Teachers' Retirement System of New York City Performance ... · x TIPS - $3.1 Billion, 4% of Fund: broadTheU.S. TIPS market returned 0.77% during the secondquarter of 2018. The composite

Teachers' Retirement Systemof New York CityPerformance Overview as of June 30, 2018

Total Fund Overview

Teachers' Retirement System of New York City 1Performance Overview as of June 30, 2018

Teachers' Retirement System

of New York City

Table of Contents:

Consultant's Commentary & Performance Charts p.3

Appendix A - Consolidated Performance Report p.30

Appendix B - Public Markets Manager Performance Detail p.37

Appendix C - Alternative Assets Manager Performance Detail p.50

Appendix D - Footnotes p.59


Market Backdrop: Global equity markets closed the second quarter with mixed performance. U.S. equity markets remained volatile but finished the second quarter with a gain of 3.9% (proxied by the Russell 3000 Index). Non-U.S. developed equity markets underperformed the U.S. market in the quarter and emerging markets significantly underperformed U.S. markets. Developed international equity returned -1.0% (MSCI EAFE Index in USD terms) during the quarter while emerging markets returned -7.9% (MSCI Emerging Markets Index in USD terms). Broad fixed income markets were negative for the quarter as the Bloomberg Barclays Aggregate Bond Index returned -0.2%. Below investment grade corporate fixed income outperformed the broad investment grade market during the quarter as the Bloomberg Barclays High Yield Index returned 1.0% and the Credit Suisse Leveraged Loan Index returned 0.8%. Both hard and local currency emerging debt markets pulled back during the quarter. The JPM EMBI Global, an index composed of emerging debt denominated in USD, returned -2.5%, while locally denominated debt, measured by the JPM GBI-EM Global Diversified Index fell -7.8%. Commodities performance was highly dispersed by sector during the second quarter. The S&P GSCI and Bloomberg Commodity indexes posted gains of 8.0% and 0.4%, respectively.

3.9%

-0.8% -0.3%

0.9%

7.8%

14.8%

7.7%

-0.5%

2.4%

5.2%

11.6%

5.5%

2.1%

4.7%

8.9%

-5%

0%

5%

10%

15%

20%

Russell 3000 MSCI World ex U.S. IMI Core + 5 FTSE BB + B Capped DJ U.S. Select Real EstateSecurities Index

Capital Market Performance

Qtr 1 year 3 year

Consultant's Commentary

Through June 30, 2018


Total Fund Performance: The Teachers’ Total Fund returned -0.57% (net of fees) for the quarter ending June 30, 2018, outperforming the policy benchmark by 17 basis points. Asset Allocation detracted 12 basis points from the total fund relative performance largely in part to an underweight to U.S. Equity and an overweight to Emerging Market Equity. Manager selection added 22 basis points to total fund relative performance. The manager selection in Domestic Equity, Developed Markets Equity, and Emerging Markets equity added a combined 16 basis points to the total fund relative performance. Strong returns for global public equity markets led to the Total Fund experiencing strong absolute returns for the one-year period ending June 30, 2018, returning 8.12% net of fees, which outperformed the policy benchmark by 47 basis points. For the three-year period ending June 30, 2018, the Total Fund underperformed its benchmark, with a return of 7.38%, net of fees, versus the benchmark return of 7.55%. 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 fiscal year ending June 30, 2018 have been estimated at approximately 12 basis points.

• Total Fund Asset Allocation - $72.0 Billion: As of June 30, 2018, the Fund had total assets of $72.0 billion, up from $71.5

billion on March 31, 2018. In the Growth segment of the Total Fund, underweights to non-core private real estate and opportunistic fixed income of 5.8% 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 5.1% above long-term targets. Finally, within the Inflation Protection segment of the Fund, core real estate and infrastructure remain about 2.6% below target in aggregate, pending new commitments to and capital calls from private funds. As of June 30, 2018, the private equity, infrastructure, and private real estate invested allocation was 9.8% versus their aggregate long-term allocation of 13.0%.

• U.S. Equity - $19.8 Billion, 27% of Fund: The U.S. equity composite outperformed the broad U.S. equity market for the quarter,

returning 4.07% against the Russell 3000 returning 3.89%. 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 9.55% during the quarter, outperforming the Russell 3000 by 566 basis points. For the one year ending June 30, 2018 the U.S. equity composite outperformed the index, returning 15.03% versus the Russell 3000 Index’s return of 14.78%. Over the three-year period ending June 30, 2018, the U.S. equity composite slightly outperformed the Russell 3000 index return of 11.58% by 8 basis points.

• Developed International Equity - $8.6 Billion, 12% of Fund: Non-U.S. developed equity markets, as measured by the MSCI

World ex U.S. IMI Net Dividends Index, returned -0.77% in U.S. dollar terms during the quarter (4.00% in local currency terms). For the same time-period, the Fund’s total developed international equity composite returned -0.21%, outperforming its Custom MSCI World ex U.S. benchmark by 57 basis points. In contrast with the U.S. equity composite, as of June 30, 2018, the developed international equity composite was approximately 77% actively managed. For the one-year period ending June 30, 2018, the overall composite returned 11.76%, outperforming the Custom MSCI World ex U.S. benchmark by 394 basis points. Over the three-year




period ending June 30, 2018, the total developed international composite outperformed the benchmark return of 5.67% by 198 basis points.

• Emerging Markets Equity - $6.4 Billion, 9% of Fund: Emerging market equities, as measured by the MSCI EM Net Index, returned -7.96% during the second quarter (-3.51% in local currency terms). Over the trailing one-year, the MSCI EM Net Index returned 8.20%. For the second quarter of 2018, the emerging markets equity composite, which is about 71% actively managed and 29% passively managed, returned -9.92% outperforming the Custom FTSE Benchmark’s return of -10.27% over the same period. For the one-year period ending June 30, 2018, the emerging markets equity composite returned 2.13%, slightly underperforming the benchmark return of 2.33%. For the three-year period ending June 30, 2018, the emerging markets equity composite returned 4.18%, trailing the benchmark return of 5.04%.

• REITs - $1.1 Billion, 2% of Fund: The U.S. REIT market, as measured by the Dow Jones U.S. Select Real Estate Securities

Index, returned 9.99%, during the second quarter of 2018. The Fund’s REITs composite, which is fully actively managed, underperformed the benchmark during the second quarter of 2018, returning 8.27%. Over the three-year period ending June 30, 2018, this composite returned 6.90%, underperforming the index return of 7.67%.

• Structured Fixed Income – $16.6 Billion, 23% of Fund: The structured fixed income composite returned -0.05% during the

second quarter of 2018, outperforming the Core + 5 benchmark return of -0.28% over the same time period. Over the one-year period ending June 30, 2018 the composite outperformed the benchmark return of -0.48% by 24 basis points. For the three-year period ending June 30, 2018, the program outperformed its benchmark by 8 basis points with a return of 2.18%.

• Enhanced Yield - $3.5 Billion, 5% of Fund: This asset class, as measured by the FTSE BB & B Index, returned 0.92% during

the second quarter of 2018. The actively managed enhanced yield composite underperformed the benchmark, returning 0.81% over the same time period. For the one-year period ending June 30, 2018, this composite returned 1.74% while the FTSE BB & B Index returned 2.42%. Over the three-year period ending June 30, 2018, the enhanced yield composite returned 4.35%, trailing its benchmark by 45 basis points.

• Bank Loans - $1.7 Billion, 2% of Fund: The bank loan composite underperformed the Credit Suisse Leveraged Loan Index for the second quarter of 2018 with the composite returning 0.62% against the benchmark return of 0.78%. For the one-year period ending June 30, 2018, the bank loans composite underperformed the Credit Suisse Leveraged Loan Index by 36 basis points, returning 4.31%. For the three-year period ending June 30, 2018, the bank loans composite underperformed the Credit Suisse Leveraged Loan Index by 23 basis points, returning 4.10%.




• TIPS - $3.1 Billion, 4% of Fund: The broad U.S. TIPS market returned 0.77% during the second quarter of 2018. The composite of TIPS managers (75% passive/25% active) performed in line with its benchmark, both returning 0.77% for the quarter. For the one-year period ending June 30, 2018, the TIPS composite returned 2.17%, outperforming its benchmark which returned 2.11%. For the three-year period ending June 30, 2018, the composite returned 1.92% against the benchmark return of 1.93%.

• Convertibles - $191 Million, 0.3% of Fund: The ICE BofA ML All Convertibles ex-Mandatories Index, a measure of the broad

convertibles market, returned 3.69% during the second quarter of 2018. The Fund’s entirely actively managed convertibles composite returned 0.27% over the quarter. For the one-year period ending June 30, 2018, the Fund’s convertibles composite returned 6.73%, trailing the benchmark by 668 basis points. For the three years ending June 30, 2018, this composite generated an absolute return of 5.39%, underperforming the benchmark by approximately 353 basis points.

• Opportunistic Fixed Income - $1.9 Billion, 3% of Fund: The opportunistic fixed income composite is comprised of

investments in 9 funds, representing about 19% of this composite’s assets, and nine strategic separate account mandates, representing 81% of composite assets. These strategic mandates and funds call down capital as opportunities are identified and are still in the process of being funded. For the one-year period ending June 30, 2018, the overall composite returned 7.02%, outperforming the blended benchmark of 50%/50% J.P Morgan Global High Yield Index and Credit Suisse Leveraged Loan Index +3% by 29 basis points. During the second quarter of 2018, the overall composite returned 1.68% versus the blended benchmark which returned 1.22% over the same period. Over the longer three-year period ending June 30, 2018, the opportunistic fixed income composite returned 4.96% versus the benchmark return of 8.18%.

• Private Equity - $3.8 Billion, 5% of Fund: At the end of the second quarter of 2018, the private equity portfolio had $3.8 billion

in invested capital. The Fund currently has investments in 164 partnerships. Performance is reported separately by Teachers’ Private Equity consultant.

• Private Real Estate - $2.6 Billion, 4% of Fund: At the end of the second quarter of 2018, the private real estate portfolio had

$2.6 billion in invested capital. The composite has investments in 65 partnerships. Performance is reported separately by Teachers’ Private Real Estate consultant.




• Private Infrastructure – $614.2 Million, 1% of Fund: At the end of the second quarter of 2018, the private infrastructure portfolio had $560.2 million in invested capital, up from its allocation at the end of the first quarter of 2018. The composite has investments in 11 partnerships. Performance is reported separately by Teachers’ Infrastructure consultant.




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

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

Rat

e of

Ret

urn

0.61 0.57 0.47

8.33 8.127.72

8.33 8.127.72 7.60 7.38 7.58

8.58 8.55

7.11 7.20

7.80 7.82

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

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

Rat

e of

Ret

urn

0.61 0.57 0.47

8.33 8.127.72

8.33 8.127.72 7.60 7.38 7.58

8.58 8.55

7.11 7.20

7.80 7.82

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 8.6 5.9 7.1 7.2 10.0

Market Value (Billions)

TOTAL TEACHERS' $72.0

Total Portfolio Returns: June 30, 2018


-1.5%-0.1% -0.1% -0.7%

-2.7% -2.4%-0.1%

1.6%0.3% 0.5%

-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

$19.8 27.5%

Domestic US Equity Developed Markets (World-ex) Emerging Markets Private Equity

$8.6 11.9%

$6.4 8.9%

$3.8 5.3%

$0.9 1.3%

$1.9 2.6%

$0.2 0.3%

Private Real Estate – Non Core

Opportunistic Fixed Income High Yield REITS Convertible Bonds

Portfolio Asset Allocation – Growth

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

$1.1 1.6%

Int’l Emerging Managers FoF

$0.4 0.5%

$3.5 4.9%

Portfolio Asset Allocation: June 30, 2018


Portfolio Asset Allocation – Growth

Asset Allocation


On June 29, 2018 TRS' combined Fixed Income and Cash portfolios have a duration of 6.3 years. The duration of the Barclays US Aggregate Index was 6 years on that date.

-3.6%

0.2%-0.1%

0.0% 0.0% 0.0%

-1.4%

0.0% 0.3% 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

Opportunistic Fixed Income High Yield REITS Convertible Bonds Int’l Emerging Managers FoF

$19.8 27.5%

$8.6 11.9%

$6.4 8.9%

$0.9 1.3%

$1.9 2.6%

$0.2 0.3%

$1.1 1.6%

$0.4 0.5%

$3.5 4.9%

$3.8 5.3%

Domestic US Equity Developed Markets (World-ex) Emerging Markets Private Equity Private Real Estate – Non Core



Asset Allocation

US Government Treasuries

$10.8 15.1%

5.1%

0.8%1.0% 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%

$3.1 4.3%

Mortgages Investment Grade Credit Short Term

$3.3 4.5%

$0.7 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 – Deflation Protection

Asset Allocation

4.2%

-0.8% -0.6%

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

$10.8 15.1%

$3.1 4.3%

$3.3 4.5%

$0.1 0.2%

$0.1 0.2%

$0.7 1.0%




Asset Allocation

Infrastructure

$3.1 4.3%

-1.2%

0.4%

-2.6%

0.4%

-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

$1.7 2.4%

$1.7 2.4%

Relative Mix to New Policy Weights

$0.6 0.9%


Portfolio Asset Allocation – Inflation Protection



Asset Allocation


Infrastructure

0.0% 0.1% 0.0% 0.4%

-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

$0.6 0.9%

Portfolio Asset Allocation – Inflation Protection

$3.1 4.3% $1.7

2.4%

$1.7 2.4%




0.57

0.47

0.10

-0.12

0.22

-0.50

0.00

0.50

1.00

Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect

Performance Attribution: Total Plan - Quarter Ending: June 30, 2018


8.12

7.72

0.40

-0.29

0.69

-2.00

0.00

2.00

4.00

6.00

8.00

10.00


Performance Attribution: Total Plan - Fiscal Year to Date: June 30, 2018


7.38 7.58

-0.20 -0.26

0.06

-2.00

0.00

2.00

4.00

6.00

8.00


Performance Attribution: Total Plan - 3 Years Ending: June 30, 2018


Quarter FYTD 3 Years Benchmark TOTAL TEACHERS' -0.12 -0.29 -0.26 Teachers Policy Benchmark

TOTAL DOMESTIC EQUITY -0.15 -0.23 -0.11 RUSSELL 3000TOTAL DEVELOPED MARKETS -0.01 0.01 -0.04 MSCI World ex USA IMI NetTOTAL EMERGING MARKETS -0.08 -0.06 -0.01 FTSE Custom NYC TeachersTOTAL INTERNATIONAL FOF 0.00 0.00 0.00 NYC Blended Custom Benchmark for FoFTOTAL REAL ESTATE SECURITIES 0.14 -0.15 -0.09 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY 0.00 0.00 0.00 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.00 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 -0.01 -0.03 -0.08 FTSE USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE 0.00 -0.03 -0.02 FTSE USBIG Treasury/Agency 1-10 yTOTAL ACTIVE GOVERNMENT -0.02 -0.36 -0.18 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION 0.00 0.49 0.34 FTSE Treasury 10+TOTAL INVESTMENT GRADE CREDIT 0.00 0.00 -0.04 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 0.06 0.04 FTSE MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL CORE FI- DEVELOPING MGRS 0.00 -0.02 -0.01 BBG BARC Agg TOTAL CORE FI- EMERGING MGRS 0.00 -0.02 -0.01 BBG BARC AggTOTAL HIGH YIELD -0.01 0.06 0.03 FTSE BB&BTOTAL BANK LOANS 0.00 -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 0.01 0.02 0.01 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.00 0.00 0.00 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL CASH 0.00 -0.04 -0.07

Quarter FYTD 3 Years Benchmark TOTAL TEACHERS' 0.22 0.69 0.06 Teachers Policy Benchmark

TOTAL DOMESTIC EQUITY 0.05 0.07 0.02 RUSSELL 3000TOTAL DEVELOPED MARKETS 0.07 0.49 0.26 MSCI World ex USA IMI NetTOTAL EMERGING MARKETS 0.04 -0.03 -0.08 FTSE Custom NYC TeachersTOTAL INTERNATIONAL FOF 0.00 0.01 0.00 NYC Blended Custom Benchmark for FoFTOTAL REAL ESTATE SECURITIES -0.02 0.04 -0.03 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY 0.10 0.02 -0.07 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE 0.01 0.03 0.01 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE -0.01 0.04 0.02 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.07 0.04 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 0.03 0.01 FTSE USBIG Treasury/Agency 1-10 yTOTAL ACTIVE GOVERNMENT 0.00 0.00 0.00 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION 0.00 0.00 0.00 FTSE Treasury 10+TOTAL INVESTMENT GRADE CREDIT 0.00 0.01 0.01 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 0.00 0.00 FTSE MORTGAGE INDEXTOTAL ETI 0.00 -0.01 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 -0.04 -0.03 FTSE BB&BTOTAL BANK LOANS 0.00 -0.01 -0.01 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.00 0.00 BBG BARC Gbl Inf-Lk: US TIPS (Dly) TOTAL CONVERTIBLE BONDS -0.01 -0.03 -0.03 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.01 0.01 -0.11 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL CASH 0.00 0.00 0.01

Allocation Effect - Asset Class Breakdown

Selection Effect - Asset Class Breakdown

Total Plan: June 30, 2018


TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS

0.6%

91.8%

2.6%

5.0%

TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS

0.6%

91.8%

2.6%

5.0%

Market Value (Billions) % of plan

TOTAL DOMESTIC EQUITY $19.8 27.5

Policy Weight Actual Weight Under/Over WeightQuarterly Returns

Fund Benchmark Excess

TOTAL SMALL CAP ACTIVE 2.0 2.6 0.6 9.9 7.8 2.2

TOTAL SMALL CAP PASSIVE 5.0 5.0 0.0 8.0 7.8 0.3

TOTAL RUSSELL 1000 PASSIVE 92.4 91.8 (0.6) 3.6 3.6 0.1

TOTAL EMERGING MANAGERS 0.6 0.6 (0.0) 8.0 7.8 0.2

Total Domestic Equity Asset Allocation: June 30, 2018

Teachers' Retirement System of New York City 19Performance Overview as of June 30, 2018 Totals may not add due to rounding

TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY

23.3%

76.7%

TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY

23.3%

76.7%

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

6.1%

17.2%

8.8%67.9%

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

6.1%

17.2%

8.8%67.9%

Asset WeightQuarterly Returns


TOTAL WORLD ex-USA LARGE & MID ACTIVE 67.86 0.37 (0.75) 1.11

TOTAL WORLD ex-USA SMALL CAP ACTIVE 8.85 (3.46) (1.84) (1.61)

TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE 17.23 (0.51) (0.75) 0.24

TOTAL WORLD ex-USA SMALL CAP PASSIVE 6.06 (0.82) (0.94) 0.11

TOTAL WORLD ex-USA 100.00 (0.21) (0.77) 0.57


TOTAL WORLD ex-USA $8.6 11.9

World ex-USA Equity Asset Allocation: June 30, 2018


TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

29.0%

71.0%

TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

29.0%

71.0%


TOTAL EMERGING MARKETS $6.4 8.9

Asset WeightQuarterly Returns


TOTAL ACTIVE EMERGING MARKETS 70.95 (9.87) (10.27) 0.40

TOTAL PASSIVE EMERGING MARKETS 29.05 (10.01) (10.03) 0.02

TOTAL EMERGING MARKETS 100.00 (9.92) (10.27) 0.35

Emerging Market Equity Asset Allocation: June 30, 2018


TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

19.0%

18.2%

62.8%

TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

19.0%

18.2%

62.8%


TOTAL STRUCTURED+ETI $17.2 23.9

Policy Weight Actual Weight Under/Over WeightQuarterly Returns


TOTAL TREASURY/AGENCY 61.54 62.90 1.36 0.16 0.39 (0.23)

TOTAL MORTGAGE 19.23 18.15 (1.08) 0.13 0.26 (0.13)

TOTAL INVESTMENT GRADE CREDIT 19.23 18.95 (0.28) (0.86) (0.88) 0.02

Structured Fixed Income Asset Allocation: June 30, 2018


City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Cumulative Periods Ending : June 30, 2018

Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 1.80 3.20 7.58 11.43 13.14 8.70 8.00 10.22 9.27 7.7425th 1.53 1.77 5.77 9.45 11.47 7.90 7.01 9.08 8.44 7.0650th 1.03 1.12 5.06 8.70 10.78 7.36 6.49 8.61 8.15 6.7675th 0.53 0.85 4.40 7.99 10.29 6.87 5.82 8.07 7.57 6.1995th 0.17 -0.10 2.36 5.00 6.24 6.06 5.04 6.66 6.22 5.72

No. Of Obs 41 41 41 41 41 41 41 41 41 37

Total System - Teacher 0.61 (70) 0.40 (83) 4.50 (65) 8.33 (65) 10.59 (67) 7.60 (37) 6.43 (50) 8.58 (52) 8.06 (52) 7.11 (20)Teachers Policy Benchm 0.47 (83) 0.03 (93) 4.20 (85) 7.72 (80) 10.38 (72) 7.58 (37) 6.49 (50) 8.55 (52) 8.26 (45) 7.20 (17)Public Mkt Equiv 25 1.45 (27) 0.39 (83) 4.65 (60) 8.70 (50) 11.36 (25) 7.33 (52) 6.17 (67) 8.68 (42) 8.24 (45) 6.81 (44)Public Mkt Equiv 35 1.35 (27) 0.27 (91) 4.05 (88) 7.64 (80) 9.82 (80) 6.75 (83) 5.78 (80) 8.00 (75) 7.70 (65) 6.64 (52)

Wilshire Trust Universe Comparison Service® (TUCS®)



City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Consecutive Time Periods: June 30, 2018

Percentile Rankings Jun 18 Mar 18 Dec 17 Sep 17 Jun 17 Jun 18 Jun 17 Jun 16 Jun 15 Jun 145th 1.80 1.90 4.43 4.13 4.35 11.43 16.54 5.71 6.23 19.9425th 1.53 0.58 4.02 3.91 3.63 9.45 13.34 1.86 4.56 18.4050th 1.03 0.18 3.74 3.56 3.24 8.70 12.71 1.38 3.74 17.1575th 0.53 -0.05 3.40 3.10 2.97 7.99 12.15 0.62 2.77 15.7995th 0.17 -1.33 2.74 2.58 2.41 5.00 7.49 -1.28 1.66 13.06

No. Of Obs 41 41 41 41 41 41 41 41 41 41

Total System - Teacher 0.61 (70) -0.21 (85) 4.09 (16) 3.67 (35) 3.10 (65) 8.33 (65) 12.89 (47) 1.86 (25) 2.99 (70) 17.62 (40)Teachers Policy Benchm 0.47 (83) -0.44 (88) 4.17 (12) 3.38 (67) 3.45 (35) 7.72 (80) 13.09 (35) 2.19 (18) 3.31 (55) 17.19 (45)Public Mkt Equiv 25 1.45 (27) -1.05 (93) 4.25 (10) 3.87 (30) 3.49 (30) 8.70 (50) 14.09 (18) -0.30 (85) 2.74 (77) 19.36 (5)Public Mkt Equiv 35 1.35 (27) -1.06 (93) 3.77 (45) 3.45 (62) 3.14 (57) 7.64 (80) 12.03 (77) 0.89 (60) 2.91 (72) 17.33 (45)

Wilshire Trust Universe Comparison Service® (TUCS®)



Avg. MV FY 2017 ($MM)

Mgmt. Fees w/ Partnership

Expenses ($M)


Expenses in BPS Incentive Fees

in ($M) Incentive

Fees in BPS Total Fees in ($M) Total Fees in

BPS Avg. MV FYTD 12-31-17 ($MM)


Expenses ($M)


Expenses in BPS INVESTMENT STYLE (EQUITIES)

Total US Equities 20,252.71 7,074.40 3.49 - - 7,074.40 3.49 21,467.61 5,675.92 2.64

Small Cap Active 347.65 3,487.26 100.31 - - 3,487.26 100.31 422.67 4,090.78 96.79

Small Cap Growth 347.65 3,487.26 100.31 - - 3,487.26 100.31 422.67 4,090.78 96.79 Small Cap Value - - - - - - - - - - Small Cap Core - - - - - - - - - -

Small Cap Fundamental Index - - - - - - - - - -

Mid Cap Active - - - - - - - -

Mid Cap Growth - - - - - - - - Mid Cap Value - - - - - - - - Mid Cap Core - - - - - - - -

Active Emerging Managers (U.S. Equities) 362.98 2,160.01 59.51 - - 2,160.01 59.51 106.54 517.41 48.57

U.S. Environmental Managers 81.49 387.31 47.53 - - 387.31 47.53 0.04 - -

Total US Active Equities 792.12 6,034.59 76.18 - - 6,034.59 76.18 529.25 4,608.19 87.07

Small Cap Passive

Small Cap Passive 553.15 17.36 0.31 - - 17.36 0.31 626.65 25.96 0.41

Mid Cap Passive -

Mid Cap Passive 380.33 22.67 0.60 - - 22.67 0.60 0.01 - -

Russell 1000 Passive Russell 1000 Growth Passive 5,107.34 218.33 0.43 - - 218.33 0.43 6,161.66 254.89 0.41

Russell 1000 Value Passive 5,090.43 217.59 0.43 - - 217.59 0.43 5,745.80 240.13 0.42

Passive Russell 3000 8,329.34 563.85 0.68 - - 563.85 0.68 8,404.19 546.75 0.65

Passive S&P 500

Total US Passive Equities 19,460.59 1,039.81 0.53 - - 1,039.81 0.53 20,938.31 1,067.73 0.51

TEACHERS RETIREMENT SYSTEM

ACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2017 AND ESTIMATED FEES FOR FY 2018 UPDATED THROUGH DECEMBER 2017

Actual Estimates

2017 2018

Actual and Estimated Fees

Teachers' Retirement System of New York City 25Performance Overview as of June 30, 2018Information provided by the New York City Comptroller



Actual Estimates

2017 2018



Expenses ($M)



in ($M) Incentive




Expenses ($M)


Expenses in BPS Total International Equities 13,181.77 37,344.85 28.33 - - 37,344.85 28.33 16,058.10 44,364.86 27.63

Active EAFE Equities 5,204.64 15,318.87 29.43 - - 15,318.87 29.43 6,409.13 18,631.05 29.07

Developed Growth 2,424.63 6,590.45 27.18 - - 6,590.45 27.18 2,960.89 7,900.22 26.68

Developed Value 2,168.67 5,912.23 27.26 - - 5,912.23 27.26 2,696.33 7,326.65 27.17

Developed Small Cap 611.19 2,816.18 46.08 - - 2,816.18 46.08 751.83 3,404.17 45.28

Developed Core 0.15 - - - - 0.10 - -

Total Progress Intl. - - - - - -

NON-U.S. Environmental Managers 0.02 - - - - 0.03 - -

Active Emerging Markets 4,116.42 20,220.81 49.12 - - 20,220.81 49.12 4,659.26 22,387.07 48.05

Total Active Int'l Fund of Funds 328.19 336.30 10.25 - - 336.30 10.25 349.97 1,798.54 51.39

Total Active International Equities 9,649.28 35,875.98 37.18 - - 35,875.98 37.18 11,418.39 42,816.65 37.50

Int’l Passive Equities

Developed Passive 1,543.03 309.57 2.01 - - 309.57 2.01 2,360.47 352.30 1.49

Passive Global 0.05 - - - - - - 0.01 - -

Passive Emerging Markets 1,989.40 1,159.30 5.83 - - 1,159.30 5.83 2,279.23 1,195.91 5.25

Total Int’l Passive Equities 3,532.48 1,468.87 4.16 - - 1,468.87 4.16 4,639.71 1,548.21 3.34

REITS Active Equities 2,017.52 6,649.56 32.96 - - 6,649.56 32.96 1,667.60 6,435.16 38.59





Actual Estimates

2017 2018

INVESTMENT STYLE (FIXED INCOME) Avg. MV FY 2017

($MM)


Expenses ($M)



in ($M) Incentive




Expenses ($M)


Expenses in BPS

Fixed Income 22,376.14 30,007.47 13.41 154.18 0.07 30,161.65 13.48 22,412.87 28,813.92 12.86 Structured Program

11,746.89 6,756.66 5.75 154.18 0.13 6,910.84 5.88 12,422.29 6,494.86 5.23 Government Treas/Agency Sector 3,555.96 740.15 2.08 - - 740.15 2.08 3,692.04 1,178.92 3.19

Long Duration Treasury 568.08 29.43 0.52 29.43 0.52 2,710.00 252.59 0.93 Mortgage Sector 2,844.55 1,871.69 6.58 154.18 0.54 2,025.87 7.12 2,434.10 1,539.23 6.32

Investment Grade Credit Sector 4,778.30 4,115.40 8.61 - - 4,115.40 8.61 3,586.14 3,524.12 9.83

Global Fixed Income 120.85 226.92 18.78 - - 226.92 18.78 123.28 231.60 18.79

Progress Fixed Emerging Managers 121.06 410.46 33.91 - - 410.46 33.91 123.25 419.14 34.01

TIPS 2,421.48 421.25 1.74 - - 421.25 1.74 2,908.38 501.86 1.73

Active TIPS Managers 604.00 332.42 5.50 - - 332.42 5.50 724.53 395.21 5.45 Passive TIPS Managers 1,817.48 88.83 0.49 - - 88.83 0.49 2,183.85 106.65 0.49

High Yield 3,288.43 10,975.89 33.38 - - 10,975.89 33.38 3,497.24 11,652.85 33.32

Bank Loans 1,637.03 5,469.77 33.41 - - 5,469.77 33.41 1,697.30 5,630.21 33.17

Convertible Bonds 1,065.16 4,406.80 41.37 - - 4,406.80 41.37 443.56 2,544.23 57.36

ETI - Access - RBC 94.91 222.09 23.40 - - 222.09 23.40 128.26 237.40 18.51

ETI - AFL-CIO HIT 280.31 1,117.62 39.87 - - 1,117.62 39.87 283.59 1,101.77 38.85

Total Public Markets (Externally managed) 56,228.11 81,076.27 14.42 154.18 0.03 81,230.45 14.45 60,820.45 85,289.86 14.02

Other ETI Programs 194.13 - - - - - 198.26 - -

In-House Short Term 1,405.89 - - - - - - 587.46 - -

Total Public Markets 57,828.13 81,076.27 14.02 154.18 0.03 81,230.45 14.05 61,606.17 85,289.86 13.84





Actual Estimates

2017 2018



Expenses ($M)



in ($M) Incentive




Expenses ($M)


Expenses in BPS INVESTMENT STYLE (PRIVATE MARKETS)

Hedge Funds - - - - - - - - - -

Private Equity 3,243.65 63,838.87 196.81 40,394.53 124.53 104,233.40 321.35 3,529.21 56,599.78 160.38

Private Real Estate 2,244.65 27,779.74 123.76 24,490.34 109.11 52,270.08 232.87 2,470.43 26,793.14 108.46

Infrastructure 375.71 9,562.16 103.07 - - 9,562.16 103.07 465.81 10,435.95 90.39

Opportunistic Fixed Income 1,565.24 16,935.08 108.19 4,035.81 25.78 20,970.89 133.98 1,730.44 14,975.96 86.54

Total Private Markets 7,429.25 118,115.86 158.99 68,920.68 92.77 187,036.53 251.76 8,195.89 108,804.83 132.76

Total Overall 65,257.38 199,192.12 30.52 69,074.86 10.58 268,266.98 41.11 69,802.06 194,094.69 27.81

The overall carried interest and incentive fees paid by TEACHERS in Fiscal Year 2017: 10.58 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 of any 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.



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 (6 months) 2,095,815 2,276,022 3,253,255 7,625,093 since Inception 144,806,815 221,469,022 83,022,255 449,298,093

NYC TEACHERS' RETIREMENT SYSTEM SECURITIES LENDING INCOME

June 30, 2018

Securities Lending Income


Teachers' Retirement Systemof New York City

Appendix AConsolidated Performance Report


Market Value ($MM) % of Total 3 Month FYTD CYTD 2017 2016 2015 2014 2013 3 Year 5 Year 10 Year ITD Inception Date

SYSTEM RETURN SUMMARY

5 TRS-TOTAL PORTFOLIO - GROSS 71,973 100.00 0.61 8.33 0.40 16.74 8.93 (0.55) 7.75 15.91 7.60 8.58 7.11 8.53 07/01/1987TRS - ESTIMATED INVESTMENT FEES (0.04) (0.21) (0.08) (0.25) (0.21) (0.20) (0.22) (0.22) EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.12) (0.06) (0.12) (0.12) (0.13) (0.14) (0.12) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.01) (0.09) (0.02) (0.13) (0.09) (0.07) (0.08) (0.10) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL PORTFOLIO - NET MGR 0.57 8.12 0.31 16.49 8.73 (0.75) 7.53 7.38 TRS POLICY BENCHMARK 0.47 7.72 0.03 16.67 9.53 (0.70) 8.50 14.99 7.58 8.55 7.20 EXCESS RETURN 0.10 0.39 0.28 (0.18) (0.80) (0.05) (0.97) 0.92 (0.19) 0.03 (0.10)

EQUITY RETURN SUMMARY

18 TRS-TOTAL EQUITY (INCL PE & RA) - GROSS 43,366 60.25 0.75 12.10 0.89 23.48 10.82 (0.93) 8.64 23.03 10.10 11.07 7.92 8.01 04/01/2004ESTIMATED INVESTMENT FEES (0.05) (0.26) (0.10) (0.33) (0.24) (0.24) (0.25) (0.26) EST MANAGEMENT FEES (0.05) (0.26) (0.10) (0.33) (0.24) (0.24) (0.25) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL EQUITY (INCL PE & RA) - NET MGR 0.70 11.83 0.79 23.15 10.58 (1.18) 8.39 9.84

26 TRS-TOTAL DOMESTIC EQUITY - GROSS 19,773 27.47 4.07 15.06 3.45 21.26 13.15 0.30 11.93 33.81 11.69 13.30 10.27 10.53 12/01/1990ESTIMATED INVESTMENT FEES (0.01) (0.03) (0.01) (0.03) (0.04) (0.04) (0.05) (0.04)TRS-TOTAL DOMESTIC EQUITY - NET MGR 4.07 15.03 3.43 21.22 13.10 0.26 11.88 11.66 RUSSELL 3000 (DAILY) 3.89 14.78 3.22 21.13 12.74 0.48 12.56 33.55 11.58 13.29 10.23 10.54EXCESS RETURN 0.18 0.25 0.21 0.09 0.37 (0.22) (0.67) 0.25 0.07 0.00 0.04 (0.01)

36 TRS-TOTAL SMALL CAP - GROSS 1,499 2.08 8.83 22.14 11.59 19.45 18.93 0.79 4.31 51.12 14.98 16.44 20.48 05/01/2009ESTIMATED INVESTMENT FEES (0.09) (0.47) (0.21) (0.47) (0.48) (0.42) (0.37) (0.46)TRS-TOTAL SMALL CAP - NET MGR 8.74 21.67 11.38 18.98 18.45 0.37 3.93 14.52 RUSSELL 2000 (DAILY) 7.75 17.57 7.66 14.65 21.31 (4.41) 4.89 38.82 10.96 12.46 15.73EXCESS RETURN 0.99 4.10 3.72 4.33 (2.86) 4.78 (0.96) 12.30 3.56 3.98 4.75

46 TRS-TOTAL RUSSELL 1000 - GROSS 18,157 25.23 3.63 3.63 04/01/2018ESTIMATED INVESTMENT FEES (0.00) (0.00)TRS-TOTAL RUSSELL 1000 - NET MGR 3.63 3.63RUSSELL 1000 (DAILY) 3.57 3.57EXCESS RETURN 0.06 0.06

56 TRS-TOTAL EMERGING MANAGER - GROSS 117 0.16 8.13 15.20 7.30 13.51 05/01/2017ESTIMATED INVESTMENT FEES (0.14) (0.57) (0.27) (0.59)TRS-TOTAL EMERGING MANAGER - NET MGR 7.99 14.62 7.03 12.92RUSSELL 2000 (DAILY) 7.75 17.57 7.66 16.20EXCESS RETURN 0.23 (2.94) (0.63) (3.28)

Consolidated Performance Report





68 TRS-TOTAL WORLD ex-USA - GROSS 8,587 11.93 (0.15) 12.02 (0.47) 29.77 3.69 (0.60) (4.85) 23.92 7.93 8.45 4.71 7.15 04/01/2004ESTIMATED INVESTMENT FEES (0.06) (0.25) (0.12) (0.28) (0.28) (0.27) (0.25) (0.27)TRS-TOTAL WORLD ex-USA - NET MGR (0.21) 11.76 (0.58) 29.49 3.42 (0.86) (5.11) 7.67 WORLD EX USA CUSTOM BM (0.77) 7.82 (2.57) 26.40 1.15 0.49 (4.90) 23.54 5.67 7.12 3.35 5.95EXCESS RETURN 0.57 3.94 1.99 3.09 2.27 (1.36) (0.20) 0.38 2.00 1.33 1.36 1.20

78 TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - GROSS 5,827 8.10 0.44 13.40 0.32 30.68 3.99 (2.42) (5.17) 8.16 5.76 11/01/2013ESTIMATED INVESTMENT FEES (0.07) (0.31) (0.14) (0.36) (0.29) (0.27) (0.26) (0.30) (0.29)TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - NET MGR 0.37 13.09 0.18 30.32 3.70 (2.69) (5.43) 7.87 5.46NYC CUSTOM WORLD EX-USA LG & MID ACT INDEX (0.75) 6.95 (2.77) 25.18 1.00 (0.81) (4.90) 4.94 3.72EXCESS RETURN 1.11 6.14 2.95 5.14 2.70 (1.88) (0.53) 2.93 1.74

88 TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - GROSS 760 1.06 (3.34) 11.27 (2.03) 35.63 2.89 11.87 (3.38) 11.23 12.70 11.12 05/01/2013ESTIMATED INVESTMENT FEES (0.12) (0.52) (0.23) (0.61) (0.50) (0.55) (0.48) (0.53)TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - NET MGR (3.46) 10.75 (2.26) 35.02 2.38 11.32 (3.86) 10.70 S&P EPAC SMALL CAP USD NET (1.84) 11.27 (2.14) 33.47 1.34 8.58 (3.43) 9.23 11.05 9.44EXCESS RETURN (1.61) (0.52) (0.12) 1.55 1.05 2.74 (0.43) 1.48 1.65 1.67

98 TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - GROSS 521 0.72 (0.81) 12.90 (1.27) 33.71 2.95 9.97 10.65 8.79 02/01/2014ESTIMATED INVESTMENT FEES (0.01) (0.06) (0.02) (0.07) (0.02) (0.02) (0.04) (0.03)TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - NET MGR (0.82) 12.85 (1.29) 33.64 2.93 9.95 10.61 8.76WORLD EX USA SC PASSIVE CUSTOM BM (0.94) 12.58 (1.44) 33.31 2.18 9.59 10.13 8.28EXCESS RETURN 0.11 0.27 0.14 0.33 0.75 0.37 0.48 0.47

108 TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - GROSS 1,479 2.06 (0.51) 7.60 (2.35) 24.52 1.35 (0.28) (5.41) 22.92 5.05 6.51 5.03 07/01/2011ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.01) (0.01) (0.02) (0.02) (0.02) (0.02)TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - NET MGR (0.51) 7.58 (2.36) 24.51 1.34 (0.30) (5.43) 5.03 NYC CUSTOM WORLD EX US INDEX (0.75) 7.04 (2.77) 24.12 1.00 (0.81) (4.90) 22.78 4.64 6.28 4.77EXCESS RETURN 0.24 0.54 0.41 0.40 0.34 0.52 (0.52) 0.14 0.40 0.23 0.25






120 TRS-TOTAL ACTIVE EMERGING MARKETS - GROSS 4,561 6.34 (9.77) 2.58 (9.89) 36.26 12.09 (18.05) 0.27 (4.66) 4.62 3.68 1.87 04/01/2012ESTIMATED INVESTMENT FEES (0.10) (0.47) (0.19) (0.68) (0.54) (0.44) (0.53) (0.51)TRS-TOTAL ACTIVE EMERGING MARKETS - NET MGR (9.87) 2.10 (10.09) 35.58 11.55 (18.49) (0.26) 4.11 FTSE CUSTOM NYC TEACHERS EMERGING INDEX (10.27) 2.33 (9.70) 34.19 13.91 (17.04) 0.67 (4.65) 5.04 3.97 2.00EXCESS RETURN 0.40 (0.23) (0.38) 1.38 (2.36) (1.45) (0.93) (0.01) (0.93) (0.29) (0.14)

130 TRS-TOTAL PASSIVE EMERGING MARKETS - GROSS 1,868 2.59 (10.00) 2.26 (9.06) 33.14 12.98 (17.94) (1.76) (5.25) 4.37 2.85 (0.30) 04/01/2011ESTIMATED INVESTMENT FEES (0.01) (0.06) 0.01 (0.14) (0.06) (0.05) (0.06) (0.06)TRS-TOTAL PASSIVE EMERGING MARKETS - NET MGR (10.01) 2.20 (9.05) 32.99 12.92 (17.99) (1.82) 4.31 MSCI CUSTOM TRS EMERGING MARKETS (NET) (10.03) 2.22 (9.28) 33.05 13.10 (17.81) 4.43 EXCESS RETURN 0.02 (0.02) 0.23 (0.05) (0.18) (0.17) (0.12)

140 TRS-TOTAL INTERNATIONAL FUND OF FUNDS - GROSS 359 0.50 (2.10) 8.87 (2.19) 10.51 05/01/2017ESTIMATED INVESTMENT FEES (0.14) (0.57) (0.26) (0.58)TRS-TOTAL INTERNATIONAL FUND OF FUNDS - NET MGR (2.24) 8.30 (2.45) 9.93NYC BLENDED CUSTOM BENCHMARK FOR FOF (TRS) (2.20) 6.94 (3.58) 9.03EXCESS RETURN (0.04) 1.36 1.13 0.90






152 TRS-TOTAL REAL ESTATE SECURITIES - GROSS 1,132 1.57 8.38 5.61 0.91 7.95 5.09 2.84 30.64 2.86 7.29 8.62 7.84 11.42 01/01/2003ESTIMATED INVESTMENT FEES (0.11) (0.42) (0.21) (0.45) (0.30) (0.37) (0.48) (0.39)TRS-TOTAL REAL ESTATE SECURITIES - NET MGR 8.27 5.19 0.69 7.50 4.79 2.47 30.16 6.90 DJ US SELECT REAL ESTATE SECURITIES INDEX 9.99 4.23 1.82 3.76 6.65 4.46 31.85 1.31 7.67 8.27 7.54 10.50EXCESS RETURN (1.72) 0.96 (1.13) 3.74 (1.86) (1.99) (1.69) 1.54 (0.77) 0.35 0.30 0.93

162 TRS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 3,843 5.34 2.38 18.82 7.40 19.65 10.55 9.78 13.95 8.13 13.40 13.69 9.51 12.21 04/01/2004NYC R3000 +3% LAGGED 0.09 17.19 7.21 22.22 18.37 2.49 21.24 24.53 13.51 16.21 13.73 13.10EXCESS RETURN 2.29 1.63 0.19 (2.57) (7.83) 7.29 (7.29) (16.40) (0.10) (2.52) (4.22) (0.89)

172 TRS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 2,628 3.65 2.05 10.75 5.80 11.17 12.36 15.09 14.68 10.97 11.99 12.74 4.35 10.03 04/01/2004NCREIF NFI-ODCE NET + 100 BP 2.06 8.54 4.33 7.72 8.86 15.08 12.56 14.02 9.45 11.12 EXCESS RETURN (0.01) 2.21 1.47 3.45 3.50 0.00 2.11 (3.05) 2.54 1.62

182 TRS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 614 0.85 2.42 19.31 7.68 20.50 9.47 12.33 18.76 14.12 14.97 12/01/2013CPI + 4% 1.55 6.91 3.19 6.20 6.17 4.69 4.69 5.90 5.58EXCESS RETURN 0.87 12.41 4.49 14.30 3.30 7.64 14.07 8.23 9.39





FIXED INCOME RETURN SUMMARY

194 TRS-TOTAL FIXED INCOME - GROSS 28,607 39.75 0.36 1.38 (0.82) 5.32 5.66 (0.13) 6.01 1.58 2.98 3.68 5.14 7.95 02/01/1980ESTIMATED INVESTMENT FEES (0.03) (0.13) (0.06) (0.14) (0.15) (0.14) (0.17) (0.14) EST MANAGEMENT FEES (0.03) (0.13) (0.06) (0.14) (0.15) (0.14) (0.17) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL FIXED INCOME - NET MGR 0.33 1.25 (0.87) 5.17 5.50 (0.27) 5.84 2.84

202 TRS-TOTAL STRUCTURED FIXED INCOME - GROSS 16,599 23.06 (0.03) (0.19) (2.25) 5.03 3.75 0.23 7.54 (1.78) 2.24 3.00 4.69 7.34 01/01/1985ESTIMATED INVESTMENT FEES (0.01) (0.05) (0.02) (0.06) (0.07) (0.07) (0.08) (0.06)TRS-TOTAL STRUCTURED FIXED INCOME - NET MGR (0.05) (0.24) (2.27) 4.97 3.68 0.16 7.46 2.18 NYC - CORE PLUS FIVE (0.28) (0.48) (2.08) 4.51 3.20 0.41 7.66 (2.79) 2.10 2.77 4.38 EXCESS RETURN 0.23 0.24 (0.19) 0.46 0.48 (0.25) (0.20) 1.00 0.08 0.22 0.31

212 TRS-TOTAL CORE FI- DEVELOPING MGRS - GROSS 121 0.17 (0.33) (0.52) (1.91) 4.27 4.00 2.23 1.85 06/01/2015ESTIMATED INVESTMENT FEES (0.05) (0.19) (0.09) (0.19) (0.20) (0.19) (0.19)TRS-TOTAL CORE FI- DEVELOPING MGRS - NET MGR (0.38) (0.71) (2.00) 4.08 3.79 2.04 1.66BBG BARC AGG (DLY) (0.16) (0.40) (1.62) 3.54 2.65 1.72 1.31EXCESS RETURN (0.22) (0.31) (0.39) 0.54 1.15 0.32 0.34

222 TRS-TOTAL CORE FI- EMERGING MGRS - GROSS 122 0.17 (0.06) 0.41 (1.33) 4.51 3.19 1.00 6.21 (1.58) 2.42 2.83 2.33 06/01/2012ESTIMATED INVESTMENT FEES (0.09) (0.34) (0.17) (0.48) (0.22) (0.35) (0.38) (0.35)TRS-TOTAL CORE FI- EMERGING MGRS - NET MGR (0.15) 0.07 (1.50) 4.02 2.97 0.65 5.83 2.07 BBG BARC AGG (DLY) (0.16) (0.40) (1.62) 3.54 2.65 0.55 5.97 (2.02) 1.72 2.27 1.76EXCESS RETURN 0.01 0.47 0.12 0.48 0.32 0.10 (0.13) 0.45 0.35 0.56 0.57

232 TRS-TOTAL TIPS - GROSS 3,127 4.35 0.78 2.19 0.02 3.06 4.67 (1.22) 3.50 (8.53) 1.94 1.71 3.14 3.78 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.02) (0.01) (0.02) (0.02) (0.03) (0.07) (0.02)TRS-TOTAL TIPS - NET MGR 0.77 2.17 0.01 3.04 4.65 (1.25) 3.43 1.92 BBG BARC GBL INF-LK: US TIPS (DLY) 0.77 2.11 (0.02) 3.01 4.68 (1.44) 3.64 (8.61) 1.93 1.68 3.03 3.63EXCESS RETURN 0.00 0.06 0.04 0.04 (0.03) 0.19 (0.21) 0.08 (0.00) 0.03 0.10 0.15

242 TRS-TOTAL HIGH YIELD - GROSS 3,497 4.86 0.89 2.08 (0.15) 6.92 14.28 (3.27) 2.46 7.37 4.71 5.12 7.23 6.00 08/01/1998ESTIMATED INVESTMENT FEES (0.09) (0.34) (0.17) (0.35) (0.39) (0.34) (0.35) (0.35)TRS-TOTAL HIGH YIELD - NET MGR 0.81 1.74 (0.32) 6.57 13.89 (3.60) 2.10 4.35 FTSE BB & B 0.92 2.42 (0.10) 7.03 15.48 (4.21) 2.78 6.17 4.80 5.07 6.62 5.73EXCESS RETURN (0.11) (0.68) (0.22) (0.46) (1.59) 0.61 (0.68) 1.20 (0.45) 0.06 0.61 0.28

252 TRS- TOTAL BANK LOANS - GROSS 1,741 2.42 0.71 4.66 2.12 4.38 8.55 1.84 2.78 6.38 4.45 4.67 4.69 11/01/2012ESTIMATED INVESTMENT FEES (0.09) (0.35) (0.17) (0.35) (0.37) (0.35) (0.35) (0.35)TRS-TOTAL BANK LOANS - NET MGR 0.62 4.31 1.95 4.04 8.18 1.49 2.43 4.10 CSFB LEVERAGED LOAN INDEX 0.78 4.67 2.38 4.25 9.88 (0.38) 2.06 6.15 4.33 4.24 4.45EXCESS RETURN (0.16) (0.36) (0.43) (0.21) (1.70) 1.87 0.37 0.23 (0.23) 0.43 0.24

262 TRS-TOTAL CONVERTIBLE BONDS - GROSS 191 0.27 0.37 7.12 2.10 11.75 6.38 0.17 8.57 15.96 5.81 7.39 6.89 6.89 07/01/2008ESTIMATED INVESTMENT FEES (0.10) (0.40) (0.17) (0.46) (0.45) (0.43) (0.47) (0.43)TRS-TOTAL CONVERTIBLE BONDS - NET MGR 0.27 6.73 1.94 11.29 5.93 (0.25) 8.09 5.39 BOFAML ALL CONVERTIBLE EX M AI (DAILY) 3.69 13.41 6.60 15.70 11.71 (2.75) 9.33 25.00 8.91 10.78 9.15 9.15EXCESS RETURN (3.42) (6.68) (4.67) (4.41) (5.78) 2.49 (1.24) (9.04) (3.52) (3.39) (2.26) (2.26)





272 TRS-TOTAL OPPORTUNISTIC FIXED INCOME 1,852 2.57 1.73 7.21 4.01 8.01 7.31 (1.24) 9.07 17.03 5.13 6.71 9.13 7.26 10/01/2007OPPORTUNISTIC FIXED INCOME JPMGHY / CSFB 50/50 BLEND PLUS 300 1.22 6.72 2.42 9.42 17.40 0.63 4.93 9.99 8.18 8.10 9.84 9.16EXCESS RETURN 0.51 0.49 1.59 (1.42) (10.10) (1.87) 4.14 7.04 (3.04) (1.39) (0.71) (1.90)

282 TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - GROSS 623 0.87 (0.16) (0.53) (1.62) 3.70 2.53 3.65 8.22 1.02 2.85 3.58 4.86 7.87 12/01/1984ESTIMATED INVESTMENT FEES (0.05) (0.23) (0.11) (0.24) (0.25) (0.25) (0.27) (0.27) (0.25) (0.25) (0.27) (0.13)TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - NET MGR (0.21) (0.75) (1.73) 3.46 2.28 3.40 7.95 0.75 2.61 3.32 4.59 7.74TEACHERS CUSTOM BENCHMARK (NO CASH) 0.14 0.13 (1.07) 3.11 2.39 1.30 6.00 (1.67) 1.81 2.44 3.70 EXCESS RETURN (0.35) (0.88) (0.66) 0.35 (0.12) 2.10 1.95 2.42 0.80 0.89 0.88

CASH SUMMARY

294 TEACHERS' SHORT TERM - GROSS 733 1.02 0.47 1.50 0.85 1.21 0.78 0.48 0.32 0.25 0.97 0.76 0.84 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 0.00TEACHERS' SHORT TERM - NET MGR 0.47 1.50 0.85 1.21 0.78 0.48 0.32 0.25 0.97 0.76 0.84

298 CASH ACCOUNTS - -

300 SECURITIES LENDING 1 -





Appendix BPublic Markets Manager Performance Detail


Market Value ($MM) % of Total 3 Months FYTD CYTD 2017 2016 2015 2014

EQUITY SUMMARY

US EQUITY

BLACKROCK INST R 2000 GROWTH 250 0.35 7.18 21.94 9.66 22.34 11.26 (1.51) 5.90

RUSSELL 2000 GROWTH DAILY 7.23 21.86 9.70 22.17 11.32 (1.38) 5.60

Excess (0.05) 0.08 (0.04) 0.18 (0.06) (0.13) 0.30

BLACKROCK INST R 2000 VALUE 739 1.03 8.40 13.22 5.55 7.86 31.73 (7.49) 4.25

RUSSELL 2000 VALUE DAILY 8.30 13.10 5.44 7.84 31.74 (7.47) 4.22

Excess 0.09 0.12 0.10 0.02 (0.01) (0.02) 0.03

Brown AM - SCG 510 0.71 9.91 29.83 17.93 29.74 10.35 8.62 2.92

RUSSELL 2000 GROWTH DAILY 7.23 21.86 9.70 22.17 11.32 (1.38) 5.60

Excess 2.68 7.97 8.23 7.57 (0.97) 10.00 (2.68)

BLACKROCK INST R 1000 GROWTH 6 0.01 30.18 7.06 5.61 13.03

RUSSELL 1000 GROWTH - DAILY 30.21 7.08 5.67 13.05

Excess (0.03) (0.01) (0.06) (0.02)

Blackrock Inst R 1000 Value 9 0.01 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

NYC TRS BLACKROCK R1000 CORE 18,142 25.21 3.64

RUSSELL 1000 (DAILY) 3.57

Excess 0.07

EMERGING MANAGERS

TOTAL EMERGING MANAGERS 117 0.16 7.99 14.62 7.03

RUSSELL 2000 (DAILY) 7.75 17.57 7.66

Excess 0.23 (2.94) (0.63)

Public Markets Manager Performance Detail

Net Returns Through June 30, 2018

Teachers' Retirement System of New York City 38Performance Overview as of June 30, 20181 Name changed from SSGA MSCI EAFE Small Cap Index to SSGA World ex USA Small Cap 12.20172 Assets were in transition as of 9/29/17


TRS-TOTAL LEGATO 117 0.16 7.99 14.73 7.11

RUSSELL 2000 (DAILY) 7.75 17.57 7.66

Excess 0.24 (2.83) (0.55)

NON - US EQUITY

TRS-Causeway 1,271 1.77 (1.72) 6.63 (5.47) 26.91 (0.79) (2.05) (5.72)

NYC Developed Value Benchmark (0.75) 7.43 (2.77) 22.77 5.02 (5.68) (5.39)

Excess (0.97) (0.80) (2.71) 4.15 (5.81) 3.63 (0.32)

TRS-Sprucegrove 1,408 1.96 (1.18) 10.91 (2.52) 26.17 8.56 (6.95) (4.06)

NYC Developed Value Benchmark (0.75) 7.43 (2.77) 22.77 5.02 (5.68) (5.39)

Excess (0.44) 3.48 0.25 3.40 3.53 (1.27) 1.34

TRS-Baillie Gifford 1,752 2.43 2.63 23.20 7.24 39.93 2.04 (2.85) (7.83)

NYC Developed Growth Benchmark (0.75) 6.47 (2.77) 27.77 (3.04) 4.09 (4.43)

Excess 3.37 16.73 10.01 12.16 5.09 (6.94) (3.40)

TRS-Walter Scott 1,397 1.94 1.12 10.03 0.16 27.53 4.37 1.60 (3.66)

NYC Developed Growth Benchmark (0.75) 6.47 (2.77) 27.77 (3.04) 4.09 (4.43)

Excess 1.87 3.56 2.93 (0.24) 7.41 (2.49) 0.77

TRS-Acadian 403 0.56 (5.07) 10.45 (3.63) 38.42 5.46 10.97 (2.33)

S&P EPAC Small Cap USD NET (1.84) 11.27 (2.14) 33.47 1.34 8.58 (3.43)

Excess (3.22) (0.83) (1.49) 4.96 4.12 2.38 1.10

TRS-Pyramis 356 0.50 (1.57) 11.10 (0.66) 31.25 (0.81) 11.69 (5.41)

S&P EPAC Small Cap USD NET (1.84) 11.27 (2.14) 33.47 1.34 8.58 (3.43)

Excess 0.27 (0.18) 1.47 (2.21) (2.15) 3.11 (1.98)

TRS-SSGA 1,479 2.06 (0.51) 7.58 (2.36) 24.51 1.34 (0.30) (5.43)

NYC Custom World ex US Index (0.75) 7.04 (2.77) 24.12 1.00 (0.81) (4.90)

Excess 0.24 0.54 0.41 0.40 0.34 0.52 (0.52)





TRS-SSGA World ex USA Small Cap 1 521 0.72 (0.82) 12.85 (1.29) 33.64 2.93 9.95

World ex USA SC PASSIVE CUSTOM BM (0.94) 12.58 (1.44) 33.31 2.18 9.59

Excess 0.11 0.27 0.14 0.33 0.75 0.37

EMERGING MARKETS

Acadian EM 233 0.32 (11.46)

MSCI CUSTOM TRS EMERGING MARKETS (NET) (10.03)

Excess (1.43)

TRS-Baillie Gifford EM Equities 1,582 2.20 (8.31) 3.03 (9.83) 41.33 4.02 (14.09) 4.83

FTSE Custom NYC Teachers Emerging Index (10.27) 2.33 (9.70) 34.19 13.91 (17.04) 0.67

Excess 1.96 0.69 (0.13) 7.13 (9.90) 2.95 4.16

TRS-DFA MTA 1,250 1.74 (10.22) 3.58 (9.34) 34.29 20.88 (21.72) (4.59)


Excess 0.05 1.25 0.36 0.09 6.97 (4.68) (5.26)

TRS-PARAMETRIC EM 1,177 1.64 (10.09) 1.26 (10.00) 32.02 11.47 (19.97) (0.80)


Excess 0.18 (1.07) (0.29) (2.17) (2.44) (2.94) (1.47)

TRS-Lazard Emerging Markets 320 0.44 (14.27) (3.46) (13.33) 28.26

FTSE Custom NYC Teachers Emerging Index (10.27) 2.33 (9.70) 34.19

Excess (4.00) (5.80) (3.62) (5.94)

TRS-CONY GT EM Blackrock 1,868 2.59 (10.01) 2.20 (9.05) 32.99 12.92 (17.99) (1.82)

MSCI CUSTOM TRS EMERGING MARKETS (NET) (10.03) 2.22 (9.28) 33.05 13.10 (17.81)

Excess 0.02 (0.02) 0.23 (0.05) (0.18) (0.17)

INTERNATIONAL FOF

TRS-TOTAL INTERNATIONAL FOF 359 0.50 (2.24) 8.30 (2.45)

NYC Blended Custom Benchmark for FoF (TRS) (2.20) 6.94 (3.58)

Excess (0.04) 1.36 1.13





TRS-TOTAL INTERNATIONAL BIVIUM 118 0.16 (3.29) 6.79 (3.40)


Excess (1.09) (0.15) 0.19

TRS-TOTAL INTERNATIONAL FIS 118 0.16 (2.24) 7.73 (2.76)


Excess (0.04) 0.79 0.82

TRS-TOTAL INTERNATIONAL LEADING EDGE 122 0.17 (1.21) 10.36 (1.22)


Excess 0.99 3.42 2.37

REAL ESTATE SECURITIES

Adelante Capital Mgt. - REIT 326 0.45 7.44 4.18 0.39 7.32 3.90 4.81 33.05

DJ US SELECT REAL ESTATE SECURITIES INDEX 9.99 4.23 1.82 3.76 6.65 4.46 31.85

Excess (2.55) (0.05) (1.43) 3.56 (2.75) 0.36 1.20

Center Square Investment Mgt. - REIT 243 0.34 9.17 6.01 1.28 5.96 7.98 5.87 32.56


Excess (0.81) 1.77 (0.54) 2.20 1.33 1.41 0.71

Cohen & Steers - REIT 229 0.32 8.16 5.59 1.68 7.44 4.96 5.59 31.67


Excess (1.83) 1.36 (0.14) 3.68 (1.69) 1.13 (0.18)

Morgan Stanley - REIT 334 0.46 8.52 5.25 0.08 9.25 3.49 (1.63) 30.72

Morgan Stanley Custom RESI Index 4.95 5.46 0.05 10.27 2.37 (1.53) 31.85

Excess 3.57 (0.21) 0.03 (1.02) 1.13 (0.11) (1.13)





FIXED INCOME SUMMARY

STRUCTURED FIXED INCOME

Blackrock - Mortgage 1,302 1.81 0.26 0.10 (0.91) 2.63 2.17 1.76 6.56

FTSE MORTGAGE INDEX 0.26 0.11 (0.97) 2.47 1.59 1.56 6.12

Excess 0.00 (0.01) 0.06 0.16 0.58 0.20 0.44

Blackrock - Special Purpose Mtge 7 0.01

FTSE MORTGAGE INDEX

Excess

Neuberger Berman - Mortgage 719 1.00 0.19 (0.02) (1.04) 2.42 1.49 1.37 6.66


Excess (0.07) (0.13) (0.07) (0.05) (0.09) (0.19) 0.54

Amundi Smith Breeden - Mortgage 475 0.66 0.15 (0.10) (1.05) 2.27 2.02 1.68 6.41


Excess (0.12) (0.21) (0.08) (0.19) 0.44 0.12 0.29

Blackrock - Credit 385 0.53 (0.70) (0.48) (2.70) 6.31 5.57 (0.71) 7.43

NYC - Investment Grade Credit (0.88) (0.72) (2.92) 6.04 5.56 (0.65) 7.04

Excess 0.18 0.24 0.22 0.27 0.01 (0.06) 0.39

Taplin Canida Habacht - Credit 369 0.51 (1.24) 0.07 (3.12) 7.99 9.02 (4.10) 7.34


Excess (0.36) 0.79 (0.20) 1.95 3.46 (3.46) 0.30

T. Rowe Price - Credit 1,237 1.72 (0.76) (0.79) (3.29) 6.85 5.96 0.09 7.82


Excess 0.12 (0.07) (0.37) 0.81 0.41 0.73 0.77

Prudential - Credit 778 1.08 (0.79) (0.43) (2.88) 6.17 5.84 (0.16) 7.19


Excess 0.09 0.29 0.03 0.13 0.28 0.49 0.14





Barrow Hanley - Credit 496 0.69 (1.02) (0.99) (3.24) 6.16 5.88 (0.11) 7.39


Excess (0.14) (0.27) (0.32) 0.12 0.32 0.54 0.35

State Street - Gov't 1,923 2.67 0.00 (0.93) (2.18) 5.13 1.48 0.50 12.08

NYC - Treasury Agency Plus Five 0.09 (0.96) (2.13) 4.66 1.21 0.72 12.38

Excess (0.08) 0.03 (0.05) 0.48 0.26 (0.23) (0.29)

Blackrock - Gov't 1,109 1.54 0.07 (0.99) (2.16) 4.97 1.25 0.69 11.96

NYC - Treasury Agency Plus Five 0.09 (0.96) (2.13) 4.66 1.21 0.72 12.38

Excess (0.02) (0.03) (0.02) 0.31 0.03 (0.03) (0.42)

SSGA 1-3 Treasury Index 4,900 6.81 0.21 0.02 0.03 0.40

FTSE USBIG Treasury 1-3 Y Index 0.22 0.06 0.08 0.42

Excess (0.01) (0.04) (0.05) (0.02)

SSGA Long Duration Treasury 2,899 4.03 0.37 (0.14) (2.95) 8.44

FTSE Treasury 10+ 0.39 (0.06) (2.94) 8.60

Excess (0.02) (0.07) (0.01) (0.17)

SSGA Int Gov Bond Index 2 1 0.00 0.49 6.18 0.90

FTSE USBIG Treasury/Agency 1-10 y 0.06 (0.71) (0.65)

Excess 0.43 6.89 1.55

91 DAY TREASURY BILL (DAILY) 0.45 1.36 0.81

Excess 0.04 4.82 0.09

HIGH YIELD

Loomis Sayles - High Yield 26 0.04 1.39 2.53 0.68 7.01 18.62 (6.49) 3.55

BofAML HIGH YIELD MASTER II (DAILY) 1.00 2.53 0.08 7.48 17.49 (4.64) 2.50

Excess 0.40 0.00 0.61 (0.48) 1.13 (1.85) 1.04





Neuberger Berman - High Yield 693 0.96 1.03 1.74 (0.08) 5.74 14.89 (3.96) 1.85

BofAML HIGH YIELD MASTER II (DAILY) 1.00 2.53 0.08 7.48 17.49 (4.64) 2.50

Excess 0.03 (0.79) (0.16) (1.74) (2.60) 0.68 (0.65)

Oaktree - High Yield 344 0.48 0.58 0.61 (0.87) 5.75 14.96 (4.70) 1.33

BofAML HYM CONSTRAINED (DAILY) 1.00 2.54 0.08 7.48 17.49 (4.61) 2.51

Excess (0.42) (1.93) (0.94) (1.73) (2.53) (0.08) (1.18)

Stone Harbor - High Yield 508 0.71 0.97 1.49 (0.45) 5.85 13.10 (4.47) 0.79

BofA ML MST II 7-12/BB&B Prior 1.00 2.53 0.08 7.48 17.49 (4.64) 2.50

Excess (0.03) (1.04) (0.53) (1.63) (4.39) 0.17 (1.72)

T. Rowe Price - High Yield 761 1.06 0.56 1.62 (0.86) 7.70 12.17 (1.17) 2.96

FTSE BB & B 0.92 2.42 (0.10) 7.03 15.48 (4.21) 2.78

Excess (0.36) (0.80) (0.77) 0.67 (3.30) 3.04 0.18

Penn Capital Mgt - High Yield 23 0.03 1.03 2.73 0.67 6.62 11.96 (1.32) 0.92

FTSE BB & B 0.92 2.42 (0.10) 7.03 15.48 (4.21) 2.78

Excess 0.10 0.31 0.76 (0.41) (3.52) 2.89 (1.86)

Fort Washington - High Yield 1 0.00 1.36 2.59 0.37 7.38 12.71 (4.37) 2.37

FTSE BB & B 0.92 2.42 (0.10) 7.03 15.48 (4.21) 2.78

Excess 0.44 0.17 0.47 0.35 (2.76) (0.16) (0.42)

Shenkman - High Yield 331 0.46 0.59 2.27 (0.22) 6.60 11.64 (2.16) 2.75

FTSE BB & B 0.92 2.42 (0.10) 7.03 15.48 (4.21) 2.78

Excess (0.33) (0.15) (0.12) (0.43) (3.83) 2.05 (0.03)

HIGH YIELD TRANSITION 809 1.12

BANK LOANS

Babson BL 432 0.60 0.78 4.85 2.11 4.47 8.47 0.12 1.99

CSFB LEVERAGED LOAN INDEX 0.78 4.67 2.38 4.25 9.88 (0.38) 2.06

Excess (0.01) 0.18 (0.27) 0.22 (1.41) 0.50 (0.07)





Credit Suisse BL 446 0.62 0.70 4.49 2.06 4.66 8.96 2.57 2.67


Excess (0.09) (0.18) (0.31) 0.41 (0.92) 2.96 0.61

Guggenheim BL 441 0.61 0.65 4.26 1.99 3.82 7.84 2.07 2.88


Excess (0.13) (0.41) (0.39) (0.43) (2.03) 2.45 0.83

TRS-Voya BL 215 0.30 0.48 3.80 1.91 3.19 7.71 1.21 2.66


Excess (0.31) (0.87) (0.46) (1.06) (2.17) 1.60 0.60

TRS-Wells BL 206 0.29 0.25 3.40 1.35 3.18 7.18 1.17 1.68


Excess (0.53) (1.27) (1.02) (1.07) (2.70) 1.55 (0.38)

TIPS

State Street TIPS Passive 2,348 3.26 0.77 2.16 (0.02) 3.06 4.66 (1.35) 3.57

BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.77 2.11 (0.02) 3.01 4.68 (1.44) 3.64

Excess 0.00 0.04 0.01 0.05 (0.03) 0.09 (0.07)

Blackrock TIPS 780 1.08 0.78 2.21 0.11 2.98 4.64 (1.24) 3.74

BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.77 2.11 (0.02) 3.01 4.68 (1.44) 3.64

Excess 0.01 0.10 0.13 (0.02) (0.05) 0.20 0.10

CONVERTIBLE BONDS

Advent Conv Bonds 92 0.13 1.45 3.63 1.10 7.45 7.34 (1.98) 4.63

BofA ML U.S. Convertible Yield Alternative 2.59 6.58 3.50 9.45 9.96 (8.77) 2.75

Excess (1.14) (2.94) (2.40) (2.00) (2.62) 6.80 1.88

Victory - Conv Bonds 99 0.14 (0.78) 12.00 2.68 20.13 6.47 (0.20) 13.72

BofA Merrill Lynch US Investment Grade Convertible Bond Index (0.38) 14.84 4.18 20.99 14.23 1.68 15.69

Excess (0.40) (2.84) (1.50) (0.87) (7.76) (1.88) (1.98)





CORE FI - EMERGING MANAGERS

Hillswick 12 0.02 (0.27) (1.00) (1.69) 2.64 2.61 0.61 7.08

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65 0.55 5.97

Excess (0.11) (0.60) (0.08) (0.90) (0.03) 0.06 1.11

Integrity 11 0.01 (0.26) 0.02 (1.54) 3.93

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54

Excess (0.10) 0.41 0.08 0.39

NEW CENTURY 32 0.04 (0.16) 0.13 (1.37) 4.04 2.37 (0.30) 6.51

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65 0.55 5.97

Excess (0.00) 0.53 0.25 0.50 (0.28) (0.85) 0.55

Ramirez Asset 31 0.04 (0.07) 0.87 (1.20) 4.47 3.64 1.12

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65 0.55

Excess 0.09 1.26 0.42 0.93 0.99 0.57

PUGH CAP 37 0.05 (0.14) (0.28) (1.78) 4.12 3.48 0.79 5.86

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65 0.55 5.97

Excess 0.02 0.12 (0.16) 0.58 0.84 0.24 (0.10)

CORE FI - DEVELOPING MANAGERS

TRS-LM CAPITAL 73 0.10 (0.41) (0.91) (2.21) 3.89 3.50

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65

Excess (0.25) (0.51) (0.60) 0.35 0.86

GIA 48 0.07 (0.35) (0.40) (1.68) 4.37 4.24

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65

Excess (0.19) (0.00) (0.07) 0.82 1.59





ECONOMICALLY TARGETED INVESTMENTS

AFL-CIO HOUSING INV TRUST 280 0.39 (0.30) (0.59) (1.58) 3.17 1.94 1.13 6.10

BBG BARC Agg (Dly) (0.16) (0.40) (1.62) 3.54 2.65 0.55 5.97

Excess (0.14) (0.20) 0.04 (0.38) (0.71) 0.58 0.14

ACCESS RBC 150 0.21 0.10 (0.37) (1.37) 2.64 1.61 1.83 6.66

Access RBC Benchmark 0.23 (0.12) (0.79) 1.96 1.52 1.40 5.08

Excess (0.13) (0.25) (0.58) 0.69 0.09 0.43 1.58

CPC CONST FACILITY 10 0.01 0.75 5.43 2.05 6.07 (3.95) 12.90

CPC CONST BENCHMARK 0.97 3.66 1.90 3.34 3.03 2.90

Excess (0.23) 1.78 0.15 2.73 (6.99) 10.00

BOA-PPAR (FNMA) 8 0.01 0.88 (1.09) (1.51) 5.21 4.07 42.03 13.31

FNMA Plus 85bps 0.47 1.04 (0.54) 3.61 2.38 2.50 7.13

Excess 0.41 (2.13) (0.97) 1.60 1.69 39.53 6.19

CCD-PPAR (FNMA) 12 0.02 (0.05) (0.83) (2.19) 5.26 3.71 6.69 25.71

FNMA Plus 85bps 0.47 1.04 (0.54) 3.61 2.38 2.50 7.13

Excess (0.52) (1.86) (1.65) 1.65 1.33 4.20 18.58

CCD-PPAR (GNMA) 5 0.01 (0.73) (2.20) (2.53) 3.10 2.78 5.08 15.37

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (1.22) (2.86) (1.88) 0.57 0.50 3.06 8.72

CFSB-PPAR (GNMA) 2 0.00 (0.76) (2.62) (2.88) 3.83 3.21 5.90 15.34

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (1.24) (3.28) (2.23) 1.30 0.93 3.88 8.69

CPC-PPAR (FNMA) 75 0.10 0.19 (0.39) (2.05) 5.06 6.15 8.96 13.91

FNMA Plus 85bps 0.47 1.04 (0.54) 3.61 2.38 2.50 7.13

Excess (0.27) (1.43) (1.51) 1.45 3.77 6.46 6.78





CPC - PPAR (GNMA) 67 0.09 (1.27) (2.88) (3.04) 2.85 1.83 5.33 11.79

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (1.75) (3.54) (2.39) 0.32 (0.44) 3.31 5.14

LIIF-PPAR (FNMA) 10 0.01 (0.10) (1.35) (2.33) 9.55 5.03 6.29 38.12

FNMA Plus 85bps 0.47 1.04 (0.54) 3.61 2.38 2.50 7.13

Excess (0.56) (2.39) (1.79) 5.94 2.65 3.79 30.99

LIIF-PPAR (GNMA) 2 0.00 0.17 (0.63) (0.93) 2.52 3.88 3.92 9.74

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (0.31) (1.28) (0.28) (0.01) 1.61 1.91 3.09

NCBCI-PPAR (FNMA) 0 0.00 (1.25) (1.43) (2.87) 1.75 3.46 4.97 14.93

FNMA Plus 85bps 0.47 1.04 (0.54) 3.61 2.38 2.50 7.13

Excess (1.72) (2.47) (2.33) (1.86) 1.07 2.47 7.81

NCBCI-PPAR (GNMA) 1 0.00 (0.89) (2.27) (2.69) 3.01 3.51 5.53 16.66

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (1.37) (2.93) (2.04) 0.48 1.23 3.52 10.01

NHS-PPAR (GNMA) 0 0.00 (0.99) (2.40) (2.79) (2.93) 3.58 4.90 13.73

GNMA Plus 65bps 0.49 0.66 (0.65) 2.53 2.28 2.02 6.65

Excess (1.48) (3.06) (2.14) (5.46) 1.30 2.89 7.08

WELLS FARGO-PPAR MTA 2013 (FNMA) 1 0.00

FNMA Plus 85bps

Excess

CASH

TEACHERS' SHORT TERM 733 1.02 0.47 1.50 0.85 1.21 0.78 0.48 0.32

91 DAY TREASURY BILL (DAILY) 0.45 1.36 0.81 0.86 0.33 0.05 0.03

Excess 0.02 0.14 0.04 0.35 0.45 0.43 0.29





Cash Accounts 0 0.00

SECURITY LENDING 1 0.00





Appendix CAlternative Assets Manager PerformanceDetail


Information provided by the New York City Teachers’ Retirement System Consultants

Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value

Investment Multiple ITD IRR%

TOTAL PRIVATE EQUITY 8,643,415,973 6,482,854,535 5,238,243,752 3,838,296,243 1.40 10.0%TOTAL LIQUIDATED 500,402,290 466,299,474 575,451,984 - 1.23TOTAL ACTIVE 8,143,013,683 6,016,555,061 4,662,791,768 3,838,296,243 1.41

TOTAL ACTIVECypress Merchant Banking Partners II, LP 1999 50,000,000 53,983,573 50,623,035 28,517 0.94 -1.2%FdG Capital Partners, L.P. 1999 30,000,000 34,753,380 63,480,447 168,786 1.83 15.2%Lincolnshire Equity Fund II, L.P. 1999 15,000,000 14,446,100 28,031,474 513,829 1.98 24.6%SCP Private Equity Partners II, L.P. 2000 20,000,000 22,196,012 8,429,680 2,404,395 0.49 -8.3%Solera Partners, L.P. 2000 15,000,000 19,904,291 31,226,365 483,223 1.59 7.6%Apollo Investment Fund V, L.P. 2001 30,000,000 46,758,049 92,209,122 492,663 1.98 38.8%RRE Ventures III, L.P. 2001 20,000,000 26,269,971 34,025,652 1,292,452 1.34 5.5%Coller International Partnership IV, L.P. 2002 35,000,000 31,222,054 42,192,831 65,226 1.35 11.5%Landmark Equity Partners XI, L.P. 2002 20,000,000 21,259,356 31,467,979 47,570 1.48 23.3%Thomas McNerney & Partners, L.P. 2002 15,000,000 15,000,000 7,543,579 1,516,066 0.60 -8.4%Ares Corporate Opportunities Fund, L.P. 2003 15,000,000 18,004,666 26,835,382 822,249 1.54 13.4%Blackstone Capital Partners IV, L.P. 2003 30,000,000 30,690,321 75,255,862 1,696,891 2.51 37.8%FS Equity Partners V, L.P. 2003 25,000,000 20,204,332 40,645,843 1,551,617 2.09 15.4%Leeds Weld Equity Partners IV, L.P. 2003 15,000,000 15,356,325 17,201,020 3,019,196 1.32 4.3%Aurora Equity Partners III, L.P. 2004 20,000,000 21,708,976 35,032,609 684,729 1.65 13.7%FdG Capital Partners II, L.P. 2004 35,000,000 37,630,630 42,505,438 2,531,138 1.20 3.5%Lincolnshire Equity Fund III, L.P. 2004 25,000,000 24,861,400 35,333,008 9,736,096 1.81 29.0%Markstone Capital Partners, L.P. 2004 35,000,000 40,766,689 17,074,753 163,685 0.42 -54.9%New York/Fairview Emerging Managers (Tranche A), L.P. 2004 24,000,000 24,646,553 22,723,048 6,160,790 1.17 2.7%Paladin Homeland Security Fund (NY), L.P 2004 15,000,000 16,550,584 6,248,770 116,884 0.38 -14.2%Trilantic Capital Partners III (fka LBMB III), L.P. 2004 30,000,000 23,796,780 35,225,212 661,245 1.51 12.4%Yucaipa American Alliance Fund I, L.P. 2004 55,000,000 80,828,995 69,748,176 21,741,884 1.13 3.2%Blackstone Mezzanine Partners II, L.P. 2005 20,000,000 19,342,116 25,639,056 212,067 1.34 7.8%GI Partners Fund II, L.P. 2005 25,000,000 25,329,874 40,707,249 38,751 1.61 7.7%JP Morgan Fleming (Tranche A), L.P. 2005 31,000,000 30,802,265 28,967,756 12,272,417 1.34 5.8%NB NYC Growth Fund, LLC 2005 30,000,000 26,117,536 27,479,875 - 1.05 0.9%New Mountain Partners II, L.P. 2005 23,225,800 21,482,843 40,969,939 727,728.00 1.94 13.7%Palladium Equity Partners III, L.P. 2005 35,000,000 37,528,587 53,240,046 19,327,156 1.93 15.3%Prism Venture Partners V-A, L.P. 2005 20,000,000 20,931,568 12,961,128 458,436 0.64 -8.9%Psilos Group Partners III, L.P. 2005 25,000,000 26,575,585 12,820,541 16,147,710 1.09 1.5%Snow Phipps Group, L.P. 2005 15,000,000 17,775,294 15,574,032 6,579,840 1.25 5.3%USPF II Institutional Fund, L.P. 2005 35,000,000 46,164,567 38,235,470 20,969,448 1.28 4.4%VSS Communications Partners IV, L.P. 2005 10,000,000 11,373,809 8,350,282 72,251 0.74 -5.1%Aisling Capital II, L.P. 2006 4,500,000 5,099,072 4,499,292 676,950 1.02 0.3%

Alternative Assets Manager Performance Detail

Through March 31, 2018

Teachers' Retirement System of New York City 51Performance Overview as of March 31, 2018




Ampersand 2006, L.P. 2006 15,000,000 15,000,000 24,873,025 12,021,097 2.46 15.6%Apollo Investment Fund VI, L.P. 2006 35,000,000 45,048,207 60,555,386 7,769,211 1.52 8.9%Ares Corporate Opportunities Fund II, L.P. 2006 30,000,000 32,905,774 53,009,913 2,361,223 1.68 13.2%Arsenal Capital Partners II, L.P. 2006 13,500,000 16,421,468 21,831,149 6,534,189 1.73 10.9%Avista Capital Partners, L.P. 2006 30,000,000 39,545,471 47,608,282 2,975,019 1.28 5.1%BDCM Opportunity Fund II, L.P. 2006 25,000,000 36,943,486 57,816,758 28,599,064 2.34 17.7%Blackstone Capital Partners V, L.P. 2006 75,600,000 76,418,410 121,352,340 6,831,530 1.68 8.5%Catterton Partners VI, L.P. 2006 30,000,000 34,300,531 48,511,240 14,054,078 1.82 11.8%CCMP Capital Investors II, L.P. 2006 20,000,000 21,906,216 37,541,088 203,283 1.72 13.5%Cinven Fourth Fund 2006 43,884,974 45,626,561 65,688,490 63,864 1.44 7.3%CLP 2014 (fka Perseus VII) 2006 381,908 22,731,970 8,532,664 - 0.38 -20.7%Fairview Ventures Fund III, L.P. 2006 20,000,000 20,836,759 23,267,811 17,204,862.00 1.94 13.7%First Reserve Fund XI, L.P. 2006 30,000,000 34,241,400 21,730,022 1,602,986 0.68 -9.6%GF Capital Private Equity Fund, L.P. 2006 15,000,000 15,547,039 19,565,381 9,126,954 1.85 13.7%GSC Recovery III, L.P. 2006 10,000,000 11,260,507 13,252,348 81,044 1.18 4.2%InterMedia Partners VII, L.P. 2006 25,000,000 29,198,197 29,591,746 1,821,082 1.08 1.1%Landmark Equity Partners XIII, L.P. 2006 25,000,000 23,654,752 22,578,173 7,498,744 1.27 4.6%MidOcean Partners III, L.P. 2006 40,000,000 46,218,596 67,292,063 24,931,318 2.00 12.8%RRE Ventures IV, L.P. 2006 25,000,000 31,471,371 17,518,102 29,434,881 1.49 6.4%Terra Firma Capital Partners III, L.P. 2006 31,067,910 31,565,548 7,503,396 6,432,641 0.44 -10.6%Thomas, McNerney & Partners II, L.P. 2006 15,000,000 14,867,607 29,024,518 3,404,726 2.18 16.3%Carlyle Partners V, L.P. 2007 50,000,000 50,405,077 78,239,129 10,684,139 1.76 13.4%Co-Investment Partners Europe, L.P. 2007 26,479,975 29,149,336 33,266,148 3,512,842 1.26 4.7%Constellation Ventures III, L.P. 2007 15,000,000 17,145,021 8,397,431 4,729,893 0.77 -4.7%Craton Equity Investors I, L.P. 2007 10,000,000 9,266,168 1,076,950 144,446 0.13 -29.8%FTVentures III, L.P. 2007 14,081,947 14,882,466 21,850,436 5,666,608 1.85 11.3%GSO Capital Opportunities Fund, L.P. 2007 30,000,000 48,291,339 67,124,625 824,721 1.41 17.5%Halyard Capital Fund II, L.P. 2007 15,000,000 12,908,173 15,514,695 3,012,903 1.44 6.7%Montreux Equity Partners IV, L.P. 2007 15,000,000 14,930,359 11,239,048 13,252,264 1.64 9.6%Nautic Partners VI, L.P. 2007 20,000,000 21,441,598 44,451,332 7,381,234 2.42 19.0%New Mountain Partners III, L.P. 2007 35,000,000 35,763,592 45,336,934 24,032,792 1.94 13.5%PCG Clean Energy & Technology Fund East, L.P. 2007 60,000,000 51,863,265 9,342,077 12,844,108 0.43 -13.2%Pegasus Partners IV, L.P. 2007 20,000,000 25,948,639 17,737,171 7,037,222 0.95 -1.0%Pine Brook Capital Partners, L.P. 2007 22,500,000 24,633,664 28,673,816 4,584,269 1.35 8.2%Quaker BioVentures II, L.P. 2007 15,000,000 14,602,775 11,209,683 4,523,415 1.08 1.9%RLJ Equity Partners Fund I, L.P. 2007 15,000,000 15,207,169 16,822,292 11,555,951 1.87 14.2%SCP Vitalife Partners II, L.P. 2007 15,000,000 15,074,774 1,184 9,120,102 0.61 -7.0%StarVest Partners II, L.P. 2007 20,000,000 20,020,676 4,182,594 13,235,822 0.87 -2.3%Trilantic Capital Partners IV L.P. 2007 53,311,339 55,862,852 82,777,860 7,802,090 1.62 14.6%







USPF III Institutional Fund, L.P. 2007 30,000,000 35,493,985 29,985,098 15,985,746 1.30 4.8%Vista Equity Partners Fund III, L.P. 2007 25,000,000 26,711,616 61,638,041 6,867,570 2.56 27.5%Aisling Capital III, L.P. 2008 10,500,000 11,821,540 15,555,988 8,267,984 2.02 24.4%Apollo Investment Fund VII, L.P. 2008 50,000,000 60,075,789 94,015,760 12,074,229 1.77 24.0%Ares Corporate Opportunities Fund III, L.P. 2008 60,000,000 70,158,229 94,671,691 64,368,732 2.27 23.1%Avista Capital Partners II, L.P. 2008 50,000,000 64,629,572 96,269,039 17,910,094 1.77 16.2%Blue Wolf Capital Fund II, L.P. 2008 20,000,000 21,734,323 22,327,827 7,490,609 1.37 7.8%Bridgepoint Europe IV, L.P. 2008 26,807,156 24,402,227 24,759,570 11,412,973 1.48 9.7%Carpenter Community BancFund-A, L.P. 2008 15,000,000 14,677,124 22,200,744 3,199,480 1.73 8.7%First Reserve Fund XII, L.P. 2008 30,000,000 31,911,876 17,020,011 5,831,854 0.72 -8.1%GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 2008 59,373,737 69,188,758 56,502,967 39,274,957 1.38 10.4%GI Partners III, L.P. 2008 30,000,000 32,389,436 46,670,872 4,438,451 1.58 13.2%Landmark Equity Partners XIV, L.P. 2008 50,000,000 48,226,667 47,910,868 14,144,397 1.29 9.2%Lee Equity Partners, L.P. 2008 30,000,000 35,293,165 42,970,110 211,294 1.22 6.3%Leeds Equity Partners V, L.P. 2008 40,000,000 41,492,017 41,131,400 37,050,281 1.88 17.5%Levine Leichtman Capital Partners IV, L.P. 2008 25,000,000 26,569,177 37,549,151 9,612,393 1.78 19.8%New York/Fairview Emerging Managers (Tranche B), L.P. 2008 35,000,000 34,531,206 28,937,795 29,618,524 1.70 14.0%NGN BioMed Opportunity II, L.P. 2008 15,000,000 14,363,866 5,959,657 9,326,044 1.06 1.1%Onex Partners III, L.P. 2008 40,000,000 43,514,012 53,532,117 22,893,299 1.76 14.4%Paladin III (NY City), L.P. 2008 20,000,000 25,024,319 18,927,598 16,367,046 1.41 8.1%Relativity Fund, L.P. 2008 15,000,000 8,181,270 4,055,376 95,922 0.51 -10.8%Riverstone/Carlyle Global Energy & Power Fund IV 2008 32,500,000 34,384,220 27,078,245 15,684,248 1.24 6.0%Yucaipa American Alliance Fund II, L.P. 2008 75,000,000 102,882,362 70,305,991 91,062,565 1.57 10.2%Yucaipa Corporate Initiatives Fund II, L.P. 2008 35,000,000 31,974,104 9,866,113 20,264,245 0.94 -1.0%Lincolnshire Equity Fund IV, L.P. 2009 12,500,000 12,511,864 7,928,419 9,989,177 1.43 9.3%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 30,000,000 30,000,000 33,325,479 15,555,001 1.63 12.9%JP Morgan Fleming (Tranche B), L.P. 2010 10,000,000 10,170,268 5,823,366 8,159,943 1.37 8.5%Trident V, L.P. 2010 35,000,000 40,085,151 26,556,598 34,167,608 1.51 10.8%American Securities Partners VI, L.P. 2011 100,000,000 107,048,770 152,799,926 48,541,807 1.88 22.5%Ampersand 2011, L.P. 2011 17,500,000 17,500,000 20,619,939 20,268,395 2.34 19.9%AXA Secondary Fund V L.P. 2011 160,000,000 84,900,594 115,250,387 17,886,681 1.57 14.5%BC European Capital IX, L.P. 2011 65,693,426 70,695,268 44,298,518 58,335,140 1.45 12.9%Blackstone Capital Partners VI, L.P. 2011 60,000,000 58,608,607 26,841,740 58,947,377 1.46 12.8%EQT VI, L.P. 2011 48,831,080 50,752,087 43,636,614 40,651,986 1.66 15.2%Pegasus Partners V, L.P. 2011 20,789,916 22,971,360 6,888,058 28,034,961 1.52 13.5%Vista Equity Partners IV, L.P. 2011 100,000,000 97,626,592 111,603,608 79,683,158 1.96 19.3%Ares Corporate Opportunities Fund IV, L.P. 2012 105,000,000 108,471,185 59,474,577 96,540,476 1.44 15.1%Green Equity Investors VI, L.P. 2012 100,000,000 107,755,196 53,920,035 101,925,031 1.45 14.7%NYCTRS - 2012 Emerging Manager Program 2012 165,050,000 143,285,990 37,055,028.69 158,425,603 1.36 14.5%







Platinum Equity Capital Partners III, L.P. 2012 115,000,000 108,285,647 112,409,240 81,503,630 1.79 42.5%Trilantic Capital Partners V (North America), L.P. 2012 70,000,000 67,433,219 40,412,357 57,620,642 1.45 18.8%Warburg Pincus Private Equity XI, L.P. 2012 175,000,000 167,550,488 65,568,006 162,495,223 1.36 11.2%Apollo Investment Fund VIII, L.P. 2013 200,000,000 160,390,780 42,372,478 169,557,829 1.32 16.3%Carlyle Partners VI, L.P. 2013 125,000,000 119,239,095 26,677,757 122,511,951 1.25 12.7%Crestview Partners III (Co-Investment B), L.P. 2013 25,000,000 15,326,888 362,203 16,166,755 1.08 4.3%Crestview Partners III, L.P. 2013 75,000,000 28,709,331 480,550 32,862,958 1.16 7.8%Landmark Equity Partners XV, L.P. 2013 113,000,000 74,124,316 38,007,303 52,943,197 1.23 14.0%Landmark Equity Partners XV, L.P. - Side Car 2013 37,000,000 28,682,264 11,165,814 29,544,722 1.42 24.7%ASF VI NYC Co-Invest, L.P. 2014 38,000,000 27,112,780 16,366,970 21,506,971 1.40 14.8%ASF VI, L.P. 2014 112,000,000 69,438,629 24,564,324 70,814,630 1.37 14.2%Carlyle Partners VI, L.P. - Side Car 2014 13,750,000 8,733,885 4,611 9,151,365 1.05 1.9%CVC Capital Partners VI, L.P. 2014 178,157,506 154,257,149 25,118,206 161,275,635 1.21 13.2%Lexington Capital Partners VIII, L.P. 2014 150,000,000 80,746,987 32,347,739 82,173,743 1.42 31.8%Olympus Growth Fund VI, L.P. 2014 100,000,000 70,679,547 23,240,970 69,581,445 1.31 17.6%Vista Equity Partners Fund V, L.P. 2014 125,000,000 126,957,742 28,139,957 163,219,541 1.51 18.8%American Securities Partners VII, L.P. 2015 111,000,000 56,412,251 2,586,832 62,978,239 1.16 N/MASF VII B NYC Co-Invest, L.P. 2015 67,000,000 28,751,476 - 40,280,567 1.40 135.0%ASF VII, L.P. 2015 134,000,000 38,697,182 1,697,909.00 44,771,856 1.20 23.3%Bridgepoint Europe V Co-Invest 2015 25,682,481 19,971,285 - 23,468,992 1.18 N/MBridgepoint Europe V, L.P. 2015 90,543,140 58,584,761 7,924,248.03 63,816,480 1.22 N/MCenterbridge Capital Partners III, L.P. 2015 33,500,000 18,332,794 3,350,405 18,323,771 1.18 12.1%NYCTRS - 2015 Emerging Manager Program 2015 209,950,000 22,902,265 2,003,175.04 25,531,474 1.20 N/MSiris Partners III, L.P. 2015 45,000,000 31,427,800 1,958,503 34,469,034 1.16 11.7%Welsh, Carson, Anderson & Stowe XII, L.P. 2015 110,500,000 45,990,314 10,416,766.00 54,561,949 1.41 20.4%Apax IX USD, L.P. 2016 178,000,000 78,815,083 886,087 83,379,961 1.07 N/MPlatinum Equity Capital Partners IV, L.P. 2016 156,000,000 67,835,003 8,074,905 61,508,694 1.03 N/MVista Equity Partners Fund VI, L.P. 2016 223,000,000 163,986,431 2,218,723.00 176,073,063 1.09 N/MAres Corporate Opportunities Fund V, L.P. 2017 134,000,000 39,220,489 - 37,629,754 0.96 N/MBC European Capital X Metro Co-Investment L.P. 2017 53,810,353 15,249,098 - 15,392,310 1.01 N/MBC European Capital X, L.P. 2017 135,372,129 31,508,977 - 29,999,652 0.95 N/MGreen Equity Investors VII, L.P. 2017 134,000,000 40,984,892 180,155 38,961,364 0.96 N/MKKR Americas Fund XII, L.P. 2017 223,000,000 25,733,456 - 24,718,479 0.96 N/MApollo Investment Fund IX, L.P. 2018 256,000,000 - - - N/A N/MBridgepoint Europe VI Co-Invest 2018 26,341,896 - - - N/A N/MBridgepoint Europe VI, L.P. 2018 105,367,585 - - - N/A N/MCVC Capital Partners VII, L.P. 2018 168,834,610 - - (1,343,417) N/A N/MEQT VIII SCSP 2018 96,124,814 - - - N/A N/MSiris Partners IV, L.P. 2018 71,000,000 - - - N/A N/M




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.

Vintage Year Style Sector Original

Commitment Total

Contributions Total

Distrubutions Market Value Total Value

Multiple Net IRR% TOTAL PRIVATE REAL ESTATE 4,335,116,416 3,300,428,919 1,943,139,613 2,615,345,460 1.40 10.0%

TOTAL PRIVATE REAL ESTATE Colony Realty Partners II 2006 Core Portfolio 20,000,000 18,499,529 6,718,272 - 0.26 -13.3%JP Morgan Strategic Property Fund 2006 Core Portfolio 86,000,000 145,696,355 51,069,773 186,251,921 1.97 8.1%PRISA SA 2006 Core Portfolio 36,000,000 38,793,503 12,938,053 49,434,290 1.61 4.7%Prologis Targeted U.S. Logistics Fund 2006 Core Portfolio 10,000,000 13,615,809 3,854,296 16,693,906 1.51 4.7%RREEF America REIT II 2006 Core Portfolio 36,000,000 47,527,452 22,913,207 50,098,152 1.54 5.1%UBS Trumbull Property Fund 2006 Core Portfolio 106,000,000 157,295,179 42,857,783 197,042,714 1.72 7.0%Heitman HART 2007 Core Portfolio 48,000,000 72,874,722 24,874,722 100,969,854 2.10 8.1%JP Morgan Special Situation Property Fund 2007 Core Portfolio 15,000,000 23,187,454 11,451,921 20,570,428 1.52 4.5%PRISA II 2007 Core Portfolio 63,374,139 67,585,272 18,224,023 92,551,358 1.64 5.7%RREEF America REIT III - 1410 2007 Core Portfolio 15,000,000 15,000,000 8,526,095 - 0.57 -7.5%LaSalle Property Fund 2010 Core Portfolio 50,000,000 50,000,000 15,909,295 70,385,082 1.73 11.3%Almanac Realty Securities VI 2012 Core Portfolio 100,000,000 61,902,278 50,129,056 36,570,224 1.36 14.0%Almanac Realty Securities VI (Sidecar III) 2012 Core Portfolio 35,000,000 11,660,367 6,495,081 12,084,984 1.60 21.9%NYC Asset Investor #2 LLC (Related) 2013 Core Portfolio 145,000,000 139,165,383 19,606,986 194,839,866 1.54 16.0%MetLife Core Property Fund 2014 Core Portfolio 80,000,000 80,000,000 11,300,462 97,510,239 1.36 10.3%Almanac Realty Securities VII 2015 Core Portfolio 65,000,000 42,610,531 9,081,514 41,341,053 1.17 13.8%Almanac Realty Securities VII (Sidecar III) 2015 Core Portfolio 20,000,000 9,483,929 491,740 10,923,055 1.20 18.0%USAA Eagle Real Estate Fund 2015 Core Portfolio 78,000,000 74,196,610 5,033,258 80,675,622 1.17 8.4%Brookfield Premier Real Estate Partners 2016 Core Portfolio 119,000,000 122,947,861 3,947,861 136,597,201 1.15 12.7%Exeter Industrial Core Club Fund II 2016 Core Portfolio 37,000,000 18,352,000 1,558,526 19,598,992 1.14 14.0%Jamestown Premier Property Fund 2016 Core Portfolio 64,961,594 56,580,216 21,752,246 45,315,338 1.20 11.0%NYCRS Artemis Co-Investment 2016 Core Portfolio 70,000,000 38,678,707 21,415,369 27,176,817 1.26 28.7%Carlyle Property Investors 2017 Core Portfolio 119,000,000 120,296,766 1,296,766 121,704,357 N/M N/MLion Industrial Trust - 2007 2017 Core Portfolio 78,000,000 81,426,865 3,426,866 90,365,492 1.16 13.3%Heitman Core Real Estate Debt Income Trust 2018 Core Portfolio 59,000,000 - - - N/A N/AAmerican Value Partners Fund I 2007 Non-Core Portfolio 25,000,000 17,872,806 17,000,730 4,213,890 1.19 3.6%AREA Real Estate Investment Fund V, LP 2006 Non-Core Portfolio 5,000,000 5,000,000 3,213,874 1,777,551 1.00 0.0%Avanath Affordable Housing Fund II 2015 Non-Core Portfolio 10,000,000 9,842,191 237,906 13,259,447 1.37 13.2%Basis Investment Group Real Estate Fund I 2017 Non-Core Portfolio 19,400,000 3,921,397 297,677 3,951,266 N/M N/MBlackRock Carbon Capital III Co-Investments 2009 Non-Core Portfolio 40,000,000 43,757,162 53,189,633 - 1.24 8.9%Blackstone Fund IV 2004 Non-Core Portfolio 25,000,000 31,994,609 40,584,114 4,357,326 1.41 10.2%Blackstone Real Estate Partners Europe III 2008 Non-Core Portfolio 50,000,000 42,678,108 61,687,716 11,135,528 1.71 16.4%Blackstone Real Estate Partners VI 2007 Non-Core Portfolio 50,000,000 54,595,881 102,970,574 5,779,296 1.99 13.4%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 125,000,000 129,286,607 80,864,944 117,982,927 1.59 16.9%Brookfield Strategic Real Estate Partners III 2018 Non-Core Portfolio 193,000,000 - - - N/A N/ACanyon-Johnson Urban 2002 Non-Core Portfolio 15,000,000 13,742,215 16,418,450 - 1.20 11.1%Canyon Johnson Urban Fund II 2005 Non-Core Portfolio 30,000,000 26,966,111 11,923,957 101,708 0.45 -10.5%Canyon Johnson Urban Fund III 2010 Non-Core Portfolio 25,000,000 24,976,013 33,642,984 30,356 1.34 11.9%Capri Urban Investors 2008 Non-Core Portfolio 40,000,000 40,000,000 18,350,614 11,427,264 0.74 -4.4%Carlyle Realty Partners V 2007 Non-Core Portfolio 15,000,000 18,925,163 22,120,345 4,435,212 1.58 8.6%Carlyle Realty Partners VI 2011 Non-Core Portfolio 70,000,000 75,492,160 101,204,863 14,508,347 1.54 21.9%




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.

Vintage Year Style Sector Original

Commitment Total

Contributions Total


Multiple Net IRR%Carlyle Realty Partners VII 2014 Non-Core Portfolio 120,000,000 96,060,733 27,289,805 93,723,935 1.29 14.6%Divco West Fund IV 2014 Non-Core Portfolio 25,000,000 24,276,592 34,813,107 5,137,926 1.65 26.7%Divco West Fund V 2016 Non-Core Portfolio 78,000,000 22,905,780 55,991 23,140,965 1.01 1.6%DRA Growth and Income Fund IX 2017 Non-Core Portfolio 56,000,000 20,675,854 3,996,859 19,464,771 1.14 20.4%DRA Growth and Income Fund IX Co-investment 2017 Non-Core Portfolio 19,000,000 - - - N/A N/ADRA Growth and Income Fund VIII 2014 Non-Core Portfolio 75,000,000 84,561,544 36,652,229 67,789,657 1.24 12.6%European Property Investors Special Opp IV 2015 Non-Core Portfolio 64,826,199 30,428,717 2,759,775 32,404,184 1.16 14.5%Exeter Industrial Value Fund IV 2016 Non-Core Portfolio 34,000,000 6,800,000 - 7,198,109 N/M N/MH/2 Special Opportunities Fund II 2011 Non-Core Portfolio 40,000,000 39,999,999 46,293,238 14,844,667 1.50 14.9%H/2 Special Opportunities Fund III 2014 Non-Core Portfolio 65,000,000 65,000,000 22,756,872 57,814,738 1.23 13.3%H/2 Special Opportunities Fund IV 2016 Non-Core Portfolio 119,000,000 13,903,438 968,067 11,912,239 0.93 -6.8%JPM Urban REN PTY FD 2008 Non-Core Portfolio 16,360,625 4,206,523 4,206,523 - 1.00 0.0%KKR Real Estate Partners Americas II 2018 Non-Core Portfolio 135,380,000 3,460,289 - 2,737,501 N/M N/MKTR 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 190,000,000 178,108,941 175,750,342 68,076,593 1.33 16.5%Metropolitan Workforce Housing Fund 2007 Non-Core Portfolio 10,500,000 10,509,770 12,352,222 416,099 1.21 3.9%NYC Asset Investor # LLC (Vanbarton) 2013 Non-Core Portfolio 60,000,000 66,665,750 12,089,329 73,350,160 1.28 8.9%NYC Asset Investor #3 LLC (Hudson) 2013 Non-Core Portfolio 96,000,000 58,228,759 10,046,388 64,112,995 1.27 12.1%NYCRS-KKR CMBS Retention Partners 2017 Non-Core Portfolio 159,000,000 71,776,112 2,676,339 70,864,688 N/M N/MOCM Real Estate Opportunities Fund IIIA 2003 Non-Core Portfolio 15,000,000 15,000,000 23,027,038 582,900 1.57 9.9%Pramerica Real Estate Capital VI 2016 Non-Core Portfolio 69,690,400 27,494,906 10,149,619 22,360,690 1.27 33.7%PW Real Estate Fund III LP 2016 Non-Core Portfolio 61,623,459 25,038,974 4,873,221 38,076,513 1.72 62.2%Silverpeak Legacy Partners III 2008 Non-Core Portfolio 30,000,000 12,269,804 3,348,492 1,897,986 0.43 -14.5%Stockbridge Real Estate Fund III 2008 Non-Core Portfolio 22,500,000 22,498,458 14,024,794 12,181,456 1.16 2.4%Taconic New York City Investment Fund LP 2012 Non-Core Portfolio 70,000,000 28,954,546 46,945,824 3,277,460 1.73 15.7%The City Investment Fund I 2004 Non-Core Portfolio 120,000,000 118,337,757 119,671,892 183,071 1.01 0.3%Thor Urban Property Fund II 2007 Non-Core Portfolio 12,500,000 16,731,040 17,119,140 5,801,068 1.37 9.1%Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 Non-Core Portfolio 100,000,000 72,402,952 252,300,326 - 3.52 57.5%UrbanAmerica II 2007 Non-Core Portfolio 11,000,000 10,218,031 1,155,798 - 0.11 -25.0%Westbrook Real Estate Fund VIII 2009 Non-Core Portfolio 50,000,000 59,496,663 67,851,469 10,572,516 1.32 11.8%Westbrook Real Estate Fund X Co-Investment 2016 Non-Core Portfolio 47,000,000 16,162,728 1,731,579 15,761,510 1.08 10.6%





Vintage YearOriginal

Commitment Total

Contributions Total


Multiple Net IRR%TOTAL INFRASTRUCTURE 1,155,264,219 541,734,297 109,449,557 573,670,646 1.26 14.0%

TOTAL INFRASTRUCTURE INVESTMENTS Brookfield Infrastructure Fund II, L.P. 2013 140,000,000 107,558,068 21,993,097 127,437,938 1.39 13.2%KKR Global Infrastructure Investors II L.P. 2014 100,000,000 83,225,025 7,641,580 86,370,913 1.13 11.6%IFM Global Infrastructure Fund 2014 140,000,000 169,758,593 29,758,593 200,222,801 1.35 13.3%Global Energy & Power Infrastructure Fund II 2014 90,000,000 55,482,072 40,914,183 40,805,999 1.47 47.9%Global Infrastructure Partners III-A/B, L.P. 2016 139,000,000 55,012,674 1,981,632 50,027,856 0.95 -6.9%Brookfield Infrastructure Fund III, L.P. 2016 119,000,000 19,608,369 2,278,541 21,357,807 NM NMActis Energy 4 2016 72,600,000 21,515,426 3,777 20,669,000 NM NMNYCRS EIG Energy Partners, L.P. 2017 64,710,000 3,107,361 - 3,151,071 NM NMEQT Infrastructure III (No.2) SCSp 2017 66,364,121 21,789,733 2,639,560 20,347,060 NM NMAxium Infrastructure North America 2017 67,410,098 221,369 - 4,771 NM NMASF VII Infrastructure L.P. 2017 65,000,000 4,455,606 2,238,593 3,275,431 NM NMNYCRS EIG Energy Partners Co-Investment, L.P. 2018 16,180,000 - - - NM NMKKR Global Infrastructure Investors III L.P. 2018 75,000,000 - - - NM NM




Information provided by Alpha FrontierAbove data is not final and subject to change





Appendix DFootnotes


•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



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 9 - 14 - Portfolio Asset Allocation

• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset Classes is necessary.

Pages 15 - 17 - 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


Teachers' Retirement System of New York City 61Performance Overview as of June 30, 201809/06/2018 12:55:19 PM

The indexes and most recent policy weights are as follows: U.S. Equity: Russell 3000 * 32.65%

International Developed (EAFE) Markets: MSCI World ex USA IMI Net * 11.77%

Emerging Markets: FTSE Custom NYC Teachers Emerging Markets * 8.98%

International Emerging Managers FoF: NYC Blended Custom Benchmark for FoF * 0.51%

REITs: Dow Jones Real Estate Securities * 0.00%

Private Equity: Russell 3000 + 300 b.p. per annum * 5.35%

Private Real Estate – Core: NFI - ODCE Net * 2.36%

Private Real Estate – Non Core: NFI - ODCE Net + 200bps * 1.29%

Infrastructure: CPI + 4% * 0.84%

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+ * 10.84%

Core FI-Developing Managers: BBG Barc Agg * 0.00%

Core FI-Emerging Managers: BBG Barc Agg * 0.00%

Mortgage: FTSE Mortgage Index * 4.31%

ETI: ETI Custom Benchmark * 0.87%

Investment Grade Credit: NYC – Investment Grade Credit * 5.17%

High Yield: FTSE BB&B * 6.23%

Glossary of Terms



Bank Loans: Credit Suisse Leveraged Loan * 2.00%

TIPS: BBG BARC Gbl Inf-Lk: US TIPS (Dly) * 4.29%

Convertible Bonds: BofAML All Convertibles Ex Mandatory * 0.00%

Opportunistic Fixed: OFI - JPMGHY / CSFB 50/50 Blend Plus 300 b.p. per annum * 2.55%

Page 18 – 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



Documents

Teachers' Retirement System of New York City Performance ... · x TIPS - $3.1 Billion, 4% of Fund: broadTheU.S. TIPS market returned 0.77% during the secondquarter of 2018. The composite