Boston Retirement System August Flash Report (Gross)

September, 2016

Mike ManningMike SullivanWill Forde

2009 2010 2011 2012 2013 2014 2015 Q1 Q2 July Aug YTD

Barclays US STRIPS 20+ Yr -36.0% 10.9% 58.5% 3.0% -21.0% 46.4% -3.7% 11.4% 9.6% 3.9% -1.1% 25.3%

Barclays US Long Credit 16.8% 10.7% 17.1% 12.7% -6.6% 16.4% -4.6% 6.8% 6.7% 2.8% 0.6% 17.8%

Barclays US Govt/Credit Long 1.9% 10.2% 22.5% 8.8% -8.8% 19.3% -3.3% 7.3% 6.5% 2.6% 0.0% 17.2%

JPM GBI-EM Global Div 22.0% 15.7% -1.8% 16.8% -9.0% -5.7% -14.9% 11.0% 2.7% 0.6% 0.0% 14.8%

MSCI EM 78.5% 18.9% -18.4% 18.2% -2.6% -2.2% -14.9% 5.7% 0.7% 5.0% 2.5% 14.5%

Barclays US Corporate HY 58.2% 15.1% 5.0% 15.8% 7.4% 2.5% -4.5% 3.4% 5.5% 2.7% 2.1% 14.3%

JPM EMBI Global Diversified 29.8% 12.2% 7.3% 17.4% -5.3% 7.4% 1.2% 5.0% 5.0% 1.8% 1.8% 14.3%

Alerian MLP 76.4% 35.9% 13.9% 4.8% 27.6% 4.8% -32.6% -4.2% 19.7% 0.6% -1.3% 13.8%

FTSE NAREIT Equity REITs 28.0% 28.0% 8.3% 18.1% 2.5% 30.1% 3.2% 6.0% 7.0% 4.2% -3.7% 13.8%

Citi WGBI 2.6% 5.2% 6.4% 1.6% -4.0% -0.5% -3.6% 7.1% 3.4% 0.5% -0.9% 10.4%

Russell 2500 34.4% 26.7% -2.5% 17.9% 36.8% 7.1% -2.9% 0.4% 3.6% 5.2% 0.8% 10.3%

Russell 2000 27.2% 26.9% -4.2% 16.3% 38.8% 4.9% -4.4% -1.5% 3.8% 6.0% 1.8% 10.2%

Russell 1000 28.4% 16.1% 1.5% 16.4% 33.1% 13.2% 0.9% 1.2% 2.5% 3.8% 0.1% 7.8%

S&P 500 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 1.3% 2.5% 3.7% 0.1% 7.8%

Credit Suisse Leveraged Loan 44.9% 10.0% 1.8% 9.4% 6.2% 2.1% -0.4% 1.3% 2.9% 1.4% 0.8% 6.5%

MSCI ACWI 34.6% 12.7% -7.3% 16.1% 22.8% 4.2% -2.4% 0.2% 1.0% 4.3% 0.3% 5.9%

Barclays US Agg Bond 5.9% 6.5% 7.8% 4.2% -2.0% 6.0% 0.5% 3.0% 2.2% 0.6% -0.1% 5.9%

Bloomberg Commodity 18.9% 16.8% -13.3% -1.1% -9.5% -17.0% -24.7% 0.4% 12.8% -5.1% -1.8% 5.6%

Barclays Municipal 12.9% 2.4% 10.7% 6.8% -2.6% 9.1% 3.3% 1.7% 2.6% 0.1% 0.1% 4.5%

Barclays US Agg Interm 6.5% 6.1% 6.0% 3.6% -1.0% 4.1% 1.2% 2.3% 1.4% 0.3% -0.1% 3.9%

BC US Govt/Credit 1-3 Yr 3.8% 2.8% 1.6% 1.3% 0.6% 0.8% 0.7% 1.0% 0.7% 0.0% -0.1% 1.6%

MSCI EAFE 31.8% 7.8% -12.1% 17.3% 22.8% -4.9% -0.8% -3.0% -1.5% 5.1% 0.1% 0.5%

Credit Suisse Hedge Fund 18.6% 10.9% -2.5% 7.7% 9.7% 4.1% -0.7% -2.2% 0.6% -0.1% 1.1% -0.5%

Index Performance Summary as of 08/31/2016

Source: Morningstar Direct

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August 31, 2016

Note: Returns are gross of manager fees except for hedge funds and private equity which are net of fees.

Boston Retirement SystemTotal Fund Performance Detail (Gross)

Market Value($)

% ofPortfolio Policy % 1 Mo

(%)3 Mo

(%)

FiscalYTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Return(%) Since

_

Total Composite* 4,139,948,869 100.0 100.0 0.7 3.3 5.3 6.0 6.1 7.4 5.6 7.7 Aug-94Allocation Index 0.5 3.9 6.1 7.0 6.1 7.1 5.1 -- Aug-94Policy Index 0.6 3.9 6.9 7.6 6.5 7.3 5.4 -- Aug-94PRIT Core Fund/Teachers* 1,451,313,936 35.1 0.6 4.3 7.3 9.1 8.5 8.8 -- 9.8 Jul-10Total Equity 2,165,114,540 52.3 52.0 0.9 4.5 5.7 6.6 7.0 9.6 -- --

Large Cap Comp 824,081,703 19.9 19.0 0.5 4.3 7.2 10.9 12.3 15.5 8.2 8.3 Dec-04Rhumbline Advisors 106,339,939 2.6 0.1 4.1 7.7 12.4 12.2 14.6 7.6 9.4 Aug-94DE Shaw Core Enhanced 187,018,924 4.5 0.1 4.0 8.4 12.7 12.6 15.4 -- 14.1 Oct-09JP Morgan 130/30 150,272,297 3.6 1.0 3.4 4.9 8.2 12.6 15.6 -- 13.8 Oct-09

S&P 500 0.1 4.1 7.8 12.6 12.3 14.7 7.5 13.3 Oct-09DE Shaw 130/30 162,131,081 3.9 0.2 4.4 9.7 13.4 13.8 16.7 -- 15.5 Oct-09

Russell 1000 0.1 4.2 7.8 11.7 12.0 14.6 7.6 13.4 Oct-09J&W Seligman 99,871,100 2.4 1.3 5.3 8.4 10.4 10.2 15.6 8.8 9.3 Jan-97

Russell 1000 Value 0.8 4.6 10.2 12.9 10.7 14.4 6.1 8.1 Jan-97Zevenbergen Capital 71,084,183 1.7 1.5 7.4 -1.2 0.6 8.1 13.6 10.9 10.9 Aug-94Intech 47,364,180 1.1 -0.5 3.8 7.4 11.4 13.7 14.8 -- 8.1 Oct-06

Russell 1000 Growth -0.5 3.8 5.6 10.5 13.3 14.7 9.1 8.9 Oct-06Small Cap Comp 263,590,756 6.4 6.0 1.5 4.7 7.7 4.6 7.8 13.2 9.1 8.9 Dec-04

Westfield Capital Management 105,417,916 2.5 1.4 4.3 3.5 0.9 8.0 12.5 9.9 10.3 Sep-03Russell 2000 Growth 1.1 7.2 6.0 3.6 8.5 13.0 8.2 8.8 Sep-03

Bernzott 79,439,049 1.9 2.6 4.9 12.8 -- -- -- -- 5.8 Nov-15Russell 2000 Value 2.5 8.3 14.6 13.8 8.5 12.6 5.8 11.6 Nov-15

Aristotle 78,733,760 1.9 0.5 4.9 8.6 -- -- -- -- 6.6 Nov-15Russell 2000 1.8 7.8 10.2 8.6 8.5 12.9 7.0 8.1 Nov-15

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August 31, 2016

- Perella Weinberg final as of 06/30/2016.

Note: Returns are gross of manager fees except for hedge funds and private equity which are net of fees.

Boston Retirement SystemTotal Fund Performance Detail (Gross)

Market Value($)

% ofPortfolio Policy % 1 Mo

(%)3 Mo

(%)

FiscalYTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Return(%) Since

_

Total Non-US Equity 1,077,442,080 26.0 27.0 1.1 4.6 4.2 3.8 2.7 3.7 2.7 6.0 Aug-94International Equity 700,584,643 16.9 19.0 0.5 1.6 -1.0 -1.4 2.3 5.1 -- 4.8 Dec-10

Todd 214,459,530 5.2 0.3 -0.2 -- -- -- -- -- 0.6 Apr-16MSCI ACWI ex USA Gross 0.7 4.1 4.9 3.4 2.5 3.8 2.5 5.2 Apr-16

Panagora Asset Management 266,504,777 6.4 0.6 1.3 0.6 2.6 4.9 7.6 3.7 5.7 Aug-94Fisher 219,050,825 5.3 0.4 3.7 1.4 2.1 3.3 5.6 3.4 3.7 Feb-06

MSCI EAFE 0.1 1.6 0.5 -0.1 2.5 5.0 1.7 2.3 Feb-06Emerging Markets 376,857,437 9.1 8.0 2.3 10.8 15.1 14.8 3.5 0.8 -- 0.9 Dec-10

Vontobel 88,537,934 2.1 1.6 7.8 12.8 13.9 5.9 4.1 9.7 11.1 Oct-05Polunin 88,112,271 2.1 2.2 12.9 18.7 17.9 -- -- -- 3.9 Oct-13SSgA Emerging Markets 108,918,540 2.6 1.6 11.8 13.6 9.6 -- -- -- -3.2 Oct-13

MSCI Emerging Markets 2.5 11.9 14.5 11.8 1.1 -0.4 3.9 -1.0 Oct-13Lazard 91,288,693 2.2 4.0 10.7 15.7 19.2 4.0 -- -- 2.2 Oct-13

MSCI Emerging Markets Small Cap 1.8 8.9 7.7 11.2 3.0 0.9 6.2 0.9 Oct-13Total Fixed Income 1,006,040,831 24.3 24.0

Core Fixed Income 455,469,244 11.0 11.0 0.1 2.3 5.2 5.1 4.4 3.8 5.5 5.2 Dec-04Wells Asset Management 158,497,839 3.8 0.0 2.5 6.3 6.4 5.0 4.3 6.2 5.9 May-05BlackRock SIO 152,819,765 3.7 0.3 2.0 2.6 2.0 -- -- -- 1.4 Aug-15IR&M 144,151,640 3.5 0.0 2.4 6.7 6.7 -- -- -- 6.6 Jul-15

Barclays Aggregate -0.1 2.3 5.9 6.0 4.4 3.2 4.9 5.6 Jul-15Value Added Fixed Income 550,571,587 13.3 13.0 0.7 3.0 8.8 6.3 2.2 2.9 -- --

High Yield Income 368,053,173 8.9 9.0 0.9 3.0 7.9 5.6 4.7 6.8 7.3 7.2 Jan-06Crescent Capital 122,536,569 3.0 1.4 3.8 8.1 7.3 -- -- -- 5.8 May-15

50/50 S&P/LSTA Leveraged Loan/BC High Yield 1.4 4.0 10.5 6.5 4.3 6.3 6.2 3.1 May-15DDJ 126,098,001 3.0 2.5 5.8 12.3 8.1 -- -- -- 2.8 May-15

75% BC HY 25% S&P Leverage Loan 1.8 4.9 -- -- -- -- -- -- May-15Loomis Sayles Bank Loan 119,758,118 2.9 0.4 1.4 5.4 3.6 3.4 5.2 -- 4.8 Sep-08

S&P/LSTA Leveraged Loan Index 0.8 2.2 6.8 3.9 3.2 5.1 4.6 5.4 Sep-08Credit Suisse Leveraged Loan Index 0.8 2.2 6.5 3.7 3.4 5.3 4.3 5.2 Sep-08

Perella Weinberg* 1,744,488 0.0 0.0 -0.8 -10.4 -17.5 3.2 8.0 -- 12.7 Jul-10HFRI RV: Fixed Income-Asset Backed 0.8 2.3 2.0 1.3 5.5 7.7 8.0 8.3 Jul-10

- DDJ is estimated as of 08/31/2016.

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August 31, 2016

- Perella Weinberg, PE & RE report on a quarterly basis; Perella Weinberg final as of 06/30/2016.- Real Estate and Private Equity valuations are as of 03/31/2016.- Mesirow Absolute Return Class J market value is estimated. - Entrust market value and return is preliminary.

Note: Returns are gross of manager fees except for hedge funds and private equity which are net of fees.

Boston Retirement SystemTotal Fund Performance Detail (Gross)

Market Value($)

% ofPortfolio Policy % 1 Mo

(%)3 Mo

(%)

FiscalYTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Return(%) Since

_

Emerging Market Debt 159,583,351 3.9 4.0 0.4 2.6 9.8 6.0 -3.3 -- -- -2.4 Nov-11Loomis Sayles Emerging Debt & Currencies 159,583,351 3.9 0.4 2.6 9.8 6.0 -3.3 -- -- -2.4 Nov-11

50% JPM GBI-EM / 50% JPM EMBI 0.9 7.2 15.3 12.5 2.8 2.1 5.9 2.8 Nov-11Global Fixed Income 22,935,063 0.6 0.0 -0.1 4.1 11.0 10.0 3.2 1.6 5.2 5.6 Jul-95

Loomis Sayles 22,935,063 0.6 -0.1 4.1 11.0 10.0 3.2 1.6 5.2 6.4 Nov-99Citi WGBI -0.9 3.3 10.4 9.8 2.2 0.2 4.0 4.7 Nov-99

Total Alternative Assets 955,210,139 23.1 24.0 Hedge Fund Composite 321,916,024 7.8 7.0 1.2 1.8 -0.6 -4.1 1.5 3.2 2.4 3.4 Nov-04

Mesirow Absolute Return Class J 60,180,816 1.5 2.2 2.2 -3.4 -9.0 1.1 2.8 2.3 3.2 Nov-04Federal Street Offshore LTD 844,765 0.0 GAM 52,400,348 1.3 0.6 2.0 -1.0 -2.9 2.1 4.1 -- 0.5 Nov-07Permal 71,518,442 1.7 0.5 2.2 2.2 -1.1 2.0 3.7 -- 4.1 Nov-07Entrust 64,660,574 1.6 1.2 0.7 -1.0 -6.1 -0.4 -- -- 1.7 Apr-12Grosvenor 72,311,079 1.7 1.5 1.9 -0.1 -1.6 3.0 -- -- 3.4 Jul-13

HFRI Fund of Funds Composite Index 0.5 1.6 -0.6 -1.7 2.5 2.5 1.7 2.5 Jul-13Real Estate Composite 416,580,858 10.1 10.0 0.0 2.0 5.5 13.1 13.0 12.5 4.4 --Private Equity 216,713,257 5.2 7.0 0.0 -1.4 -1.5 0.7 6.7 6.3 7.0 --

Cash 13,583,360 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.0 1.4 Oct-04

4

August 31, 2016

PE/RE SummaryQuarter Ending March 31, 2016

Target Weight Weight inFund

CumulativeDistribution

ContributedCapital QTR Last Year Valuation

_

7.0% 5.4% Private Equity IRR $459,959,631 $509,276,348 0.7% $216,713,25710.0% 10.4% Real Estate IRR

Committed Capital

$594,020,327 $716,406,461 2.0% 13.1% $416,580,858

Boston Retirement System Total Fund Performance Detail

$656,505,334$788,646,905

-1.4%

5