private equity review - granicus

1

Stephen Sexauer

Private Equity Review

October 2016

Private Equity Review October 2016

A. Risks, Returns and Assets

B. Update on SDCERA’s Private Markets Assets

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Stephen Sexauer


October 2016

Part A.

Assets, Risks and Returns, and Alignment

The theory behind private investments is that management can (1) make more operational

improvements over a longer time horizon than can be done in public markets, (2) be more

aggressive in the use of leverage and capital structure than is typical in public markets, and (3)

gain access to investments while they are small before they go public or are sold to a strategic

buyer. Returns are expected to be higher to match the higher earnings gains and compensate for

the lack of liquidity and lower public knowledge of the investment.

Assets

Chart 1. Private Equity Market Assets through 2014.

The emergence of the leveraged buyout industry is associated with the low price-earning ratios

and low profit margins of the early 1980s. The venture capital industry is connected to the waves

of technology investments driven by innovations in the computer and internet/wireless industries.

The successful KKR buyout of conglomerate Beatrice in 1986 and technology public offerings

of firms like Apple and Microsoft were part of the emergence of private equity as an asset class.

These successes led to a wide range of private markets investing, from the successful buyout and

restructuring of almost bankrupt Continental Airlines in 1993 to the internet/wireless boom of

the late 1990s.

By 2000, the private equity industry had grown to approximately $420 billion in assets from its

beginnings in the early 1980s. From 2000 through 2014, the industry expanded from $420

billion to $2.7 trillion as pension plans and endowments searched to earn higher returns than they

expected to earn in the public markets, especially after the large losses in public equities in 2000

and 2001. The number of buyout firms has grown from a handful in 1980 to an estimated 12,000

today.

Not surprisingly, the surge in private market investments and participant investors has been

associated with a decrease in investment returns.

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October 2016

Risks

Private markets investments have unique risks:

The investment is illiquid and the investor has limited governance rights.

The realized returns1 to the Trust Fund are not known for up to ten years.

The sponsor of the fund, typically referred to as the General Partner (GP), has control

of almost all aspects of the investment, including when to invest, the structure of the

investment, and when and how to realize gains and losses.

The GP provides the interim valuations of the fund holdings until they are sold in a

market transaction.

Limited regulation and enforcement oversight from the Securities and Exchange

Commission (SEC) or Financial Industry Regulatory Agency (FINRA). Private

markets investments are governed by contract law and the specifics of each agreement.

Returns

Unlike the public markets there is no generally accepted “best” return measure for private equity.

This is due to the episodic nature of private equity cash flows combined with no SAMURAI-type

benchmarks2. Typical measures for measuring returns are internal rate of return (IRR), private

market equivalent of public markets cash flows (PME), total value to paid in (TVPI), and

distributed to paid in (DPI).

The final realized returns to the Limited Partners are quite sensitive to market cycles, have high

within vintage variability (hence, picking winners matters), and uncertain sustainability of

returns from fund to fund within the same GP family.

Chart 2. Returns of Buyout Investments, Vintage years 1984 through 2010

o Returns are cyclical; there is a downtrend in returns

o Returns are sensitive to investment waves

o Vintage years since 2006 have not outperformed the Russell 3000 stock market

index

1 Vintage year realized returns are for investments made in that vintage year and then realized up to 10 years later. 2 A review of benchmarks and a SAMURAI benchmark can be found in August 2016 Board Meeting (Item 7.E) at:

http://sdcera.granicus.com/MediaPlayer.php?view_id=2&clip_id=660&meta_id=72935

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October 2016

Chart 3. Returns of Venture Capital, Vintage years 1984 through 2010

o Returns are highly cyclical

o For many vintage years, returns were materially below the Russell 3000

o In 11 of the 27 vintage years from 1984 through 2010, the median fund did not

outperform the Russell 3000

Chart 4. Within Vintage Return Differences

o Picking the winners matters

Chart 5A. Persistence of Fund Family Performance: Buyout Funds

Chart 5B. Persistence of Fund Family Performance: Venture Funds

o A fund sponsor’s success from fund to fund is limited

Chart 6A. CERL County Total Trust Fund Returns and Private Market Investment Allocations

Chart 6B. CERL County Total Trust Fund Returns and Investment Expenses

o Different private asset allocations and returns that are almost all the same

Alignment

Since its inception, the fee structure of the private equity market has been (1) a fixed

management fee to pay for the fixed cost of the private equity firm and (2) a share of the profit of

the investments. These fees have been approximately a 2% fixed management fee plus

investment gains after a hurdle rate, typically 8%, shared 20% to the GP and 80% to the LP.

These fee levels are higher than public markets fees, reflecting (1) the fixed costs of establishing

and maintaining the skilled staff to evaluate, manage, and sell operating companies, (2) higher

return expectations, and (3) a balance of negotiating power based upon the large flow of pension

assets into private equity. Due to the long delays in realizing gains and industry billing

conventions, fees can be harder to see, measure, and match to final portfolio gains.

The private equity industry would like an ongoing and reliable source of capital while being paid

well to invest and manage that capital. Investors want (1) returns in excess of what can be earned

in the public risk markets, (2) an alignment that lowers the costs of private equity investing and

is transparent on all fees, and (3) provides more flexibility than a ten-year investment window

with limited property and governance rights. The evidence is that while the private equity

industry is attaining its goals, pension fund investors, in aggregate, are not.

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October 2016

Implications

A private markets investment is more than an allocation to an asset class; it is a

contractually defined long-term relationship between SDCERA and the Fund Sponsor.

Private markets returns are cyclical; therefore, underwriting and valuation matter.

Investments are complex and have unique structures: therefore, transparency, alignment,

manager skill, and incentives matter.

Exit strategies, typically an initial public offering (IPO) or sale to a strategic buyer, can

matter as much as the initial investment characteristics and operational management.

The legal contracts, typically the Limited Partner Agreement (LPA) and associated

documents, specifies the investors rights and flexibility to manage changing

circumstances over a period of up to 10 years; therefore, careful attention to the details of

these are contractual agreements are important.

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Stephen Sexauer


October 2016

Chart 1

Private Equity Market Assets through 2014

Invested assets: $2.7 trillion

Callable capital (“dry powder”): $1.1 trillion

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Stephen Sexauer


October 2016

Chart 2 Returns of Buyout Investments

Source: Harrison, Jenkinson, and Kaplan, 2015. Calculations through 2015.

Data used: Burgiss data for 300 pension plans with $750 billion in private assets investments

The chart is the weighted average of the vintage year IRRs. The weights are capital committed.

0%

5%

10%

15%

20%

25%

30%

35%

40%

1984 1987 1990 1993 1996 1999 2002 2005 2008

Per

cen

t p

er y

aer

Buyout average IRRVintage years 1984 to 2010

0

100

1984 1987 1990 1993 1996 1999 2002 2005 2008

# fu

nd

s

Number of Buyout fundsVintage years 1984 to 2010

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Stephen Sexauer


October 2016

Chart 3

Returns of Venture Capital

Source: Harrison, Jenkinson, and Kaplan, 2015. Calculations through 2015.

Data used: Burgiss data for 300 pension plans with $750 billion in private assets investments

The chart is the weighted average of the vintage year IRRs. The weights are capital committed.

-10%

10%

30%

50%

70%

90%

1984 1987 1990 1993 1996 1999 2002 2005 2008

Per

cen

t p

er y

ear

Venture IRRVintage years 1984 to 2010

0

50

100

1984 1987 1990 1993 1996 1999 2002 2005 2008

# fu

nd

s

Venture no. funds: Vintage years 1984 to 2010

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Stephen Sexauer


October 2016

Chart 4

Within Vintage Return Differences

0.0

0.5

1.0

1.5

2.0

2.5

top quartile 2nd quartile 3rd quartile bottom quartile

Rat

io o

f p

riva

te e

qu

ity

retr

un

to

th

e S&

P 5

00

Within vintage variation: Average PME returns by quartile708 buyout funds and 870 venture funds

Vintage years 1984 to 2010

Venture funds Buyout funds

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October 2016

Chart 5A Persistence of Fund Family Performance

Buyout funds: % return per year in each quartile

Limited to no relationship

Source: Harris, Jenkinson, Kaplan, and Stucke 2014

Data: Burgiss data for 200 plans with $1 trillion in committed capital

0%

5%

10%

15%

20%

25%

30%

35%

quartile 1 quartile 2 quartile 3 quartile 4

Relationship of Prior Top Quartile PerformanceFull Sample Results

0%

10%

20%

30%

40%

50%


Relationship of Prior Top Quartile PerformancePre-2001 Results

0%

5%

10%

15%

20%

25%

30%

35%


Relationship of Prior Top Quartile PerformancePost-2001 Results

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Stephen Sexauer


October 2016

Chart 5B

Persistence of Fund Family Performance

Venture funds: % return per year in each quartile

Winners keep winning

Source: Harris, Jenkinson, Kaplan, and Stucke 2014

Data: Burgiss data for 200 plans with $1 trillion in committed capital

0%

10%

20%

30%

40%

50%


Relationship of Prior Top Quartile PerformanceFull Sample Results

0%

10%

20%

30%

40%

50%


Relationship of Prior Top Quartile PerformancePre-2001 Results

0%

10%

20%

30%

40%

50%


Relationship of Prior Top Quartile PerformancePost-2001 Results

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Stephen Sexauer


October 2016

Chart 6A

CERL County Total Trust Fund Returns

and Private Market Investment Allocations

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

Rates of Returns versus Private Equity Investments

California CERL County 5-year returns as of Fiscal Year 2015

Private assets % total 5 year returns 5-year average, all CERL plans

*Net of Fees from 2015 CAFR

**Net of Fees Q2_2015 Quarterly Consultant Report

***Net of Fees Calculated using Q2_2016 Consultant Report Gross of Fees-Fees Expense BPS

****Net of Fees from 2015 PAFR

*****Net of Fees ending December 2015 (from ACERA Sr. Inv. Officer)or June 30, 2015 (from OCERS Inv. Analyst)

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Stephen Sexauer


October 2016

Chart 6B

CERL County Total Trust Fund Returns

and Investment Expenses

110109

96

79

75

6968

66

58 57

53 53

48

4543

42

3836

34

28

0%

2%

4%

6%

8%

10%

12%

14%

0

20

40

60

80

100

120

Investment Expenses and Returns

California CERL County 5-yesr returns as of Fiscal Year 2015Fees bps 5 year returns 5-year average, all CERL plans

*Net of Fees from 2015 CAFR

**Net of Fees Q2_2015 Quarterly Consultant Report

***Net of Fees Calculated using Q2_2016 Consultant Report Gross of Fees-Fees Expense BPS

****Net of Fees from 2015 PAFR

*****Net of Fees ending December 2015 (from ACERA Sr. Inv. Officer)or June 30, 2015 (from OCERS Inv. Analyst)

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Stephen Sexauer


October 2016

Part B.

Update on SDCERA’s Private Markets Assets

Assets (millions)

Total Trust Fund $10,935

Total Private Assets $2,423 22%

Real Estate $970 9%

Private Equity $663 6%

Real Assets $663 6%

Private Debt $127 1%

22%

Outstanding Commitments

Real Estate n/a

Private Equity $317

Real Assets $132

Private Debt n/a

FY16 Pacing

Distributions $430

Captial calls $330

See Appendix for line item details

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Stephen Sexauer


October 2016

Appendix Private Markets Assets Detail

Source: Verus Portfolio Review as of 30 June 2016

Market Vaue Distrib./ Tot. Value/ ReportedVintage as of Valuation Total Capital % Remaining Capital Paid-In Paid-In IRR Since ValuationYear3 Manager/Fund Date3 Commitment3 Called3,4 Called Commitment3 Returned3 (DPI)1 (TVPI)2 Inception3 Date3

2013 Apollo Credit Opportunities Fund III LP $62,901,609 $100,000,000 $146,272,128 146% -$46,272,128 $70,505,630 48.2% 91.2% -14.4% 03/31/162013 Oaktree European Dislocation Fund (US) LP $14,586,734 $90,000,000 $48,771,000 54% $41,229,000 $37,764,328 77.4% 107.3% 9.4% 03/31/162014 D.E. Shaw Alkali Fund II LP $40,729,720 $45,000,000 $52,878,255 118% -$7,878,255 $10,847,707 20.5% 97.5% -1.8% 03/31/16

1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $709,154 $34,700,000 $34,179,500 99% $520,500 $53,333,744 156.0% 158.1% 9.0% 03/31/161998 Oak Hill Capital Partners (Bermuda) $46,563 $10,000,000 $11,072,753 111% -$1,072,753 $18,858,513 170.3% 170.7% 10.6% 03/31/161999 Code, Hennessy & Simmons IV, L.P. $25,126 $10,000,000 $10,076,000 101% -$76,000 $15,727,103 156.1% 156.3% 12.1% 03/31/161999 OCM Opportunities Fund III, L.P. $147,260 $10,500,000 $10,500,000 100% $0 $15,655,928 149.1% 150.5% 11.8% 03/31/162001 Blackstone Capital Partners IV, L.P. $3,788,292 $15,000,000 $18,456,292 123% -$3,456,292 $41,864,557 226.8% 247.4% 54.3% 03/31/162001 Cerberus Institutional Partners, L.P. Series Two $15,983 $10,000,000 $8,600,227 86% $1,399,773 $26,700,965 310.5% 310.7% 26.7% 03/31/162001 Lexington Capital Partners V, L.P. $772,653 $10,000,000 $11,026,975 110% -$1,026,975 $17,049,602 154.6% 161.6% 18.2% 03/31/162001 OCM Opportunities Fund IV, L.P. $32,802 $10,000,000 $10,000,000 100% $0 $16,472,801 164.7% 165.1% 28.6% 03/31/162003 TPG Partners IV, L.P. $2,154,866 $10,000,000 $11,160,320 112% -$1,160,320 $21,285,399 190.7% 210.0% 21.0% 03/31/162004 Paul Capital Partners VIII-B $2,534,709 $15,000,000 $15,113,907 101% -$113,907 $18,613,379 123.2% 139.9% 9.2% 03/31/162004 Graham Partners II, L.P. $2,328,086 $7,500,000 $7,674,790 102% -$174,790 $11,685,740 152.3% 182.6% 12.2% 03/31/162004 Providence Equity Partners V, L.P. $2,876,980 $10,000,000 $12,592,186 126% -$2,592,186 $12,411,657 98.6% 121.4% 3.8% 03/31/162005 Northgate Private Equity Partners II, L.P. $4,651,648 $15,000,000 $14,250,000 95% $750,000 $16,321,578 114.5% 147.2% 7.9% 03/31/162005 Lexington Capital Partners VI-B, L.P. $3,116,642 $10,000,000 $10,774,432 108% -$774,432 $11,355,663 105.4% 134.3% 6.9% 03/31/162005 OCM Opportunities Fund VI, L.P. $334,258 $5,000,000 $5,000,000 100% $0 $7,540,808 150.8% 157.5% 8.8% 03/31/162006 Bain Capital Fund IX Coinvestment Fund, L.P. $471,013 $1,500,000 $1,886,625 126% -$386,625 $2,482,348 131.6% 156.5% 8.8% 03/31/162006 Bain Capital Fund IX, L.P. $1,886,970 $7,000,000 $7,524,565 107% -$524,565 $9,940,355 132.1% 157.2% 8.1% 03/31/162006 Blackstone Capital Partners V, L.P. $7,180,608 $15,000,000 $15,667,704 104% -$667,704 $19,243,250 122.8% 168.7% 9.0% 03/31/162006 Charterhouse Capital Partners VIII, L.P. $1,413,565 $11,395,500 $12,145,670 107% -$750,170 $10,388,387 85.5% 97.2% -0.5% 03/31/162006 Coller International Partners V-A, L.P. $2,878,447 $10,000,000 $8,292,981 83% $1,707,019 $9,142,183 110.2% 144.9% 8.9% 03/31/162006 Hellman & Friedman Capital Partners VI, L.P. $3,578,219 $15,000,000 $15,989,045 107% -$989,045 $24,932,789 155.9% 178.3% 13.7% 03/31/162006 Northgate Private Equity Partners III, L.P. $7,187,565 $15,000,000 $13,650,000 91% $1,350,000 $11,932,159 87.4% 140.1% 6.8% 03/31/162006 TA X, L.P. $1,680,478 $13,000,000 $12,545,000 97% $455,000 $14,625,000 116.6% 130.0% 5.0% 03/31/162006 TA Subordinated Debt Fund II, L.P. $742,793 $8,000,000 $6,960,000 87% $1,040,000 $8,222,888 118.1% 128.8% 7.5% 03/31/162006 Cerberus Institutional Partners, L.P. Series Four $5,594,699 $15,000,000 $13,851,643 92% $1,148,357 $16,498,406 119.1% 159.5% 8.0% 03/31/162006 Paul Capital Partners IX, L.P. $5,359,685 $20,000,000 $16,644,991 83% $3,355,009 $13,500,869 81.1% 113.3% 3.7% 03/31/162007 Capital International Private Equity Fund V, L.P. $2,066,773 $10,000,000 $11,023,157 110% -$1,023,157 $9,127,665 82.8% 101.6% 0.5% 03/31/162007 Greenbriar Equity Fund II, L.P. $2,076,892 $10,000,000 $8,613,819 86% $1,386,181 $9,463,521 109.9% 134.0% 8.1% 03/31/162007 OCM Opportunities Fund VII, L.P. $943,239 $7,500,000 $7,500,000 100% $0 $9,367,550 124.9% 137.5% 7.6% 03/31/16

1(DPI) is equal to (capital returned / capital called) 2(TVPI) is equal to (market value + capital returned) / capital called 3Data source: The Burgiss Group Private i Module4Capital called may include recallable distributions

IRR Analysis as of Valuation date

Private Credit

Private Equity


2007 OCM Opportunities Fund VIIb, L.P. $1,129,561 $12,500,000 $11,250,000 90% $1,250,000 $18,077,097 160.7% 170.7% 16.7% 03/31/162008 Bain Capital Fund X, L.P. $8,830,428 $15,000,000 $15,367,077 102% -$367,077 $12,507,051 81.4% 138.9% 8.4% 03/31/162008 Emerging Europe Growth Fund II $4,476,829 $10,000,000 $9,346,983 93% $653,017 $3,448,978 36.9% 84.8% -4.7% 03/31/162008 Onex Partners III, L.P. $14,689,875 $15,000,000 $16,871,706 112% -$1,871,706 $10,299,277 61.0% 148.1% 13.2% 03/31/162009 Hellman & Friedman Capital Partners VII, L.P. $14,875,454 $15,000,000 $14,353,877 96% $646,123 $4,889,518 34.1% 137.7% 16.0% 03/31/162009 GSO Capital Solutions Fund $17,715,788 $50,000,000 $72,750,156 146% -$22,750,156 $72,247,073 99.3% 123.7% 11.3% 03/31/162010 Blackstone Capital Partners VI, L.P. $91,033,757 $100,000,000 $88,865,298 89% $11,134,702 $15,592,344 17.5% 120.0% 10.0% 03/31/162010 Drug Royalty II LP $562,904 $25,000,000 $24,898,488 100% $101,512 $32,390,710 130.1% 132.4% 21.1% 06/30/152010 Gores Capital Partners III, L.P. $39,409,372 $75,000,000 $70,682,775 94% $4,317,225 $44,564,240 63.0% 118.8% 6.8% 03/31/162010 Baring Asia Private Equity Fund V $55,716,475 $50,000,000 $64,715,220 129% -$14,715,220 $22,828,186 35.3% 121.4% 11.0% 03/31/162010 Capital International Private Equity Fund VI, L.P. $24,731,187 $50,000,000 $40,003,359 80% $9,996,641 $6,692,908 16.7% 78.6% -11.9% 03/31/162010 RMF 2 Co-Investment Fund, L.P. $7,396,841 $25,000,000 $8,935,111 36% $16,064,889 $2,196,608 24.6% 107.4% 3.0% 03/31/162010 OCM European Principal Fund III, L.P. $75,990,038 $68,373,000 $64,898,091 95% $3,474,909 $6,582,286 10.1% 127.2% 10.0% 03/31/162011 EQT VI $48,686,705 $45,582,000 $46,183,583 101% -$601,583 $4,058,382 8.8% 114.2% 5.9% 03/31/162011 Gores Small Capital Partners $8,817,201 $30,000,000 $18,481,872 62% $11,518,128 $13,695,665 74.1% 121.8% 11.3% 03/31/162012 TPG Asia VI, L.P. $32,816,815 $75,000,000 $43,803,053 58% $31,196,947 $13,558,665 31.0% 105.9% 5.1% 03/31/162012 FountainVest China Growth Capital Fund II $47,767,145 $50,000,000 $33,487,011 67% $16,512,989 $3,836,523 11.5% 154.1% 31.6% 03/31/162012 Drug Royalty III LP $6,550,440 $60,000,000 $11,028,718 18% $48,971,282 $3,333,746 30.2% 89.6% -9.6% 03/31/162012 GSO Capital Solutions Fund II, LP $27,325,969 $90,000,000 $30,699,136 34% $59,300,864 $4,127,025 13.4% 102.5% 3.3% 03/31/162013 New Mountain Partners IV, L.P. $39,738,407 $90,000,000 $35,362,982 39% $54,637,018 $2,002,973 5.7% 118.0% 22.7% 03/31/162014 SSG III $18,470,429 $60,000,000 $27,684,953 46% $32,315,047 $7,457,566 26.9% 93.7% -8.2% 03/31/162015 EQT VII (No.2) Limited Partnership $269,165 $56,977,500 $898,125 2% $56,079,375 $5,581 0.6% 30.6% -92.9% 03/31/16

2005 EnerVest Energy Institutional Fund X-B, L.P. $99,745 $10,000,000 $10,043,273 100% -$43,273 $10,126,473 100.8% 101.8% 0.5% 03/31/162005 Merit Energy Partners F, L.P. $3,233,484 $8,000,000 $4,761,830 60% $3,238,170 $2,180,154 45.8% 113.7% 2.4% 03/31/162006 EnCap Energy Capital Fund VI, L.P. $456,001 $9,000,000 $9,947,342 111% -$947,342 $17,378,120 174.7% 179.3% 26.9% 03/31/162007 EnCap Energy Capital Fund VII, L.P. $945,593 $10,000,000 $11,143,426 111% -$1,143,426 $14,323,365 128.5% 137.0% 17.7% 03/31/162007 EnerVest Energy Institutional Fund XI-B, L.P. $4,445,569 $15,000,000 $15,154,412 101% -$154,412 $10,741,351 70.9% 100.2% 0.0% 03/31/162008 Global Infrastructure Partners A, L.P. $31,375,860 $75,000,000 $85,636,956 114% -$10,636,956 $132,264,260 154.4% 191.1% 17.8% 03/31/162008 Macquarie Infrastructure Partners II $58,686,937 $75,000,000 $80,245,662 107% -$5,245,662 $57,027,554 71.1% 144.2% 8.8% 03/31/162008 Kayne Anderson Energy Fund V, L.P. $6,029,693 $15,000,000 $15,924,577 106% -$924,577 $15,869,067 99.7% 137.5% 16.3% 03/31/162010 J.P.M. Global Maritime Investment Fund $35,908,829 $75,000,000 $63,581,372 85% $11,418,628 $5,959,033 9.4% 65.8% -24.9% 03/31/162010 Falcon E&P $21,186,331 $75,000,000 $79,865,217 106% -$4,865,217 $49,934,935 62.5% 89.1% -7.2% 03/31/162010 Brookfield Americas Infrastructure Fund, L.P. $83,404,000 $75,000,000 $79,755,213 106% -$4,755,213 $31,914,765 40.0% 144.6% 11.7% 03/31/16



Private Equity

Real Assets


2011 Molpus Woodlands Fund III $46,847,607 $50,000,000 $47,250,000 95% $2,750,000 $11,035,018 23.4% 122.5% 6.0% 03/31/162011 Red Kite Mine Finance Fund $68,724,925 $50,000,000 $50,000,000 100% $0 $0 0.0% 137.4% 10.6% 05/31/162011 Taurus Resources Fund II Ltd. $28,904,082 $75,000,000 $71,791,571 96% $3,208,429 $14,070,698 19.6% 59.9% -22.1% 12/31/152011 Brookfield Brazil Agriland $52,906,000 $75,000,000 $70,694,000 94% $4,306,000 $0 0.0% 74.8% -9.7% 12/31/152011 Denham Commodity Partners Fund VI, L.P. $16,858,234 $50,000,000 $27,213,748 54% $22,786,252 $13,186,520 48.5% 110.4% 5.3% 03/31/162012 Amerra Agri Fund II $43,674,786 $50,000,000 $51,582,915 103% -$1,582,915 $19,390,063 37.6% 122.3% 9.0% 03/31/162012 Hancock Agricultural Investment Group-Separate Accou $44,890,872 $100,000,000 $37,300,000 37% $62,700,000 $100,000 0.3% 120.6% 7.9% 03/31/162013 Actis Energy 3 $17,867,000 $50,000,000 $18,313,439 37% $31,686,561 $1,369,032 7.5% 105.0% 4.1% 03/31/162013 Actis Energy 3 Co-Investment, LP $7,118,000 $12,500,000 $6,443,574 52% $6,056,426 $279,067 4.3% 114.8% 16.0% 03/31/162014 Energy & Minerals Group Fund III LP $49,953,376 $75,000,000 $62,628,169 84% $12,371,831 $1,389,765 2.2% 82.0% -15.0% 03/31/162014 EMG AENO Co-Investment LP $4,296,430 $6,000,000 $4,342,137 72% $1,657,863 $0 0.0% 98.9% -0.8% 03/31/162014 EMG AEPB Co-Investment $3,527,477 $6,000,000 $6,000,000 100% $0 $0 0.0% 58.8% -26.9% 03/31/16

1999 Hearthstone MSII Homebuilding Investors, L.L.C. $443 $10,000,000 $7,969,656 80% $2,030,344 $13,884,971 174.2% 174.2% 44.2% 03/31/162000 RREEF I.M.A. $418,746,237 $255,126,000 $524,011,553 205% -$268,885,553 $372,308,659 71.0% 151.0% 10.0% 03/31/162004 Southern California Smart Growth Fund $2,843,675 $25,000,000 $39,530,787 158% -$14,530,787 $33,468,973 84.7% 91.9% -2.8% 03/31/162005 Canyon-Johnson Urban Fund II, L.P. $1,496,594 $30,000,000 $27,090,590 90% $2,909,410 $9,895,945 36.5% 42.1% -11.6% 03/31/162005 RREEF Rio San Diego Plaza II $25,727,686 $25,925,218 $27,074,261 104% -$1,149,043 $12,325,000 45.5% 140.5% 4.1% 03/31/162005 LaSalle Asia Opportunity Fund II, L.P. $220,897 $25,000,000 $24,065,758 96% $934,242 $25,752,817 107.0% 107.9% 1.7% 03/31/162006 Cornerstone Hotel Income Equity Fund $15,064 $10,000,000 $9,893,271 99% $106,729 $8,901,092 90.0% 90.1% -2.1% 03/31/162006 California Smart Growth Fund IV $10,786,212 $25,000,000 $26,170,087 105% -$1,170,087 $18,165,635 69.4% 110.6% 1.9% 03/31/162007 Allegis Value Trust $23,208,233 $25,000,000 $25,582,252 102% -$582,252 $7,859,296 30.7% 121.4% 2.8% 03/31/162007 Cornerstone Apartment Venture III $24,114 $25,000,000 $16,325,773 65% $8,674,227 $19,531,944 119.6% 119.8% 4.4% 03/31/162007 PRISA II $40,691,070 $35,000,000 $35,051,409 100% -$51,409 $7,697,856 22.0% 138.1% 4.6% 03/31/162007 Blackstone Real Estate Partners VI $30,016,996 $50,000,000 $52,817,033 106% -$2,817,033 $73,531,817 139.2% 196.1% 14.1% 03/31/162007 PRISA III, L.P. $68,287,594 $50,000,000 $49,991,690 100% $8,310 $19,898,716 39.8% 176.4% 9.4% 03/31/162008 Trophy Property Development, L.P. $5,239,073 $15,000,000 $14,579,645 97% $420,355 $4,842,264 33.2% 69.1% -5.2% 03/31/162008 CB Richard Ellis Strategic Partners US V, L.P. $17,341 $40,000,000 $40,146,542 100% -$146,542 $56,129,549 139.8% 139.9% 15.7% 03/31/162011 JPMCB Strategic Property Fund $303,728,146 $200,000,000 $207,917,468 104% -$7,917,468 $41,515,317 20.0% 166.0% 12.4% 03/31/162011 Amstar SD Partners $103,272,878 $200,000,000 $254,992,209 127% -$54,992,209 $236,426,925 92.7% 133.2% 17.8% 03/31/16

Total Private Managers $2,437,477,900 $3,724,579,218 $3,626,590,356 97% $97,988,862 $2,258,563,340 62.3% 129.5%% of Portfolio (Market Value) 23.8%


Real Estate


Real Assets

private equity review - granicus

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