Common Investment Meeting (TRS) · 19/09/2019 · vgr 59.4 - - PYXUS INTERNATIONAL PYX 100.0 403 -...
Transcript of Common Investment Meeting (TRS) · 19/09/2019 · vgr 59.4 - - PYXUS INTERNATIONAL PYX 100.0 403 -...
Common Investment Meeting (TRS)Schedule Thursday, September 19, 2019 9:00 AM — 3:00 PM EDTVenue Office of the New York City Comptroller, 1 Centre Street, 10th
Floor (Room 1005) - Northside, New York, NY 10007Organizer Kim Boston
Public Agenda
PUBLIC SESSION 1
9:00 AM Welcome and Opening 2
9:05 AM Quarterly Fund Performance Overview: 3
(RISK) Excluded Companies List: 4
CIM_Excluded Companies List_09-19-2019 (TRS).pdf 5
SUPPLEMENTAL MATERIAL - PERFORMANCE REPORTING(Public):
309
Total Fund Overview (Public): 310
TRS 2Q19 Quarterly Report Overview_(Public).pdf 311
ETI Quarterly Report (Public): 373
CIM_ETI 2Q Qtrly Rpt (Public)_09.19.2019 (TRS).pdf 374
Private Equity Quarterly Report (Public): 381
CIM_PE 1Q Qrtly Report (Public)_(TRS).pdf 382
Real Estate Quarterly Report (Public): 408
CIM_RE 1Q Qtrly Rpt (Public)_(TRS).pdf 409
Infrastructure Quarterly Report (Public): 417
CIM_Infra 1Q Qtrly Rpt (Public)_09.19.2019 (TRS).pdf 418
Risk Quarterly Report (Public): 436
CIM_Risk 2Q Quarterly Report_09.19.2019 (TRS).pdf 437
APPENDICES: 478
Basket Clause 479
CIM_Basket Clause Rpt_09.19.19 (TRS).pdf 480
Liquidity Analysis 481
CIM_Liquidity Report_09.19.2019 (TRS).pdf 482
PUBLIC SESSION
Welcome and Opening
Quarterly Fund Performance Overview:
(RISK) Excluded Companies List:
OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER Alex Doñé, Deputy Comptroller - Asset Management / Chief Investment Officer Bureau of Asset Management | 1 Centre Street Room 800, New York, NY 10007-2341 | www.comptroller.nyc.gov Telephone: (212) 669 – 3257 | Email: [email protected]
SEE DISCLOSURE STATEMENTS
TO: Trustees of the Teachers’ Retirement System of the City of New York Trustees of the New York City Employees’ Retirement System Trustees of the New York City Police Pension Fund Trustees of the New York City Fire Pension Fund Trustees of the Board of Education Retirement System of the City of New York FROM: Miles Draycott DATE: September 19, 2019 RE: Excluded Companies List – Annual Update
I. PURPOSE AND BACKGROUND: The purpose of this memorandum is to provide Trustees with recommended updates to the excluded company lists (as of 6/30/2019) and to solicit Board feedback and/or decisions on the proposed changes. The excluded companies list is generated in accordance with various resolutions passed by the System’s Trustees and is produced using MSCI’s ESG data and screening tool. BAM understands these resolutions to limit or prohibit investment in equity securities issued by companies engaged in the activities listed below. Publicly-traded debt securities are issued by both publicly-owned and privately-owned companies. Data/Analytics companies such as MSCI can only obtain data detailing the revenues of publicly-owned companies. Although BAM circulates the excluded companies list to managers of Fixed Income (debt) securities, BAM cannot produce a comprehensive list of companies (publicly-owned and privately-owned) that engage in activities referred to in the resolutions passed by the trustees and which have issued debt securities. Ex ante tracking error is the expected standard deviation of the difference between the portfolio return and the return of a benchmark. The ex-ante tracking error resulting from each resolution and the cumulative ex-ante tracking error resulting from all of the exclusions is detailed below. Please note that the cumulative tracking error resulting from all of the exclusions is de minimus for every system except NYCERS where a country screen preventing investment in China is still in place. The 64 basis points of tracking error resulting from this exclusion is material.
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 2
II. TOBACCO In 1998, the Board of the New York City Employees’ Retirement System (“NYCERS”) passed a resolution prohibiting additional purchases of tobacco stocks in passive domestic equity accounts. As of 6/30/2019 no additional shares in the six companies identified in the resolution had been purchased in the system’s passive domestic equity accounts. BAM Risk screened for U.S. companies that derive more than 50% of their revenues from any one of the four business activities classified as tobacco-related and identified three additional companies. These companies were not included in the list of excluded companies compiled in 1998, but the resolution would seem to prohibit investment in these companies. Equities issued by two of these companies are currently held in NYCERS’ passive domestic equity portfolios. The results of BAM’s review appear below:
BAM recommends three additions to the excluded companies list (highlighted in green): Pyxus International, 22nd Century Group, Inc., and Amcon Distributing Co.
RISK SUMMARY BERS FIRE NYCERS POLICE TRSPortfolio Risk without Exclusions (%) 12.14 12.20 12.12 12.22 12.14
Active Risk by Policy DirectiveTobacco - - 0.08 - -
Thermal Coal 0.01 - 0.01 - 0.01
Civilian Firearms Manufacturers 0.00 - 0.00 - 0.00
Civilian Firearms Retailers 0.00 - 0.00 - 0.00
For-Profit Prisons 0.00 0.00 0.00 0.00 0.00
UN Sanctions 0.00 0.00 0.00 0.00 0.00
Country Screens - - 0.65 - 0.05
Cumulative Tracking Error 0.01 0.01 0.64 0.01 0.05
Portfolio Risk with Exclusions 12.15 12.21 12.76 12.23 12.19
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Russell Passive
Investments6/30/19
# Shares in Russell Passive
Investments12/31/18
Suggested Action
UNIVERSAL CORPORATION UVV 100.0 1,011 1,011 PHILIP MORRIS INTERNATIONAL INC. PM 100.0 306,093 306,093 TURNING POINT BRANDS, INC. TPB 98.0 - - ALTRIA GROUP, INC. MO 96.8 672,306 672,306 CORE-MARK HOLDING COMPANY, INC. CORE 77.5 2,795 2,795 SCHWEITZER-MAUDUIT INTERNATIONAL, INC. SWM 60.0 2,553 2,553 VECTOR GROUP LTD. VGR 59.4 - - PYXUS INTERNATIONAL PYX 100.0 403 - Add22ND CENTURY GROUP INC XXII 100.0 29,509 - AddAMCON DISTRIBUTING CO DIT 83.8 - - Add
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 3
The ex-ante tracking error resulting from the above resolution is set out below:
BAM’s recommends three additions and no deletions to NYCERS’ excluded companies list.
III. THERMAL COAL
In a resolution passed in 2015, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the extraction of thermal coal. The following list shows companies currently deriving at least 50% of revenues from the extraction of thermal coal -- and companies previously thought to derive at least 50% of their revenues from this business activity.
BERS FIRE NYCERS POLICE TRS- - 0.08% - -
Tracking Error Impact from Tobacco Exclusion
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 4
BAM recommends six additions to the excluded companies list (highlighted in green): Alliance Resource Partners, LP, Foresight Energy, LP, Geo Energy Resources Limited, New Hope Corporation Limited, Bukit Asam TBK PT, and Yang Quan Coal Industry (Group) Co., Ltd. In addition, BAM recommends one deletion from the list (highlighted in red): Indika Energy TBK PT. Analysis of this company using the MSCI data/screening tool suggests that the company now derives less than 50% of its revenues from the extraction of thermal coal. As a result, BAM is now recommending that they be dropped from the list.
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Suggested Action
PT BUMI RESOURCES TBK BUMI 99.4LUBELSKI WEGIEL BOGDANKA SA LWB 97.2EXXARO RESOURCES LIMITED EXX 96.1PT DELTA DUNIA MAKMUR TBK DOID 95.0INNER MONGOLIA YITAI COAL CO., LTD 900948 94.6WASHINGTON H. SOUL PATTINSON AND COMPANY LIMITED SOL 89.3COAL INDIA LTD COALINDIA 87.8AGRITRADE RESOURCES LIMITED 1131 86.5CONSOL ENERGY INC. CEIX 84.3PT ADARO ENERGY TBK ADRO 83.4WHITEHAVEN COAL LIMITED WHC 80.5GUJARAT MINERAL DEVELOPMENT CORPORATION LIMITED GMDCLTD 78.4BANPU PUBLIC COMPANY LIMITED BANPU 78.0CLOUD PEAK ENERGY INC. CLDPQ 72.3PEABODY ENERGY CORPORATION BTU 70.7YANZHOU COAL MINING COMPANY LIMITED 600188 68.5ARCH COAL, INC. ARCH 57.2PT UNITED TRACTORS TBK UNTR 56.9SEMIRARA MINING AND POWER CORP SCC 55.2ALLIANCE RESOURCE PARTNERS, L.P. ARLP 93.0 AddFORESIGHT ENERGY LP FELP 98.9 AddGEO ENERGY RESOURCES LIMITED RE4 98.3 AddNEW HOPE CORPORATION LIMITED NHC 97.3 AddBUKIT ASAM TBK PT PTBA 96.7 AddYANG QUAN COAL INDUSTRY (GROUP) CO., LTD. 600348 75.3 AddINDIKA ENERGY TBK PT PNKGF ** DeleteINDO TAMBANGRAYA MEGAH PTIZF ** KeepTAMBANG BATUBARA BUKIT PBATF ** KeepHARGREAVES SERVICES PLC HSP ** KeepHALLADOR ENERGY COMPANY HNRG ** KeepPT HARUM ENERGY TBK HRUM ** KeepTHE LANNA RESOURCES PUBLIC CO. LTD LANNA-R ** KeepWESTMORELAND COAL COMPANY WLBAQ ** Keep
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 5
Finally, MSCI no longer provides coverage for seven companies previously on the list (highlighted in yellow): Indo Tambangraya Megah, Tambang Batubara Bukit, Hargreaves Services, PLC, Hallador Energy Company, PT Harum Energy Tbk, The Lanna Resources Public Co., Ltd. and Westmoreland Coal Company. Based on information observed on Bloomberg and/or corporate websites, BAM believes it unlikely that these companies have changed their business model. BAM believes that they continue to be engaged in, and derive the majority of their revenues from, the extraction of thermal coal. BAM recommends that those companies remain on the list. The ex-ante tracking error resulting from the above resolution is set out below:
IV. CIVILIAN FIREARMS MANUFACTURERS In a 2013 resolution, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the manufacture of civilian firearms. The following list shows companies deriving at least 5% of their revenues from this business activity.
BERS FIRE NYCERS POLICE TRS0.01% - 0.01% - 0.01%
Tracking Error Impact from Thermal Coal Divestment
ISSUER TICKER
% Revenue from Activity as of
6/30/2019Suggested
ActionREMINGTON ARMS COMPANY, LLC REMIG 90.0STURM RUGER & COMPANY INC. RGR 80.0AMERICAN OUTDOOR BRANDS CORPORATION AOBC 75.0MIROKU CORPORATION 7983 62.8COLT DEFENSE LLC COESE 45.0SIG SAUER INC. SIGSR 45.0VISTA OUTDOOR INC. VSTO 45.0FORJAS TAURUS SA FJTA3 44.0VERNEY CARRON SA MLVER 35.0HECKLER & KOCH GMBH HK 20.0POONGSAN CORPORATION 103140 12.0OLIN CORPORATION OLN 10.0IZHEVSKIY MASHZAVOD OAO ROSTE 10.0HOWA MACHINERY, LTD. 6203 10.0CLARUS CORPORATION CLAR 5.0NORTHRUP GRUMMAN INNOVATIONS SYSTEMS, INC. NOC 5.0 AddS&T MOTIV CO., LTD. 064960 5.0 Add
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 6
BAM recommends two additions to the excluded companies list (highlighted in green), Northrup Grumman Innovations Systems, INC., and S&T Motiv Co., Ltd., as revenues derived from the manufacture of civilian firearms exceed the 5% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
V. CIVILIAN FIREARMS RETAILERS In a 2016 resolution, the Boards of NYCERS, TRS and BERS prohibited investment in companies engaged in the retail sale of civilian firearms. The following list shows companies deriving at least 5% of their revenues from this business activity.
BAM recommends two additions to the excluded companies list: Cabela’s Inc. and Sportsman’s Warehouse Holdings, Inc. (highlighted in green), as revenue from the retail sale of civilian firearms exceeds the 5% threshold. BAM also recommends two deletions from the list (highlighted in red): Big 5 Sporting Goods Corp. and Vista Outdoor Inc., since revenue from the retail sale of civilian firearms has fallen below the 5% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
BERS FIRE NYCERS POLICE TRS0.00% - 0.00% - 0.00%
Tracking Error Impact from Civilian Firearms Manufacturers Divestment
ISSUER TICKER
% Revenue from Activity as of
6/30/2019Suggested
ActionDICK'S SPORTING GOODS, INC. DKS 5.0SPORTSMAN'S WAREHOUSE HOLDINGS, INC. SPWH 15.0 AddCABELA'S INCORPORATED BSGRP 5.0 AddBIG 5 SPORTING GOODS CORPORATION BGFV 2.0 DeleteVISTA OUTDOOR INC. VSTO ** Delete
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 7
VI. FOR-PROFIT PRISONS
In a 2017 resolution, the Boards of NYCERS, POLICE, FIRE, TRS and BERS prohibited investment in companies engaged in the operation of incarceration facilities. The following list shows companies deriving at least 20% of their revenues from this business activity.
BAM recommends one deletion from the excluded companies list, G4S (highlighted in red), as revenue derived from the operation of private incarceration facilities has dropped below the 20% threshold. The ex-ante tracking error resulting from the above resolution is set out below:
VII. UN Sanctions
In a 2008 resolution and subsequent 2009 investment directive, the Boards of NYCERS, POLICE, FIRE, TRS and BERS prohibited investment in two companies found to be non-compliant with UN sanctions on Iran and Sudan and which were also non-responsive to repeated requests for information from the Comptroller and other institutional investors. These companies are listed below:
BERS FIRE NYCERS POLICE TRS0.00% - 0.00% - 0.00%
Tracking Error Impact from Civilian Firearms Retailers Divestment
ISSUER TICKER
% Revenue from Activity as of 6/30/2019
Suggested Action
CORECIVIC, INC. CXW 97.4THE GEO GROUP, INC. GEO 75.0G4S PLC GFS 1.0 Delete
BERS FIRE NYCERS POLICE TRS0.00% 0.00% 0.00% 0.00% 0.00%
Tracking Error Impact from For-Profit Prisons Divestment
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 8
The ex-ante tracking error resulting from the above resolution is set out below:
VIII. Country Screens In a 2006 resolution, the Boards of NYCERS and TRS prohibited investment in any company incorporated in China, Russia or Pakistan. In June of this year, TRS’s policy was revised to only prohibit investment in companies incorporated in China, Russia or Pakistan with poor rankings relative to the UN Global Compact Principles and controversies. As a result, the TRS trustees recently approved adding the following companies to TRS’s excluded companies list:
ISSUER COUNTRY TICKERPETROCHINA COMPANY LIMITED CN 601857OIL AND NATURAL GAS CORPORATION LIMITED IN ONGC
BERS FIRE NYCERS POLICE TRS0.00% 0.00% 0.00% 0.00% 0.00%
Tracking Error Impact from UN Sanctions Exclusion
ISSUER COUNTRY TICKERPETROCHINA COMPANY LIMITED CN 601857ZIJIN MINING GROUP COMPANY LIMITED CN 601899JIANGXI COPPER COMPANY LIMITED CN 600362CHINA PETROLEUM & CHEMICAL CORPORATION CN 600028ZTE CORPORATION CN 000063AVICHINA INDUSTRY & TECHNOLOGY COMPANY LIMITED CN 2357CHINA RAILWAY GROUP LIMITED CN 601390CHINA SOUTHERN AIRLINES COMPANY LIMITED CN 600029ALUMINUM CORPORATION OF CHINA LIMITED CN 601600CHINA EASTERN AIRLINES CORPORATION LIMITED CN 600115SEVERSTAL' PAO RU CHMFPJSC MMC NORILSK NICKEL RU GMKNGAZPROM PAO RU GAZPHABIB BANK LIMITED PK HBL
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
SEE DISCLOSURE STATEMENTS | PAGE 9
At present NYCERS retains the country screen which prohibits investment in every company incorporated in China, Russia and Pakistan. The ex-ante tracking error resulting from the above resolution is set out below:
DISCLOSURES The information contained in this memo is confidential, may not be distributed to unauthorized persons, and may contain material non-public information pertaining to certain investment activities and portfolio companies. Federal, state, and/or foreign securities laws prohibit any person who has received such information from purchasing or selling such securities based on material non-public information or from communicating such information to any other person under circumstances in which it is reasonably foreseeable that such person is likely to purchase or sell such securities.
BERS FIRE NYCERS POLICE TRS- - 0.65% - 0.05%
Tracking Error Impact from Country Screens Exclusion
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
TRS
Exclusion Category Asset Name Security Ticker
Thermal Coal AGRITRADE RESOURCES LIMITED 1131
Thermal Coal ALLIANCE RESOURCE PARTNERS, L.P. ARLP
Thermal Coal ARCH COAL, INC. ARCH
Thermal Coal BANPU PUBLIC COMPANY LIMITED BANPU
Thermal Coal BUKIT ASAM TBK PT PTBA
Thermal Coal CLOUD PEAK ENERGY INC. CLDPQ
Thermal Coal COAL INDIA LTD COALINDIA
Thermal Coal CONSOL ENERGY INC. CEIX
Thermal Coal EXXARO RESOURCES LIMITED EXX
Thermal Coal FORESIGHT ENERGY LP FELP
Thermal Coal GEO ENERGY RESOURCES LIMITED RE4
Thermal Coal GUJARAT MINERAL DEVELOPMENT CORPORATION LIMITED GMDCLTD
Thermal Coal HALLADOR ENERGY COMPANY HNRG
Thermal Coal HARGREAVES SERVICES PLC HSP
Thermal Coal INDO TAMBANGRAYA MEGAH PTIZF
Thermal Coal INNER MONGOLIA YITAI COAL CO., LTD 900948
Thermal Coal LUBELSKI WEGIEL BOGDANKA SA LWB
Thermal Coal NEW HOPE CORPORATION LIMITED NHC
Thermal Coal PEABODY ENERGY CORPORATION BTU
Thermal Coal PT ADARO ENERGY TBK ADRO
Thermal Coal PT BUMI RESOURCES TBK BUMI
Thermal Coal PT DELTA DUNIA MAKMUR TBK DOID
Thermal Coal PT HARUM ENERGY TBK HRUM
Thermal Coal PT UNITED TRACTORS TBK UNTR
Thermal Coal SEMIRARA MINING AND POWER CORP SCC
Thermal Coal TAMBANG BATUBARA BUKIT PBATF
Thermal Coal THE LANNA RESOURCES PUBLIC CO. LTD LANNA-R
Thermal Coal WASHINGTON H. SOUL PATTINSON AND COMPANY LIMITED SOL
Thermal Coal WESTMORELAND COAL COMPANY WLBAQ
Thermal Coal WHITEHAVEN COAL LIMITED WHC
Thermal Coal YANG QUAN COAL INDUSTRY (GROUP) CO., LTD. 600348
Thermal Coal YANZHOU COAL MINING COMPANY LIMITED 600188
Gun Manufacturers AMERICAN OUTDOOR BRANDS CORPORATION AOBC
Gun Manufacturers CLARUS CORPORATION CLAR
Gun Manufacturers COLT DEFENSE LLC COESE
Gun Manufacturers FORJAS TAURUS SA FJTA3
Gun Manufacturers HECKLER & KOCH GMBH HK
Gun Manufacturers HOWA MACHINERY, LTD. 6203
Gun Manufacturers IZHEVSKIY MASHZAVOD OAO ROSTE
Gun Manufacturers MIROKU CORPORATION 7983
Gun Manufacturers NORTHRUP GRUMMAN INNOVATIONS SYSTEMS, INC. NOC
Gun Manufacturers OLIN CORPORATION OLN
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OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER BUREAU OF ASSET MANAGEMENT
Exclusion Category Asset Name Security Ticker
Gun Manufacturers POONGSAN CORPORATION 103140
Gun Manufacturers REMINGTON ARMS COMPANY, LLC REMIG
Gun Manufacturers S&T MOTIV CO., LTD. 064960
Gun Manufacturers SIG SAUER INC. SIGSR
Gun Manufacturers STURM RUGER & COMPANY INC. RGR
Gun Manufacturers VERNEY CARRON SA MLVER
Gun Manufacturers VISTA OUTDOOR INC. VSTO
Gun Retailers CABELA'S INCORPORATED BSGRP
Gun Retailers DICK'S SPORTING GOODS, INC. DKS
Gun Retailers SPORTSMAN'S WAREHOUSE HOLDINGS, INC. SPWH
For Profit Prison Companies CORECIVIC, INC. CXW
For Profit Prison Companies THE GEO GROUP, INC. GEO
Iran / Sudan PETROCHINA COMPANY LIMITED PETROCHINA
Iran / Sudan OIL AND NATURAL GAS CORPORATION LIMITED ONG
The above list replaces all prior instruction relating to the divestment of thermal coal manufacturers, civilian gun manufacturers, for profit prison companies and investments in Iran and Sudan. All managers of public equity or fixed-income accounts for the Teachers’ Retirement System of the City of New York are hereby directed: (i) to sell as soon as practicable and in an orderly manner any holdings of the companies listed above, and (ii) to not buy in the future any securities of any kind of the companies listed above.
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SUPPLEMENTAL MATERIAL -PERFORMANCE REPORTING (Public):
Total Fund Overview (Public):
Teachers' Retirement Systemof New York CityPerformance Overview as of June 30, 2019
Total Fund Overview
Teachers' Retirement System of New York City 1Performance Overview as of June 30, 2019
Page 311 of 715
Teachers' Retirement System
of New York City
Consultant's Commentary & Performance Charts p.3
Appendix A - Consolidated Performance Report p.28
Appendix B - Public Markets Manager Performance Detail p.35
Appendix C - Alternative Assets Manager Performance Detail p.48
Appendix D - Footnotes p.58
Table of Contents:
Teachers' Retirement System of New York City 2Performance Overview as of June 30, 2019
Page 312 of 715
Market Backdrop: Global equity markets closed the second quarter with strong performance. U.S. equity markets rallied throughout the quarter, finishing up at 4.1% (proxied by the Russell 3000 Index), likely due to an expected rate cut by the Federal Reserve in July. Outside the U.S., developed and emerging equity markets modestly underperformed U.S. markets during the quarter. Developed international equity returned 4.0% (MSCI EAFE Index in USD terms) during the quarter while emerging markets returned 0.7% (MSCI Emerging Markets Index in USD terms). During the quarter, U.S. REITs returned 0.8% as measured by the DJ U.S. Select Real Estate Securities Index. The broad fixed income market, as proxied by the Bloomberg Barclays Aggregate Bond Index, returned 3.1% during the quarter due to falling interest rates. During the second quarter, below investment grade corporate bonds marginally underperformed the broad investment grade market as the Bloomberg Barclays High Yield Index returned 2.5% and the Credit Suisse Leveraged Loan Index returned 1.6%. Total Fund Performance: The Teachers’ Total Fund returned 3.57% (net of fees) for the quarter ending June 30, 2019, underperforming the policy benchmark by 74 basis points. During the quarter, manager selection in aggregate, detracted 33 bps from the relative
4.1%3.5% 3.3%
2.5%
0.8%
9.0%
0.2%
8.7%7.5%
9.8%
14.0%
9.2%
2.6%
7.5%
3.7%
0%
5%
10%
15%
Russell 3000 MSCI World ex U.S. IMI Core + 5 Bbg Barc US HY - 2% IssrCap
DJ U.S. Select Real EstateSecurities Index
Capital Market Performance
Qtr 1 year 3 year
Consultant's Commentary
Through June 30, 2019
Teachers' Retirement System of New York City 3Performance Overview as of June 30, 2019
Page 313 of 715
performance of the Fund. The relative underperformance was driven by private equity, however that was partially offset by strong relative returns by developed non-U.S. and emerging equity market managers. After a strong first quarter of 2019, domestic equities and long duration treasury bonds continued to contribute to the Total Fund’s absolute returns. For the one-year period ending June 30, 2019, the Total Fund returned 7.54% net of fees, underperforming the policy benchmark by 38 basis points. For the three-year period ending June 30, 2019, the Total Fund returned 9.41%, net of fees, modestly underperformed its benchmark return of 9.55%. Please note that all composite and manager performance data in the sections below is reported net of fees. The Total Fund fees for public market assets for the calendar year-to-date ending June 30, 2019 have been estimated at approximately 6 basis points.
• Total Fund Asset Allocation - $77.8 Billion: As of June 30, 2019, the Fund had total assets of $77.8 billion, up from $74.8
billion on March 31, 2019. In the Growth segment of the Total Fund, underweights to non-core private real estate and opportunistic fixed income of 4.9% were offset by an overweight to REITs, consistent with the strategy to invest assets in more liquid assets while awaiting private real estate commitments to be drawn down. In the Deflation Protection segment of the Fund, U.S. Treasuries were 4.3% above long-term targets. Finally, within the Inflation Protection segment of the Fund, core real estate and infrastructure remain about 3.5% below target in aggregate, pending new commitments to and capital calls from private funds. As of June 30, 2019, the total private equity, infrastructure, and private real estate invested allocation was 10.0% versus their aggregate long-term allocation of 17.0%.
• U.S. Equity - $22.1 Billion, 28% of Fund: The U.S. equity composite modestly outperformed the broad U.S. equity market,
returning 4.20% against the Russell 3000 Index return of 4.09%. Approximately 97% of the U.S. equity composite is allocated to passively managed mandates. The actively managed portion of the U.S. equity composite returned 6.57% during the quarter, outperforming the Russell 3000 by 247 basis points. For the one-year ending June 30, 2019 the U.S. equity composite outperformed the index, returning 9.31% versus the Russell 3000 Index’s return of 8.98%. Over the three-year period ending June 30, 2019, the total U.S. equity composite outperformed the Russell 3000 index return of 14.02% by 25 basis points.
• Developed International Equity - $8.9 Billion, 11% of Fund: Non-U.S. developed equity markets, as measured by the MSCI
World ex U.S. IMI Net Dividends Index, returned 3.50% in U.S. dollar terms during the quarter (2.50% in local currency terms). For the same time-period, the Fund’s total developed international equity composite returned 3.97%, outperforming its Custom MSCI World ex U.S. benchmark by 48 basis points. In contrast with the U.S. equity composite, as of June 30, 2019, the developed international equity composite was approximately 73% actively managed. For the one-year period ending June 30, 2019, the overall composite returned -0.01%, trailing the Custom MSCI World ex U.S. benchmark by 17 basis points. Over the three-year period ending June 30, 2019, the total developed international composite outperformed the benchmark return of 9.23% by 161 basis points.
Consultant's Commentary
Through June 30, 2019
Teachers' Retirement System of New York City 4Performance Overview as of June 30, 2019
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• Emerging Markets Equity - $6.7 Billion, 9% of Fund: Emerging market equities, as measured by the TRS Custom EM Index,
returned 2.08%. For the second quarter of 2019, the emerging markets equity composite, which is about 71% actively managed, returned 2.41%, outperforming the TRS Custom EM Benchmark’s return of 2.08% over the same period. The outperformance was primarily led by Baillie Gifford, returning 128 more basis points than the benchmark. For the one-year period ending June 30, 2019, the emerging markets equity composite returned 4.79%, outperforming the benchmark return of 3.96%. For the three-year period ending June 30, 2019, the emerging markets equity composite returned 9.42%, exceeding the benchmark return of 9.15%.
• REITs - $1.2 Billion, 2% of Fund: The U.S. REIT market, as measured by the Dow Jones U.S. Select Real Estate Securities
Index, returned 0.82% during the first quarter of 2019. The Fund’s REITs composite, which is entirely actively managed, outperformed the benchmark during the second quarter of 2019, returning 0.88%. Over the three-year period ending June 30, 2019, this composite returned 4.81%, outperforming the index return of 3.73%.
• Structured Fixed Income – $17.0 Billion, 22% of Fund: The structured fixed income composite returned 4.00% during the
second quarter of 2019, trailing the custom structured benchmark return of 4.85% over the same time period. Over the one-year period ending June 30, 2019 the composite trailed the benchmark return of 10.66% by 149 basis points. For the three-year period ending June 30, 2019, the program returned 3.08%.
• Enhanced Yield - $3.8 Billion, 5% of Fund: This asset class, as measured by the Bloomberg Barclays U.S. High Yield 2% Issuer
Cap Index, returned 2.50% during the second quarter of 2019. The actively managed enhanced yield composite outperformed the benchmark, returning 2.78% over the same time period. For the one-year period ending June 30, 2019, this composite returned 7.78% while the High Yield Custom Benchmark returned 7.48%. Over the three-year period ending June 30, 2019, the enhanced yield composite returned 6.79%, trailing its custom benchmark by 72 basis points.
• Bank Loans - $1.8 Billion, 2% of Fund: The bank loan composite trailed the Credit Suisse Leveraged Loan Index for the second quarter of 2019 with the composite returning 0.96% against the benchmark return of 1.58%. For the one-year period ending June 30, 2019, the bank loans composite returned 3.19%, underperforming the Credit Suisse Leveraged Loan Index by 95 basis points. For the three-year period ending June 30, 2019, the bank loans composite underperformed the Credit Suisse Leveraged Loan Index by 83 basis points, returning 4.59%.
• TIPS - $3.3 Billion, 4% of Fund: The broad U.S. TIPS market returned 2.86% during the second quarter of 2019. The
composite of TIPS managers (75% passive/25% active) performed largely in line with its benchmark, returning 2.85% for the quarter. For the one-year period ending June 30, 2019, the TIPS composite returned 4.82%, performing in line with its benchmark
Consultant's Commentary
Through June 30, 2019
Teachers' Retirement System of New York City 5Performance Overview as of June 30, 2019
Page 315 of 715
which returned 4.84%. For the three-year period ending June 30, 2019, the composite returned 2.09% while the benchmark returned 2.08%.
• Convertibles - $204 Million, 0.3% of Fund: The ICE BofAML All Convertibles ex-Mandatories Index, a measure of the broadconvertibles market, returned 3.92% during the second quarter of 2019. The Fund’s entirely actively managed convertiblescomposite returned 2.31% over the quarter, underperforming its Custom Convertible Bond benchmark by 44 basis points. For theone-year period ending June 30, 2019, the Fund’s convertibles composite returned 6.91%, outperforming the custom benchmarkreturn of 6.14%. For the three-year period ending June 30, 2019, this composite returned 8.23%, underperforming the benchmarkby approximately 123 basis points.
• Opportunistic Fixed Income - $2.1 Billion, 3% of Fund: The opportunistic fixed income composite is comprised ofinvestments in eight funds, representing about 20% of this composite’s assets, and ten strategic separate account mandates,representing 80% of composite assets. These strategic mandates and funds call down capital as opportunities are identified and arestill in the process of being funded. During the second quarter of 2019, the overall composite returned 1.67% versus the blendedbenchmark of 50%/50% J.P Morgan Global High Yield Index and Credit Suisse Leveraged Loan Index +3%, which returned2.96% over the same period. For the one-year period ending June 30, 2019, the overall composite returned 5.00%, trailing the9.26% return of the blended benchmark. Over the longer three-year period ending June 30, 2019, the opportunistic fixed incomecomposite returned 7.69% versus the benchmark return of 9.86%.
• Private Equity - $4.2 Billion, 5% of Fund: At the end of the first quarter of 2019, the private equity portfolio had $4.2 billion ininvested capital. The Fund currently has investments in 176 partnerships. Performance is reported separately by Teachers’ PrivateEquity consultant.
• Private Real Estate - $2.9 Billion, 4% of Fund: At the end of the first quarter of 2019, the private real estate portfolio had $2.9billion in invested capital. The composite has investments in 67 partnerships. Performance is reported separately by Teachers’Private Real Estate consultant.
• Private Infrastructure – $897 Million, 1% of Fund: At the end of the first quarter of 2019, the private infrastructure portfoliohad $897 million in invested capital. The composite has investments in 15 partnerships. Performance is reported separately byTeachers’ Infrastructure consultant.
Consultant's Commentary
Through June 30, 2019
Teachers' Retirement System of New York City 6Performance Overview as of June 30, 2019
Page 316 of 715
TOTAL TEACHERS' - Gross TOTAL TEACHERS' - Net Mgr Teachers Policy Benchmark
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
Rat
e of
Ret
urn
3.62 3.57
4.31
7.76 7.547.92 7.76 7.54
7.92
9.63 9.41 9.55
6.69 6.486.78
10.0910.37
7.28 7.26
TOTAL TEACHERS' - Gross TOTAL TEACHERS' - Net Mgr Teachers Policy Benchmark
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
Rat
e of
Ret
urn
3.62 3.57
4.31
7.76 7.547.92 7.76 7.54
7.92
9.63 9.41 9.55
6.69 6.486.78
10.0910.37
7.28 7.26
Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 7 Years Benchmark 7 Years Plan 10 YearsStandard DeviationTOTAL TEACHERS' 6.1 6.2 6.7 6.7 6.4 6.3 7.9
Market Value (Billions)
TOTAL TEACHERS' $77.8
Total Portfolio Returns: June 30, 2019
Teachers' Retirement System of New York City 7Performance Overview as of June 30, 2019
Page 317 of 715
-0.5% -0.5% -0.3% -0.6%-2.7% -2.2%
-0.2%
1.6%0.3% 0.7% 0.4%
-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
$22.1 28.5%
Domestic US Equity World ex-USA Emerging Markets Private Equity
$8.9 11.5%
$6.7 8.7%
$4.2 5.4%
$1.0 1.3%
$2.1 2.8%
$0.2 0.3%
Private Real Estate – Non Core Opportunistic FI
High Yield REITS Convertible Bonds
Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
$1.2 1.6%
Int’l Emerging Managers FoF
$0.6 0.7%
$3.8 4.8%
Global Equity
$0.3 0.4%
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 8Performance Overview as of June 30, 2019
Page 318 of 715
Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
-1.6%
0.1%-0.3%
0.0% 0.0% 0.0%
-1.2%
0.0% 0.3% 0.0% 0.0%
-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
Asset Allocation
Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate – Non Core Opportunistic FI
High Yield REITS Convertible Bonds Int’l Emerging Managers FoF Global Equity
$22.1 28.5% $8.9
11.5%
$6.7 8.7%
$4.2 5.4%
$1.0 1.3%
$2.1 2.8%
$0.2 0.3%
$1.2 1.6%
$0.6 0.7%
$3.8 4.8%
$0.3 0.4%
Note: On June 28, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 9Performance Overview as of June 30, 2019
Page 319 of 715
Asset Allocation
US Government Treasuries
$11.1 14.2%
4.3%
0.8% 0.7%1.0%
0.2% 0.2%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
$3.3 4.3%
Mortgages Investment Grade Credit Short Term
$3.2 4.1%
$0.8 1.0%
Relative Mix to New Policy Weights
Portfolio Asset Allocation – Deflation Protection
$0.1 0.2%
$0.1 0.2%
Core Fixed Income-Emerging Managers Core Fixed Income-Developing Managers
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 10Performance Overview as of June 30, 2019
Page 320 of 715
Portfolio Asset Allocation – Deflation Protection
Asset Allocation
3.5%
-0.7% -0.8%
1.0%0.2% 0.2%
-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
US Government Treasuries Mortgages Investment Grade Credit Short Term Core Fixed Income-Emerging Managers Core Fixed Income-Developing Managers
$11.1 14.2%
$3.3 4.3%
$3.2 4.1%
$0.8 1.0%
$0.1 0.2%
$0.1 0.2%
Note: On June 28, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 11Performance Overview as of June 30, 2019
Page 321 of 715
Asset Allocation
Infrastructure
$3.3 4.2%
-0.9%
0.2%
-2.6%
0.3%
-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
$1.9 2.4%
$1.8 2.3%
Relative Mix to New Policy Weights
$0.9 1.2%
Note: Brackets represent rebalancing ranges versus Policy.
Portfolio Asset Allocation – Inflation Protection
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 12Performance Overview as of June 30, 2019
Page 322 of 715
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
Infrastructure
0.0% 0.0% 0.0% 0.3%
-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
Portfolio Asset Allocation – Inflation Protection
$3.3 4.2% $1.9
2.4%
$1.8 2.3%
$0.9 1.2%
Note: On June 28, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7 years. The duration of the Barclays US Aggregate Index was 5.7 years on that date.
Portfolio Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 13Performance Overview as of June 30, 2019
Page 323 of 715
3.57
4.31
-0.74
-0.39 -0.35
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Quarter Ending: June 30, 2019
Teachers' Retirement System of New York City 14Performance Overview as of June 30, 2019
Page 324 of 715
7.54
7.92
-0.38
-0.69
0.31
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Fiscal Year to Date: June 30, 2019
Teachers' Retirement System of New York City 15Performance Overview as of June 30, 2019
Page 325 of 715
9.41 9.55
-0.14
-0.49
0.35
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - 3 Years Ending: June 30, 2019
Teachers' Retirement System of New York City 16Performance Overview as of June 30, 2019
Page 326 of 715
Quarter FYTD 3 Years Benchmark TOTAL TEACHERS' -0.39 -0.69 -0.49 Teachers Policy Benchmark
TOTAL DOMESTIC EQUITY -0.04 -0.18 -0.16 RUSSELL 3000TOTAL WORLD ex-USA -0.01 -0.02 -0.04 MSCI World ex USA IMI NetTOTAL GLOBAL EQUITY 0.00 -0.01 0.00 MSCI World IndexTOTAL EMERGING MARKETS 0.00 -0.02 -0.02 Teachers Custom EM IndexTOTAL INTERNATIONAL FOF 0.00 -0.01 0.00 NYC Blended Custom Benchmark for FoFTOTAL REAL ESTATE SECURITIES -0.06 0.03 -0.10 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY -0.05 -0.07 -0.02 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.01 0.00 0.00 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.00 0.00 0.00 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%TOTAL US TREASURY SHORT TERM -0.08 -0.05 -0.10 FTSE USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE 0.00 0.00 -0.02 FTSE USBIG Treasury/Agency 1-10 yTOTAL ACTIVE GOVERNMENT 0.02 0.16 -0.12 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION -0.17 -0.41 0.20 FTSE Treasury 10+TOTAL INVESTMENT GRADE CREDIT 0.00 -0.04 -0.05 NYC - Investment Grade CreditTOTAL MORTGAGES 0.01 -0.01 0.04 FTSE MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL CORE FI- DEVELOPING MGRS 0.00 0.00 -0.01 BBG BARC Agg TOTAL CORE FI- EMERGING MGRS 0.00 0.00 -0.01 BBG BARC AggTOTAL HIGH YIELD 0.02 -0.01 0.03 High Yield Custom BenchmarkTOTAL BANK LOANS -0.01 -0.02 -0.03 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS -0.01 -0.02 0.01 BBG BARC Gbl Inf-Lk: US TIPS (Dly) TOTAL CONVERTIBLE BONDS 0.00 0.00 -0.02 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.00 0.00 0.00 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL CASH -0.02 -0.02 -0.09
Quarter FYTD 3 Years Benchmark TOTAL TEACHERS' -0.35 0.31 0.35 Teachers Policy Benchmark
TOTAL DOMESTIC EQUITY 0.03 0.09 0.07 RUSSELL 3000TOTAL WORLD ex-USA 0.06 -0.01 0.20 MSCI World ex USA IMI NetTOTAL GLOBAL EQUITY 0.01 0.03 0.01 MSCI World IndexTOTAL EMERGING MARKETS 0.03 0.07 0.02 Teachers Custom EM IndexTOTAL INTERNATIONAL FOF 0.01 -0.01 0.00 NYC Blended Custom Benchmark for FoFTOTAL REAL ESTATE SECURITIES 0.00 0.00 0.04 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY -0.50 0.11 -0.06 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.02 0.06 0.04 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.00 0.00 0.02 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.02 0.06 0.06 CPI + 4%TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 FTSE USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE 0.00 0.00 0.01 FTSE USBIG Treasury/Agency 1-10 yTOTAL ACTIVE GOVERNMENT 0.00 -0.01 0.00 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION 0.00 0.00 0.00 FTSE Treasury 10+TOTAL INVESTMENT GRADE CREDIT 0.01 0.01 0.02 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 0.01 0.00 FTSE MORTGAGE INDEXTOTAL ETI 0.01 0.02 0.00 ETI Custom BenchmarkTOTAL CORE FI- DEVELOPING MGRS 0.00 0.00 0.00 BBG BARC Agg TOTAL CORE FI- EMERGING MGRS 0.00 0.00 0.00 BBG BARC AggTOTAL HIGH YIELD 0.01 0.02 -0.01 High Yield Custom BenchmarkTOTAL BANK LOANS -0.02 -0.02 -0.02 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.00 0.00 BBG BARC Gbl Inf-Lk: US TIPS (Dly) TOTAL CONVERTIBLE BONDS 0.00 0.00 -0.06 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED -0.04 -0.12 -0.04 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL CASH 0.00 0.01 0.00
Allocation Effect - Asset Class Breakdown
Selection Effect - Asset Class Breakdown
Total Plan: June 30, 2019
Teachers' Retirement System of New York City 17Performance Overview as of June 30, 2019
Page 327 of 715
TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS
0.5%
92.7%
2.5%
4.3%
TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS
0.5%
92.7%
2.5%
4.3%
Market Value (Billions) % of plan
TOTAL DOMESTIC EQUITY $22.1 28.5
Policy Weight Actual Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL SMALL CAP ACTIVE 2.0 2.5 0.5 7.6 2.1 5.5
TOTAL SMALL CAP PASSIVE 5.0 4.3 (0.7) 1.7 2.1 (0.4)
TOTAL RUSSELL 1000 PASSIVE 92.4 92.7 0.3 4.2 4.2 0.0
TOTAL EMERGING MANAGERS 0.6 0.5 (0.1) 2.0 2.1 (0.1)
Total Domestic Equity Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 18Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 328 of 715
TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY
27.3%
72.7%
TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY
27.3%
72.7%
Market Value (Billions) % of plan
TOTAL WORLD ex-USA $8.9 11.5
TOTAL WORLD ex-USA LARGE & MID ACTIVETOTAL WORLD ex-USA SMALL CAP ACTIVETOTAL WORLD ex-USA LARGE & MID CAP PASSIVETOTAL WORLD ex-USA SMALL CAP PASSIVE
7.3%
20.0%
7.8% 64.9%
TOTAL WORLD ex-USA LARGE & MID ACTIVETOTAL WORLD ex-USA SMALL CAP ACTIVETOTAL WORLD ex-USA LARGE & MID CAP PASSIVETOTAL WORLD ex-USA SMALL CAP PASSIVE
7.3%
20.0%
7.8% 64.9%
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL WORLD ex-USA LARGE & MID ACTIVE 64.90 4.37 3.79 0.58
TOTAL WORLD ex-USA SMALL CAP ACTIVE 7.82 2.66 2.37 0.29
TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE 20.03 3.98 3.79 0.19
TOTAL WORLD ex-USA SMALL CAP PASSIVE 7.25 1.95 1.76 0.19
TOTAL WORLD ex-USA 100.00 3.97 3.50 0.48
World ex-USA Equity Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 19Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 329 of 715
TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS
28.8%
71.2%
TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS
28.8%
71.2%
Market Value (Billions) % of plan
TOTAL EMERGING MARKETS $6.7 8.7
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL ACTIVE EMERGING MARKETS 71.16 2.53 2.08 0.45
TOTAL PASSIVE EMERGING MARKETS 28.84 2.11 2.08 0.03
TOTAL EMERGING MARKETS 100.00 2.41 2.08 0.33
Emerging Market Equity Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 20Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 330 of 715
TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT
18.3%
18.9%
62.8%
TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT
18.3%
18.9%
62.8%
Market Value (Billions) % of plan
TOTAL STRUCTURED+ETI $17.6 22.7
Policy Weight Actual Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL TREASURY/AGENCY 61.54 62.84 1.30 4.35 6.04 (1.69)
TOTAL MORTGAGE 19.23 18.86 (0.37) 2.38 2.09 0.29
TOTAL INVESTMENT GRADE CREDIT 19.23 18.30 (0.93) 4.36 4.07 0.29
Structured Fixed Income Asset Allocation: June 30, 2019
Teachers' Retirement System of New York City 21Performance Overview as of June 30, 2019 Totals may not add due to rounding
Page 331 of 715
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $10 Billion
Cumulative Periods Ending : June 30, 2019
Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 4.40 12.74 6.32 8.66 9.36 11.00 8.52 7.94 10.16 10.9925th 3.54 11.40 4.42 7.31 8.30 9.90 7.78 7.01 9.35 10.1650th 3.27 10.86 3.96 6.73 7.80 9.44 7.34 6.69 8.98 9.9075th 3.06 9.18 3.35 6.13 7.20 8.96 6.85 6.17 8.37 9.3695th 2.62 7.93 2.23 4.96 6.72 7.33 6.31 5.60 7.03 7.87
No. Of Obs 50 50 50 50 50 50 50 50 50 46
Total System - Teacher 3.62 (21) 11.53 (19) 4.87 (11) 7.75 (15) 8.04 (35) 9.63 (43) 7.64 (35) 6.69 (50) 8.93 (54) 10.09 (36)Teachers Policy Benchm 4.31 (5) 11.76 (11) 4.90 (9) 7.92 (13) 7.82 (47) 9.55 (45) 7.66 (33) 6.78 (47) 8.96 (52) 10.36 (21)Public Mkt Equiv 25 3.83 (11) 14.31 (1) 2.98 (89) 6.81 (43) 7.75 (52) 9.82 (31) 7.20 (52) 6.29 (64) 9.28 (27) 9.96 (40)Public Mkt Equiv 35 3.77 (13) 13.34 (1) 3.77 (56) 7.25 (25) 7.44 (62) 8.95 (75) 6.88 (72) 6.07 (77) 8.56 (62) 9.38 (70)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through June 30, 2019
Teachers' Retirement System of New York City 22Performance Overview as of June 30, 2019
Page 332 of 715
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $10 Billion
Consecutive Time Periods: June 30, 2019
Percentile Rankings Jun 19 Mar 19 Dec 18 Sep 18 Jun 18 Jun 19 Jun 18 Jun 17 Jun 16 Jun 155th 4.40 8.46 -2.91 3.69 2.06 8.66 10.80 15.77 3.09 6.1025th 3.54 7.63 -4.58 2.92 1.59 7.31 9.52 13.73 1.86 4.5350th 3.27 7.03 -5.87 2.61 1.09 6.73 9.05 13.00 1.44 3.9375th 3.06 6.19 -6.60 2.27 0.70 6.13 8.33 12.31 0.68 3.0495th 2.62 4.77 -7.88 1.81 0.33 4.96 6.89 8.87 -1.28 2.02
No. Of Obs 50 50 50 50 50 50 50 50 50 50
Total System - Teacher 3.62 (21) 7.63 (25) -5.97 (56) 2.75 (41) 0.61 (79) 7.75 (15) 8.33 (75) 12.89 (56) 1.86 (27) 2.99 (77)Teachers Policy Benchm 4.31 (5) 7.14 (43) -6.14 (64) 2.88 (27) 0.47 (91) 7.92 (13) 7.72 (85) 13.09 (41) 2.19 (15) 3.31 (64)Public Mkt Equiv 25 3.83 (11) 10.10 (1) -9.91 (100) 3.72 (3) 1.45 (31) 6.81 (43) 8.70 (58) 14.09 (17) -0.30 (87) 2.74 (81)Public Mkt Equiv 35 3.77 (13) 9.22 (1) -8.45 (95) 3.35 (15) 1.35 (33) 7.25 (25) 7.64 (85) 12.03 (79) 0.89 (64) 2.91 (79)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through June 30, 2019
Teachers' Retirement System of New York City 23Performance Overview as of June 30, 2019
Page 333 of 715
Avg. MV FY 2018 ($MM)
Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership
Expenses in BPS Incentive Fees in
($M) Incentive
Fees in BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-
30-18 ($MM) Mgmt. Fees
($M) Mgmt. Fees in BPS INVESTMENT STYLE (EQUITIES)
Total US Equities33,921.68 5,853.90 - 1.73 - - 5,853.90 1.73 20,781.12 6,600.88 3.18
Small Cap Active 446.74 4,441.80 - 99.43 - - 4,441.80 99.43 557.05 5,568.50 99.96
Small Cap Growth 446.74 4,441.80 - 99.43 - - 4,441.80 99.43 557.05 5,568.50 99.96
Active Emerging Managers (U.S. Equities) 115.55 538.31 46.59 - - 538.31 46.59 122.07 609.20 49.90
U.S. Environmental Managers - - - - - - - - - -
Total US Active Equities 562.29 4,980.10 88.57 - - 4,980.10 88.57 679.12 6,177.70 90.97
Small Cap Passive
Small Cap Passive 725.71 30.78 0.42 - - 30.78 0.42 1,020.49 43.32 0.42
Russell / S&P Passive Russell 1000 Growth Passive 4,150.23 187.01 0.45 - - 187.01 0.45 6.35 - -
Russell 1000 Value Passive 3,843.34 173.38 0.45 - - 173.38 0.45 6.13 - -
Russell 1000 Core Passive 18,626.89 90.66 0.05 - - 90.66 0.05 19,069.02 379.86 0.20
Passive Russell 3000 6,013.22 391.97 0.65 - - 391.97 0.65 - - -
Passive S&P 500 - - - - - - - - - -
Passive Russell Top 200 - - - - - - - - - -
Total US Passive Equities 33,359.39 873.80 0.26 - - 873.80 0.26 20,102.00 423.18 0.21
Total International Equities16,114.71 44,372.46 27.54 - - 44,372.46 27.54 15,563.43 43,021.33 27.64
Global Equity - - - - - - 253.56 915.53 36.11
Total Global Equities - - - - - - 253.56 915.53 36.11
Active EAFE Equities 6,503.22 19,388.08 29.81 - - 19,388.08 29.81 6,572.93 19,720.93 30.00
World Ex-USA Large & Mid Active 5,737.69 15,818.81 27.57 - - 15,818.81 27.57 5,828.15 16,167.67 27.74
World Ex-USA Small Cap Active 765.31 3,569.27 46.64 - - 3,569.27 46.64 744.59 3,553.26 47.72
Total World Ex USA 0.22 - - - - - - 0.19 - -
Active Emerging Markets 4,790.75 21,744.66 45.39 - - 21,744.66 45.39 4,683.51 20,449.89 43.66
Total Active Int'l Fund of Funds 369.51 1,896.40 51.32 - - 1,896.40 51.32 362.58 1,890.16 52.13
Total Active International Equities 11,663.48 43,029.14 36.89 - - 43,029.14 36.89 11,619.02 42,060.99 36.20
Int’l Passive Equities
World Ex-USA Small Cap Passive 527.74 263.33 4.99 - - 263.33 4.99 519.92 260.34 5.01
World Ex-USA Large & Mid Cap Passive 1,693.94 199.61 1.18 - - 199.61 1.18 1,500.96 174.48 1.16
Passive Global 0.01 - - - - - - 0.00 - -
Passive Emerging Markets 2,229.54 880.38 3.95 - - 880.38 3.95 1,923.53 525.52 2.73
Total Int’l Passive Equities4,451.23 1,343.32 3.02 - - 1,343.32 3.02 3,944.41 960.35 2.43
REITS Active Equities 1,453.42 5,878.71 40.45 - - 5,878.71 40.45 1,153.83 4,873.99 42.24
TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
Actual and Estimated Fees
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TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (FIXED INCOME) Avg. MV FY 2018
($MM) Mgmt. Fees
($M) Partnership
Expenses ($M)
Mgmt. Fees / Partnership
Expenses in BPS Incentive Fees in
($M) Incentive
Fees in BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-
30-18 ($MM) Mgmt. Fees
($M) Mgmt. Fees in BPS
Total Fixed Income 23,610.58 27,994.66 11.86 154.10 0.07 28,148.76 11.92 26,663.64 26,312.62 9.87 Structured Program
13,681.13 6,578.54 4.81 154.10 0.11 6,732.64 4.92 16,642.89 6,730.06 4.04
Government Treas/Agency Sector 4,926.61 1,366.70 2.77 - - 1,366.70 2.77 8,192.09 1,809.25 2.21
Long Duration Treasury 2,773.96 269.71 0.97 269.71 0.97 2,856.52 289.56 1.01
Mortgage Sector 2,459.05 1,455.69 5.92 154.10 0.63 1,609.79 6.55 2,503.95 1,457.22 5.82
Investment Grade Credit Sector 3,521.51 3,486.43 9.90 - - 3,486.43 9.90 3,090.34 3,174.04 10.27
Developing Managers 122.48 231.85 18.93 - - 231.85 18.93 121.93 232.94 19.10
Emerging Managers 122.69 420.23 34.25 - - 420.23 34.25 122.36 423.15 34.58
TIPS 2,936.84 512.09 1.74 - - 512.09 1.74 3,116.18 552.03 1.77
Active TIPS Managers 731.75 402.96 5.51 - - 402.96 5.51 776.66 433.91 5.59
Passive TIPS Managers 2,205.09 109.13 0.49 - - 109.13 0.49 2,339.52 118.12 0.50
High Yield 3,492.77 11,547.63 33.06 - - 11,547.63 33.06 3,552.76 10,381.41 29.22
Bank Loans 1,712.91 5,708.61 33.33 - - 5,708.61 33.33 1,763.70 5,840.49 33.11
Convertible Bonds 338.66 1,600.60 47.26 - - 1,600.60 47.26 195.97 741.72 37.85
ETI - Access - RBC 137.86 255.76 18.55 - - 255.76 18.55 147.20 271.48 18.44
ETI - AFL-CIO HIT 282.10 1,139.34 40.39 - - 1,139.34 40.39 279.97 1,139.34 40.70
Total Public Markets (Externally managed) 74,317.27 84,099.74 11.32 154.10 0.02 84,253.84 11.34 63,694.90 81,724.34 12.83
Other ETI Programs 196.43 - - - - - 190.35 - -
In-House Short Term 586.70 - - - - - - 530.32 - -
Total Public Markets 75,100.40 84,099.74 11.20 154.10 0.02 84,253.84 11.22 64,415.58 81,724.34 12.69
Actual and Estimated Fees
Teachers' Retirement System of New York City 25Performance Overview as of June 30, 2019Information provided by the New York City Comptroller
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TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (PRIVATE MARKETS)
Private Equity 3,649.28 46,144.28 15,622.44 169.26 67,129.53 183.95 128,896.24 353.21 3,965.28 38,994.04 98.34
Private Real Estate 2,549.81 24,661.40 8,558.15 130.28 18,824.58 73.83 52,044.12 204.11 2,665.55 30,926.69 116.02
Infrastructure 517.79 11,361.84 4,663.28 138.79 1,611.11 31.12 17,636.23 152.75 675.79 13,983.43 113.56
Opportunistic Fixed Income 1,766.24 15,568.54 11,572.21 153.66 3,913.69 22.16 31,054.44 175.82 1,854.44 15,726.10 84.80
Total Private Markets 8,483.11 97,736.05 40,416.08 162.86 91,478.91 107.84 229,631.04 270.69 9,161.07 99,630.26 108.75
Total Overall 69,476.72 181,835.78 40,416.08 31.99 91,633.01 13.19 313,884.88 45.18 73,576.65 181,354.60 24.65
The overall carried interest and incentive fees paid by TEACHERS in Fiscal Year 2018: 13.19 BPS
General Footnotes:
2) Infrastructure’s expense data is based off the total committed amounts rather than current market value due to its early fund life juncture. 3) Estimated Fees for the Public Markets data does not take into account major rebalancing shifts and is calculated at a fixed NAV. Estimates fees for the Private Markets data is based solely off gross management fee data and is not inclusive ofany offsets. Both estimates are considered to be equitably conservative and should be construed as such. Estimates for FY 2018 for Private Equity is provided by the Consultant.
1) Private Markets data reflect: carried interest realized and/or Incentive fees as stated by its corresponding partnership. Management fees reported are inclusive of partnership expenses associated with the partnership for the stated fiscal year.
Actual and Estimated Fees
Teachers' Retirement System of New York City 26Performance Overview as of June 30, 2019Information provided by the New York City Comptroller
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U. S. U. S. INTERNATIONALFIXED INCOME EQUITY EQUITY TOTAL
1989 1,185,000 - - 1,185,000 1990 885,000 - - 885,000 1991 898,000 - - 898,000 1992 1,692,000 193,000 300,000 2,185,000 1993 3,701,000 694,000 508,000 4,903,000 1994 4,314,000 1,360,000 696,000 6,370,000 1995 3,395,000 1,621,000 520,000 5,536,000 1996 2,874,000 1,738,000 879,000 5,491,000 1997 2,943,000 3,430,000 1,158,000 7,531,000 1998 4,793,000 4,549,000 1,499,000 10,841,000 1999 4,329,000 4,830,000 1,772,000 10,931,000 2000 4,282,000 4,963,000 2,300,000 11,545,000 2001 7,435,000 6,744,000 3,489,000 17,668,000 2002 4,401,000 5,578,000 2,530,000 12,509,000 2003 2,156,000 3,467,000 2,662,000 8,285,000 2004 2,949,000 4,413,000 2,550,000 9,912,000 2005 4,427,000 6,136,000 3,201,000 13,764,000 2006 4,282,000 9,789,000 2,868,000 16,939,000 2007 9,618,000 15,962,000 3,088,000 28,668,000 2008 27,299,000 27,400,000 5,129,000 59,828,000 2009 10,039,000 17,682,000 3,834,000 31,555,000 2010 4,271,000 11,122,000 3,200,000 18,593,000 2011 5,880,000 15,051,000 6,082,000 27,013,000 2012 8,113,000 18,853,000 4,915,000 31,881,000 2013 5,208,000 21,196,000 3,803,000 30,207,000 2014 2,195,000 9,191,000 6,079,000 17,465,000 2015 2,510,000 6,924,000 7,135,000 16,569,000 2016 2,861,000 10,325,000 5,376,000 18,562,000 2017 3,776,000 5,982,000 4,196,000 13,954,000 2018 3,302,655 3,899,058 6,252,432 13,454,145
2019 (6 months) 1,048,406 1,649,208 2,745,287 5,442,902 Since Inception 147,062,061 224,741,266 88,766,719 460,570,047
NYC TEACHERS' RETIREMENT SYSTEMSECURITIES LENDING INCOME
June 30, 2019
Securities Lending Income
Teachers' Retirement System of New York City 27Performance Overview as of June 30, 2019
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Teachers' Retirement Systemof New York City
Appendix AConsolidated Performance Report
Teachers' Retirement System of New York City 28Performance Overview as of June 30, 2019
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
SYSTEM RETURN SUMMARY
5 TRS-TOTAL PORTFOLIO - GROSS 77,754 100.00 3.62 7.76 11.53 (3.00) 16.74 8.93 (0.55) 7.75 9.63 6.69 10.09 8.50 07/01/1987TRS - ESTIMATED INVESTMENT FEES (0.05) (0.21) (0.12) (0.17) (0.25) (0.21) (0.20) (0.22) (0.22) (0.21) EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.11) (0.05) (0.11) (0.12) (0.12) (0.13) (0.14) (0.12) (0.12) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.02) (0.10) (0.07) (0.06) (0.13) (0.09) (0.07) (0.08) (0.10) (0.09) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL PORTFOLIO - NET MGR 3.57 7.54 11.41 (3.18) 16.49 8.73 (0.75) 7.53 9.41 6.48 TRS POLICY BENCHMARK 4.31 7.92 11.76 (3.41) 16.67 9.53 (0.70) 8.50 9.55 6.78 10.37 EXCESS RETURN (0.74) (0.38) (0.35) 0.23 (0.18) (0.80) (0.05) (0.97) (0.14) (0.30) (0.28)
EQUITY RETURN SUMMARY
18 TRS-TOTAL EQUITY (INCL PE & RA) - GROSS 47,864 61.56 3.81 7.59 14.48 (5.19) 23.48 10.82 (0.93) 8.64 12.61 8.29 12.34 7.98 04/01/2004ESTIMATED INVESTMENT FEES (0.06) (0.28) (0.16) (0.21) (0.33) (0.24) (0.24) (0.25) (0.28) (0.26) EST MANAGEMENT FEES (0.06) (0.28) (0.16) (0.21) (0.33) (0.24) (0.24) (0.25) (0.28) (0.26) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL EQUITY (INCL PE & RA) - NET MGR 3.75 7.31 14.32 (5.40) 23.15 10.58 (1.18) 8.39 12.33 8.03
26 TRS-TOTAL DOMESTIC EQUITY - GROSS 22,142 28.48 4.21 9.34 18.90 (4.87) 21.26 13.15 0.30 11.93 14.31 10.28 14.70 10.49 12/01/1990ESTIMATED INVESTMENT FEES (0.01) (0.03) (0.02) (0.03) (0.03) (0.04) (0.04) (0.05) (0.04) (0.04)TRS-TOTAL DOMESTIC EQUITY - NET MGR 4.20 9.31 18.88 (4.89) 21.22 13.10 0.26 11.88 14.28 10.24 RUSSELL 3000 (DAILY) 4.10 8.98 18.71 (5.24) 21.13 12.74 0.48 12.56 14.02 10.19 14.67 10.49EXCESS RETURN 0.11 0.33 0.17 0.35 0.09 0.37 (0.22) (0.67) 0.25 0.05 0.04 0.00
36 TRS-TOTAL SMALL CAP - GROSS 1,505 1.94 3.89 0.75 20.09 (6.38) 19.45 18.93 0.79 4.31 15.82 10.55 17.57 18.38 05/01/2009ESTIMATED INVESTMENT FEES (0.10) (0.36) (0.22) (0.34) (0.47) (0.48) (0.42) (0.37) (0.44) (0.43)TRS-TOTAL SMALL CAP - NET MGR 3.80 0.40 19.88 (6.72) 18.98 18.45 0.37 3.93 15.38 10.12 RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01) 14.65 21.31 (4.41) 4.89 12.30 7.06 13.45 13.71EXCESS RETURN 1.70 3.71 2.89 4.30 4.33 (2.86) 4.78 (0.96) 3.08 3.06 4.12 4.68
46 TRS-TOTAL RUSSELL 1000 - GROSS 20,521 26.39 4.25 10.12 18.82 11.15 04/01/2018ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00)TRS-TOTAL RUSSELL 1000 - NET MGR 4.25 10.11 18.82 11.15RUSSELL 1000 (DAILY) 4.25 10.02 18.84 11.01EXCESS RETURN 0.00 0.09 (0.02) 0.13
56 TRS-TOTAL EMERGING MANAGER - GROSS 117 0.15 2.15 0.49 16.93 (7.78) 7.31 05/01/2017ESTIMATED INVESTMENT FEES (0.13) (0.50) (0.29) (0.46) (0.55)TRS-TOTAL EMERGING MANAGER - NET MGR 2.03 (0.01) 16.64 (8.24) 6.76RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01) 6.75EXCESS RETURN (0.07) 3.30 (0.35) 2.77 0.01
Consolidated Performance Report
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Teachers' Retirement System of New York City 29Performance Overview as of June 30, 2019
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
68 TRS-TOTAL WORLD ex-USA - GROSS 8,941 11.50 4.03 0.22 16.34 (14.26) 29.77 3.69 (0.60) (4.85) 11.11 4.20 8.49 6.68 04/01/2004ESTIMATED INVESTMENT FEES (0.06) (0.23) (0.13) (0.20) (0.28) (0.28) (0.27) (0.25) (0.26) (0.26)TRS-TOTAL WORLD ex-USA - NET MGR 3.97 (0.01) 16.21 (14.45) 29.49 3.42 (0.86) (5.11) 10.85 3.94 WORLD EX-USA CUSTOM BM 3.50 0.16 14.39 (14.68) 26.40 1.15 0.49 (4.90) 9.23 2.60 7.28 5.56EXCESS RETURN 0.48 (0.17) 1.82 0.23 3.09 2.27 (1.36) (0.20) 1.62 1.34 1.21 1.12
78 TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - GROSS 5,803 7.46 4.44 1.41 17.66 (13.53) 30.68 3.99 (2.42) (5.17) 12.12 4.49 4.97 11/01/2013ESTIMATED INVESTMENT FEES (0.07) (0.28) (0.16) (0.24) (0.36) (0.29) (0.27) (0.26) (0.31) (0.29) (0.29)TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - NET MGR 4.37 1.13 17.50 (13.77) 30.32 3.70 (2.69) (5.43) 11.81 4.20 4.68NYC CUSTOM WORLD EX-USA LG & MID ACT INDEX 3.79 1.29 14.64 (14.09) 25.18 1.00 (0.81) (4.90) 9.22 2.31 3.29EXCESS RETURN 0.58 (0.16) 2.86 0.32 5.14 2.70 (1.88) (0.53) 2.59 1.89 1.39
88 TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - GROSS 699 0.90 2.78 (6.33) 12.76 (18.62) 35.63 2.89 11.87 (3.38) 9.40 5.34 8.08 05/01/2013ESTIMATED INVESTMENT FEES (0.11) (0.43) (0.25) (0.38) (0.61) (0.50) (0.55) (0.48) (0.51) (0.50)TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - NET MGR 2.66 (6.76) 12.51 (19.00) 35.02 2.38 11.32 (3.86) 8.90 4.84 S&P EPAC SMALL CAP USD NET 2.37 (6.38) 12.53 (18.58) 33.47 1.34 8.58 (3.43) 8.61 4.13 6.71EXCESS RETURN 0.29 (0.39) (0.02) (0.42) 1.55 1.05 2.74 (0.43) 0.29 0.72 1.37
98 TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - GROSS 648 0.83 1.96 (5.97) 12.91 (17.78) 33.71 2.95 9.97 9.54 4.89 5.90 02/01/2014ESTIMATED INVESTMENT FEES (0.01) (0.05) (0.03) (0.04) (0.07) (0.02) (0.02) (0.05) (0.04) (0.04)TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - NET MGR 1.95 (6.02) 12.88 (17.82) 33.64 2.93 9.95 9.49 4.85 5.86WORLD EX USA SC PASSIVE CUSTOM BM 1.76 (6.17) 12.88 (18.07) 33.31 2.18 9.59 9.17 4.46 5.45EXCESS RETURN 0.19 0.15 (0.00) 0.25 0.33 0.75 0.37 0.31 0.39 0.41
108 TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - GROSS 1,791 2.30 3.98 1.61 14.76 (13.54) 24.52 1.35 (0.28) (5.41) 9.31 2.37 4.59 07/01/2011ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.01) (0.01) (0.01) (0.02) (0.02) (0.02) (0.01) (0.02)TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - NET MGR 3.98 1.60 14.75 (13.55) 24.51 1.34 (0.30) (5.43) 9.30 2.36 NYC CUSTOM WORLD EX US INDEX 3.79 1.29 14.64 (14.09) 24.12 1.00 (0.81) (4.90) 8.91 2.13 4.33EXCESS RETURN 0.19 0.31 0.11 0.54 0.40 0.34 0.52 (0.52) 0.39 0.22 0.26
Consolidated Performance Report
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
120 TRS-TOTAL ACTIVE EMERGING MARKETS - GROSS 4,794 6.17 2.65 5.57 10.68 (14.05) 36.26 12.09 (18.05) 0.27 10.21 1.60 2.37 04/01/2012ESTIMATED INVESTMENT FEES (0.11) (0.46) (0.24) (0.37) (0.68) (0.54) (0.44) (0.53) (0.51) (0.50)TRS-TOTAL ACTIVE EMERGING MARKETS - NET MGR 2.53 5.10 10.44 (14.43) 35.58 11.55 (18.49) (0.26) 9.70 1.10TRS CUSTOM EM INDEX 2.08 3.96 8.39 (13.39) 34.19 13.91 (17.04) 0.67 9.15 1.72 2.27EXCESS RETURN 0.45 1.14 2.05 (1.03) 1.38 (2.36) (1.45) (0.93) 0.55 (0.63) 0.10
130 TRS-TOTAL PASSIVE EMERGING MARKETS - GROSS 1,943 2.50 2.12 4.05 8.59 (12.87) 33.14 12.98 (17.94) (1.76) 8.87 1.03 0.21 04/01/2011ESTIMATED INVESTMENT FEES (0.01) (0.03) (0.01) 0.00 (0.14) (0.06) (0.05) (0.06) (0.05) (0.05)TRS-TOTAL PASSIVE EMERGING MARKETS - NET MGR 2.11 4.02 8.58 (12.87) 32.99 12.92 (17.99) (1.82) 8.82 0.97MSCI CUSTOM TRS EMERGING MARKETS (NET) 2.08 3.96 8.39 (12.99) 33.05 13.10 (17.81) 8.84EXCESS RETURN 0.03 0.06 0.19 0.12 (0.05) (0.18) (0.17) (0.02)
140 TRS-TOTAL INTERNATIONAL FUND OF FUNDS - GROSS 552 0.71 4.15 (0.15) 14.96 (15.05) 5.45 05/01/2017ESTIMATED INVESTMENT FEES (0.13) (0.51) (0.29) (0.44) (0.54)TRS-TOTAL INTERNATIONAL FUND OF FUNDS - NET MGR 4.02 (0.66) 14.67 (15.50) 4.91NYC BLENDED CUSTOM BENCHMARK FOR FOF (TRS) 3.29 0.76 13.48 (14.39) 5.13EXCESS RETURN 0.73 (1.42) 1.19 (1.11) (0.22)
150 TRS-TOTAL GLOBAL EQUITY - GROSS 281 0.36 6.28 23.05 13.73 08/01/2018ESTIMATED INVESTMENT FEES (0.15) (0.42) (0.61)TRS-TOTAL GLOBAL EQUITY - NET MGR 6.12 22.63 13.12MSCI WORLD INDEX 4.00 16.98 3.11EXCESS RETURN 2.12 5.65 10.01
Consolidated Performance Report
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
162 TRS-TOTAL REAL ESTATE SECURITIES - GROSS 1,241 1.60 0.99 10.08 17.41 (5.39) 7.95 5.09 2.84 30.64 5.21 7.69 15.55 11.34 01/01/2003ESTIMATED INVESTMENT FEES (0.10) (0.46) (0.24) (0.40) (0.45) (0.30) (0.37) (0.48) (0.40) (0.40)TRS-TOTAL REAL ESTATE SECURITIES - NET MGR 0.88 9.63 17.17 (5.79) 7.50 4.79 2.47 30.16 4.81 7.29DJ US SELECT REAL ESTATE SECURITIES INDEX 0.82 9.75 16.67 (4.22) 3.76 6.65 4.46 31.85 3.73 7.59 15.39 10.45EXCESS RETURN 0.07 (0.13) 0.50 (1.57) 3.74 (1.86) (1.99) (1.69) 1.08 (0.30) 0.16 0.89
172 TRS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 4,222 5.43 5.42 16.00 5.18 18.45 19.65 10.55 9.78 13.95 16.96 13.60 13.30 12.45 04/01/2004NYC R3000 +3% LAGGED 14.85 12.01 (0.80) 21.06 22.22 18.37 2.49 21.24 16.86 13.64 19.77 13.03EXCESS RETURN (9.43) 3.99 5.98 (2.61) (2.57) (7.83) 7.29 (7.29) 0.11 (0.04) (6.46) (0.58)
182 TRS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 2,851 3.67 1.95 8.63 3.39 11.16 11.17 12.36 15.09 14.68 10.43 11.95 10.02 9.94 04/01/2004NCREIF NFI-ODCE NET + 100 BP 1.02 6.51 2.48 8.43 7.72 8.86 15.08 12.56 7.67 9.84EXCESS RETURN 0.93 2.12 0.91 2.73 3.45 3.50 0.00 2.11 2.77 2.10
192 TRS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 897 1.15 3.22 13.11 5.29 15.69 20.50 9.47 12.33 18.76 15.08 13.57 14.64 12/01/2013CPI + 4% 1.45 5.86 3.02 6.03 6.20 6.17 4.69 4.69 6.16 5.55 5.63EXCESS RETURN 1.77 7.26 2.27 9.65 14.30 3.30 7.64 14.07 8.92 8.03 9.00
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
FIXED INCOME RETURN SUMMARY
204 TRS-TOTAL FIXED INCOME - GROSS 29,889 38.44 3.29 7.76 7.07 (0.18) 5.32 5.66 (0.13) 6.01 4.23 3.65 5.67 7.94 02/01/1980ESTIMATED INVESTMENT FEES (0.03) (0.11) (0.06) (0.11) (0.14) (0.15) (0.14) (0.17) (0.13) (0.14)
EST MANAGEMENT FEES (0.03) (0.11) (0.06) (0.11) (0.14) (0.15) (0.14) (0.17) (0.13) (0.14) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETS
TRS-TOTAL FIXED INCOME - NET MGR 3.27 7.65 7.01 (0.28) 5.17 5.50 (0.27) 5.84 4.10 3.51
212 TRS-TOTAL STRUCTURED FIXED INCOME - GROSS 16,966 21.82 4.01 9.22 7.61 (0.78) 5.03 3.75 0.23 7.54 3.13 3.53 5.04 7.39 01/01/1985ESTIMATED INVESTMENT FEES (0.01) (0.05) (0.02) (0.04) (0.06) (0.07) (0.07) (0.08) (0.05) (0.06)TRS-TOTAL STRUCTURED FIXED INCOME - NET MGR 4.00 9.18 7.59 (0.83) 4.97 3.68 0.16 7.46 3.08 3.47NYC CUSTOM STRUCTURED INDEX-TRS 4.85 10.66 9.24 (1.23) 6.80EXCESS RETURN (0.85) (1.49) (1.65) 0.40 (1.83)
222 TRS-TOTAL CORE FI- DEVELOPING MGRS - GROSS 131 0.17 3.29 8.16 7.20 (1.03) 4.27 4.00 2.95 3.36 06/01/2015ESTIMATED INVESTMENT FEES (0.05) (0.20) (0.10) (0.19) (0.19) (0.20) (0.19) (0.20)TRS-TOTAL CORE FI- DEVELOPING MGRS - NET MGR 3.24 7.96 7.10 (1.22) 4.08 3.79 2.76 3.17BBG BARC AGG (DLY) 3.08 7.87 6.11 0.01 3.54 2.65 2.31 2.88EXCESS RETURN 0.16 0.09 0.99 (1.23) 0.54 1.15 0.44 0.29
232 TRS-TOTAL CORE FI- EMERGING MGRS - GROSS 132 0.17 3.27 8.22 6.47 0.29 4.51 3.19 1.00 6.21 3.06 3.37 3.14 06/01/2012ESTIMATED INVESTMENT FEES (0.09) (0.37) (0.18) (0.34) (0.48) (0.22) (0.35) (0.38) (0.35) (0.35)TRS-TOTAL CORE FI- EMERGING MGRS - NET MGR 3.19 7.85 6.29 (0.05) 4.02 2.97 0.65 5.83 2.71 3.02BBG BARC AGG (DLY) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97 2.31 2.95 2.60EXCESS RETURN 0.11 (0.02) 0.18 (0.06) 0.48 0.32 0.10 (0.13) 0.40 0.07 0.54
242 TRS-TOTAL TIPS - GROSS 3,278 4.22 2.85 4.84 6.19 (1.25) 3.06 4.67 (1.22) 3.50 2.10 1.79 3.71 3.85 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.02) (0.01) (0.02) (0.02) (0.02) (0.03) (0.07) (0.02) (0.03)TRS-TOTAL TIPS - NET MGR 2.85 4.82 6.18 (1.27) 3.04 4.65 (1.25) 3.43 2.09 1.76BBG BARC GBL INF-LK: US TIPS (DLY) 2.86 4.84 6.15 (1.26) 3.01 4.68 (1.44) 3.64 2.08 1.76 3.64 3.71EXCESS RETURN (0.02) (0.02) 0.03 (0.01) 0.04 (0.03) 0.19 (0.21) 0.00 0.01 0.07 0.14
252 TRS-TOTAL HIGH YIELD - GROSS 3,765 4.84 2.86 8.11 10.24 (2.09) 6.92 14.28 (3.27) 2.46 7.14 4.39 8.21 6.10 08/01/1998ESTIMATED INVESTMENT FEES (0.08) (0.32) (0.17) (0.31) (0.35) (0.39) (0.34) (0.35) (0.35) (0.35)TRS-TOTAL HIGH YIELD - NET MGR 2.78 7.78 10.08 (2.39) 6.57 13.89 (3.60) 2.10 6.79 4.05HIGH YIELD CUSTOM BENCHMARK 2.50 7.48 9.94 (2.34) 7.03 15.48 (4.21) 2.78 7.06 4.41 8.24 5.81EXCESS RETURN 0.28 0.31 0.14 (0.06) (0.46) (1.59) 0.61 (0.68) (0.26) (0.36) (0.03) 0.29
262 TRS- TOTAL BANK LOANS - GROSS 1,800 2.31 1.04 3.53 4.60 1.07 4.38 8.55 1.84 2.78 4.94 4.12 4.52 11/01/2012ESTIMATED INVESTMENT FEES (0.08) (0.33) (0.16) (0.33) (0.35) (0.37) (0.35) (0.35) (0.35) (0.35)TRS-TOTAL BANK LOANS - NET MGR 0.96 3.19 4.44 0.74 4.04 8.18 1.49 2.43 4.59 3.77CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06 5.43 3.85 4.41EXCESS RETURN (0.62) (0.95) (0.98) (0.41) (0.21) (1.70) 1.87 0.37 (0.83) (0.08) 0.11
Consolidated Performance Report
Through June 30, 2019
Teachers' Retirement System of New York City 33Performance Overview as of June 30, 2019
Page 343 of 715
Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
FIXED INCOME RETURN SUMMARY
274 TRS-TOTAL CONVERTIBLE BONDS - GROSS 204 0.26 2.41 7.31 9.63 (0.06) 11.75 6.38 0.17 8.57 8.65 5.70 8.93 6.93 07/01/2008ESTIMATED INVESTMENT FEES (0.10) (0.40) (0.20) (0.35) (0.46) (0.45) (0.43) (0.47) (0.42) (0.43)TRS-TOTAL CONVERTIBLE BONDS - NET MGR 2.31 6.91 9.43 (0.41) 11.29 5.93 (0.25) 8.09 8.23 5.28BOFAML ALL CONVERTIBLE EX M AI (DAILY) 3.92 8.00 14.39 0.65 15.70 11.71 (2.75) 9.33 13.65 7.60 12.04 9.05EXCESS RETURN (1.61) (1.10) (4.96) (1.06) (4.41) (5.78) 2.49 (1.24) (5.42) (2.32) (3.10) (2.12)
284 TRS-TOTAL OPPORTUNISTIC FIXED INCOME 2,147 2.76 1.69 5.14 2.81 6.37 8.01 7.31 (1.24) 9.07 7.84 4.98 11.90 7.08 10/01/2007OPPORTUNISTIC FIXED INCOME JPMGHY / CSFB 50/50 BLEND PLUS 300 2.96 9.26 9.32 2.36 9.42 17.40 0.63 4.93 9.86 7.48 11.14 9.17EXCESS RETURN (1.27) (4.12) (6.51) 4.01 (1.42) (10.10) (1.87) 4.14 (2.02) (2.50) 0.76 (2.09)
294 TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - GROSS 663 0.85 3.45 9.22 6.39 1.00 3.70 2.53 3.65 8.22 2.55 3.93 4.89 7.91 12/01/1984ESTIMATED INVESTMENT FEES (0.05) (0.24) (0.11) (0.24) (0.24) (0.25) (0.25) (0.27) (0.23) (0.24) (0.26) (0.13)TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - NET MGR 3.40 8.98 6.28 0.77 3.46 2.28 3.40 7.95 2.32 3.69 4.62 7.78TEACHERS CUSTOM BENCHMARK (NO CASH) 2.59 7.22 5.17 0.86 3.11 2.39 1.30 6.00 2.42 2.96 3.76EXCESS RETURN 0.81 1.76 1.11 (0.09) 0.35 (0.12) 2.10 1.95 (0.10) 0.73 0.87
CASH SUMMARY
306 Short Term TRS - GROSS 803 1.03 0.58 2.34 1.23 1.96 1.21 0.78 0.48 0.32 1.53 1.17 0.82 04/01/1982ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Short Term TRS - NET MGR 0.58 2.34 1.23 1.96 1.21 0.78 0.48 0.32 1.53 1.17 0.82
310 Cash Account 1 0.00
312 Securities Lending 0 0.00
314 KKR Cash Account 0 0.00
Consolidated Performance Report
Through June 30, 2019
Teachers' Retirement System of New York City 34Performance Overview as of June 30, 2019
Page 344 of 715
Teachers' Retirement Systemof New York City
Appendix BPublic Markets Manager Performance Detail
Teachers' Retirement System of New York City 35Performance Overview as of June 30, 2019
Page 345 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
EQUITY SUMMARY
US EQUITY
BlackRock US SCG R2000 249 0.32 2.74 (0.41) 20.36 (9.26) 22.34 11.26 (1.51) 5.90
RUSSELL 2000 GROWTH DAILY 2.75 (0.49) 20.36 (9.31) 22.17 11.32 (1.38) 5.60
Excess (0.01) 0.08 (0.00) 0.05 0.18 (0.06) (0.13) 0.30
BlackRock US SCV R2000 693 0.89 1.29 (6.18) 13.48 (12.74) 7.86 31.73 (7.49) 4.25
RUSSELL 2000 VALUE DAILY 1.38 (6.24) 13.47 (12.86) 7.84 31.74 (7.47) 4.22
Excess (0.08) 0.06 0.02 0.13 0.02 (0.01) (0.02) 0.03
Brown Asset Mgmt US SCG 563 0.72 7.56 10.31 28.57 1.18 29.74 10.35 8.62 2.92
RUSSELL 2000 GROWTH DAILY 2.75 (0.49) 20.36 (9.31) 22.17 11.32 (1.38) 5.60
Excess 4.81 10.80 8.21 10.49 7.57 (0.97) 10.00 (2.68)
BlackRock US LC R1000 Value 0 0.00 13.61 17.41 (3.84) 13.56
RUSSELL 1000 VALUE (DAILY) 13.66 17.34 (3.83) 13.45
Excess (0.05) 0.07 (0.01) 0.11
BlackRock US LMC R1000 Core 20,521 26.39 4.25 10.12 18.82
RUSSELL 1000 (DAILY) 4.25 10.02 18.84
Excess 0.00 0.10 (0.02)
FUND OF FUNDS
TOTAL FUNDS OF FUNDS 117 0.15 2.03 (0.01) 16.64 (8.24)
RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01)
Excess (0.07) 3.30 (0.35) 2.77
TRS-TOTAL LEGATO 117 0.15 2.03 (0.01) 16.64 (8.17)
RUSSELL 2000 (DAILY) 2.10 (3.31) 16.98 (11.01)
Excess (0.07) 3.30 (0.35) 2.84
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 36Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 346 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
NON - US EQUITY
Causeway WorldxUS LMCC 1,236 1.59 1.58 (2.72) 13.16 (18.74) 26.91 (0.79) (2.05) (5.72)
NYC Developed Value Benchmark 3.79 1.29 14.64 (14.09) 22.77 5.02 (5.68) (5.39)
Excess (2.21) (4.01) (1.47) (4.65) 4.15 (5.81) 3.63 (0.32)
Sprucegrove WorldxUS LMCC 1,422 1.83 3.98 0.96 14.56 (14.09) 26.17 8.56 (6.95) (4.06)
NYC Developed Value Benchmark 3.79 1.29 14.64 (14.09) 22.77 5.02 (5.68) (5.39)
Excess 0.19 (0.32) (0.07) (0.00) 3.40 3.53 (1.27) 1.34
Baillie Gifford WorldxUS LMCC 1,625 2.09 5.38 (2.28) 23.24 (14.96) 39.93 2.04 (2.85) (7.83)
NYC Developed Growth Benchmark 3.79 1.29 14.64 (14.09) 27.77 (3.04) 4.09 (4.43)
Excess 1.59 (3.56) 8.61 (0.87) 12.16 5.09 (6.94) (3.40)
Walter Scott WorldxUS LMCC 1,520 1.96 6.00 8.85 18.11 (7.69) 27.53 4.37 1.60 (3.66)
NYC Developed Growth Benchmark 3.79 1.29 14.64 (14.09) 27.77 (3.04) 4.09 (4.43)
Excess 2.21 7.56 3.48 6.40 (0.24) 7.41 (2.49) 0.77
Acadian WorldxUS SCC 378 0.49 2.40 (6.14) 12.61 (19.67) 38.42 5.46 10.97 (2.33)
S&P EPAC Small Cap USD NET 2.37 (6.38) 12.53 (18.58) 33.47 1.34 8.58 (3.43)
Excess 0.03 0.24 0.07 (1.09) 4.96 4.12 2.38 1.10
Fidelity WorldxUS SCC 204 0.26 3.35 (6.79) 13.23 (18.23) 31.25 (0.81) 11.69 (5.41)
S&P EPAC Small Cap USD NET 2.37 (6.38) 12.53 (18.58) 33.47 1.34 8.58 (3.43)
Excess 0.97 (0.42) 0.70 0.35 (2.21) (2.15) 3.11 (1.98)
Algert EAFE SCC 117 0.15 2.33
MSCI EAFE SMALL CAP NET (DAILY) 1.71
Excess 0.62
SSGA WorldxUS LMC NYC Custom IDX 1,791 2.30 3.98 1.60 14.75 (13.55) 24.51 1.34 (0.30) (5.43)
NYC Custom World ex US Index 3.79 1.29 14.64 (14.09) 24.12 1.00 (0.81) (4.90)
Excess 0.19 0.31 0.11 0.54 0.40 0.34 0.52 (0.52)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 37Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 347 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
SSGA WorldxUS SC Custom IDX 1 648 0.83 1.95 (6.02) 12.88 (17.82) 33.64 2.93 9.95
World ex USA SC PASSIVE CUSTOM BM 1.76 (6.17) 12.88 (18.07) 33.31 2.18 9.59
Excess 0.19 0.15 (0.00) 0.25 0.33 0.75 0.37
EMERGING MARKETS
Acadian EM 556 0.72 3.03 4.60 11.20
MSCI CUSTOM TRS EMERGING MARKETS (NET) 2.08 3.96 8.39
Excess 0.95 0.64 2.81
Baillie Gifford EM 1,725 2.22 3.30 9.09 14.90 (14.39) 41.33 4.02 (14.09) 4.83
TRS Custom EM Index 2.08 3.96 8.39 (13.39) 34.19 13.91 (17.04) 0.67
Excess 1.21 5.13 6.51 (1.00) 7.13 (9.90) 2.95 4.16
DFA EM 1,287 1.66 1.32 2.97 7.51 (13.17) 34.29 20.88 (21.72) (4.59)
TRS Custom EM Index 2.08 3.96 8.39 (13.39) 34.19 13.91 (17.04) 0.67
Excess (0.76) (0.99) (0.88) 0.23 0.09 6.97 (4.68) (5.26)
Parametric EM 897 1.15 2.24 2.52 7.94 (14.52) 32.02 11.47 (19.97) (0.80)
TRS Custom EM Index 2.08 3.96 8.39 (13.39) 34.19 13.91 (17.04) 0.67
Excess 0.16 (1.44) (0.45) (1.12) (2.17) (2.44) (2.94) (1.47)
Lazard EM 329 0.42 3.01 2.72 7.64 (17.29) 28.26
TRS Custom EM Index 2.08 3.96 8.39 (13.39) 34.19
Excess 0.92 (1.24) (0.75) (3.89) (5.94)
BlackRock MSCI EM Core 1,943 2.50 2.11 4.02 8.58 (12.87) 32.99 12.92 (17.99) (1.82)
MSCI CUSTOM TRS EMERGING MARKETS (NET) 2.08 3.96 8.39 (12.99) 33.05 13.10 (17.81)
Excess 0.03 0.06 0.19 0.12 (0.05) (0.18) (0.17)
INTERNATIONAL FOF
TRS-TOTAL INTERNATIONAL FOF 552 0.71 4.02 (0.66) 14.67 (15.50)
NYC Blended Custom Benchmark for FoF (TRS) 3.29 0.76 13.48 (14.39)
Excess 0.73 (1.42) 1.19 (1.11)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 38Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 348 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
TRS-TOTAL INTERNATIONAL BIVIUM 184 0.24 3.62 (2.72) 14.83 (18.16)
NYC Blended Custom Benchmark for FoF (TRS) 3.29 0.76 13.48 (14.39)
Excess 0.33 (3.48) 1.35 (3.77)
TRS-TOTAL INTERNATIONAL FIS 186 0.24 4.38 0.87 14.22 (14.12)
NYC Blended Custom Benchmark for FoF (TRS) 3.29 0.76 13.48 (14.39)
Excess 1.10 0.12 0.74 0.27
TRS-TOTAL INTERNATIONAL LEADING EDGE 183 0.24 4.06 (0.08) 14.97 (14.15)
NYC Blended Custom Benchmark for FoF (TRS) 3.29 0.76 13.48 (14.39)
Excess 0.77 (0.84) 1.50 0.24
GLOBAL EQUITY
Fiera-Global 281 0.36 6.12 22.63
MSCI World Index 4.00 16.98
Excess 2.12 5.65
REAL ESTATE SECURITIES
Adelante REITS 368 0.47 1.94 12.91 19.72 (5.32) 7.32 3.90 4.81 33.05
DJ US SELECT REAL ESTATE SECURITIES INDEX 0.82 9.75 16.67 (4.22) 3.76 6.65 4.46 31.85
Excess 1.12 3.16 3.05 (1.10) 3.56 (2.75) 0.36 1.20
CenterSquare REITS 267 0.34 1.27 9.74 17.09 (5.07) 5.96 7.98 5.87 32.56
DJ US SELECT REAL ESTATE SECURITIES INDEX 0.82 9.75 16.67 (4.22) 3.76 6.65 4.46 31.85
Excess 0.46 (0.01) 0.42 (0.85) 2.20 1.33 1.41 0.71
Cohen Steers REITS 258 0.33 2.32 12.74 19.26 (3.88) 7.44 4.96 5.59 31.67
DJ US SELECT REAL ESTATE SECURITIES INDEX 0.82 9.75 16.67 (4.22) 3.76 6.65 4.46 31.85
Excess 1.50 2.99 2.59 0.33 3.68 (1.69) 1.13 (0.18)
Morgan Stanley - REIT 348 0.45 (1.51) 4.20 13.20 (7.88) 9.25 3.49 (1.63) 30.72
Morgan Stanley Custom RESI Index 0.82 9.75 16.67 (4.22) 8.64 2.37 (1.53) 31.85
Excess (2.32) (5.55) (3.47) (3.66) 0.62 1.13 (0.11) (1.13)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 39Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 349 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
FIXED INCOME SUMMARY
STRUCTURED FIXED INCOME
BlackRock Mortgages 1,893 2.43 2.18 6.64 4.63 1.00 2.63 2.17 1.76 6.56
FTSE MORTGAGE INDEX 2.09 6.39 4.30 1.01 2.47 1.59 1.56 6.12
Excess 0.09 0.26 0.33 (0.01) 0.16 0.58 0.20 0.44
BlackRock Mortgages NA 7 0.01
FTSE MORTGAGE INDEX
Excess
Neuberger Berman Mortgages 763 0.98 2.00 6.15 4.19 0.82 2.42 1.49 1.37 6.66
FTSE MORTGAGE INDEX 2.09 6.39 4.30 1.01 2.47 1.59 1.56 6.12
Excess (0.10) (0.24) (0.11) (0.19) (0.05) (0.09) (0.19) 0.54
BlackRock Credit 405 0.52 4.24 10.24 9.45 (1.99) 6.31 5.57 (0.71) 7.43
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.16 0.11 0.46 (0.09) 0.27 0.01 (0.06) 0.39
Taplin Credit 301 0.39 4.49 9.72 10.08 (3.43) 7.99 9.02 (4.10) 7.34
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.42 (0.41) 1.09 (1.53) 1.95 3.46 (3.46) 0.30
T Rowe Price Credit 1,221 1.57 4.38 10.54 9.55 (2.41) 6.85 5.96 0.09 7.82
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.30 0.42 0.56 (0.51) 0.81 0.41 0.73 0.77
Prudential Credit 774 1.00 4.17 10.19 9.12 (1.94) 6.17 5.84 (0.16) 7.19
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.10 0.06 0.13 (0.03) 0.13 0.28 0.49 0.14
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 40Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 350 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Barrow Hanley Credit 525 0.67 4.63 10.97 10.03 (2.41) 6.16 5.88 (0.11) 7.39
NYC - Investment Grade Credit 4.07 10.13 8.99 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.56 0.84 1.04 (0.51) 0.12 0.32 0.54 0.35
SSGA LI Treasury 3,534 4.54 4.51 10.22 8.02 (0.20) 5.13 1.48 0.50 12.08
NYC - Treasury Agency Plus Five 4.56 10.38 8.09 (0.05) 4.66 1.21 0.72 12.38
Excess (0.06) (0.17) (0.06) (0.15) 0.48 0.26 (0.23) (0.29)
BlackRock LI Treasury 2,166 2.79 4.52 10.15 7.97 (0.18) 4.97 1.25 0.69 11.96
NYC - Treasury Agency Plus Five 4.56 10.38 8.09 (0.05) 4.66 1.21 0.72 12.38
Excess (0.05) (0.23) (0.11) (0.13) 0.31 0.03 (0.03) (0.42)
SSGA ST Treasury 1-3Y 2,117 2.72 1.44 3.95 2.43 1.51 0.40
FTSE USBIG Treasury 1-3 Y Index 1.44 3.95 2.44 1.56 0.42
Excess (0.00) (0.01) (0.01) (0.05) (0.02)
SSGA LT Treasury 10Y Plus 3,255 4.19 6.05 12.27 11.00 (1.84) 8.44
FTSE Treasury 10+ 6.04 12.24 11.03 (1.89) 8.60
Excess 0.01 0.03 (0.03) 0.05 (0.17)
SSGA IT Treasury 1-10Y 2 6 0.01 2.33 5.02 3.84 2.05
FTSE USBIG Treasury/Agency 1-10 y 2.33 6.11 3.95 1.42
Excess 0.00 (1.09) (0.11) 0.63
91 DAY TREASURY BILL (DAILY) 0.64 2.31 1.24 1.87
Excess 1.69 2.71 2.60 0.17
HIGH YIELD
Brigade High Yield 352 0.45 3.21 10.72
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess 0.71 0.78
Eaton Vance High Yield 578 0.74 2.54 9.75
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess 0.04 (0.19)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 41Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 351 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Neuberger Berman High Yield 744 0.96 2.35 7.31 9.42 (2.01) 5.74 14.89 (3.96) 1.85
BBG BARC US HY - 2% Issr Cap 2.50 7.48 9.94 (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.15) (0.17) (0.52) 0.08 (1.76) (2.24) 0.47 (0.60)
Nomura High Yield 355 0.46 2.18 9.45
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess (0.32) (0.49)
Oaktree High Yield 367 0.47 2.35 6.72 9.62 (3.49) 5.75 14.96 (4.70) 1.33
BBG BARC US HY - 2% Issr Cap 2.50 7.48 9.94 (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.15) (0.76) (0.32) (1.41) (1.75) (2.17) (0.26) (1.13)
Stone Harbor High Yield 40 0.05 (2.65) 5.85 13.10 (4.47) 0.79
BBG BARC US HY - 2% Issr Cap (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.56) (1.65) (4.03) (0.04) (1.67)
T Rowe Price High Yield 828 1.07 3.15 8.83 10.43 (2.30) 7.70 12.17 (1.17) 2.96
BBG BARC US HY - 2% Issr Cap 2.50 7.48 9.94 (2.08) 7.50 17.13 (4.43) 2.46
Excess 0.65 1.35 0.49 (0.22) 0.19 (4.96) 3.26 0.50
Mackay Shields High Yield 500 0.64 2.41 9.39
BBG BARC US HY - 2% Issr Cap 2.50 9.94
Excess (0.09) (0.55)
Shenkman High Yield 0 0.00 6.60 11.64 (2.16) 2.75
BBG BARC US HY - 2% Issr Cap 7.50 17.13 (4.43) 2.46
Excess (0.90) (5.49) 2.28 0.29
BANK LOANS
Barings Bank Loans 445 0.57 0.95 2.98 4.75 0.38 4.47 8.47 0.12 1.99
CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06
Excess (0.63) (1.17) (0.66) (0.76) 0.22 (1.41) 0.50 (0.07)
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 42Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 352 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Credit Suisse Bank Loans 463 0.60 1.27 3.93 4.97 1.04 4.66 8.96 2.57 2.67
CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06
Excess (0.31) (0.22) (0.44) (0.10) 0.41 (0.92) 2.96 0.61
Guggenheim Bank Loans 4 0.00 1.24 3.82 7.84 2.07 2.88
CSFB LEVERAGED LOAN INDEX 1.14 4.25 9.88 (0.38) 2.06
Excess 0.10 (0.43) (2.03) 2.45 0.83
Voya Bank Loans 436 0.56 1.39 3.30 4.94 0.33 3.19 7.71 1.21 2.66
CSFB LEVERAGED LOAN INDEX 1.58 4.15 5.42 1.14 4.25 9.88 (0.38) 2.06
Excess (0.19) (0.84) (0.48) (0.81) (1.06) (2.17) 1.60 0.60
Wells Capital Bank Loans 0 0.00 0.17 3.18 7.18 1.17 1.68
CSFB LEVERAGED LOAN INDEX 1.14 4.25 9.88 (0.38) 2.06
Excess (0.98) (1.07) (2.70) 1.55 (0.38)
Pinebridge Bank Loans 451 0.58
CSFB LEVERAGED LOAN INDEX
Excess
TIPS
SSGA TIPS 2,461 3.17 2.85 4.82 6.18 (1.30) 3.06 4.66 (1.35) 3.57
BBG BARC Gbl Inf-Lk: US TIPS (Dly) 2.86 4.84 6.15 (1.26) 3.01 4.68 (1.44) 3.64
Excess (0.01) (0.01) 0.03 (0.04) 0.05 (0.03) 0.09 (0.07)
BlackRock TIPS 817 1.05 2.82 4.79 6.16 (1.18) 2.98 4.64 (1.24) 3.74
BBG BARC Gbl Inf-Lk: US TIPS (Dly) 2.86 4.84 6.15 (1.26) 3.01 4.68 (1.44) 3.64
Excess (0.04) (0.04) 0.01 0.08 (0.02) (0.05) 0.20 0.10
CONVERTIBLE BONDS
Advent Convertible Bonds 97 0.12 2.03 5.39 8.33 (1.65) 7.45 7.34 (1.98) 4.63
BofA ML U.S. Convertible Yield Alternative 2.25 4.57 8.69 (0.42) 9.45 9.96 (8.77) 2.75
Excess (0.22) 0.82 (0.36) (1.23) (2.00) (2.62) 6.80 1.88
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 43Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 353 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Victory Convertible Bonds 108 0.14 2.58 8.30 10.45 0.68 20.13 6.47 (0.20) 13.72
BofA Merrill Lynch US Investment Grade Convertible Bond Index 4.20 10.51 11.40 3.35 20.99 14.23 1.68 15.69
Excess (1.62) (2.21) (0.95) (2.67) (0.87) (7.76) (1.88) (1.98)
CORE FI - EMERGING MANAGERS
Optimum Quantvest-Core 13 0.02 3.26 8.14 5.95 0.33 2.64 2.61 0.61 7.08
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97
Excess 0.18 0.27 (0.16) 0.32 (0.90) (0.03) 0.06 1.11
Integrity-Core 11 0.01 3.18 7.67 6.05 (0.03) 3.93
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54
Excess 0.10 (0.20) (0.07) (0.04) 0.39
New Century-Core Plus 34 0.04 3.17 7.80 6.21 0.12 4.04 2.37 (0.30) 6.51
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97
Excess 0.09 (0.07) 0.09 0.11 0.50 (0.28) (0.85) 0.55
Ramirez-Core 33 0.04 3.22 8.06 6.69 0.07 4.47 3.64 1.12
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55
Excess 0.14 0.19 0.57 0.06 0.93 0.99 0.57
Pugh-Core Plus 40 0.05 3.14 7.69 6.22 (0.42) 4.12 3.48 0.79 5.86
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97
Excess 0.06 (0.18) 0.10 (0.43) 0.58 0.84 0.24 (0.10)
CORE FI - DEVELOPING MANAGERS
LM Capital-Core Plus 79 0.10 3.26 8.04 7.09 (1.35) 3.89 3.50
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65
Excess 0.18 0.17 0.98 (1.36) 0.35 0.86
GIA-Core Plus 52 0.07 3.21 7.84 7.11 (1.01) 4.37 4.24
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65
Excess 0.13 (0.03) 1.00 (1.02) 0.82 1.59
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 44Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 354 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
ECONOMICALLY TARGETED INVESTMENTS
AFL-CIO Housing Investment Trust 302 0.39 3.28 7.90 6.02 0.16 3.17 1.94 1.13 6.10
BBG BARC Agg (Dly) 3.08 7.87 6.11 0.01 3.54 2.65 0.55 5.97
Excess 0.20 0.03 (0.09) 0.15 (0.38) (0.71) 0.58 0.14
RBC Access MBS 146 0.19 2.30 6.83 4.85 0.49 2.64 1.61 1.83 6.66
Access RBC Benchmark 2.16 6.27 4.21 1.17 1.96 1.52 1.40 5.08
Excess 0.14 0.55 0.64 (0.69) 0.69 0.09 0.43 1.58
CPC Construction Facility 9 0.01 0.79 4.21 2.11 4.14 6.07 (3.95) 12.90
CPC CONST BENCHMARK 1.06 4.23 2.13 3.99 3.34 3.03 2.90
Excess (0.26) (0.02) (0.01) 0.15 2.73 (6.99) 10.00
BOA PPAR FNMA 9 0.01 5.66 13.51 9.25 2.33 5.21 4.07 42.03 13.31
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.31 6.25 4.52 0.47 1.60 1.69 39.53 6.19
Citibank PPAR FNMA 17 0.02 6.30 15.16 9.75 2.63 5.26 3.71 6.69 25.71
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.96 7.90 5.02 0.77 1.65 1.33 4.20 18.58
Citibank PPAR GNMA 5 0.01 2.53 10.12 5.32 1.90 3.10 2.78 5.08 15.37
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.40 3.21 0.82 0.27 0.57 0.50 3.06 8.72
CFSB PPAR GNMA 2 0.00 2.85 9.78 5.57 0.99 3.83 3.21 5.90 15.34
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.73 2.87 1.07 (0.65) 1.30 0.93 3.88 8.69
CPC PPAR FNMA 88 0.11 5.94 14.84 9.95 2.31 5.06 6.15 8.96 13.91
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.59 7.58 5.22 0.45 1.45 3.77 6.46 6.78
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 45Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 355 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
CPC PPAR GNMA 64 0.08 2.23 9.02 4.89 0.77 2.85 1.83 5.33 11.79
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.11 2.11 0.39 (0.86) 0.32 (0.44) 3.31 5.14
LIIF PPAR FNMA 11 0.01 5.72 14.40 9.26 2.27 9.55 5.03 6.29 38.12
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess 3.38 7.15 4.53 0.41 5.94 2.65 3.79 30.99
LIIF PPAR GNMA 2 0.00 2.40 8.01 4.37 2.53 2.52 3.88 3.92 9.74
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess 0.27 1.11 (0.13) 0.89 (0.01) 1.61 1.91 3.09
LISC PPAR FNMA 1 0.00 5.85 9.79
FNMA Plus 85bps 2.35 4.73
Excess 3.50 5.05
NCBCI PPAR FNMA 0 0.00 0.57 8.27 3.10 2.00 1.75 3.46 4.97 14.93
FNMA Plus 85bps 2.35 7.26 4.73 1.86 3.61 2.38 2.50 7.13
Excess (1.78) 1.02 (1.63) 0.15 (1.86) 1.07 2.47 7.81
NCBCI PPAR GNMA 1 0.00 1.40 8.09 3.91 1.23 3.01 3.51 5.53 16.66
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess (0.73) 1.19 (0.59) (0.41) 0.48 1.23 3.52 10.01
NHS PPAR GNMA 0 0.00 1.25 7.31 3.76 0.54 (2.93) 3.58 4.90 13.73
GNMA Plus 65bps 2.13 6.90 4.50 1.63 2.53 2.28 2.02 6.65
Excess (0.88) 0.41 (0.74) (1.09) (5.46) 1.30 2.89 7.08
Wells Fargo PPAR FNMA 3 0.00 5.80 23.19 16.37
FNMA Plus 85bps 2.35 7.26 4.73
Excess 3.45 15.93 11.64
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 46Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 356 of 715
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
CASH
Short Term TRS 803 1.03 0.58 2.34 1.23 1.96 1.21 0.78 0.48 0.32
91 DAY TREASURY BILL (DAILY) 0.64 2.31 1.24 1.87 0.86 0.33 0.05 0.03
Excess (0.06) 0.03 (0.01) 0.09 0.35 0.45 0.43 0.29
Cash Account 1 0.00
Securities Lending 0 0.00
KKR Cash Account 0 0.00
Public Markets Manager Performance Detail
Net Returns Through June 30, 2019
Teachers' Retirement System of New York City 47Performance Overview as of June 30, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 357 of 715
Teachers' Retirement Systemof New York City
Appendix CAlternative Assets Manager PerformanceDetail
Teachers' Retirement System of New York City 48Performance Overview as of June 30, 2019
Page 358 of 715
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
TOTAL PRIVATE EQUITY 9,523,396,343 7,255,528,621 6,069,967,042 4,260,665,540 1.42 10.2% TOTAL LIQUIDATED 712,679,929 699,764,907 879,311,491 - 1.26 TOTAL ACTIVE 8,810,716,414 6,555,763,714 5,190,655,551 4,260,665,540 1.44
TOTAL ACTIVE Cypress Merchant Banking Partners II, LP 1999 50,000,000 53,983,573 50,623,035 26,160 0.94 -1.2%Lincolnshire Equity Fund II, L.P. 1999 15,000,000 14,446,100 28,031,474 559,497.00 1.98 24.6%SCP Private Equity Partners II, L.P. 2000 20,000,000 22,196,012 8,429,680 2,155,765 0.48 -8.4%Solera Partners, L.P. 2000 15,000,000 19,950,653 31,226,365 260,721 1.58 7.5%Apollo Investment Fund V, L.P. 2001 30,000,000 46,758,049 92,244,552 279,671 1.98 38.8%RRE Ventures III, L.P. 2001 20,000,000 26,269,971 34,025,652 1,072,602 1.34 5.4%Landmark Equity Partners XI, L.P. 2002 20,000,000 21,259,356 31,467,979 49,142 1.48 23.3%Thomas McNerney & Partners, L.P. 2002 15,000,000 15,000,000 7,543,579 3,493,655.00 0.74 -4.3%Ares Corporate Opportunities Fund, L.P. 2003 15,000,000 18,004,666 26,835,382 651,042 1.53 13.3%Blackstone Capital Partners IV, L.P. 2003 30,000,000 30,690,321 76,829,916 949,105 2.53 37.8%FS Equity Partners V, L.P. 2003 25,000,000 20,204,332 40,645,843 1,935,782 2.11 15.4%Leeds Weld Equity Partners IV, L.P. 2003 15,000,000 15,441,454 20,171,550 30,906 1.31 4.2%Aurora Equity Partners III, L.P. 2004 20,000,000 21,708,976 35,032,609 149,924 1.62 13.5%FdG Capital Partners II, L.P. 2004 35,000,000 37,720,808 43,606,491 2,311,821 1.22 3.8%Lincolnshire Equity Fund III, L.P. 2004 25,000,000 25,003,156 35,333,008 9,758,231 1.80 28.5%Markstone Capital Partners, L.P. 2004 35,000,000 40,766,689 17,074,753 163,685 0.42 -47.4%New York/Fairview Emerging Managers (Tranche A), L.P. 2004 24,000,000 24,646,553 23,693,119 4,849,276 1.16 2.5%Paladin Homeland Security Fund (NY), L.P 2004 15,000,000 16,550,584 6,323,308 22,200 0.38 -14.2%Yucaipa American Alliance Fund I, L.P. 2004 55,000,000 80,825,203 78,341,784 22,080,714 1.24 4.9%Blackstone Mezzanine Partners II, L.P. 2005 20,000,000 19,342,116 25,639,056 203,429 1.34 7.8%JP Morgan Fleming (Tranche A), L.P. 2005 31,000,000 31,117,886 31,149,136 10,776,309 1.35 5.7%New Mountain Partners II, L.P. 2005 23,225,800 21,482,843 40,969,939 334,399 1.92 13.6%Palladium Equity Partners III, L.P. 2005 35,000,000 37,627,512 67,827,553 3,293,235 1.89 14.9%Prism Venture Partners V-A, L.P. 2005 20,000,000 20,931,568 13,131,156 335,055 0.64 -8.7%Psilos Group Partners III, L.P. 2005 25,000,000 26,575,585 12,820,541 17,559,270 1.14 2.0%Snow Phipps Group, L.P. 2005 15,000,000 17,775,294 15,590,643 7,783,192.00 1.31 6.0%USPF II Institutional Fund, L.P. 2005 35,000,000 46,164,567 53,166,469 6,355,931.00 1.29 4.3%Aisling Capital II, L.P. 2006 4,500,000 5,099,563 5,112,601 247,369 1.05 0.9%
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 49Performance Overview as of March 31, 2019
Page 359 of 715
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Ampersand 2006, L.P. 2006 15,000,000 15,000,000 30,880,706 11,279,399 2.81 16.6%Apollo Investment Fund VI, L.P. 2006 35,000,000 45,048,207 63,539,417 4,406,807 1.51 8.7%Ares Corporate Opportunities Fund II, L.P. 2006 30,000,000 32,905,774 53,060,554 2,051,304 1.67 13.1%Arsenal Capital Partners II, L.P. 2006 13,500,000 16,509,280 26,215,566 4,400,847 1.85 11.7%Avista Capital Partners, L.P. 2006 30,000,000 39,559,256 49,499,726 717,500 1.27 5.0%BDCM Opportunity Fund II, L.P. 2006 25,000,000 37,160,726 61,921,197 31,359,531 2.51 18.0%Blackstone Capital Partners V, L.P. 2006 75,600,000 76,446,296 125,100,378 3,077,242 1.68 8.4%Catterton Partners VI, L.P. 2006 30,000,000 34,300,531 50,089,255 13,697,415 1.86 0.0%CCMP Capital Investors II, L.P. 2006 20,000,000 21,912,981 37,723,530 16,945 1.72 13.5%Cinven Fourth Fund 2006 43,264,875 45,626,561 65,854,533 32,884 1.44 7.4%Fairview Ventures Fund III, L.P. 2006 20,000,000 21,107,913 27,809,386 16,295,266 2.09 14.1%First Reserve Fund XI, L.P. 2006 30,000,000 34,241,400 22,337,903 1,598,993 0.70 -8.4%GF Capital Private Equity Fund, L.P. 2006 15,000,000 15,547,039 19,565,381 7,964,809 1.77 12.4%GSC Recovery III, L.P. 2006 10,000,000 11,260,507 13,252,348 99,476 1.19 4.2%InterMedia Partners VII, L.P. 2006 25,000,000 29,198,197 29,591,746 243,132 1.02 0.3%Landmark Equity Partners XIII, L.P. 2006 25,000,000 23,655,228 23,862,305 6,659,030 1.29 4.7%MidOcean Partners III, L.P. 2006 40,000,000 46,395,207 84,868,683 10,884,746.00 2.06 13.0%RRE Ventures IV, L.P. 2006 25,000,000 31,632,272 17,548,042 28,100,914.00 1.44 5.4%Terra Firma Capital Partners III, L.P. 2006 31,057,976 31,587,434 11,990,798 2,203,349 0.45 -9.8%Thomas, McNerney & Partners II, L.P. 2006 15,000,000 14,867,607 30,264,518 3,653,844 2.28 16.7%Carlyle Partners V, L.P. 2007 50,000,000 50,406,980 80,509,250 9,109,803 1.78 13.4%Co-Investment Partners Europe, L.P. 2007 26,429,042 29,219,332 34,855,209 1,746,257 1.25 4.5%Constellation Ventures III, L.P. 2007 15,000,000 17,145,021 8,397,431 4,881,676 0.77 -4.2%Craton Equity Investors I, L.P. 2007 10,000,000 9,266,168 1,076,950 22,377 0.12 -32.3%FTVentures III, L.P. 2007 14,081,947 14,882,466 23,467,852 4,737,086 1.90 11.3%GSO Capital Opportunities Fund, L.P. 2007 30,000,000 48,291,339 67,124,625 498,362 1.40 17.4%Halyard Capital Fund II, L.P. 2007 15,000,000 12,955,286 15,730,000 2,849,635 1.43 6.6%Montreux Equity Partners IV, L.P. 2007 15,000,000 14,930,359 11,239,048 12,091,857 1.56 8.1%Nautic Partners VI, L.P. 2007 20,000,000 21,704,141 47,783,956 4,444,755 2.41 18.8%New Mountain Partners III, L.P. 2007 35,000,000 35,949,400 47,758,635 23,513,474 1.98 13.2%PCG Clean Energy & Technology Fund East, L.P. 2007 60,000,000 51,863,265 11,863,859 7,674,367 0.38 -14.1%Pegasus Partners IV, L.P. 2007 20,000,000 26,329,188 20,221,072 4,556,082 0.94 -1.3%Pine Brook Capital Partners, L.P. 2007 22,500,000 24,855,036 29,483,697 4,137,889 1.35 8.1%
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 50Performance Overview as of March 31, 2019
Page 360 of 715
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Quaker BioVentures II, L.P. 2007 15,000,000 14,752,775 12,864,585 2,813,131 1.06 1.5%RLJ Equity Partners Fund I, L.P. 2007 15,000,000 15,340,537 16,822,292 6,828,924 1.54 9.8%SCP Vitalife Partners II, L.P. 2007 15,000,000 15,074,774 1,184 6,560,519 0.44 -10.1%StarVest Partners II, L.P. 2007 20,000,000 20,106,956 5,422,480 11,322,785 0.83 -2.8%Trilantic Capital Partners IV L.P. 2007 53,311,339 55,874,710 82,624,937 7,048,059 1.60 14.2%USPF III Institutional Fund, L.P. 2007 30,000,000 35,493,985 36,105,098 8,601,093 1.26 4.2%Vista Equity Partners Fund III, L.P. 2007 25,000,000 26,857,217 63,887,396 2,997,911 2.49 27.1%Aisling Capital III, L.P. 2008 10,500,000 11,852,387 26,428,965 1,716,620 2.37 26.6%Apollo Investment Fund VII, L.P. 2008 50,000,000 60,503,796 95,965,340 9,035,947 1.74 23.4%Ares Corporate Opportunities Fund III, L.P. 2008 60,000,000 70,365,648 111,395,047 44,373,352 2.21 21.5%Avista Capital Partners II, L.P. 2008 50,000,000 65,011,431 100,313,615 10,798,679 1.71 15.3%Blue Wolf Capital Fund II, L.P. 2008 20,000,000 21,768,204 25,173,874 5,121,400 1.39 7.8%Bridgepoint Europe IV, L.P. 2008 26,536,003 24,683,679 28,775,680 9,708,921 1.56 10.2%First Reserve Fund XII, L.P. 2008 30,000,000 33,919,785 17,076,949 7,077,988 0.71 -8.3%GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 2008 59,373,737 71,914,948 62,080,132 38,619,380 1.40 10.0%GI Partners III, L.P. 2008 30,000,000 32,406,721 50,386,682 511,817 1.57 13.0%Landmark Equity Partners XIV, L.P. 2008 50,000,000 48,517,085 53,647,313 8,953,637 1.29 8.9%Leeds Equity Partners V, L.P. 2008 40,000,000 41,561,844 49,678,143 41,666,132 2.20 19.1%Levine Leichtman Capital Partners IV, L.P. 2008 25,000,000 26,635,586 42,163,089 2,834,751 1.69 18.4%New York/Fairview Emerging Managers (Tranche B), L.P. 2008 35,000,000 34,997,529 37,148,584 27,545,992 1.85 14.6%NGN BioMed Opportunity II, L.P. 2008 15,000,000 14,363,866 10,009,657 8,206,136 1.27 3.6%Onex Partners III, L.P. 2008 40,000,000 43,697,601 57,817,030 15,162,689 1.67 12.7%Paladin III (NY City), L.P. 2008 20,000,000 25,679,914 19,070,774 22,481,368 1.62 10.1%Riverstone/Carlyle Global Energy & Power Fund IV 2008 32,500,000 35,439,381 30,467,412 11,563,793 1.19 4.6%Yucaipa American Alliance Fund II, L.P. 2008 75,000,000 102,878,687 89,049,864 89,136,014 1.73 11.0%Yucaipa Corporate Initiatives Fund II, L.P. 2008 35,000,000 32,129,958 11,721,727 16,972,253 0.89 -1.8%Lincolnshire Equity Fund IV, L.P. 2009 12,500,000 12,681,739 14,593,925 5,453,894 1.58 10.9%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 30,000,000 30,000,000 38,850,890 10,609,268 1.65 12.5%JP Morgan Fleming (Tranche B), L.P. 2010 10,000,000 10,324,862 7,965,234 6,658,173 1.42 8.3%Trident V, L.P. 2010 35,000,000 40,406,457 42,025,768 23,160,352 1.61 11.3%American Securities Partners VI, L.P. 2011 100,000,000 107,279,493 161,050,017 45,326,185 1.92 21.8%Ampersand 2011, L.P. 2011 17,500,000 17,500,000 28,321,359 20,382,926 2.78 21.6%AXA Secondary Fund V L.P. 2011 160,000,000 85,771,717 116,579,377 18,425,861 1.57 14.2%
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 51Performance Overview as of March 31, 2019
Page 361 of 715
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
BC European Capital IX, L.P. 2011 65,508,657 71,705,245 49,595,492 51,641,695 1.41 10.4%Blackstone Capital Partners VI, L.P. 2011 60,000,000 58,969,364 39,204,445 51,564,584 1.54 12.1%EQT VI, L.P. 2011 48,519,189 50,942,484 63,021,122 23,176,200 1.69 14.2%Pegasus Partners V, L.P. 2011 20,789,916 24,612,136 15,121,168 23,389,167 1.56 12.3%Vista Equity Partners IV, L.P. 2011 100,000,000 98,661,937 122,458,501 80,425,473 2.06 18.8%Green Equity Investors VI, L.P. 2012 100,000,000 108,431,908 67,600,308 108,044,461 1.62 15.7%Ares Corporate Opportunities Fund IV, L.P. 2012 105,000,000 112,431,261 60,618,642 99,725,499 1.43 12.3%Platinum Equity Capital Partners III, L.P. 2012 115,000,000 108,060,424 147,016,704 41,990,568 1.75 36.1%Trilantic Capital Partners V (North America), L.P. 2012 70,000,000 71,749,114 60,822,859 47,951,337 1.52 18.0%Warburg Pincus Private Equity XI, L.P. 2012 175,000,000 177,486,180 82,254,676 194,038,677 1.56 13.4%NYCTRS - 2012 Emerging Manager Program 2012 165,050,000 162,776,510 58,999,022 177,311,937 1.45 14.1%Apollo Investment Fund VIII, L.P. 2013 200,000,000 180,629,361 57,465,308 171,608,982 1.27 10.6%Carlyle Partners VI, L.P. 2013 125,000,000 129,456,718 53,529,507 115,677,720 1.31 11.6%CVC Capital Partners VI, L.P. 2014 205,379,253 171,828,348 45,703,382 178,272,187 1.30 13.1%Landmark Equity Partners XV, L.P. 2013 113,000,000 79,645,521 55,613,577 42,939,151 1.24 11.7%Landmark Equity Partners XV, L.P. - Side Car 2013 37,000,000 29,312,358 19,304,482 23,793,549 1.47 19.9%Crestview Partners III, L.P. 2013 75,000,000 49,056,937 8,944,403 56,904,474 1.34 16.0%Crestview Partners III (Co-Investment B), L.P. 2013 25,000,000 22,913,169 1,253,803 27,020,593 1.23 10.5%Carlyle Partners VI, L.P. - Side Car 2014 13,750,000 9,998,995 581,000 9,653,993 1.02 0.8%Olympus Growth Fund VI, L.P. 2014 100,000,000 82,404,963 33,902,234 76,966,676 1.35 15.0%ASF VI, L.P. 2014 112,000,000 77,055,026 42,457,258 68,058,509 1.43 13.6%ASF VI NYC Co-Invest, L.P. 2014 38,000,000 28,498,395 22,196,044 17,507,599 1.39 12.7%Centerbridge Capital Partners III, L.P. 2015 33,500,000 18,833,408 6,259,361 18,811,372 1.33 13.7%Lexington Capital Partners VIII, L.P. 2014 150,000,000 127,085,216 47,346,361 116,052,671 1.29 20.4%Vista Equity Partners Fund V, L.P. 2014 125,000,000 144,520,387 113,074,795 144,041,716 1.78 22.6%Siris Partners III, L.P. 2015 45,000,000 37,795,946 20,567,834 24,172,037 1.18 10.0%American Securities Partners VII, L.P. 2015 111,000,000 88,715,164 14,066,035 67,289,384 0.92 -6.4%ASF VII, L.P. 2015 134,000,000 43,823,918 7,285,525 49,238,325 1.29 17.0%ASF VII B NYC Co-Invest, L.P. 2015 67,000,000 30,313,768 3,570,953 43,705,810 1.56 40.2%Bridgepoint Europe V, L.P. 2015 88,483,186 77,308,052 10,938,241 84,317,191 1.23 14.0%NYCTRS - 2015 Emerging Manager Program 2015 198,500,000 67,238,728 2,567,410 76,714,127 1.18 18.5%Welsh, Carson, Anderson & Stowe XII, L.P. 2015 110,500,000 78,023,442 15,384,963 108,591,730 1.59 26.4%Bridgepoint Europe V Co-Invest 2015 25,321,238 23,513,229 2,350,623 35,733,067 1.62 34.9%
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 52Performance Overview as of March 31, 2019
Page 362 of 715
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Vista Equity Partners Fund VI, L.P. 2016 223,000,000 240,846,272 58,038,886 258,422,536 1.31 19.5%Apax IX USD, L.P. 2016 178,000,000 80,595,083 1,688,183 109,733,528 1.38 N/MAres Corporate Opportunities Fund V, L.P. 2017 134,000,000 75,302,005 2,306,877 76,064,890 1.04 N/MGreen Equity Investors VII, L.P. 2017 134,000,000 68,184,104 530,624 75,366,832 1.11 N/MBC European Capital X, L.P. 2017 126,447,304 63,013,720 - 62,156,536 0.99 N/MBC European Capital X Metro Co-Investment L.P. 2017 51,107,717 33,426,725 - 34,470,306 1.03 N/MPlatinum Equity Capital Partners IV, L.P. 2016 156,000,000 105,817,800 31,373,045 113,796,226 1.37 N/MCVC Capital Partners VII, L.P. 2018 153,786,460 24,563,857 231,608 30,057,340 1.23 N/MApollo Investment Fund IX, L.P. 2018 256,000,000 23,383,997 2,651 20,116,153 0.86 N/MKKR Americas Fund XII, L.P. 2017 223,000,000 87,617,700 1,470,088 91,385,063 1.06 N/MBridgepoint Europe VI, L.P. 2018 95,918,688 - - (1,179,311) N/A N/AEQT VIII SCSP 2018 87,623,129 12,680,849 1,075,460 11,358,867 0.98 N/MBridgepoint Europe VI Co-Invest 2018 23,979,672 - - - N/A N/ASiris Partners IV, L.P. 2018 71,000,000 10,761,658 - 10,009,720 0.93 N/MCrestview Partners IV (FF), L.P. 2018 19,000,000 - - - N/A N/ACrestview Partners IV, L.P. 2018 57,000,000 - - - N/A N/APlatinum Equity Capital Partners IV, L.P. (Co-Invest) 2018 22,000,000 15,400,000 - 14,372,430 0.93 N/MPlatinum Equity Small Cap Fund, L.P. 2018 32,500,000 2,472,413 - 1,943,808 0.79 N/MEQT VIII SCSP (Co-Invest) 2018 31,879,619 4,832,691 - 5,402,133 1.12 N/MVista Equity Partners Fund VII, L.P. 2018 142,000,000 11,686,845 2,939 11,484,577 0.98 N/MKKR European Fund V, L.P. - USD 2019 89,000,000 - - - N/A N/ALexington Capital Partners IX, L.P. 2019 81,125,000 - - - N/A N/APalladium Equity Partners V, L.P. 2017 26,666,667 4,389,246 - 3,348,032 0.76 N/MASF VIII, L.P. 2019 158,000,000 15,800 - 510,882 32.33 N/MASF VIII B NYC Co-Invest, L.P. 2019 79,000,000 7,900 - 1,978 0.25 N/MWarburg Pincus Global Growth, L.P. 2019 114,000,000 1,349,573 - 1,001,047 0.74 N/MWCAS XIII, L.P. 2019 71,000,000 520,806 - 140,416 0.27 N/M
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 53Performance Overview as of March 31, 2019
Page 363 of 715
Vintage Year Style Sector Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL PRIVATE REAL ESTATE 4,862,169,559 3,676,764,255 2,355,676,510 2,770,532,862 1.39 9.7%
TOTAL PRIVATE REAL ESTATE Colony Realty Partners II 2006 Core Portfolio 15,000,000 18,499,529 6,718,272 - 0.36 -13.3%JP Morgan Strategic Property Fund 2006 Core Portfolio 86,000,000 122,813,744 28,187,542 196,195,861 1.83 7.8%Prologis Targeted US Logistics Fund 2006 Core Portfolio 10,000,000 13,722,783 4,511,257 18,649,751 1.69 5.5%Prudential PRISA 2006 Core Portfolio 36,000,000 38,793,503 14,654,008 51,248,112 1.70 4.9%RREEF America REIT II 2006 Core Portfolio 36,000,000 47,527,452 24,537,166 52,272,481 1.62 5.3%UBS Trumbull Property Fund 2006 Core Portfolio 106,000,000 163,291,529 138,527,606 114,887,154 1.55 6.8%Heitman America Real Estate Trust, L.P. 2007 Core Portfolio 48,000,000 77,331,197 29,331,197 107,211,797 1.77 7.9%JP Morgan Special Situation Property Fund 2007 Core Portfolio 15,000,000 23,906,006 12,673,111 21,870,697 1.44 4.8%Prudential PRISA II 2007 Core Portfolio 63,374,139 67,585,272 21,388,001 95,989,172 1.74 5.9%RREEF America REIT III 2007 Core Portfolio 15,000,000 15,000,000 8,526,095 - 0.57 -7.5%LaSalle Property Fund 2010 Core Portfolio 104,000,000 49,779,374 18,739,275 72,621,873 1.84 10.6%Almanac Realty Securities VI 2012 Core Portfolio 100,000,000 62,200,176 59,066,639 27,127,362 1.39 12.2%Almanac Realty Securities VI (Sidecar III) 2012 Core Portfolio 35,000,000 11,707,370 6,971,053 11,342,174 1.56 17.0%NYC Asset Investor #2 2013 Core Portfolio 145,000,000 141,426,969 42,370,364 188,707,091 1.63 14.3%MetLife Core Property Fund 2014 Core Portfolio 80,000,000 80,000,000 15,273,090 100,859,762 1.45 9.7%Almanac Realty Securities VII 2015 Core Portfolio 65,000,000 49,248,759 12,489,298 50,643,106 1.28 14.2%Almanac Realty Securities VII (Sidecar III) 2015 Core Portfolio 20,000,000 11,059,245 1,363,297 13,635,352 1.36 17.7%USAA Eagle Real Estate Fund 2015 Core Portfolio 98,000,000 94,912,355 7,409,330 107,372,122 1.21 8.6%Artemis Co-Investment1 2016 Core Portfolio 70,000,000 68,271,808 25,084,128 57,448,697 1.21 19.0%Brookfield Premier Real Estate Partners 2016 Core Portfolio 119,000,000 128,659,938 9,659,938 150,843,224 1.25 11.6%Exeter Core Industrial Club Fund II 2016 Core Portfolio 37,000,000 26,029,500 3,120,121 28,397,190 1.21 13.3%Jamestown Premier Property Fund 2016 Core Portfolio 64,961,594 61,658,775 26,830,805 47,154,328 1.20 9.0%Carlyle Property Investors 2017 Core Portfolio 119,000,000 125,709,625 6,709,625 131,726,651 1.10 7.1%Lion Industrial Trust 2017 Core Portfolio 98,000,000 105,503,690 7,503,692 128,362,196 1.29 15.8%Almanac Realty Securities VIII 2018 Core Portfolio 51,000,000 716,349 - 400,332 0.56 NMAlmanac Realty Securities VIII (Sidecar II) 2018 Core Portfolio 34,000,000 555,489 - 570,666 1.03 NMArtemis Income and Growth Fund 2018 Core Portfolio 101,000,000 - - - 0.00 NMHeitman Core Real Estate Debt Income Trust 2018 Core Portfolio 59,000,000 59,387,127 387,127 60,168,817 1.02 NMCanyon-Johnson Urban 2002 Non-Core Portfolio 15,000,000 13,742,215 16,418,450 - 1.19 11.1%OCM Real Estate Opportunities Fund IIIA 2003 Non-Core Portfolio 15,000,000 15,000,000 23,584,386 - 1.57 9.8%Blackstone Real Estate Partners IV L.P. 2004 Non-Core Portfolio 25,000,000 31,994,609 41,692,052 2,830,033 1.39 9.9%The City Investment Fund I 2004 Non-Core Portfolio 120,000,000 118,337,757 119,671,892 207,089 1.01 0.3%Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 Non-Core Portfolio 100,000,000 72,402,952 252,300,326 - 3.48 57.5%Canyon-Johnson Urban II 2005 Non-Core Portfolio 30,000,000 26,966,111 11,923,957 102,317 0.45 -10.5%Apollo Real Estate Investment Fund V 2006 Non-Core Portfolio 5,000,000 5,000,000 3,785,344 1,906,464 1.14 1.6%American Value Partners Fund I 1 2007 Non-Core Portfolio 25,000,000 17,872,806 18,806,245 1,967,508 1.16 3.1%Blackstone Real Estate Partners VI L.P. 2007 Non-Core Portfolio 50,000,000 54,622,277 106,991,105 2,071,058 2.00 13.4%Carlyle Realty Partners V, L.P. 2007 Non-Core Portfolio 15,000,000 18,977,503 22,863,103 4,087,352 1.42 8.6%
Information provided by the New York City Retirement Systems Consultants. Interim returns are subject to change and may differ due to differences in accounting and performance methodologies.
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 54Performance Overview as of March 31, 2019
Page 364 of 715
Vintage Year Style Sector Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR%Metropolitan Workforce Housing Fund 2007 Non-Core Portfolio 10,500,000 10,509,770 12,558,389 192,745 1.21 3.9%Thor Urban Property Fund II 2007 Non-Core Portfolio 12,500,000 17,123,783 17,119,140 4,474,493 1.26 6.8%UrbanAmerica II 2007 Non-Core Portfolio 11,000,000 10,218,031 1,166,806 - 0.11 -24.8%Blackstone Real Estate Partners Europe III - USD 2008 Non-Core Portfolio 50,000,000 42,739,245 68,799,353 4,108,475 1.71 16.1%Capri Urban Investors 2008 Non-Core Portfolio 40,000,000 40,000,000 18,350,614 11,098,921 0.74 -4.3%JPM Urban REN PTY FD 2008 Non-Core Portfolio 16,360,625 4,206,523 4,206,523 - 1.00 0.0%Silverpeak Legacy Partners III 2008 Non-Core Portfolio 30,000,000 12,281,062 3,839,750 1,790,543 0.46 -12.0%Stockbridge Real Estate III 2008 Non-Core Portfolio 22,500,000 22,498,458 14,024,794 12,240,176 1.17 2.3%BlackRock Carbon Capital III Co-Investments 2009 Non-Core Portfolio 40,000,000 43,757,162 53,189,633 - 1.22 8.9%Westbrook Real Estate Fund VIII, L.P. 2009 Non-Core Portfolio 50,000,000 59,596,997 68,952,803 9,965,927 1.32 11.5%Canyon Johnson Urban Fund III 2010 Non-Core Portfolio 25,000,000 24,976,013 33,642,984 29,415 1.35 11.9%Carlyle Realty Partners VI, L.P. 2011 Non-Core Portfolio 70,000,000 75,469,523 106,045,703 9,257,392 1.53 21.1%H/2 Special Opportunities Fund II 2011 Non-Core Portfolio 40,000,000 40,045,335 57,031,777 4,695,260 1.54 14.5%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 125,000,000 130,063,581 132,810,888 76,767,954 1.61 15.8%Taconic New York City Investment Fund 2012 Non-Core Portfolio 70,000,000 29,272,728 46,981,257 4,647,698 1.76 15.9%KTR Industrial Fund III 2013 Non-Core Portfolio 70,000,000 31,827,047 49,651,783 - 1.56 40.5%Lone Star Real Estate Fund III 2013 Non-Core Portfolio 190,000,000 181,714,995 219,505,226 25,271,686 1.35 14.9%NYC Asset Investor #1 2013 Non-Core Portfolio 60,000,000 67,372,455 28,035,910 56,973,366 1.26 6.7%NYC Asset Investor #3 2013 Non-Core Portfolio 96,000,000 60,557,319 10,583,936 66,170,824 1.27 8.6%Carlyle Realty Partners VII, L.P. 2014 Non-Core Portfolio 120,000,000 100,348,477 61,680,779 75,468,161 1.37 14.8%DivcoWest Fund IV 2014 Non-Core Portfolio 25,000,000 24,750,416 35,901,622 5,407,200 1.67 26.3%DRA Growth and Income Fund VIII 2014 Non-Core Portfolio 75,000,000 89,178,450 53,786,618 61,430,343 1.29 12.0%H/2 Special Opportunities Fund III 2014 Non-Core Portfolio 65,000,000 65,000,000 48,650,671 35,691,156 1.30 11.9%Avanath Affordable Housing Fund II 1 2015 Non-Core Portfolio 10,000,000 10,108,439 872,910 14,528,986 1.52 13.0%Tristan European Property Investors Special Opp IV 2015 Non-Core Portfolio 65,506,586 45,982,444 2,851,980 49,863,704 1.15 9.5%DivcoWest Fund V 2016 Non-Core Portfolio 78,000,000 37,727,003 55,991 39,873,613 1.06 4.4%Exeter Industrial Value Fund IV, L.P. 2016 Non-Core Portfolio 34,000,000 18,700,000 - 20,682,891 1.11 11.9%H/2 Special Opportunities Fund IV 2016 Non-Core Portfolio 119,000,000 23,180,743 968,067 23,630,716 1.06 4.6%Pramerica Real Estate Capital VI 2016 Non-Core Portfolio 68,912,816 33,991,777 15,139,898 25,157,123 1.19 17.7%PW Real Estate Fund III 2016 Non-Core Portfolio 65,722,168 37,994,577 4,873,219 46,695,665 1.36 22.4%Westbrook Real Estate Fund X Co-Investment 2016 Non-Core Portfolio 47,000,000 27,721,325 5,377,886 25,832,148 1.13 11.4%Basis Investment Group Real Estate Fund I 2017 Non-Core Portfolio 19,400,000 11,645,984 2,312,046 10,256,803 1.08 14.3%DRA Growth and Income Fund IX 2017 Non-Core Portfolio 56,000,000 33,834,193 9,249,455 30,747,426 1.18 17.7%NYCRS-KKR CMBS Retention Partners 2017 Non-Core Portfolio 159,000,000 125,063,741 10,060,008 125,392,764 1.08 8.6%Aermont Capital Real Estate Fund IV 2018 Non-Core Portfolio 83,051,631 - - - 0.00 NMBrookfield Strategic Real Estate Partners III, L.P. 2018 Non-Core Portfolio 193,000,000 - - - 0.00 NMKKR Real Estate Partners Americas II 2018 Non-Core Portfolio 135,380,000 47,092,866 7,329,199 43,311,497 1.08 NMBlackstone Real Estate Partners IX L.P. 2019 Non-Core Portfolio 184,000,000 - - - 0.00 NM
Information provided by the New York City Retirement Systems Consultants. Interim returns are subject to change and may differ due to differences in accounting and performance methodologies.
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 55Performance Overview as of March 31, 2019
Page 365 of 715
Vintage Year Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL INFRASTRUCTURE 1,508,051,196 842,090,597 193,648,379 868,435,629 1.26 13.2%
TOTAL INFRASTRUCTURE INVESTMENTS Brookfield Infrastructure Fund II, L.P. 2013 140,000,000 111,687,238 31,177,244 135,878,541 1.50 12.6%IFM Global Infrastructure Fund 2014 140,000,000 186,921,633 81,463,179 183,350,925 1.42 12.3%Global Energy & Power Infrastructure Fund II 2014 90,000,000 76,072,593 46,307,135 61,462,589 1.42 34.8%KKR Global Infrastructure Investors II L.P. 2014 100,000,000 95,308,621 11,190,685 104,276,208 1.21 11.1%Global Infrastructure Partners III-A/B, L.P. 2016 139,000,000 105,060,154 6,879,778 109,650,195 1.11 8.4%Brookfield Infrastructure Fund III, L.P. 2016 119,000,000 51,235,785 3,860,070 52,884,396 1.11 8.9%Actis Energy 4 2016 72,600,000 37,911,673 5,591,532 39,504,000 1.19 18.6%EQT Infrastructure III (No.2) SCSp 2017 63,379,644 58,095,320 2,639,560 63,078,731 1.13 19.2%ASF VII Infrastructure L.P. 2017 65,000,000 25,681,715 2,238,593 25,008,630 1.06 28.1%Axium Infrastructure North America 2017 66,030,248 66,502,543 1,870,368 66,477,388 1.03 7.0%NYCRS EIG Energy Partners, L.P. 2017 64,710,000 13,341,907 430,235 13,703,373 1.06 10.6%NYCRS EIG Energy Partners Co-Investment, L.P. 2018 16,180,000 - - - NM NMKKR Global Infrastructure Investors III L.P. 2018 75,000,000 5,196,625 - 4,275,160 NM NMGlobal Energy & Power Infrastructure Fund III, L.P. 2018 75,000,000 - - - NM NMCardinal NR Sidecar Holdings L.P. 2018 9,000,000 9,000,000 - 9,319,105 NM NMEQT Infrastructure IV (No.2) USD SCSp 2019 87,000,000 - - (502,232) NM NMArdian Infrastructure Fund V B 2019 72,951,304 74,789 - 68,621 NM NMGlobal Infrastructure Partners IV-A/B, L.P. 2019 113,200,000 - - - NM NM
Information provided by the New York City Teachers’ Retirement System Consultants
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 56Performance Overview as of March 31, 2019
Page 366 of 715
Vintage YearCommitment - Closing (Base)
Contributions Cumulative (Local)
Distributions Cumulative Final Market Value
3 Month Base%
Inception IRR%
TOTAL OPPORTUNISTIC FIXED INCOME 2,709,137,707 2,762,150,194 1,287,930,890 2,164,340,790 1.72% 7.11%Avenue Special Situations Fund V, L.P. 2007 25,261,658 25,650,392 33,533,622 - NMAvenue Europe Special Sit. Fund, L.P. 2008 20,876,049 18,559,393 35,192,684 - NMPIMCO DiSCO Fund, L.P. 2008 150,000,000 150,427,750 204,457,599 - 11.23%Torchlight Debt Opportunity Fund III, LLC 2009 50,000,000 53,306,159 79,307,054 - 13.36%Avenue Special Situations Fund VI (A), L.P. 2011 70,000,000 71,766,544 71,272,284 4,899,123 0.00% 1.39%GoldenTree Managed Account 2011 140,000,000 131,253,192 - 209,891,157 2.21% 7.04%Marathon Centre Street Partnership, L.P. 2011 218,750,000 320,250,000 110,250,000 307,050,088 1.49% 6.27%AG Centre Street Partnership, L.P. - CC Asset Class 2012 180,000,000 163,800,000 47,626,130 159,971,489 0.07% 5.03%Apollo Centre Street Partnership,L.P. 2012 268,750,000 388,899,876 201,671,748 245,859,856 2.97% 4.97%FCO MA Centre Street L.P. 2012 140,000,000 264,262,523 155,042,754 167,520,156 0.00% 8.47%OHA Centre Street Partnership, L.P. 2012 175,000,000 244,955,346 69,955,346 259,082,446 2.45% 8.02%Contrarian Centre Street Partnership, L.P. - Asset Class 2013 90,000,000 90,000,000 - 94,749,489 -0.08% 1.20%Lone Star Fund VIII (U.S.), L.P. 2013 130,000,000 127,970,674 120,412,004 38,925,073 0.00% 12.72%Oaktree Opportunities Fund IX, L.P. 2013 100,000,000 100,000,000 42,895,430 76,749,760 4.49% 4.00%Ares Centre Street Partnership, L.P. 2014 140,000,000 128,117,072 - 183,293,091 1.59% 9.81%Brightwood Capital Fund III, L.P. 2015 35,000,000 28,403,806 11,424,729 22,669,413 -2.13% 5.66%Torchlight Debt Opportunity Fund V, LP 2015 67,000,000 53,600,000 6,909,717 59,277,282 0.76% 11.78%Brightwood Capital Fund IV, LP 2016 87,500,000 61,250,000 4,691,135 61,991,521 0.00% 9.65%ICG Centre Street Partnership, L.P. 2017 120,000,000 110,653,297 63,566,158 54,512,443 0.00% 7.95%KKR OFI SMA 2017 294,000,000 150,390,684 27,988,214 138,789,371 5.19% 16.06%Maranon Centre Street Partnership, L.P. 2018 112,000,000 54,874,767 1,734,282 55,350,315 2.09% 7.19%Torchlight Debt Opportunity Fund VI, LP 2019 95,000,000 23,758,719 - 23,758,719 0.00%
Information provided by Alpha FrontierAbove data is not final and subject to change
Alternative Assets Manager Performance Detail
Through June 30, 2019
Teachers' Retirement System of New York City 57Performance Overview as of June 30, 2019
Page 367 of 715
Teachers' Retirement Systemof New York City
Appendix DFootnotes
Teachers' Retirement System of New York City 58Performance Overview as of June 30, 2019
Page 368 of 715
•The Barclays Capital Aggregate (then known as the Lehman Brothers Aggregate) was used prior to 1/1/89. Effective 1/1/89, in the Government
Sector, maturities of less than 5 years were dropped from the Salomon and Lehman indices. From that date until 7/1/99 the benchmark was the
NYC Core + 5, from Lehman.
•Effective 7/1/94, the NYC Core + 5 Index includes BBB rated securities.
•Effective 7/1/99, the basis of the NYC Index was changed from Lehman Brothers to Salomon. Also effective 7/1/99, only Salomon indices have
been used to compare all fixed income managers.
•Effective 4/1/03, the name of the benchmark provider was changed from Salomon to Citigroup.
•Effective 7/1/09, the Core+5 program was restructured.
•The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the Citigroup Core+5
Treasury/Agency Index.
•The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for the new combined sector
is the customized Citigroup Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector
Index.
•There were no changes to the Mortgage sector Index.
•The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to include the old Corporate
and Yankee sector returns.
Footnotes
Through June 30, 2019
Teachers' Retirement System of New York City 59Performance Overview as of June 30, 2019
Page 369 of 715
General Notes • Estimated management fees for public market investments are calculated on an accrual basis without adjustment for management fee
caps. Alternative investment fees are recorded on a cash basis. Since not all alternative managers currently provide detailed fee
disclosure, the alternative investment fees noted here are not comprehensive.
• Public Market returns are Net of Manager Fees for periods after January 2014 and Gross of investment advisory fees for other periods
unless otherwise indicated.
• Public market excess returns for periods prior to 2014 are based on Gross performance.
Page Specific Pages 8 - 13 - Portfolio Asset Allocation
• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset
Classes is necessary.
Pages 14 - 16 - Performance Attribution: Total Plan
• Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted
Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)
• Allocation Effect = Total Plan Return minus Plan Return At Adjusted Policy Weights. Allocation is the Contribution to Performance
resulting from an overweight or underweight to an asset class. E.g. an underweight to an Asset Class that under-performs results in a
positive Allocation Effect and vice versa.
• Selection Effect = Equal to the Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy Weights. This
illustrates how the Managers have added or removed value based on their Security Selection decisions, e.g., If the manager’s Actual
Returns are higher than the Implied Return there will be a positive Selection Effect.
• Policy Index = Custom Benchmark
The “policy index” is a custom benchmark representing the weighted average return of the weighted benchmark indexes for each major
investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs,
such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs
and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each
month.
Glossary of Terms
Through June 30, 2019
Teachers' Retirement System of New York City 60Performance Overview as of June 30, 201909/06/2019 02:13:08 PM
Page 370 of 715
The indexes and most recent policy weights are as follows:
U.S. Equity: Russell 3000 * 31.45%
International Developed (EAFE) Markets: MSCI World ex USA IMI Net * 11.41%
Int'l Active- Global: MSCI World Net Dividends Index* 0.35%
Emerging Markets: MSCI Custom TRS Emerging Markets (Net)* 8.93%
International Emerging Managers FoF: NYC Blended Custom Benchmark for FoF * 0.70%
REITs: Dow Jones Real Estate Securities * 0.00%
Private Equity: Russell 3000 + 300 b.p. per annum * 6.00%
Private Real Estate – Core: NFI - ODCE Net * 2.68%
Private Real Estate – Non Core: NFI - ODCE Net + 200bps * 1.42%
Infrastructure: CPI + 4% * 1.27%
US Treasury Short Term: FTSE USBIG Treasury 1-3Y * 0.00%
US Treasury Intermediate: FTSE Treasury/Agency 1-10 Y * 0.00%
Total Active Government: NYC Treasury Agency + 5 * 0.00%
US Treasury Long Duration: FTSE Treasury 10+ * 10.72%
Core FI-Developing Managers: BBG Barc Agg * 0.00%
Core FI-Emerging Managers: BBG Barc Agg * 0.00%
Mortgage: FTSE Mortgage Index * 4.05%
ETI: ETI Custom Benchmark * 0.89%
Investment Grade Credit: NYC – Investment Grade Credit * 4.94%
Glossary of Terms
Through June 30, 2019
Teachers' Retirement System of New York City 61Performance Overview as of June 30, 201909/06/2019 02:13:08 PM
Page 371 of 715
High Yield: Bloomberg Barclays US High Yield 2% Issuer Capped * 5.98%
Bank Loans: Credit Suisse Leveraged Loan * 2.00%
TIPS: BBG BARC Gbl Inf-Lk: US TIPS (Dly) * 4.18%
Convertible Bonds: BofAML All Convertibles Ex Mandatory * 0.00%
Opportunistic Fixed: OFI - JPMGHY / CSFB 50/50 Blend Plus 300 b.p. per annum * 3.04%
Page 17 – Allocation and Selection Effects - Asset Class Breakdown • This chart aims to break down the Allocation and Selection Effects shown on the Performance Attribution pages. The aim of the Page is
to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point
effect that this is having on Plan performance.
Glossary of Terms
Through June 30, 2019
Teachers' Retirement System of New York City 62Performance Overview as of June 30, 201909/06/2019 02:13:08 PM
Page 372 of 715
ETI Quarterly Report (Public):
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars UnitsCommitments Q2(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $1.70 90 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 1.45 333 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $0.00 0 $0.00 0 $3.15 423 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Delivered Q2(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $5.14 393 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 2.11 41 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $2.11 41 $0.00 0 $5.14 393 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Total CommitmentsBronx $0.00 0 $3.25 157 $0.00 0 $39.03 1,386 $1.57 61 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $1.09 101 $0.00 0Brooklyn 1.71 212 6.02 179 0.00 0 15.48 1,152 1.11 95 0.00 0 0.00 0 2.49 130 2.39 156 2.11 359 0.00 0Manhattan 0.00 0 0.00 0 0.46 39 13.89 435 2.76 174 0.00 0 0.00 0 3.88 103 4.31 155 2.04 83 0.00 0Queens 0.00 0 0.00 0 0.00 0 6.64 389 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 4.59 254 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $1.71 212 $9.27 336 $0.46 39 $79.62 3,616 $5.44 330 $0.00 0 $0.00 0 $6.37 233 $6.70 311 $5.25 543 $0.00 0Historical InvestmentsBronx $1.75 60 $10.83 645 $0.00 0 $71.43 5,060 $1.54 117 $0.00 0 $0.00 0 $1.13 90 $1.09 48 $0.00 0 $0.00 0Brooklyn 1.86 54 4.55 302 0.00 0 92.03 4,005 5.46 401 0.00 0 0.33 7 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 2.24 100 3.24 283 2.66 197 52.15 3,552 6.92 407 1.59 123 0.25 15 0.95 100 0.00 0 0.00 0 0.00 0Queens 5.62 293 0.66 54 0.00 0 22.37 925 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.23 8 0.00 0 0.00 0 0.00 0 0.36 67 0.00 0 0.00 0 0.00 0Outside of NYC 0.60 39 2.11 41 0.00 0 14.09 461 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $12.06 546 $21.38 1,325 $2.66 197 $252.29 14,011 $13.92 925 $1.59 123 $0.58 22 $2.43 257 $1.09 48 $0.00 0 $0.00 0*Lenders :
1 Dollar amount listed in millionsImpact Housing Service EnterpriseAmerica Development Savings Bank Preservation Corp Investment Fund Support Corp
$1.56 $0.32 $2.72 $1.23 $0.00
NCB Capital Neighborhood Wells Fargo Local Initiatives BellwetherBank of Citi Community Carver Federal The Community Low Income
$8.76 $22.57 $2.11 $152.20 $13.36
Public/Private Apartment Rehabilitation Program (PPAR)
$30.00 $40.00 $9.00 $250.00 $25.00 $12.00 $3.00 $20.00 $10.00 $10.00BOA CCD CFSB CPC LIIF NCBCI NHS WF LISC BE
NYC HDC
HDC$10.00$0.00
Page 374 of 715
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars UnitsCommitments Q2(included in total)Bronx $1.70 90Brooklyn 1.45 333Manhattan 0.00 0Queens 0.00 0Staten Island 0.00 0Outside of NYC 0.00 0
Total $3.15 423Delivered Q2(included in total)Bronx $5.14 393Brooklyn 0.00 0Manhattan 0.00 0Queens 0.00 0Staten Island 0.00 0Outside of NYC 2.11 41
Total $7.25 434Total CommitmentsBronx $44.94 1,705Brooklyn 31.30 2,283Manhattan 27.35 989Queens 6.64 389Staten Island 0.00 0Outside of NYC 4.59 254
Total $114.81 5,620Historical InvestmentsBronx $87.76 6,020Brooklyn 104.22 4,769Manhattan 70.00 4,777Queens 28.65 1,272Staten Island 0.59 75Outside of NYC 16.79 541
Total $308.00 17,454
1 Dollar amount listed in millions
All Lender Totals$419.00$204.84
Public/Private Apartment Rehabilitation Program (PPAR)
Bronx$87.76 (29%) 6,020 Units
Brooklyn$104.22 (34%)
4,769 Units
Manhattan$70.00 (23%) 4,777 Units
Queens$28.65 (9%) 1,272 Units
Staten Island$0.59 (0%)
75 Units
Outside of NYC$16.79 (6%)
541 Units
Historical Investments Since Inception AII PPAR Lenders
Bronx$44.94 (39%) 1,705 Units
Brooklyn$31.30 (27%) 2,283 Units
Manhattan$27.35 (24%)
989 Units
Queens$6.64 (6%) 389 Units
Staten Island$0.00 (0%)
0 Units
Outside of NYC$4.59 (4%) 254 Units
Current Commitments AII PPAR Lenders
Page 375 of 715
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)Market Value $302.18 million¹
NYC Community Investment Initiative (NYCCII)
Borough Investments Units2 Investments Units2 Investments Units2
Bronx $27,600,000 2,010 $52,827,900 761 $80,427,900 2,771Brooklyn 49,501,800 3,230 103,890,446 5,616 153,392,246 8,846Manhattan 172,021,700 6,908 174,075,200 813 346,096,900 7,721Queens 0 0 17,760,000 1,149 17,760,000 1,149Staten Island 0 0 6,414,554 693 6,414,554 693Outside NYC 0 0 100,000,000 137 100,000,000 137Total $249,123,500 12,148 $454,968,100 9,169 $704,091,600 21,317
HIT Home Mortgage Program
Borough $ Amount Loans $ Amount Loans $ Amount LoansBronx $32,544,168 41 $218,082,108 296 $250,626,276 337Brooklyn 116,575,736 138 864,892,271 1,115 981,468,007 1,253Manhattan 10,742,253 12 214,244,680 265 224,986,933 277Queens 82,399,317 64 894,399,418 973 976,798,735 1,037Staten Island 106,039,089 191 359,980,460 439 466,019,549 630Total $348,300,563 446 $2,551,598,937 3,088 $2,899,899,500 3,534
TEACHERS Loans Phase I: 133 Phase II: 2,022 Total: 2,155
1Interest is reinvested2Low/Moderate Income Units
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
Bronx$80,427,900
11%2,771 Units
Brooklyn$153,392,246
22%8,846 Units
Manhattan$346,096,900
49%7,721 Units
Queens$17,760,000
3%1,149 Units
Staten Island$6,414,554
1%693 Units
Outside NYC$100,000,000
14%137 Units
NYCCII Multifamily Program
Bronx$250,626,276
9%337 Loans
Brooklyn$981,468,007
34%1,253 Loans
Manhattan$224,986,933
8%277 Loans
Queens$976,798,735
34%1,037 Loans
Staten Island$466,019,549
16%630 Loans
Home Mortgage Program
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Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)NYC Workforce Housing Initiative: 2009 - 2015
Investments LMI UnitsBorough Since Inception Since InceptionBronx $5,000,000 776Brooklyn 16,051,087 710Manhattan 214,252,488 4,627Queens 58,293,425 3,226Staten Island 0 0Total $293,597,000 9,339
Bronx$5,000,000
2%776 Units
Brooklyn$16,051,087
5%710 Units
Manhattan$214,252,488
73%4,627 Units
Queens$58,293,425
20%3,226 UnitsStaten Island
$00%
0 Units
HIT Workforce Housing Initiative
Page 377 of 715
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
AFL-CIO Housing Investment Trust (HIT)HIT Housing Investment Strategy: 2015 - Q2 2019
Investments LMI UnitsBorough Q2 Investments Since Inception Q2 LMI Units Since InceptionBronx $52,000,000 $87,980,000 152 646Brooklyn 0 38,300,000 0 144Manhattan 0 211,058,000 0 3,140Queens 0 5,000,000 0 306Staten Island 0 0 0 0Outside NYC 0 18,300,000 0 32Total $52,000,000 $360,638,000 152 4,268
Bronx$87,980,000
24%646 Units
Brooklyn$38,300,000
11%144 Units
Manhattan$211,058,000
59%3,140 Units
Queens$5,000,000
1%306 Units
Staten Island$00%
0 Units
Outside NYC$18,300,000
5%32 Units
HIT Housing Investment Strategy
Page 378 of 715
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
RBC ACCESS CAPITAL STRATEGIES (Since Inception 2/1/07)
$157.5 million Allocated (35% of total account)Market Value $146.25 million
Multifamily Investments DetailQ2 Total Q2 Total
Bronx $0 $27,901,610 0 19,227Brooklyn 0 10,152,179 0 8,959Manhattan 0 26,345,347 0 6,357Queens 0 6,611,500 0 902Staten Island 0 1,950,260 0 75Total TEACHERS Multifamily Investments $0 $72,960,896 0 35,520
Multifamily Total All Systems $0 $208,459,702 0 35,520
Single Family Investments DetailQ2 Total Q2 Total
Bronx $143,875 $19,775,120 1 276Brooklyn 199,232 51,061,793 2 641Manhattan 0 4,696,178 0 56Queens 0 78,402,945 0 899Staten Island 93,314 48,044,371 1 560Total TEACHERS Single Family Investments $436,420 $201,980,406 4 2,432
Single Family Total All Systems $1,246,914 $577,086,874 4 2,432
Other Investments DetailQ2 Total Q2 Total
Bronx $0 $236,250 0 1Brooklyn 0 1,886,641 0 8Manhattan 0 851,517 0 5Queens 0 190,201 0 3Staten Island 0 0 0 0Total TEACHERS Other Investments $0 $3,164,609 0 17
Other Investments Total All Systems $0 $9,041,740 0 17
Grand Total TEACHERS $436,420 $278,105,911
Grand Total All Systems $1,246,914 $794,588,316
1 Certain bond investment amounts are allocated pro rata across boroughs based upon unit count.2 If not indicated otherwise, superintendent units are allocated based on building size.
$ Invested1 Units2
$ Invested Units
$ Invested Loans
Bronx$27,901,610
38%19,227 Units
Brooklyn$10,152,179
14%8,959 Units
Manhattan$26,345,347
36%6,357 Units
Queens$6,611,500
9%902 Units
Staten Island$1,950,260
3%75 Units
RBC Access Multifamily Investments Since Inception TEACHERS
Bronx$19,775,120
10%276 Units
Brooklyn$51,061,793
25%641 UnitsManhattan
$4,696,1782%
56 Units
Queens$78,402,945
39%899 Units
Staten Island$48,044,371
24%560 Units
RBC Access Single Family Investments Since Inception TEACHERS
Page 379 of 715
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 6/30/2019
Equity InvestmentsTotal Market Value $288.39 million
Borough
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Gross Capital
InvestedTotal Units
Workforce Units Comm. SF
Bronx $0.00 0 0 0 $198.87 3,599 3,356 19,635 $72.21 5 2 223,853Brooklyn 125.49 666 666 100,900 65.84 372 212 10,400 48.36 126 61 94,703Manhattan 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Queens 0.00 0 0 0 24.22 159 151 0 41.91 0 0 143,806Staten Island 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Outside NYC 0.00 0 0 0 0.00 0 0 0 0.00 0 0 0Totals $125.49 666 666 100,900 $288.93 4,130 3,719 30,035 $162.48 131 63 462,362
*All information is derived from quarterly reports submitted by individual managers. Performance has not been reviewed by consultants or custodial bank.
**Dollar amount listed in millions
Hudson Related Vanbarton (Emmes)Market Value $66.29 million Market Value $169.21 million Market Value $52.90 million
Brooklyn$125.49100%
666 Units100,900 SF
HudsonBronx
$198.8769%
3599 Units19,635 SF
Brooklyn$65.8423%
372 Units10,400 SF
Queens$24.22
8%159 Units
0 SF
RelatedBronx$72.2144%
5 Units223,853 SF
Brooklyn$48.3630%
126 Units94,703 SF
Queens$41.9126%
0 Units143,806 SF
Vanbarton(Emmes)
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Private Equity Quarterly Report (Public):
Teachers’ Retirement System of the City of New York – Public Material First Quarter 2019 Report
Page 382 of 715
Teachers’ Retirement System of the City of New York First Quarter 2019 Report
Proprietary and Confidential | Page 1
Content
Section 1 – Portfolio Update
Section 2 – Portfolio Assessment
Appendix A – Glossary of Terms
Appendix B – Disclosure Statements
Page 383 of 715
Teachers’ Retirement System of the City of New York First Quarter 2019 Report
Section 1: Portfolio Update
Page 384 of 715
Teachers’ Retirement System of the City of New York | 3.31.2019 www.hamiltonlane.com Proprietary and Confidential | 2
Portfolio Snapshot
Hamilton Lane was engaged by the Teachers’ Retirement System of the City of New York (“TRS”) in October 2010 to provide alternative investment consulting services in accordance with the investment objectives of the TRS Private Equity portfolio (the “Portfolio”). This report represents the review by Hamilton Lane of TRS’s Portfolio and is based upon information made available to Hamilton Lane by the general partners sponsoring each of the partnership investments in the Portfolio as of March 31, 2019, with highlights through June 30, 2019.
Private Equity Allocation: TRS has a target allocation of 6.0% +/- 3.0% to Private Equity. As of March 31, 2019, Private Equity constituted 5.7% of TRS plan. (Plan value is $74.806 billion as of March 31, 2019.)
Performance: As of March 31 2019, the Portfolio consists of 175 partnerships and 91 underlying fund managers. The Portfolio has generated a since inception internal rate of return (“IRR”) of 10.21% and a total value multiple of 1.42x.
Portfolio Exposures: The Corporate Finance/Buyout strategy represents 63% of the Portfolio’s total exposure, Secondaries represents 11%, Special Situations/Turnaround represent 9%, Growth Equity accounts for 7%, Co-Investment represents 6%, Venture Capital represents 3%, and Energy represents the remaining 1%. The Portfolio has significant exposure to North America, with 71% of the underlying company market value based in the region.
$ millions 12/31/2018 3/31/2019 ChangeActive Partnerships 174 175 1Active GP Relationships 92 91 (1)Capital Committed(1) $8,483.5 $8,810.7 $327.2Liquidated Commitments $387.3 $432.3 $45.0Commitments Sold $288.5 $288.5 -Unfunded Commitment $2,893.7 $3,038.4 $144.7Capital Contributed $7,042.6 $7,255.5 $212.9Capital Distributed $5,904.8 $6,070.0 $165.2Market Value $4,033.0 $4,260.7 $227.7Total Value Multiple 1.41x 1.42x 0.01xSince Inception IRR 10.04% 10.21% 17 bpsAvg. Age of Active Commitments 6.6 years 6.1 years (0.5 years)
(1) The "change" in capital committed and active commitments from the prior quarter reflects currency adjustments from existing foreign denominated funds and three commitments made during the quarter.
Portfolio Snapshot
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Portfolio Overview
Commitments
The table below highlights the funds that have closed year-to-date as of March 31, 2019.
During the first quarter, the Portfolio closed on three new investments, totaling $351.0 million, which are detailed below:
Warburg Pincus Global Growth, L.P. ($114.0 million) The fund will invest globally across the General Partner's industries of focus: industrial & business services, healthcare & consumer, natural resources, financial services and TMT, allowing for the development of top-down and bottom-up thesis generation. In addition to investing globally across a diversified group of sectors, Warburg maintains the ability to invest across venture, growth and buyout opportunities.
ASF VIII B NYC Co-Invest, L.P. ($79.0 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
ASF VIII, L.P. ($158.0 million) The fund will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
1/16/2019 Warburg Pincus Global Growth, L.P. Growth Equity $114.03/1/2019 ASF VIII B NYC Co-Invest, L.P. Co-Investment $79.03/1/2019 ASF VIII, L.P. Secondaries $158.0
Total $351.0
EUR to USD Exchange rate used was 1.1219. GBP to USD Exchange rate used was 1.3032.
Year to Date Commitments as of March 31, 2019
Commitment Amount($ in Millions)
Partnership StrategyClosing Date
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Subsequent Closings
Lindsay Goldberg V, L.P. ($79.0 million) The fund will pursue founder- and family-owned companies that require long-term capital for institutionalization and growth. The General Partner primarily targets control positions in North America and Europe while working alongside founders to implement value creation initiatives and build sustainable businesses.
LCP IX Co-invest Partners B, L.P. ($28.4 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions within the United States and Europe, focusing on quality partnership interests managed by high quality sponsors operating across its target strategies: buyout, venture capital and growth equity. Platinum Equity Capital Partners V, L.P. ($142.0 million) The fund will target larger, healthier businesses, primarily located in North America and Western Europe. The General Partner will continue to pursue complex transactions where the General Partner has significant experience in driving successful outcomes. Apax X, L.P. ($95.0 million) The fund will invest across four target sectors, primarily in Europe and North American, with smaller exposure to emerging markets. The flexibility of the global mandate allows the General Partner to pursue sector trends without geographic constraint. Trilantic Capital Partners VI (North America), L.P. ($46.0 million) The fund will remain focused in North American companies within the industries of business services, consumer, and energy. The General Partners offers creative structuring solutions in order to maintain alignment and involvement with active founds, while positioning the company for further growth. Blackstone Capital Partners VIII, L.P. ($99.0 million) The fund aims to construct a diversified portfolio of investments across core sectors with broad geographic exposure. The General Partner seeks to pursue unique opportunities, such as public-to-privates and corporate carve-outs, where the fund may stand to benefit from favorable entry pricing dynamics.
4/26/2019 Lindsay Goldberg V, L.P. Corporate Finance/Buyout - Large $79.05/13/2019 LCP IX Co-invest Partners B, L.P. Co-Investment $28.47/1/2019 Platinum Equity Capital Partners V, L.P. Corporate Finance/Buyout - Mega $142.07/16/2019 Apax X, L.P. Corporate Finance/Buyout - Mega $95.07/19/2019 Trilantic Capital Partners VI (North America), L.P. Corporate Finance/Buyout - Mid $46.08/1/2019 Blackstone Capital Partners VIII, L.P. Corporate Finance/Buyout - Mega $99.0
Total $489.4
Subsequent Commitments After March 31, 2019
Closing Date Partnership StrategyCommitment Amount
($ in Millions)
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Portfolio Performance Summary
The chart below is a graphical depiction of the IRR performance of the Portfolio with respect to 3-Month, 6-Month, 1-Year, 3-Year, 5-Year, and Since Inception time periods. The Portfolio is benchmarked against the ThomsonOne/ Cambridge Pooled IRR, ThomsonOne/Cambridge Upper Quartile IRR and the Russell 3000 Public Market Equivalent (“PME+”) plus 300 basis points.
Note: Private Equity benchmark is provided by ThomsonOne/Cambridge and reflects U.S. Buyout Funds Pooled IRR and Upper Quartile IRR as of March 31, 2019, for funds with vintage years 1999 to 2019. PME+ is the Russell 3000 Total Return Index and incorporates the PME + methodology. This calculation includes a 3% premium.
As private equity is a long term asset class, the most significant time horizon is the since inception time period. Performance on a since inception basis for the first quarter of 2019 increased 17 basis points from the prior quarter, with the Portfolio generating an IRR of 10.21%.
o Relative to the benchmarks, the since inception IRR is underperforming the ThomsonOne/ Cambridge Pooled IRR by 417 basis points, the ThomsonOne/Cambridge Upper Quartile IRR by 1,161 basis points, and Russell 3000 PME+ plus 300 basis points by 297 basis points.
Performance on a one-year basis for the first quarter of 2019 increased 170 basis points from the prior quarter, with the Portfolio generating an IRR of 12.73% as of March 31, 2019.
o Relative to the benchmarks, the one-year IRR is underperforming the ThomsonOne/Cambridge Pooled IRR by 196 basis points and the ThomsonOne/Cambridge Upper Quartile IRR by 969, but is outperforming the Russell 3000 PME+ plus 300 basis points by 98 basis points.
4.42%
3.29%
12.73%
14.33%
11.37%
10.21%
6.22%
4.43%
14.69%
17.17%
15.07%
14.38%
5.49%
8.32%
22.42%
22.65%
22.05%
21.82%
17.02%
0.99%
11.75%
16.30%
13.28%
13.18%
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
3 Month
6 Month
1 Year IRR
3 Year IRR
5 Year IRR
Since Inception IRR
IRR Performancevs. Benchmarks
as of March 31, 2019
IRR Thomson One/Cambridge Pooled IRR
Thomson One/Cambridge Upper Quartile IRR Russell 3000 PME+ plus 300bps
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Quarterly Value Analysis
The table below details quarterly performance of the Portfolio for the year ending March 31, 2019.
Over the past twelve months, the Portfolio has experienced a total of $481.9 million in net value appreciation.
o The since inception IRR of 10.21% represents an increase of 17 basis points when compared to the since inception IRR from the prior quarter.
o The $180.0 million of net value gain during the first quarter of 2019 was largely driven by the sales of Apptio, Inc. and Mindbody, Inc., which are both held by Vista Equity Partners Fund VI, L.P., with Vista Equity Partners Fund VII, L.P. also holding Mindbody, Inc.
Year Ended6/30/2018 9/30/2018 12/31/2018 3/31/2019 3/31/2019
Beginning Market Value $3,838.1 $4,004.0 $4,130.0 $4,033.0 $3,838.1Paid-In Capital 139.1 189.4 231.2 212.9 772.6Distributions (161.5) (221.9) (283.3) (165.2) (831.9)
Net Value Change 188.3 158.5 (44.9) 180.0 481.9Ending Market Value $4,004.0 $4,130.0 $4,033.0 $4,260.7 $4,260.7Unfunded Commitments $2,754.9 $2,853.3 $2,893.7 $3,038.4 $3,038.4Total Exposure $6,758.9 $6,983.3 $6,926.7 $7,299.1 $7,299.1Point-to-Point IRR 4.93% 3.98% (1.10%) 4.42% 12.73%Since Inception IRR 10.22% 10.35% 10.04% 10.21% 10.21%
$ millions
Portfolio Summary
Quarter Ended
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Performance by Strategy The table below details IRR performance of the Portfolio with respect to Investment Strategy. The Portfolio is benchmarked against the ThomsonOne/Cambridge Median Quartile IRR, and the ThomsonOne/Cambridge Upper Quartile IRR.
Corporate Finance/Buyout $5,392,252,262 11.25% 13.22% 19.89%Corporate Finance/Buyout - Mega 2,198,388,841 12.03% 13.08% 18.76%Corporate Finance/Buyout - Large 1,552,235,878 16.26% 13.78% 18.65%Corporate Finance/Buyout - Mid 901,203,806 9.78% 10.91% 18.15%Corporate Finance/Buyout - Small 740,423,737 7.96% 13.56% 21.71%
Co-Invest(2)459,467,289 9.30% 9.60% 16.28%
Energy 217,500,000 (2.03%) 4.69% 12.57%Growth Equity 524,371,863 10.90% 15.82% 23.18%
Secondaries 1,003,125,000 12.84% 13.00% 18.36%
Special Situations 744,000,000 18.77% 12.29% 20.52%Other(2)
470,000,000 4.09% 9.60% 16.28%Venture Capital 420,000,000 3.56% 4.11% 11.39%
Mezzanine(2)50,000,000 12.89% 9.60% 16.28%
(1)Commitments in the above table do not include liquidated/sold investments.(2)Co-Invest and Mezzanine benchmarks reflect the ThomsonOne/Cambridge Global All Private Equity benchmark.
Performance by Investment Strategy
Investment StrategyCapital
Committed(1) IRRThomsonOne/
Cambridge
Median IRR (2)
ThomsonOne/Cambridge
Upper IRR (2)
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Vintage Year Performance The table below details IRR performance of the Portfolio with respect to Vintage Year. The Portfolio is benchmarked against the ThomsonOne/Cambridge Median Quartile IRR, ThomsonOne/Cambridge Upper Quartile IRR, and the Russell 3000 Public Market Equivalent (“PME+”).
1999 $65,000,000 7.49% 10.14% 14.16% 6.34% 1.16%2000 35,000,000 5.72% 18.18% 24.37% 5.54% 0.18%2001 50,000,000 18.81% 20.68% 27.29% 7.64% 11.17%2002 35,000,000 15.22% 17.57% 23.03% 6.91% 8.31%2003 85,000,000 19.72% 13.15% 17.64% 6.59% 13.14%2004 209,000,000 2.95% 11.79% 15.96% 7.72% (4.76%)2005 204,225,800 5.29% 8.04% 13.41% 6.96% (1.68%)2006 557,922,851 7.86% 9.98% 15.48% 8.85% (0.99%)2007 506,322,328 6.49% 13.63% 16.12% 11.55% (5.06%)2008 703,909,740 11.75% 13.81% 19.73% 13.46% (1.71%)2009 42,500,000 10.54% 24.60% 26.89% 14.69% (4.15%)2010 45,000,000 10.71% 16.65% 18.62% 12.61% (1.90%)2011 572,317,762 16.40% 17.46% 22.31% 13.33% 3.07%2012 589,750,000 16.87% 17.96% 35.16% 12.03% 4.84%2013 659,600,000 12.51% 15.74% 21.20% 11.26% 1.26%2014 799,829,253 16.42% 16.58% 21.16% 11.20% 5.23%2015 642,804,425 16.86% 11.79% 22.61% 11.57% 5.28%2016 557,000,000 23.37% 7.78% 19.01% 11.27% 12.10%2017 777,221,688 N/M N/M N/M N/M N/M2018 1,081,187,568 N/M N/M N/M N/M N/M2019 592,125,000 N/M N/M N/M N/M N/M
PME Spread(4)
Performance by Vintage Year
ThomsonOne/Cambridge
Median IRR (2)Capital Committed(1) IRR
ThomsonOne/Cambridge
Upper IRR (2)PME Return(3)Vintage Year
(1) Commitments in the above table do not include liquidated/so ld investments.
(2) ThompsonOne/Cambridge Benchmark - US Buyouts as o f 3/31/2019
(3) PM E Return is the Russell 3000 Total Return Index and incorporates the PM E+ methodology.
(4) PM E Spread is the percentage difference between the IRR and PM E Benchmark for each respective vintage year.
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Performance by Geographic Focus
The table below details IRR performance of the Portfolio with respect to Geographic Focus.
North America $5,737,938,067 $5,264,923,834 $4,681,869,252 $3,014,971,111 10.74% 1.46xWestern Europe 1,220,242,008 725,769,318 373,790,984 529,097,621 7.03% 1.24xGlobal/Rest of World 1,852,536,339 1,264,835,469 1,014,306,806 716,596,808 9.17% 1.37x
Total $8,810,716,414 $7,255,528,621 $6,069,967,042 $4,260,665,540 10.21% 1.42x
Paid-In Capital Capital DistributedReported Market
ValueIRR
Total Value Multiple
Performance Summary by Region(1)(2)
Capital CommittedRegion
Note: Commitments in the above table do not include liquidated/so ld investments.
(1)Prior to a partnership being 75% drawn, region focus is based on the GP-stated geographic strategy. Subsequent to a partnership being 75% drawn, fund geographic focus is based on actual portfo lio company exposure by to tal invested. Partnerships with less than 75% of to tal invested capital allocated to one geographic region are classified as Global.
(2)Fund Geographic Focus is based on a number of factors, including the GP-stated geographic focus, the number of investments within each region, invested capital by region, the location of the firm’s offices and investment pro fessionals, and the underlying fund currency.
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Cash Flow Drivers
The chart below highlights the cash flows of the Portfolio over the past five quarters ended June 30, 2019.
$139.1$189.4
$231.2
$212.9
$145.7
($161.5)
($221.9)
($283.3)
($165.2)
($223.4)
($400.0)
($300.0)
($200.0)
($100.0)
-
$100.0
$200.0
$300.0
Second Quarter 2018 Third Quarter 2018 Fourth Quarter 2018 First Quarter 2019 Second Quarter 2019
$ m
illio
ns
Paid-In Capital Capital Distributed
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Portfolio Exposures
The pie charts below represent the strategic and geographic diversification of the Portfolio as of March 31, 2019. Strategy is measured by total exposure, which is the sum of the market value and the unfunded commitments and provides a snapshot of the Portfolio’s future diversification. Geography is measured by the Portfolio’s exposed market value of the underlying portfolio companies.
The Portfolio is focused in the Corporate Finance/Buyout strategy, with 63% of the total exposure attributable to this strategy.
With respect to geography, the Portfolio is concentrated in North America, with 71% of the Portfolio’s underlying market value attributable to this region.
o The remaining 29% of the Portfolio’s exposure is diversified between Western Europe, Asia and ‘Rest-of-World’.
o Roughly 6% of the Portfolio’s current exposed market value is based in New York.
About 3%, or roughly $150.5 million, of the Portfolio’s current exposed market value is based in New York City.
Corporate Finance/Buyout
63%
Venture Capital
3%
SpecialSituations/ Turnaround
9%
Energy1%
Secondaries11% Growth Equity
7%
Co-Invest6%
Strategic Diversificationby Total Exposure
As of March 31, 2019
North America71%
Asia Pacific2%
Western Europe20%
Rest of World7%
Underlying Investment Diversificationby Geographic Location
As of March 31, 2019
As of M arch 31, 2019
Sum of Current Exposed Market Value
% of Total
North America $3,475.9 71%
U.S. (non-NY State) $3,177.7 65%
U.S. (NY State) $298.2 6%
New York City $150.5 3%
Non-New York City $147.7 3%
Western Europe $963.7 20%
Rest of World $312.3 6%
Asia $110.9 2%
Total $4,862.8 100%
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The pie chart below represents the industry diversification of the Portfolio as of March 31, 2019. Industry diversification is measured by the Portfolio’s exposed market value of the underlying portfolio companies.
Financials6%
Consumer Staples3%
Consumer Discretionary
13%Health Care14%
Energy & Utilities5%
Materials4%
Communication Services
5%
Industrials13%
Information Technology
22%Real Estate
1%
FoF Holding14%
Underlying Investment Diversificationby Industry
As of March 31, 2019
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Teachers’ Retirement System of the City of New York First Quarter 2019 Report
Section 2: Portfolio Assessment
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Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR2 PME Return3 PME Spread4
Active Investments1999 Cypress Merchant Banking Partners II, LP 7/8/1999 $50,000,000 $53,983,573 $50,623,035 $26,160 0.94x (1.18%) 5.55% (6.72%)1999 Lincolnshire Equity Fund II, L.P. 2/26/2001 15,000,000 14,446,100 28,031,474 559,497 1.98x 24.59% 7.00% 17.59%2000 SCP Private Equity Partners II, L.P. 1/19/2001 20,000,000 22,196,012 8,429,680 2,155,765 0.48x (8.38%) 5.67% (14.04%)2000 Solera Partners, L.P. 7/8/2002 15,000,000 19,950,653 31,226,365 260,721 1.58x 7.50% 6.15% 1.36%2001 Apollo Investment Fund V, L.P. 8/23/2001 30,000,000 46,758,049 92,244,552 279,671 1.98x 38.77% 8.33% 30.44%2001 RRE Ventures III, L.P. 6/13/2002 20,000,000 26,269,971 34,025,652 1,072,602 1.34x 5.39% 6.54% (1.15%)2002 Landmark Equity Partners XI, L.P. 9/15/2004 20,000,000 21,259,356 31,467,979 49,142 1.48x 23.31% 7.45% 15.85%2002 Thomas McNerney & Partners, L.P. 11/26/2002 15,000,000 15,000,000 7,543,579 3,493,655 0.74x (4.33%) 10.24% (14.57%)2003 Ares Corporate Opportunities Fund, L.P. 5/4/2004 15,000,000 18,004,666 26,835,382 651,042 1.53x 13.32% 7.45% 5.87%2003 Blackstone Capital Partners IV, L.P. 1/10/2003 30,000,000 30,690,321 76,829,916 949,105 2.53x 37.81% 8.24% 29.57%2003 FS Equity Partners V, L.P. 5/30/2003 25,000,000 20,204,332 40,645,843 1,935,782 2.11x 15.41% 4.98% 10.43%2003 Leeds Weld Equity Partners IV, L.P. 12/13/2004 15,000,000 15,441,454 20,171,550 30,906 1.31x 4.23% 5.50% (1.27%)2004 Aurora Equity Partners III, L.P. 5/19/2005 20,000,000 21,708,976 35,032,609 149,924 1.62x 13.49% 9.89% 3.60%2004 FdG Capital Partners II, L.P. 8/30/2004 35,000,000 37,720,808 43,606,491 2,311,821 1.22x 3.77% 6.74% (2.97%)2004 Lincolnshire Equity Fund III, L.P. 12/23/2004 25,000,000 25,003,156 35,333,008 9,758,231 1.80x 28.46% 11.19% 17.27%2004 Markstone Capital Partners, L.P. 7/21/2004 35,000,000 40,766,689 17,074,753 163,685 0.42x (47.36%) 10.74% (58.10%)2004 New York/Fairview Emerging Managers (Tranche A), L.P. 10/21/2004 24,000,000 24,646,553 23,693,119 4,849,276 1.16x 2.47% 8.70% (6.23%)2004 Paladin Homeland Security Fund (NY), L.P 10/1/2004 15,000,000 16,550,584 6,323,308 22,200 0.38x (14.22%) 6.16% (20.38%)2004 Yucaipa American Alliance Fund I, L.P. 10/1/2004 55,000,000 80,825,203 78,341,784 22,080,714 1.24x 4.93% 10.50% (5.56%)2005 Blackstone Mezzanine Partners II, L.P. 5/26/2006 20,000,000 19,342,116 25,639,056 203,429 1.34x 7.82% 3.64% 4.18%2005 JP Morgan Fleming (Tranche A), L.P. 12/21/2005 31,000,000 31,117,886 31,149,136 10,776,309 1.35x 5.71% 10.72% (5.01%)2005 New Mountain Partners II, L.P. 1/12/2005 23,225,800 21,482,843 40,969,939 334,399 1.92x 13.64% 4.47% 9.17%2005 Palladium Equity Partners III, L.P. 8/10/2005 35,000,000 37,627,512 67,827,553 3,293,235 1.89x 14.87% 11.07% 3.80%2005 Prism Venture Partners V-A, L.P. 7/14/2005 20,000,000 20,931,568 13,131,156 335,055 0.64x (8.71%) 8.17% (16.87%)2005 Psilos Group Partners III, L.P. 10/17/2007 25,000,000 26,575,585 12,820,541 17,559,270 1.14x 2.05% 7.38% (5.34%)2005 Snow Phipps Group, L.P. 8/2/2007 15,000,000 17,775,294 15,590,643 7,783,192 1.31x 6.00% 10.91% (4.90%)2005 USPF II Institutional Fund, L.P. 11/23/2005 35,000,000 46,164,567 53,166,469 6,355,931 1.29x 4.28% 7.72% (3.44%)2006 Aisling Capital II, L.P. 1/12/2006 4,500,000 5,099,563 5,112,601 247,369 1.05x 0.91% 7.98% (7.06%)2006 Ampersand 2006, L.P. 7/6/2007 15,000,000 15,000,000 30,880,706 11,279,399 2.81x 16.56% 8.77% 7.79%2006 Apollo Investment Fund VI, L.P. 5/10/2006 35,000,000 45,048,207 63,539,417 4,406,807 1.51x 8.67% 7.58% 1.09%2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 30,000,000 32,905,774 53,060,554 2,051,304 1.67x 13.11% 3.94% 9.17%2006 Arsenal Capital Partners II, L.P. 12/19/2006 13,500,000 16,509,280 26,215,566 4,400,847 1.85x 11.67% 11.87% (0.19%)2006 Avista Capital Partners, L.P. 8/11/2006 30,000,000 39,559,256 49,499,726 717,500 1.27x 4.99% 6.40% (1.41%)2006 BDCM Opportunity Fund II, L.P. 12/28/2006 25,000,000 37,160,726 61,921,197 31,359,531 2.51x 17.98% 11.24% 6.74%2006 Blackstone Capital Partners V, L.P. 4/13/2006 75,600,000 76,446,296 125,100,378 3,077,242 1.68x 8.42% 8.34% 0.08%2006 Catterton Partners VI, L.P. 12/14/2006 30,000,000 34,300,531 50,089,255 13,697,415 1.86x 0.00% 8.83% (8.83%)2006 CCMP Capital Investors II, L.P. 5/22/2007 20,000,000 21,912,981 37,723,530 16,945 1.72x 13.46% 10.57% 2.89%2006 Cinven Fourth Fund 1/22/2007 43,264,875 45,626,561 65,854,533 32,884 1.44x 7.36% 7.64% (0.28%)2006 Fairview Ventures Fund III, L.P. 7/13/2007 20,000,000 21,107,913 27,809,386 16,295,266 2.09x 14.13% 12.34% 1.79%2006 First Reserve Fund XI, L.P. 12/22/2006 30,000,000 34,241,400 22,337,903 1,598,993 0.70x (8.38%) 6.30% (14.68%)2006 GF Capital Private Equity Fund, L.P. 3/20/2008 15,000,000 15,547,039 19,565,381 7,964,809 1.77x 12.44% 12.34% 0.10%2006 GSC Recovery III, L.P. 5/4/2006 10,000,000 11,260,507 13,252,348 99,476 1.19x 4.24% 6.77% (2.53%)2006 InterMedia Partners VII, L.P. 6/8/2006 25,000,000 29,198,197 29,591,746 243,132 1.02x 0.33% 9.70% (9.37%)2006 Landmark Equity Partners XIII, L.P. 5/15/2006 25,000,000 23,655,228 23,862,305 6,659,030 1.29x 4.67% 6.54% (1.86%)2006 MidOcean Partners III, L.P. 6/19/2007 40,000,000 46,395,207 84,868,683 10,884,746 2.06x 13.01% 9.74% 3.26%2006 RRE Ventures IV, L.P. 10/25/2006 25,000,000 31,632,272 17,548,042 28,100,914 1.44x 5.42% 10.80% (5.38%)2006 Terra Firma Capital Partners III, L.P. 2/26/2007 31,057,976 31,587,434 11,990,798 2,203,349 0.45x (9.83%) 9.82% (19.65%)2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 15,000,000 14,867,607 30,264,518 3,653,844 2.28x 16.68% 11.48% 5.21%2007 Carlyle Partners V, L.P. 9/28/2007 50,000,000 50,406,980 80,509,250 9,109,803 1.78x 13.36% 10.95% 2.41%2007 Co-Investment Partners Europe, L.P. 12/5/2008 26,429,042 29,219,332 34,855,209 1,746,257 1.25x 4.49% 15.20% (10.72%)2007 Constellation Ventures III, L.P. 11/20/2008 15,000,000 17,145,021 8,397,431 4,881,676 0.77x (4.17%) 16.35% (20.52%)2007 Craton Equity Investors I, L.P. 3/11/2008 10,000,000 9,266,168 1,076,950 22,377 0.12x (32.29%) 13.69% (45.98%)2007 FTVentures III, L.P. 3/1/2007 14,081,947 14,882,466 23,467,852 4,737,086 1.90x 11.30% 10.09% 1.21%2007 GSO Capital Opportunities Fund, L.P. 8/15/2008 30,000,000 48,291,339 67,124,625 498,362 1.40x 17.36% 10.13% 7.23%2007 Halyard Capital Fund II, L.P. 11/2/2007 15,000,000 12,955,286 15,730,000 2,849,635 1.43x 6.57% 9.84% (3.26%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 15,000,000 14,930,359 11,239,048 12,091,857 1.56x 8.08% 10.14% (2.06%)2007 Nautic Partners VI, L.P. 6/30/2008 20,000,000 21,704,141 47,783,956 4,444,755 2.41x 18.83% 11.96% 6.87%2007 New Mountain Partners III, L.P. 9/25/2007 35,000,000 35,949,400 47,758,635 23,513,474 1.98x 13.24% 12.54% 0.71%2007 PCG Clean Energy & Technology Fund East, L.P. 4/25/2008 60,000,000 51,863,265 11,863,859 7,674,367 0.38x (14.11%) 13.10% (27.21%)2007 Pegasus Partners IV, L.P. 10/9/2007 20,000,000 26,329,188 20,221,072 4,556,082 0.94x (1.27%) 11.15% (12.43%)2007 Pine Brook Capital Partners, L.P. 4/7/2008 22,500,000 24,855,036 29,483,697 4,137,889 1.35x 8.08% 12.04% (3.96%)2007 Quaker BioVentures II, L.P. 4/18/2008 15,000,000 14,752,775 12,864,585 2,813,131 1.06x 1.46% 12.62% (11.16%)2007 RLJ Equity Partners Fund I, L.P. 4/14/2009 15,000,000 15,340,537 16,822,292 6,828,924 1.54x 9.82% 13.73% (3.91%)2007 SCP Vitalife Partners II, L.P. 1/10/2008 15,000,000 15,074,774 1,184 6,560,519 0.44x (10.06%) 7.81% (17.87%)2007 StarVest Partners II, L.P. 12/8/2008 20,000,000 20,106,956 5,422,480 11,322,785 0.83x (2.75%) 13.77% (16.53%)2007 Trilantic Capital Partners IV L.P. 10/22/2007 53,311,339 55,874,710 82,624,937 7,048,059 1.60x 14.17% 11.26% 2.91%2007 USPF III Institutional Fund, L.P. 7/10/2007 30,000,000 35,493,985 36,105,098 8,601,093 1.26x 4.18% 9.44% (5.26%)2007 Vista Equity Partners Fund III, L.P. 11/30/2007 25,000,000 26,857,217 63,887,396 2,997,911 2.49x 27.07% 9.90% 17.17%2008 Aisling Capital III, L.P. 11/20/2008 10,500,000 11,852,387 26,428,965 1,716,620 2.37x 26.64% 14.25% 12.39%2008 Apollo Investment Fund VII, L.P. 4/16/2008 50,000,000 60,503,796 95,965,340 9,035,947 1.74x 23.43% 13.54% 9.89%2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 60,000,000 70,365,648 111,395,047 44,373,352 2.21x 21.54% 12.10% 9.44%2008 Avista Capital Partners II, L.P. 12/31/2008 50,000,000 65,011,431 100,313,615 10,798,679 1.71x 15.33% 14.65% 0.68%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 20,000,000 21,768,204 25,173,874 5,121,400 1.39x 7.78% 15.65% (7.87%)2008 Bridgepoint Europe IV, L.P. 9/30/2008 26,536,003 24,683,679 28,775,680 9,708,921 1.56x 10.21% 14.78% (4.56%)2008 First Reserve Fund XII, L.P. 11/14/2008 30,000,000 33,919,785 17,076,949 7,077,988 0.71x (8.29%) 16.70% (24.99%)2008 GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 8/22/2008 59,373,737 71,914,948 62,080,132 38,619,380 1.40x 9.97% 13.25% (3.28%)2008 GI Partners III, L.P. 7/29/2008 30,000,000 32,406,721 50,386,682 511,817 1.57x 13.01% 15.28% (2.27%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 50,000,000 48,517,085 53,647,313 8,953,637 1.29x 8.89% 12.96% (4.07%)2008 Leeds Equity Partners V, L.P. 7/28/2008 40,000,000 41,561,844 49,678,143 41,666,132 2.20x 19.11% 13.34% 5.77%2008 Levine Leichtman Capital Partners IV, L.P. 9/22/2008 25,000,000 26,635,586 42,163,089 2,834,751 1.69x 18.40% 14.23% 4.16%2008 New York/Fairview Emerging Managers (Tranche B), L.P. 5/28/2008 35,000,000 34,997,529 37,148,584 27,545,992 1.85x 14.60% 12.97% 1.62%2008 NGN BioMed Opportunity II, L.P. 10/31/2008 15,000,000 14,363,866 10,009,657 8,206,136 1.27x 3.65% 14.78% (11.13%)
Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio
As of March 31, 2019 (in USD)
Page 397 of 715
Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR2 PME Return3 PME Spread4
Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio
As of March 31, 2019 (in USD)
2008 Onex Partners III, L.P. 3/31/2009 40,000,000 43,697,601 57,817,030 15,162,689 1.67x 12.67% 14.83% (2.16%)2008 Paladin III (NY City), L.P. 1/8/2008 20,000,000 25,679,914 19,070,774 22,481,368 1.62x 10.08% 11.95% (1.88%)2008 Riverstone/Carlyle Global Energy & Power Fund IV 9/29/2008 32,500,000 35,439,381 30,467,412 11,563,793 1.19x 4.60% 13.73% (9.12%)2008 Yucaipa American Alliance Fund II, L.P. 3/28/2008 75,000,000 102,878,687 89,049,864 89,136,014 1.73x 10.95% 12.27% (1.31%)2008 Yucaipa Corporate Initiatives Fund II, L.P. 6/23/2008 35,000,000 32,129,958 11,721,727 16,972,253 0.89x (1.78%) 11.92% (13.70%)2009 Lincolnshire Equity Fund IV, L.P. 8/7/2009 12,500,000 12,681,739 14,593,925 5,453,894 1.58x 10.86% 13.22% (2.36%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 30,000,000 30,000,000 38,850,890 10,609,268 1.65x 12.50% 14.67% (2.17%)2010 JP Morgan Fleming (Tranche B), L.P. 3/31/2008 10,000,000 10,324,862 7,965,234 6,658,173 1.42x 8.29% 13.28% (4.99%)2010 Trident V, L.P. 12/30/2010 35,000,000 40,406,457 42,025,768 23,160,352 1.61x 11.30% 12.45% (1.15%)2011 American Securities Partners VI, L.P. 1/10/2012 100,000,000 107,279,493 161,050,017 45,326,185 1.92x 21.80% 13.05% 8.74%2011 Ampersand 2011, L.P. 3/11/2011 17,500,000 17,500,000 28,321,359 20,382,926 2.78x 21.56% 12.60% 8.96%2011 AXA Secondary Fund V L.P. 8/11/2011 160,000,000 85,771,717 116,579,377 18,425,861 1.57x 14.23% 15.24% (1.01%)2011 BC European Capital IX, L.P. 9/19/2011 65,508,657 71,705,245 49,595,492 51,641,695 1.41x 10.42% 13.30% (2.88%)2011 Blackstone Capital Partners VI, L.P. 1/24/2011 60,000,000 58,969,364 39,204,445 51,564,584 1.54x 12.12% 12.26% (0.13%)2011 EQT VI, L.P. 8/1/2011 48,519,189 50,942,484 63,021,122 23,176,200 1.69x 14.21% 12.20% 2.02%2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 24,612,136 15,121,168 23,389,167 1.56x 12.35% 13.55% (1.21%)2011 Vista Equity Partners IV, L.P. 11/30/2011 100,000,000 98,661,937 122,458,501 80,425,473 2.06x 18.81% 13.34% 5.47%2012 Green Equity Investors VI, L.P. 11/30/2012 100,000,000 108,431,908 67,600,308 108,044,461 1.62x 15.69% 11.90% 3.80%2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 105,000,000 112,431,261 60,618,642 99,725,499 1.43x 12.30% 10.87% 1.44%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 115,000,000 108,060,424 147,016,704 41,990,568 1.75x 36.14% 13.05% 23.09%2012 Trilantic Capital Partners V (North America), L.P. 9/20/2012 70,000,000 71,749,114 60,822,859 47,951,337 1.52x 18.02% 12.06% 5.97%2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 175,000,000 177,486,180 82,254,676 194,038,677 1.56x 13.43% 12.48% 0.95%2012 NYCTRS - 2012 Emerging Manager Program* 2/7/2013 165,050,000 162,776,510 58,999,022 177,311,937 1.45x 14.12% 13.44% 0.68%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 200,000,000 180,629,361 57,465,308 171,608,982 1.27x 10.59% 11.58% (0.98%)2013 Carlyle Partners VI, L.P. 7/3/2013 125,000,000 129,456,718 53,529,507 115,677,720 1.31x 11.63% 10.85% 0.78%2014 CVC Capital Partners VI, L.P. 2/18/2014 205,379,253 171,828,348 45,703,382 178,272,187 1.30x 13.07% 11.19% 1.88%2013 Landmark Equity Partners XV, L.P. 10/30/2013 113,000,000 79,645,521 55,613,577 42,939,151 1.24x 11.73% 11.34% 0.39%2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 37,000,000 29,312,358 19,304,482 23,793,549 1.47x 19.87% 10.11% 9.77%2013 Crestview Partners III, L.P. 3/3/2015 75,000,000 49,056,937 8,944,403 56,904,474 1.34x 16.02% 10.88% 5.15%2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 25,000,000 22,913,169 1,253,803 27,020,593 1.23x 10.53% 12.95% (2.41%)2014 Carlyle Partners VI, L.P. - Side Car 9/23/2014 13,750,000 9,998,995 581,000 9,653,993 1.02x 0.76% 11.22% (10.45%)2014 Olympus Growth Fund VI, L.P. 1/21/2014 100,000,000 82,404,963 33,902,234 76,966,676 1.35x 15.05% 12.67% 2.38%2014 ASF VI, L.P. 5/9/2014 112,000,000 77,055,026 42,457,258 68,058,509 1.43x 13.56% 11.10% 2.46%2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 38,000,000 28,498,395 22,196,044 17,507,599 1.39x 12.66% 8.71% 3.95%2015 Centerbridge Capital Partners III, L.P. 5/21/2015 33,500,000 18,833,408 6,259,361 18,811,372 1.33x 13.74% 11.11% 2.64%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 150,000,000 127,085,216 47,346,361 116,052,671 1.29x 20.40% 11.91% 8.49%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 144,520,387 113,074,795 144,041,716 1.78x 22.56% 11.09% 11.47%2015 Siris Partners III, L.P. 5/4/2015 45,000,000 37,795,946 20,567,834 24,172,037 1.18x 9.96% 11.15% (1.19%)2015 American Securities Partners VII, L.P. 7/8/2016 111,000,000 88,715,164 14,066,035 67,289,384 0.92x (6.43%) 12.44% (18.88%)2015 ASF VII, L.P. 12/29/2015 134,000,000 43,823,918 7,285,525 49,238,325 1.29x 17.01% 11.00% 6.01%2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 67,000,000 30,313,768 3,570,953 43,705,810 1.56x 40.22% 9.17% 31.05%2015 Bridgepoint Europe V, L.P. 2/8/2016 88,483,186 77,308,052 10,938,241 84,317,191 1.23x 14.00% 11.62% 2.38%2015 NYCTRS - 2015 Emerging Manager Program** 2/22/2016 198,500,000 67,238,728 2,567,410 76,714,127 1.18x 18.45% 18.17% 0.28%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 110,500,000 78,023,442 15,384,963 108,591,730 1.59x 26.35% 11.99% 14.36%2015 Bridgepoint Europe V Co-Invest 8/16/2016 25,321,238 23,513,229 2,350,623 35,733,067 1.62x 34.88% 11.98% 22.90%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 223,000,000 240,846,272 58,038,886 258,422,536 1.31x 19.45% 12.37% 7.08%2016 Apax IX USD, L.P. 5/12/2017 178,000,000 80,595,083 1,688,183 109,733,528 1.38x N/M N/M N/M2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 134,000,000 75,302,005 2,306,877 76,064,890 1.04x N/M N/M N/M2017 Green Equity Investors VII, L.P. 5/12/2017 134,000,000 68,184,104 530,624 75,366,832 1.11x N/M N/M N/M2017 BC European Capital X, L.P. 12/14/2017 126,447,304 63,013,720 - 62,156,536 0.99x N/M N/M N/M2017 BC European Capital X Metro Co-Investment L.P. 3/24/2017 51,107,717 33,426,725 - 34,470,306 1.03x N/M N/M N/M2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 156,000,000 105,817,800 31,373,045 113,796,226 1.37x N/M N/M N/M2018 CVC Capital Partners VII, L.P. 6/30/2018 153,786,460 24,563,857 231,608 30,057,340 1.23x N/M N/M N/M2018 Apollo Investment Fund IX, L.P. 3/15/2019 256,000,000 23,383,997 2,651 20,116,153 0.86x N/M N/M N/M2017 KKR Americas Fund XII, L.P. 2/27/2018 223,000,000 87,617,700 1,470,088 91,385,063 1.06x N/M N/M N/M2018 Bridgepoint Europe VI, L.P. N/A 95,918,688 - - (1,179,311) N/A N/A N/A N/A2018 EQT VIII SCSP 8/10/2018 87,623,129 12,680,849 1,075,460 11,358,867 0.98x N/M N/M N/M2018 Bridgepoint Europe VI Co-Invest N/A 23,979,672 - - - N/A N/A N/A N/A2018 Siris Partners IV, L.P. 3/15/2019 71,000,000 10,761,658 - 10,009,720 0.93x N/M N/M N/M2018 Crestview Partners IV (FF), L.P. N/A 19,000,000 - - - N/A N/A N/A N/A2018 Crestview Partners IV, L.P. N/A 57,000,000 - - - N/A N/A N/A N/A2018 Platinum Equity Capital Partners IV, L.P. (Co-Invest) 9/7/2018 22,000,000 15,400,000 - 14,372,430 0.93x N/M N/M N/M2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 32,500,000 2,472,413 - 1,943,808 0.79x N/M N/M N/M2018 EQT VIII SCSP (Co-Invest) 11/2/2018 31,879,619 4,832,691 - 5,402,133 1.12x N/M N/M N/M2018 Vista Equity Partners Fund VII, L.P. 2/13/2019 142,000,000 11,686,845 2,939 11,484,577 0.98x N/M N/M N/M2019 KKR European Fund V, L.P. - USD N/A 89,000,000 - - - N/A N/A N/A N/A2019 Lexington Capital Partners IX, L.P. N/A 81,125,000 - - - N/A N/A N/A N/A2017 Palladium Equity Partners V, L.P. 2/11/2019 26,666,667 4,389,246 - 3,348,032 0.76x N/M N/M N/M2019 ASF VIII, L.P. 3/15/2019 158,000,000 15,800 - 510,882 32.33x N/M N/M N/M2019 ASF VIII B NYC Co-Invest, L.P. 3/15/2019 79,000,000 7,900 - 1,978 0.25x N/M N/M N/M2019 Warburg Pincus Global Growth, L.P. 3/26/2019 114,000,000 1,349,573 - 1,001,047 0.74x N/M N/M N/M2019 WCAS XIII, L.P. 3/14/2019 71,000,000 520,806 - 140,416 0.27x N/M N/M N/MTotal Portfolio $9,523,396,343 $7,255,528,621 $6,069,967,042 $4,260,665,540 1.42x 10.21% 10.18% 0.03%
Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR2 PME Return3 PME Spread4
Commitments Closed Subsequent to March 31, 20192019 Apax X, L.P. N/A $95,000,000 - - - N/A N/A N/A N/A2019 Blackstone Capital Partners VIII, L.P. N/A 99,000,000 - - - N/A N/A N/A N/A2019 LCP IX Co-invest Partners B, L.P. N/A 28,375,000 - - - N/A N/A N/A N/A2019 Lindsay Goldberg V, L.P. N/A 79,000,000 - - - N/A N/A N/A N/A2019 Platinum Equity Capital Partners V, L.P. N/A 142,000,000 - - - N/A N/A N/A N/A2019 Trilantic Capital Partners VI (North America), L.P. N/A 46,000,000 - - - N/A N/A N/A N/A
Total Commitments Closed Subsequent to as of Date $489,375,000 - - - N/A N/A N/A N/A
Note: Where available, March 31, 2019 reported valuations were used. In the absense ofMarch 31, 2019 reported values, market values have been adjusted forward using interim cashflows through March 31, 2019. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The aggregate portfolio performance figures for IRR and multiple are as of March 31, 2019.
1 Please note that the Total Portfolio is inclusive of liquidated investments in the TRS Portfolio and include sales proceeds from the 2012 Secondary Sale Partnerships.
*Please note that the NYCTRS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $165.1 million has been committed as of March 31, 2019.
4 PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnership.
**Please note that the NYCTRS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $90 million has been committed as of March 31, 2019.
2 Performance for funds with less than 8 quarters of activity is not yet meaningful.
3 The total PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred, and incorporates the Long Nickel methodologies for those partnerships that have not yet had any distributions to date. The fund PME is the Russell 3000 Total Return Index and incorporates the PME+ methodology for all partnerships where distributions have occurred.
Page 398 of 715
Teachers' Retirement System of the City of New YorkCommitments By Vintage Year
As of March 31, 2019
Funded Commitments exclude additional fees.Unfunded Commitments include recallable returns of capital.
$0.0
$100.0
$200.0
$300.0
$400.0
$500.0
$600.0
$700.0
$800.0
$900.0
$1,000.0
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019Funded Commitments $98.1 $91.1 $95.1 $120.6 $83.6 $311.8 $361.4 $681.1 $624.1 $854.3 $67.3 $49.7 $509.9 $592.5 $573.3 $694.7 $414.4 $427.1 $372.8 $114.4 $1.9
Unfunded Commitments $0.0 $5.6 $2.1 $1.0 $10.0 $7.6 $9.9 $18.0 $42.0 $56.3 $0.2 $2.5 $77.4 $65.1 $141.6 $185.3 $246.0 $202.4 $407.2 $967.9 $590.2
$ in Millions
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Teachers' Retirement System of the City of New YorkPortfolio Strategic Diversification AsMeasured By Reported Market Value
As of March 31, 2019
Corporate Finance/Buyout
63%
Energy1%
Co-Invest5%
Growth Equity8%
Secondaries7%
Special Situation11%
Venture Capital5%
As of March 31, 2019
Corporate Finance/Buyout
62%
Energy1%
Co-Invest5%
Growth Equity9%
Secondaries8%
Special Situation10%
Venture Capital5%
As of December 31, 2018
Page 400 of 715
Teachers' Retirement System of the City of New YorkPublic Vs. Private Holdings
As of March 31, 2019
(1) Portfolio Company information as of September 30, 2018 for Cypress Merchant Banking Partners II, LP, FdG Capital Partners, L.P., Markstone Capital Partners, L.P., NGN BioMed Opportunity II, L.P., Solera Partners, L.P. were not available at the time of this analysis. Market
values for underlying holdings have been carried forward from last quarter.
Public6%
Private94%
Based on Number of Companies (1)
Public7%
Private93%
Based on Reported Market Value (1)
Page 401 of 715
Teachers’ Retirement System of the City of New York First Quarter 2019 Report
Appendix A: Glossary of Terms
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Teachers’ Retirement System of the City of New York First Quarter 2019 Report
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Additional Fees: The amount of capital an investor pays into a fund/investment that does not count against the investors’ commitment. Additional fees typically consist of management fees or late-closing interest expense.
Capital Committed: An investor’s financial obligation to provide a set amount of capital to the investment.
Capital Contributed: Capital contributed from an investor’s capital commitment to fund partnership investments, organizational expenses and management fees.
Capital Distributed: Cash or stock disbursed to the investors of an investment.
Co/Direct Investment: A direct investment is a purchased interest of an operating company. A co-investment is a direct investment made alongside a partnership.
Corporate Finance/Buyout: Funds seeking to make controlling and non-controlling investments in established companies which have the potential to achieve greater value through improved performance.
Cost Basis: Capital contributions less return of principal.
Fund-of-Funds: An investment vehicle which invests in other private equity partnerships.
Fund/Investment Size: The total amount of capital committed by investors to a fund.
Investment Category: Used to identify investments in one of the following categories: co/direct investments, fund-of-funds, primary funds, secondary fund-of-funds or secondary purchases.
Investment Strategy: A sub-classification of a partnership’s investment type, such as Co/Direct Investment, Corporate Finance/Buyout, Mezzanine, Real Estate, Special Situation, Venture Capital.
Life Cycle Period: The current stage of a partnership depending on the percentage contributed to date. Life cycle periods are investment and realization.
Mezzanine: An investment strategy involving the purchase of subordinated debt. These securities exist between the senior debt and equity of a holding’s capital structure. Subordinated debt carries a lower level of risk than pure equity structures because they generate current income and have a more senior position in the company's capital structure.
Net Internal Rate Of Return (“IRR”): The discount rate that equates the net present value of the partnership’s cash outflows with its inflows and residual value at the time of calculation. The calculation is net of management fees and the general partner’s carried interest.
Originator: The institution responsible for recommending a client commit to an investment.
Ownership Percentage: The investor’s percent of ownership as measured by capital committed divided by fund/investment size.
Paid-In Capital: The amount of capital an investor has contributed to a partnership, which includes capital contributions and additional fees.
Pooled Average IRR: An IRR calculation which aggregates cash flows (paid-in capital and capital distributed) and the reported market values of each investment within a portfolio to create one portfolio investment and return.
Portfolio Holding Exposure: The limited partner's pro rata allocation to an underlying investment based on the ownership percentage of the partnership.
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Primary Fund: Defines when the investor acquired an interest in the partnership. Primary fund is the investment category when an investor participates in a closing at the inception of the partnership.
Private Equity Partnership: A professionally managed pool of capital that generally invests in unlisted companies or securities. Common investment strategies include corporate finance/buyout, mezzanine, special situations and venture capital.
Realized Multiple: Ratio of cumulative distributions to paid-in capital.
Return On Investment ("ROI"): A calculation based on the total value (market value plus distributions) divided by paid-in capital for an investment.
Reported Market Value: The investment’s capital account balance at quarter end, which includes the general partner’s reported value of the underlying holdings and other assets and liabilities.
Secondary Fund-of-Funds: A private equity vehicle formed to purchase active partnership interests from an investor.
Secondary Purchase: A purchase of an existing partnership interest or pool of partnership interests from an investor.
Special Situation: Partnerships that invest using a unique strategy. Examples include distressed and turnaround, industry focused and multi-stage partnerships.
Total Exposure: Calculated by the summation of market value and unfunded commitments.
Venture Capital: An investment strategy that provides start-up or growth capital to companies in the early stages of development. Venture investments generally involve a greater degree of risk, but have the potential for higher returns.
Vintage Year: The year in which a partnership makes its first capital call for an investment into a portfolio company/holding.
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Teachers’ Retirement System of the City of New York First Quarter 2019 Report
Appendix B: Disclosure Statement
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Non-public information contained in this report is confidential and intended solely for dissemination to Teachers’ Retirement System of the City of New York and/or its Affiliates. Hamilton Lane has prepared this report to enable Teachers' Retirement System of the City of New York and/or its Affiliates to assess the performance and status of its alternative investment portfolio. The calculations contained in this document are made by Hamilton Lane based on information provided by the general partner (e.g. cash flows and valuations), and have not been prepared, reviewed or approved by the general partners. Hamilton Lane hereby disclaims any liability resulting from any unauthorized dissemination of the attached information.
The information contained in this report may include forward-looking statements regarding the funds presented or their portfolio companies. Forward-looking statements include a number of risks, uncertainties and other factors beyond the control of the funds or the portfolio companies, which may result in material differences in actual results, performance or other expectations. The information presented is not a complete analysis of every material fact concerning each fund or each company. The opinions, estimates and analyses reflect our current judgment, which may change in the future.
All opinions, estimates and forecasts of future performance or other events contained herein are based on information available to Hamilton Lane as of the date of this presentation and are subject to change. Past performance of the investments described herein is not indicative of future results. Certain of the information included in this presentation has not been reviewed or audited by independent public accountants. Certain information included herein has been obtained from sources that Hamilton Lane believes to be reliable but the accuracy of such information cannot be guaranteed.
The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the funds will achieve comparable results or that they will be able to implement their investment strategy or achieve their investment objectives. The actual realized value of currently unrealized investments will depend on a variety of factors, including future operating results, the value of the assets and market conditions at the time of disposition, any related transaction costs and the timing and manner of sale, all of which may differ from the assumptions and circumstances on which the current unrealized valuations are based.
Any tables, graphs or charts relating to past performance included in this report are intended only to illustrate the performance of the funds or the portfolio companies referred to for the historical periods shown. Such tables, graphs and charts are not intended to predict future performance and should not be used as the basis for an investment decision.
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Teachers’ Retirement System of the City of New York | 3.31.2019 www.hamiltonlane.com Proprietary and Confidential | 13
Philadelphia One Presidential Blvd. 4th Floor Bala Cynwyd, PA 19004 USA +1 610 934 2222
London 8-10 Great George Street London SW1P 3AE United Kingdom +44 (0) 207 340 0100
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Tokyo 17F, Imperial Hotel Tower 1-1-1, Uchisaiwai-cho, Chiyoda-ku Tokyo 100-0011 Japan +81 (0) 3 3580 4000
Miami 999 Brickell Avenue Suite 720 Miami, Florida 33131 USA +1 954 745 2780
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Rio de Janeiro Av. Niemeyer 2, Sala 102 Leblon Rio de Janeiro Brasil 22450-220 +55 21 3520 8903
Las Vegas 3753 Howard Hughes Parkway Suite 200 Las Vegas, NV 89169 USA +1 702 784 7690
Seoul 12F, Gangnam Finance Center 152 Teheran-ro, Gangnam-gu Seoul 06236 Republic of Korea +82 2 6191 3200
Sydney Level 36, Governor Phillip Tower, 1 Farrer Place, Sydney, NSW 2000 Australia +61 2 8823 3741
Munich Leopoldstrasse 8-10 80802 Munich Germany +49 89 954537901
Portland 15350 SW Sequoia Pkwy Suite 260 Portland, OR 97224 USA +1 503 624 9910
Toronto 150 King St. West Suite 200 Toronto, Ontario Canada M5HJ89 +1 647 715 9457
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Real Estate Quarterly Report (Public):
Executive Material
Quarterly Real Estate Report
For the period ended March 31, 2019
Teachers’ Retirement System of the City of New York
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NYCTRS Quarterly Report Confidential | 2
Significant Valuation Changes During the quarter ended March 31, 2019, net of cash flow activity, 50 investments appreciated and 14 depreciated in value from the prior quarter. Below are the top 15 valuation changes (in terms of the absolute value of impact) that occurred in the portfolio during the quarter.
Change in Value # Fund $ % Comments
1 Lion Industrial Trust $5.9 +5% The appreciation in the Fund was driven by unrealized appreciation due to development projects being completed.
2 NYCRS-KKR CMBS Retention Partners
3.9 +3% Income generated throughout the portfolio drove the increase in Fund valuation.
3 Brookfield Premier Real Estate Partners
3.1 +2% The Fund experienced increased unrealized appreciation driven by the logistics portfolio, followed by the multifamily and office portfolios.
4 Carlyle Property Investors
2.8 +2%
The increase in Fund appreciation was a result of realized gains as well as unrealized appreciation spread across the portfolio. The realized gains were a result of the sale of 87 Cambridge Park Drive.
5 Carlyle Realty Partners VII, L.P.
2.4 +3% The Fund’s valuation increased during the quarter primarily due to income generated throughout. Augmenting this increase was unrealized appreciation.
6 MetLife Core Property Fund
2.3 +2% Appreciation gains provided by the industrial, apartment, and office portfolios helped drive an increase in the Fund’s valuation.
7 H2 Special Opportunities IV
2.2 +14% The Fund’s valuation increased during the quarter almost entirely as a result of unrealized appreciation.
8 NYC Asset Investor #2 1.9 +1% The Fund closed on a sale of a Northern Bronx Portfolio asset. This resulted in increased realized gain and Fund valuation.
9 H2 Special Opportunities III
1.9 +4% The Fund’s valuation increased primarily as a result of unrealized appreciation of underlying assets.
10 USAA Eagle Real Estate Fund
1.8 +2% The increase in Quarter over Quarter valuation was a result of appreciation in the underlying development properties.
11 Almanac Realty Securities VII
1.7 +4% The Fund experienced an increase in valuation driven by appreciation related to its Westcore II and PREP investments.
12 Prudential PRISA II 1.7 +2%
The Fund increased in value due to income generated throughout the portfolio as well as appreciation and realized gains. Appreciation drivers included the apartment, office, and industrial portfolios.
13 KKR Real Estate Partners Americas II
1.6 +5% Increased unrealized appreciation driven by assets including the Cascade Senior Living Portfolio and Carter Haston JV drove an increase in Fund valuation.
14 Heitman America Real Estate Trust, L.P.
1.5 +1% Income drove the increase in overall valuation propelled by the industrial and self-storage sectors.
15 Pramerica Real Estate Capital VI
1.3 +5% The increase in Fund valuation was driven by income from underlying assets and partially offset by incentive fees.
Total Gain/Loss 46.0 2%
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NYCTRS Quarterly Report Confidential | 3
Top 10 – Portfolio Holdings The following table shows the Top 10 largest funds in the portfolio in terms of the current market value. These funds comprised approximately 37.1% of the portfolio's market value as of quarter end.
(in USD millions; Active investments only)
% of
# Fund Commitment Contributions Distributions NAV Exposure Portfolio IRR TVM DPI
1 NYC Asset Investor #2 145.0 141.4 42.4 188.7 198.0 5% 14.3% 1.63x 0.30x
2 JP Morgan Strategic Property Fund 86.0 122.8 28.2 196.2 196.2 5% 7.8% 1.83x 0.23x
3 Brookfield Strategic Real Estate Partners III, L.P. 193.0 0.0 0.0 0.0 193.0 5% N/A - -
4 Blackstone Real Estate Partners IX L.P. 184.0 0.0 0.0 0.0 184.0 4% N/A - -
5 NYCRS-KKR CMBS Retention Partners 159.0 125.1 10.1 125.4 159.7 4% 8.6% 1.08x 0.08x
6 Brookfield Premier Real Estate Partners 119.0 128.7 9.7 150.8 150.8 4% 11.6% 1.25x 0.08x
7 Carlyle Realty Partners VII, L.P. 120.0 100.3 61.7 75.5 139.8 3% 14.8% 1.37x 0.61x
8 KKR Real Estate Partners Americas II 135.4 47.1 7.3 43.3 135.5 3% NM 1.08x 0.16x
9 Carlyle Property Investors 119.0 125.7 6.7 131.7 131.7 3% 7.1% 1.10x 0.05x
10 Lion Industrial Trust 98.0 105.5 7.5 128.4 128.4 3% 15.8% 1.29x 0.07x
Total - Top 10 Funds 1,358.4 896.6 173.5 1,040.0 1,617.1 38% 10.3% 1.35x 0.19x
4.6%4.6%
4.5%
4.3%
3.7%
3.5%
3.3%
3.2%
3.1%
3.0%
62.1%
NYC Asset Investor #2 (4.6%)
JP Morgan Strategic Property Fund (4.6%)
Brookfield Strategic Real Estate Partners III, L.P. (4.5%)
Blackstone Real Estate Partners IX L.P. (4.3%)
NYCRS-KKR CMBS Retention Partners (3.7%)
Brookfield Premier Real Estate Partners (3.5%)
Carlyle Realty Partners VII, L.P. (3.3%)
KKR Real Estate Partners Americas II (3.2%)
Carlyle Property Investors (3.1%)
Lion Industrial Trust (3%)
Other (62.1%)
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NYCTRS Quarterly Report Confidential | 4
Performance by Strategy
The following chart illustrates the portfolio's diversification, first by risk (Core vs Non‐Core) and then by underlying strategy within each category.
(in USD millions; Includes liquidated investments)
No. of PME
Strategy Active Inv Commitment Contributions Distributions NAV Unfunded Exposure TVM IRR PME Spread Leverage
Core 28 1,830 1,665 532 1,836 328 2,164 1.4x 7.6% 6.7% 0.9% 25%
Non-Core 48 3,032 2,011 1,824 935 1,171 2,106 1.4x 13.1% 8.6% 4.5% 55%
Total 76 4,862 3,677 2,356 2,771 1,500 4,270 1.4x 9.7% 7.5% 2.2% 32%
Emerging 6 146 129 61 84 32 117 1.1x 4.1% N/A N/A N/A
Debt 8 720 540 354 310 198 508 1.2x 13.4% N/A N/A N/A
$-
$1,000
$2,000
$3,000
$4,000
$5,000
$6,000
Core Non-Core Total
Remaining Debt Emerging IRR
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NYCTRS Quarterly Report Confidential | 5
Performance by Vintage Year The following table and graph illustrate the Portfolio's since inception investment performance and exposure by vintage year as of the end of March 31, 2019.
(in USD millions; Includes all investments)
Core Non-Core Total Portfolio
Vintage Year Exposure TVM IRR Quartile Exposure TVM IRR Quartile Exposure TVM IRR Quartile
2002 - - - N/A 0.0 1.19x 11.1% 3rd 0.0 1.19x 11.1% 3rd
2003 - - - N/A 0.0 1.57x 9.8% 3rd 0.0 1.57x 9.8% 3rd
2004 - - - N/A 3.0 1.87x 25.1% 1st 3.0 1.87x 25.1% 1st
2005 - - - N/A 3.1 0.45x -10.5% 4th 3.1 0.45x -10.5% 4th
2006 433.3 1.61x 6.0% N/A 2.4 1.14x 1.6% 1st 435.7 1.60x 6.0% 1st
2007 225.1 1.62x 5.8% N/A 28.3 1.49x 8.1% 1st 253.3 1.56x 6.5% 2nd
2008 - - - N/A 39.4 1.14x 2.4% 3rd 39.4 1.14x 2.4% 3rd
2009 - - - N/A 14.3 1.28x 10.4% 2nd 14.3 1.28x 10.4% 2nd
2010 126.6 1.84x 10.6% N/A 0.4 1.35x 11.9% 3rd 127.0 1.67x 10.8% 3rd
2011 - - - N/A 60.0 1.53x 18.2% 2nd 60.0 1.53x 18.2% 2nd
2012 27.1 1.39x 12.2% N/A 146.2 1.64x 15.9% 2nd 184.7 1.57x 15.1% 2nd
2013 198.0 1.63x 14.3% N/A 208.6 1.34x 13.0% 2nd 406.7 1.42x 13.5% 2nd
2014 100.9 1.45x 9.7% N/A 247.5 1.35x 14.5% 1st 348.4 1.38x 12.8% 2nd
2015 212.3 1.24x 10.8% N/A 87.0 1.21x 10.9% 3rd 299.3 1.24x 10.8% 3rd
2016 323.4 1.22x 12.1% N/A 432.7 1.16x 13.0% 2nd 756.1 1.20x 12.3% 2nd
2017 260.1 1.19x 11.7% N/A 237.5 1.10x 10.8% 2nd 497.6 1.15x 11.5% 2nd
2018 245.9 1.01x 5.7% N/A 411.5 1.08x 15.6% 1st 657.4 1.04x 11.7% 1st
2019 0.0 N/A 0.0% N/A 184.0 N/A 0.0% 2nd 184.0 N/A 0.0% 2nd
Total 2,152.6 1.42x 7.5% N/A 2,106.1 1.37x 13.1% 2nd 4,270.0 1.39x 9.7% 2nd
$3 $3
$436
$253
$39 $14
$127
$60
$173
$407
$348
$299
$756
$498
$657
$184
$0
$100
$200
$300
$400
$500
$600
$700
$800
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Core Exposure Non-Core Exposure
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NYCTRS Quarterly Report Confidential | 6
Investments by Vintage Years
(in USD millions)
Vintage First Quartile
Fund Year Cash Flow Commitment Contributions Distributions NAV Unfunded Exposure TVM DPI IRR Ranking
Active Investments
Blackstone Real Estate Partners IV L.P. 2004 5/14/2004 25.0 32.0 41.7 2.8 0.0 2.8 1.39x 1.30x 9.9% Third
The City Investment Fund I 2004 3/16/2004 120.0 118.3 119.7 0.2 0.0 0.2 1.01x 1.01x 0.3% Third
Canyon-Johnson Urban II 2005 5/11/2005 30.0 27.0 11.9 0.1 3.0 3.1 0.45x 0.44x -10.5% Fourth
Apollo Real Estate Investment Fund V 2006 6/15/2006 5.0 5.0 3.8 1.9 0.5 2.4 1.14x 0.76x 1.6% Second
Colony Realty Partners II 2006 12/20/2006 15.0 18.5 6.7 0.0 0.0 0.0 0.36x 0.36x -13.3% N/A
JP Morgan Strategic Property Fund 2006 12/5/2006 86.0 122.8 28.2 196.2 0.0 196.2 1.83x 0.23x 7.8% N/A
Prologis Targeted US Logistics Fund 2006 10/1/2006 10.0 13.7 4.5 18.6 0.0 18.6 1.69x 0.33x 5.5% N/A
Prudential PRISA 2006 9/28/2006 36.0 38.8 14.7 51.2 0.0 51.2 1.70x 0.38x 4.9% N/A
RREEF America REIT II 2006 10/2/2006 36.0 47.5 24.5 52.3 0.0 52.3 1.62x 0.52x 5.3% N/A
UBS Trumbull Property Fund 2006 9/28/2006 106.0 163.3 138.5 114.9 0.0 114.9 1.55x 0.85x 6.8% N/A
American Value Partners Fund I 2007 10/18/2007 25.0 17.9 18.8 2.0 7.1 9.1 1.16x 1.05x 3.1% Third
Blackstone Real Estate Partners VI L.P. 2007 7/28/2006 50.0 54.6 107.0 2.1 3.9 6.0 2.00x 1.96x 13.4% First
Carlyle Realty Partners V, L.P. 2007 8/27/2007 15.0 19.0 22.9 4.1 3.5 7.6 1.42x 1.20x 8.6% First
Heitman America Real Estate Trust, L.P. 2007 3/29/2007 48.0 77.3 29.3 107.2 0.0 107.2 1.77x 0.38x 7.9% N/A
JP Morgan Special Situation Property Fund 2007 1/5/2007 15.0 23.9 12.7 21.9 0.0 21.9 1.44x 0.53x 4.8% N/A
Metropolitan Workforce Housing Fund 2007 7/12/2007 10.5 10.5 12.6 0.2 0.0 0.2 1.21x 1.19x 3.9% Second
Prudential PRISA II 2007 6/29/2007 63.4 67.6 21.4 96.0 0.0 96.0 1.74x 0.32x 5.9% N/A
Thor Urban Property Fund II 2007 10/30/2008 12.5 17.1 17.1 4.5 0.9 5.4 1.26x 1.00x 6.8% Second
Blackstone Real Estate Partners Europe III - USD 2008 10/24/2008 50.0 42.7 68.8 4.1 10.2 14.3 1.71x 1.61x 16.1% First
Capri Urban Investors 2008 6/3/2008 40.0 40.0 18.4 11.1 0.0 11.1 0.74x 0.46x -4.3% Third
Silverpeak Legacy Partners III 2008 6/4/2008 30.0 12.3 3.8 1.8 0.0 1.8 0.46x 0.31x -12.0% Fourth
Stockbridge Real Estate III 2008 9/9/2008 22.5 22.5 14.0 12.2 0.0 12.2 1.17x 0.62x 2.3% Fourth
Westbrook Real Estate Fund VIII, L.P. 2009 12/28/2009 50.0 59.6 69.0 10.0 4.3 14.3 1.32x 1.16x 11.5% Third
Canyon Johnson Urban Fund III 2010 3/29/2010 25.0 25.0 33.6 0.0 0.3 0.4 1.35x 1.35x 11.9% First
LaSalle Property Fund 2010 7/1/2010 104.0 49.8 18.7 72.6 54.0 126.6 1.84x 0.38x 10.6% N/A
Carlyle Realty Partners VI, L.P. 2011 9/28/2011 70.0 75.5 106.0 9.3 46.1 55.3 1.53x 1.41x 21.1% First
H2 Special Opportunities Fund II 2011 2/14/2011 40.0 40.0 57.0 4.7 0.0 4.7 1.54x 1.42x 14.5% Second
Almanac Realty Securities VI 2012 6/6/2012 100.0 62.2 59.1 27.1 0.0 27.1 1.39x 0.95x 12.2% N/A
Almanac Realty Securities VI (Sidecar III) 2012 8/10/2012 35.0 11.7 7.0 11.3 0.0 11.3 1.56x 0.60x 17.0% N/A
Brookfield Strategic Real Estate Partners 2012 9/20/2012 125.0 130.1 132.8 76.8 24.1 100.9 1.61x 1.02x 15.8% Second
Taconic New York City Investment Fund 2012 7/5/2012 70.0 29.3 47.0 4.6 40.7 45.4 1.76x 1.60x 15.9% Second
Lone Star Real Estate Fund III, L.P. 2013 2/28/2014 190.0 181.7 219.5 25.3 11.9 37.2 1.35x 1.21x 14.9% Second
NYC Asset Investor #1 2013 6/25/2013 60.0 67.4 28.0 57.0 12.9 69.9 1.26x 0.42x 6.7% Fourth
NYC Asset Investor #2 2013 7/9/2013 145.0 141.4 42.4 188.7 9.3 198.0 1.63x 0.30x 14.3% N/A
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NYCTRS Quarterly Report Confidential | 7
(in USD millions)
Vintage First Quartile
Fund Year Cash Flow Commitment Contributions Distributions NAV Unfunded Exposure TVM DPI IRR Ranking
Active Investments (continued)
NYC Asset Investor #3 2013 9/20/2013 $96.0 $60.6 $10.6 $66.2 $35.4 $101.6 1.27x 0.17x 8.6% Fourth
Carlyle Realty Partners VII, L.P. 2014 7/1/2014 120.0 100.3 61.7 75.5 64.3 139.8 1.37x 0.61x 14.8% First
DivcoWest Fund IV 2014 1/15/2014 25.0 24.8 35.9 5.4 2.2 7.7 1.67x 1.45x 26.3% First
DRA Growth and Income Fund VIII 2014 9/29/2014 75.0 89.2 53.8 61.4 2.9 64.4 1.29x 0.60x 12.0% Second
H2 Special Opportunities III 2014 12/29/2014 65.0 65.0 48.7 35.7 0.0 35.7 1.30x 0.75x 11.9% Second
MetLife Core Property Fund 2014 7/1/2014 80.0 80.0 15.3 100.9 0.0 100.9 1.45x 0.19x 9.7% N/A
Almanac Realty Securities VII 2015 4/24/2015 65.0 49.2 12.5 50.6 21.2 71.8 1.28x 0.25x 14.2% N/A
Almanac Realty Securities VII (Sidecar III) 2015 12/9/2015 20.0 11.1 1.4 13.6 9.0 22.6 1.36x 0.12x 17.7% N/A
Avanath Affordable Housing II 2015 7/14/2015 10.0 10.1 0.9 14.5 0.3 14.8 1.52x 0.09x 13.0% Second
Tristan European Property Investors Special Opp IV 2015 9/30/2015 65.5 46.0 2.9 49.9 22.3 72.2 1.15x 0.06x 9.5% Third
USAA Eagle Real Estate Fund 2015 12/1/2015 98.0 94.9 7.4 107.4 10.5 117.9 1.21x 0.08x 8.6% N/A
Artemis Co-Investment 2016 9/30/2015 70.0 68.3 25.1 57.4 15.6 73.0 1.21x 0.37x 19.0% N/A
Brookfield Premier Real Estate Partners 2016 11/22/2016 119.0 128.7 9.7 150.8 0.0 150.8 1.25x 0.08x 11.6% N/A
DivcoWest Fund V 2016 12/21/2016 78.0 37.7 0.1 39.9 40.3 80.1 1.06x 0.00x 4.4% Third
Exeter Core Industrial Club Fund II 2016 5/20/2016 37.0 26.0 3.1 28.4 11.0 39.4 1.21x 0.12x 13.3% N/A
Exeter Industrial Value Fund IV, L.P. 2016 6/30/2017 34.0 18.7 0.0 20.7 15.3 36.0 1.11x 0.00x 11.9% Second
H2 Special Opportunities IV 2016 11/15/2016 119.0 23.2 1.0 23.6 96.7 120.4 1.06x 0.04x 4.6% Third
Jamestown Premier Property Fund 2016 9/30/2015 65.0 61.7 26.8 47.2 13.0 60.1 1.20x 0.44x 9.0% N/A
Pramerica Real Estate Capital VI 2016 4/20/2017 68.9 34.0 15.1 25.2 46.0 71.2 1.19x 0.45x 17.7% First
PW Real Estate Fund III 2016 10/7/2016 65.7 38.0 4.9 46.7 27.7 74.4 1.36x 0.13x 22.4% First
Westbrook Real Estate Fund X Co-Investment 2016 7/18/2016 47.0 27.7 5.4 25.8 24.8 50.6 1.13x 0.19x 11.4% Second
Basis Investment Group Real Estate Fund I 2017 11/16/2017 19.4 11.6 2.3 10.3 9.3 19.6 1.08x 0.20x 14.3% Second
Carlyle Property Investors 2017 7/3/2017 119.0 125.7 6.7 131.7 0.0 131.7 1.10x 0.05x 7.1% N/A
DRA Growth and Income Fund IX 2017 3/9/2017 56.0 33.8 9.2 30.7 27.6 58.3 1.18x 0.27x 17.7% First
Lion Industrial Trust 2017 1/3/2017 98.0 105.5 7.5 128.4 0.0 128.4 1.29x 0.07x 15.8% N/A
NYCRS-KKR CMBS Retention Partners 2017 6/30/2017 159.0 125.1 10.1 125.4 34.3 159.7 1.08x 0.08x 8.6% Second
Aermont Capital Real Estate Fund IV 2018 N/A 83.1 0.0 0.0 0.0 83.1 83.1 - - - -
Almanac Realty Securities VIII 2018 12/21/2018 51.0 0.7 0.0 0.4 50.3 50.7 0.56x 0.00x NM N/A
Almanac Realty Securities VIII (Sidecar II) 2018 12/21/2018 34.0 0.6 0.0 0.6 33.4 34.0 1.03x 0.00x NM N/A
Artemis Income and Growth Fund 2018 N/A 101.0 0.0 0.0 0.0 101.0 101.0 - - - -
Brookfield Strategic Real Estate Partners III, L.P. 2018 N/A 193.0 0.0 0.0 0.0 193.0 193.0 - - - -
Heitman Core Real Estate Debt Income Trust 2018 11/7/2018 59.0 59.4 0.4 60.2 0.0 60.2 1.02x 0.01x NM N/A
KKR Real Estate Partners Americas II 2018 2/9/2018 135.4 47.1 7.3 43.3 92.2 135.5 1.08x 0.16x NM N/A
Blackstone Real Estate Partners IX L.P. 2019 N/A 184.0 0.0 0.0 0.0 184.0 184.0 - - - -
Total: Active Investments 4,579.8 3,470.6 1,946.6 2,770.5 1,499.5 4,270.0 1.36x 0.56x 8.2% N/A
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NYCTRS Quarterly Report Confidential | 8
(in USD millions)
Vintage First Quartile
Fund Year Cash Flow Commitment Contributions Distributions NAV Unfunded Exposure TVM DPI IRR Ranking
Liquidated Investments
BlackRock Carbon Capital III Co-Investments 2009 7/2/2009 40.0 43.8 53.2 0.0 0.0 0.0 1.2x 1.2x 9% Third
Canyon-Johnson Urban 2002 12/6/2002 15.0 13.7 16.4 0.0 0.0 0.0 1.2x 1.2x 11% Third
JPM Urban REN PTY FD 2008 12/16/2008 16.4 4.2 4.2 0.0 0.0 0.0 1.0x 1.0x 0% Third
KTR Industrial Fund III 2013 6/28/2013 70.0 31.8 49.7 0.0 0.0 0.0 1.6x 1.6x 41% First
OCM Real Estate Opportunities Fund III, L.P. 2002 5/30/2003 15.0 15.0 23.6 0.0 0.0 0.0 1.6x 1.6x 10% Third
RREEF America REIT III 2003 10/1/2007 15.0 15.0 8.5 0.0 0.0 0.0 0.6x 0.6x -8% Fourth
Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 8/5/2004 100.0 72.4 252.3 0.0 0.0 0.0 3.5x 3.5x 58% First
UrbanAmerica II 2005 1/30/2007 11.0 10.2 1.2 0.0 0.0 0.0 0.1x 0.1x -25% Fourth
Total: Liquidated Investments 282.4 206.2 409.0 0.0 0.0 0.0 2.0x 2.0x 34% N/A
Total: All Investments 4,954.1 3,676.8 2,355.7 2,771.5 1,591.5 4,363.0 1.4x 0.6x 10% Second
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Infrastructure Quarterly Report (Public):
Infrastructure Monitoring Report
For the period ended March 31, 2019
Report Prepared For:
Teachers’ Retirement System of the City of New York
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Table of Contents
I. Executive Summary .................................................................................................................................................. 1
Allocation Summary .............................................................................................................................................. 1 Performance Summary ......................................................................................................................................... 2 Portfolio Performance vs. Benchmarks ................................................................................................................. 3 Portfolio Diversification ........................................................................................................................................ 3
II. Infrastructure Market Overview .............................................................................................................................. 4
Market Update ...................................................................................................................................................... 4
III. Portfolio Review ....................................................................................................................................................... 6
Quarterly Highlights .............................................................................................................................................. 6 Performance by Vintage Year .......................................................................................................................... 7 Performance by Strategy and Industry Focus.................................................................................................. 7 Performance by Geographic Focus .................................................................................................................. 7
Portfolio Diversification ........................................................................................................................................ 8 By Strategy, Geography and Industry Focus .................................................................................................... 8 By Investment Manager .................................................................................................................................. 9
Portfolio Cash Flow Analysis ............................................................................................................................... 10 Quarterly Cash Flow Activity ......................................................................................................................... 10 Annual Cash Flow Activity ............................................................................................................................. 10 Net Funded and Unfunded Commitments by Vintage Year .......................................................................... 11
Portfolio Company-Level Analysis ....................................................................................................................... 12 Geographic Exposure and Performance ........................................................................................................ 12 Industry Exposure and Performance ............................................................................................................. 12 Public Market Exposure ................................................................................................................................. 13
IV. Risk Management Matrix ....................................................................................................................................... 14
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Important Information This document is meant only to provide a broad overview for discussion purposes. All information provided here is subject to change. This document is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation for any security, or as an offer to provide advisory or other services by StepStone Group LP, StepStone Group Real Assets LP, StepStone Group Real Estate LP, Swiss Capital Invest Holding (Dublin) Ltd, Swiss Capital Alternative Investments AG or their subsidiaries or affiliates (collectively, “StepStone”) in any jurisdiction in which such offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. The information contained in this document should not be construed as financial or investment advice on any subject matter. StepStone expressly disclaims all liability in respect to actions taken based on any or all of the information in this document. This document is confidential and solely for the use of StepStone and the existing and potential clients of StepStone to whom it has been delivered, where permitted. By accepting delivery of this presentation, each recipient undertakes not to reproduce or distribute this presentation in whole or in part, nor to disclose any of its contents (except to its professional advisors), without the prior written consent of StepStone. While some information used in the presentation has been obtained from various published and unpublished sources considered to be reliable, StepStone does not guarantee its accuracy or completeness and accepts no liability for any direct or consequential losses arising from its use. Thus, all such information is subject to independent verification by prospective investors.
The presentation is being made based on the understanding that each recipient has sufficient knowledge and experience to evaluate the merits and risks of investing in private market products. All expressions of opinion are intended solely as general market commentary and do not constitute investment advice or a guarantee of returns. All expressions of opinion are as of the date of this document, are subject to change without notice and may differ from views held by other businesses of StepStone. None of StepStone Group LP or any of its affiliates (collectively, “StepStone”) is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in connection with any investor’s continued engagement of StepStone.
All valuations are based on current values calculated in accordance with StepStone’s Valuation Policies and may include both realized and unrealized investments. Due to the inherent uncertainty of valuation, the stated value may differ significantly from the value that would have been used had a ready market existed for all of the portfolio investments, and the difference could be material. The long-term value of these investments may be lesser or greater than the valuations provided.
StepStone Group LP, its affiliates and employees are not in the business of providing tax, legal or accounting advice. Any tax-related statements contained in these materials are provided for illustration purposes only and cannot be relied upon for the purpose of avoiding tax penalties. Any taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor. Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments. Each prospective investor is urged to discuss any prospective investment with its legal, tax and regulatory advisors in order to make an independent determination of the suitability and consequences of such an investment.
An investment involves a number of risks and there are conflicts of interest. Each of StepStone Group LP, StepStone Group Real Assets LP and StepStone Group Real Estate LP is an investment adviser registered with the Securities and Exchange Commission (“SEC”). StepStone Group Europe LLP is authorized and regulated by the Financial Conduct Authority, firm reference number 551580. Swiss Capital Invest Holding (Dublin) Ltd (“SCHIDL”) is an SEC Registered Investment Advisor and Swiss Capital Alternative Investments AG (“SCAI”) (together with SCHIDL, “Swiss Cap”) is registered as a Relying Advisor with the SEC. Such registrations do not imply a certain level of skill or training and no inference to the contrary should be made.
All data is as of March 31, 2019 unless otherwise noted. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ACTUAL PERFORMANCE MAY VARY.
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I. Executive Summary The Teachers’ Retirement System of the City of New York (“NYC TRS”) established the Infrastructure Program (the “Program”) in December of 2012 on behalf of its beneficiaries to participate in attractive long-term investment opportunities and to provide diversification to its overall pension investment portfolio. The inclusion of infrastructure in the NYC TRS pension portfolio allows for global investments in facilities or assets that provide core essential services critical to the operation and development of economies. Typically infrastructure investments have high barriers to entry due to significant capital expenditure requirements, exclusive long term contracts or regulatory requirements. Infrastructure investments are comprised of long useful-life assets with high tangible value and relatively low value erosion over time. The Program seeks to invest in opportunities in a variety of infrastructure sectors, including but not limited to, transportation, energy, power, utilities, water, wastewater, communications and social infrastructure. StepStone Group LP (“StepStone”) was engaged by NYC TRS on October 20, 2014 to provide infrastructure advisory services for prospective investment opportunities and monitoring and reporting services for existing and new investments. Since inception through March 31, 2019, the Program has committed US$1,508.1 million to 18 partnership investments (the “Portfolio”). This quarterly monitoring report covers the performance of the Portfolio as of March 31, 2019 as well as significant activity that occurred during the first quarter of 2019. Allocation Summary NYC TRS has an Infrastructure allocation target of 2% of total pension assets. As of March 31, 2019, the market value of NYC TRS Infrastructure Program represented approximately 1.2% of total pension assets, a five-basis point increase from the prior quarter. As the Program matures, the percentage of its market value relative to the total NYC TRS pension assets will continue to increase.
*NYC TRS total Pension Assets are as of quarter-end (or, if not yet available, the most recent month-end prior to quarter-end) as reported by The New York City Comptroller's Office on www.comptroller.nyc.gov.
US$ in millions*March 31, 2019 December 31, 2018 March 31, 2018 Quarterly
ChangeYearly
Change
Tota l Pens ion Assets* $74,430.0 $69,147.0 $71,467.0 $5,283.0 $2,963.0
Tota l Infrastructure Assets $868.4 $773.1 $573.7 $95.4 $294.8
% Al location to Infrastructure (Target of 2%) 1.2% 1.1% 0.8% +5 bps +36 bps
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Performance Summary As of March 31, 2019, the Infrastructure Program has achieved a Total Value to Paid-In multiple of 1.3x invested capital and an IRR of 13.2%. Note that, given the relative immaturity of the Portfolio and underlying fund investments, the current performance to-date is not meaningful.
* Note that amounts may not total due to rounding. Past performance is not necessarily indicative of future results and there can be no assurance that the investment will
achieve comparable results or avoid substantial losses. 1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. Note that the Base/(US$) committed
capital for foreign currency-denominated investments as of respective quarter-end dates is calculated as follows: (total net amount funded in Base currency) + (unfunded commitment in Local currency * quarter-end exchange rate). StepStone utilizes S&P Capital IQ as the source for quarter-end exchange rates to calculate committed capital.
2 Exposure represents the sum of Market Value and Unfunded Commitment. 3 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided
by Contributed Capital. 4 TVPI, or Total Value to Paid-In Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time.
TVPI is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 5 IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’
fees, expenses and carried interest. 6 TVPI and IRR Net of StepStone fees represent TVPI and IRR net of fees paid by NYC TRS to StepStone through the quarter-end date.
US$ in millions*March 31, 2019 December 31, 2018 March 31, 2018 Quarterly
ChangeYearly
Change
Number of Managers 10 10 10 0 0
Number of Investments 18 16 13 2 5
Committed Capita l 1 $1,508.1 $1,321.6 $1,155.3 $186.5 $352.8
Contributed Capita l $842.1 $759.4 $541.7 $82.7 $300.4
Dis tributed Capita l $193.6 $177.1 $109.4 $16.6 $84.2
Market Va lue $868.4 $773.1 $573.7 $95.4 $294.8
Tota l Va lue $1,062.1 $950.1 $683.1 $111.9 $379.0
Tota l Gain/(Loss ) $220.0 $190.8 $141.4 $29.2 $78.6
Unfunded Commitment $755.7 $650.0 $670.4 $105.7 $85.3
Exposure2 $1,624.2 $1,423.1 $1,244.0 $201.1 $380.1
DPI3 0.2x 0.2x 0.2x 0.0x 0.0x
TVPI4 1.3x 1.3x 1.3x 0.0x 0.0x
IRR5 13.2% 13.0% 14.0% 0.2% -0.8%
TVPI Net of StepStone Fees 6 1.3x 1.3x 1.3x 0.0x 0.0x
IRR Net of StepStone Fees 6 13.2% 12.9% 14.0% 0.2% -0.8%
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Portfolio Performance vs. Benchmarks The performance benchmark for the Infrastructure Portfolio is to meet or exceed the Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period. The Infrastructure Portfolio’s performance is also measured against a dollar-weighted public benchmark, which produced the return that would have been earned if NYC TRS’s infrastructure cash flows were invested in an index of 50% Russell 3000® and 50% Barclays U.S. Aggregate®. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%. The following graph illustrates Portfolio IRR performance versus benchmarks as of March 31, 2019.
Portfolio Diversification The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
13.2%
5.5%6.8%
0%
2%
4%
6%
8%
10%
12%
14%
NYC TRSIRR ¹
Consumer Price Index (“CPI”) + 4% ²
Russell 3000 (50%)/Barclays US Agg (50%) ³
%
1NYC TRS since inception Internal Rate of Return (“IRR”) is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’ fees, expenses and carried interest. Past performance is not necessarily indicative of future results. 2Consumer Price Index ("CPI") benchmark represents the compound annual growth rate of the Consumer Price Index for All Urban Consumers and All Items, as provided by the U.S. Department of Labor: Bureau of Labor Statistics, calculated over a five-year rolling period plus a 4.0% premium. 3 Benchmark is a dollar-weighted PME+ calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. These index comparisons are being provided solely for informational purposes as an indication of returns that could be earned by investors by making similar investments in the indexes and should not be relied upon for any purpose. An investor cannot directly invest in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented.
Market Value Unfunded Commitment Exposure
As of March 31, 2019. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 765.9 88.2% 708.0 93.7% 1,473.8 90.7%
Non-Core 102.6 11.8% 47.7 6.3% 150.3 9.3%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
By Geographic Focus:
Global 291.3 33.5% 150.7 19.9% 442.0 27.2%
North America 89.5 10.3% 68.0 9.0% 157.5 9.7%
OECD 487.6 56.1% 537.1 71.1% 1,024.7 63.1%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
By Industry Focus:
Divers i fied 753.8 86.8% 549.9 72.8% 1,303.6 80.3%
Energy 114.7 13.2% 205.8 27.2% 320.5 19.7%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
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II. Infrastructure Market Overview Market Update1 During the first quarter of 2019, the North American market faced increasing volatility, as concerns around the U.S.-China trade dispute and Brexit continued to cast uncertainty on the economic outlook. While the U.S. equity market regained some ground from the weak end to 2018, North American Central Banks have remained cautious as economic indicators signal the continuous need for expansionary policies. The Federal Reserve is expected to have no rate hikes this year and the Bank of Canada is also slowing the pace of rate hikes in 2019. Against this economic backdrop, infrastructure funds continue to demonstrate strong appetite for North American midstream, telecom, and renewable assets. Multiple significant midstream transactions were announced in Q1 2019. Blackstone acquired Tallgrass Energy (100% GP interest, 44% economic interest) for US$3.3 billion in equity. The transaction implies an acquisition multiple of 14.2x EBITDA. Also in the midstream sector, EQM Midstream Partners acquired Hornet Midstream from Morgan Stanley (North Haven Infrastructure Partners) for US$1.03 billion and Blackstone acquired a 45% interest in Targa Badlands, a crude oil and natural gas gathering and storage business in North Dakota, from Targa Resources for US$1.6 billion. In the telecom space, Brookfield’s US$1.1 billion acquisition of AT&T data centres reached financial close. Additionally, based on public news sources, a consortium comprising Digital Colony and EQT are reportedly in negotiations to acquire Zayo Corporation, a publicly listed US telecommunications provider with an enterprise value of US$13.4 billion. The renewable sector remained active with several large-scale brownfield transactions announced: American Electric Power and KKR led the way with acquisitions of Sempra Energy’s 2.0GW wind portfolio and NextEra’s 1.2GW operating renewable portfolio, respectively.
In Europe, M&A activity in the European transport sector was robust during the first quarter of 2019. In the airports sub-sector, APG, QIC and Swiss Life acquired a 36% stake in Brussels Airport from Macquarie. In the car parking sub-sector, MEAG and Mirova acquired a 49.2% interest in Indigo, a France-based car park operator, from Ardian. Also in the car parking sub-sector, Sumitomo, a Japanese conglomerate, acquired Q-Park’s Nordic assets from KKR. In the ports sub-sector, a consortium led by Monaco Resources, acquired a 100% interest in Euroports from Antin, Brookfield and Arcus, with the transaction implying an acquisition multiple of 11.4x EBITDA. Also in the ports sub-sector, PSA International, the Polish Development Fund and IFM acquired a 100% interest in DCT Gdansk, the largest container terminal in Poland, from Macquarie Infrastructure and Real Assets, MTAA Super, AustralianSuper and Statewide Super. No financial information on the deal was disclosed, however based on public news sources, the deal transacted in the range of 16-18x EBITDA. In the telecommunications sector, Basalt Infrastructure Partners acquired Manx-Telecom, a provider of fixed line, broadband, mobile and data services to customers and businesses on the Isle of Man, in the UK. The transaction values Manx-Telecom at 11.7x EBITDA. Also in the telecommunications sector, Mirova acquired a 49% interest in Axione, a French telecom infrastructure operator. In the utilities sector, German energy group Uniper agreed to sell a 48.2% stake in the Offshore LNG Toscana project to First State for €400 million. Ontario Teachers’ Pension Plan agreed to sell its 50% stake in InterGen to Sev.en Energy. InterGen owns a total installed capacity of 4,000MW across its CCGT plants in the UK, and two coal-fired power stations in Australia. In the renewables sector, Macquarie agreed to acquire a portfolio of geothermal and hydro projects in Iceland from Canadian developer Innergex Renewable Energy in a transaction that valued the assets at an acquisition multiple of 12.7x EBITDA. In the wind sub-sector, Greencoat UK Wind and HSBC UK Pension Scheme agreed to buy a 49.9% stake in two Scottish wind farms from SSE for £635 million. SSE holds the remaining 50.1% and will continue to operate both assets.
In Latin America, transaction activity over the quarter was robust in the power and renewables sectors, and predominantly in greenfield projects. The largest transaction closing over the quarter consisted of the financial close of Gás Natural Açu (“GNA”)’s Porto de Açu project, an LNG-to-power plant in Brazil. GNA is a joint venture formed by Prumo Logistica, BP, and
1 Data used in this section is Q1 2019 data from InfraNews and Preqin.
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Siemens. The gas-fired power plant will have a capacity of 1.3GW and is expected to begin commercial operations in 2021. Total construction cost is expected to be US$1.2 billion. Greenfield activity was also strong in the renewables sector, particularly in Mexico due to its energy auctions of power purchase agreements. Such projects reaching financial close during the quarter include: two 150MW solar energy projects in Zacatecas with equity sponsor Helios Generación (a joint venture between Fomento a la Energía e Infraestructura de México 2 and Pattern Energy Group), requiring capex of US$370 million; a 220MW wind farm in Puebla with equity sponsor Iberdola S.A. requiring capex of US$225 million; a 90MW solar power project in Sonora with equity sponsor EDF Renewables requiring capex of US$115 million. Within the transport sector, Brookfield Infrastructure sold a 33% stake of its Chilean highway concessions, Vespucio Norte and Túnel San Cristóbal, to Chilean infrastructure fund Frontal Trust Infraestructura Alpha Fondo de Inversión for a reported US$330 million.
In Australia, there were a number of notable transactions that occurred during the quarter across various sectors. In renewables, Tilt Renewables acquired the Liverpool Range Wind Farm project from Epuron. The greenfield project is in pre-construction phase and has received development approval for up to 267 turbines. Upon completion, the project is anticipated to have a total capacity of ~1,000MW, which would make it the largest wind farm in Australia. Elsewhere in the energy sector, QIC-owned Lochard Energy acquired the Heytesbury depleted gas reservoir assets from Origin Energy. The assets are located near Lochard Energy’s Iona gas storage facility and have potential to be developed for incremental gas storage for Iona. In telecommunications, Brookfield acquired two data centres from Blackstone’s portfolio company DCI for A$253 million. The two data centres are located in Sydney and Adelaide. The transaction implies an acquisition multiple of ~12.6x EBITDA. In ports, Gateway Infrastructure Investments (managed by Corsair Infrastructure Partners) divested its 37.5% interest in DP World Australia to DP World. In social infrastructure, AMP Capital’s Community Infrastructure Fund (“CommIF”) acquired a 50% interest in the Optus Stadium from John Laing. The 60,000-seat stadium is located in Perth and is owned under an availability PPP expiring in 2039.
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III. Portfolio Review Quarterly Highlights
• New Investment Commitments – During the first quarter of 2019, the Program closed on two new investments totaling US$186.2 million. This is shown in the table below.
• Subsequent Investment Commitments – Subsequent to quarter-end, the Program closed on one new investment commitment totaling US$97.0 million. This is shown in the table below.
• Cash Outflow Decreased – During the first quarter of 2019, the Program made US$82.7 million of contributions and received US$16.6 million of distributions, for a net cash outflow of US$66.1 million. This compared to a net cash outflow of US$45.0 million during the prior quarter.
• Valuation Increased – During the first quarter of 2019, net of cash flow activity, the valuation of the Portfolio increased by approximately US$29.2 million, or 3.5%, from the prior quarter. The valuation increase primarily reflects the increase in value of underlying investments in Global Infrastructure Partners III L.P.
• New Underlying Fund Investments – During the first quarter of 2019, seven new investment positions were added to the Portfolio.
• Company Exits – During the first quarter of 2019, one new investment position exited the Portfolio.
US$ in millions
Investment Month and Year Closed
Vintage Year
Strategy Geographic Focus Industry Focus Committed Capital
ARDIAN Infrastructure Fund V B S.C.S., SICAV-RAIF March 2019 2018 Infrastructure OECD Divers i fied $73.0
Global Infrastructure Partners IV, L.P. March 2019 2019 Infrastructure OECD Divers i fied 113.2
Total $186.2
US$ in millions
Investment Month and Year Closed
Vintage Year
Strategy Geographic Focus Industry Focus Committed Capital
Brookfield Infrastructure Fund IV, L.P. May 2019 2019 Infrastructure Global Divers i fied $97.0
Total $97.0
US$ in millions
Company Fund(s)Investment
Date Stage Industry CountryExposed Invested Capital
Exposed Market Value
TVM
Indian Gas Pipel ine Bus iness Brookfield Infrastructure Fund II I , L.P. Mar-19 Private Midstream India 6.8 6.9 1.0x
SemCAMS Midstream ULC KKR Global Infrastructure Investors I I I L.P. Feb-19 Private Midstream Canada 5.7 5.7 1.0x
Kodiak Gas Services EQT Infrastructure II I (No.2) SCSp Feb-19 Private Midstream United States 5.6 5.7 1.0x
Axium Aurora Solar Axium Infrastructure Canada II (Intl ) L.P. Feb-19 Private Renewables Canada 1.5 1.5 1.0x
As ia Paci fic Data Center Bus iness Brookfield Infrastructure Fund II I , L.P. Jan-19 Private Telecom Austra l ia 1.5 1.6 1.0x
Altava i r Ai rcraft Leas ing KKR Global Infrastructure Investors I I I L.P. Feb-19 Private Transportation Ireland 0.4 0.4 1.0x
Blue Racer Midstream NYCRS EIG Energy Partners , L.P. Feb-19 Private Midstream United States 0.2 0.3 1.1x
US$ in millions
Company Fund(s)Investment
DateExit
Date Stage Industry CountryInvested Capital
Total Value TVM
Dominion Midstream Partners Global Energy & Power Infrastructure Fund II Dec-16 Feb-19 Publ ic Midstream United States 2.1 2.5 1.2x
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Performance by Vintage Year The following table illustrates the Portfolio’s since-inception investment performance by vintage year as of March 31, 2019. Note that the performance of funds that are less than two years old is not meaningful.
Performance by Strategy and Industry Focus The following table illustrates the Portfolio’s since-inception investment performance by strategy and industry focus as of March 31, 2019.
Performance by Geographic Focus The following table and charts illustrate the Portfolio’s since-inception investment performance by geographic focus as of March 31, 2019.
*Past performance is not necessarily indicative of future results and there can be no assurance that the fund will achieve comparable results or avoid substantial losses.
As of March 31, 2019 (US$ in millions)
Vintage Year
CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
2013 $140.0 $111.7 $31.2 $135.9 $167.1 $55.4 $35.1 $171.0 0.3x 1.5x 12.6%
2014 330.0 358.3 139.0 349.1 488.1 129.7 36.1 385.2 0.4x 1.4x 14.3%
2016 330.6 194.2 16.3 202.0 218.4 24.2 149.8 351.8 0.1x 1.1x 10.1%
2017 259.1 163.6 7.2 168.3 175.4 11.8 100.6 268.9 0.0x 1.1x 15.1%
2018 175.2 14.2 - 13.6 13.6 - 161.0 174.6 NM NM NM
2019 273.2 0.1 - - - - 273.1 272.6 NM NM NM
Total $1,508.1 $842.1 $193.6 $868.4 $1,062.1 $220.0 $755.7 $1,624.2 0.2x 1.3x 13.2%
As of March 31, 2019 (US$ in millions)
Strategy/Industry CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Core $1,372.1 $746.1 $185.4 $765.9 $951.3 $205.2 $708.0 $1,473.8 0.2x 1.3x 13.0%
Divers i fied 1,126.2 656.7 138.7 690.7 829.4 172.7 542.4 1,233.1 0.2x 1.3x 11.7%
Energy 245.9 89.4 46.7 75.2 121.9 32.5 165.6 240.7 0.5x 1.4x 33.4%
Non-Core 136.0 96.0 8.2 102.6 110.8 14.8 47.7 150.3 0.1x 1.1x 18.9%
Divers i fied 63.4 58.1 2.6 63.1 65.7 7.6 7.5 70.5 0.0x 1.1x 19.2%
Energy 72.6 37.9 5.6 39.5 45.1 7.2 40.3 79.8 0.1x 1.2x 18.6%
Total $1,508.1 $842.1 $193.6 $868.4 $1,062.1 $220.0 $755.7 $1,624.2 0.2x 1.3x 13.2%
As of March 31, 2019 (US$ in millions)
Geographic Focus CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Global $395.0 $258.9 $43.3 $291.3 $334.6 $75.7 $150.7 $442.0 0.2x 1.3x 13.0%
North America 155.9 88.8 2.3 89.5 91.8 3.0 68.0 157.5 0.0x 1.1x 7.8%
OECD 957.2 494.3 148.1 487.6 635.7 141.4 537.1 1,024.7 0.3x 1.3x 13.5%
Total $1,508.1 $842.1 $193.6 $868.4 $1,062.1 $220.0 $755.7 $1,624.2 0.2x 1.3x 13.2%
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Portfolio Diversification By Strategy, Geography and Industry Focus
The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
Market Value Unfunded Commitment Exposure
As of March 31, 2019. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 765.9 88.2% 708.0 93.7% 1,473.8 90.7%
Non-Core 102.6 11.8% 47.7 6.3% 150.3 9.3%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
By Geographic Focus:
Global 291.3 33.5% 150.7 19.9% 442.0 27.2%
North America 89.5 10.3% 68.0 9.0% 157.5 9.7%
OECD 487.6 56.1% 537.1 71.1% 1,024.7 63.1%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
By Industry Focus:
Divers i fied 753.8 86.8% 549.9 72.8% 1,303.6 80.3%
Energy 114.7 13.2% 205.8 27.2% 320.5 19.7%
Total 868.4 100.0% 755.7 100.0% 1,624.2 100.0%
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
By Investment Manager
As of March 31, 2019, the Program had made 18 investment commitments to ten managers. NYC TRS seeks to limit its exposure to any single manager to no more than 10% of the total Real Assets Program when fully invested. As the Program matures and closes on additional commitments, the single manager exposure is expected to decline significantly. Below is the Portfolio’s current exposure by manager.
18.5%
16.3%
11.8%
11.3%
9.8%
9.7%
8.6%
5.0%
4.9%4.1%
Brookfield
Global InfrastructurePartners
Kohlberg Kravis Roberts& Co
IFM Investors
BlackRock
EQT Partners
Ardian Infrastructure
EIG ManagementCompany
Actis Capital, LLP
Axium Infrastructure
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Portfolio Cash Flow Analysis Quarterly Cash Flow Activity During the first quarter of 2019, the Program made US$82.7 million of contributions and received US$16.6 million of distributions, for a net cash outflow of US$66.1 million. As of March 31, 2019, 15 fund investments in the Portfolio had cash flow activity. As the Program’s commitment and investment activity increases, net cash outflow is expected to increase. The graph below illustrates cash flow activity since inception by calendar quarter.
Annual Cash Flow Activity During 2018, the Program made US$82.7 million of contributions and received US$16.6 million of distributions, for a net cash outflow of US$66.1 million. The graph below illustrates cash flow activity since inception by calendar year.
($5.0)($21.6)
($106.7)
($41.9) ($47.1)
($83.3) ($87.2) ($82.7)
$40.3
$11.5 $10.1 $24.4
$4.7 $20.7
$42.2
$16.6
($120.0)
($100.0)
($80.0)
($60.0)
($40.0)
($20.0)
$0.0
$20.0
$40.0
$60.0
Q2 2017 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q1 2019
US$
in m
illio
ns
Calendar Quarter
Contributed Distributed Net Cash Flow
($10.3)($32.0)
($196.4)
($113.6)($147.6)
($259.5)
($82.7)
$0.0 $3.3 $5.9 $10.4
$65.4 $92.0
$16.6
($300.0) ($250.0) ($200.0) ($150.0) ($100.0)
($50.0) $0.0
$50.0 $100.0 $150.0
2013 2014 2015 2016 2017 2018 2019
US$
in m
illio
ns
Calendar Year
Contributed Distributed Net Cash Flow
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Net Funded and Unfunded Commitments by Vintage Year The following chart illustrates the Portfolio’s net funded commitments (defined as total contributions inside commitment less any returns of excess capital and recallable distributions) as a percentage of total capital commitments, by fund vintage year, as of March 31, 2019. Overall, the Portfolio was 50.1% unfunded as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (%)
The following chart illustrates the Portfolio’s net funded commitments relative to total capital commitments, by fund vintage year, as of March 31, 2019. Overall, the Portfolio had US$755.7 million of unfunded commitments as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (US$ millions)
25.1%10.9%
45.3%38.8%
91.9%100.0%
50.1%
74.9%89.1%
54.7%61.2%
8.1%
49.9%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2013 2014 2016 2017 2018 2019 Total
%
Vintage Year Unfunded Commitments Net Funded Commitment
$149.8 $100.6 $161.0 $273.1
$755.7
$104.9 $293.9
$180.8 $158.5
$752.3
$140.0
$330.0 $330.6 $259.1
$175.2 $273.2
$1,508.1
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
$1,600
2013 2014 2016 2017 2018 2019 Total
US$
in m
illio
ns
Vintage Year Unfunded Commitments Net Funded Commitment
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Portfolio Company-Level Analysis As of quarter-end, the Portfolio had exposure to 125 unique unrealized portfolio companies/investment positions. As the Portfolio matures, the number of unique portfolio companies/investment positions is expected to increase significantly. On the individual fund level, all current investments are within the single investment limitation of 15% of total fund size. The Program’s individual portfolio investment exposure is relatively concentrated as a result of the relative immaturity of the Program. Geographic Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by geographic region at the portfolio company level.
Industry Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by industry at the portfolio company level.
*Multiples may not add to total multiple due to rounding.
1.3x1.2x
1.0x1.2x
1.5x
1.0x1.2x
0.2x0.1x
0.3x0.1x
0.2x
0.2x
1.5x
1.3x1.3x 1.2x
1.5x
1.1x
1.4x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Europe (31) North America(71)
Latin America (12) Asia/Australia (8) Africa (2) Middle East (1) Total Portfolio(125)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Geography
RVPI DPI
0.2x
45.3%
32.7%
13.5%
6.7%1.1% 0.8%
Geography Exposure by Current Market Value
North America Europe
Latin America Asia/Australia
Middle East Africa
1.2x 1.2x 1.2x1.1x
1.3x1.1x 1.2x 1.2x
0.2x 0.2x0.2x
0.3x0.0x
0.2x0.2x
1.3x 1.4x1.5x 1.4x
1.4x1.3x
1.2x
1.4x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Renewables(42)
Transportation(20)
Utilities (16) Other (11) Telecom (11) Midstream (22) ConventionalPower (3)
Total Portfolio(125)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Industry
RVPI DPI
29.7%
25.3%17.3%
13.0%
11.5%
1.6% 1.6%
Industry Exposure by Current Market Value
Transportation RenewablesMidstream UtilitiesTelecom OtherConventional Power
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Public Market Exposure As of quarter-end, publicly traded investments comprised 15.6% of the Portfolio’s exposed market value. The following chart illustrates the current public market exposure at the portfolio company level.
Public Market Exposure Current Market Value
84.4%
15.6%
Private Public
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
IV. Risk Management Matrix
Category Requirement Status Status Notes
Allocation NYC TRS has an Infrastructure allocation target of 2% of total pension assets.
The market value of NYC TRS Infrastructure Program represents approximately 1.2% of total pension assets. As the Program matures, its market value as a percentage of the total NYC TRS pension assets and the total Infrastructure Program is expected to increase.
Performance vs. Benchmarks
The performance benchmark for the Infrastructure Portfolio is to meet or exceed: (i) The Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period and (ii) A dollar-weighted PME+ (“PME”) calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%.
As of March 31, 2019, the Portfolio outperformed the CPI and PME benchmark by 7.7% and 6.4%, respectively. However, given the relative immaturity of the Portfolio, the current performance to-date versus benchmarks is not meaningful.
Strategy Diversification
Core Infrastructure Investments: 60-100% Non-Core Infrastructure Investments: 0-40% Actual percentages may differ substantially from these targets during the initial years of the Program.
The Program is in compliance with the Core/Non-Core allocation ranges. Currently the Program has 90.7% exposure to Core investments and 9.3% exposure to Non-Core investments.
Asset Type & Location Diversification
The Program will seek diversification by asset type, revenue drivers, and geography. The portfolio may include a variety of assets including but not limited to electricity transmission, pipelines, airports, toll roads, communication towers and electric generators, windmills etc. to vary the sources of revenue to the portfolio.
Given the relative immaturity of the Portfolio, it is not yet diversified by asset type. The asset types and geographic location of current Portfolio investments are in compliance with the Program’s Investment Policy Statement and Permissible Markets.
Leverage The average leverage of all investments in the Program is to be no higher than 65%. The Program is in compliance with the average leverage
limitation. The current leverage level is 35.7%1.
Single Investment Size & Manager Diversification
The maximum commitment to a single investment is limited to no more than 15% of the aggregate committed capital of each fund. The maximum commitment to a single manager is limited to 10% of the total Real Assets Program allocation when fully invested.
On the individual fund level, all current investments are in compliance with the single investment limitation of 15% of total fund size. The Program is in compliance with the single manager limitation of 10% of the total Infrastructure Program. The Program’s manager exposure is currently relatively concentrated as a result of the relative immaturity of the Program. Manager diversification is expected to increase as the Program closes on new investment commitments.
1The Program’s leverage level is calculated by using a weighted average of each underlying investment’s leverage and Net Asset Value as of March 31, 2019.
Page 434 of 715
Vintage Year Investment Closing Date Committed
Capital
Contributed
Capital
Distributed
Capital
Market
Value TVPI IRR
Active Investments:
2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $140,000,000 $111,687,238 $31,177,244 $135,878,541 1.5x 12.6%
2014 IFM Global Infrastructure Fund 1/2/2014 $140,000,000 $186,921,633 $81,463,179 $183,350,925 1.4x 12.3%
2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $90,000,000 $76,072,593 $46,307,135 $61,462,589 1.4x 34.8%
2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $100,000,000 $95,308,621 $11,190,685 $104,276,208 1.2x 11.1%
2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $139,000,000 $105,060,154 $6,879,778 $109,650,195 1.1x 8.4%
2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $119,000,000 $51,235,785 $3,860,070 $52,884,396 1.1x 8.9%
2016 Actis Energy 4 12/16/2016 $72,600,000 $37,911,673 $5,591,532 $39,504,000 1.2x 18.6%
2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $63,379,644 $58,095,320 $2,639,560 $63,078,731 1.1x 19.2%
2017 ASF VII Infrastructure L.P. 4/24/2017 $65,000,000 $25,681,715 $2,238,593 $25,008,630 1.1x 28.1%
2017 Axium Infrastructure North America 8/14/2017 $66,030,248 $66,502,543 $1,870,368 $66,477,388 1.0x 7.0%
2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $64,710,000 $13,341,907 $430,235 $13,703,373 1.1x 10.6%
2018 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $16,180,000 - - - NM NM
2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $75,000,000 $5,196,625 - $4,275,160 NM NM
2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $75,000,000 - - - NM NM
2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $9,000,000 $9,000,000 - $9,319,105 NM NM
2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $87,000,000 - - (&502,232) NM NM
2019 Ardian Infrastructure Fund V B 3/4/2019 $72,951,304 $74,789 - $68,621 NM NM
2019 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $113,200,000 - - - NM NM
Total $1,508,051,196 $842,090,597 $193,648,379 $868,435,629 1.3x 13.2%
Teachers' Retirement System of the City of New York
Infrastructure Portfolio
As of March 31, 2019
Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years,
the IRR is only an interim estimated return. The IRR calculated in the early years of a fund is usually not meaningful given the J-Curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by
StepStone Group LP, a consultant to the New York City Retirement Systems, based on information provided by the general partners of each investment (e.g. cash flows and valuations). The IRR calculations and other information contained in this report have not been reviewed or confirmed by the general partners. The result
of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and
valuations.
Page 435 of 715
Risk Quarterly Report (Public):
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 7.63
Benchmark Risk 7.33
Active Risk 0.94
Portfolio Beta 1.03
Effective Duration 2.69
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk RiskContribution %CR to TR
Total 75,589,417,203 100.00 7.63 7.63 100.00
EQUITY 46,933,917,569 62.09 11.93 7.32 95.90
FIXED INCOME 28,655,499,634 37.91 3.13 0.31 4.10
Asset Class Allocation
0
20
40
60
80
EQUITY FIXED INCOME0
25
50
75
100
Weight (%) %CR to Total Risk
Weights (%)%CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 7.63 100.00 1.00 0.94 100.00 1.00
Local Market Risk 7.13 93.49 0.99 0.86 91.21 0.96
Common Factor Risk 7.11 93.19 0.99 0.80 85.85 0.93
Equity 6.70 87.80 0.97 0.25 26.68 0.50
Fixed Income 0.21 2.81 0.18 -0.01 -0.65 -0.04
Private Real Estate 0.13 1.66 0.58 -0.01 -0.59 -0.04
Private Equity 0.07 0.91 0.10 0.57 60.40 0.78
Selection Risk 0.02 0.30 0.05 0.05 5.36 0.23
Currency Risk 0.50 6.51 0.46 0.08 8.79 0.31
Active Risk from Risk Factors
-20
0
20
40
60
80
Private Equity Equity Private Real
Estate
Fixed Income Selection Risk Currency Risk%
CR
to A
ctiv
e T
ota
l R
isk
1 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 437 of 715
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Risk Contribution Breakdown by Risk Type
Risk Contribution
Asset Name Mkt Value Weight (%) Eff Weight (%) Total Risk %CR to Total Risk Port Risk Contribution Equity Fixed Income Hedge Fund Commodity Private Real Estate Private Equity Currency Asset Specific
Total 75,589,417,203 100.00 100.00 7.63 100.00 7.63 6.70 0.21 0.00 0.00 0.13 0.07 0.50 0.02
EQUITY 46,933 ,917 ,569 62 .09 62 .09 11 .93 95 .90 7 .32 6 .59 0 .01 0 .00 0 .00 0 .13 0 .07 0 .49 0 .02
FIXED INCOME 28,655 ,499 ,634 37 .91 37 .91 3 .13 4 .10 0 .31 0 .10 0 .20 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
0.00 2.00 4.00 6.00 8.00
FIXED INCOME
EQUITY
Equity Fixed Income Hedge Fund Commodity Private Equity Private Real Estate Currency Asset Specific
2 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 438 of 715
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Allocation Selection
Allocation Selection Active
Asset Class Active Weight(%) Volatility Correlation Risk Contribution Volatility Correlation Risk Contribution Risk Contribution
Active Total Risk 0.00 0.94 0.94
EQUITY 0.09 4.48 0.20 0.00 1.48 0.99 0.91 0.91
FIXED INCOME -0.09 7.30 -0.20 0.00 0.40 0.20 0.03 0.03
-0.1
-0.05
0
0.05
0.1
EQUITY FIXED INCOME0
0.25
0.5
0.75
1
Active Weight(%) Allocation Risk Contribution Selection Risk Contribution Active Risk Contribution
Weights (%)Risk Contribution
3 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 439 of 715
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 0.00 7.63 0.94 100.00 0.01
N America 76.59 78.64 -2.05 6.75 0.64 68.30 -0.00
EMEA 11.68 9.72 1.96 12.91 0.16 16.87 0.02
Asia Pacific 9.49 9.93 -0.44 12.59 0.10 11.09 0.01
Latin-S America 1.59 1.22 0.38 21.95 0.03 3.14 0.05
N/A 0.34 0.00 0.34 9.31 0.00 0.32 0.01
Rest of World 0.31 0.50 -0.18 7.75 0.00 0.29 -0.01
-20%
0%
20%
40%
60%
80%
N America EMEA Asia Pacific Latin-S America N/A Rest of World
Portfolio Weight Benchmark Weight Active Weight
4 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 440 of 715
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total TrackingError
Total 100.00 100.00 0.00 7.63 0.94 100.00 0.01
United States 74 .55 76 .13 -1 .58 6 .68 0 .58 61 .90 -0 .00
United Kingdom 3.22 2 .24 0 .98 13 .97 0 .05 5 .68 0 .03
Japan 2 .65 2 .66 -0 .01 14 .58 0 .01 1 .57 0 .01
S. Korea 1 .59 1 .12 0 .47 18 .07 0 .01 1 .48 0 .03
India 1 .45 0 .80 0 .65 21 .27 0 .03 3 .00 0 .04
Germany 1 .34 1 .09 0 .25 15 .16 0 .02 2 .06 0 .03
Brazil 1 .26 0 .71 0 .56 31 .26 0 .05 5 .23 0 .07
Taiwan 1.25 0 .96 0 .29 15 .69 0 .01 0 .57 0 .02
Canada 1 .23 1 .73 -0 .50 9 .75 0 .01 0 .87 0 .01
France 1 .20 1 .33 -0 .13 14 .46 0 .01 0 .71 0 .03
Switzerland 1 .15 1 .05 0 .10 12 .31 0 .01 1 .01 0 .02
South Africa 0 .79 0 .54 0 .25 25 .89 0 .01 1 .44 0 .05
Netherlands 0 .74 0 .66 0 .08 14 .37 0 .01 1 .31 0 .02
Hong Kong 0 .52 0 .40 0 .12 19 .02 0 .00 0 .20 0 .01
Australia 0 .52 0 .82 -0 .30 14 .00 -0 .00 -0 .43 0 .02
Mexico 0 .48 0 .32 0 .16 20 .91 0 .01 1 .10 0 .04
Italy 0 .42 0 .34 0 .09 19 .40 0 .01 1 .12 0 .03
Indonesia 0 .41 0 .24 0 .17 21 .74 0 .01 0 .72 0 .02
Sweden 0.40 0 .33 0 .07 17 .48 0 .01 0 .75 0 .03
Thailand 0 .37 0 .26 0 .11 15 .68 0 .00 0 .23 0 .02
Spain 0 .37 0 .34 0 .02 15 .54 0 .00 0 .25 0 .02
Denmark 0 .35 0 .18 0 .17 15 .49 0 .01 0 .56 0 .03
N/A 0.35 0 .00 0 .35 9 .35 0 .00 0 .33 0 .01
Singapore 0 .34 0 .18 0 .16 14 .08 0 .00 0 .23 0 .01
Ireland 0 .31 0 .14 0 .17 6 .79 0 .00 0 .01 0 .00
Poland 0 .24 0 .11 0 .14 21 .29 0 .01 0 .76 0 .04
Malaysia 0 .24 0 .19 0 .05 14 .57 0 .00 0 .11 0 .01
Luxembourg 0 .24 0 .23 0 .01 6 .49 -0 .00 -0 .01 -0 .01
Norway 0 .16 0 .10 0 .07 20 .24 0 .00 0 .44 0 .03
Chile 0 .16 0 .09 0 .06 17 .80 0 .00 0 .11 0 .02 -20% 0% 20% 40% 60% 80%
Chile
Norway
Luxembourg
Malaysia
Poland
Ireland
Singapore
N/A
Denmark
Spain
Thailand
Sweden
Indonesia
Italy
Mexico
Australia
Hong Kong
Netherlands
South Africa
Switzerland
France
Canada
Taiwan
Brazil
Germany
India
S. Korea
Japan
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
5 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 441 of 715
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-25% 0% 25% 50% 75% 100%
Others
N/A
Frontier MarketEM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR(%)
CR to TR(%)
US Dollar 58,384,337,435.54 64.69 64.22
Euro 3,410,441,930.42 6.70 7.58
British Pound Sterling 2,147,270,624.20 5.62 4.59
Japanese Yen 1,987,382,914.59 1.38 3.47
Swiss Franc 833,498,587.37 1.01 1.49
Top Five Exposure $ CR toAR (%)
CR to TR(%)
Korean Won 1,193,693,771.45 1.46 2.62
Indian Rupee 1,090,728,695.40 3.00 1.94
Brazilian Real 944,701,909.78 5.22 2.59
New Taiwan Dollar 944,253,476.95 0.57 1.73
South African Rand 595,496,899.42 1.45 1.69
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 7.63 7.63 100.00 0.94 100.00
US Dollar 77 .24 80 .19 -2 .95 6 .55 4 .90 64 .22 0 .61 64 .69
Euro 4 .51 3 .42 1 .09 14 .90 0 .58 7 .58 0 .06 6 .70
British Pound Sterling 2 .84 1 .80 1 .04 15 .61 0 .35 4 .59 0 .05 5 .62
Japanese Yen 2 .63 2 .54 0 .09 14 .68 0 .26 3 .47 0 .01 1 .38
Korean Won 1.58 1 .10 0 .48 18 .19 0 .20 2 .62 0 .01 1 .46
Indian Rupee 1 .44 0 .79 0 .65 21 .31 0 .15 1 .94 0 .03 3 .00
Brazilian Real 1 .25 0 .68 0 .57 31 .59 0 .20 2 .59 0 .05 5 .22
New Taiwan Dollar 1 .25 0 .96 0 .29 15 .69 0 .13 1 .73 0 .01 0 .57
Swiss Franc 1 .10 1 .00 0 .11 12 .77 0 .11 1 .49 0 .01 1 .01
South African Rand 0 .79 0 .53 0 .26 25 .91 0 .13 1 .69 0 .01 1 .45
Canadian Dollar 0 .68 1 .09 -0 .42 14 .98 0 .08 1 .11 0 .01 0 .54
Hong Kong Dollar 0 .54 2 .35 -1 .82 18 .89 0 .06 0 .83 0 .03 3 .38
Australian Dollar 0 .48 0 .76 -0 .28 14 .66 0 .05 0 .72 -0 .00 -0 .51
Mexican Peso 0 .42 0 .22 0 .20 23 .68 0 .06 0 .75 0 .01 1 .11
Indonesian Rupiah 0 .38 0 .19 0 .19 23 .03 0 .04 0 .51 0 .01 0 .70
6 of 41
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Page 442 of 715
BarraOne Total Plan Macro SummaryMacro factor models attribute the risk of the Barra Integrated Model to a far smaller set of factors. At the highest level, we use just six factors,representing the primary drivers of total risk and return for a global, multi-asset class portfolio that reduces the number of factors in an integratedfactor model by aggregating selected groups of factors into single factors. Tier I is the highlest level of the Macro Factor Scheme which has 6 factors.
COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
MODEL: BIM303L (Tier 1 Macro Factors)
For further documentation on Macro factors please refer to the Research Insight, Risk from Any Altitude: Using the BarraOne Macro Factors - March 2014 https://support.msci.com/docs/DOC-8681
Macro Fac tor Exposures
-1
0
1
2
3
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets
Exposure Benchmark Exposure Active Exposure
Macro Fac tor R isk Contr ibut ion
-2
0
2
4
6
8
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets-0.1
0
0.1
0.2
0.3
0.4
Portfolio Risk Contribution Active Portfolio Risk Contribution
Port RiskActive Port Risk
R isk Decomposi t ion
Exposure Contribution
Risk Source Exposure BenchmarkExposure
Active Exposure
Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Total Risk - - - 7.64 100.00 0.94 100.00
Local Market Risk - - - 7.15 93.52 0.86 91.40
Common Factor Risk - - - 7.13 93.22 0.81 86.07
Equity 0.60 0.58 0.03 6.75 88.31 0.08 8.56
Credit 2.73 2.77 -0.04 0.43 5.58 -0.00 -0.22
Pure Alternatives 0.06 0.00 0.06 0.03 0.44 0.27 28.95
Interest Rates 2.70 2.54 0.16 -0.11 -1.49 -0.00 -0.01
Inflation 0.36 0.34 0.01 0.03 0.45 0.00 0.04
Real Assets 0.03 0.04 -0.02 0.15 2.02 -0.03 -3.52
Factor Residual Risk - - - -0.16 -2.07 0.49 52.28
Selection Risk - - - 0.02 0.30 0.05 5.32
Currency Risk - - - 0.50 6.48 0.08 8.60
T ier 1 Macro Fac tor Scheme has s ix fac tors
Factor Exposure Type DescriptionEquity Membership (weights) Global Public and Private EquityCredit Sensitivities (durations) Sensitivity to global credit spreadsPure Alternatives Membership (weights) Investment strategy return of Private Equity and
Hedge Funds net of public factor returnsInterest Rates Sensitivities (durations) Sensitivity to global interest ratesInflation Sensitivities (durations) Sensitivity to breakeven inflationReal Assets Membership (weights) Real Estate and Commodities
Fac tor Res idual R isk
Risk Source Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Commodities 0.00 0.00 0.00 0.00
Equity -0.05 -0.66 0.18 18.64
Fixed Income -0.13 -1.74 -0.01 -0.55
Hedge Fund 0.00 0.00 0.00 0.00
Private Equity 0.04 0.47 0.29 30.96
Private Real Estate -0.03 -0.36 0.03 2.77
Unassigned Factors 0.02 0.23 0.00 0.45
7 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: June 30, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 75,589,417,203POSITIONS: 24,618 ACCEPTED: 24,167
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Stress Scenarios
Top 10 Best Scenarios Top 10 Worst Scenarios
Scenario Portfolio P&L Benchmark P&L Market Change ($)
$200 per Barrel - Positive Expectation S 6.10 5.90 4,613,546,524
2001 Fed Rate Cut 4.10 4.33 3,095,771,990
2003 Iraq War 2.24 2.18 1,693,848,598
1995 US Dollar Rally 1.60 1.38 1,207,447,823
1999 Brazilian Real Crisis (Peak) 1.23 0.94 931,617,283
1994 Mexican Peso Crisis 0.46 0.52 346,451,226
1997-1998 Asian Financial Crisis 0.03 -0.69 25,371,946
1998 LTCM Collapse -1.23 -1.13 -928,176,288
1989 - 1990 Nikkei Stock Price Correctio -3.61 -3.52 -2,730,022,259
1994 US Rate Hike -3.80 -4.84 -2,871,222,945
Scenario Portfolio P&L Benchmark P&L Market Change ($)
2007-2009 Subprime and Credit Crisis -36.93 -35.70 -27,917,147,127
2008 - 2009 Global Financial Crisis -31.03 -29.74 -23,457,624,188
1987 Market Crash (Aug. to Nov.) -10.80 -10.54 -8,165,761,108
2007-2008 Equity Slow Grind -10.71 -10.59 -8,095,303,899
$200 per Barrel - Oil Supply Shock -10.28 -10.11 -7,771,914,113
1998 Russian Financial Crisis -9.39 -8.22 -7,099,424,487
2001 Sept 11 -8.27 -7.34 -6,254,619,871
2006 Emerging Market Crash -7.86 -7.15 -5,939,048,373
1990 Reunification of Germany -6.96 -5.96 -5,264,613,184
1973 - 1974 Oil Crisis -5.37 -5.08 -4,062,830,816
-5% -3% 0% 3% 5% 8%
1994 US Rate Hike
1989 - 1990 Nikkei Stock Price Correction
1998 LTCM Collapse
1997-1998 Asian Financial Crisis
1994 Mexican Peso Crisis
1999 Brazilian Real Crisis (Peak)
1995 US Dollar Rally
2003 Iraq War
2001 Fed Rate Cut
$200 per Barrel - Positive Expectation Spike
Portfolio P&L Benchmark P&L
-40% -30% -20% -10% 0%
1973 - 1974 Oil Crisis
1990 Reunification of Germany
2006 Emerging Market Crash
2001 Sept 11
1998 Russian Financial Crisis
$200 per Barrel - Oil Supply Shock
2007-2008 Equity Slow Grind
1987 Market Crash (Aug. to Nov.)
2008 - 2009 Global Financial Crisis
2007-2009 Subprime and Credit Crisis
Portfolio P&L Benchmark P&L
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Page 444 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 46,933,917,569POSITIONS: 16,132 ACCEPTED: 15,765
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 11.93
Benchmark Risk 11.57
Active Risk 1.48
Portfolio Beta 1.02
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 46,933,917,569 100.00 11.93 11.93 100.00
Alternative 7,134,581,237 15.20 13.40 1.73 14.52
Public 39,799,336,332 84.80 12.09 10.19 85.48
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Public
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 11.93 100.00 1.00 1.48 100.00 1.00
Local Market Risk 11.18 93.75 0.99 1.36 91.65 0.96
Common Factor Risk 11.14 93.44 0.99 1.28 86.37 0.93
Equity 10.82 90.74 0.98 0.35 23.56 0.49
Style 0.17 1.38 0.45 0.08 5.14 0.25
Industry 10.66 89.35 0.98 0.27 18.42 0.44
Fixed Income 0.01 0.09 0.24 0.00 0.26 0.10
Nominal Rates -0.01 -0.11 -0.28 -0.00 -0.05 -0.02
Credit 0.02 0.21 0.64 0.01 0.53 0.21
Private Real Estate 0.20 1.65 0.56 0.00 0.07 0.00
Private Equity 0.11 0.96 0.10 0.92 62.48 0.79
Selection Risk 0.04 0.31 0.06 0.08 5.28 0.23
Currency Risk 0.74 6.25 0.44 0.12 8.35 0.31
Active Risk from Risk Factors
0
20
40
60
80
Equity Private Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
9 of 41
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Page 445 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 46,933,917,569POSITIONS: 16,132 ACCEPTED: 15,765
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 11.93 1.48 100.00 0.01
Asia Pacific 15.11 15.46 -0.35 12.72 0.17 11.73 0.00
EMEA 16.39 12.88 3.51 14.50 0.21 14.49 0.02
Latin-S America 2.34 1.65 0.69 23.87 0.05 3.11 0.06
N America 65.91 69.78 -3.87 12.23 1.05 70.66 0.01
N/A 0.00 0.00 0.00 9.78 0.00 0.00 0.00
Rest of World 0.26 0.24 0.02 14.26 0.00 0.02 0.00
0
0.25
0.5
0.75
1
1.25
N America EMEA Asia Pacific Latin-S America Rest of World N/A-20
0
20
40
60
80
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
10 of 41
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Page 446 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 46,933,917,569POSITIONS: 16,132 ACCEPTED: 15,765
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 11.93 1.48 100.00 0.01
United States 63 .49 66 .76 -3 .27 12 .25 0 .94 63 .64 0 .03
United Kingdom 4.55 2 .89 1 .66 15 .63 0 .07 4 .78 0 .05
Japan 4 .23 4 .09 0 .14 14 .68 0 .02 1 .19 0 .02
S. Korea 2 .55 1 .77 0 .78 18 .19 0 .02 1 .10 0 .04
India 2 .32 1 .28 1 .04 21 .31 0 .04 2 .77 0 .06
Germany 2 .02 1 .52 0 .50 16 .18 0 .02 1 .62 0 .05
Brazil 2 .02 1 .09 0 .92 31 .55 0 .08 5 .26 0 .10
Taiwan 2.01 1 .55 0 .46 15 .69 0 .01 0 .36 0 .03
France 1 .85 1 .97 -0 .12 14 .96 0 .01 0 .70 0 .05
Switzerland 1 .78 1 .61 0 .17 12 .74 0 .01 0 .86 0 .03
South Africa 1 .27 0 .85 0 .42 25 .94 0 .02 1 .23 0 .06
Canada 1 .15 1 .76 -0 .62 15 .07 0 .01 0 .93 0 .04
Netherlands 0 .89 0 .62 0 .27 18 .34 0 .01 0 .98 0 .05
Hong Kong 0 .84 0 .65 0 .19 19 .07 0 .00 0 .12 0 .02
Australia 0 .79 1 .23 -0 .44 14 .62 -0 .00 -0 .26 0 .03
Mexico 0 .68 0 .36 0 .32 23 .57 0 .01 1 .00 0 .06
Italy 0 .66 0 .40 0 .26 19 .95 0 .01 0 .92 0 .05
Sweden 0.64 0 .46 0 .18 17 .85 0 .01 0 .57 0 .05
Indonesia 0 .61 0 .30 0 .31 23 .03 0 .01 0 .63 0 .05
Thailand 0 .60 0 .43 0 .17 15 .68 0 .00 0 .17 0 .03
Denmark 0 .56 0 .30 0 .26 15 .75 0 .01 0 .45 0 .04
Singapore 0 .54 0 .27 0 .27 14 .35 0 .00 0 .13 0 .03
Spain 0 .53 0 .51 0 .02 17 .16 0 .00 0 .24 0 .04
Malaysia 0 .39 0 .30 0 .09 14 .57 0 .00 0 .08 0 .03
Poland 0 .39 0 .16 0 .23 21 .40 0 .01 0 .67 0 .06
Norway 0 .24 0 .12 0 .13 21 .24 0 .00 0 .33 0 .05
Turkey 0 .24 0 .07 0 .16 36 .12 0 .01 0 .63 0 .08
Philippines 0 .23 0 .16 0 .07 17 .13 0 .00 0 .06 0 .04
Chile 0 .22 0 .13 0 .09 20 .28 0 .00 0 .10 0 .04
Ireland 0 .20 0 .09 0 .11 16 .04 0 .00 0 .15 0 .04 -20% 0% 20% 40% 60% 80%
Ireland
Chile
Philippines
Turkey
Norway
Poland
Malaysia
Spain
Singapore
Denmark
Thailand
Indonesia
Sweden
Italy
Mexico
Australia
Hong Kong
Netherlands
Canada
South Africa
Switzerland
France
Taiwan
Brazil
Germany
India
S. Korea
Japan
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
11 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 447 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 46,933,917,569POSITIONS: 16,132 ACCEPTED: 15,765
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
Others
N/A
Frontier MarketEM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 30,085,339,768.88 66.05 63.53
Euro 3,096,532,608.82 5.48 7.49
British Pound Sterling 2,124,019,699.42 4.80 4.80
Japanese Yen 1,987,382,914.59 1.19 3.61
Swiss Franc 833,482,851.41 0.87 1.55
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 1,193,693,769.29 1.10 2.69
Indian Rupee 1,090,728,695.40 2.77 1.90
Brazilian Real 944,701,909.78 5.26 2.65
New Taiwan Dollar 944,253,426.63 0.36 1.79
South African Rand 595,496,899.42 1.24 1.73
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 11.93 11.93 100.00 1.48 100.00
US Dollar 64 .10 68 .05 -3 .95 12 .22 7 .58 63 .53 0 .98 66 .05
Euro 6 .60 5 .51 1 .08 15 .52 0 .89 7 .49 0 .08 5 .48
British Pound Sterling 4 .53 2 .90 1 .63 15 .70 0 .57 4 .80 0 .07 4 .80
Japanese Yen 4 .23 4 .09 0 .14 14 .68 0 .43 3 .61 0 .02 1 .19
Korean Won 2.54 1 .77 0 .78 18 .19 0 .32 2 .69 0 .02 1 .10
Indian Rupee 2 .32 1 .28 1 .04 21 .31 0 .23 1 .90 0 .04 2 .77
Brazilian Real 2 .01 1 .09 0 .92 31 .59 0 .32 2 .65 0 .08 5 .26
New Taiwan Dollar 2 .01 1 .55 0 .46 15 .69 0 .21 1 .79 0 .01 0 .36
Swiss Franc 1 .78 1 .61 0 .17 12 .77 0 .19 1 .55 0 .01 0 .87
South African Rand 1 .27 0 .85 0 .42 25 .91 0 .21 1 .73 0 .02 1 .24
Canadian Dollar 1 .07 1 .76 -0 .69 14 .96 0 .14 1 .14 0 .01 0 .86
Hong Kong Dollar 0 .86 3 .80 -2 .93 18 .89 0 .10 0 .87 0 .08 5 .31
Australian Dollar 0 .77 1 .23 -0 .46 14 .66 0 .09 0 .74 -0 .00 -0 .27
Mexican Peso 0 .68 0 .36 0 .31 23 .68 0 .09 0 .76 0 .01 1 .01
Indonesian Rupiah 0 .61 0 .30 0 .31 23 .03 0 .06 0 .50 0 .01 0 .63
12 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 448 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: June 30, 2019
BENCHMARK: EQUITY MARKET VALUE: 46,933,917,569POSITIONS: 16,132 ACCEPTED: 15,765
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 11.93 1.48 100.00 0.01
Communication Services 6.56 7.95 -1.39 12.73 0.08 5.23 0.02
Consumer Discretionary 10.19 9.98 0.21 14.60 0.17 11.65 0.04
Consumer Staples 5.73 6.68 -0.95 9.93 0.04 2.61 0.03
Energy 5.14 5.15 -0.01 19.34 0.09 5.78 0.05
Financials 13.60 15.45 -1.84 13.11 0.11 7.77 0.03
Health Care 11.28 10.46 0.81 13.68 0.23 15.45 0.05
Industrials 10.48 9.35 1.12 14.23 0.16 10.67 0.05
Information Technology 17.38 15.65 1.72 15.87 0.33 22.34 0.06
Materials 5.31 4.27 1.03 15.73 0.08 5.50 0.05
Others 5.86 7.20 -1.35 8.00 0.17 11.16 0.01
Real Estate 5.70 4.94 0.75 11.65 0.02 1.10 0.02
Utilities 2.79 2.91 -0.12 9.13 0.01 0.75 0.02
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
13 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 449 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 39,799,336,332POSITIONS: 15,795 ACCEPTED: 15,467
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 12.09
Benchmark Risk 12.05
Active Risk 0.88
Portfolio Beta 1.00
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 39,799,336,332 100.00 12.09 12.09 100.00
Emerging Markets 6,725,106,731 16.90 15.18 2.08 17.24
International FoF 550,338,328 1.38 11.98 0.15 1.28
REITS 1,238,220,649 3.11 12.76 0.24 1.95
U.S. Equity 22,107,454,355 55.55 12.85 6.86 56.73
World ex USA 9,178,216,269 23.06 12.79 2.76 22.80
Asset Class Allocation
0%
20%
40%
60%
Emerging Markets International FoF REITS U.S. Equity World ex USA
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 12.09 100.00 1.00 0.88 100.00 1.00
Local Market Risk 11.25 93.11 0.99 0.75 85.89 0.93
Common Factor Risk 11.20 92.70 0.99 0.62 70.31 0.84
Equity 11.20 92.70 0.99 0.62 70.30 0.84
Style 0.20 1.62 0.46 0.10 11.25 0.30
Industry 11.01 91.08 0.99 0.52 59.06 0.72
Selection Risk 0.05 0.41 0.06 0.14 15.58 0.39
Currency Risk 0.83 6.89 0.45 0.12 14.11 0.38
Active Risk from Risk Factors
0
20
40
60
80
Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
14 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 450 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 39,799,336,332POSITIONS: 15,795 ACCEPTED: 15,467
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 12.09 0.88 100.00 0.01
Asia Pacific 17.51 18.37 -0.86 12.70 0.44 49.84 -0.00
EMEA 16.83 15.31 1.52 14.45 0.13 15.03 0.02
Latin-S America 2.67 1.96 0.71 24.00 0.06 6.32 0.08
N America 62.70 64.08 -1.37 12.49 0.25 28.86 0.00
Rest of World 0.28 0.29 -0.00 14.48 -0.00 -0.04 0.01
-0.2
0
0.2
0.4
0.6
N America Asia Pacific EMEA Latin-S America Rest of World-25
0
25
50
75
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
15 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 451 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 39,799,336,332POSITIONS: 15,795 ACCEPTED: 15,467
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 12.09 0.88 100.00 0.01
United States 60 .07 60 .49 -0 .42 12 .52 0 .05 5 .59 0 .00
Japan 4 .99 4 .86 0 .13 14 .68 0 .03 2 .90 0 .00
United Kingdom 4.22 3 .44 0 .78 15 .54 0 .03 2 .87 0 .01
S. Korea 3 .00 2 .10 0 .90 18 .19 0 .02 2 .69 0 .03
India 2 .65 1 .52 1 .13 21 .31 0 .09 9 .84 0 .07
Taiwan 2.37 1 .84 0 .53 15 .69 0 .01 0 .87 0 .01
Brazil 2 .31 1 .30 1 .01 31 .81 0 .11 12 .61 0 .10
Germany 2 .14 1 .81 0 .32 16 .66 0 .02 2 .01 0 .02
Switzerland 2 .01 1 .91 0 .11 12 .72 0 .01 1 .00 0 .01
France 1 .81 2 .34 -0 .53 14 .73 -0 .01 -0 .62 0 .01
South Africa 1 .49 1 .01 0 .48 25 .94 0 .03 3 .18 0 .06
Canada 1 .14 2 .10 -0 .96 15 .30 -0 .00 -0 .10 0 .00
Hong Kong 0 .99 0 .77 0 .22 19 .10 0 .00 0 .39 -0 .01
Netherlands 0 .96 0 .74 0 .22 18 .93 0 .01 1 .05 0 .02
Australia 0 .88 1 .46 -0 .58 14 .82 -0 .00 -0 .20 0 .01
Mexico 0 .79 0 .43 0 .36 23 .69 0 .02 2 .57 0 .06
Indonesia 0 .72 0 .36 0 .36 23 .08 0 .02 2 .25 0 .05
Thailand 0 .70 0 .51 0 .19 15 .68 0 .01 0 .58 0 .02
Sweden 0.68 0 .54 0 .13 17 .97 0 .01 0 .69 0 .02
Italy 0 .63 0 .48 0 .15 21 .02 0 .01 0 .80 0 .02
Singapore 0 .62 0 .32 0 .30 14 .43 0 .00 0 .45 0 .01
Denmark 0 .61 0 .35 0 .26 15 .76 0 .01 0 .83 0 .02
Spain 0 .55 0 .61 -0 .06 17 .82 0 .00 0 .08 0 .02
Malaysia 0 .46 0 .36 0 .10 14 .57 0 .00 0 .24 0 .02
Poland 0 .37 0 .19 0 .18 21 .84 0 .01 0 .79 0 .04
Norway 0 .28 0 .14 0 .14 21 .70 0 .00 0 .37 0 .02
Turkey 0 .28 0 .09 0 .19 36 .12 0 .01 1 .65 0 .08
Philippines 0 .27 0 .19 0 .08 17 .13 0 .00 0 .29 0 .04
Chile 0 .25 0 .16 0 .10 20 .49 0 .00 0 .24 0 .02
Finland 0 .20 0 .20 -0 .00 18 .16 0 .00 0 .07 0 .02 -20% 0% 20% 40% 60% 80%
Finland
Chile
Philippines
Turkey
Norway
Poland
Malaysia
Spain
Denmark
Singapore
Italy
Sweden
Thailand
Indonesia
Mexico
Australia
Netherlands
Hong Kong
Canada
South Africa
France
Switzerland
Germany
Brazil
Taiwan
India
S. Korea
United Kingdom
Japan
United States
Portfolio Weight Benchmark Weight Active Weight
16 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 452 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 39,799,336,332POSITIONS: 15,795 ACCEPTED: 15,467
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
Others
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 24,139,168,240.39 18.65 60.36
Euro 2,709,581,523.41 4.03 7.66
Japanese Yen 1,986,936,887.36 2.90 4.26
British Pound Sterling 1,674,670,211.08 2.88 4.37
Swiss Franc 801,558,848.96 1.00 1.74
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 1,192,692,097.52 2.68 3.18
Indian Rupee 1,056,432,026.43 9.84 2.18
New Taiwan Dollar 944,253,426.63 0.87 2.12
Brazilian Real 918,151,917.79 12.61 3.07
South African Rand 595,496,899.42 3.19 2.05
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 12.09 12.09 100.00 0.88 100.00
US Dollar 60 .65 62 .03 -1 .37 12 .50 7 .30 60 .36 0 .16 18 .65
Euro 6 .81 6 .56 0 .25 15 .46 0 .93 7 .66 0 .04 4 .03
Japanese Yen 4 .99 4 .86 0 .13 14 .68 0 .52 4 .26 0 .03 2 .90
British Pound Sterling 4 .21 3 .44 0 .76 15 .55 0 .53 4 .37 0 .03 2 .88
Korean Won 3.00 2 .10 0 .90 18 .19 0 .38 3 .18 0 .02 2 .68
Indian Rupee 2 .65 1 .52 1 .13 21 .31 0 .26 2 .18 0 .09 9 .84
New Taiwan Dollar 2 .37 1 .84 0 .53 15 .69 0 .26 2 .12 0 .01 0 .87
Brazilian Real 2 .31 1 .30 1 .01 31 .81 0 .37 3 .07 0 .11 12 .61
Swiss Franc 2 .01 1 .91 0 .11 12 .72 0 .21 1 .74 0 .01 1 .00
South African Rand 1 .50 1 .01 0 .49 25 .91 0 .25 2 .05 0 .03 3 .19
Canadian Dollar 1 .09 2 .10 -1 .01 14 .69 0 .13 1 .11 -0 .00 -0 .12
Hong Kong Dollar 1 .01 4 .51 -3 .50 18 .95 0 .12 1 .01 0 .25 28 .63
Australian Dollar 0 .85 1 .46 -0 .61 14 .87 0 .10 0 .82 -0 .00 -0 .25
Mexican Peso 0 .79 0 .43 0 .36 23 .69 0 .11 0 .89 0 .02 2 .57
Indonesian Rupiah 0 .72 0 .36 0 .36 23 .08 0 .07 0 .59 0 .02 2 .25
17 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 453 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: June 30, 2019
BENCHMARK: Public MARKET VALUE: 39,799,336,332POSITIONS: 15,795 ACCEPTED: 15,467
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 12.09 0.88 100.00 0.01
Communication Services 7.25 8.50 -1.25 12.83 0.13 14.30 -0.01
Consumer Discretionary 10.73 10.76 -0.03 14.46 0.17 19.52 -0.00
Consumer Staples 6.43 7.26 -0.83 9.78 0.01 1.26 0.01
Energy 5.38 5.63 -0.25 19.49 0.10 10.87 0.02
Financials 15.46 16.93 -1.47 13.11 0.19 21.57 0.01
Health Care 11.00 10.97 0.03 13.13 0.04 4.19 0.00
Industrials 10.59 10.06 0.53 14.27 0.06 6.97 0.01
Information Technology 17.58 16.37 1.21 15.76 0.06 7.01 0.01
Materials 5.85 4.76 1.09 15.70 0.08 8.67 0.02
Others 0.81 0.17 0.64 1.65 0.00 0.04 0.00
Real Estate 6.21 5.46 0.75 12.08 0.04 4.33 0.01
Utilities 2.71 3.12 -0.42 10.41 0.01 1.26 0.01
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
18 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 454 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 7,134,581,237POSITIONS: 337 ACCEPTED: 298
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 13.40
Benchmark Risk 9.68
Active Risk 8.18
Portfolio Beta 1.10
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 7,134,581,237 100.00 13.40 13.40 100.00
Infrastructure 891,588,264 12.50 10.46 1.09 8.11
Private Equity 4,037,414,321 56.59 19.38 10.80 80.60
Private Real Estate 2,205,578,651 30.91 8.05 1.51 11.29
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Infrastructure Private Equity Private Real Estate
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 13.40 100.00 1.00 8.18 100.00 1.00
Local Market Risk 13.13 97.99 1.00 8.03 98.19 0.99
Common Factor Risk 13.10 97.80 1.00 7.92 96.78 0.99
Equity 7.33 54.75 0.80 0.63 7.69 0.26
Style 0.03 0.22 0.07 0.03 0.36 0.06
Industry 7.30 54.52 0.80 0.60 7.33 0.25
Fixed Income 0.06 0.48 0.22 0.01 0.12 0.04
Nominal Rates -0.06 -0.47 -0.20 -0.02 -0.26 -0.07
Real Rates 0.00 0.00 0.00 -0.01 -0.17 -0.09
Credit 0.13 0.95 0.51 0.04 0.55 0.18
Private Real Estate 1.29 9.63 0.55 0.05 0.57 0.03
Private Equity 4.41 32.95 0.57 7.23 88.40 0.94
Selection Risk 0.03 0.19 0.04 0.12 1.42 0.12
Currency Risk 0.27 2.01 0.28 0.15 1.81 0.15
Active Risk from Risk Factors
0
20
40
60
80
100
Equity Fixed Income Private Equity Private Real
Estate
Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
19 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 455 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 7,134,581,237POSITIONS: 337 ACCEPTED: 298
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 13.40 8.18 100.00 0.08
Asia Pacific 1.68 0.00 1.68 18.55 0.01 0.18 0.01
EMEA 13.90 0.00 13.90 18.69 0.91 11.09 0.05
Latin-S America 0.49 0.00 0.49 29.09 0.08 1.02 0.17
N America 83.80 100.00 -16.20 13.84 7.17 87.65 0.03
N/A 0.02 0.00 0.02 9.78 0.00 0.00 0.01
Rest of World 0.10 0.00 0.10 22.34 0.00 0.05 0.04
0
2
4
6
8
N America EMEA Asia Pacific Latin-S America Rest of World N/A-50
0
50
100
150
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
20 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 456 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 7,134,581,237POSITIONS: 337 ACCEPTED: 298
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 13.40 8.18 100.00 0.08
United States 82 .56 100 .00 -17 .44 13 .82 7 .04 86 .03 0 .04
United Kingdom 6.42 0 .00 6 .42 19 .43 0 .41 5 .05 0 .07
France 2 .05 0 .00 2 .05 21 .71 0 .14 1 .74 0 .08
Germany 1 .40 0 .00 1 .40 15 .74 0 .06 0 .79 0 .05
Canada 1 .19 0 .00 1 .19 18 .15 0 .13 1 .61 0 .12
Italy 0 .84 0 .00 0 .84 21 .29 0 .05 0 .63 0 .07
China International 0 .61 0 .00 0 .61 25 .79 0 .01 0 .12 0 .03
Netherlands 0 .54 0 .00 0 .54 17 .37 0 .03 0 .40 0 .07
Poland 0 .49 0 .00 0 .49 26 .02 0 .03 0 .33 0 .07
India 0 .48 0 .00 0 .48 26 .27 0 .00 0 .02 0 .02
Switzerland 0 .47 0 .00 0 .47 20 .74 0 .03 0 .36 0 .07
Spain 0 .40 0 .00 0 .40 18 .05 0 .02 0 .24 0 .06
Sweden 0.40 0 .00 0 .40 23 .20 0 .03 0 .35 0 .08
Brazil 0 .39 0 .00 0 .39 34 .44 0 .08 0 .95 0 .21
Ireland 0 .35 0 .00 0 .35 13 .20 0 .01 0 .12 0 .04
Portugal 0 .32 0 .00 0 .32 14 .30 0 .01 0 .15 0 .05
Australia 0 .31 0 .00 0 .31 14 .91 0 .00 0 .02 0 .02
Belgium 0.29 0 .00 0 .29 23 .64 0 .02 0 .28 0 .09
Denmark 0 .24 0 .00 0 .24 24 .89 0 .02 0 .21 0 .08
Israel 0 .16 0 .00 0 .16 28 .28 0 .01 0 .16 0 .09
Greece 0 .12 0 .00 0 .12 40 .48 0 .01 0 .11 0 .09
China 0 .11 0 .00 0 .11 30 .59 0 .00 0 .02 0 .01
Finland 0 .10 0 .00 0 .10 27 .42 0 .01 0 .09 0 .08
United Arab Emirates 0 .09 0 .00 0 .09 25 .35 0 .00 0 .05 0 .06
Singapore 0 .09 0 .00 0 .09 19 .32 0 .00 0 .00 0 .02
Mexico 0 .05 0 .00 0 .05 22 .45 0 .01 0 .06 0 .11
Norway 0 .05 0 .00 0 .05 10 .15 0 .00 0 .01 0 .02
Indonesia 0 .04 0 .00 0 .04 33 .66 -0 .00 -0 .00 0 .01
New Zealand 0 .04 0 .00 0 .04 33 .04 0 .00 0 .00 0 .02
Czech Rep 0 .03 0 .00 0 .03 13 .29 0 .00 0 .00 0 .01 -50% 0% 50% 100% 150%
Czech Rep
New Zealand
Indonesia
Norway
Mexico
Singapore
United Arab Emirates
Finland
China
Greece
Israel
Denmark
Belgium
Australia
Portugal
Ireland
Brazil
Sweden
Spain
Switzerland
India
Poland
Netherlands
China International
Italy
Canada
Germany
France
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
21 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 457 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 7,134,581,237POSITIONS: 337 ACCEPTED: 298
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 20% 40% 60% 80% 100%
N/A
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 5,946,171,528.49 85.97 83.93
British Pound Sterling 449,349,488.34 5.06 5.96
Euro 386,951,085.41 4.64 5.38
Canadian Dollar 70,336,317.20 1.63 1.31
CNH 37,311,129.81 0.11 0.45
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 37,311,129.81 0.11 0.45
Polish Zloty 34,691,981.86 0.33 0.38
Indian Rupee 34,296,668.96 0.02 0.26
Brazilian Real 26,549,991.98 0.95 0.60
United Arab Emirates Dirham 6,376,715.96 0.05 0.05
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 13.40 13.40 100.00 8.18 100.00
US Dollar 83 .34 100 .00 -16 .66 13 .71 11 .24 83 .93 7 .03 85 .97
British Pound Sterling 6 .30 0 .00 6 .30 19 .81 0 .80 5 .96 0 .41 5 .06
Euro 5 .42 0 .00 5 .42 20 .15 0 .72 5 .38 0 .38 4 .64
Canadian Dollar 0 .99 0 .00 0 .99 21 .72 0 .18 1 .31 0 .13 1 .63
CNH 0.52 0 .00 0 .52 27 .42 0 .06 0 .45 0 .01 0 .11
Polish Zloty 0 .49 0 .00 0 .49 26 .02 0 .05 0 .38 0 .03 0 .33
Indian Rupee 0 .48 0 .00 0 .48 26 .27 0 .03 0 .26 0 .00 0 .02
Swiss Franc 0 .45 0 .00 0 .45 21 .85 0 .06 0 .41 0 .03 0 .37
Swedish Krona 0 .40 0 .00 0 .40 23 .20 0 .06 0 .43 0 .03 0 .35
Brazilian Real 0 .37 0 .00 0 .37 36 .15 0 .08 0 .60 0 .08 0 .95
Australian Dollar 0 .31 0 .00 0 .31 14 .91 0 .02 0 .17 0 .00 0 .02
Danish Krone 0 .24 0 .00 0 .24 24 .89 0 .03 0 .24 0 .02 0 .21
New Israeli Sheqel 0 .16 0 .00 0 .16 28 .28 0 .02 0 .17 0 .01 0 .16
United Arab Emirates Dirham 0.09 0 .00 0 .09 25 .63 0 .01 0 .05 0 .00 0 .05
Chinese Yuan 0 .09 0 .00 0 .09 33 .88 0 .01 0 .05 0 .00 0 .01
22 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 458 of 715
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: Alternative MARKET VALUE: 7,134,581,237POSITIONS: 337 ACCEPTED: 298
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 13.40 8.18 100.00 0.08
Communication Services 2.72 5.07 -2.34 15.88 0.17 2.06 0.05
Consumer Discretionary 7.16 5.80 1.36 19.06 0.72 8.82 0.08
Consumer Staples 1.81 3.59 -1.78 17.90 0.19 2.33 0.05
Energy 3.80 2.59 1.21 21.49 0.33 4.05 0.09
Financials 3.23 7.56 -4.33 15.70 0.20 2.41 0.04
Health Care 12.82 7.78 5.04 20.39 1.67 20.47 0.10
Industrials 9.86 5.62 4.24 17.03 0.96 11.77 0.09
Information Technology 16.28 11.88 4.40 21.62 2.29 28.04 0.10
Materials 2.25 1.66 0.59 21.07 0.25 3.06 0.09
Others 34.01 44.48 -10.47 8.98 1.23 15.06 0.01
Real Estate 2.84 2.19 0.65 9.09 0.13 1.53 0.03
Utilities 3.22 1.78 1.44 5.98 0.03 0.40 0.01
-20%
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
23 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 459 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.13
Benchmark Risk 3.03
Active Risk 0.40
Portfolio Beta 1.03
Cont. to Eff. Duration 6.99
Convexity 1.08
Yield to Worst (%) infinity
OAS to Swap (bp) 109.62
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 28,655,499,634 100.00 3.13 3.13 100.00
Alternative 1,707,094,812 5.96 7.71 0.06 1.99
Public 26,948,404,821 94.04 3.30 3.07 98.01
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Public
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.13 100.00 1.00 0.40 100.00 1.00
Local Market Risk 3.12 99.61 1.00 0.40 99.37 0.99
Common Factor Risk 3.12 99.43 1.00 0.36 89.50 0.94
Equity 0.01 0.21 0.02 0.13 31.94 0.41
Style -0.00 -0.08 -0.02 0.04 10.46 0.31
Industry 0.01 0.29 0.04 0.09 21.48 0.33
Fixed Income 3.11 99.22 0.99 0.23 57.42 0.61
Nominal Rates 2.79 89.03 0.87 0.11 27.80 0.51
Real Rates 0.35 11.04 0.84 0.01 1.27 0.12
Credit -0.03 -0.86 -0.02 0.11 28.35 0.39
Selection Risk 0.01 0.18 0.04 0.04 9.86 0.31
Currency Risk 0.01 0.39 0.22 0.00 0.63 0.05
Active Risk from Risk Factors
0
20
40
60
Fixed Income Equity Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
24 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 460 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Swap Shift 0.14 3.51 2.56 0.95 0.00 0.30 -0.05 0.04 10.08
US Conventional 30 yr Mortgage 0.35 0.26 0.49 -0.22 -0.00 -0.20 0.02 0.02 3.95
US Swap Butterfly 0.06 -1.13 -0.44 -0.69 -0.00 -0.32 0.01 0.01 3.55
US Energy CCC 7.43 0.00 0.01 -0.01 -0.01 -0.14 -0.00 0.01 1.31
US Swap Twist 0.08 0.03 0.56 -0.53 -0.00 -0.12 -0.00 0.00 1.22
US GNMA 30 yr Mortgage Spread 0.30 0.13 0.20 -0.08 -0.00 -0.11 0.00 0.00 0.62
US Telecom B 1.90 0.03 0.05 -0.01 -0.00 -0.10 -0.00 0.00 0.55
US Consumer Discretionary BB 0.92 0.02 0.04 -0.02 -0.00 -0.12 -0.00 0.00 0.52
US Telecom CCC 4.46 0.01 0.01 -0.00 -0.01 -0.15 -0.00 0.00 0.49
US Industrials BB 1.14 0.02 0.03 -0.01 -0.00 -0.13 -0.00 0.00 0.48
%CR to Active Risk by Duration Buckets
0%
20%
40%
60%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Butterfly 0.12 0.97 -0.30 1.27 0.00 0.31 -0.04 0.05 12.07
US Twist 0.17 3.29 2.72 0.57 0.00 0.47 0.34 0.04 10.96
US Shift 0.49 6.01 5.77 0.23 0.00 0.18 2.47 0.02 5.03
US Inflation-protected 0.46 0.94 0.85 0.09 0.00 0.09 0.32 0.00 0.95
US Inflation-protected 0.31 0.34 0.31 0.03 0.00 0.21 0.02 0.00 0.43
EUR Shift 0.40 0.02 0.00 0.02 0.00 0.18 0.00 0.00 0.38
EUR Implied Volatility 11.63 -0.00 0.00 -0.00 -0.02 -0.13 0.00 0.00 0.12
EUR Twist 0.21 0.01 0.00 0.01 0.00 0.21 0.00 0.00 0.09
US Municipal Shift 0.43 0.01 0.00 0.00 0.00 0.11 0.00 0.00 0.05
US Municipal Twist 0.23 0.01 0.00 0.00 0.00 0.19 0.00 0.00 0.04
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 6.96 0.12 0.24 0.65 0.97 0.73 0.47 0.82 1.73 0.98 0.01 0.01
Benchmark 6.62 0.09 0.17 0.83 1.20 0.82 0.42 0.74 1.28 0.70 0.01 0.00
Active 0.35 0.03 0.07 -0.18 -0.23 -0.08 0.04 0.08 0.45 0.28 -0.00 0.00
-1.0
0.0
1.0
2.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
25 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 461 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 3.13 0.40 100.00 0.00
United States 92 .67 91 .41 1 .26 3 .27 0 .37 91 .88 0 .01
Canada 1 .37 1 .68 -0 .30 3 .84 0 .00 1 .09 0 .00
United Kingdom 1.03 1 .17 -0 .15 3 .46 0 .00 0 .60 0 .00
N/A 0.91 0 .00 0 .91 9 .36 0 .02 4 .41 0 .02
Luxembourg 0 .63 0 .59 0 .03 6 .51 0 .00 0 .07 -0 .00
Netherlands 0 .50 0 .72 -0 .22 4 .77 0 .00 0 .18 0 .00
Ireland 0 .49 0 .21 0 .28 1 .87 -0 .00 -0 .40 0 .00
Euro. Monetary Union 0 .32 0 .00 0 .32 6 .46 0 .00 0 .13 0 .01
Germany 0 .23 0 .39 -0 .16 2 .09 0 .00 0 .20 0 .00
Mexico 0 .17 0 .26 -0 .09 6 .46 -0 .00 -0 .15 0 .01
Israel 0 .15 0 .02 0 .14 2 .96 -0 .00 -0 .22 0 .00
France 0 .15 0 .29 -0 .15 8 .28 0 .00 0 .32 0 .00
Caymans 0 .14 0 .05 0 .09 6 .55 0 .00 0 .30 0 .01
Switzerland 0 .11 0 .13 -0 .02 2 .13 0 .00 0 .02 0 .00
Jersey 0 .11 0 .01 0 .10 10 .81 0 .00 0 .11 0 .01
Spain 0 .10 0 .07 0 .03 3 .40 -0 .00 -0 .08 0 .00
Belgium 0.10 0 .15 -0 .06 7 .83 -0 .00 -0 .03 0 .01
Australia 0 .07 0 .16 -0 .08 7 .13 0 .00 0 .06 0 .00
Indonesia 0 .07 0 .13 -0 .06 8 .92 -0 .00 -0 .01 0 .01
United Arab Emirates 0 .07 0 .03 0 .04 4 .88 -0 .00 -0 .09 0 .00
Colombia 0 .06 0 .08 -0 .02 6 .88 -0 .00 -0 .06 0 .01
Chile 0 .05 0 .03 0 .03 4 .78 -0 .00 -0 .01 0 .00
Japan 0 .05 0 .33 -0 .28 2 .41 0 .00 0 .27 0 .00
Austria 0 .04 0 .02 0 .02 19 .91 0 .00 0 .23 0 .02
New Zealand 0 .04 0 .04 -0 .00 5 .26 0 .00 0 .01 -0 .00
Venezuela 0 .04 0 .00 0 .04 9 .64 -0 .00 -0 .04 0 .00
Italy 0 .04 0 .23 -0 .20 9 .95 0 .00 0 .25 0 .00
Brazil 0 .03 0 .07 -0 .04 7 .08 0 .00 0 .15 0 .00
S. Korea 0 .03 0 .06 -0 .03 4 .09 0 .00 0 .03 0 .00
Sweden 0.03 0 .12 -0 .10 12 .57 0 .00 0 .14 -0 .00 -25% 0% 25% 50% 75% 100%
Sweden
S. Korea
Brazil
Italy
Venezuela
New Zealand
Austria
Japan
Chile
Colombia
United Arab Emirates
Indonesia
Australia
Belgium
Spain
Jersey
Switzerland
Caymans
France
Israel
Mexico
Germany
Euro. Monetary Union
Ireland
Netherlands
Luxembourg
N/A
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
26 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 462 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
N/A
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 28,298,997,666.66 94.65 99.43
Euro 313,909,321.60 4.92 0.54
British Pound Sterling 23,250,924.78 0.12 0.02
Canadian Dollar 8,862,705.02 0.28 0.01
Danish Krone 5,485,251.98 -0.01 0.01
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 234,181.43 -0.00 0.00
New Taiwan Dollar 50.32 -0.00 0.00
Korean Won 2.16 0.00 0.00
Mexican Peso 0.05 -0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 3.13 3.13 100.00 0.40 100.00
US Dollar 98 .76 100 .00 -1 .24 3 .16 3 .12 99 .43 0 .38 94 .65
Euro 1 .10 0 .00 1 .10 9 .52 0 .02 0 .54 0 .02 4 .92
British Pound Sterling 0 .08 0 .00 0 .08 12 .46 0 .00 0 .02 0 .00 0 .12
Canadian Dollar 0 .03 0 .00 0 .03 34 .46 0 .00 0 .01 0 .00 0 .28
Danish Krone 0 .02 0 .00 0 .02 12 .24 0 .00 0 .01 -0 .00 -0 .01
Swedish Krona 0 .01 0 .00 0 .01 8 .54 0 .00 0 .00 -0 .00 -0 .01
Norwegian Krone 0 .01 0 .00 0 .01 51 .47 0 .00 0 .00 0 .00 0 .04
CNH 0.00 0 .00 0 .00 12 .42 0 .00 0 .00 -0 .00 -0 .00
Australian Dollar 0 .00 0 .00 0 .00 11 .73 0 .00 0 .00 0 .00 0 .00
Singapore Dollar 0 .00 0 .00 0 .00 3 .96 0 .00 0 .00 -0 .00 -0 .00
Swiss Franc 0 .00 0 .00 0 .00 73 .68 0 .00 0 .00 0 .00 0 .00
New Taiwan Dollar 0 .00 0 .00 0 .00 3 .55 0 .00 0 .00 -0 .00 -0 .00
Korean Won 0.00 0 .00 0 .00 6 .81 0 .00 0 .00 0 .00 0 .00
Mexican Peso 0 .00 0 .00 0 .00 11 .29 0 .00 0 .00 -0 .00 -0 .00
Japanese Yen 0 .00 0 .00 0 .00 7 .32 0 .00 0 .00 -0 .00 -0 .00
27 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 463 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 6.96 3.13 0.40 100.00 0.00
Government 49 .88 43 .13 6 .75 5 .19 5 .24 0 .14 34 .22 0 .01
Mortgage Backed Security 8 .12 14 .59 -6 .46 0 .31 2 .72 0 .02 5 .28 0 .00
Consumer Discretionary 7 .18 8 .57 -1 .39 0 .19 3 .60 0 .02 3 .85 0 .00
Financial 7 .03 6 .62 0 .41 0 .23 2 .33 -0 .00 -0 .35 0 .00
Others 3 .50 0 .03 3 .47 0 .03 8 .55 0 .11 27 .98 0 .02
Health Care 3 .43 4 .12 -0 .70 0 .13 3 .16 0 .01 3 .25 0 .00
Industrial 3 .14 4 .04 -0 .90 0 .07 3 .39 0 .01 2 .37 0 .00
Energy 2 .98 3 .45 -0 .46 0 .14 7 .11 0 .01 2 .24 -0 .00
Telecommunications 2 .50 3 .41 -0 .91 0 .10 4 .74 0 .01 2 .48 -0 .00
Materials 2 .45 2 .47 -0 .02 0 .07 4 .68 -0 .00 -0 .17 -0 .00
Agency 1 .86 1 .48 0 .39 0 .09 2 .81 -0 .00 -0 .03 0 .00
Utility 1 .76 1 .63 0 .14 0 .09 6 .05 0 .01 3 .35 0 .01
Technology 1 .75 2 .03 -0 .28 0 .09 3 .07 0 .01 1 .71 0 .01
Asset Backed Security 1 .47 0 .11 1 .35 0 .04 2 .39 0 .00 0 .93 0 .01
Consumer Staples 1 .32 1 .82 -0 .50 0 .06 2 .63 0 .00 0 .11 0 .00
Transportation 0 .68 0 .72 -0 .03 0 .03 2 .66 0 .00 0 .01 0 .00
Sovereign 0 .40 1 .05 -0 .65 0 .02 4 .13 -0 .00 -0 .55 0 .01
Commercial Mortgage Backed 0 .33 0 .06 0 .27 0 .01 3 .04 0 .00 0 .42 0 .01
Local/Provincial 0 .17 0 .25 -0 .08 0 .01 5 .40 0 .00 0 .22 0 .01
Collateralized Loan Obligat 0 .02 0 .00 0 .02 0 .05 603 .25 0 .05 12 .31 2 .24
Collateralized Debt Obligat 0 .01 0 .00 0 .01 0 .00 16 .05 0 .00 0 .04 0 .03
Supranational 0 .00 0 .43 -0 .43 0 .00 1 .26 0 .00 0 .33 0 .00
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .48 0 .00 0 .00 0 .00
Corporation 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .00 -0 .00
-20% 0% 20% 40% 60%
Mortgage Backed Security
Consumer Discretionary
Telecommunications
Industrial
Health Care
Sovereign
Consumer Staples
Energy
Technology
Transportation
Materials
Utility
Agency
Financial
Asset Backed Security
Others
Government
Portfolio Weight Benchmark Weight Active Weight
28 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 464 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 28,655,499,634POSITIONS: 8,486 ACCEPTED: 8,402
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 6.96 7.47 3.13 0.40 100.00
Aaa 58.67 59 .29 -0 .63 5 .58 9 .68 4 .78 0 .16 40 .19
Aa1 0.20 0 .27 -0 .07 0 .02 9 .64 5 .22 0 .00 0 .42
Aa2 0.14 0 .63 -0 .49 0 .02 11 .62 6 .16 0 .00 0 .18
Aa3 0.22 0 .63 -0 .41 0 .02 9 .33 4 .65 0 .00 0 .22
A1 0.51 1 .52 -1 .01 0 .04 7 .35 3 .61 -0 .00 -0 .16
A2 1.30 1 .71 -0 .41 0 .09 6 .81 3 .35 0 .00 0 .26
A3 1.63 2 .08 -0 .44 0 .12 7 .39 3 .71 -0 .00 -0 .78
Baa1 1.88 2 .20 -0 .32 0 .15 7 .85 3 .92 -0 .00 -0 .60
Baa2 2.16 2 .49 -0 .33 0 .16 7 .50 3 .78 -0 .00 -0 .35
Baa3 2.33 1 .98 0 .34 0 .12 5 .25 2 .60 -0 .00 -0 .82
Ba1 1.59 2 .69 -1 .09 0 .05 4 .28 3 .29 0 .01 1 .72
Ba2 2.23 3 .03 -0 .80 0 .05 3 .09 2 .82 0 .01 1 .44
Ba3 3.83 4 .67 -0 .84 0 .09 3 .09 2 .99 0 .01 1 .97
B1 3.27 3 .78 -0 .51 0 .06 2 .87 4 .41 0 .00 1 .13
B2 4.15 5 .17 -1 .02 0 .06 2 .84 4 .82 0 .01 2 .54
B3 2.81 3 .03 -0 .22 0 .07 3 .03 5 .22 0 .00 1 .14
Caa1 1 .17 1 .41 -0 .24 0 .02 2 .59 6 .20 0 .01 1 .64
Caa2 1 .19 1 .16 0 .03 0 .03 3 .03 8 .58 0 .01 1 .35
Caa3 0 .13 0 .12 0 .01 0 .00 2 .78 7 .85 0 .00 0 .10
Ca 0.04 0 .17 -0 .13 0 .00 1 .99 14 .05 0 .00 0 .68
C 0.04 0 .03 0 .01 0 .00 11 .41 31 .48 0 .00 0 .48
WR 0.43 0 .51 -0 .07 0 .02 4 .57 21 .87 0 .02 5 .01
NR 0.06 0 .03 0 .04 0 .05 96 .20 209 .84 0 .05 12 .22
Not Rated 10 .03 1 .43 8 .60 0 .15 2 .45 3 .49 0 .12 30 .05
-20% 0% 20% 40% 60%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
29 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 465 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.30
Benchmark Risk 3.03
Active Risk 0.53
Portfolio Beta 1.08
Cont. to Eff. Duration 7.24
Convexity 0.94
Yield to Worst (%) 2.45
OAS to Swap (bp) 82.62
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 26,948,404,821 100.00 3.30 3.30 100.00
Alternative Credit 5,734,033,629 21.28 3.92 0.07 2.11
Fixed Income 21,214,371,193 78.72 4.24 3.23 97.89
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Credit Fixed Income
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.30 100.00 1.00 0.53 100.00 1.00
Local Market Risk 3.30 100.00 1.00 0.53 100.00 1.00
Common Factor Risk 3.30 99.94 1.00 0.52 98.14 0.99
Equity -0.00 -0.09 -0.06 -0.02 -3.71 -0.40
Industry -0.00 -0.09 -0.06 -0.02 -3.51 -0.39
Fixed Income 3.30 100.03 1.00 0.54 101.85 0.99
Nominal Rates 3.08 93.28 0.92 0.27 50.53 0.83
Real Rates 0.37 11.10 0.84 0.02 4.20 0.33
Credit -0.14 -4.35 -0.12 0.25 47.12 0.74
Selection Risk 0.00 0.06 0.02 0.01 1.86 0.14
Active Risk from Risk Factors
-50
0
50
100
150
Fixed Income Equity Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
30 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 466 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Energy CCC 7.43 0.00 0.01 -0.01 -0.04 -0.53 -0.00 0.02 4.03
US Conventional 30 yr Mortgage 0.35 0.28 0.49 -0.21 -0.00 -0.25 0.02 0.02 3.50
US Telecom B 1.90 0.03 0.05 -0.01 -0.01 -0.63 -0.01 0.02 3.04
US Consumer Discretionary B 1.76 0.08 0.09 -0.01 -0.01 -0.66 -0.01 0.02 2.95
US Financials BB 1.11 0.02 0.04 -0.02 -0.01 -0.51 -0.00 0.01 2.57
US Swap Shift 0.14 2.17 2.56 -0.39 -0.00 -0.23 -0.05 0.01 2.45
US Health Care CCC 2.43 0.01 0.02 -0.01 -0.01 -0.58 -0.00 0.01 2.38
US Industrials CCC 2.37 0.01 0.01 -0.01 -0.02 -0.65 -0.00 0.01 2.21
US Consumer Discretionary BB 0.92 0.02 0.04 -0.02 -0.01 -0.67 -0.00 0.01 2.06
US Industrials BB 1.14 0.02 0.03 -0.01 -0.01 -0.69 -0.00 0.01 1.81
%CR to Active Risk by Duration Buckets
-50%
0%
50%
100%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Shift 0.49 6.24 5.77 0.46 0.00 0.74 2.73 0.17 31.12
US Twist 0.17 3.60 2.72 0.88 0.00 0.70 0.39 0.10 19.17
US Inflation-protected 0.46 1.00 0.85 0.15 0.00 0.19 0.33 0.01 2.51
US Inflation-protected 0.31 0.36 0.31 0.05 0.00 0.53 0.02 0.01 1.50
US Inflation-protected 0.14 -0.23 -0.19 -0.04 -0.00 -0.18 0.01 0.00 0.19
US Municipal Shift 0.43 0.01 0.00 0.00 0.00 0.40 0.00 0.00 0.11
US Butterfly 0.12 1.09 -0.30 1.39 0.00 0.00 -0.05 0.00 0.10
US Municipal Twist 0.23 0.01 0.00 0.00 0.00 0.36 0.00 0.00 0.04
US Municipal Butterfly 0.16 -0.00 -0.00 -0.00 -0.00 -0.09 0.00 0.00 0.00
US Implied Volatility 16.23 -0.00 -0.00 0.00 -0.00 -0.00 0.01 -0.00 -0.01
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 7.24 0.10 0.22 0.65 0.98 0.76 0.48 0.85 1.81 1.02 0.01 0.00
Benchmark 6.62 0.09 0.17 0.83 1.20 0.82 0.42 0.74 1.28 0.70 0.01 0.00
Active 0.62 0.01 0.05 -0.18 -0.21 -0.06 0.06 0.12 0.53 0.32 -0.00 -0.00
-1.0
0.0
1.0
2.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
31 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 467 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 3.30 0.53 100.00 0.01
United States 94 .20 91 .41 2 .78 3 .43 0 .49 92 .01 0 .01
Canada 1 .37 1 .68 -0 .30 3 .49 0 .01 1 .59 -0 .01
United Kingdom 0.95 1 .17 -0 .22 3 .32 0 .01 1 .68 -0 .01
Luxembourg 0 .62 0 .59 0 .02 5 .84 0 .00 0 .03 -0 .03
Ireland 0 .50 0 .21 0 .29 1 .80 -0 .00 -0 .37 -0 .00
Netherlands 0 .48 0 .72 -0 .24 5 .02 0 .00 0 .45 -0 .01
Germany 0 .24 0 .39 -0 .15 1 .99 0 .00 0 .19 0 .00
Mexico 0 .18 0 .26 -0 .08 6 .46 0 .00 0 .20 0 .01
France 0 .15 0 .29 -0 .14 5 .91 0 .00 0 .55 -0 .01
Israel 0 .15 0 .02 0 .13 2 .63 -0 .00 -0 .39 -0 .00
Switzerland 0 .12 0 .13 -0 .02 2 .12 0 .00 0 .15 -0 .01
Jersey 0 .11 0 .01 0 .10 0 .00 -0 .00 -0 .25 -0 .00
Belgium 0.10 0 .15 -0 .05 7 .83 -0 .00 -0 .06 0 .03
Spain 0 .08 0 .07 0 .02 2 .36 -0 .00 -0 .05 0 .00
Australia 0 .08 0 .16 -0 .08 7 .21 0 .00 0 .01 -0 .01
Indonesia 0 .07 0 .13 -0 .05 9 .00 0 .00 0 .14 0 .00
Caymans 0 .07 0 .05 0 .02 7 .56 -0 .00 -0 .24 -0 .03
Colombia 0 .07 0 .08 -0 .02 6 .88 0 .00 0 .00 0 .01
United Arab Emirates 0 .06 0 .03 0 .03 4 .56 -0 .00 -0 .07 -0 .00
Chile 0 .06 0 .03 0 .03 4 .78 -0 .00 -0 .03 0 .01
Japan 0 .05 0 .33 -0 .27 2 .41 0 .00 0 .31 0 .01
New Zealand 0 .04 0 .04 -0 .00 5 .26 0 .00 0 .02 -0 .02
Italy 0 .04 0 .23 -0 .19 9 .95 0 .01 1 .26 -0 .02
S. Korea 0 .03 0 .06 -0 .03 4 .09 0 .00 0 .04 0 .01
Panama 0.02 0 .05 -0 .03 5 .09 0 .00 0 .09 0 .00
Norway 0 .02 0 .06 -0 .04 2 .79 -0 .00 -0 .02 0 .01
Uruguay 0 .02 0 .03 -0 .02 9 .12 0 .00 0 .01 0 .01
Brazil 0 .02 0 .07 -0 .06 7 .78 0 .00 0 .33 -0 .02
Venezuela 0 .02 0 .00 0 .02 2 .26 -0 .00 -0 .05 -0 .00
Sweden 0.02 0 .12 -0 .11 1 .35 0 .00 0 .31 -0 .00 -25% 0% 25% 50% 75% 100%
Sweden
Venezuela
Brazil
Uruguay
Norway
Panama
S. Korea
Italy
New Zealand
Japan
Chile
United Arab Emirates
Colombia
Caymans
Indonesia
Australia
Spain
Belgium
Jersey
Switzerland
Israel
France
Mexico
Germany
Netherlands
Ireland
Luxembourg
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
32 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 468 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-50% 0% 50% 100% 150%
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 26,948,404,674.49 100.00 100.00
Euro 94.40 -0.00 -0.00
Swiss Franc 0.00 0.00 0.00
Danish Krone 0.00 0.00 0.00
Top Five Exposure $ CR to AR (%) CR to TR (%)
New Taiwan Dollar 50.32 -0.00 0.00
Korean Won 2.16 -0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 3.30 3.30 100.00 0.53 100.00
US Dollar 100 .00 100 .00 -0 .00 3 .30 3 .30 100 .00 0 .53 100 .00
Euro 0 .00 0 .00 0 .00 32 .38 -0 .00 -0 .00 -0 .00 -0 .00
New Taiwan Dollar 0 .00 0 .00 0 .00 3 .55 0 .00 0 .00 -0 .00 -0 .00
Korean Won 0.00 0 .00 0 .00 6 .81 0 .00 0 .00 -0 .00 -0 .00
Swiss Franc 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
Danish Krone 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
33 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 469 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 7.24 3.30 0.53 100.00 0.01
Government 52 .80 43 .13 9 .67 5 .50 5 .24 0 .36 68 .34 0 .03
Mortgage Backed Security 8 .61 14 .59 -5 .97 0 .33 2 .72 0 .03 5 .22 0 .01
Financial 7 .11 6 .62 0 .49 0 .23 2 .25 -0 .00 -0 .56 -0 .00
Consumer Discretionary 6 .66 8 .57 -1 .91 0 .19 3 .51 0 .06 10 .94 -0 .01
Health Care 3 .31 4 .12 -0 .82 0 .13 3 .17 0 .02 3 .43 -0 .00
Energy 3 .06 3 .45 -0 .38 0 .15 7 .09 0 .03 4 .94 -0 .03
Industrial 2 .83 4 .04 -1 .20 0 .07 3 .27 0 .03 6 .14 -0 .01
Telecommunications 2 .52 3 .41 -0 .89 0 .10 4 .69 0 .04 7 .01 -0 .02
Materials 2 .38 2 .47 -0 .09 0 .07 4 .46 -0 .00 -0 .79 -0 .02
Agency 1 .98 1 .48 0 .51 0 .10 2 .81 0 .00 0 .14 0 .02
Technology 1 .78 2 .03 -0 .24 0 .10 3 .13 -0 .00 -0 .07 0 .00
Asset Backed Security 1 .55 0 .11 1 .44 0 .04 2 .34 -0 .01 -2 .75 0 .00
Utility 1 .48 1 .63 -0 .15 0 .09 2 .98 -0 .01 -1 .10 0 .02
Consumer Staples 1 .39 1 .82 -0 .43 0 .07 2 .70 0 .00 0 .27 0 .01
Others 0 .91 0 .03 0 .88 0 .00 0 .17 -0 .01 -2 .09 -0 .00
Transportation 0 .71 0 .72 -0 .00 0 .03 2 .66 0 .00 0 .02 0 .00
Sovereign 0 .40 1 .05 -0 .65 0 .02 4 .26 0 .01 1 .49 0 .00
Commercial Mortgage Backed 0 .34 0 .06 0 .28 0 .01 2 .99 -0 .00 -0 .21 0 .01
Local/Provincial 0 .16 0 .25 -0 .09 0 .01 5 .40 0 .00 0 .02 0 .01
Supranational 0 .00 0 .43 -0 .43 0 .00 1 .26 -0 .00 -0 .41 0 .02
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .48 0 .00 0 .00 0 .00
Collateralized Debt Obligat 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
Corporation 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .01 -0 .02
-20% 0% 20% 40% 60%
Mortgage Backed Security
Consumer Discretionary
Industrial
Telecommunications
Health Care
Sovereign
Consumer Staples
Energy
Technology
Utility
Materials
Transportation
Financial
Agency
Others
Asset Backed Security
Government
Portfolio Weight Benchmark Weight Active Weight
34 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 470 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: June 30, 2019
BENCHMARK: Fixed Income MARKET VALUE: 26,948,404,821POSITIONS: 8,466 ACCEPTED: 8,387
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 7.24 7.56 3.30 0.53 100.00
Aaa 62.30 59 .29 3 .00 5 .92 9 .67 4 .78 0 .40 74 .41
Aa1 0.21 0 .27 -0 .06 0 .02 9 .64 5 .22 0 .00 0 .44
Aa2 0.18 0 .63 -0 .45 0 .02 10 .41 5 .21 0 .00 0 .05
Aa3 0.24 0 .63 -0 .39 0 .02 9 .33 4 .65 0 .00 0 .62
A1 0.54 1 .52 -0 .98 0 .04 7 .35 3 .61 -0 .00 -0 .28
A2 1.38 1 .71 -0 .33 0 .09 6 .81 3 .35 -0 .01 -1 .00
A3 1.74 2 .08 -0 .34 0 .13 7 .39 3 .71 -0 .01 -0 .97
Baa1 2.00 2 .20 -0 .20 0 .15 7 .86 3 .93 -0 .01 -1 .26
Baa2 2.31 2 .49 -0 .17 0 .17 7 .56 3 .81 0 .00 0 .08
Baa3 2.49 1 .98 0 .50 0 .12 5 .28 2 .62 -0 .00 -0 .72
Ba1 1.42 2 .69 -1 .26 0 .05 4 .32 3 .37 0 .04 7 .72
Ba2 2.32 3 .03 -0 .71 0 .05 3 .10 2 .84 0 .02 3 .23
Ba3 3.99 4 .67 -0 .68 0 .10 3 .07 2 .95 0 .02 3 .93
B1 3.35 3 .78 -0 .43 0 .06 2 .86 4 .35 0 .01 2 .09
B2 4.11 5 .17 -1 .05 0 .06 2 .86 4 .86 0 .04 7 .39
B3 2.76 3 .03 -0 .27 0 .07 3 .00 5 .20 0 .01 2 .55
Caa1 0 .95 1 .41 -0 .46 0 .02 2 .41 5 .56 0 .03 5 .59
Caa2 0 .66 1 .16 -0 .50 0 .02 3 .25 10 .38 0 .04 7 .22
Caa3 0 .02 0 .12 -0 .09 0 .00 2 .22 9 .39 0 .00 0 .86
Ca 0.02 0 .17 -0 .15 0 .00 2 .78 18 .67 0 .01 1 .55
C 0.01 0 .03 -0 .02 0 .00 4 .30 9 .53 0 .00 0 .25
WR 0.23 0 .51 -0 .28 0 .00 2 .77 2 .91 0 .00 0 .77
NR 0.04 0 .03 0 .02 0 .00 0 .38 0 .59 -0 .00 -0 .19
Not Rated 6 .75 1 .43 5 .32 0 .10 2 .09 1 .06 -0 .08 -14 .33
-20% 0% 20% 40% 60% 80%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
35 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 471 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 7.71
Benchmark Risk 3.87
Active Risk 5.70
Portfolio Beta 1.40
Cont. to Eff. Duration 3.03
Convexity 3.36
Yield to Worst (%) infinity
OAS to Swap (bp) 815.52
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 1,707,094,812 100.00 7.71 7.71 100.00
Opportunistic Fixed Income 1,707,094,812 100.00 7.71 7.71 100.00
Asset Class Allocation
0%
25%
50%
75%
100%
125%
Opportunistic Fixed Income
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 7.71 100.00 1.00 5.70 100.00 1.00
Local Market Risk 7.57 98.19 0.99 5.58 97.93 0.99
Common Factor Risk 7.17 92.97 0.97 5.03 88.33 0.94
Equity 3.88 50.29 0.84 3.30 57.85 0.71
Style 1.06 13.76 0.47 1.09 19.18 0.49
Industry 2.82 36.54 0.78 2.20 38.67 0.61
Fixed Income 3.28 42.57 0.79 1.73 30.29 0.48
Nominal Rates -0.37 -4.76 -0.29 -0.07 -1.24 -0.17
Credit 3.65 47.33 0.81 1.80 31.53 0.50
Private Equity 0.01 0.11 0.03 0.01 0.20 0.04
Selection Risk 0.40 5.22 0.23 0.55 9.60 0.31
Currency Risk 0.14 1.81 0.15 0.12 2.07 0.13
Active Risk from Risk Factors
0
20
40
60
Equity Fixed Income Private Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
36 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 472 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Swap Shift 0.14 24.72 2.14 22.58 0.00 0.62 1.62 1.98 34.71
US Swap Butterfly 0.06 -12.50 -1.50 -11.00 -0.00 -0.17 0.12 0.12 2.07
US CCC 2.79 0.20 0.02 0.18 0.01 0.23 0.36 0.11 1.99
US Consumer Discretionary CCC 3.16 0.17 0.06 0.11 0.01 0.23 0.31 0.08 1.35
US Industrials CCC 2.37 0.12 0.05 0.07 0.01 0.21 0.17 0.04 0.64
US Materials CCC 3.07 0.06 0.01 0.04 0.00 0.15 0.08 0.02 0.33
EUR Swap Shift 0.16 0.56 0.00 0.56 0.00 0.13 0.01 0.01 0.21
GB Swap Shift 0.24 0.16 0.00 0.16 0.00 0.30 0.01 0.01 0.19
US Swap Twist 0.08 -6.39 -0.52 -5.87 -0.00 -0.02 0.06 0.01 0.15
US Utilities BB 0.84 0.12 0.05 0.07 0.00 0.13 0.05 0.01 0.13
%CR to Active Risk by Duration Buckets
0%
20%
40%
60%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Twist 0.17 -1.54 -0.44 -1.10 -0.00 -0.09 0.03 0.02 0.30
EUR Implied Volatility 11.63 -0.01 0.00 -0.01 -0.03 -0.25 0.02 0.02 0.27
FR Shift 0.38 -0.02 0.00 -0.02 -0.00 -0.11 0.00 0.00 0.02
US Butterfly 0.12 -0.96 -1.05 0.09 0.00 0.05 -0.01 0.00 0.01
GB Twist 0.17 -0.01 0.00 -0.01 -0.00 -0.15 0.00 0.00 0.00
SE Twist 0.22 -0.00 0.00 -0.00 -0.00 -0.08 0.00 0.00 0.00
ES Shift 0.46 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.00
US Inflation-protected 0.46 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00
NO Shift 0.35 -0.00 0.00 -0.00 -0.00 -0.11 0.00 0.00 0.00
CA Twist 0.15 -0.00 0.00 -0.00 -0.00 -0.08 0.00 0.00 0.00
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 2.60 0.41 0.75 0.64 0.56 0.23 0.18 0.07 -0.06 0.14 0.01 0.09
Benchmark 1.61 0.11 0.13 0.46 0.38 0.13 0.06 0.03 0.02 0.00 0.00 0.00
Active 0.99 0.31 0.62 0.18 0.18 0.10 0.12 0.03 -0.08 0.14 0.01 0.09
-0.5
0.0
0.5
1.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
37 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 473 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 7.71 5.70 100.00 0.06
United States 68 .61 85 .73 -17 .11 9 .05 4 .80 84 .27 0 .03
N/A 15.32 0 .00 15 .32 9 .36 0 .64 11 .31 0 .05
Euro. Monetary Union 5 .34 0 .00 5 .34 6 .46 -0 .01 -0 .13 0 .01
United Kingdom 2.27 2 .08 0 .19 8 .38 0 .03 0 .59 0 .02
Canada 1 .37 4 .06 -2 .69 16 .77 0 .05 0 .90 0 .02
Caymans 1 .22 0 .21 1 .01 8 .67 0 .03 0 .48 0 .03
Netherlands 0 .79 1 .90 -1 .12 10 .05 0 .00 0 .00 0 .01
Luxembourg 0 .77 2 .14 -1 .37 35 .47 0 .02 0 .26 0 .02
Austria 0 .72 0 .02 0 .70 19 .91 0 .04 0 .75 0 .07
Venezuela 0 .43 0 .00 0 .43 14 .95 -0 .00 -0 .02 0 .01
Ireland 0 .37 0 .51 -0 .13 10 .33 0 .00 0 .04 0 .01
Denmark 0 .32 0 .03 0 .29 12 .24 0 .00 0 .04 0 .02
Brazil 0 .32 0 .09 0 .23 9 .09 0 .01 0 .14 0 .03
Spain 0 .30 0 .06 0 .24 13 .87 0 .00 0 .03 0 .02
Singapore 0 .28 0 .09 0 .20 4 .01 -0 .00 -0 .04 0 .00
Israel 0 .26 0 .00 0 .26 8 .18 -0 .00 -0 .02 0 .01
Puerto Rico 0 .26 0 .01 0 .24 13 .79 0 .01 0 .20 0 .06
Greece 0 .22 0 .00 0 .22 29 .39 0 .02 0 .28 0 .08
Sweden 0.20 0 .08 0 .12 27 .52 0 .00 0 .06 0 .02
United Arab Emirates 0 .13 0 .00 0 .13 9 .80 -0 .00 -0 .01 0 .01
Bermuda 0.13 0 .05 0 .07 9 .81 0 .00 0 .00 0 .01
Latvia 0 .11 0 .01 0 .10 9 .23 -0 .00 -0 .00 0 .01
Norway 0 .09 0 .06 0 .03 52 .86 0 .01 0 .16 0 .06
Jersey 0 .06 0 .06 0 .00 337 .28 0 .02 0 .29 0 .16
Germany 0 .03 0 .40 -0 .37 56 .68 0 .00 0 .04 0 .01
Australia 0 .03 0 .34 -0 .32 7 .58 0 .00 0 .01 0 .01
China International 0 .01 0 .00 0 .01 12 .42 0 .00 0 .00 0 .02
Indonesia 0 .01 0 .00 0 .01 5 .87 -0 .00 -0 .00 0 .00
France 0 .01 0 .55 -0 .54 1 ,207 .52 0 .03 0 .44 0 .03
Hong Kong 0 .01 0 .00 0 .01 16 .07 -0 .00 -0 .00 0 .00 -25% 0% 25% 50% 75% 100%
Hong Kong
France
Indonesia
China International
Australia
Germany
Jersey
Norway
Latvia
Bermuda
United Arab Emirates
Sweden
Greece
Puerto Rico
Israel
Singapore
Spain
Brazil
Denmark
Ireland
Venezuela
Austria
Luxembourg
Netherlands
Caymans
Canada
United Kingdom
Euro. Monetary Union
N/A
United States
Portfolio Weight Benchmark Weight Active Weight
38 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 474 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
N/A
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 1,350,592,992.17 85.53 82.18
Euro 313,909,227.20 12.78 15.68
British Pound Sterling 23,250,924.78 0.65 0.90
Canadian Dollar 8,862,705.02 0.83 0.90
Danish Krone 5,485,251.98 0.04 0.11
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 234,181.43 0.00 0.01
Mexican Peso 0.05 0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 7.71 7.71 100.00 5.70 100.00
US Dollar 79 .12 100 .00 -20 .88 8 .20 6 .33 82 .18 4 .87 85 .53
Euro 18 .39 0 .00 18 .39 9 .52 1 .21 15 .68 0 .73 12 .78
British Pound Sterling 1 .36 0 .00 1 .36 12 .46 0 .07 0 .90 0 .04 0 .65
Canadian Dollar 0 .52 0 .00 0 .52 34 .46 0 .07 0 .90 0 .05 0 .83
Danish Krone 0 .32 0 .00 0 .32 12 .24 0 .01 0 .11 0 .00 0 .04
Swedish Krona 0 .16 0 .00 0 .16 8 .54 0 .00 0 .05 0 .00 0 .02
Norwegian Krone 0 .10 0 .00 0 .10 51 .47 0 .01 0 .17 0 .01 0 .15
CNH 0.01 0 .00 0 .01 12 .42 0 .00 0 .01 0 .00 0 .00
Australian Dollar 0 .01 0 .00 0 .01 11 .73 0 .00 0 .01 0 .00 0 .00
Singapore Dollar 0 .01 0 .00 0 .01 3 .96 0 .00 0 .00 -0 .00 -0 .00
Swiss Franc 0 .00 0 .00 0 .00 73 .68 0 .00 0 .00 0 .00 0 .00
Mexican Peso 0 .00 0 .00 0 .00 11 .29 0 .00 0 .00 0 .00 0 .00
Japanese Yen 0 .00 0 .00 0 .00 7 .32 -0 .00 -0 .00 -0 .00 -0 .00
39 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 475 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 2.60 7.71 5.70 100.00 0.06
Others 44 .36 0 .13 44 .23 0 .47 11 .31 3 .47 60 .80 0 .04
Consumer Discretionary 15 .36 29 .17 -13 .82 0 .18 4 .83 0 .12 2 .14 0 .01
Industrial 7 .93 13 .55 -5 .62 0 .11 5 .73 0 .10 1 .70 0 .01
Utility 6 .29 2 .47 3 .82 0 .22 24 .66 0 .47 8 .29 0 .06
Financial 5 .85 10 .53 -4 .68 0 .17 6 .43 0 .08 1 .37 0 .02
Health Care 5 .31 9 .94 -4 .62 0 .07 3 .99 0 .03 0 .47 0 .01
Government 3 .76 0 .00 3 .76 0 .37 5 .49 -0 .07 -1 .22 -0 .00
Materials 3 .59 8 .29 -4 .70 0 .10 10 .76 0 .04 0 .65 0 .01
Telecommunications 2 .19 9 .58 -7 .39 0 .07 6 .84 0 .02 0 .27 0 .01
Energy 1 .71 8 .12 -6 .41 -0 .02 11 .53 -0 .04 -0 .72 0 .02
Technology 1 .21 2 .95 -1 .74 0 .02 4 .25 0 .00 0 .03 0 .01
Mortgage Backed Security 0 .43 0 .00 0 .43 0 .02 2 .77 -0 .00 -0 .05 0 .00
Sovereign 0 .42 0 .00 0 .42 0 .00 15 .41 -0 .00 -0 .05 0 .00
Collateralized Loan Obligat 0 .37 0 .00 0 .37 0 .85 603 .25 1 .44 25 .27 3 .87
Local/Provincial 0 .29 0 .12 0 .17 0 .02 12 .07 0 .01 0 .14 0 .05
Consumer Staples 0 .23 3 .25 -3 .02 -0 .08 39 .56 0 .03 0 .51 0 .01
Transportation 0 .22 1 .78 -1 .57 0 .00 6 .69 0 .01 0 .13 0 .01
Asset Backed Security 0 .17 0 .08 0 .10 0 .01 8 .37 0 .01 0 .11 0 .03
Commercial Mortgage Backed 0 .17 0 .00 0 .17 0 .01 11 .46 0 .00 0 .07 0 .03
Collateralized Debt Obligat 0 .11 0 .00 0 .11 0 .01 16 .05 0 .00 0 .06 0 .04
Agency 0 .02 0 .00 0 .02 0 .00 56 .81 0 .00 0 .03 0 .09
Corporation 0 .00 0 .03 -0 .03 0 .00 0 .00 0 .00 0 .00 0 .01
-20% 0% 20% 40% 60%
Consumer Discretionary
Telecommunications
Energy
Industrial
Materials
Financial
Health Care
Consumer Staples
Technology
Transportation
Government
Utility
Others
Portfolio Weight Benchmark Weight Active Weight
40 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 476 of 715
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: June 30, 2019
BENCHMARK: FI AlternativePOSITIONS: 20 ACCEPTED: 15
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 0.00 2.60 5.29 7.71 5.70 100.00
Aaa 1.33 0 .00 1 .33 0 .14 11 .00 5 .83 -0 .02 -0 .43
Aa2 -0 .51 0 .00 -0 .51 -0 .02 4 .72 6 .39 0 .00 0 .02
Baa1 -0 .07 0 .00 -0 .07 -0 .01 8 .97 12 .37 0 .00 0 .01
Baa2 -0 .29 0 .05 -0 .35 -0 .05 16 .11 10 .17 0 .01 0 .11
Baa3 -0 .23 0 .78 -1 .01 -0 .02 8 .98 20 .00 0 .00 0 .08
Ba1 4.25 8 .35 -4 .10 0 .03 4 .07 4 .69 0 .01 0 .14
Ba2 0.84 10 .37 -9 .52 0 .02 2 .63 4 .06 0 .03 0 .52
Ba3 1.31 16 .49 -15 .18 0 .04 4 .15 8 .73 0 .05 0 .89
B1 2.10 15 .02 -12 .91 0 .04 3 .03 6 .46 0 .01 0 .15
B2 4.72 21 .95 -17 .22 0 .05 2 .56 4 .36 -0 .02 -0 .33
B3 3.60 11 .00 -7 .40 0 .09 3 .29 5 .95 -0 .01 -0 .11
Caa1 4 .64 4 .89 -0 .24 0 .08 3 .16 10 .11 0 .03 0 .61
Caa2 9 .64 4 .47 5 .17 0 .13 2 .79 7 .92 0 .05 0 .83
Caa3 1 .75 0 .47 1 .27 0 .01 2 .90 8 .53 0 .02 0 .27
Ca 0.35 0 .52 -0 .17 0 .01 1 .39 11 .81 0 .00 0 .02
C 0.57 0 .08 0 .49 0 .07 12 .54 36 .33 0 .02 0 .31
WR 3.69 2 .22 1 .46 0 .22 6 .32 41 .47 0 .51 9 .01
NR 0.38 0 .00 0 .38 0 .85 271 .66 593 .72 1 .44 25 .28
Not Rated 61 .94 3 .36 58 .58 0 .92 3 .84 8 .33 3 .57 62 .64
-20% 0% 20% 40% 60% 80%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
Aa2
Aaa
Portfolio Weight Benchmark Weight Active Weight
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Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 477 of 715
APPENDICES:
Basket Clause
BASKET CLAUSE ANALYSIS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 6/30/2019
This analysis shows basket consumption by investment mandate on a security look-through basis.
* Basket Eligible Assets are subject to the following thresholds - above which investment consumes basket capacity: 10% aggregate portfolio weight for investments in non-U.S. listed equities; 10% aggregate portfolio weight for real assets; and 10% aggregate portfolio weight for investments in high yield bonds and foreign debt issues that are registered with the SEC. To theextent that the value of investments in a particular category exceeds a threshold, the excess consumes basket capacity.
In the above table, the investment of cash held as collateral under the system’s securities lending program, is included as aNon-Basket Asset in the Cash/Equivalent line.
Basket Limit 25.00%Basket Consumed 23.46%Remaining Capacity 1.54%
Basket-Eligible Assets*Non-Basket Assets Non-Contributing Contributing Basket Assets Total
FIXED INCOME 28.51% 4.41% 0.01% 6.25% 39.18%U.S. Fixed 8.02% 3.74% 0.01% 5.75% 17.52%Cash/Equivalent 1.93% --- --- 0.00% 1.93%TIPS 4.17% --- --- ---- 4.17%Convertible Bonds 0.25% 0.00% 0.00% 0.01% 0.26%OFI 0.03% 0.11% 0.01% 2.62% 2.76%High Yield 0.36% 3.56% 0.00% 0.91% 4.84%Bank Loans 0.15% 0.04% 0.00% 2.19% 2.38%ETI Investments 0.82% --- --- 0.01% 0.84%Core/Core Plus 0.31% 0.02% --- 0.01% 0.33%
U.S. Structured 20.49% 0.68% --- 0.50% 21.66%Credit 3.37% 0.68% --- 0.08% 4.13%Mortgages 3.02% --- --- 0.42% 3.44%ST Treasury 2.69% --- --- ---- 2.69%Treasury/Agency 7.25% --- --- ---- 7.25%MT Treasury 0.01% --- --- ---- 0.01%
LT Treasury 4.14% --- --- ---- 4.14%
EQUITY 28.87% 14.74% 11.47% 5.74% 60.82%Public Equity 28.87% 9.99% 11.47% 0.36% 50.69%U.S. Equity 26.77% 0.53% 0.61% 0.25% 28.16%EAFE 0.17% 5.50% 6.31% 0.05% 12.03%Emerging Markets 0.13% 3.90% 4.48% 0.06% 8.56%Global 0.22% 0.06% 0.07% 0.00% 0.36%Real Estate Equity 1.57% 0.00% 0.00% 0.00% 1.58%
Alternative Investments 0.00% 4.75% --- 5.37% 10.13%Infrastructure 0.00% 1.14% --- 0.00% 1.14%Private RE/Core --- 2.34% --- 0.01% 2.36%Private RE/Non-Core 0.00% 1.27% --- ---- 1.27%
Private Equity 0.00% --- --- 5.36% 5.35%
TOTAL ASSETS 57.38% 19.15% 11.48% 11.99% 100.00%
Non-Basket: 76.54% Basket: 23.46%
Page 480 of 715
Liquidity Analysis
LIQUIDITY REPORTS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 06/30/2019
AUM as of June 30, 2019
Liquid AssetsCurrent MV Today 1 Year 2 Years
PUBLIC EQUITY $39,895 $39,895 $39,895 $39,895
U.S. 23,383 23,383 23,383 23,383EAFE Equity 8,941 8,941 8,941 8,941Emerging Markets 7,289 7,289 7,289 7,289Global Equity 281 281 281 281
PUBLIC FIXED INCOME $27,742 $27,372 $27,685 $27,685
Short Term Securities 803 803 803 803U.S. Government 11,078 11,078 11,078 11,078Long Duration Treasury 0 0 0 0Mortgages
Core Mortgages 2,662 2,662 2,662 2,662ETI 663 293 605 605
Credit - Investment Grade 3,693 3,693 3,693 3,693Corporate - High Yield 3,765 3,765 3,765 3,765Corporate - Bank Loans 1,800 1,800 1,800 1,800UST - Inflation Protected 3,278 3,278 3,278 3,278
ALTERNATIVE ASSETS $10,117 $1,611 $2,147 $2,147
Private Equity 4,222 0 0 0Private Real Estate 2,851 0 0 0Infrastructure 897 0 0 0Opportunistic Fixed Income 2,147 1,611 2,147 2,147
Total Assets $77,754 $68,878 $69,727 $69,727
Total Illiquid $ $8,876 $8,027 $8,027Total Illiquid % 11.4% 10.3% 10.3%
Unfunded OFI Commitments $622Unfunded INF Commitments $787Unfunded PE Commitments $3,027Unfunded RE Commitments $1,918Total commitments $ $6,354Total commitments % 8.2%
Page 482 of 715
LIQUIDITY REPORTS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 06/30/2019
TRS Liquidity Profile - Static Analysis 06/30/19
AUM as of June 30, 2019
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $8,876 $8,027 $8,027Total Illiquid % 17.1% 15.5% 15.5%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
Liquid AssetsCurrent MV Today 1 Year 2 Years
Total Assets $77,754 $68,878 $69,727 $69,727
Private Equity, Real Estate, Infrastructure and Opportunistic Fixed Income Stress caseUnfunded OFI Commitments 226 $124 $249Unfunded INF Commitments 708 $157 $315Unfunded PE Commitments Drawn $2,886 $605 $1,211Unfunded RE Commitments Drawn 1,691 $384 $767Total commitments $ $4,578 $1,271 $2,542Total commitments % 6.6% 1.6% 3.3%
Total Illiquid $ $9,298 $10,569Total Illiquid % 12.0% 13.6%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquidsSee Assumptions Page for Full Details
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $8,876 $9,298 $10,569Total Illiquid % 17.1% 17.9% 20.4%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
Page 483 of 715