0.7%
-1.8%-0.1%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 15Performance Overview as of June 30, 2019
Page 247 of 591
Asset Allocation
Infrastructure
0.0% 0.2% 0.0%-0.1%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
US TIPS Real Estate - Core Bank Loans
Relative Mix to Adjusted Policy Weights
Note: Brackets represent rebalancing ranges versus Policy.
Portfolio Asset Allocation – Inflation Protection
$0.3 4.7%
$0.2 3.2%
$0.1 1.9%
$0.1 1.8%
Note: On June 28, 2019 BERS' combined Fixed Income and Cash portfolios have a duration of 6.2 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 16Performance Overview as of June 30, 2019
Page 248 of 591
3.36
4.09
-0.73
-0.23
-0.50
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Quarter Ending: June 30, 2019
New York City Board of Education Retirement System 17Performance Overview as of June 30, 2019
Page 249 of 591
6.99
7.30
-0.31-0.45
0.14
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Fiscal Year To Date: June 30, 2019
New York City Board of Education Retirement System 18Performance Overview as of June 30, 2019
Page 250 of 591
10.84
9.74
1.10
-0.02
1.12
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - 3 Years Ending: June 30, 2019
New York City Board of Education Retirement System 19Performance Overview as of June 30, 2019
Page 251 of 591
Quarter FYTD 3 Years BenchmarkTOTAL BOARD OF EDUCATION -0.23 -0.45 -0.02 Board of Education Policy Benchmark
TOTAL DOMESTIC EQUITY -0.02 -0.08 -0.03 RUSSELL 3000TOTAL WORLD ex-USA -0.01 0.01 0.06 MSCI World ex USA IMI NetTOTAL GLOBAL EQUITY 0.00 -0.02 0.00 MSCI AC WORLDTOTAL EMERGING MARKETS -0.02 -0.07 -0.05 MSCI Emerging MarketsTOTAL INTERNATIONAL FOF 0.00 0.00 0.00 MSCI ACWI Ex US IMI NetTOTAL PRIVATE EQUITY -0.03 0.00 0.00 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.01 0.01 0.00 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.00 0.00 0.01 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%TOTAL US TREASURY SHORT TERM -0.11 -0.02 -0.14 FTSE USBIG Treasury 1-3 Y IndexTOTAL ACTIVE GOVERNMENT -0.03 -0.12 0.21 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT -0.01 -0.04 -0.04 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 -0.02 0.03 FTSE MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL HIGH YIELD 0.02 -0.02 0.03 High Yield Custom BenchmarkTOTAL BANK LOANS 0.00 0.00 -0.01 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS -0.01 -0.02 0.00 BBG BARC Gbl Inf-Lk: US TIPS (Dly) TOTAL CASH -0.02 -0.05 -0.12
Quarter FYTD 3 Years BenchmarkTOTAL BOARD OF EDUCATION -0.50 0.14 1.12 Board of Education Policy Benchmark
TOTAL DOMESTIC EQUITY 0.00 -0.01 0.16 RUSSELL 3000TOTAL WORLD ex-USA -0.01 -0.14 0.66 MSCI World ex USA IMI NetTOTAL GLOBAL EQUITY 0.05 0.08 0.03 MSCI AC WORLDTOTAL EMERGING MARKETS 0.02 -0.14 0.02 MSCI Emerging MarketsTOTAL INTERNATIONAL FOF 0.01 0.00 0.00 MSCI ACWI Ex US IMI NetTOTAL PRIVATE EQUITY -0.63 0.13 -0.07 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.03 0.10 0.04 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.01 0.07 0.12 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.02 0.09 0.09 CPI + 4%TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 FTSE USBIG Treasury 1-3 Y IndexTOTAL ACTIVE GOVERNMENT 0.00 -0.01 0.00 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT 0.01 0.00 0.01 NYC - Investment Grade CreditTOTAL MORTGAGES 0.01 0.01 0.01 FTSE MORTGAGE INDEXTOTAL ETI 0.01 0.01 0.00 ETI Custom BenchmarkTOTAL HIGH YIELD -0.01 -0.01 0.00 High Yield Custom BenchmarkTOTAL BANK LOANS -0.01 -0.02 -0.01 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.00 0.00 BBG BARC Gbl Inf-Lk: US TIPS (Dly) TOTAL CASH 0.00 -0.01 0.00
Allocation Effect - Asset Class Breakdown
Selection Effect - Asset Class Breakdown
Total Plan: June 30, 2019
New York City Board of Education Retirement System 20Performance Overview as of June 30, 2019
Page 252 of 591
TOTAL MID CAP ACTIVE
TOTAL SMALL CAP PASSIVE
TOTAL RUSSELL 1000 PASSIVE
TOTAL RUSSELL TOP 200 PASSIVE
TOTAL EMERGING MANAGERS
0.6%
21.0%
8.3%
7.0%
63.1%
TOTAL MID CAP ACTIVE
TOTAL SMALL CAP PASSIVE
TOTAL RUSSELL 1000 PASSIVE
TOTAL RUSSELL TOP 200 PASSIVE
TOTAL EMERGING MANAGERS
0.6%
21.0%
8.3%
7.0%
63.1%
Market Value (Billions) % of Plan
TOTAL DOMESTIC EQUITY $2.1 32.1
Policy Weight Actual Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL MID CAP ACTIVE 7.0 8.3 1.3 4.4 4.1 0.3
TOTAL SMALL CAP PASSIVE 7.1 7.0 (0.1) 2.0 2.1 (0.0)
TOTAL RUSSELL 1000 PASSIVE 67.5 63.1 (4.4) 4.2 4.2 (0.0)
TOTAL RUSSELL TOP 200 PASSIVE 17.9 21.0 3.1 4.3 4.3 (0.0)
TOTAL EMERGING MANAGERS 0.6 0.6 (0.0) 2.0 2.1 (0.1)
Total Domestic Equity Asset Allocations: June 30, 2019
New York City Board of Education Retirement System 21Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 253 of 591
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL WORLD ex-USA LARGE & MID ACTIVE 87.21 3.56 3.79 (0.23)
TOTAL WORLD ex-USA SMALL CAP ACTIVE 12.79 2.08 2.37 (0.29)
TOTAL WORLD ex-USA 100.00 3.37 3.50 (0.13)
Market Value (Millions) % of Plan
TOTAL WORLD ex-USA $791.2 12.3
TOTAL WORLD ex-USA LARGE & MID ACTIVE
TOTAL WORLD ex-USA SMALL CAP ACTIVE
12.8%
87.2%
TOTAL WORLD ex-USA LARGE & MID ACTIVE
TOTAL WORLD ex-USA SMALL CAP ACTIVE
12.8%
87.2%
World ex-USA Equity Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 22Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 254 of 591
TOTAL ACTIVE EMERGING MARKETS
TOTAL PASSIVE EMERGING MKTS
31.0%
69.0%
TOTAL ACTIVE EMERGING MARKETS
TOTAL PASSIVE EMERGING MKTS
31.0%
69.0%
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL ACTIVE EMERGING MARKETS 69.03 1.00 0.61 0.39
TOTAL PASSIVE EMERGING MARKETS 30.97 0.70 0.61 0.09
TOTAL EMERGING MARKETS 100.00 0.91 0.61 0.30
Market Value (Millions) % of Plan
TOTAL EMERGING MARKETS $448.8 7.0
Emerging Markets Equity Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 23Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 255 of 591
TOTAL TREASURY/AGENCY
TOTAL MORTGAGE
TOTAL INVESTMENT GRADE CREDIT
17.9%
18.5%
63.6%
TOTAL TREASURY/AGENCY
TOTAL MORTGAGE
TOTAL INVESTMENT GRADE CREDIT
17.9%
18.5%
63.6%
Market Value (Billions) % of Plan
TOTAL STRUCTURED + ETI $1.3 20.2
Policy Weight Asset Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL TREASURY/AGENCY 61.54 63.56 2.02 3.51 4.56 (1.05)
TOTAL MORTGAGE 19.23 18.55 (0.68) 2.48 2.09 0.39
TOTAL INVESTMENT GRADE CREDIT 19.23 17.89 (1.34) 4.31 4.07 0.23
Structured Fixed Income Asset Allocation: June 30, 2019
New York City Board of Education Retirement System 24Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 256 of 591
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $1 Billion
Cumulative Periods Ending : June 30, 2019
Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 4.68 14.65 7.80 9.22 9.96 11.26 8.52 8.06 10.26 10.7425th 3.48 12.42 4.41 7.44 8.18 9.87 7.66 6.96 9.27 10.3150th 3.14 11.19 3.92 6.77 7.44 9.25 7.06 6.39 8.79 9.6575th 2.95 9.45 2.99 5.90 6.88 8.54 6.56 5.85 8.05 9.0295th 2.42 7.16 1.92 4.90 5.15 5.26 5.14 4.41 5.01 6.54
No. Of Obs 58 58 57 57 57 57 57 57 57 54
Total System - BOE 3.42 (25) 11.95 (30) 4.50 (19) 7.23 (28) 8.90 (13) 11.09 (5) 8.31 (6) 7.32 (9) 9.77 (11) 10.63 (6)Board of Ed Policy Ben 4.09 (9) 11.61 (33) 4.16 (35) 7.30 (26) 7.96 (28) 9.74 (32) 7.42 (30) 6.62 (35) 9.21 (25) 10.20 (25)Public Mkt Equiv 25 3.83 (14) 14.31 (6) 2.98 (75) 6.81 (46) 7.75 (41) 9.82 (28) 7.20 (44) 6.29 (51) 9.28 (23) 9.96 (26)Public Mkt Equiv 35 3.77 (18) 13.34 (11) 3.77 (55) 7.25 (26) 7.44 (50) 8.95 (60) 6.88 (62) 6.07 (62) 8.56 (57) 9.38 (65)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through June 30, 2019
New York City Board of Education Retirement System 25Performance Overview as of June 30, 2019
Page 257 of 591
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $1 Billion
Consecutive Time Periods: June 30, 2019
Percentile Rankings Jun 19 Mar 19 Dec 18 Sep 18 Jun 18 Jun 19 Jun 18 Jun 17 Jun 16 Jun 155th 4.68 10.53 -0.08 3.81 1.95 9.22 11.76 15.77 5.71 6.2025th 3.48 8.56 -4.63 3.07 1.65 7.44 9.37 13.27 2.03 4.3050th 3.14 7.41 -6.12 2.70 1.31 6.77 8.59 12.54 1.38 3.4475th 2.95 6.25 -7.82 2.37 0.62 5.90 7.53 11.50 0.51 2.3095th 2.42 4.70 -8.93 1.20 0.17 4.90 3.92 5.41 -1.28 0.98
No. Of Obs 58 58 57 58 58 57 58 58 58 58
Total System - BOE 3.42 (25) 8.24 (35) -6.65 (55) 2.61 (55) 0.85 (71) 7.23 (28) 10.59 (6) 15.60 (5) 0.41 (76) 3.41 (50)Board of Ed Policy Ben 4.09 (9) 7.23 (53) -6.68 (55) 3.02 (25) 0.92 (66) 7.30 (26) 8.63 (46) 13.39 (23) 0.75 (64) 3.46 (48)Public Mkt Equiv 25 3.83 (14) 10.10 (6) -9.91 (99) 3.72 (5) 1.45 (41) 6.81 (46) 8.70 (42) 14.09 (14) -0.30 (87) 2.74 (62)Public Mkt Equiv 35 3.77 (18) 9.22 (14) -8.45 (82) 3.35 (19) 1.35 (44) 7.25 (26) 7.64 (73) 12.03 (66) 0.89 (60) 2.91 (58)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through June 30, 2019
New York City Board of Education Retirement System 26Performance Overview as of June 30, 2019
Page 258 of 591
Avg. MV FY 2018 ($MM) Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership Expenses
in BPS Incentive Fees
in ($M) Incentive Fees in
BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-30-
18 ($MM) Mgmt. Fees ($M) Mgmt. Fees in BPS INVESTMENT STYLE (EQUITIES)
Total US Equities 3,118.43 568.55 - 1.82 529.66 - 1,098.20 3.52 1,938.83 615.94 3.18
Mid Cap Active 149.30 442.10 29.61 529.66 35.48 971.75 65.09 167.75 501.57 29.90
Mid Cap Core 149.30 442.10 29.61 529.66 35.48 971.75 65.09 167.75 501.57 29.90
Active Emerging Managers (U.S. Equities) 11.76 54.68 46.50 - - 54.68 46.50 12.56 61.88 49.25
Total US Active Equities 161.06 496.77 30.84 529.66 32.89 1,026.43 63.73 180.32 563.44 31.25
Small Cap Passive
Small Cap Passive 164.10 7.10 0.43 - - 7.10 0.43 157.67 6.61 0.42
Russell / S&P Passive Russell 1000 Growth Passive 566.63 26.76 0.47 - - 26.76 0.47 0.77 - -
Russell 1000 Value Passive 554.15 26.00 0.47 - - 26.00 0.47 0.65 - - Russell 1000 Core Passive 1,285.41 6.74 0.05 - - 6.74 0.05 1,176.24 23.24 0.20
Passive Russell 3000 - - - - - - - - - - Passive S&P 500 - - - - - - - - - -
Passive Russell Top 200 387.09 5.18 0.13 - - 5.18 0.13 423.19 22.65 0.54
Total US Passive Equities 2,957.37 71.78 0.24 - - 71.78 0.24 1,758.51 52.50 0.30
BOARD OF EDUCATION RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
Actual and Estimated Fees
Through June 30, 2019
New York City Board of Education Retirement System 27Performance Overview as of June 30, 2019Information Provided by New York City Comptroller
Page 259 of 591
Avg. MV FY 2018 ($MM) Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership Expenses
in BPS Incentive Fees
in ($M) Incentive Fees in
BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-30-
18 ($MM) Mgmt. Fees ($M) Mgmt. Fees in BPS
BOARD OF EDUCATION RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
Total International Equities 1,317.97 3,501.48 26.57 - - 3,501.48 26.57 1,227.38 3,077.96 25.08
Global Equity 50.05 32.52 - - 32.52 6.50 100.90 450.44 44.64
Total Global Equities 50.05 32.52 - - 32.52 6.50 100.90 450.44 44.64
Active EAFE Equities 780.61 2,101.42 26.92 - - 2,101.42 26.92 720.35 1,778.99 24.70
World Ex-USA Large & Mid Active 662.19 1,715.37 25.90 - - 1,715.37 25.90 612.91 1,426.67 23.28
World Ex-USA Small Cap Active 118.41 386.05 32.60 - - 386.05 32.60 107.42 352.33 32.80
Total World Ex USA 0.01 - - - - - - 0.01 - -
Active Emerging Markets 338.65 1,132.20 33.43 - - 1,132.20 33.43 310.11 1,048.63 33.81
Total Active Int'l Fund of Funds 62.12 215.53 34.70 - - 215.53 34.70 60.81 212.63 34.97
Total Active International Equities 1,181.37 3,449.16 29.20 - - 3,449.16 29.20 1,091.27 3,040.25 27.86
Int’l Passive Equities
World Ex-USA Small Cap Passive - - - - - - - - - -
World Ex-USA Large & Mid Cap Passive - - - - - - - - - -
Passive Global - - - - - - - - - -
Passive Emerging Markets 136.60 52.32 3.83 - - 52.32 3.83 136.11 37.71 2.77
Total Int’l Passive Equities 136.60 52.32 3.83 - - 52.32 3.83 136.11 37.71 2.77
REITS Active Equities - - - - - - - - - -
Actual and Estimated Fees
Through June 30, 2019
New York City Board of Education Retirement System 28Performance Overview as of June 30, 2019Information Provided by New York City Comptroller
Page 260 of 591
Avg. MV FY 2018 ($MM) Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership Expenses
in BPS Incentive Fees
in ($M) Incentive Fees in
BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-30-
18 ($MM) Mgmt. Fees ($M) Mgmt. Fees in BPS
BOARD OF EDUCATION RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (FIXED INCOME)
Total Fixed Income 1,884.19 1,818.15 9.65 - - 1,818.15 9.65 2,094.18 1,766.31 8.43 Structured Program
1,023.05 459.17 4.49 - - 459.17 4.49 1,315.40 478.56 3.64 Government Treas/Agency Sector 573.00 164.63 2.87 - - 164.63 2.87 903.28 206.87 2.29
Long Duration Treasury - - - - - - - - Mortgage Sector 184.50 79.45 4.31 - - 79.45 4.31 191.42 83.96 4.39
Investment Grade Credit Sector 265.55 215.09 8.10 - - 215.09 8.10 220.70 187.74 8.51
Developing Managers - - - - - - - - - -
Emerging Managers - - - - - - - - - -
TIPS 266.64 13.08 0.49 - - 13.08 0.49 287.43 14.50 0.50
Active TIPS Managers - - - - - - - - - - Passive TIPS Managers 266.64 13.08 0.49 - - 13.08 0.49 287.43 14.50 0.50
High Yield 388.07 876.53 22.59 - - 876.53 22.59 276.45 788.23 28.51
Bank Loans 117.61 388.22 33.01 - - 388.22 33.01 121.71 402.78 33.09
Convertible Bonds - - - - - - - - - -
ETI - Access - RBC 9.20 16.63 18.08 - - 16.63 18.08 9.58 17.73 18.50
ETI - AFL-CIO HIT 15.97 64.51 40.39 - - 64.51 40.39 15.87 64.51 40.65
Total Public Markets (Externally managed) 6,307.00 5,920.69 9.39 529.66 0.84 6,450.34 10.23 5,293.55 5,910.66 11.17
Other ETI Programs 9.10 - - - - - 9.28 - -
In-House Short Term 54.55 - - - - - - 58.46 - -
Total Public Markets 6,370.64 5,920.69 - 9.29 529.66 0.83 6,450.34 10.13 5,361.29 5,910.66 11.02
Actual and Estimated Fees
Through June 30, 2019
New York City Board of Education Retirement System 29Performance Overview as of June 30, 2019Information Provided by New York City Comptroller
Page 261 of 591
Avg. MV FY 2018 ($MM) Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership Expenses
in BPS Incentive Fees
in ($M) Incentive Fees in
BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-30-
18 ($MM) Mgmt. Fees ($M) Mgmt. Fees in BPS
BOARD OF EDUCATION RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (PRIVATE MARKETS)
Private Equity 327.67 4,852.60 1,844.09 204.38 1,404.32 42.86 8,101.02 247.23 367.21 4,909.51 133.70
Private Real Estate 333.61 3,542.06 1,464.12 150.06 2,619.98 78.53 7,626.16 228.59 344.23 3,827.96 111.20
Infrastructure 61.86 1,373.54 604.15 126.78 172.63 27.91 2,150.33 137.84 82.20 1,991.64 115.51
Total Private Markets 723.14 9,768.21 3,912.35 189.18 4,196.93 58.04 17,877.50 247.22 793.64 10,729.11 135.19
Total Overall 5,972.18 15,688.90 3,912.35 32.82 4,726.59 7.91 24,327.84 40.74 6,154.92 16,639.77 27.03
The overall carried interest and incentive fees paid by BOE in Fiscal Year 2018: 7.91 BPS
General Footnotes:
2) Infrastructure’s expense data is based off the total committed amounts rather than current market value due to its early fund life juncture. 3) Estimated Fees for the Public Markets data does not take into account major rebalancing shifts and is calculated at a fixed NAV. Estimates fees for the Private Markets data is based solely off gross management fee data and is not inclusive of any offsets. Both estimates are considered to be equitably conservative and should be construed as such. Estimates for FY 2018 for Private Equity is provided by the Consultant.
1) Private Markets data reflect: carried interest realized and/or Incentive fees as stated by its corresponding partnership. Management fees reported are inclusive of partnership expenses associated with the partnership for the stated fiscal year.
Actual and Estimated Fees
Through June 30, 2019
New York City Board of Education Retirement System 30Performance Overview as of June 30, 2019Information Provided by New York City Comptroller
Page 262 of 591
NYC BOARD OF EDUCATION RETIREMENT SYSTEM SECURITIES LENDING INCOME
June 30, 2019
U. S. U. S. INTERNATIONALFIXED INCOME EQUITY EQUITY TOTAL
1989 70,000 - - 70,000 1990 79,000 - - 79,000 1991 111,000 - - 111,000 1992 122,000 11,000 - 133,000 1993 79,000 32,000 15,000 126,000 1994 93,000 77,000 20,000 190,000 1995 112,000 93,000 12,000 217,000 1996 99,000 76,000 27,000 202,000 1997 101,000 126,000 40,000 267,000 1998 111,000 170,000 60,000 341,000 1999 159,000 263,000 100,000 522,000 2000 193,000 310,000 97,000 600,000 2001 295,000 208,000 159,000 662,000 2002 209,000 143,000 152,000 504,000 2003 153,000 158,000 195,000 506,000 2004 226,000 255,000 174,000 655,000 2005 384,000 479,000 217,000 1,080,000 2006 303,000 734,000 246,000 1,283,000 2007 593,000 1,208,000 272,000 2,073,000 2008 2,514,000 2,266,000 451,000 5,231,000 2009 698,000 1,416,000 367,000 2,481,000 2010 246,000 729,000 326,000 1,301,000 2011 340,000 943,000 599,000 1,882,000 2012 516,000 1,144,000 495,000 2,155,000 2013 349,000 1,325,000 446,000 2,120,000 2014 287,000 512,000 1,387,000 2,186,000 2015 338,000 429,000 1,985,000 2,752,000 2016 418,000 1,585,000 1,685,000 3,688,000 2017 686,000 1,015,000 1,215,000 2,916,000 2018 582,738 682,039 954,109 2,218,886
2019 (6 months) 136,631 378,504 443,543 958,678 Since Inception 10,603,369 16,767,543 12,139,652 39,510,564
Securities Lending Income
Through June 30, 2019
New York City Board of Education Retirement System 31Performance Overview as of June 30, 2019
Page 263 of 591
New York CityBoard of Education Retirement System
Appendix A
Consolidated Performance Report
New York City Board of Education Retirement System 32Performance Overview as of June 30, 2019
Page 264 of 591
Market Value ($MM)
% of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD Inception Date
SYSTEM RETURN SUMMARY
5 BERS-TOTAL PORTFOLIO - GROSS 6,446 100.00 3.42 7.23 11.95 (2.81) 19.09 9.44 (0.20) 6.64 11.09 7.32 10.63 8.82 07/01/1987BERS - ESTIMATED INVESTMENT FEES (0.07) (0.24) (0.15) (0.17) (0.27) (0.25) (0.24) (0.25) (0.24) (0.24) EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.04) (0.11) (0.07) (0.10) (0.10) (0.13) (0.14) (0.15) (0.11) (0.12) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.03) (0.13) (0.08) (0.07) (0.17) (0.12) (0.10) (0.10) (0.13) (0.12) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSBERS-TOTAL PORTFOLIO - NET MGR 3.36 6.99 11.80 (2.98) 18.82 9.19 (0.44) 6.39 10.84 7.07 BOARD OF EDUCATION POLICY BENCHMARK 4.09 7.30 11.61 (3.19) 16.63 8.66 (0.08) 6.93 9.74 6.62 10.20 EXCESS RETURN (0.73) (0.31) 0.19 0.21 2.18 0.53 (0.36) (0.53) 1.10 0.46 0.43
EQUITY RETURN DETAIL
18 BERS-TOTAL EQUITY (INCLUDES PE & RA) - GROSS 4,377 67.90 3.59 7.00 14.75 (4.41) 25.58 10.72 (0.13) 7.08 14.22 8.93 13.00 9.31 08/01/1993ESTIMATED INVESTMENT FEES (0.09) (0.31) (0.20) (0.21) (0.34) (0.30) (0.30) (0.28) (0.31) (0.30) EST MANAGEMENT FEES (0.09) (0.31) (0.20) (0.21) (0.34) (0.30) (0.30) (0.28) (0.31) (0.30) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSBERS-TOTAL EQUITY (INCL PE & RA) - NET MGR 3.51 6.69 14.55 (4.61) 25.24 10.42 (0.43) 6.81 13.91 8.63
26 BERS-TOTAL DOMESTIC EQUITY - GROSS 2,071 32.12 4.15 9.03 19.06 (4.61) 21.47 12.69 0.51 11.27 14.60 10.26 14.73 9.96 09/01/1991ESTIMATED INVESTMENT FEES (0.06) (0.09) (0.08) (0.03) (0.04) (0.12) (0.12) (0.13) (0.07) (0.09)BERS-TOTAL DOMESTIC EQUITY - NET MGR 4.09 8.95 18.99 (4.64) 21.43 12.57 0.39 11.14 14.53 10.17 RUSSELL 3000 (DAILY) 4.10 8.98 18.71 (5.24) 21.13 12.74 0.48 12.56 14.02 10.19 14.67 9.80EXCESS RETURN (0.01) (0.04) 0.28 0.60 0.29 (0.17) (0.09) (1.42) 0.50 (0.02) 0.06 0.15
36 BERS-TOTAL SMALL CAP - GROSS 145 2.25 2.05 (3.27) 16.95 (10.89) 14.47 21.28 (6.44) 3.20 12.29 6.36 12.77 6.90 04/01/2004ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00) (0.00) (0.01) (0.08) (0.15) (0.00) (0.04)BERS-TOTAL SMALL CAP - NET MGR 2.05 (3.27) 16.95 (10.90) 14.47 21.28 (6.52) 3.05 12.28 6.32 RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01) 14.65 21.31 (4.41) 4.89 12.30 7.06 13.45 8.05EXCESS RETURN (0.05) 0.04 (0.04) 0.12 (0.18) (0.03) (2.11) (1.85) (0.02) (0.74) (0.67) (1.15)
46 BERS-TOTAL MID CAP - GROSS 172 2.67 5.09 9.09 26.52 (7.09) 25.33 12.90 2.56 10.77 17.28 11.48 14.63 10/01/2010ESTIMATED INVESTMENT FEES (0.70) (0.97) (0.94) (0.28) (0.27) (0.62) (0.55) (0.41) (0.60) (0.56)BERS-TOTAL MID CAP - NET MGR 4.39 8.11 25.58 (7.37) 25.06 12.28 2.01 10.36 16.68 10.92 RUSSELL MIDCAP (DAILY) 4.13 7.83 21.35 (9.06) 18.52 13.80 (2.44) 13.22 12.16 8.63 12.91EXCESS RETURN 0.26 0.29 4.23 1.69 6.54 (1.51) 4.45 (2.86) 4.53 2.29 1.72
56 BERS-TOTAL RUSSELL 1000 - GROSS 1,307 20.27 4.24 10.17 18.80 11.33 04/01/2018ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00)BERS-TOTAL RUSSELL 1000 - NET MGR 4.24 10.17 18.80 11.33RUSSELL 1000 (DAILY) 4.25 10.02 18.84 11.01EXCESS RETURN (0.01) 0.15 (0.04) 0.32
66 BERS-TOTAL RUSSELL TOP 200 PASSIVE - GROSS 435 6.74 4.28 10.91 17.86 12.36 05/01/2018ESTIMATED INVESTMENT FEES (0.00) (0.01) 0.00 (0.01)BERS-TOTAL RUSSELL TOP 200 PASSIVE - NET MGR 4.28 10.90 17.86 12.35RUSSELL TOP 200 INDEX (DAILY) 4.29 10.89 17.91 12.35EXCESS RETURN (0.01) 0.01 (0.05) (0.01)
76 BERS-TOTAL EMERGING MANAGER- GROSS 12 0.18 2.11 0.43 16.88 (7.81) 7.22 05/01/2017ESTIMATED INVESTMENT FEES (0.13) (0.50) (0.29) (0.46) (0.45)BERS-TOTAL EMERGING MANAGER - NET MGR 1.98 (0.06) 16.59 (8.27) 6.77RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01) 6.75EXCESS RETURN (0.11) 3.24 (0.39) 2.74 0.02
Consolidated Performance Report
Through June 30, 2019
New York City Board of Education Retirement System 33Performance Overview as of June 30, 2019
Page 265 of 591
Market Value ($MM)
% of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD Inception Date
EQUITY RETURN DETAIL
88 BERS-TOTAL WORLD ex-USA EQUITY - GROSS 791 12.27 3.43 (0.87) 17.49 (14.67) 35.49 6.19 (4.75) (4.81) 13.68 4.71 9.74 7.74 11/01/1992ESTIMATED INVESTMENT FEES (0.06) (0.24) (0.14) (0.21) (0.32) (0.26) (0.24) (0.24) (0.27) (0.26)BERS-TOTAL WORLD ex-USA EQUITY - NET MGR 3.37 (1.11) 17.35 (14.88) 35.18 5.93 (4.98) (5.04) 13.40 4.46NYC DEVELOPED EQUITY BENCHMARK 3.50 0.16 14.39 (14.68) 25.65 1.00 (0.81) (4.90) 9.02 2.20 6.88 6.01EXCESS RETURN (0.13) (1.27) 2.97 (0.19) 9.53 4.93 (4.17) (0.14) 4.38 2.26 2.87 1.72
98 BERS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - GROSS 690 10.70 3.62 (0.04) 18.25 (13.90) 35.81 6.12 (6.35) (4.83) 14.43 4.83 5.41 11/01/2013ESTIMATED INVESTMENT FEES (0.06) (0.23) (0.13) (0.20) (0.31) (0.25) (0.22) (0.23) (0.26) (0.24) (0.25)BERS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - NET MGR 3.56 (0.27) 18.11 (14.09) 35.51 5.87 (6.57) (5.05) 14.16 4.59 5.16NYC CUSTOM WORLD EX-USA LG & MID ACT INDEX 3.79 1.29 14.64 (14.09) 25.18 1.00 (0.81) (4.90) 9.22 2.31 3.29EXCESS RETURN (0.23) (1.56) 3.48 (0.00) 10.32 4.87 (5.76) (0.15) 4.95 2.28 1.87
118 BERS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - GROSS 101 1.57 2.16 (5.96) 12.68 (18.96) 38.82 6.76 9.04 (4.60) 10.52 5.27 8.29 05/01/2013ESTIMATED INVESTMENT FEES (0.09) (0.31) (0.19) (0.27) (0.44) (0.35) (0.36) (0.32) (0.36) (0.34)BERS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - NET MGR 2.08 (6.27) 12.50 (19.22) 38.38 6.41 8.68 (4.92) 10.16 4.92S&P EPAC SMALL CAP USD NET 2.37 (6.38) 12.53 (18.58) 33.47 1.34 8.58 (3.43) 8.61 4.13 6.71EXCESS RETURN (0.29) 0.10 (0.03) (0.65) 4.91 5.07 0.09 (1.49) 1.55 0.79 1.58
128 BERS-TOTAL ACTIVE EMERGING MARKETS - GROSS 310 4.81 1.08 (1.09) 9.36 (16.99) 40.92 13.14 (14.83) 4.14 11.45 3.38 6.47 8.20 04/01/2004ESTIMATED INVESTMENT FEES (0.08) (0.33) (0.18) (0.28) (0.47) (0.40) (0.31) (0.37) (0.38) (0.36)BERS-TOTAL ACTIVE EMERGING MARKETS - NET MGR 1.00 (1.42) 9.18 (17.27) 40.45 12.74 (15.14) 3.77 11.07 3.03MSCI EMERGING MARKETS 0.61 1.21 10.58 (14.57) 37.28 11.19 (14.92) (2.19) 10.66 2.49 5.81 7.83EXCESS RETURN 0.39 (2.63) (1.40) (2.70) 3.16 1.55 (0.22) 5.96 0.41 0.54 0.66 0.37
138 BERS-TOTAL PASSIVE EMERGING MARKETS - GROSS 139 2.16 0.70 1.44 10.83 (14.45) 37.41 10.79 12/01/2016ESTIMATED INVESTMENT FEES (0.00) (0.02) (0.01) 0.01 (0.15) (0.05)BERS-TOTAL PASSIVE EMERGING MARKETS - NET MGR 0.70 1.42 10.81 (14.45) 37.26 10.75MSCI EMERGING MARKETS 0.61 1.21 10.58 (14.57) 37.28 10.69EXCESS RETURN 0.09 0.21 0.23 0.12 (0.02) 0.05
148 BERS-TOTAL INTERNATIONAL FUND OF FUNDS - GROSS 62 0.95 4.12 0.69 14.63 (14.23) 5.94 05/01/2017ESTIMATED INVESTMENT FEES (0.09) (0.34) (0.19) (0.30) (0.37)BERS-TOTAL INTERNATIONAL FUND OF FUNDS - NET MGR 4.03 0.34 14.44 (14.53) 5.57MSCI ACWI EX USA IMI NET 2.74 0.26 13.33 (14.76) 5.29EXCESS RETURN 1.29 0.08 1.11 0.23 0.28
158 BERS-TOTAL GLOBAL EQUITY - GROSS 109 1.70 6.65 9.85 25.33 8.21 06/01/2018ESTIMATED INVESTMENT FEES (0.15) (0.61) (0.38) (0.60)BERS-TOTAL GLOBAL EQUITY - NET MGR 6.50 9.24 24.95 7.61MSCI AC WORLD (DAILY CONST) 3.61 5.74 16.23 4.77EXCESS RETURN 2.89 3.50 8.73 2.84
Consolidated Performance Report
Through June 30, 2019
New York City Board of Education Retirement System 34Performance Overview as of June 30, 2019
Page 266 of 591
Market Value ($MM)
% of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD Inception Date
EQUITY RETURN DETAIL
170 BERS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 422 6.55 4.73 16.26 5.02 20.44 19.22 10.42 14.26 22.16 17.06 15.59 15.34 7.75 07/01/2006NYC R3000 +3% LAGGED 14.85 12.01 (0.80) 21.06 22.22 18.37 2.49 21.24 16.86 13.64 19.77 12.58EXCESS RETURN (10.12) 4.25 5.82 (0.62) (3.00) (7.96) 11.77 0.92 0.21 1.95 (4.43) (4.83)
180 BERS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 356 5.52 2.04 9.92 4.50 11.95 13.57 10.75 16.06 13.67 11.59 12.56 11.97 12/01/2010NCREIF NFI-ODCE NET + 100 BP 1.02 6.51 2.48 8.43 7.72 8.86 15.08 12.56 7.67 9.84 11.76EXCESS RETURN 1.02 3.41 2.02 3.52 5.85 1.89 0.98 1.10 3.93 2.72 0.21
190 BERS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 117 1.82 2.96 12.55 5.04 14.77 24.82 9.26 11.63 18.85 16.33 13.94 15.00 12/01/2013CPI + 4% 1.45 5.86 3.02 6.03 6.20 6.17 4.69 4.69 6.16 5.55 5.63EXCESS RETURN 1.52 6.69 2.02 8.73 18.62 3.09 6.94 14.17 10.18 8.39 9.36
Consolidated Performance Report
Through June 30, 2019
New York City Board of Education Retirement System 35Performance Overview as of June 30, 2019
Page 267 of 591
Market Value ($MM)
% of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD Inception Date
FIXED INCOME RETURN DETAIL
202 BERS-TOTAL FIXED INCOME - GROSS 2,018 31.31 3.07 7.36 6.78 (0.40) 4.47 6.65 (0.68) 5.69 3.69 3.39 5.64 5.17 04/01/2004ESTIMATED INVESTMENT FEES (0.02) (0.10) (0.05) (0.10) (0.13) (0.13) (0.13) (0.16) (0.11) (0.12)
EST MANAGEMENT FEES (0.02) (0.10) (0.05) (0.10) (0.13) (0.13) (0.13) (0.16) (0.11) (0.12)EST INCENTIVE FEESEST OTHER FEESEST FEE OFFSETS
BERS-TOTAL FIXED INCOME - NET MGR 3.05 7.26 6.73 (0.50) 4.34 6.51 (0.81) 5.53 3.57 3.27
210 BERS-TOTAL STRUCTURED FIXED INCOME - GROSS 1,264 19.61 3.46 8.23 6.57 (0.36) 4.19 3.95 0.26 7.66 2.70 3.35 4.92 7.48 01/01/1985ESTIMATED INVESTMENT FEES (0.01) (0.04) (0.02) (0.04) (0.05) (0.06) (0.06) (0.08) (0.05) (0.05)BERS-TOTAL STRUCTURED FIXED INCOME - NET MGR 3.45 8.19 6.55 (0.40) 4.14 3.89 0.20 7.58 2.65 3.29NYC CUSTOM STRUCTURED INDEX-BERS 3.92 9.47 7.46 (0.21) 4.48EXCESS RETURN (0.46) (1.28) (0.91) (0.19) (0.34)
220 BERS-TOTAL TIPS - GROSS 302 4.69 2.86 4.84 6.19 (1.28) 3.05 4.78 (0.83) 3.37 2.08 1.86 3.78 3.87 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.00) (0.00) (0.01) (0.01) (0.02) (0.10) (0.01) (0.02)BERS-TOTAL TIPS - NET MGR 2.85 4.83 6.18 (1.29) 3.04 4.78 (0.85) 3.27 2.08 1.84BBG BARC GBL INF-LK: US TIPS (DLY) 2.86 4.84 6.15 (1.26) 3.01 4.68 (1.44) 3.64 2.08 1.76 3.64 3.71EXCESS RETURN (0.01) (0.00) 0.03 (0.03) 0.04 0.09 0.58 (0.37) (0.00) 0.08 0.15 0.15
230 BERS-TOTAL HIGH YIELD - GROSS 291 4.51 2.36 7.41 9.53 (1.64) 7.17 15.96 (4.34) 3.09 7.37 4.46 9.12 6.01 08/01/1997ESTIMATED INVESTMENT FEES (0.08) (0.34) (0.18) (0.30) (0.36) (0.36) (0.32) (0.34) (0.34) (0.34)BERS-TOTAL HIGH YIELD - NET MGR 2.28 7.07 9.35 (1.94) 6.81 15.60 (4.66) 2.75 7.03 4.12HIGH YIELD CUSTOM BENCHMARK 2.50 7.48 9.94 (2.34) 7.03 15.48 (4.21) 2.78 7.06 4.41 8.24 6.02EXCESS RETURN (0.22) (0.40) (0.59) 0.40 (0.22) 0.12 (0.45) (0.04) (0.02) (0.29) 0.88 (0.01)
240 BERS- TOTAL BANK LOANS - GROSS 123 1.91 1.03 3.32 4.93 0.71 4.81 8.86 0.46 2.34 5.22 3.87 4.41 12/01/2012ESTIMATED INVESTMENT FEES (0.08) (0.34) (0.17) (0.33) (0.34) (0.38) (0.34) (0.35) (0.35) (0.35)BERS-TOTAL BANK LOANS - NET MGR 0.95 2.98 4.75 0.38 4.47 8.48 0.12 1.99 4.87 3.52CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06 5.43 3.85 4.40EXCESS RETURN (0.63) (1.17) (0.66) (0.76) 0.22 (1.39) 0.51 (0.07) (0.55) (0.33) 0.00
250 BERS-TOTAL TARGETED INVESTMENTS (NO CASH) - GROSS 38 0.59 3.75 9.46 6.70 1.08 4.37 2.60 3.60 7.31 3.02 4.16 4.44 6.78 12/01/1984ESTIMATED INVESTMENT FEES (0.05) (0.25) (0.11) (0.25) (0.26) (0.29) (0.30) (0.35) (0.25) (0.28) (0.32) (0.12)BERS-TOTAL TARGETED INVESTMENTS (NO CASH)- NET MGR 3.70 9.21 6.59 0.83 4.11 2.31 3.30 6.96 2.77 3.89 4.12 6.65BERS CUSTOM BENCHMARK (NO CASH) 2.60 7.20 5.16 0.85 3.19 2.43 1.18 5.76 2.40 2.94 3.67EXCESS RETURN 1.10 2.01 1.43 (0.02) 0.92 (0.12) 2.12 1.20 0.37 0.94 0.44
CASH SUMMARY
262 Short Term BERS - GROSS 51 0.80 0.38 2.10 1.00 1.92 1.10 0.55 0.39 0.28 1.41 1.03 0.78 2.00 10/01/2000ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Short Term BERS - NET MGR 0.38 2.10 1.00 1.92 1.10 0.55 0.39 0.28 1.41 1.03 0.78
266 Cash Account 0 0.00
268 Securities Lending 0 0.00
270 KKR Cash Account 0 0.00
Consolidated Performance Report
Through June 30, 2019
New York City Board of Education Retirement System 36Performance Overview as of June 30, 2019
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New York CityBoard of Education Retirement System
Appendix B
Public Markets Manager Performance Detail
New York City Board of Education Retirement System 37Performance Overview as of June 30, 2019
Page 269 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
EQUITY SUMMARY
US EQUITY
BlackRock US SCG R2000 76 1.17 2.74 (0.36) 20.34 (9.14) 22.26 11.29 (1.30) 5.50
RUSSELL 2000 GROWTH DAILY 2.75 (0.49) 20.36 (9.31) 22.17 11.32 (1.38) 5.60
Excess (0.01) 0.13 (0.02) 0.17 0.09 (0.02) 0.08 (0.11)
BlackRock US SCV R2000 70 1.08 1.31 (6.25) 13.46 (12.79) 7.34 31.71 (7.38) 4.11
RUSSELL 2000 VALUE DAILY 1.38 (6.24) 13.47 (12.86) 7.84 31.74 (7.47) 4.22
Excess (0.06) (0.02) (0.00) 0.08 (0.49) (0.03) 0.09 (0.11)
Wellington US MCC 172 2.67 4.39 8.11 25.58 (7.37) 25.06 12.28 1.76 10.96
S&P MID CAP 400 3.05 1.36 17.97 (11.08) 16.24 20.74 (2.18) 9.77
Excess 1.35 6.75 7.60 3.71 8.82 (8.45) 3.94 1.19
BlackRock US LC R1000 Value 0 0.00 13.66 17.31 (3.81) 13.39
RUSSELL 1000 VALUE (DAILY) 13.66 17.34 (3.83) 13.45
Excess (0.01) (0.03) 0.01 (0.06)
BlackRock US LMC R1000 Core 1,307 20.27 4.24 10.18 18.80
RUSSELL 1000 (DAILY) 4.25 10.02 18.84
Excess (0.01) 0.16 (0.04)
SSGA US LMC Top 200 Core 435 6.74 4.28 10.90 17.86
RUSSELL TOP 200 INDEX (DAILY) 4.29 10.89 17.91
Excess (0.01) 0.01 (0.05)
FUND OF FUNDS
BERS-TOTAL FUNDS OF FUNDS 12 0.18 1.98 (0.06) 16.59 (8.27)
RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01)
Excess (0.11) 3.24 (0.39) 2.74
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 38Performance Overview as of June 30, 2019
Page 270 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
BERS-TOTAL LEGATO 12 0.18 1.98 (0.06) 16.59 (8.27)
RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01)
Excess (0.11) 3.24 (0.39) 2.74
NON - US EQUITY
Sprucegrove WorldxUS LMCC 340 5.27 3.43 1.42 13.15 (13.67) 27.15 11.14 (9.56) (3.19)
NYC Developed Value Benchmark 3.79 1.29 14.64 (14.09) 22.77 5.02 (5.68) (5.39)
Excess (0.36) 0.13 (1.48) 0.42 4.38 6.12 (3.87) 2.21
Baillie Gifford WorldxUS LMCC 350 5.43 3.68 (2.62) 23.42 (15.35) 44.17 0.70 (3.81) (6.66)
NYC Developed Growth Benchmark 3.79 1.29 14.64 (14.09) 27.77 (3.04) 4.09 (4.43)
Excess (0.11) (3.90) 8.79 (1.26) 16.40 3.74 (7.90) (2.23)
Acadian WorldxUS SCC 75 1.16 2.05 (6.23) 12.55 (19.22) 38.38 6.41 8.68 (4.92)
S&P EPAC Small Cap USD NET 2.37 (6.38) 12.53 (18.58) 33.47 1.34 8.58 (3.43)
Excess (0.32) 0.14 0.02 (0.65) 4.91 5.07 0.09 (1.49)
Algert EAFE SCC 27 0.41 2.16
MSCI EAFE SMALL CAP NET (DAILY) 1.71
Excess 0.45
EMERGING MARKETS
Acadian EM 310 4.81 1.00 (1.42) 9.18 (17.27) 40.45 12.74 (15.14) 3.77
MSCI EMERGING MARKETS 0.61 1.21 10.58 (14.57) 37.28 11.19 (14.92) (2.19)
Excess 0.39 (2.63) (1.40) (2.70) 3.16 1.55 (0.22) 5.96
BlackRock MSCI EM Core 139 2.16 0.70 1.42 10.81 (14.45) 37.25
MSCI EMERGING MARKETS 0.61 1.21 10.58 (14.57) 37.28
Excess 0.09 0.21 0.23 0.12 (0.03)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 39Performance Overview as of June 30, 2019
Page 271 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
INTERNATIONAL FOF
BERS-TOTAL INTERNATIONAL FOF 62 0.95 4.03 0.34 14.44 (14.53)
MSCI ACWI ex USA IMI Net 2.74 0.26 13.33 (14.76)
Excess 1.29 0.08 1.11 0.23
BERS-TOTAL INTERNATIONAL FIS 62 0.95 4.03 0.34 14.44 (14.53)
MSCI ACWI ex USA IMI Net 2.74 0.26 13.33 (14.76)
Excess 1.29 0.08 1.11 0.23
GLOBAL EQUITY
Morgan Stanley-Global 53 0.82 6.88 6.70 27.57
MSCI AC WORLD (Daily Const) 3.61 5.74 16.23
Excess 3.27 0.96 11.34
Fiera-Global 56 0.87 6.15 22.58
MSCI World Index 4.00 16.98
Excess 2.15 5.60
FIXED INCOME SUMMARY
STRUCTRED FIXED INCOME
BlackRock Mortgages 204 3.16 2.26 6.63 4.63 1.00 3.06 2.32 1.73
FTSE MORTGAGE INDEX 2.09 6.39 4.30 1.01 2.47 1.59 1.56
Excess 0.17 0.24 0.33 (0.01) 0.59 0.73 0.17
Prudential Credit 125 1.94 4.17 10.14 9.11 (1.95) 6.21 5.86 (0.22) 7.20
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.09 0.02 0.12 (0.05) 0.17 0.30 0.43 0.16
Taplin Credit 108 1.67 4.48 10.13 10.43 (3.42) 7.18 8.02 (3.01) 8.68
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.40 0.00 1.44 (1.52) 1.14 2.46 (2.36) 1.64
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 40Performance Overview as of June 30, 2019
Page 272 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
SSGA LI Treasury 574 8.90 4.53 10.29 8.06 (0.18) 4.92 1.23 0.45 12.21
NYC - Treasury Agency Plus Five 4.56 10.38 8.09 (0.05) 4.66 1.21 0.72 12.38
Excess (0.03) (0.09) (0.03) (0.12) 0.27 0.01 (0.27) (0.16)
SSGA IT Treasury 1-10Y 5 0.08 2.33
FTSE USBIG Treasury/Agency 1-10 y 2.33
Excess (0.00)
SSGA ST Treasury 1-3Y 249 3.86 1.44 3.95 2.44 1.51 0.45
FTSE USBIG Treasury 1-3 Y Index 1.44 3.95 2.44 1.56 0.42
Excess 0.00 (0.00) (0.01) (0.05) 0.03
HIGH YIELD
Mackay Shields High Yield 146 2.27 2.43 9.33
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess (0.08) (0.61)
Nomura High Yield 145 2.24 2.19 9.53
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess (0.31) (0.41)
Shenkman High Yield 0 0.00 6.60 11.62 (1.97) 2.66
High Yield Custom Benchmark 7.03 15.48 (4.21) 2.78
Excess (0.43) (3.85) 2.24 (0.13)
BANK LOANS
Barings Bank Loans 123 1.91 0.95 2.98 4.75 0.38 4.47 8.48 0.12 1.99
CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06
Excess (0.63) (1.17) (0.66) (0.76) 0.22 (1.39) 0.51 (0.07)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 41Performance Overview as of June 30, 2019
Page 273 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
TIPS
SSGA TIPS 302 4.69 2.85 4.83 6.18 (1.29) 3.04 4.78
BBG BARC Gbl Inf-Lk: US TIPS (Dly) 2.86 4.84 6.15 (1.26) 3.01 4.68
Excess (0.01) (0.00) 0.03 (0.03) 0.04 0.09
ECONOMICALLY TARGETED INVESTMENTS
RBC Access MBS 10 0.15 2.30 6.83 4.85 0.49 2.64 1.61 1.83 6.66
Access RBC Benchmark 2.16 6.27 4.21 1.17 1.96 1.52 1.40 5.08
Excess 0.14 0.55 0.64 (0.69) 0.69 0.09 0.43 1.58
AFL-CIO Housing Investment Trust 17 0.27 3.28 7.90 6.02 0.16 3.17 1.94 1.13 6.10
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97
Excess 0.20 0.03 (0.09) 0.15 (0.38) (0.71) 0.58 0.14
CPC Construction Facility 1 0.01 0.79 4.22 2.12 4.14 6.05 (3.95) 12.90
CPC CONST BENCHMARK 1.06 4.23 2.13 3.99 3.34 3.03 2.90
Excess (0.27) (0.01) (0.01) 0.15 2.72 (6.99) 10.01
BOA PPAR FNMA 1 0.02 5.66 13.51 9.25 2.33 5.21 4.07 42.03 13.31
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.31 6.25 4.52 0.47 1.60 1.69 39.53 6.19
Citibank PPAR FNMA 2 0.03 6.30 15.16 9.75 2.63 5.26 3.71 6.69 25.71
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.96 7.90 5.02 0.77 1.65 1.33 4.20 18.58
Citibank PPAR GNMA 0 0.00 2.53 10.12 5.32 1.90 3.10 2.78 5.08 15.37
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.40 3.21 0.82 0.27 0.57 0.50 3.06 8.72
CFSB PPAR GNMA 0 0.00 2.85 9.78 5.57 0.99 3.83 3.21 5.90 15.34
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.73 2.87 1.07 (0.65) 1.30 0.93 3.88 8.69
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 42Performance Overview as of June 30, 2019
Page 274 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
CPC PPAR FNMA 1 0.02 5.94 14.84 9.95 2.31 5.06 6.15 8.96 13.91
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.59 7.58 5.22 0.45 1.45 3.77 6.46 6.78
JPMC PPAR FNMA 3 0.05 6.79 14.75 10.26 1.68 9.96 7.94 6.18 12.06
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 4.44 7.50 5.52 (0.18) 6.35 5.56 3.68 4.93
LIIF PPAR FNMA 2 0.03 5.72 14.40 9.26 2.27 9.55 5.03 6.29 38.12
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.38 7.15 4.53 0.41 5.94 2.65 3.79 30.99
LIIF PPAR GNMA 0 0.00 2.40 8.01 4.37 2.53 2.52 3.88 3.92 9.74
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.27 1.11 (0.13) 0.89 (0.01) 1.61 1.91 3.09
LISC PPAR FNMA 0 0.00 5.85 9.79
FNMA Plus 85bps 2.35 4.73
Excess 3.50 5.05
NCBCI PPAR FNMA 0 0.00 0.57 8.27 3.10 2.00 1.75 3.46 4.97 14.93
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess (1.78) 1.02 (1.63) 0.15 (1.86) 1.07 2.47 7.81
NCBCI PPAR GNMA 0 0.00 1.40 8.09 3.91 1.23 3.01 3.51 5.53 16.66
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess (0.73) 1.19 (0.59) (0.41) 0.48 1.23 3.52 10.01
Wells Fargo PPAR FNMA 0 0.00 5.80 23.19 16.37
FNMA Plus 85bps 2.35 7.26 4.73
Excess 3.45 15.93 11.64
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 43Performance Overview as of June 30, 2019
Page 275 of 591
Market Value ($MM)
%of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014
CASH
Short Term BERS 51 0.80 0.38 2.10 1.00 1.92 1.10 0.55 0.39 0.28
91 DAY TREASURY BILL (DAILY) 0.64 2.31 1.24 1.87 0.86 0.33 0.05 0.03
Excess (0.26) (0.21) (0.24) 0.05 0.24 0.23 0.34 0.24
Cash Account 0 0.00
Securities Lending 0 0.00
KKR Cash Account 0 0.00
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
New York City Board of Education Retirement System 44Performance Overview as of June 30, 2019
Page 276 of 591
New York CityBoard of Education Retirement System
Appendix C
Alternative Assets Manager Performance Detail
New York City Board of Education Retirement System 45Performance Overview as of June 30, 2019
Page 277 of 591
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
TOTAL PRIVATE EQUITY 833,886,789 488,752,166 291,453,665 413,981,154 1.44 11.8%
TOTAL ACTIVE Mesirow Financial Private Equity Partnership Fund III, L.P. 2005 57,000,000 55,100,648 80,686,991 12,206,857 1.69 8.4%Mesirow Financial Private Equity Partnership Fund IV, L.P. 2006 25,000,000 22,973,154 28,622,289 11,642,509 1.75 10.4%New York Fairview Private Equity Fund, L.P. 2006 19,000,000 17,320,307 18,597,037 4,995,912 1.36 5.6%Mesirow Financial Private Equity Partnership Fund V, L.P. 2009 45,000,000 38,947,655 36,457,954 37,988,230 1.91 16.2%Platinum Equity Capital Partners III, L.P. 2012 15,000,000 14,094,835 19,176,093 5,477,029 1.75 36.1%Warburg Pincus Private Equity XI, L.P. 2012 25,000,000 25,421,162 17,016,506 24,051,304 1.62 14.1%Apollo Investment Fund VIII, L.P. 2013 20,000,000 18,062,936 5,746,531 17,160,899 1.27 10.6%Carlyle Partners VI, L.P. 2013 20,000,000 20,807,096 8,482,982 18,710,948 1.31 11.4%Landmark Equity Partners XV, L.P. 2013 19,000,000 13,106,023 9,585,348 6,836,567 1.25 12.0%Landmark Equity Partners XV, L.P. - Side Car 2013 6,000,000 4,884,692 3,204,054 3,619,204 1.40 15.0%CVC Capital Partners VI, L.P. 2014 20,537,124 17,182,164 4,563,459 17,826,523 1.30 13.1%Crestview Partners III, L.P. 2013 15,000,000 9,813,137 1,788,885 11,380,903 1.34 16.0%Crestview Partners III (Co-Investment B), L.P. 2013 5,000,000 4,582,635 250,760 5,404,120 1.23 10.5%ASF VI, L.P. 2014 15,000,000 10,631,331 5,920,776 9,316,267 1.43 13.5%ASF VI NYC Co-Invest, L.P. 2014 5,000,000 3,862,814 3,009,524 2,341,757 1.39 12.6%Carlyle Partners VI, L.P. - Side Car 2014 2,200,000 1,600,199 92,959 1,544,766 1.02 0.8%Lexington Capital Partners VIII, L.P. 2014 20,000,000 16,944,693 6,312,838 15,473,693 1.29 20.4%Vista Equity Partners Fund V, L.P. 2014 25,000,000 28,903,778 22,614,664 28,808,340 1.78 22.6%Centerbridge Capital Partners III, L.P. 2015 2,500,000 1,405,477 467,111 1,403,878 1.33 13.7%Siris Partners III, L.P. 2015 3,500,000 2,939,689 1,599,722 1,880,040 1.18 10.0%NYCBERS - 2012 Emerging Manager Program 2012 14,650,000 13,995,672 2,125,178 15,911,360 1.29 9.4%American Securities Partners VII, L.P. 2015 8,000,000 6,393,888 1,013,767 4,849,689 0.92 -6.4%ASF VII, L.P. 2015 10,000,000 3,441,285 551,155 3,854,210 1.28 16.8%ASF VII B NYC Co-Invest, L.P. 2015 6,000,000 3,049,764 319,787 4,469,355 1.57 41.1%NYCBERS - 2015 Emerging Manager Program 2015 37,250,000 10,490,467 373,785 11,659,073 1.15 16.0%Warburg Pincus Private Equity XII, L.P. 2015 21,500,000 15,650,340 1,019,437 17,552,085 1.19 11.6%Welsh, Carson, Anderson & Stowe XII, L.P. 2015 10,000,000 7,060,944 1,392,304 9,827,307 1.59 26.4%Bridgepoint Europe V, L.P. 2015 8,573,266 7,780,008 1,061,965 8,749,898 1.26 15.4%Bridgepoint Europe V Co-Invest 2015 2,910,487 2,702,670 270,187 4,107,249 1.62 34.9%EQT VII, L.P. 2015 17,012,857 14,066,812 1,344,195 16,381,736 1.26 14.0%
Information provided by the New York City Board of Education Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
New York City Board of Education Retirement System 46Performance Overview as of March 31, 2019
Page 278 of 591
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Vista Equity Partners Fund VI, L.P. 2016 16,000,000 17,280,452 4,164,227 18,541,530 1.31 19.5%Apax IX USD, L.P. 2016 13,000,000 5,886,158 123,294 8,014,247 1.38 N/MAres Corporate Opportunities Fund V, L.P. 2017 10,000,000 5,619,553 172,155 5,676,484 1.04 N/MGreen Equity Investors VII, L.P. 2017 10,000,000 5,088,365 39,598 5,624,389 1.11 N/MBC European Capital X, L.P. 2017 11,391,649 5,676,912 - 5,599,685 0.99 N/MBC European Capital X Metro Co-Investment L.P. 2017 4,604,299 3,011,417 - 3,100,121 1.03 N/MPlatinum Equity Capital Partners IV, L.P. 2016 11,500,000 7,800,671 2,312,758 8,388,823 1.37 N/MCVC Capital Partners VII, L.P. 2018 19,117,446 3,048,070 28,740 3,729,743 1.23 N/MApollo Investment Fund IX, L.P. 2018 32,000,000 2,923,000 331 2,514,519 0.86 N/MKKR Americas Fund XII, L.P. 2017 16,000,000 6,286,470 105,478 6,550,955 1.06 N/MWarburg Pincus Financial Sector, L.P. 2017 13,000,000 3,419,000 679,855 2,384,020 0.90 N/MEQT VIII SCSP 2018 12,918,795 1,869,612 158,561 1,674,704 0.98 N/MSiris Partners IV, L.P. 2018 10,000,000 1,515,726 - 1,409,820 0.93 N/MBridgepoint Europe VI, L.P. 2018 14,023,200 - - (172,414) N/A N/ABridgepoint Europe VI Co-Invest 2018 3,505,800 - - - N/A N/MEQT VIII SCSP (Co-Invest) 2018 4,700,200 712,512 - 796,468 1.12 N/MPlatinum Equity Small Cap Fund, L.P. 2018 10,000,000 760,743 - 598,099 0.79 N/MPlatinum Equity Capital Partners IV, L.P. (Co-Invest) 2018 1,500,000 1,050,000 - 979,938 0.93 N/MCrestview Partners IV (FF), L.P. 2018 2,666,667 - - - N/A N/ACrestview Partners IV, L.P. 2018 8,000,000 - - - N/A N/AWCAS XIII, L.P. 2019 10,000,000 73,353 - 19,777 0.27 N/MPalladium Equity Partners V, L.P. 2017 10,000,000 1,645,967 - 1,255,511 0.76 N/MKKR European Fund V, L.P. - USD 2019 9,950,000 - - - N/A N/ALexington Capital Partners IX, L.P. 2019 12,375,000 - - - N/A N/AASF VIII, L.P. 2019 21,000,000 2,100 - 73,061 34.79 N/MASF VIII B NYC Co-Invest, L.P. 2019 10,500,000 1,050 - 263 0.25 N/MWarburg Pincus Global Growth, L.P. 2019 15,000,000 177,575 - 131,717 0.74 N/MVista Equity Partners Fund VII, L.P. 2018 20,500,000 1,687,187 425 1,657,984 0.98 N/M
Information provided by the New York City Board of Education Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
New York City Board of Education Retirement System 47Performance Overview as of March 31, 2019
Page 279 of 591
Vintage Year Style Sector Original
Commitment Total Contributions Total Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL PRIVATE REAL ESTATE 520,279,218 402,508,511 216,017,320 345,659,927 1.40 11.5%
TOTAL PRIVATE REAL ESTATE LaSalle Property Fund 2010 Core Portfolio 38,600,000 27,600,000 9,703,043 39,301,845 1.78 10.4%UBS Trumbull Property Fund 2011 Core Portfolio 41,400,000 63,368,872 55,565,544 47,068,349 1.62 8.6%NYC Asset Investor #2 2013 Core Portfolio 11,000,000 10,728,942 3,214,303 14,315,709 1.63 14.3%MetLife Core Property Fund 2014 Core Portfolio 15,000,000 15,000,000 2,863,707 18,911,202 1.45 9.7%USAA Eagle Real Estate Fund 2015 Core Portfolio 18,000,000 14,762,864 961,703 16,411,555 1.18 8.6%Artemis Co-Investment1 2016 Core Portfolio 11,000,000 10,728,426 3,941,790 9,027,653 1.21 19.0%Brookfield Premier Real Estate Partners 2016 Core Portfolio 10,000,000 10,811,759 811,759 12,675,900 1.25 11.6%Exeter Core Industrial Club Fund II 2016 Core Portfolio 10,000,000 7,035,000 843,276 7,674,916 1.21 13.3%Jamestown Premier Property Fund 2016 Core Portfolio 6,246,307 5,928,728 2,579,885 4,534,070 1.20 9.0%Lion Industrial Trust 2017 Core Portfolio 18,000,000 18,976,702 976,701 22,166,369 1.22 15.9%Almanac Realty Securities VIII 2018 Core Portfolio 10,500,000 147,482 - 82,420 0.56 NMAlmanac Realty Securities VIII (Sidecar II) 2018 Core Portfolio 7,000,000 114,364 - 117,488 1.03 NMArtemis Income and Growth Fund 2018 Core Portfolio 10,000,000 - - - - NMHeitman Core Real Estate Debt Income Trust 2018 Core Portfolio 10,000,000 10,065,615 65,615 10,197,348 1.02 NMFranklin Templeton Private Real Estate Fund 2011 Non-Core Portfolio 30,000,000 35,801,962 44,464,590 5,930,813 1.41 20.8%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 10,000,000 11,746,644 15,352,802 7,573,663 1.95 21.4%Blackstone Real Estate Partners Europe IV L.P. - USD 2013 Non-Core Portfolio 32,500,000 32,099,760 31,165,511 17,173,246 1.51 15.7%NYC Asset Investor #1 2013 Non-Core Portfolio 10,000,000 11,228,742 4,672,652 9,495,563 1.26 6.7%NYC Asset Investor #3 2013 Non-Core Portfolio 8,000,000 5,046,443 881,994 5,514,241 1.27 8.6%Carlyle Realty Partners VII, L.P. 2014 Non-Core Portfolio 25,000,000 20,905,935 12,850,165 15,722,534 1.37 14.8%H/2 Special Opportunities Fund III 2014 Non-Core Portfolio 15,000,000 15,000,000 11,227,079 8,236,420 1.30 11.9%Blackstone Real Estate Partners VIII L.P. 2015 Non-Core Portfolio 16,500,000 14,322,370 4,796,886 13,552,785 1.28 15.8%Tristan European Property Investors Special Opp IV 2015 Non-Core Portfolio 11,294,657 7,928,004 491,719 8,597,187 1.15 9.5%DivcoWest Fund V 2016 Non-Core Portfolio 10,000,000 4,836,791 7,180 5,112,002 1.06 4.4%Exeter Industrial Value Fund IV, L.P. 2016 Non-Core Portfolio 10,000,000 5,500,000 - 6,083,203 1.11 11.9%H/2 Special Opportunities Fund IV 2016 Non-Core Portfolio 10,000,000 1,947,960 81,350 1,985,773 1.06 4.6%Pramerica Real Estate Capital VI 2016 Non-Core Portfolio 10,601,972 5,229,505 2,329,213 3,870,330 1.19 17.7%PW Real Estate Fund III 2016 Non-Core Portfolio 11,331,409 6,550,789 840,210 8,050,977 1.36 22.4%Westbrook Real Estate Fund X Co-Investment 2016 Non-Core Portfolio 10,000,000 5,898,157 1,144,230 5,496,208 1.13 11.4%DRA Growth and Income Fund IX 2017 Non-Core Portfolio 10,000,000 6,016,034 1,642,645 5,490,612 1.19 18.3%Lone Star Real Estate Fund V 2017 Non-Core Portfolio 13,203,999 3,476,759 1,177,867 1,848,562 0.87 -13.7%NYCRS-KKR CMBS Retention Partners 2017 Non-Core Portfolio 13,000,000 10,225,337 822,522 10,243,977 1.08 8.5%Aermont Capital Real Estate Fund IV 2018 Non-Core Portfolio 10,100,874 - - - - NMBrookfield Strategic Real Estate Partners III, L.P. 2018 Non-Core Portfolio 12,000,000 - - - - NMKKR Real Estate Partners Americas II 2018 Non-Core Portfolio 10,000,000 3,478,564 541,379 3,197,007 1.07 NMBlackstone Real Estate Partners IX L.P. 2019 Non-Core Portfolio 15,000,000 - - - - NM
Information provided by the New York City Retirement Systems Consultants. Interim returns are subject to change and may differ due to differences in accounting and performance methodologies.
Alternative Assets Manager Performance Detail
Through March 31, 2019
New York City Board of Education Retirement System 48Performance Overview as of March 31, 2019
Page 280 of 591
Vintage Year Original
Commitment Total Contributions Total Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL INFRASTRUCTURE 228,045,376 109,532,166 22,507,303 112,740,081 1.23 13.6%
TOTAL INFRASTRUCTURE Brookfield Infrastructure Fund II, L.P. 2013 10,000,000 8,207,214 2,261,561 9,921,333 1.48 12.4%IFM Global Infrastructure Fund 2014 15,000,000 20,027,335 7,421,302 21,078,594 1.42 12.4%Global Energy & Power Infrastructure Fund II 2014 15,000,000 12,678,770 7,717,842 10,243,777 1.42 34.8%KKR Global Infrastructure Investors II L.P. 2014 19,000,000 18,262,054 2,148,753 19,868,060 1.21 10.7%Global Infrastructure Partners III-A/B, L.P. 2016 12,000,000 9,113,778 593,936 9,474,971 1.10 8.0%Brookfield Infrastructure Fund III, L.P. 2016 10,000,000 4,774,997 324,973 5,020,871 1.12 9.3%Actis Energy 4 2016 10,600,000 5,535,314 816,395 5,768,428 1.19 18.6%EQT Infrastructure III (No.2) SCSp 2017 9,253,777 8,482,237 385,390 9,209,842 1.13 19.2%ASF VII Infrastructure L.P. 2017 12,000,000 4,741,240 413,278 4,611,899 1.06 27.7%Axium Infrastructure North America 2017 12,221,338 12,308,695 345,685 12,304,156 1.03 7.0%NYCRS EIG Energy Partners, L.P. 2017 11,760,000 2,424,677 78,188 2,490,367 1.06 10.6%NYCRS EIG Energy Partners Co-Investment, L.P. 2018 2,940,000 - - - NM NMKKR Global Infrastructure Investors III L.P. 2018 15,600,000 1,080,898 - 891,311 NM NMGlobal Energy & Power Infrastructure Fund III, L.P. 2018 15,600,000 - - - NM NMCardinal NR Sidecar Holdings L.P. 2018 1,880,000 1,880,000 - 1,946,657 NM NMEQT Infrastructure IV (No.2) USD SCSp 2019 18,000,000 - - (103,910) NM NMArdian Infrastructure Fund V B 2019 14,590,261 14,958 - 13,724 NM NMGlobal Infrastructure Partners IV-A/B, L.P. 2019 22,600,000 - - - NM NM
Information provided by the New York City Board of Education Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
New York City Board of Education Retirement System 49Performance Overview as of March 31, 2019
Page 281 of 591
New York CityBoard of Education Retirement System
Appendix D
Footnotes
New York City Board of Education Retirement System 50Performance Overview as of June 30, 2019
Page 282 of 591
• 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 BofA 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.
Footnotes
Through June 30, 2019
New York City Board of Education Retirement System 51Performance Overview as of June 30, 2019
Page 283 of 591
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 Page 11 - 16 - Portfolio Asset Allocation
• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset
Classes is necessary.
Pages 17 - 19 - Performance Attribution: Total Plan
• Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted
Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)
• Allocation Effect = Total Plan Return minus Plan Return At Adjusted Policy Weights. Allocation is the Contribution to Performance
resulting from an overweight or underweight to an asset class. E.g. an underweight to an Asset Class that under-performs results in a
positive Allocation Effect and vice versa.
• Selection Effect = Equal to the Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy Weights. This
illustrates how the Managers have added or removed value based on their Security Selection decisions, e.g., If the manager’s Actual
Returns are higher than the Implied Return there will be a positive Selection Effect.
• Policy Index = Custom Benchmark
The “policy index” is a custom benchmark representing the weighted average return of the weighted benchmark indexes for each major
investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs,
such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs
and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each
month.
Glossary of Terms
Through June 30, 2019
New York City Board of Education Retirement System 52Performance Overview as of June 30, 201909/06/2019 01:35:27 PM
Page 284 of 591
The indexes and most recent policy weights are as follows:
U.S. Equity: Russell 3000 * 33.10%
International Developed (EAFE) Markets: MSCI World ex USA IMI Net * 12.05%
International Active – Global Equity: MSCI ACWI * 1.65%
Emerging Markets: MSCI Emerging Markets * 6.80%
International Emerging Managers FOF: MSCI ACWI Ex US IMI Net * 0.94%
Private Equity: Russell 3000 + 300 b.p. per annum * 7.02%
Private Real Estate – Core: NFI - ODCE Net * 3.45%
Private Real Estate – Non Core: NFI - ODCE Net + 200bps* 2.50%
Infrastructure: CPI + 4% * 1.92%
US Treasury Short Term: FTSE USBIG Treasury 1-3Y * 0.00%
Total Active Government: NYC Treasury Agency + 5 * 9.41%
Core Fixed Income: BBG Barc Agg * 0.00%
Progress Fixed: BBG Barc Agg * 0.00%
Mortgage: FTSE Mortgage Index * 3.71%
ETI: ETI Custom Benchmark * 0.61%
Investment Grade Credit: NYC – Investment Grade Credit * 4.32%
High Yield: Bloomberg Barclays US High Yield 2% Issuer Capped * 6.00%
Bank Loans: Credit Suisse Leveraged Loan * 2.00%
TIPS: BBG BARC Gbl Inf-Lk: US TIPS (Dly) * 4.52%
Glossary of Terms
Through June 30, 2019
New York City Board of Education Retirement System 53Performance Overview as of June 30, 201909/06/2019 01:35:27 PM
Page 285 of 591
Page 20 – Allocation and Selection Effects - Asset Class Breakdown • This chart aims to break down the Allocation and Selection Effects shown on the Performance Attribution pages. The aim of the Page is
to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point
effect that this is having on Plan performance.
Glossary of Terms
Through June 30, 2019
New York City Board of Education Retirement System 54Performance Overview as of June 30, 201909/06/2019 01:35:27 PM
Page 286 of 591
ETI Quarterly Report (Public):
BERS Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars UnitsCommitments Q2(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $0.02 90 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 0.02 333 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $0.00 0 $0.00 0 $0.04 423 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Delivered Q2(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $0.07 393 $0.13 30 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.00 0 0.05 54 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.22 68 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.21 41 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $0.21 41 $0.00 0 $0.07 393 $0.39 152 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Total CommitmentsBronx $0.00 0 $0.33 157 $0.00 0 $0.56 1,386 $0.83 339 $0.26 61 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.11 101 $0.00 0Brooklyn 0.26 212 0.60 179 0.00 0 0.22 1,152 0.17 156 0.18 95 0.00 0 0.00 0 0.25 130 0.25 156 0.22 359 0.00 0Manhattan 0.00 0 0.00 0 0.05 39 0.20 435 0.00 0 0.45 174 0.00 0 0.00 0 0.39 103 0.45 155 0.21 83 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.09 389 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 0.07 254 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.26 212 $0.93 336 $0.05 39 $1.14 3,616 $1.00 495 $0.89 330 $0.00 0 $0.00 0 $0.64 233 $0.69 311 $0.54 543 $0.00 0Historical InvestmentsBronx $0.26 60 $1.05 645 $0.00 0 $0.39 1,715 $2.27 1,377 $0.25 117 $0.00 0 $0.00 0 $0.11 90 $0.11 48 $0.00 0 $0.00 0Brooklyn 0.28 54 0.40 302 0.00 0 0.44 1,241 0.23 137 0.71 401 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.34 100 0.24 283 0.16 197 0.25 1,204 0.33 333 1.01 407 0.10 123 0.00 0 0.09 100 0.00 0 0.00 0 0.00 0Queens 0.84 293 0.04 54 0.00 0 0.01 38 0.27 164 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.04 67 0.00 0 0.00 0 0.00 0Outside of NYC 0.09 39 0.21 41 0.00 0 0.20 461 0.23 123 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $1.81 546 $1.94 1,325 $0.16 197 $1.30 4,659 $3.33 2,134 $1.97 925 $0.10 123 $0.00 0 $0.24 257 $0.11 48 $0.00 0 $0.00 0*Lenders :
1 Dollar amount listed in millionsSupport Corp Enterprise
Local Initiatives BellwetherAmerica Development Savings Bank Preservation Corp Chase Investment Fund Impact Housing Service
Low Income NCB Capital Neighborhood Wells Fargo
$0.27
Bank of Citi Community Carver Federal The Community JP Morgan
$2.05 $0.13 $1.26 $3.44 $0.13 $0.00$4.00 $4.00 $1.00 $4.00 $5.00 $4.00 $1.00 $1.00 $2.00 $1.00 $1.00
HDC$2.00$0.00
NYC HDC
Public/Private Apartment Rehabilitation Program (PPAR)
BE
$1.31
BOA CCD CFSB CPC JPM LIIF NCBCI NHS WF LISC
$1.95 $0.10 $0.00
Page 288 of 591
BERS Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars UnitsCommitments Q2(included in total)Bronx $0.02 90Brooklyn 0.02 333Manhattan 0.00 0Queens 0.00 0Staten Island 0.00 0Outside of NYC 0.00 0
Total $0.04 423Delivered Q2(included in total)Bronx $0.20 423Brooklyn 0.00 0Manhattan 0.05 54Queens 0.22 68Staten Island 0.00 0Outside of NYC 0.21 41
Total $0.68 586Total CommitmentsBronx $2.08 2,044Brooklyn 2.15 2,439Manhattan 1.75 989Queens 0.09 389Staten Island 0.00 0Outside of NYC 0.07 254
Total $6.14 6,115Historical InvestmentsBronx $4.45 4,052Brooklyn 2.06 2,135Manhattan 2.51 2,747Queens 1.17 549Staten Island 0.04 67Outside of NYC 0.73 664
Total $10.96 10,214
1 Dollar amount listed in millions
$10.65
All Lender Totals$30.00
Public/Private Apartment Rehabilitation Program (PPAR)
Bronx$4.45 (41%) 4,052 Units
Brooklyn$2.06 (19%) 2,135 Units
Manhattan$2.51 (23%) 2,747 Units
Queens$1.17 (11%)
549 Units
Staten Island$0.04 (0%)
67 UnitsOutside of NYC$0.73 (7%) 664 Units
Historical Investments Since Inception AII PPAR Lenders
Bronx$2.08 (34%) 2,044 Units
Brooklyn$2.15 (35%) 2,439 Units Manhattan
$1.75 (29%) 989 Units
Queens$0.09 (2%) 389 Units
Staten Island$0.00 (0%)
0 Units
Outside of NYC$0.07 (1%) 254 Units
Current Commitments AII PPAR Lenders
Page 289 of 591
BERS Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)Market Value $17.11 million¹
NYC Community Investment Initiative (NYCCII)
Borough Investments Units2 Investments Units2 Investments Units2
Bronx $27,600,000 2,010 $52,827,900 761 $80,427,900 2,771Brooklyn 49,501,800 3,230 103,890,446 5,616 153,392,246 8,846Manhattan 172,021,700 6,908 174,075,200 813 346,096,900 7,721Queens 0 0 17,760,000 1,149 17,760,000 1,149Staten Island 0 0 6,414,554 693 6,414,554 693Outside NYC 0 0 100,000,000 137 100,000,000 137Total $249,123,500 12,148 $454,968,100 9,169 $704,091,600 21,317
HIT Home Mortgage Program
Borough $ Amount Loans $ Amount Loans $ Amount LoansBronx $32,544,168 41 $218,082,108 296 $250,626,276 337Brooklyn 116,575,736 138 864,892,271 1,115 981,468,007 1,253Manhattan 10,742,253 12 214,244,680 265 224,986,933 277Queens 82,399,317 64 894,399,418 973 976,798,735 1,037Staten Island 106,039,089 191 359,980,460 439 466,019,549 630Total $348,300,563 446 $2,551,598,937 3,088 $2,899,899,500 3,534
BERS Loans Phase I: 0 Phase II: 13 Total: 13
1Interest is reinvested2Low/Moderate Income Units
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
Bronx$80,427,900
11%2,771 Units
Brooklyn$153,392,246
22%8,846 Units
Manhattan$346,096,900
49%7,721 Units
Queens$17,760,000
3%1,149 Units
Staten Island$6,414,554
1%693 Units
Outside NYC$100,000,000
14%137 Units
NYCCII Multifamily Program
Bronx$250,626,276
9%337 Loans
Brooklyn$981,468,007
34%1,253 Loans
Manhattan$224,986,933
8%277 Loans
Queens$976,798,735
34%1,037 Loans
Staten Island$466,019,549
16%630 Loans
Home Mortgage Program
Page 290 of 591
BERS Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)NYC Workforce Housing Initiative: 2009 - 2015
Investments Low/Mod UnitsBorough Since Inception Since InceptionBronx $5,000,000 776Brooklyn 16,051,087 710Manhattan 214,252,488 4,627Queens 58,293,425 3,226Staten Island 0 0Total $293,597,000 9,339
Bronx$5,000,000
2%776 Units
Brooklyn$16,051,087
5%710 Units
Manhattan$214,252,488
73%4,627 Units
Queens$58,293,425
20%3,226 UnitsStaten Island
$00%
0 Units
HIT Workforce Housing Initiative
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The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)HIT Housing Investment Strategy: 2015 - Q2 2019
Investments LMI UnitsBorough Q2 Investments Since Inception Q2 LMI Units Since InceptionBronx $52,000,000 $87,980,000 152 646Brooklyn 0 38,300,000 0 144Manhattan 0 211,058,000 0 3,140Queens 0 5,000,000 0 306Staten Island 0 0 0 0Outside NYC 0 18,300,000 0 32Total $52,000,000 $360,638,000 152 4,268
Bronx$87,980,000
24%646 Units
Brooklyn$38,300,000
11%144 Units
Manhattan$211,058,000
59%3,140 Units
Queens$5,000,000
1%306 Units
Staten Island$00%
0 Units
Outside NYC$18,300,000
5%32 Units
HIT Housing Investment Strategy
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BERS Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
RBC ACCESS CAPITAL STRATEGIES (Since Inception 2/1/07)
$10.5 million Allocated (2.34% of total account)Market Value $9.56 million
Multifamily Investments DetailQ2 Total Q2 Total
Bronx $0 $1,865,422 0 19,227Brooklyn 0 678,746 0 8,959Manhattan 0 1,761,375 0 6,357Queens 0 442,026 0 902Staten Island 0 130,389 0 75Total BERS Multifamily Investments $0 $4,877,957 0 35,520
Multifamily Total All Systems $0 $208,459,702 0 35,520
Single Family Investments DetailQ2 Total Q2 Total
Bronx $9,619 $1,322,108 1 276Brooklyn 13,320 3,413,846 2 641Manhattan 0 313,973 0 56Queens 0 5,241,797 0 899Staten Island 6,239 3,212,109 1 560Total BERS Single Family Investments $29,178 $13,503,833 4 2,432
Single Family Total All Systems $1,246,914 $577,086,874 4 2,432
Other Investments DetailQ2 Total Q2 Total
Bronx $0 $15,795 0 1Brooklyn 0 126,135 0 8Manhattan 0 56,930 0 5Queens 0 12,716 0 3Staten Island 0 0 0 0Total BERS Other Investments $0 $211,577 0 17
Other Investments Total All Systems $0 $9,041,740 0 17
Grand Total BERS $29,178 $18,593,367
Grand Total All Systems $1,246,914 $794,588,316
1 Certain bond investment amounts are allocated pro rata across boroughs based upon unit count.2 If not indicated otherwise, superintendent units are allocated based on building size.
$ Invested1 Units2
$ Invested Units
$ Invested Loans
Bronx$1,865,422
38%19,227 Units
Brooklyn$678,746
14%8,959 Units
Manhattan$1,761,375
36%6,357 Units
Queens$442,026
9%902 Units
Staten Island$130,389
3%75 Units
RBC Access Multifamily Investments Since Inception BERS
Bronx$1,322,108
10%276 Units
Brooklyn$3,413,846
25%641 Units
Manhattan$313,973
2%56 Units
Queens$5,241,797
39%899 Units
Staten Island$3,212,109
24%560 Units
RBC Access Single Family Investments Since Inception BERS
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The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Equity InvestmentsTotal Market Value $27.18 million
Borough
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Bronx $0.00 0 0 0 $198.87 3,599 3,356 19,635 $72.21 5 2 223,853Brooklyn 125.49 666 666 100,900 65.84 372 212 10,400 48.36 126 61 94,703Manhattan 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Queens 0.00 0 0 0 24.22 159 151 0 41.91 0 0 143,806Staten Island 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Outside NYC 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Totals $125.49 666 666 100,900 $288.93 4,130 3,719 30,035 $162.48 131 63 462,362
*All information is derived from quarterly reports submitted by individual managers. Performance has not been reviewed by consultants or custodial bank.
**Dollar amount listed in millions
Hudson Related Vanbarton (Emmes)Market Value $5.52 million Market Value $12.84 million Market Value $8.82 million
Brooklyn$125.49100%
666 Units100,900 SF
HudsonBronx
$198.8769%
3599 Units19,635 SF
Brooklyn$65.8423%
372 Units10,400 SF
Queens$24.22
8%159 Units
0 SF
RelatedBronx$72.2144%
5 Units223,853 SF
Brooklyn$48.3630%
126 Units94,703 SF
Queens$41.9126%
0 Units143,806 SF
Vanbarton(Emmes)
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Private Equity Quarterly Report (Public):
NYC Board of Education Retirement System – Public Material First Quarter 2019 Report
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NYC Board of Education Retirement System First Quarter 2019 Report
Proprietary and Confidential | Page 2
Content
Section 1 – Portfolio Update
Section 2 – Portfolio Assessment
Section 3 – Funds-of-Funds Review
Appendix A – Glossary of Terms
Appendix B – Disclosure Statements
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NYC Board of Education Retirement System First Quarter 2019 Report
Section 1: Portfolio Update
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NYC Board of Education Retirement System | 3.31.2019 www.hamiltonlane.com Proprietary and Confidential | 2
Portfolio Snapshot
Hamilton Lane was engaged by the NYC Board of Education Retirement System (“BERS”) in November 2012 to provide alternative investment fund administration services in accordance with the investment objectives of the BERS Private Equity portfolio (the “Portfolio”). This report represents the review by Hamilton Lane of the BERS’s Portfolio and is based on information made available to Hamilton Lane by the general partners sponsoring each of the partnership investments in the Portfolio as of March 31, 2019, with highlights through June 30, 2019.
Private Equity Allocation: BERS has a target allocation of 9.0% +/- 4.0% to Private Equity. As of March 31, 2019, Private Equity constituted 6.6% of BERS total plan. (Plan value is $6.245 billion as of March 31, 2019.)
Performance: As of March 31, 2019, the Portfolio consisted of 71 active partnerships from 35 underlying fund managers. The Portfolio has generated a since inception internal rate of return (“IRR”) of 11.78% and a total value multiple of 1.44x.
Portfolio Exposures: The Corporate Finance/Buyout strategy represents 53% of the Portfolio’s total exposure, Special Situations/Turnaround represents 15%, Growth Equity represents 13%, Secondary represents 11%, Co-Investment accounts for 7% and Venture Capital represents 1%. Strategic exposure takes into account the strategies for each of the underlying partnerships in the funds-of-funds within the BERS Portfolio.
$ millions 12/31/2018 3/31/2019 ChangeActive Partnerships 68 71 3Active GP Relationships 35 35 -
Capital Committed(1) $785.6 $833.9 $48.3Unfunded Commitment $351.8 $377.5 $25.7Capital Contributed $465.1 $488.8 $23.7Capital Distributed $281.4 $291.5 $10.1Market Value $384.6 $414.0 $29.4Total Value Multiple 1.43x 1.44x (0.01x)Since Inception IRR 11.60% 11.78% 18 bpsAvg. Age of Active Commitments 4.9 years 4.3 years (0.6 years)
(1) The "change" in capital committed from the prior quarter reflects currency adjustments from existing foreign denominated funds, as well as three new commitments made during the quarter.
(2) Includes only commited capital in the 2012 and 2015 Emerging M anager Programs
Portfolio Snapshot
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Portfolio Overview Commitments
The table below highlights all funds that have closed year-to-date as of March 31, 2019.
During the fourth quarter, the Portfolio closed on four new investments, totaling $38.9 million, which are detailed below:
Warburg Pincus Global Growth, L.P. ($15.0 million) The fund will invest globally across the General Partner's industries of focus: industrial & business services, healthcare & consumer, natural resources, financial services and TMT, allowing for the development of top-down and bottom-up thesis generation. In addition to investing globally across a diversified group of sectors, Warburg maintains the ability to invest across venture, growth and buyout opportunities.
ASF VIII B NYC Co-Invest, L.P. ($10.5 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
ASF VIII, L.P. ($21.0 million) The fund will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
1/16/2019 Warburg Pincus Global Growth, L.P. Growth Equity $15.03/1/2019 ASF VIII B NYC Co-Invest, L.P. Co-Investment $10.53/1/2019 ASF VIII, L.P. Secondaries $21.0
Total $46.5
Closing Date Partnership
Year to Date Commitments as of March 31, 2019
Commitment Amount($ in Millions)
Strategy
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Subsequent Closings
Lindsay Goldberg V, L.P. ($10.5 million) The fund will pursue founder- and family-owned companies that require long-term capital for institutionalization and growth. The General Partner primarily targets control positions in North America and Europe while working alongside founders to implement value creation initiatives and build sustainable businesses.
LCP IX Co-invest Partners B, L.P. ($4.1 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions within the United States and Europe, focusing on quality partnership interests managed by high quality sponsors operating across its target strategies: buyout, venture capital and growth equity. Apax X, L.P. ($12.5 million) The fund will invest across four target sectors, primarily in Europe and North American, with smaller exposure to emerging markets. The flexibility of the global mandate allows the General Partner to pursue sector trends without geographic constraint.
4/26/2019 Lindsay Goldberg V, L.P. Corporate Finance/Buyout - Large $10.55/13/2019 LCP IX Co-invest Partners B, L.P. Co-Investment $4.17/16/2019 Apax X, L.P. Corporate Finance/Buyout - Mega $12.5
Total $27.1
Subsequent Commitments After March 31, 2019
Closing Date Partnership StrategyCommitment Amount
($ in Millions)
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Portfolio Performance Summary
The chart below is a graphical depiction of the IRR performance of the Portfolio with respect to 3-Month, 6-Month, 1-Year, 3-Year, 5-Year, and Since Inception time periods. The Portfolio is benchmarked against the ThomsonOne/Cambridge Pooled IRR, and ThomsonOne/Cambridge Upper Quartile IRR, as well as the Russell 3000 Total Return Public Market Equivalent (“PME+”) plus 300 bps.
Note: Private Equity benchmark is provided by ThomsonOne/Cambridge and reflects U.S. Buyout Funds Pooled IRR and Upper Quartile IRR as of March 31, 2019, for funds with
vintage years 2005, 2006, 2009, 2012, 2013, 2014, 2015, 2016, 2017, 2018, and 2019. PME+ is the Russell 3000 Total Return Index and incorporates the PME+ methodology.
This calculation includes a 3.0% premium.
As private equity is a long term asset class, the most significant time horizon is the since inception time period. Performance on a since inception basis for the first quarter of 2019 increased 15 basis points from the prior quarter, with the Portfolio generating an IRR of 11.78%.
o Relative to benchmarks, the since inception IRR is outperforming the ThomsonOne/Cambridge Pooled IRR by 179 basis points, but is underperforming the ThomsonOne/Cambridge Upper Quartile IRR by 492 basis points and the Russell 3000 PME+ plus 300 basis points premium by 176 basis points.
Performance on a one-year basis for the first quarter 2019 increased 153 basis points from the prior quarter, with the Portfolio generating an IRR of 12.89%.
o Relative to the benchmarks, the one-year IRR is outperforming the ThomsonOne/Cambridge Pooled IRR by 151 basis points and the Russell 3000 PME+ plus by 104 bps, but is underperforming the ThomsonOne/Cambridge Upper Quartile IRR by 590 basis points.
4.02%
3.67%
12.89%
15.08%
13.89%
11.78%
4.48%
3.57%
11.38%
13.91%
11.46%
9.99%
4.57%
8.83%
18.79%
18.59%
18.18%
16.70%
17.06%
1.22%
11.85%
15.97%
13.50%
13.54%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00%
3 Month
6 Month
1 Year IRR
3 Year IRR
5 Year IRR
Since Inception IRR
IRR Performancevs. Benchmarks
as of March 31, 2019
IRR Thomson One/Cambridge Pooled IRR
Thomson One/Cambridge Upper Quartile IRR Russell 3000 PME plus 300bps
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Quarterly Value Analysis
The table below details quarterly performance of the Portfolio for the year ending March 31, 2019.
Over the past twelve months, the Portfolio has experienced a net value gain of $46.1 million.
Contributions of $89.2 million outpaced distributions of $77.5 million during the twelve months ending March 31, 2019.
The Portfolio experienced a point-to-point IRR of 12.89% over the year.
Year Ended6/30/2018 9/30/2018 12/31/2018 3/31/2019 3/31/2019
Beginning Market Value $356.2 $375.2 $385.8 $384.6 $356.2
Paid-In Capital 14.3 21.8 29.4 23.7 89.2Distributions (13.8) (24.5) (29.1) (10.1) (77.5)
Net Value Change 18.5 13.3 (1.5) 15.8 46.1Ending Market Value $375.2 $385.8 $384.6 $414.0 $414.0Unfunded Commitments $313.1 $337.6 $351.8 $377.5 $377.5Total Exposure $688.3 $723.4 $736.4 $791.5 $791.5Point-to-Point IRR 5.16% 3.57% (0.38%) 4.02% 12.89%Since Inception IRR 11.97% 12.07% 11.60% 11.78% 11.78%
Portfolio Summary
Quarter Ended$ millions
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Performance by Strategy
The table below details IRR performance of the Portfolio with respect to Investment Strategy. The Portfolio is benchmarked against the ThomsonONE/Cambridge Median Quartile IRR, and the ThomsonOne/ Cambridge Upper Quartile IRR.
Corporate Finance/Buyout $385,424,336 15.36% 9.58% 19.42%Corporate Finance/Buyout - Mega 190,073,365 13.28% 17.58% 19.52%Corporate Finance/Buyout - Large 123,950,971 18.94% 9.41% 20.10%Corporate Finance/Buyout - Mid 46,500,000 13.01% 9.43% 18.08%Corporate Finance/Buyout - Small 24,900,000 8.48% 9.71% 17.90%
Co-Invest(1) 54,587,453 14.92% 10.95% 18.97%Growth Equity 97,500,000 13.23% 14.32% 25.05%Secondaries 97,375,000 14.96% 14.30% 19.50%Special Situations 180,000,000 11.11% 10.31% 19.37%Venture Capital 19,000,000 5.63% 5.29% 12.09%(1)Co-Invest reflects the ThomsonOne/Cambridge Global All Private Equity benchmark.
Performance by Investment Strategy
Investment StrategyCapital
CommittedIRR
ThomsonOne/Cambridge
Median IRR (2)
ThomsonOne/Cambridge
Upper IRR (2)
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Vintage Year Performance
The table below details IRR performance of the Portfolio with respect to Vintage Year. The Portfolio is benchmarked against the ThomsonOne/Cambridge Median Quartile IRR, the ThomsonOne/Cambridge Upper Quartile IRR, and the Russell 3000 Public Market Equivalent.
2005 $57,000,000 8.36% 8.04% 13.25% 8.61% (0.24%)2006 44,000,000 8.37% 9.27% 14.87% 11.00% (2.63%)2009 45,000,000 16.24% 23.81% 26.74% 12.86% 3.38%2012 40,000,000 18.70% 17.96% 35.16% 12.36% 6.34%2013 93,200,000 12.17% 15.55% 18.81% 11.11% 1.06%2014 94,187,124 17.34% 16.58% 21.16% 11.05% 6.29%2015 93,996,610 16.07% 11.79% 22.61% 11.46% 4.61%2016 40,500,000 23.43% 7.78% 19.01% 11.25% 12.18%2017 87,495,948 N/M N/M N/M N/M N/M2018 159,682,108 N/M N/M N/M N/M N/M2019 78,825,000 N/M N/M N/M N/M N/M
(2) ThomsonOne/Cambridge Benchmark - U.S. Buyouts as of 3/31/2019.(3) PME Return is the Russell 3000 Total Return Index and incorporates the PME+ methodology. (4) PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnership.
PME Spread (4)
Performance by Vintage Year
ThomsonOne/Cambridge
Median IRR (2)
Capital Committed
IRR
ThomsonOne/Cambridge
Upper IRR (2)PME Return (3)Vintage Year
(1) For details regarding Paid-In Capital, Distributions and Market Value by Vintage Year please see Section 3 of the report, Portfolio Assessment.
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Performance by Geographic Focus
The table below details IRR performance of the Portfolio with respect to Geographic Focus.
North America $390,266,667 $227,193,260 $103,306,152 $202,687,864 13.21% 1.35xWestern Europe 129,245,122 56,050,177 7,427,107 61,793,715 14.17% 1.23xGlobal/Rest of World 314,375,000 205,508,729 180,720,406 149,499,575 11.05% 1.61x
Total $833,886,789 $488,752,166 $291,453,665 $413,981,154 11.78% 1.44x
Region Capital Committed
(1)Prior to a partnership being 75% drawn, region focus is based on the GP-stated geographic strategy. Subsequent to a partnership being 75% drawn, fund geographic focus is based on actual portfo lio company exposure by to tal invested. Partnerships with less than 75% of to tal invested capital allocated to one geographic region are classified as Global.
(2)Fund Geographic Focus is based on a number o f factors, including the GP-stated geographic focus, the number o f investments within each region, invested capital by region, the location o f the firm’s o ffices and investment professionals, and the underlying fund currency.
Performance Summary by Region(1)(2)
Paid-In Capital Capital DistributedReported Market
ValueIRR
Total Value Multiple
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Cash Flow Drivers
The chart below highlights the cash flows of the Portfolio over the past five quarters ended June 30, 2019.
$14.3
$21.8
$29.4
$23.7$19.5
($13.8)
($24.5)($29.1)
($10.1)($12.2)
($40.0)
($30.0)
($20.0)
($10.0)
-
$10.0
$20.0
$30.0
$40.0
$50.0
Second Quarter 2018 Third Quarter 2018 Fourth Quarter 2018 First Quarter 2019 Second Quarter 2019
$ m
illio
ns
Paid-In Capital Capital Distributed
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Portfolio Exposures The pie chart below represents the strategic and geographic diversification of the Portfolio as of March 31, 2019. Strategy is measured by total exposure, which is the sum of the market value and the unfunded commitments, providing a snapshot of the Portfolio’s future diversification. Strategic exposure takes into account the strategies for each underlying partnership in the funds-of-funds within the BERS Portfolio. Geography is measured by the Portfolio’s exposed market value of the underlying portfolio holdings.
The Portfolio is focused in the Corporate Finance/Buyout strategy, with 53% of the total exposure attributable to this strategy.
With respect to geography, the Portfolio is concentrated in North America, with 66% of the Portfolio’s underlying market value attributable to this region.
o The remaining 34% of the Portfolio’s exposure is diversified between Western Europe, Asia and ‘Rest-of-World’.
o Roughly 4% of the Portfolio’s current exposed market value is based in New York, with 2% based in New York City companies and fund managers.
As of M arch 31, 2019
Sum of Current Exposed Market Value
% of Total
North America $310.0 66%
Canada $6.3 1%
U.S. (non-NY State) $285.0 61%
U.S. (NY State) $18.7 4%
New York City $8.7 2%
Non-New York City $10.0 2%
Western Europe $99.2 21%
Rest of World $36.7 8%
Asia $24.1 5%
Total $470.0 100%
Corporate Finance/Buyout
53%
Venture Capital
1%
SpecialSituation/
Turnaround15%
Secondaries11%
Growth Equity13%
Co-Invest7%
Strategic Diversificationby Total Exposure
As of March 31, 2019
North America66%
Asia Pacific5%
Western Europe22%
Rest of World7%
Underlying Investment Diversificationby Geographic Location
As of March 31, 2019
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The pie chart below represents the industry diversification of the Portfolio as of March 31, 2019. Industry diversification is measured by the Portfolio’s exposed market value of the underlying portfolio companies and fund managers.
The Portfolio has a large exposure to the FoF Holding sector (27%). FoF Holding exposure is expected to reduce as the Portfolio continues to make direct private equity fund commitments.
o The Portfolio exposure to FoF holding has decreased from 33% to 27% over the year ended March 31, 2019.
Financials7%
Consumer Staples2%
Consumer Discretionary
7%
Health Care11%Energy & Utilities
4%
Materials4%
Communication Services
3%
Industrials12%
Information Technology
22%
Real Estate1%
FoF Holding27%
Underlying Investment Diversificationby Industry
As of March 31, 2019
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Section 2: Portfolio Assessment
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Vintage Year
Investment First
Drawdown Committed
Capital Paid-In Capital Distributed Capital Market Value Multiple IRR1 PME Return2 PME Spread3
Active Investments2005 Mesirow Financial Private Equity Partnership Fund III, L.P. 7/20/2006 $57,000,000 $55,100,648 $80,686,991 $12,206,857 1.69x 8.36% 8.61% (0.25%)2006 Mesirow Financial Private Equity Partnership Fund IV, L.P. 3/31/2008 25,000,000 22,973,154 28,622,289 11,642,509 1.75x 10.40% 12.19% (1.79%)2006 New York Fairview Private Equity Fund, L.P. 7/14/2006 19,000,000 17,320,307 18,597,037 4,995,912 1.36x 5.63% 9.51% (3.88%)2009 Mesirow Financial Private Equity Partnership Fund V, L.P. 3/7/2011 45,000,000 38,947,655 36,457,954 37,988,230 1.91x 16.24% 12.91% 3.33%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 15,000,000 14,094,835 19,176,093 5,477,029 1.75x 36.14% 13.19% 22.95%2012 Warburg Pincus Private Equity XI, L.P. 7/17/2012 25,000,000 25,421,162 17,016,506 24,051,304 1.62x 14.14% 12.21% 1.93%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 20,000,000 18,062,936 5,746,531 17,160,899 1.27x 10.59% 11.56% (0.97%)2013 Carlyle Partners VI, L.P. 7/3/2013 20,000,000 20,807,096 8,482,982 18,710,948 1.31x 11.36% 10.86% 0.50%2013 Landmark Equity Partners XV, L.P. 10/30/2013 19,000,000 13,106,023 9,585,348 6,836,567 1.25x 12.01% 11.15% 0.87%2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 6,000,000 4,884,692 3,204,054 3,619,204 1.40x 15.04% 9.54% 5.50%2014 CVC Capital Partners VI, L.P. 2/18/2014 20,537,124 17,182,164 4,563,459 17,826,523 1.30x 13.05% 11.21% 1.84%2013 Crestview Partners III, L.P. 3/3/2015 15,000,000 9,813,137 1,788,885 11,380,903 1.34x 16.01% 11.03% 4.98%2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 5,000,000 4,582,635 250,760 5,404,120 1.23x 10.53% 12.84% (2.31%)2014 ASF VI, L.P. 5/9/2014 15,000,000 10,631,331 5,920,776 9,316,267 1.43x 13.53% 11.10% 2.44%2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 5,000,000 3,862,814 3,009,524 2,341,757 1.39x 12.60% 8.74% 3.86%2014 Carlyle Partners VI, L.P. - Side Car 9/23/2014 2,200,000 1,600,199 92,959 1,544,766 1.02x 0.76% 11.08% (10.32%)2014 Lexington Capital Partners VIII, L.P. 1/8/2015 20,000,000 16,944,693 6,312,838 15,473,693 1.29x 20.41% 12.03% 8.38%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 25,000,000 28,903,778 22,614,664 28,808,340 1.78x 22.56% 11.18% 11.39%2015 Centerbridge Capital Partners III, L.P. 5/21/2015 2,500,000 1,405,477 467,111 1,403,878 1.33x 13.75% 11.10% 2.65%2015 Siris Partners III, L.P. 5/4/2015 3,500,000 2,939,689 1,599,722 1,880,040 1.18x 9.96% 11.15% (1.19%)2012 NYCBERS - 2012 Emerging Manager Program* 10/31/2014 14,650,000 13,995,672 2,125,178 15,911,360 1.29x 9.39% 6.42% 2.97%2015 American Securities Partners VII, L.P. 7/8/2016 8,000,000 6,393,888 1,013,767 4,849,689 0.92x (6.43%) 12.66% (19.10%)2015 ASF VII, L.P. 12/29/2015 10,000,000 3,441,285 551,155 3,854,210 1.28x 16.79% 10.77% 6.01%2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 6,000,000 3,049,764 319,787 4,469,355 1.57x 41.12% 7.51% 33.61%2015 NYCBERS - 2015 Emerging Manager Program** 2/22/2016 37,250,000 10,490,467 373,785 11,659,073 1.15x 15.97% 18.13% (2.16%)2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 21,500,000 15,650,340 1,019,437 17,552,085 1.19x 11.58% 11.11% 0.48%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 10,000,000 7,060,944 1,392,304 9,827,307 1.59x 26.35% 12.26% 14.09%2015 Bridgepoint Europe V, L.P. 2/8/2016 8,573,266 7,780,008 1,061,965 8,749,898 1.26x 15.37% 11.59% 3.79%2015 Bridgepoint Europe V Co-Invest 8/16/2016 2,910,487 2,702,670 270,187 4,107,249 1.62x 34.88% 8.49% 26.39%2015 EQT VII, L.P. 1/8/2016 17,012,857 14,066,812 1,344,195 16,381,736 1.26x 14.04% 11.72% 2.32%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 16,000,000 17,280,452 4,164,227 18,541,530 1.31x 19.45% 12.40% 7.06%2016 Apax IX USD, L.P. 5/12/2017 13,000,000 5,886,158 123,294 8,014,247 1.38x N/M N/M N/M2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 10,000,000 5,619,553 172,155 5,676,484 1.04x N/M N/M N/M2017 Green Equity Investors VII, L.P. 5/12/2017 10,000,000 5,088,365 39,598 5,624,389 1.11x N/M N/M N/M2017 BC European Capital X, L.P. 12/14/2017 11,391,649 5,676,912 - 5,599,685 0.99x N/M N/M N/M2017 BC European Capital X Metro Co-Investment L.P. 3/24/2017 4,604,299 3,011,417 - 3,100,121 1.03x N/M N/M N/M2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 11,500,000 7,800,671 2,312,758 8,388,823 1.37x N/M N/M N/M2018 CVC Capital Partners VII, L.P. 6/30/2018 19,117,446 3,048,070 28,740 3,729,743 1.23x N/M N/M N/M2018 Apollo Investment Fund IX, L.P. 3/15/2019 32,000,000 2,923,000 331 2,514,519 0.86x N/M N/M N/M2017 KKR Americas Fund XII, L.P. 2/27/2018 16,000,000 6,286,470 105,478 6,550,955 1.06x N/M N/M N/M2017 Warburg Pincus Financial Sector, L.P. 1/5/2018 13,000,000 3,419,000 679,855 2,384,020 0.90x N/M N/M N/M2018 EQT VIII SCSP 8/10/2018 12,918,795 1,869,612 158,561 1,674,704 0.98x N/M N/M N/M2018 Siris Partners IV, L.P. 3/15/2019 10,000,000 1,515,726 - 1,409,820 0.93x N/M N/M N/M2018 Bridgepoint Europe VI, L.P. N/A 14,023,200 - - (172,414) N/A N/A N/A N/A2018 Bridgepoint Europe VI Co-Invest 5/7/2019 3,505,800 - - - N/A N/M N/M N/M2018 EQT VIII SCSP (Co-Invest) 11/2/2018 4,700,200 712,512 - 796,468 1.12x N/M N/M N/M2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 10,000,000 760,743 - 598,099 0.79x N/M N/M N/M2018 Platinum Equity Capital Partners IV, L.P. (Co-Invest) 9/7/2018 1,500,000 1,050,000 - 979,938 0.93x N/M N/M N/M2018 Crestview Partners IV (FF), L.P. N/A 2,666,667 - - - N/A N/A N/A N/A2018 Crestview Partners IV, L.P. N/A 8,000,000 - - - N/A N/A N/A N/A2019 WCAS XIII, L.P. 3/14/2019 10,000,000 73,353 - 19,777 0.27x N/M N/M N/M2017 Palladium Equity Partners V, L.P. 2/11/2019 10,000,000 1,645,967 - 1,255,511 0.76x N/M N/M N/M2019 KKR European Fund V, L.P. - USD N/A 9,950,000 - - - N/A N/A N/A N/A2019 Lexington Capital Partners IX, L.P. N/A 12,375,000 - - - N/A N/A N/A N/A2019 ASF VIII, L.P. 3/15/2019 21,000,000 2,100 - 73,061 34.79x N/M N/M N/M2019 ASF VIII B NYC Co-Invest, L.P. 3/15/2019 10,500,000 1,050 - 263 0.25x N/M N/M N/M2019 Warburg Pincus Global Growth, L.P. 3/26/2019 15,000,000 177,575 - 131,717 0.74x N/M N/M N/M2018 Vista Equity Partners Fund VII, L.P. 2/13/2019 20,500,000 1,687,187 425 1,657,984 0.98x N/M N/M N/M
Total Portfolio $833,886,789 $488,752,166 $291,453,665 $413,981,154 1.44x 11.78% 10.54% 1.24%
Vintage Year
Investment First
Drawdown Committed
Capital Paid-In Capital Distributed Capital Market Value Multiple IRR1 PME Return2 PME Spread3
Commitments Closed Subsequent to March 31, 20192019 Apax X, L.P. N/A $12,500,000 - - - N/A N/A N/A N/A2019 LCP IX Co-invest Partners B, L.P. N/A 4,125,000 - - - N/A N/A N/A N/A2019 Lindsay Goldberg V, L.P. N/A 10,500,000 - - - N/A N/A N/A N/ATotal Commitments Closed Subsequent to as of Date $27,125,000 $0 $0 $0 N/A N/A N/A N/A
NYC Board of Education Retirement SystemPrivate Equity Portfolio
2 The total PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred, and incorporates the and incorporates the Long Nickel methodologies for those partnerships that have not yet had any distributions to date. The fund PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred.
*Please note that the NYCBERS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $14.7 million has been committed as of March 31,2019.
As of March 31, 2019 (in USD)
**Please note that the NYCBERS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $40.4 million has been committed as of March 31, 2019.
3PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnershipNote: Where available, March 31, 2019 reported valuations were used. In the absence of March 31, 2019 reported values, market values have been adjusted forward using interim cashflows through March 31, 2019. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The aggregate portfolio performance figures for IRR and multiple are as of March 31, 2019.
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NYC Board of Education Retirement SystemCommitments By Vintage Year
As of March 31, 2019
Funded Commitments exclude additional fees.Unfunded Commitments include recallable returns of capital.
$0.0
$20.0
$40.0
$60.0
$80.0
$100.0
$120.0
$140.0
$160.0
2005 2006 2009 2012 2013 2014 2015 2016 2017 2018 2019Funded Commitments $54.7 $39.7 $38.5 $38.2 $78.6 $85.2 $66.5 $31.0 $36.8 $15.4 $0.3
Unfunded Commitments $2.3 $3.5 $6.1 $3.8 $20.9 $22.0 $29.7 $14.8 $51.5 $144.4 $78.6
$ in Millions
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Section 3: Funds-of-Funds Review
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Mesirow Financial Private Equity Partnership Fund III, L.P.
Fund Overview
The Partnership, a 2005 vintage year Partnership, was formed on April 6, 2005 with the intent of investing capital in various private equity limited partnerships. As of March 31, 2019, the Partnership has invested in 40 underlying funds.
Partnership Summary
NYC Board of Education Retirement System committed $57.0 million to the Mesirow Financial Private Equity Partnership Fund III, L.P. and as of March 31, 2019, has generated a 8.36% IRR and a Total Value Multiple of 1.69x from its investment. The Partnership is well diversified strategically.
*Strategic exposure to ‘Other’ consists of underlying partnerships for which investment strategies are not disclosed in the quarter end financial statements.
Performance Drivers
When compared to global private equity funds of the same vintage, Mesirow Financial Private Equity Partnership Fund III, L.P. is underperforming the upper quartile benchmark1 by 489 bps and is outperforming the median quartile benchmark1 by 32 bps on a since inception basis, as of March 31, 2019.
Outperformance of the median quartile benchmark1 is being driven by ten underlying funds, all of which are being held above a 2.0x total value multiple as of March 31, 2019. The ten funds represent roughly 26.3% of underlying commitments and 47.4% of underlying market value.
Underperformance when compared to the upper quartile benchmark1 is being driven by four underlying funds, both of which are being held below a 1.0x total value multiple as of March 31, 2019 The four funds represent roughly 6.5% of underlying commitments and 3.6% of underlying market value.
1ThomsonOne/Cambridge – Global All Private Equity IRR as of March 31, 2019.
6-Month IRR 1-Year IRR 3-Year IRR 5-Year IRRSince Inception
IRR(1.94%) (0.72%) 2.96% 7.21% 8.36%
Time Horizon PerformanceCorporate
Finance/Buyout44%
Venture Capital
34%
Distressed/Turnaround
12%
Other9%
Co-Invest1%
Strategic Diversificationby Exposed Market Value
As of March 31, 201912/31/2018 3/31/2019 Change
$57.0 $57.0 -
$2.3 $2.3 -
Capital Contributed $55.1 $55.1 -
$79.8 $80.7 $0.9
$12.4 $12.2 ($0.2)
1.67x 1.69x 0.01x
8.31% 8.36% 5 bps
Performance Summary
Capital Commitment
$ in millions
Capital Distributed
Unfunded Commitment
Market Value
Total Value Multiple
Since Inception IRR
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Mesirow Financial Private Equity Partnership Fund IV, L.P.
Fund Overview
The Partnership, a 2006 vintage year Partnership, was formed on November 21, 2006 with the intent of investing capital in various private equity limited partnerships. As of March 31, 2019, the Partnership has invested in 46 underlying funds.
Partnership Summary
NYC Board of Education Retirement System committed $25.0 million to the Mesirow Financial Private Equity Partnership Fund IV, L.P. and as of March 31, 2019, has generated a 10.40% IRR and a Total Value Multiple of 1.75x from its investment. The Partnership is well diversified strategically.
*Strategic exposure to ‘Other’ consists of underlying partnerships for which investment strategies are not disclosed in the quarter end financial statements.
Performance Drivers
When compared to global private equity funds of the same vintage, Mesirow Financial Private Equity Partnership Fund IV, L.P. is underperforming the upper quartile benchmark1 by 447 bps and outperforming the median quartile benchmark1 by 113 bps on a since inception basis, as of March 31, 2019.
Outperformance of the median quartile benchmark1 is being driven by fifteen underlying funds, all of which are being held above a 2.0x total value multiple as of March 31, 2019. These fifteen funds represent roughly 25.8% of underlying commitments and 37.8% of underlying market value.
Underperformance when compared to the upper quartile benchmark is being driven by two underlying funds, both of which are being held below a 1.0x total value multiple as of March 31, 2019. The two funds represent roughly 5.6% of underlying commitments and 1.6% of underlying market value.
1ThomsonOne/Cambridge – Global All Private Equity IRR as of March 31, 2019
6-Month IRR 1-Year IRR 3-Year IRR 5-Year IRRSince Inception
IRR4.51% 11.75% 12.63% 11.70% 10.40%
Time Horizon Performance Corporate Finance/Buyout
37%
Venture Capital
36%
Distressed/Turnaround
15%Other12%
Strategic Diversificationby Exposed Market Value
As of March 31, 201912/31/2018 3/31/2019 Change
$25.0 $25.0 -
$1.4 $1.4 -
Capital Contributed $23.0 $23.0 -
$27.5 $28.6 $1.1
$12.1 $11.6 ($0.5)
1.72x 1.75x 0.03x
10.27% 10.40% 13 bps
Total Value Multiple
Since Inception IRR
Performance Summary
$ in millions
Capital Commitment
Unfunded Commitment
Capital Distributed
Market Value
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Mesirow Financial Private Equity Partnership Fund V, L.P.
Fund Overview
The Partnership, a 2009 vintage year Partnership, was formed on November 5, 2008 with the intent of investing capital in various private equity limited partnerships. As of March 31, 2019, the Partnership has invested in 51 underlying funds.
Partnership Summary
NYC Board of Education Retirement System committed $45.0 million to the Mesirow Financial Private Equity Partnership Fund V, L.P. and as of March 31, 2019, has generated a 16.24% IRR and a Total Value Multiple of 1.91x from its investment. The Partnership is well diversified strategically.
*Strategic exposure to ‘Other’ consists of underlying partnerships for which investment strategies are not disclosed in the quarter end financial statements.
Performance Drivers
When compared to global private equity funds of the same vintage, Mesirow Financial Private Equity Partnership Fund V, L.P. is underperforming the upper quartile benchmark1 by 1,050 bps and is underperforming the median quartile benchmark1 by 757 bps on a since inception basis, as of March 31, 2019.
Outperformance of the median quartile benchmark1 is being driven by fifteen underlying funds, all of which are being held above a 2.0x total value multiple as of March 31, 2019. The fifteen funds represent roughly 32.3% of underlying commitments and 41.0% of underlying market value.
1ThomsonOne/Cambridge – Global All Private Equity IRR as of March 31, 2019
6-Month IRR 1-Year IRR 3-Year IRR 5-Year IRRSince Inception
IRR7.21% 16.00% 17.68% 16.10% 16.24%
Time Horizon Performance
12/31/2018 3/31/2019 Change
$45.0 $45.0 -
$6.1 $6.1 -
Capital Contributed $38.9 $38.9 -
$34.9 $36.5 $1.6
$37.9 $38.0 $0.1
1.87x 1.91x 0.04x
16.17% 16.24% 7 bps
Total Value Multiple
Since Inception IRR
Performance Summary
$ in millions
Capital Commitment
Unfunded Commitment
Capital Distributed
Market Value
Corporate Finance/Buyout
50%
Venture Capital
37%
Distressed/Turnaround
7%Other
6%
Strategic Diversificationby Exposed Market Value
As of March 31, 2019
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New York Fairview Private Equity Fund, L.P.
Fund Overview
The Partnership, a 2006 vintage year Partnership, was formed on May 22, 2006 with the intent of investing in emerging private equity funds with aggregate capital commitments of no more than $300 million. As of March 31, 2019, the Partnership has invested in 6 underlying funds.
Partnership Summary
NYC Board of Education Retirement System committed $19.0 million to the New York Fairview Private Equity Fund, L.P. and as of March 31, 2019 has generated a 5.62% IRR and a Total Value Multiple of 1.36x from its investment. The Partnership is heavily weighted towards Corporate Finance/Buyout, with roughly 97% of the underlying funds exposed market value attributable to this sector.
Performance Drivers
When compared to global private equity funds of the same vintage, New York Fairview Private Equity Fund, L.P. is underperforming the upper and median quartile benchmark1 by 762 bps and 241bps respectively, on a since inception basis, as of March 31, 2019.
Underlying fund performance has been unfavorable, with all six funds being held below 1.0x total value multiple as of March 31, 2019.
1ThomsonOne/Cambridge – Global All Private Equity IRR as of March 31, 2019
12/31/2018 3/31/2019 Change
$19.0 $19.0 -
$2.1 $2.1 -
Capital Contributed $17.3 $17.3 -
$18.0 $18.6 $0.6
$5.5 $5.0 ($0.5)
1.36x 1.36x -
5.62% 5.63% 1 bps
Total Value Multiple
Since Inception IRR
Performance Summary
$ in millions
Capital Commitment
Unfunded Commitment
Capital Distributed
Market Value
6-Month IRR 1-Year IRR 3-Year IRR 5-Year IRRSince Inception
IRR(0.28%) (1.41%) (0.60%) 4.18% 5.63%
Time Horizon Performance
Corporate Finance/Buyout
96%
Growth Equity4%
Strategic Diversificationby Exposed Market Value
As of March 31, 2019
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Appendix A: Glossary of Terms
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Page A - 1
Additional Fees: The amount of capital an investor pays into a fund/investment that does not count against the investors’ commitment. Additional fees typically consist of management fees or late-closing interest expense.
Capital Committed: An investor’s financial obligation to provide a set amount of capital to the investment.
Capital Contributed: Capital contributed from an investor’s capital commitment to fund partnership investments, organizational expenses and management fees.
Capital Distributed: Cash or stock disbursed to the investors of an investment.
Co/Direct Investment: A direct investment is a purchased interest of an operating company. A co-investment is a direct investment made alongside a partnership.
Corporate Finance/Buyout: Funds seeking to make controlling and non-controlling investments in established companies which have the potential to achieve greater value through improved performance.
Cost Basis: Capital contributions less return of principal.
Fund-of-Funds: An investment vehicle which invests in other private equity partnerships.
Fund/Investment Size: The total amount of capital committed by investors to a fund.
Investment Category: Used to identify investments in one of the following categories: co/direct
investments, fund-of-funds, primary funds, secondary fund-of-funds or secondary purchases.
Investment Strategy: A sub-classification of a partnership’s investment type, such as Co/Direct Investment, Corporate Finance/Buyout, Mezzanine, Real Estate, Special Situation, Venture Capital.
Life Cycle Period: The current stage of a partnership depending on the percentage contributed to date. Life cycle periods are investment and realization.
Mezzanine: An investment strategy involving the purchase of subordinated debt. These securities exist between the senior debt and equity of a holding’s capital structure. Subordinated debt carries a lower level of risk than pure equity structures because they generate current income and have a more senior position in the company's capital structure.
Net Internal Rate Of Return (“IRR”): The discount rate that equates the net present value of the partnership’s cash outflows with its inflows and residual value at the time of calculation. The calculation is net of management fees and the general partner’s carried interest.
Originator: The institution responsible for recommending a client commit to an investment.
Ownership Percentage: The investor’s percent of ownership as measured by capital committed divided by fund/investment size.
Paid-In Capital: The amount of capital an investor has contributed to a partnership, which includes capital contributions and additional fees.
Pooled Average IRR: An IRR calculation which aggregates cash flows (paid-in capital and capital distributed) and the reported market values of each investment within a portfolio to create one portfolio investment and return.
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Portfolio Holding Exposure: The limited partner's pro rata allocation to an underlying investment based on the ownership percentage of the partnership.
Primary Fund: Defines when the investor acquired an interest in the partnership. Primary fund is the investment category when an investor participates in a closing at the inception of the partnership.
Private Equity Partnership: A professionally managed pool of capital that generally invests in unlisted companies or securities. Common investment strategies include corporate finance/buyout, mezzanine, special situations and venture capital.
Realized Multiple: Ratio of cumulative distributions to paid-in capital.
Return On Investment ("ROI"): A calculation based on the total value (market value plus distributions) divided by paid-in capital for an investment.
Reported Market Value: The investment’s capital account balance at quarter end, which includes the general partner’s reported value of the underlying holdings and other assets and liabilities.
Secondary Fund-of-Funds: A private equity vehicle formed to purchase active partnership interests from an investor.
Secondary Purchase: A purchase of an existing partnership interest or pool of partnership interests from an investor.
Special Situation: Partnerships that invest using a unique strategy. Examples include distressed and turnaround, industry focused and multi-stage partnerships.
Total Exposure: Calculated by the summation of market value and unfunded commitments.
Venture Capital: An investment strategy that provides start-up or growth capital to companies in the early stages of development. Venture investments generally involve a greater degree of risk, but have the potential for higher returns.
Vintage Year: The year in which a partnership makes its first capital call for an investment into a portfolio company/holding.
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Appendix B: Disclosure Statement
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Non-public information contained in this report is confidential and intended solely for dissemination to NYC Board of Education Retirement System and/or its Affiliates. Hamilton Lane has prepared this report to enable NYC Board of Education Retirement System and/or its Affiliates to assess the performance and status of its alternative investment portfolio. The calculations contained in this document are made by Hamilton Lane based on information provided by the general partner (e.g. cash flows and valuations), and have not been prepared, reviewed or approved by the general partners. Hamilton Lane hereby disclaims any liability resulting from any unauthorized dissemination of the attached information.
The information contained in this report may include forward-looking statements regarding the funds presented or their portfolio companies. Forward-looking statements include a number of risks, uncertainties and other factors beyond the control of the funds or the portfolio companies, which may result in material differences in actual results, performance or other expectations. The information presented is not a complete analysis of every material fact concerning each fund or each company. The opinions, estimates and analyses reflect our current judgment, which may change in the future.
All opinions, estimates and forecasts of future performance or other events contained herein are based on information available to Hamilton Lane as of the date of this presentation and are subject to change. Past performance of the investments described herein is not indicative of future results. Certain of the information included in this presentation has not been reviewed or audited by independent public accountants. Certain information included herein has been obtained from sources that Hamilton Lane believes to be reliable but the accuracy of such information cannot be guaranteed.
The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the funds will achieve comparable results or that they will be able to implement their investment strategy or achieve their investment objectives. The actual realized value of currently unrealized investments will depend on a variety of factors, including future operating results, the value of the assets and market conditions at the time of disposition, any related transaction costs and the timing and manner of sale, all of which may differ from the assumptions and circumstances on which the current unrealized valuations are based.
Any tables, graphs or charts relating to past performance included in this report are intended only to illustrate the performance of the funds or the portfolio companies referred to for the historical periods shown. Such tables, graphs and charts are not intended to predict future performance and should not be used as the basis for an investment decision.
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Philadelphia One Presidential Blvd. 4th Floor Bala Cynwyd, PA 19004 USA +1 610 934 2222
London 8-10 Great George Street London SW1P 3AE United Kingdom +44 (0) 207 340 0100
Tel Aviv 6 Hahoshlim Street Hertzelia Pituach, 4672201 Building C 7th Floor P.O. Box 12279 Israel +00 972-73-2716610
San Francisco 201 California Street, Suite 550 San Francisco, CA 94111 USA +1 415 365 1056
New York 610 Fifth Avenue, Suite 401 New York, NY 10020 USA +1 212 752 7667
San Diego 7817 Ivanhoe Avenue Suite 310 La Jolla, CA 92037 USA +1 858 410 9967
Tokyo 17F, Imperial Hotel Tower 1-1-1, Uchisaiwai-cho, Chiyoda-ku Tokyo 100-0011 Japan +81 (0) 3 3580 4000
Miami 999 Brickell Avenue Suite 720 Miami, Florida 33131 USA +1 954 745 2780
Hong Kong Room 1001-3, 10th Floor St. George’s Building 2 Ice House Street Central Hong Kong, China +852 3987 7191
Rio de Janeiro Av. Niemeyer 2, Sala 102 Leblon Rio de Janeiro Brasil 22450-220 +55 21 3520 8903
Las Vegas 3753 Howard Hughes Parkway Suite 200 Las Vegas, NV 89169 USA +1 702 784 7690
Seoul 12F, Gangnam Finance Center 152 Teheran-ro, Gangnam-gu Seoul 06236 Republic of Korea +82 2 6191 3200
Sydney Level 36, Governor Phillip Tower, 1 Farrer Place, Sydney, NSW 2000 Australia +61 2 8823 3741
Munich Leopoldstrasse 8-10 80802 Munich Germany +49 89 954537901
Portland 15350 SW Sequoia Pkwy Suite 260 Portland, OR 97224 USA +1 503 624 9910
Toronto 150 King St. West Suite 200 Toronto, Ontario Canada M5HJ89 +1 647 715 9457
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Real Estate Quarterly Report (Public):
Executive Material
Quarterly Real Estate Report
For the period ended March 31, 2019
City of New York Board of Education Retirement System
Page 325 of 591
NYCBERS Quarterly Report Confidential | 2
Significant Valuation Changes During the quarter ended March 31, 2019, net of cash flow activity, 29 investments appreciated and 4 depreciated in value from the prior quarter. Below are the top 15 valuation changes (in terms of the absolute value of impact) that occurred in the portfolio during the quarter.
Change in Value # Fund $ % Comments
1 Lion Industrial Trust $1.0 +7% The appreciation in the Fund was driven by unrealized appreciation due to development projects being completed.
2 LaSalle Property Fund 0.7 +2% The Fund’s increase in valuation was driven by income generated supplemented by an increase in unrealized appreciation.
3 MetLife Core Property Fund
0.4 +2% Appreciation gains provided by the industrial, apartment, and office portfolios helped drive an increase in the Fund’s valuation.
4 H2 Special Opportunities III
0.4 +4% The Fund’s valuation increased primarily as a result of unrealized appreciation of underlying assets.
5 NYCRS-KKR CMBS Retention Partners
0.4 +4% Income generated throughout the portfolio drove the increase in Fund valuation.
6
Blackstone Real Estate Partners Europe IV L.P. - USD
0.3 +2% The increase in Fund valuation was a result of appreciation driven in part by the Spanish Multifamily Portfolio and Obligo and Hembla assets.
7 Carlyle Realty Partners VII, L.P.
0.3 +2% The Fund’s net asset value increased during the quarter primarily due to income generated throughout. Augmenting this increase was unrealized appreciation.
8 USAA Eagle Real Estate Fund
0.3 +2% The increase in Quarter over Quarter valuation was a result of appreciation in the underlying development properties.
9 Brookfield Premier Real Estate Partners
0.3 +2% The Fund experienced increased unrealized appreciation driven by the logistics portfolio, followed by the multifamily and office portfolios.
10
Blackstone Real Estate Partners VIII L.P.
0.2 +2% The increase in Fund valuation was a result of appreciation driven in part by the BioMed Realty Trust, Gramercy Property Trust, and Hembla assets.
11 UBS Trumbull Property Fund
0.2 +0% The Fund increased in valuation as a result of income. Income generation was primarily driven by the apartment sector followed by office, retail, and industrial.
12 Pramerica Real Estate Capital VI
0.2 +5% The increase in Fund valuation was driven by income from underlying assets and partially offset by incentive fees.
13 H2 Special Opportunities IV
0.2 +14% The Fund’s valuation increased during the quarter almost entirely as a result of unrealized appreciation.
14
Heitman Core Real Estate Debt Income Trust
0.2 +4% The Fund generated income throughout the quarter that resulted in an increased valuation.
15 Exeter Industrial Value Fund IV, L.P.
0.1 +3% The Fund’s increase in valuation was driven by unrealized appreciation supplemented by an increase in income generated.
Total Gain/Loss 6.0 2%
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NYCBERS Quarterly Report Confidential | 3
Top 10 – Portfolio Holdings The following table shows the Top 10 largest funds in the portfolio in terms of the current market value. These funds comprised approximately 48.2% of the portfolio's market value as of quarter end.
(in USD millions; Active investments only)
% of
# Fund Commitment Contributions Distributions NAV Exposure Portfolio IRR TVM DPI
1 LaSalle Property Fund 38.6 27.6 9.7 39.3 50.3 9% 10.4% 1.78x 0.35x
2 UBS Trumbull Property Fund 41.4 63.4 55.6 47.1 47.1 9% 8.6% 1.62x 0.88x
3 Carlyle Realty Partners VII, L.P. 25.0 20.9 12.9 15.7 29.1 5% 14.8% 1.37x 0.61x
4 Blackstone Real Estate Partners Europe IV L.P. - USD 32.5 32.1 31.2 17.2 23.1 4% 15.7% 1.51x 0.97x
5 Lion Industrial Trust 18.0 19.0 1.0 22.2 22.2 4% 15.9% 1.22x 0.05x
6 USAA Eagle Real Estate Fund 18.0 14.8 1.0 16.4 20.6 4% 8.6% 1.18x 0.07x
7 Blackstone Real Estate Partners VIII L.P. 16.5 14.3 4.8 13.6 19.6 4% 15.8% 1.28x 0.33x
8 MetLife Core Property Fund 15.0 15.0 2.9 18.9 18.9 3% 9.7% 1.45x 0.19x
9 NYC Asset Investor #2 11.0 10.7 3.2 14.3 15.0 3% 14.3% 1.63x 0.30x
10 Blackstone Real Estate Partners IX 15.0 0.0 0.0 0.0 15.0 3% 0.0% - -
Total - Top 10 Funds 231.0 217.8 122.1 204.6 260.9 48% 10.6% 1.50x 0.56x
9.3%
8.7%
5.4%
4.3%
4.1%
3.8%
3.6%
3.5%2.8%
2.8%
51.8%
LaSalle Property Fund (9.3%)
UBS Trumbull Property Fund (8.7%)
Carlyle Realty Partners VII, L.P. (5.4%)
Blackstone Real Estate Partners Europe IV L.P. - USD (4.3%)
Lion Industrial Trust (4.1%)
USAA Eagle Real Estate Fund (3.8%)
Blackstone Real Estate Partners VIII L.P. (3.6%)
MetLife Core Property Fund (3.5%)
NYC Asset Investor #2 (2.8%)
Blackstone Real Estate Partners IX (2.8%)
Other (51.8%)
Page 327 of 591
NYCBERS Quarterly Report Confidential | 4
Performance by Strategy
The following chart illustrates the portfolio's diversification, first by risk (Core vs Non‐Core) and then by underlying strategy within each category.
(in USD millions; Includes liquidated investments)
No. of PME
Strategy Active Inv Commitment Contributions Distributions NAV Unfunded Exposure TVM IRR PME Spread Leverage
Core 14 217 195 82 202 50 252 1.5x 9.8% 6.8% 3.0% 28%
Non-Core 22 304 207 134 143 135 279 1.3x 15.4% 7.7% 7.7% 61%
Total 36 520 403 216 346 185 531 1.4x 11.5% 7.5% 4.0% 48%
Emerging 1 11 11 4 9 2 11 1.2x 19.0% N/A N/A N/A
Debt 6 72 46 16 36 28 64 1.1x 10.1% N/A N/A N/A
$-
$100
$200
$300
$400
$500
$600
$700
Core Non-Core Total
Remaining Debt Emerging IRR
Page 328 of 591
NYCBERS Quarterly Report Confidential | 5
Performance by Vintage Year The following table and graph illustrate the Portfolio's since inception investment performance and exposure by vintage year as of the end of March 31, 2019.
(in USD millions; Includes all investments)
Core Non-Core Total Portfolio
Vintage Year Exposure TVM IRR Quartile Exposure TVM IRR Quartile Exposure TVM IRR Quartile
2010 50.3 1.78x 10.4% N/A - 0.00x 0.0% 4th 50.3 1.78x 10.4% 3rd
2011 47.1 1.62x 8.6% N/A 9.2 1.41x 20.8% 1st 56.3 1.54x 10.3% 3rd
2012 - - - N/A 8.9 1.95x 21.4% 1st 8.9 1.95x 21.4% 1st
2013 15.0 1.63x 14.3% N/A 43.2 1.42x 12.6% 3rd 58.3 1.46x 13.0% 2nd
2014 18.9 1.45x 9.7% N/A 37.4 1.34x 13.6% 2nd 56.3 1.37x 11.8% 2nd
2015 20.6 1.18x 8.6% N/A 32.0 1.23x 13.9% 2nd 52.6 1.21x 11.5% 2nd
2016 40.6 1.22x 12.8% N/A 65.5 1.17x 13.9% 2nd 106.1 1.20x 13.2% 2nd
2017 22.2 1.22x 15.9% N/A 35.2 1.08x 7.9% 2nd 57.4 1.15x 12.6% 2nd
2018 37.6 1.01x 5.2% N/A 32.1 1.07x 15.5% 1st 69.7 1.03x 9.3% 1st
2019 0.0 N/A 0.0% N/A 15.0 N/A 0.0% 2nd 15.0 N/A 0.0% 2nd
Total 252.3 1.45x 9.8% N/A 278.6 1.34x 15.4% 1st 530.9 1.40x 11.5% 2nd
$9
$58 $56 $53
$106
$57
$70
$15
$0
$20
$40
$60
$80
$100
$120
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Core Exposure Non-Core Exposure
Page 329 of 591
NYCBERS Quarterly Report Confidential | 6
Investments by Vintage Year
(in USD millions)
Vintage First Quartile
Fund Year Cash Flow Commitment Contributions Distributions NAV Unfunded Exposure TVM DPI IRR Ranking
Active Investments
LaSalle Property Fund 2010 12/13/2010 38.6 27.6 9.7 39.3 11.0 50.3 1.78x 0.35x 10.4% N/A
Franklin Templeton Private Real Estate Fund 2011 3/31/2011 30.0 35.8 44.5 5.9 3.3 9.2 1.41x 1.24x 20.8% First
UBS Trumbull Property Fund 2011 4/1/2011 41.4 63.4 55.6 47.1 0.0 47.1 1.62x 0.88x 8.6% N/A
Brookfield Strategic Real Estate Partners 2012 9/20/2012 10.0 11.7 15.4 7.6 1.3 8.9 1.95x 1.31x 21.4% First
Blackstone Real Estate Partners Europe IV L.P. - USD 2013 12/23/2013 32.5 32.1 31.2 17.2 6.0 23.1 1.51x 0.97x 15.7% Second
NYC Asset Investor #1 2013 6/25/2013 10.0 11.2 4.7 9.5 2.1 11.6 1.26x 0.42x 6.7% Fourth
NYC Asset Investor #2 2013 7/9/2013 11.0 10.7 3.2 14.3 0.7 15.0 1.63x 0.30x 14.3% N/A
NYC Asset Investor #3 2013 9/20/2013 8.0 5.0 0.9 5.5 3.0 8.5 1.27x 0.17x 8.6% Fourth
Carlyle Realty Partners VII, L.P. 2014 7/1/2014 25.0 20.9 12.9 15.7 13.4 29.1 1.37x 0.61x 14.8% First
H2 Special Opportunities III 2014 12/29/2014 15.0 15.0 11.2 8.2 0.0 8.2 1.30x 0.75x 11.9% Second
MetLife Core Property Fund 2014 7/1/2014 15.0 15.0 2.9 18.9 0.0 18.9 1.45x 0.19x 9.7% N/A
Blackstone Real Estate Partners VIII L.P. 2015 8/18/2015 16.5 14.3 4.8 13.6 6.0 19.6 1.28x 0.33x 15.8% First
Tristan European Property Investors Special Opp IV 2015 12/18/2015 11.3 7.9 0.5 8.6 3.8 12.4 1.15x 0.06x 9.5% Third
USAA Eagle Real Estate Fund 2015 12/1/2015 18.0 14.8 1.0 16.4 4.2 20.6 1.18x 0.07x 8.6% N/A
Artemis Co-Investment 2016 2/24/2016 11.0 10.7 3.9 9.0 2.5 11.5 1.21x 0.37x 19.0% N/A
Brookfield Premier Real Estate Partners 2016 11/22/2016 10.0 10.8 0.8 12.7 0.0 12.7 1.25x 0.08x 11.6% N/A
DivcoWest Fund V 2016 12/21/2016 10.0 4.8 0.0 5.1 5.2 10.3 1.06x 0.00x 4.4% Third
Exeter Core Industrial Club Fund II 2016 5/20/2016 10.0 7.0 0.8 7.7 3.0 10.6 1.21x 0.12x 13.3% N/A
Exeter Industrial Value Fund IV, L.P. 2016 6/30/2017 10.0 5.5 0.0 6.1 4.5 10.6 1.11x 0.00x 11.9% Second
H2 Special Opportunities IV 2016 11/15/2016 10.0 1.9 0.1 2.0 8.1 10.1 1.06x 0.04x 4.6% Third
Jamestown Premier Property Fund 2016 2/4/2016 6.2 5.9 2.6 4.5 1.2 5.8 1.20x 0.44x 9.0% N/A
Pramerica Real Estate Capital VI 2016 4/20/2017 10.6 5.2 2.3 3.9 7.1 10.9 1.19x 0.45x 17.7% First
PW Real Estate Fund III 2016 10/7/2016 11.3 6.6 0.8 8.1 4.8 12.8 1.36x 0.13x 22.4% First
Westbrook Real Estate Fund X Co-Investment 2016 7/18/2016 10.0 5.9 1.1 5.5 5.3 10.8 1.13x 0.19x 11.4% Second
DRA Growth and Income Fund IX 2017 3/9/2017 10.0 6.0 1.6 5.5 4.9 10.4 1.19x 0.27x 18.3% First
Lion Industrial Trust 2017 1/3/2017 18.0 19.0 1.0 22.2 0.0 22.2 1.22x 0.05x 15.9% N/A
Lone Star Real Estate Fund V, L.P. 2017 9/26/2017 13.2 3.5 1.2 1.8 9.9 11.8 0.87x 0.34x -13.7% Fourth
NYCRS-KKR CMBS Retention Partners 2017 6/30/2017 13.0 10.2 0.8 10.2 2.8 13.0 1.08x 0.08x 8.5% Second
Aermont Capital Real Estate Fund IV 2018 N/A 10.1 0.0 0.0 0.0 10.1 10.1 - - - -
Almanac Realty Securities VIII 2018 12/21/2018 10.5 0.1 0.0 0.1 10.4 10.4 0.56x 0.00x NM N/A
Almanac Realty Securities VIII (Sidecar II) 2018 12/21/2018 7.0 0.1 0.0 0.1 6.9 7.0 1.03x 0.00x NM N/A
Artemis Income and Growth Fund 2018 N/A 10.0 0.0 0.0 0.0 10.0 10.0 - - - -
Brookfield Strategic Real Estate Partners III, L.P. 2018 N/A 12.0 0.0 0.0 0.0 12.0 12.0 - - - -
Heitman Core Real Estate Debt Income Trust 2018 11/7/2018 10.0 10.1 0.1 10.2 0.0 10.2 1.02x 0.01x NM N/A
KKR Real Estate Partners Americas II 2018 2/9/2018 $10.0 $3.5 $0.5 $3.2 $6.8 $10.0 1.07x 0.16x NM -
Blackstone Real Estate Partners IX L.P. 2019 N/A 15.0 0.0 0.0 0.0 15.0 15.0 - - - -
Total: Active Investments 520.3 402.5 216.0 345.7 185.2 530.9 1.40x 0.54x 11.5% N/A
Total: All Investments 520.3 402.5 216.0 345.7 185.2 530.9 1.40x 0.54x 11.5% Second
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Infrastructure Quarterly Report (Public):
Infrastructure Monitoring Report
For the period ended March 31, 2019
Report Prepared For:
New York City Board of Education Retirement System
Page 332 of 591
Table of Contents
I. Executive Summary .................................................................................................................................................. 1
Allocation Summary .............................................................................................................................................. 1 Performance Summary ......................................................................................................................................... 2 Portfolio Performance vs. Benchmarks ................................................................................................................. 3 Portfolio Diversification ........................................................................................................................................ 3
II. Infrastructure Market Overview .............................................................................................................................. 4
Market Update ...................................................................................................................................................... 4
III. Portfolio Review ....................................................................................................................................................... 6
Quarterly Highlights .............................................................................................................................................. 6 Performance by Vintage Year .......................................................................................................................... 7 Performance by Strategy and Industry Focus.................................................................................................. 7 Performance by Geographic Focus .................................................................................................................. 7
Portfolio Diversification ........................................................................................................................................ 8 By Strategy, Geography and Industry Focus .................................................................................................... 8 By Investment Manager .................................................................................................................................. 9
Portfolio Cash Flow Analysis ............................................................................................................................... 10 Quarterly Cash Flow Activity ......................................................................................................................... 10 Annual Cash Flow Activity ............................................................................................................................. 10 Net Funded and Unfunded Commitments by Vintage Year .......................................................................... 11
Portfolio Company-Level Analysis ....................................................................................................................... 12 Geographic Exposure and Performance ........................................................................................................ 12 Industry Exposure and Performance ............................................................................................................. 12 Public Market Exposure ................................................................................................................................. 13
IV. Risk Management Matrix ....................................................................................................................................... 14
Page 333 of 591
Important Information This document is meant only to provide a broad overview for discussion purposes. All information provided here is subject to change. This document is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation for any security, or as an offer to provide advisory or other services by StepStone Group LP, StepStone Group Real Assets LP, StepStone Group Real Estate LP, Swiss Capital Invest Holding (Dublin) Ltd, Swiss Capital Alternative Investments AG or their subsidiaries or affiliates (collectively, “StepStone”) in any jurisdiction in which such offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. The information contained in this document should not be construed as financial or investment advice on any subject matter. StepStone expressly disclaims all liability in respect to actions taken based on any or all of the information in this document. This document is confidential and solely for the use of StepStone and the existing and potential clients of StepStone to whom it has been delivered, where permitted. By accepting delivery of this presentation, each recipient undertakes not to reproduce or distribute this presentation in whole or in part, nor to disclose any of its contents (except to its professional advisors), without the prior written consent of StepStone. While some information used in the presentation has been obtained from various published and unpublished sources considered to be reliable, StepStone does not guarantee its accuracy or completeness and accepts no liability for any direct or consequential losses arising from its use. Thus, all such information is subject to independent verification by prospective investors.
The presentation is being made based on the understanding that each recipient has sufficient knowledge and experience to evaluate the merits and risks of investing in private market products. All expressions of opinion are intended solely as general market commentary and do not constitute investment advice or a guarantee of returns. All expressions of opinion are as of the date of this document, are subject to change without notice and may differ from views held by other businesses of StepStone. None of StepStone Group LP or any of its affiliates (collectively, “StepStone”) is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in connection with any investor’s continued engagement of StepStone.
All valuations are based on current values calculated in accordance with StepStone’s Valuation Policies and may include both realized and unrealized investments. Due to the inherent uncertainty of valuation, the stated value may differ significantly from the value that would have been used had a ready market existed for all of the portfolio investments, and the difference could be material. The long-term value of these investments may be lesser or greater than the valuations provided.
StepStone Group LP, its affiliates and employees are not in the business of providing tax, legal or accounting advice. Any tax-related statements contained in these materials are provided for illustration purposes only and cannot be relied upon for the purpose of avoiding tax penalties. Any taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor. Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments. Each prospective investor is urged to discuss any prospective investment with its legal, tax and regulatory advisors in order to make an independent determination of the suitability and consequences of such an investment.
An investment involves a number of risks and there are conflicts of interest. Each of StepStone Group LP, StepStone Group Real Assets LP and StepStone Group Real Estate LP is an investment adviser registered with the Securities and Exchange Commission (“SEC”). StepStone Group Europe LLP is authorized and regulated by the Financial Conduct Authority, firm reference number 551580. Swiss Capital Invest Holding (Dublin) Ltd (“SCHIDL”) is an SEC Registered Investment Advisor and Swiss Capital Alternative Investments AG (“SCAI”) (together with SCHIDL, “Swiss Cap”) is registered as a Relying Advisor with the SEC. Such registrations do not imply a certain level of skill or training and no inference to the contrary should be made.
All data is as of March 31, 2019 unless otherwise noted. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ACTUAL PERFORMANCE MAY VARY.
Page 334 of 591
1 of 14
New York City Board of Education Retirement System Infrastructure Monitoring Report
I. Executive Summary New York City Board of Education Retirement System (“NYC BERS”) established the Infrastructure Program (the “Program”) in December of 2012 on behalf of its beneficiaries to participate in attractive long-term investment opportunities and to provide diversification to its overall pension investment portfolio. The inclusion of infrastructure in the NYC BERS pension portfolio allows for global investments in facilities or assets that provide core essential services critical to the operation and development of economies. Typically infrastructure investments have high barriers to entry due to significant capital expenditure requirements, exclusive long term contracts or regulatory requirements. Infrastructure investments are comprised of long useful-life assets with high tangible value and relatively low value erosion over time. The Program seeks to invest in opportunities in a variety of infrastructure sectors, including but not limited to, transportation, energy, power, utilities, water, wastewater, communications and social infrastructure. StepStone Group LP (“StepStone”) was engaged by NYC BERS on October 20, 2014 to provide infrastructure advisory services for prospective investment opportunities and monitoring and reporting services for existing and new investments. Since inception through March 31, 2019, the Program has committed US$228.0 million to 18 partnership investments (the “Portfolio”). This quarterly monitoring report covers the performance of the Portfolio as of March 31, 2019 as well as significant activity that occurred during the first quarter of 2019. Allocation Summary NYC BERS has an Infrastructure allocation target of 4% of total pension assets. As of March 31, 2019, the market value of NYC BERS Infrastructure Program represented approximately 1.8% of total pension assets, a 11-basis point increase from the prior quarter. As the Program matures, the percentage of its market value relative to the total NYC BERS pension assets will continue to increase.
*NYC BERS total Pension Assets are as of quarter-end (or, if not yet available, the most recent month-end prior to quarter-end) as reported by The New York City Comptroller's Office on www.comptroller.nyc.gov
US$ in millions*March 31, 2019 December 31, 2018 March 31, 2018 Quarterly
ChangeYearly
Change
Tota l Pens ion Assets* $6,245.0 $5,752.0 $5,911.0 $493.0 $334.0
Tota l Infrastructure Assets $112.7 $97.6 $67.9 $15.1 $44.8
% Al location to Infrastructure (Target of 4%) 1.8% 1.7% 1.1% +11 bps +66 bps
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2 of 14
New York City Board of Education Retirement System Infrastructure Monitoring Report
Performance Summary As of March 31, 2019, the Infrastructure Program has achieved a Total Value to Paid-In multiple of 1.2x invested capital and an IRR of 13.6%. Note that, given the relative immaturity of the Portfolio and underlying fund investments, the current performance to-date is not meaningful.
* Note that amounts may not total due to rounding. Past performance is not necessarily indicative of future results and there can be no assurance that the investment will achieve comparable results or avoid substantial losses. 1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. Note that the Base/(US$) committed
capital for foreign currency-denominated investments as of respective quarter-end dates is calculated as follows: (total net amount funded in Base currency) + (unfunded commitment in Local currency * quarter-end exchange rate). StepStone utilizes S&P Capital IQ as the source for quarter-end exchange rates to calculate committed capital.
2 Exposure represents the sum of Market Value and Unfunded Commitment. 3 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided
by Contributed Capital. 4 TVPI, or Total Value to Paid-In Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time.
TVPI is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 5 IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’
fees, expenses and carried interest. 6 TVPI and IRR Net of StepStone fees represent TVPI and IRR net of fees paid by NYC BERS to StepStone through the quarter-end date.
US$ in millions*March 31, 2019 December 31, 2018 March 31, 2018 Quarterly
ChangeYearly
Change
Number of Managers 10 10 10 0 0
Number of Investments 18 16 13 2 5
Committed Capita l 1 $228.0 $190.8 $156.1 $37.3 $72.0
Contributed Capita l $109.5 $96.4 $65.9 $13.2 $43.7
Dis tributed Capita l $22.5 $20.8 $14.2 $1.7 $8.3
Market Va lue $112.7 $97.6 $67.9 $15.1 $44.8
Tota l Va lue $135.2 $118.5 $82.1 $16.8 $53.1
Tota l Gain/(Loss ) $25.7 $22.1 $16.2 $3.6 $9.5
Unfunded Commitment $129.5 $105.2 $97.4 $24.3 $32.1
Exposure2 $242.3 $202.9 $165.4 $39.4 $76.9
DPI3 0.2x 0.2x 0.2x 0.0x 0.0x
TVPI4 1.2x 1.2x 1.2x 0.0x 0.0x
IRR5 13.6% 13.5% 15.0% 0.1% -1.3%
TVPI Net of StepStone Fees 6 1.2x 1.2x 1.2x 0.0x 0.0x
IRR Net of StepStone Fees 6 13.6% 13.5% 15.0% 0.1% -1.3%
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3 of 14
New York City Board of Education Retirement System Infrastructure Monitoring Report
Portfolio Performance vs. Benchmarks The performance benchmark for the Infrastructure Portfolio is to meet or exceed the Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period. The Infrastructure Portfolio’s performance is also measured against a dollar-weighted public benchmark, which produced the return that would have been earned if NYC BERS’s infrastructure cash flows were invested in an index of 50% Russell 3000® and 50% Barclays U.S. Aggregate®. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%. The following graph illustrates Portfolio IRR performance versus benchmarks as of March 31, 2019. Portfolio Diversification The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
1NYC BERS since inception Internal Rate of Return (“IRR”) is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’ fees, expenses and carried interest. Past performance is not necessarily indicative of future results. 2Consumer Price Index ("CPI") benchmark represents the compound annual growth rate of the Consumer Price Index for All Urban Consumers and All Items, as provided by the U.S. Department of Labor: Bureau of Labor Statistics, calculated over a five-year rolling period plus a 4.0% premium. 3Benchmark is a dollar-weighted PME+ calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. These index comparisons are being provided solely for informational purposes as an indication of returns that could be earned by investors by making similar investments in the indexes and should not be relied upon for any purpose. An investor cannot directly invest in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented.
Market Value Unfunded Commitment Exposure
As of March 31, 2019. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 97.8 86.7% 122.6 94.6% 220.3 90.9%
Non-Core 15.0 13.3% 7.0 5.4% 21.9 9.1%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
By Geographic Focus:
Global 29.9 26.5% 14.5 11.2% 44.4 18.3%
North America 16.7 14.8% 12.4 9.5% 29.1 12.0%
OECD 66.1 58.6% 102.7 79.3% 168.8 69.7%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
By Industry Focus:
Divers i fied 94.2 83.6% 91.9 71.0% 186.2 76.8%
Energy 18.5 16.4% 37.6 29.0% 56.1 23.2%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
13.6%
5.5%7.0%
0%
2%
4%
6%
8%
10%
12%
14%
16%
NYC BERSIRR ¹
Consumer Price Index (“CPI”) + 4% ²
Russell 3000 (50%)/Barclays US Agg (50%) ³
%
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II. Infrastructure Market Overview Market Update1 During the first quarter of 2019, the North American market faced increasing volatility, as concerns around the U.S.-China trade dispute and Brexit continued to cast uncertainty on the economic outlook. While the U.S. equity market regained some ground from the weak end to 2018, North American Central Banks have remained cautious as economic indicators signal the continuous need for expansionary policies. The Federal Reserve is expected to have no rate hikes this year and the Bank of Canada is also slowing the pace of rate hikes in 2019. Against this economic backdrop, infrastructure funds continue to demonstrate strong appetite for North American midstream, telecom, and renewable assets. Multiple significant midstream transactions were announced in Q1 2019. Blackstone acquired Tallgrass Energy (100% GP interest, 44% economic interest) for US$3.3 billion in equity. The transaction implies an acquisition multiple of 14.2x EBITDA. Also in the midstream sector, EQM Midstream Partners acquired Hornet Midstream from Morgan Stanley (North Haven Infrastructure Partners) for US$1.03 billion and Blackstone acquired a 45% interest in Targa Badlands, a crude oil and natural gas gathering and storage business in North Dakota, from Targa Resources for US$1.6 billion. In the telecom space, Brookfield’s US$1.1 billion acquisition of AT&T data centres reached financial close. Additionally, based on public news sources, a consortium comprising Digital Colony and EQT are reportedly in negotiations to acquire Zayo Corporation, a publicly listed US telecommunications provider with an enterprise value of US$13.4 billion. The renewable sector remained active with several large-scale brownfield transactions announced: American Electric Power and KKR led the way with acquisitions of Sempra Energy’s 2.0GW wind portfolio and NextEra’s 1.2GW operating renewable portfolio, respectively.
In Europe, M&A activity in the European transport sector was robust during the first quarter of 2019. In the airports sub-sector, APG, QIC and Swiss Life acquired a 36% stake in Brussels Airport from Macquarie. In the car parking sub-sector, MEAG and Mirova acquired a 49.2% interest in Indigo, a France-based car park operator, from Ardian. Also in the car parking sub-sector, Sumitomo, a Japanese conglomerate, acquired Q-Park’s Nordic assets from KKR. In the ports sub-sector, a consortium led by Monaco Resources, acquired a 100% interest in Euroports from Antin, Brookfield and Arcus, with the transaction implying an acquisition multiple of 11.4x EBITDA. Also in the ports sub-sector, PSA International, the Polish Development Fund and IFM acquired a 100% interest in DCT Gdansk, the largest container terminal in Poland, from Macquarie Infrastructure and Real Assets, MTAA Super, AustralianSuper and Statewide Super. No financial information on the deal was disclosed, however based on public news sources, the deal transacted in the range of 16-18x EBITDA. In the telecommunications sector, Basalt Infrastructure Partners acquired Manx-Telecom, a provider of fixed line, broadband, mobile and data services to customers and businesses on the Isle of Man, in the UK. The transaction values Manx-Telecom at 11.7x EBITDA. Also in the telecommunications sector, Mirova acquired a 49% interest in Axione, a French telecom infrastructure operator. In the utilities sector, German energy group Uniper agreed to sell a 48.2% stake in the Offshore LNG Toscana project to First State for €400 million. Ontario Teachers’ Pension Plan agreed to sell its 50% stake in InterGen to Sev.en Energy. InterGen owns a total installed capacity of 4,000MW across its CCGT plants in the UK, and two coal-fired power stations in Australia. In the renewables sector, Macquarie agreed to acquire a portfolio of geothermal and hydro projects in Iceland from Canadian developer Innergex Renewable Energy in a transaction that valued the assets at an acquisition multiple of 12.7x EBITDA. In the wind sub-sector, Greencoat UK Wind and HSBC UK Pension Scheme agreed to buy a 49.9% stake in two Scottish wind farms from SSE for £635 million. SSE holds the remaining 50.1% and will continue to operate both assets.
In Latin America, transaction activity over the quarter was robust in the power and renewables sectors, and predominantly in greenfield projects. The largest transaction closing over the quarter consisted of the financial close of Gás Natural Açu 1 Data used in this section is Q1 2019 data from InfraNews and Preqin.
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(“GNA”)’s Porto de Açu project, an LNG-to-power plant in Brazil. GNA is a joint venture formed by Prumo Logistica, BP, and Siemens. The gas-fired power plant will have a capacity of 1.3GW and is expected to begin commercial operations in 2021. Total construction cost is expected to be US$1.2 billion. Greenfield activity was also strong in the renewables sector, particularly in Mexico due to its energy auctions of power purchase agreements. Such projects reaching financial close during the quarter include: two 150MW solar energy projects in Zacatecas with equity sponsor Helios Generación (a joint venture between Fomento a la Energía e Infraestructura de México 2 and Pattern Energy Group), requiring capex of US$370 million; a 220MW wind farm in Puebla with equity sponsor Iberdola S.A. requiring capex of US$225 million; a 90MW solar power project in Sonora with equity sponsor EDF Renewables requiring capex of US$115 million. Within the transport sector, Brookfield Infrastructure sold a 33% stake of its Chilean highway concessions, Vespucio Norte and Túnel San Cristóbal, to Chilean infrastructure fund Frontal Trust Infraestructura Alpha Fondo de Inversión for a reported US$330 million.
In Australia, there were a number of notable transactions that occurred during the quarter across various sectors. In renewables, Tilt Renewables acquired the Liverpool Range Wind Farm project from Epuron. The greenfield project is in pre-construction phase and has received development approval for up to 267 turbines. Upon completion, the project is anticipated to have a total capacity of ~1,000MW, which would make it the largest wind farm in Australia. Elsewhere in the energy sector, QIC-owned Lochard Energy acquired the Heytesbury depleted gas reservoir assets from Origin Energy. The assets are located near Lochard Energy’s Iona gas storage facility and have potential to be developed for incremental gas storage for Iona. In telecommunications, Brookfield acquired two data centres from Blackstone’s portfolio company DCI for A$253 million. The two data centres are located in Sydney and Adelaide. The transaction implies an acquisition multiple of ~12.6x EBITDA. In ports, Gateway Infrastructure Investments (managed by Corsair Infrastructure Partners) divested its 37.5% interest in DP World Australia to DP World. In social infrastructure, AMP Capital’s Community Infrastructure Fund (“CommIF”) acquired a 50% interest in the Optus Stadium from John Laing. The 60,000-seat stadium is located in Perth and is owned under an availability PPP expiring in 2039.
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III. Portfolio Review Quarterly Highlights
• New Investment Commitments – During the first quarter of 2019, the Program closed on two new investments totaling US$37.2 million. This is shown in the table below.
• Subsequent Investment Commitments – Subsequent to quarter-end, the Program closed one new investment commitment totaling US$19.0 million. This is shown in the table below.
• Cash Outflow Increased – During the first quarter of 2019, the Program made US$13.2 million of contributions and received US$1.7 million of distributions, for a net cash outflow of US$11.5 million. This compared to a net cash outflow of US$10.4 million during the prior quarter.
• Valuation Increased – During the first quarter of 2019, net of cash flow activity, the valuation of the Portfolio increased by approximately US$3.6 million, or 3.3%, from the prior quarter. The valuation increase primarily reflects the increase in value of underlying investments in Global Infrastructure Partners III, L.P.
• New Underlying Fund Investments – During the first quarter of 2019, seven investment positions were added to the Portfolio.
• Company Exits – During the first quarter of 2019, one investment position exited the Portfolio.
US$ in millions
Investment Month and Year Closed
Vintage Year
Strategy Geographic Focus Industry Focus Committed Capital
ARDIAN Infrastructure Fund V B S.C.S., SICAV-RAIF March 2019 2019 Infrastructure OECD Divers i fied $14.6
Global Infrastructure Partners IV, L.P. March 2019 2019 Infrastructure OECD Divers i fied 22.6
Total $37.2
US$ in millions
Investment Month and Year Closed
Vintage Year
Strategy Geographic Focus Industry Focus Committed Capital
Brookfield Infrastructure Fund IV, L.P. May 2019 2019 Infrastructure Global Divers i fied $19.0
Total $19.0
US$ in millions
Company Fund(s)Investment
Date Stage Industry CountryExposed Invested Capital
Exposed Market Value
TVM
SemCAMS Midstream ULC KKR Global Infrastructure Investors I I I L.P. Feb-19 Private Midstream Canada 1.2 1.2 1.0x
Kodiak Gas Services EQT Infrastructure II I (No.2) SCSp Feb-19 Private Midstream United States 0.8 0.8 1.0x
Indian Gas Pipel ine Bus iness Brookfield Infrastructure Fund II I , L.P. Mar-19 Private Midstream India 0.6 0.6 1.0x
Axium Aurora Solar Axium Infrastructure Canada II (Intl ) L.P. Feb-19 Private Renewables Canada 0.3 0.3 1.0x
As ia Paci fic Data Center Bus iness Brookfield Infrastructure Fund II I , L.P. Jan-19 Private Uti l i ties Canada 0.1 0.1 1.0x
Altava i r Ai rcraft Leas ing KKR Global Infrastructure Investors I I I L.P. Feb-19 Private Midstream United States 0.1 0.1 1.0x
Blue Racer Midstream NYCRS EIG Energy Partners , L.P. Feb-19 Private Midstream United States 0.0 0.0 1.1x
US$ in millions
Company Fund(s)Investment
DateExit
Date Stage Industry CountryInvested Capital
Total Value TVM
Dominion Midstream Partners Global Energy & Power Infrastructure Fund II Dec-16 Feb-19 Publ ic Midstream United States 0.3 0.4 1.2x
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Performance by Vintage Year The following table illustrates the Portfolio’s since-inception investment performance by vintage year as of March 31, 2019. Note that the performance of funds that are less than two years old is not meaningful.
Performance by Strategy and Industry Focus The following table illustrates the Portfolio’s since-inception investment performance by strategy and industry focus as of March 31, 2019.
Performance by Geographic Focus The following table and charts illustrate the Portfolio’s since-inception investment performance by geographic focus as of March 31, 2019.
*Past performance is not necessarily indicative of future results and there can be no assurance that the fund will achieve comparable results or avoid substantial losses.
As of March 31, 2019 (US$ in millions)
Vintage Year
CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
2013 $10.0 $8.2 $2.3 $9.9 $12.2 $4.0 $2.3 $12.2 0.3x 1.5x 12.4%
2014 49.0 51.0 17.3 51.2 68.5 17.5 6.2 57.4 0.3x 1.3x 14.7%
2016 32.6 19.4 1.7 20.3 22.0 2.6 14.7 35.0 0.1x 1.1x 10.8%
2017 45.2 28.0 1.2 28.6 29.8 1.9 18.1 46.8 0.0x 1.1x 14.6%
2018 36.0 3.0 - 2.8 2.8 - 33.1 35.9 NM NM NM
2019 55.2 0.0 - - - - 55.2 55.1 NM NM NM
Total $228.0 $109.5 $22.5 $112.7 $135.2 $25.7 $129.5 $242.3 0.2x 1.2x 13.6%
As of March 31, 2019 (US$ in millions)
Strategy/Industry CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Core $208.2 $95.5 $21.3 $97.8 $119.1 $23.6 $122.6 $220.3 0.2x 1.3x 13.3%
Divers i fied 162.9 80.4 13.5 85.0 98.5 18.1 90.8 175.9 0.2x 1.2x 11.4%
Energy 45.3 15.1 7.8 12.7 20.5 5.4 31.7 44.5 0.5x 1.4x 33.3%
Non-Core 19.9 14.0 1.2 15.0 16.2 2.2 7.0 21.9 0.1x 1.1x 18.9%
Divers i fied 9.3 8.5 0.4 9.2 9.6 1.1 1.1 10.3 0.0x 1.1x 19.2%
Energy 10.6 5.5 0.8 5.8 6.6 1.0 5.9 11.6 0.1x 1.2x 18.6%
Total $228.0 $109.5 $22.5 $112.7 $135.2 $25.7 $129.5 $242.3 0.2x 1.2x 13.6%
As of March 31, 2019 (US$ in millions)
Geographic Focus CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Global $39.9 $27.0 $3.8 $29.9 $33.7 $6.7 $14.5 $44.4 0.1x 1.2x 13.4%
North America 28.8 16.6 0.4 16.7 17.2 0.6 12.4 29.1 0.0x 1.1x 7.8%
OECD 159.4 65.9 18.3 66.1 84.4 18.5 102.7 168.8 0.3x 1.3x 14.0%
Total $228.0 $109.5 $22.5 $112.7 $135.2 $25.7 $129.5 $242.3 0.2x 1.2x 13.6%
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Portfolio Diversification By Strategy, Geography and Industry Focus
The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
Market Value Unfunded Commitment Exposure
As of March 31, 2019. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 97.8 86.7% 122.6 94.6% 220.3 90.9%
Non-Core 15.0 13.3% 7.0 5.4% 21.9 9.1%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
By Geographic Focus:
Global 29.9 26.5% 14.5 11.2% 44.4 18.3%
North America 16.7 14.8% 12.4 9.5% 29.1 12.0%
OECD 66.1 58.6% 102.7 79.3% 168.8 69.7%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
By Industry Focus:
Divers i fied 94.2 83.6% 91.9 71.0% 186.2 76.8%
Energy 18.5 16.4% 37.6 29.0% 56.1 23.2%
Total 112.7 100.0% 129.5 100.0% 242.3 100.0%
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By Investment Manager
As of March 31, 2019, the Program had made 18 investment commitments to ten managers. NYC BERS seeks to limit its exposure to any single manager to no more than 10% of the total Real Assets Program when fully invested. As the Program matures and closes on additional commitments, the single manager exposure is expected to decline significantly. Below is the Portfolio’s current exposure by manager.
15.6%
14.7%
12.2%
11.6%
11.1%
10.1%
8.7%
6.1%
5.1%4.8%
Kohlberg Kravis Roberts & Co
Global Infrastructure Partners
BlackRock
EQT Partners
Ardian Infrastructure
Brookfield
IFM Investors
EIG Management Company
Axium Infrastructure
Actis Capital, LLP
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Portfolio Cash Flow Analysis Quarterly Cash Flow Activity During the first quarter of 2019, the Program made US$13.2 million of contributions and received US$1.7 million of distributions, for a net cash outflow of US$11.5 million. As of March 31, 2019, 15 fund investments in the Portfolio had cash flow activity. As the Program’s commitment and investment activity increases, net cash outflow is expected to increase. The graph below illustrates cash flow activity since inception by calendar quarter.
Annual Cash Flow Activity During 2019, the Program made US$13.2 million of contributions and received US$1.7 million of distributions, for a net cash outflow of US$11.5 million. The graph below illustrates cash flow activity since inception by calendar year.
($0.8)($3.5)
($16.6)
($4.2)($5.7)
($10.6)
($14.2) ($13.2)
$6.7
$1.1 $1.2 $3.0
$0.5 $2.3
$3.8 $1.7
($20.0)
($15.0)
($10.0)
($5.0)
$0.0
$5.0
$10.0
Q2 2017 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q1 2019
US$
in m
illio
ns
Calendar Quarter
Contributed Distributed Net Cash Flow
($0.7) ($2.4)
($21.4)
($13.7)
($23.5)
($34.6)
($13.2)
$0.0 $0.2 $0.5 $1.1
$9.4 $9.6
$1.7
($40.0) ($35.0) ($30.0) ($25.0) ($20.0) ($15.0) ($10.0)
($5.0) $0.0 $5.0
$10.0 $15.0
2013 2014 2015 2016 2017 2018 2019
US$
in m
illio
ns
Calendar Year
Contributed Distributed Net Cash Flow
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Net Funded and Unfunded Commitments by Vintage Year The following chart illustrates the Portfolio’s net funded commitments (defined as total contributions inside commitment less any returns of excess capital and recallable distributions) as a percentage of total capital commitments, by fund vintage year, as of March 31, 2019. Overall, the Portfolio was 56.8% unfunded as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (%)
The following chart illustrates the Portfolio’s net funded commitments relative to total capital commitments, by fund vintage year, as of March 31, 2019. Overall, the Portfolio had US$129.5 million of unfunded commitments as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (US$ millions)
22.8%12.6%
45.1% 40.1%
94.1% 100.0%
56.8%
77.2%87.4%
54.9% 59.9%
5.9%
43.2%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2013 2014 2016 2017 2018 2019 Total
%
Vintage Year Unfunded Commitments Net Funded Commitment
$14.7 $18.1 $47.6 $40.6
$129.5
$7.7
$42.8 $17.9 $27.1
$98.5
$10.0
$49.0 $32.6
$45.2 $50.6 $40.6
$228.0
$0
$50
$100
$150
$200
$250
2013 2014 2016 2017 2018 2019 Total
US$
in m
illio
ns
Vintage Year Unfunded Commitments Net Funded Commitment
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Portfolio Company-Level Analysis As of quarter-end, the Portfolio had exposure to 125 unique unrealized portfolio companies/investment positions. As the Portfolio matures, the number of unique portfolio companies/investment positions is expected to increase significantly. On the individual fund level, all current investments are within the single investment limitation of 15% of total fund size. The Program’s individual portfolio investment exposure is relatively concentrated as a result of the relative immaturity of the Program. Geographic Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by geographic region at the portfolio company level.
Industry Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by industry at the portfolio company level.
*Multiples may not add to total multiple due to rounding
1.3x1.2x
1.0x1.1x
1.5x
1.0x1.2x
0.1x0.1x
0.3x 0.1x0.2x
0.2x
1.4x1.3x 1.3x
1.2x
1.5x
1.1x
1.3x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Europe (31) North America(71)
Latin America (12) Asia/Australia (9) Africa (2) Middle East (1) Total Portfolio(126)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Geography
RVPI DPI
0.2x
46.2%
33.3%
13.4%
5.2%1.0% 0.9%
Geography Exposure by Current Market Value
North America Europe
Latin America Asia/Australia
Middle East Africa
1.1x 1.2x 1.2x1.4x
1.3x1.1x 1.2x 1.2x
0.2x0.2x 0.2x
0.3x
0.0x0.2x
0.2x
1.3x1.4x 1.4x
1.7x
1.3x 1.3x1.2x
1.3x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Renewables(42)
Transportation(20)
Utilities (16) Other (11) Telecom (12) Midstream (22) ConventionalPower (3)
Total Portfolio(126)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Industry
RVPI DPI
26.8%
25.9%17.5%
13.5%
12.5%
2.1% 1.7%
Industry Exposure by Current Market Value
Renewables TransportationMidstream TelecomUtilities Conventional PowerOther
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Public Market Exposure As of quarter-end, publicly traded investments comprised 15.1% of the Portfolio’s exposed market value. The following chart illustrates the current public market exposure at the portfolio company level.
Public Market Exposure Current Market Value
84.9%
15.1%
Private Public
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IV. Risk Management Matrix
Category Requirement Status Status Notes
Allocation NYC BERS has an Infrastructure allocation target of 4% of total pension assets.
The market value of NYC BERS Infrastructure Program represents approximately 1.8% of total pension assets. As the Program matures, its market value as a percentage of the total NYC BERS pension assets is expected to increase.
Performance vs. Benchmarks
The performance benchmark for the Infrastructure Portfolio is to meet or exceed: (i) The Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period and (ii) A dollar-weighted PME+ (“PME”) calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%.
As of March 31, 2019, the Portfolio outperformed the CPI and PME benchmark by 8.1% and 6.6%, respectively. However, given the relative immaturity of the Portfolio, the current performance to-date versus benchmarks is not meaningful.
Strategy Diversification
Core Infrastructure Investments: 60-100% Non-Core Infrastructure Investments: 0-40% Actual percentages may differ substantially from these targets during the initial years of the Program.
The Program is in compliance with the Core/Non-Core allocation ranges. Currently the Program has 90.9% exposure to Core investments and 9.1% exposure to Non-Core investments.
Asset Type & Location Diversification
The Program will seek diversification by asset type, revenue drivers, and geography. The portfolio may include a variety of assets including but not limited to electricity transmission, pipelines, airports, toll roads, communication towers and electric generators, windmills etc. to vary the sources of revenue to the portfolio.
Given the relative immaturity of the Portfolio, it is not yet diversified by asset type. The asset types and geographic location of current Portfolio investments are in compliance with the Program’s Investment Policy Statement and Permissible Markets.
Leverage The average leverage of all investments in the Program is to be no higher than 65%. The Program is in compliance with the average leverage
limitation. The current leverage level is 33.4%1.
Single Investment Size & Manager Diversification
The maximum commitment to a single investment is limited to no more than 15% of the aggregate committed capital of each fund. The maximum commitment to a single manager is limited to 10% of the total Real Assets Program allocation when fully invested.
On the individual fund level, all current investments are in compliance with the single investment limitation of 15% of total fund size. The Program is in compliance with the single manager limitation of 10% of the total Infrastructure Program. The Program’s manager exposure is currently relatively concentrated as a result of the relative immaturity of the Program. Manager diversification is expected to increase as the Program closes on new investment commitments.
1The Program’s leverage level is calculated by using a weighted average of each underlying investment’s leverage and Net Asset Value as of March 31, 2019.
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Vintage Year Investment Closing Date Committed
Capital
Contributed
Capital
Distributed
Capital
Market
Value TVPI IRR
Active Investments:
2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $10,000,000 $8,207,214 $2,261,561 $9,921,333 1.5x 12.4%
2014 IFM Global Infrastructure Fund 1/2/2014 $15,000,000 $20,027,335 $7,421,302 $21,078,594 1.4x 12.4%
2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $15,000,000 $12,678,770 $7,717,842 $10,243,777 1.4x 34.8%
2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $19,000,000 $18,262,054 $2,148,753 $19,868,060 1.2x 10.7%
2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $12,000,000 $9,113,778 $593,936 $9,474,971 1.1x 8.0%
2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $10,000,000 $4,774,997 $324,973 $5,020,871 1.1x 9.3%
2016 Actis Energy 4 12/16/2016 $10,600,000 $5,535,314 $816,395 $5,768,428 1.2x 18.6%
2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $9,253,777 $8,482,237 $385,390 $9,209,842 1.1x 19.2%
2017 ASF VII Infrastructure L.P. 4/24/2017 $12,000,000 $4,741,240 $413,278 $4,611,899 1.1x 27.7%
2017 Axium Infrastructure North America 8/14/2017 $12,221,338 $12,308,695 $345,685 $12,304,156 1.0x 7.0%
2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $11,760,000 $2,424,677 $78,188 $2,490,367 1.1x 10.6%
2018 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $2,940,000 - - - NM NM
2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $15,600,000 $1,080,898 - $891,311 NM NM
2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $15,600,000 - - - NM NM
2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $1,880,000 $1,880,000 - $1,946,657 NM NM
2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $18,000,000 - - ($103,910) NM NM
2019 Ardian Infrastructure Fund V B 3/4/2019 $14,590,261 $14,958 - $13,724 NM NM
2019 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $22,600,000 - - - NM NM
Total $228,045,376 $109,532,166 $22,507,303 $112,740,081 1.2x 13.6%
New York City Board of Education Retirement System
Infrastructure Portfolio
As of March 31, 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.
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Risk Quarterly Report (Public):
BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 8.44
Benchmark Risk 7.87
Active Risk 1.25
Portfolio Beta 1.06
Effective Duration 2.06
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk RiskContribution %CR to TR
Total 6,290,418,007 100.00 8.44 8.44 100.00
EQUITY 4,275,789,645 67.97 12.33 8.33 98.69
FIXED INCOME 2,014,628,362 32.03 2.73 0.11 1.31
Asset Class Allocation
0
20
40
60
80
EQUITY FIXED INCOME0
25
50
75
100
Weight (%) %CR to Total Risk
Weights (%)%CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 8.44 100.00 1.00 1.25 100.00 1.00
Local Market Risk 8.04 95.28 0.99 1.20 96.02 0.99
Common Factor Risk 8.01 94.92 0.99 1.13 90.29 0.96
Equity 7.60 90.04 0.98 0.43 33.93 0.59
Fixed Income 0.12 1.38 0.13 0.05 3.82 0.29
Private Real Estate 0.20 2.32 0.58 0.00 0.36 0.02
Private Equity 0.10 1.15 0.11 0.65 52.08 0.72
Selection Risk 0.03 0.37 0.06 0.07 5.73 0.24
Currency Risk 0.40 4.72 0.41 0.05 3.98 0.29
Active Risk from Risk Factors
0
20
40
60
Private
Equity
Equity Fixed
Income
Private Real
Estate
Unassigned
Factors
Selection
Risk
Currency
Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
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BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Risk Contribution Breakdown by Risk Type
Risk Contribution
Asset Name Mkt Value Weight (%) Eff Weight (%) Total Risk %CR to Total Risk Port Risk Contribution Equity Fixed Income Hedge Fund Commodity Private Real Estate Private Equity Currency Asset Specific
Total 6,290,418,007 100.00 100.00 8.44 100.00 8.44 7.60 0.12 0.00 0.00 0.20 0.10 0.40 0.03
EQUITY 4,275 ,789 ,645 67 .97 67 .97 12 .33 98 .69 8 .33 7 .60 0 .01 0 .00 0 .00 0 .20 0 .10 0 .40 0 .03
FIXED INCOME 2,014 ,628 ,362 32 .03 32 .03 2 .73 1 .31 0 .11 0 .00 0 .11 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
0.00 2.00 4.00 6.00 8.00 10.00
FIXED INCOME
EQUITY
Equity Fixed Income Hedge Fund Commodity Private Equity Private Real Estate Currency Asset Specific
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Page 352 of 591
BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Allocation Selection
Allocation Selection Active
Asset Class Active Weight(%) Volatility Correlation Risk Contribution Volatility Correlation Risk Contribution Risk Contribution
Active Total Risk -0.00 1.25 1.25
EQUITY -0.03 3.85 0.45 -0.00 1.79 0.99 1.20 1.20
FIXED INCOME 0.03 8.18 -0.45 -0.00 0.62 0.28 0.05 0.05
-0.04
-0.02
0
0.02
0.04
EQUITY FIXED INCOME-0.5
0
0.5
1
1.5
Active Weight(%) Allocation Risk Contribution Selection Risk Contribution Active Risk Contribution
Weights (%)Risk Contribution
3 of 41
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Page 353 of 591
BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 8.44 1.25 100.00 0.01
N America 76.77 79.28 -2.51 7.61 0.85 67.72 -0.01
EMEA 12.09 9.94 2.15 13.93 0.30 23.87 0.04
Asia Pacific 9.67 9.38 0.29 13.67 0.11 8.85 0.03
Latin-S America 0.87 1.00 -0.13 21.59 -0.00 -0.03 0.03
Rest of World 0.60 0.40 0.20 3.11 -0.01 -0.41 -0.03
N/A 0.00 0.00 0.00 9.56 -0.00 -0.00 -0.00
-20%
0%
20%
40%
60%
80%
N America EMEA Asia Pacific Latin-S America Rest of World N/A
Portfolio Weight Benchmark Weight Active Weight
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BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total TrackingError
Total 100.00 100.00 -0.00 8.44 1.25 100.00 0.01
United States 74 .33 76 .95 -2 .62 7 .52 0 .80 64 .18 -0 .01
China International 3 .35 2 .18 1 .17 19 .53 0 .07 5 .72 0 .06
United Kingdom 3.20 2 .37 0 .83 14 .34 0 .07 5 .88 0 .03
Japan 2 .24 2 .99 -0 .75 15 .85 0 .03 2 .29 0 .01
S. Korea 1 .33 0 .92 0 .41 19 .62 0 .02 1 .80 0 .04
Germany 1 .33 1 .19 0 .14 16 .23 0 .03 2 .52 0 .04
France 1 .15 1 .47 -0 .32 15 .28 0 .00 0 .14 0 .04
Switzerland 1 .00 1 .17 -0 .17 13 .56 0 .02 1 .58 0 .03
India 0 .89 0 .66 0 .23 20 .18 0 .00 0 .37 0 .02
Netherlands 0 .85 0 .62 0 .23 17 .71 0 .03 2 .64 0 .04
Canada 0 .84 1 .68 -0 .85 8 .39 -0 .01 -0 .54 0 .01
Brazil 0 .83 0 .58 0 .25 28 .20 0 .01 1 .19 0 .05
Italy 0 .78 0 .34 0 .43 20 .51 0 .03 2 .72 0 .05
Sweden 0.73 0 .36 0 .37 17 .70 0 .03 2 .08 0 .05
Taiwan 0.65 0 .79 -0 .14 16 .64 0 .00 0 .14 0 .03
Hong Kong 0 .63 0 .46 0 .18 21 .62 0 .01 0 .97 0 .04
Spain 0 .57 0 .38 0 .19 15 .21 0 .01 0 .54 0 .02
Singapore 0 .51 0 .20 0 .31 15 .03 0 .01 0 .72 0 .03
Australia 0 .42 0 .91 -0 .49 14 .80 -0 .01 -0 .82 0 .02
Denmark 0 .41 0 .21 0 .20 19 .00 0 .01 1 .17 0 .04
South Africa 0 .38 0 .44 -0 .06 25 .77 -0 .00 -0 .15 0 .05
Russia 0 .34 0 .32 0 .02 23 .08 0 .00 0 .32 0 .04
Thailand 0 .32 0 .22 0 .11 16 .06 0 .00 0 .21 0 .02
Jersey 0 .32 0 .00 0 .32 0 .00 -0 .01 -0 .78 -0 .03
Norway 0 .31 0 .10 0 .21 22 .89 0 .02 1 .45 0 .06
Turkey 0 .29 0 .04 0 .25 37 .05 0 .02 1 .45 0 .07
Poland 0 .24 0 .09 0 .16 21 .82 0 .01 0 .72 0 .05
Indonesia 0 .23 0 .19 0 .04 22 .07 0 .00 0 .21 0 .01
Belgium 0.18 0 .17 0 .01 21 .35 0 .01 0 .77 0 .04
Ireland 0 .15 0 .12 0 .03 6 .65 -0 .00 -0 .22 -0 .00 -20% 0% 20% 40% 60% 80%
Ireland
Belgium
Indonesia
Poland
Turkey
Norway
Jersey
Thailand
Russia
South Africa
Denmark
Australia
Singapore
Spain
Hong Kong
Taiwan
Sweden
Italy
Brazil
Canada
Netherlands
India
Switzerland
France
Germany
S. Korea
Japan
United Kingdom
China International
United States
Portfolio Weight Benchmark Weight Active Weight
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BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-25% 0% 25% 50% 75% 100%
Others
N/A
Frontier MarketEM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR(%)
CR to TR(%)
US Dollar 4,894,214,014.90 68.26 66.96
Euro 297,131,356.89 9.33 7.55
Hong Kong Dollar 187,084,054.00 4.22 4.73
British Pound Sterling 174,869,470.34 6.13 4.28
Japanese Yen 139,294,398.69 2.09 2.83
Top Five Exposure $ CR to AR(%)
CR to TR(%)
Korean Won 77,137,709.66 1.29 1.86
Indian Rupee 55,906,229.81 0.37 1.00
Brazilian Real 51,719,039.39 1.17 1.30
New Taiwan Dollar 40,727,863.96 0.14 0.88
South African Rand 23,985,579.80 -0.17 0.73
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 8.44 8.44 100.00 1.25 100.00
US Dollar 77 .80 80 .01 -2 .21 7 .44 5 .65 66 .96 0 .86 68 .26
Euro 4 .72 3 .88 0 .84 15 .79 0 .64 7 .55 0 .12 9 .33
Hong Kong Dollar 2 .97 2 .06 0 .91 18 .00 0 .40 4 .73 0 .05 4 .22
British Pound Sterling 2 .78 2 .04 0 .74 16 .32 0 .36 4 .28 0 .08 6 .13
Japanese Yen 2 .21 2 .89 -0 .67 16 .05 0 .24 2 .83 0 .03 2 .09
Korean Won 1.23 0 .90 0 .33 19 .18 0 .16 1 .86 0 .02 1 .29
Swiss Franc 0 .95 1 .13 -0 .18 14 .23 0 .11 1 .31 0 .02 1 .61
Indian Rupee 0 .89 0 .65 0 .24 20 .18 0 .08 1 .00 0 .00 0 .37
Brazilian Real 0 .82 0 .56 0 .27 28 .40 0 .11 1 .30 0 .01 1 .17
New Taiwan Dollar 0 .65 0 .79 -0 .14 16 .64 0 .07 0 .88 0 .00 0 .14
Swedish Krona 0 .55 0 .32 0 .22 17 .40 0 .08 0 .91 0 .02 1 .28
Danish Krone 0 .41 0 .21 0 .20 19 .00 0 .05 0 .56 0 .01 1 .17
Canadian Dollar 0 .40 1 .24 -0 .85 15 .52 0 .05 0 .59 -0 .01 -0 .58
Australian Dollar 0 .39 0 .87 -0 .48 15 .56 0 .04 0 .52 -0 .01 -0 .89
South African Rand 0 .38 0 .43 -0 .05 25 .77 0 .06 0 .73 -0 .00 -0 .17
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BarraOne Total Plan Macro SummaryMacro factor models attribute the risk of the Barra Integrated Model to a far smaller set of factors. At the highest level, we use just six factors,representing the primary drivers of total risk and return for a global, multi-asset class portfolio that reduces the number of factors in an integratedfactor model by aggregating selected groups of factors into single factors. Tier I is the highlest level of the Macro Factor Scheme which has 6 factors.
COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
MODEL: BIM303L (Tier 1 Macro Factors)
For further documentation on Macro factors please refer to the Research Insight, Risk from Any Altitude: Using the BarraOne Macro Factors - March 2014 https://support.msci.com/docs/DOC-8681
Macro Fac tor Exposures
-1
0
1
2
3
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets
Exposure Benchmark Exposure Active Exposure
Macro Fac tor R isk Contr ibut ion
-2
0
2
4
6
8
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets-0.1
0
0.1
0.2
0.3
0.4
Portfolio Risk Contribution Active Portfolio Risk Contribution
Port RiskActive Port Risk
R isk Decomposi t ion
Exposure Contribution
Risk Source Exposure BenchmarkExposure
Active Exposure
Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Total Risk - - - 8.45 100.00 1.26 100.00
Local Market Risk - - - 8.06 95.30 1.21 96.08
Common Factor Risk - - - 8.03 94.94 1.14 90.38
Equity 0.64 0.62 0.03 7.31 86.53 0.16 12.45
Credit 1.91 1.91 -0.00 0.30 3.54 -0.00 -0.01
Pure Alternatives 0.07 0.00 0.07 0.05 0.54 0.31 24.40
Interest Rates 2.06 2.33 -0.27 -0.13 -1.49 0.03 2.07
Inflation 0.41 0.43 -0.02 0.04 0.45 -0.00 -0.06
Real Assets 0.04 0.07 -0.02 0.25 2.99 -0.08 -6.28
Factor Residual Risk - - - 0.20 2.38 0.73 57.79
Selection Risk - - - 0.03 0.37 0.07 5.70
Currency Risk - - - 0.40 4.70 0.05 3.92
T ier 1 Macro Fac tor Scheme has s ix fac tors
Factor Exposure Type DescriptionEquity Membership (weights) Global Public and Private EquityCredit Sensitivities (durations) Sensitivity to global credit spreadsPure Alternatives Membership (weights) Investment strategy return of Private Equity and
Hedge Funds net of public factor returnsInterest Rates Sensitivities (durations) Sensitivity to global interest ratesInflation Sensitivities (durations) Sensitivity to breakeven inflationReal Assets Membership (weights) Real Estate and Commodities
Fac tor Res idual R isk
Risk Source Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Commodities 0.00 0.00 0.00 0.00
Equity 0.29 3.46 0.27 21.75
Fixed Income -0.10 -1.13 0.02 1.85
Hedge Fund 0.00 0.00 0.00 0.00
Private Equity 0.05 0.61 0.34 27.43
Private Real Estate -0.06 -0.68 0.08 6.54
Unassigned Factors 0.01 0.12 0.00 0.22
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BarraOne Total Plan Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: zTest_BERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_BERS_New_Policy MARKET VALUE: 6,290,418,007POSITIONS: 5,737 ACCEPTED: 5,650
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Stress Scenarios
Top 10 Best Scenarios Top 10 Worst Scenarios
Scenario Portfolio P&L Benchmark P&L Market Change ($)
$200 per Barrel - Positive Expectation S 6.88 6.33 432,719,012
2001 Fed Rate Cut 5.11 4.78 321,677,952
2003 Iraq War 2.60 2.42 163,565,135
1995 US Dollar Rally 1.65 1.54 103,585,976
1999 Brazilian Real Crisis (Peak) 1.07 1.10 67,093,064
1994 Mexican Peso Crisis 0.58 0.59 36,336,062
1997-1998 Asian Financial Crisis -0.41 0.07 -26,033,035
1998 LTCM Collapse -1.51 -1.31 -95,191,007
2000 Emerging Market Decline -3.16 -2.81 -198,850,054
1989 - 1990 Nikkei Stock Price Correctio -3.44 -3.76 -216,108,506
Scenario Portfolio P&L Benchmark P&L Market Change ($)
2007-2009 Subprime and Credit Crisis -38.99 -36.45 -2,452,826,669
2008 - 2009 Global Financial Crisis -32.06 -30.38 -2,016,824,030
1987 Market Crash (Aug. to Nov.) -12.16 -11.74 -764,808,080
2007-2008 Equity Slow Grind -12.05 -10.70 -757,763,049
$200 per Barrel - Oil Supply Shock -11.56 -11.04 -726,926,805
1998 Russian Financial Crisis -9.42 -8.45 -592,789,417
2001 Sept 11 -8.15 -7.59 -512,844,050
2006 Emerging Market Crash -7.90 -7.29 -496,867,201
1990 Reunification of Germany -6.57 -6.25 -413,018,674
1973 - 1974 Oil Crisis -5.79 -5.58 -364,380,280
-5% -3% 0% 3% 5% 8%
1989 - 1990 Nikkei Stock Price Correction
2000 Emerging Market Decline
1998 LTCM Collapse
1997-1998 Asian Financial Crisis
1994 Mexican Peso Crisis
1999 Brazilian Real Crisis (Peak)
1995 US Dollar Rally
2003 Iraq War
2001 Fed Rate Cut
$200 per Barrel - Positive Expectation Spike
Portfolio P&L Benchmark P&L
-40% -30% -20% -10% 0%
1973 - 1974 Oil Crisis
1990 Reunification of Germany
2006 Emerging Market Crash
2001 Sept 11
1998 Russian Financial Crisis
$200 per Barrel - Oil Supply Shock
2007-2008 Equity Slow Grind
1987 Market Crash (Aug. to Nov.)
2008 - 2009 Global Financial Crisis
2007-2009 Subprime and Credit Crisis
Portfolio P&L Benchmark P&L
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BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 4,275,789,645POSITIONS: 2,980 ACCEPTED: 2,898
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 12.33
Benchmark Risk 11.50
Active Risk 1.79
Portfolio Beta 1.06
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 4,275,789,645 100.00 12.33 12.33 100.00
Alternative 795,726,304 18.61 13.16 2.13 17.31
Public 3,480,063,341 81.39 12.61 10.19 82.69
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Public
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 12.33 100.00 1.00 1.79 100.00 1.00
Local Market Risk 11.77 95.49 0.99 1.71 95.96 0.99
Common Factor Risk 11.72 95.12 0.99 1.61 89.93 0.96
Equity 11.29 91.60 0.99 0.61 34.37 0.57
Style 0.34 2.78 0.72 0.21 11.49 0.44
Industry 10.95 88.82 0.98 0.41 22.88 0.53
Fixed Income 0.01 0.05 0.11 -0.00 -0.08 -0.03
Nominal Rates -0.02 -0.15 -0.30 -0.01 -0.57 -0.16
Credit 0.02 0.20 0.62 0.01 0.72 0.32
Private Real Estate 0.28 2.27 0.57 0.00 0.10 0.00
Private Equity 0.14 1.16 0.11 0.99 55.44 0.74
Selection Risk 0.05 0.37 0.06 0.11 6.04 0.25
Currency Risk 0.56 4.51 0.39 0.07 4.04 0.28
Active Risk from Risk Factors
0
20
40
60
Equity Private Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
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BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 4,275,789,645POSITIONS: 2,980 ACCEPTED: 2,898
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 0.00 12.33 1.79 100.00 0.02
Asia Pacific 14.13 13.39 0.73 13.75 0.14 7.95 0.01
EMEA 16.42 12.79 3.63 14.95 0.37 20.45 0.02
Latin-S America 1.15 1.23 -0.09 23.72 -0.00 -0.06 0.03
N America 68.09 72.40 -4.31 12.53 1.28 71.71 0.00
N/A 0.00 0.00 0.00 9.56 -0.00 -0.00 -0.02
Rest of World 0.21 0.18 0.03 12.07 -0.00 -0.04 -0.02
-0.5
0
0.5
1
1.5
N America EMEA Asia Pacific Latin-S America Rest of World N/A-25
0
25
50
75
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
10 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 360 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 4,275,789,645POSITIONS: 2,980 ACCEPTED: 2,898
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.33 1.79 100.00 0.02
United States 65 .09 69 .61 -4 .52 12 .56 1 .22 68 .16 0 .05
China International 4 .92 3 .20 1 .72 19 .53 0 .08 4 .45 0 .09
United Kingdom 4.12 3 .00 1 .11 16 .22 0 .09 5 .22 0 .07
Japan 3 .26 4 .24 -0 .99 16 .05 0 .05 2 .95 0 .04
S. Korea 1 .96 1 .32 0 .64 19 .62 0 .02 1 .26 0 .07
Germany 1 .90 1 .58 0 .31 16 .71 0 .04 2 .09 0 .07
France 1 .66 2 .04 -0 .39 15 .58 0 .01 0 .49 0 .07
Switzerland 1 .41 1 .67 -0 .26 14 .18 0 .03 1 .81 0 .06
India 1 .31 0 .96 0 .35 20 .18 0 .00 0 .16 0 .05
Brazil 1 .21 0 .82 0 .39 28 .31 0 .02 0 .88 0 .08
Italy 1 .11 0 .42 0 .69 21 .11 0 .04 2 .10 0 .08
Netherlands 1 .09 0 .65 0 .44 20 .12 0 .04 2 .06 0 .08
Sweden 1.05 0 .48 0 .58 18 .10 0 .03 1 .56 0 .08
Taiwan 0.95 1 .16 -0 .21 16 .64 0 .01 0 .31 0 .06
Hong Kong 0 .93 0 .67 0 .26 21 .73 0 .01 0 .73 0 .07
Spain 0 .83 0 .53 0 .30 15 .52 0 .00 0 .25 0 .05
Singapore 0 .75 0 .28 0 .47 15 .03 0 .01 0 .30 0 .06
Canada 0 .63 1 .83 -1 .20 14 .52 0 .01 0 .53 0 .06
Denmark 0 .60 0 .31 0 .30 19 .00 0 .02 0 .95 0 .07
Australia 0 .58 1 .27 -0 .69 15 .51 -0 .00 -0 .24 0 .05
South Africa 0 .56 0 .64 -0 .08 25 .77 -0 .00 -0 .12 0 .08
Russia 0 .50 0 .43 0 .06 23 .08 0 .00 0 .22 0 .07
Thailand 0 .48 0 .32 0 .16 16 .06 0 .00 0 .08 0 .05
Norway 0 .45 0 .12 0 .33 22 .89 0 .02 1 .07 0 .09
Turkey 0 .43 0 .05 0 .37 37 .05 0 .02 1 .20 0 .10
Poland 0 .36 0 .12 0 .24 21 .82 0 .01 0 .53 0 .08
Indonesia 0 .33 0 .23 0 .10 22 .66 0 .00 0 .09 0 .05
Belgium 0.24 0 .17 0 .06 23 .38 0 .01 0 .62 0 .08
Malaysia 0 .22 0 .23 -0 .01 17 .45 0 .00 0 .06 0 .05
China 0 .14 0 .18 -0 .03 19 .05 -0 .00 -0 .06 0 .06 -20% 0% 20% 40% 60% 80%
China
Malaysia
Belgium
Indonesia
Poland
Turkey
Norway
Thailand
Russia
South Africa
Australia
Denmark
Canada
Singapore
Spain
Hong Kong
Taiwan
Sweden
Netherlands
Italy
Brazil
India
Switzerland
France
Germany
S. Korea
Japan
United Kingdom
China International
United States
Portfolio Weight Benchmark Weight Active Weight
11 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 361 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 4,275,789,645POSITIONS: 2,980 ACCEPTED: 2,898
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
Others
N/A
Frontier MarketEM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 2,879,585,652.72 70.25 66.72
Euro 297,131,356.89 8.40 7.66
Hong Kong Dollar 187,084,054.00 3.16 4.77
British Pound Sterling 174,869,470.34 5.28 4.35
Japanese Yen 139,294,398.69 2.95 2.87
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 77,137,709.66 0.92 1.86
Indian Rupee 55,906,229.81 0.16 0.97
Brazilian Real 51,719,039.39 0.88 1.29
New Taiwan Dollar 40,727,863.96 0.31 0.88
South African Rand 23,985,579.80 -0.12 0.73
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 12.33 12.33 100.00 1.79 100.00
US Dollar 67 .35 70 .61 -3 .26 12 .52 8 .22 66 .72 1 .26 70 .25
Euro 6 .95 5 .71 1 .24 15 .79 0 .94 7 .66 0 .15 8 .40
Hong Kong Dollar 4 .38 3 .03 1 .34 18 .00 0 .59 4 .77 0 .06 3 .16
British Pound Sterling 4 .09 3 .01 1 .08 16 .32 0 .54 4 .35 0 .09 5 .28
Japanese Yen 3 .26 4 .24 -0 .99 16 .05 0 .35 2 .87 0 .05 2 .95
Korean Won 1.80 1 .32 0 .48 19 .18 0 .23 1 .86 0 .02 0 .92
Swiss Franc 1 .40 1 .67 -0 .26 14 .23 0 .16 1 .33 0 .03 1 .82
Indian Rupee 1 .31 0 .96 0 .35 20 .18 0 .12 0 .97 0 .00 0 .16
Brazilian Real 1 .21 0 .82 0 .39 28 .40 0 .16 1 .29 0 .02 0 .88
New Taiwan Dollar 0 .95 1 .16 -0 .21 16 .64 0 .11 0 .88 0 .01 0 .31
Swedish Krona 0 .80 0 .48 0 .33 17 .40 0 .11 0 .92 0 .02 1 .00
Danish Krone 0 .60 0 .31 0 .30 19 .00 0 .07 0 .56 0 .02 0 .95
Canadian Dollar 0 .58 1 .83 -1 .25 15 .52 0 .07 0 .60 0 .01 0 .63
Australian Dollar 0 .57 1 .27 -0 .71 15 .56 0 .06 0 .52 -0 .00 -0 .24
South African Rand 0 .56 0 .64 -0 .08 25 .77 0 .09 0 .73 -0 .00 -0 .12
12 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 362 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 4,275,789,645POSITIONS: 2,980 ACCEPTED: 2,898
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.33 1.79 100.00 0.02
Communication Services 7.45 7.75 -0.30 13.04 0.05 2.84 0.06
Consumer Discretionary 11.84 9.78 2.06 14.93 0.19 10.58 0.08
Consumer Staples 4.90 6.64 -1.74 10.12 0.06 3.22 0.04
Energy 4.54 5.01 -0.46 19.00 0.04 2.00 0.07
Financials 13.03 14.96 -1.93 13.30 0.07 4.19 0.06
Health Care 11.49 10.72 0.77 14.80 0.35 19.68 0.09
Industrials 10.10 9.47 0.63 14.49 0.14 7.81 0.07
Information Technology 19.06 15.63 3.43 15.93 0.46 25.78 0.10
Materials 4.68 4.11 0.57 16.14 0.07 3.77 0.08
Others 7.55 9.68 -2.14 8.68 0.30 16.80 0.01
Real Estate 2.75 3.35 -0.60 12.10 0.04 2.39 0.04
Utilities 2.61 2.90 -0.29 8.79 0.02 0.94 0.02
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
13 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 363 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 3,480,063,341POSITIONS: 2,834 ACCEPTED: 2,780
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 12.61
Benchmark Risk 12.14
Active Risk 0.98
Portfolio Beta 1.04
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 3,480,063,341 100.00 12.61 12.61 100.00
Emerging Markets 448,845,276 12.90 15.35 1.64 13.01
Global 53,200,336 1.53 14.00 0.20 1.55
International FoF 61,174,139 1.76 11.96 0.19 1.53
U.S. Equity 2,069,452,908 59.47 12.94 7.43 58.96
World ex USA 847,390,682 24.35 13.72 3.15 24.95
Asset Class Allocation
0%
20%
40%
60%
Emerging Markets Global International FoF U.S. Equity World ex USA
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 12.61 100.00 1.00 0.98 100.00 1.00
Local Market Risk 12.02 95.35 0.99 0.94 96.61 0.99
Common Factor Risk 11.96 94.84 0.99 0.73 74.45 0.87
Equity 11.96 94.84 0.99 0.73 74.46 0.87
Style 0.41 3.24 0.72 0.36 36.92 0.67
Industry 11.55 91.60 0.99 0.37 37.54 0.67
Selection Risk 0.06 0.51 0.07 0.22 22.16 0.47
Currency Risk 0.59 4.65 0.39 0.03 3.39 0.20
Active Risk from Risk Factors
0
20
40
60
80
Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
14 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 364 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 3,480,063,341POSITIONS: 2,834 ACCEPTED: 2,780
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 0.00 12.61 0.98 100.00 0.01
Asia Pacific 16.69 16.26 0.43 13.74 0.28 28.96 0.02
EMEA 16.03 15.53 0.50 15.34 0.45 46.48 0.02
Latin-S America 1.31 1.50 -0.19 23.99 -0.01 -0.70 0.02
N America 65.79 66.49 -0.70 12.84 0.25 25.24 0.01
N/A 0.00 0.00 0.00 4.60 -0.00 -0.00 -0.04
Rest of World 0.19 0.22 -0.03 13.01 0.00 0.03 -0.03
-0.2
0
0.2
0.4
0.6
N America Asia Pacific EMEA Latin-S America Rest of World N/A-25
0
25
50
75
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
15 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 365 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 3,480,063,341POSITIONS: 2,834 ACCEPTED: 2,780
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.61 0.98 100.00 0.01
United States 62 .42 63 .10 -0 .68 12 .89 0 .14 14 .32 0 .06
China International 5 .78 3 .88 1 .89 19 .45 0 .14 14 .09 0 .12
Japan 4 .00 5 .15 -1 .15 16 .06 0 .11 11 .55 0 .05
United Kingdom 3.51 3 .65 -0 .13 16 .81 0 .09 8 .94 0 .06
S. Korea 2 .41 1 .61 0 .80 19 .62 0 .04 4 .31 0 .09
Germany 1 .78 1 .92 -0 .14 18 .71 0 .06 6 .19 0 .08
France 1 .60 2 .48 -0 .89 15 .66 0 .00 0 .32 0 .07
Switzerland 1 .57 2 .02 -0 .45 14 .16 0 .05 4 .96 0 .05
Brazil 1 .41 0 .99 0 .41 28 .64 0 .01 1 .28 0 .09
India 1 .40 1 .17 0 .24 20 .23 0 .01 0 .57 0 .06
Taiwan 1.17 1 .41 -0 .24 16 .64 0 .01 1 .05 0 .08
Hong Kong 1 .13 0 .81 0 .32 21 .80 0 .03 2 .72 0 .10
Netherlands 1 .13 0 .78 0 .34 22 .09 0 .06 5 .88 0 .09
Italy 1 .08 0 .50 0 .57 23 .99 0 .06 6 .14 0 .09
Sweden 0.99 0 .58 0 .41 19 .35 0 .02 2 .53 0 .08
Singapore 0 .89 0 .34 0 .55 15 .29 0 .01 0 .89 0 .07
South Africa 0 .69 0 .77 -0 .08 25 .77 -0 .00 -0 .15 0 .09
Spain 0 .68 0 .65 0 .03 19 .57 0 .01 1 .22 0 .05
Australia 0 .65 1 .55 -0 .90 16 .05 0 .01 0 .68 0 .05
Denmark 0 .62 0 .37 0 .24 19 .77 0 .02 1 .82 0 .07
Russia 0 .61 0 .52 0 .08 23 .08 0 .01 0 .82 0 .07
Thailand 0 .59 0 .39 0 .20 16 .06 0 .00 0 .26 0 .06
Turkey 0 .53 0 .07 0 .46 37 .05 0 .03 3 .50 0 .13
Norway 0 .50 0 .15 0 .35 23 .66 0 .02 2 .15 0 .09
Canada 0 .48 2 .22 -1 .74 14 .78 0 .02 1 .74 0 .05
Indonesia 0 .38 0 .28 0 .10 23 .11 0 .00 0 .32 0 .07
Poland 0 .32 0 .14 0 .18 23 .28 0 .01 0 .69 0 .08
Malaysia 0 .27 0 .28 -0 .00 17 .45 0 .00 0 .17 0 .06
Belgium 0.20 0 .21 -0 .01 27 .61 0 .01 1 .05 0 .07
Mexico 0 .12 0 .33 -0 .21 22 .26 -0 .00 -0 .11 0 .06 -20% 0% 20% 40% 60% 80%
Mexico
Belgium
Malaysia
Poland
Indonesia
Canada
Norway
Turkey
Thailand
Russia
Denmark
Australia
Spain
South Africa
Singapore
Sweden
Italy
Netherlands
Hong Kong
Taiwan
India
Brazil
Switzerland
France
Germany
S. Korea
United Kingdom
Japan
China International
United States
Portfolio Weight Benchmark Weight Active Weight
16 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 366 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 3,480,063,341POSITIONS: 2,834 ACCEPTED: 2,780
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
Others
N/A
Frontier MarketEM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 2,261,045,127.60 22.39 64.50
Euro 235,649,303.21 21.72 7.67
Hong Kong Dollar 186,568,848.14 11.53 5.82
Japanese Yen 139,165,790.89 11.55 3.50
British Pound Sterling 122,201,177.39 8.93 3.74
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 77,124,695.65 3.12 2.27
Brazilian Real 48,978,414.74 1.28 1.48
Indian Rupee 48,819,510.53 0.57 1.02
New Taiwan Dollar 40,727,863.96 1.05 1.07
South African Rand 23,985,579.80 -0.15 0.89
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 12.61 12.61 100.00 0.98 100.00
US Dollar 64 .97 64 .31 0 .66 12 .86 8 .13 64 .50 0 .22 22 .39
Euro 6 .77 6 .93 -0 .16 16 .50 0 .97 7 .67 0 .21 21 .72
Hong Kong Dollar 5 .36 3 .68 1 .68 18 .01 0 .73 5 .82 0 .11 11 .53
Japanese Yen 4 .00 5 .15 -1 .15 16 .06 0 .44 3 .50 0 .11 11 .55
British Pound Sterling 3 .51 3 .65 -0 .14 16 .81 0 .47 3 .74 0 .09 8 .93
Korean Won 2.22 1 .61 0 .61 19 .18 0 .29 2 .27 0 .03 3 .12
Swiss Franc 1 .57 2 .02 -0 .45 14 .16 0 .18 1 .45 0 .05 4 .96
Brazilian Real 1 .41 0 .99 0 .41 28 .64 0 .19 1 .48 0 .01 1 .28
Indian Rupee 1 .40 1 .17 0 .24 20 .23 0 .13 1 .02 0 .01 0 .57
New Taiwan Dollar 1 .17 1 .41 -0 .24 16 .64 0 .14 1 .07 0 .01 1 .05
South African Rand 0 .69 0 .77 -0 .08 25 .77 0 .11 0 .89 -0 .00 -0 .15
Swedish Krona 0 .68 0 .58 0 .11 18 .38 0 .10 0 .80 0 .01 1 .02
Australian Dollar 0 .63 1 .55 -0 .92 16 .12 0 .07 0 .58 0 .01 0 .67
Danish Krone 0 .62 0 .37 0 .24 19 .77 0 .07 0 .54 0 .02 1 .82
Thai Baht 0 .59 0 .39 0 .20 16 .06 0 .05 0 .42 0 .00 0 .26
17 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 367 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 3,480,063,341POSITIONS: 2,834 ACCEPTED: 2,780
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.61 0.98 100.00 0.01
Communication Services 8.69 8.51 0.17 13.11 0.08 7.80 0.06
Consumer Discretionary 13.38 10.84 2.54 14.89 0.21 21.43 0.09
Consumer Staples 5.78 7.43 -1.65 10.04 0.07 6.72 0.03
Energy 4.87 5.62 -0.75 19.34 0.04 4.41 0.06
Financials 15.26 16.83 -1.57 13.35 0.14 14.22 0.07
Health Care 11.01 11.63 -0.63 14.09 0.09 9.53 0.06
Industrials 10.54 10.50 0.04 14.76 0.08 8.48 0.07
Information Technology 18.94 16.87 2.07 15.86 0.13 13.70 0.09
Materials 5.37 4.70 0.67 16.14 0.06 6.61 0.08
Others 0.82 0.18 0.64 1.47 -0.04 -3.61 0.00
Real Estate 2.94 3.68 -0.74 12.67 0.05 5.38 0.06
Utilities 2.41 3.21 -0.80 10.80 0.05 5.33 0.02
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
18 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 368 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 795,726,304POSITIONS: 146 ACCEPTED: 118
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 13.16
Benchmark Risk 9.51
Active Risk 8.05
Portfolio Beta 1.10
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 795,726,304 100.00 13.16 13.16 100.00
Infrastructure 116,038,343 14.58 10.46 1.24 9.45
Private Equity 399,674,999 50.23 20.31 9.98 75.81
Private Real Estate 280,012,961 35.19 8.38 1.94 14.74
Asset Class Allocation
0%
20%
40%
60%
80%
Infrastructure Private Equity Private Real Estate
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 13.16 100.00 1.00 8.05 100.00 1.00
Local Market Risk 12.80 97.23 1.00 7.80 96.89 0.99
Common Factor Risk 12.74 96.80 0.99 7.64 94.84 0.98
Equity 7.24 55.01 0.81 1.07 13.32 0.33
Style 0.09 0.68 0.15 0.06 0.78 0.10
Industry 7.15 54.33 0.81 1.01 12.54 0.32
Fixed Income 0.04 0.32 0.14 -0.00 -0.04 -0.01
Nominal Rates -0.07 -0.50 -0.20 -0.04 -0.45 -0.11
Real Rates 0.00 0.00 0.00 -0.02 -0.20 -0.11
Credit 0.11 0.82 0.50 0.05 0.61 0.23
Private Real Estate 1.57 11.89 0.59 0.21 2.66 0.09
Private Equity 3.88 29.48 0.54 6.35 78.83 0.89
Unassigned Factors 0.01 0.10 0.32 0.01 0.07 0.14
Selection Risk 0.06 0.42 0.07 0.16 2.04 0.14
Currency Risk 0.36 2.77 0.29 0.25 3.11 0.20
Active Risk from Risk Factors
0
20
40
60
80
Equity Private Equity Private Real
Estate
Unassigned
Factors
Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
19 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 369 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 795,726,304POSITIONS: 146 ACCEPTED: 118
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 13.16 8.05 100.00 0.08
Asia Pacific 2.92 0.00 2.92 17.60 0.07 0.82 0.02
EMEA 18.12 0.00 18.12 16.51 1.18 14.63 0.05
Latin-S America 0.43 0.00 0.43 25.81 0.06 0.73 0.14
N America 78.18 100.00 -21.82 14.07 6.74 83.74 0.03
N/A 0.03 0.00 0.03 9.78 0.00 0.00 0.01
Rest of World 0.33 0.00 0.33 19.47 0.01 0.08 0.02
0
2
4
6
8
N America EMEA Asia Pacific Latin-S America Rest of World N/A-50
0
50
100
150
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
20 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 370 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 795,726,304POSITIONS: 146 ACCEPTED: 118
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 13.16 8.05 100.00 0.08
United States 76 .81 100 .00 -23 .19 14 .09 6 .62 82 .23 0 .04
United Kingdom 6.76 0 .00 6 .76 18 .04 0 .47 5 .80 0 .08
Germany 2 .41 0 .00 2 .41 13 .64 0 .11 1 .35 0 .05
France 1 .94 0 .00 1 .94 21 .79 0 .16 1 .95 0 .09
Spain 1 .50 0 .00 1 .50 11 .19 0 .03 0 .40 0 .03
Sweden 1.33 0 .00 1 .33 18 .90 0 .09 1 .12 0 .08
Canada 1 .28 0 .00 1 .28 18 .07 0 .12 1 .44 0 .10
Italy 1 .23 0 .00 1 .23 16 .29 0 .07 0 .81 0 .06
China International 1 .18 0 .00 1 .18 24 .62 0 .04 0 .53 0 .05
Netherlands 0 .90 0 .00 0 .90 14 .18 0 .04 0 .51 0 .06
India 0 .89 0 .00 0 .89 23 .48 0 .02 0 .19 0 .03
Switzerland 0 .68 0 .00 0 .68 21 .20 0 .05 0 .65 0 .09
Denmark 0 .54 0 .00 0 .54 25 .02 0 .05 0 .57 0 .10
Poland 0 .52 0 .00 0 .52 24 .09 0 .03 0 .41 0 .07
Belgium 0.40 0 .00 0 .40 23 .48 0 .04 0 .46 0 .10
Ireland 0 .40 0 .00 0 .40 8 .68 0 .00 0 .01 0 .01
Brazil 0 .37 0 .00 0 .37 29 .99 0 .06 0 .73 0 .17
Australia 0 .31 0 .00 0 .31 14 .33 0 .00 0 .05 0 .02
China 0 .30 0 .00 0 .30 24 .61 0 .01 0 .08 0 .03
Norway 0 .22 0 .00 0 .22 24 .75 0 .02 0 .21 0 .09
Portugal 0 .21 0 .00 0 .21 18 .11 0 .01 0 .14 0 .06
Vietnam 0.21 0 .00 0 .21 26 .67 0 .00 0 .01 0 .02
Singapore 0 .15 0 .00 0 .15 12 .44 0 .00 0 .01 0 .02
Indonesia 0 .13 0 .00 0 .13 28 .47 0 .00 0 .01 0 .02
United Arab Emirates 0 .11 0 .00 0 .11 25 .42 0 .01 0 .07 0 .06
Finland 0 .10 0 .00 0 .10 27 .16 0 .01 0 .11 0 .10
Greece 0 .07 0 .00 0 .07 43 .98 0 .01 0 .08 0 .11
Czech Rep 0 .05 0 .00 0 .05 13 .29 0 .00 0 .00 0 .02
Israel 0 .04 0 .00 0 .04 33 .93 0 .00 0 .04 0 .09
Hong Kong 0 .03 0 .00 0 .03 25 .47 0 .00 0 .01 0 .04 -50% 0% 50% 100%
Hong Kong
Israel
Czech Rep
Greece
Finland
United Arab Emirates
Indonesia
Singapore
Vietnam
Portugal
Norway
China
Australia
Brazil
Ireland
Belgium
Poland
Denmark
Switzerland
India
Netherlands
China International
Italy
Canada
Sweden
Spain
France
Germany
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
21 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 371 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 795,726,304POSITIONS: 146 ACCEPTED: 118
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 20% 40% 60% 80% 100%
N/A
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 618,540,525.12 82.21 80.41
Euro 61,482,053.68 5.87 6.48
British Pound Sterling 52,668,292.96 5.81 6.12
Swedish Krona 10,589,132.62 1.12 1.24
CNH 8,660,058.11 0.46 0.96
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 8,660,058.11 0.46 0.96
Indian Rupee 7,086,719.27 0.19 0.50
Polish Zloty 4,150,628.11 0.41 0.41
Brazilian Real 2,740,624.65 0.73 0.49
Chinese Yuan 1,816,468.56 0.07 0.14
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 13.16 13.16 100.00 8.05 100.00
US Dollar 77 .73 100 .00 -22 .27 13 .95 10 .58 80 .41 6 .62 82 .21
Euro 7 .73 0 .00 7 .73 16 .30 0 .85 6 .48 0 .47 5 .87
British Pound Sterling 6 .62 0 .00 6 .62 18 .42 0 .81 6 .12 0 .47 5 .81
Swedish Krona 1 .33 0 .00 1 .33 18 .90 0 .16 1 .24 0 .09 1 .12
CNH 1.09 0 .00 1 .09 24 .59 0 .13 0 .96 0 .04 0 .46
Canadian Dollar 1 .05 0 .00 1 .05 21 .87 0 .17 1 .30 0 .12 1 .46
Indian Rupee 0 .89 0 .00 0 .89 23 .48 0 .07 0 .50 0 .02 0 .19
Swiss Franc 0 .65 0 .00 0 .65 22 .08 0 .09 0 .66 0 .05 0 .65
Danish Krone 0 .54 0 .00 0 .54 25 .02 0 .07 0 .54 0 .05 0 .57
Polish Zloty 0 .52 0 .00 0 .52 24 .09 0 .05 0 .41 0 .03 0 .41
Brazilian Real 0 .34 0 .00 0 .34 31 .80 0 .06 0 .49 0 .06 0 .73
Australian Dollar 0 .31 0 .00 0 .31 14 .33 0 .02 0 .17 0 .00 0 .05
Chinese Yuan 0 .23 0 .00 0 .23 31 .07 0 .02 0 .14 0 .01 0 .07
Vietnamese Dong 0 .21 0 .00 0 .21 26 .67 0 .01 0 .05 0 .00 0 .01
Norwegian Krone 0 .19 0 .00 0 .19 28 .27 0 .03 0 .22 0 .02 0 .21
22 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 372 of 591
BarraOne Equity Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 795,726,304POSITIONS: 146 ACCEPTED: 118
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 13.16 8.05 100.00 0.08
Communication Services 2.06 4.20 -2.14 18.09 0.05 0.60 0.04
Consumer Discretionary 5.10 4.80 0.29 18.39 0.43 5.30 0.08
Consumer Staples 1.07 2.97 -1.90 17.70 0.08 0.99 0.03
Energy 3.14 2.14 0.99 19.11 0.22 2.79 0.09
Financials 3.28 6.26 -2.99 14.34 0.13 1.58 0.05
Health Care 13.60 6.44 7.16 21.93 1.96 24.36 0.12
Industrials 8.16 4.65 3.51 15.62 0.70 8.67 0.09
Information Technology 19.60 9.84 9.76 20.54 2.62 32.55 0.12
Materials 1.65 1.37 0.28 20.87 0.16 2.02 0.10
Others 36.97 54.03 -17.06 9.46 1.63 20.24 0.01
Real Estate 1.90 1.81 0.09 11.48 0.07 0.82 0.02
Utilities 3.47 1.48 2.00 5.83 0.01 0.09 0.01
-20%
0%
20%
40%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
23 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 373 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 2.73
Benchmark Risk 3.30
Active Risk 0.62
Portfolio Beta 0.83
Cont. to Eff. Duration 6.18
Convexity 0.68
Yield to Worst (%) 2.38
OAS to Swap (bp) 102.07
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 2,014,628,362 100.00 2.73 2.73 100.00
Alternative Credit 413,844,146 20.54 3.81 0.13 4.58
Fixed Income 1,600,784,216 79.46 3.42 2.61 95.42
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Credit Fixed Income
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 2.73 100.00 1.00 0.62 100.00 1.00
Local Market Risk 2.73 100.00 1.00 0.62 100.00 1.00
Common Factor Risk 2.73 99.88 1.00 0.61 98.00 0.99
Fixed Income 2.73 99.91 1.00 0.60 97.63 0.99
Nominal Rates 2.29 83.90 0.88 0.59 95.90 0.97
Real Rates 0.49 17.77 0.88 -0.00 -0.68 -0.50
Credit -0.05 -1.76 -0.04 0.01 2.41 0.12
Selection Risk 0.00 0.12 0.03 0.01 2.00 0.14
Active Risk from Risk Factors
0
20
40
60
80
100
Fixed Income Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
24 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 374 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Conventional 30 yr Mortgage 0.35 0.24 0.48 -0.24 -0.00 -0.23 0.02 0.02 3.12
US Materials B 2.23 0.03 0.02 0.02 0.01 0.40 -0.00 0.01 2.23
US Consumer Discretionary B 1.76 0.08 0.06 0.02 0.01 0.37 -0.00 0.01 1.60
US Industrials B 1.75 0.04 0.03 0.01 0.01 0.44 -0.01 0.01 1.13
US Financials B 1.82 0.03 0.02 0.01 0.00 0.25 0.00 0.01 0.88
US Energy B 3.42 0.04 0.03 0.00 0.01 0.36 -0.01 0.00 0.80
US CCC 2.79 0.01 0.00 0.00 0.01 0.39 -0.00 0.00 0.57
US Health Care BB 1.24 0.03 0.02 0.01 0.00 0.34 -0.00 0.00 0.39
US Health Care B 1.92 0.02 0.02 0.00 0.01 0.36 -0.00 0.00 0.31
US Financials BBB 0.46 0.12 0.10 0.02 0.00 0.25 0.00 0.00 0.30
%CR to Active Risk by Duration Buckets
-25%
0%
25%
50%
75%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Shift 0.49 4.90 5.96 -1.06 -0.00 -0.95 2.08 0.49 78.79
US Twist 0.17 2.03 2.95 -0.93 -0.00 -0.66 0.19 0.10 16.41
US Implied Volatility 16.23 -0.00 -0.00 0.00 0.05 0.31 0.01 0.01 0.84
US Inflation-protected 0.14 -0.23 -0.28 0.05 0.00 0.40 0.01 0.00 0.47
US Butterfly 0.12 -0.14 -0.19 0.05 0.00 0.40 0.01 0.00 0.39
US Municipal Butterfly 0.16 -0.00 -0.00 -0.00 0.00 0.17 0.00 -0.00 -0.01
US Municipal Twist 0.23 0.01 0.00 0.01 -0.00 -0.38 0.00 -0.00 -0.12
US Municipal Shift 0.43 0.01 0.00 0.01 -0.00 -0.72 0.00 -0.00 -0.41
US Inflation-protected 0.31 0.49 0.46 0.03 -0.00 -0.35 0.02 -0.00 -0.49
US Inflation-protected 0.46 1.27 1.26 0.02 -0.00 -0.56 0.46 -0.00 -0.66
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 6.18 0.11 0.25 0.72 1.09 0.75 0.32 0.57 1.29 0.70 0.01 0.00
Benchmark 7.21 0.08 0.17 0.87 1.30 0.90 0.44 0.81 1.46 0.79 0.01 0.00
Active -1.03 0.03 0.08 -0.16 -0.21 -0.15 -0.13 -0.24 -0.16 -0.09 -0.00 -0.00
-0.5
0.0
0.5
1.0
1.5
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
25 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 375 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 2.73 0.62 100.00 0.01
United States 93 .92 92 .53 1 .38 2 .82 0 .60 96 .84 -0 .03
Canada 1 .27 1 .37 -0 .10 3 .34 0 .00 0 .22 -0 .01
United Kingdom 1.24 1 .01 0 .23 3 .10 0 .00 0 .47 -0 .01
Jersey 0 .99 0 .01 0 .99 0 .00 0 .03 4 .88 -0 .00
Luxembourg 0 .46 0 .43 0 .03 5 .16 0 .00 0 .47 0 .01
Netherlands 0 .35 0 .58 -0 .23 3 .62 -0 .00 -0 .77 -0 .00
Ireland 0 .23 0 .17 0 .06 4 .02 0 .00 0 .18 -0 .01
World 0 .15 0 .48 -0 .33 4 .03 -0 .00 -0 .35 -0 .03
Switzerland 0 .15 0 .12 0 .03 3 .78 0 .00 0 .26 -0 .01
Germany 0 .13 0 .36 -0 .23 3 .20 -0 .00 -0 .52 -0 .01
Colombia 0 .12 0 .08 0 .04 9 .65 -0 .00 -0 .19 -0 .04
Japan 0 .09 0 .32 -0 .23 2 .77 -0 .00 -0 .50 -0 .02
France 0 .08 0 .25 -0 .17 5 .67 -0 .00 -0 .66 -0 .01
Italy 0 .08 0 .19 -0 .12 12 .10 -0 .00 -0 .38 -0 .01
Caymans 0 .07 0 .03 0 .04 10 .07 0 .00 0 .48 0 .02
Australia 0 .07 0 .13 -0 .06 8 .73 -0 .00 -0 .01 -0 .01
Venezuela 0 .07 0 .00 0 .07 2 .26 0 .00 0 .35 0 .00
Bermuda 0.07 0 .03 0 .03 4 .57 -0 .00 -0 .05 -0 .01
United Arab Emirates 0 .06 0 .03 0 .04 4 .95 0 .00 0 .18 -0 .02
Mexico 0 .06 0 .25 -0 .19 7 .58 0 .00 0 .20 -0 .03
Sweden 0.05 0 .11 -0 .06 1 .35 -0 .00 -0 .29 -0 .01
Belgium 0.05 0 .15 -0 .10 8 .07 0 .00 0 .28 -0 .05
Israel 0 .04 0 .02 0 .03 18 .42 -0 .00 -0 .03 -0 .03
Panama 0.04 0 .04 -0 .01 5 .00 0 .00 0 .03 -0 .03
Spain 0 .04 0 .06 -0 .03 2 .19 0 .00 0 .13 -0 .02
Indonesia 0 .02 0 .12 -0 .10 14 .84 -0 .00 -0 .10 -0 .04
Macao 0 .02 0 .05 -0 .03 8 .60 -0 .00 -0 .08 -0 .01
New Zealand 0 .02 0 .04 -0 .02 3 .49 -0 .00 -0 .10 0 .01
Finland 0 .01 0 .04 -0 .02 3 .21 -0 .00 -0 .08 -0 .01
Brazil 0 .01 0 .07 -0 .06 5 .52 -0 .00 -0 .17 -0 .01 -25% 0% 25% 50% 75% 100%
Brazil
Finland
New Zealand
Macao
Indonesia
Spain
Panama
Israel
Belgium
Sweden
Mexico
United Arab Emirates
Bermuda
Venezuela
Australia
Caymans
Italy
France
Japan
Colombia
Germany
Switzerland
World
Ireland
Netherlands
Luxembourg
Jersey
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
26 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 376 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 2,014,628,362.18 100.00 100.00
Top Five Exposure $ CR to AR (%) CR to TR (%)
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 2.73 2.73 100.00 0.62 100.00
US Dollar 100 .00 100 .00 -0 .00 2 .73 2 .73 100 .00 0 .62 100 .00
27 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 377 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 6.18 2.73 0.62 100.00 0.01
Government 54 .39 51 .32 3 .07 4 .41 3 .86 0 .50 81 .36 -0 .04
Mortgage Backed Security 8 .11 14 .20 -6 .09 0 .30 2 .60 -0 .03 -5 .37 -0 .02
Financial 6 .81 5 .72 1 .10 0 .20 2 .36 0 .07 10 .51 -0 .01
Consumer Discretionary 6 .42 6 .26 0 .16 0 .20 3 .63 0 .01 1 .68 -0 .00
Health Care 3 .29 3 .33 -0 .04 0 .14 3 .21 0 .01 1 .10 -0 .01
Energy 2 .92 2 .87 0 .05 0 .13 7 .15 0 .01 2 .14 0 .00
Industrial 2 .83 2 .96 -0 .13 0 .08 3 .41 0 .01 1 .19 0 .00
Agency 2 .61 1 .53 1 .08 0 .19 4 .21 -0 .02 -3 .19 -0 .03
Telecommunications 2 .49 2 .68 -0 .19 0 .08 4 .24 -0 .00 -0 .25 -0 .00
Materials 2 .20 1 .85 0 .35 0 .07 4 .48 0 .02 3 .45 0 .00
Technology 1 .83 1 .81 0 .02 0 .10 2 .65 -0 .00 -0 .15 -0 .02
Utility 1 .48 1 .41 0 .06 0 .10 3 .65 0 .00 0 .78 -0 .03
Asset Backed Security 1 .44 0 .12 1 .32 0 .04 2 .57 0 .02 3 .99 -0 .01
Consumer Staples 1 .07 1 .56 -0 .49 0 .06 3 .04 -0 .01 -1 .28 -0 .02
Others 0 .79 0 .02 0 .77 0 .00 0 .21 0 .02 3 .73 -0 .00
Transportation 0 .56 0 .57 -0 .01 0 .02 2 .70 0 .00 0 .52 -0 .02
Commercial Mortgage Backed 0 .40 0 .08 0 .32 0 .02 2 .63 0 .00 0 .79 -0 .02
Supranational 0 .15 0 .48 -0 .33 0 .01 4 .03 -0 .00 -0 .35 -0 .03
Local/Provincial 0 .11 0 .24 -0 .12 0 .01 6 .45 -0 .00 -0 .69 -0 .03
Sovereign 0 .11 1 .01 -0 .90 0 .01 7 .21 0 .00 0 .03 -0 .03
Collateralized Debt Obligat 0 .00 0 .00 -0 .00 0 .00 0 .00 -0 .00 -0 .00 -0 .00
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .00 -0 .00 -0 .01 -0 .00
-20% 0% 20% 40% 60%
Mortgage Backed Security
Sovereign
Consumer Staples
Telecommunications
Industrial
Health Care
Transportation
Technology
Energy
Utility
Consumer Discretionary
Materials
Others
Agency
Financial
Asset Backed Security
Government
Portfolio Weight Benchmark Weight Active Weight
28 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 378 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 2,014,628,362POSITIONS: 2,757 ACCEPTED: 2,752
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 6.18 6.49 2.73 0.62 100.00
Aaa 65.38 67 .18 -1 .79 4 .94 7 .71 3 .62 0 .45 71 .92
Aa1 0.25 0 .26 -0 .02 0 .02 8 .09 4 .16 -0 .00 -0 .35
Aa2 0.15 0 .62 -0 .47 0 .01 8 .60 4 .14 -0 .00 -0 .29
Aa3 0.30 0 .62 -0 .32 0 .02 7 .94 3 .96 -0 .00 -0 .60
A1 0.82 1 .48 -0 .66 0 .05 5 .82 2 .75 0 .01 0 .89
A2 1.15 1 .67 -0 .52 0 .07 6 .48 3 .14 0 .00 0 .53
A3 1.01 2 .02 -1 .02 0 .07 7 .43 3 .75 0 .01 1 .08
Baa1 1.96 2 .14 -0 .18 0 .14 7 .42 3 .66 0 .01 1 .87
Baa2 2.41 2 .42 -0 .01 0 .18 7 .62 3 .80 0 .00 0 .33
Baa3 2.18 1 .88 0 .30 0 .17 7 .79 4 .05 -0 .02 -2 .58
Ba1 1.43 2 .05 -0 .62 0 .05 4 .17 3 .55 -0 .02 -2 .57
Ba2 2.80 2 .27 0 .53 0 .07 3 .08 2 .73 0 .01 2 .24
Ba3 3.71 3 .44 0 .27 0 .08 2 .77 2 .79 0 .01 2 .08
B1 3.15 2 .62 0 .52 0 .06 2 .56 3 .95 0 .02 3 .38
B2 3.80 3 .41 0 .39 0 .05 2 .85 4 .76 0 .02 3 .40
B3 2.67 2 .23 0 .44 0 .07 3 .13 5 .43 0 .02 3 .21
Caa1 1 .12 1 .07 0 .05 0 .02 2 .23 5 .44 0 .00 0 .38
Caa2 0 .90 0 .84 0 .06 0 .02 2 .87 9 .04 0 .00 0 .58
Caa3 0 .03 0 .08 -0 .05 0 .00 1 .85 6 .27 -0 .00 -0 .36
Ca 0.09 0 .13 -0 .04 0 .00 3 .16 15 .30 -0 .00 -0 .16
C 0.00 0 .02 -0 .02 0 .00 2 .04 15 .77 -0 .00 -0 .11
WR 0.15 0 .32 -0 .18 0 .00 3 .60 14 .98 -0 .00 -0 .50
NR 0.00 0 .03 -0 .03 0 .00 0 .00 0 .00 0 .00 0 .05
Not Rated 4 .54 1 .20 3 .34 0 .07 2 .46 1 .06 0 .10 15 .57
-20% 0% 20% 40% 60% 80%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
29 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 379 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.42
Benchmark Risk 3.30
Active Risk 0.75
Portfolio Beta 1.01
Cont. to Eff. Duration 7.27
Convexity 0.93
Yield to Worst (%) 2.10
OAS to Swap (bp) 61.23
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 1,600,784,216 100.00 3.42 3.42 100.00
Cash 31,265,257 1.95 0.01 0.00 0.00
Credit 234,124,429 14.63 3.52 0.46 13.40
Long Intermediate Treasury 575,586,037 35.96 6.05 2.12 61.95
Mortgages 203,279,840 12.70 2.42 0.22 6.53
Short Term Treasury 249,046,563 15.56 0.78 0.10 2.90
TIPS 302,304,731 18.88 3.34 0.51 15.04
Asset Class Allocation
0%
20%
40%
60%
80%
Cash
Credit
Long Intermediate
Treasury
Mortgages
Short Term Treasury
TIPS
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.42 100.00 1.00 0.75 100.00 1.00
Local Market Risk 3.42 100.00 1.00 0.75 100.00 1.00
Common Factor Risk 3.42 99.96 1.00 0.74 98.52 0.99
Fixed Income 3.42 99.98 1.00 0.74 98.67 0.99
Nominal Rates 2.93 85.71 0.97 -0.08 -10.01 -0.39
Real Rates 0.58 16.89 0.83 0.00 0.09 0.00
Credit -0.09 -2.62 -0.20 0.82 108.59 0.98
Selection Risk 0.00 0.04 0.02 0.01 1.48 0.12
Active Risk from Risk Factors
0
20
40
60
80
100
Fixed Income Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
30 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 380 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Consumer Discretionary B 1.76 0.00 0.06 -0.06 -0.02 -0.92 0.00 0.10 12.93
US Energy B 3.42 0.00 0.03 -0.03 -0.03 -0.80 0.00 0.09 11.32
US Telecom B 1.90 0.00 0.03 -0.03 -0.02 -0.86 0.00 0.06 7.53
US Industrials B 1.75 0.00 0.03 -0.03 -0.02 -0.93 0.00 0.04 5.53
US Materials B 2.23 0.00 0.02 -0.02 -0.02 -0.90 0.00 0.03 4.49
US Energy CCC 7.43 0.00 0.01 -0.01 -0.05 -0.72 0.00 0.03 4.29
US Health Care B 1.92 0.00 0.02 -0.02 -0.02 -0.79 0.00 0.03 4.19
US Energy BB 1.33 0.00 0.03 -0.03 -0.01 -0.86 -0.00 0.03 4.08
US Consumer Discretionary CCC 3.16 0.00 0.01 -0.01 -0.03 -0.82 0.00 0.03 3.98
US Financials B 1.82 0.00 0.02 -0.02 -0.01 -0.76 0.00 0.03 3.78
%CR to Active Risk by Duration Buckets
0%
10%
20%
30%
40%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Inflation-protected 0.31 0.62 0.46 0.15 0.00 0.42 0.05 0.02 2.65
US Implied Volatility 16.23 -0.00 -0.00 0.00 0.03 0.20 0.01 0.00 0.51
US Municipal Shift 0.43 0.02 0.00 0.01 0.00 0.12 0.00 0.00 0.08
US Inflation-protected 0.14 -0.29 -0.28 -0.01 -0.00 -0.26 0.02 0.00 0.05
US Municipal Twist 0.23 0.01 0.00 0.01 0.00 0.10 0.00 0.00 0.03
US Municipal Butterfly 0.16 -0.00 -0.00 -0.00 -0.00 -0.11 0.00 0.00 0.01
US Twist 0.17 2.73 2.95 -0.22 0.00 0.14 0.28 -0.01 -0.68
US Butterfly 0.12 0.16 -0.19 0.35 -0.00 -0.21 -0.01 -0.01 -1.25
US Inflation-protected 0.46 1.60 1.26 0.34 -0.00 -0.12 0.51 -0.02 -2.61
US Shift 0.49 5.65 5.96 -0.31 0.00 0.44 2.65 -0.07 -8.71
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 7.27 0.10 0.27 0.75 1.25 0.90 0.39 0.71 1.62 0.88 0.01 0.00
Benchmark 7.21 0.08 0.17 0.87 1.30 0.90 0.44 0.81 1.46 0.79 0.01 0.00
Active 0.05 0.02 0.10 -0.12 -0.05 -0.00 -0.05 -0.10 0.17 0.09 0.00 -0.00
-1.0
0.0
1.0
2.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
31 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 381 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 3.42 0.75 100.00 0.01
United States 96 .04 92 .53 3 .50 3 .49 0 .62 81 .70 0 .00
Jersey 1 .25 0 .01 1 .24 0 .00 -0 .00 -0 .28 -0 .00
United Kingdom 0.93 1 .01 -0 .08 3 .60 0 .02 2 .78 -0 .01
Canada 0 .38 1 .37 -0 .99 3 .51 0 .03 4 .06 -0 .02
World 0 .19 0 .48 -0 .29 4 .03 -0 .00 -0 .28 0 .01
Colombia 0 .15 0 .08 0 .07 9 .65 -0 .00 -0 .33 -0 .03
Switzerland 0 .14 0 .12 0 .02 2 .24 0 .00 0 .38 -0 .01
Ireland 0 .11 0 .17 -0 .06 3 .31 0 .00 0 .63 -0 .02
Japan 0 .11 0 .32 -0 .21 2 .77 0 .00 0 .00 0 .00
Italy 0 .10 0 .19 -0 .10 12 .10 0 .00 0 .54 -0 .05
Bermuda 0.07 0 .03 0 .04 4 .99 0 .00 0 .21 -0 .01
Netherlands 0 .07 0 .58 -0 .50 3 .16 0 .02 2 .42 -0 .03
Mexico 0 .07 0 .25 -0 .19 8 .74 0 .00 0 .60 -0 .03
Sweden 0.06 0 .11 -0 .05 1 .35 0 .00 0 .07 -0 .00
Belgium 0.06 0 .15 -0 .09 8 .07 0 .00 0 .01 0 .00
Germany 0 .06 0 .36 -0 .30 0 .93 0 .00 0 .13 -0 .00
Australia 0 .05 0 .13 -0 .08 0 .75 0 .00 0 .29 -0 .01
Spain 0 .04 0 .06 -0 .02 2 .19 0 .00 0 .10 -0 .01
Israel 0 .04 0 .02 0 .02 21 .52 -0 .00 -0 .27 -0 .05
Panama 0.04 0 .04 -0 .00 5 .51 0 .00 0 .06 -0 .02
Indonesia 0 .03 0 .12 -0 .09 14 .84 0 .00 0 .20 -0 .02
Peru 0 .01 0 .04 -0 .03 11 .08 0 .00 0 .09 -0 .02
Uruguay 0 .01 0 .03 -0 .02 14 .89 0 .00 0 .08 -0 .03
United Arab Emirates 0 .00 0 .03 -0 .03 0 .00 0 .00 0 .10 -0 .02
Austria 0 .00 0 .02 -0 .02 0 .00 -0 .00 -0 .00 0 .00
Bahamas 0.00 0 .00 -0 .00 0 .00 0 .00 0 .01 -0 .04
Brazil 0 .00 0 .07 -0 .07 0 .00 0 .00 0 .34 -0 .04
Chile 0 .00 0 .03 -0 .03 0 .00 0 .00 0 .03 -0 .01
China 0 .00 0 .09 -0 .09 0 .00 0 .00 0 .04 -0 .00
Caymans 0 .00 0 .03 -0 .03 0 .00 0 .00 0 .17 -0 .04 -25% 0% 25% 50% 75% 100%
Caymans
China
Chile
Brazil
Bahamas
Austria
United Arab Emirates
Uruguay
Peru
Indonesia
Panama
Israel
Spain
Australia
Germany
Belgium
Sweden
Mexico
Netherlands
Bermuda
Italy
Japan
Ireland
Switzerland
Colombia
World
Canada
United Kingdom
Jersey
United States
Portfolio Weight Benchmark Weight Active Weight
32 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 382 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 1,600,784,216.38 100.00 100.00
Top Five Exposure $ CR to AR (%) CR to TR (%)
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 3.42 3.42 100.00 0.75 100.00
US Dollar 100 .00 100 .00 -0 .00 3 .42 3 .42 100 .00 0 .75 100 .00
33 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 383 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 7.27 3.42 0.75 100.00 0.01
Government 68 .43 51 .32 17 .11 5 .55 3 .86 -0 .01 -1 .82 0 .02
Mortgage Backed Security 10 .20 14 .20 -4 .00 0 .38 2 .60 -0 .01 -1 .84 0 .00
Financial 5 .54 5 .72 -0 .18 0 .21 2 .10 0 .05 7 .03 -0 .01
Agency 3 .28 1 .53 1 .76 0 .24 4 .21 0 .03 4 .40 0 .01
Asset Backed Security 1 .81 0 .12 1 .70 0 .05 2 .57 0 .01 1 .01 0 .01
Health Care 1 .56 3 .33 -1 .77 0 .13 4 .30 0 .07 9 .36 -0 .01
Consumer Discretionary 1 .54 6 .26 -4 .72 0 .13 4 .58 0 .17 22 .21 -0 .03
Utility 1 .25 1 .41 -0 .17 0 .12 4 .76 0 .01 1 .59 0 .00
Technology 1 .24 1 .81 -0 .57 0 .10 3 .94 0 .02 3 .12 -0 .01
Energy 1 .08 2 .87 -1 .79 0 .08 4 .82 0 .14 18 .17 -0 .05
Consumer Staples 0 .85 1 .56 -0 .71 0 .07 4 .33 0 .02 2 .16 -0 .01
Industrial 0 .70 2 .96 -2 .27 0 .04 2 .88 0 .08 10 .46 -0 .02
Commercial Mortgage Backed 0 .50 0 .08 0 .42 0 .02 2 .63 0 .00 0 .33 0 .01
Telecommunications 0 .49 2 .68 -2 .18 0 .05 7 .15 0 .09 12 .54 -0 .04
Others 0 .39 0 .02 0 .37 0 .00 0 .11 0 .00 0 .01 -0 .00
Materials 0 .38 1 .85 -1 .47 0 .03 5 .24 0 .06 7 .73 -0 .03
Transportation 0 .31 0 .57 -0 .27 0 .03 4 .47 0 .01 1 .03 -0 .01
Supranational 0 .19 0 .48 -0 .29 0 .01 4 .03 -0 .00 -0 .28 0 .01
Sovereign 0 .14 1 .01 -0 .88 0 .01 7 .21 0 .02 2 .72 -0 .02
Local/Provincial 0 .12 0 .24 -0 .12 0 .02 7 .33 0 .00 0 .07 0 .01
Collateralized Debt Obligat 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
-20% 0% 20% 40% 60% 80%
Consumer Discretionary
Mortgage Backed Security
Industrial
Telecommunications
Energy
Health Care
Materials
Sovereign
Consumer Staples
Technology
Financial
Utility
Asset Backed Security
Agency
Government
Portfolio Weight Benchmark Weight Active Weight
34 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 384 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Fixed Income ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 1,600,784,216POSITIONS: 1,598 ACCEPTED: 1,595
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 7.27 7.44 3.42 0.75 100.00
Aaa 82.28 67 .18 15 .11 6 .22 7 .71 3 .62 0 .01 1 .19
Aa1 0.31 0 .26 0 .05 0 .02 8 .09 4 .16 0 .00 0 .05
Aa2 0.18 0 .62 -0 .43 0 .02 8 .60 4 .14 -0 .00 -0 .12
Aa3 0.38 0 .62 -0 .24 0 .03 7 .94 3 .96 0 .00 0 .51
A1 1.03 1 .48 -0 .45 0 .06 5 .82 2 .75 0 .00 0 .39
A2 1.44 1 .67 -0 .23 0 .09 6 .48 3 .14 0 .00 0 .03
A3 1.27 2 .02 -0 .76 0 .09 7 .43 3 .75 0 .00 0 .57
Baa1 2.47 2 .14 0 .33 0 .18 7 .42 3 .66 -0 .00 -0 .56
Baa2 2.98 2 .42 0 .57 0 .23 7 .67 3 .83 0 .00 0 .06
Baa3 2.35 1 .88 0 .47 0 .20 8 .41 4 .40 0 .00 0 .28
Ba1 0.53 2 .05 -1 .52 0 .04 7 .09 6 .45 0 .04 5 .74
Ba2 0.14 2 .27 -2 .12 0 .01 7 .85 8 .83 0 .05 6 .68
Ba3 0.04 3 .44 -3 .41 0 .00 8 .19 9 .67 0 .10 12 .81
B1 0.00 2 .62 -2 .62 0 .00 0 .00 0 .00 0 .11 13 .96
B2 0.02 3 .41 -3 .39 0 .00 5 .66 3 .15 0 .16 20 .79
B3 0.00 2 .23 -2 .23 0 .00 0 .07 2 .35 0 .12 15 .26
Caa1 0 .00 1 .07 -1 .07 0 .00 0 .00 0 .00 0 .06 8 .43
Caa2 0 .00 0 .84 -0 .84 0 .00 0 .00 0 .00 0 .08 10 .09
Caa3 0 .00 0 .08 -0 .08 0 .00 0 .00 0 .00 0 .00 0 .61
Ca 0.00 0 .13 -0 .12 0 .00 4 .43 16 .47 0 .01 1 .14
C 0.00 0 .02 -0 .02 0 .00 0 .00 0 .00 0 .00 0 .14
WR 0.04 0 .32 -0 .28 0 .00 4 .85 3 .22 0 .00 0 .47
NR 0.00 0 .03 -0 .03 0 .00 0 .00 0 .00 -0 .00 -0 .05
Not Rated 4 .52 1 .20 3 .33 0 .08 2 .49 1 .19 0 .01 1 .53
-25% 0% 25% 50% 75% 100%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
35 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 385 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.81
Benchmark Risk 3.97
Active Risk 0.44
Portfolio Beta 0.95
Cont. to Eff. Duration 1.98
Convexity -0.25
Yield to Worst (%) 6.12
OAS to Swap (bp) 431.37
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 413,844,146 100.00 3.81 3.81 100.00
Bank Loans 123,051,374 29.73 3.83 1.09 28.57
Enhanced 290,792,772 70.27 3.90 2.72 71.43
Asset Class Allocation
0%
20%
40%
60%
80%
Bank Loans Enhanced
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.81 100.00 1.00 0.44 100.00 1.00
Local Market Risk 3.81 100.00 1.00 0.44 100.00 1.00
Common Factor Risk 3.77 99.08 1.00 0.13 28.28 0.53
Equity 0.02 0.41 0.60 -0.00 -1.01 -0.17
Style 0.01 0.18 0.53 -0.00 -0.44 -0.15
Industry 0.01 0.23 0.56 -0.00 -0.57 -0.16
Fixed Income 3.75 98.67 1.00 0.13 29.29 0.53
Nominal Rates -0.30 -7.86 -0.29 0.00 0.00 0.00
Credit 4.05 106.53 0.97 0.13 29.29 0.48
Selection Risk 0.03 0.92 0.10 0.32 71.72 0.85
Active Risk from Risk Factors
0
20
40
60
80
Fixed Income Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
36 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 386 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Telecom B 1.90 0.14 0.19 -0.05 -0.01 -0.39 0.22 0.03 7.68
US Telecom CCC 4.46 0.02 0.04 -0.02 -0.02 -0.37 0.07 0.03 6.12
US Financials BB 1.11 0.10 0.17 -0.08 -0.00 -0.30 0.09 0.03 5.86
US Materials BB 1.19 0.05 0.11 -0.06 -0.00 -0.30 0.06 0.02 4.81
US Health Care CCC 2.43 0.05 0.07 -0.02 -0.01 -0.34 0.09 0.02 4.17
US Consumer Staples B-BB 1.12 0.04 0.09 -0.05 -0.00 -0.33 0.04 0.02 3.90
US Telecom BB 1.13 0.10 0.14 -0.04 -0.00 -0.39 0.10 0.02 3.59
US Industrials BB 1.14 0.09 0.12 -0.04 -0.00 -0.33 0.09 0.01 3.09
US Consumer Discretionary BB 0.92 0.11 0.15 -0.04 -0.00 -0.33 0.09 0.01 2.65
US Consumer Discretionary CCC 3.16 0.05 0.06 -0.01 -0.01 -0.25 0.12 0.01 2.63
%CR to Active Risk by Duration Buckets
-20%
0%
20%
40%
60%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Twist 0.17 -0.69 -0.61 -0.08 -0.00 -0.04 0.01 0.00 0.12
US Implied Volatility 16.23 -0.00 -0.00 0.00 0.03 0.19 0.01 0.00 0.08
US Butterfly 0.12 -1.32 -1.48 0.16 0.00 0.01 -0.02 0.00 0.02
US Municipal Twist 0.23 -0.00 0.00 -0.00 -0.00 -0.02 0.00 0.00 0.00
US Municipal Butterfly 0.16 -0.00 0.00 -0.00 -0.00 -0.03 -0.00 0.00 0.00
US Municipal Shift 0.43 0.00 0.00 0.00 -0.00 -0.13 -0.00 -0.00 -0.03
US Shift 0.49 1.99 2.18 -0.19 0.00 0.01 -0.30 -0.00 -0.19
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 1.98 0.15 0.18 0.58 0.47 0.16 0.03 0.02 0.01 0.00 0.00 -0.00
Benchmark 2.16 0.13 0.18 0.63 0.52 0.18 0.07 0.04 0.02 0.00 0.00 0.00
Active -0.18 0.02 -0.01 -0.05 -0.05 -0.02 -0.04 -0.01 -0.01 -0.00 -0.00 -0.00
-0.3
0.0
0.3
0.5
0.8
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
37 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 387 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 3.81 0.44 100.00 0.00
United States 85 .72 84 .10 1 .62 3 .83 0 .34 77 .36 -0 .01
Canada 4 .72 4 .34 0 .38 3 .73 0 .02 3 .98 -0 .01
United Kingdom 2.46 2 .32 0 .14 4 .34 0 .02 4 .90 -0 .02
Luxembourg 2 .23 2 .20 0 .03 5 .16 0 .02 5 .10 -0 .02
Netherlands 1 .42 2 .09 -0 .67 4 .11 0 .01 2 .11 -0 .02
Ireland 0 .69 0 .47 0 .22 5 .96 0 .00 0 .65 -0 .02
Germany 0 .41 0 .50 -0 .09 4 .69 -0 .00 -0 .26 -0 .01
France 0 .39 0 .76 -0 .37 5 .67 0 .00 1 .12 -0 .03
Caymans 0 .36 0 .16 0 .20 10 .07 0 .00 0 .03 -0 .01
Venezuela 0 .33 0 .00 0 .33 2 .26 0 .00 1 .11 -0 .00
United Arab Emirates 0 .31 0 .00 0 .31 4 .95 0 .00 0 .92 -0 .00
Switzerland 0 .21 0 .25 -0 .04 11 .61 -0 .00 -0 .15 -0 .02
Australia 0 .16 0 .31 -0 .14 18 .43 -0 .00 -0 .35 -0 .01
Macao 0 .12 0 .20 -0 .09 8 .60 -0 .00 -0 .07 -0 .01
New Zealand 0 .10 0 .19 -0 .09 3 .49 -0 .00 -0 .22 -0 .01
Finland 0 .06 0 .11 -0 .05 3 .21 0 .00 0 .24 -0 .02
Mexico 0 .05 0 .00 0 .05 6 .15 0 .00 0 .14 -0 .01
Brazil 0 .05 0 .15 -0 .10 5 .52 -0 .00 -0 .19 -0 .01
Hong Kong 0 .05 0 .00 0 .05 8 .05 0 .00 0 .15 -0 .00
Bermuda 0.05 0 .06 -0 .01 10 .95 0 .00 0 .47 -0 .04
Israel 0 .05 0 .00 0 .05 8 .28 0 .00 0 .09 -0 .01
Malta 0 .04 0 .04 -0 .00 10 .32 -0 .00 -0 .00 -0 .01
Panama 0.02 0 .06 -0 .04 5 .99 -0 .00 -0 .03 -0 .01
Austria 0 .00 0 .01 -0 .01 0 .00 -0 .00 -0 .03 -0 .00
China 0 .00 0 .04 -0 .04 0 .00 0 .00 0 .01 -0 .02
Spain 0 .00 0 .05 -0 .05 0 .00 0 .00 0 .05 -0 .02
India 0 .00 0 .04 -0 .04 0 .00 -0 .00 -0 .01 -0 .02
Italy 0 .00 0 .96 -0 .96 0 .00 0 .02 4 .30 -0 .04
Jersey 0 .00 0 .04 -0 .04 0 .00 -0 .00 -0 .11 -0 .00
Monaco 0 .00 0 .07 -0 .07 0 .00 -0 .00 -0 .13 -0 .01 -25% 0% 25% 50% 75% 100%
Monaco
Jersey
Italy
India
Spain
China
Austria
Panama
Malta
Israel
Bermuda
Hong Kong
Brazil
Mexico
Finland
New Zealand
Macao
Australia
Switzerland
United Arab Emirates
Venezuela
Caymans
France
Germany
Ireland
Netherlands
Luxembourg
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
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Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 388 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 413,844,145.80 100.00 100.00
Top Five Exposure $ CR to AR (%) CR to TR (%)
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 3.81 3.81 100.00 0.44 100.00
US Dollar 100 .00 100 .00 -0 .00 3 .81 3 .81 100 .00 0 .44 100 .00
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Page 389 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 1.98 3.81 0.44 100.00 0.00
Consumer Discretionary 25 .29 26 .62 -1 .33 0 .47 3 .92 0 .01 2 .93 -0 .01
Financial 11 .74 9 .98 1 .75 0 .19 3 .97 0 .08 17 .32 -0 .01
Industrial 11 .09 11 .89 -0 .81 0 .22 4 .06 0 .01 2 .90 -0 .01
Telecommunications 10 .19 11 .48 -1 .29 0 .21 4 .24 0 .09 21 .16 -0 .02
Energy 10 .01 9 .35 0 .66 0 .31 8 .82 0 .09 21 .32 -0 .02
Health Care 9 .98 10 .68 -0 .71 0 .19 4 .35 0 .05 10 .75 -0 .02
Materials 9 .22 7 .72 1 .50 0 .19 4 .75 0 .03 7 .09 -0 .01
Technology 4 .11 4 .25 -0 .14 0 .09 3 .06 0 .01 2 .10 -0 .01
Utility 2 .37 2 .58 -0 .21 0 .05 5 .24 0 .02 4 .00 -0 .00
Others 2 .34 0 .09 2 .25 0 .01 0 .32 0 .04 8 .74 -0 .00
Consumer Staples 1 .90 3 .52 -1 .62 0 .04 2 .54 -0 .00 -0 .83 -0 .01
Transportation 1 .57 1 .48 0 .09 0 .01 3 .37 0 .01 2 .56 -0 .01
Local/Provincial 0 .10 0 .22 -0 .11 0 .00 9 .70 0 .00 0 .07 -0 .01
Government 0 .09 0 .00 0 .09 0 .00 2 .83 0 .00 0 .36 0 .00
Asset Backed Security 0 .00 0 .13 -0 .13 0 .00 0 .00 -0 .00 -0 .46 -0 .00
-10% 0% 10% 20% 30%
Consumer Staples
Consumer Discretionary
Telecommunications
Industrial
Health Care
Utility
Technology
Transportation
Energy
Materials
Financial
Others
Portfolio Weight Benchmark Weight Active Weight
40 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 390 of 591
BarraOne Fixed Income Summary COMPANY: NYCRS - BERS CURRENCY: USDPORTFOLIO: Alternative Credit ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative Credit MARKET VALUE: 413,844,146POSITIONS: 1,159 ACCEPTED: 1,157
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 1.98 2.80 3.81 0.44 100.00
Baa2 0.18 0 .09 0 .09 0 .01 4 .36 3 .50 0 .00 0 .17
Baa3 1.55 0 .93 0 .62 0 .06 4 .18 2 .90 0 .02 4 .86
Ba1 4.92 8 .99 -4 .07 0 .12 2 .95 2 .68 0 .02 5 .61
Ba2 13.06 11 .78 1 .28 0 .31 2 .88 2 .60 0 .02 4 .53
Ba3 17.91 18 .36 -0 .45 0 .36 2 .72 2 .76 0 .03 7 .12
B1 15.32 13 .99 1 .33 0 .27 2 .56 3 .95 0 .03 6 .06
B2 18.43 18 .18 0 .25 0 .23 2 .84 4 .78 0 .05 10 .41
B3 13.00 11 .88 1 .12 0 .34 3 .13 5 .43 0 .04 8 .37
Caa1 5 .47 5 .71 -0 .24 0 .11 2 .23 5 .44 0 .08 17 .84
Caa2 4 .40 4 .48 -0 .08 0 .10 2 .87 9 .04 0 .10 23 .35
Caa3 0 .16 0 .44 -0 .27 0 .00 1 .85 6 .27 0 .01 1 .33
Ca 0.41 0 .68 -0 .28 0 .01 3 .12 15 .87 0 .01 1 .56
C 0.01 0 .13 -0 .12 0 .00 2 .04 15 .77 0 .00 1 .05
WR 0.56 1 .54 -0 .98 0 .01 3 .27 18 .93 -0 .00 -0 .01
Not Rated 4 .60 2 .82 1 .78 0 .04 2 .33 1 .39 0 .03 7 .73
-5% 0% 5% 10% 15% 20%
N/A
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Portfolio Weight Benchmark Weight Active Weight
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Page 391 of 591
APPENDICES:
Basket Clause
BASKET CLAUSE ANALYSIS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEM
Trustee ReportingAs of 6/30/2019
This analysis shows basket consumption by investment mandate on a security look-through basis.
* Basket Eligible Assets are subject to the following thresholds - above which investment consumes basket capacity: 10% aggregate portfolio weight for investments in non-U.S. listed equities; 10% aggregate portfolio weight for real assets; and 10% aggregate portfolio weight for investments in high yield bonds and foreign debt issues that are registered with the SEC. To theextent that the value of investments in a particular category exceeds a threshold, the excess consumes basket capacity.
In the above table, the investment of cash held as collateral under the system’s securities lending program, is included as aNon-Basket Asset in the Cash/Equivalent line.
Basket Limit 25.00%Basket Consumed 20.08%Remaining Capacity 4.92%
Basket-Eligible Assets*Non-Basket Assets Non-Contributing Contributing Basket Assets Total
FIXED INCOME 28.79% 3.84% --- 2.97% 35.60%
U.S. Fixed 11.29% 3.28% --- 2.47% 17.04%
Cash/Equivalent 5.78% --- --- ---- 5.78%
TIPS 4.45% --- --- ---- 4.45%
High Yield 0.36% 3.23% --- 0.74% 4.33%
Bank Loans 0.11% 0.05% --- 1.71% 1.88%
ETI Investments 0.58% --- --- 0.01% 0.60%
U.S. Structured 17.50% 0.56% --- 0.50% 18.56%
Credit 2.82% 0.51% --- 0.11% 3.43%
Mortgages 2.54% --- --- 0.40% 2.93%
ST Treasury 3.67% --- --- ---- 3.67%
Treasury/Agency 8.41% 0.05% --- ---- 8.45%
MT Treasury 0.08% --- --- ---- 0.08%
EQUITY 30.32% 16.97% 10.57% 6.54% 64.40%
Public Equity 30.32% 10.00% 10.57% 0.35% 51.24%
U.S. Equity 29.00% 0.64% 0.68% 0.19% 30.50%
EAFE 0.35% 5.82% 6.15% 0.08% 12.41%
Emerging Markets 0.01% 3.22% 3.41% 0.08% 6.72%
Global 0.96% 0.32% 0.34% 0.00% 1.61%
Alternative Investments 0.00% 6.97% --- 6.19% 13.15%
Infrastructure 0.00% 1.72% --- ---- 1.72%
Private RE/Core --- 3.03% --- ---- 3.03%
Private RE/Non-Core 0.00% 2.21% --- ---- 2.21%
Private Equity 0.00% --- --- 6.19% 6.19%
TOTAL ASSETS 59.11% 20.80% 10.57% 9.51% 100.00%
Non-Basket: 79.92% Basket: 20.08%
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Liquidity Analysis
LIQUIDITY REPORTS Trustee ReportingAs of 6/30/2019
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEM
AUM as of June 30, 2019
Liquid AssetsCurrent MV Today 1 Year 2 Years
PUBLIC EQUITY $3,482 $3,482 $3,482 $3,482
U.S. 2,071 2,071 2,071 2,071EAFE Equity 791 791 791 791Emerging Markets 510 510 510 510
109 109 109 109PUBLIC FIXED INCOME $2,070 $2,049 $2,059 $2,059
Short Term Securities 51 51 51 51U.S. Government 828 828 828 828Mortgages
Core Mortgages 204 204 204 204ETI 38 17 28 28
Credit - Investment Grade 233 233 233 233Corporate - Hight Yield 291 291 291 291Corporate - Bank Loans 123 123 123 123UST - Inflation Protected 302 302 302 302
ALTERNATIVE ASSETS $895 $0 $0 $0
Private Equity 422 0 0 0Private Real Estate 356 0 0 0Infrastructure 117 0 0 0
Total Assets $6,446 $5,531 $5,541 $5,541
Total Illiquid $ $915 $905 $905Total Illiquid % 14.2% 14.0% 14.0%
Unfunded INF Commitments $204Unfunded PE Commitments $373Unfunded RE Commitments $220Total commitments $ $797Total commitments % 12.4%
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LIQUIDITY REPORTS Trustee ReportingAs of 6/30/2019
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEM
BERS Liquidity Profile - Static Analysis 6/30/19
AUM as of June 30, 2019
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $915 $905 $905Total Illiquid % 21.3% 21.1% 21.1%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
Liquid AssetsCurrent MV Today 1 Year 2 Years
Total Assets $6,446 $5,531 $5,541 $5,541
Private Equity, Real Estate and Infrastructure Fixed Income Stress CaseUnfunded INF Commitments $100 $41 $81Unfunded PE Commitments Drawn $302 $75 $149Unfunded RE Commitments Drawn 162 $44 $88Total commitments $ $564 $159 $319
Total commitments % 9.5% 2.5% 4.9%
Total Illiquid $ $1,065 $1,224Total Illiquid % 16.5% 19.0%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquidsSee Assumptions Page for Full Details
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $915 $1,065 $1,224Total Illiquid % 21.3% 24.8% 28.5%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
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