new york city police pension fund, subchapter two ... · performance overview as of september 30,...

New York CityPolice Pension Fund, Subchapter TwoPerformance Overview as of September 30, 2016

Total Fund Overview

New York City Police Pension Fund, Subchapter Two 1Performance Overview as of September 30, 2016

Consultant's Commentary & Performance Charts p.3

Appendix A - Consolidated Performance Report p.24

Appendix B - Public Markets Manager Performance Detail p.33

Appendix C - Alternative Assets Manager Performance Detail p.46

Appendix D - Footnotes p.58

New York City

Police Pension Fund, Subchapter Two

Table of Contents:


3Q16 Capital Markets Commentary

• US Equity - The broad US market returned 4.4% for the third quarter of 2016 as measured by theRussell 3000 Index. There were pockets of volatility following the post-Brexit vote in early July butthe market was still resilient and appreciated for the month by 3.9%. This was followed by modestgains in August and September. Over the quarter, large-capitalization stocks underperformedsmall-cap stocks while growth stocks, after underperforming for four consecutive quarters,rebounded versus value stocks. Sector performance was mixed and was led by the growthoriented Information Technology Sector as the more defensive orientated sectors (Utilities, Staples,and Telecommunication) were the main laggards. While the Fed did not raise interest rates duringthe quarter, many economists, even after the US election, forecast a December rate hike.

• International Equity – International equityprices advanced over the quarter as globaleconomic growth brightened and politicalrisks eased. Fears about the short-termfallout of Brexit have largely disappeared.Newly elected governments in a fewemerging countries such as Brazil have madepro-business statements, and productdemand has become the growth driver asrate cuts by central banks are fuelingconsumer spending. Emerging marketscontinue to outperform developed markets asenergy and commodity prices stabilized.

• The European Central Bank maintained their accommodative policies while the Bank of Englandcut their bank rate to 0.25% and extended their existing quantitative easing. Sentiment fromcentral banks have been mixed and they have hinted that policy rates cannot go much lower and itis time for governments to enact stimulus fiscal measures.

1965-1966

1967-19691971

1972-1973

1974

1977-1980

1980-19811983-1984

1988-1989

1994-1995

1999-2000

2004-2006

-40%

-30%

-20%

-10%

0%

10%

20%

30%

0 200 400 600 800 1000 1200 1400 1600To

tal E

quity

Ret

urn

(>1

Year

Ann

ualiz

ed)

Change in Fed Funds Rate (basis points)

U.S. Equity vs. Fed Tightening

Size of bubble indicates duration of tightening

Equity prices have held up relatively well during previous periods of Fed tightening.

Consultant's Commentary

Through September 30, 2016



• Fixed Income - The Federal Open Market Committee maintained the current Fed Funds rate during their meeting in September, but the 10-year US Treasury yield was slowly and steadily pushed up for most of the quarter and continued to rally immediately after the US election. The 10-year yield reached a historic low of 1.37% in early July before reversing course and climbing to end the quarter at 1.60%. Fed Vice-Chairman Stanley Fischer, speaking at a conference after the US election, said the case for monetary policy tightening is still “quite strong.” Credit spreads tightened over the quarter in both investment grade and high yield bonds.

• Opportunistic Fixed Income - Investors continued to purchase securities that offered incremental yield pick-up. This ongoing hunt for yield may slow if inflation continues to pick up. High Yield Bonds, Convertible Bonds, and Bank Loans returned 5.5%, 7.4%, and 3.1% for the quarter, respectively. 0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

0 5 10 15 20 25 30

Yiel

d (%

)

Maturity (yrs)

Treasury Yield Curve

Current Quarter Previous Quarter One Year Ago

-0.30%-0.37% -0.37%

-0.03%-0.14% -0.15%

0.34%0.26% 0.30%

0.49%

0.69%0.81%

-1.00%

-0.50%

0.00%

0.50%

1.00%Market Expectations: Target Policy Rate

Eurozone Japan UK U.S.





• Real Assets – Real estate securities were down in the US during the quarter, but had better performance globally. Commodities were slightly down as crude oil fell a modest 0.2% to $48.24 per barrel after a strong run in prices during the first half of the year. Natural gas prices were also down, depreciating 0.6% to end the quarter at $2.91 per million BTUs. MLP returns appreciated as the sector experienced an uptick in drilling activity and rig counts. Finally, gold prices fell, experienced little movement over the quarter, and finished at approximately $1,317 per troy ounce, down 0.3% from last quarter.

• Private Equity – Fundraising slowed over the quarter relative to the last quarter as the flood of cash into venture-capital firms and other private-funding sources helped tech startups reach lofty valuations and private equity funds have kept these investments in their portfolios. Over 2016 there has been a year-over-year increase in both the value and the number of aggregate buyout deals. Smaller deals continue to dominant deal activity by count, while mega transactions ($2.5B+) remain significant. Total private equity overhang remains elevated at $749 billion, only a slight decline from the end of 2014. As debt has become more readily available, purchase price multiples have increased from their low point in 2009.

• Hedge Funds – Hedge funds advanced in the month of September to conclude a strong quarter, as specialized technology, healthcare and energy exposures drove the gains. The HFRI Fund Weighted Composite Index gained 0.6% for the month, posting its 7th consecutive month of positive performance, and bringing the quarter gain to 3.0%. Through the first nine months of 2016, the HFRI has gained 4.2%, outperforming equities as measured by the MSCI World Index. The HFRI Event-Driven strategy has been one of the highest returning hedge fund segments, returning 4.4% over the quarter and leading all main strategies with a 6.7% year-to-date return.




3Q16 Performance Commentary

• Total Plan – Over the third quarter of 2016, (3Q16), the Total Fund returned +3.9%, and outperformed the policy benchmark return of +3.6%. For the trailing 12 months, the Total Fund returned +10.5% versus a policy benchmark return of +10.7%. According to the Wilshire TUCS Universe of public plans over $5 billion, the median return over the same period was +9.6%, placing Total Fund near the top 25th percentile.

– Over the trailing three-, five-, and ten-year periods, the Total Fund returned +7.1%, +10.1%, and +6.1%, respectively, slightly underperforming the policy benchmark returns of +7.3%, +10.7%, and +6.3%, respectively.

• Total Domestic Equity Composite – The Total Fund has $12.5 billion, or 36.0%, invested in domestic equity. Of that, 79.7% is invested passively. The passive investments are predominately in large-cap and all-cap stocks. Currently, active management is utilized in small, mid- stocks, and emerging managers fund-of-funds mandates. During the quarter, an emerging manager search was initiated.

– Over 3Q16, the Total Domestic Equity Composite returned +4.6% versus the Russell 3000 return of +4.4%. The Small-Cap Active and Large-Cap Active components underperformed the Russell 2000 and Russell 1000 indexes respectively, while the Mid-Cap Active outperformed the Russell Midcap Index. The Emerging Managers component, predominately small-cap strategies, also underperformed.

– A notable detractor for 3Q16, was Ceredex, a deep value small-cap strategy, which underperformed its benchmark by -2.9% for the quarter. Ceredex focuses on dividend-paying securities, trading at attractive valuations, and may lag during bull markets when valuations are ignored, but has traditionally protected during down market periods. The manager has outperformed versus its benchmark since its inception in 2013.




3Q16 Performance Commentary

• Total International Equity Composite – There is $5.6 billion, or 16.2% of the overall Total Fund, invested in International Equities. The composite allocation between passive and active is 27.9% in passive and 72.1% in active. When broken down by strategy, 47.6% is allocated in Developed Large-Cap, 11.3% in Developed Small-Cap, 38.7% in Emerging Markets, and 2.4% in Non-US Environmental strategies.

– Over 3Q16, the Total International Equity Composite outperformed its benchmark as the emerging markets were overweight, versus the composite benchmark, which added significant value. The overall asset class returned +8.7% which outpaced the MSCI ACWI Ex-US (Net) return of +6.9%. The active Emerging Markets and Developed Growth segments outperformed their indexes, while the Total Developed Value strategy underperformed its index.

• Total Fixed Income Composite – There is $10.9 billion, or 31.5% of the overall Total Fund, invested in total fixed income strategies. The composite allocation is 50.2% in Structured Fixed Income (which is 49.4% Investment Grade Credit, 33.3% Mortgages, and 17.3% Government bonds), 13.9% in TIPS, 13.2% in Enhanced Yield, 5.4% in Bank Loans, 2.1% in Convertible Bonds, and 8.7% in Opportunistic Fixed Income (OFI).

– Over 3Q16, the Total Fixed Income Composite returned +1.8%. With the Fed maintaining interest rates during the quarter, most fixed income sectors were positive. For the Fixed Income Composite; Enhanced Yield, Bank Loans, Convertible Bonds, and OFI, produced absolute solid returns. Relative to their respective benchmarks, the Enhanced Yield, Bank Loans, and Convertible Bonds underperformed, while Structured Credit and OFI outperformed.




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This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice.

This presentation represents the current opinion of the firm based on sources deemed reliable. The information and statistical data contained herein are based on sources believed to be reliable. Wilshire does not represent that it is accurate and should not be relied on as such or be the basis for an investment decision. This Presentation is for information purposes only. Past performance is no guarantee of future results.

Any opinions expressed in this Presentation are current only as of the time made and are subject to change without notice. Wilshire assumes no duty to update any such statements. Any holdings of a particular company or security discussed herein are under periodic review by the author and are subject to change at any time, without notice.

This report may include estimates, projections and other "forward-looking statements." Due to numerous factors, actual events may differ substantially from those presented.

This presentation is not to be used or considered as an offer to sell, or a solicitation to an offer to buy, any security. Nothing contained herein should be considered a recommendation or advice to purchase or sell any security. Wilshire, its officers, directors, employees or clients may have positions in securities or investments mentioned in this publication, which positions may change at any time, without notice.

Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders.

Copyright © 2016 Wilshire Associates Incorporated. All rights reserved.




TOTAL POLICE - Gross TOTAL POLICE - Net Mgr Police Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

0.00

1.50

3.00

4.50

6.00

7.50

9.00

10.50

12.00

13.50

Rat

e of

Ret

urn

3.93 3.87 3.62 3.93 3.87 3.62

10.46 10.2310.70

7.06 7.26

10.1310.67

6.11 6.337.14 7.26

TOTAL POLICE - Gross TOTAL POLICE - Net Mgr Police Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

0.00

1.50

3.00

4.50

6.00

7.50

9.00

10.50

12.00

13.50

Rat

e of

Ret

urn

3.93 3.87 3.62 3.93 3.87 3.62

10.46 10.2310.70

7.06 7.26

10.1310.67

6.11 6.337.14 7.26

Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 10 Years Benchmark 10 YearsStandard DeviationTOTAL POLICE 6.4 6.1 10.1 6.9 10.2 11.1

Market Value (Billions)

TOTAL POLICE $34.8

Total Portfolio Returns: September 30, 2016


2.0%

-0.1%

0.3%

-0.7%

0.6%

-0.4%

0.4%

-1.6% -1.8%

0.4% 0.2%

1.7%

-0.4%

-2.3%

-0.9%

0.5%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

$34.8 B Under Management

Asset Allocation

Relative Mix to New Policy Weights

Note: Brackets represent rebalancing ranges versus Policy.

Domestic Equity Developed Markets Emerging Markets REITS Infrastructure

Enhanced Yield Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash TIPS

Hedge Funds Private Equity

$2.3

6.6%

$1.5

4.4%

$1.5

4.4% $0.2

0.5%

$1.4

4.1% $0.4

1.1%

$0.2

0.7%

$1.0

2.7%

$0.6

1.7%

$12.5

36.0%

$5.7

16.2%

$2.2

6.3%

$0.1

0.4%

$3.4

9.9%

$0.2

0.6%

$1.5

4.3%

Portfolio Asset Allocation: September 30, 2016


-0.2%

0.0%

-0.4%

0.0% 0.0%

1.3%

-0.2%

0.3% 0.0% 0.0% 0.0% 0.0% 0.0%

-3.2%

0.7% 0.5%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

$34.8 B Under Management

Asset Allocation

Relative Mix to Adjusted New Policy Weights

Note: Brackets represent rebalancing ranges versus Policy.

Note: On September 30, 2016 Police's combined Fixed Income and Cash

portfolios have a duration of 5.7 years. The duration of the Barclays US

Aggregate Index was 5.5 years on that date.

Domestic Equity Developed Markets Emerging Markets REITS Infrastructure

Enhanced Yield Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash TIPS

Hedge Funds Private Equity

$2.3

6.6%

$2.3

6.6%

$1.5

4.4%

$1.5

4.4% $0.2

0.5%

$1.4

4.1% $0.4

1.1%

$0.2

0.7%

$1.0

2.7%

$0.6

1.7%

$12.5

36.0%

$5.7

16.2%

$2.2

6.3%

$0.1

0.4%

$3.4

9.9%

$0.2

0.6%

$1.5

4.3%

Portfolio Asset Allocation: September 30, 2016


3.87

3.62

0.25

0.02

0.23

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

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

Performance Attribution: Total Plan - Quarter Ending: September 30, 2016


10.23

10.70

-0.47 -0.27 -0.20

-1.50

0.00

1.50

3.00

4.50

6.00

7.50

9.00

10.50

12.00


Performance Attribution: Total Plan - 12 Month Ending: September 30, 2016


7.06 7.26

-0.20

0.07

-0.27

-1.50

0.00

1.50

3.00

4.50

6.00

7.50

9.00


Performance Attribution: Total Plan Gross of Investment Advisory Fees- 3 Years Ending: September 30, 2016


Quarter 12 Months 3 Years * Benchmark

TOTAL POLICE 0.02 -0.27 0.07 Police Policy Benchmark

TOTAL DOMESTIC EQUITY 0.01 -0.02 0.07 RUSSELL 3000

TOTAL DEVELOPED EQUITY -0.01 -0.03 -0.02 MSCI EAFE NET

TOTAL EMERGING MARKETS 0.00 -0.04 0.00 MSCI EMERGING MARKETS

TOTAL PRIVATE EQUITY 0.00 -0.03 0.00 NYC R3000 +3% Lagged

TOTAL PRIVATE REAL ESTATE 0.00 0.00 0.00 NCREIF NFI-ODCE NET + 1%

TOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%

TOTAL HEDGE FUNDS -0.01 -0.02 -0.01 1 Year Treasury Bill Yield + 4%

TOTAL REAL ESTATE SECURITIES 0.00 0.00 0.00 FTSE EPRA/NAREIT Developed

TOTAL STRUCTURED 0.08 0.04 0.05 NYC - CORE PLUS FIVE

TOTAL ENHANCED YIELD 0.01 0.00 -0.01 CITIGROUP BB & B

TOTAL BANK LOANS 0.00 0.00 0.00 CSFB LEVERAGED LOAN INDEX

TOTAL TIPS MANAGERS 0.00 0.00 0.08 BARCLAYS U.S TIPS INDEX

TOTAL CONVERTIBLE BONDS -0.01 0.00 0.00 BofAML ALL CONVERTIBLE - ex Mandatory

TOTAL OPPORTUNISTIC FIXED 0.00 0.00 0.00 10% Annual Return

TOTAL CASH -0.04 -0.17 -0.09

Quarter 12 Months 3 Years * Benchmark

TOTAL POLICE 0.23 -0.20 -0.27 Police Policy Benchmark

TOTAL DOMESTIC EQUITY 0.05 -0.24 -0.21 RUSSELL 3000

TOTAL DEVELOPED EQUITY 0.14 0.51 0.17 MSCI EAFE NET

TOTAL EMERGING MARKETS 0.03 0.01 0.05 MSCI EMERGING MARKETS

TOTAL PRIVATE EQUITY -0.05 -0.10 -0.19 NYC R3000 +3% Lagged

TOTAL PRIVATE REAL ESTATE 0.01 0.06 0.06 NCREIF NFI-ODCE NET + 1%

TOTAL INFRASTRUCTURE 0.00 0.01 0.01 CPI + 4%

TOTAL HEDGE FUNDS -0.01 -0.21 -0.07 1 Year Treasury Bill Yield + 4%

TOTAL REAL ESTATE SECURITIES 0.01 -0.02 -0.03 FTSE EPRA/NAREIT Developed

TOTAL STRUCTURED 0.05 0.03 0.03 NYC - CORE PLUS FIVE

TOTAL ENHANCED YIELD 0.00 -0.03 0.01 CITIGROUP BB & B

TOTAL BANK LOANS -0.01 -0.01 0.02 CSFB LEVERAGED LOAN INDEX

TOTAL TIPS MANAGERS 0.00 0.00 0.00 BARCLAYS U.S TIPS INDEX

TOTAL CONVERTIBLE BONDS -0.03 -0.01 0.00 BofAML ALL CONVERTIBLE - ex Mandatory

TOTAL OPPORTUNISTIC FIXED 0.02 -0.21 -0.12 10% Annual Return

TOTAL CASH 0.00 0.01 0.01

*Returns are Gross of Investment Advisory Fees

Allocation Effect - Asset Class Breakdown

Selection Effect - Asset Class Breakdown

Total Plan: September 30, 2016


Market Value (Billions) % of plan

TOTAL DOMESTIC EQUITY $12.5 36.0

TOTAL ACTIVE SMALL CAPTOTAL SMALL CAP PASSIVETOTAL SMALL MID CAPTOTAL ACTIVE MID CAPTOTAL MID CAP PASSIVETOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL FUND OF FUNDS

1.6%

29.9%

5.1%

2.2%

0.0%

4.1%

1.5%

9.5%

46.1%

TOTAL ACTIVE SMALL CAPTOTAL SMALL CAP PASSIVETOTAL SMALL MID CAPTOTAL ACTIVE MID CAPTOTAL MID CAP PASSIVETOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL FUND OF FUNDS

1.6%

29.9%

5.1%

2.2%

0.0%

4.1%

1.5%

9.5%

46.1%

Total Domestic Equity Asset Allocations: September 30, 2016


TOTAL ACTIVE INTERNATIONAL EQUITYPOLICE-TOTAL PASSIVE INTERNATIONAL EQUITY

27.9%

72.1%

TOTAL ACTIVE INTERNATIONAL EQUITYPOLICE-TOTAL PASSIVE INTERNATIONAL EQUITY

27.9%

72.1%

Asset Weight

Quarterly Returns - Funds and Benchmarks

Fund Benchmark Excess

TOTAL DEVELOPED GROWTH 20.26 8.90 4.96 3.94

TOTAL DEVELOPED VALUE 18.27 7.75 7.99 (0.24)

TOTAL DEVELOPED SMALL CAP ACTIVE 8.96 7.95 8.42 (0.47)

TOTAL DEVELOPED SMALL CAP PASSIVE 1.68 8.72 8.64 0.08

TOTAL DEVELOPED LARGE CAP PASSIVE 9.65 6.45 6.43 0.01

TOTAL NON-U.S. ENVIRONMENTAL 2.41 8.62 4.87 3.76

TOTAL ACTIVE EMERGING MARKETS 22.14 10.23 9.03 1.21

TOTAL PASSIVE EMERGING MARKETS 16.60 9.04 9.03 0.01

TOTAL INTERNATIONAL EQUITY 100.00 8.66 6.91 1.75


TOTAL INTERNATIONAL EQUITY $5.6 16.2

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

16.6%

22.1%

2.4%

9.7%

20.3%

18.3%

9.0%

1.7%

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

16.6%

22.1%

2.4%

9.7%

20.3%

18.3%

9.0%

1.7%

International Equity Asset Allocation: September 30, 2016

New York City Police Pension Fund, Subchapter Two 17Performance Overview as of September 30, 2016 Totals may not add due to rounding


TOTAL STRUCTURED $5.5 15.8

TOTAL GOVERNMENTTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

49.4%

17.3%

33.3%

TOTAL GOVERNMENTTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

49.4%

17.3%

33.3%

Structured Fixed Income Asset Allocation: September 30, 2016


City of New YorkPerformance Comparison

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

Cumulative Periods Ending : September 30, 2016

Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 4.53 6.44 9.37 11.70 5.62 7.78 9.45 11.02 9.83 6.6025th 3.91 5.99 7.55 10.41 5.21 7.12 8.65 10.25 9.13 6.1950th 3.54 5.46 6.77 9.59 4.78 6.86 8.25 9.80 8.84 5.9175th 3.31 5.08 6.25 8.76 4.03 6.16 7.36 8.97 8.04 5.5695th 2.44 4.61 5.46 7.59 3.45 5.24 5.76 7.15 6.35 5.04

No. Of Obs 45 45 44 44 44 44 44 44 41 40

Total System - Police 3.93 (23) 6.02 (21) 7.83 (18) 10.47 (20) 5.21 (25) 7.06 (31) 8.57 (31) 10.13 (31) 9.05 (32) 6.11 (30)Police Policy Benchmar 3.62 (43) 5.79 (27) 8.16 (14) 10.70 (12) 5.25 (20) 7.26 (16) 8.48 (36) 10.67 (12) 9.35 (20) 6.33 (8)Public Mkt Equiv 25 3.98 (19) 5.43 (52) 5.89 (89) 10.28 (27) 4.04 (72) 6.13 (75) 8.54 (34) 10.60 (12) 8.59 (65) 5.49 (83)Public Mkt Equiv 35 3.46 (61) 5.11 (72) 6.07 (82) 9.84 (40) 4.29 (65) 6.12 (75) 7.92 (61) 9.82 (47) 8.26 (72) 5.61 (70)

Wilshire Trust Universe Comparison Service® (TUCS®)



City of New YorkPerformance Comparison

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

Consecutive Time Periods: September 30, 2016

Percentile Rankings Sep 16 Jun 16 Mar 16 Dec 15 Sep 15 Sep 16 Sep 15 Sep 14 Sep 13 Sep 125th 4.53 3.22 3.56 3.72 -2.24 11.70 1.89 12.87 15.07 18.9625th 3.91 2.04 1.71 2.88 -3.66 10.41 0.80 11.58 13.59 17.1950th 3.54 1.82 1.35 2.34 -4.31 9.59 -0.18 10.90 12.78 16.2675th 3.31 1.62 1.05 2.02 -4.82 8.76 -0.78 10.09 11.87 14.3295th 2.44 1.34 0.52 1.44 -5.66 7.59 -1.52 8.03 4.23 12.65

No. Of Obs 45 46 45 45 45 44 45 45 45 45

Total System - Police 3.93 (23) 2.02 (31) 1.71 (25) 2.44 (40) -4.57 (63) 10.47 (20) 0.20 (40) 10.86 (54) 13.22 (38) 16.62 (45)Police Policy Benchmar 3.62 (43) 2.09 (21) 2.24 (5) 2.35 (47) -4.47 (56) 10.70 (12) 0.06 (45) 11.42 (29) 12.19 (65) 19.90 (1)Public Mkt Equiv 25 3.98 (19) 1.40 (94) 0.44 (96) 4.15 (1) -6.00 (99) 10.28 (27) -1.84 (96) 10.44 (65) 16.08 (1) 19.26 (1)Public Mkt Equiv 35 3.46 (61) 1.60 (77) 0.91 (84) 3.56 (5) -4.98 (82) 9.84 (40) -0.98 (79) 9.88 (77) 13.53 (27) 17.73 (17)

Wilshire Trust Universe Comparison Service® (TUCS®)



Information provided by the New York City Comptroller

INVESTMENT STYLE (EQUITIES) MV 06-30-15 ($MM) Mgmt Fees in Basis Points

MV 09-30-15 ($MM) Mgmt in Basis Points

US Equities 11,696 13.14 10,965 11.12

Small Cap Active 724 68.42 539 54.99 Small Cap Growth 120 70.43 112 100.00

Small Cap Value 232 55.40 213 58.30 Small Cap core 253 44.53 109 35.00

Small Cap Fundamental Index 119 19.49 105 21.06

Small/Mid Cap Active 262 62.42 131 91.40 Small/Mid Cap Growth 148 65.83 131 91.40

Small/Mid Cap Value 114 57.97 - 0.00

Mid Cap Active 1,194 50.83 1,087 50.73 Mid Cap Growth 478 50.92 438 47.60

Mid Cap Value 496 49.23 443 51.05 Mid Cap core 220 54.24 207 56.66

Russell 1000 Active 395 13.10 366 13.53 Russell 1000 Fundamental Index 395 13.10 366 13.53

Active Emerging Managers (U.S. Equities) 207 73.45 184 76.86

Total US Active Equities 2,782 52.83 2,308 50.22

Total US Passive Equities 8,914 0.75 8,658 0.69

Opportunistic/ Environmental US E. Strategies - - - -

International Equities 5,207 30.70 4,937 28.76

Active EAFE Equities 2,673 32.06 2,380 32.66 Growth 1,117 28.31 978 28.83

Value 1,080 28.08 955 28.26 Core 0 0.00

Small Cap 476 47.29 447 50.44

Non-US Environmental Strategies 118 43.99 109 54.63

Active Emerging Markets 1,239 52.38 1,060 49.17

Total Int'l Active Equities 4,029 38.66 3,549 38.26

Total Int’l Passive Equities 1,178 3.49 1,388 4.48

REITS Passive Index 170 10.28 169 9.95

2015 2016

POLICE RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDING JUNE 30, 2015 AND

ESTIMATED FEES FOR FY 2016 UPDATED THROUGH SEPTEMBER 2015

Actual Estimates

Actual and Estimated Fees


Information provided by the New York City Comptroller

INVESTMENT STYLE (FIXED INCOME) MV 06-30-15 ($MM) Mgmt Fees in Basis Points

MV 09-30-15 ($MM) Mgmt in Basis Points

Fixed Income 10,417 12.14 9,914 12.54 Structured Program 5,706 7.54 5,764 7.33

Government Sector 823 6.71 849 6.44 Mortgage Sector 2,229 6.17 2,256 5.82

Investment Grade Credit Sector 2,654 8.94 2,659 8.89

Global Fixed Income 69 9.45 69 21.07

Progress Fixed Emerging Managers 74 34.41 74 34.25

TIPS 954 2.26 942 1.87 Active TIPS 239 7.23 236 5.97

Passive TIPS 715 0.61 706 0.50

Enhanced Yield 1,336 33.99 1,268 34.38

Bank Loans 568 30.28 565 30.88

Convertible Bonds 221 40.37 210 41.46

ETI - Access - RBC 64 23.16 62 22.65

ETI - AFL-CIO HIT 121 42.51 123 42.64

Total Public Markets (Externally managed) 26,185 16.87 25,149 15.50

Other ETI Programs 133 - 145 -

In-House Short Term 1,172 - 691 0.00

Total Public Markets 27,490 16.07 25,985 15.00

INVESTMENT STYLE (PRIVATE)

Hedge Funds 1,219 167.79 962 148.98

Private Equities 2,118 123.78 2,301 129.17 1

Real Assets 1,343 119.70 1,364 105.40 1 Private Real Estate 1,252 120.56 1,273 101.97

Infrastructure 90 70.77 91 88.74 2

Opportunistic Fixed Income 851 57.38 869 61.16

Total Private Markets 5,531 122.27 5,498 115.98 3

Total Overall 33,020 33.86 31,483 32.64 4

Footnotes1 - Private Equity & Real Assets Investments exclude GP CARRY & Incentive Fees .2- Infrastructure Fees are based on committed Amounts for each investment which are higher than the actual Market Values.3- Private Equity and Private Real Estate fees are based on Invested values and committed amounts depending on the age of the invesment.4- The Incentive Fees paid for the Police Fund in 2015 are 16.84 BPS.

POLICE RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDING JUNE 30, 2015 AND

ESTIMATED FEES FOR FY 2016 UPDATED THROUGH SEPTEMBER 2015

Actual Estimates2015 2016

Actual and Estimated Fees


NYC POLICE DEPARTMENT PENSION FUND SECURITIES LENDING INCOME September 30, 2016

U.S. U.S. INTERNATIONAL FIXED INCOME EQUITY EQUITY 1989* $254,000 -- -- 1990 288,000 -- -- 1991 464,000 -- -- 1992 996,000 $138,000 $126,000 1993 1,852,000 434,000 203,000 1994 1,846,000 815,000 317,000 1995 1,465,000 888,000 224,000 1996 1.465,000 1,051,000 379,000 1997 1,632,000 1,793,000 599,000 1998 2,770,000 2,517,000 1,006,000 1999 2,681,000 2,713,000 1,184,000 2000 2,697,000 2,899,000 1,520,000 2001 3,947,000 3,595,000 1,980,000 2002 2,646,000 3,401,000 1,725,000 2003 1,238,000 2,257,000 1,859,000 2004 1,515,000 2,306,000 2,097,000 2005 2,333,000 3,172,000 2,503,000 2006 2,104,000 5,043,000 2,243,000 2007 4,582,000 8,425,000 2,727,000 2008 13,856,000 16,383,000 3,872,000 2009 5,163,000 9,110,000 2,695,000 2010 2,405,000 5,813,000 1,979,000 2011 3,060,000 8,287,000 3,253,000 2012 4,213,000 10,047,000 2,545,000

2013 2,980,000 11,363,000 2,255,000

2014 3,478,000 6,803,000 5,786,000

2015 3,692,000 7,281,000 7,489,000

2016 (9 Months) 2,693,000 4,958,000 8,901,000

Since Inception $78,315,000 $121,492,000 $59,467,000 *Inception 4/89

Securities Lending Income


Appendix A

Consolidated Performance Report

New York CityPolice Pension Fund, Subchapter Two


Market Value

($MM)% of Total 3 Month FYTD CYTD 2015 2014 2013 2012 2011 5 Year 10 Year ITD

Inception Date

SYSTEM RETURN SUMMARY

5 POLICE-TOTAL PORTFOLIO - GROSS 34,781 100.00 3.93 3.93 7.83 0.47 7.60 16.66 13.01 0.83 10.13 6.11 8.54 07/01/1987POLICE - ESTIMATED INVESTMENT FEES (0.05) (0.05) (0.17) (0.23) (0.26) EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.03) (0.09) (0.13) (0.14) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.02) (0.02) (0.08) (0.10) (0.12) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSPOLICE-TOTAL PORTFOLIO - NET MGR 3.87 3.87 7.66 0.23 7.34 POLICE POLICY BENCHMARK 3.62 3.62 8.16 0.41 8.16 16.04 13.64 2.08 10.67 6.33 EXCESS RETURN 0.25 0.25 (0.50) (0.18) (0.81) 0.62 (0.63) (1.25) (0.54) (0.21)

EQUITY RETURN DETAIL

18 POLICE-TOTAL EQUITY (INCLUDES PE & RA) - GROSS 23,831 68.52 4.93 4.93 7.95 0.67 8.27 24.57 15.84 (2.32) 12.87 6.05 7.33 04/01/2004ESTIMATED INVESTMENT FEES (0.06) (0.06) (0.20) (0.29) (0.31) EST MANAGEMENT FEES (0.06) (0.06) (0.20) (0.29) (0.31) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSPOLICE-TOTAL EQUITY (INCL PE & RA) - NET MGR 4.87 4.87 7.75 0.38 7.96

26 POLICE-TOTAL DOMESTIC EQUITY - GROSS 12,530 36.03 4.55 4.55 8.30 0.03 11.42 34.93 16.78 (0.20) 16.38 7.40 10.92 12/01/1984ESTIMATED INVESTMENT FEES (0.02) (0.02) (0.08) (0.12) (0.13)POLICE-TOTAL DOMESTIC EQUITY - NET MGR 4.53 4.53 8.22 (0.10) 11.29 RUSSELL 3000 (DAILY) 4.40 4.40 8.18 0.48 12.56 33.55 16.42 1.03 16.36 7.37 10.99EXCESS RETURN 0.13 0.13 0.04 (0.57) (1.26) 1.38 0.37 (1.22) 0.03 0.03 (0.07)

36 POLICE-TOTAL SMALL CAP ACTIVE - GROSS 635 1.83 7.87 7.87 14.22 (2.65) 3.34 43.40 16.99 (5.76) 16.91 8.60 8.35 04/01/2004ESTIMATED INVESTMENT FEES (0.14) (0.14) (0.50) (0.60) (0.63)POLICE-TOTAL SMALL CAP ACTIVE - NET MGR 7.73 7.73 13.73 (3.25) 2.71 RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89 38.82 16.35 (4.18) 15.82 7.07 7.63EXCESS RETURN (1.32) (1.32) 2.27 1.17 (2.18) 4.58 0.64 (1.58) 1.09 1.53 0.72

46 POLICE-TOTAL SMALL CAP PASSIVE - GROSS 275 0.79 9.05 9.05 10.32 (3.56) 5.01 6.79 10/01/2013ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00) (0.00)POLICE-TOTAL SMALL CAP PASSIVE - NET MGR 9.05 9.05 10.32 (3.57) 5.01 RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89 6.71EXCESS RETURN (0.00) (0.00) (1.15) 0.85 0.11 0.08




Market Value


Inception Date


58 POLICE-TOTAL MID CAP ACTIVE - GROSS 513 1.47 6.36 6.36 8.87 (0.20) 10.58 38.07 20.86 (3.50) 17.56 7.68 8.20 04/01/2004ESTIMATED INVESTMENT FEES (0.15) (0.15) (0.41) (0.50) (0.55)POLICE-TOTAL MID CAP ACTIVE - NET MGR 6.21 6.21 8.46 (0.70) 10.03 RUSSELL MIDCAP (DAILY) 4.52 4.52 10.26 (2.44) 13.22 34.76 17.28 (1.55) 16.67 8.32 9.38EXCESS RETURN 1.69 1.69 (1.80) 1.74 (3.19) 3.31 3.58 (1.95) 0.89 (0.64) (1.17)

68 POLICE-TOTAL MID CAP PASSIVE - GROSS 189 0.54 4.11 4.11 11.53 (1.64) 10.10 33.39 17.74 16.46 11.24 02/01/2011ESTIMATED INVESTMENT FEES (0.03) (0.03) (0.03) (0.01) (0.01)POLICE-TOTAL MID CAP PASSIVE - NET MGR 4.09 4.09 11.50 (1.65) 10.09 S&P 400 MIDCAP INDEX (DAILY) 4.14 4.14 12.40 (2.18) 9.77 33.50 17.88 16.50 11.26EXCESS RETURN (0.06) (0.06) (0.90) 0.52 0.32 (0.11) (0.14) (0.04) (0.02)

78 POLICE-TOTAL RUSSELL 1000 ACTIVE - GROSS 1,189 3.42 3.41 3.41 9.03 (1.87) 10.98 41.42 15.50 0.19 16.69 7.64 7.97 04/01/2004ESTIMATED INVESTMENT FEES (0.03) (0.03) (0.10) (0.15) (0.25)POLICE-TOTAL RUSSELL 1000 ACTIVE - NET MGR 3.39 3.39 8.93 (2.01) 10.73 RUSSELL 1000 (DAILY) 4.03 4.03 7.92 0.92 13.24 33.11 16.42 1.50 16.41 7.40 7.81EXCESS RETURN (0.64) (0.64) 1.01 (2.93) (2.51) 8.31 (0.93) (1.31) 0.28 0.24 0.16

88 POLICE-TOTAL RUSSELL 1000 PASSIVE - GROSS 5,775 16.60 4.02 4.02 8.07 0.73 13.13 10.70 10/01/2013ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00) (0.00)POLICE-TOTAL RUSSELL 1000 PASSIVE - NET MGR 4.02 4.02 8.07 0.73 13.13 RUSSELL 1000 (DAILY) 4.03 4.03 7.92 0.92 13.24 10.78EXCESS RETURN (0.01) (0.01) 0.15 (0.19) (0.11) (0.08)

98 POLICE-TOTAL RUSSELL 3000 - GROSS 3,752 10.79 4.41 4.41 8.19 0.51 12.61 33.67 16.35 1.08 16.38 7.44 11.12 12/01/1984ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.01) (0.01)POLICE-TOTAL RUSSELL 3000 - NET MGR 4.40 4.40 8.18 0.50 12.60 RUSSELL 3000 (DAILY) 4.40 4.40 8.18 0.48 12.56 33.55 16.42 1.03 16.36 7.37 10.99EXCESS RETURN 0.01 0.01 0.00 0.02 0.04 0.12 (0.06) 0.05 0.03 0.07 0.13

108 POLICE-TOTAL FUND OF FUNDS - GROSS 202 0.58 7.72 7.72 7.99 (5.52) 2.39 40.31 12.46 06/01/2012ESTIMATED INVESTMENT FEES (0.19) (0.19) (0.60) (0.72) (0.78)POLICE-TOTAL FUND OF FUNDS - NET MGR 7.53 7.53 7.39 (6.24) 1.62 RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89 38.82 13.73EXCESS RETURN (1.52) (1.52) (4.07) (1.83) (3.28) 1.49 (1.27)




Market Value


Inception Date


120 POLICE-TOTAL INTERNATIONAL - GROSS 5,621 16.16 8.66 8.66 9.69 (5.91) (3.05) 14.06 16.48 (14.17) 6.74 2.42 6.25 11/01/1990ESTIMATED INVESTMENT FEES (0.08) (0.08) (0.23) (0.28) (0.31) EST MANAGEMENT FEES (0.08) (0.08) (0.23) (0.28) (0.31) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSPOLICE-TOTAL INTERNATIONAL - NET MGR 8.59 8.59 9.46 (6.19) (3.36) MSCI AC WORLD EX US (NET) 6.91 6.91 5.82 (5.66) (3.87) 15.29 16.83 (13.71) 6.04 2.16 EXCESS RETURN 1.68 1.68 3.63 (0.53) 0.51 (1.23) (0.35) (0.47) 0.70 0.25

130 POLICE-TOTAL DEVELOPED GROWTH ACTIVE - GROSS 1,139 3.27 8.90 8.90 8.99 (1.35) (5.21) 25.26 19.52 (11.67) 9.92 4.58 7.39 04/01/2004ESTIMATED INVESTMENT FEES (0.08) (0.08) (0.23) (0.28) (0.27)POLICE-TOTAL DEVELOPED GROWTH ACTIVE - NET MGR 8.82 8.82 8.76 (1.63) (5.48) MSCI EAFE GROWTH 4.96 4.96 2.63 4.09 (4.43) 22.55 16.86 (12.11) 8.73 3.14 5.39EXCESS RETURN 3.87 3.87 6.13 (5.72) (1.05) 2.71 2.66 0.44 1.19 1.44 2.00

140 POLICE-TOTAL DEVELOPED VALUE ACTIVE - GROSS 1,027 2.95 7.75 7.75 4.56 (6.01) (3.82) 28.90 9.46 (11.07) 6.60 1.02 4.83 04/01/2004ESTIMATED INVESTMENT FEES (0.07) (0.07) (0.22) (0.26) (0.26)POLICE-TOTAL DEVELOPED VALUE ACTIVE - NET MGR 7.67 7.67 4.34 (6.28) (4.08) MSCI EAFE VALUE NET (DAILY) 7.99 7.99 0.82 (5.68) (5.39) 22.95 17.69 (12.17) 5.99 0.44 4.11EXCESS RETURN (0.32) (0.32) 3.53 (0.59) 1.31 5.95 (8.23) 1.11 0.62 0.58 0.73

150 POLICE-TOTAL DEVELOPED SMALL CAP ACTIVE - GROSS 504 1.45 7.95 7.95 6.07 10.89 (4.79) 7.89 05/01/2013ESTIMATED INVESTMENT FEES (0.13) (0.13) (0.39) (0.55) (0.48)POLICE-TOTAL DEVELOPED SMALL CAP ACTIVE - NET MGR 7.82 7.82 5.68 10.34 (5.26) S&P EPAC SMALL CAP USD NET 8.42 8.42 4.88 8.58 (3.43) 7.07EXCESS RETURN (0.61) (0.61) 0.79 1.76 (1.83) 0.82

160 POLICE-TOTAL DEVELOPED SMALL CAP PASSIVE - GROSS 95 0.27 8.72 8.72 5.78 9.88 4.60 02/01/2014ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.02) (0.02)POLICE-TOTAL DEVELOPED SMALL CAP PASSIVE - NET MGR 8.71 8.71 5.76 9.86 4.58MSCI EAFE SMALL CAP NET (DAILY) 8.64 8.64 5.19 9.59 4.09EXCESS RETURN 0.07 0.07 0.58 0.27 0.49

170 POLICE-TOTAL DEVELOPED LARGE CAP PASSIVE - GROSS 543 1.56 6.45 6.45 2.08 (0.53) (4.73) 23.10 17.54 7.67 3.38 02/01/2011ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.02) (0.02)POLICE-TOTAL DEVELOPED LARGE CAP PASSIVE - NET MGR 6.44 6.44 2.07 (0.54) (4.75) MSCI EAFE 6.43 6.43 1.73 (0.81) (4.90) 22.78 17.32 7.39 3.06EXCESS RETURN 0.01 0.01 0.34 0.27 0.15 0.32 0.22 0.29 0.31




Market Value


Inception Date


182 POLICE-TOTAL NON-U.S. ENVIRONMENTAL - GROSS 135 0.39 8.62 8.62 13.14 7.63 11.99 28.87 19.40 (7.77) 17.46 7.45 09/01/2008ESTIMATED INVESTMENT FEES (0.15) (0.15) (0.46) (0.58) (0.61)POLICE-TOTAL NON-U.S. ENVIRONMENTAL - NET MGR 8.47 8.47 12.68 7.04 11.39 MSCI WORLD INDEX 4.87 4.87 5.55 (0.87) 4.94 26.68 15.83 (5.54) 11.63 5.35EXCESS RETURN 3.61 3.61 7.13 7.91 6.45 2.19 3.58 (2.23) 5.83 2.10

192 POLICE-EMERGING MARKETS ACTIVE - GROSS 1,245 3.58 10.23 10.23 15.42 (14.20) (0.62) 1.04 15.90 (20.17) 3.87 3.88 8.35 04/01/2004ESTIMATED INVESTMENT FEES (0.13) (0.13) (0.40) (0.42) (0.49)POLICE-EMERGING MARKETS ACTIVE - NET MGR 10.11 10.11 15.01 (14.62) (1.11) MSCI EMERGING MARKETS 9.03 9.03 16.02 (14.92) (2.19) (2.60) 18.22 (18.42) 3.03 3.94 7.74EXCESS RETURN 1.08 1.08 (1.00) 0.30 1.08 3.64 (2.32) (1.75) 0.84 (0.06) 0.60

202 POLICE-EMERGING MARKETS PASSIVE - GROSS 933 2.68 9.04 9.04 16.28 (14.86) (2.23) (1.97) 18.27 3.11 (2.06) 04/01/2011ESTIMATED INVESTMENT FEES (0.01) (0.01) (0.05) (0.05) (0.06)POLICE-EMERGING MARKETS PASSIVE - NET MGR 9.02 9.02 16.23 (14.91) (2.29) MSCI EMERGING MARKETS 9.03 9.03 16.02 (14.92) (2.19) (2.60) 18.22 3.03 (2.12)EXCESS RETURN (0.00) (0.00) 0.21 0.00 (0.10) 0.63 0.04 0.08 0.06




Market Value


Inception Date


220 POLICE-TOTAL HEDGE FUNDS - NET MGR 1,488 4.28 1.00 1.00 0.58 (1.54) 5.21 07/01/2011HFRI FUND OF FUNDS COMPOSITE INDEX + 1% 2.68 2.68 0.53 0.73 4.40EXCESS RETURN (1.68) (1.68) 0.05 (2.27) 0.81

230 POLICE-TOTAL DIRECT HEDGE FUNDS - NET MGR 1,338 3.85 0.56 0.56 0.75 (1.41) 5.66 01/01/2012HFRI FUND OF FUNDS COMPOSITE INDEX + 1% 2.68 2.68 0.53 0.73 4.40EXCESS RETURN (2.12) (2.12) 0.22 (2.14) 1.26

240 POLICE-TOTAL PERMAL HEDGE FUNDS - NET MGR 150 0.43 4.92 4.92 0.41 (2.14) 2.75 07/01/2011HFRI FUND OF FUNDS COMPOSITE INDEX + 1% 2.68 2.68 0.53 0.73 4.40EXCESS RETURN 2.24 2.24 (0.12) (2.88) (1.65)




Market Value


Inception Date


246 POLICE-TOTAL REAL ESTATE SECURITIES - GROSS 192 0.55 1.01 1.01 9.58 0.28 15.89 3.29 10.46 06/01/2012ESTIMATED INVESTMENT FEES (0.03) (0.03) (0.08) (0.10) (0.11)POLICE-TOTAL REAL ESTATE SECURITIES - NET MGR 0.99 0.99 9.50 0.18 15.77 FTSE EPRA/NAREIT DEVEL. LIQUID 0.81 0.81 8.89 (0.51) 14.98 2.53 10.00EXCESS RETURN 0.17 0.17 0.61 0.68 0.79 0.75 0.46

256 POLICE-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 2,310 6.64 2.95 2.95 5.89 11.70 14.94 9.65 11.60 14.23 10.51 9.82 12.65 04/01/2004NYC R3000 +3% LAGGED 3.39 3.39 12.57 2.49 21.24 24.53 35.20 5.55 15.33 11.85 12.15EXCESS RETURN (0.44) (0.44) (6.68) 9.21 (6.31) (14.88) (23.61) 8.68 (4.82) (2.03) 0.50

266 POLICE-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 1,542 4.43 2.61 2.61 8.94 16.65 18.00 14.02 14.67 20.18 14.82 4.85 8.02 04/01/2004NCREIF NFI-ODCE NET + 100 BP 2.08 2.08 6.59 15.08 12.56 14.02 10.88 16.09 12.44 EXCESS RETURN 0.52 0.52 2.35 1.57 5.44 (0.01) 3.78 4.09 2.37

276 POLICE-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 147 0.42 2.93 2.93 7.73 15.14 20.26 15.17 12/01/2013CPI + 4% 1.45 1.45 4.27 4.72 4.70 5.07EXCESS RETURN 1.49 1.49 3.46 10.42 15.55 10.10




Market Value


Inception Date

FIXED INCOME RETURN DETAIL

288 POLICE-TOTAL FIXED INCOME - GROSS 10,943 31.46 1.83 1.83 7.41 (0.17) 6.20 0.85 7.97 7.05 4.69 5.87 8.41 02/01/1980ESTIMATED INVESTMENT FEES (0.03) (0.03) (0.11) (0.12) (0.14) EST MANAGEMENT FEES (0.03) (0.03) (0.11) (0.12) (0.14) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSPOLICE-TOTAL FIXED INCOME - NET MGR 1.79 1.79 7.31 (0.29) 6.06

296 POLICE-TOTAL STRUCTURED FIXED INCOME - GROSS 5,499 15.81 1.02 1.02 7.32 0.56 7.69 (1.99) 6.57 8.88 4.24 5.79 7.91 01/01/1985ESTIMATED INVESTMENT FEES (0.02) (0.02) (0.06) (0.07) (0.09)POLICE-TOTAL STRUCTURED FIXED INCOME - NET MGR 1.00 1.00 7.26 0.48 7.60 NYC - CORE PLUS FIVE 0.69 0.69 7.06 0.41 7.66 (2.79) 5.41 9.40 3.74 5.50 EXCESS RETURN 0.31 0.31 0.19 0.07 (0.06) 0.80 1.16 (0.53) 0.50 0.29

306 POLICE-TOTAL CORE FIXED INCOME - GROSS 73 0.21 1.06 1.06 6.52 1.28 5.74 (1.20) 6.22 8.18 4.06 5.73 05/01/2009ESTIMATED INVESTMENT FEES (0.05) (0.05) (0.17) (0.20) (0.17)POLICE-TOTAL CORE FIXED INCOME - NET MGR 1.01 1.01 6.35 1.08 5.57 BBG BARC AGG (DLY) 0.46 0.46 5.80 0.55 5.97 (2.02) 4.21 7.84 3.08 4.56EXCESS RETURN 0.55 0.55 0.56 0.53 (0.39) 0.82 2.01 0.34 0.98 1.17

316 POLICE-TOTAL FIXED INCOME FUND OF FUND - GROSS 79 0.23 0.80 0.80 6.04 1.00 6.21 (1.58) 3.20 06/01/2012ESTIMATED INVESTMENT FEES 0.00 0.00 (0.18) (0.35) (0.36)POLICE-TOTAL FIXED INCOME FUND OF FUND - NET MGR 0.80 0.80 5.87 0.65 5.85 BBG BARC AGG (DLY) 0.46 0.46 5.80 0.55 5.97 (2.02) 2.75EXCESS RETURN 0.34 0.34 0.07 0.10 (0.12) 0.45 0.45

326 POLICE-TOTAL TIPS - GROSS 1,518 4.36 0.98 0.98 7.33 (1.29) 3.52 (8.47) 7.17 13.52 2.03 4.60 4.30 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.03) (0.07)POLICE-TOTAL TIPS - NET MGR 0.98 0.98 7.32 (1.32) 3.45 BBG BARC GBL INF-LK: US TIPS (DLY) 0.96 0.96 7.27 (1.44) 3.64 (8.61) 6.98 13.56 1.93 4.48 4.15EXCESS RETURN 0.01 0.01 0.05 0.12 (0.19) 0.14 0.19 (0.04) 0.10 0.12 0.15

336 POLICE-TOTAL ENHANCED YIELD - GROSS 1,442 4.15 5.16 5.16 13.39 (3.94) 2.80 8.14 14.53 6.05 7.90 7.58 7.92 10/01/1994ESTIMATED INVESTMENT FEES (0.09) (0.09) (0.29) (0.33) (0.35)POLICE-TOTAL ENHANCED YIELD - NET MGR 5.07 5.07 13.11 (4.26) 2.45 CITIGROUP BB & B 5.13 5.13 13.71 (4.21) 2.78 6.17 14.45 6.58 7.61 6.27 7.05EXCESS RETURN (0.06) (0.06) (0.60) (0.05) (0.34) 1.97 0.07 (0.53) 0.30 1.31 0.87




Market Value


Inception Date

FIXED INCOME RETURN DETAIL

348 POLICE- TOTAL BANK LOANS - GROSS 594 1.71 2.73 2.73 6.63 1.80 2.76 6.54 4.77 12/01/2012ESTIMATED INVESTMENT FEES (0.08) (0.08) (0.25) (0.32) (0.32)POLICE-TOTAL BANK LOANS - NET MGR 2.65 2.65 6.38 1.49 2.44 CSFB LEVERAGED LOAN INDEX 3.10 3.10 7.46 (0.38) 2.06 6.15 4.14EXCESS RETURN (0.45) (0.45) (1.08) 1.87 0.38 0.39 0.63

358 POLICE-TOTAL CONVERTIBLE BONDS - GROSS 228 0.65 3.80 3.80 6.48 (0.41) 9.44 16.96 11.69 (3.62) 9.45 6.72 07/01/2008ESTIMATED INVESTMENT FEES (0.10) (0.10) (0.32) (0.41) (0.45)POLICE-TOTAL CONVERTIBLE BONDS - NET MGR 3.69 3.69 6.16 (0.81) 8.99 BOFAML ALL CONVERTIBLE EX M AI (DAILY) 7.41 7.41 8.87 (2.89) 9.33 25.00 14.41 (3.42) 11.49 8.05EXCESS RETURN (3.72) (3.72) (2.71) 2.08 (0.34) (8.04) (2.72) (0.20) (2.04) (1.33)

368 POLICE-TOTAL OPPORTUNISTIC FIXED INCOME 956 2.75 3.32 3.32 4.64 (1.34) 8.86 17.15 22.48 (4.67) 8.25 8.03 10/01/200710% ANNUAL RETURN 2.41 2.41 7.41 10.00 10.00 10.00 10.00 10.00 10.00 10.00EXCESS RETURN 0.90 0.90 (2.77) (11.34) (1.14) 7.15 12.48 (14.67) (1.75) (1.97)

378 POLICE-TOTAL TARGETED INVESTMENTS (NO CASH) 380 1.09 0.74 0.74 7.07 4.04 8.06 2.22 6.32 6.47 5.79 6.51 8.48 12/01/1984POLICE CUSTOM BENCHMARK (NO CASH) 0.55 0.55 4.67 1.40 6.11 (1.66) 3.41 7.74 2.99 4.90 EXCESS RETURN 0.19 0.19 2.40 2.65 1.95 3.87 2.92 (1.27) 2.80 1.62

CASH SUMMARY

390 POLICE SHORT TERM - GROSS 173 0.50 0.09 0.09 0.73 0.47 0.23 0.21 0.40 0.43 0.43 1.51 04/01/1982ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00POLICE SHORT TERM - NET MGR 0.09 0.09 0.73 0.47 0.23 0.21 0.40 0.43 0.43 1.51

394 C/D - FAIL FLOAT EARNINGS 1 0.00

396 SECURITY LENDING 5 0.01





Appendix B

Public Markets Manager Performance Detail


Market Value ($MM)% ofTotal 3 Month FYTD CYTD 2015 2014

EQUITY SUMMARY

US EQUITY

State Street Global Adv R3000 3,752 10.79 4.40 4.40 8.18 0.47 12.59

RUSSELL 3000 (DAILY) 4.40 4.40 8.18 0.48 12.56

Excess 0.01 0.01 (0.00) (0.01) 0.04

NYC POLICE BLACKROCK R2000 GROWTH 172 0.49 9.23 9.23 7.51 (1.30) 5.50

RUSSELL 2000 GROWTH DAILY 9.22 9.22 7.48 (1.38) 5.60

Excess 0.01 0.01 0.02 0.08 (0.11)

NYC POLICE BLACKROCK R2000 VALUE 103 0.29 8.74 8.74 15.40 (7.38) 4.11

RUSSELL 2000 VALUE DAILY 8.87 8.87 15.49 (7.47) 4.22

Excess (0.12) (0.12) (0.09) 0.09 (0.11)

Brown AM - SCG 136 0.39 9.03 9.03 11.20 8.62 2.93

RUSSELL 2000 GROWTH DAILY 9.22 9.22 7.48 (1.38) 5.60

Excess (0.19) (0.19) 3.72 10.00 (2.68)

Ceredex SCV 123 0.35 5.97 5.97 21.68 (4.74) 2.55


Excess (2.90) (2.90) 6.19 2.73 (1.66)

Dalton Greiner (Value) - Small Cap 126 0.36 7.47 7.47 10.80 (3.32) 4.47


Excess (1.40) (1.40) (4.69) 4.15 0.25

DFA Small Cap 126 0.36 7.59 7.59 11.79 (3.86) 4.48

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (1.46) (1.46) 0.33 0.56 (0.42)


Net Returns Through September 30, 2016



RAFI - SC Fundamental 124 0.36 8.51 8.51 14.25 (6.65) 4.72

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (0.54) (0.54) 2.79 (2.23) (0.17)

State St GA S&P 400 189 0.54 4.09 4.09 11.50 (1.65) 10.09

S&P 400 MIDCAP INDEX (DAILY) 4.14 4.14 12.40 (2.18) 9.77

Excess (0.06) (0.06) (0.90) 0.52 0.32

Iridian Asset Mgmt. MCV 286 0.82 7.54 7.54 4.84 (3.71) 14.04

RUSSELL MIDCAP VALUE (DAILY) 4.45 4.45 13.72 (4.78) 14.75

Excess 3.09 3.09 (8.87) 1.07 (0.71)

Wellington Mgmt. MCC 227 0.65 4.48 4.48 7.45 1.76 10.93

S&P 400 MIDCAP INDEX (DAILY) 4.14 4.14 12.40 (2.18) 9.77

Excess 0.34 0.34 (4.95) 3.93 1.16

NYC POLICE BLACKROCK R1000 GROWTH 2,851 8.20 4.58 4.58 6.10 5.60 12.91

RUSSELL 1000 GROWTH - DAILY 4.58 4.58 6.00 5.67 13.05

Excess (0.00) (0.00) 0.09 (0.07) (0.14)

NYC POLICE BLACKROCK R1000 VALUE 2,923 8.40 3.49 3.49 10.09 (4.02) 13.39

RUSSELL 1000 VALUE (DAILY) 3.48 3.48 10.00 (3.83) 13.45

Excess 0.00 0.00 0.10 (0.19) (0.06)

RAFI - LC Fundamental 1,051 3.02 3.65 3.65 9.95 (3.09) 12.04

RUSSELL 1000 (DAILY) 4.03 4.03 7.92 0.92 13.24

Excess (0.38) (0.38) 2.03 (4.01) (1.20)

VTL S&P 500 Fundamental 138 0.40 3.01 3.01 7.08 (1.26) 13.81

S&P 500 INDEX (DAILY) 3.85 3.85 7.84 1.38 13.69

Excess (0.84) (0.84) (0.76) (2.64) 0.12





FUND OF FUNDS

POLICE-FUND OF FUNDS 202 0.58 7.53 7.53 7.39 (6.24) 1.62

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (1.52) (1.52) (4.07) (1.83) (3.28)

POLICE-TOTAL ATTUCKS 41 0.12 7.37 7.37 6.22 (6.62) 2.12

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (1.68) (1.68) (5.24) (2.21) (2.77)

POLICE-TOTAL CAPITAL PROSPECTS 49 0.14 7.77 7.77 7.15 (6.51) 1.54

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (1.27) (1.27) (4.32) (2.09) (3.35)

POLICE-TOTAL PROGRESS EQUITY 59 0.17 6.79 6.79 7.60 (7.48) 1.43

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (2.26) (2.26) (3.86) (3.07) (3.46)

POLICE-TOTAL FIS 53 0.15 8.25 8.25 8.38 (4.25) 1.49

RUSSELL 2000 (DAILY) 9.05 9.05 11.46 (4.41) 4.89

Excess (0.79) (0.79) (3.08) 0.16 (3.40)

NON - US EQUITY

Baillie Gifford 514 1.48 12.11 12.11 7.31 (3.81) (6.77)

MSCI EAFE GROWTH 4.96 4.96 2.63 4.09 (4.43)

Excess 7.15 7.15 4.68 (7.90) (2.34)

Walter Scott 625 1.80 6.26 6.26 9.97 0.28 (3.56)

MSCI EAFE GROWTH 4.96 4.96 2.63 4.09 (4.43)

Excess 1.31 1.31 7.35 (3.81) 0.87

Causeway 462 1.33 6.67 6.67 (0.30) (2.39) (5.18)

MSCI EAFE VALUE NET (DAILY) 7.99 7.99 0.82 (5.68) (5.39)

Excess (1.32) (1.32) (1.11) 3.29 0.21





Sprucegrove 565 1.62 8.51 8.51 8.46 (9.44) (3.32)

MSCI EAFE VALUE NET (DAILY) 7.99 7.99 0.82 (5.68) (5.39)

Excess 0.52 0.52 7.65 (3.75) 2.07

Acadian 251 0.72 8.02 8.02 8.12 8.68 (4.92)

S&P EPAC Small Cap USD NET 8.42 8.42 4.88 8.58 (3.43)

Excess (0.40) (0.40) 3.24 0.09 (1.49)

Pyramis 253 0.73 7.62 7.62 3.36 11.97 (5.60)

S&P EPAC Small Cap USD NET 8.42 8.42 4.88 8.58 (3.43)

Excess (0.81) (0.81) (1.53) 3.38 (2.17)

SSGA 543 1.56 6.44 6.44 2.07 (0.54) (4.75)

MSCI EAFE 6.43 6.43 1.73 (0.81) (4.90)

Excess 0.01 0.01 0.34 0.27 0.15

SSGA MSCI EAFE Small Cap Index 95 0.27 8.71 8.71 5.76 9.86

MSCI EAFE SMALL CAP NET (DAILY) 8.64 8.64 5.19 9.59

Excess 0.07 0.07 0.58 0.27

Generation GE 135 0.39 8.47 8.47 12.68 7.04 11.39

MSCI World Index 4.87 4.87 5.55 (0.87) 4.94

Excess 3.61 3.61 7.13 7.91 6.45

EMERGING MARKETS

DFA 299 0.86 9.30 9.30 18.99 (19.39) (4.50)

MSCI EMERGING MARKETS 9.03 9.03 16.02 (14.92) (2.19)

Excess 0.27 0.27 2.97 (4.48) (2.31)

Ballie Gifford 308 0.89 14.51 14.51 10.11 (8.00) 0.10


Excess 5.49 5.49 (5.91) 6.92 2.29





PARAMETRIC EM 321 0.92 6.20 6.20 15.74 (15.72) (3.92)


Excess (2.82) (2.82) (0.28) (0.80) (1.73)

ACADIAN 317 0.91 10.85 10.85 15.65 (15.05) 3.79


Excess 1.82 1.82 (0.37) (0.13) 5.98

Blackrock EM 933 2.68 9.02 9.02 16.23 (14.91) (2.29)


Excess (0.00) (0.00) 0.21 0.01 (0.10)

REAL ESTATE SECURITIES

CONY GT SSGA REIT 192 0.55 0.99 0.99 9.50 0.18 15.77

FTSE EPRA/NAREIT Devel. Liquid 0.81 0.81 8.89 (0.51) 14.98

Excess 0.17 0.17 0.61 0.68 0.79

FIXED INCOME SUMMARY

STRUCTURED FIXED INCOME

Blackrock - Mortgage 624 1.80 0.83 0.83 4.15 1.81 6.48

CITIGROUP MORTGAGE INDEX 0.57 0.57 3.64 1.56 6.12

Excess 0.27 0.27 0.51 0.25 0.35

Neuberger Berman - Mortgage 546 1.57 0.56 0.56 3.64 1.42 6.68


Excess (0.01) (0.01) (0.00) (0.15) 0.55

Wellington - Mortgage 332 0.95 0.69 0.69 3.96 1.40 6.67


Excess 0.12 0.12 0.32 (0.16) 0.54





Goldman Sachs - Mortgage 328 0.94 0.57 0.57 3.57 1.52 6.23


Excess (0.00) (0.00) (0.07) (0.04) 0.11

T. Rowe Price - Credit 883 2.54 1.67 1.67 9.29 0.02 7.91

NYC - Investment Grade Credit 1.37 1.37 8.88 (0.65) 7.04

Excess 0.30 0.30 0.41 0.67 0.86

Blackrock - Credit 684 1.97 1.47 1.47 8.78 (0.57) 7.55


Excess 0.10 0.10 (0.10) 0.07 0.51

Prudential - Credit 633 1.82 1.35 1.35 9.02 (0.32) 7.19


Excess (0.02) (0.02) 0.15 0.33 0.14

Taplin Canida Habacht Credit 191 0.55 3.15 3.15 11.87 (3.98) 7.92


Excess 1.78 1.78 2.99 (3.34) 0.88

Pyramis - Credit 199 0.57 1.59 1.59 8.68 (0.09) 7.38


Excess 0.22 0.22 (0.20) 0.56 0.34

Prudential-Privest - Credit 129 0.37 1.68 1.68 6.82 1.63 7.20


Excess 0.31 0.31 (2.06) 2.28 0.16

State Street - Gov't 439 1.26 (0.25) (0.25) 9.47 0.49 12.13

NYC - Treasury Agency Plus Five (0.47) (0.47) 9.21 0.72 12.38

Excess 0.22 0.22 0.26 (0.24) (0.25)





Blackrock - Gov't 256 0.74 (0.32) (0.32) 9.22 0.66 11.93


Excess 0.15 0.15 0.02 (0.06) (0.44)

Fischer Francis - Govt 256 0.74 (0.37) (0.37) 9.42 0.51 11.36


Excess 0.11 0.11 0.22 (0.21) (1.02)

FIXED INCOME FUND OF FUNDS

Hillswick 8 0.02 0.03 0.03 5.57 0.61 7.09

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55 5.97

Excess (0.42) (0.42) (0.22) 0.06 1.13

Integrity 7 0.02 0.65 0.65

BBG BARC Agg (Dly) 0.46 0.46

Excess 0.19 0.19

Ramirez Asset 20 0.06 1.10 1.10 6.30 1.12

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55

Excess 0.64 0.64 0.50 0.57

NEW CENTURY 21 0.06 0.81 0.81 5.29 (0.30) 6.53

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55 5.97

Excess 0.36 0.36 (0.50) (0.85) 0.56

PUGH CAP 24 0.07 0.84 0.84 6.51 0.79 5.88

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55 5.97

Excess 0.39 0.39 0.71 0.24 (0.09)

ENHANCED YIELD

Loomis Sayles - High Yield 250 0.72 6.90 6.90 18.87 (8.58) 4.73

NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 5.49 5.49 15.32 (4.64) 2.50

Excess 1.42 1.42 3.55 (3.94) 2.22





Oaktree - High Yield 197 0.57 4.90 4.90 13.15 (4.75) 1.41

BofAML HYM CONSTRAINED (DAILY) 5.49 5.49 15.32 (4.61) 2.51

Excess (0.59) (0.59) (2.17) (0.14) (1.10)

Neuberger Berman - High Yield 272 0.78 5.15 5.15 13.52 (4.00) 2.05

BofAML HIGH YIELD MASTER II (DAILY) 5.49 5.49 15.32 (4.64) 2.50

Excess (0.34) (0.34) (1.80) 0.65 (0.45)

Stone Harbor - High Yield 178 0.51 4.61 4.61 11.31 (4.47) 0.31

BofAML HIGH YIELD MASTER II (DAILY) 5.49 5.49 15.32 (4.64) 2.50

Excess (0.88) (0.88) (4.01) 0.17 (2.19)

T. Rowe Price - High Yield 305 0.88 4.54 4.54 11.06 (1.13) 2.92

CITIGROUP BB & B 5.13 5.13 13.71 (4.21) 2.78

Excess (0.60) (0.60) (2.64) 3.08 0.13

Fort Washington - High Yield 136 0.39 4.45 4.45 11.77 (4.13) 2.41

CITIGROUP BB & B 5.13 5.13 13.71 (4.21) 2.78

Excess (0.68) (0.68) (1.94) 0.08 (0.37)

Shenkman - High Yield 105 0.30 4.13 4.13 9.90 (2.65) 2.64

CITIGROUP BB & B 5.13 5.13 13.71 (4.21) 2.78

Excess (1.00) (1.00) (3.81) 1.56 (0.15)

BANK LOANS

Babson BL 233 0.67 2.82 2.82 6.20 0.12 1.99

CSFB LEVERAGED LOAN INDEX 3.10 3.10 7.46 (0.38) 2.06

Excess (0.27) (0.27) (1.26) 0.50 (0.07)

Credit Suisse BL 241 0.69 2.50 2.50 6.67 2.57 2.67


Excess (0.59) (0.59) (0.79) 2.96 0.61





Guggenheim BL 121 0.35 2.60 2.60 6.16 2.07 2.88


Excess (0.49) (0.49) (1.30) 2.45 0.83

TIPS

State Street TIPS Passive 1,139 3.27 0.98 0.98 7.34 (1.35) 3.57

BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.96 0.96 7.27 (1.44) 3.64

Excess 0.02 0.02 0.07 0.09 (0.07)

Blackrock TIPS 380 1.09 0.97 0.97 7.27 (1.24) 3.74

BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.96 0.96 7.27 (1.44) 3.64

Excess 0.01 0.01 0.01 0.20 0.10

CONVERTIBLE BONDS

Advent Conv Bonds 115 0.33 4.79 4.79 7.71 (1.38) 4.65

BofA ML U.S. Convertible Yield Alternative 5.40 5.40 9.44 (8.77) 2.75

Excess (0.61) (0.61) (1.73) 7.40 1.91

Victory Conv Bonds 112 0.32 2.59 2.59 4.62 (0.24) 13.76

BofA Merrill Lynch US Investment Grade Convertible Bond Index 5.11 5.11 9.46 1.68 15.69

Excess (2.52) (2.52) (4.84) (1.92) (1.94)

CORE FIXED INCOME

LM Capital 36 0.10 1.02 1.02 6.19 1.02 5.57

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55 5.97

Excess 0.56 0.56 0.39 0.47 (0.39)

GIA 37 0.11 1.00 1.00 6.52

BBG BARC Agg (Dly) 0.46 0.46 5.80

Excess 0.54 0.54 0.72





ECONOMICALLY TARGETED INVESTMENTS

AFL-CIO HOUSING INV TRUST 158 0.46 0.55 0.55 5.09 1.13 6.10

BBG BARC Agg (Dly) 0.46 0.46 5.80 0.55 5.97

Excess 0.09 0.09 (0.71) 0.58 0.14

ACCESS RBC 54 0.16 0.43 0.43 3.83 1.83 6.66

Access RBC Benchmark 0.29 0.29 3.64 1.40 5.08

Excess 0.13 0.13 0.19 0.43 1.58

CPC CONST FACILITY 11 0.03 2.22 2.22 (1.17) 12.90

CPC CONST BENCHMARK 0.77 0.77 2.31 2.90

Excess 1.45 1.45 (3.47) 10.01

BOA-PPAR (FNMA) 8 0.02 1.60 1.60 13.40 42.03 13.31

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess 0.84 0.84 8.99 39.53 6.19

BOA-PPAR (GNMA) 7 0.02 0.89 0.89 11.07 8.04 15.61

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess 0.20 0.20 7.34 6.03 8.96

CCD-PPAR (FNMA) 2 0.01 1.52 1.52 11.70 6.69 25.71

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess 0.75 0.75 7.29 4.20 18.58

CCD-PPAR (GNMA) 3 0.01 0.83 0.83 9.89 5.08 15.37

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess 0.14 0.14 6.16 3.06 8.72

CFSB-PPAR (GNMA) 1 0.00 0.83 0.83 10.30 5.90 15.34

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess 0.13 0.13 6.57 3.88 8.69





CPC-PPAR (FNMA) 42 0.12 1.13 1.13 13.04 8.96 13.91

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess 0.37 0.37 8.63 6.46 6.78

CPC - PPAR (GNMA) 73 0.21 0.13 0.13 7.84 5.24 9.23

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess (0.57) (0.57) 4.11 3.23 2.58

JPMC - PPAR (FNMA) 14 0.04 5.34 5.34 17.04 6.18 12.08

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess 4.58 4.58 12.62 3.68 4.96

LIIF-PPAR (FNMA) 3 0.01 (5.33) (5.33) 13.17 6.29 38.12

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess (6.10) (6.10) 8.75 3.79 30.99

LIIF-PPAR (GNMA) 2 0.00 (0.08) (0.08) 6.77 3.92 9.74

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess (0.77) (0.77) 3.04 1.91 3.09

NCBCI-PPAR (FNMA) 0 0.00 0.24 0.24 9.29 4.97 14.93

FNMA Plus 85bps 0.76 0.76 4.42 2.50 7.13

Excess (0.53) (0.53) 4.88 2.47 7.81

NCBCI-PPAR (GNMA) 1 0.00 0.71 0.71 10.10 5.53 16.66

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess 0.01 0.01 6.37 3.52 10.01

NHS-PPAR (GNMA) 1 0.00 0.25 0.25 8.50 4.90 13.73

GNMA Plus 65bps 0.70 0.70 3.73 2.02 6.65

Excess (0.45) (0.45) 4.78 2.89 7.08





CASH

POLICE SHORT TERM 173 0.50 0.09 0.09 0.73 0.47 0.23

91 DAY T-BILL 0.10 0.10 0.24 0.05 0.02

Excess (0.00) (0.00) 0.49 0.42 0.21

C/D - Fail Float Earnings 1 0.00

SECURITY LENDING 5 0.01





Appendix C

Alternative Assets Manager Performance Detail


Information provided by the New York City Police Retirement System Consultants

Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value

Investment Multiple ITD IRR%

TOTAL PRIVATE EQUITY 5,039,331,842 4,085,847,887 3,303,248,802 2,326,342,913 1.38 10.0%

TOTAL ACTIVE 4,838,356,630 3,864,836,440 3,030,957,631 2,326,342,913 1.39 10.2%Cypress Merchant Banking Partners II, L.P. 1999 45,172,972 53,961,600 50,423,097 169,951 0.94 -1.2%FdG Capital Partners LLC 1999 50,000,000 57,513,671 85,895,768 12,730,780 1.71 14.8%Lincolnshire Equity Fund II, L.P. 1999 11,038,409 11,556,880 21,877,852 622,774 1.95 24.6%Solera Partners, L.P. 2000 9,999,888 13,238,207 20,817,577 1,836,858 1.71 8.5%SCP Private Equity Partners II, L.P. 2000 25,000,000 28,057,160 10,166,299 5,236,399 0.55 -7.2%New Mountain Partners, L.P. 2001 13,606,449 12,837,351 18,323,621 353,479 1.45 12.4%Apollo Investment Fund V, L.P. 2001 35,000,000 54,534,624 107,300,827 1,131,484 1.99 38.8%CVC European Equity Partners III, L.P. 2001 25,000,000 28,947,553 74,439,614 667,554 2.59 41.1%Coller International Partners IV, L.P. 2002 26,100,000 26,761,761 35,281,296 1,196,348 1.36 11.7%Landmark Equity Partners XI, L.P. 2002 30,000,000 28,518,970 41,817,511 2,236,071 1.54 23.5%FS Equity Partners V, L.P. 2003 15,000,000 12,835,910 25,051,276 1,390,161 2.06 15.7%Blackstone Capital Partners IV, L.P. 2003 46,253,267 57,111,074 126,378,390 11,520,847 2.41 36.4%Ares Corporate Opportunities Fund, L.P. 2003 35,000,000 41,988,154 61,414,834 3,512,337 1.55 13.6%Markstone Capital Partners, LP 2004 10,000,000 11,724,772 4,955,651 488,982 0.46 -35.3%Euro Choice II (Delaware) L.P. 2004 20,253,466 20,142,503 27,880,930 1,424,309 1.45 7.1%FdG Capital Partners II LP 2004 25,000,000 26,874,461 30,356,466 1,706,949 1.19 3.5%Paladin Homeland Security Fund (NY City), L.P. 2004 30,000,000 32,696,065 10,498,856 4,582,618 0.46 -10.7%Lincolnshire Equity Fund III, L.P. 2004 15,000,000 14,746,396 18,945,592 7,425,350 1.79 30.0%Yucaipa American Alliance Fund I, LP 2004 20,000,000 29,967,488 25,901,853 7,128,761 1.10 2.9%Aurora Equity Partners III L.P. 2004 15,000,000 16,236,943 25,918,608 1,694,298 1.70 14.4%Trilantic Capital Partners III L.P. 2004 20,000,000 18,079,250 29,208,586 430,150 1.64 14.6%Medica III Investments (International) L.P. 2004 10,000,000 9,816,293 4,237,089 3,856,000 0.82 -4.4%Celtic Pharmaceutical Holdings L.P. 2004 10,000,000 10,160,838 160,838 1,590,407 0.17 -18.7%Palladium Equity Partners III, L.P. 2005 25,000,000 26,782,228 37,272,544 12,888,293 1.87 15.7%New Mountain Partners II, L.P. 2005 7,741,935 6,963,466 13,477,943 121,316 1.95 13.7%VSS Communications Partners IV, L.P. 2005 12,345,176 14,215,032 9,462,010 1,111,917 0.74 -5.2%Carlyle Partners IV, L.P. 2005 50,000,000 51,531,593 97,922,054 4,263,837 1.98 13.1%Levine Leichtman Capital Partners Deep Value Fund, L.P. 2005 20,000,000 24,978,381 23,020,581 2,649,613 1.03 0.7%Prism Venture Partners V-A, L.P. 2005 20,000,000 20,508,481 11,142,526 3,260,320 0.70 -6.9%Arlington Capital Partners II, L.P. 2005 20,000,000 20,224,665 30,996,771 3,750,530 1.72 11.3%Quadrangle Capital Partners II LP 2005 22,663,116 23,568,586 23,212,906 5,668,475 1.23 4.2%Snow Phipps Group, L.P. 2005 10,000,000 11,537,181 9,035,666 5,948,322 1.30 6.9%GI Partners Fund II L.P. 2005 12,500,000 12,658,045 14,945,807 4,457,765 1.53 7.1%


Through June 30, 2016

New York City Police Pension Fund, Subchapter Two 47Performance Overview as of June 30, 2016




Blackstone Mezzanine Partners II, L.P. 2005 14,000,000 13,355,500 17,644,741 327,829 1.35 7.9%Psilos Group Partners III, L.P. 2005 12,500,000 13,287,792 6,410,270 9,645,269 1.21 3.7%FirstMark Capital I, L.P. (fka FirstMark IV) 2005 10,000,000 10,927,097 22,885,943 41,956,034 5.93 38.6%USPF II Institutional Fund, L.P. 2005 20,000,000 26,379,750 18,291,893 18,160,782 1.38 6.2%Bridgepoint Europe III 2005 15,648,520 14,480,947 9,262,145 6,799,862 1.11 1.6%JP Morgan Fleming (Tranche A) 2005 40,000,000 38,766,802 27,843,162 23,332,156 1.32 6.0%Aisling Capital II, LP 2006 2,500,000 2,943,662 1,972,984 663,561 0.90 -2.3%InterMedia Partners VII, L.P. 2006 12,500,000 14,485,101 8,937,074 12,047,568 1.45 5.5%Falconhead Capital Partners II, L.P. 2006 15,000,000 16,747,713 13,925,346 5,135,133 1.14 2.9%Terra Firma Capital Partners III, L.P. 2006 15,528,481 15,764,303 1,591,594 6,112,337 0.49 -11.0%Fenway Partners Capital Fund III, L.P. 2006 15,000,000 16,976,091 13,254,579 5,821,491 1.12 2.4%Blackstone Capital Partners V, L.P. 2006 42,087,697 44,697,096 57,530,237 14,919,189 1.62 8.2%Avista Capital Partners, L.P. 2006 20,000,000 26,132,094 23,070,532 9,824,960 1.26 5.1%GSC Recovery III, L.P. 2006 5,000,000 5,635,384 5,939,453 572,732 1.16 3.8%Apollo Investment Fund VI, L.P. 2006 45,000,000 57,919,123 72,655,611 13,595,684 1.49 9.0%Landmark Equity Partners XIII, L.P. 2006 10,000,000 9,566,089 8,945,805 3,379,510 1.29 5.6%Ares Corporate Opportunities Fund II, L.P. 2006 15,000,000 16,428,261 24,843,474 2,925,967 1.69 13.5%Atlantic Equity Partners IV, L.P. 2006 25,124,928 21,894,132 - 13,193,323 0.60 -7.6%CCMP Capital Investors II, L.P. 2006 20,000,000 21,989,927 26,628,484 10,206,397 1.68 13.6%Capital Partners Private Equity Income Fund, L.P. 2006 15,000,000 14,405,892 27,069,283 4,549,167 2.19 21.1%CLP 2014 (fka Perseus Partners VII) 2006 15,000,000 17,507,724 6,052,983 362,224 0.37 -23.9%NB Co-Investment Partners LP 2006 60,000,000 60,404,413 80,071,124 7,036,742 1.44 8.7%Euro Choice III L.P. 2006 26,743,766 26,386,304 20,083,945 10,052,836 1.14 2.9%Thomas, McNerney & Partners II, L.P. 2006 10,000,000 9,939,667 16,878,663 5,549,714 2.26 17.4%Catterton Partners VI, L.P. 2006 20,000,000 22,172,197 27,154,437 14,572,332 1.88 13.1%First Reserve Fund XI, L.P. 2006 20,000,000 21,253,053 12,260,947 2,083,148 0.67 -9.8%Permira IV, L.P. 2006 16,136,330 17,056,520 20,146,104 5,423,606 1.50 8.3%Arsenal Capital Partners II, LP 2006 10,000,000 11,961,192 11,373,154 8,647,103 1.67 10.9%RRE Ventures IV, L.P. 2006 15,000,000 18,661,640 9,019,243 19,115,320 1.51 7.8%Coller International Partners V, L.P. 2006 10,000,000 8,642,760 9,722,496 2,462,461 1.41 8.5%MidOcean Partners III, L.P. 2006 40,000,000 45,564,065 34,348,738 36,656,438 1.56 9.6%GF Capital Private Equity Fund, L.P. 2006 10,000,000 10,437,343 11,523,375 6,844,896 1.76 14.0%The Fourth Cinven Fund 2006 13,930,942 14,218,057 18,359,161 1,052,935 1.37 6.5%Pegasus Partners IV, L.P. 2007 15,000,000 17,725,032 8,948,887 8,704,985 1.00 -0.1%Olympus Capital Asia III, L.P. 2007 20,000,000 23,081,820 8,803,740 16,920,412 1.11 3.0%FTVentures III, LP 2007 7,500,000 7,635,000 9,104,509 7,215,861 2.14 16.4%







Highland Consumer Fund I LP 2007 10,000,000 9,716,060 2,943,522 4,839,833 0.80 -3.7%Montreux Equity Partners IV, L.P. 2007 10,000,000 10,000,000 3,421,889 9,862,864 1.33 5.9%Gleacher Mezzanine Fund II, L.P. 2007 10,000,000 9,190,269 11,442,438 414,787 1.29 9.8%Quaker BioVentures II, L.P. 2007 15,000,000 13,244,055 8,578,954 7,870,288 1.24 5.5%SCP Vitalife Partners II Fund 2007 15,000,000 15,074,774 1,184 9,401,904 0.62 -8.8%Comvest Investment Partners III, L.P. 2007 15,000,000 19,009,285 11,293,544 9,481,623 1.09 2.6%Constellation Venture Capital III, L.P. 2007 15,000,000 16,296,009 3,405,627 9,623,219 0.80 -4.4%United States Power Fund III, L.P. 2007 15,000,000 16,547,716 7,798,105 14,096,011 1.32 5.7%Carlyle Partners V, L.P. 2007 50,000,000 50,920,778 60,381,059 23,753,617 1.65 13.3%PCG Clean Energy & Technology Fund (East), LLC 2007 40,000,000 35,380,037 4,435,816 16,928,232 0.60 -9.2%GSO Capital Opportunities Fund LP 2007 17,500,000 26,135,484 35,566,273 2,337,577 1.45 17.9%New Mountain Partners III, L.P. 2007 35,000,000 34,519,461 27,697,222 29,648,853 1.66 12.0%Vista Equity Partners Fund III, L.P. 2007 20,000,000 21,247,684 45,233,824 9,299,818 2.57 28.3%Trilantic Capital Partners IV L.P. 2007 45,856,523 47,523,753 64,628,215 8,891,077 1.55 13.9%Pine Brook Capital Partners, L.P. 2007 15,000,000 15,711,027 9,232,146 8,741,936 1.14 4.5%Paladin III (NY City), L.P. 2008 30,000,000 37,486,156 17,846,948 31,087,631 1.31 7.7%Relativity Fund, L.P. 2008 8,158,371 8,080,212 1,726,554 2,598,924 0.54 -10.9%Apollo Investment Fund VII, L.P. 2008 50,000,000 59,013,843 88,309,355 14,835,733 1.75 24.3%NGN BioMed Opportunity II, L.P. 2008 10,000,000 9,575,911 1,973,105 4,831,404 0.71 -7.6%Carpenter Community BancFund-A, L.P. 2008 15,000,000 14,639,741 8,743,840 14,087,695 1.56 8.1%Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 2008 15,000,000 16,553,054 11,269,151 7,495,859 1.13 4.3%Yucaipa American Alliance Fund II, LP 2008 50,000,000 68,226,790 40,539,046 52,280,745 1.36 8.4%Milestone Partners III, L.P. 2008 15,000,000 15,929,368 7,326,536 7,380,340 0.92 -1.7%Levine Leichtman Capital Partners IV, L.P. 2008 10,000,000 10,040,438 12,673,472 5,050,224 1.77 20.6%Lee Equity Partners Fund, L.P. 2008 17,534,865 23,538,841 26,810,127 1,887,406 1.22 6.3%Coral's 2007 Institutional Momentum Fund, L.P. 2008 10,000,000 9,492,863 2,951,671 2,302,036 0.55 -9.5%Yucaipa Corporate Initiatives Fund II, LP 2008 14,030,930 13,645,978 4,223,223 8,322,112 0.92 -1.8%CVC European Equity Partners V, L.P. 2008 34,255,656 36,046,529 35,055,997 18,031,503 1.47 12.2%GI Partners Fund III L.P. 2008 17,500,000 18,744,188 19,050,937 7,843,516 1.43 12.1%Ares Corporate Opportunities Fund III, L.P. 2008 25,000,000 29,487,205 30,379,668 22,752,873 1.80 20.8%GCM Grosvenor NYCPPF Emerging Manager Co-Investment Fund, L.P. 2008 4,457,094 5,190,486 9,111,656 16,981 1.76 13.8%GCM Grosvenor NYCPPF Emerging Manager Fund, L.P. 2008 59,909,091 65,321,046 39,977,944 45,327,396 1.31 10.4%First Reserve Fund XII, L.P. 2008 20,000,000 21,305,217 9,396,190 6,356,048 0.74 -8.2%Landmark Equity Partners XIV, L.P. 2008 27,250,000 25,460,992 21,018,620 12,417,902 1.31 11.8%Crestview Partners II, L.P. 2008 22,500,000 24,526,375 19,920,721 15,628,791 1.45 12.0%NB New York City Growth Fund IA 2008 4,835,960 4,835,960 1,670,495 1,549,781 0.67 -6.7%







Euro Choice IV L.P. 2008 19,388,283 16,928,236 5,374,561 14,748,106 1.19 5.1%Avista Capital Partners II, L.P. 2008 35,000,000 42,584,025 47,621,965 29,254,682 1.81 17.4%Blue Wolf Capital Fund II, L.P. 2008 15,000,000 16,300,742 7,500,716 11,978,671 1.20 5.7%Bridgepoint Europe IV 2008 13,371,388 12,300,482 10,647,413 7,238,185 1.45 10.4%Aisling Capital III, LP 2008 7,000,000 7,427,665 6,724,235 4,611,455 1.53 18.9%Onex Partners III LP 2008 15,000,000 16,205,396 11,783,032 12,542,563 1.50 12.7%NorthBound Emerging Manager Custom Fund LP 2009 20,000,000 16,778,548 12,731,498 14,959,783 1.65 15.9%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 22,500,000 21,791,228 18,104,365 14,583,768 1.50 12.8%Scale Venture Partners III, LP 2009 10,000,000 9,787,455 11,311,055 9,608,609 2.14 21.9%FS Equity Partners VI, L.P. 2009 20,000,000 19,253,137 14,990,562 19,894,227 1.81 17.9%Lincolnshire Equity Fund IV, L.P. 2009 7,500,000 7,686,249 2,628,781 6,742,885 1.22 7.3%Lexington Capital Partners VII, L.P. 2009 20,000,000 17,067,528 15,372,965 9,933,374 1.48 15.3%Snow Phipps II, L.P. 2010 17,500,000 17,407,693 8,353,557 17,676,462 1.50 17.5%Trident V, L.P. 2010 40,000,000 42,241,777 11,894,871 41,426,096 1.26 8.0%Comvest Investment Partners IV, L.P. 2010 45,000,000 42,053,065 52,521,519 22,460,968 1.78 35.3%Blackstone Capital Partners VI, L.P. 2011 35,000,000 32,539,686 5,717,800 33,677,728 1.21 9.8%Ampersand 2011 2011 12,500,000 12,062,500 4,347,071 18,701,825 1.91 19.2%BDCM Opportunity Fund III, L.P. 2011 20,000,000 25,513,911 9,212,561 20,964,595 1.18 8.4%AXA Secondary Fund V B L.P. 2011 80,000,000 63,261,939 43,344,642 52,011,934 1.51 17.0%Wellspring Capital Partners V, L.P. 2011 22,500,000 20,180,690 2,737,419 24,681,950 1.36 14.6%EQT VI, L.P. 2011 48,554,752 41,464,301 1,188,396 50,701,120 1.25 8.6%Pegasus Partners V, L.P. 2011 14,552,940 11,517,414 2,590,619 15,948,635 1.61 16.7%BC European Capital IX 2011 65,967,452 55,738,001 19,316,778 48,284,889 1.21 8.3%American Securities Partners VI, L.P. 2011 50,000,000 53,033,511 16,367,629 58,097,119 1.40 18.8%Vista Equity Partners Fund IV, L.P. 2011 70,000,000 69,223,587 34,050,537 88,828,987 1.78 22.8%Warburg Pincus Private Equity XI, L.P. 2012 80,000,000 74,715,264 13,460,880 79,503,204 1.24 12.4%Summit Partners Growth Equity Fund VIII-A, L.P. 2012 75,000,000 69,593,018 21,243,297 70,885,953 1.32 18.1%NYCPPF - 2012 Emerging Manager Program 2012 50,000,000 27,885,504 1,951,687 29,298,991 1.12 8.7%Trilantic Capital Partners V L.P. 2012 50,000,000 28,198,885 1,827,149 26,324,730 1.00 -0.1%Palladium Equity Partners IV, L.P. 2012 35,000,000 15,884,411 1,721,604 15,490,002 1.08 4.0%Ares Corporate Opportunities Fund IV, L.P. 2012 50,000,000 39,188,381 3,483,118 42,381,951 1.17 9.2%Green Equity Investors VI, L.P. 2012 55,000,000 44,350,654 7,181,488 46,524,921 1.21 11.7%Platinum Equity Capital Partners III, L.P. 2012 50,000,000 30,088,506 18,072,064 31,772,028 1.66 46.6%Neuberger Berman Strategic Co-Investment II LP 2012 60,000,000 54,460,517 18,947,517 54,140,726 1.34 19.8%Carlyle Partners VI, L.P. 2013 60,000,000 30,289,878 998,674 32,900,741 1.12 8.0%Carlyle Partners VI, L.P. (Side Car) 2014 3,654,000 3,579,498 - 3,340,271 0.93 NM







Landmark Equity Partners XV, L.P. 2013 67,000,000 23,204,143 9,184,094 17,833,097 1.16 11.1%Landmark - NYC Fund I, L.P. 2013 23,000,000 10,156,639 2,730,263 10,031,009 1.26 16.1%Apollo Investment Fund VIII, L.P. 2013 100,000,000 43,303,941 971,079 46,162,483 1.09 9.2%CVC Capital Partners VI, L.P. 2013 86,667,790 32,432,322 592,149 31,728,796 1.00 -0.4%Crestview Partners III, L.P. 2013 45,000,000 10,303,737 170,137 8,902,783 0.88 NMCrestview Partners III (Co-Investment B), L.P. 2013 15,000,000 5,028,324 210,699 4,985,541 1.03 NMOlympus Growth Fund VI, L.P. 2014 35,000,000 17,770,433 2,699,285 18,343,979 1.18 28.0%ASF VI B L.P. 2014 60,000,000 29,050,835 1,560,723 33,368,271 1.20 15.2%ASF VI B NYC Co-Invest L.P. 2014 20,000,000 12,615,736 2,826,065 13,162,092 1.27 18.3%Vista Equity Partners Fund V, L.P. 2014 85,000,000 74,586,065 14,732,713 66,736,431 1.09 NMLexington Capital Partners VIII, L.P. 2014 80,000,000 17,703,544 3,487,652 18,820,696 1.26 NMCenterbridge Capital Partners III, L.P. 2014 11,100,000 2,955,686 117,014 3,113,835 1.09 NMSiris Partners III, L.P. 2015 15,000,000 2,319,274 11,565 2,031,045 0.88 NMWelsh, Carson, Anderson & Stowe XII, L.P. 2015 37,000,000 9,714,094 - 10,145,439 1.04 NMWarburg Pincus Private Equity XII, L.P. 2015 97,000,000 6,733,262 - 5,781,575 0.86 NMASF VII B L.P. 2015 44,500,000 3,115,463 11,738 3,648,194 1.17 NMASF VII B NYC Co-Invest L.P. 2015 22,000,000 2,200 - 2,200 1.00 NMEQT VII, L.P. 2015 75,242,154 14,175,518 - 12,544,206 0.88 NMAmerican Securities Partners VII, L.P. 2015 37,000,000 - - (228,640) - N/ABridgepoint Europe V L.P. 2015 28,893,112 6,011,763 - 6,175,488 1.03 NMBridgepoint Europe V Co-Invest 2015 7,773,920 - - - - N/ANYCPPF - 2015 Emerging Manager Program 2015 60,000,000 1,709,071 - 1,646,725 0.96 NMVista Equity Partners Fund VI, L.P. 2016 75,000,000 8,998,399 - 9,085,777 1.01 NMAres Corporate Opportunities Fund V, L.P. 2016 44,000,000 - - - - N/AApax IX USD, L.P. 2016 60,000,000 - - - - N/ABC European Capital X 2016 41,090,720 - - - - N/ABCEC X Co-Investment 2016 16,436,288 - - - - N/AGreen Equity Investors VII, L.P. 2016 44,000,000 - - - - N/A







TOTAL LIQUIDATED 200,975,212 221,011,447 272,291,171 - 1.23 7.1%AEA Investors 2006 Fund L.P. 2006 11,446,883 13,008,112 15,421,443 - 1.19 7.8%Carlyle Partners III, L.P. 2000 22,989,887 28,296,807 60,015,870 - 2.12 23.3%Clayton, Dubilier & Rice Fund VII, L.P. 2005 18,252,189 20,710,263 23,297,634 - 1.12 2.5%Clayton, Dubilier & Rice Fund VIII, L.P. 2009 13,159,676 15,837,782 18,107,624 - 1.14 6.2%DMR Mortgage Opportunity Companion Fund 2008 12,000,000 12,000,000 16,148,533 - 1.35 45.3%Emerald Infrastructure Development Fund 2008 797,444 797,444 4,486 - 0.01 -99.4%HM 2006 Sector Performance Fund 2007 13,911,005 15,884,647 11,180,373 - 0.70 -12.0%NewSpring Growth Capital II, L.P. 2006 10,800,000 10,875,288 16,146,638 - 1.48 11.7%Prism Venture Partners IV, L.P. 2001 25,000,000 25,037,757 18,392,887 - 0.73 -6.5%Silver Lake Partners II, L.P. 2004 10,365,500 11,864,813 16,916,905 - 1.43 9.1%Silver Lake Partners III, L.P. 2007 12,729,683 15,250,560 20,716,538 - 1.36 16.6%Tailwind Capital Partners, L.P. 2007 13,028,645 14,826,999 15,061,359 - 1.02 0.7%VS&A Communications Partners III, L.P. 1998 20,000,000 20,099,362 27,624,880 - 1.37 6.3%Vitruvian Investment Partnership I 2007 16,494,300 16,521,613 13,256,001 - 0.80 -7.7%





Vintage Year Original

Commitment Total

Contributions Total

Distrubutions Market Value Total Value

Multiple Net IRR% TOTAL REAL ASSETS 2,686,703,696 1,971,656,200 964,249,171 1,667,018,687 1.33 8.5% TOTAL PRIVATE REAL ESTATE 2,394,703,696 1,861,831,607 958,973,655 1,548,588,633 1.35 8.3% TOTAL LIQUIDATED PRIVATE REAL ESTATE 25,000,000 25,469,178 30,508,425 - 1.20 9.8% TOTAL INFRASTRUCTURE 292,000,000 109,824,593 5,275,516 118,430,054 1.13 12.1%

TOTAL PRIVATE REAL ESTATE OCM Real Estate Opportunities Fund III 2003 15,000,000 15,000,000 25,112,239 384,433 1.70 11.4%Blackstone Fund IV 2004 15,000,000 19,220,353 22,703,661 4,283,316 1.40 10.7%The City Investment Fund I 2004 70,000,000 69,030,360 69,717,861 244,986 1.01 0.3%Canyon Johnson Urban Fund II 2005 20,000,000 17,977,405 6,597,297 1,403,755 0.45 -10.6%AREA Real Estate Investment Fund V, LP 2006 5,000,000 5,000,004 2,246,590 2,620,959 0.97 -0.4%PRISA SA 2006 21,000,000 22,590,656 5,460,655 27,405,354 1.45 4.3%Prologis Targeted U.S. Logistics Fund 2006 10,000,000 12,959,527 3,078,885 12,524,515 1.20 2.5%RREEF America REIT II 2006 21,000,000 27,724,347 11,968,822 27,311,841 1.42 4.8%UBS Trumbull Property Fund 2006 61,000,000 81,746,162 16,611,034 101,524,151 1.45 7.2%Blackstone Real Estate Partners VI 2007 40,000,000 44,446,190 59,889,352 23,164,656 1.87 12.9%Carlyle Realty Partners V 2007 20,000,000 25,022,595 27,669,012 7,219,824 1.39 8.8%Colony Investors VIII 2007 20,000,000 21,249,679 5,553,393 3,945,350 0.45 -12.5%Colony Realty Partners II 2007 20,000,000 21,420,211 666,108 5,236,800 0.28 -14.3%Heitman HART 2007 28,000,000 38,925,511 10,925,511 51,777,101 1.61 8.2%JP Morgan Special Situation Property Fund 2007 15,000,000 17,143,511 4,373,537 18,851,699 1.35 3.9%JP Morgan Strategic Property Fund 2007 56,000,000 61,009,445 - 106,844,451 1.75 8.5%Metropolitan Workforce Housing Fund 2007 7,000,000 7,006,513 3,166,116 5,379,108 1.22 4.2%PRISA II 2007 60,278,867 63,729,327 12,490,665 80,883,016 1.47 5.3%RREEF America REIT III 2007 15,000,000 15,000,000 7,935,972 684,578 0.57 -7.5%AG Realty Fund VII 2008 25,000,000 23,500,000 32,304,572 3,845,730 1.54 13.5%American Value Partners Fund I 2008 15,000,000 11,355,858 8,230,656 3,753,914 1.06 1.1%ARA Asia Dragon Fund 2008 10,000,000 9,284,000 11,886,344 10,990 1.28 7.1%AREA European Real Estate Fund III, LP 2008 30,000,000 30,487,500 30,737,500 5,464,734 1.19 4.5%Fidelity Real Estate Growth Fund III 2008 15,000,000 13,388,046 15,544,925 2,454,044 1.34 7.8%PRISA III 2008 30,000,000 34,753,980 - 74,743,607 2.15 13.2%Silverpeak Legacy Partners III 2008 30,000,000 13,301,089 1,249,725 4,025,345 0.40 -12.3%Stockbridge Real Estate Fund III 2008 27,000,000 26,998,145 - 35,805,385 1.33 5.2%Westbrook Real Estate Fund VII 2008 10,000,000 11,095,007 9,618,184 3,538,562 1.19 3.3%






Commitment Total

Contributions Total


Multiple Net IRR%Thor Urban Property Fund II 2009 20,000,000 25,878,333 22,339,745 16,717,371 1.51 12.7%Walton Street Real Estate Fund VI 2009 30,000,000 26,594,360 24,081,422 16,259,633 1.52 10.1%Blackstone Real Estate Partners Europe III (USD Vehicle) 2010 35,000,000 35,823,520 25,594,090 24,102,622 1.39 11.6%Canyon Johnson Urban Fund III 2010 15,000,000 14,793,490 19,793,332 385,012 1.36 12.3%LaSalle Property Fund 2010 50,000,000 50,000,000 10,312,729 67,624,775 1.56 12.4%Westbrook Real Estate Fund VIII 2010 35,000,000 41,501,198 47,461,062 6,893,546 1.31 12.5%Carlyle Realty Partners VI 2011 40,000,000 37,230,741 39,225,438 23,330,439 1.68 28.9%H/2 Special Opportunities Fund II 2011 25,000,000 25,000,000 15,147,016 19,760,621 1.40 15.0%Almanac Realty Securities VI 2012 50,000,000 32,058,611 21,415,284 20,855,243 1.32 16.9%Almanac Realty Securities VI (Sidecar II) 2012 15,000,000 5,248,792 2,647,438 5,057,669 1.47 29.3%Blackstone Real Estate Partners VII 2012 100,000,000 117,426,088 72,449,946 103,057,117 1.49 21.4%Brookfield Strategic Real Estate Partners 2012 60,000,000 62,227,575 20,372,812 66,110,679 1.39 17.8%Divco West Fund III 2012 70,000,000 68,667,971 97,570,008 19,045,178 1.70 25.4%Taconic New York City Investment Fund LP 2012 40,000,000 16,545,454 9,727,273 18,864,359 1.73 18.1%KTR Industrial Fund III 2013 30,000,000 13,109,606 20,690,514 56,632 1.58 40.5%NYC Asset Investor #1 LLC 2013 30,000,000 32,077,215 3,511,993 36,277,046 1.24 15.7%NYC Asset Investor #2 LLC 2013 60,000,000 49,636,858 7,503,558 52,318,055 1.21 12.9%NYC Asset Investor #3 LLC 2013 40,000,000 13,692,948 156,538 13,826,952 1.02 1.6%Blackstone Real Estate Partners Europe IV (USD Vehicle) 2014 97,500,000 80,202,811 11,899,508 75,155,486 N/A N/ACarlyle Realty Partners VII 2014 60,000,000 25,061,595 139,706 27,819,658 N/A N/ADivco West Fund IV 2014 70,000,000 67,974,450 22,589,878 79,039,501 N/A N/ALone Star Real Estate Fund III 2014 75,000,000 69,547,920 23,913,815 60,350,388 N/A N/AMetLife Core Property Fund 2014 40,000,000 40,000,000 2,805,201 45,200,324 N/A N/AAlmanac Realty Securities VII 2015 50,000,000 12,052,050 299,808 12,705,675 N/A N/AAvanath Affordable Housing Fund II 2015 5,000,000 4,630,482 - 5,911,909 N/A N/ABlackstone Real Estate Partners VIII 2015 101,000,000 38,200,193 353,752 41,835,329 N/A N/AH/2 Special Opportunities Fund III 2015 40,000,000 23,003,785 - 24,622,737 N/A N/AAlmanac Realty Securities VII (Sidecar II) 2016 20,000,000 2,991,102 - 3,221,115 N/A N/ADivco West Fund V 2016 40,000,000 - - - N/A N/AEuropean Property Investors Special Opportunities Fund IV 2016 32,413,099 4,746,821 467,337 4,190,363 N/A N/AExeter Industrial Core Club Fund II 2016 19,000,000 3,895,000 - 3,879,885 N/A N/AJamestown Premier Property Fund 2016 26,000,000 7,231,340 257,411 7,160,188 N/A N/ALone Star Real Estate Fund V 2016 92,700,000 - - - N/A N/ANYCRS Artemis Co-Investment 2016 35,000,000 3,868,400 - 5,287,235 N/A N/A






Commitment Total

Contributions Total


Multiple Net IRR%PW Real Estate Fund III LP 2016 30,811,730 - - (271,168) N/A N/AUSAA Eagle Real Estate Fund 2016 40,000,000 25,078,299 - 26,603,239 N/A N/AWestbrook Partners X - Co-Investment 2016 15,000,000 - - - N/A N/AWestbrook Real Estate Fund X 2016 24,000,000 - - 1,616 N/A N/A

TOTAL LIQUIDATED PRIVATE REAL ESTATE Canyon Johnson Urban Fund 2003 10,000,000 9,060,242 10,582,954 - 1.17 10.2%Carbon Capital III 2009 15,000,000 16,408,936 19,925,471 - 1.21 8.5%

TOTAL INFRASTRUCTURE INVESTMENTS Brookfield Infrastructure Fund II 2013 60,000,000 36,266,909 4,141,163 41,030,311 1.25 16.2%IFM Global Infrastructure Fund 2014 60,000,000 60,927,332 927,332 65,244,151 N/A N/AFirst Reserve Energy Infrastructure Fund II, L.P. 2014 40,000,000 7,254,346 207,021 6,644,269 N/A N/AGlobal Infrastructure Partners III-A/B, L.P. 2016 71,000,000 555,238 - (45,782) N/A N/ABrookfield Infrastructure Fund III, L.P. 2016 61,000,000 4,820,768 - 5,557,105 N/A N/A




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

Vintage YearCommitment - Closing (Base)

Contributions Cumulative (Local)

Distributions Cumulative

Final Market Value

3 Month Base%

Inception IRR%

TOTAL OPPORTUNISTIC FIXED INCOME 1,284,920,547 1,196,400,165 478,845,787 963,277,650 3.30% 7.60%Avenue Special Situations Fund V, L.P. 2007 20,209,326 20,520,314 26,593,239 221,155 0.00% NMAvenue Europe Special Sit. Fund, L.P. 2008 15,310,331 13,775,563 26,740,991 136,970 1.16% NMPIMCO DiSCO Fund, L.P. 2008 63,000,000 63,179,655 85,872,192 - 11.23%Alliance Bernstein PPIP Fund, L.P 2009 27,775,890 27,775,890 38,205,542 - 15.57%Torchlight Debt Oppy Fund III, LLC 2009 35,000,000 37,314,271 49,884,871 4,772,873 6.55% 13.34%AG GECC PPIP Fund, L.P. 2010 27,000,000 27,052,129 41,724,862 - 20.19%Avenue Special Situations Fund VI L.P. 2011 45,000,000 46,135,636 29,186,609 19,781,168 0.00% 1.54%Golden Tree 2011 88,000,000 82,502,006 - 114,558,489 3.12% 8.21%Marathon Centre Street Partnership, L.P. 2011 140,625,000 147,375,000 16,875,000 166,765,486 3.26% 6.76%AG Centre Street Partnership, L.P. 2012 105,000,000 82,950,000 14,131,909 86,892,948 3.89% 6.15%Apollo Centre Street Partnership, L.P 2012 162,500,000 142,630,080 46,636,178 101,783,195 4.48% 1.77%FCO MA Centre Street L.P. 2012 90,000,000 112,178,766 40,831,566 87,280,066 0.00% 7.94%OHA Centre Street Partnership, L.P. 2012 112,500,000 109,750,261 16,457,578 112,995,934 6.31% 6.13%Contrarian Partnership, L.P 2013 55,000,000 44,000,000 - 47,127,613 7.78% 3.52%Lone Star Fund VIII(U.S.), L.P. 2013 70,000,000 60,945,871 43,398,177 35,975,069 0.00% 21.80%Oaktree Opportunities Fund IX, L.P. 2013 70,000,000 70,000,000 - 69,315,970 3.43% -0.41%Ares Centre Street LP 2014 90,000,000 82,360,975 - 90,743,428 1.37% 9.40%Brightwood Capital Fund III, L.P. 2015 22,000,000 16,753,821 2,307,071 15,146,515 0.00% 3.27%Torchlight Debt Opportunity Fund V, LP 2015 46,000,000 9,199,926 - 9,780,772 9.03% 8.92%





Market Value MTD Return% 3 Month Return% FYTD Return% YTD Return%

1 Year Return%

3 Year Return%

ITD Return%

ITD Cumulative Return%

TOTAL HEDGE FUNDS 1,411,426,588 -0.30% 0.80% 1.69% 0.33% -0.93% 2.36% 2.47% 13.66% TOTAL DIRECT HEDGE FUNDS 1,261,254,564 -0.35% 0.76% 1.75% 0.15% -1.08% 2.55% 3.67% 18.66% TOTAL FUND OF FUNDS HEDGE FUNDS 150,172,025 0.13% 1.12% 1.31% 1.71% 0.30% 1.40% 1.94% 10.64%

TOTAL DIRECT HEDGE FUNDS DE Shaw Composite Fund LLC 152,445,044 -0.26% 2.39% 1.68% 5.65% 10.02% 13.16% 14.25% 88.25%Double Black Diamond LP 3.20% 6.53% 6.53% 13.49%Multi-Strategy 152,445,044 -0.26% 2.39% 1.68% 5.65% 10.02% 11.15% 12.96% 78.38%

Brevan Howard LP 119,555,700 -0.84% -2.07% -1.11% -2.84% -4.78% -0.86% 0.46% 2.18%Systematica BlueTrend Fund LP 98,634,108 -5.95% -7.03% -4.53% -6.77% -8.56% 3.26% 0.03% 0.13%CCP Quantitative Fund Onshore (Euler 20% Class) 66,959,914 -2.34% -3.80% 2.10% 2.75% 3.64% 10.53% -0.42% -1.53%Pharo Macro Fund Ltd 153,088,490 1.60% 4.10% 7.61% 8.85% 6.96% 9.25% 9.44% 34.08%Pharo Gaia Fund Ltd 44,031,550 1.18% 5.81% 11.51% 14.39% 15.87% 15.87% 15.87% 15.87%Tactical Trading 482,269,762 -1.22% -0.86% 2.27% 1.79% 0.83% 4.94% 1.69% 8.26%

Caspian Select Credit Fund LP 67,490,455 0.95% 4.27% 3.78% 4.43% -1.48% -0.18% 2.83% 13.10%Fir Tree Value Fund LP 56,139,074 -0.75% 2.18% 3.21% -1.70% -4.42% -2.44% 0.36% 1.32%Perry Partners LP 29,215,358 -1.53% -0.07% -2.70% -2.89% -8.04% -5.01% -4.45% -14.08%Standard General Fund LP 21,759,475 -0.11% 6.36% 7.23% 13.54% 11.78% 5.98% 5.98% 14.52%Luxor Capital Partners LP (excl side pockets) 119,518,332 1.14% 4.74% 3.61% -3.41% -14.15% -14.26% -14.26% -30.16%JMB Capital Partners LP 75,312,017 0.11% -1.88% -1.11% 0.42% 0.42% 0.42% 0.42% 0.42%Event Driven 369,434,711 0.32% 2.56% 2.29% -0.39% -6.05% -3.69% 0.62% 2.75%

Cash 0.00% 0.00% 0.00% 0.00% 0.00%Cash 0.00% 0.00% 0.01% 0.01% 0.01% 0.01% 0.01%

SRS Partners US LP 83,742,471 0.92% 3.99% 9.44% -6.80% 0.25% 3.90% 3.90% 6.93%Gotham Targeted Neutral LP 36,408,869 -0.22% -0.43% -0.97% 0.85% 0.20% -4.04% -4.04% -6.64%Turiya Fund LP 101,542,552 -1.87% -5.54% -6.79% -14.81% -14.08% -10.09% -10.09% -12.45%Altimeter Partners Fund LP 35,411,155 5.84% 12.38% 5.48% -6.90% -6.90% -6.90% -6.90% -6.90%Long/Short Equity 257,105,046 0.27% 0.39% 0.75% -8.71% -6.16% -4.66% -4.66% -8.01%

TOTAL FUND OF FUNDS HEDGE FUNDS Fund of Funds Hedge Funds 150,172,025 0.13% 1.12% 1.31% 1.71% 0.30% 1.40% 1.94% 10.64%





Appendix D

Footnotes


•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 7/1/03, the “NYC-Loomis” benchmark index for the Loomis Sayles Enhanced Yield portfolio reflects a change from the Citigroup BB&B Index to the more appropriate

Merrill Lynch High Yield Master II Index.

•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.

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 10 & 11 - Portfolio Asset Allocation

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

Classes is necessary.

Pages 12 - 14 - 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


New York City Police Pension Fund, Subchapter Two 60Performance Overview as of September 30, 201612/05/2016 04:18:10 PM

The indexes and most recent policy weights are as follows:

U.S. Equity: Russell 3000 * 34.85%

International Developed (EAFE) Markets: MSCI EAFE * 10.08%

Emerging Markets: MSCI Emerging Markets * 6.00%

REITs: Dow Jones Real Estate Securities * 0.56%

Private Equity: Russell 3000 + 300 b.p. per annum * 6.62%

Private Real Estate: NFI - ODCE Net+100BPS * 4.54%

Infrastructure: CPI + 4% * 0.38%

Hedge Funds: 1yr T- Bill yield + 4% * 4.06%

Domestic Fixed Income: NYC Core +5 * 19.53%

TIPS: Lehman U.S. TIPS * 4.54%

Enhanced Yield: Citigroup BB&B * 3.47%

Bank Loans: Credit Suisse Leveraged Loan * 1.69%

Convertible Bonds: BofA ML All Convertibles Ex Mandatory * 1.00%

Opportunistic Fixed: 10% Annualized Return * 2.69%

Page 15 – 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


New York City Police Pension Fund, Subchapter Two 61Performance Overview as of September 30, 201612/05/2016 04:18:10 PM

new york city police pension fund, subchapter two ... · performance overview as of september 30,...

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