THE CITY OF NEW YORK

OFFICE OF THE COMPTROLLER

December 15, 2016

COMMON INVESTMENT MEETING

Public Session

PERFORMANCE REPORTING

Total Fund Performance Overview

Third Quarter 2016

Asset Class IndexThird

Quarter 2016

Fiscal Year

Ending 6-163 Year 5 Year Expected*

Equities - U.S. Russell 3000 4.4% 2.1% 10.4% 16.4% 7.8%

Equities - Developed Intl MSCI EAFE 6.4% -10.2% 0.5% 7.4% 8.9%

Equities - Emerging Intl MSCI EMF 9.0% -12.1% -0.6% 3.0% 11.0%

Debt - US Government NYC Treas/Agency +5 -0.5% 12.0% 6.6% 3.8% 2.8%

Debt - Investment Grade NYC IG Credit 1.4% 7.3% 5.3% 4.8% 3.4%

Debt - High Yield Citigroup BB & B 5.1% 0.8% 5.0% 7.6% 6.1%

3

Market Returns: Q3-2016

Source: State Street

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

4

Continuation of Rally

Themes in Q3:

- Post-Brexit response – seamless transition of government, Bank of England lowers rates

and resumes QE, expansionary fiscal policy promised.

- Historic lows in yields – Federal Reserve remains dovish, ECB and BOJ QE programs

continues, dollar slightly weaker.

- Emerging Market assets rally – China concerns remain low, Brazil political issue resolved,

coup in Turkey repelled, oil and commodities stable to higher. EM currencies rally.

- US Presidential Election – Clinton ahead in polls, consensus is Clinton victory positive for

equities, both candidates promise large infrastructure spending plans.

- Equity volatility low – plunges post Brexit vote, remains low despite several terrorist

attacks, European bank concerns and political risks in US and Europe.

- Credit and equity rally continues.

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

0

0.2

0.4

0.6

0.8

1

1.2

1.4

UST 10YR Yield - Change in bps 12.4 Germany 10Yr Yield - Change in bps 0.9

JPY 10YR Yield - Change in bps 12.8 UK 10YR Yield - Change in bps -12.1

Nov-16Aug-16May-

15

Feb-15Nov-15

5

Global Yields - 1 Year

Source: Bloomberg

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16

10

15

20

25

30

35

40

45

SPX Volatility Index FTSE 100 Volatility Index Euro Stoxx 50 Volatility Index

6

SPX VIX, FTSE 100 & Euro VIX - YTD

Source: BloombergPrepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

0

100

200

300

400

500

600

700

800

900

Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16

0

50

100

150

200

250

300

Investment Grade : Q3 Return 1.37% High Yield : Q3 Return 5.13%

7

Investment Grade & High Yield Spreads - YTD

Source: Bloomberg

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

1350

1400

1450

1500

1550

1600

1650

1700

1750

1800

Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16

600

700

800

900

1000

1100

1200

1300

1400Equity Indices

Russell 3000 Index : Q3 Return: 4.40%

MSCI Emerging Markets Index: Q3 Return 9.03%

MSCI EAFE Index: Q3 Return: 6.43%

8

Equity Indices - YTD

Source: Bloomberg

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Gross of fees in public asset classes

(SSB N p.22; T, F p.23; P p.25 ; B p.27)

NYC Pension SystemPortfolio Std

Dev - 1 yrThird Quarter FYE 2016 One Year Three Year

BERS 8.8% 4.7% 0.4% 11.7% 6.8%

TRS 7.8% 3.8% 1.9% 11.1% 6.9%

POLICE 7.4% 3.9% 1.4% 10.5% 7.1%

FIRE 7.2% 3.9% 1.7% 10.3% 6.9%

NYCERS 7.2% 3.8% 1.8% 10.6% 6.9%

Median Fund - TUCS 3.5% 1.3% 9.6% 6.9%

9

Total NYC Pension Fund Performance: 9/30/16

Source: State Street

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

10

Asset Allocation Third Quarter 2016

Source: State Street

Relative Mix to Adjusted Old Policy Weights (SSB F, T, N, B p.8; P, p.10)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

11

Asset Allocation Third Quarter 2016 - Fixed Income

Relative Mix to Adjusted Old Policy Weights (SSB F, T, N, B p.8; P, p.10)

Source: State Street

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

12

Asset Allocation Third Quarter 2016

Source: State Street

Relative Mix to Adjusted New Policy Weights (SSB F, T, N, B p.8; P, p.10)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

13

Asset Allocation Third Quarter 2016 - Fixed Income

Relative Mix to Adjusted New Policy Weights (SSB F, T, N, B p.8; P, p.10)

Source: State Street

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

14

FYTD Return – Total Portfolio

-600

-400

-200

0

200

400

600

FYTD Portfolio FYTD Benchmark FYTD Excess

bp

s

TRS

NYCERS

Police

Fire

BERS

FISCAL YEAR TO DATE September 30, 2016 (SSB N p.22; T, F, p.23; P p.25; B p.27)

Source: State Street

171 bps

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

15

Excess Return – Total Portfolio

-600

-400

-200

0

200

400

600

FYTD Total Excess Return FYTD Qtr Asset Allocation FYTD Qtr Manager Value Added

bp

s

TRS

NYCERS

Police

Fire

BERS

Source: State Street

FYTD 3rd Quarter 2016 Basis Points of Excess Return (SSB T, N,F p.10 ; P p.12 ; B p.14)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

16

Manager Value Added- Total Portfolio

-600

-400

-200

0

200

400

600

FYTD FY 2016

TRS

NYCERS

Police

Fire

BERS

bp

sBasis Points of Excess Return (SSB T, N,F p.10 ; P p.12 ; B p.14)

Source: State Street

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

17

Value Added – Total U.S. Equities

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 33.19%

NYCERS - 33.46%

Police - 36.03%

Fire - 31.22%

BERS - 37.41%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T, F, N p.23; P p.25; B p.27)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

18

Value Added – U.S. Equities – Small Cap

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 1.33%

NYCERS - 3.20%

Police - 2.62%

Fire - 1.67%

BERS - 1.50%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB N p.22; T,F, p.23; P p.25; B p.27)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

19

Value Added – U.S. Equities – Mid Cap

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 1.44%

NYCERS - 2.46%

Police - 2.01%

Fire - 1.94%

BERS - 3.11%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB N p.22; T,F, p.23; P p.26; B p.27)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

20

Value Added – Emerging Manager Program

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 0.60%

NYCERS - 1.90%

Police - 0.58%

Fire - 1.49%

BERS - 3.38%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T,F, N p.24; P p.26; B p.28)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

21

Value Added – Total International Equities

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 18.25%

NYCERS - 17.75%

Police - 16.16%

Fire - 16.59%

BERS - 21.99%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB N p.24; T, F, p.25; P p.27; B p.29)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

22

Value Added – Developed Growth

-1,000

-800

-600

-400

-200

0

200

400

600

800

1,000

FYTD 2 Year Trailing

TRS - 3.70%

NYCERS - 3.51%

Police - 3.27%

Fire - 4.12%

BERS - 7.44%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB N p.24; T, F, p.25; P p.27; B p.29)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

23

Value Added – Developed Value

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 3.06%

NYCERS - 3.13%

Police - 2.95%

Fire - 3.59%

BERS - 7.37%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB N p.24; T, F, p.25; P p.27; B p.29)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

24

Value Added – Structured Fixed Income

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 16.74%

NYCERS - 16.03%

Police - 15.81%

Fire - 16.61%

BERS - 14.66%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T, N p.28; F, p.29; P, B p.31)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

25

Value Added – Enhanced Yield

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 4.99%

NYCERS - 3.95%

Police - 4.15%

Fire - 3.91%

BERS - 5.28%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T, N p.28; F, p.29; P, B p.31)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

26

Value Added – Bank Loans

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 2.51%

NYCERS - 1.86%

Police - 1.71%

Fire - 1.67%

BERS - 2.32%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T, N p.28; F p30; B p.31 P p.32)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

27

Value Added – Economically Targeted Investments

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - 0.92%

NYCERS - 1.38%

Police - 1.09%

Fire - 0.80%

BERS - 0.65%

Source: State Street

Weights as of

9/30/2016

bp

sBasis Points of Excess Return (SSB T, N p.29; F p30; B p.31 P p.32)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Value Added- Hedge FundsBasis Points of Excess Return

-600

-400

-200

0

200

400

600

FYTD 2 Year Trailing

TRS - N/A

NYCERS - 1.86%

Police - 4.28%

Fire - 4.03%

BERS - N/A

Source: State Street

Weights as of

9/30/2016

28

bp

s

Value Added - Hedge Funds

Basis Points of Excess Return (SSB F p.53; N p.54; P p.57)

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

PRIVATE MARKET DATA

30

Value Added – Private Equity

-600

-400

-200

0

200

400

600

Excess Return Since Inception PME Benchmark: PME is the Russell 3000 Total Return Index as of 6/30/16

TRS - 07/08/99

NYCERS - 03/29/99

Police - 03/29/99

Fire - 03/29/99

BERS - 07/20/06

Inception Date

300bps Target

Basis Points of Cumulative IRR above Public Market Equivalent

bp

s

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Source: StepStone

Group, Hamilton Lane

31

Value Added – Opportunistic Fixed Income (OFI)

-600

-400

-200

0

200

400

600

Excess Return Since Inception; PME Benchmark: JP Morgan Global High Yield as of 9/30/16

TRS - 10/24/2007

NYCERS - 10/24/2007

Police - 10/24/2007

Fire - 10/24/2007

BERS - N/A

Inception Date

300bps Target

Basis Points of Cumulative IRR above Public Market Equivalentb

ps

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Source: State Street

32

Value Added – Private Real Estate - Core

-1000

-800

-600

-400

-200

0

200

400

600

800

1000

Excess Return Since Inception; Core = 40% Equities- Russell 3000 /60% BarcAgg as of 6/30/16

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 12/13/2010

Inception Date

Basis Points of Cumulative IRR above Public Market Equivalentb

ps

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Source: State Street

33

Value Added – Private Real Estate – Non-Core

-1000

-800

-600

-400

-200

0

200

400

600

800

1000

Excess Return Since Inception; Non-core = 60% Equities- Russell 3000/40% BarcAgg as of 6/30/16

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 12/13/2010

Inception Date

Basis Points of Cumulative IRR above Public Market Equivalentb

ps

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Source: State Street

34

Value Added - Infrastructure

0

200

400

600

800

Excess Return Since Inception; PME Benchmark: 50% R3000 & 50% Barclays Agg. as of 6/30/16

TRS - 11/19/2013

NYCERS - 11/19/2013

Police - 11/19/2013

Fire - 11/19/2013

BERS - 11/19/2013

Inception Date

Basis Points of Cumulative IRR above Public Market Equivalentb

ps

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

Prepared by the Office of New York City Comptroller Scott M. Stringer - Bureau of Asset Management

Source: StepStone

Group, State Street