COMMON INVESTMENT MEETING Public Session...• FCI is derived from weighted average of 10- yr US...

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

June 19, 2019

COMMON INVESTMENT MEETINGPublic Session

MARKET OVERVIEW

3

Market Returns: Q1-2019

Source: State Street

*Average of consultant long-term arithmetic expected market returns, as of 2016

Asset Class IndexFirst Quarter

Returns 2019 Fiscal YTD 3 Year 5 Year Expected*

Equities - U.S. Russell 3000 14.04% 4.70% 13.48% 10.36% 7.80%

Equities - Developed Intl MSCI World ex USA IMI Net

10.52% -3.22% 7.29% 2.40% 8.90%

Equities - Emerging Intl MSCI EMERGING MARKETS

9.92% 0.60% 10.68% 3.68% 11.00%

Debt - US Govt Long Duration

FTSE Treasury 10+ 4.70% 5.84% 1.48% 5.53%

Debt - US Government NYC Treas/Agency +5 3.37% 5.57% 1.22% 3.67% 2.80%Debt - Investment Grade NYC IG Credit 4.72% 5.82% 3.45% 3.55% 3.40%Debt - High Yield FTSE BB & B 7.29% 5.28% 8.05% 4.45% 6.10%

Sheet1

Asset ClassIndexFirst Quarter Returns 2019Fiscal YTD3 Year5 YearExpected*

Equities - U.S.Russell 300014.04%4.70%13.48%10.36%7.80%

Equities - Developed IntlMSCI World ex USA IMI Net10.52%-3.22%7.29%2.40%8.90%

Equities - Emerging IntlMSCI EMERGING MARKETS9.92%0.60%10.68%3.68%11.00%

Debt - US Govt Long DurationFTSE Treasury 10+4.70%5.84%1.48%5.53%

Debt - US GovernmentNYC Treas/Agency +53.37%5.57%1.22%3.67%2.80%

Debt - Investment GradeNYC IG Credit4.72%5.82%3.45%3.55%3.40%

Debt - High YieldFTSE BB & B7.29%5.28%8.05%4.45%6.10%

What changed in Q1?• Reduced global growth concerns- US –government shutdown ended, FCI easing - Optimism on US– China trade negotiations• Fed dovish pivot- Policy rate - End of quantitative tightening - Inflation strategy

4

Market Returns Q1 – 2019

• Tightening of financial conditions

5


Tighter (slower growth)

Looser (stronger growth)

• FCI is derived from weighted average of 10-yr US Treasury yield, broad dollar index, broad equity index and investment grade spreads.

• FCI tightened into year-end• Given Fed’s goal of higher inflation, Fed will adopt policies for continued easing of FCI

Source: Bloomberg

• Change in expectations of Fed policy

6


Q4 2018

Investment Grade Credit Spreads +47 bpsHigh Yield Credit Spread +210 bpsS&P 500 Total Return -13.5 %

Q1 2019

Investment Grade Credit Spreads -34 bpsHigh Yield Credit Spread -135 bpsS&P 500 Total Return +13.6 %

• Fed dovish pivot- Inability to achieve 2% target inflation

7


Source: Bloomberg

1. US – China/Mexico/Europe trade policy2. Federal Reserve and future interest rate

policy3. US equity earnings and valuations

8

Current Market Themes

1. US – China/Mexico/Europe trade negotiations - Trade negotiations with China have deteriorated, Trump threatening additional tariffs

on remaining $300B of imports. - G-20 leaders Summit June 28-29 in Japan, Trump and Xi expected to meet. - US-EU auto tariff decision is looming.- Tariff implications – expected impacts on growth +inflation

- Tariff (and threat of tariffs) increase economic uncertainty, resulting in downside risks to global growth, business confidence and investment.

- Corporations evaluating changes to global supply chains.

9


Growth Core inflation

raised tariff .1 to .2 +.2addl. 25 % .4 +.5auto tariff .2 +.3

2. Federal Reserve and future interest rate policyI. FOMC meeting todayII. Federal Reserve, three possible easing regimes Easing to offset recession Insurance easing, to sustain recovery Average inflation targeting, easing to promote higher inflation

10


3) US Equities – earnings and valuations1. Q1’19 earnings largely as expected; Q2’19 earnings announcement mid-July2. Earnings concerns include 1) rising labor costs 2) tariff concerns and 3) slowing revenue3. Equity buyback programs slowing 4. What is appropriate P/E multiple going forward, given downside earnings risks vs. dovish Fed?

11


Year Earnings % % Growth

2016 $118 .5 %2017 $132 11.8 %

2018 $162 22.7 % (~10% of growth from cut in corporate tax rate

2019 E $178 $170 9.8 % 4.9 % 2020 E $180 5.9 %

Earnings/multiples

14x 15x 16x 17x

$160 2240 2400 2560 2720

$170 2380 2550 2720 2890

$180 2520 2700 2880 3060

US equity earnings ’19 earnings and PE multiples

Earnings/multiples

14x 15x 16x 17x

$170 2380 2550 2890 2720$180 2520 2700 2880 3060

$190 2660 2850 3040 3230

’20 earnings and PE multiples

12

Current Market Themes• 1-year forward Price-Earnings Multiple

Source: Bloomberg

Portfolio Update – Q1’191) Rebalancing activity - Extended US Treasury duration - Rebalanced Developed International Equity to target- Increased underweight in Investment Grade Credit 2) Portfolio concerns - US Equities- concerns include late cycle dynamics, downside risks to earning estimates, equity valuations historically expensive, US elections in November 2020.-US Treasuries- yield curve inverted, yields biased to continue lower, lower yields vs. yield curve steepening- Credit spreads- spread widening risk on both IG and MBS

13

Q1 - Asset Allocation Review

14

Q1 - Asset Allocation Review - Growth


Relative Mix to Adjusted New Policy Weights

15

Q1 - Asset Allocation Review – Inflation ProtectionRelative Mix to Adjusted New Policy Weights


16

Q1 - Asset Allocation Review - Deflation Protection


Relative Mix to Adjusted New Policy Weights

17

Core Bond Portfolio Duration, Actual Vs. Target (as of 03/31/2019)


TRS NYCERS Police Fire BERS

Original Duration 6.19 6.34 6.51 6.39 6.25

New Duration Target

11.76 8.43 11.54 11.73 8.07

Duration as of 12/31/18

9.27 (55%)

7.53 (57%)

10.55(80%)

8.99(49%)

7.08(46%)

Duration as of 3/31/19

10.12(71%)

8.10 (84%)

10.43 (78%)

10.38(75%)

7.96 (94%)

QUESTIONS?

PERFORMANCE REPORTING1st Quarter 2019

20

NYC Retirement Systems AUM (% , in millions)


$200,675m Total AUM for all 5 Systems as of March 31, 2019

37%, 74,806

33%, 66,007

20%, 39,729

7%, 13,887

3%, 6,245

TRS

NYCERS

POLICE

FIRE

BERS

Assets (in millions)

TRS

NYCERS

Police

Fire

BERS

Net of fees in public asset classes are recorded on an accrual basis.Private markets data is reported on a lagged basis

NYC Pension SystemPortfolio Std

Dev - 1 yr. 3 Month Fiscal YTD One Year Trailing Three Year Trailing

BERS 8.62 8.17% 3.52% 4.36% 10.38%

TRS 7.92 7.57% 3.83% 4.42% 8.93%

FIRE 7.65 7.43% 3.60% 4.69% 9.21%

NYCERS 7.57 7.11% 3.61% 4.29% 9.05%

POLICE 7.57 7.21% 3.52% 4.50% 9.34%

Public Mkt Equiv 65/35 9.22% 3.35% 4.74% 8.19%

Median Fund - TUCS 7.01% 3.32% 4.65% 8.90%

21

Total NYC Pension Fund Net Performance as of 03/31/2019


Sheet1

NYC Pension SystemPortfolio Std Dev - 1 yr.3 MonthFiscal YTDOne Year Trailing Three Year Trailing

BERS8.628.17%3.52%4.36%10.38%

TRS7.927.57%3.83%4.42%8.93%

FIRE7.657.43%3.60%4.69%9.21%

NYCERS7.577.11%3.61%4.29%9.05%

POLICE7.577.21%3.52%4.50%9.34%

Public Mkt Equiv 65/359.22%3.35%4.74%8.19%

Median Fund - TUCS7.01%3.32%4.65%8.90%

22

Quarter to Date Return as of 03/31/2019 – Total Portfolio

757 714

43

711 671

40

721 713

9

743 717

26

817 723

94

-900

-700

-500

-300

-100

100

300

500

700

900

QTD Portfolio QTD Benchmark QTD Excess

bps

TRS

NYCERS

Police

Fire

BERS

Basis Points of Excess Return (SSB T, N, p.14; F p.15 ; P p.16 B p.17)


171 Bps Assumed Rate of Return (7%)

23

Quarter to Date as of 03/31/2019 Excess Return – Total Portfolio

43

(50)

93 40

(55)

95 9

(42)

51 26

(44)

70 94

(48)

142

-900

-700

-500

-300

-100

100

300

500

700

900

QTD Total Excess Return QTD Asset Allocation QTD Manager Value Added

bps

TRS

NYCERS

Police

Fire

BERS


Basis Points of Excess Return (SSB T, N, p.14; F p.15 ; P p.16 B p.17)

24

Value Added – Total Domestic Equity

4 20 25

-40 -36 -30-16 -47 -29-1

-45-17

27

-3

46

-500

-400

-300

-200

-100

0

100

200

300

400

500

QTD FYTD 3 Year Trailing

TRS: 28.4%NYCERS: 29.13%POLICE: 30.94%FIRE: 29.53%BERS: 31.86%


Weights as of03/31/2019

bps

Basis Points of Excess Return (SSB T p. 29; N p.30; F p.31; P p.32; B p.33)

25

Value Added – Total World Ex-USA

125

-61

187112

10

205149

-4

223143

8

245301

-111

477

-700

-500

-300

-100

100

300

500

700





bps

Basis Points of Excess Return (SSB; T p.30; N p.31; F p.33; P, B p.34)

26

Value Added – Total Emerging Markets

11349

-2

82

-5 -21-27

27 41

-31

3570

-122

-205

46

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps

Basis Points of Excess Return

27

Value Added – Total Structured Fixed Income

-74 -57-35 -63-74 -47-67 -47

-41-76

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps

Note: The blended benchmark reflects the current asset allocation. No Data for the Trailing 3yr.

Basis Points of Excess Return (SSB; T p.33; N p.35; B p.36; F p.37; P p.38)

28

Value Added – High Yield

-16

2

-64-24 -30 -45

-18-62 -65

-28-92

-52-35-17

15

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps


29

Value Added – Bank Loans

-33 -32-84

-12 -26-56

-24 -25 -49-48 -47 -75

-1-52 -35

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps


30

Value Added – Economically Targeted Investments

2789

-21

38

121

130

102

-16

1652

-7

2983

8

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps


Value Added- Hedge FundsBasis Points of Excess Return

-307

2

98

-302

26

110

-600

-400

-200

0

200

400

600


POLICE: 6.53%

FIRE: 5.84%



31

bps

Value Added - Hedge FundsBasis Points of Excess Return (SSB F p.35; P p.36)

32

Hedge Fund Performance Less Tactical Trade

Source: Aksia

Q1 2019 FYTD 3 Year

FIRE 2.2% 1.7% 6.3%

POLICE 2.2% 1.4% 6.2%

HFRI+100 4.9% 0.4% 5.0%

33

Tactical Trade Performance

Source: Aksia

Q1 2019POLICE & FIRE FYTD

Tactical Hedge Fund Trade -0.7.% -6.5%RUSSELL 3000 14.0% 4.7%Underperformance -14.7% -11.2%

PRIVATE MARKET DATA

35

Value Added - Opportunistic Fixed Income (OFI)

112 116160

118

-600

-400

-200

0

200

400

600

Excess Return Since Inception; PME Benchmark: 50% JP Morgan Global High Yield 50% CS Leveraged Loans as of 03/31/19

TRS - 10/24/2007

NYCERS - 10/24/2007

Police - 10/24/2007

Fire - 10/24/2007

BERS - N/A

Inception Date

300bps Target


Basis Points of Cumulative IRR above Public Market Equivalent

bps

The PME Spread is the difference between the IRR and the PME.

36

Value Added - Private Equity

82 25

135 189

283

-600

-400

-200

0

200

400

600

Excess Return Since Inception; The PE Benchmark is the Russell 3000 + 300 bps as of 12/31/18

TRS - 07/08/99

NYCERS - 03/29/99

Police - 03/29/99

Fire - 03/29/99

BERS - 07/20/06

Inception Date

300bps Target

Source: StepStone Group & Hamilton Lane

Basis Points of Cumulative IRR above Public Market Equivalent

bps


37

Private Equity Value Added – PME Spread By Vintage Year as of 12/31/18

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

PRE-2011 2011-2016 2011 2012 2013 2014 2015 2016

Pre-2011 2011-2016 2011 2012 2013 2014 2015 2016 TRS - PME Spread -0.9% 7.2% 4.2% 7.0% 5.0% 9.8% 13.6% 17.4% NYCERS - PME Spread -1.0% 6.5% 3.5% 7.1% 5.1% 10.3% 12.3% 17.5% Police - PME Spread 0.1% 7.1% 3.8% 8.6% 4.8% 10.5% 12.2% 17.5% Fire - PME Spread 0.5% 7.3% 3.8% 9.2% 4.9% 10.6% 12.5% 17.4% BERS - PME Spread 0.1% 9.1% 8.3% 4.7% 10.6% 13.7% 17.5%

TRS - PME Spread NYCERS - PME Spread Police - PME Spread Fire - PME Spread BERS - PME Spread

Perc

enta

ge

Source: StepStone Group & Hamilton Lane

N/A

38

Value Added - Private Real Estate - Core

196

6

117 108

442

-600

-400

-200

0

200

400

600

Excess Return Since Inception; Core PME = 40% Equities Russell 3000 & 60% Barclay Agg. as of 12/31/18

TRS - 9/28/2006

NYCERS - 9/28/2006

Police - 9/28/2006

Fire - 9/28/2006

BERS - 12/13/2010

Inception Date


Basis Points of Cumulative IRR above Public Market Equivalentbp

s

The PME Spread is the difference between the IRR and the Core PME Return.

39

Value Added - Private Real Estate – Non-Core

524

296210

63

985

-1200

-1000

-800

-600

-400

-200

0

200

400

600

800

1000

1200

Excess Return Since Inception; Non-core PME = 60% Equities Russell 3000 & 40% Barclay Agg. as of 12/31/18

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 04/11/2011

Inception Date



s

The PME Spread is the difference between the IRR and the Non-core PME Return.

40

Private Real Estate (Non-Core) Value Added - PME Spread By Vintage Year as of 12/31/18

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

PRE-2011 2011-2016 2011 2012 2013 2014 2015 2016Pre-2011 2011-2016 2011 2012 2013 2014 2015 2016

TRS - PME Spread 1.8% 8.3% 9.3% 9.1% 6.7% 8.3% 7.5% 9.7% NYCERS - PME Spread -0.3% 9.8% 9.3% 11.0% 7.6% 9.4% 10.6% 9.7% Police - PME Spread -2.9% 10.7% 9.2% 11.6% 7.7% 13.7% 10.6% 9.6% Fire - PME Spread -6.3% 11.2% 9.5% 11.4% 8.6% 14.6% 10.5% 9.6% BERS - PME Spread 9.7% 13.2% 15.1% 6.4% 7.4% 10.4% 12.1%


Perc

enta

ge


N/A

41

Value Added - Infrastructure

959 930 974 9651031

-1200

-1000

-800

-600

-400

-200

0

200

400

600

800

1000

1200

Excess Return Since Inception; PME: 50% R3000 & 50% Barclays Agg. as of 12/31/18

TRS - 11/19/2013

NYCERS - 11/19/2013

Police - 11/19/2013

Fire - 11/19/2013

BERS - 11/19/2013

Inception Date

Source: StepStone Group


s


42

Infrastructure Value Added – PME Spread By Vintage Year as of 12/31/18

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

VINTAGE - 2013 VINTAGE - 2014 VINTAGE - 2015 VINTAGE - 2016

Vintage - 2013 Vintage - 2014 Vintage - 2015 Vintage - 2016 TRS - PME Spread 7.8% 10.5% 5.3% NYCERS - PME Spread 7.5% 9.9% 5.6% Police - PME Spread 7.5% 11.2% 5.3% Fire - PME Spread 7.5% 11.0% 5.4% BERS - PME Spread 7.1% 11.4% 9.8%


N/A

N/AN/A

N/AN/A

Perc

enta

ge

Source: StepStone Group

QUESTIONS?

RISK UPDATE

• Risk Reports• Performance Attribution Analysis• Stress Tests

Agenda

46

Total Plan Risk (Macro Factors)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset ManagementFor Investment Evaluation Purposes by Authorized Personnel Only – May Contain Material Non-Public Information

Total Risk is 7.72% compared with 6.67% as of 12/31/18 and 6.29 % as of 9/30/18 (public markets only).

Overweight to the Interest Rate Macro factor

Active Exposure of -.22 to the Interest Rate Macro factor compared with -.71 as of 9/30/18

47

Performance Attribution – Public Markets

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

33%

67%

12.84% 12.84% 13.05%

0.22%

Benchmark Return Active Return Total Return

Q1 2019 Return %

3.79% 2.79% 2.79%

Benchmark Return Active Return Total Return

Q1 2019: USD 27 BnOutperformed by ~22 bps Underperformed by ~99 bps

Q1 2019 Return %

Source: MSCI BarraOne

-0.99%

Public portfolio returned 9.7% but underperformed benchmark by ~19 bps

17%

16%

12%11%

11%

33%

IT Fin HC Cons. Disc. Industrials Other

48

Performance Attribution – Public Equity


Sector Allocation

Q1 2019

OW

UW

OW

OWOW

UW

Sector Return AttributionOverall Return %

Active Return, in bps

Note – Remaining active return of ~1 bps is because of currency impactOW - Overweight UW - Underweight


7 13

3 5 (4) (2)

IT Fin HC Cons. Disc. Industrials Other andResiduals

3.37%

1.36% 1.14%1.66% 1.55%

3.97%

IT Fin HC Cons. Disc. Industrials Other

Tilts towards IT, Financial, Healthcare and Consumer Discretionary worked

44%

56%

49

Public Equity – Outperformance


Q1 2019 Active Return


Outperformance primarily attributed to security selection

67%9%

9%2%

12%

Government MBS Financial Agency Others

50

Performance Attribution – Public Fixed Income


Sector Allocation Return Attribution

OW - Overweight UW - Underweight

Overall Return %

Active Return, in bps

Q1 2019

OW

OW

OW

UW

OW

1.8%

0.2% 0.2% 0.1%0.5%

Government MBS Financial Agency Others

(46)

15 (11) (37) (21)

Government MBS Financial Agency Others andResiduals


Underperformance across multiple sectors

Term Structure Rates

KRD Attribution/Contribution

Contribution to Duration (yrs)

51

Public Fixed Income – Duration Analysis


33%

67%

52

Public Fixed Income – Underperformance


Q1 2019 Active Return


Underperformance primarily attributed to security selection

Stress Scenario Description Impact on Portfolio

1. Insurance Cut• Fed cuts rate by 50 bps• Curve steepens• Growth continues to trend

2. Recession• Growth slows• Fed cuts rate in response• Global growth is impacted as well

3. Regime Change • Fed cuts rate to hit inflation target of 2-2.5%

53

Stress Tests

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management Source: MSCI BarraOne

0

1.4%

-3.9%

6.8%

• Stress tests evaluate the impact of possible future financial scenarios on the investment portfolio – in order to gauge how the portfolios will weather adverse events/extreme market conditions

• We have examined three scenarios suggested by historical and current circumstances – including ongoing speculation that the Fed may cut rates.

54

Stress Tests – Impact by Asset Class


The chart below details the impart of stress scenarios by asset class

Source: BAM, MSCI (analytics) and State Street (holdings data)

6.81%

-3.88%

1.44%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

Scenario 1 - Insurance Cut Scenario 2 - Recession Scenario 3 - Regime Change

OFI

Bank Loans

Enhanced-High Yield

TIPS

Treasuries

Private Real Estate

Private Equity

Emerging Markets

Developed Markets

U.S. Equity

TOTAL

55

Stress Tests – Assumptions


Type Factor Insurance Cut Regime Change Recession

Equity Markets

Russell 3000 +10% Flat -5%MSCI US NA NA NAMSCI EAFE (USD) Flat Flat -8%MSCI EM (USD) +5% Flat -15%MSCI China NA NA NA

Currency USD -5% NA -10%

Nominal RatesUSD 3-mo -50bp -75bp -150bpUSD 10-yr -5bp -10bp -50bpUSD 30-yr +10bp +30bp -10bpJPY 10-yr NA NA NAEUR 10-yr NA NA NA

Real Rates3-mo TIPS -50bp Flat -75bp10-yr TIPS -5bp Flat -15bp30-yr TIPS +10bp Flat -15bp

Credit Spreads BBB Spreads Flat Flat +40bpBB Spreads NA NA +100bp


QUESTIONS?

COMMON INVESTMENT MEETING�Public SessionMARKET OVERVIEWMarket Returns: Q1-2019�Market Returns Q1 – 2019��Market Returns Q1 – 2019��Market Returns Q1 – 2019��Market Returns Q1 – 2019��Current Market Themes��Current Market ThemesCurrent Market Themes�Current Market Themes�Current Market ThemesQ1 - Asset Allocation ReviewQ1 - Asset Allocation Review - GrowthQ1 - Asset Allocation Review – Inflation ProtectionQ1 - Asset Allocation Review - Deflation ProtectionCore Bond Portfolio Duration, Actual Vs. Target (as of 03/31/2019)QUESTIONS?PERFORMANCE REPORTING�1st Quarter 2019NYC Retirement Systems AUM (% , in millions)Total NYC Pension Fund Net Performance as of 03/31/2019Quarter to Date Return as of 03/31/2019 – Total PortfolioQuarter to Date as of 03/31/2019 Excess Return – Total PortfolioValue Added – Total Domestic EquityValue Added – Total World Ex-USAValue Added – Total Emerging MarketsValue Added – Total Structured Fixed IncomeValue Added – High YieldValue Added – Bank LoansValue Added – Economically Targeted InvestmentsValue Added- Hedge Funds�Basis Points of Excess ReturnHedge Fund Performance Less Tactical TradeTactical Trade PerformancePRIVATE MARKET DATAValue Added - Opportunistic Fixed Income (OFI)Value Added - Private EquityPrivate Equity Value Added – PME Spread By Vintage Year as of 12/31/18Value Added - Private Real Estate - CoreValue Added - Private Real Estate – Non-CorePrivate Real Estate (Non-Core) Value Added - PME Spread By Vintage Year as of 12/31/18Value Added - InfrastructureInfrastructure Value Added – PME Spread By Vintage Year as of 12/31/18QUESTIONS?RISK UPDATEAgendaTotal Plan Risk (Macro Factors)Performance Attribution – Public MarketsPerformance Attribution – Public EquityPublic Equity – OutperformancePerformance Attribution – Public Fixed IncomePublic Fixed Income – Duration AnalysisPublic Fixed Income – UnderperformanceStress TestsStress Tests – Impact by Asset ClassStress Tests – AssumptionsQUESTIONS?COMMON INVESTMENT MEETING�Executive SessionPRIVATE EQUITY�APAX X USD (Re-up)Apax X USD (Re-up)QUESTIONS?��APAX PARTNERS�Manager Presentation��Overview of Apax PartnersStrong relationshipFirm overviewSeasoned and expanding senior team�c.120 investment professionalsApax has a diverse, global workforceApax’s transformative approach to investingThe Strengths of the FirmPicking attractive sectors ahead of the packCase studies: GlobalLogic�Transformation has resulted in an accelerating growth profileFunds on track to deliver c. 2x netApax X: Key termsEndnotesDisclaimerBasis of CalculationsTable of fund and deal level returns (31 March 2019)Slide Number 77Slide Number 78QUESTIONS?PUBLIC EQUITY�Emerging Markets Manager SearchEmerging Markets Manager Search: MemosEmerging Markets Manager Search: SummaryEmerging Markets Search: Final Scores by Style (Top 18 Products)Emerging Markets: Manager Characteristics & Role SummaryRecommended Manager Allocation Summary: Portfolio #1Recommended Manager Allocation Summary: Portfolio #2QUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�Acadian Emerging Markets EquityRecommendation: Acadian Emerging Markets EquityQUESTIONS?��ACADIAN�Manager Presentation��Teachers Retirement System of the City of New York�New York City Employees’ Retirement System�New York City Police Pension Fund�New York City Fire Pension Fund�New York City Board of Education Retirement SystemWhy Acadian for active Emerging Markets equity?ACADIAN ORGANIZATIONAL OVERVIEW Investment Team overviewStock Forecast ExampleCurrent Valuations and discountsSpreads and performanceConclusion:Slide Number 100Investment ProcessEmerging Markets Equity compositeRESEARCH PROCESSACADIAN GLOBAL DATA ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*ACADIAN INVESTMENT TEAM*Annual performance disclosure LEGAL DisclaimerQUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�Baillie Gifford Emerging Markets All CapRecommendation: Baillie Gifford Emerging Markets All CapQUESTIONS?��BAILLIE GIFFORD�Manager Presentation��NYC TEACHERS RETIREMENT SYSTEM�NYC EMPLOYEES RETIREMENT SYSTEM�NYC POLICE RETIREMENT SYSTEM�NYC FIRE RETIREMENT SYSTEM�NYC BOARD OF EDUCATION RETIREMENT SYSTEMBaillie Gifford Overview Our Relationship Emerging Markets Investment TeamInvestment PhilosophyEmerging Markets Investment ProcessConclusionPortfolio (1)Portfolio (2)Important Information and Risk FactorsQUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�Pzena Emerging Markets Focused ValueRecommendation: Pzena Emerging Markets Focused ValueQUESTIONS?��PZENA�Manager Presentation��Slide Number 134Slide Number 135Slide Number 136Slide Number 137Slide Number 138Slide Number 139Slide Number 140Slide Number 141Slide Number 142Slide Number 143Slide Number 144Slide Number 145QUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�Sands Capital Mgmt. Emerging Markets GrowthRecommendation: Sands Capital Mgmt. Emerging Markets GrowthQUESTIONS?��SANDS CAPITAL�Manager Presentation��Slide Number 151Slide Number 152Slide Number 153Slide Number 154Slide Number 155Slide Number 156Slide Number 157Slide Number 158Slide Number 159Slide Number 160Slide Number 161Slide Number 162Slide Number 163Slide Number 164Slide Number 165Slide Number 166Slide Number 167Slide Number 168Slide Number 169Slide Number 170Slide Number 171Slide Number 172Slide Number 173Slide Number 174Slide Number 175Slide Number 176Slide Number 177Slide Number 178Slide Number 179Slide Number 180Slide Number 181Slide Number 182Slide Number 183Slide Number 184Slide Number 185Slide Number 186Slide Number 187Slide Number 188Slide Number 189Slide Number 190Slide Number 191Slide Number 192Slide Number 193Slide Number 194Slide Number 195QUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�UBS Emerging Markets Equity (HALO)Recommendation: UBS Emerging Markets Equity (HALO)QUESTIONS?��UBS�Manager Presentation��Emerging Markets Equity High Alpha�Long-Term Opportunity (HALO) strategyWho we areWhy UBS for EM equitiesStable, experienced and local teamProven investment philosophyEstablished investment processBoots-on-the-ground research processPortfolio constructionMacro analysis and inputsRisk managementPerformance attributionAttractive performance vs. peersUBS New York City community affairsEmerging Markets Equity HALO composite disclosuresAdditional disclosuresQUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�AQR Emerging Markets Small Cap CoreRecommendation: AQR Emerging Markets Small Cap CoreQUESTIONS?��AQR�Manager Presentation��AQR Emerging Small Cap EquityDisclosuresPresenters’ BiographiesExecutive SummaryFirm OverviewOur FirmOur OfferingsAssets Under Management Competitive Advantages�Investment Philosophy, Process, and PerformanceOur Investment PhilosophyOur Global Stock Selection TeamAlpha Signal Research Is CriticalAnd Continuously EvolvingBut Process Design Is Equally ImportantPerformance Summary: Emerging Small Cap EquityOur Process Has Worked Across Regions and Market CapitalizationsAppendixStrategy CharacteristicsPerformance DisclosuresPerformance DisclosuresPerformance DisclosuresPerformance DisclosuresPerformance DisclosuresPerformance DisclosuresPerformance DisclosuresSlide Number 247QUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�J.P. Morgan GEM DiscoveryRecommendation: J.P. Morgan GEM DiscoveryQUESTIONS?PUBLIC EQUITY�Emerging Markets Manager Search�-�RBC Global Asset Mgmt. Emerging Markets EquityRecommendation: RBC Global Asset Mgmt. Emerging Markets EquityQUESTIONS?��RBC GLOBAL ASSET MANAGEMENT�Manager Presentation��Teachers’ Retirement System of the City of New York (“TRS”)�New York City Employees’ Retirement System (“NYCERS”)�New York City Police Pension Fund (“Police”)�New York City Fire Pension Fund (“Fire”)�Board of Education Retirement System of the City of New York (“BERS”)��June 19, 2019RBC Emerging Markets EquityRBC Emerging Markets EquitySlide Number 259Investment TeamSlide Number 261Emerging Markets Equity OverviewPhilosophyInvestment ProcessPortfolio ConstructionEmerging Markets Equity Research ProcessEmerging Markets Equity Research ProcessEmerging Markets Equity Research ProcessEmerging Markets Equity Research ProcessPortfolio ConstructionSlide Number 271Investment Performance and RiskTrailing 5-Year Risk StatisticsSlide Number 274RBC Global Asset ManagementSlide Number 276RBC Emerging Markets Equity�Slide Number 278What Difference does ESG Make?How are ESG Factors Incorporated into the Investment Process? Research ProcessESG IntegrationCompany Engagement Enhances Outcomes GIPS® Compliant Presentation AppendixGIPS® Compliant Presentation AppendixAdditional DisclosuresDisclosuresQUESTIONS?RECOMMENDATION�Parametric TerminationRecommendation: Parametric TerminationQUESTIONS?RECOMMENDATION�Lazard TerminationRecommendation: Lazard TerminationQUESTIONS?PRIVATE EQUITY�Trilantic IV (Re-up) �Follow-upQUESTIONS?��TRILANTIC CAPITAL PARTNERS�Manager Presentation��Slide Number 298Cautionary StatementFollow-Up Questions & AnswersSlide Number 301History of Strong PartnershipSlide Number 303Slide Number 304Slide Number 305Summary of Key TermsSummary of Key TermsCase Study: Traeger Pellet GrillsSlide Number 309Case Study – Traeger Pellet Grills LLC (“Traeger”)Case Study: Angelica CorporationSlide Number 312Slide Number 313Slide Number 314Slide Number 315Slide Number 316Slide Number 317Slide Number 318Notes & MethodologiesSlide Number 320QUESTIONS?ALTERNATIVE CREDIT�OPPORTUNISTIC FIXED INCOME�Early Stage Emerging Manager ProgramEarly Stage Emerging Manager ProgramOFI Annual PlanSourcing Managers in the OFI Opportunity SetEarly-Stage Managers are Targeted in the OFI IPSEarlier Stage Manager InvestmentsManager CharacteristicsProgram ObjectivesWhy Invest in Early Stage Managers?Three Main ApproachesPreliminary SizingCompiling Emerging Manager Candidate ListEvaluation of Potential PartnersQUESTIONS?Diversity DisclosureQUESTIONS?Climate UpdateQUESTIONS?

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