The New Mexico State Investment Council (“NMSIC”)€¦ · • This quarter marks the seventh...
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The New Mexico State Investment Council (“NMSIC”) Fourth Quarter 2015: Real Assets Performance Measurement Report Proprietary & Confidential May 2016
Transcript of The New Mexico State Investment Council (“NMSIC”)€¦ · • This quarter marks the seventh...
The New Mexico State Investment Council (“NMSIC”) Fourth Quarter 2015: Real Assets Performance Measurement Report
Proprietary & Confidential May 2016
1) 4Q15 Economic Dashboard - Market Outlook
• Currency Effects
• Agriculture Market Update
• Infrastructure Market Update
• Timberland Market Update
2) 4Q15 Real Assets Performance Measurement Report
Appendix:
A. Definitions
B. 4Q15 Real Assets Flash Report
2
Table of Contents
Disclaimer: This is a public version of the original Performance Measurement Presentation, portions of which have been removed for confidentiality purposes.
1. 4Q15 Economic Dashboard – Market Outlook
• Since the end of the GFC, the U.S. market has experienced strong economic expansion galvanized by favorable macro fundamentals and rising FDI volumes, given the lagging recovery experienced across Europe. As a result, the continuous growth of the U.S. market has been reflected in global currency movements characterized by a steady rise in USD compared to other major currencies since 2H14.
• The U.S. Dollar has been experiencing fast growth since 2H14. At quarter-end the British Pound (GBP)/USD and Euro (EUR)/USD exchange rates were at least 11% higher than their 25-year average.
• The USD appreciation is negatively correlated with the cost of imports and has been favorable to local investors and consumers. The decrease in oil prices has been influenced to some extent by the rise in USD and had similar effects to a tax-break on U.S consumers.
• U.S. investors with foreign investments have been experiencing short-term depreciation on their international returns when translated into USD. This trend continued during 4Q15 with the U.S. dollar slightly increasing in value.
Currency Effects - Market Trends (4Q15)
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EURO-USD Rates over 25 Years
25 year Average: 0.83 EUR/USD
Max: 10/25/20001.21 EUR/USD
Min: 4/22/20080.63 EUR/USD
12/31/2015 0.92 EUR/USD
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GBP-USD Rates over 25 Years
25 year Average: 0.61 GBP/USD
Min: 11/8/20070.47 GBP/USD
Max: 1/25/20090.73 GBP/USD 12/31/2015
0.68 GBP/USD
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BRL-USD Rates over 25 Years
21 year Average: 2.00 BRL/USD
Max: 9/23/20154.18 BRL/USD
Min:10/26/1994
0.83 BRL/USD
12/31/2015 3.96 BRL/USD
• At quarter-end the Australian Dollar (AUS)/USD and Brazilian Real (BRL)/USD exchange rates were about 1% higher and 98% higher than their 25-year average and 21-year average, respectively.
Currency Effects - Market Trends (4Q15)
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AUS-USD Rates over 25 Years
25 year Average: 1.35 AUS/USD
Max: 4/3/20012.07 AUS/USD
Min: 7/28/20110.90 AUS/USD
12/31/2015 1.37 AUS/USD
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Agricultural Market Update
• This quarter marks the seventh consecutive quarter of agricultural commodity price declines, falling 2.3%, and continuing the five year downward trend.
• The Food Price Index is approximately 20% below its peak reached in 2011, with grains out in the front of this drop having fallen 40% below their peak.
• Declines have been driven by favorable supply conditions with a number of food commodities expected to reach record production levels in 2016, and the World Bank projects continued declines in 2016.
• Continued U.S. dollar strength is expected to hold back commodity prices over the near-term, but should also continue to make international producers more competitive.
Fourth Quarter 2015 Source: FAO
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Food
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Historical Food Price Index Monthly Index Values Jan 90' - Feb 16'
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Agricultural Market Update
• Farmland returns have continued trending down as the NCREIF Farmland Index (“NFI”) returned 4.3% during the quarter, the lowest fourth quarter total return since 2009.
• The return disparity between permanent and row crops continued into the quarter as the 7.9% total return for permanent crops significantly outperformed the 1.2% total return for row crops. However, permanent crop annual returns are now considered to be in a downward trend as well, as 2015 marks the third consecutive year of year-over-year declines in its return.
• The top performing region during the quarter was the Pacific West, with more than double the return of the next best performing region of the Southeast.
• The Midwest and most notably the corn belt region continues to struggle as depressed corn and soybean prices remain a drag on farmer profitability.
Fourth Quarter 2015 Source: NCREIF
Farmland Return Trends by NCREIF Region (quarterly returns 4Q14-4Q15)
-10%
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NCREIF Farmland Index Total Return by Farm Type (Rolling One-Year Total Returns as of December 31, 2015)
Row Crops Permanent Crops NCREIF Farmland Index 7
Infrastructure General • Fundraising was down over the quarter, with $5.0 billion raised across 13 funds
according to Preqin, a 70% decrease on the previous quarter. Average fund sizes for those closing was also significantly lower.
• Conversely, the number of deals completed increased over the quarter but remains low compared to recent years: there were 707 deals completed in 2015 compared to 916 in 2014. Despite the number of deals decreasing, the aggregate value of deals was approximately the same for both years.
• World leaders reached a global agreement on climate change at COP21, with the U.S. and China pledging significant reductions over 10-15 yrs by increasing their dependence on renewable energy. The IEA estimates that $13.5 trillion will be invested in energy efficiency and low carbon technologies between now and 2030 to meet the initial targets of the proposal.
Europe • Governments across Europe announced plans to move ahead with privatizations
of infrastructure assets and a number of mega deals reached financial close, including the sale of London City Airport in the UK. However, wholesale power prices across the EU remained weak or continued to decrease. The EC/EIB’s Juncker Plan emerged during the last quarter of 2015 as a major source of funding for infrastructure.
North America • U.S. Congress extended tax credits for renewables and passed its first long term
transportation bill since 2005 (FAST), which could mean $3.5bn of public-private partnership projects per year. The YieldCo sector’s struggle to raise funding has effectively opened the renewable market for unlisted funds and other capital.
Asia Pacific • Australian privatizations continue at full steam. The sale of TransGrid generated
significant investor interest and fetched a staggering A$7.3bn, or approximately 1.5x its regulated asset base. Upcoming privatizations of Ausgrid, Port of Melbourne and Port of Fremantle are likely to attract similar levels of interest.
Source: Preqin Quarterly Infrastructure Update
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10152025303540
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2012 2013 2014 2015
Unlisted Infrastructure Fundraising
No. of Funds Closed Aggregate Capital Raised ($bn)
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No. of Deals Estimated Aggregate Deal Value ($bn)
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Timberland Market Overview Markets Update • The U.S. housing market continues to improve year-over-year, with annualized housing starts increasing 31% (as of Feb. 2016)
from the same period one year ago. • However, the general expectations for global growth in 2016 have slowed due to a slower pace of overall economic growth. • Lumber markets have remained under pressure from increased inventories and weaker demand, as well as the continued
strength of the U.S. dollar that continues to impede demand growth in U.S. exports to international markets. • U.S. softwood lumber prices did increase slightly quarter-over-quarter, although remain well below last year’s price levels. • China’s “self-reliance” policy shift coupled with its increasing share of imports from non-U.S. countries, has also hindered North
America’s quarterly export levels; however, continued growth in U.S. housing market continues to offset the U.S.’s lower export volumes by absorbing some of the excess inventory.
Fourth Quarter 2015
Source: Brookfield; International Wood Markets
Softwood Log Imports to China (Fourth Quarter 2015)
Source: FIA; U.S. Department of Labor, Bureau of Labor Statistics
Aggregate U.S. Lumber Pricing (Fourth Quarter 2015)
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Timberland Market Overview Performance Update
• The NTI generated a 1.9% total return during the quarter, and 5.0% for the 2015 year. Relative underperformance was evident in 2015 in both same-period return comparisons to 2014, i.e.) quarterly and annual, as it appears the general slowdown in global growth had an influence on the 2015 year-end valuation process.
• Per acre timberland values are still increasing in two major NTI regions [South and PNW] though, and all of the NTI’s regions recorded relatively stable and positive income returns.
• The PNW led all regions with a 5.7% return for the quarter, while both the Northeast and Lake States had negative quarters; the primary driver behind the weaker performance in the northern regions continues to stem from the strong dollar and its hindering of export demand and pricing for the Northeast and Lake States’ dominant hardwood varieties.
• In aggregate, we continue to observe a compression in timberland discount rates despite the timberland return lull in 2015 relative to the last few years. While many factors continue to play a role in the sector’s discount rate compression trends over the years, the largest contributor has been the general supply/demand imbalance, i.e., there is more capital chasing high quality timberland than there are available opportunities.
Fourth Quarter 2015 Source: NCREIF; Townsend
NCREIF Timber Regional Returns (Quarterly time-weighted returns as of December 31, 2015)
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NCREIF Timber Index Returns(annualized returns through December 31, 2015)
Total ReturnIncomeReturnValue Per Acre $
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2. 4Q15 Real Assets Performance Measurement Report
Highlights
• New Mexico State Investment Council’s (NMSIC) current target allocation to real assets is 9%*.
• NMSIC began investing in real assets in 2011, and through 2015 has committed approximately $1.6 billion across 21 funds with 14 managers.
• There were no new commitments made during 4Q15. However, subsequent to quarter-end, three commitments were made one each to Infrastructure, Timber, and Energy sectors totaling $300 million.
• As of 4Q15, NMSIC’s real assets market value represents 3.1% of the aggregate Land Grant Permanent Fund and Severance Tax Permanent Fund assets (“NMSIC’s assets”). When unfunded commitments are included, real assets represents approximately 8.0% of NMSIC’s total plan assets as of 4Q15.
• Over the since inception periods, performance remains strong generating a 16.9% net time weighted return, and a 3.4% net since inception IRR. However, over the past year, the portfolio’s shorter term performance was affected by global currency movements against the U.S. dollar and the recent short term fluctuation in energy prices. Over the longer term both these factors are expected to have a lower impact on returns.
• As of 4Q15, 59% of committed capital remains unfunded and most if not all funds are still in their j-curve (except for the open ended infrastructure funds). Long-term performance is expected to become less volatile as the portfolio matures, becomes income producing, funded capital increases, and new commitments are made.
• NMSIC continues to commit capital across the real asset sectors in order to move the allocation within the target range.
Portfolio Highlights
12 *Real Assets forms part of the Real Return allocation. The long term target for Real Return is 12%. Real Assets is targeted to be 75% of the Real Return allocation.
Portfolio Status
• NMSIC’s real assets allocation target is 9% of total plan assets (based on market value). Current commitments represent 8.0% of total plan assets.
• Due to the closed-ended nature of many of the real asset commitments, NMSIC will seek additional commitments beyond its target allocation for each sub category within real assets (over-commitment factor).
• The real assets portfolio comprises six sub-sectors with target allocation ranges shown in the adjacent chart.
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Real Assets Portfolio Allocation
As of 4Q15
Sub-Sector
Target Allocation
RangeCommitted Allocation*
Committed Value (millions)
Net Asset Value
Number of Commitments
Agriculture 0-15% 19.1% $325.0 $55.7 3Commodities 0-10% 0.0% $0.0 $0.0 0Energy 0-40% 29.3% $500.0 $153.0 8Infrastructure 0-40% 25.8% $440.0 $315.9 5Timberland 0-40% 14.7% $250.0 $37.5 3Other 0-15% 2.9% $49.8 $33.1 2
Total 91.8% $1,564.8 $595.2 21Al locations as a % of the 9% rea l assets target.
Portfolio Status
• Since the 2011 inception, NMSIC has committed approximately $1.6 billion to real assets across 21 funds with 14 managers.
• NMSIC’s real asset program incorporates a number of open ended and long dated funds where the capital is either permanently invested or invested for a considerable length of time which contributes to a higher historical pacing than forecast projections. Additional potential exposure to established open ended funds may increase the NAV above the current forecast.
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Real Assets Portfolio Allocation
1 Fund $50
3 Funds $250
7 Funds $465
5 Funds $325
5 Funds $475
3 Funds$300
$169 $175 $181
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NMSIC Real Assets Allocation Growth as of Calendar Year End
Annual Commitments (left axis) Per Pacing Model (left axis) Total Commitments % of NMSIC's Assets (right axis) NAV % of NMSIC's Assets (right axis)
Commitments in $ represented on left axis (bars) and % of NMSIC Assets represented on right axis (lines). Note: Commitments of $125 million to RMS Evergreen, $100 million to Carlyle Power Partners II, and $75 million to BIF III was included in 2016 YTD total commitments.
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Real Assets Portfolio Performance – IRR Analysis
Total Performance
• The adjacent chart presents the inception to date value weighted net IRR’s of NMSIC’s real asset portfolio as well as the market value.
• Given the portfolio is relatively young, early returns were primarily attributable to strong performance from early energy investments with a small relative market value.
• As new commitments are made across asset classes and the portfolio becomes more diversified, overall performance is anticipated to continue to outperform the long-term Consumer Price Index (“CPI”) plus 300 basis points benchmark.
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NMSIC Real Asset Portfolio PerformanceInception to Date Net IRRs and Market Value
NMSIC Real Assets Net IRR (%) (left axis) Market Value ($) (right axis)
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Real Assets Portfolio Performance – Time Weighted Return Attribution
Performance Attribution
• Accounting for both returns and capital invested, the adjacent chart shows the impact each investment had on NMSIC’s real assets portfolio over the one-year period.
• NMSIC’s real assets portfolio generated a -1.7% net return over the one-year period ending December 31, 2015.
• Infrastructure was again the strongest performer, contributing 2.6% to NMSIC’s one-year return.
• Energy was again the largest detractor to performance taking away -2.9% from NMSIC’s one-year return.
*The exhibit above provides the contribution to the overall composite real assets return by sector. The contribution by sector is a relative measure and is denoted as either positive or negative to the overall portfolio composite return. The contribution of an individual sector to the overall performance relates to the size of 12/31/15 exposure and its returns over the one-year period. Time weighted net returns and values are denoted as of 12/31/15; however, exposures change over the one-year period.
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Infrastructure ($315.9 M) /
4.9%
Timber ($37.5 M) /
0.5%
Agriculture ($55.7 M) /
-18.3%
Other ($33.1 M) /
-10.0%
Energy ($153.0 M) /
-9.1%
Total ($595.2 M) /
-1.7%
Sector Contribution to One-Year Time Weighted Net Return as of 4Q15*
Down
Up
Total Return
NAV/One-Year net TWR
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Real Assets Portfolio Cash Flows
Quarterly Cash Flow Activity
• During the quarter, NMSIC’s real asset managers called $68.5 million and distributed $10.9 million in income/gains (distributions) and return of capital distributions (withdrawals). The distributions were concentrated in the Energy and Infrastructure portfolio.
$500,000,000
$515,000,000
$530,000,000
$545,000,000
$560,000,000
$575,000,000
$590,000,000
$605,000,000
4Q15 NAV Components - Real Assets Portfolio
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Real Assets Portfolio Diversification
Sector Diversification
• As previously mentioned, the portfolio is still early in its life cycle as many funds still have significant capital to invest throughout their investment periods.
• As illustrated below, the chart on the left displays NMSIC’s real assets diversification based on 4Q15 market values as a percentage of total real assets market value, while the chart on the right is based on NAV plus unfunded commitments.
• Sector diversification is expected to change as funds develop and call additional capital for investments.
*NMSIC Sector Diversification - 4Q15 Market Value+Unfunded Commitments as a % of Total Real Assets Market Value+Unfunded Commitments.
*NMSIC Sector Diversification - 4Q15 Market Value as a % of Total Real Assets
Agriculture9.4%
Energy25.7%
Infrastructure53.1%
Timberland6.3%
Other5.6%
Diversification by Market Value*
Agriculture21.0%
Energy30.7%
Infrastructure28.6%
Timberland16.5%
Other3.2%
Diversification by Exposure*
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Real Assets Portfolio Diversification
Global Geographic Diversification
• NMSIC’s real asset portfolio is currently weighted to developed Americas and more broadly to OECD countries which make up 80.4% of the portfolio.
• Emerging Americas currently represents investments in Brazil, Chile, and Mexico representing approximately 11%, 3% and 2% of current Real Assets Portfolio Net Asset Value, respectively.
• Many current and pending investments have global mandates and geographic diversification is expected to change as these commitments are drawn and NMSIC makes additional commitments going forward.
*NMSIC Global Geographic Diversification - 4Q15 Market Value as a % of Total Real Assets
Developed Americas
53.2%
Developed Europe18.1%
Developed Asia6.5%
Emerging Americas16.5%
Emerging Europe0.5%
Emerging Asia3.2%
Emerging Middle East and Africa
0.4% Frontier0.1%
Other1.5%
Geographic Diversification by Market Value*
Appendix A: Definitions
Definitions:
• Internal Rate of Return (“IRR”) – IRR is the average rate earned by each and every dollar invested during the period. This rate is influenced not only by movements in financial markets and decisions made by portfolio managers, but also by the timing and size of cash inflows and outflows and the beginning and ending market values.
• Time-Weighted Return (“TWR”) – A rate-of-return measure of portfolio performance that gives equal weight to each period regardless of any differences in amounts invested in each period. TWR are designed to eliminate the effect that the size and timing of cash flows has on the IRR since the pattern of cash flows varies significantly among funds.
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New Mexico State Investment Council
Definitions (continued):
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New Mexico State Investment Council
**Frontier is comprised of 151 countries mainly consisting of other developing countries not listed in the Emerging regions as well as Third World countries.
Developed Americas
(2)Developed Europe
(21)Developed Asia
(5)
Developed Middle East and Africa
(1)
Emerging Americas
(6)Emerging Europe
(5)Emerging Asia
(8)
Emerging Middle East and Africa
(3)Frontier**
(151)United States Austria Austra l ia Is rael Brazi l Czech Republ ic China Egypt Other Developing Canada Belgium Hong Kong Chi le Hungary India South Africa and Third World
Denmark Japan Colombia Morocco Indones ia Turkey counti resEngland New Zealand Mexico Poland South KoreaFinland Singapore Peru Russ ia Malays iaFrance Puerto Rico Phi l ippinesGermany TaiwanGreece Thai landIrelandIta lyLuxembourg NetherlandsNorthern Ireland NorwayPortugalScotlandSpainSwedenSwitzerlandUnited KingdomWales
Geographic Diversification
Definitions (continued):
• The NCREIF Timberland Property Index (NTI) – The NCREIF Timberland Property Index represents data collected from the Voting Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NTI is an unlevered domestic index, gross of fees, that aggregates the returns of approximately 454 privately owned institutional investment properties valued at $24.2 billion as of 4Q15. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of Timberland properties only. Note that the NTI is not an investable or duplicable universe. Also, the NTI may not fully illustrate the performance of the institutional property universe.
• The NCREIF Timberland Fund and Separate Account (NFI-TFI) – The NCREIF Timberland Fund Index is a levered domestic capitalization-weighted index based on each Funds’ Net Asset Value, which represents data collected from the Voting Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NFI-TFI is a gross and net of fees time-weighted return index consisting of commingled funds and individually managed accounts held in a fiduciary environment for taxable and tax-exempt investors, and mostly comprised of Timber, Timberland and cash equivalent assets, which are invested at 95% or more in the United States. The Funds comprised in the index may change if (i) existing Funds are removed from the index due to recurring underperformance, (ii) liquidation or termination, as well as (iii) entry of new Funds or new members of NCREIF. The NFI-TFI may not fully illustrate the performance of the institutional property universe.
• The NCREIF Farmland Property Index (NFI) – The NCREIF Farmland Property Index represents data collected from the Data Contributing Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NFI is an unlevered domestic index, gross of fees, that aggregates the returns of approximately 667 privately owned institutional investment properties valued at $6.7 billion as of 4Q15. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of Agricultural properties only. Note that the NFI is not an investable or duplicable universe. Also, the NFI may not fully illustrate the performance of the institutional property universe.
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Source: www.ncreif.org
Definitions (continued):
• The Consumer Price Index (CPI) – The Consumer Price Index illustrates monthly changes in the weighted average of prices of consumers’ good and services, excluding income taxes, financial instruments, and other saving-related items. Data is collected on a monthly basis by the Bureau of Labor Statistics (BSL economic assistants) in 87 urban areas nationwide and from approximately 80,000 items regrouped in more than 200 categories, which includes 24,000 retail and service establishments, as well as 50,000 landlords or tenants. The Consumer Expenditure Survey derives each item’s weight from their reported expenditures.
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New Mexico State Investment Council
Source: www.bls.gov/cpi
Appendix B: 4Q15 Real Assets Flash Report
1,704,369,322 9.0% 595,193,043 3.1% 930,953,438 4.9% 178,222,841 0.9%
TGRS TNET TGRS TNET TGRS TNET TGRS TNET
1.4 0.9 0.3 ‐1.7 11.0 6.4
0.9 3.7 4.0
Funding Status ($)Investment
Vintage Year
Commitment
Amount
Funded
Amount
Unfunded
Commitments
Capital
Returned
Market
Value
Market
Value (%)
Market Value
+ Unfunded
Commitments (%)
Infrastructure 2012 440,000,000 336,505,602 121,113,017 57,404,094 315,895,249 53.1 28.6
Timber 2014 250,000,000 37,984,095 213,778,403 4,583,557 37,514,323 6.3 16.5
Agriculture 2014 325,000,000 73,960,879 264,694,858 13,663,084 55,686,342 9.4 21.0
Energy 2011 500,000,000 200,114,096 315,843,074 39,909,109 153,027,422 25.7 30.7
Other 2013 49,800,000 47,581,111 15,524,086 13,681,747 33,069,707 5.6 3.2
Total Current Portfolio
New Mexico State Investment Council Other Real Assets 2011 1,564,800,000 696,145,783 930,953,438 129,241,591 595,193,043 100.0 100.0
18,937,436,906
Other
CPI + 300 BPS
Infrastructure
Timber
Agriculture
Energy
New Mexico State Investment Council Other Real Assets
New Mexico State Investment Council Other Real Assets
Fourth Quarter 2015
Portfolio Composition ($)
Total Plan Assets Allocation Market Value Unfunded Commitments Remaining Allocation
5 Year (%)Performance Summary Quarter (%) 1 Year (%) 3 Year (%)
INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET TGRS TNET
Infrastructure
Infrastructure 315,895,249 0.5 1.4 1.9 1.3 3.3 3.7 7.1 4.9 2.9 18.3 21.7 17.6 21.9 17.3 4Q12 9.8 1.1
Timber
Timber 37,514,323 0.6 ‐4.8 ‐4.2 ‐2.9 2.7 ‐2.4 0.2 0.5 8.2 7.0 1Q14 6.7 1.1
Agriculture
Agriculture 55,686,342 0.8 5.8 6.6 4.6 0.9 ‐5.5 ‐4.7 ‐18.3 ‐5.0 ‐23.7 4Q14 ‐17.7 0.9
Energy
Energy 153,027,422 2.9 ‐1.4 1.5 0.7 7.3 ‐14.6 ‐8.1 ‐9.1 5.7 ‐4.4 1.1 ‐2.2 16.0 10.4 2Q11 ‐2.3 1.0
Other
Other 33,069,707 1.5 ‐4.6 ‐3.1 ‐1.1 5.5 ‐15.7 ‐10.9 ‐10.0 7.7 0.9 2Q13 ‐1.8 1.0
Total Portfolio
New Mexico State Investment Council Other Real Assets* 595,193,043 1.2 0.2 1.4 0.9 4.4 ‐4.0 0.3 ‐1.7 5.2 5.6 11.0 6.4 23.9 16.9 2Q11 3.4 1.0
Indices
CPI + 300 BPS 0.9 3.7 4.0 4.4 2Q11
NCREIF Timberland Property Index “NTI” 0.6 1.3 1.9 2.7 2.3 5.0 2.8 5.5 8.4 7.0 2Q11
NCREIF Fund Index –Timberland Fund Index “NFI‐TFI Commingled Value Weight” ‐1.7 ‐1.9 ‐0.5 ‐1.2 5.6 4.7 5.1 4.3 2Q11
NCREIF Farmland Property Index “NFI” 2.6 1.7 4.3 5.7 4.5 10.4 7.4 6.8 14.5 15.8 2Q11
CPI 0.1 0.7 1.0 1.4 2Q11
Net
IRR
Equity
Multiple
New Mexico State Investment Council Other Real Assets
Fourth Quarter 2015
Returns (%)Market Value
($)
Quarter 1 Year 3 Year 5 Year Inception TWR
Calculation
Inception
Advisory Disclosures and Definitions
DisclosureProprietary information prepared for the use of The New Mexico State Investment Council.
Past performance is not indicative of future results.
Investing involves risk, including the possible loss of principal.
Returns are presented on a time weighted basis and shown both gross and net of underlying third party fees and expenses and may include income, appreciation and/or other earnings. In addition, investment level Net IRR’s and equity multiples are reported.
The Townsend Group, on behalf of its client base, collects quarterly limited partner/client level performance data based upon inputs from the underlying investment managers. Data collection is for purposes of calculating investment level performance as well as aggregating and reporting client level total portfolio performance. Quarterly limited partner/client level performance data is collected directly1 from the investment managers via a secure data collection site.
1In select instances where underlying investment managers have ceased reporting limited partner/client level performance data directly to The Townsend Group via a secure data collection site, The Townsend Group may choose to input performance data on behalf of its client based upon the investment managers quarterly capital account statements which are supplied to The Townsend Group and the client alike.
