Monthly Performance Review November 2016...November 30, 2016 *NCREIF NFI - ODCE NET index return...

Monthly Performance Review

November 2016

Prepared for the New York City

Board of Education Retirement System

01.2017

THE CITY OF NEW YORK

OFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for November & December ....................................................................................................................... 1

Contribution to Returns .......................................................................................................................................................... 5

Asset Allocation and Adjusted Policy Weight Mixes .............................................................................................................. 6

Classification of Investments. ................................................................................................................................................. 8

BERS’ Market Values 2015-2016. ..................................................................................................................................... 11

BERS’ Market Values 2007-2016. ..................................................................................................................................... 12

Manager / Benchmark Comparison Report ......................................................................................................................... 13

Private Equity Fund Supplemental Details .......................................................................................................................... 19

Private Equity Cash Flow Tracker ....................................................................................................................................... 20

Real Estate Fund Supplemental Details ............................................................................................................................... 21

Real Estate Cash Flow Tracker ............................................................................................................................................ 22

MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year

S&P 500 3.70 1.83 5.73 8.06 5.37 9.07 14.45 6.89S&P 400 MIDCAP 8.01 4.45 9.47 13.23 7.95 9.36 14.74 8.87RUSSELL 1000 3.94 2.00 6.02 8.01 5.23 8.88 14.45 7.02RUSSELL 2000 11.15 7.05 15.44 12.08 7.71 6.45 13.98 6.81RUSSELL 3000 4.48 2.38 6.71 8.31 5.41 8.68 14.41 7.00RUSSELL 3000 GROWTH 2.67 0.40 4.88 4.25 5.19 8.81 14.08 8.18RUSSELL 3000 VALUE 6.28 4.36 8.54 12.59 5.57 8.50 14.67 5.71

MSCI EAFE NET (1.99) (2.82) 2.18 (3.66) (3.30) (2.22) 5.62 0.72MSCI EMF NET (4.60) (3.15) 4.26 8.47 (5.11) (3.10) 0.99 2.27MSCI WORLD NET 1.44 0.00 4.31 3.15 1.20 3.71 9.88 3.79MSCI EUROPE SMID CAP NET (1.93) (5.24) 1.29 (6.57) (0.72) (0.72) 9.09 1.78MSCI AC WORLD ex US NET (2.31) (2.53) 2.94 (0.03) (3.74) (2.31) 4.24 1.02

NYC - TREASURY AGENCY PLUS FIVE (4.93) (7.58) (7.51) 1.30 1.58 4.10 2.38 5.45Citigroup USBIG Treasury 1-3 Y Index (0.39) (0.35) (0.55) 0.73 0.55 0.61 0.56 2.08Citigroup USBIG Treasury/Agency 1-10 y (1.65) (1.96) (2.37) 0.89 0.98 1.31 1.13 3.41Citigroup Treasury 10+ (7.50) (12.76) (11.74) 1.88 1.77 7.47 3.31 6.54

CITIGROUP MORTGAGE (1.72) (1.73) (1.42) 1.57 1.64 2.89 2.18 4.27

NYC - INVESTMENT GRADE CREDIT (2.77) (3.73) (2.19) 4.21 2.11 3.72 4.14 4.98CITIGROUP BROAD INVESTMENT GRADE (2.42) (3.21) (2.68) 2.20 1.56 2.78 2.42 4.35

CITY OF NEW YORKNYC Board of Education Retirement System

Market Indicator ReportNovember 30, 2016

*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics

1


NYC - CORE PLUS FIVE (2.87) (3.89) (3.10) 2.63 1.81 3.46 2.97 4.88BARCLAYS AGGREGATE (2.37) (3.17) (2.67) 2.17 1.57 2.79 2.43 4.27

CITIGROUP BB & B (0.27) 0.38 5.03 10.66 3.55 3.96 6.88 5.95CITIGROUP BB & B CAPPED (0.30) 0.37 4.92 10.28 3.42 3.91 6.74 6.28BofA ML HIGH YIELD MASTER II (0.39) 0.56 5.40 12.25 4.04 4.23 7.46 7.25

CSFB LEVERAGED LOAN 0.32 1.98 4.23 7.60 3.45 3.55 5.22 4.29

BARCLAYS GLOBAL US TIPS (1.92) (1.78) (1.37) 3.96 1.05 1.79 0.92 4.13

BofA ML U.S. Convertible – Yield Alternative 0.55 0.75 5.28 5.95 (0.83) 1.05 4.91 4.04BofA ML US Invt Grade Conv Bond Index 3.04 3.44 7.12 11.16 6.10 9.71 12.08 5.42BofA ML ALL CONVERTIBLES EX MANDATORY 2.92 2.98 8.89 8.03 3.10 6.16 10.97 6.88

DJ US SELECT REAL ESTATE (1.35) (8.82) (8.05) 4.06 4.07 12.15 11.74 3.82NCREIF NFI - ODCE NET* 0.00 1.83 1.83 9.08 11.45 11.42 11.34 5.05CPI + 4% 0.53 1.85 2.68 5.77 5.13 5.20

91 DAY TREASURY BILL 0.02 0.09 0.14 0.32 0.17 0.13 0.11 0.84


Market Indicator ReportNovember 30, 2016


2


S&P 500 1.98 3.82 7.82 11.96 6.54 8.87 14.66 6.95S&P 400 MIDCAP 2.19 7.42 11.87 20.74 8.68 9.04 15.33 9.16RUSSELL 1000 1.88 3.83 8.01 12.05 6.34 8.59 14.69 7.08RUSSELL 2000 2.80 8.83 18.68 21.31 7.68 6.74 14.46 7.07RUSSELL 3000 1.95 4.21 8.79 12.74 6.43 8.43 14.67 7.07RUSSELL 3000 GROWTH 1.25 1.20 6.18 7.39 6.24 8.27 14.44 8.28RUSSELL 3000 VALUE 2.63 7.24 11.40 18.40 6.54 8.55 14.81 5.76

MSCI EAFE NET 3.42 (0.71) 5.67 1.00 0.09 (1.60) 6.53 0.75MSCI EMF NET 0.22 (4.16) 4.49 11.19 (2.74) (2.55) 1.28 1.84MSCI WORLD NET 2.39 1.86 6.81 7.51 3.23 3.80 10.41 3.83MSCI EUROPE SMID CAP NET 4.07 (2.87) 5.41 (2.11) 2.07 (0.46) 10.55 1.70MSCI AC WORLD ex US NET 2.56 (1.25) 5.57 4.50 (0.71) (1.78) 5.00 0.96

NYC - TREASURY AGENCY PLUS FIVE (0.27) (7.32) (7.76) 1.21 0.97 4.64 1.94 5.58Citigroup USBIG Treasury 1-3 Y Index 0.03 (0.43) (0.53) 0.86 0.69 0.66 0.55 2.08Citigroup USBIG Treasury/Agency 1-10 y (0.02) (2.15) (2.39) 1.06 1.10 1.55 1.02 3.45Citigroup Treasury 10+ (0.53) (11.71) (12.21) 1.33 0.02 7.98 2.57 6.72

CITIGROUP MORTGAGE (0.00) (1.98) (1.43) 1.59 1.57 3.07 2.04 4.30

NYC - INVESTMENT GRADE CREDIT 0.48 (3.05) (1.72) 5.56 2.41 3.93 3.83 5.12CITIGROUP BROAD INVESTMENT GRADE 0.12 (3.03) (2.56) 2.66 1.59 3.01 2.22 4.43


Market Indicator ReportDecember 31, 2016


3


NYC - CORE PLUS FIVE 0.16 (3.61) (2.95) 3.20 1.79 3.71 2.71 4.98BARCLAYS AGGREGATE 0.14 (2.98) (2.53) 2.65 1.59 3.03 2.23 4.34

CITIGROUP BB & B 1.65 1.56 6.77 15.48 5.17 4.37 6.68 6.02CITIGROUP BB & B CAPPED 1.64 1.52 6.63 15.10 5.03 4.28 6.54 6.35BofA ML HIGH YIELD MASTER II 1.97 1.88 7.47 17.49 5.85 4.72 7.35 7.34

CSFB LEVERAGED LOAN 1.15 2.25 5.42 9.88 4.62 3.76 5.35 4.33

BARCLAYS GLOBAL US TIPS (0.10) (2.41) (1.47) 4.68 1.58 2.26 0.89 4.36

BofA ML U.S. Convertible – Yield Alternative 0.59 0.47 5.90 9.96 0.16 1.01 4.99 4.03BofA ML US Invt Grade Conv Bond Index 2.63 4.36 9.70 14.23 7.77 10.35 12.79 5.65BofA ML ALL CONVERTIBLES EX MANDATORY 1.29 2.61 10.21 11.71 4.23 5.90 11.18 6.97

DJ US SELECT REAL ESTATE 4.69 (2.53) (3.74) 6.65 5.55 13.67 11.75 4.5391 DAY TREASURY BILL 0.04 0.09 0.18 0.33 0.19 0.14 0.12 0.80


Market Indicator ReportDecember 31, 2016


4

NYC Board of Education Retirement System Contribution to Return - November 2016

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/16 Total FY Ending 6/30/15 Total

Return: 0.85% Return: 0.38% Return: 4.31% Return: 0.17% Return: 3.18%

(0.18) (0.19) 0.13 0.24

0.74 0.42

0.09

0.14 0.23

0.34 0.62

0.27

(0.09)

(0.08)

0.17

(0.38)

(0.51)

(0.35)

1.00

0.28 (0.23)

(0.11)

0.38

(0.68)

(0.36)

(0.26)

0.95

(1.78)

(0.76)

1.80

1.00 2.63

0.48

2.81

DOMESTIC EQUITY

DEVELOPED EQUITY

EMERGING MARKETS

CORE + 5

TIPS

ENHANCED YIELD

BANK LOANS

TARGETED

OTHER FIXED

PRIVATE EQUITY

REAL ASSETS

RESIDUAL

(0.01)-EY 0.01-BL (0.01)-ETI (0.00)-Oth FI 0.03-RA (0.00)-Res

Prepared by State Street

0.03-EY 0.04-BL (0.02)-ETI (0.00)-Oth FI 0.01-Res

(0.07)-TIPS 0.09-BL (0.02)-ETI (0.00)-Oth FI (0.03)-Res

(0.02)-EY 0.00-BL 0.05-ETI 0.03-Oth FI

(0.06)-EM (0.05)-TIPS 0.01-EY 0.06-BL 0.02-ETI 0.02-Oth FI

12/29/2016 8:23 AM

Limited Access

5

New York City Board of Education Retirement SystemPerformance Overview as of November 30, 2016Prepared by State Street

$4.7B Under Management

Asset Allocation

Relative Mix to New Policy Weights

Domestic Equity Emerging MarketsDeveloped Markets

Core +5 Enhanced Yield

Note: Brackets represent rebalancing ranges versus Policy.

TIPS

Private Equity

ETI CashPrivate Real Estate Bank Loans

Portfolio Asset Allocation: November 30, 2016

2.6%3.3%

-1.0%

0.1%

-0.9%

0.8%

-1.3%-3.5%

-0.4% -0.2% -0.2%-1.4%

-10.0%

-6.0%

-2.0%

2.0%

6.0%

10.0%

$1.838.3%

$0.613.5%

$0.816.0%

$0.2 4.6%

$0.2 5.1%

$0.1 2.6%

$0.1 2.3%

$0.3 5.7%

$0.0 0.6%

$0.25.3%

$0.0 0.8%

Infrastructure

$0.2 5.1%

6

New York City Board of Education Retirement SystemPerformance Overview as of November 30, 2016Prepared by State Street

$4.7B Under Management

Asset Allocation

Relative Mix to Adjusted New Policy Weights

Domestic Equity Emerging MarketsDeveloped Markets

Core +5 Enhanced Yield

Note: Brackets represent rebalancing ranges versus Policy.

TIPS

Private Equity

ETI CashPrivate Real Estate Bank Loans

Portfolio Asset Allocation: November 30, 2016

1.9%

-1.0%

0.1% 0.0% 0.0% 0.0%

-3.5%

-0.4% -0.2% -0.2%

0.0%

2.6%

-10.0%

-6.0%

-2.0%

2.0%

6.0%

10.0%

Note: On November 30, 2016 BERS' combined Fixed Income and Cashportfolios have a duration of 5.5 years. The duration of the Barclays USAggregate Index was 5.9 years on that date.

$1.8

38.3%

$0.6

13.5%

$0.8

16.0%

$0.2

4.6%

$0.2

5.1%

$0.2

5.1%

$0.1

2.6%

$0.1

2.3%

$0.3

5.7%

$0.0

0.6%

$0.2

5.3%

$0.0

0.8%

Infrastructure

7

NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEM

CLASSIFICATION OF INVESTMENTS(as of November 30, 2016)

ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $3,360.0 71.1% 70.0% NA 70.0% 65.0% - 75.0%

TOTAL FIXED INCOME $1,368.0 28.9% 30.0% NA 30.0% 25.0% - 35.0%

TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target Adjustment Adjusted Policy

US Equities $1,811.9 38.3% 35.0% 1.4% 36.4% 32.4% - 40.4%

Non-US Equities/EAFE $758.3 16.0% 17.0% NA 17.0% 15.0% - 19.0%

Emerging Markets $242.3 5.1% 5.0% NA 5.0% 4.0% - 6.0%

TOTAL PUBLIC EQUITY 59.5% 57.0% NA 58.4%

*REAL ASSETS 6.5% 7.0% NA 6.5% 6.0% - 8.0%

*PRIVATE EQUITY 5.1% 6.0% NA 5.1% 5.0% - 7.0%

TOTAL EQUITIES 71.1% 70.0% NA 70.0% 65.0% - 75.0%

Actual Policy Target Adjustment Adjusted Policy

US - Government $126.6 2.7% NA

US - Mortgage $203.3 4.3% NA

US - Investment Grade Credit $309.7 6.5% NA

TOTAL CORE + 5 13.5% 17.0% NA 17.0% 13.0% - 21.0%

High Yield $249.8 5.3% 5.5% NA 5.5%

Bank Loans $110.8 2.3% 2.5% NA 2.5%

Total High Yield & Bank Loans 7.6% 8.0% NA 8.0% 7.0% - 9.0%

TIPS $215.5 4.6% 5.0% NA 5.0% 4.0% - 6.0%**

ETI $28.9 0.6% **2.0% NA **

0.6%

Cash $123.4 2.6% 0.0% NA 0.0% 0.0% - 5.0%

TOTAL PUBLIC FIXED INCOME 28.9% 30.0% NA 30.0%

TOTAL FIXED INCOME 28.9% 30.0% NA 30.0% 25.0% - 35.0%

*

**

***

In $MM Adjusted Target

Range***

$4,728.0

In $MM Adjusted Target

Range***

$2,812.6

$307.4

$240.0

$3,360.0

In $MM

Co

re

+5

17.0% 17.0% 13.0% - 21.0%

Adjusted Target

Range***

$639.6

**0.6%

$1,368.0

7.0% 9.0%-

$360.6

$1,368.0

Ranges for illiquid asset classes represent minimums and maximums which will be monitored and will influence pacing analysis but will not necessarily result in purchases or sales.

ETIs have a policy of 2% of the total Fund. The ETI adjusted policy % is shown for illustrative purposes only and is not included in the sub-totals. The ETI policy % is included within the policy % of the

other asset classes.

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-4%; Non-US Equities/EAFE: +/-2%; Emerging Markets: +/-1%; Real Assets: +/-1%; Private

Equity: +/-1%; Core +5: +/-4%; TIPS: +/-1%; High Yield & Bank Loans: +/-1%; Cash: 0-5%.

8



Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Assets

Impact of Adjustments

1) Domestic Equity Policy Target % 35.0%

Adjustment: 100% of uninvested Private Equity 0.9%

Adjustment: 100% of uninvested Real Assets 0.5%

Adjusted Domestic Equity Policy Target % 36.4%

100% of uninvested commitments will be invested in Domestic Equity.

100% of uninvested commitments will be invested in Domestic Equity.

9



Note: Totals may not equal 100% due to rounding

US Equities

64%

Non-US

Equities/EAFE

27%

Emerging Markets

9%

Total Public Equities

US - Government

9%

US - Mortgage

15%

US - Investment

Grade Credit

23%

High Yield

18%

Bank Loans

8%

TIPS

16%

ETI

2%

Cash

9%

Total Fixed Income

10

$4,303

$4,166 $4,166

$4,380

$4,455 $4,463

$4,495

$4,667 $4,686

$4,726

$4,683

$4,728

$4,000

$4,100

$4,200

$4,300

$4,400

$4,500

$4,600

$4,700

$4,800

$2,525 $2,415

$1,996 $2,304

$2,918 $2,949 $3,458

$4,179 $4,408 $4,495

$4,728

$1,600$2,000$2,400$2,800$3,200$3,600$4,000$4,400$4,800$5,200

12

Assets

($MM)

%

of Total

Trailing

1 Month

Trailing

3 Month FYTD CYTD

FYE

06/30/16

CYE

12/31/15

CYE

12/31/14

Trailing

1 Year

Inception

Date

ASSET CLASS SUMMARY

BERS-TOTAL DOM EQUITY 1,811.91 38.32 4.90 2.70 7.02 10.50 1.26 0.39 11.14 7.91 Sep-01-91

BERS-TOTAL DEVELOPED EQUITY 758.34 16.04 (2.18) (1.56) 5.79 3.76 (10.83) (4.98) (5.04) 1.01 Nov-01-92

BERS-TOTAL EMERGING (INTL) 242.35 5.13 (4.19) (2.06) 7.18 11.87 (14.24) (15.14) 3.77 9.59 Nov-01-97

BERS-TOTAL STRUCTURED 639.61 13.53 (2.66) (3.46) (2.37) 3.63 6.61 0.20 7.58 3.19 Jan-01-85

BERS-TOTAL TIPS MANAGERS 215.53 4.56 (1.91) (1.78) (1.40) 4.90 4.43 (0.85) 3.27 4.03 Jun-01-05

BERS-TOTAL HIGH YIELD 249.78 5.28 (0.22) 0.52 5.05 13.42 (0.38) (4.66) 2.75 9.83 Aug-01-97

BERS-TOTAL BANK LOANS 110.79 2.34 0.32 1.88 3.84 7.29 0.20 0.12 1.99 6.02 Dec-01-12

TOTAL BOE ETI (w/o cash) 28.89 0.61 (1.83) (2.59) (2.40) 2.94 8.61 3.30 6.96 2.57 Dec-01-84

BERS-TOTAL PRIVATE EQUITY 240.00 5.08 1.88 2.74 4.68 8.14 7.19 12.71 20.52 7.88 Jul-01-06

BERS-TOTAL REAL ASSETS 307.44 6.50 0.53 2.06 3.77 9.46 13.62 14.31 12.55 9.69 Dec-01-10

BERS-TOTAL CASH 122.67 2.59 (0.01) 0.08 0.17 0.51 0.47 0.40 0.27 0.51 Apr-01-04

SECURITY LENDING 0.73 0.02 Apr-01-04

BERS-TOTAL BOARD OF ED. 4,728.05 100.00 0.85 0.38 4.31 7.79 0.17 (0.44) 6.39 5.93 Jul-01-87

BERS-TOTAL EQUITY 2,812.60 59.49 2.07 1.10 6.70 8.71 (3.38) (2.33) 5.91 6.11 Apr-01-04

BERS-TOTAL FIXED INCOME (MINUS SS) 1,244.60 26.32 (1.78) (1.96) (0.32) 5.89 4.47 (0.81) 5.53 4.79 Apr-01-04

BERS-TOTAL PRIVATE EQUITY 240.00 5.08 1.88 2.74 4.68 8.14 7.19 12.71 20.52 7.88 Jul-01-06

BERS-TOTAL REAL ASSETS 307.44 6.50 0.53 2.06 3.77 9.46 13.62 14.31 12.55 9.69 Dec-01-10

BERS-TOTAL CASH 122.67 2.59 (0.01) 0.08 0.17 0.51 0.47 0.40 0.27 0.51 Apr-01-04

SECURITY LENDING 0.73 0.02 Apr-01-04

BERS-TOTAL BOARD OF ED. 4,728.05 100.00 0.85 0.38 4.31 7.79 0.17 (0.44) 6.39 5.93 Jul-01-87

Board of Education Policy Benchmark 0.51 (0.05) 3.40 7.14 0.75 (0.09) 6.93 5.67 Jun-01-94

Periods Ending November 30, 2016

New York City Board of Education Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Limited Access

13

Ending Market

Value

($MM)

%

of Total 1 Month 3 Month FYTD CYTD 2015 2014

ASSET CLASS SUMMARY

BERS-TOTAL BOARD OF ED. 4,728 100.00 0.85 0.38 4.31 7.79 (0.44) 6.39

Board of Education Policy Benchmark 0.51 (0.05) 3.40 7.14 (0.09) 6.93Excess 0.34 0.42 0.91 0.65 (0.36) (0.53)

BERS-TOTAL EQUITY (INCL PE & RA) 3,360 71.07 1.92 1.30 6.30 8.68 (0.43) 6.81

BERS-TOTAL FIXED INCOME (MINUS SS) 1,245 26.32 (1.78) (1.96) (0.32) 5.89 (0.81) 5.53

EQUITY SUMMARY

US EQUITYNYC BERS BLACKROCK R2000 GROWTH 36 0.75 8.87 3.59 11.55 9.80 (1.30) 5.50 RUSSELL 2000 GROWTH DAILY 8.95 3.65 11.60 9.82 (1.38) 5.60Excess (0.07) (0.06) (0.04) (0.02) 0.08 (0.11)

NYC BERS BLACKROCK R2000 VALUE 39 0.83 13.27 10.40 19.15 26.45 (7.38) 4.11 RUSSELL 2000 VALUE DAILY 13.27 10.41 19.26 26.52 (7.47) 4.22Excess 0.00 (0.02) (0.11) (0.06) 0.09 (0.11)

Wellington Mgmt MCC 153 3.23 7.38 4.92 8.43 11.49 1.76 10.96S&P MID CAP 400 8.01 4.45 9.47 18.15 (2.18) 9.77Excess (0.63) 0.48 (1.04) (6.66) 3.94 1.19

NYC BERS BLACKROCK R1000 GROWTH 683 14.45 2.17 0.14 4.34 5.76 5.78 12.91RUSSELL 1000 GROWTH - DAILY 2.18 0.14 4.35 5.77 5.67 13.05Excess (0.01) 0.00 (0.01) (0.01) 0.12 (0.14)

NYC BERS BLACKROCK R1000 VALUE 734 15.53 5.70 3.84 7.68 14.45 (3.81) 13.39RUSSELL 1000 VALUE (DAILY) 5.71 3.86 7.70 14.48 (3.83) 13.45Excess (0.01) (0.01) (0.02) (0.03) 0.01 (0.06)





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14

Ending Market

Value

($MM)

%






FUND OF FUNDSBERS-TOTAL FUND OF FUNDS 167 3.52 8.10 4.60 10.72 9.97 (3.72) 4.72Blended Russell 2000 & 3000 7.81 4.75 11.06 14.32 (1.93) 8.78Excess 0.29 (0.14) (0.34) (4.35) (1.79) (4.06)

BERS-TOTAL FIS 86 1.83 11.12 6.89 15.21 15.22 (4.25) 1.80RUSSELL 2000 (DAILY) 11.15 7.05 15.44 18.00 (4.41) 4.89Excess (0.03) (0.16) (0.24) (2.78) 0.17 (3.10)

BERS-TOTAL PROGRESS 80 1.70 5.04 2.25 6.26 4.92 (3.19) 7.77RUSSELL 3000 (DAILY) 4.48 2.38 6.71 10.58 0.48 12.56Excess 0.56 (0.13) (0.45) (5.66) (3.67) (4.78)

NON - US EQUITYSprucegrove MTA (BOE) 347 7.33 (0.31) 1.09 8.03 8.01 (9.56) (3.19) MSCI EAFE VALUE NET (DAILY) (0.62) 0.58 7.58 0.43 (5.68) (5.39)Excess 0.30 0.51 0.46 7.58 (3.87) 2.21

Baillie Gifford MTA 326 6.89 (4.22) (4.61) 3.88 (0.57) (3.81) (6.66)MSCI EAFE GROWTH (3.41) (6.19) (2.99) (5.14) 4.09 (4.43)Excess (0.80) 1.59 6.87 4.57 (7.90) (2.23)

Acadian 86 1.82 (1.68) (0.04) 4.37 4.47 8.68 (4.92)S&P EPAC Small Cap USD NET (2.92) (3.46) 1.92 (1.41) 8.58 (3.43)Excess 1.23 3.43 2.45 5.87 0.09 (1.49)

EMERGING MARKETSACADIAN 242 5.13 (4.19) (2.06) 7.18 11.87 (15.14) 3.77MSCI EMERGING MARKETS (4.60) (3.15) 4.26 10.94 (14.92) (2.19)Excess 0.41 1.09 2.93 0.93 (0.22) 5.96

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15

Ending Market

Value

($MM)

%






FIXED INCOME SUMMARY

STRUCTRED FIXED INCOMEBlackrock Mortgages 203 4.30 (1.51) (1.39) (1.02) 2.29 1.73

CITIGROUP MORTGAGE INDEX (1.72) (1.73) (1.42) 1.59 1.56

Excess 0.21 0.33 0.40 0.69 0.17

Prudential - Credit 176 3.73 (2.59) (3.67) (2.15) 5.20 (0.22) 7.20NYC - Investment Grade Credit (2.77) (3.73) (2.19) 5.05 (0.65) 7.04Excess 0.18 0.05 0.04 0.15 0.43 0.16

Taplin Canida Habacht - Credit 116 2.46 (2.44) (3.40) (0.46) 7.19 (3.01) 8.68NYC - Investment Grade Credit (2.77) (3.73) (2.19) 5.05 (0.65) 7.04Excess 0.33 0.32 1.74 2.14 (2.36) 1.64

Prudential-Privest - Credit 17 0.36 (2.11) (1.95) (0.73) 4.23 1.63 7.20NYC - Investment Grade Credit (2.77) (3.73) (2.19) 5.05 (0.65) 7.04Excess 0.66 1.78 1.46 (0.82) 2.28 0.16

State Street Govt 127 2.68 (4.91) (7.55) (7.40) 1.55 0.45 12.21NYC - Treasury Agency Plus Five (4.93) (7.58) (7.51) 1.49 0.72 12.38Excess 0.02 0.03 0.10 0.06 (0.27) (0.16)

ENHANCED YIELDLoomis Sayles - High Yield 124 2.62 (0.06) 0.99 6.15 17.55 (7.07) 2.83NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) (0.39) 0.56 5.40 15.22 (4.64) 2.50Excess 0.34 0.43 0.75 2.33 (2.43) 0.33

Shenkman - High Yield 126 2.66 (0.39) 0.06 3.98 9.63 (1.97) 2.66CITIGROUP BB & B (0.27) 0.38 5.03 13.60 (4.21) 2.78Excess (0.12) (0.31) (1.05) (3.96) 2.24 (0.13)

BANK LOANSBabson BL 111 2.34 0.32 1.88 3.84 7.29 0.12 1.99CSFB LEVERAGED LOAN INDEX 0.32 1.98 4.23 8.63 (0.38) 2.06Excess 0.00 (0.10) (0.38) (1.34) 0.51 (0.07)

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Ending Market

Value

($MM)

%






TIPSSSGA TIPS 216 4.56 (1.91) (1.78) (1.40) 4.90

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (1.92) (1.78) (1.37) 4.79

Excess 0.01 0.00 (0.03) 0.12

OTHER FIXEDAFL-CIO HOUSING INV TRUST 16 0.33 (1.94) (2.36) (2.17) 2.25 1.13 6.10BBG BARC Agg (Dly) (2.37) (3.17) (2.67) 2.50 0.55 5.97Excess 0.42 0.81 0.50 (0.25) 0.58 0.14

ACCESS RBC 6 0.13 (1.67) (1.75) (1.59) 1.74 1.83 6.66Access RBC Benchmark (1.70) (1.81) (1.76) 1.51 1.40 5.08Excess 0.03 0.06 0.17 0.23 0.43 1.58

CPC CONST FACILITY 1 0.01 12.90

CPC CONST BENCHMARK 0.26 2.90

Excess 10.01

CFSB-PPAR (GNMA) 0 0.00 (2.23) (4.07) (3.85) 5.18 5.90 15.34GNMA Plus 65bps (1.37) (1.24) (0.78) 2.20 2.02 6.65Excess (0.85) (2.83) (3.07) 2.97 3.88 8.69

CCD-PPAR (GNMA) 0 0.01 (2.16) (4.22) (3.99) 4.63 5.08 15.37GNMA Plus 65bps (1.37) (1.24) (0.78) 2.20 2.02 6.65Excess (0.79) (2.99) (3.21) 2.43 3.06 8.72

CCD-PPAR (FNMA) 1 0.02 (1.93) (4.20) (3.52) 6.16 6.69 25.71FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.15) (2.53) (2.25) 3.85 4.20 18.58

CPC-PPAR (FNMA) 1 0.02 (1.97) (4.81) (4.47) 6.78 8.96 13.91FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.20) (3.14) (3.21) 4.47 6.46 6.78

JPMC-PPAR (FNMA) 2 0.04 (1.87) (4.27) (0.93) 10.06 6.18 12.06FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.09) (2.60) 0.33 7.75 3.68 4.93

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Ending Market

Value

($MM)

%






BOA-PPAR (FNMA) 1 0.03 (1.95) (5.32) (4.64) 6.44 42.03 13.31FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.18) (3.64) (3.37) 4.13 39.53 6.19

LIIF-PPAR (GNMA) 0 0.00 (1.54) (1.72) (2.04) 4.67 3.92 9.74GNMA Plus 65bps (1.37) (1.24) (0.78) 2.20 2.02 6.65Excess (0.17) (0.49) (1.25) 2.47 1.91 3.09

NCBCI-PPAR (GNMA) 0 0.00 (2.49) (3.86) (3.69) 5.29 5.53 16.66GNMA Plus 65bps (1.37) (1.24) (0.78) 2.20 2.02 6.65Excess (1.12) (2.62) (2.90) 3.09 3.52 10.01

LIIF-PPAR (FNMA) 1 0.02 (1.99) (5.18) (11.00) 6.39 6.29 38.12FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.22) (3.51) (9.73) 4.08 3.79 30.99

NCBCI-PPAR (FNMA) 0 0.00 (2.29) (3.64) (3.52) 5.20 4.97 14.93FNMA Plus 85bps (1.77) (1.67) (1.27) 2.31 2.50 7.13Excess (0.52) (1.97) (2.25) 2.89 2.47 7.81

CASHBOARD OF ED. SHORT TERM 123 2.59 (0.01) 0.08 0.17 0.50 0.39

91 DAY T-BILL 0.02 0.09 0.14 0.28 0.05 0.02Excess (0.03) (0.01) 0.03 0.22 0.35

C/D - FAIL FLOAT EARNINGS 0 0.00

SECURITY LENDING 1 0.02

PRIVATE EQUITYBERS-TOTAL PRIVATE EQUITY 240 5.08 1.88 2.74 4.68 8.14 12.71 20.52

REAL ASSETSBERS-TOTAL PRIVATE REAL ESTATE 268 5.68 0.55 2.23 3.93 9.82 14.98 12.58

BERS-TOTAL INFRASTRUCTURE 39 0.83 0.37 0.95 2.69 6.86 9.15 9.58

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18

Vintage

YearInvestment

First

Drawdown

Committed

Capital Paid-In Capital

Distributed

Capital Market Value Multiple IRR

1PME

Benchmark2 PME Spread

3

Active Investments

2005 Mesirow Financial Private Equity Partnership Fund III, L.P. 7/20/2006 57,000,000$ 54,238,273$ 60,745,092$ 29,607,662$ 1.67x 8.79% 8.17% 0.62%

2006 Mesirow Financial Private Equity Partnership Fund IV, L.P. 3/31/2008 25,000,000 21,717,233 15,628,759 18,405,577 1.57x 9.98% 11.69% (1.71%)

2006 New York Fairview Private Equity Fund, L.P. 7/14/2006 19,000,000 17,320,307 14,239,216 9,637,001 1.38x 6.77% 8.89% (2.12%)

2009 Mesirow Financial Private Equity Partnership Fund V, L.P. 3/7/2011 45,000,000 31,514,326 9,008,886 40,213,888 1.56x 15.53% 12.12% 3.41%

2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 15,000,000 10,079,481 6,474,549 9,531,607 1.59x 46.59% 11.74% 34.85%

2012 Warburg Pincus Private Equity XI, L.P. 7/17/2012 25,000,000 21,952,230 2,796,133 24,844,754 1.26x 12.47% 9.95% 2.52%

2013 Apollo Investment Fund VIII, L.P. 12/11/2013 20,000,000 8,644,467 177,895 9,232,497 1.09x 9.17% 4.51% 4.66%

2013 Carlyle Partners VI, L.P. 7/3/2013 20,000,000 10,135,538 371,801 10,966,914 1.12x 8.02% 5.80% 2.22%

2013 Carlyle Partners VI, L.P. - Side Car 9/23/2014 2,200,000 1,193,499 - 1,113,732 0.93x N/M N/M N/M

2013 CVC Capital Partners VI, L.P. 2/18/2014 17,298,210 6,402,538 34,752 6,330,601 0.99x (0.62%) 5.78% (6.40%)

2013 Landmark Equity Partners XV, L.P. 10/30/2013 19,000,000 6,580,279 2,604,445 5,057,142 1.16x 11.06% 7.73% 3.33%

2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 6,000,000 2,649,559 712,242 2,616,782 1.26x 16.11% 3.69% 12.42%

2014 ASF VI, L.P. 5/9/2014 15,000,000 7,262,707 390,182 8,342,067 1.20x 15.18% 5.45% 9.73%

2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 5,000,000 3,153,934 706,516 3,290,523 1.27x 18.30% 1.82% 16.48%

2014 Centerbridge Capital Partners III, L.P. 5/21/2015 2,500,000 665,696 26,353 701,316 1.09x N/M N/M N/M

2014 Crestview Partners III, L.P. 3/3/2015 15,000,000 3,434,581 56,712 2,967,595 0.88x N/M N/M N/M

2014 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 5,000,000 1,676,108 70,233 1,661,847 1.03x N/M N/M N/M

2014 Lexington Capital Partners VIII, L.P. 1/8/2015 20,000,000 4,425,887 871,910 4,705,175 1.26x N/M N/M N/M

2014 Siris Partners III, L.P. 5/4/2015 3,500,000 541,165 2,699 473,907 0.88x N/M N/M N/M

2014 Vista Equity Partners Fund V, L.P. 9/8/2014 25,000,000 21,955,880 4,351,955 19,585,319 1.09x N/M N/M N/M

2012 NYCBERS - 2012 Emerging Manager Program* 10/31/2014 25,000,000 7,279,825 76,988 7,651,467 1.06x N/M N/M N/M

2015 American Securities Partners VII, L.P. 1/19/2016 8,000,000 73,119 73,119 - 1.00x N/M N/M N/M

2015 ASF VII, L.P. 12/29/2015 10,000,000 752,861 55,395 819,818 1.16x N/M N/M N/M

2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 6,000,000 600 - 600 1.00x N/M N/M N/M

2015 NYCBERS - 2015 Emerging Manager Program** 2/22/2016 30,000,000 804,267 - 774,929 0.96x N/M N/M N/M

2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 21,500,000 1,505,000 12,576 1,281,400 0.86x N/M N/M N/M

2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 10,000,000 2,625,430 - 2,742,009 1.04x N/M N/M N/M

2015 Bridgepoint Europe V, L.P. 2/8/2016 8,321,359 1,734,163 - 1,777,204 1.02x N/M N/M N/M

2015 Bridgepoint Europe V Co-Invest N/A 2,770,851 - - - N/A N/M N/M N/M

2015 EQT VII, L.P. 1/8/2016 16,693,355 3,150,115 - 2,781,054 0.88x N/M N/M N/M

2016 Ares Corporate Opportunities Fund V, L.P. N/A 10,000,000 - - - N/A N/M N/M N/M

2016 Green Equity Investors VII, L.P. N/A 10,000,000 - - - N/A N/A N/A N/A

2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 16,000,000 1,919,658 - 1,938,298 1.01x N/A N/A N/A

2016 Apax IX USD, L.P. N/A 13,000,000 - - - N/A N/A N/A N/A

2016 BC European Capital X, L.P. N/A 11,083,403 - - - N/A N/A N/A N/A

2016 BC European Capital X Metro Co-Investment L.P. N/A 4,433,361 - - - N/A N/A N/A N/A

Total Portfolio 564,300,538$ 255,388,726$ 119,488,408$ 229,052,685$ 1.36x 10.03% 9.05% 0.98%

Vintage

YearInvestment

First

Drawdown

Committed

Capital

Net

Contributed

Capital

Net Distributed

Capital Market Value Multiple IRR1

PME

Benchmark2 PME Spread3

Commitments Closed Subsequent to as of Date

2016 FTV, L.P. N/A 3,500,000$ - - - N/A N/A N/A N/A

Total Commitments Closed Subsequent to as of Date 3,500,000$ -$ -$ -$ N/A N/A N/A N/A

Note: Where available, June 30, 2016 reported valuations were used. In the absense of June 30, 2016 reported values, market values have been adjusted forward using interim cashflows through June 30, 2016. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The

aggregate portfolio performance figures for IRR and multiple are as of June 30, 2016.

NYC Board of Education Retirement System

Private Equity Portfolio

As of June 30, 2016 (in USD)

3PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnership.

2 The total PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred, and incorporates the PME methodologies for those partnerships that have not yet had any distributions to date. The fund PME is the Russell 3000 Total

Return Index and incorporates the PME II methodology for all partnerships where distributions have occurred.

1Performance for funds with less than 8 quarters of activity is not yet meaningful.

**Please note that the NYCBERS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $4 million has been committed as of June 30, 2016.

*Please note that the NYCBERS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $14.7 million has been committed as of June 30, 2016.

19

($ m

m)

NYC BERS Monthly PE Cash Flow Summary(as of November 30, 2016)

Contributions Distributions Net Cash Flow

20

Vintage Year Fund Name First Draw Down Capital Committed Contributions Distributions Market Value Equity Multiple Net IRR

2016 Exeter Industrial Core Club Fund II 5/20/2016 10,000,000 2,050,000 0 2,042,045 1.0x -5.2%

2016 Jamestown Premier Property Fund 2/4/2016 5,000,000 1,390,642 -49,502 1,376,959 1.0x 6.7%

2011 LaSalle Property Fund 12/13/2010 27,600,000 27,600,000 -5,201,410 36,592,911 1.5x 12.5%

2014 MetLife Core Property Fund 7/1/2014 15,000,000 15,000,000 -1,051,951 16,950,122 1.2x 14.8%

2013 NYC Asset Investor #2 LLC 7/9/2013 11,000,000 9,100,090 -1,375,652 9,591,643 1.2x 12.9%

2016 NYCRS Artemis Co-Investment 2/24/2016 11,000,000 1,215,783 0 1,661,702 n/a n/a

2011 UBS Trumbull Property Fund 4/1/2011 41,400,000 55,009,908 -10,937,489 72,233,843 1.5x 10.2%

2016 USAA Eagle Real Estate Fund 12/1/2015 10,000,000 6,269,575 0 6,650,793 1.1x 12.8%

Core/Core Plus Portfolio 131,000,000 117,635,998 -18,616,005 147,100,018 1.4x 11.1%

2014 Blackstone Real Estate Partners Europe IV (USD Vehicle) 12/23/2013 32,500,000 26,734,271 -3,966,503 25,051,826 1.1x 6.49%

2015 Blackstone Real Estate Partners VIII 8/18/2015 16,500,000 6,240,626 -57,791 6,834,484 1.1x 22.00%

2012 Brookfield Strategic Real Estate Partners 9/20/2012 10,000,000 10,372,239 -3,395,475 11,017,776 1.4x 17.88%

2014 Carlyle Realty Partners VII 6/30/2014 25,000,000 10,442,331 -58,210 11,591,524 1.1x 14.96%

2016 European Property Investors Special Opportunities Fund IV (EPISO IV) 12/18/2015 11,176,931 1,636,835 -161,151 1,444,952 1.0x -7.20%

2011 Franklin Templeton Private Real Estate Fund 3/31/2011 30,000,000 29,383,435 -23,934,137 15,663,526 1.3x 21.27%

2015 H/2 Special Opportunities Fund III 12/29/2014 15,000,000 8,626,420 0 9,233,527 1.1x 11.02%

2013 NYC Asset Investor #1 LLC 6/25/2013 10,000,000 10,692,404 -1,170,665 12,092,347 1.2x 15.71%

2013 NYC Asset Investor #3 LLC 9/20/2013 8,000,000 2,738,590 -31,308 2,765,393 1.0x 1.63%

2016 PW Real Estate Fund III LP n/a 10,624,734 0 0 -93,506 n/a n/a

2016 Westbrook Real Estate Fund X n/a 10,000,000 0 0 673 n/a n/a

Non-Core Portfolio 178,801,665 106,867,150 -32,775,239 95,602,523 1.2x 15.4%

Small Emerging Manager 11,000,000 1,215,783 0 1,661,702 n/a n/a

New York City Board of Education Retirement System 309,801,665 224,503,148 -51,391,244 242,702,541 1.3x 12.1%

Additional Funds Closed

Vintage Year Fund Name First Draw Down Capital Committed Contributions

2016 Westbrook Partners X - Co-Investment $2,000,000

2016 Divco West Fund V $10,000,000

2016 Lone Star Real Estate Fund V $23,100,000

$35,100,000

New York City Board of Education Retirement System as of June 30, 2016.

Source: PCG historical cash flow data. TTG cash flow data from Fund Managers, effective 2005. Note: The equity multiples and IRRs contained in this report are interim calculations based upon information provided by the investment managers of the New York City Retirement Systems, including cash flows and quarterly

unaudited, or audited, valuations. The IRR calculated in early years of a fund life is not meaningful given the J-curve effect and can be significantly impacted by the timing of cash flows, investment strategy, investment pacing, and fund life. The calculations are not necessarily indicative of total fund performance, which can

only be determined after the fund is liquidated and all capital contributed and earnings have been distributed to the investor. All data supplied is as of June 30, 2016.

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‐$15,000,000

‐$10,000,000

‐$5,000,000

$0

$5,000,000

$10,000,000

Amou

ntBERS Monthly Real Estate Cash Flow Summary

(as of November 30, 2016)

Contributions Distributions Net Cash Flow

22

Monthly Performance Review November 2016...November 30, 2016 *NCREIF NFI - ODCE NET index return...

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