October 2013

Public Pension Fund Analysis

2

Top 10 pension funds by private equity returns

Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year and/or 5-year private equity returns are available. Reporting dates for the pension funds above vary between June 30, 2012 and December 31, 2012. Return figures for private equity and other illiquid assets are typically reported net of management fees and carry. Please see slide 8 for ranking methodology.

Rank Public Pension Fund Annualized Private Equity Return

5-Year 10-Year

1 Massachusetts Pension Reserves Investment Trust (PRIT) Fund 9.1% 15.4%

2 Los Angeles County Employees Retirement Association 10.2% N/A

3 Teacher Retirement System of Texas 6.3% 15.5%

4 Houston Firefighters' Relief and Retirement Fund 9.3% 13.6%

5 Minnesota State Board of Investment (Combined Funds) 7.7% 14.4%

6 Iowa Public Employees' Retirement System 7.9% 14.1%

7 San Francisco Employees' Retirement System 7.4% 13.1%

8 Utah Retirement System 6.2% 13.5%

9 Pennsylvania Public School Employees' Retirement System 6.6% 13.0%

10 Contra Costa County Employees' Retirement Association 7.1% 12.7%

3

Top 10 pension funds by dollars invested in private equity

Analysis is based on financial reports from 146 large public pension funds (AUM of $1 billion or more), where dollars invested in private equity are available. Reporting dates for the pension funds above vary between March 31, 2012 and September 30, 2012.

Rank Public Pension Fund Private Equity Investment (Bil.)

1 California Public Employees' Retirement System $34.2

2 California State Teachers' Retirement System $22.6

3 Washington State Department of Retirement Systems $16.1

4 New York State and Local Retirement System (ERS and PFRS) $14.9

5 Oregon Public Employees Retirement System $14.1

6 Teacher Retirement System of Texas $13.1

7 Pennsylvania Public School Employees' Retirement System $10.7

8 Michigan Public School Employees' Retirement System $8.6

9 New York State Teachers' Retirement System $7.4

10 State Teachers Retirement System of Ohio $7.1

4

On a dollar-weighted basis, U.S. public pension funds invest 10.3% of their portfolio in private equity

Asset allocation by total dollars invested:

Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more). Reporting dates vary between March 31, 2012 and July 31, 2013.

48.6%

24.3%

10.3%

7.5%

6.6% 2.7%

Public Equity Fixed Income Private Equity Real Estate Other Cash/Short-Term

5

5.8%

6.6%

10.0%

6.7%

0%

2%

4%

6%

8%

10%

12%

Public Equity Fixed Income Private Equity Real Estate

Total Fund Return 6.5%

Pension funds’ investments in private equity outperform other asset classes based on the median pension’s 10-year annualized return

Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year returns as of June 30, 2012 are available. Samples include return figures that are both net and gross of management fees for marketable securities. Return figures for private equity and other illiquid assets are typically reported net of management fees and carry.

Median 10-Year Annualized Return

Pension Fund Investment Return by Asset Class

6

The 25th percentile private equity return outperforms the 75th percentile public equity return

Sample Size Total Fund Public Equity Fixed Income Private Equity Real Estate

No. of Pensions 69 60 59 32 35

Investment (Bil.) $1,708 $812 $388 $149 $106

25th percentile

75th percentile

Mean

Median

10-Year Annualized Return

0%

2%

4%

6%

8%

10%

12%

14%

2.9% pts.

Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year returns as of June 30, 2012 are available. Samples include return figures that are both net and gross of management fees for marketable securities. Return figures for private equity and other illiquid assets are typically reported net of management fees and carry.

7

Over a ten-year period, a $1 investment by pension funds into private equity results in a return of $2.6

Return from $1 Investment

Analysis is based on financial reports from 146 large public pension funds (assets of $1 billion or more), where 10-year returns as of June 30, 2012 are available. Returns from a $1 investment are calculated using the following formula: $1×(1+x%)^10, where x% represents the median 10-year annualized return for the specific asset class.

$1.9

$1.8

$1.9

$2.6

$1.9

$0

$1

$2

$3

Total Portfolio Public Equity Fixed Income Private Equity Real Estate

Profit Initial Investment

8

Notes on the Study

• This study is based on data collected from publicly available Comprehensive Annual Financial Reports (CAFRs) of 146 U.S. public pension funds, investing $1 billion or more in assets. The reporting date for this information ranges from March 31, 2012 to July 31, 2013, with most dates as of June 30, 2012. When data as of June 30, 2012 was unavailable, information from the most recent available financial report at the time of analysis (August 26, 2013) was used in this study.

• To be as inclusive as possible, the ranking of pension funds by private equity returns is based on a weighted-average of 5- and 10-year annualized returns, where 10-year performance is given twice the weight as 5-year returns.

• Asset allocation is determined by summing the total dollars invested within each asset class for all 146 public pension funds and calculating the percentage allocation of each asset class.

• The analysis of pension fund investment returns is based on available 10-year return data as of June 30, 2012 for each asset class. Using June 30th returns provides the largest sample size for all asset classes. Pension funds typically report returns for private equity and other illiquid assets net of management fees and carry, while marketable securities can be reported net or gross of fees.

• The analysis of returns from a $1 investment by pension funds into each asset class is based on median 10-year annualized returns as of June 30, 2012 for each asset class. Returns from a $1 investment are calculated using the following formula, where x% represents the median 10-year annualized return for the specific asset class:

$1×(1+x%)^10

• Not all pension funds report 10-year returns or returns for each asset class. Asset classes may be defined slightly differently, depending on the pension fund.