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Monthly Performance ReviewAugust 2021
Prepared for the New York City Board of Education Retirement System
10.2021
THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER
TABLE OF CONTENTS
Market Indicators for August & September .......................................................................................................................... 1
Contribution to Returns ....................................................................................................................................................... 5
Asset Allocation: Growth, Deflation, Inflation; New Policy Weights & Adjusted Policy Weight Mixes ............................... 6
Classification of Investments. ............................................................................................................................................. 12
BERS’ Market Values 2020-2021 .................................................................................................................................... 15
BERS’ Market Values 2012-2021. ................................................................................................................................... 16
Manager / Benchmark Comparison Report ....................................................................................................................... 17
Private Equity Fund Supplemental Details ........................................................................................................................ 31
Private Equity Cash Flow Tracker ..................................................................................................................................... 32
Real Estate Fund Supplemental Details ............................................................................................................................. 33
Real Estate Cash Flow Tracker ......................................................................................................................................... 34
Infrastructure Fund Supplemental Details ......................................................................................................................... 35 Infrastructure Cash Flow Tracker………………………………………………………………………………………………………………………..36
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
S&P 500 3.04 7.95 5.49 31.17 26.47 18.07 18.02 16.34S&P 400 MIDCAP 1.95 1.25 2.30 44.77 22.83 12.18 13.74 13.90RUSSELL 1000 2.89 7.66 5.03 32.25 27.28 18.42 18.24 16.40RUSSELL 2000 2.24 0.45 (1.45) 47.08 24.87 10.75 14.38 13.62RUSSELL 3000 2.85 7.17 4.59 33.04 27.11 17.85 17.97 16.20RUSSELL 3000 GROWTH 3.62 13.11 6.54 28.81 35.52 23.71 23.80 19.11RUSSELL 3000 VALUE 2.03 1.41 2.54 37.78 17.60 11.21 11.68 12.95
MSCI EAFE NET 1.76 1.38 2.53 26.12 15.70 9.00 9.72 7.34MSCI EMF NET 2.62 (4.12) (4.29) 21.12 17.76 9.87 10.40 4.85MSCI WORLD NET 2.49 5.88 4.32 29.76 23.10 14.96 14.83 12.14MSCI EUROPE SMID CAP NET 1.92 2.76 5.32 36.86 24.26 11.80 12.76 10.44MSCI AC WORLD ex US NET 1.90 (0.43) 0.22 24.87 16.30 9.37 9.92 6.57 FTSE ALL WORLD EX US 1.98 (0.21) 0.43 26.05 17.26 10.12 10.54 7.23MSCI World ex USA IMI NR 1.77 1.45 2.58 27.53 16.62 9.39 10.06 7.33
NYC - TREASURY AGENCY PLUS FIVE (0.25) 4.19 2.11 (4.50) 2.58 7.14 3.10 3.92FTSE USBIG Treasury 1-3 Y Index (0.01) (0.00) 0.16 0.15 1.78 2.63 1.67 1.15FTSE USBIG Treasury/Agency 1-10 y (0.13) 0.58 0.58 (0.63) 2.35 4.01 2.15 1.88FTSE Treasury 10+ (0.22) 7.27 3.25 (7.34) 2.32 9.17 3.55 5.72
FTSE MORTGAGE INDEX (0.15) 0.36 0.40 (0.23) 2.21 3.87 2.35 2.48
NYC - INVESTMENT GRADE CREDIT (0.18) 2.72 1.09 2.63 4.84 7.45 4.58 4.74
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportAugust 31, 2021
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
1
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
FTSE BIG (DAILY) (0.16) 1.75 0.91 0.04 3.25 5.55 3.17 3.21
NYC - CORE PLUS FIVE (0.18) 2.23 1.08 0.09 3.57 6.26 3.56 3.77BLOOMBERG U.S. AGGREGATE (0.19) 1.63 0.93 (0.08) 3.14 5.43 3.11 3.18
FTSE BB & B 0.56 2.31 0.99 8.67 6.54 6.79 6.21 6.61FTSE BB & B CAPPED 0.54 2.17 0.95 8.38 6.04 6.42 5.95 6.44ICE BofA US High Yield Index 0.55 2.28 0.90 10.26 6.93 6.82 6.49 6.90
CSFB LEVERAGED LOAN 0.49 0.89 0.48 8.50 4.46 4.10 4.69 5.00
BLOOMBERG GLOBAL US TIPS (0.18) 3.11 2.48 5.56 7.26 7.33 4.60 3.17
BofA ML U.S. Convertible – Yield Alternative 0.42 2.21 (0.06) 13.65 11.66 9.07 8.57 6.47ICE BofA All IG US Convertibles 0.75 1.25 1.68 14.84 9.86 9.96 12.87 12.10ICE BofA All US Conv Ex Mandatory 1.85 3.91 0.60 26.78 32.13 22.00 19.48 14.69
DJ US SELECT REAL ESTATE 1.75 9.63 7.17 44.17 8.94 9.38 6.44 9.82NCREIF NFI - ODCE NET* 0.00 3.68 0.00 7.09 4.17 4.60 5.62 8.60CPI + 4% 0.60 2.66 1.41 9.34 7.34 6.83 6.66
91 DAY TREASURY BILL 0.00 0.01 0.01 0.08 0.67 1.23 1.17 0.63
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportAugust 31, 2021
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
2
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
S&P 500 (4.65) 0.58 0.58 30.00 22.35 15.99 16.90 16.63S&P 400 MIDCAP (3.97) (1.76) (1.76) 43.68 18.57 11.08 12.97 14.72RUSSELL 1000 (4.59) 0.21 0.21 30.96 23.26 16.43 17.11 16.76RUSSELL 2000 (2.95) (4.36) (4.36) 47.68 21.76 10.54 13.45 14.63RUSSELL 3000 (4.49) (0.10) (0.10) 31.88 23.15 16.00 16.85 16.60RUSSELL 3000 GROWTH (5.49) 0.69 0.69 27.57 31.78 21.27 22.30 19.40RUSSELL 3000 VALUE (3.38) (0.93) (0.93) 36.64 13.53 9.94 10.94 13.48
MSCI EAFE NET (2.90) (0.45) (0.45) 25.73 12.41 7.62 8.81 8.10MSCI EMF NET (3.97) (8.09) (8.09) 18.20 14.31 8.58 9.23 6.09MSCI WORLD NET (4.15) (0.01) (0.01) 28.82 19.26 13.14 13.74 12.68MSCI EUROPE SMID CAP NET (6.06) (1.07) (1.07) 32.06 18.95 10.00 11.02 11.32MSCI AC WORLD ex US NET (3.20) (2.99) (2.99) 23.92 12.98 8.03 8.94 7.48 FTSE ALL WORLD EX US (3.04) (2.62) (2.62) 25.06 13.95 8.80 9.59 8.18MSCI World ex USA IMI NR (2.95) (0.45) (0.45) 27.05 13.33 8.10 9.09 8.17
NYC - TREASURY AGENCY PLUS FIVE (2.17) (0.10) (0.10) (6.85) 2.29 7.01 2.76 3.28FTSE USBIG Treasury 1-3 Y Index (0.10) 0.06 0.06 0.03 1.78 2.63 1.62 1.15FTSE USBIG Treasury/Agency 1-10 y (0.64) (0.06) (0.06) (1.34) 2.25 3.95 1.98 1.79FTSE Treasury 10+ (3.03) 0.12 0.12 (10.50) 2.05 9.15 3.26 4.40
FTSE MORTGAGE INDEX (0.35) 0.04 0.04 (0.50) 1.96 3.96 2.23 2.43
NYC - INVESTMENT GRADE CREDIT (1.02) 0.06 0.06 1.75 4.67 7.23 4.41 4.62
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportSeptember 30, 2021
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
3
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
FTSE BIG (DAILY) (0.89) 0.02 0.02 (0.82) 3.07 5.47 3.00 3.04
NYC - CORE PLUS FIVE (1.05) 0.02 0.02 (0.93) 3.36 6.16 3.37 3.56BLOOMBERG U.S. AGGREGATE (0.87) 0.05 0.05 (0.90) 2.97 5.36 2.94 3.01
FTSE BB & B (0.00) 0.99 0.99 10.11 6.38 6.61 6.11 6.85FTSE BB & B CAPPED 0.03 0.98 0.98 9.72 5.89 6.25 5.86 6.67ICE BofA US High Yield Index 0.03 0.94 0.94 11.46 6.78 6.62 6.35 7.30
CSFB LEVERAGED LOAN 0.65 1.13 1.13 8.46 4.58 4.09 4.64 5.04
BLOOMBERG GLOBAL US TIPS (0.71) 1.75 1.75 5.19 7.61 7.45 4.34 3.12
BofA ML U.S. Convertible – Yield Alternative (0.49) (0.54) (0.54) 14.16 10.74 8.90 8.28 6.71ICE BofA All IG US Convertibles (1.21) 0.44 0.44 15.19 7.87 9.78 12.26 12.33ICE BofA All US Conv Ex Mandatory (1.38) (0.79) (0.79) 28.12 31.53 21.55 18.77 15.09
DJ US SELECT REAL ESTATE (5.52) 1.25 1.25 40.56 4.49 8.32 5.68 10.52CPI + 4% 0.74 2.16 2.16 9.57 7.50 6.92 6.71
91 DAY TREASURY BILL 0.01 0.01 0.01 0.07 0.58 1.18 1.16 0.63
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportSeptember 30, 2021
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
4
NYC Board of Education Retirement System Contribution to Return - August 2021
1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/21 Total FY Ending 6/30/20 Total
Return: 2.15% Return: 4.41% Return: 3.09% Return: 27.97% Return: 5.72%
(1.24) (0.21)0.15 0.30 0.30
0.65 0.92
0.80
3.73
0.24
0.19
1.11
0.09
0.39
0.33 0.18
2.24
0.12
0.85
0.27 0.16
(0.11)
2.47
(0.40)0.18
4.94
0.73
0.92
2.35 1.56 14.70
2.21
DOMESTIC EQUITY
WORLD EX-USA
EMERGING MARKETS
INTL FOF
GLOBAL EQUITY
CORE + 5
TIPS
HIGH YIELD
BANK LOANS
OPPORTUNISTIC FIXED
TARGETED
OTHER FIXED
PRIVATE EQUITY
PRIVATE REAL ESTATE
INFRASTRUCTURE
RESIDUAL0.02-Intl FoF0.04-Global Eq(0.03)-Core+5(0.00)-TIPS0.05-HY0.00-BL0.01-Opp FI(0.00)-ETI0.00-Oth FI0.00-Infra(0.00)-Res
0.11-World ex(0.11)-EM0.01-Intl FoF0.11-TIPS0.00-BL0.04-Opp FI0.01-ETI0.00-Oth FI0.05-Infra(0.02)-Res
0.08-World ex0.01-Intl FoF0.06-Global Eq0.07-HY0.00-BL0.03-Opp FI0.01-ETI0.00-Oth FI0.02-Infra(0.01)-Res
0.37-Intl FoF(0.10)-Core+50.25-TIPS0.00-BL0.00-ETI0.00-Oth FI0.50-RE0.38-Infra
(0.02)-Intl FoF0.04-HY(0.06)-BL0.05-ETI0.03-Oth FI0.06-RE0.14-Infra
5
2.7%0.0%
-0.3% -0.4% -1.9%-3.9%
0.8% 0.9% 2.1%
-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
$3.033.7%
Domestic US Equity World ex-USA Emerging Markets Private Equity
$0.910.0%
$0.55.7%
$0.88.6%
$0.88.8%$0.2
2.1%
Private Real Estate– Non Core
$9.0B Under ManagementPortfolio Asset Allocation – Growth : August 31, 2021
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
High Yield Int’l Emerging Managers FoF Global Equity
$0.22.1%
$0.10.9%
Opportunistic FI
$0.11.1%
6
s
$9.0B Under ManagementPortfolio Asset Allocation – Growth : August 31, 2021
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
1.4% 0.9% 0.0%0.0% 0.0% 0.0%
-1.2%
0.0%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 Adjusted Policy Weights
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
Note: On August 31, 2021 BERS' combined Fixed Income and Cashportfolios have a duration of 5.6 years. The duration of the Barclays USAggregate Index was 6.7 years on that date.
Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate– Non Core
High Yield Int’l Emerging Managers FoF Global Equity
Opportunistic FI
$3.033.7%
$0.910.0%
$0.55.7%
$0.88.6%
$0.88.8%$0.2
2.1%$0.22.1%
$0.10.9%
$0.11.1%
7
Asset Allocation
US Government Treasuries
1.4%
-0.1%-0.1%
0.3% 0.5%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
Mortgages Investment Grade Corporate Short Term
Relative Mix to New Policy Weights
$9.0B Under ManagementPortfolio Asset Allocation – Deflation Protection : August 31, 2021
$0.00.5%
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
Core Fixed Income-Developing Managers
$0.11.4%
$0.66.4%
$0.44.9%
$0.44.7%
8
$9.0B Under Management
Asset Allocation
Relative Mix to Adjusted Policy Weights
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
Portfolio Asset Allocation – Deflation Protection : August 31, 2021
1.4%
-1.5% -1.2% -0.8%
0.5%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
US Government Treasuries Mortgages Investment Grade Corporate Short Term
Core Fixed Income-Developing Managers
$0.00.5% $0.1
1.4%
$0.66.4%
$0.44.9%
$0.44.7%
Note: On August 31, 2021 BERS' combined Fixed Income and Cashportfolios have a duration of 5.6 years. The duration of the Barclays USAggregate Index was 6.7 years on that date.
9
Asset Allocation
Infrastructure US TIPS Real Estate - Core Bank Loans
Relative Mix to New Policy Weights
Note: Brackets represent rebalancing ranges versus Policy.
$9.0B Under ManagementPortfolio Asset Allocation – Inflation Protection : August 31, 2021
$0.33.5%
$0.33.5%
$0.00.0%
$0.22.0%
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
-2.0%
0.5%
-0.5%
0.0%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
10
Asset Allocation
Infrastructure
0.0%0.0%
0.0%0.0%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
US TIPS Real Estate - Core Bank Loans
Relative Mix to Adjusted Policy Weights
Note: Brackets represent rebalancing ranges versus Policy.
$9.0B Under ManagementPortfolio Asset Allocation – Inflation Protection : August 31, 2021
New York City Board of Education Retirement SystemPerformance Overview as of August 31, 2021Prepared by State Street
$0.33.5%
$0.33.5%
$0.00.0%
$0.22.0%
Note: On August 31, 2021 BERS' combined Fixed Income and Cashportfolios have a duration of 5.6 years. The duration of the Barclays USAggregate Index was 6.7 years on that date.
11
NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of August 31st, 2021)
ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy
TOTAL EQUITIES $6,160.0 68.7% 68.0% NA 66.0% 61.0% - 71.0%TOTAL FIXED INCOME $2,812.6 31.3% 32.0% NA 23.2% 18.2% - 28.2%TOTAL ASSETS 100.0% 100.0% NA 89.1%
Actual Policy Target Adjustment Adjusted Policy
US Equities $3,024.4 33.7% 31.0% 2.3% 33.3% 28.3% - 38.3%Non-US Equities/EAFE $895.3 10.0% 10.0% 0.1% 10.1% 6.1% - 14.1%Emerging Markets $514.8 5.7% 6.0% 0.4% 6.4% 3.4% - 9.4%Non-US Emerging Mgrs. FoF $85.2 0.9% 0.0% NA 0.0% -Global Equity $186.0 2.1% 0.0% NA 0.0% -TOTAL PUBLIC EQUITY 52.4% 47.0% 2.7% 49.7%* REAL ESTATE - CORE 3.5% 4.0% NA 3.5% 1.5% - 5.5%* REAL ESTATE - OPPORTUNISTIC 2.1% 4.0% NA 2.1% 0.1% - 4.1%* PRIVATE EQUITY 8.6% 9.0% NA 8.6% 4.6% - 12.6%
PRIVATE INFRASTRUCTURE 2.0% 4.0% NA 2.0% 0.0% - 4.0%
TOTAL EQUITIES 68.7% 68.0% NA 66.0% 61.0% - 71.0%
Actual Policy Target Adjustment Adjusted Policy
U.S. Treasuries - Short $147.8 1.6% 2.0%U.S. Treasuries - Intermediate $228.5 2.5% 2.3%U.S. Treasuries - Long Intermediate $140.7 1.6% 1.6%U.S. Treasuries – All Maturities $516.9 5.8% 5.9% NA 0.0% -5.0% - 5.0%U.S. Treasuries - Long $61.7 0.7% 0.7% 0.3% 1.0% -4.0% - 6.0%Core Mortgage-Backed Securities $373.7 4.2% 2.8% 0.6% 3.4% 2.4% - 4.4%Investment Grade Corporates 4.9% 4.7% 0.6% 5.3% 4.3% - 6.3%
High Yield $787.0 8.8% 8.0% NA 8.0% 5.0% - 11.0%Bank Loans $0.5 0.0% 0.0% NA 0.0% -1.0% - 1.0%Total High Yield & Bank Loans 8.8% 8.0% 0.0% 8.0% 5.0% - 11.0%
TIPS $312.8 3.5% 3.0% 0.5% 3.5% 2.5% - 4.5%**ETI $44.9 0.5% 2.0% NA 2.0% 1.0% - 3.0%Cash $43.5 0.5% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC FIXED INCOME 28.8% 27.0% NA 23.2%
OPPORTUNISTIC FIXED INCOME 1.1% 5.0%
OTHER FIXED INCOME 1.4% 0.0%
TOTAL FIXED INCOME 31.3% 32.0% NA 23.2% 18.2% - 28.2%
***
***
$6,160.0
In $MM Adjusted Target
Range ***
$8,972.6
In $MM Adjusted Target
Range ***
$4,705.6
$318.5$189.2
$769.9
$176.9
ETIs have a policy of 2% of the total Fund. The ETI adjusted policy % is shown for illustrative purposes only and is not included in the sub-totals. The ETI policy % is included within the policy % of the other asset classes.
In $MM Adjusted Target
Range ***
$443.5
$787.5
$2,584.6
$98.3
$129.7
$2,812.6
Adjusted Policy and Target Ranges are based on the 2016 AA policesRanges for illiquid asset classes represent minimums and maximums which will be monitored and will influence pacing analysis but will not necessarily result in purchases or sales.
Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate Opportunistic: +/-2%; Private Equity: +/-4%; US Treasuries All Maturities: +/-5%; US Treasuries Long: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield: +/-3%; Bank
Loans: +/-1%.
“The 2020 Policy Targets are reflected in this report. However the recently approved parking places and ranges have not yet been integrated in this report.”
12
NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of August 31st, 2021)
Adjustments to Long-Term Asset Allocation
1) Private Equity
2) Real Estate Core
3) Real Estate Opportunistic
4) Infrastructure
Impact of Adjustments
1) U.S. Treasuries - Long 0.7%12% of uninvested Real Estate Core 0.1%8% of uninvested Real Estate Opportunistic 0.2%5% of uninvested Private Infrastructure 0.1%Total U.S. Treasuries - Long 1.0%
2) Investment Grade Corporates 4.7%24% of uninvested Real Estate Core 0.1%16% of uninvested Real Estate Opportunistic 0.3%10% of uninvested Private Infrastructure 0.2%Total - Investment Grade Corporates 5.3%
3) Core Mortgage-Backed Securities 2.8%24% of uninvested Real Estate Core 0.1%16% of uninvested Real Estate Opportunistic 0.3%10% of uninvested Private Infrastructure 0.2%Total Core Mortgage-Backed Securities 3.4%
4) Domestic Equity 31.0%100% of uninvested Private Equity 0.4%40% of uninvested of uninvested Real Estate Core 0.2%60% of uninvested Real Estate Opportunistic 1.1%27% of uninvested Private Infrastructure 0.5%Total Domestic Equity 33.3%
5) Treasury Inflation Protected Securities 3.0%25% of uninvested Private Infrastructure 0.5%Total Treasury Inflation Protected Securities 3.5%
100% of uninvested commitments will be invested in Domestic Equity.
40% of uninvested commitments will be invested in US Equity, 12% of uninvested commitments will be invested in US Treasuries, 24% of uninvested commitments will be invested in InvestmentGrade Corporates, and 24% of uninvested commitments will be invested in Mortgage Backed Securities.
60% of uninvested commitments will be invested in US Equity, 8% of uninvested commitments will be invested in US Treasuries, 16% of uninvested commitments will be invested in InvestmentGrade Corporates, and 16% of uninvested commitments will be invested in Mortgage Backed Securities.
27% of uninvested commitments will be invested in US Equity, 18% of uninvested commitments will be invested in Developed Ex-US Equity, 5% of uninvested commitments will be invested inEmerging Markets Equity, 5% of uninvested commitments will be invested in US Treasuries, 10% of uninvested commitments will be invested in Investment Grade Corporates, 10% of uninvestedcommitments will be invested in Mortgage Backed Securities, and 25% of uninvested commitments will be invested in TIPS.
“The 2020 Policy Targets are reflected in this report. However the recently approved parking places and ranges have not yet been integrated in this report.”
13
NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of August 31st, 2021)
6) Non-U.S. Equity - Emerging Markets 6.0%5% of uninvested Private Infrastructure 0.1%Total Non-U.S. Equity - Emerging Markets 6.1%
7) Non-U.S. Equity - Developed Mkts. 10.0%18% of uninvested Private Infrastructure 0.4%Total Non-U.S. Equity 10.4%
Note: Totals may not equal 100% due to rounding
US Equities64%
Non-US Equities/EAFE
19%
Emerging Markets
11%
Non-US Emerging Mgrs. FoF
2%
Global Equity4%
Total Public Equities
U.S. Treasuries -Short
5%U.S. Treasuries -
Intermediate8%
U.S. Treasuries -Long Intermediate
5%
U.S. Treasuries -Long2%
Core Mortgage-Backed Securities
13%
Investment Grade Corporates
16%
High Yield28%
Bank Loans0%
TIPS11%
**ETI2%
Cash2%
OPPORTUNISTIC FIXED INCOME
3%
OTHER FIXED INCOME
5%
Total Fixed Income
“The 2020 Policy Targets are reflected in this report. However the recently approved parking places and ranges have not yet been integrated in this report.”
14
$7,261 $7,240
$7,756
$8,039 $8,066 $8,167
$8,283
$8,540 $8,644$8,713 $8,813
$8,973
$6,850$7,000$7,150$7,300$7,450$7,600$7,750$7,900$8,050$8,200$8,350$8,500$8,650$8,800$8,950$9,100$9,250
BERS - Market ValuesSeptember 2020 - August 2021
15
$2,949 $3,458
$4,179 $4,408
$4,495 $5,303
$5,992 $6,447
$6,827
$8,713 $8,973
$1,600$2,000$2,400$2,800$3,200$3,600$4,000$4,400$4,800$5,200$5,600$6,000$6,400$6,800$7,200$7,600$8,000$8,400$8,800$9,200$9,600
$10,000
16
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month FYTD CYTD FYE 6/30/21
FYE 6/30/20
CYE12/31/18
CYE12/31/19
Trailing1 Year
Trailing3 Year
InceptionDate
ASSET CLASS SUMMARY
BERS-TOTAL DOMESTIC EQUITY 3,024.36 33.71 2.74 7.07 4.69 19.96 43.79 6.89 (4.64) 31.04 32.89 17.89 Sep-01-91
BERS-TOTAL WORLD ex-USA 895.28 9.98 1.78 1.04 0.83 9.53 47.71 6.18 (14.88) 26.16 32.89 16.02 Nov-01-92
BERS-TOTAL EMERGING MARKETS 514.76 5.74 2.80 (1.87) (1.92) 7.02 39.44 (6.16) (16.34) 16.63 26.34 8.91 Nov-01-97
BERS-TOTAL INTL FOF 85.22 0.95 1.99 1.44 1.26 11.20 40.05 (2.34) (14.53) 22.25 28.60 11.78 May-01-17
BERS-TOTAL GLOBAL EQUITY 185.99 2.07 2.00 5.85 3.01 12.44 42.28 15.96 35.91 26.05 22.50 Jun-01-18
BERS-TOTAL STRUCTURED 1,395.81 15.56 (0.17) 1.94 1.03 (0.61) (0.59) 11.47 (0.40) 9.12 (0.15) 6.42 Jan-01-85
BERS-TOTAL TIPS MANAGERS 312.79 3.49 (0.14) 3.18 2.48 4.26 6.50 8.36 (1.29) 8.44 5.73 7.33 Jun-01-05
BERS-TOTAL HIGH YIELD 787.04 8.77 0.54 2.10 0.84 5.05 16.03 0.94 (1.94) 13.71 10.62 7.70 Aug-01-97
BERS-TOTAL BANK LOANS 0.47 0.01 (3.08) 0.38 7.82 Dec-01-12
BERS-TOTAL OPPORTUNISTIC FIXED 98.35 1.10 1.31 3.97 2.74 14.37 21.29 Aug-01-20
BERS-TOTAL CORE FI- DEVELOPING MGRS 129.65 1.44 (0.13) 1.84 0.94 (0.32) 0.75 Sep-01-20
TOTAL BOE ETI (w/o cash) 44.95 0.50 (0.29) 1.75 1.08 0.07 0.42 8.15 0.83 9.66 0.20 5.94 Dec-01-84
BERS-TOTAL PRIVATE EQUITY 769.87 8.58 7.99 11.34 9.83 36.63 52.48 3.52 19.69 12.66 54.32 23.92 Jul-01-06
BERS-TOTAL PRIVATE REAL ESTATE 507.64 5.66 2.74 5.45 5.40 13.36 9.46 1.00 11.40 6.90 15.52 7.68 Dec-01-10
BERS-TOTAL INFRASTRUCTURE 176.88 1.97 0.16 2.74 1.25 10.33 19.45 7.01 13.70 12.17 15.23 12.11 Dec-01-13
BERS-TOTAL CASH 43.55 0.49 0.01 0.03 0.02 0.12 0.21 2.64 1.04 2.17 0.19 1.58 Apr-01-04
SECURITY LENDING 0.00 0.00 Apr-01-04
BERS-TOTAL BOARD OF ED. 8,972.60 100.00 2.15 4.41 3.09 12.53 27.97 5.72 (2.98) 19.06 22.39 13.26 Jul-01-87
BERS-TOTAL EQUITY 4,705.61 52.44 2.52 4.69 3.05 16.12 44.06 5.11 (9.41) 27.91 31.97 16.47 Apr-01-04
BERS-TOTAL FIXED INCOME (MINUS SS) 2,769.06 30.86 0.09 2.18 1.19 1.78 4.40 8.43 (0.50) 9.56 3.61 6.88 Apr-01-04
BERS-TOTAL PRIVATE EQUITY 769.87 8.58 7.99 11.34 9.83 36.63 52.48 3.52 19.69 12.66 54.32 23.92 Jul-01-06
BERS-TOTAL PRIVATE REAL ESTATE 507.64 5.66 2.74 5.45 5.40 13.36 9.46 1.00 11.40 6.90 15.52 7.68 Dec-01-10
BERS-TOTAL INFRASTRUCTURE 176.88 1.97 0.16 2.74 1.25 10.33 19.45 7.01 13.70 12.17 15.23 12.11 Dec-01-13
BERS-TOTAL CASH 43.55 0.49 0.01 0.03 0.02 0.12 0.21 2.64 1.04 2.17 0.19 1.58 Apr-01-04
SECURITY LENDING 0.00 0.00 Apr-01-04
BERS-TOTAL BOARD OF ED. 8,972.60 100.00 2.15 4.41 3.09 12.53 27.97 5.72 (2.98) 19.06 22.39 13.26 Jul-01-87
Board of Education Policy Benchmark 1.40 4.10 2.47 11.56 27.47 4.29 (3.19) 19.07 20.41 12.38 Jun-01-94
Periods Ending August 31, 2021
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Information Classification: Limited Access
17
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
ASSET CLASS SUMMARY
BERS-TOTAL BOARD OF ED. 8,973 100.00 2.15 4.41 22.39 3.09 12.53 27.97 5.72 19.06 (2.98) 07/01/1987Board of Education Policy Benchmark 1.40 4.10 20.41 2.47 11.56 27.47 4.29 19.07 (3.19) 07/01/1987
Excess 0.75 0.31 1.98 0.62 0.97 0.50 1.44 (0.01) 0.21
BERS-TOTAL EQUITY (INCL ALTS) 6,160 68.65 3.12 5.49 32.45 3.99 17.91 41.10 4.54 23.99 (4.61) 08/01/1993
BERS-TOTAL FIXED INCOME 2,813 31.35 0.08 2.12 3.53 1.16 1.87 4.24 8.15 9.36 (0.42) 02/01/1980
EQUITY SUMMARY
BERS-TOTAL DOMESTIC EQUITY 3,024 33.71 2.74 7.07 32.89 4.69 19.96 43.79 6.89 31.04 (4.64) 09/01/1991
RUSSELL 3000 (DAILY) 2.85 7.17 33.04 4.59 20.39 44.16 6.53 31.02 (5.24) 09/01/1991
Excess (0.12) (0.10) (0.15) 0.10 (0.43) (0.37) 0.36 0.02 0.60
BlackRock US SCG R2000 0 0.00 1.83 2.73 35.73 (1.85) 7.28 51.45 3.50 28.39 (9.14) 10/01/2013
RUSSELL 2000 GROWTH DAILY 1.82 2.71 35.61 (1.89) 6.92 51.36 3.48 28.48 (9.31) 10/01/2013
Excess 0.01 0.02 0.12 0.04 0.35 0.09 0.02 (0.09) 0.17
Wasatch-US SCG 115 1.28 1.72 5.55 41.82 3.41 17.05 52.70 01/01/2020
RUSSELL 2000 GROWTH DAILY 1.82 2.71 35.61 (1.89) 6.92 51.36 01/01/2020
Excess (0.10) 2.84 6.21 5.31 10.12 1.34
BlackRock US SCV R2000 88 0.98 2.65 (1.72) 59.48 (1.00) 25.31 73.35 (17.27) 22.60 (12.79) 10/01/2013
RUSSELL 2000 VALUE DAILY 2.68 (1.60) 59.49 (1.00) 25.43 73.28 (17.48) 22.39 (12.86) 10/01/2013
Excess (0.03) (0.12) (0.01) 0.00 (0.12) 0.07 0.21 0.20 0.08
Wellington US MCC 275 3.07 0.72 1.60 33.03 0.97 9.43 43.43 (0.12) 32.68 (7.37) 10/01/2010
S&P MID CAP 400 1.95 1.25 44.77 2.30 20.30 53.24 (6.70) 26.20 (11.08) 10/01/2010
Excess (1.23) 0.35 (11.73) (1.33) (10.87) (9.80) 6.58 6.48 3.71
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Information Classification: Limited Access
18
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
SSGA US LMC Top 200 Core 720 8.02 3.10 8.68 29.45 5.74 21.06 40.72 11.25 31.66 05/01/2018
RUSSELL TOP 200 INDEX (DAILY) 3.02 8.72 29.39 5.67 20.99 40.81 11.20 31.75 05/01/2018
Excess 0.08 (0.04) 0.06 0.07 0.07 (0.09) 0.05 (0.09)
BlackRock US LMC R1000 Core 1,808 20.15 2.98 7.91 32.69 5.28 21.15 43.19 7.48 31.36 04/01/2018
RUSSELL 1000 (DAILY) 2.89 7.66 32.25 5.03 20.74 43.07 7.48 31.43 04/01/2018
Excess 0.09 0.25 0.44 0.25 0.41 0.11 0.00 (0.07)
FUND OF FUNDS
Altravue US SCV - Legato 3 0.04 1.90 5.21 53.21 3.32 26.57 69.02 (9.25) 20.03 (10.02) 05/01/2017
RUSSELL 2000 VALUE DAILY 2.68 (1.60) 59.49 (1.00) 25.43 73.28 (17.48) 22.39 (12.86) 05/01/2017
Excess (0.78) 6.81 (6.28) 4.32 1.14 (4.26) 8.22 (2.37) 2.85
Ballast-US SCV - Legato 2 0.02 3.52 2.27 1.57 05/01/2021
RUSSELL 2000 VALUE DAILY 2.68 (1.60) (1.00) 05/01/2021
Excess 0.84 3.86 2.57
Bowling US SCV - Legato (21.86)RUSSELL 2000 VALUE DAILY 2.68 (1.60) 59.49 (1.00) 25.43 73.28 (17.48) 22.39 (12.86)Excess (4.39)
Bridge City US SCG - Legato 2 0.02 0.73 1.70 46.00 0.39 17.63 55.34 (1.93) 24.50 0.88 05/01/2017
RUSSELL 2000 GROWTH DAILY 1.82 2.71 35.61 (1.89) 6.92 51.36 3.48 28.48 (9.31) 05/01/2017
Excess (1.08) (1.01) 10.39 2.28 10.71 3.98 (5.41) (3.98) 10.18
Dean US SCV - Legato 4 0.04 1.70 (0.77) 53.70 1.70 25.72 62.66 (19.33) 21.85 (12.50) 05/01/2017
RUSSELL 2000 VALUE DAILY 2.68 (1.60) 59.49 (1.00) 25.43 73.28 (17.48) 22.39 (12.86) 05/01/2017
Excess (0.98) 0.83 (5.79) 2.69 0.29 (10.62) (1.86) (0.54) 0.36
Information Classification: Limited Access
19
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Essex US SCG - Legato 3 0.03 0.60 5.34 68.73 (1.61) 31.24 93.79 (7.10) 26.78 (5.25) 05/01/2017
RUSSELL 2000 GROWTH DAILY 1.82 2.71 35.61 (1.89) 6.92 51.36 3.48 28.48 (9.31) 05/01/2017
Excess (1.21) 2.63 33.12 0.28 24.31 42.43 (10.58) (1.70) 4.06
Lisanti US SCG - Legato 3 0.03 3.47 3.89 39.63 0.06 10.20 55.98 7.81 27.56 03/01/2018
RUSSELL 2000 GROWTH DAILY 1.82 2.71 35.61 (1.89) 6.92 51.36 3.48 28.48 03/01/2018
Excess 1.65 1.18 4.02 1.95 3.28 4.62 4.33 (0.93)
Nicholas Investment-US SCG - Legato 1 0.01 2.31 6.83 2.22 05/01/2021
RUSSELL 2000 GROWTH DAILY 1.82 2.71 (1.89) 05/01/2021
Excess 0.50 4.12 4.11
Legato Transition US 0 0.00 02/01/2018
BERS-TOTAL WORLD ex-USA 895 9.98 1.78 1.04 32.89 0.83 9.53 47.71 6.18 26.16 (14.88) 11/01/1992
NYC Developed Equity Benchmark 1.77 1.45 27.53 2.58 12.75 34.82 (5.11) 22.91 (14.68) 11/01/1992
Excess 0.01 (0.41) 5.36 (1.75) (3.22) 12.89 11.29 3.26 (0.19)
Sprucegrove WorldxUS LMCC 368 4.10 (0.02) (3.08) 33.69 (0.52) 9.90 45.61 (16.97) 17.55 (13.67) 08/01/2004
NYC Developed Value Benchmark 1.60 1.24 26.57 2.28 12.42 33.60 (5.42) 22.49 (14.09) 08/01/2004
Excess (1.63) (4.32) 7.11 (2.80) (2.53) 12.00 (11.54) (4.94) 0.42
Baillie Gifford WorldxUS LMCC 376 4.19 3.72 4.98 28.49 1.36 5.46 46.11 31.65 36.64 (15.35) 08/01/2007
NYC Developed Growth Benchmark 1.60 1.24 26.57 2.28 12.42 33.60 (5.42) 22.49 (14.09) 08/01/2007
Excess 2.11 3.74 1.92 (0.92) (6.96) 12.51 37.08 14.15 (1.26)
Acadian WorldxUS SCC 112 1.25 0.54 1.52 39.83 1.83 20.11 51.87 (2.52) 21.82 (19.22) 05/01/2013
S&P EPAC Small Cap USD NET 2.63 2.33 31.45 3.55 13.03 42.23 (4.00) 23.71 (18.58) 05/01/2013
Excess (2.10) (0.82) 8.38 (1.72) 7.07 9.64 1.47 (1.89) (0.65)
Information Classification: Limited Access
20
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Algert EAFE SCC 38 0.42 4.60 3.86 32.68 6.20 18.24 40.41 (4.49) 02/01/2019
MSCI EAFE SMALL CAP NET (DAILY) 2.88 2.90 32.81 4.63 14.09 40.98 (3.52) 02/01/2019
Excess 1.72 0.96 (0.13) 1.57 4.14 (0.58) (0.97)
BERS-TOTAL EMERGING MARKETS 515 5.74 2.80 (1.87) 26.34 (1.92) 7.02 39.44 (6.16) 16.63 (16.34) 11/01/1997
MSCI EMERGING MARKETS 2.62 (4.12) 21.12 (4.29) 2.84 40.90 (3.39) 18.42 (14.57) 11/01/1997
Excess 0.18 2.26 5.22 2.37 4.18 (1.46) (2.77) (1.79) (1.77)
Acadian EM 356 3.97 2.05 (2.41) 28.96 (2.07) 9.03 40.79 (7.21) 15.71 (17.27) 03/01/2013
MSCI EMERGING MARKETS 2.62 (4.12) 21.12 (4.29) 2.84 40.90 (3.39) 18.42 (14.57) 03/01/2013
Excess (0.57) 1.71 7.84 2.22 6.19 (0.12) (3.82) (2.71) (2.70)
JP Morgan AM-EM ACG 156 1.74 4.55 (0.57) (1.53) 03/01/2021
MSCI EMERGING MARKETS 2.62 (4.12) (4.29) 03/01/2021
Excess 1.93 3.55 2.75
BlackRock MSCI EM Core 2 0.02 2.53 (4.04) 21.25 (4.22) 3.21 40.66 (3.72) 18.76 (14.45) 01/01/2017
MSCI EMERGING MARKETS 2.62 (4.12) 21.12 (4.29) 2.84 40.90 (3.39) 18.42 (14.57) 01/01/2017
Excess (0.09) 0.09 0.13 0.07 0.37 (0.24) (0.34) 0.34 0.12
BERS-TOTAL INTL FOF 85 0.95 1.99 1.44 28.60 1.26 11.20 40.05 (2.34) 22.25 (14.53) 05/01/2017
MSCI ACWI ex USA IMI Net 1.96 (0.01) 26.29 0.64 10.28 37.18 (4.74) 21.63 (14.76) 05/01/2017
Excess 0.02 1.45 2.31 0.63 0.92 2.87 2.39 0.62 0.23
Martin-EAFE ACG - Xponance 10 0.11 1.16 4.72 24.50 4.07 15.51 28.98 0.62 02/01/2019
Custom Xponance Benchmark 1.60 1.24 27.07 2.28 12.42 33.67 (5.13) 02/01/2019
Excess (0.45) 3.48 (2.57) 1.79 3.09 (4.69) 5.75
Redwood-EAFE ACG - Xponance 9 0.10 1.22 1.52 28.45 2.31 14.22 41.40 5.85 02/01/2019
MSCI EAFE + Canada Net Index 1.60 1.24 26.57 2.28 12.42 33.60 (5.42) 02/01/2019
Excess (0.39) 0.28 1.87 0.03 1.80 7.80 11.27
Information Classification: Limited Access
21
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Osmosis-EAFE ACV - Xponance 10 0.11 2.18 2.82 30.07 3.41 16.40 35.92 (4.73) 17.72 (15.03) 05/01/2017
Custom Xponance Benchmark 1.60 1.24 27.07 2.28 12.42 33.67 (5.13) 22.01 (13.79) 05/01/2017
Excess 0.58 1.58 3.00 1.13 3.98 2.25 0.40 (4.29) (1.24)
Metis-EAFE ACV - Xponance 0 0.00 (10.77) 19.93 (17.69) 05/01/2017
MSCI EAFE 1.76 32.35 (5.13) 22.01 (13.79) 05/01/2017
Excess (5.63) (2.08) (3.90)
North of South-EM ACV - Xponance 10 0.11 0.36 (1.22) (3.30) 05/01/2021
MSCI EMERGING MARKETS 2.62 (4.12) (4.29) 05/01/2021
Excess (2.25) 2.91 0.99
Dundas-EAFE ACG - Xponance 10 0.11 2.37 8.15 30.37 5.94 17.22 35.76 7.03 29.66 (10.04) 05/01/2017
MSCI EAFE + Canada Net Index 1.60 1.24 26.57 2.28 12.42 33.60 (5.42) 22.49 (14.09) 05/01/2017
Excess 0.77 6.91 3.80 3.66 4.80 2.16 12.45 7.17 4.05
Foresight-EAFE LMCV - Xponance 11 0.12 0.57 (2.59) 19.42 (0.69) 5.05 08/01/2020
MSCI EAFE + Canada Net Index 1.60 1.24 26.57 2.28 12.42 08/01/2020
Excess (1.04) (3.83) (7.15) (2.97) (7.37)
Denali-EAFE ACV - Xponance 0 0.00 (20.53) 11.57 (11.56) 05/01/2017
MSCI EAFE + Canada Net Index 1.60 33.60 (5.42) 22.49 (14.09) 05/01/2017
Excess (15.11) (10.92) 2.53
Change Global-EM ACV - Xponance 0 0.00 (17.22) 14.36 (17.34) 05/01/2017
MSCI EMERGING MARKETS 2.62 40.90 (3.39) 18.42 (14.57) 05/01/2017
Excess (13.83) (4.06) (2.77)
Information Classification: Limited Access
22
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Aubrey-EM ACG - Xponance 13 0.15 7.45 6.03 29.40 1.76 7.62 51.45 15.80 29.41 (18.33) 05/01/2017
MSCI EMERGING MARKETS 2.62 (4.12) 21.12 (4.29) 2.84 40.90 (3.39) 18.42 (14.57) 05/01/2017
Excess 4.83 10.15 8.28 6.04 4.78 10.54 19.19 10.98 (3.76)
ARGA-WorldxUS LMCV - Xponance 13 0.14 (0.18) (5.40) 48.65 (1.83) 13.91 08/01/2020
MSCI AC WORLD ex US (NET) 1.90 (0.43) 24.87 0.22 9.40 08/01/2020
Excess (2.08) (4.98) 23.78 (2.05) 4.51
Ativo-EAFE ACG - Xponance 0 0.00 (8.09) 22.80 (12.43) 05/01/2017
MSCI EAFE + Canada Net Index 1.60 33.60 (5.42) 22.49 (14.09) 05/01/2017
Excess (2.67) 0.31 1.66
Xponance Transition-WorldxUS 0 0.00 04/01/2017
BERS-TOTAL GLOBAL EQUITY 186 2.07 2.00 5.85 26.05 3.01 12.44 42.28 15.96 35.91 06/01/2018
MSCI AC WORLD (Daily Const) 2.50 4.57 28.64 3.21 15.91 39.26 2.11 26.60 06/01/2018
Excess (0.50) 1.28 (2.59) (0.20) (3.46) 3.02 13.85 9.31
Morgan Stanley-Global 96 1.07 2.32 2.54 18.56 (0.28) 5.56 42.76 27.30 38.03 06/01/2018
MSCI AC WORLD (Daily Const) 2.50 4.57 28.64 3.21 15.91 39.26 2.11 26.60 06/01/2018
Excess (0.19) (2.03) (10.08) (3.49) (10.34) 3.50 25.19 11.44
Fiera-Global 90 1.00 1.67 9.64 35.23 6.81 20.91 41.73 5.25 33.97 08/01/2018
MSCI World Index 2.49 5.88 29.76 4.32 17.94 39.04 2.84 27.67 08/01/2018
Excess (0.82) 3.76 5.47 2.48 2.97 2.68 2.41 6.30
Information Classification: Limited Access
23
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
FIXED INCOME SUMMARYBERS-TOTAL STRUCTURED 1,396 15.56 (0.17) 1.94 (0.15) 1.03 (0.61) (0.59) 11.47 9.12 (0.40) 01/01/1985
NYC Custom Structured Index-BERS (0.19) 1.72 (0.11) 0.90 (0.66) (0.42) 13.00 10.27 (0.21) 01/01/1985
Excess 0.02 0.22 (0.03) 0.13 0.05 (0.17) (1.53) (1.15) (0.19)
BlackRock Mortgages 374 4.16 (0.07) 0.66 0.35 0.58 (0.06) 0.14 5.90 6.93 1.00 01/01/2015
NYC Custom Mortgage Benchmark (0.16) 0.42 (0.18) 0.46 (0.31) (0.48) 5.96 6.68 1.01 01/01/2015
Excess 0.09 0.24 0.52 0.12 0.26 0.62 (0.06) 0.25 (0.01)
Prudential Corporate 0 0.00 9.25 13.63 (1.95) 08/01/2009
NYC - Investment Grade Credit (0.18) 3.28 9.26 13.40 (1.90) 08/01/2009
Excess (0.01) 0.24 (0.05)
Taplin Corporate
NYC Custom IGC Benchmark (0.30) 2.71 2.65 1.06 (0.02) 3.34 9.26 13.40 (1.90)Excess
T Rowe Price-Corporate 443 4.94 (0.24) 2.99 1.27 03/01/2021
Bloomberg U.S. Corporate Inv Grade (0.30) 2.71 1.06 03/01/2021
Excess 0.06 0.28 0.21
SSGA LI Treasury 141 1.57 (0.35) 4.31 (4.07) 2.14 (2.77) (6.27) 17.01 10.57 (0.18) 01/01/1993
NYC - Treasury Agency Plus Five (0.25) 4.19 (4.50) 2.11 (3.04) (6.52) 17.08 10.40 (0.05) 01/01/1993
Excess (0.10) 0.12 0.43 0.03 0.27 0.24 (0.07) 0.17 (0.12)
SSGA IT Treasury 1-10Y 228 2.55 (0.16) 0.62 (0.65) 0.61 (0.52) (1.14) 7.02 03/01/2019
FTSE USBIG Treasury/Agency 1-10 y (0.13) 0.58 (0.63) 0.58 (0.49) (1.09) 6.99 03/01/2019
Excess (0.03) 0.03 (0.02) 0.03 (0.03) (0.05) 0.03
SSGA ST Treasury 1-3Y 148 1.65 (0.02) 0.00 0.17 0.16 0.06 0.08 4.00 3.56 1.51 01/01/2017
FTSE USBIG Treasury 1-3 Y Index (0.01) 0.00 0.15 0.16 0.08 0.07 4.06 3.56 1.56 01/01/2017
Excess (0.01) 0.00 0.01 0.00 (0.02) 0.02 (0.06) 0.00 (0.05)
Information Classification: Limited Access
24
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
SSGA LT Treasury 10Y Plus 62 0.69 (0.24) 7.66 3.36 02/01/2021
FTSE Treasury 10+ (0.22) 7.27 3.25 02/01/2021
Excess (0.02) 0.39 0.11
BERS-TOTAL HIGH YIELD 787 8.77 0.54 2.10 10.62 0.84 5.05 16.03 0.94 13.71 (1.94) 08/01/1997
High Yield Custom Benchmark 0.52 2.25 10.14 0.90 4.55 15.34 0.00 14.32 (2.34) 08/01/1997
Excess 0.02 (0.14) 0.49 (0.06) 0.50 0.69 0.94 (0.61) 0.40
Mackay Shields High Yield 393 4.38 0.56 2.08 8.87 0.97 4.46 13.46 2.55 13.85 12/01/2018
Bloomberg U.S. HY - 2% Issuer Cap 0.52 2.25 10.14 0.90 4.55 15.34 0.00 14.32 12/01/2018
Excess 0.04 (0.17) (1.26) 0.07 (0.08) (1.88) 2.56 (0.47)
Nomura High Yield 394 4.40 0.53 2.13 12.42 0.71 5.64 18.70 (0.69) 13.74 12/01/2018
Bloomberg U.S. HY - 2% Issuer Cap 0.52 2.25 10.14 0.90 4.55 15.34 0.00 14.32 12/01/2018
Excess 0.01 (0.12) 2.28 (0.19) 1.09 3.36 (0.69) (0.58)
Transition High Yield
BERS-TOTAL BANK LOANS 0 0.01 (3.08) 7.82 0.38 12/01/2012
CSFB LEVERAGED LOAN INDEX 0.49 11.67 (2.27) 8.17 1.14 12/01/2012
Excess (0.81) (0.36) (0.76)
Barings Bank Loans 0 0.01 (3.08) 7.82 0.38 12/01/2012
CSFB LEVERAGED LOAN INDEX 0.49 11.67 (2.27) 8.17 1.14 12/01/2012
Excess (0.81) (0.36) (0.76)
BERS-TOTAL TIPS MANAGERS 313 3.49 (0.14) 3.18 5.73 2.48 4.26 6.50 8.36 8.44 (1.29) 06/01/2005
Bloomberg Global Infl-Linked: U.S. TIPS (0.18) 3.11 5.56 2.48 4.26 6.51 8.28 8.43 (1.26) 06/01/2005
Excess 0.04 0.08 0.18 0.00 0.01 (0.02) 0.08 0.02 (0.03)
Information Classification: Limited Access
25
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
SSGA TIPS 313 3.49 (0.14) 3.18 5.73 2.48 4.26 6.50 8.36 8.44 (1.29) 04/01/2015
Bloomberg Global Infl-Linked: U.S. TIPS (0.18) 3.11 5.56 2.48 4.26 6.51 8.28 8.43 (1.26) 04/01/2015
Excess 0.04 0.08 0.18 0.00 0.01 (0.02) 0.08 0.02 (0.03)
BERS-TOTAL CORE FI- DEVELOPING MGRS 130 1.44 (0.13) 1.84 0.75 0.94 (0.32) 09/01/2020
Bloomberg U.S. Aggregate (0.19) 1.63 (0.08) 0.93 (0.69) 09/01/2020
Excess 0.06 0.20 0.84 0.01 0.37
Pugh-CorePlus 130 1.44 (0.13) 1.84 0.75 0.94 (0.32) 09/01/2020
Bloomberg U.S. Aggregate (0.19) 1.63 (0.08) 0.93 (0.69) 09/01/2020
Excess 0.06 0.20 0.84 0.01 0.37
BERS-TOTAL OPPORTUNISTIC FIXED 98 1.10 1.31 3.97 21.29 2.74 14.37 08/01/2020
Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.78 2.07 12.88 1.05 6.37 08/01/2020
Excess 0.53 1.91 8.41 1.69 7.99
KKR NYC Credit C 9 0.10 3.95 0.95 28.67 3.95 28.67 09/01/2020
Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.78 2.07 12.88 1.05 6.37 09/01/2020
Excess 3.18 (1.11) 15.79 2.90 22.29
Oak Hill Centre Street Partnership 46 0.51 0.26 2.86 21.13 1.57 11.06 08/01/2020
Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.78 2.07 12.88 1.05 6.37 08/01/2020
Excess (0.52) 0.80 8.25 0.52 4.69
Apollo Centre Street Partnership 12 0.13 1.09 1.51 1.09 7.74 12/01/2020
Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.78 2.07 1.05 6.37 12/01/2020
Excess 0.31 (0.56) 0.04 1.36
Information Classification: Limited Access
26
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
Marathon Centre Street Partnership 26 0.29 2.59 8.52 5.72 25.58 10/01/2020
Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.78 2.07 1.05 6.37 10/01/2020
Excess 1.81 6.45 4.66 19.21
TOTAL BOE ETI (w/o cash) 45 0.50 (0.29) 1.75 0.20 1.08 0.07 0.42 8.15 9.66 0.83 12/01/1984
BERS Custom Benchmark (No Cash) (0.13) 1.01 0.18 0.69 (0.28) (0.05) 7.37 7.67 0.85 12/01/1984
Excess (0.16) 0.74 0.02 0.38 0.35 0.47 0.78 1.99 (0.02)
AFL-CIO Housing Investment Trust 18 0.21 (0.18) 1.01 0.17 0.70 (0.04) 0.12 7.03 7.78 0.16 12/01/2006
Bloomberg U.S. Aggregate (0.19) 1.63 (0.08) 0.93 (0.69) (0.33) 8.74 8.72 0.01 12/01/2006
Excess 0.01 (0.63) 0.25 (0.23) 0.65 0.45 (1.70) (0.94) 0.15
RBC Access MBS 11 0.12 (0.05) 1.27 0.20 0.88 0.06 0.08 7.55 7.21 0.49 03/01/2007
Access RBC Benchmark (0.13) 0.50 (0.43) 0.50 (0.50) (0.76) 6.29 6.05 1.17 03/01/2007
Excess 0.08 0.77 0.63 0.38 0.55 0.84 1.26 1.16 (0.69)
CPC Construction Facility 3 0.03 0.12 1.07 3.24 0.92 3.20 2.65 6.19 8.12 4.14 08/01/2014
CPC CONST BENCHMARK 0.20 0.60 2.44 0.40 1.61 2.45 3.44 4.09 3.99 08/01/2014
Excess (0.08) 0.47 0.80 0.52 1.59 0.20 2.76 4.03 0.15
CFSB PPAR GNMA 0 0.00 (0.25) 1.24 1.58 1.06 0.89 2.07 5.97 5.91 0.99 10/01/2006
GNMA Plus 65bps 0.05 0.35 0.31 0.35 (0.31) (0.14) 6.00 6.73 1.63 10/01/2006
Excess (0.30) 0.89 1.26 0.72 1.20 2.22 (0.03) (0.82) (0.65)
Citibank PPAR GNMA 0 0.00 (1.45) 0.22 0.33 (0.02) (0.26) 2.05 5.89 5.33 1.90 12/01/2006
GNMA Plus 65bps 0.05 0.35 0.31 0.35 (0.31) (0.14) 6.00 6.73 1.63 12/01/2006
Excess (1.50) (0.13) 0.02 (0.37) 0.05 2.19 (0.10) (1.41) 0.27
Citibank PPAR FNMA 3 0.03 (0.70) 3.56 (1.95) 1.91 (0.33) (0.97) 15.33 19.71 2.63 12/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 12/01/2013
Excess (0.59) 2.95 (2.61) 1.33 (0.48) (1.48) 8.12 11.91 0.77
Information Classification: Limited Access
27
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
CPC PPAR FNMA 1 0.01 (0.59) 3.38 0.49 1.91 1.26 1.54 7.80 13.18 2.31 08/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 08/01/2013
Excess (0.48) 2.77 (0.17) 1.33 1.12 1.03 0.60 5.38 0.45
ECLF PPAR FNMA 0 0.00 (0.78) 3.96 (2.65) 2.06 (0.46) (0.03) 06/01/2020
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 06/01/2020
Excess (0.67) 3.35 (3.31) 1.49 (0.61) (0.55)
JPMC PPAR FNMA 4 0.04 (0.72) 3.36 (1.47) 1.84 (0.56) (0.50) 10.58 14.68 1.68 09/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 09/01/2013
Excess (0.61) 2.75 (2.13) 1.26 (0.71) (1.02) 3.37 6.88 (0.18)
BOA PPAR FNMA 1 0.01 (0.73) 3.27 (2.20) 1.76 (0.60) (1.21) 9.05 13.54 2.33 12/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 12/01/2013
Excess (0.61) 2.66 (2.86) 1.18 (0.75) (1.72) 1.85 5.74 0.47
CFSB PPAR FNMA 0 0.00 (0.70) 4.02 2.12 (0.65) 10/01/2020
FNMA Plus 85bps (0.11) 0.62 0.58 0.15 10/01/2020
Excess (0.59) 3.41 1.54 (0.79)
LIIF PPAR GNMA 0 0.00 (0.05) 0.92 1.84 0.79 1.21 2.04 5.68 5.54 2.53 08/01/2009
GNMA Plus 65bps 0.05 0.35 0.31 0.35 (0.31) (0.14) 6.00 6.73 1.63 08/01/2009
Excess (0.10) 0.57 1.53 0.44 1.52 2.18 (0.32) (1.19) 0.89
NCBCI PPAR GNMA 0 0.00 (0.10) 0.99 2.70 0.96 1.61 3.07 5.39 3.69 1.23 08/01/2009
GNMA Plus 65bps 0.05 0.35 0.31 0.35 (0.31) (0.14) 6.00 6.73 1.63 08/01/2009
Excess (0.15) 0.64 2.39 0.62 1.92 3.21 (0.61) (3.04) (0.41)
LIIF PPAR FNMA 2 0.02 (0.70) 3.30 (2.01) 1.83 (0.52) (1.01) 11.85 16.35 2.27 11/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 11/01/2013
Excess (0.59) 2.69 (2.67) 1.26 (0.66) (1.52) 4.64 8.55 0.41
Information Classification: Limited Access
28
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
LISC PPAR FNMA 0 0.00 (0.78) 3.96 16.74 2.03 (0.46) 17.94 14.27 14.95 11/01/2018
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 11/01/2018
Excess (0.67) 3.35 16.09 1.46 (0.61) 17.42 7.06 7.15
NCBCI PPAR FNMA 0 0.00 (0.15) 1.07 0.77 1.02 1.40 2.86 6.88 4.08 2.00 11/01/2013
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 11/01/2013
Excess (0.04) 0.46 0.11 0.45 1.26 2.35 (0.33) (3.72) 0.15
Wells Fargo PPAR FNMA 1 0.01 (0.78) 3.98 18.62 2.11 (0.55) 19.77 9.39 21.71 01/01/2017
FNMA Plus 85bps (0.11) 0.62 0.66 0.58 0.15 0.51 7.21 7.80 1.86 01/01/2017
Excess (0.67) 3.36 17.96 1.53 (0.69) 19.25 2.18 13.91
BERS-TOTAL CASH 44 0.49 0.01 0.03 0.19 0.02 0.12 0.21 2.64 2.17 1.04 04/01/2004
ICE BofA US 3-Month Treasury Bill 0.00 0.01 0.08 0.01 0.03 0.09 1.63 2.28 1.87 04/01/2004
Excess 0.01 0.02 0.11 0.01 0.09 0.11 1.01 (0.11) (0.83)
Short Term BERS 44 0.49 0.01 0.01 0.13 0.01 0.09 0.15 1.36 2.00 1.92 10/01/2000
ICE BofA US 3-Month Treasury Bill 0.00 0.01 0.08 0.01 0.03 0.09 1.63 2.28 1.87 10/01/2000
Excess 0.00 0.01 0.06 0.00 0.05 0.06 (0.27) (0.28) 0.05
Cash Account 0 0.00 04/01/2004
Securities Lending 0 0.00 04/01/2004
Information Classification: Limited Access
29
Assets($MM)
%of Total
Trailing1 Month
Trailing3 Month
Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20
CYE12/31/19
CYE12/31/18
Inception Date
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Periods Ending August 31, 2021
PRIVATE EQUITYBERS-TOTAL PRIVATE EQUITY 770 8.58 7.99 11.34 54.32 9.83 36.63 52.48 3.52 12.66 19.69 07/01/2006
BERS-TOTAL PRIVATE REAL ESTATE 508 5.66 2.74 5.45 15.52 5.40 13.36 9.46 1.00 6.90 11.40 12/01/2010
BERS-TOTAL INFRASTRUCTURE 177 1.97 0.16 2.74 15.23 1.25 10.33 19.45 7.01 12.17 13.70 12/01/2013
09/28/2021 11:58:58 AM
Information Classification: Limited Access
30
Board of Education Retirement System of the City of New YorkPrivate EquityStatus Report
($ in millions)
Aksia TorreyCove Partners LLC Exhibit II Confidential
Vintage Year Partnership Investment
Initial Investment
Date Committed Capital Total Contributions Total Distributions Market Value Multiple1Current
Quarter IRR2 PME PME Spread3
2005 Mesirow Financial Private Equity Partnership Fund III 7/20/2006 57,000,000 55,663,273 85,809,616 9,857,335 1.72x 8.4% 8.8% (0.4%)2006 Mesirow Financial Private Equity Partnership Fund IV 3/31/2008 25,000,000 24,217,233 36,341,368 10,351,348 1.93x 11.3% 12.6% (1.3%)2006 New York Fairview Private Equity Fund 7/14/2006 19,000,000 17,700,307 21,210,778 2,783,416 1.36x 5.4% 9.5% (4.1%)2008 Mesirow Financial Private Equity Partnership Fund V 3/7/2011 45,000,000 42,314,326 57,284,625 41,968,229 2.35x 18.1% 14.1% 4.0%2011 Platinum Equity Capital Partners III 1/14/2013 15,000,000 14,642,373 25,837,949 4,222,967 2.20x 36.9% 13.8% 23.1%2012 NYCBERS - 2012 Emerging Manager Program 10/31/2014 14,650,000 15,014,728 6,933,813 23,767,096 2.12x 19.0% 15.0% 4.0%2012 Warburg Pincus Private Equity XI 7/17/2012 25,000,000 25,366,427 28,362,185 14,884,879 1.71x 12.7% 13.5% (0.8%)2013 Apollo Investment Fund VIII 12/11/2013 20,000,000 19,005,468 11,785,363 17,408,953 1.59x 12.5% 14.7% (2.2%)2013 ASF VI B 5/9/2014 15,000,000 12,114,181 15,165,195 2,292,471 1.44x 12.3% 12.6% (0.3%)2013 Carlyle Partners VI 7/3/2013 20,000,000 21,359,663 13,115,234 26,129,830 1.93x 16.6% 14.2% 2.4%2013 Landmark - NYC Fund I 12/24/2013 6,000,000 5,468,107 4,625,940 4,223,450 1.62x 16.1% 12.3% 3.8%2013 Landmark Equity Partners XV 10/30/2013 19,000,000 15,251,966 11,750,846 9,474,816 1.37x 13.4% 13.7% (0.3%)2014 ASF VI B NYC Co-Invest 5/9/2014 5,000,000 4,188,738 4,804,538 1,701,226 1.55x 14.2% 10.7% 3.5%2014 Bridgepoint Europe V 2/8/2016 8,857,553 7,918,365 5,135,492 8,413,110 1.72x 18.2% 16.2% 2.0%2014 Carlyle Partners VI - Side Car 9/23/2014 2,200,000 1,603,009 754,120 2,547,148 2.21x 15.3% 14.7% 0.6%2014 Crestview Partners III 3/3/2015 15,000,000 12,161,297 6,699,260 10,937,317 1.57x 13.7% 15.6% (1.9%)2014 Crestview Partners III (Co-Investment B) 12/17/2015 5,000,000 5,181,674 250,760 5,614,634 1.14x 3.4% 17.4% (14.0%)2014 CVC Capital Partners VI 2/18/2014 20,037,822 18,930,683 9,586,380 22,361,496 1.85x 16.6% 15.0% 1.6%2014 Lexington Capital Partners VIII 1/8/2015 20,000,000 18,161,156 12,733,386 15,209,581 1.63x 19.0% 15.5% 3.5%2014 Vista Equity Partners Fund V 9/8/2014 25,000,000 30,595,713 29,916,013 32,147,775 2.63x 21.2% 13.8% 7.4%2015 ASF VII B 12/29/2015 10,000,000 5,595,006 2,977,546 5,338,497 1.49x 17.5% 19.0% (1.5%)2015 ASF VII B NYC Co-Invest 12/29/2015 6,000,000 3,701,330 2,400,401 3,697,194 1.65x 20.9% 15.0% 5.9%2015 Centerbridge Capital Partners III 5/21/2015 2,500,000 2,830,586 1,528,514 2,862,511 1.84x 20.0% 16.2% 3.8%2015 EQT VII 1/8/2016 17,715,106 19,083,376 14,447,771 21,941,065 2.15x 26.3% 16.2% 10.1%2015 NYCBERS - 2015 Emerging Manager Program 2/22/2016 37,250,000 25,538,648 4,484,155 35,594,561 1.59x 27.5% 21.6% 5.9%2015 Siris Partners III 5/4/2015 3,500,000 3,542,812 1,839,263 3,334,528 1.56x 14.7% 15.2% (0.5%)2015 Warburg Pincus Private Equity XII 12/21/2015 21,500,000 21,506,301 7,016,867 28,425,418 1.65x 18.6% 17.0% 1.6%2015 Welsh, Carson, Anderson & Stowe XII 8/26/2015 10,000,000 9,357,372 8,224,005 13,284,522 2.30x 32.3% 16.7% 15.6%2016 American Securities Partners VII 1/19/2016 8,000,000 7,588,140 1,261,272 8,571,338 1.30x 9.8% 17.7% (7.9%)2016 Apax IX 5/12/2017 13,000,000 12,937,323 4,167,348 21,725,041 2.12x 33.3% 18.6% 14.7%2016 BCEC X Metro Co-Investment 3/24/2017 4,433,361 4,600,470 28,855 8,515,539 1.86x 28.3% 19.3% 9.0%2016 Bridgepoint Europe V Co-Invest 8/16/2016 2,952,518 2,702,670 2,228,516 3,312,771 2.05x 25.7% 14.9% 10.8%2016 Platinum Equity Capital Partners IV 3/21/2017 11,500,000 10,392,488 3,803,281 13,142,709 1.70x 24.0% 17.1% 6.9%2016 Vista Equity Partners Fund VI 6/28/2016 16,000,000 17,942,244 9,933,321 23,257,110 2.17x 21.9% 16.8% 5.1%2017 Ares Corporate Opportunities Fund V 6/22/2017 10,000,000 9,994,044 1,901,970 9,105,485 1.12x 5.0% 17.3% (12.3%)2017 BC European Capital X 12/14/2017 11,083,403 10,124,417 189,057 14,659,664 1.47x 19.4% 19.1% 0.3%2017 CVC Capital Partners VII 12/4/2018 19,077,331 12,356,721 277,357 15,539,996 1.29x 19.4% 22.9% (3.5%)2017 Green Equity Investors VII 5/12/2017 10,000,000 8,857,262 1,566,645 13,882,349 1.90x 25.1% 18.8% 6.3%2017 KKR Americas Fund XII 10/31/2017 16,000,000 10,382,574 1,127,523 20,174,550 2.11x 40.9% 20.3% 20.6%2017 Palladium Equity Partners V 2/11/2019 10,000,000 5,280,822 90,997 5,535,419 1.07x 5.1% 29.0% (23.9%)2017 Warburg Pincus Financial Sector 1/5/2018 13,000,000 10,376,645 663,000 12,771,606 1.31x 16.9% 22.6% (5.7%)2018 Apollo Investment Fund IX 3/15/2019 32,000,000 9,284,091 2,035,239 10,467,448 1.40x 26.8% 24.9% 1.9%2018 ASF VIII B 3/15/2019 21,000,000 4,330,588 63,584 7,009,198 1.63x 56.3% 48.1% 8.2%2018 Bridgepoint Europe VI 4/1/2019 15,388,972 5,749,527 1,111,261 5,770,771 1.20x NM NM NM2018 EQT VIII 8/10/2018 14,145,141 10,446,418 844,935 14,099,181 1.47x 32.3% 28.8% 3.5%2018 EQT VIII (Co-Invest) 11/2/2018 4,882,193 2,564,771 - 3,670,583 1.43x 21.4% 22.0% (0.6%)2018 ICG Strategic Equity Fund III 3/4/2020 13,340,000 8,140,596 - 11,881,403 1.46x NM NM NM2018 Lexington Capital Partners IX 12/20/2019 12,375,000 4,316,201 862,877 5,654,984 1.59x NM NM NM2018 Platinum Equity Small Cap Fund 6/27/2018 10,000,000 4,765,875 154,242 3,750,000 0.81x (17.7%) 24.1% (41.8%)2018 Platinum Equity Capital Partners IV Co-Investment 9/7/2018 1,050,000 1,052,043 209,317 1,308,573 1.44x 16.5% 14.2% 2.3%2018 Siris Partners IV 3/15/2019 10,000,000 5,541,275 827,114 5,757,064 1.21x 12.2% 22.5% (10.3%)2018 Vista Equity Partners Fund VII 2/13/2019 20,500,000 12,437,448 47,788 13,187,977 1.06x 6.6% 24.0% (17.4%)2019 Apax X USD 11/10/2020 12,500,000 1,291,250 - 2,275,307 1.76x NM NM NM2019 ASF VIII B NYC Co-Invest 3/15/2019 10,500,000 712,328 - 1,582,962 2.22x 102.1% 26.7% 75.4%2019 Bridgepoint Europe VI Co-Invest 5/7/2019 3,847,243 2,127,148 - 2,389,280 1.12x NM NM NM2019 NYCBERS - 2019 Emerging Manager Program 9/25/2019 10,500,000 3,645,254 101,069 4,454,379 1.26x NM NM NM2019 KKR European Fund V (USD) 1/15/2020 9,950,000 4,207,030 164,111 4,097,615 1.01x NM NM NM2019 Warburg Pincus Global Growth 3/26/2019 15,000,000 7,370,158 108,750 8,284,664 1.14x 16.8% 30.9% (14.1%)2019 WCAS XIII 3/14/2019 10,000,000 2,324,398 - 2,613,261 1.12x 17.6% 49.1% (31.5%)2020 Clearlake Capital Partners VI 5/22/2020 10,000,000 4,852,031 83,386 5,408,100 1.13x NM NM NM2020 Crestview Partners IV 10/28/2020 8,000,000 433,087 - 1,234,146 2.85x NM NM NM2020 Crestview Partners IV Co-Invest 10/28/2020 2,666,667 144,362 - 479,672 3.32x NM NM NM2020 EQT IX 2/5/2021 19,643,000 4,332,757 9,225 5,371,716 1.24x NM NM NM2020 EQT IX (Co-Invest) N/A 5,357,000 - - (22,894) N/A N/A N/A N/A2020 FTV VI 3/18/2020 3,500,000 1,435,000 - 2,151,189 1.50x NM NM NM2020 ICG Strategic Equity Co-Investment Fund III 11/27/2020 4,444,119 3,284,658 - 3,230,788 0.98x NM NM NM2020 KKR Asian Fund IV N/A 25,000,000 - - 130,798 N/A N/A N/A N/A2020 LCP IX Co-invest Partners B 9/29/2020 4,125,000 1,286,381 - 1,712,026 1.33x NM NM NM2020 Lindsay Goldberg V 4/29/2020 10,500,000 1,941,578 433 2,122,237 1.09x NM NM NM2020 NYC-Northbound Emerging Managers Program N/A 25,000,000 - - 94,609 N/A N/A N/A N/A2020 Valor Equity Partners V 1/28/2021 3,500,000 1,168,305 - 1,565,218 1.34x NM NM NM2021 CVC Capital Partners VIII N/A 25,532,300 - - - N/A N/A N/A N/A2021 ICG Strategic Equity Co-Investment Fund IV N/A 10,000,000 - - - N/A N/A N/A N/A2021 ICG Strategic Equity Fund IV N/A 20,000,000 - - - N/A N/A N/A N/A2021 One Rock Capital Partners III N/A 25,000,000 - - (180,937) N/A N/A N/A N/A2021 Stellex Capital Partners II N/A 25,000,000 - - - N/A N/A N/A N/A
1,089,503,727 690,734,495 464,883,853 682,520,268 1.71x 14.4% 15.9% (1.5%)Total Portfolio
1) Total Value to Paid-In multiple and Distributed to Paid-In multiple are calculated net of recallable return of capital ("ROC"). In practice, both total distributions and contributions are reduced by the amount of recallable ROC in the numerator and denominator of the calculation, respectively.
2) IRRs of investments in funds held less than two years generally are not meaningful and are therefore labeled "NM".3) Represents the difference between the Net IRR and the Public Market Equivalent ("PME"). PME is Russell 3000 PME+ for investments with distributions or Long-Nickels PME for investments with no distributed capital.
31
($ m
m)
NYC BERS Monthly PE Cash Flow Summary(as of August 31, 2021)
Contributions Distributions Net Cash Flow
32
New York City Board of Education Retirement System First Quarter 2021
Investments by StrategyVintage
YearFirst Draw-
downCommitted
Capital Contributions Distributions Market ValueUnfunded
CommitmentEquity
Multiple IRRAlmanac Realty Securities VIII 2018 12/2018 10,500,000 2,626,481 179,470 2,598,542 7,935,126 1.06x 5.9%Almanac Realty Securities VIII (Sidecar II) 2018 12/2018 7,000,000 1,766,741 105,322 2,008,309 5,251,474 1.20x 19.5%Artemis Real Estate Partners Income and Growth Fund 2018 10/2019 10,000,000 3,077,823 150,743 2,789,869 7,070,340 0.95x NMBrookfield Premier Real Estate Partners 2016 11/2016 25,000,000 15,367,759 1,936,731 17,737,311 11,568,972 1.31x 8.9%Cortland Growth and Income 2020 5/2020 10,000,000 10,277,381 277,381 10,645,778 - 1.06x NMExeter Core Industrial Club Fund II 2016 5/2016 10,000,000 9,739,474 2,253,592 11,489,774 260,526 1.41x 13.1%Exeter Industrial Core Fund III 2019 2/2020 12,700,000 3,450,590 134,788 3,591,262 9,249,410 1.08x NMHarrison Street Core Property Fund 2019 10/2019 10,000,000 10,619,463 619,463 10,966,931 - 1.09x NM
2 Heitman Core Real Estate Debt Income Trust 2017 11/2018 25,000,000 11,549,568 1,724,315 11,330,190 15,000,000 1.14x 6.5%HSRE-Centre Street Core Co-Investment 2019 5/2019 5,000,000 3,320,663 165,674 3,423,778 1,844,661 1.08x NMJamestown Premier Property Fund 2016 2/2016 6,246,307 7,303,980 2,742,496 5,202,643 - 1.10x 3.0%LaSalle Property Fund 2010 12/2010 38,600,000 38,600,000 13,029,951 50,526,204 - 1.65x 8.8%Lion Industrial Trust 2017 1/2017 18,000,000 20,973,921 2,973,921 28,580,630 - 1.54x 14.5%MetLife Core Property Fund 2014 7/2014 15,000,000 15,000,000 4,389,386 19,143,725 - 1.57x 8.3%NYC Asset Investor #2 2013 7/2013 11,000,000 11,187,179 4,748,101 7,733,871 353,167 1.12x 2.4%
1 NYCRS Artemis Mach II 2016 2/2016 11,000,000 12,775,721 4,967,662 11,348,370 816,234 1.35x 11.9%RREEF America REIT II 2021 N/A 17,000,000 - - - 17,000,000 N/A N/ATrumbull Property Fund 2011 4/2011 41,400,000 63,976,694 70,137,115 30,307,747 - 1.60x 7.4%USAA Eagle Real Estate Feeder 1 2015 12/2015 18,000,000 19,729,055 1,821,843 20,981,206 - 1.17x 4.6%Core / Core Plus Portfolio 301,446,307 261,342,493 112,357,956 250,406,141 76,349,910 1.41x 8.0%Aermont Capital Real Estate Fund IV 2018 4/2019 9,839,522 2,419,991 - 1,851,737 8,050,063 0.77x NMBlackstone Real Estate Partners Europe IV (USD) 2013 12/2013 32,500,000 32,424,147 37,670,769 10,283,663 6,018,223 1.48x 13.1%Blackstone Real Estate Partners IX 2019 9/2019 15,000,000 5,695,230 815,243 6,081,775 10,058,194 1.23x NMBlackstone Real Estate Partners VIII 2015 8/2015 16,500,000 18,215,484 12,705,022 13,051,435 2,686,132 1.45x 14.0%Brookfield Strategic Real Estate Partners 2012 9/2012 10,000,000 11,954,921 18,136,068 4,969,763 1,205,688 1.93x 19.1%Brookfield Strategic Real Estate Partners III 2018 4/2019 12,000,000 6,873,183 170,188 7,578,941 5,219,091 1.13x NMCarlyle Realty Partners VII 2014 7/2014 25,000,000 22,951,414 22,824,266 9,462,443 12,005,041 1.93x 12.9%DivcoWest Fund V 2016 12/2016 10,000,000 7,287,004 1,562,443 6,742,387 2,712,996 1.14x 5.3%DivcoWest Fund VI 2020 11/2020 10,000,000 601,175 - 535,034 9,398,825 0.89x NMDRA Growth and Income Fund IX 2017 3/2017 10,000,000 10,419,018 4,034,372 9,424,485 1,164,404 1.32x 13.7%European Property Investors Special Opportunities 4 2015 12/2015 11,227,018 10,226,724 2,779,784 10,817,494 1,595,539 1.33x 10.7%Exeter Industrial Value Fund IV 2017 6/2017 10,000,000 9,443,137 1,019,608 13,730,168 556,863 1.56x 21.6%Exeter Industrial Value Fund V 2020 10/2020 5,000,000 1,250,000 - 1,412,986 3,750,000 1.13x NMFranklin Templeton Private Real Estate Fund 2011 3/2011 30,000,000 35,998,165 48,374,586 880,983 3,093,082 1.37x 19.3%Greenoak Asia (USD) III 2019 4/2020 10,000,000 4,806,226 3,294,310 1,665,421 8,467,802 1.10x NM
2 H/2 Special Opportunities III 2014 12/2014 15,000,000 15,577,770 13,249,676 5,445,487 - 1.21x 6.8%2 H/2 Special Opportunities IV 2016 11/2016 10,000,000 10,076,908 81,350 11,370,035 - 1.14x 8.6%
KKR Real Estate Partners Americas II 2018 2/2018 10,000,000 9,400,074 2,955,560 8,151,169 2,111,050 1.21x 14.0%KKR Real Estate Partners Americas III 2021 N/A 35,000,000 - - - 35,000,000 N/A N/AKKR Real Estate Partners Europe II 2020 9/2020 9,950,000 13,544 - 314,540 9,950,000 23.22x NMKKR Real Estate Securities Dislocation Opportunity Co-Investment 2020 10/2020 10,000,000 4,532,656 901,398 4,908,385 6,368,742 1.35x NM
2 Lone Star Real Estate Fund V 2017 9/2017 11,000,804 6,412,495 3,521,265 2,230,160 4,782,134 0.89x -7.4%NYC Asset Investor #1 2013 6/2013 10,000,000 11,638,238 5,659,831 6,865,812 2,851,698 1.10x 1.7%NYC Asset Investor #3 2013 9/2013 8,000,000 5,611,501 1,012,764 5,991,388 2,388,499 1.25x 5.4%
2 NYCRS-KKR CMBS Retention Partners 2017 6/2017 13,000,000 11,928,444 2,932,042 10,734,494 1,405,410 1.15x 5.6%2 Pramerica Real Estate Capital VI 2017 4/2017 10,325,370 10,051,208 5,855,706 5,822,730 2,715,026 1.21x 10.9%
PW Real Estate Fund III 2015 10/2016 11,203,575 8,359,122 3,576,452 13,042,566 3,117,337 1.99x 28.4%2 Rialto Real Estate Fund IV - Debt 2020 1/2021 25,000,000 3,821,853 401,111 4,150,641 21,250,000 1.19x NM
Westbrook Real Estate Co-Investment Partnership X 2016 7/2016 10,000,000 9,614,089 5,974,064 5,465,547 806,706 1.22x 10.6%Westbrook Real Estate Fund XI 2019 12/2020 10,000,000 913,587 - 989,989 9,152,783 1.08x NMNon-Core Portfolio 415,546,289 288,517,307 199,507,877 183,971,657 177,881,326 1.36x 12.9%Emerging Manager 2016 11,000,000 12,775,721 4,967,662 11,348,370 816,234 1.35x 11.9%Debt 2014 109,326,174 69,418,245 27,765,465 51,083,737 45,152,570 1.14x 6.7%Total Portfolio 716,992,596 549,859,800 311,865,833 434,377,798 254,231,237 1.39x 9.7%
1 Emerging managers
2 Debt investments
33
-$30,000,000
-$25,000,000
-$20,000,000
-$15,000,000
-$10,000,000
-$5,000,000
$0
$5,000,000
$10,000,000
$15,000,000
Amou
ntBERS Monthly Real Estate Cash Flow Summary
(as of August 31, 2021)
Contributions Distributions Net Cash Flow
34
Vintage Year Investment Closing Date Committed
Capital Contributed
Capital Distributed
Capital Market
Value TVPI IRR
Active Investments:2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $10,000,000 $8,488,769 $3,818,973 $11,439,749 1.8x 13.0%2014 IFM Global Infrastructure Fund 1/2/2014 $15,000,000 $20,027,335 $7,899,888 $24,359,993 1.6x 11.2%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $15,000,000 $15,840,002 $12,997,841 $8,758,646 1.4x 20.7%2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $19,000,000 $20,194,814 $17,806,391 $16,083,205 1.7x 18.0%2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $12,000,000 $10,853,225 $2,343,021 $10,760,842 1.2x 7.1%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $10,000,000 $6,200,038 $1,700,357 $6,219,818 1.3x 9.9%2016 Actis Energy 4 12/16/2016 $10,600,000 $8,147,233 $2,413,933 $8,110,000 1.3x 12.3%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $9,237,827 $9,709,932 $1,438,206 $13,214,572 1.5x 19.2%2016 ASF VII Infrastructure L.P. 4/24/2017 $12,000,000 $7,077,000 $520,575 $8,427,745 1.3x 16.9%2017 Axium Infrastructure North America (2017) 8/14/2017 $12,221,338 $12,546,081 $2,376,336 $13,059,613 1.2x 9.9%2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $11,760,000 $4,509,935 $1,084,023 $4,006,808 1.1x 7.9%2021 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $2,940,000 - - - - 0.0%2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $15,600,000 $7,726,772 $549,756 $5,977,601 0.8x -12.8%2019 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $15,600,000 $5,994,813 $890,704 $5,648,762 1.1x 11.0%2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $1,880,000 $1,892,049 $467,145 $2,357,953 1.5x 18.8%2018 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $18,000,000 $10,922,741 $425,925 $11,924,193 1.1x 11.0%2019 Ardian Infrastructure Fund V B 3/4/2019 $15,068,113 $1,789,484 $89,341 $1,848,495 1.1x 6.5%2018 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $22,600,000 $2,209,212 $0 $1,522,866 0.7x -64.6%2019 Brookfield Infrastructure Fund IV, L.P. 5/10/2019 $19,000,000 $9,698,500 $1,160,949 $9,803,489 1.1x 12.0%2020 EQT Infrastructure IV Co-Investment (B) SCSp (Saber) 7/30/2019 $1,600,000 $1,616,000 $97,112 $1,812,611 1.2x 16.9%2019 Brookfield Infrastructure Fund IV Co-Investment (Snow) 10/25/2019 $2,000,000 $2,008,446 $133,054 $2,210,604 1.2x 12.5%2020 Actis Energy 5 6/30/2020 $27,000,000 - - - NM NM2020 EQT Infrastructure V (No.2) USD SCSp 10/29/2020 $32,000,000 - - ($444,794) NM NM2021 Stonepeak Infrastructure Fund IV, L.P. 2/16/2021 $35,000,000 - - ($222,133) NM NMTotal $345,107,278 $167,452,381 $58,213,529 $166,880,638 1.3x 12.7%
New York City Board of Education Retirement System Infrastructure Portfolio
As of March 31, 2021
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.
35
(11,250,000.00)(10,000,000.00)
(8,750,000.00)(7,500,000.00)(6,250,000.00)(5,000,000.00)(3,750,000.00)(2,500,000.00)(1,250,000.00)
0.001,250,000.002,500,000.003,750,000.005,000,000.006,250,000.007,500,000.008,750,000.00
10,000,000.0011,250,000.0012,500,000.0013,750,000.00
Amou
nt
BERS Monthly Infrastructure Cash Flow Summary (as of August 31, 2021)
Contributions Distributions Net Cash Flow
36