Page 1: COMMON INVESTMENT MEETING Public Session...Basis Points of Excess Return (SSB; T p.33; N p.35; B p.36 F p.37; P p.38) 12 Value Added – High Yield 32 16-66 19-6-42-19-41-62 20-60-70

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

March 20 2019

COMMON INVESTMENT MEETINGPublic Session

PERFORMANCE REPORTING4th Quarter 2018

3

Market Returns Q4-2018

Source State Street

Average of consultant long-term arithmetic expected market returns as of 2016

Asset Class IndexFourth Quarter Returns 2018

Current Fiscal Year 3 Year 5 Year Expected

Equities - US Russell 3000 -1430 -820 897 791 780

Equities - Developed IntlMSCI World ex USA

IMI Net -1328 -1243 321 059 890

Equities - Emerging IntlMSCI EMERGING

MARKETS -746 -848 925 165 1100

Debt - US Govt Long Duration FTSE Treasury 10+ 417 109 259 605

Debt - US Government NYC TreasAgency +5 369 212 192 369 280Debt - Investment Grade NYC IG Credit 017 105 317 315 340Debt - High Yield FTSE BB amp B -402 -187 661 359 610

Sheet1

4

NYC Retirement Systems AUM ( in millions)

Source State Street

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

$186333(m) Total AUM for all 5 Systems as of December 31 2018

37 69147

33 61679

20 36902

7 12853

3 5752

TRS

NYCERS

POLICE

FIRE

BERS

Assets (in millions)

TRS

NYCERS

Police

Fire

BERS

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

NYC Pension SystemPortfolio Std

Dev - 1 yr 3 Month Fiscal YTD One Year Trailing Three Year Trailing

BERS 790 -669 -430 -298 797

TRS 717 -602 -348 -318 704

POLICE 699 -603 -345 -233 742

NYCERS 696 -592 -327 -270 734

FIRE 693 -603 -357 -247 722

Public Mkt Equiv 6535 -845 -538 -512 537

Median Fund - TUCS -599 -338 -251 683

5

Total NYC Pension Fund Net Performance as of 12312018

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

Sheet1

6

Quarter to Date Return as of 12312018 ndash Total Portfolio

(602) (614)

12

(592) (602)

10

(603) (629)

26

(603) (627)

24

(669) (668)

(1)

-800

-600

-400

-200

0

200

400

600

800

QTD Portfolio QTD Benchmark QTD Excess

bps

TRS

NYCERS

Police

Fire

BERS

Basis Points of Excess Return (SSB T N p14 F p15 P p16 B p17)

171 Bps Assumed Rate of Return (7)

7

Quarter to Date as of 12312018 Excess Return ndash Total Portfolio

12 36

(24)

10 32

(22)

26 31

(5)

24 34

(10)(1)

91

(92)

-500

-300

-100

100

300

500

QTD Total Excess Return QTD Asset Allocation QTD Manager Value Added

bps

TRS

NYCERS

Police

Fire

BERS

Source State Street

8

Value Added ndash Total Domestic Equity

1 15 289

0

8

-15 -28 -21-22 -39 -15-15 -24

27

-500

-400

-300

-200

-100

0

100

200

300

400

500

QTD FYTD 3 Year Trailing

TRS 2694NYCERS 2743POLICE 2926FIRE 2798BERS 3027

Source State Street

Weights as of12312018

bps

Basis Points of Excess Return (SSB T p29 N p30 F p31 P p32 B p33)

9

Value Added ndash Total World Ex-USA

-131 -152

169

-72 -78

209

-78-120

213

-63-105

232

-184

-330

414

-700

-500

-300

-100

100

300

500

700

Source State Street

bps

Basis Points of Excess Return (SSB T p30 N p31 F p33 P B p34)

10

Value Added ndash Total Emerging Markets

7

-56 -70-43

-78 -75-29

47 27

-26

5832

-88 -86

27

-500

-400

-300

-200

-100

0

100

200

300

400

500

Source State Street

bps

Basis Points of Excess Return

11

Value Added ndash Total Structured Fixed Income

-90

17

-77-27

-83

27

-102

20

-84-33

-500

-400

-300

-200

-100

0

100

200

300

400

500

Source State Street

bps

Note The blended benchmark reflects the current asset allocation No Data for the Trailing 3yr

Basis Points of Excess Return (SSB T p33 N p35 B p36 F p37 P p38)

12

Value Added ndash High Yield

32 16

-66

19

-6-42-19 -41 -62

20

-60 -70

7116 11

-500

-400

-300

-200

-100

0

100

200

300

400

500

Source State Street

bps

13

Value Added ndash Bank Loans

0 1

-75-17 -13

-53-12 -1

-49-10 0

-70-81-49 -64

-500

-400

-300

-200

-100

0

100

200

300

400

500

Source State Street

bps

14

Value Added ndash Economically Targeted Investments

2859

537

803732

701734 35

142 52

25

-500

-400

-300

-200

-100

0

100

200

300

400

500

Source State Street

bps

Basis Points of Excess Return (SSB T p34 N B p36 F p38 P p39)

Value Added- Hedge FundsBasis Points of Excess Return

266 289255266

308265

-600

-400

-200

0

200

400

600

POLICE 655

FIRE 584

Source State Street

15

bps

Value Added - Hedge FundsBasis Points of Excess Return (SSB F p P p)

16

Hedge Fund Performance Less Tactical Trade

Q4 2018 FYTD 3 Year

FIRE -17 -05 51

POLICE -17 -07 50

HFRI+100 -46 -37 23

Source Aksia

Performance is shown net of fees

17

Tactical Trade Performance

Q4 2018POLICE amp FIRE FYTD

Tactical Hedge Fund Trade -44 -58RUSSELL 3000 -143 -82Outperformance 99 24

Source Aksia

PRIVATE MARKET DATA

19

Value Added - Opportunistic Fixed Income (OFI)

152 157200

156

-600

-400

-200

0

200

400

600

Excess Return Since Inception PME Benchmark 50 JP Morgan Global High Yield 50 CS Leveraged Loans as of 123118

TRS - 10242007

NYCERS - 10242007

Police - 10242007

Fire - 10242007

BERS - NA

Inception Date

300bps Target

Source State Street

Basis Points of Cumulative IRR above Public Market Equivalent

bps

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

20

Value Added - Private Equity

(43) (71)

38 78

43

-600

-400

-200

0

200

400

600

Excess Return Since Inception The PE Benchmark is the Russell 3000 + 300 bps as of 093018

TRS - 070899

NYCERS - 032999

Police - 032999

Fire - 032999

BERS - 072006

Inception Date

300bps Target

Source StepStone Group amp Hamilton Lane

bps

21

Private Equity Value Added ndash PME Spread By Vintage Year as of 093018

-20

-10

00

10

20

30

40

50

60

70

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

Pre-2011 2011-2016 2011 2012 2013 2014 2015 2016 TRS - PME Spread -13 27 27 40 09 37 26 25 NYCERS - PME Spread -13 25 19 42 10 44 -05 25 Police - PME Spread -02 32 23 56 07 47 -05 25 Fire - PME Spread 02 34 23 61 07 51 -03 24 BERS - PME Spread -01 34 60 06 51 03 25

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

Perc

enta

ge

NA

22

Value Added - Private Real Estate - Core

88

-69

22 14

315

-600

-400

-200

0

200

400

600

Excess Return Since Inception Core PME = 40 Equities Russell 3000 amp 60 Barclay Agg as of 093018

TRS - 9282006

NYCERS - 9282006

Police - 9282006

Fire - 9282006

BERS - 12132010

Inception Date

Source State Street

Basis Points of Cumulative IRR above Public Market Equivalentbp

s

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

23

Value Added - Private Real Estate ndash Non-Core

425

227138

5

715

-900

-700

-500

-300

-100

100

300

500

700

900

Excess Return Since Inception Non-core PME = 60 Equities Russell 3000 amp 40 Barclay Agg as of 093018

TRS - 1262002

NYCERS - 1262002

Police - 1262002

Fire - 1262002

BERS - 04112011

Inception Date

Source State Street

s

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

24

Private Real Estate (Non-Core) Value Added - PME Spread By Vintage Year as of 093018

-80-60-40-200020406080

100120140

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

TRS - PME Spread 28 66 91 77 60 59 01 52 NYCERS - PME Spread -04 83 91 95 71 72 49 52 Police - PME Spread -30 94 90 109 69 123 49 51 Fire - PME Spread -61 102 93 107 77 134 48 51 BERS - PME Spread 73 111 138 49 46 41 76

Perc

enta

ge

Source State Street

NA

25

Value Added - Infrastructure

672600

675 623706

-1000

-800

-600

-400

-200

0

200

400

600

800

1000

Excess Return Since Inception PME 50 R3000 amp 50 Barclays Agg as of 093018

TRS - 11192013

NYCERS - 11192013

Police - 11192013

Fire - 11192013

BERS - 11192013

Inception Date

Source StepStone Group

s

26

Infrastructure Value Added ndash PME Spread By Vintage Year as of 093018

00102030405060708090

100

VINTAGE - 2013 VINTAGE - 2014 VINTAGE - 2015 VINTAGE - 2016

Vintage - 2013 Vintage - 2014 Vintage - 2015 Vintage - 2016 TRS - PME Spread 52 82 22 NYCERS - PME Spread 49 74 20 Police - PME Spread 49 91 20 Fire - PME Spread 49 85 19 BERS - PME Spread 49 84 16

NA

NANA

Perc

enta

ge

QUESTIONS

RISK UPDATE1st Quarter 2019

29

Quarterly Risk Reporting - Update

bull Holdings data on alternative assets (Private Equity Private Real Estate Infrastructure Hedge Funds and OFI) has been loaded into the MSCIrsquos Barra1 application - and will be periodically updated

bull Reports detailing the risk of each systems Public market and Private market assets as of year end 2018 have been generated and uploaded to Convene

The reports now include a section detailing the systems exposure to 6 ldquomacrordquo factors (the highest levelleast granular set of factors in MSCIrsquos factor hierarchy)

bull Reports detailing return attribution for each system at the total plan asset class sub asset class and manager level are also being generated

30

Total Plan Risk

BarraOne Total Plan Summary

Risk Summary

Statistic Value

Total Risk 667

Benchmark Risk 709

Active Risk 098

Portfolio Beta 093

Effective Duration 224

Asset Class Contribution to Risk

Asset Class MktValue Weight () Total Risk Risk Contribution CR toTR

Total 34955931095 10000 667 667 10000PublicEquity 16227689381 4642 1136 517 7753

FixedIncome 12208445529 3493 288 040 596

PrivateEquity 2430070329 695 1423 082 1235

HedgeFunds 2255116962 645 387 006 095

Private RealEstate 1507883721 431 701 017 249

Infrastructure 326725172 093 933 005 072

Asset Class Allocation

0

20

10

40

30

50

Public Equity Fixed Income PrivateEquity HedgeFunds Private Real Estate Infrastructure0

40

20

80

60

100

Weight () CR to TotalRisk

Weights ()CR to TotalRisk

Risk Factor Breakdown

Risk Decomposition

Risk Source Risk Contribution Correlation

TotalRisk 667 100Local MarketRisk 636 099

Common FactorRisk 633 094

Equity 581 047

FixedIncome 028 034

HedgeFund 000 010

Private RealEstate 017 -009

PrivateEquity 007 068

Selection Risk 003 030

CurrencyRisk 032

Portfolio Active

Risk Correlation Risk Contribution Risk

10000 100 098 100009527 099 095 97429483 099 087 88348701 097 030 3086423 028 013 1369003 002 001 092256 057 -003 -267098 010 045 4562044 007 009 908473 044 003 258 016

Active Risk from Risk Factors

-20

0

20

40

60

Private Equity

Equity Fixed Income

Hedge Unassigned Private Selection Fund Factors Real Risk

Estate

Currency Risk

C

R to

Activ

e To

talR

isk

Total Risk lt Benchmark Risk reflecting Equity and long duration UST ldquotiltsrdquo

Portfolio Beta lt 1 which is ldquodefensiverdquo

Private Market assets are now included

Private Equity is 695 of NAV but 1235 of Total Risk

31

EXPOSURE TO macro factors CUT ACROSS ASSET CLASSES

At the highest level we use just six factors to represent the primary drivers of total risk and return for a global multi-asset class portfolio

Daily Performance Please select Return column to displayPortfolio Base Return

Daily PerformanceMacro Factor Return Attribution

Factor Risk Contribution Factor ReturnsEquity 8402 -1319Pure Alts 083 -590Real Assets 329 -606Credit 630 -010Inflation 054 020Rates -148 162

Please note that the above factor returns are estimates derived from observing the return of ldquoproxiesrdquo

Sheet1

33

Total Plan Risk (Macro Factors)

BarraOne Total Plan Macro SummaryMacro factor models attribute the risk of the Barra Integrated Model to a far smaller set of factors At the highest level we use just six factors representing the primary drivers of total riskand return for a global multi-asset class portfolio that reduces the number of factors in an integrated factor model by aggregating selected groups of factors into single factors Tier I is thehighlest level of the Macro Factor Scheme which has 6 factors

Macro Factor Exposures

-1

0

1

2

3

4

Equity Credit Pure Alternatives Interest Rates Inflation RealAssets

Exposure BenchmarkExposure Active Exposure

Macro Factor Risk Contribution

-2

0

2

4

6

Equity Credit Pure Alternatives Interest Rates Inflation RealAssets-01

0

01

02

03

Portfolio RiskContribution Active Portfolio Risk Contribution

PortRiskActive PortRisk

Risk Decomposi ti on

Exposure Contribution

Risk Source Exposure Benchmark Exposure

Active Exposure

Portfolio Risk Portfolio Active PortfolioRisk Contribution Risk Contribution

ActiveRisk

Total Risk - - - 667 10000 098 10000Local MarketRisk - - - 635 9527 096 9753

Common FactorRisk - - - 632 9482 087 8852

Equity 055 061 -006 559 8385 025 2544

Credit 289 314 -026 042 637 001 133

PureAlternatives 010 006 004 006 085 015 1549

Interest Rates 226 297 -071 -010 -149 003 336

Inflation 036 043 -007 004 054 000 023

RealAssets 004 000 004 022 326 -006 -655

Factor ResidualRisk - - - 010 144 048 4921

Selection Risk - - - 003 044 009 902

CurrencyRisk - - - 032 473 002 247

Tier 1 Macro Factor Scheme has s ix factorsFactor Exposure Type DescriptionEquity CreditPureAlternatives

Interest Rates InflationReal Assets

Membership (weights) Global Public and Private Equity Sensitivities (durations) Sensitivity to global credit spreadsMembership (weights) Investment strategy return of Private Equityand

Hedge Funds net of public factor returns Sensitivities (durations) Sensitivity to global interest rates Sensitivities (durations) Sensitivity to breakeven inflation Membership (weights) Real Estate andCommodities

Factor Res idual Risk

Risk Source PortfolioRisk Contribution

PortfolioRisk

Active PortfolioRiskContribution

ActiveRisk

Commodities 000 000 000 000

Equity 021 313 006 585

FixedIncome -008 -119 008 856

HedgeFund -002 -028 010 971

PrivateEquity 003 045 021 2101

Private RealEstate -005 -070 004 390

UnassignedFactors 000 003 000

018

Underweight to the Equity Credit and Rates Macro factors

Equity Factor risk contribution 559

Equity Factor Active Risk contribution 25

Equity Factor Risk contribution as a of total risk 8385

Total Risk is 667

Equity Factor Active Risk is 2544 of Total Active Risk

34

Breaking Down Portfolio Risk By Asset Allocation and Factor Risk Contribution

What investors control

Portfolio characteristics Factor models Risk amp return What really

matters

Asset allocation Risk allocation

Mkt Value Weight ()

Portfolio Risk Equity Pure Alts Real

Assets Credit Inflation Rates Residual Residual CR

34814266262 10000 10000 8402 083 329 630 054 -148 045 605

EQUITY 22757203527 6537 9467 8278 083 329 036 000 -004 044 700

Alternative 6520082739 1873 1641 1185 083 329 036 000 -004 012 000

Hedge Funds 2255116963 648 096 101 031 000 008 000 000 010 -053

Infrastructure 326725173 094 072 086 004 000 011 000 -002 000 -027

Private Equity 2430077456 698 1244 1021 046 000 010 000 -001 001 167

Private Real Estate 1508163148 433 229 -023 002 329 007 000 000 001 -086

Public 16237120788 4664 7825 7093 000 000 000 000 000 032 700

Public Equity 16237120788 4664 7825 7093 000 000 000 000 000 032 700

FIXED INCOME 12057062735 3463 533 124 000 000 594 054 -144 001 -096

Alternative 123318330 035 021 003 000 000 017 000 -001 000 001

Public 11933744405 3428 513 122 000 000 576 054 -143 001 -097

Alternative Credit 3287792342 944 525 121 000 000 428 000 -018 001 -007

Fixed Income 8645952063 2483 -012 000 000 000 148 054 -125 000 -090

35

QUARTERLY CHANGE IN TOTAL FUND RISK

Risk SourcePortfolio Risk Contribution (2018-12-31)

Portfolio Risk Contribution (2018-09-30)

Portfolio Risk Change

Portfolio Exposure Change

Contribution

Portfolio Correlation

Change Contribution

Factor Volatility Change

Contribution

Total Risk 645 612 032 -020 -004 056Common Factor 608 574 034 -020 -002 056

Macro Factors 596 549 047 -013 005 055Credit 045 031 013 016 000 -003

Equity 558 525 033 -028 004 057

Inflation 004 004 000 000 000 000

Interest Rates -010 -011 001 -001 002 000

Pure Alternatives 000 000 000 000 000 000

Real Assets 000 000 000 000 000 000

Residual Risk 012 025 -013 -007 -007 001

Selection Risk 004 004 000 000 000 000

Currency Risk 032 034 -002 000 -001 000

119877119877119877119877119877119877119877119877 119862119862119862119862119862119862119862119862119862119862119877119877119862119862119862119862119862119862119877119877119862119862119862119862 = 119864119864119864119864119864119864119862119862119877119877119862119862119862119862119864119864 times 119862119862119862119862119862119862119862119862119864119864119862119862119862119862119862119862119877119877119862119862119862119862 times 119881119881119862119862119862119862119862119862119862119862119877119877119862119862119877119877119862119862119881119881

The risk of the of the public markets investments increased by 32 in the 4th quarter and can be attributed to changes in exposure correlation and volatility as follows

FactorbyAssetClass

ExpbyAssetClass

Correlations

RiskDelta Dec2018vsSepDec18

ExpbyAssetClass exAlt

RiskDelta DecVsSep exAlt

36

WHY IS THE EQUITY FACTOR SO DOMINANT

bull Total portfolio exposure to the equity factor is high (54)

bull The correlation between the Equity Factor and the portfolio is high (095)ndash Note that the Credit Factor

and the Real Asset Factor are also highly correlated with the total portfolio ndash and with the Equity Factor

bull Equity Factor volatility is high (1070)

Correlations between Macro factors

Factor volatilities and their contribution to portfolio risk

Factor Name Factor Volatility

Factor Exposure MCTR Portfolio

CorrelationResidual

ContributionEquity 1070 054 010 095 55170 Real Assets 1287 004 005 042 02138 Credit 022 340 000 066 05022 Pure Alternatives 728 010 001 008 00548 Inflation 035 036 000 028 00355 Interest Rates 031 229 000 -015 (01014)

Factor Name Equity Real Assets Credit Pure Alternatives Inflation Interest

RatesEquity 100 040 067 000 028 -030

Real Assets 100 049 000 035 -024

Credit 100 000 046 -040

Pure Alternatives 100 000 000

Inflation 100 -017

Interest Rates 100

119877119877119877119877119877119877119877119877 119862119862119862119862119862119862119862119862119862119862119877119877119862119862119862119862119862119862119877119877119862119862119862119862 = 119864119864119864119864119864119864119862119862119877119877119862119862119862119862119864119864 times 119862119862119862119862119862119862119862119862119864119864119862119862119862119862119862119862119877119877119862119862119862119862 times 119881119881119862119862119862119862119862119862119862119862119877119877119862119862119877119877119862119862119881119881

QUESTIONS

PRIVATE MARKET DATA
QUESTIONS
Total Plan Risk
Macro Factor Return Attribution
QUESTIONS
COMMON INVESTMENT MEETINGExecutive Session
PUBLIC EQUITYUS Small Cap Search Results
US Small Cap Search Memos
US Small Cap Search Summary
US Small Cap Search Final Scores by Style (Top 16 Products)
Recommended Manager Allocation Summary
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchPanAgora Asset Management
Recommendation PanAgora US Small Cap Core Stock Selector
QUESTIONS
US Small Cap Core Stock Selector Strategy
Disclosures
PanAgora Overview
PanAgora Overview
PanAgora Overview
PanAgora Overview
Philosophy and Process
Performance
Appendix
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchCooke amp Bieler
Recommendation Cooke amp Bieler Small Cap Value
QUESTIONS
Slide Number 62
Slide Number 63
Who DecidesOne Analyst Decides at Every Stagemdashwith Full Team Participation
Slide Number 65
Slide Number 66
Slide Number 67
Portfolio ConstructionBuilding and Monitoring the Small Cap Value Portfolio
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchPzena Investment Management
Recommendation Pzena Small Cap Focused Value
QUESTIONS
Slide Number 73
Slide Number 74
Slide Number 75
Slide Number 76
Slide Number 77
Slide Number 78
Slide Number 79
Slide Number 80
Slide Number 81
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchWasatch Advisors
Recommendation Wasatch Advisors Small Cap Core Growth
QUESTIONS
Wasatch SMALL CAP CORE GROWTH
WASATCH OVERVIEW
INVESTMENT PHILOSOPHY
SMALL CAP SPECIALIST
WASATCH ADVANTAGES
EXPERIENCED RESEARCH TEAM
REPEATABLE INVESTMENT PROCESS
HIGH QUALITY CHARACTERISTICS
HISTORICAL COMPOSITE PERFORMANCE
HISTORICAL OUTPERFORMANCE IN DOWN MARKETS
WHY WASATCH
DISCLOSURES
ANNUAL DISCLOSURE PRESENTATION
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchBrown Capital Management
Recommendation Brown Capital Small Company Strategy
QUESTIONS
Small Company Strategy Investing
Slide Number 105
Slide Number 106
Slide Number 107
Slide Number 108
Slide Number 109
Slide Number 110
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchDalton Greiner Hartman Maher amp Co
Recommendation Dalton Greiner (DGHM) V2000 Small Cap Value
QUESTIONS
Slide Number 115
Slide Number 116
Slide Number 117
Slide Number 118
Slide Number 119
Slide Number 120
Slide Number 121
Slide Number 122
Slide Number 123
Slide Number 124
Slide Number 125
Slide Number 126
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchT Rowe Price
Recommendation T Rowe Price US Small Cap Value
QUESTIONS
US SMALL-CAP VALUE EQUITY STRATEGY13FOURTH QUARTER 2018- TRS- NYCERS- POLICE- FIRE- BERS
T ROWE PRICE PRESENTERS
Slide Number 133
Slide Number 134
SMALL-CAP VALUE EQUITY INVESTMENT TEAM13As of 31 December 2018
US EQUITY RESEARCH TEAM13As of 31 December 2018
INVESTMENT PHILOSOPHY13Strategy Objective
INVESTMENT PROCESSmdashOVERVIEW13Process Steps
Slide Number 139
EQUITY GENERAL PORTFOLIO RISK
Slide Number 141
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchWilliam Blair
Recommendation William Blair Small Cap Growth
QUESTIONS
Slide Number 146
Why William Blair Small Cap Growth
Assets Under Management
Small Cap Growth Portfolio Team
Investment Philosophy
Small Cap Growth Investment Process
Investment Process
Historical CharacteristicsValuation Sensitivity Market Cap Bias and Contrarian Bias
Small Cap Growth Strategy Batting Average
Small Cap Growth Strategy
Slide Number 156
Investment Process ndash Investment Process Assessment
Investment Process ndash Sell Discipline
Glossary ndash Terms
Glossary ndash Terms (continued)
Glossary ndash Indices
Glossary ndash Indices (continued)
Composite Presentation Report
QUESTIONS
RECOMMENDATIONSTerminations
Recommendation Ceredex Termination
Recommendation Research Affiliates Small Cap Termination
QUESTIONS
REAL ESTATEHarrison Street Core Property Fund
Slide Number 171
Slide Number 172
QUESTIONS
march 20 2019 | Confidential
Slide Number 175
Leader in niche investing
Demographic-driven needs-based real estate
Significant Investable Universe
Trusted client base
Robust platform dedicated to niche investing
Why Harrison street
Harrison Street Core Property Fund
Core fund Portfolio Overview
Core Fund PerformanceTime-Weighted returns
Strong Income and Distribution Yield
Public REIT Performance Through the GFC
Diversity amp Inclusion commitment
Environmental social and Governance
Slide Number 189
Slide Number 190
Student housing Higher Education demand
Senior Housing growing needs-based demand
Medical Office growing needs-based demand
STORAGE Life-Events Driven Demand
Core Fund co-investment summary
Harrison Street Core Property Fund LP Important Disclosures
disclaimer
Christopher Merrill
Joey Lansing
Geoff Regnery
Jenna SHeehan
QUESTIONS
ALTERNATIVE CREDITTorchlight Debt Opportunity Fund VI
Torchlight Debt Opportunity Fund VI
QUESTIONS
Slide Number 206
Disclaimer
Disclaimer
Presenter Biographies
Table of Contents
Slide Number 211
Firm Overview
Firm Organization
Slide Number 214
Prior Investments
Slide Number 216
Creation of Structural Issues
Covenant-Lite Loans
Commercial Real Estate Value
Real Estate Fundamentals
Conservative Underwriting Standards
Loan Maturities
Slide Number 223
Debt Opportunity Fund VI mdash Portfolio Composition
Slide Number 226
Slide Number 227
Slide Number 228
US Equity and Corporate Debt Markets
US Corporate Debt Outstanding
Credit Environment
Excess Reserves
Money Supply and Velocity
QUESTIONS
REAL ESTATEKayne Anderson
QUESTIONS
KAYNE ANDERSONManager Presentation
Slide Number 238
Slide Number 239
Slide Number 240
Slide Number 241
Slide Number 242
Slide Number 243
Slide Number 244
Slide Number 245
Slide Number 246
Slide Number 247
Slide Number 248
Slide Number 249
Slide Number 250
Slide Number 251
Slide Number 252
QUESTIONS
HEDGE FUNDSLansdowne European Absolute Opportunities Fund LP
Lansdowne European Absolute Opportunities Fund LP
QUESTIONS
Lansdowne European Absolute Opportunities Fund
Firm Overview
European Absolute Opportunities Fund ndash Performance Review
European Absolute Opportunities Fund Investment Philosophy
Investment Philosophy ndash Demonstrable Customer Value proposition
ldquoJapanificationrdquo of Europe
Italyrsquos Productivity Issue
Italy does even worse when world trade slows
ldquoInefficiencyrdquo on Short Side ndash EU Bail-in Rules
Technology has Driven the Global Earnings Acceleration
Where has the money been made in Europe
ASML Case study in exponential share trajectorywealth creation in Europe
Summary of investment thesis
Slide Number 271
QUESTIONS
RECOMMENDATIONTerminations
Recommendation Dimensional (DFA) Termination
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchArtisan US Small Cap Growth
Recommendation Artisan US Small Cap Growth
QUESTIONS
Slide Number 279
Slide Number 280
Slide Number 281
Slide Number 282
Slide Number 283
Slide Number 284
Slide Number 285
Slide Number 286
QUESTIONS
PUBLIC EQUITYUS Small Cap Manager SearchWellington Small Cap 2000
Recommendation Wellington Small Cap 2000
QUESTIONS
Slide Number 291
Slide Number 292
Slide Number 293
Slide Number 294
Slide Number 295
Slide Number 296
Slide Number 297
Slide Number 298
Slide Number 299
Slide Number 300
Slide Number 301
Slide Number 302
Slide Number 303
Slide Number 304
Slide Number 305
QUESTIONS

Risk Source	Portfolio Risk Contribution (2018-12-31)	Portfolio Risk Contribution (2018-09-30)	Portfolio Risk Change	Portfolio Residual Exposure (2018-12-31)	Portfolio Residual Exposure (2018-09-30)	Portfolio Exposure Change	Portfolio Exposure Change Contribution	Portfolio Correlation (2018-12-31)	Portfolio Correlation (2018-09-30)	Portfolio Correlation Change	Portfolio Correlation Change Contribution	Factor Volatility (2018-12-31)	Factor Volatility (2018-09-30)	Factor Volatility Change	Factor Volatility Change Contribution

Total Risk	645	612	032	100	100	000	-020	100	100	-000	-004	645	612	032	056

Common Factor	608	574	034	100	100	000	-020	099	099	000	-002	614	580	034	056

Macro Factors	596	549	047	100	100	000	-013	097	096	001	005	617	572	045	055

Credit	045	031	013	302	196	106	016	066	066	000	000	022	024	-002	-003

Equity	558	525	033	055	058	-003	-028	095	095	001	004	1070	963	108	057

Inflation	004	004	000	042	039	003	000	029	029	-001	-000	035	035	000	000

Interest Rates	-010	-011	001	252	225	027	-001	-013	-016	002	002	031	031	-001	000

Pure Alternatives	000	000	000	004	003	001	000	000	000	-000	-000	728	650	077	000

Real Assets	000	000	000	000	000	000	000	042	046	-004	000	1287	1276	011	000

Residual Risk	012	025	-013	-200	-200	000	-007	-049	-048	-001	-007	-095	-087	-008	001

Selection Risk	004	004	-000	100	100	000	000	008	008	-000	-000	050	049	001	000

Currency Risk	032	034	-002	100	100	000	-000	044	044	000	-001	073	078	-005	000

123118			Market Value Driven			Duration Driven			93018				Market Value Driven		Duration Driven			Delta				Market Value Driven			Duration Driven

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()		Portfolio Risk Contribution	Equity Exp		Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp		Interest Rates Exp		Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution		Equity Exp		Pure Alternatives Exp	Real Assets Exp		Credit Exp	Inflation Exp	Interest Rates Exp	Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Exp	Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp	Interest Rates Exp

by distinct+distinct+distinct	3040557246216	10000		645	055		004	000	302	042		252		by distinct+distinct+distinct	3374905962249	10000	612		058		003	- 0		196	039	225	by distinct+distinct+distinct	-334348716033	-000	032	(003)	001	- 0	106	003	027

EQUITY	1847175143034	6075		604	088		007	000	006	000		001		EQUITY	2112219625002	6259	585		090		005	- 0		006	000	001	EQUITY	-265044481967	-183	020	(002)	002	- 0	001	000	000

Alternative	225511696258	742		008	010		055	000	052	000		009		Alternative	220992904653	655	008		014		047	- 0		054	000	009	Alternative	4518791605	087	-001	(004)	008	- 0	-002	000	-000

Hedge Funds	225511696258	742		008	010		055	000	052	000		009		Hedge Funds	220992904653	655	008		014		047	- 0		054	000	009	Hedge Funds	4518791605	087	-001	(004)	008	- 0	-002	000	-000

Public	1621663446776	5333		597	099		000	000	000	000		000		Public	1891226720349	5604	576		099		- 0	- 0		000	000	000	Public	-269563273572	-270	020	(000)	- 0	- 0	000	000	000

Public Equity	1621663446776	5333		597	099		000	000	000	000		000		Public Equity	1891226720349	5604	576		099		- 0	- 0		000	000	000	Public Equity	-269563273572	-270	020	(000)	- 0	- 0	000	000	000

FIXED INCOME	1193382103182	3925		041	002		000	000	760	106		641		FIXED INCOME	1262686337248	3741	028		003		- 0	- 0		515	104	600	FIXED INCOME	-69304234066	183	013	(000)	- 0	- 0	245	002	040

Public	1193382103182	3925		041	002		000	000	760	106		641		Public	1262686337248	3741	028		003		- 0	- 0		515	104	600	Public	-69304234066	183	013	(000)	- 0	- 0	245	002	040

Alternative Credit	328779234169	1081		040	008		000	000	2048	000		292		Alternative Credit	283128193941	839	030		012		- 0	- 0		1599	000	246	Alternative Credit	45651040228	242	010	(004)	- 0	- 0	450	000	046

Fixed Income	864602869013	2844		000	000		000	000	270	146		773		Fixed Income	979558143307	2902	-002		000		- 0	- 0		202	134	703	Fixed Income	-114955274294	-059	002	000	- 0	- 0	068	013	070

		Market Value Driven			Duration Driven						Market Value Driven			Duration Driven						Market Value Driven			Duration Driven

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()		Portfolio Risk Contribution	Equity Exp		Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp		Interest Rates Exp		Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution		Equity Exp		Pure Alternatives Exp	Real Assets Exp		Credit Exp	Inflation Exp	Interest Rates Exp	Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Exp	Pure Alts Exp	Real Assets Exp	Credit Exp	Inflation Exp	Interest Rates Exp

by distinct+distinct+distinct	3040557246216	10000		10000	055		004	000	302	042		252		by distinct+distinct+distinct	3374905549201	10000	10000		058		003	000		196	039	225	by distinct+distinct+distinct	-334348716033	-000	000	(003)	001	- 0	106	003	027

EQUITY	1847175143034	6075		9371	054		004	000	004	000		001		EQUITY	2112219211953	6259	9545		057		003	000		004	000	001	EQUITY	-265044481967	-183	-173	(003)	001	- 0	000	000	000

Alternative	225511696258	742		117	001		004	000	004	000		001		Alternative	220992904653	655	132		001		003	000		004	000	001	Alternative	4518791605	087	-015	(000)	001	- 0	000	000	000

Hedge Funds	225511696258	742		117	001		004	000	004	000		001		Hedge Funds	220992904653	655	132		001		003	000		004	000	001	Hedge Funds	4518791605	087	-015	(000)	001	- 0	000	000	000

Public	1621663446776	5333		9255	053		000	000	000	000		000		Public	1891226307300	5604	9413		056		000	000		000	000	000	Public	-269563273572	-270	-158	(003)	- 0	- 0	000	000	000

Public Equity	1621663446776	5333		9255	053		000	000	000	000		000		Public Equity	1891226307300	5604	9413		056		000	000		000	000	000	Public Equity	-269563273572	-270	-158	(003)	- 0	- 0	000	000	000

FIXED INCOME	1193382103182	3925		629	001		000	000	298	042		251		FIXED INCOME	1262686337248	3741	455		001		000	000		193	039	225	FIXED INCOME	-69304234066	183	173	(000)	- 0	- 0	105	003	027

Public	1193382103182	3925		629	001		000	000	298	042		251		Public	1262686337248	3741	455		001		000	000		193	039	225	Public	-69304234066	183	173	(000)	- 0	- 0	105	003	027

Alternative Credit	328779234169	1081		623	001		000	000	221	000		032		Alternative Credit	283128193941	839	489		001		000	000		134	000	021	Alternative Credit	45651040228	242	134	(000)	- 0	- 0	087	000	011

Fixed Income	864602869013	2844		006	000		000	000	077	042		220		Fixed Income	979558143307	2902	-034		000		000	000		059	039	204	Fixed Income	-114955274294	-059	039	000	- 0	- 0	018	003	016

Risk Source	Portfolio Risk Contribution (2018-12-31)	Portfolio Risk Contribution (2018-09-30)	Portfolio Risk Change	Portfolio Residual Exposure (2018-12-31)	Portfolio Residual Exposure (2018-09-30)	Portfolio Exposure Change	Portfolio Exposure Change Contribution	Portfolio Correlation (2018-12-31)	Portfolio Correlation (2018-09-30)	Portfolio Correlation Change	Portfolio Correlation Change Contribution	Factor Volatility (2018-12-31)	Factor Volatility (2018-09-30)	Factor Volatility Change	Factor Volatility Change Contribution

Total Risk	66035	61240	04794	10000	10000	00000	-00431	10000	10000	00000	-00339	66035	61240	04794	05565

Common Factor	62623	57411	05212	10000	10000	00000	-00330	09925	09894	00031	-00067	63098	58026	05072	05609

Macro Factors	62219	54930	07289	10000	10000	00000	01286	09659	09609	00050	00534	64414	57166	07248	05470

Credit	05022	03123	01899	34019	19638	14380	02205	06609	06609	-00000	-00000	02234	02406	-00173	-00306

Equity	55170	52504	02666	05420	05761	-00341	-03292	09512	09469	00043	00244	107022	96253	10769	05713

Inflation	00355	00398	-00043	03552	03885	-00333	-00034	02841	02932	-00091	-00012	03519	03495	00024	00003

Interest Rates	-01014	-01101	00087	22859	22526	00333	-00016	-01453	-01556	00102	00072	03053	03143	-00090	00031

Pure Alternatives	00548	00005	00543	00953	00307	00646	00191	00790	00026	00764	00332	72756	65008	07748	00020

Real Assets	02138	00000	02138	00395	00000	00395	02231	04208	04613	-00405	-00102	128704	127590	01114	00010

Residual Risk	00404	02482	-02077	-20000	-20000	00000	-01615	-04638	-04793	00154	-00601	-09973	-08688	-01285	00139

Selection Risk	00288	00396	-00108	10000	10000	00000	00000	00661	00804	-00143	-00067	04362	04923	-00562	-00041

Currency Risk	03124	03433	-00310	10000	10000	00000	-00101	04319	04380	-00061	-00205	07233	07839	-00606	-00003

Tier 1 Macro Factors				Tier 1 Macro Factor Correlation Matrix

Factor Name	Factor Volatility	Factor Exposure	MCTR	Portfolio Correlation	Residual Contribution	Factor Name	Equity	Real Assets	Credit	Pure Alternatives	Inflation	Interest Rates

Equity	1070	054	010	095	55170	Equity	100	040	067	000	028	-030

Real Assets	1287	004	005	042	02138	Real Assets	040	100	049	000	035	-024

Credit	022	340	000	066	05022	Credit	067	049	100	000	046	-040

Pure Alternatives	728	010	001	008	00548	Pure Alternatives	000	000	000	100	000	000

Inflation	035	036	000	028	00355	Inflation	028	035	046	000	100	-017

Interest Rates	031	229	-000	-015	(01014)	Interest Rates	-030	-024	-040	000	-017	100

123118			Market Value Driven			Duration Driven			93018				Market Value Driven		Duration Driven			Delta				Market Value Driven			Duration Driven

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()		Portfolio Risk Contribution	Equity Exp		Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp		Interest Rates Exp		Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution		Equity Exp		Pure Alternatives Exp	Real Assets Exp		Credit Exp	Inflation Exp	Interest Rates Exp	Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Exp	Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp	Interest Rates Exp

by distinct+distinct+distinct	3568703286815	10000		660	054		010	004	340	036		229		by distinct+distinct+distinct	3374905549201	10000	612		058		003	- 0		196	039	225	by distinct+distinct+distinct	193797737614	000	048	(003)	006	004	144	-003	003

EQUITY	2273671720694	6508		613	083		015	006	025	000		009		EQUITY	2112219211953	6259	585		090		005	- 0		006	000	001	EQUITY	161452508741	250	028	(008)	010	006	019	000	008

Alternative	652008273918	1865		106	041		051	022	087	000		032		Alternative	220992904653	655	008		014		047	- 0		054	000	009	Alternative	431015369265	1210	098	028	004	022	033	000	023

Hedge Funds	225511696258	645		006	010		055	000	052	000		009		Hedge Funds	220992904653	655	008		014		047	- 0		054	000	009	Hedge Funds	4518791605	-010	-002	(004)	008	- 0	-002	000	-000

Infrastructure	32672517250	093		005	060		050	000	538	000		407		Infrastructure	000	000	000		- 0		- 0	- 0		000	000	000	Infrastructure	32672517250	093	005	060	050	- 0	538	000	407

Private Equity	243007745623	695		081	096		075	000	067	000		014		Private Equity	000	000	000		- 0		- 0	- 0		000	000	000	Private Equity	243007745623	695	081	096	075	- 0	067	000	014

Private Real Estate	150816314786	431		015	-003		005	093	073	000		013		Private Real Estate	000	000	000		- 0		- 0	- 0		000	000	000	Private Real Estate	150816314786	431	015	(003)	005	093	073	000	013

Public	1621663446776	4644		507	099		000	000	000	000		000		Public	1891226307300	5604	576		099		- 0	- 0		000	000	000	Public	-269562860524	-960	-070	(000)	- 0	- 0	000	000	000

Public Equity	1621663446776	4644		507	099		000	000	000	000		000		Public Equity	1891226307300	5604	576		099		- 0	- 0		000	000	000	Public Equity	-269562860524	-960	-070	(000)	- 0	- 0	000	000	000

FIXED INCOME	1295031566121	3492		047	004		001	000	894	098		614		FIXED INCOME	1262686337248	3741	028		003		- 0	- 0		515	104	600	FIXED INCOME	32345228873	-250	020	001	001	- 0	378	-006	013

Alternative	101649462939	079		014	025		008	000	2463	002		298		Alternative	000	000	000		- 0		- 0	- 0		000	000	000	Alternative	101649462939	079	014	025	008	- 0	2463	002	298

Opportunistic Fixed Income	101649462939	079		014	025		008	000	2463	002		298		Opportunistic Fixed Income	000	000	000		- 0		- 0	- 0		000	000	000	Opportunistic Fixed Income	101649462939	079	014	025	008	- 0	2463	002	298

Public	1193382103182	3413		033	002		000	000	760	106		641		Public	1262686337248	3741	028		003		- 0	- 0		515	104	600	Public	-69304234066	-328	005	(000)	- 0	- 0	245	002	040

Alternative Credit	328779234169	940		034	008		000	000	2049	000		292		Alternative Credit	283128193941	839	030		012		- 0	- 0		1599	000	246	Alternative Credit	45651040228	101	004	(004)	- 0	- 0	450	000	046

Fixed Income	864602869013	2473		-001	000		000	000	270	146		773		Fixed Income	979558143307	2902	-002		000		- 0	- 0		202	134	703	Fixed Income	-114955274294	-430	001	000	- 0	- 0	068	013	070

		Market Value Driven			Duration Driven						Market Value Driven			Duration Driven						Market Value Driven			Duration Driven

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()		Portfolio Risk Contribution	Equity Exp		Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp		Interest Rates Exp		Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution		Equity Exp		Pure Alternatives Exp	Real Assets Exp		Credit Exp	Inflation Exp	Interest Rates Exp	Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Exp	Pure Alternatives Exp	Real Assets Exp	Credit Exp	Inflation Exp	Interest Rates Exp

by distinct+distinct+distinct	3496574937985	10000		10000	054		010	004	340	036		229		by distinct+distinct+distinct	3374905549201	10000	10000		058		003	000		196	039	225	by distinct+distinct+distinct	193797737614	000	4795	(003)	006	004	144	-003	003

EQUITY	2275720352736	6508		9282	054		009	004	016	000		006		EQUITY	2112219211953	6259	9545		057		003	000		004	000	001	EQUITY	161452508741	250	2844	(005)	006	004	013	000	005

Alternative	652008273918	1865		1610	008		009	004	016	000		006		Alternative	220992904653	655	132		001		003	000		004	000	001	Alternative	431015369265	1210	9827	005	001	004	006	000	004

Hedge Funds	225511696258	645		094	001		004	000	003	000		001		Hedge Funds	220992904653	655	132		001		003	000		004	000	001	Hedge Funds	4518791605	-010	-185	(000)	001	- 0	-000	000	-000

Infrastructure	32672517250	093		071	001		000	000	005	000		004		Infrastructure	000	000	000		000		000	000		000	000	000	Infrastructure	32672517250	093	467	001	000	- 0	005	000	004

Private Equity	243007745623	695		1221	007		005	000	005	000		001		Private Equity	000	000	000		000		000	000		000	000	000	Private Equity	243007745623	695	8063	007	005	- 0	005	000	001

Private Real Estate	150816314786	431		225	-000		000	004	003	000		001		Private Real Estate	000	000	000		000		000	000		000	000	000	Private Real Estate	150816314786	431	1483	(000)	000	004	003	000	001

Public	1623712078818	4644		7672	046		000	000	000	000		000		Public	1891226307300	5604	9413		056		000	000		000	000	000	Public	-269562860524	-960	-6983	(000)	- 0	- 0	000	000	000

Public Equity	1623712078818	4644		7672	046		000	000	000	000		000		Public Equity	1891226307300	5604	9413		056		000	000		000	000	000	Public Equity	-269562860524	-960	-6983	(000)	- 0	- 0	000	000	000

FIXED INCOME	1220854585249	3492		718	001		000	000	312	034		214		FIXED INCOME	1262686337248	3741	455		001		000	000		193	039	225	FIXED INCOME	32345228873	-250	1951	000	000	- 0	132	-002	005

Alternative	27480144788	079		217	000		000	000	019	000		002		Alternative	000	000	000		000		000	000		000	000	000	Alternative	101649462939	079	1430	000	000	- 0	019	000	002

Opportunistic Fixed Income	27480144788	079		217	000		000	000	019	000		002		Opportunistic Fixed Income	000	000	000		000		000	000		000	000	000	Opportunistic Fixed Income	101649462939	079	1430	000	000	- 0	019	000	002

Public	1193374440461	3413		501	001		000	000	259	036		219		Public	1262686337248	3741	455		001		000	000		193	039	225	Public	-69304234066	-328	521	(000)	- 0	- 0	083	001	014

Alternative Credit	328779234169	940		517	001		000	000	193	000		027		Alternative Credit	283128193941	839	489		001		000	000		134	000	021	Alternative Credit	45651040228	101	418	(000)	- 0	- 0	042	000	004

Fixed Income	864595206292	2473		-016	000		000	000	067	036		191		Fixed Income	979558143307	2902	-034		000		000	000		059	039	204	Fixed Income	-114955274294	-430	103	000	- 0	- 0	017	003	017

Source of Factor Risk by Asset Class

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Contrib	Pure Alternatives Contrib	Real Assets Contrib	Credit Contrib	Inflation Contrib	Interest Rates Contrib	Specific Residual Contribution	Residual CR Gonzalez Blanco Arturo Gonzalez Blanco ArturoCurrency Risk + Factor Residual Risk

by distinct+distinct+distinct	3568703286815	10000	660	552	005	021	050	004	-010	003	035

EQUITY	2273671720694	6371	613	537	005	021	002	000	-000	003	045

Alternative	652008273918	1827	106	077	005	021	002	000	-000	001	-000

Hedge Funds	225511696258	632	006	007	002	000	000	000	-000	001	-003

Infrastructure	32672517250	092	005	006	000	000	001	000	-000	000	-002

Private Equity	243007745623	681	081	066	003	000	001	000	-000	000	011

Private Real Estate	150816314786	423	015	-001	000	021	000	000	-000	000	-006

Public	1621663446776	4544	507	460	000	000	000	000	-000	002	045

Public Equity	1621663446776	4544	507	460	000	000	000	000	-000	002	045

FIXED INCOME	1295031566121	3629	047	015	000	000	048	004	-010	000	-009

Alternative	101649462939	285	014	007	000	000	010	000	-000	000	-003

Opportunistic Fixed Income	101649462939	285	014	007	000	000	010	000	-000	000	-003

Public	1193382103182	3344	033	008	000	000	038	004	-010	000	-006

Alternative Credit	328779234169	921	034	008	000	000	028	000	-001	000	-000

Fixed Income	864602869013	2423	-001	000	000	000	010	004	-008	000	-006

Grouping Level 1+Level 2+Level 3	Mkt Value	Weight ()	Portfolio Risk Contribution	Equity Contrib	Pure Alternatives Contrib	Real Assets Contrib	Credit Contrib	Inflation Contrib	Interest Rates Contrib	Specific Residual Contribution	Residual CR

by distinct+distinct+distinct	3568703286815	10000	10000	8355	083	324	761	054	-154	044	534

EQUITY	2273671720694	6371	9282	8125	081	324	036	000	-004	043	678

Alternative	652008273918	1827	1610	1165	081	324	036	000	-004	011	-002

Hedge Funds	225511696258	632	094	099	030	000	007	000	-000	010	-052

Infrastructure	32672517250	092	071	085	004	000	011	000	-003	000	-027

Private Equity	243007745623	681	1221	1003	045	000	010	000	-001	001	163

Private Real Estate	150816314786	423	225	-023	002	324	007	000	-000	001	-086

Public	1621663446776	4544	7672	6961	000	000	000	000	-000	031	680

Public Equity	1621663446776	4544	7672	6961	000	000	000	000	-000	031	680

FIXED INCOME	1295031566121	3629	718	229	002	000	725	054	-150	001	-144

Alternative	101649462939	285	217	110	002	000	157	000	-006	000	-047

Opportunistic Fixed Income	101649462939	285	217	110	002	000	157	000	-006	000	-047

Public	1193382103182	3344	501	120	000	000	568	054	-144	001	-097

Alternative Credit	328779234169	921	517	119	000	000	422	000	-018	001	-007

Fixed Income	864602869013	2423	-016	000	000	000	146	054	-126	000	-090


Factor	Risk Contribution	Factor Returns

Equity	8402	-1319

Pure Alts	083	-590

Real Assets	329	-606

Credit	630	-010

Inflation	054	020

Rates	-148	162

Residual	045

Residual CR	605

NYC Pension System	Portfolio Std Dev - 1 yr		3 Month		Fiscal YTD		One Year Trailing		Three Year Trailing

BERS	790		-669		-430		-298		797

TRS	717		-602		-348		-318		704

POLICE	699		-603		-345		-233		742

NYCERS	696		-592		-327		-270		734

FIRE	693		-603		-357		-247		722


Public Mkt Equiv 6535		-845		-538		-512		537

Median Fund - TUCS		-599		-338		-251		683

Asset Class	Index	Fourth Quarter Returns 2018	Current Fiscal Year	3 Year	5 Year	Expected

Equities - US	Russell 3000	-1430	-820	897	791	780

Equities - Developed Intl	MSCI World ex USA IMI Net	-1328	-1243	321	059	890

Equities - Emerging Intl	MSCI EMERGING MARKETS	-746	-848	925	165	1100

Debt - US Govt Long Duration	FTSE Treasury 10+	417	109	259	605

Debt - US Government	NYC TreasAgency +5	369	212	192	369	280

Debt - Investment Grade	NYC IG Credit	017	105	317	315	340

Debt - High Yield	FTSE BB amp B	-402	-187	661	359	610

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