Common Investment Meeting (BERS)

[Pages:1233]Common Investment Meeting (BERS)

Schedule Venue

Organizer

Wednesday, March 21, 2018, 09:00 AM -- 03:00 PM EDT Office of the New York City Comptroller, 1 Centre Street, 10th Floor (Room 1005) - Northside, New York, NY 10007 Kim Boston

Agenda

PUBLIC SESSION

1

9:00 AM Welcome and Opening

9:15 AM Quarterly Performance Overview:

2

CIM_Presentation Slides_Quarterly Performance

3

Review_032118.pdf

9:45 AM Bolton Report (Actuarial Audit):

56

CIM_Presentation Slides_Bolton Actuarial Audit_032118.pdf

57

SUPPLEMENTAL MATERIAL - Performance Reporting (Public):

354

Total Fund Overview - Public:

355

BERS 4Q17 Quarterly Report Overview_(Public).pdf

356

ETI Quarterly Report (Public):

409

CIM_ETI Quarterly Report_03-21-2018 (BERS).pdf

410

Private Equity Quarterly Report (Public):

416

CIM_Private Equity Qtrly Report_03-21-2018 (BERS).pdf

417

Real Estate Quarterly Report (Public):

445

CIM_Real Estate Qtrly Report_03-21-2018 (BERS).pdf

446

Infrastructure Quarterly Report (Public):

455

CIM_Infrastructure Qtrly Report_03-21-2018 (BERS).pdf

456

APPENDICES:

474

Basket Clause

475

CIM_Basket Clause Report_03-21-18 (BERS).pdf

476

Liquidity Analysis

477

CIM_Liquidity Analysis Report_03-21-18 (BERS).pdf

478

PUBLIC SESSION

Quarterly Performance Overview:

MARKET RETURNS

Page 3 of 552

Market Returns: Q4-2017

Page 4 of 552

Asset Class

Index

Fourth Fiscal Year to

Quarter 2017

Date

3 Year

Equities - U.S. Equities - Developed Intl Equities - Emerging Intl Debt - US Govt Long Duration Debt - US Government Debt - Investment Grade Debt - High Yield

Russell 3000 MSCI World Ex-US

MSCI EMF Citigroup Treasury 10+ NYC Treas/Agency +5

NYC IG Credit Citigroup BB & B

6.3% 4.7% 7.4% 2.4% 0.7% 1.0% 0.5%

11.2% 10.4% 15.9% 3.0% 1.2% 2.3% 2.5%

11.1% 5.1% 9.1% 2.8% 2.2% 3.8% 5.3%

5 Year Expected*

15.6% 4.1% 4.4% 3.6% 2.1% 3.2% 5.8%

7.8%

11.0%

2.8% 3.4% 6.1%

*Average of consultant long-term arithmetic expected returns, as of 2016

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

Source: State Street

3

Market Returns: Q4-2017

The drivers of strong market returns include:

1) Strong equity earnings growth 2) Continuation of low inflation, global quantitative easing and low yields 3) Tax Cuts and Jobs Act (TCJA) ? corporate tax reduction from 35% to 21%

Page 5 of 552

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

Source: State Street

4

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