Monthly Performance Review January 2017 · Monthly Performance Review January 2017 Prepared for the New York City . Employees’ Retirement System . 03.2017. THE CITY OF NEW YORK

Monthly Performance ReviewJanuary 2017

Prepared for the New York City Employees’ Retirement System

03.2017

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for January & February ............................................................................................................................. 1

Contribution to Returns .......................................................................................................................................................... 5

Asset Allocation: Growth, Deflation, Inflation; New Policy Weights & Adjusted Policy Weight Mixes ............................... 6

Classification of Investments.. .............................................................................................................................................. 12 NYCERS Market Values 2016-2017……………………..………………………………………………………………………………….……. 16 NYCERS Market Values 2007-2017…………………………………………………………………………………………………………………17

Manager / Benchmark Comparison Report ......................................................................................................................... 18

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

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

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

Real Estate Cash Flow Tracker ............................................................................................................................................ 38

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

S&P 500 1.90 7.76 9.87 20.04 9.20 10.85 14.09 6.99S&P 400 MIDCAP 1.68 12.22 13.74 30.17 10.21 10.43 14.24 8.95RUSSELL 1000 2.01 8.02 10.19 20.81 8.91 10.50 14.06 7.09RUSSELL 2000 0.39 14.72 19.15 33.53 9.67 7.89 13.00 6.93RUSSELL 3000 1.88 8.52 10.84 21.73 8.95 10.28 13.97 7.07RUSSELL 3000 GROWTH 3.23 7.31 9.62 17.91 8.81 10.45 13.81 8.36RUSSELL 3000 VALUE 0.60 9.73 12.06 25.76 9.07 10.10 14.05 5.69

MSCI EAFE NET 2.90 4.30 8.74 12.03 1.28 0.71 6.04 0.97MSCI EMF NET 5.47 0.84 10.20 25.41 (0.41) 1.44 0.19 2.49FTSE CUSTOM NYCERS 5.46 (0.23) 8.84 25.95 (0.51) 2.11 0.20 3.29MSCI WORLD NET 2.41 6.37 9.39 17.11 5.43 5.95 9.86 3.95MSCI EUROPE SMID CAP NET 3.45 5.58 9.05 9.82 3.87 1.28 9.63 1.93MSCI AC WORLD ex US NET 3.54 3.73 9.31 16.09 1.10 0.92 4.36 1.28

1 YEAR TREASURY BILL YIELD + 4% 0.45 1.16 2.61 4.72 4.59 4.49 4.40 5.44HFRI FUND OF FUNDS COMPOSITE + 1% 1.06 2.41 4.80 5.32 1.56 2.67 4.29 2.29

NYC - TREASURY AGENCY PLUS FIVE 0.29 (4.92) (7.49) (2.04) (1.42) 3.65 1.88 5.67Citigroup USBIG Treasury 1-3 Y Index 0.13 (0.23) (0.39) 0.39 0.50 0.65 0.56 2.07Citigroup USBIG Treasury/Agency 1-10 y 0.19 (1.49) (2.21) (0.32) 0.41 1.34 0.96 3.47Citigroup Treasury 10+ 0.40 (7.62) (11.86) (3.09) (3.94) 6.15 2.66 6.84

CITIGROUP MORTGAGE (0.04) (1.76) (1.46) 0.23 1.13 2.49 1.95 4.29

CITY OF NEW YORKNYC Employees' Retirement System

Market Indicator ReportJanuary 31, 2017

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

1


NYC - INVESTMENT GRADE CREDIT 0.39 (1.92) (1.34) 5.48 1.30 3.56 3.50 5.16CITIGROUP BROAD INVESTMENT GRADE 0.21 (2.09) (2.35) 1.52 0.66 2.59 2.09 4.45

NYC - CORE PLUS FIVE 0.22 (2.50) (2.73) 1.97 0.68 3.16 2.55 5.01BARCLAYS AGGREGATE 0.20 (2.04) (2.34) 1.45 0.64 2.59 2.09 4.37

CITIGROUP BB & B 1.14 2.54 7.99 18.70 5.45 4.53 6.37 6.07CITIGROUP BB & B CAPPED 1.11 2.46 7.82 18.27 5.31 4.43 6.24 6.38BofA ML HIGH YIELD MASTER II 1.34 2.93 8.92 20.98 6.19 4.93 7.03 7.37 BofAML HYM CONSTRAINED (DAILY) 1.34 2.93 8.91 20.98 6.21 4.94 7.03 7.47

CSFB LEVERAGED LOAN 0.53 2.02 5.98 11.27 4.77 3.70 5.05 4.30

BARCLAYS GLOBAL US TIPS 0.84 (1.19) (0.64) 4.02 0.43 1.88 0.61 4.44

BofA ML U.S. Convertible – Yield Alternative 1.69 2.85 7.69 16.63 1.10 1.10 4.57 4.05BofA ML US Invt Grade Conv Bond Index 2.20 7.95 12.10 21.34 9.36 10.83 12.09 5.68BofA ML ALL CONVERTIBLES EX MANDATORY 2.81 7.14 13.31 23.26 6.26 6.22 10.63 7.04

DJ US SELECT REAL ESTATE (0.86) 2.39 (4.56) 10.13 1.72 11.88 10.16 3.54NCREIF NFI - ODCE NET* 0.00 1.88 3.75 7.79 10.83 11.04 11.16 4.84CPI + 4% 0.88 2.03 4.22 6.74 6.10 5.3391 DAY TREASURY BILL 0.04 0.10 0.23 0.37 0.21 0.15 0.13 0.76


Market Indicator ReportJanuary 31, 2017


2


S&P 500 3.97 8.04 14.23 24.98 8.28 10.63 14.01 7.62S&P 400 MIDCAP 2.62 6.63 16.73 31.73 8.89 9.64 13.83 9.15RUSSELL 1000 3.87 7.95 14.45 25.53 7.92 10.19 13.94 7.69RUSSELL 2000 1.93 5.20 21.45 36.11 7.58 6.93 12.89 7.22RUSSELL 3000 3.72 7.73 14.96 26.29 7.88 9.92 13.85 7.64RUSSELL 3000 GROWTH 4.02 8.73 14.03 22.77 7.43 10.06 13.67 8.98RUSSELL 3000 VALUE 3.42 6.77 15.89 30.02 8.33 9.77 13.97 6.21

MSCI EAFE NET 1.43 7.94 10.30 15.75 (0.91) (0.62) 5.16 1.03MSCI EMF NET 3.06 8.94 13.58 29.46 (0.43) 1.35 (0.37) 2.86FTSE CUSTOM NYCERS 3.59 10.56 12.74 30.08 0.26 2.11 (0.16) 3.66MSCI WORLD NET 2.77 7.77 12.42 21.26 3.89 5.20 9.41 4.29MSCI EUROPE SMID CAP NET 1.32 9.08 10.49 11.98 0.93 (1.02) 8.31 2.02MSCI AC WORLD ex US NET 1.59 7.88 11.05 19.31 (0.71) (0.19) 3.55 1.38

1 YEAR TREASURY BILL YIELD + 4% 0.37 1.20 3.00 4.84 4.62 4.50 4.42 5.39HFRI FUND OF FUNDS COMPOSITE + 1% 0.99 3.07 5.83 7.56 1.16 2.43 4.16 2.30

NYC - TREASURY AGENCY PLUS FIVE 0.98 1.00 (6.58) (2.85) 0.67 3.81 2.34 5.52Citigroup USBIG Treasury 1-3 Y Index 0.10 0.26 (0.30) 0.39 0.66 0.66 0.60 2.00Citigroup USBIG Treasury/Agency 1-10 y 0.29 0.46 (1.92) (0.52) 0.99 1.38 1.11 3.37Citigroup Treasury 10+ 1.58 1.44 (10.47) (4.50) (0.40) 6.40 3.42 6.69

CITIGROUP MORTGAGE 0.50 0.46 (0.97) 0.35 1.46 2.55 2.02 4.22


Market Indicator ReportFebruary 28, 2017


3


NYC - INVESTMENT GRADE CREDIT 1.05 1.93 (0.30) 5.74 2.28 3.54 3.55 5.07CITIGROUP BROAD INVESTMENT GRADE 0.68 1.02 (1.69) 1.49 1.47 2.63 2.23 4.36

NYC - CORE PLUS FIVE 0.84 1.22 (1.91) 1.95 1.65 3.20 2.71 4.92BARCLAYS AGGREGATE 0.67 1.01 (1.68) 1.42 1.46 2.64 2.24 4.28

CITIGROUP BB & B 1.25 4.10 9.34 19.18 4.84 4.27 6.20 6.05CITIGROUP BB & B CAPPED 1.23 4.03 9.14 18.82 4.68 4.18 6.06 6.36BofA ML HIGH YIELD MASTER II 1.56 4.95 10.62 22.30 5.76 4.78 6.87 7.39 BofAML HYM CONSTRAINED (DAILY) 1.56 4.95 10.61 22.30 5.78 4.79 6.87 7.49

CSFB LEVERAGED LOAN 0.59 2.28 6.60 12.55 4.34 3.82 5.01 4.28

BARCLAYS GLOBAL US TIPS 0.47 1.22 (0.17) 3.36 1.28 1.89 0.77 4.27

BofA ML U.S. Convertible – Yield Alternative 1.41 3.72 9.20 19.50 0.82 0.87 4.41 4.17BofA ML US Invt Grade Conv Bond Index 2.02 7.01 14.37 23.39 9.16 9.87 12.05 5.94BofA ML ALL CONVERTIBLES EX MANDATORY 1.85 6.06 15.40 25.50 4.99 5.39 10.39 7.24

DJ US SELECT REAL ESTATE 3.50 7.43 (1.22) 15.06 5.37 11.30 11.15 4.14NCREIF NFI - ODCE NET* 0.00 1.88 3.75 7.79 10.83 11.04 11.16 4.84CPI + 4% 0.45 1.95 4.69 7.05 6.05 5.3491 DAY TREASURY BILL 0.04 0.13 0.27 0.39 0.23 0.16 0.14 0.73


Market Indicator ReportFebruary 28, 2017


4

NYC Employees' Retirement System Contribution to Return - January 2017

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/16 Total FY Ending 6/30/15 Total

Return: 1.74% Return: 3.86% Return: 6.73% Return: 1.52% Return: 3.11%

(0.14) 0.04 0.09 0.30

0.65 0.66

0.03 0.34

0.55

0.41 0.83

0.15

0.04

0.12 0.24

0.05

0.11

0.32

0.04

0.16

0.04

(0.37) (0.33)

1.17

0.32

(0.11)

0.15

0.40

0.66

(0.67)

(0.70)

0.52

0.54

1.15

(0.75)

(0.32)

0.55

3.02

3.79

0.56

2.20

DOMESTIC EQUITY

DEVELOPED EQUITY

EMERGING MARKETS

HEDGE FUNDS

CORE + 5

TIPS

ENHANCED YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

REAL ASSETS

RESIDUAL(0.01)-HF 0.01-BL 0.02-Conv (0.00)-ETI 0.01-Oth FI (0.00)-Res

Prepared by State Street

0.02-EM 0.01-HF (0.05)-TIPS 0.04-BL 0.04-Conv (0.04)-ETI 0.01-Oth FI (0.03)-Res

0.02-HF (0.03)-TIPS 0.10-BL 0.06-Conv (0.05)-ETI 0.05-Oth FI (0.11)-Res

0.01-EY 0.03-BL (0.01)-Conv (0.07)-Opp FI 0.01-Oth FI (0.03)-Res

(0.05)-TIPS (0.02)-EY 0.06-BL 0.03-Conv 0.06-Opp FI 0.02-ETI 0.01-Oth FI

3/2/2017 10:50 AM

Limited Access

5

3.5%

0.1% 0.4% 0.3%

-1.8% -2.2% -1.0%

1.0% 1.0%

-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

$18.7

32.5%

Domestic US Equity Developed Markets EAFE Emerging Markets Private Equity

$7.5

13.1%

$4.2

7.4%

$4.2

7.3%

$2.3

4.0%

$1.3

2.2%

$1.6

2.8%

$0.6

1.0%

$0.6

1.0%

Private Real Estate – Non Core

Opportunistic Fixed Income High Yield Hedge Funds Convertible Bonds

$57.4B Under ManagementPortfolio Asset Allocation – Growth : January 31, 2017

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

New York City Employees’ Retirement SystemPerformance Overview as of January 31, 2017Prepared by State Street

6

$57.4B Under ManagementPortfolio Asset Allocation – Growth : January 31, 2017

Asset Allocation


Asset Allocation

1.6%

-0.2%

0.3% 0.3% 0.0% 0.0%

-2.1%

1.0% 1.0%

-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

$18.7

32.5%

Domestic US Equity Developed Markets EAFE Emerging Markets Private Equity

$7.5

13.1%

$4.2

7.4%

$4.2

7.3%

$2.3

4.0%

$1.3

2.2%

$1.6

2.8%

$0.6

1.0%

Private Real Estate – Non Core

Opportunistic Fixed Income High Yield Hedge Funds Convertible Bonds


$0.6

1.0%

Note: On January 31, 2017 NYCERS' combined Fixed Income and Cashportfolios have a duration of 5.4 years. The duration of the Barclays USAggregate Index was 6 years on that date.

7

Asset Allocation

US Government Treasuries

$3.5

6.1%

-3.9%

0.3%

4.0%1.7%

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

10.00%

$2.2

3.8%

Mortgages Investment Grade Credit Short Term

$4.3

7.5%

$1.0

1.7%

Relative Mix to New Policy Weights

$57.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : January 31, 2017


8

$57.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : January 31, 2017

Asset Allocation

US Government Treasuries

-4.6%

-1.2%

2.5% 1.7%

-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 Adjusted Policy Weights



$3.5

6.1%

$2.2

3.8%

$4.3

7.5%

$1.0

1.7%

9

Asset Allocation

Infrastructure

$2.4

4.2%

-1.6%

0.2%

-1.9%-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

$1.8

3.1%

$1.1

1.9%

Relative Mix to New Policy Weights

$0.2

0.4%


$57.4B Under ManagementPortfolio Asset Allocation – Inflation Protection : January 31, 2017


10

Asset Allocation

Infrastructure

0.0%-0.2%

-2.2%-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


$57.4B Under ManagementPortfolio Asset Allocation – Inflation Protection : January 31, 2017



$2.4

4.2%$1.8

3.1%

$1.1

1.9%

$0.2

0.4%

11

NYC EMPLOYEES' RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS

(as of January 31st, 2017)

ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $38,484.8 67.0% 67.0% NA 64.3% 59.3% - 69.3%TOTAL FIXED INCOME $18,963.4 33.0% 33.0% NA 35.7% 30.7% - 40.7%TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target Adjustment Adjusted Policy

US Equities $18,667.7 32.5% 29.0% 2.3% 31.3% 26.3% - 36.3%Non-US Equities/EAFE $7,511.5 13.1% 13.0% 0.3% 13.3% 9.3% - 17.3%Emerging Markets $4,245.0 7.4% 7.0% 0.1% 7.1% 4.1% - 10.1%TOTAL PUBLIC EQUITY 53.0% 49.0% 2.6% 51.6%* HEDGE FUNDS 1.0% 0.0% NA 0.0% 0.0% - 0.0%* REAL ESTATE - CORE 3.1% 5.0% NA 3.1% 1.1% - 5.0%* REAL ESTATE - OPPORTUNISTIC 2.2% 4.0% NA 2.2% 0.2% - 4.0%* PRIVATE EQUITY 7.3% 7.0% NA 7.0% 4.0% - 10.0%

PRIVATE INFRASTRUCTURE 0.4% 2.0% NA 0.4% 1.0% - 3.0%

TOTAL EQUITIES 67.0% 67.0% NA 64.3% 59.3% - 69.3%

Actual Policy Target Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $3,016.0 5.3% 0.0% NA 0.0% -5.0% - 5.0%U.S. Treasuries - Longer Than Five Years $0.0 0.0% 10.0% 0.7% 10.7% 5.0% - 15.0%Core Mortgage-Backed Securities $1,457.5 2.5% 1.5% 1.4% 2.9% 0.5% - 2.5%Credit - Investment Grade Corporates 7.5% 3.5% 1.4% 4.9% 2.5% - 4.5%

High Yield $2,302.0 4.0% 5.0% 1.1% 6.1% 3.1% - 9.1%Bank Loans $1,076.8 1.9% 2.0% NA 2.0% 0.0% - 2.7%Total High Yield & Bank Loans 5.9% 7.0% 1.1% 8.1% 3.1% - 9.1%

TIPS $2,432.4 4.2% 4.0% 0.4% 4.4% 3.4% - 5.0%Convertible Bonds $565.3 1.0% 0.0% NA 0.0% 0.0% - 0.0%**ETI $733.3 1.3% 2.0% NA 2.0% 1.0% - 3.0%Cash $975.1 1.7% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC FIXED INCOME 29.4% 28.0% NA 32.9%* OPPORTUNISTIC FIXED INCOME 2.8% 5.0% NA 2.8% 3.0% - 7.0%

OTHER FIXED INCOME 0.9% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 33.0% 33.0% NA 35.7% 30.7% - 40.7%

*

**

***

$226.0

In $MM Adjusted Target

Range ***

$57,448.2


Range ***

$30,424.2

$580.3

$1,788.3$1,256.6

$4,209.3

$3,378.8

$38,484.8


Range ***

$4,314.9

$16,873.3

$1,583.1

$507.0

$18,963.4

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

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

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate Opportunistic: +/-2%; Private Equity: +/-3%; US Treasuries All Maturities: +/-5%; US Treasuries Longer than 5 Years: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield: +/-

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

12



Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Estate Core

3) Real Estate Opportunistic

4) Infrastructure

5) Opportunistic Fixed Income

Impact of Adjustments

1) U.S. Treasuries - Longer Than Five Years 10.0%Adjustment: Adjustment: 12% of uninvested Real Estate Core 0.2%Adjustment: Adjustment: 8% of uninvested Real Estate Opportunistic 0.1%Adjustment: Adjustment: 5% of uninvested Private Infrastructure 0.1%Adjustment: Adjustment: 10% of uninvested Opportunistic Fixed Income 0.2%Total U.S. Treasuries - Longer Than Five Years 10.7%

2) Credit - Investment Grade Corporates 3.5%Adjustment: 24% of uninvested Real Estate Core 0.5%Adjustment: 16% of uninvested Real Estate Opportunistic 0.3%Adjustment: 10% of uninvested Private Infrastructure 0.2%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.4%Total Credit - Investment Grade Corporates 4.9%

3) Core Mortgage-Backed Securities 1.5%Adjustment: 24% of uninvested Real Estate Core 0.5%Adjustment: 16% of uninvested Real Estate Opportunistic 0.3%Adjustment: 10% of uninvested Private Infrastructure 0.2%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.4%Total Core Mortgage-Backed Securities 2.9%

10% of uninvested commitments will be invested in US Treasuries, 20% of uninvested commitments will be invested in Investment Grade Corporates, 20% of uninvested commitments will be invested in Mortgages Backed Securities, and 50% of uninvested commitments will be invested in High Yield.

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

40% of uninvested commitments will be invested in US Equity, 12% of uninvested commitments will be invested in US Treasuries, 24% of uninvested commitments will be invested in Investment Grade Corporates, and 24% of uninvested commitments will be invested in Mortgage Backed Securities.

60% of uninvested commitments will be invested in US Equity, 8% of uninvested commitments will be invested in US Treasuries, 16% of uninvested commitments will be invested in Investment Grade Corporates, and 16% of uninvested commitments will be invested in Mortgage Backed Securities.

27% of uninvested commitments will be invested in US Equity, 18% of uninvested commitments will be invested in Developed Ex-US Equity, 5% of uninvested commitments will be invested in Emerging Markets Equity, 5% of uninvested commitments will be invested in US Treasuries, 10% of uninvested commitments will be invested in Investment Grade Corporates, 10% of uninvested commitments will be invested in Mortgage Backed Securities, and 25% of uninvested commitments will be invested in TIPS.

13



4) Treasury Inflation Protected Securities 4.0%Adjustment: 25% of uninvested Private Infrastructure 0.4%Total Treasury Inflation Protected Securities 4.4%

5) High Yield Securities 5.0%Adjustment: 50% of uninvested Opportunistic Fixed Income 1.1%** Existing Convertibles holdings to be placeholder for HY Securities 0.0%Total High Yield Securities 6.1%

6) Domestic Equity 29.0%Adjustment: 100% of uninvested Private Equity 0.0%Adjustment: 60% of uninvested Real Estate Opportunistic 1.1%Adjustment: 27% of uninvested Private Infrastructure 0.4%Adjustment: 40% of uninvested of uninvested Real Estate Core 0.8%Total Domestic Equity 31.3%

7) Non-U.S. Equity - Developed Markets 13.0%Adjustment: 18% of uninvested Private Infrastructure 0.3%Total Non-U.S. Equity - Developed Markets 13.3%

8) Non-U.S. Equity - Emerging Markets 7.0%Adjustment: 5% of uninvested Private Infrastructure 0.1%Total Non-U.S. Equity - Emerging Markets 7.1%

14



Note: Totals may not equal 100% due to rounding

US Equities 61%

Non-US Equities/ EAFE 25%

Emerging Markets 14%

Total Public Equities

U.S. Treasuries – All Maturities

16%

U.S. Treasuries - Longer Than Five

Years 0%

Core Mortgage-Backed Securities

8%

Credit - Investment Grade Corporates

23%

High Yield 12%

Bank Loans 6%

TIPS 13%

Convertible Bonds 3%

**ETI 4%

Cash 5%

*OPPORTUNISTIC FIXED INCOME

8%

OTHER FIXED INCOME

3%

Total Fixed Income

15

$50,993

$53,256

$53,887$53,678

$54,553

$56,263$56,172

$56,545

$55,609$55,945

$56,864

$57,448

$48,500 $49,500 $50,500 $51,500 $52,500 $53,500 $54,500 $55,500 $56,500 $57,500 $58,500

NYCERS MARKET VALUESFEBRUARY 2016 - JANUARY 2017

16

$42,237

$38,862

$30,929

$34,598

$41,623 $41,621

$46,538

$53,548 $54,289 $54,553 $57,448

$28,500 $31,500 $34,500 $37,500 $40,500 $43,500 $46,500 $49,500 $52,500 $55,500 $58,500 $61,500

17

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month FYTD CYTD

FYE06/30/16

CYE12/31/16

CYE12/31/15

CYE12/31/14

Trailing1 Year

InceptionDate

ASSET CLASS SUMMARY

NYCERS-TOTAL DOM EQUITY 18,667.66 32.49 1.68 9.19 11.38 1.68 1.68 14.24 (0.76) 11.24 22.88 Aug-01-79

NYCERS-TOTAL DEVELOPED ENVIRON ACTIVIST 7,511.54 13.08 4.20 4.61 10.47 4.20 (7.59) 4.22 (1.09) (4.36) 17.24 Apr-01-04

NYCERS-TOTAL EMERGING MARKETS 4,245.02 7.39 5.79 0.24 9.34 5.79 (10.00) 12.25 (18.15) (0.13) 25.04 Sep-01-05

NYCERS-TOTAL HEDGE FUNDS 580.35 1.01 (0.75) 0.60 1.61 (0.75) (3.88) 2.21 (1.57) 5.43 2.35 Jul-01-11

NYCERS-TOTAL CORE PLUS FIX INC 391.84 0.68 0.22 (1.79) (1.36) 0.22 5.66 3.61 0.86 5.67 2.69 May-01-09

NYCERS-TOTAL STRUCTURED 8,788.41 15.30 0.27 (2.25) (1.97) 0.27 6.56 3.79 0.21 7.60 2.84 Jan-01-85

NYCERS-TOTAL CONVERTIBLE BONDS 565.28 0.98 1.67 3.71 6.10 1.67 (0.85) 7.01 (1.28) 7.95 13.31 Jun-01-08

NYCERS-TOTAL TIPS MANAGERS 2,432.43 4.23 0.88 (1.16) (0.64) 0.88 4.38 4.72 (1.21) 3.42 4.04 Jun-01-05

NYCERS-TOTAL ENHANCED YIELD 2,302.02 4.01 1.31 2.78 8.21 1.31 0.28 14.93 (4.15) 2.58 18.06 Oct-01-94

NYCERS-TOTAL BANK LOANS 1,076.75 1.87 0.47 1.91 5.34 0.47 1.53 8.81 0.85 2.24 10.05 Dec-01-12

NYCERS-TOTAL OPPORTUNISTIC FIXED 1,583.12 2.76 1.42 4.53 8.77 1.42 (2.72) 8.54 (2.34) 7.99 12.23 Oct-01-07

NYCERS-TOTAL PROGRESS FIXED 115.16 0.20 0.24 (1.75) (1.71) 0.24 5.44 2.58 0.56 5.82 1.57 Jan-01-92

TOTAL EMPLOYEES ETI (w/o cash) 733.25 1.28 (0.16) (2.90) (3.60) (0.16) 11.47 2.76 4.12 8.03 0.49 Dec-01-84

NYCERS-TOTAL REAL ASSETS 3,270.89 5.69 0.70 1.56 5.27 0.70 12.06 10.25 14.32 14.51 9.57 Apr-01-04

NYCERS-TOTAL PRIVATE EQUITY 4,209.32 7.33 0.44 4.61 7.34 0.44 5.32 9.84 9.49 12.73 10.39 Apr-01-04

NYCERS-TOTAL CASH 956.91 1.67 0.07 0.16 0.33 0.07 0.42 0.67 0.27 0.34 0.63 Apr-01-04

SECURITY LENDING 18.20 0.03 Apr-01-04

NYCERS-TOTAL EMPLOYEES 57,448.15 100.00 1.74 3.86 6.73 1.74 1.52 9.33 (0.44) 7.07 14.36 Jul-01-87

NYCERS-TOTAL EQUITY 30,424.22 52.96 2.82 6.96 10.90 2.82 (1.77) 11.80 (3.28) 6.39 22.03 Aug-01-93

NYCERS-TOTAL FIXED INCOME (MINUS SS) 17,988.26 31.31 0.62 (0.49) 0.95 0.62 4.37 5.98 (0.54) 6.24 6.16 Apr-01-04

NYCERS-TOTAL HEDGE FUNDS 580.35 1.01 (0.75) 0.60 1.61 (0.75) (3.88) 2.21 (1.57) 5.43 2.35 Jul-01-11

NYCERS-TOTAL PRIVATE EQUITY 4,209.32 7.33 0.44 4.61 7.34 0.44 5.32 9.84 9.49 12.73 10.39 Apr-01-04

NYCERS-TOTAL REAL ASSETS 3,270.89 5.69 0.70 1.56 5.27 0.70 12.06 10.25 14.32 14.51 9.57 Apr-01-04

NYCERS-TOTAL CASH 956.91 1.67 0.07 0.16 0.33 0.07 0.42 0.67 0.27 0.34 0.63 Apr-01-04

SECURITY LENDING 18.20 0.03 18.33 42.03 181.48 18.33 171,437.33 Apr-01-04

NYCERS-TOTAL EMPLOYEES 57,448.15 100.00 Jul-01-87

Employees Policy Benchmark 1.43 3.13 6.05 1.43 2.28 9.44 0.17 8.15 13.38 Jun-01-94

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New York City Employees' Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Periods Ending January 31, 2017

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Ending Market Value($MM)

% of Total 1 Month 3 Month FYTD CYTD 2016 2015

ASSET CLASS SUMMARY

NYCERS-TOTAL EMPLOYEES 57,448 100.00 1.74 3.86 6.73 1.74 9.33 (0.44)Employees Policy Benchmark 1.43 3.13 6.05 1.43 9.44 0.17Excess 0.32 0.72 0.68 0.32 (0.10) (0.61)

NYCERS-TOTAL EQUITY (INCL PE & RA) 38,485 66.99 2.32 6.12 9.79 2.32 11.10 (0.52)

NYCERS-TOTAL FIXED INCOME (DOM & GLOBAL) 18,942 32.97 0.59 (0.44) 0.94 0.59 5.86 (0.50)

EQUITY SUMMARY

US EQUITYState Street Global Advisors R3000 1,886 3.28 1.88 8.52 10.87 1.88 12.69 0.39RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess 0.00 0.00 0.03 0.00 (0.04) (0.09)

Amalgamated Bank 5,105 8.89 1.86 7.77 9.92 1.86 11.94 1.11S&P 500 INDEX (DAILY) 1.90 7.76 9.87 1.90 11.96 1.38Excess (0.04) 0.01 0.05 (0.04) (0.02) (0.27)

Blackrock Inst R 2000 Growth 238 0.41 1.63 12.24 15.01 1.63 11.29 (1.54) RUSSELL 2000 GROWTH DAILY 1.62 12.23 14.96 1.62 11.32 (1.38)Excess 0.00 0.01 0.05 0.00 (0.03) (0.16)

Blackrock Inst R 2000 Value 70 0.12 (0.72) 17.06 23.26 (0.72) 31.61 (7.49) RUSSELL 2000 VALUE DAILY (0.71) 17.11 23.30 (0.71) 31.74 (7.47)Excess 0.00 (0.05) (0.04) 0.00 (0.13) (0.02)





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RAFI - SC Fundamental 959 1.67 (0.21) 16.08 21.03 (0.21) 27.57 (7.09)RUSSELL 2000 (DAILY) 0.39 14.72 19.15 0.39 21.31 (4.41)Excess (0.60) 1.36 1.89 (0.60) 6.26 (2.68)

Ceredex SCV 271 0.47 1.17 11.20 14.09 1.17 29.34 (4.74) RUSSELL 2000 VALUE DAILY (0.71) 17.11 23.30 (0.71) 31.74 (7.47)Excess 1.88 (5.91) (9.21) 1.88 (2.40) 2.73

Wellington Small Core 185 0.32 1.88 15.44 17.87 1.88 19.25 (2.79)RUSSELL 2000 (DAILY) 0.39 14.72 19.15 0.39 21.31 (4.41)Excess 1.48 0.73 (1.28) 1.48 (2.05) 1.63

State Street GA S&P 400 899 1.57 1.74 12.60 14.09 1.74 20.65 (2.31)S&P 400 MIDCAP INDEX (DAILY) 1.68 12.22 13.74 1.68 20.74 (2.18)Excess 0.06 0.38 0.35 0.06 (0.09) (0.13)

Blackrock Inst R 1000 Growth 3,046 5.30 3.34 6.91 9.17 3.34 7.04 5.58RUSSELL 1000 GROWTH - DAILY 3.37 6.93 9.20 3.37 7.08 5.67Excess (0.03) (0.02) (0.03) (0.03) (0.04) (0.09)

Blackrock Inst R 1000 Value 2,979 5.19 0.68 9.17 11.23 0.68 17.36 (3.94)RUSSELL 1000 VALUE (DAILY) 0.71 9.13 11.18 0.71 17.34 (3.83)Excess (0.03) 0.04 0.05 (0.03) 0.02 (0.11)

VTL S&P 500 Fundamental 533 0.93 1.37 8.92 9.89 1.37 12.68 (1.25)S&P 500 INDEX (DAILY) 1.90 7.76 9.87 1.90 11.96 1.38Excess (0.53) 1.16 0.02 (0.53) 0.72 (2.63)

RAFI - LC Fundamental 1,585 2.76 1.06 8.74 10.21 1.06 15.71 (3.17) RUSSELL 1000 (DAILY) 2.01 8.02 10.19 2.01 12.05 0.92Excess (0.95) 0.71 0.03 (0.95) 3.66 (4.09)

FUND OF FUNDSNYCERS-TOTAL FUND OF FUNDS 669 1.16 1.79 8.86 10.84 1.79 8.66 (3.41)RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess (0.10) 0.34 0.00 (0.10) (4.08) (3.89)

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NYCERS-TOTAL ATTUCKS 201 0.35 2.12 9.40 12.15 2.12 10.71 (3.63)RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess 0.24 0.88 1.31 0.24 (2.03) (4.10)

NYCERS-TOTAL CAPITAL PROSPECTS 71 0.12 1.21 9.22 11.89 1.21 11.67 (2.40)RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess (0.67) 0.70 1.05 (0.67) (1.06) (2.88)

NYCERS-TOTAL PROGRESS EQUITY 257 0.45 1.67 8.98 10.29 1.67 7.25 (4.66)RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess (0.21) 0.46 (0.55) (0.21) (5.48) (5.14)

NYCERS-TOTAL F I S 139 0.24 1.78 8.04 9.92 1.78 7.66 (1.25)RUSSELL 3000 (DAILY) 1.88 8.52 10.84 1.88 12.74 0.48Excess (0.10) (0.48) (0.92) (0.10) (5.07) (1.73)

U.S. ENVIRONMENTALWalden Asset Management (ENVRN) 242 0.42 0.39 13.88 14.84 0.39 24.18 (3.33)RUSSELL 2000 (DAILY) 0.39 14.72 19.15 0.39 21.31 (4.41)Excess 0.00 (0.83) (4.31) 0.00 2.88 1.08

NON - US EQUITYCauseway 1,073 1.87 3.34 6.17 11.42 3.34 0.69 (2.41) MSCI EAFE VALUE NET (DAILY) 2.46 6.49 15.27 2.46 5.02 (5.68)Excess 0.87 (0.32) (3.85) 0.87 (4.33) 3.28

Sprucegrove 1,091 1.90 5.14 8.06 17.31 5.14 11.10 (9.77) MSCI EAFE VALUE NET (DAILY) 2.46 6.49 15.27 2.46 5.02 (5.68)Excess 2.68 1.57 2.04 2.68 6.08 (4.08)

Baillie Gifford MTA 1,114 1.94 7.26 5.02 12.92 7.26 2.12 (4.67)MSCI EAFE GROWTH 3.37 2.05 2.49 3.37 (3.04) 4.09Excess 3.90 2.97 10.43 3.90 5.16 (8.76)

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Walter Scott 1,086 1.89 3.79 1.41 5.28 3.79 5.26 0.04MSCI EAFE GROWTH 3.37 2.05 2.49 3.37 (3.04) 4.09Excess 0.42 (0.64) 2.78 0.42 8.31 (4.05)

Acadian 371 0.65 4.75 4.92 11.31 4.75 5.15 8.71S&P EPAC Small Cap USD NET 3.37 3.15 8.29 3.37 1.34 8.58Excess 1.38 1.78 3.02 1.38 3.82 0.13

Pyramis 346 0.60 3.25 2.20 6.63 3.25 (0.81) 11.68S&P EPAC Small Cap USD NET 3.37 3.15 8.29 3.37 1.34 8.58Excess (0.12) (0.95) (1.66) (0.12) (2.15) 3.09

SSGA MTA 121 1,849 3.22 2.88 4.26 8.69 2.88 1.28 (0.42)MSCI EAFE 2.90 4.30 8.74 2.90 1.00 (0.81)Excess (0.02) (0.04) (0.06) (0.02) 0.28 0.39

SSGA MSCI EAFE Small Cap Index 286 0.50 3.49 3.42 9.21 3.49 2.52 9.97MSCI EAFE SMALL CAP NET (DAILY) 3.53 3.51 9.26 3.53 2.18 9.59Excess (0.04) (0.09) (0.06) (0.04) 0.33 0.39

Generation GE MTA 242 0.42 5.57 6.11 11.58 5.57 9.93 7.04MSCI World Index 2.41 6.37 9.39 2.41 7.51 (0.87)Excess 3.16 (0.26) 2.19 3.16 2.42 7.91

INTERNATIONAL FUND OF FUNDSNYCERS-TOTAL INTERNATIONAL FUND OF FUNDS 50 0.09 2.91 3.66 7.11 2.91 (1.94) 0.52MSCI EAFE 2.90 4.30 8.74 2.90 1.00 (0.81)Excess 0.01 (0.64) (1.63) 0.01 (2.94) 1.33

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EMERGING MARKETSBALLIE MTA 632 1.10 6.07 0.03 7.73 6.07 4.20 (13.67)FTSE Custom NYCERS All Emerging Index 5.46 (0.23) 8.84 5.46 13.66 (16.80)Excess 0.61 0.27 (1.11) 0.61 (9.46) 3.14

Acadian / MTA 637 1.11 6.77 3.01 13.63 6.77 12.66 (18.25)FTSE Custom NYCERS All Emerging Index 5.46 (0.23) 8.84 5.46 13.66 (16.80)Excess 1.31 3.24 4.80 1.31 (1.00) (1.45)

PARAMETRIC EM 622 1.08 5.11 (0.75) 5.86 5.11 11.58 (19.39)FTSE Custom NYCERS All Emerging Index 5.46 (0.23) 8.84 5.46 13.66 (16.80)Excess (0.35) (0.52) (2.97) (0.35) (2.09) (2.59)

DFA MTA 656 1.14 6.31 1.05 14.22 6.31 20.31 (22.06)FTSE Custom NYCERS All Emerging Index 5.46 (0.23) 8.84 5.46 13.66 (16.80)Excess 0.85 1.29 5.39 0.85 6.65 (5.26)

Blackrock EM 1,697 2.95 5.40 (0.58) 7.93 5.40 12.49 (17.92)MSCI CUSTOM NYCERS EMERGING MARKETS (NET) 5.36 (0.31) 8.16 5.36 12.68 (17.71)Excess 0.04 (0.26) (0.24) 0.04 (0.19) (0.21)

HEDGE FUNDSFUND OF FUNDS HEDGE FUNDS 249 0.43 0.16 0.47 1.21 0.16 0.24 (2.15)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (0.93) (1.99) (3.65) (0.93) (1.32) (2.88)

Brevan Howard Lp 23 0.04 (1.47) 2.40 0.94 (1.47) 1.21 1.09HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (2.56) (0.06) (3.92) (2.56) (0.34) 0.35

Brevan Howard Opp 109 0.19 (1.07) 4.47 3.40 (1.07) 4.04 (0.47)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (2.17) 2.01 (1.46) (2.17) 2.48 (1.20)

CCP Quant Fd 77 0.13 (3.30) (5.98) (15.54) (3.30) (5.70) (4.58)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (4.40) (8.44) (20.40) (4.40) (7.26) (5.31)

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D.E. Shaw Composite Fd 0 0.00 14.94HFRI Fund of Funds Composite Index + 1% 1.09 1.56 0.73Excess 14.21

Fir Tree Val Fd 93 0.16 (1.09) 0.03 3.75 (1.09) 0.47 (7.59)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (2.18) (2.43) (1.11) (2.18) (1.08) (8.33)

Luxor Capital 12 0.02 0.62 (4.34) (6.90) 0.62 (14.78) (18.59)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (0.47) (6.80) (11.76) (0.47) (16.33) (19.32)

Perry Capital Lp 17 0.03 0.72 10.14 12.01 0.72 8.07 (13.38)HFRI Fund of Funds Composite Index + 1% 1.09 2.46 4.86 1.09 1.56 0.73Excess (0.37) 7.68 7.15 (0.37) 6.51 (14.11)

SRS Investment Management 2 0.00 14.73HFRI Fund of Funds Composite Index + 1% 1.09 1.56 0.73Excess 14.00

Neuberger Berman - Mortgage 475 0.83 (0.06) (1.80) (1.52) (0.06) 1.50 1.42CITIGROUP MORTGAGE INDEX (0.04) (1.76) (1.46) (0.04) 1.59 1.56Excess (0.03) (0.04) (0.06) (0.03) (0.09) (0.14)

Blackrock - Mortgage 794 1.38 (0.01) (1.59) (1.05) (0.01) 2.17 1.67CITIGROUP MORTGAGE INDEX (0.04) (1.76) (1.46) (0.04) 1.59 1.56Excess 0.03 0.17 0.41 0.03 0.58 0.11

Wellington - Mortgage 7 0.01 (0.20) (2.93) (2.49) (0.20) 0.87 1.35CITIGROUP MORTGAGE INDEX (0.04) (1.76) (1.46) (0.04) 1.59 1.56Excess (0.16) (1.18) (1.03) (0.16) (0.72) (0.21)

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Goldman Sachs - Mortgage 5 0.01 0.95 1.60CITIGROUP MORTGAGE INDEX (0.04) 1.59 1.56Excess (0.63) 0.04

Amundi Smith Breeden - Mortgage 177 0.31 (0.04) (1.61) (1.02) (0.04) 2.06 1.73CITIGROUP MORTGAGE INDEX (0.04) (1.76) (1.46) (0.04) 1.59 1.56Excess 0.00 0.15 0.44 0.00 0.47 0.16

Prudential - Corp - Credit 898 1.56 0.35 (1.61) (1.18) 0.35 5.89 (0.32)NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess (0.04) 0.31 0.15 (0.04) 0.33 0.33

T. Rowe Price - Credit 891 1.55 0.46 (1.80) (0.94) 0.46 6.00 0.13NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess 0.07 0.12 0.39 0.07 0.44 0.78

Blackrock - Credit 876 1.52 0.36 (1.74) (1.24) 0.36 5.50 (0.83)NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess (0.03) 0.18 0.10 (0.03) (0.06) (0.18)

Taplin Canida Habacht - Credit 779 1.36 0.49 (1.00) 1.46 0.49 9.51 (4.37)NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess 0.10 0.91 2.80 0.10 3.95 (3.73)

Barrow Hanley - Credit 670 1.17 0.29 (1.62) (1.07) 0.29 5.88 (0.09)NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess (0.11) 0.29 0.26 (0.11) 0.32 0.56

Prudential-Privest - Credit 201 0.35 0.72 (1.34) (0.07) 0.72 4.24 1.63NYC - Investment Grade Credit 0.39 (1.92) (1.34) 0.39 5.56 (0.65)Excess 0.32 0.57 1.27 0.32 (1.32) 2.28

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Blackrock - Gov't 590 1.03 0.29 (4.93) (7.37) 0.29 1.24 0.69NYC - Treasury Agency Plus Five 0.29 (4.92) (7.49) 0.29 1.21 0.72Excess 0.00 (0.01) 0.12 0.00 0.02 (0.03)

State Street - Gov't 898 1.56 0.34 (4.83) (7.15) 0.34 1.57 0.46NYC - Treasury Agency Plus Five 0.29 (4.92) (7.49) 0.29 1.21 0.72Excess 0.05 0.08 0.34 0.05 0.36 (0.26)

SSGA 1-3 Treasury Index 1,528 2.66 0.11 0.11

NYC - Treasury Agency Plus Five 0.29 0.29

Excess (0.18) (0.18)

FIXED INCOME FUND OF FUNDSNew Century Adv LLC (Core) 26 0.05 0.09 (1.92) (1.72) 0.09 1.98 (0.04)BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65 0.55Excess (0.10) 0.11 0.62 (0.10) (0.67) (0.59)

Pugh Capital Mgmt Inc (Core) 30 0.05 0.29 (1.88) (1.84) 0.29 3.13 0.69BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65 0.55Excess 0.10 0.16 0.50 0.10 0.49 0.14

Ramirez Asset 37 0.07 0.31 (1.38) (1.13) 0.31 3.47 0.94BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65 0.55Excess 0.12 0.65 1.21 0.12 0.82 0.39

ENHANCED YIELDLoomis, Sayles - High Yield 468 0.81 1.82 4.16 11.52 1.82 21.61 (7.67)NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 1.34 2.93 8.92 1.34 17.49 (4.64)Excess 0.48 1.23 2.60 0.48 4.13 (3.02)

Oaktree - High Yield 365 0.63 0.89 2.24 7.47 0.89 14.91 (4.77) BofAML HYM CONSTRAINED (DAILY) 1.34 2.93 8.91 1.34 17.49 (4.61)Excess (0.45) (0.68) (1.44) (0.45) (2.58) (0.16)

NEUBERGER BERMAN - HIGH YIELD 390 0.68 1.32 2.27 7.66 1.32 14.70 (4.00)BofAML HIGH YIELD MASTER II (DAILY) 1.34 2.93 8.92 1.34 17.49 (4.64)Excess (0.03) (0.66) (1.26) (0.03) (2.79) 0.64

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Stone Harbor - High Yield 224 0.39 1.37 2.69 7.64 1.37 12.98 (4.54)BofAML HIGH YIELD MASTER II (DAILY) 1.34 2.93 8.92 1.34 17.49 (4.64)Excess 0.03 (0.24) (1.28) 0.03 (4.51) 0.11

T. Rowe Price - Enhanced Yield 392 0.68 1.17 2.42 6.99 1.17 12.32 (1.28)CITIGROUP BB & B 1.14 2.54 7.99 1.14 15.48 (4.21)Excess 0.03 (0.12) (1.00) 0.03 (3.15) 2.93

Shenkman - High Yield 193 0.34 1.15 2.51 7.02 1.15 11.86 (2.24)CITIGROUP BB & B 1.14 2.54 7.99 1.14 15.48 (4.21)Excess 0.01 (0.03) (0.97) 0.01 (3.61) 1.97

Penn Capital Mgt 142 0.25 1.37 3.23 8.37 1.37 11.97 (1.26)CITIGROUP BB & B 1.14 2.54 7.99 1.14 15.48 (4.21)Excess 0.23 0.70 0.39 0.23 (3.51) 2.95

Fort Washington 129 0.22 1.22 2.08 6.74 1.22 12.55 (4.43)CITIGROUP BB & B 1.14 2.54 7.99 1.14 15.48 (4.21)Excess 0.08 (0.45) (1.25) 0.08 (2.93) (0.22)

BANK LOANSBabson BL 293 0.51 0.43 1.87 5.44 0.43 8.46 0.12CSFB LEVERAGED LOAN INDEX 0.53 2.02 5.98 0.53 9.88 (0.38)Excess (0.11) (0.14) (0.54) (0.11) (1.42) 0.50

Credit Suisse BL 301 0.52 0.51 1.95 5.22 0.51 8.95 2.57CSFB LEVERAGED LOAN INDEX 0.53 2.02 5.98 0.53 9.88 (0.38)Excess (0.02) (0.06) (0.76) (0.02) (0.92) 2.96

Guggenheim BL 190 0.33 0.23 1.37 4.47 0.23 7.84 2.07CSFB LEVERAGED LOAN INDEX 0.53 2.02 5.98 0.53 9.88 (0.38)Excess (0.31) (0.65) (1.51) (0.31) (2.03) 2.45

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Invesco BL 293 0.51 0.64 2.27 5.93 0.64 9.68 (0.91)CSFB LEVERAGED LOAN INDEX 0.53 2.02 5.98 0.53 9.88 (0.38)Excess 0.10 0.26 (0.05) 0.10 (0.20) (0.53)

TIPSState Street TIPS MTA 1,836 3.20 0.88 (1.17) (0.65) 0.88 4.73 (1.35)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.84 (1.19) (0.64) 0.84 4.68 (1.44)Excess 0.04 0.02 (0.01) 0.04 0.04 0.09

Blackrock TIPS MTA 596 1.04 0.87 (1.14) (0.63) 0.87 4.71 (1.24)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.84 (1.19) (0.64) 0.84 4.68 (1.44)Excess 0.03 0.06 0.01 0.03 0.02 0.20

CONVERTIBLE BONDSAdvent Conv Bonds 349 0.61 1.63 2.65 6.02 1.63 7.35 (1.92)BofA ML U.S. Convertible Yield Alternative 1.69 2.85 7.68 1.69 9.96 (8.77)Excess (0.05) (0.20) (1.66) (0.05) (2.61) 6.85

Victory - Conv Bonds 216 0.38 1.73 5.46 6.21 1.73 6.47 (0.24)BofA Merrill Lynch US Investment Grade Convertible Bond Index 2.20 7.95 12.10 2.20 14.23 1.68Excess (0.46) (2.49) (5.89) (0.46) (7.77) (1.92)

CORE FIXED INCOMELM Capital 288 0.50 0.15 (1.87) (1.51) 0.15 3.47 0.83BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65 0.55Excess (0.05) 0.16 0.83 (0.05) 0.82 0.28

GIA 104 0.18 0.43 (1.55) (0.96) 0.43 4.00

BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65

Excess 0.24 0.49 1.38 0.24 1.35

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OPPORTUNISTIC FIXED INCOME Avenue Europe Special Sit. Fund, L.P. 0 0.0010% Annual Return

Excess

Avenue Special Situations Fund V, L.P. 1 0.0010% Annual Return

Excess

Ave Special Situation Fd VI 27 0.0510% Annual Return

Excess

Brightwood Capital Advisors III, LP 25 0.04 0.00 0.27 2.63 0.00 1.78

10% Annual Return 0.80 2.41 5.72 0.80 10.00

Excess (0.80) (2.14) (3.08) (0.80) (8.22)

Brightwood Capital Advisors FD IV, LP 9 0.02 0.00 0.00 0.00

10% Annual Return 0.80 2.41 0.80

Excess (0.80) (2.41) (0.80)

Fortress Ctr St Ptnrs 131 0.23 0.00 1.66 3.45 0.00 7.63 8.1410% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess (0.80) (0.75) (2.27) (0.80) (2.37) (1.86)

Lone Star Fd VIII 46 0.08 0.00 (0.73) (4.29) 0.00 (12.42) 28.6010% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess (0.80) (3.14) (10.01) (0.80) (22.42) 18.60

Oaktree Opp Fd IX 103 0.18 3.51 3.51 7.17 3.51 3.89 (9.30)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess 2.72 1.10 1.45 2.72 (6.11) (19.30)

Torchlight Debt Opp V 18 0.03 0.00 2.27 11.36 0.00 12.01

10% Annual Return 0.80 2.41 5.72 0.80 10.00

Excess (0.80) (0.14) 5.64 (0.80) 2.01

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Angelo Gordon Ct St Ptnrs 153 0.27 3.08 3.02 8.50 3.08 7.38 (6.05)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess 2.29 0.61 2.79 2.29 (2.62) (16.05)

Apollo Centre Street Partnership, L.P 190 0.33 0.00 2.18 6.82 0.00 5.78 (11.35)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess (0.80) (0.23) 1.10 (0.80) (4.22) (21.35)

Ares Centre Street 145 0.25 0.62 2.66 6.21 0.62 9.10 12.7910% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess (0.18) 0.25 0.49 (0.18) (0.90) 2.79

Contrarian Partnership, L.P 99 0.17 3.34 4.47 13.57 3.34 16.94 (8.12)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess 2.54 2.06 7.85 2.54 6.94 (18.12)

Golden Tree OD 187 0.33 0.59 2.45 5.96 0.59 10.28 2.3310% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess (0.20) 0.04 0.24 (0.20) 0.28 (7.67)

Marathon Centre Street Partnership, L.P. 283 0.49 1.93 12.29 17.42 1.93 16.20 (5.43)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess 1.13 9.88 11.70 1.13 6.20 (15.43)

Oak Hill Ctr St Ptnrs 166 0.29 2.14 4.69 11.87 2.14 13.18 (4.29)10% Annual Return 0.80 2.41 5.72 0.80 10.00 10.00Excess 1.34 2.28 6.15 1.34 3.18 (14.29)

OTHER FIXED INCOMEAFL-CIO HOUSING INV TRUST 300 0.52 0.44 (1.81) (2.04) 0.44 1.94 1.13BBG BARC Agg (Dly) 0.20 (2.04) (2.34) 0.20 2.65 0.55Excess 0.24 0.22 0.30 0.24 (0.71) 0.58

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ACCESS RBC 102 0.18 0.01 (1.79) (1.71) 0.01 1.61 1.83Access RBC Benchmark 0.01 (1.68) (1.74) 0.01 1.52 1.40Excess (0.01) (0.11) 0.03 (0.01) 0.09 0.43

CPC CONST FACILITY 6 0.01 0.48 (2.18) (0.18) 0.48 (3.95) 12.90CPC CONST BENCHMARK 0.27 0.80 1.84 0.27 3.12 2.90Excess 0.21 (2.98) (2.03) 0.21 (7.07) 10.00

CPC - PPAR (GNMA) 97 0.17 (0.48) (4.07) (0.48) 2.86 5.08GNMA Plus 65bps (0.07) (1.37) (0.07) 2.28 2.02Excess (0.41) (2.69) (0.41) 0.58 3.07

JPMC - PPAR (GNMA) 36 0.06 (0.44) (4.31) (0.44) 2.99 6.04GNMA Plus 65bps (0.07) (1.37) (0.07) 2.28 2.02Excess (0.37) (2.93) (0.37) 0.72 4.03

BOA-PPAR (GNMA) 16 0.03 (0.24) (4.30) (6.54) (0.24) 3.13 8.04GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess (0.17) (2.93) (5.76) (0.17) 0.85 6.03

BOA-PPAR (FNMA) 24 0.04 (0.63) (4.73) (7.35) (0.63) 4.07 42.03FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (0.69) (3.09) (6.21) (0.69) 1.69 39.53

CCD-PPAR (GNMA) 7 0.01 (0.46) (4.34) (6.13) (0.46) 2.78 5.08GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess (0.39) (2.97) (5.34) (0.39) 0.50 3.06

CCD-PPAR (FNMA) 10 0.02 (0.48) (4.65) (6.20) (0.48) 3.71 6.69FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (0.54) (3.01) (5.06) (0.54) 1.33 4.20

CFSB-PPAR (GNMA) 3 0.00 (0.39) (4.44) (6.03) (0.39) 3.21 5.90GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess (0.32) (3.06) (5.24) (0.32) 0.93 3.88

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CPC-PPAR (FNMA) 74 0.13 (1.73) (4.24) (6.68) (1.73) 6.15 8.96FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (1.79) (2.59) (5.54) (1.79) 3.77 6.46

JPMC-PPAR (FNMA) 47 0.08 (0.54) (4.28) (3.37) (0.54) 7.94 6.18FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (0.60) (2.64) (2.23) (0.60) 5.56 3.68

LIIF-PPAR (GNMA) 3 0.01 0.21 (2.08) (2.58) 0.21 3.88 3.92GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess 0.28 (0.71) (1.79) 0.28 1.61 1.91

LIIF-PPAR (FNMA) 7 0.01 (0.45) (3.69) (12.54) (0.45) 5.03 6.29FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (0.51) (2.05) (11.40) (0.51) 2.65 3.79

NCBCI PPAR (FNMA) 0 0.00 (1.29) (5.15) (6.34) (1.29) 3.46 4.97FNMA Plus 85bps 0.06 (1.64) (1.14) 0.06 2.38 2.50Excess (1.35) (3.50) (5.20) (1.35) 1.07 2.47

NCBCI-PPAR (GNMA) 2 0.00 (0.59) (4.71) (5.88) (0.59) 3.51 5.53GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess (0.52) (3.34) (5.10) (0.52) 1.23 3.52

NHS-PPAR (GNMA) 1 0.00 (0.67) (4.41) (4.95) (0.67) 3.58 4.90GNMA Plus 65bps (0.07) (1.37) (0.78) (0.07) 2.28 2.02Excess (0.60) (3.04) (4.16) (0.60) 1.30 2.89

WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00 0.06 0.06

FNMA Plus 85bps 0.06 0.06

Excess 0.00 0.00

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CASHEMPLOYEES' SHORT TERM 954 1.66 0.07 0.16 0.33 0.07 0.76 0.3191 DAY T-BILL 0.04 0.10 0.23 0.04 0.33 0.05Excess 0.02 0.06 0.10 0.02 0.44 0.27

C/D - FAIL FLOAT EARNINGS 3 0.01 0.06 0.16 0.32 0.06 0.01 0.50

SECURITY LENDING 18 0.03

PRIVATE EQUITYNYCERS-TOTAL PRIVATE EQUITY 4,209 7.33 0.44 4.61 7.34 0.44 9.84 9.49

REAL ASSETSNYCERS-TOTAL PRIVATE REAL ESTATE 3,045 5.30 0.74 1.57 5.33 0.74 10.35 14.44

NYCERS-TOTAL INFRASTRUCTURE 226 0.39 0.14 1.37 4.38 0.14 8.47 12.80Limited Access 03/06/2017 02:58:22 PM

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StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of September 30, 2016 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed

CapitalMarket Value Multiple IRR1 PME

Benchmark2PME

Spread3

Active Investments1999 Cypress Merchant Banking Partners II, L.P. 3/29/1999 45,172,972$ 53,970,573$ 50,537,286$ 129,423$ 0.94x (1.2%) 5.6% (6.7%)1999 FdG Capital Partners LLC 6/2/1999 25,000,000 28,954,203 48,781,931 664,940 1.71x 14.7% 6.6% 8.2%1999 Lincolnshire Equity Fund II, L.P. 10/20/1999 18,397,347 19,261,466 36,463,088 1,036,560 1.95x 24.6% 6.8% 17.7%2000 Solera Partners, L.P. 5/26/2000 19,999,779 26,490,547 41,635,156 3,681,143 1.71x 8.4% 6.3% 2.1%2000 SCP Private Equity Partners II, L.P. 6/15/2000 27,442,463 30,827,225 10,339,594 3,156,007 0.44x (10.9%) 5.2% (16.1%)2001 Apollo Investment Fund V, L.P. 4/13/2001 40,000,000 62,509,880 122,932,865 1,245,689 1.99x 38.6% 8.4% 30.2%2001 RRE Ventures III, L.P. 7/6/2001 19,999,999 26,274,675 33,150,017 2,739,561 1.37x 5.8% 6.6% (0.8%)2002 Thomas, McNerney & Partners, L.P. 10/9/2002 20,000,000 20,000,000 7,003,139 3,988,434 0.55x (11.69%) 11.1% (22.8%)2002 BDCM Opportunity Fund, L.P. 10/14/2002 25,000,000 52,554,619 90,110,270 95,139 1.72x 22.8% 6.2% 16.6%2002 Landmark Equity Partners XI, L.P. 10/23/2002 55,000,000 52,284,778 77,079,306 3,774,178 1.55x 23.5% 7.4% 16.1%2003 FS Equity Partners V, L.P. 1/20/2003 25,000,000 21,399,076 41,752,123 2,294,132 2.06x 15.6% 4.9% 10.7%2003 Blackstone Capital Partners IV, L.P. 2/26/2003 34,418,762 38,818,072 98,629,819 504,358 2.55x 39.7% 7.5% 32.2%2003 Ares Corporate Opportunities Fund, L.P. 4/1/2003 45,000,000 53,984,770 78,961,930 4,688,857 1.55x 13.6% 7.4% 6.2%2004 Markstone Capital Partners, LP 1/30/2004 40,000,000 46,899,103 19,822,611 1,955,927 0.46x (33.3%) 18.0% (51.3%)2004 FdG Capital Partners II LP 8/30/2004 35,000,000 37,624,231 42,499,038 2,466,730 1.20x 3.6% 6.6% (3.0%)2004 Paladin Homeland Security Fund (NY City), L.P. 9/27/2004 15,000,000 16,458,563 6,020,753 670,080 0.41x (13.0%) 6.3% (19.3%)2004 Lincolnshire Equity Fund III, L.P. 10/1/2004 55,000,000 54,200,779 69,467,169 26,839,829 1.78x 29.7% 10.5% 19.2%2004 Yucaipa American Alliance Fund I, LP 10/1/2004 90,000,000 114,094,892 94,282,024 33,263,836 1.12x 2.8% 10.3% (7.5%)2004 New York/Fairview Emerging Managers Fund, L.P.-Tranche 1 10/21/2004 32,000,000 32,725,517 26,635,754 13,552,374 1.23x 3.7% 8.5% (4.8%)2004 Aurora Equity Partners III L.P. 11/16/2004 50,000,000 54,123,136 86,395,365 5,497,730 1.70x 14.3% 9.8% 4.5%2004 Trilantic Capital Partners III L.P. 11/18/2004 45,088,848 40,126,836 59,174,224 1,099,585 1.50x 12.4% 4.9% 7.6%2004 Celtic Pharmaceutical Holdings L.P. 12/23/2004 25,000,000 25,402,094 402,094 3,976,018 0.17x (18.3%) 9.5% (27.8%)2005 Palladium Equity Partners III, L.P. 11/12/2004 35,000,000 36,043,405 51,427,044 19,699,052 1.97x 17.5% 11.5% 6.0%2005 New Mountain Partners II, L.P. 1/12/2005 46,451,615 41,780,816 80,867,650 684,282 1.95x 13.7% 4.4% 9.2%2005 VSS Communications Partners IV, L.P. 3/14/2005 24,690,337 28,424,765 19,015,485 2,048,719 0.74x (5.2%) 7.5% (12.7%)2005 Prism Venture Partners V-A, L.P. 7/14/2005 30,000,000 30,762,722 16,713,788 4,211,447 0.68x (7.6%) 8.0% (15.5%)2005 NB New York City Growth Fund 8/16/2005 34,819,694 34,819,694 34,883,967 (795,887) 0.98x (0.7%) 3.3% (4.0%)2005 Quadrangle Capital Partners II LP 8/29/2005 59,042,060 62,417,514 78,575,742 4,787,714 1.34x 5.9% 6.8% (0.9%)2005 Snow Phipps Group, L.P. 9/7/2005 20,000,000 23,164,768 18,071,332 12,144,623 1.30x 6.9% 10.4% (3.6%)2005 GI Partners Fund II L.P. 9/26/2005 35,000,000 35,453,490 41,848,151 14,282,457 1.58x 7.5% 5.7% 1.8%2005 Blackstone Mezzanine Partners II, L.P. 10/10/2005 25,000,000 23,478,551 31,496,847 502,419 1.36x 8.0% 3.8% 4.2%2005 Psilos Group Partners III, L.P. 10/24/2005 35,000,000 37,205,819 17,948,760 26,977,435 1.21x 3.6% 7.3% (3.6%)2005 USPF II Institutional Fund, L.P. 11/23/2005 65,000,000 85,734,194 60,389,583 59,743,797 1.40x 6.3% 7.2% (0.9%)2005 JP Morgan Fleming (Tranche A) 12/21/2005 43,000,000 41,875,311 30,542,316 25,074,165 1.33x 6.1% 10.3% (4.3%)2006 Aisling Capital II, LP 1/12/2006 6,680,102 7,862,697 5,584,630 1,854,379 0.95x (1.2%) 7.5% (8.7%)2006 InterMedia Partners VII, L.P. 1/20/2006 25,000,000 29,124,516 18,081,039 24,782,548 1.47x 5.7% 9.9% (4.2%)2006 Terra Firma Capital Partners III, L.P. 3/8/2006 52,771,661 53,570,980 5,408,603 20,855,434 0.49x (10.6%) 8.3% (18.9%)2006 BDCM Opportunity Fund II, L.P. 3/29/2006 25,000,000 36,514,340 36,662,202 35,368,179 1.97x 16.3% 10.6% 5.6%2006 Blackstone Capital Partners V, L.P. 4/13/2006 121,624,827 129,183,618 174,276,710 33,820,933 1.61x 8.0% 8.2% (0.2%)2006 Avista Capital Partners, L.P. 4/27/2006 45,000,000 58,957,901 53,377,922 22,438,251 1.29x 5.5% 6.1% (0.7%)2006 GSC Recovery III, L.P. 5/4/2006 25,000,000 28,176,914 29,697,283 2,636,847 1.15x 3.6% 6.5% (2.9%)2006 Apollo Investment Fund VI, L.P. 5/10/2006 90,000,000 115,838,240 145,311,271 25,975,350 1.48x 8.8% 7.4% 1.4%2006 Landmark Equity Partners XIII, L.P. 5/11/2006 50,000,000 47,997,218 45,416,855 15,727,520 1.27x 5.4% 6.0% (0.7%)2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 50,000,000 54,760,870 88,267,769 5,709,965 1.72x 13.7% 3.9% 9.7%2006 Fairview Ventures Fund III, L.P. 6/29/2006 25,000,000 25,974,738 20,490,594 28,190,837 1.87x 15.0% 11.9% 3.1%2006 Ampersand 2006 8/14/2006 25,000,000 25,000,000 37,163,838 19,778,095 2.28x 15.4% 8.2% 7.2%2006 CCMP Capital Investors II, L.P. 8/17/2006 30,000,000 33,012,190 42,864,590 12,921,225 1.69x 13.6% 10.2% 3.4%2006 CLP 2014 (fka Perseus Partners VII) 8/31/2006 30,000,000 35,015,446 12,762,236 394,559 0.38x (22.7%) 3.4% (26.2%)2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 25,000,000 24,849,167 46,730,837 9,400,781 2.26x 17.3% 11.3% 6.1%2006 Catterton Partners VI, L.P. 12/14/2006 45,000,000 50,211,052 62,363,059 31,098,961 1.86x 12.8% 8.4% 4.4%2006 First Reserve Fund XI, L.P. 12/14/2006 45,000,000 47,820,682 27,007,104 4,673,787 0.66x (9.9%) 5.8% (15.7%)2006 Arsenal Capital Partners II, LP 12/19/2006 22,500,000 26,955,765 35,536,976 9,487,106 1.67x 10.8% 11.6% (0.9%)2006 RRE Ventures IV, L.P. 12/19/2006 35,000,000 43,543,836 21,044,903 45,116,726 1.52x 7.7% 10.4% (2.7%)2006 MidOcean Partners III, L.P. 12/21/2006 60,000,000 68,455,274 52,540,305 59,729,600 1.64x 10.3% 9.3% 1.1%2006 GF Capital Private Equity Fund, L.P. 12/22/2006 20,000,000 20,626,154 22,565,552 13,740,620 1.76x 14.1% 12.2% 1.9%2006 The Fourth Cinven Fund 1/22/2007 71,420,626 72,910,838 94,146,833 6,770,295 1.38x 6.7% 7.3% (0.5%)2007 Pegasus Partners IV, L.P. 1/29/2007 30,000,000 35,625,582 21,384,679 13,829,192 0.99x (0.3%) 10.9% (11.1%)2007 FTVentures III, LP 3/1/2007 24,201,990 26,787,896 37,150,196 17,259,286 2.03x 16.3% 9.8% 6.5%2007 Co-Investment Partners Europe, L.P. 3/19/2007 39,923,730 42,075,924 36,705,145 17,030,982 1.28x 5.0% 15.4% (10.4%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 20,000,000 20,000,000 11,044,696 17,589,179 1.43x 7.1% 10.2% (3.1%)2007 Quaker BioVentures II, L.P. 3/30/2007 20,000,000 18,058,740 11,438,605 12,786,723 1.34x 7.3% 12.3% (5.0%)2007 SCP Vitalife Partners II Fund 4/13/2007 20,000,000 20,099,698 1,579 12,649,435 0.63x (8.2%) 9.4% (17.6%)2007 Craton Equity Investors I, L.P. 4/30/2007 20,000,000 20,089,805 2,153,907 3,086,220 0.26x (20.2%) 16.1% (36.3%)2007 Nautic Partners VI, L.P. 5/14/2007 30,000,000 33,402,321 62,663,425 12,745,233 2.26x 18.9% 11.8% 7.0%2007 Constellation Venture Capital III, L.P. 5/22/2007 25,000,000 27,160,015 5,676,045 14,854,251 0.76x (5.4%) 17.8% (23.2%)2007 United States Power Fund III, L.P. 6/28/2007 65,000,000 71,706,783 34,995,500 66,028,219 1.41x 6.7% 8.4% (1.7%)2007 Halyard Capital Fund II, L.P. 7/2/2007 25,000,000 21,352,216 22,365,079 8,881,401 1.46x 7.4% 9.6% (2.2%)2007 Carlyle Partners V, L.P. 7/6/2007 70,000,000 71,344,979 91,093,417 26,831,551 1.65x 13.1% 10.6% 2.5%2007 PCG Clean Energy & Technology Fund (East), LLC 7/6/2007 90,000,000 80,050,634 9,980,582 37,375,918 0.59x (9.3%) 12.9% (22.2%)2007 GSO Capital Opportunities Fund LP 7/16/2007 45,000,000 67,250,269 94,287,553 2,803,883 1.44x 17.7% 10.2% 7.5%2007 StarVest Partners II, L.P. 8/1/2007 25,000,000 24,943,994 1,166,983 21,897,966 0.92x (1.7%) 15.4% (17.0%)2007 New Mountain Partners III, L.P. 8/9/2007 100,000,000 98,793,517 81,287,263 92,745,458 1.76x 12.9% 12.2% 0.7%2007 Vista Equity Partners Fund III, L.P. 10/3/2007 30,000,000 31,896,996 67,873,088 14,131,248 2.57x 28.2% 9.9% 18.3%2007 Trilantic Capital Partners IV L.P. 10/22/2007 69,028,637 71,533,562 97,265,247 13,207,848 1.54x 13.8% 10.8% 3.0%2007 RLJ Equity Partners Fund I, L.P. 11/30/2007 20,000,000 21,179,584 10,049,279 24,681,277 1.64x 13.2% 13.5% (0.3%)2007 Pine Brook Capital Partners, L.P. 1/11/2008 30,000,000 31,715,339 18,521,031 19,100,300 1.19x 5.5% 10.9% (5.4%)2008 Paladin III (NY City), L.P. 1/8/2008 30,000,000 37,486,156 17,846,948 30,622,595 1.29x 7.2% 11.2% (4.1%)2008 Relativity Fund, L.P. 1/17/2008 10,877,829 10,773,614 2,302,071 3,421,548 0.53x (10.8%) 10.3% (21.0%)2008 Apollo Investment Fund VII, L.P. 1/28/2008 100,000,000 118,027,691 177,080,414 28,040,393 1.74x 24.0% 13.4% 10.6%2008 NGN BioMed Opportunity II, L.P. 2/11/2008 20,000,000 19,151,821 3,946,209 9,747,318 0.71x (7.1%) 15.8% (22.9%)2008 Carpenter Community BancFund-A, L.P. 2/12/2008 20,000,000 19,519,654 11,658,453 19,151,491 1.58x 8.1% 15.0% (6.9%)2008 Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 3/3/2008 45,000,000 49,659,172 33,807,446 21,484,205 1.11x 3.6% 13.7% (10.1%)2008 Yucaipa American Alliance Fund II, LP 3/28/2008 120,000,000 163,744,290 97,293,704 127,501,200 1.37x 8.3% 11.9% (3.6%)2008 Levine Leichtman Capital Partners IV, L.P. 4/8/2008 35,000,000 35,143,420 52,225,911 9,643,238 1.76x 20.2% 14.3% 5.9%2008 Lee Equity Partners Fund, L.P. 4/23/2008 37,261,581 50,519,026 61,415,282 281,462 1.22x 6.4% 13.4% (7.0%)2008 New York/Fairview Emerging Managers Fund, L.P.-Tranche 2 5/28/2008 45,000,000 42,054,618 25,269,212 40,280,285 1.56x 14.1% 12.7% 1.4%2008 Yucaipa Corporate Initiatives Fund II, LP 6/23/2008 42,092,788 41,024,582 12,669,673 24,896,699 0.92x (1.9%) 10.8% (12.6%)2008 Leeds Equity Partners V, L.P. 7/28/2008 60,000,000 57,703,251 51,223,650 42,885,450 1.63x 15.8% 13.5% 2.3%2008 GI Partners Fund III L.P. 7/29/2008 45,000,000 48,282,135 49,182,384 21,621,636 1.47x 12.5% 15.2% (2.8%)2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 75,000,000 89,695,829 96,261,041 66,671,395 1.82x 20.7% 11.8% 8.9%2008 GCM Grosvenor NYCERS Emerging Manager Co-Investment Fund, L.P. 8/22/2008 12,875,950 14,664,776 26,323,595 55,115 1.80x 14.2% 11.4% 2.8%2008 GCM Grosvenor NYCERS Emerging Manager Fund, L.P. 8/22/2008 116,737,374 126,881,353 84,835,380 84,507,986 1.33x 11.0% 13.1% (2.1%)

34

StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of September 30, 2016 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed

CapitalMarket Value Multiple IRR1 PME

Benchmark2PME

Spread3

2008 First Reserve Fund XII, L.P. 8/25/2008 45,000,000 49,160,016 21,512,848 14,170,838 0.73x (8.8%) 16.6% (25.4%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 109,120,000 102,329,392 86,130,939 46,184,637 1.29x 11.0% 14.2% (3.2%)2008 Crestview Partners II, L.P. 10/1/2008 50,000,000 54,583,186 45,549,772 39,788,250 1.56x 13.7% 14.4% (0.7%)2008 Avista Capital Partners II, L.P. 11/5/2008 75,000,000 92,312,447 118,236,679 49,830,969 1.82x 17.4% 14.5% 3.0%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 25,000,000 27,167,904 12,501,194 20,634,136 1.22x 6.0% 15.7% (9.7%)2008 Bridgepoint Europe IV 11/14/2008 26,676,508 26,366,756 23,060,618 14,566,603 1.43x 10.2% 15.0% (4.8%)2008 Aisling Capital III, LP 11/20/2008 14,000,000 15,300,837 14,535,205 10,104,723 1.61x 20.6% 14.3% 6.2%2008 Onex Partners III LP 12/10/2008 75,000,000 81,027,018 59,228,905 66,419,349 1.55x 13.1% 14.8% (1.7%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 40,000,000 38,909,044 32,185,534 26,458,563 1.51x 12.6% 14.5% (1.9%)2009 FS Equity Partners VI, L.P. 7/27/2009 32,500,000 31,336,772 24,359,661 34,108,434 1.87x 18.0% 15.0% 3.0%2009 Lincolnshire Equity Fund IV, L.P. 8/5/2009 27,500,000 28,255,832 9,638,864 26,206,724 1.27x 8.2% 13.2% (5.0%)2009 Lexington Capital Partners VII, L.P. 12/3/2009 50,000,000 42,668,825 40,686,793 22,935,936 1.49x 15.0% 14.2% 0.8%2010 Snow Phipps II, L.P. 1/8/2010 30,000,000 30,356,882 14,320,384 31,584,908 1.51x 17.1% 12.7% 4.4%2010 JP Morgan Fleming (Tranche B) 2/26/2010 35,000,000 32,807,036 12,659,265 34,027,440 1.42x 11.2% 13.0% (1.8%)2010 Trident V, L.P. 4/29/2010 110,000,000 118,010,606 32,790,336 123,142,699 1.32x 9.1% 11.4% (2.3%)2011 Blackstone Capital Partners VI, L.P. 1/24/2011 120,000,000 115,643,611 27,059,820 117,353,946 1.25x 10.6% 11.5% (0.9%)2011 Ampersand 2011 3/11/2011 25,000,000 24,125,000 8,694,145 40,925,643 2.06x 20.3% 12.6% 7.7%2011 BDCM Opportunity Fund III, L.P. 4/8/2011 45,000,000 57,406,306 20,728,277 46,840,177 1.18x 7.6% 11.5% (4.0%)2011 AXA Secondary Fund V B L.P. 6/16/2011 120,000,000 95,222,161 70,300,860 74,924,723 1.53x 16.7% 14.3% 2.4%2011 Wellspring Capital Partners V, L.P. 7/1/2011 40,000,000 35,876,787 4,908,198 47,425,625 1.46x 16.3% 11.4% 4.9%2011 EQT VI, L.P. 8/1/2011 106,068,636 104,311,838 13,714,498 115,406,700 1.24x 8.5% 11.0% (2.5%)2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 17,139,978 4,076,043 22,630,762 1.56x 15.0% 14.0% 1.0%2011 BC European Capital IX 9/19/2011 132,205,792 117,569,092 47,427,287 103,996,378 1.29x 10.6% 12.9% (2.3%)2011 American Securities Partners VI, L.P. 11/18/2011 80,000,000 84,853,612 26,188,180 98,722,573 1.47x 19.5% 11.4% 8.1%2011 Vista Equity Partners Fund IV, L.P. 11/30/2011 100,000,000 101,491,112 51,184,164 126,816,452 1.75x 21.0% 12.5% 8.4%2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 110,000,000 103,283,488 21,385,210 110,892,123 1.28x 12.7% 10.8% 1.9%2012 Trilantic Capital Partners V L.P. 9/20/2012 70,000,000 40,528,860 3,608,430 40,738,872 1.09x 5.1% 9.8% (4.7%)2012 Palladium Equity Partners IV, L.P. 10/10/2012 55,000,000 31,098,903 3,119,424 30,990,944 1.10x 5.1% 12.2% (7.1%)2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 125,000,000 102,421,053 19,352,001 109,782,456 1.26x 12.7% 8.4% 4.3%2012 Green Equity Investors VI, L.P. 11/30/2012 120,000,000 119,994,290 16,516,512 126,604,219 1.19x 11.5% 9.5% 2.0%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 100,000,000 72,217,028 56,525,456 62,918,220 1.65x 47.5% 12.1% 35.4%2012 NYCERS - 2012 Emerging Manager Program4 6/21/2013 150,000,000 88,191,929 10,250,852 92,757,871 1.17x 11.1% 7.8% 3.3%2013 Carlyle Partners VI, L.P. 7/3/2013 75,000,000 39,029,229 8,763,194 36,016,318 1.15x 8.8% 7.5% 1.2%2014 Carlyle Partners VI, L.P. (Side Car) 9/23/2014 4,567,000 4,475,155 - 4,175,744 0.93x (5.3%) 5.7% (11.0%)2013 Landmark Equity Partners XV, L.P. 10/30/2013 75,000,000 28,327,823 12,216,535 20,892,541 1.17x 10.9% 8.8% 2.2%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 140,000,000 78,922,592 6,160,344 81,867,850 1.12x 12.0% 7.3% 4.7%2013 Landmark - NYC Fund I, L.P. 12/24/2013 25,000,000 11,451,108 4,262,748 10,389,940 1.28x 15.9% 5.5% 10.4%2013 CVC Capital Partners VI, L.P. 2/18/2014 122,336,166 43,945,071 829,561 42,844,945 0.99x (0.5%) 8.5% (9.0%)2013 Crestview Partners III, L.P. 3/3/2015 66,000,000 15,112,145 249,535 13,940,439 0.94x NM NM N/A2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 22,000,000 7,374,875 301,332 7,304,989 1.03x NM NM N/A2014 Olympus Growth Fund VI, L.P. 1/21/2014 75,000,000 38,177,361 5,784,184 44,712,832 1.32x 35.1% 11.1% 24.0%2014 ASF VI B L.P. 5/9/2014 83,000,000 43,645,501 2,781,535 50,231,215 1.21x 14.5% 7.0% 7.5%2014 ASF VI B NYC Co-Invest L.P. 5/9/2014 27,000,000 17,031,244 3,815,187 18,288,882 1.30x 17.5% 4.7% 12.8%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 121,482,171 22,063,910 113,158,722 1.11x 9.7% 6.6% 3.1%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 110,000,000 24,342,374 7,183,681 23,907,348 1.28x NM NM N/A2015 Siris Partners III, L.P. 5/4/2015 31,000,000 13,407,926 23,901 12,897,480 0.96x NM NM N/A2015 Centerbridge Capital Partners III, L.P. 5/21/2015 23,700,000 6,310,789 249,841 7,181,962 1.18x NM NM N/A2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 78,500,000 22,101,864 - 23,455,274 1.06x NM NM N/A2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 205,500,000 22,741,672 - 19,895,066 0.87x NM NM N/A2015 ASF VII B L.P. 12/29/2015 94,500,000 7,093,697 24,926 8,277,371 1.17x NM NM N/A2015 ASF VII B NYC Co-Invest L.P. 12/29/2015 46,000,000 4,600 - 4,600 1.00x NM NM N/A2015 EQT VII, L.P. 1/8/2016 160,409,363 29,926,094 - 26,187,591 0.88x NM NM N/A2015 American Securities Partners VII, L.P. 1/19/2016 80,000,000 6,522,088 - 6,122,182 0.94x NM NM N/A2015 Bridgepoint Europe V L.P. 2/8/2016 60,837,721 17,012,619 - 17,245,311 1.01x NM NM N/A2015 Bridgepoint Europe V Co-Invest 8/16/2016 17,673,802 3,479,493 - 3,467,259 1.00x NM NM N/A2015 NYCERS - 2015 Emerging Manager Program5 2/22/2016 180,000,000 4,908,095 62,396 4,813,171 0.99x NM NM N/A2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 158,000,000 33,696,009 - 33,991,583 1.01x NM NM N/A2016 Apax IX USD, L.P. N/A 127,000,000 - - (843,652) - N/A N/A N/A2017 Ares Corporate Opportunities Fund V, L.P. N/A 95,000,000 - - - - N/A N/A N/A2017 BC European Capital X N/A 87,675,120 - - - - N/A N/A N/A2017 BCEC X Co-Investment N/A 35,070,048 - - - - N/A N/A N/A2017 Green Equity Investors VII, L.P. N/A 95,000,000 - - - - N/A N/A N/ATotal Portfolio6 9,087,541,679$ 7,496,848,703$ 5,951,256,825$ 4,257,799,191$ 1.36x 9.1% 9.5% (0.5%)

Vintage Year

Investment First Drawdown Committed Capital

Contributed Capital

Distributed Capital

Market Value Multiple IRR1 PME Benchmark2

PME Spread3

Commitments Closed Subsequent to as of Date- - - - - - - N/A N/A N/A N/A

Total Commitments Closed Subsequent to as of Date -$ -$ -$ -$ N/A N/A N/A N/A

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund isliquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have beendistributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York City Employees’ Retirement System, based on information provided by the general partners (e.g. cash flows and valuations). The IRRcalculations 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 bycash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

1 Performance for funds with less than eight (8) quarters of activity is not meaningful.2 Russell 3000 PME+3 PME Spread is calculated as IRR minus PME Benchmark.4 NYCERS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $139.6 million has been committed as of February 14, 2017.5 NYCERS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $47.0 million has been committed as of February 14, 2017.6 Total Portfolio includes liquidated investments.

35

-$125.0

-$100.0

-$75.0

-$50.0

-$25.0

$0.0

$25.0

$50.0

$75.0

$100.0

$125.0

($ m

m)

NYCERS Monthly PE Cash Flow Summary(as of January 31,2017)

Contributions Distributions Net Cash Flow

36

Vintage Year Fund Name Style Sector Capital Committed Contributions Distributions Market Value Equity Multiple Net IRR

2015 Almanac Realty Securities VII Core / Core Plus Portfolio 65,000,000 18,050,578 -519,458 19,157,107 1.1 9.5

2016 Almanac Realty Securities VII (Sidecar IV) Core / Core Plus Portfolio 20,000,000 3,151,212 0 3,499,234 1.1 15.7

2007 Colony Realty Partners II Core / Core Plus Portfolio 20,000,000 21,420,211 -666,108 4,444,500 0.2 -15.5

2016 Exeter Industrial Core Club Fund II Core / Core Plus Portfolio 28,000,000 4,732,982 0 4,820,084 1.0 4.8

2007 Heitman HART Core / Core Plus Portfolio 115,000,000 161,944,540 -46,944,540 217,459,685 1.6 8.3

2016 Jamestown Premier Property Fund Core / Core Plus Portfolio 39,000,000 39,687,953 -3,168,772 37,903,873 1.0 10.2

2007 JP Morgan Special Situation Property Fund Core / Core Plus Portfolio 90,000,000 103,306,883 -27,346,648 113,906,272 1.4 3.9

2007 JP Morgan Strategic Property Fund Core / Core Plus Portfolio 136,000,000 149,929,663 0 260,372,347 1.7 7.1

2010 LaSalle Property Fund Core / Core Plus Portfolio 50,000,000 50,000,000 -11,027,538 68,212,833 1.6 12.2

2014 MetLife Core Property Fund Core / Core Plus Portfolio 50,000,000 50,000,000 -4,075,735 57,327,831 1.2 14.1

2013 NYC Asset Investor #2 LLC Core / Core Plus Portfolio 75,000,000 68,408,974 -9,668,620 74,456,582 1.2 13.6

2016 NYCRS Artemis Co-Investment Core / Core Plus Portfolio 53,000,000 5,857,864 0 7,997,634 1.4 69.9

2007 PRISA II Core / Core Plus Portfolio 141,518,761 149,597,017 -32,600,605 190,657,705 1.5 5.4

2006 PRISA SA Core / Core Plus Portfolio 86,000,000 92,514,113 -24,411,224 112,142,015 1.5 4.3

2006 Prologis Targeted U.S. Logistics Fund Core / Core Plus Portfolio 25,000,000 32,697,211 -7,987,272 32,225,731 1.2 2.7

2006 RREEF America REIT II Core / Core Plus Portfolio 86,000,000 113,537,802 -49,993,010 112,834,865 1.4 4.9

2007 RREEF America REIT III - 1410 Core / Core Plus Portfolio 90,000,000 90,000,000 -50,554,304 651,259 0.6 -7.6

2006 UBS Trumbull Property Fund Core / Core Plus Portfolio 156,000,000 219,606,066 -50,946,592 271,203,754 1.5 6.5

2016 USAA Eagle Real Estate Fund Core / Core Plus Portfolio 60,000,000 39,419,617 0 43,033,651 1.1 13.0

Core / Core Plus Portfolio 1,385,518,761 1,413,862,686 -319,910,426 1,632,306,962 1.4 5.2

2008 American Value Partners Fund I Non-Core Portfolio 55,000,000 39,320,163 -33,142,223 14,087,892 1.2 4.2

2008 AREA European Real Estate Fund III, LP Non-Core Portfolio 30,000,000 30,487,500 -30,737,500 5,504,558 1.2 4.4

2006 AREA Real Estate Investment Fund V, LP Non-Core Portfolio 25,000,000 25,000,001 -13,090,222 11,026,752 1.0 -0.5

2015 Avanath Affordable Housing Fund II Non-Core Portfolio 8,000,000 7,806,663 0 11,571,871 1.5 44.2

2004 Blackstone Fund IV Non-Core Portfolio 30,000,000 38,440,704 -47,521,581 6,285,258 1.4 10.5

2010 Blackstone Real Estate Partners Europe III (USD Vehicle) Non-Core Portfolio 50,000,000 51,275,261 -36,725,223 34,189,935 1.4 11.1

2014 Blackstone Real Estate Partners Europe IV (USD Vehicle) Non-Core Portfolio 169,000,000 149,381,022 -21,985,747 144,496,890 1.1 7.9

2007 Blackstone Real Estate Partners VI Non-Core Portfolio 110,000,000 122,246,031 -177,346,224 54,645,947 1.9 13.1

2012 Blackstone Real Estate Partners VII Non-Core Portfolio 170,000,000 200,015,308 -139,148,423 163,559,368 1.5 20.7

2015 Blackstone Real Estate Partners VIII Non-Core Portfolio 151,000,000 59,536,019 -4,933,440 63,819,801 1.2 22.0

2012 Brookfield Strategic Real Estate Partners Non-Core Portfolio 100,000,000 103,710,668 -33,954,690 114,052,119 1.4 17.5

2003 Canyon Johnson Urban Fund Non-Core Portfolio 15,000,000 13,590,364 -15,874,432 0 1.2 10.2

2005 Canyon Johnson Urban Fund II Non-Core Portfolio 40,000,000 35,954,818 -15,285,276 716,824 0.4 -10.5

2010 Canyon Johnson Urban Fund III Non-Core Portfolio 30,000,000 29,586,980 -39,586,665 763,993 1.4 12.2

2008 Capri Urban Investors Non-Core Portfolio 60,000,000 59,980,707 -15,777,250 38,674,855 0.9 -1.6

2009 Carbon Capital III Non-Core Portfolio 40,000,000 43,757,162 -53,134,591 0 1.2 8.5

2007 Carlyle Realty Partners V Non-Core Portfolio 20,000,000 25,044,057 -28,314,182 6,273,234 1.4 8.5

2011 Carlyle Realty Partners VI Non-Core Portfolio 70,000,000 65,518,219 -74,007,299 37,231,656 1.7 28.4

2014 Carlyle Realty Partners VII Non-Core Portfolio 80,000,000 39,138,578 -280,548 43,914,720 1.1 14.6

2014 Divco West Fund IV Non-Core Portfolio 23,000,000 22,334,462 -10,886,169 23,557,335 1.5 29.3

2016 Divco West Fund V Non-Core Portfolio 60,000,000 0 0 -299,324 n/a n/a

2016 European Property Investors Special Opportunities IV (EPISO IV) Non-Core Portfolio 49,178,496 7,202,075 -1,197,152 6,242,926 1.0 7.1

2011 H/2 Special Opportunities Fund II Non-Core Portfolio 40,000,000 39,999,999 -28,306,142 29,312,580 1.4 15.5

2015 H/2 Special Opportunities Fund III Non-Core Portfolio 65,000,000 48,247,765 -1,089,360 53,972,801 1.1 19.9

2009 JP Morgan Urban Renaissance Property Fund Non-Core Portfolio 16,360,625 4,206,523 -4,206,523 0 1.0 0.0

2013 KTR Industrial Fund III Non-Core Portfolio 40,000,000 17,479,475 -27,587,374 75,374 1.6 40.5

2014 Lone Star Real Estate Fund III Non-Core Portfolio 100,000,000 92,771,894 -34,967,635 83,204,491 1.3 19.7

2007 Metropolitan Workforce Housing Fund Non-Core Portfolio 14,000,000 14,013,027 -12,165,282 5,021,785 1.2 4.2

2013 NYC Asset Investor #1 LLC Non-Core Portfolio 50,000,000 53,596,712 -6,974,671 59,890,467 1.2 14.0

2013 NYC Asset Investor #3 LLC Non-Core Portfolio 50,000,000 20,787,983 -195,673 20,928,093 1.0 1.2

2008 PRISA III Non-Core Portfolio 50,000,000 58,042,816 0 128,394,495 2.2 13.2

2016 PW Real Estate Fund III LP Non-Core Portfolio 46,748,831 10,172,465 0 9,672,523 n/a n/a

2008 Silverpeak Legacy Partners III Non-Core Portfolio 50,000,000 22,168,479 -3,121,878 5,680,295 0.4 -12.0

2008 Stockbridge Real Estate Fund III Non-Core Portfolio 27,000,000 26,998,145 -16,829,753 16,888,211 1.2 3.9

2012 Taconic New York City Investment Fund LP Non-Core Portfolio 70,000,000 28,954,546 -22,113,636 26,441,079 1.7 16.3

2004 The City Investment Fund I Non-Core Portfolio 225,000,000 221,883,300 -224,092,986 666,374 1.0 0.3

2009 Thor Urban Property Fund II Non-Core Portfolio 40,000,000 51,756,666 -54,781,251 23,374,091 1.5 12.4

2004 Tishman Speyer Separate Account (ERS) Non-Core Portfolio 100,000,000 71,066,452 -259,755,306 0 3.7 63.2

2007 UrbanAmerica II Non-Core Portfolio 25,000,000 23,222,735 -2,551,754 25,239 0.1 -25.3

2009 Walton Street Real Estate Fund VI Non-Core Portfolio 50,000,000 44,323,933 -42,449,174 23,171,958 1.5 9.4

2008 Westbrook Real Estate Fund VII Non-Core Portfolio 40,000,000 43,518,689 -38,472,731 13,859,881 1.2 3.5

2010 Westbrook Real Estate Fund VIII Non-Core Portfolio 50,000,000 59,326,162 -67,801,514 9,905,957 1.3 12.3

2016 Westbrook Real Estate Fund X Non-Core Portfolio 36,000,000 1,894,737 0 1,977,870 1.0 23.6

Non-Core Portfolio 2,570,287,952 2,123,759,266 -1,640,391,480 1,292,780,174 1.4 11.4

Small Emerging Manager 155,000,000 90,220,452 -47,859,259 38,704,421 1.0 -0.9

New York City Employees' Retirement System 3,955,806,713 3,537,621,952 -1,960,301,906 2,925,087,136 1.4 7.6

New York City Employees' Retirement System as of September 30, 2016.

Source: PCG historical cash flow data. TTG cash flow data from Fund Managers, effective 2005. Note: The equity multiples and IRRs contained in this report are interim calculations based upon information provided by the investment managers of the New York City Retirement Systems, including cash flows and quarterly unaudited, or audited, valuations. The IRR calculated in early years of a fund life is not meaningful given the J-curve effect and can be significantly impacted by the timing of cash flows, investment strategy, investment pacing, and fund life. The calculations are not necessarily indicative of total fund performance, which can only be determined after the fund is liquidated and all capital contributed and earnings have been distributed to the investor. All data supplied is as of September 30, 2016. Note: The General Partner of the JPMorgan Urban Renaissance Fund terminated the Fund on February 23, 2010 and all capital contributed, including management fees, was returned to investors.

37

‐$100,000,000

‐$80,000,000

‐$60,000,000

‐$40,000,000

‐$20,000,000

$0

$20,000,000

$40,000,000

$60,000,000

$80,000,000

$100,000,000

Amou

ntNYCERS Monthly Real Estate Cash Flow Summary

(as of January 31, 2017)

Contributions Distributions Net Cash Flow

38

Documents

Monthly Performance Review January 2017 · Monthly Performance Review January 2017 Prepared for the New York City . Employees’ Retirement System . 03.2017. THE CITY OF NEW YORK