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New York City Police Superior Officers' Variable Supplements Fund Performance Overview as of March 31, 2016

Total Fund Overview

New York City Police Superior Officers' Variable Supplements Fund

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Performance Overview as of March 31, 2016

New York City Police Superior Officers' Variable Supplements Fund

Table of Contents:

Performance Charts

p.3

Appendix A - Consolidated Performance Report

p.5

Appendix B - Public Markets Manager Performance Detail

p.8

Appendix C - Footnotes

p.11

New York City Police Superior Officers' Variable Supplements Fund

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Performance Overview as of March 31, 2016

Total Portfolio Returns: March 31, 2016

TOTAL POLICE SUPERIORS

Market Value (Millions) $443.5

Rate of Return

10.50 9.00 7.50 6.00 4.50 3.00 1.50 0.00

-1.50 -3.00 -4.50

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

0.54 0.53 0.56

8.29

6.80

5.90

6.36

0.32

2.10

3.36

-1.52-1.53-1.52

-1.74-1.75-1.82

Trailing 3 Months

FYTD

Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

Standard Deviation

TOTAL POLICE SUPERIORS

Plan 3 Years

Benchmark 3 Years

Plan 5 Years

Benchmark 5 Years

Plan 7 Years

Benchmark 7 Years

Plan 10 Years

Benchmark 10 Years

8.2

7.0

6.8

7.7

9.4

9.6

11.0

11.4

New York City Police Superior Officers' Variable Supplements Fund

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Performance Overview as of March 31, 2016

Securities Lending Income

Through March 31, 2016

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 (3 Months)

NYC POLICE SUPERIOR OFFICERS' VARIABLE SUPPLEMENTS FUND SECURITIES LENDING INCOME March 31, 2016

U.S. FIXED INCOME

U.S. EQUITY

INTERNATIONAL EQUITY

54,000 36,000 32,000 74,000 204,000 184,000 358,000 961,000 271,000 62,000 46,000

4,900 0 0

9,500 2,000

119,000 68,000 87,000

120,000 244,000 319,000 503,000 852,000 515,000 179,000 178,000

90,000 21,000

0 30,000

6,000

11,000 39,000 120,000 122,000 126,000 159,000 138,000 199,000 96,000 55,000

8,000 0 0

18,000 304,000

84,000

New York City Police Superior Officers' Variable Supplements Fund

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Performance Overview as of March 31, 2016

New York City Police Superior Officers' Variable Supplements Fund

Appendix A

Consolidated Performance Report

New York City Police Superior Officers' Variable Supplements Fund

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Performance Overview as of March 31, 2016

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