COMMON INVESTMENT MEETING – PUBLIC SESSION · • Designing, implementing, evaluating, and...

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

This document was developed by the New York City Comptroller’s Office Bureau of Asset Management (“BAM”). The information contained in this Executive Appendix is confidential, may not be distributed to unauthorized persons, and may contain material non-public information pertaining to certain investment activities and portfolio companies. Federal, state, and/or foreign securities laws prohibit any person who has received such information from purchasing or selling such securities based on material non-public information or from communicating such information to any other person under circumstances in which it is reasonably foreseeable that such person is likely to purchase or sell such securities.

June 17, 2020

COMMON INVESTMENT MEETING – PUBLIC SESSION

GRANT THORNTONIntroduction of New Auditor

Fiscal 2020 Audit Communications

TRS, NYCERS, Police, Fire, BERS

June 2020

6© 2020 Grant Thornton LLP | All rights reserved | U.S. member firm of Grant Thornton International Ltd

Engagement Team

© 2020 Grant Thornton LLP | All rights reserved | U.S. member firm of Grant Thornton International Ltd 7

An integrated team

• We value collaboration as a powerful advantage in creating cutting edge, innovative solutions and will bring a multi-disciplinary point of view to this engagement, with our partners, managers and staff work in cross-functional teams.

• The teams for TRS, NYCERS, Police, Fire and BERS include employee benefit plan specialists, supported by information technology,actuarial and financial services/valuation specialists, as well as the government audit team.

• We’ll be working directly with our M/WBE subcontractors who are well-trained in general and also quite knowledgeable with our audit methodology and related software. Under our direct supervision, they will be assigned to audit areas that complement their level of experience, and will be working side-by-side with our personnel on each of the retirement systems teams.


Our Responsibilities We are responsible for:

• Conducting an audit under US GAAS of the financial statements, as prepared by management • Forming and expressing an opinion about whether the financial statements are presented fairly, in all material respects, in accordance with US

GAAP• Reading other information in the Comprehensive Annual Financial Report (CAFR), such as Management's Discussion and Analysis (MD&A)

and other Required Supplementary Information (RSI) and assessing whether it is materially consistent with the financial statements• Communicating material weaknesses and/or significant deficiencies in internal control to you in a timely fashion; we do not design our audit for

this purpose

An audit provides reasonable, not absolute, assurance that the financial statements are free from material misstatements due to fraud or error. It does not relieve you or management of your respective responsibilities. Our responsibilities are described further in our contract and engagement letter.


Those Charged With Governance and Management Responsibilities

Management is responsible for: • Preparing and fairly presenting all of the respective financial

statements in accordance with US GAAP, including supplementary information

• Designing, implementing, evaluating, and maintaining effective internal control over financial reporting

• Communicating significant accounting and internal control matters to those charged with governance

• Providing us with unrestricted access to all persons and all information relevant to our audit

• Informing us about fraud, abuse, illegal acts, significant deficiencies, and material weaknesses

• Adjusting the financial statements, including disclosures, to correct material misstatements

• Informing us of significant subsequent events• Providing us with certain written representations

Those Charged with Governance are responsible for: • Discussing significant accounting and internal control matters

with management• Informing us about fraud or suspected fraud, including your

views about fraud risks• Informing us about other matters that are relevant to our audit,

such as:- Objectives and strategies and related business risks that

may result in heightened risks of material misstatement- Matters warranting particular audit attention- Significant communications with/from regulators- Matters related to the effectiveness of internal control and

your oversight responsibilities- Your views regarding our current communications and your

actions regarding previous communications


Independent auditors' reports to be issued Retirement Systems

• Opinions on the basic financial statements of:• New York City Employees’ Retirement System (NYCERS)• Teachers’ Retirement System of The City of New York (TRS)• New York City Board of Education Retirement System (BERS)• New York City Police Pension Funds (POLICE)• New York City Fire Pension Funds (FIRE) • The New York City Other Postemployment Benefits Plan (OPEB)

• Opinions on the allocation schedules required by GASB 67 (NYCERS, TRS, BERS) and GASB 74 (OPEB)• Agreed Upon Procedures report on electronic inspection and count of securities on hand as of June 30th


Audit Timeline & ScopeAudit planning May/June 2020IT procedures May – August 2020Preliminary financial statement audit procedures July/August 2020Final financial statement audit procedures August – October 2020

Status meetings with management:NYCERS Weekly on ThursdaysTRS Weekly on MondaysBERS Weekly on WednesdaysPOLICE Weekly on FridaysFIRE Weekly on Tuesdays

Financial statement closing meeting with management October 2020Audit Committee meetings for Citywide CAFR October 2020Presentation to the TRS, NYCERS, Police, Fire & BERS Board

of Trustees November 2020Issuance of respective CAFRs December 2020


Areas of FocusArea of focus Procedures

Contributions (TDA) • Test the completeness of the population of member contributions• Select a sample of members and determine eligibility to contribute to the TDA and whether amounts

were appropriately calculated and whether member contributions were appropriately withheld and remitted in accordance with Plan provisions

Net Pension Liability/OPEB liability • Test the completeness and accuracy of the census data • Assess the reasonableness of actuarial assumptions and inputs used in the calculation of the net

pension liability (Expected rate of return, Discount rate, Mortality)

Benefit payments • Test the completeness of the population of benefit payments• Select a sample of benefit payments and review supporting calculations and documentation that benefit

payments were appropriately authorized and that appropriate amounts were distributed in accordance with Plan provisions


Areas of Focus (cont'd)Area of focus Procedures

Valuation of investments • Test reasonableness of investment-related income, including net appreciation/(depreciation) in fair values• Confirm investment positions• Evaluate reasonableness of fair value disclosures

Other Areas of Audit Focus:

• Information technology general controls• Adequacy of disclosures• Adoption of new accounting pronouncements• Accuracy of eligible compensation•Previously reported internal control comments

“Grant Thornton” refers to Grant Thornton LLP, the U.S. member firm of Grant Thornton International Ltd (GTIL), and/or refers to the brand under which the independent network of GTIL member firms provide services to their clients, as the context requires. GTIL and each of its member firms are not a worldwide partnership and are not liable for one another’s acts or omissions. In the United States, visit grantthornton.com for details. © 2020 Grant Thornton LLP | All rights reserved | U.S. member firm of Grant Thornton International Ltd

This communication is intended solely for the information and use of management and those charged with governance of TRS, NYCERS, Police, Fire and BERS of The City of New York and is not intended to be and should not be used by anyone other than these specified parties.

MARKETS UPDATE

16

Market Returns: Q1-2020

Source: State Street

*Average of consultant long-term arithmetic expected market returns, as of 2019

Asset Class Index Q1-2020 1 Year 3 Year 5 Year Expected*

Equities - U.S. Russell 3000 -20.90% -9.13% 4.00% 5.77% 5.80%

Equities - Developed Intl MSCI World ex USA IMI Net

-24.00% -15.48% -2.29% -0.62% 6.80%

Equities - Emerging Intl MSCI EMERGING MARKETS

-23.60% -17.69% -1.62% -0.37% 8.30%

Debt - US Govt Long Duration

FTSE Treasury 10+ 20.62% 32.36% 13.34% 7.28% 2.65%

Debt - US Government NYC Treas/Agency +5 13.78% 21.52% 9.13% 5.43% 2.60%Debt - Investment Grade NYC IG Credit -3.01% 5.02% 4.11% 3.28% 3.60%Debt - High Yield FTSE BB & B -12.40% -6.51% 0.96% 2.58% 4.80%

Sheet1

Asset ClassIndexQ1-20201 Year3 Year5 YearExpected*

Equities - U.S.Russell 3000-20.90%-9.13%4.00%5.77%5.80%

Equities - Developed IntlMSCI World ex USA IMI Net-24.00%-15.48%-2.29%-0.62%6.80%

Equities - Emerging IntlMSCI EMERGING MARKETS-23.60%-17.69%-1.62%-0.37%8.30%

Debt - US Govt Long DurationFTSE Treasury 10+20.62%32.36%13.34%7.28%2.65%

Debt - US GovernmentNYC Treas/Agency +513.78%21.52%9.13%5.43%2.60%

Debt - Investment GradeNYC IG Credit-3.01%5.02%4.11%3.28%3.60%

Debt - High YieldFTSE BB & B-12.40%-6.51%0.96%2.58%4.80%

US GDP Forecast (03/22/20)

Jan Feb March April

Total Employment

214 K 230 K -870 K -20.5 MM

Unemployment rate

3.6 % 3.5 % 4.4 % 14.7 %

Market Returns: Q1 – 2020

17

• Historic economic collapse and historic policy responseEconomic collapse – governments issued work-from-home orders and social distancing guidelines in attempt to stop spreading of COVID -19, resulting in historic economic collapse and sharp declines in employment

Source: GSAM

Employment Data

Source: Bureau of Labor Statistics

US Policy response - Monetary Policy• Fed lowered rates by 150bp by mid-March• Fed announced unlimited QE, buying $2T of USTreasuries at

end of Q1- Fiscal Policy:• Three fiscal packages, with CARES act totaling $2.2TInternational Policy response• Similar rate cuts and massive fiscal stimulus programs

globally, both Developed and Emerging countries.

Market Returns: Q1 – 2020

18

• COVID-19, current containment and potential second wave; vaccine development

• Pace of economic recovery• US – China relations• US interest rates• US Equity market valuations

19

Global Macro Issues

• Number of Vaccines by Country

20

Global Macro Issues

Pace of Economic Recovery• NBER declared recession started in March, ending 128 months of economic expansion• Pace of recovery widely debated

21

Global Macro Issues

US Interest Rates• FOMC expected to keep policy rate at zero

through 2022; “whatever we can do for as long as it takes” - Fed Chair Jay Powell, June 10th, 2020

• Path of long maturity rates uncertain, given massive increase in Federal deficit

Global Macro Issues

22

23

Global Macro IssuesUS Equity Valuations• Equity recovery from March lows driven by Fed actions, fiscal stimulus, deceleration of COVID

trends, reopening of economy and optimism for a vaccine• US Equity valuations high using historical analysis5-Year S&P 500 Price Returns from Each Valuation Decile1 – As of May

31, 2020

13%

11%

9%

8%

7%7% 7% 7%

4%

0.2%0%

25%

50%

75%

100%

0%

2%

4%

6%

8%

10%

12%

14%

1 2 3 4 5 6 7 8 9 10

%ann

.

5-YearAnnualized Price Return% Observations with Positive Returns (RHS)

Less Expensive More ExpensiveValuation

S+P 500 forward Price-Earnings Ratio

Source: Goldman Sachs

• Q1 Portfolio Rebalancing Activity

24

Q1 - Asset Allocation Review

25

Q1 – Asset Allocation Review - Growth


Relative Mix to Adjusted New Policy Weights

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management


Q1 – Asset Allocation Review – Inflation ProtectionRelative Mix to Adjusted New Policy Weights

27

Q1 – Asset Allocation Review - Deflation Protection


Relative Mix to Adjusted New Policy Weights


28

Q1- Asset Allocation Review

Source: State StreetOFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

TRS NYCERS Police Fire BERS

Previous Duration Target

11.93 8.63 12.24 12.15 8.56

New Duration Target

7.94 5.69 12.82 8.27 9.11

Duration as of 12/31/19

10.24 8.62 10.69 10.61 8.67

Duration as of 03/31/19

8.77 7.19 11.48 9.15 9.13

• Core Bond Portfolio Duration, Actual Vs. Target (as of 03/31/2020)

QUESTIONS?

If you would like to ask a question

When you’re done, hit mute again

PERFORMANCE REPORTING1st Quarter 2020

31

NYC Retirement Systems AUM (% , in millions)



$194,527m Total AUM for all 5 Systems as of March 31, 2020

38%, 73,653

32%, 62,943

20%, 38,043

7%, 13,746

3%, 6,141

TRS

NYCERS

POLICE

FIRE

BERS

Assets (in millions)

TRS

NYCERS

Police

Fire

BERS

Net of mgr. fees in public asset classes are recorded on an accrual basis. Private markets data is reported on a lagged basis.

NYC Pension SystemPortfolio Std

Dev - 1 yr. 3 Month Fiscal YTDOne Year Trailing

Three Year Trailing

Five Year Trailing

NYCERS 10.80 -11.32% -5.84% -2.63% 4.08% 4.71%

BERS 10.78 -10.65% -4.85% -1.66% 5.19% 5.40%

TRS 10.26 -10.50% -4.91% -1.51% 4.44% 4.77%

POLICE 10.02 -10.08% -4.69% -1.52% 4.72% 5.09%

FIRE 9.97 -10.01% -4.67% -1.43% 4.78% 5.01%

Public Mkt Equiv 65/35 -13.35% -7.39% -3.90% 3.31% 3.78%

Median Fund - TUCS -10.00% -4.89% -1.98% 4.65% 4.96%

32

Total NYC Pension Fund Net Performance as of 03/31/2020


Sheet1

NYC Pension SystemPortfolio Std Dev - 1 yr.3 MonthFiscal YTDOne Year Trailing Three Year Trailing Five Year Trailing

NYCERS10.80-11.32%-5.84%-2.63%4.08%4.71%

BERS10.78-10.65%-4.85%-1.66%5.19%5.40%

TRS10.26-10.50%-4.91%-1.51%4.44%4.77%

POLICE10.02-10.08%-4.69%-1.52%4.72%5.09%

FIRE9.97-10.01%-4.67%-1.43%4.78%5.01%

Public Mkt Equiv 65/35-13.35%-7.39%-3.90%3.31%3.78%

Median Fund - TUCS-10.00%-4.89%-1.98%4.65%4.96%

33

Quarter to Date Return as of 03/31/2020 – Total Portfolio

(1,050) (1,082)

32

(1,132) (1,153)

21

(1,008)(1,070)

62

(1,001)(1,073)

72

(1,065)(1,129)

64

-1300

-1100

-900

-700

-500

-300

-100

100

300

500

700

900

1100

1300

QTD Portfolio QTD Benchmark QTD Excess

bps

TRS

NYCERS

Police

Fire

BERS

Basis Points of Excess Return (SSB T, N, p.14; F p. 16; P p.17; B p.20)


521 Bps Assumed Rate of Return (7%)

34

Quarter to Date as of 03/31/2020 Excess Return – Total Portfolio

32 15 17 21 41

(20)

62 31 31

72 26 46

64 38 26

-500

-300

-100

100

300

500

QTD Total Excess Return QTD Asset Allocation QTD Manager Value Added

bps

TRS

NYCERS

Police

Fire

BERS


Basis Points of Excess Return (SSB T, N, p.14; F p. 16; P p.17; B p.20)


35

Value Added – Total Domestic Equity

30 17 27

-112-146

-95-87-133

-85-77-133

-73

33 1846

-500

-400

-300

-200

-100

0

100

200

300

400

500

QTD FYTD 3 Year Trailing

TRS: 25.92%NYCERS: 26.97%POLICE: 28.51%FIRE: 26.72%BERS: 29.49%


Weights as of03/31/2020

bps

Basis Points of Excess Return (SSB T, N p.30; F p.32; P p.33; B p.36)


36

Value Added – Total World Ex-USA

140

229 206

104163 174

207

278224

181242 223248

271

341

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps



37

Value Added – Total Emerging Markets

-341-400

-152-139

-227

-120

-275

-368

-157

-305

-411

-157

-63-125

-166

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps



38

Value Added – Total Structured Fixed Income

-303

-398

-224

-139 -161

-89

-216

-300

-190-238

-307

-187

-105 -130-92

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps


Basis Points of Excess Return (SSB T p.34; N p.35; F p.38; B, P p.39)

39

Value Added – High Yield

2254

244 61

-9

35 58

-18

4076

-4

53 56

-3

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps

Basis Points of Excess Return (SSB T p.36; N p.37; F, B, p.40; P p.41)


40

Value Added – Bank Loans

205247

48

212244

60

192240

67

146173

24

93122

11

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps



41

Value Added – Economically Targeted Investments

62 416892 77

11476

4785

47 55 6564117 118

-500

-400

-300

-200

-100

0

100

200

300

400

500





bps



Value Added- Hedge FundsBasis Points of Excess Return


42

bps

Value Added - Hedge FundsBasis Points of Excess Return


1,298

1,014

524

1,323

1,030

543

-1,500

-1,000

-500

0

500

1,000

1,500


POLICE: 6.56%

FIRE: 5.88%


43

Hedge Fund Performance Less Tactical Trade

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset ManagementFor Investment Evaluation Purposes by Authorized Personnel Only – May Contain Material Non-Public Information

Source: Aksia

Direct & Permal

Q1 2020 FYTD T3Y

FIRE 1.95% 2.21% 5.92%

POLICE 1.70% 2.03% 5.68%

HFRI+100 bps -8.56% -6.18% 0.96%

44

Tactical Trade Performance

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset ManagementFor Investment Evaluation Purposes by Authorized Personnel Only – May Contain Material Non-Public Information

Source: Aksia

Tactical Portfolio (Combined)

Q1 2020 FYTD

Police & Fire Tactical Hedge Fund Trade 30.11% 20.49%

RUSSELL 3000 -20.90% -12.70%

Outperformance 51.01% 33.19%

PRIVATE MARKET DATA

46

Value Added - Opportunistic Fixed Income (OFI)

219 210258 228

-600

-400

-200

0

200

400

600

Excess Return Since Inception; PME Benchmark: 50% JP Morgan Global High Yield 50% CS Leveraged Loans as of 03/31/20

TRS - 10/24/2007

NYCERS - 10/24/2007

Police - 10/24/2007

Fire - 10/24/2007

BERS - N/A

Inception Date

300bps Target


Basis Points of Cumulative IRR above Public Market Equivalent

bps

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


47

Value Added - Private Equity

(22)(57)

38 83 75

-600

-400

-200

0

200

400

600

Excess Return Since Inception; The PE Benchmark is the Russell 3000 + 300 bps as of 12/31/19

TRS - 07/08/99

NYCERS - 03/29/99

Police - 03/29/99

Fire - 03/29/99

BERS - 07/20/06

Inception Date

300bps Target

Source: StepStone Group & Hamilton Lane

Basis Points of Cumulative IRR above Public Market Equivalent

bps



48

Private Equity Value Added – PME Spread By Vintage Year as of 12/31/19

-2.0%-1.0%0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%

Pre-2011 2011-2016 2011 2012 2013 2014 2015 2016 2017 TRS - PME Spread -1.3% 2.8% 2.2% 3.9% -0.4% 3.7% 3.6% 6.5% 0.9% NYCERS - PME Spread -1.3% 2.5% 1.6% 3.7% -0.2% 4.1% 3.5% 6.5% -0.1% Police - PME Spread -0.3% 3.0% 1.9% 5.1% -0.8% 4.3% 3.4% 6.5% -1.3% Fire - PME Spread 0.1% 3.3% 1.9% 6.2% -0.8% 4.4% 3.6% 6.5% -0.4% BERS - PME Spread -0.4% 3.1% 0 5.3% -1.3% 4.6% 4.1% 6.6% 0.4%

TRS - PME Spread NYCERS - PME Spread Police - PME Spread Fire - PME Spread BERS - PME Spread

Perc

enta

ge

Source: BAM, StepStone Group, & Hamilton Lane

Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

N/A

49

Value Added - Private Real Estate - Core

-21-113

-54 -44

147

-700

-500

-300

-100

100

300

500

700

Excess Return Since Inception; Core PME = 40% Russell 3000 & 60% Barclay Agg. as of 12/31/19

TRS - 9/28/2006

NYCERS - 9/28/2006

Police - 9/28/2006

Fire - 9/28/2006

BERS - 12/13/2010

Inception Date


Basis Points of Cumulative IRR above Public Market Equivalentbp

s

The PME Spread is the difference between the IRR and the Core PME Return.


50

Value Added - Private Real Estate – Non-Core

384

202121

7

580

-700

-500

-300

-100

100

300

500

700

Excess Return Since Inception; Non-core PME = 60% Russell 3000 & 40% Barclay Agg. as of 12/31/19

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 04/11/2011

Inception Date



s

The PME Spread is the difference between the IRR and the Non-core PME Return.


51

Private Real Estate (Non-Core) Value Added - PME Spread By Vintage Year as of 12/31/19


-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%

PRE-2011 2011-2017 2011 2012 2013 2014 2015 2016 2017Pre-2011 2011-2017 2011 2012 2013 2014 2015 2016 2017

TRS - PME Spread 2.7% 5.2% 8.5% 6.7% 4.4% 4.9% 1.0% 7.3% 0.9% NYCERS - PME Spread -0.6% 6.8% 8.5% 9.0% 4.9% 6.2% 4.6% 7.2% 1.1% Police - PME Spread -3.1% 7.8% 8.3% 10.0% 5.1% 10.9% 4.6% 7.2% -0.7% Fire - PME Spread -6.2% 8.5% 8.6% 10.1% 6.3% 12.1% 4.6% 7.2% -0.2% BERS - PME Spread 5.8% 11.2% 12.2% 3.3% 4.1% 4.0% 9.2% 0.2%


Perc

enta

ge


N/A

52

Value Added - Infrastructure

391 352 410 336 425

(1,200)

(1,000)

(800)

(600)

(400)

(200)

-

200

400

600

800

1,000

1,200

Excess Return Since Inception; PME: 50% R3000 & 50% Barclays Agg. as of 12/31/19

TRS - 11/19/2013

NYCERS - 11/19/2013

Police - 11/19/2013

Fire - 11/19/2013

BERS - 11/19/2013

Inception Date

Source: StepStone Group


s



53

Infrastructure Value Added – PME Spread By Vintage Year as of 12/31/19


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

VINTAGE -2013

VINTAGE -2014

VINTAGE -2015

VINTAGE -2016

VINTAGE -2017

Vintage - 2013 Vintage - 2014 Vintage - 2015 Vintage - 2016 Vintage - 2017 TRS - PME Spread 4.35% 5.52% 1.19% 1.06% NYCERS - PME Spread 4.07% 5.74% 1.41% 0.85% Police - PME Spread 4.07% 7.25% 1.22% 0.80% Fire - PME Spread 4.07% 6.36% 1.31% 0.66% BERS - PME Spread 4.07% 6.22% 2.24% 0.70%


N/AN/AN/AN/AN/A

Perc

enta

ge

Source: StepStone Group

QUESTIONS?

Risk Update 1st Quarter 2020

57

Total Plan SummaryEquities had a 63% portfolio weighting and consumed 95% of the overall portfolio risk.

Source: MSCI

58

Total Plan SummaryThe risk shown here is attributed to factors, which can be represented in multiple asset classes.

Source: MSCI

59

Volatility Summary

Source: MSCI

0.0% 10.0% 20.0% 30.0% 40.0%

Total PortfolioU.S. Equity

World ex USAEmerging Markets

Private EquityPrivate Real Estate

Structured Fixed IncomeAlternative Credit

Stand Alone Risk

12/31/2019 5/31/2020

0.0% 4.0% 8.0% 12.0% 16.0%

Risk Contribution

12/31/2019 5/31/2020

60

Correlation Summary

Source: MSCI

Ex Ante Correlations to U.S. Equity Investments

Strategy 12/31/2019 1/31/2020 2/29/2020 3/31/2020 4/30/2020 5/31/2020Convertible Bonds 0.87 0.85 0.82 0.82 0.95 0.95

Developed Markets Equity 0.83 0.83 0.83 0.85 0.88 0.89

Emerging Markets Equity 0.71 0.71 0.71 0.74 0.83 0.84

Private Equity 0.80 0.80 0.80 0.76 0.82 0.82

Infrastructure 0.49 0.49 0.47 0.47 0.76 0.76

Private Real Estate 0.57 0.57 0.57 0.60 0.71 0.72

High Yield 0.62 0.61 0.60 0.62 0.70 0.72

Bank Loans 0.63 0.63 0.62 0.64 0.71 0.71

Opportunistic Fixed Income 0.70 0.64 0.52 0.36 0.56 0.62

Investment Grade Credit -0.03 -0.02 -0.02 -0.04 0.46 0.49

TIPS 0.01 0.01 0.00 -0.05 0.22 0.24

Mortgages -0.10 -0.06 -0.02 0.05 0.08 0.07

Hedge Funds 0.19 0.18 0.17 0.20 -0.06 -0.09

Long Term Treasury -0.32 -0.32 -0.32 -0.35 -0.29 -0.27

Long Intermediate Treasury -0.33 -0.33 -0.33 -0.36 -0.31 -0.29

Short Term Treasury -0.36 -0.35 -0.36 -0.44 -0.49 -0.46

QUESTIONS?



PLEASE MUTE!QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againCOMMON INVESTMENT MEETING – public sessionGRANT THORNTON�Introduction of New Auditor��Fiscal 2020 Audit Communications��TRS, NYCERS, Police, Fire, BERS��June 2020 Engagement Team An integrated teamOur Responsibilities Those Charged With Governance and Management Responsibilities Independent auditors' reports to be issued Audit Timeline & ScopeAreas of Focus�Areas of Focus (cont'd)Slide Number 14MARKETS UPDATE�Market Returns: Q1-2020Market Returns: Q1 – 2020Market Returns: Q1 – 2020Global Macro IssuesGlobal Macro Issues Global Macro IssuesGlobal Macro IssuesGlobal Macro Issues�Q1 - Asset Allocation Review�Q1 – Asset Allocation Review - GrowthQ1 – Asset Allocation Review – Inflation ProtectionQ1 – Asset Allocation Review - Deflation ProtectionQ1- Asset Allocation Review QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againPERFORMANCE REPORTING�1st Quarter 2020NYC Retirement Systems AUM (% , in millions)Total NYC Pension Fund Net Performance as of 03/31/2020Quarter to Date Return as of 03/31/2020 – Total PortfolioQuarter to Date as of 03/31/2020 Excess Return – Total PortfolioValue Added – Total Domestic EquityValue Added – Total World Ex-USAValue Added – Total Emerging MarketsValue Added – Total Structured Fixed IncomeValue Added – High YieldValue Added – Bank LoansValue Added – Economically Targeted InvestmentsValue Added- Hedge Funds�Basis Points of Excess ReturnHedge Fund Performance Less Tactical TradeTactical Trade PerformancePRIVATE MARKET DATAValue Added - Opportunistic Fixed Income (OFI)Value Added - Private EquityPrivate Equity Value Added – PME Spread By Vintage Year as of 12/31/19Value Added - Private Real Estate - CoreValue Added - Private Real Estate – Non-CorePrivate Real Estate (Non-Core) Value Added - PME Spread By Vintage Year as of 12/31/19Value Added - InfrastructureInfrastructure Value Added – PME Spread By Vintage Year as of 12/31/19QUESTIONS?QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againRisk Update �1st Quarter 2020Total Plan SummaryTotal Plan SummaryVolatility SummaryCorrelation SummaryQUESTIONS?��If you would like to ask a question��When you’re done, hit mute againCOMMON INVESTMENT MEETING – executive sessionPRIVATE EQUITY�EQT Equity IX USDEQT Equity IX USD (Re-up)EQT Equity IX USDQUESTIONS?��If you would like to ask a question��When you’re done, hit mute againEQT�Manager PresentationSlide Number 68Slide Number 69IntroductionSlide Number 71Slide Number 72Slide Number 73Slide Number 74Slide Number 75Equity Strategy & DifferentiationSlide Number 77Slide Number 78Slide Number 79Slide Number 80Slide Number 81EQT IXSlide Number 83Thank you! QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againPRIVATE EQUITY�Silver Lake Partners VISilver Lake Partners VI (Re-Engagement)Silver Lake Partners VI(Re-Engagement)QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againSILVER LAKE�Manager PresentationSilver Lake Presentation to:�Teachers’ Retirement System of the City of New York (TRS)�New York City Employees’ Retirement System (NYCERS)�New York City Police Pension Fund (POLICE)�New York City Fire Pension Fund (FIRE)�Board of Education Retirement System of the City of New York (BERS)DisclaimerSilver Lake PresentersHigh Performance Global Investment Platform Differentiated by Technology and StrategySilver Lake StrategyCreated the Category of Scale Tech and Tech-Enabled Private EquityTechnology is Our DNA – We Understand (and Price) Disruption Risk and Innovation OpportunitiesAnalysis: High Quality Businesses (Selected Examples)Operational Improvement: Partnering (by Invitation) with Mgmt. to Accelerate and Enhance Operating PerformanceSlide Number 101Silver Lake Philanthropy and VolunteerismESG Consultant & Distinguished Scholars ProgramSocial Responsibility During COVID-19Fund TermsAppendixSLP Funds Report CardSLP V Investment Summary ($M)SLP IV Investment Summary ($M)SLP III Investment Summary ($M)SLP II Investment Summary ($M)SLP I Investment Summary ($M) aSLA I Investment Summary ($M) aAdditional Notes on SL Funds’ Investment PerformanceImportant InformationImportant Information (cont’d)QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againREAL ESTATE�KKR Real Estate Securities Dislocation Opportunity Co-Investment Fund (“RESDOC”)�Slide Number 119QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againKKR�Manager PresentationSlide Number 122Slide Number 123Slide Number 124Slide Number 125Slide Number 126Slide Number 127Slide Number 128Slide Number 129Slide Number 130Slide Number 131QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againREAL ESTATE�ElmTree U.S. Net Lease Fund IV�Slide Number 134QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againELMTREE�Manager PresentationSlide Number 137Slide Number 138Slide Number 139Slide Number 140Slide Number 141Slide Number 142Slide Number 143Slide Number 144Slide Number 145Slide Number 146Slide Number 147Slide Number 148Slide Number 149Slide Number 150Slide Number 151Slide Number 152Slide Number 153Slide Number 154Slide Number 155Slide Number 156Slide Number 157Slide Number 158Slide Number 159Slide Number 160Slide Number 161Slide Number 162QUESTIONS?��If you would like to ask a question��When you’re done, hit mute againPRIVATE EQUITY�StepStone�Asia Market Overviewprivate session�Attorney / Client��TRUSTEES ONLYBAM/Wilshire�IG Credit/IG Corporate fi manager search recommendationBAM/Wilshire IG Credit/IG Corporate fi manager search recommendationBAM/Wilshire IG Credit/IG Corporate fi manager search recommendation – 6% IG allocationBAM/Wilshire IG Credit/IG Corporate fi manager search recommendation – 7% IG allocationSummary of RecommendationsQUESTIONS?��If you would like to ask a question��When you’re done, hit mute again

COMMON INVESTMENT MEETING – PUBLIC SESSION · • Designing, implementing, evaluating, and...

Documents

Transcript of COMMON INVESTMENT MEETING – PUBLIC SESSION · • Designing, implementing, evaluating, and...