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2018 Comprehensive Annual Financial Report

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2018 Comprehensive Annual Financial Report 2018 COMPREHENSIVE ANNUAL FINANCIAL REPORT For Fiscal Year Ended March 31, 2018 NYSLRS New York State and Local Retirement System A pensionN trustY fundS ofL the RStateS of New York Office of the New York State Comptroller Thomas P. DiNapoli 2018 COMPREHENSIVE ANNUAL FINANCIAL REPORT For Fiscal Year Ended March 31, 2018 New York State and Local Retirement System Employees’ Retirement System Police and Fire Retirement System A pension trust fund of the State of New York Prepared by the staff of the NYSLRS New York StateN andY LocalS RetirementLR SystemS CONTENTS INTRODUCTION Professional Awards .............................................................................................................................9 Letter of Transmittal .......................................................................................................................... 11 Administrative Organization ................................................................................................................. 17 Advisory Committees ............................................................................................................. 17 New York State and Local Retirement System Organization Chart ....................................................... 22 Overview of the New York State and Local Retirement System ...................................................................... 23 By the Numbers ................................................................................................................................ 27 Members and Retirees ............................................................................................................ 27 Retirees in New York State ....................................................................................................... 28 Annual Benefit Payments Within New York State ........................................................................... 29 Annual Benefit Payments Within the United States ........................................................................ 30 Annual Benefit Payments Outside the United States ....................................................................... 30 Contents 2 New York State and Local Retirement System CONTENTS CONTINUED FINANCIAL Independent Auditors’ Report .............................................................................................................. 33 Management’s Discussion and Analysis (Unaudited) .................................................................................. 35 Basic Financial Statements................................................................................................................... 40 Combining Basic Statement of Fiduciary Net Position ..................................................................... 40 Combining Basic Statement of Changes in Fiduciary Net Position ....................................................... 41 Notes to Basic Financial Statements .......................................................................................... 42 Required Supplementary Information (Unaudited) .................................................................................... 70 Schedule of Changes in the Employers’ Net Pension Liability and Related Ratios (Unaudited) ................... 70 Schedule of Employer Contributions (Unaudited) .......................................................................... 72 Schedule of Investment Returns (Unaudited) ................................................................................ 73 Notes to Required Supplementary Information (Unaudited) ............................................................. 73 Other Supplementary Information ......................................................................................................... 74 Schedule of Administrative Expenses .......................................................................................... 74 Schedule of Investment Expenses .............................................................................................. 75 Schedule of Consulting Fees ..................................................................................................... 76 Independent Auditors’ Report on Internal Control ..................................................................................... 77 Contents 2018 Comprehensive Annual Financial Report 3 CONTENTS CONTINUED INVESTMENT Overview of Investments ..................................................................................................................... 81 Investment Results ............................................................................................................................ 94 Investment Summary ......................................................................................................................... 95 Asset Allocation — March 31, 2018 ........................................................................................................ 96 Global Equity Performance .................................................................................................................. 97 Domestic Equity Portfolio — Ten Largest Holdings ....................................................................................100 Fixed Income Portfolio and Comparison .................................................................................................101 Fixed Income Performance .................................................................................................................102 Fixed Income Portfolio — Ten Largest Holdings ........................................................................................103 Real Estate Portfolio ..........................................................................................................................104 Alternative Investments Summary ........................................................................................................105 Domestic Equity Management Fees ......................................................................................................106 Domestic Equity Commissions — Internally Managed ................................................................................107 Domestic Equity Commissions — Externally Managed ...............................................................................108 International Equity Management Fees ..................................................................................................110 International Equity Commissions — Internally Managed ...........................................................................111 International Equity Commissions — Externally Managed...........................................................................112 Global Fixed Income Management Fees .................................................................................................115 Long-Term Domestic Bond Transactions — Internally Managed ....................................................................116 Long-Term Domestic Bond Transactions — Externally Managed ...................................................................117 Short-Term Domestic Bond Transactions — Internally Managed ...................................................................118 Real Estate Management and Incentive Fees (Expensed) ............................................................................119 Real Estate Management and Incentive Fees (Capitalized) ..........................................................................120 Private Equity Management Fees (Expensed) ..........................................................................................121 Private Equity Management Fees (Capitalized) .........................................................................................122 Private Equity — Fee, Expense and Carried Interest Analysis .......................................................................123 Absolute Return Strategy Management and Incentive Fees .........................................................................124 Opportunistic Funds Management and Incentive Fees (Expensed) ................................................................125 Opportunistic Funds Management and Incentive Fees (Capitalized) ..............................................................126 Real Assets Management Fees (Expensed) ..............................................................................................127 Real Assets Management Fees (Capitalized) ............................................................................................128 Consultant and Advisor Fees ...............................................................................................................129 Contents 4 New York State and Local Retirement System CONTENTS CONTINUED ACTUARIAL Statement of the Actuary ...................................................................................................................133 Actuarial Cost Method and Valuation ....................................................................................................135 Elements of the Actuarial Valuation ......................................................................................................137 Actuarial Valuation Balance Sheets .......................................................................................................141 Local Government Employers’ Final Contribution Rates for Select Plans .........................................................143
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