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New York CityBoard of Education Retirement SystemPerformance Overview as of December 31, 2016

Total Fund Overview

New York City Board of Education Retirement System 1Performance Overview as of December 31, 2016

New York CityBoard of Education Retirement System

Consultant's Commentary & Performance Charts p.3

Appendix A - Consolidated Performance Report p.25

Appendix B - Public Markets Manager Performance Detail p.32

Appendix C - Alternative Assets Manager Performance Detail p.39

Appendix D - Footnotes p.43

Table of Contents:


TOTAL BOARD OF EDUCATION - Gross TOTAL BOARD OF EDUCATION - Net Mgr Board of Education Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years Trailing 5 Years Trailing 10 Years

Trailing 15 Years

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Ra

te o

f R

etu

rn

1.08 1.01 0.87

5.80 5.67

4.88

9.449.19

8.67

5.214.97 5.10

9.44 9.35

5.795.49

6.886.62

TOTAL BOARD OF EDUCATION - Gross TOTAL BOARD OF EDUCATION - Net Mgr Board of Education Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years Trailing 5 Years Trailing 10 Years

Trailing 15 Years

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Ra

te o

f R

etu

rn

1.08 1.01 0.87

5.80 5.67

4.88

9.449.19

8.67

5.214.97 5.10

9.44 9.35

5.795.49

6.886.62

Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 10 Years Benchmark 10 YearsStandard Deviation

TOTAL BOARD OF EDUCATION 7.4 7.1 9.4 7.3 11.3 11.7

Market Value (Billions)

TOTAL BOARD OF EDUCATION $4.8

Total Portfolio Returns: December 31, 2016


New York City Board of Education Retirement System (BERS)

Consultant’s Commentary – Through December 31, 2016

Total Fund Performance

The Board of Education Retirement System (BERS) Total Fund returned +1.01% net of fees for the quarter ended December 31, 2016, versus the policy benchmark’s return of +1.02%. For the fiscal year as of December 31, 2016, the Total Fund returned +5.67% net of fees, versus the benchmark return of +5.04%. The trailing 15-Year return is +6.9% which is in line with the plan’s expected return of assets of +7.0%.

Total Fund Asset Allocation

As of December 31, 2016, the BERS Total Fund had $4.83 billion, up from $4.73 billion at September 2016. The total plan asset allocation and diversification added value for the quarter. The Fund is in the process of increasing the commitments to Private Real Estate and Private Equities.

Active U.S. Equity Commentary

As of December 31, 2016, U.S. Equity was $1.76 billion (36.4%) of the NYBERS Total Fund. The U.S. equity composite was positive in the fourth quarter returning +4.40%. This performance outperformed the R3000 index return of +4.21%.

Active U.S. Equity Managers

• Wellington returned +4.51% in the quarter versus +7.42% for S&P Midcap 400 index. For the fiscal year as of December 31, 2016, Wellington returned +9.20% versus +11.87% for the S&P Midcap 400 index.

• Underweight to real estate and stock selection in the energy sector contributed, while stock selection in the health care, information technology, financials, and industrials sectors detracted. • Within the health care sector, Alkermes was our largest detractor. For the fourth quarter specifically, Puma Biotechnology, Guidewire Software, and TripAdvisor were the largest detractors.

Consultant's Commentary

Through December 31, 2016


• Energy holdings were a bright spot in 2016, benefitting as oil prices rose about 40% during the year.

International Equity Commentary

As of December 31, 2016, Developed International Equity was $774.2 million (16%) of the NYBERS Total Fund. Non-U.S. stocks returned -.1.85% in the fourth quarter versus -1.02% for the MSCI EAFE.

Active International Equity Managers

• Sprucegrove returned +2.43% in the quarter versus +4.17% for the MSCI EAFE Value, net index. For the fiscal year as of December 31, 2016, Sprucegrove returned +11.17% versus +12.50% for the MSCI EAFE Value, net index.

• The Fund continues to represent high quality with a projected ROE of 14.2%, which is higher than the EAFE index at 11.0% and financial leverage of 2.3x, which is below the EAFE index at 2.7x. The Fund at a normalized P/E of 13.2x, 1.9x P/B and a 2.9% dividend yield is attractively valued.

• Over the quarter, the largest positive returns in the developed markets were from Italy (+10.8%), the U.S. (+3.4%) and Canada (+3.3%). The largest negative returns were from New Zealand (-10.9%), Hong Kong (-9.0%) and Denmark (-8.7%).

• The Fund benefitted from holdings in the more cyclically sensitive Energy, Materials and Information Technology sectors, contrary to last year. The Fund also benefitted from having less exposure to the more defensive (yet weaker) sectors, such as Health Care and Consumer Staples.

• The top 10 holdings represent +24.2% of the portfolio.

• Baillie Gifford returned -.6.16% in the quarter versus -5.53% for the MSCI EAFE Growth, net index. For the fiscal year as of December 31, 2016, Baillie Gifford returned +5.21% versus -0.84% for the MSCI EAFE Growth, net Index.

• Inditex, an international clothing retailer, was the portfolio’s largest holding at +5.6%.




• At quarter end, the portfolio had +13.8% invested in emerging markets.

• The top 10 holdings represent +40.9% of the portfolio.

• Acadian outperformed for the quarter, -1.58% versus -3.38% for the S&P EPAC Small Cap Index. Acadian also outperformed for the fiscal year as of December 31, 2016, +6.31% versus +4.76% for the S&P EPAC Small Cap Index.

• Gains realized from stock selection were enhanced by value added from country allocations. Key sources of positive active return included a combination of stock selection and an underweight position in Korea, a combination of stock selection and an overweight position in Israel, and an opportunistic exposure to South Africa. Less successful investments included stock selection in the U.K. and Belgium, as well as a combination of stock selection and an underweight position in France. y • At quarter end, the portfolio’s emerging markets exposure was 10.5%. The portfolio held 1,062 stocks.

Emerging Markets Equity Commentary

As of December 31, 2016, Emerging Markets Equity was $329.2 million (6.8%) of the NYBERS Total Fund. Emerging Markets outperformed for the quarter, -2.77% versus -4.16% for the MSCI Emerging Markets, net Index. Emerging Markets also outperformed for the fiscal year as of December 31, 2016, +7.82% versus +4.49% for the MSCI Emerging Markets, net Index. Blackrock is a new Emerging Markets manager beginning December, 2016.

Emerging Markets Equity Managers

• Acadian outperformed for the quarter, -2.60% versus -4.16% for the MSCI Emerging Markets, net Index. Acadian also outperformed for the fiscal year as of December 31, 2016, +8.02% versus +4.49% for the MSCI Emerging Markets, net Index.

• Gains realized from stock selection were partially offset by value lost from country allocations. Key sources of positive active return included stock selection in India and Korea, along with a combination of stock selection and an overweight position in Brazil. An underweight position in Russia proved less successful, as did a market overweight in Turkey.




• The quantitatively managed portfolio held 412 stocks as of quarter end, compared to 832 for the benchmark. While not specifically a value equity style portfolio, it exhibited many such characteristics including lower valuation metrics versus benchmark (P/E of 11.0x versus 14.4x).

• The market capitalization was tilted smaller compared to the benchmark with a weighted average of $45.4 billion compared to $55.7 billion for the benchmark.

Fixed Income – Structured Manager Composite Commentary

As of December 31, 2016, The Total Structured Portfolio was $671.2 million (13.9%) of the NYBERS Total Fund. Structured Fixed Income returned -3.14% in the fourth quarter versus -3.61% for the benchmark. For the fiscal year as of December 31, 2016, Structured Fixed Income returned -2.12% versus -2.95% for the benchmark.

Fixed Income – Structured Manager Composite Managers

• BlackRock (mortgages) returned -1.68% in the quarter, outperforming the Citigroup Mortgage index return of -1.98%. For the fiscal year as of December 31, 2016, BlackRock (mortgages) returned -0.99% versus -1.43% for the Citigroup Mortgage index.

• Notable development during the month was the generally unexpected change in the Fed’s Summary of Economic Projections where the median forecast now expects three hikes in 2017, up from two previously. This caused a sharp flattening in the 5s30s yield curve from 122bps pre-meeting, to a low of 104bps, before month-end buying in the belly of the curve caused the curve to finish at 113bps.

• Prudential (credit) returned -2.83% in the quarter, outperforming the Investment Grade Credit index return of -3.05%. For the fiscal year as of December 31, 2016, Prudential (credit) returned -1.54% versus -1.72% for the Investment Grade Credit index.

• PRIVEST (credit) returned -2.42% in the quarter versus -3.05% for the Investment Grade Credit index. For the fiscal year as of December 31, 2016, PRIVEST (credit) returned -0.66% versus -1.72% for the Investment Grade Credit index.

• Quarterly credit migration included 11 issuer upgrades ($170.4 million market value) and 34 issuer downgrades ($650.1) million market value.




• PRIVEST committed to purchase $1,091.4 million of private placements in 2016 at a weighted average spread, coupon, credit quality and average life of 223 basis points, 4.00%, BBB, and 10.28 years, respectively. • Optional prepayment activity totaled $48.6M and resulted in market value gains of $4.5M. • SSgA (governments) returned -7.34% in the quarter, in line with the -7.32% return for its NYC - Treasury Agency plus five index benchmark. For the fiscal year as of December 31, 2016, SSgA (governments) returned -7.70% versus -7.76% for the NYC - Treasury Agency plus five index. • U.S. Agency positioning was the largest contributor to performance with a short duration position and tactical trading also contributed. Early in the quarter, they had a sizable cash flow into the portfolio and due to the timing of the flow, were given the ability to invest into a back-up in interest rates providing positive performance by purchasing bonds at attractive entry levels across the curve.

• Taplin, Canida & Habacht returned -2.28% in the quarter versus -3.05% for the Investment Grade Credit index. For the fiscal year as of December 31, 2016, Taplin, Canida & Habacht returned +0.31% versus -1.72% for the Investment Grade Credit index.

• The fourth quarter was the worst quarter in terms of performance for the broad bond market in 35 years, though credit was the best performing fixed income sector for the quarter. Interest rates on the 10 year Treasuries rose nearly 100 basis points, driven by expectations of rising inflation and growth following the U.S. election. This increase in rates led to negative absolute returns for the account, though the account outperformed significantly on a relative basis.

• Positive security selection within corporate credit generated outperformance in the period. In particular, names within technology contributed to performance as did commodity-related securities, which benefitted from the continuing firming of commodity prices. The OPEC deals in November and December further supported commodity related issuers. • The account had decreased its duration earlier in the year and this lower duration profile contributed to the account’s outperformance during the period. Investment grade corporate floating rate notes generated positive absolute returns for the quarter and benefitted from the Fed raising the Fed Funds rate in December.




Enhanced Yield Fixed Income & Bank Loans Commentary

As of December 31, 2016, Enhanced Yield Fixed Income & Bank Loans was $366.6 million (7.6%) of the NYBERS Total Fund.

Enhanced Yield Fixed Income & Bank Loans Managers

• Loomis Sayles returned +2.27% in the quarter versus +1.88% for the Merrill Lynch High Yield Master II Index. For the fiscal year as of December 31, 2016, Loomis Sayles returned +8.29% versus +7.47% for the Merrill Lynch High Yield Master II Index.

• Overall, out-of-benchmark positions in convertibles were the largest contributor to relative performance over the quarter. Energy was the largest contributor to performance as oil continued to rebound this quarter. Consumer non-cyclical and technology names contributed to performance as well. In the Conservative space, convertibles were a slight detractor from performance despite positive absolute returns. • A small allocation to common stock generally benefitted excess returns over the period. Energy names were the driver behind this performance as equity markets hit all-time highs. • Below investment grade utilities were a top contributor to excess performance overall, and in general outperformed duration-matched treasuries. Despite negative absolute performance, underweight position benefitted relative performance.

• Shenkman returned +1.58% in the quarter, in line with the +1.56% return for its Citigroup BB&B index benchmark. For the fiscal year as of December 31, 2016, Shenkman returned +5.87% versus +6.77% for the Citigroup BB&B index.

• High yield advanced sharply early in the quarter as the global search for yield persisted and underlying US economic data remained largely positive. In the weeks leading up to Election Day, however, the market retreated as nervousness over the prospect of a Donald Trump presidency climbed. • Risk-on sentiment persisted in the final quarter of the year as triple-C rated credits surged 5.94%, meaningfully outpacing single-B and double-B gains of 2.11% and 0.68%, respectively. • With access to both debt and equity capital markets readily available, default rates declined to 3.32% as just nine companies missed interest payments in the fourth quarter.




• Babson returned +2.11% during the quarter, slightly underperforming the +2.25% return of the Credit Suisse Leveraged Loan Index. For the fiscal year as of December 31, 2016, Babson returned +5.00%, underperforming the +5.42% return of the Credit Suisse Leveraged Loan Index.

• Among the drivers of the quarterly results was the favorable performance in both credit selection and sector allocation from the Retail sector, which was largely offset by unfavorable credit and sector selection in Metals/Mining. • An overweight in the Energy sector contributed favorably to performance while credit selection in the Automotive space also contributed positively. • Portfolio statistics for the quarter-ending December 31 reflect the solid performance of the portfolio and the market during the quarter. The average dollar price of the loans in the account rose to 98.70% of par from 97.85% of par at the end of the prior quarter.

TIPS, ETI , Cash Commentary

As of December 31, 2016, Fixed Income – TIPS, ETI and Cash was $369.3 million (7.6%) of the NYBERS Total Fund.

Fixed Income – TIPS Managers

• SSgA (TIPS) returned -2.47% in the quarter, underperforming the -2.41% return for its Barclays Global Inflation Linked index. SSgA (TIPS) returned +-1.52% for the fiscal year as of December 31, 2016, underperforming the -1.47% return for its Barclays Global Inflation Linked index.




Based on the Policy as of 3.1.2012

$4.8B Under Management

Asset Allocation

Relative Mix to New Policy Weights

Domestic Equity Emerging Markets Developed Markets

Core +5 Enhanced Yield

Note: Brackets represent rebalancing ranges versus Policy.

TIPS

Private Equity

ETI Cash Private Real Estate Bank Loans

2.6%1.4%

-1.0%

1.8%

-0.8%

0.9%

-1.4%-3.1%

-0.5% -0.2% -0.2%-1.4%

-10.0%

-6.0%

-2.0%

2.0%

6.0%

10.0%

Infrastructure

$1.8 36.4%

$0.7 13.9%

$0.8 16.0%

$0.2 4.5%

$0.3 6.8% $0.3

5.2%

$0.1 2.6%

$0.1 2.3%

$0.3 5.6%

$0.0 0.6%

$0.3 5.3%

$0.0 0.9%

Portfolio Asset Allocation: December 31, 2016


Based on the Policy as of 3.1.2012

$4.8B Under Management

Asset Allocation

Relative Mix to Adjusted New Policy Weights

Domestic Equity Emerging Markets Developed Markets

Core +5 Enhanced Yield

Note: Brackets represent rebalancing ranges versus Policy.

TIPS

Private Equity

ETI Cash Private Real Estate Bank Loans

0.0%

-1.0%

1.8%0.0% 0.0% 0.0%

-3.1%-0.5% -0.2% -0.2%

0.0%2.6%

-10.0%

-6.0%

-2.0%

2.0%

6.0%

10.0%

Note: On December 30, 2016 BERS' combined Fixed Income and Cash portfolios have a duration of 5.1 years. The duration of the Barclays US Aggregate Index was 5.9 years on that date.

$1.8 36.4%

$0.7 13.9%

$0.8 16.0%

$0.2 4.5%

$0.3 6.8% $0.3

5.2%

$0.1 2.6%

$0.1 2.3%

$0.3 5.6%

$0.0 0.6%

$0.3 5.3%

$0.0 0.9%

Infrastructure

Portfolio Asset Allocation: December 31, 2016


1.01

0.87

0.14 0.16

-0.02

-0.50

0.00

0.50

1.00

1.50

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

Performance Attribution: Total Plan - Quarter Ending: December 31, 2016


9.19

8.67

0.52

-0.07

0.59

-2.00

0.00

2.00

4.00

6.00

8.00

10.00


Performance Attribution: Total Plan - 12 Month Ending: December 31, 2016


4.97 5.10

-0.13 -0.07 -0.06

-2.00

0.00

2.00

4.00

6.00


Performance Attribution: Total Plan - 3 Years Ending: December 31, 2016


Quarter 12 Months 3 Years Benchmark TOTAL BOARD OF EDUCATION 0.16 -0.07 -0.07 Board of Education Policy Benchmark

TOTAL DOMESTIC EQUITY -0.01 -0.02 0.01 RUSSELL 3000TOTAL DEVELOPED EQUITY 0.01 0.01 -0.03 MSCI EAFE IMI Net TOTAL EMERGING MARKETS 0.00 -0.01 -0.01 MSCI Emerging MarketsTOTAL PRIVATE EQUITY 0.01 0.01 0.01 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.01 -0.01 0.00 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.01 0.01 0.00 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%TOTAL US TREASURY SHORT TERM -0.01 -0.01 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG 0.15 0.16 0.05 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT 0.00 0.00 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES 0.02 0.02 0.01 CITIGROUP MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL HIGH YIELD 0.00 -0.02 0.00 CITIGROUP BB&BTOTAL BANK LOANS 0.00 0.00 0.00 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.02 0.00 0.02 Lehman U.S. TIPSTOTAL PRIVATE REAL ESTATE 0.03 0.03 0.02 NCREIF NFI-ODCE NET + 1%TOTAL STRUCTURED -0.03 -0.06 -0.06 NYC - CORE PLUS FIVETOTAL CASH -0.02 -0.17 -0.08

Quarter 12 Months 3 Years Benchmark TOTAL BOARD OF EDUCATION -0.02 0.59 -0.06 Board of Education Policy Benchmark

TOTAL DOMESTIC EQUITY 0.08 -0.04 -0.22 RUSSELL 3000TOTAL DEVELOPED EQUITY -0.12 0.91 0.03 MSCI EAFE IMI Net TOTAL EMERGING MARKETS 0.08 0.07 0.12 MSCI Emerging MarketsTOTAL PRIVATE EQUITY -0.13 -0.47 -0.01 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.04 -0.04 -0.01 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE -0.03 -0.03 -0.01 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.01 0.01 CPI + 4%TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG 0.00 0.00 0.00 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT 0.01 0.01 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 0.00 0.00 CITIGROUP MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL HIGH YIELD 0.02 0.01 -0.01 CITIGROUP BB&BTOTAL BANK LOANS 0.00 -0.03 -0.01 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.01 0.00 Lehman U.S. TIPSTOTAL PRIVATE REAL ESTATE 0.05 0.09 0.01 NCREIF NFI-ODCE NET + 1%TOTAL STRUCTURED 0.07 0.10 0.02 NYC - CORE PLUS FIVETOTAL CASH 0.00 0.01 0.01

Allocation Effect - Asset Class Breakdown

Selection Effect - Asset Class Breakdown

Total Plan: December 31, 2016


TOTAL SMALL CAP PASSIVE

TOTAL MID CAP ACTIVE

TOTAL MID CAP PASSIVE

TOTAL RUSSELL 1000 PASSIVE

TOTAL FUND OF FUNDS

7.9%

81.0%

4.4%

6.7%

0.0%

TOTAL SMALL CAP PASSIVE

TOTAL MID CAP ACTIVE

TOTAL MID CAP PASSIVE

TOTAL RUSSELL 1000 PASSIVE

TOTAL FUND OF FUNDS

7.9%

81.0%

4.4%

6.7%

0.0%

Market Value (Billions) % of Plan

TOTAL DOMESTIC EQUITY $1.8 36.4

Total Domestic Equity Asset Allocations: December 31, 2016


TOTAL ACTIVE EMERGING MARKETS

TOTAL ACTIVE DEVELOPED MARKETS

76.0%

24.0%


TOTAL ACTIVE DEVELOPED MARKETS

76.0%

24.0%

Asset Weight

Quarterly Returns - Fund and Benchmark

Fund Benchmark Excess

TOTAL DEVELOPED GROWTH 29.89 (6.09) (5.53) (0.57)

TOTAL DEVELOPED VALUE 32.32 2.49 4.17 (1.69)

TOTAL DEVELOPED SMALL CAP 7.96 (1.50) (3.38) 1.88

TOTAL ACTIVE EMERGINGMARKETS

22.13 (2.51) (4.16) 1.65

TOTAL INTERNATIONAL EQUITY 100.00 (2.08) (1.25) (0.83)

Market Value (Billions) % of Plan

TOTAL INTERNATIONAL EQUITY $1.1 22.8

TOTAL DEVELOPED GROWTH

TOTAL DEVELOPED VALUE

TOTAL DEVELOPED SMALL CAP


24.0%

8.6%

32.4%

35.0%

TOTAL DEVELOPED GROWTH

TOTAL DEVELOPED VALUE

TOTAL DEVELOPED SMALL CAP


24.0%

8.6%

32.4%

35.0%

International Equity Asset Allocation: December 31, 2016

New York City Board of Education Retirement System 18Performance Overview as of December 31, 2016 Totals may not add due to rounding

TOTAL TREASURY/AGENCY

TOTAL MORTGAGE

TOTAL CREDIT

38.8%36.6%

24.6%

TOTAL TREASURY/AGENCY

TOTAL MORTGAGE

TOTAL CREDIT

38.8%36.6%

24.6%

Market Value (Millions) % of Plan

TOTAL STRUCTURED + ETI $700.2

Structured Fixed Income Asset Allocation: December 31, 2016


City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $1 Billion

Cumulative Periods Ending : December 31, 2016

Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 2.19 6.47 8.09 9.57 5.14 6.64 9.33 10.02 9.27 6.2825th 1.51 5.14 7.23 8.86 4.72 5.60 8.31 9.33 8.75 5.8050th 0.98 4.56 6.79 7.92 4.10 5.26 7.88 8.82 8.44 5.4575th 0.35 3.93 6.00 7.33 3.38 4.45 6.90 8.26 7.86 5.1995th -0.82 2.27 3.94 6.14 2.05 3.05 4.47 6.15 5.76 4.23

No. Of Obs 75 75 75 74 74 74 74 73 70 67

Total System - BOE 1.08 (39) 5.80 (9) 8.03 (7) 9.44 (10) 4.51 (37) 5.21 (54) 8.45 (18) 9.44 (19) 8.74 (26) 5.79 (26)Board of Ed Policy Ben 0.87 (56) 4.88 (39) 6.88 (47) 8.67 (30) 4.20 (45) 5.10 (55) 8.21 (27) 9.35 (23) 8.55 (35) 5.49 (47)Public Mkt Equiv 25 1.05 (43) 5.07 (27) 6.53 (56) 7.01 (84) 3.62 (69) 4.37 (76) 8.29 (27) 9.36 (23) 8.23 (63) 4.93 (87)Public Mkt Equiv 35 0.62 (66) 4.10 (69) 5.77 (79) 6.73 (88) 3.55 (70) 4.46 (73) 7.66 (58) 8.61 (58) 7.88 (72) 5.09 (79)

Wilshire Trust Universe Comparison Service® (TUCS®)



City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $1 Billion

Consecutive Time Periods: December 31, 2016

Percentile Rankings Dec 16 Sep 16 Jun 16 Mar 16 Dec 15 Dec 16 Dec 15 Dec 14 Dec 13 Dec 125th 2.19 4.54 3.30 2.70 3.72 9.57 2.69 9.98 20.05 15.1325th 1.51 3.93 2.31 1.72 3.02 8.86 1.38 7.92 17.85 14.0150th 0.98 3.54 1.85 1.30 2.31 7.92 0.37 7.08 15.92 13.1375th 0.35 3.31 1.62 1.01 1.96 7.33 -0.74 6.41 13.91 12.3495th -0.82 2.44 1.23 0.22 0.85 6.14 -2.76 4.60 6.00 9.70

No. Of Obs 75 75 75 74 74 74 74 74 74 73

Total System - BOE 1.08 (39) 4.68 (2) 2.11 (31) 1.30 (50) 3.13 (19) 9.44 (10) -0.20 (65) 6.64 (70) 18.78 (17) 13.50 (36)Board of Ed Policy Ben 0.87 (56) 3.98 (19) 1.90 (47) 1.68 (27) 2.85 (26) 8.67 (30) -0.09 (62) 6.93 (52) 18.10 (21) 14.05 (23)Public Mkt Equiv 25 1.05 (43) 3.98 (21) 1.40 (92) 0.44 (92) 4.15 (1) 7.01 (84) 0.35 (51) 5.88 (80) 20.94 (2) 13.75 (33)Public Mkt Equiv 35 0.62 (66) 3.46 (62) 1.60 (76) 0.91 (80) 3.56 (5) 6.73 (88) 0.46 (45) 6.31 (75) 17.86 (23) 12.47 (72)

Wilshire Trust Universe Comparison Service® (TUCS®)



Information provided by the New York City Comptroller

INVESTMENT STYLE (EQUITIES) Avg MV 16 ($MM)

Mgmt Fees BPS

MV 11-30-16 ($MM)

Mgmt Fees BPS

US Equities 1,692 9.79 1,812 8.39

Small Cap Active 0 - - - Small Cap Growth - - - -

Small Cap Value - - - - Small Cap core 0 - -

Small Cap Fundamental Index - - - -

Small/Mid Cap Active - - - - Small/Mid Cap Growth - - - -

Small/Mid Cap Value - - - -

Mid Cap Active 138 45.78 153 30.00 Mid Cap Growth - - - -

Mid Cap Value - - - - Mid Cap core 138 45.78 153 30.00

Russell 1000 Active - - Russell 1000 Fundamental Index - - - -

Active Emerging Managers (U.S. Equities) 171 56.38 167 60.00

Total US Active Equities 309 51.80 319 45.65

Total US Passive Equities 1,384 0.42 1,492 0.42

Environmental US E. Strategies - - - -

International Equities 916 27.39 1,001 27.81

Active EAFE Equities 709 24.73 758 25.08Growth 320 25.68 326 27.04

Value 308 21.55 347 21.14Small Cap 81 33.05 86 33.51

Non-US Environmental Strategies - - - -

Active Emerging Markets 207 36.51 242 36.38

Total Int'l Active Equities 916 27.39 1,001 27.81

Total Int’l Passive Equities - - - - Total Passive Developed Markets - - - -

Total Passive Emerging Markets - - - -

REITS Passive Index - - - -

Actual Estimates 2016 2017

BERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

Actual and Estimated Fees



Information provided by the New York City Comptroller

INVESTMENT STYLE (FIXED INCOME) Avg MV 16 ($MM)

Mgmt Fees BPS

MV 11-30-16 ($MM)

Mgmt Fees BPS

Fixed Income 1,300 11.98 1,373 11.74Structured Program 658 6.19 640 6.42

Government Sector 100 4.41 127 3.46SSGA Long Duration Treasury - - - -

Mortgage Sector 260 4.29 203 4.97 Investment Grade Credit Sector 299 8.42 310 8.59

Global Fixed Income - - - -

Progress Fixed Emerging Managers - - - -

TIPS 172 0.52 216 0.51Active TIPS - - - -

Passive TIPS 172 0.52 216 0.51

Enhanced Yield 220 33.39 250 29.13

Bank Loans 96 33.92 111 34.39

Convertible Bonds - - - -

ETI - Access - RBC 7 24.98 11 17.78

ETI - AFL-CIO HIT 15 42.48 16 39.53

Total Public Markets (Externally managed) 3,776 15.15 4,054 14.59

Other ETI Programs 6 - 7 -

In-House Short Term 125 0.00 123 0.00

Total Public Markets 3,908 14.64 4,185 14.13

INVESTMENT STYLE (PRIVATE)

Hedge Funds - - - -

Private Equities 212 184.15 240 216.03 1

Real Assets 247 128.72 287 116.51Private Real Estate 219 116.86 248 101.72

Infrastructure 28 222.24 39 210.50

Opportunistic Fixed Income - - - -

Total Private Markets 459 154.30 527 161.83

Total Overall 4,367 29.32 4,712 30.65

Footnotes1 -Private Equity estimates for FY 2017 are based on partnership terms. For funds in the investment period, management fees are based on the committed capital. For funds in the post-investment period, management fees are based on the Market Value as of 6/30/2016.2 - Private Markets Investments exclude GP CARRY & Incentive Fees .3 -The Incentive Fees paid for the Police Fund in 2016 are 2.24 BPS.

2016 Estimates

2017

BERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

Actual

Actual and Estimated Fees



U. S. U. S. INTERNATIONALFIXED INCOME EQUITY EQUITY TOTAL

1989 70,000 - - 70,000 1990 79,000 - - 79,000 1991 111,000 - - 111,000 1992 122,000 11,000 - 133,000 1993 79,000 32,000 15,000 126,000 1994 93,000 77,000 20,000 190,000 1995 112,000 93,000 12,000 217,000 1996 99,000 76,000 27,000 202,000 1997 101,000 126,000 40,000 267,000 1998 111,000 170,000 60,000 341,000 1999 159,000 263,000 100,000 522,000 2000 193,000 310,000 97,000 600,000 2001 295,000 208,000 159,000 662,000 2002 209,000 143,000 152,000 504,000 2003 153,000 158,000 195,000 506,000 2004 226,000 255,000 174,000 655,000 2005 384,000 479,000 217,000 1,080,000 2006 303,000 734,000 246,000 1,283,000 2007 593,000 1,208,000 272,000 2,073,000 2008 2,514,000 2,266,000 451,000 5,231,000 2009 698,000 1,416,000 367,000 2,481,000 2010 246,000 729,000 326,000 1,301,000 2011 340,000 943,000 599,000 1,882,000 2012 516,000 1,144,000 495,000 2,155,000 2013 349,000 1,325,000 446,000 2,120,000 2014 287,000 512,000 1,387,000 2,186,000 2015 338,000 429,000 1,985,000 2,752,000 2016 418,000 1,585,000 1,685,000 3,688,000

Since Inception 9,198,000 14,692,000 9,527,000 33,417,000

SECURITIES LENDING INCOMEDecember 31, 2016

NYC BOARD OF EDUCATION RETIREMENT SYSTEM

Securities Lending Income




Appendix A

Consolidated Performance Report


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

SYSTEM RETURN SUMMARY

5 BERS-TOTAL PORTFOLIO - GROSS 4,832 100.00 1.08 5.80 9.44 (0.20) 6.64 18.78 13.50 (0.42) 5.21 9.44 5.79 8.65 07/01/1987BERS - ESTIMATED INVESTMENT FEES (0.06) (0.13) (0.25) (0.24) (0.25) (0.24) EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.06) (0.13) (0.14) (0.15) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.03) (0.07) (0.12) (0.10) (0.10) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSBERS-TOTAL PORTFOLIO - NET MGR 1.01 5.67 9.19 (0.44) 6.39 4.97 BOARD OF EDUCATION POLICY BENCHMARK 0.87 4.88 8.67 (0.09) 6.93 18.10 14.05 0.47 5.10 9.35 5.49 EXCESS RETURN 0.15 0.79 0.52 (0.36) (0.53) 0.68 (0.55) (0.89) (0.13) 0.09 0.29

EQUITY RETURN DETAIL

18 BERS-TOTAL EQUITY (INCLUDES PE & RA) - GROSS 3,425 70.88 2.13 8.16 10.72 (0.13) 7.08 27.83 16.72 (4.01) 5.79 12.06 5.82 8.85 08/01/1993ESTIMATED INVESTMENT FEES (0.08) (0.16) (0.30) (0.30) (0.28) (0.29) EST MANAGEMENT FEES (0.08) (0.16) (0.30) (0.30) (0.28) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSBERS-TOTAL EQUITY (INCL PE & RA) - NET MGR 2.06 8.00 10.42 (0.43) 6.81 5.50

26 BERS-TOTAL DOMESTIC EQUITY - GROSS 1,759 36.41 4.43 9.08 12.69 0.51 11.27 35.96 16.62 (0.72) 8.01 14.85 7.11 9.59 09/01/1991ESTIMATED INVESTMENT FEES (0.03) (0.05) (0.12) (0.12) (0.13) (0.12)BERS-TOTAL DOMESTIC EQUITY - NET MGR 4.40 9.03 12.57 0.39 11.14 7.89 RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 9.47EXCESS RETURN 0.19 0.23 (0.17) (0.09) (1.42) 2.41 0.20 (1.75) (0.54) 0.18 0.04 0.12

36 BERS-TOTAL SMALL CAP - GROSS 77 1.60 8.90 18.68 21.28 (6.44) 3.20 44.74 19.91 (10.17) 5.40 15.24 5.88 6.82 04/01/2004ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.08) (0.15) (0.08)BERS-TOTAL SMALL CAP - NET MGR 8.90 18.68 21.28 (6.52) 3.05 5.32 RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89 38.82 16.35 (4.18) 6.74 14.46 7.07 8.19EXCESS RETURN 0.07 (0.00) (0.03) (2.11) (1.85) 5.92 3.56 (5.99) (1.43) 0.78 (1.18) (1.37)

46 BERS-TOTAL MID CAP - GROSS 119 2.45 4.65 9.49 12.90 2.56 10.77 37.52 19.12 (5.53) 8.65 16.01 13.78 10/01/2010ESTIMATED INVESTMENT FEES (0.14) (0.29) (0.62) (0.55) (0.41) (0.53)BERS-TOTAL MID CAP - NET MGR 4.51 9.20 12.28 2.01 10.36 8.12 RUSSELL MIDCAP (DAILY) 3.21 7.87 13.80 (2.44) 13.22 34.76 17.28 (1.55) 7.92 14.72 13.54EXCESS RETURN 1.30 1.34 (1.51) 4.45 (2.86) 2.76 1.84 (3.98) 0.20 1.29 0.25






58 BERS-TOTAL RUSSELL 1000 - GROSS 1,424 29.48 3.91 8.08 12.20 0.98 12.92 62.18 14.87 (1.64) 8.56 18.97 9.51 10.00 09/01/1993ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00) (0.01) (0.01)BERS-TOTAL RUSSELL 1000 - NET MGR 3.90 8.08 12.20 0.97 12.91 8.55 RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24 33.11 16.42 1.50 8.59 14.69 7.08 9.21EXCESS RETURN 0.07 0.07 0.14 0.05 (0.33) 29.07 (1.56) (3.14) (0.04) 4.28 2.43 0.80

68 BERS-TOTAL FUND OF FUNDS - GROSS 139 2.88 6.78 13.38 13.00 (3.07) 5.43 40.84 17.00 (1.75) 4.92 13.73 6.95 7.84 04/01/2004ESTIMATED INVESTMENT FEES (0.17) (0.35) (0.73) (0.65) (0.71) (0.70)BERS-TOTAL FUND OF FUNDS - NET MGR 6.62 13.04 12.27 (3.72) 4.72 4.22 BLENDED RUSSELL 2000 & 3000 6.56 13.70 17.04 (1.93) 8.78 36.20 16.41 (1.55) 7.68 14.64 7.15 8.16EXCESS RETURN 0.06 (0.67) (4.77) (1.79) (4.06) 4.64 0.58 (0.21) (3.46) (0.90) (0.19) (0.33)






80 BERS-TOTAL INTERNATIONAL EQUITY - GROSS 1,103 22.84 (2.08) 8.02 7.65 (7.04) (3.03) 17.99 18.36 (11.84) (1.00) 6.26 2.93 7.22 11/01/1992ESTIMATED INVESTMENT FEES (0.07) (0.15) (0.29) (0.25) (0.26) (0.27)BERS-TOTAL INTERNATIONAL EQUITY - NET MGR (2.15) 7.88 7.36 (7.30) (3.30) (1.27) MSCI AC WORLD EX US (NET) (1.25) 5.57 4.50 (5.66) (3.87) 15.29 16.83 (13.71) (1.78) 5.00 0.96 EXCESS RETURN (0.89) 2.31 2.86 (1.63) 0.57 2.70 1.52 1.87 0.51 1.26 1.96

90 BERS-TOTAL DEVELOPED GROWTH ACTIVE - GROSS 330 6.83 (6.09) 5.34 0.96 (3.56) (6.42) 29.53 18.88 (10.71) (3.05) 7.01 3.00 08/01/2007ESTIMATED INVESTMENT FEES (0.06) (0.14) (0.26) (0.25) (0.24) (0.25)BERS-TOTAL DEVELOPED GROWTH ACTIVE - NET MGR (6.16) 5.21 0.70 (3.81) (6.66) (3.30) MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43) 22.55 16.86 (12.11) (1.20) 6.67 0.62EXCESS RETURN (0.63) 6.05 3.74 (7.90) (2.23) 6.98 2.02 1.40 (2.11) 0.34 2.39

100 BERS-TOTAL DEVELOPED VALUE ACTIVE - GROSS 357 7.38 2.49 11.29 11.38 (9.37) (2.98) 16.94 17.84 (9.92) (0.69) 6.18 1.78 6.13 08/01/2004ESTIMATED INVESTMENT FEES (0.05) (0.12) (0.24) (0.19) (0.21) (0.21)BERS-TOTAL DEVELOPED VALUE ACTIVE - NET MGR 2.43 11.17 11.14 (9.56) (3.19) (0.90) MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39) 22.95 17.69 (12.17) (2.14) 6.28 (0.22) 4.53EXCESS RETURN (1.74) (1.33) 6.12 (3.87) 2.21 (6.01) 0.15 2.26 1.24 (0.10) 2.00 1.59

110 BERS-TOTAL DEVELOPED SMALL CAP ACTIVE - GROSS 88 1.82 (1.50) 6.49 6.76 9.04 (4.60) 3.56 7.16 05/01/2013ESTIMATED INVESTMENT FEES (0.08) (0.18) (0.35) (0.36) (0.32) (0.34)BERS-TOTAL DEVELOPED SMALL CAP ACTIVE - NET MGR (1.58) 6.31 6.41 8.68 (4.92) 3.22 S&P EPAC SMALL CAP USD NET (3.38) 4.76 1.34 8.58 (3.43) 2.05 5.58EXCESS RETURN 1.80 1.56 5.07 0.09 (1.49) 1.17 1.58

120 BERS-TOTAL ACTIVE EMERGING MARKETS - GROSS 244 5.05 (2.51) 8.21 13.14 (14.83) 4.14 (4.70) 18.12 (17.86) 0.12 2.47 2.01 7.78 04/01/2004ESTIMATED INVESTMENT FEES (0.09) (0.19) (0.40) (0.31) (0.37) (0.36)BERS-TOTAL ACTIVE EMERGING MARKETS - NET MGR (2.60) 8.02 12.74 (15.14) 3.77 (0.24) MSCI EMERGING MARKETS (4.16) 4.49 11.19 (14.92) (2.19) (2.60) 18.22 (18.42) (2.55) 1.28 1.84 7.23EXCESS RETURN 1.57 3.53 1.55 (0.22) 5.96 (2.10) (0.11) 0.57 2.31 1.19 0.17 0.55






132 BERS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 250 5.17 3.02 6.38 10.42 14.26 22.16 15.34 7.70 19.15 15.51 13.87 7.84 5.48 07/01/2006NYC R3000 +3% LAGGED 5.16 8.72 18.37 2.49 21.24 24.53 35.20 5.55 13.73 19.89 11.73 11.64EXCESS RETURN (2.14) (2.34) (7.96) 11.77 0.92 (9.19) (27.50) 13.60 1.78 (6.01) (3.89) (6.17)

142 BERS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 270 5.59 2.66 4.59 10.75 16.06 13.67 8.64 14.30 9.43 13.47 12.65 11.93 12/01/2010NCREIF NFI-ODCE NET + 100 BP 2.13 4.26 8.86 15.08 12.56 14.02 10.88 16.09 12.14 12.26 13.57EXCESS RETURN 0.53 0.33 1.89 0.98 1.10 (5.39) 3.41 (6.66) 1.33 0.39 (1.64)

152 BERS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 42 0.86 2.48 4.63 9.26 11.63 18.85 13.17 12.79 12/01/2013CPI + 4% 1.84 3.31 6.18 4.72 4.70 5.20 5.26EXCESS RETURN 0.65 1.32 3.07 6.91 14.15 7.97 7.53





FIXED INCOME RETURN DETAIL

164 BERS-TOTAL FIXED INCOME - GROSS 1,282 26.53 (1.59) 0.33 6.65 (0.68) 5.69 (0.56) 8.55 9.42 3.84 3.86 5.65 5.34 04/01/2004ESTIMATED INVESTMENT FEES (0.03) (0.06) (0.13) (0.13) (0.16) (0.14) EST MANAGEMENT FEES (0.03) (0.06) (0.13) (0.13) (0.16) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSBERS-TOTAL FIXED INCOME - NET MGR (1.63) 0.27 6.51 (0.81) 5.53 3.69

172 BERS-TOTAL STRUCTURED FIXED INCOME - GROSS 671 13.89 (3.13) (2.09) 3.95 0.26 7.66 (2.38) 6.68 9.23 3.91 3.16 5.17 7.75 01/01/1985ESTIMATED INVESTMENT FEES (0.01) (0.02) (0.06) (0.06) (0.08) (0.06)BERS-TOTAL STRUCTURED FIXED INCOME - NET MGR (3.14) (2.12) 3.89 0.20 7.58 3.85 NYC - CORE PLUS FIVE (3.61) (2.95) 3.20 0.41 7.66 (2.79) 5.41 9.40 3.71 2.71 4.98 EXCESS RETURN 0.47 0.83 0.70 (0.21) (0.08) 0.41 1.27 (0.17) 0.13 0.45 0.19

182 BERS-TOTAL TIPS - GROSS 215 4.46 (2.47) (1.51) 4.78 (0.83) 3.37 (8.52) 7.67 13.34 2.41 1.13 4.57 4.03 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.01) (0.02) (0.10) (0.04)BERS-TOTAL TIPS - NET MGR (2.47) (1.52) 4.78 (0.85) 3.27 2.37 BBG BARC GBL INF-LK: US TIPS (DLY) (2.41) (1.47) 4.68 (1.44) 3.64 (8.61) 6.98 13.56 2.26 0.89 4.36 3.84EXCESS RETURN (0.06) (0.05) 0.09 0.58 (0.37) 0.09 0.69 (0.22) 0.11 0.24 0.21 0.18

192 BERS-TOTAL ENHANCED YIELD - GROSS 255 5.27 2.00 7.22 15.96 (4.34) 3.09 8.39 15.68 6.25 4.57 7.47 7.48 6.03 08/01/1997ESTIMATED INVESTMENT FEES (0.08) (0.16) (0.36) (0.32) (0.34) (0.34)BERS-TOTAL ENHANCED YIELD - NET MGR 1.92 7.06 15.60 (4.66) 2.75 4.23 CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78 6.17 14.45 6.58 4.37 6.68 6.02 6.06EXCESS RETURN 0.37 0.29 0.12 (0.45) (0.04) 2.22 1.23 (0.33) (0.14) 0.80 1.46 (0.03)

202 BERS- TOTAL BANK LOANS - GROSS 112 2.32 2.20 5.18 8.86 0.46 2.34 6.33 3.83 4.54 12/01/2012ESTIMATED INVESTMENT FEES (0.09) (0.18) (0.38) (0.34) (0.35) (0.36)BERS-TOTAL BANK LOANS - NET MGR 2.11 5.00 8.48 0.12 1.99 3.47 CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06 6.15 3.76 4.45EXCESS RETURN (0.14) (0.42) (1.39) 0.51 (0.07) 0.18 (0.29) 0.10

212 BERS-TOTAL TARGETED INVESTMENTS (NO CASH) 29 0.60 (3.68) (2.87) 2.60 3.60 7.31 (1.66) 4.35 7.15 4.48 3.20 4.86 6.93 12/01/1984BERS CUSTOM BENCHMARK (NO CASH) (2.37) (1.88) 2.43 1.18 5.76 (1.71) 3.74 7.09 3.10 2.25 4.22 EXCESS RETURN (1.31) (0.99) 0.17 2.42 1.55 0.05 0.60 0.06 1.38 0.95 0.64





CASH SUMMARY

224 BOARD OF ED. SHORT TERM - GROSS 124 2.57 0.08 0.22 0.55 0.39 0.28 0.29 0.53 0.62 0.41 0.41 1.42 2.06ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00BOARD OF ED. SHORT TERM - NET MGR 0.08 0.22 0.55 0.39 0.28 0.29 0.53 0.62 0.41 0.41 1.42

228 C/D - FAIL FLOAT EARNINGS 0 0.00

230 SECURITY LENDING 1 0.03





Appendix B

Public Markets Manager Performance Detail


Market Value ($MM)

%of Total 3 Month FYTD CYTD 2015 2014

EQUITY SUMMARY

US EQUITY

NYC BERS BLACKROCK R2000 GROWTH 36 0.75 3.53 13.08 11.29 (1.30) 5.50

RUSSELL 2000 GROWTH DAILY 3.57 13.12 11.32 (1.38) 5.60

Excess (0.05) (0.04) (0.02) 0.08 (0.11)

NYC BERS BLACKROCK R2000 VALUE 41 0.85 14.13 24.10 31.71 (7.38) 4.11

RUSSELL 2000 VALUE DAILY 14.07 24.19 31.74 (7.47) 4.22

Excess 0.06 (0.08) (0.03) 0.09 (0.11)

Wellington Mgmt MCC 119 2.45 4.51 9.20 12.28 1.76 10.96

S&P MID CAP 400 7.42 11.87 20.74 (2.18) 9.77

Excess (2.91) (2.66) (8.45) 3.94 1.19

NYC BERS BLACKROCK R1000 GROWTH 692 14.31 1.00 5.62 7.06 5.78 12.91

RUSSELL 1000 GROWTH - DAILY 1.01 5.64 7.08 5.67 13.05

Excess (0.02) (0.02) (0.02) 0.12 (0.14)

NYC BERS BLACKROCK R1000 VALUE 733 15.16 6.66 10.38 17.31 (3.81) 13.39

RUSSELL 1000 VALUE (DAILY) 6.68 10.39 17.34 (3.83) 13.45

Excess (0.01) (0.01) (0.03) 0.01 (0.06)

FUND OF FUNDS

BERS-TOTAL FUND OF FUNDS 139 2.88 6.62 13.04 12.27 (3.72) 4.72

Blended Russell 2000 & 3000 6.56 13.70 17.04 (1.93) 8.78

Excess 0.06 (0.67) (4.77) (1.79) (4.06)

BERS-TOTAL PROGRESS 67 1.38 4.75 8.58 7.21 (3.19) 7.77

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.54 (0.21) (5.53) (3.67) (4.78)


Net Returns Through December 31, 2016


Market Value ($MM)


BERS-TOTAL FIS 73 1.51 8.41 17.52 17.54 (4.25) 1.80

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (0.42) (1.16) (3.77) 0.17 (3.10)

NON - US EQUITY

Sprucegrove MTA (BOE) 357 7.38 2.43 11.17 11.14 (9.56) (3.19)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39)

Excess (1.74) (1.33) 6.12 (3.87) 2.21

Baillie Gifford MTA 330 6.83 (6.16) 5.21 0.70 (3.81) (6.66)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43)

Excess (0.63) 6.05 3.74 (7.90) (2.23)

Acadian 88 1.82 (1.58) 6.31 6.41 8.68 (4.92)

S&P EPAC Small Cap USD NET (3.38) 4.76 1.34 8.58 (3.43)

Excess 1.80 1.56 5.07 0.09 (1.49)

EMERGING MARKETS

ACADIAN 244 5.05 (2.60) 8.02 12.74 (15.14) 3.77

MSCI EMERGING MARKETS (4.16) 4.49 11.19 (14.92) (2.19)

Excess 1.57 3.53 1.55 (0.22) 5.96

BLACKROCK 85 1.76

MSCI EMERGING MARKETS

Excess

FIXED INCOME SUMMARY

STRUCTRED FIXED INCOME

Blackrock Mortgages 143 2.97 (1.68) (0.99) 2.32 1.73

CITIGROUP MORTGAGE INDEX (1.98) (1.43) 1.59 1.56

Excess 0.30 0.44 0.73 0.17




Market Value ($MM)


Prudential - Credit 137 2.84 (2.83) (1.54) 5.86 (0.22) 7.20

NYC - Investment Grade Credit (3.05) (1.72) 5.56 (0.65) 7.04

Excess 0.22 0.18 0.30 0.43 0.16

Taplin Canida Habacht - Credit 117 2.43 (2.28) 0.31 8.02 (3.01) 8.68


Excess 0.77 2.03 2.46 (2.36) 1.64

Prudential-Privest - Credit 17 0.35 (2.42) (0.66) 4.30 1.63 7.20


Excess 0.64 1.06 (1.26) 2.28 0.16

State Street Govt 126 2.61 (7.34) (7.70) 1.23 0.45 12.21

NYC - Treasury Agency Plus Five (7.32) (7.76) 1.21 0.72 12.38

Excess (0.02) 0.06 0.01 (0.27) (0.16)

SSGA 1-3 Treasury Index 130 2.69

NYC - Treasury Agency Plus Five

Excess

ENHANCED YIELD

Loomis Sayles - High Yield 126 2.62 2.27 8.29 19.92 (7.07) 2.83

NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 1.88 7.47 17.49 (4.64) 2.50

Excess 0.39 0.82 2.44 (2.43) 0.33

Shenkman - High Yield 128 2.65 1.58 5.87 11.62 (1.97) 2.66

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess 0.03 (0.90) (3.85) 2.24 (0.13)




Market Value ($MM)


BANK LOANS

Babson BL 112 2.32 2.11 5.00 8.48 0.12 1.99

CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06

Excess (0.14) (0.42) (1.39) 0.51 (0.07)

TIPS

SSGA TIPS 215 4.46 (2.47) (1.52) 4.78

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (2.41) (1.47) 4.68

Excess (0.06) (0.05) 0.09

ECONOMICALLY TARGETED INVESTMENTS

ACCESS RBC 6 0.12 (2.13) (1.72) 1.61 1.83 6.66

Access RBC Benchmark (2.04) (1.76) 1.52 1.40 5.08

Excess (0.09) 0.04 0.09 0.43 1.58

AFL-CIO HOUSING INV TRUST 16 0.32 (3.00) (2.47) 1.94 1.13 6.10

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess (0.02) 0.06 (0.71) 0.58 0.14

CPC CONST FACILITY 0 0.01 (2.82) (0.66) (3.95) 12.90

CPC CONST BENCHMARK 0.79 1.57 3.12 2.90

Excess (3.61) (2.23) (7.07) 10.01

BOA-PPAR (FNMA) 1 0.03 (8.23) (6.76) 4.07 42.03 13.31

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (6.28) (5.56) 1.69 39.53 6.19

CCD-PPAR (FNMA) 1 0.02 (7.15) (5.74) 3.71 6.69 25.71

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.20) (4.54) 1.33 4.20 18.58




Market Value ($MM)


CCD-PPAR (GNMA) 0 0.01 (6.47) (5.69) 2.78 5.08 15.37

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.07) (4.98) 0.50 3.06 8.72

CFSB-PPAR (GNMA) 0 0.00 (6.43) (5.66) 3.21 5.90 15.34

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.03) (4.94) 0.93 3.88 8.69

CPC-PPAR (FNMA) 1 0.02 (6.10) (5.04) 6.15 8.96 13.91

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (4.15) (3.84) 3.77 6.46 6.78

JPMC-PPAR (FNMA) 2 0.04 (7.77) (2.85) 7.94 6.18 12.06

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.83) (1.65) 5.56 3.68 4.93

LIIF-PPAR (FNMA) 1 0.02 (7.19) (12.14) 5.03 6.29 38.12

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.24) (10.94) 2.65 3.79 30.99

LIIF-PPAR (GNMA) 0 0.00 (2.70) (2.78) 3.88 3.92 9.74

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (1.30) (2.06) 1.61 1.91 3.09

NCBCI-PPAR (FNMA) 0 0.00 (5.34) (5.12) 3.46 4.97 14.93

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (3.39) (3.92) 1.07 2.47 7.81

NCBCI-PPAR (GNMA) 0 0.00 (5.99) (5.32) 3.51 5.53 16.66

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (4.59) (4.61) 1.23 3.52 10.01




Market Value ($MM)


WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00

FNMA Plus 85bps

Excess

CASH

BOARD OF ED. SHORT TERM 124 2.56 0.08 0.22 0.55 0.39 0.28

91 DAY T-BILL 0.09 0.18 0.33 0.05 0.02

Excess (0.00) 0.04 0.23 0.35 0.26

C/D - FAIL FLOAT EARNINGS 0 0.00

SECURITY LENDING 1 0.03





Appendix C

Alternative Assets Manager Performance Detail


Information provided by the New York City Board of Education Retirement System Consultants

Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value

Investment Multiple ITD IRR%

TOTAL PRIVATE EQUITY 564,914,740 273,425,865 137,072,457 236,753,571 1.37 10.2%

TOTAL ACTIVE 564,914,740 273,425,865 137,072,457 236,753,571 1.37 10.2%Mesirow Financial Private Equity Partnership Fund III, L.P. 2005 57,000,000 55,093,273 65,590,092 26,529,373 1.67 8.8%Mesirow Financial Private Equity Partnership Fund IV, L.P. 2006 25,000,000 22,217,233 17,128,759 17,989,009 1.58 10.1%New York Fairview Private Equity Fund, L.P. 2006 19,000,000 17,320,307 14,505,103 9,050,146 1.36 6.4%Mesirow Financial Private Equity Partnership Fund V, L.P. 2009 45,000,000 33,539,326 11,708,886 41,067,416 1.57 15.6%Platinum Equity Capital Partners III, L.P. 2012 15,000,000 11,885,481 9,531,748 9,437,732 1.60 47.5%Warburg Pincus Private Equity XI, L.P. 2012 25,000,000 22,078,677 3,451,330 25,202,759 1.30 12.7%Apollo Investment Fund VIII, L.P. 2013 20,000,000 11,312,743 918,136 11,695,407 1.11 12.0%Carlyle Partners VI, L.P. 2013 20,000,000 10,446,705 2,375,761 9,604,351 1.15 8.8%Landmark Equity Partners XV, L.P. 2013 19,000,000 7,176,383 3,094,856 5,292,773 1.17 10.9%Landmark Equity Partners XV, L.P. - Side Car 2013 6,000,000 2,748,267 1,023,058 2,493,588 1.28 15.9%CVC Capital Partners VI, L.P. 2013 17,434,949 6,273,435 118,425 6,106,754 0.99 -0.6%Crestview Partners III, L.P. 2013 15,000,000 3,434,581 56,712 3,168,284 0.94 N/MCrestview Partners III (Co-Investment B), L.P. 2013 5,000,000 1,677,857 70,233 1,660,225 1.03 N/MASF VI, L.P. 2014 15,000,000 7,887,740 502,688 9,077,929 1.21 14.5%ASF VI NYC Co-Invest, L.P. 2014 5,000,000 3,153,934 706,516 3,386,829 1.30 17.5%Carlyle Partners VI, L.P. - Side Car 2014 2,200,000 1,193,842 - 1,113,964 0.93 -5.3%Lexington Capital Partners VIII, L.P. 2014 20,000,000 4,425,887 1,306,119 4,346,794 1.28 N/MVista Equity Partners Fund V, L.P. 2014 25,000,000 24,315,235 4,431,586 22,631,742 1.11 9.7%Centerbridge Capital Partners III, L.P. 2015 2,500,000 665,696 26,353 757,596 1.18 N/MSiris Partners III, L.P. 2015 3,500,000 1,513,799 2,699 1,456,163 0.96 N/MNYCBERS - 2012 Emerging Manager Program 2012 25,000,000 8,057,778 339,488 8,247,267 1.07 N/MAmerican Securities Partners VII, L.P. 2015 8,000,000 725,329 73,119 612,219 0.94 N/MASF VII, L.P. 2015 10,000,000 815,913 67,895 875,911 1.16 N/MASF VII B NYC Co-Invest, L.P. 2015 6,000,000 600 - 600 1.00 N/MNYCBERS - 2015 Emerging Manager Program 2015 30,000,000 769,896 9,786 755,005 0.99 N/MWarburg Pincus Private Equity XII, L.P. 2015 21,500,000 2,397,250 17,951 2,081,480 0.88 N/MWelsh, Carson, Anderson & Stowe XII, L.P. 2015 10,000,000 2,815,523 - 2,987,931 1.06 N/MBridgepoint Europe V, L.P. 2015 8,401,212 2,351,975 - 2,380,394 1.01 N/M


Through September 30, 2016

New York City Board of Education Retirement System 40Performance Overview as of September 30, 2016


Bridgepoint Europe V Co-Invest 2015 2,803,193 553,673 - 549,492 0.99 N/MEQT VII, L.P. 2015 16,863,586 3,150,115 - 2,752,252 0.87 N/MVista Equity Partners Fund VI, L.P. 2016 16,000,000 3,427,412 15,158 3,442,186 1.01 N/MApax IX USD, L.P. 2016 13,000,000 - - - N/A N/AAres Corporate Opportunities Fund V, L.P. 2017 10,000,000 - - - N/A N/AGreen Equity Investors VII, L.P. 2017 10,000,000 - - - N/A N/ABC European Capital X, L.P. 2017 11,222,715 - - - N/A N/ABC European Capital X Metro Co-Investment L.P. 2017 4,489,086 - - - N/A N/A





Vintage Year Style Sector Original

Commitment Total

Contributions Total

Distrubutions Market Value Total Value

Multiple Net IRR% TOTAL REAL ASSETS 423,901,665 275,320,912 56,534,239 298,071,560 1.29 11.6% TOTAL PRIVATE REAL ESTATE 342,901,665 240,215,001 55,177,669 260,968,130 1.32 12.0% TOTAL INFRASTRUCTURE 81,000,000 35,105,911 1,356,570 37,103,430 1.10 8.8%

TOTAL PRIVATE REAL ESTATE LaSalle Property Fund 2011 Core/Core Plus Portfolio 27,600,000 27,600,000 5,583,673 36,911,119 1.54 12.2%UBS Trumbull Property Fund 2011 Core/Core Plus Portfolio 41,400,000 55,911,470 11,678,100 73,460,553 1.52 10.0%NYC Asset Investor #2 LLC 2013 Core/Core Plus Portfolio 11,000,000 10,033,316 1,418,064 10,920,298 1.23 13.6%MetLife Core Property Fund 2014 Core/Core Plus Portfolio 15,000,000 15,000,000 1,222,722 17,198,349 N/A N/AExeter Industrial Core Club Fund II 2016 Core/Core Plus Portfolio 10,000,000 1,690,351 - 1,721,459 N/A N/AJamestown Premier Property Fund 2016 Core/Core Plus Portfolio 5,000,000 5,088,199 406,253 4,859,471 N/A N/ANYCRS Artemis Co-Investment 2016 Core/Core Plus Portfolio 11,000,000 1,215,783 - 1,659,886 N/A N/AUSAA Eagle Real Estate Fund 2016 Core/Core Plus Portfolio 10,000,000 6,569,936 - 7,172,195 N/A N/AFranklin Templeton Private Real Estate Fund 2011 Non-Core Portfolio 30,000,000 29,615,595 24,668,795 15,426,811 1.35 20.5%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 10,000,000 10,372,239 3,395,475 11,405,632 1.43 17.6%NYC Asset Investor #1 LLC 2013 Non-Core Portfolio 10,000,000 10,719,341 1,395,024 11,978,093 1.25 14.0%NYC Asset Investor #3 LLC 2013 Non-Core Portfolio 8,000,000 3,326,077 31,308 3,348,498 1.02 1.2%Blackstone Real Estate Partners Europe IV (USD Vehicle) 2014 Non-Core Portfolio 32,500,000 28,727,121 4,228,029 27,787,862 N/A N/ACarlyle Realty Partners VII 2014 Non-Core Portfolio 25,000,000 12,230,806 87,671 13,723,350 N/A N/ABlackstone Real Estate Partners VIII 2015 Non-Core Portfolio 16,500,000 6,505,592 539,084 6,973,688 N/A N/AH/2 Special Opportunities Fund III 2015 Non-Core Portfolio 15,000,000 11,134,100 251,391 12,455,261 N/A N/ADivco West Fund V 2016 Non-Core Portfolio 10,000,000 - - (49,887) N/A N/AEuropean Property Investors Special Opportunities IV (EPISO 2016 Non-Core Portfolio 11,176,931 1,636,835 272,080 1,418,847 N/A N/ALone Star Real Estate Fund V 2016 Non-Core Portfolio 23,100,000 - - (151,065) N/A N/APW Real Estate Fund III LP 2016 Non-Core Portfolio 10,624,734 2,311,924 - 2,198,301 N/A N/AWestbrook Real Estate Fund X 2016 Non-Core Portfolio 10,000,000 526,316 - 549,409 N/A N/A

TOTAL INFRASTRUCTURE Brookfield Infrastructure Fund II 2013 10,000,000 7,709,472 759,196 8,591,940 1.21 15.0%First Reserve Energy Infrastructure Fund II, L.P. 2014 15,000,000 3,445,039 121,987 3,562,485 N/A N/AIFM Global Infrastructure Fund 2014 15,000,000 15,350,834 350,834 16,532,990 N/A N/AKKR Global Infrastructure Investors II L.P. 2014 19,000,000 4,800,069 98,593 4,706,551 N/A N/ABrookfield Infrastructure Fund III, L.P. 2016 10,000,000 1,520,493 25,936 1,667,197 N/A N/AGlobal Infrastructure Partners III-A/B, L.P. 2016 12,000,000 2,280,004 24 2,042,267 N/A N/A





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 BofA 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.

• The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to include the old Corporate and Yankee sector returns.

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 Page 11 & 12 - Portfolio Asset Allocation

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

Pages 13 - 15 - 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 Board of Education Retirement System 45Performance Overview as of December 31, 201603/08/2017 06:31:02 PM

The indexes and most recent policy weights are as follows:

U.S. Equity: Russell 3000 * 36.10%

International Developed (EAFE) Markets: MSCI EAFE IMI Net * 13.57%

Emerging Markets: MSCI Emerging Markets * 7.16%

REITs: Dow Jones Real Estate Securities * 0.00%

Private Equity: Russell 3000 + 300 b.p. per annum * 5.08%

Private Real Estate – Core: NFI - ODCE Net * 5.68%

Private Real Estate – Non Core: NFI - ODCE Net * 0.00%

Infrastructure: CPI + 4% * 0.83%

US Treasury Short Term: Citigroup USBIG Treasury 1-3Y * 0.00%

US Treasury Intermediate Long: NYC Treasury Agency + 5 * 9.56%

US Treasury Long Duration: Citigroup Treasury 20+ * 0.00%

Core Fixed Income: BBG Barc Agg * 0.00%

Progress Fixed: BBG Barc Agg * 0.00%

Mortgage: Citigroup Mortgage Index * 4.00%

ETI: ETI Custom Benchmark * 0.61%

Investment Grade Credit: NYC – Investment Grade Credit * 4.61%

Enhanced Yield: Citigroup BB&B * 6.00%

Bank Loans: Credit Suisse Leveraged Loan * 2.00%

TIPS: Lehman U.S. TIPS * 4.80%

Glossary of Terms



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



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