common investment meeting (nycers) · 18.04.2018 · prepared by the office of new york city...
TRANSCRIPT
![Page 1: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/1.jpg)
Common Investment Meeting (NYCERS)Schedule Wednesday, April 18, 2018, 09:00 AM — 02:00 PM EDT
Venue Office of the New York City Comptroller, 1 Centre Street, 10thFloor (Room 1005) - Northside, New York, NY 10007
Organizer Kim Boston
Agenda
PUBLIC SESSION 1
9:00 AM Welcome and Opening
9:05 AM Risk Update 2
3 CIM_Presentation Slides_RISK UPDATE_041818.pdf
9:50 AM Asset Allocation Discussion 30
CIM_Presentation Slides_ASSET ALLOCATIONUPDATE_041818.pdf
31
![Page 2: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/2.jpg)
PUBLIC SESSION
![Page 3: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/3.jpg)
Risk Update
![Page 4: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/4.jpg)
RISK UPDATE
Page 3 of 268
![Page 5: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/5.jpg)
THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER
4/18/2018
Update on MSCI and Risk Reporting
Page 4 of 268
![Page 6: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/6.jpg)
1. MSCI Implementation2. Sample Risk Reports
4
Agenda
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 5 of 268
![Page 7: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/7.jpg)
• Risk Reports– Public Markets: To be distributed at least quarterly
• Public Equities • Public Fixed Income (including High Yield and Bank Loan) • Hedge Funds (Police and Fire)
– Private Markets: Implementation started Q2 2018• OFI• Private Equity• Private Real Estate• Infrastructure
– ETI: Implementation started Q2 2018
• Performance attribution: implementation to start in Q3 2018
5
MSCI Implementation Update
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 6 of 268
![Page 8: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/8.jpg)
• MSCI recently commenced production of public market risk reports
• BAM’s goal is to distribute public market risk reports at least quarterly
• Reporting of total plan risk – including private market investments – will be distributed on a quarterly basis. Note that:
o Private market investments are only marked quarterlyo BAM’s review of risk reports detailing private market investments is more
involved
6
MSCI’s Reporting Package
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 7 of 268
![Page 9: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/9.jpg)
Deadline Action Responsibility
10th business day
BAM queries latest portfolio company from Burgiss and sends to MSCI BAM
13th business day
BAM delivers updates to account structure and commingled ownership ratios BAM
16th business day SSB completes monthly audit cycle of investment accounts State Street17th business day MSCI loads data and performs validation process MSCI23rd business day MSCI posts updated Standard Board reports MSCI
25th business day
BAM reviews Standard Board reports for completeness and accuracy BAM
25th business day BAM distributes reports BAM
7
Monthly Cycle
Monthly cycle of the generation and distribution of the reports
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 8 of 268
![Page 10: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/10.jpg)
• Today we will discuss risk reports detailing a portfolio:– consisting of public markets investments totaling $10B
• Public Equities (US, Developed Markets, EM)• Public Fixed Income (excluding OFI)
– based on actual NYCRS holdings as of February 28, 2018• We will focus on Total Plan risk but reports detailing risk
at the Asset Group level and Asset Class level are available• BAM will be contacting the trustees to see if there is
interest in a more detailed teach in
8
Sample Risk Reports
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 9 of 268
![Page 11: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/11.jpg)
9
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 10 of 268
![Page 12: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/12.jpg)
• Total Risk is 6.66%– Ex-ante annualized volatility of return– Ex-ante volatility is a function of
individual asset exposures, volatilities and correlations
• Benchmark Risk is 6.72%• Active Risk is 0.94%
– Ex-ante volatility of excess return or tracking error
10
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 11 of 268
![Page 13: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/13.jpg)
• Total Risk of 6.66% is composed of:– The Equity portfolio contributes 6.31%,
or 94.71% of Total Risk – The Fixed Income portfolio which
contributes 0.35% or 5.29% of Total Risk
11
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 12 of 268
![Page 14: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/14.jpg)
• Factor based investment analysis
– Assets are thought of as bundles of risk factors – that both explain and produce an asset’s return
– Assets embed different combinations of risk factors
– Factors can explain risk of both generic assets (indexed strategies) and more complex strategies (private asset classes)
– Since factors can explain the risk of any asset they provide a means of aggregating exposures across an entire investment portfolio
12
Total Plan Summary
Common Factors
Equity Style Factors
Industry Factors
Fixed Income
Term Structure Factors
Spread Factors
Hedge Fund …
Private Real Estate …
…
…
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 13 of 268
![Page 15: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/15.jpg)
• Currency Risk contributes 0.77% or 11.57% of Total Risk– Currency Risk, or exchange rate
risk, results from the fact that currencies change in value relative to one another
– The Currency Risk of the sample portfolio results from investments in international equity
13
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 14 of 268
![Page 16: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/16.jpg)
• Common Factor Risk is 5.87% or 88.04% of Total Risk
• The main components of Common Factor Risk are:– Equity Factor Risk - 5.57% or
83.62% of Total Risk– Fixed Income Factor Risk -
0.29% or 4.41% of Total Risk
14
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 15 of 268
![Page 17: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/17.jpg)
• Active Common Factor Risk is 82 bps
• The largely passive Equity asset class contributed only 26 bps (27.52%) to the Active Risk of the portfolio
• Fixed Income portfolio, which makes much greater use of active management, contributed 56 bps (60.19%) to the Active Risk of the portfolio
15
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 16 of 268
![Page 18: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/18.jpg)
• Active risk can be decomposed into contributions from each asset class (down) and contributions from broad factors (across).
• The Fixed Income asset class contributes to both Fixed Income factor risk (29bps) and Equity factor risk (6bps) - due to investments in high yield and convertibles.
16
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 17 of 268
![Page 19: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/19.jpg)
• Active risk can also be decomposed into Allocation Risk and Selection Risk• Selection Risk refers to the risk arising from the managers’ choice of specific
securities
17
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 18 of 268
![Page 20: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/20.jpg)
• The Total Plan Risk Reports also break down Total and Active Risk by:– Region– Country– Currency – GICS Sector – Bond Sector– Bond Rating
18
Total Plan Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 19 of 268
![Page 21: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/21.jpg)
19
Stress Scenarios
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 20 of 268
![Page 22: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/22.jpg)
Q & A
Page 21 of 268
![Page 23: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/23.jpg)
Appendix
Page 22 of 268
![Page 24: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/24.jpg)
• Equity Total Risk is 10.16%, while Benchmark Risk is 10.11%
• Active Risk (Tracking Error) is 0.95%
• The above suggests a significant allocation to passive strategies
22
Equity Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 23 of 268
![Page 25: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/25.jpg)
• Factors explain 72.64% of Total Active Risk
• The Style Factor contributes 16.27% of Total Active Risk
• The Industry Factor contributes 56.37% of Total Active Risk
23
Equity Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 24 of 268
![Page 26: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/26.jpg)
• Fixed Income Total Risk is 3.06%
• Active Risk is 2.41%
24
Fixed Income Summary
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 25 of 268
![Page 27: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/27.jpg)
25
Fixed Income Summary• Factor Risk is 3.05%,which includes
Equity Factor Risk of 0.01% and Fixed Income Factor Risk of 3.04%
• The Equity Factor Risk comes from holdings of High Yield bonds and convertibles
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 26 of 268
![Page 28: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/28.jpg)
26
Fixed Income Summary
• Term Structure: • Shift: Parallel shift in the curve• Twist: Steepening of the curve• Butterfly: Curvature of the curve
• Key Rate Duration Table: changes in asset value given independent perturbations of 100 bps to each point of the yield curve
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 27 of 268
![Page 29: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/29.jpg)
27
Fixed Income SummaryThe factor exposure column represents the sensitivity of the portfolio to moves in term structure or spread factors
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Source: MSCI
Page 28 of 268
![Page 30: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/30.jpg)
QUESTIONS?
Page 29 of 268
![Page 31: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/31.jpg)
Asset Allocation Discussion
![Page 32: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/32.jpg)
ASSET ALLOCATION UPDATE
Page 31 of 268
![Page 33: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/33.jpg)
• Annualized Asset Class Returns
30
Asset Allocation Review - Global Macro Update
Source: Goldman Sachs
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 32 of 268
![Page 34: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/34.jpg)
• Global QE continues to slow
• Policy Rate increases (US, Canada, and UK)
• Increased fiscal stimulus (Tax Cut and Job Act, Dec.’17 and Bipartisan Budget Act, Jan. ’18)
• Valuations
31
Asset Allocation Review - Global Macro Update
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 33 of 268
![Page 35: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/35.jpg)
32
Asset Allocation Review - Global Macro Update
• Probable FOMC rate increases not priced into markets
Source: Morgan Stanley
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 34 of 268
![Page 36: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/36.jpg)
• Total deficits or surpluses
33
Asset Allocation Review - Global Macro Update
Source: Congressional Budget Office
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 35 of 268
![Page 37: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/37.jpg)
34
Asset Allocation Review - Global Macro Update
Increase in spending caps
Tax reform (JCT)
CBO Baseline (June 2017)
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 36 of 268
![Page 38: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/38.jpg)
• Unprecedented late-cycle fiscal stimulus.
35
Asset Allocation Review - Global Macro Update
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 37 of 268
![Page 39: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/39.jpg)
36
Asset Allocation Review - Global Macro Update
Valuation model (over the last 70 years) uses five inputs:
1. Price/trend earnings
2. Price/peak earnings
3. Price/trailing 12-mo earnings
4. Schiller CAPE ratio
5. Price/10-yr average earnings.
• US Equity Valuations
Source: Goldman Sachs
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 38 of 268
![Page 40: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/40.jpg)
• Global Equity Valuations
37
Asset Allocation Review - Global Macro Update
Source: Wall Street Journal
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 39 of 268
![Page 41: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/41.jpg)
• Credit Valuations
38
Asset Allocation Review - Global Macro Update
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 40 of 268
![Page 42: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/42.jpg)
39
Asset Allocation Review - Global Macro Update
Source: Morgan Stanley
• MBS Valuations
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 41 of 268
![Page 43: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/43.jpg)
40
Asset Allocation Review – Growth Assets
Source: State Street
Relative Mix to Adjusted New Policy Weights (12-31-2017)
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 42 of 268
![Page 44: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/44.jpg)
41
Asset Allocation Review – Inflation Protection Assets
Source: State Street
Relative Mix to Adjusted New Policy Weights (12-31-2017)
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 43 of 268
![Page 45: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/45.jpg)
42
Asset Allocation Review - Deflation Protection Assets
Source: State Street
Relative Mix to Adjusted New Policy Weights (12-31-2017)
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 44 of 268
![Page 46: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/46.jpg)
43
Asset Allocation Review – Current UST Duration as compared to target (12-31-2017)
TRS12.6
NYCERS9.2
Police13.4
Fire13.1
BERS9.0
TRS17.4
NYCERS10.7
Police17.4
Fire17.4
BERS10.7
0.0
3.0
6.0
9.0
12.0
15.0
18.0
21.0
Actual Target
Source: State Street
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
Page 45 of 268
![Page 47: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/47.jpg)
44
Page 4 of 268
Asset Allocation Review – Current UST Portfolio (dollar value/basis point) as compared to target as of 12/31/17
TRS$8.7 mm
NYCERS$5.3 mm
Police$4.4 mm
Fire$1.4 mm
BERS$0.4 mm
TRS$12.1 mm
NYCERS$6.1 mm Police
$5.7 mm
Fire$1.8 mm
BERS$0.5 mm
0
2
4
6
8
10
12
Actual TargetSource: State Street
Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management
![Page 48: Common Investment Meeting (NYCERS) · 18.04.2018 · Prepared by THE OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management. Page 5 of 268 • Risk Reports](https://reader033.vdocuments.net/reader033/viewer/2022042020/5e77876b089c43069c207a47/html5/thumbnails/48.jpg)
STRATEGIC ASSET ALLOCATION PROGRESS REPORT
Page 47 of 268