60 Equity Concentration Means Plan Returns Track Equities 70% 50% 30% 10% -10% -30% 50" Percentage of Portfolios Rolling Annual Returns —New York Oty Pensions Beta Fbrttotio — awry Component Correlation: 98% NYC Mayor's Office of Pensions Investments 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86