the new mexico state investment council (“nmsic”) · 2017-05-24 · agricultural – market...

The New Mexico State Investment Council (“NMSIC”)

Third Quarter 2016: Real Assets Performance Measurement Report

Proprietary & Confidential

February 2017

1) 3Q16 Economic Dashboard - Market Outlook

• Agriculture Market Update

• Infrastructure Market Update

• Timberland Market Update

• Currency Effects

2) 3Q16 Real Assets Performance Measurement Highlights

Appendix:

A. Additional 3Q16 Performance Measurement Report

B. Definitions

C. 3Q16 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. 3Q16 Economic Dashboard – Market Outlook

Agricultural – Market Update (3Q16)

• U.S. net farm income is forecasted to decline in 2016 for the third consecutive year to $71 billion, from a high of $123 billion in 2013. – The fall in income has been primarily driven by sustained lower commodity prices. – Both the 2015 actual and 2016 forecasts were revised up significantly due to the lower price of fuel and inputs.

• Ag commodity prices were mixed during the quarter with corn, soybeans, and wheat ending the quarter with a rally despite further declines. This was driven by record production levels due to favorable growing conditions and record acreage levels. – Sugar prices continued their rally due to a growing global deficit and weather-related harvesting delays in Brazil.

• General consensus expects a moderate rebound in 2017 prices as farmers rebalance production levels for next season’s corn and wheat harvest leading to culled supply levels. – Strong winter rainfall in Australia occurred with La Niña developing in late 2016/early 2017 have bolstered grower

expectations in both Australia and N. Brazil which lead to increased production. • In permanent crops, almond, walnut and pistachio prices have continued to fall and are expected to remain below 10-year

averages due to record crops expected due to good weather, slightly increased acreage, and improved yields. – Reduced prices for tree nuts should continue to facilitate U.S. exports and help offset the price declines for growers.

• The AUD and BRL remain near multi-year lows, continuing to aid the competiveness of Australian and Brazilian exports. – Given the expected continued macro uncertainty, U.S. exporters will likely continue to face currency headwinds for the

foreseeable future.

Third Quarter 2016 Source: Itau and Bloomberg (Grains & Oilseeds Price Trends); (Right) USDA, National Agricultural Statistics Service, Agricultural Prices 9/30/16

Itaú Commodity Index (ICI) Agricultural Index

(Nov – 15’ through Sep-16’)

Fruit & Tree Nuts Index of Prices Received (2011-2016)

4

Agricultural – Market Update (3Q16)

• Farmland returns continue to trend down as returns have been normalizing.

• The NCREIF Farmland Index (“NFI”) reported a 1.4% return for the quarter, which was entirely driven by income returns of 1.6% as the index reported slight depreciation of -0.17% for the Quarter.

– This is the first quarterly depreciation return reported since the third quarter 2010, driven by slight value declines in multiple row crop and permanent crop regions.

• The total permanent crop return was effectively unchanged during the quarter, with an income return of 2.44% and -0.62% appreciation return.

– Tree nuts (e.g., almonds & pistachios) drove the depreciation in permanent crops during the quarter as the effects of record supply continue to outweigh increased demand and prices remain subdued.

– Wine grapes continue to generate strong numbers as supply issues have persisted throughout 2016.

• Row crops continue to generate moderate total returns with the income return relatively stable but value declines continuing to occur throughout the major row crop regions of the Midwest and South.

– The Corn Belt posted the 8th consecutive quarter of depreciation, while the Delta States and Southern Plains both contributed to value declines with slight depreciation returns reported during the quarter as low commodity prices and less competitive exports continue to strain farmer profits and farm values.

Third Quarter 2016 Source: NCREIF

Quarterly Farmland Return Trends by NCREIF Region (3Q15-3Q16)

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NFI Farm Type Performance(Rolling 1-year total returns through 3Q16)

Row Crops Permanent Crops NCREIF Farmland Index

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Infrastructure – Market Update (3Q16) General

• Fundraising increased significantly over the quarter, with $22.9bn raised across 17 funds according to Preqin, the highest amount since Q4 2013 and the 2nd highest amount ever recorded by Preqin.

• Deal volumes were down for the 2nd consecutive quarter, with 280 deals completed (aggregate value of $108bn), a 10% decline by value from Q2. Still, 2016 performance remains strong, with year-to-date values 25% ahead of the same period in 2015. Renewable energy was again the largest sector with 54% of deals by volume over the quarter, a 19% increase from Q2.

Europe

• The German offshore wind sector saw the largest share of activity in Q3, with the financial close of two major projects totaling roughly €2.4bn. The privatization of UK’s Green Investment Bank progressed forward and a consortium led by Macquarie Capital was named as the provisional preferred bidder. With the exception of the Netherlands, Greenfield opportunities in transport and social PPP were relatively scarce across Europe. On the M&A front, the French state sold its 60% stake in the Nice and Lyon airports. Across Europe, there was a significant activity in the transmission sector, most notably, GIP’s acquisition of a 20% stake in the Spanish integrated energy company Gas Natural Fenosa for €3.8bn.

North America

• Deal flow in the US was dominated by the natural resources sector, most notably the $4bn Bakken pipeline project, which subsequently faced major opposition and potential re-routing. There was a strong deal activity in solar and wind power, the largest deal being the $1bn expansion of the Whispering Willow wind farm. A sizable number of smaller renewable energy projects also closed in the quarter. The railroad sector attracted significant (c. $2.5bn) investment with three large deals closing in the quarter.

Asia Pacific

• The largest deal flow in the quarter came from India and China and mostly comprised of railroad and renewable energy projects. Additionally, some notable deals were a $4bn Greenfield dam project in Tajikistan and the $2bn Suide-Yanchuan Motorway project in China. 6

Source: Preqin Quarterly Infrastructure Update

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Unlisted Infrastructure Fundraising

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Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

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No. of Deals Estimated Aggregate Deal Value ($bn)

Timberland – Market Update (3Q16) Markets Update • U.S. housing starts remain below historic averages at a SAAR (seasonally adjusted annual rate) of 1.047 units in September, 11.9%

below the Sept. 15’ rate.

• U.S. homeownership is still at an all-time low according to the U.S. Census Bureau, matching the lowest on record.

– Underlying demographics signal a stronger long-term recovery and it appears that the housing sector is beginning to build momentum as more new homes were sold in July at an annual rate of 654,000, than in nearly 10 years; the highest rate since October 2007.

• Despite rising housing starts, sawtimber prices in the South remain subdued primarily due to high levels of standing supply.

• In the Pacific NW, log exports to China have trended upwards since 12 months ago when volumes reached the lowest level in three years; prices in this region have also been supported by an increase in domestic demand.

• South America remains the world’s capital of pulp production, with Brazil and Chile offering the most competitive pricing.

– According to RISI, global production of hardwood pulp is increasing with expansion in South America and Asia.

• Despite low prices in the global pellet market, several biomass projects have moved forward, supported by policies that encourage renewable energy. The wood pellet sector, which is concentrated in the Southern States and is targeting the European market, has increased six fold in five years but still consumes just over three percent of the total timber harvest in the US.

Third Quarter 2016

Source: U.S. Census Bureau; Campbell Timber Trends Source: Timber Mart-South; Random Lengths; BLS; Campbell Timber Trends

Southern Yellow Pine Price Comparison: Westside Lumber Versus Regional Sawtimber Stumpage

7

U.S. Housing Starts

Timberland – Market Update (3Q16) Performance Update

• The NCREIF Timberland Index (“NTI”) returned a 0.7% return during the quarter, a decline from 1.0% last quarter.

– The return was exclusively driven by income, as the NTI had slight depreciation of -0.01%.

• The Pacific NW region generated the strongest return of 1.0%, which was driven by renewed demand for log exports to China coupled with increased domestic demand.

• Timberland values were down slightly on a per acre basis during the quarter, decreasing from $1,808/acre value last quarter to $1,776/acre.

– Values in the Pacific NW rebounded to $2,702/acre after the 5% decline experienced during last quarter.

• Transaction volume was modest during the quarter with several notable deals closed and in progress, with 2016 already far exceeding deal volume experienced over the past six years.

• Townsend expects this transaction momentum to persist as maturing “legacy” funds liquidate while vertically integrated forest product companies have re-entered the market.

Third Quarter 2016 Source: NCREIF; Townsend

NTI Quarterly Total Return Trends by Region

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NCREIF Timber Index Returns(annualized returns through September 30, 2016)

Total Return

Income Return

$ Per Acre

• 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 25% and 7% higher than their 25-year average, respectively.

• The USD appreciation is negatively correlated with the cost of imports and has been favorable to local investors and consumers. The decrease and volatility 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.

• Worries continue in Great Britain due to the recent decision to leave the European Union but have slowed down a bit for the time being. However, volatility is still expected to be the norm while uncertainty remains. In the meantime, the British Pound continues to weaken against the U.S. dollar and has fallen to 0.80 GBP/USD as of 11/30/16 (post Brexit vote). As of 3Q16, the Euro has also been largely affected against the U.S. dollar and declined to 0.94 EUR/USD as of 11/30/16.

Currency Effects – Market Trends (3Q16)

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EURO-USD Rates over 25 Years

25 year Average: 0.84 EUR/USD

Max: 10/25/20001.21 EUR/USD

Min: 4/22/20080.63 EUR/USD

9/30/2016 0.89 EUR/USD

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GBP-USD Rates over 25 Years

25 year Average: 0.62 GBP/USD

Min: 11/8/20070.47 GBP/USD

Max: 8/15/20160.78 GBP/USD

9/30/2016

0.77 GBP/USD

• At quarter-end, the Australian Dollar (AUS)/USD and Brazilian Real (BRL)/USD exchange rates were about 4% lower and 59% higher than their 25-year average and 22-year average, respectively.

• U.S. investors with foreign investments have been experiencing short-term fluctuations on their international returns when translated into USD. This trend continued during 3Q16 with the U.S. dollar increasing in value against the British Pound and against the Euro and Brazilian Real while weakening against the Australian Dollar.

Currency Effects – Market Trends (3Q16)

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22 year Average: 2.06 BRL/USD

Max: 9/23/20154.18 BRL/USD

Min: 10/26/1994

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9/30/2016

3.26 BRL/USD

2. 3Q16 Real Assets Performance Measurement Highlights

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 2016 has committed approximately $1.9 billion across 24 funds with 16 managers.

• No new commitments were made during 3Q16. In 2016, three additional commitments were made one each to Infrastructure, Timber, and the Energy sectors totaling $300 million.

• Subsequent to year end, a $50 million commitment was made in the Agriculture sector.

• As of 3Q16, NMSIC’s real assets market value represents 5.0% 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 9.2% of NMSIC’s total plan assets as of 3Q16.

• Over the since inception periods, performance remains strong generating an 11.4% net time weighted return, and a 6.8% net since inception IRR. Overall performance (quarter, one-, three-, and five-year) has been volatile but strong recently and has outperformed or tracked the Real Assets CPI + 300 benchmark. Volatility has come from (i) global currency movements, (ii) fluctuation in energy prices, and (iii) j-curve effect due to the build out of the Real Assets portfolio. Over the longer term these factors are expected to have a lower impact on returns.

• As of 3Q16, 46% of committed capital remains unfunded and most funds are still in their j-curve. 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

• Since the 2011 inception, NMSIC has committed approximately $1.9 billion to real assets across 24 funds with 16 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 higher historical pacing than forecast projections.

13

Real Assets Portfolio Allocation

1 Fund

$50

3 Funds

$250

7 Funds $465

5 Funds $325

5 Funds

$475

3 Funds$300

$168 $174 $180

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NMSIC Real Assets Allocation Growth

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).

14

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 9.9% net return over the one-year period ending September 30, 2016.

• Infrastructure was again the strongest performer, contributing 4.9% to NMSIC’s one-year return.

• Other was the largest detractor to performance taking away -0.1% 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 9/30/16 exposure and its returns over the one-year period. Time weighted net returns and values are denoted as of 9/30/16; however, exposures change over the one-year period.

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Infrastructure ($383.3 M) /

10.6%

Timber ($217.2 M) /

0.3%

Agriculture ($90.2 M) /

11.4%

Other ($37.3 M) /

-2.2%

Energy ($257.4 M) /

16.7%

Total ($985.4 M) /

9.9%

Sector Contribution to One-Year Time Weighted Net Return as of 3Q16*

Down

Up

Total Return

NAV/One-Year net TWR

Appendix A: Additional 3Q16 Performance Measurement Report

Portfolio Status

• NMSIC’s real assets allocation target is 9% of total plan assets (based on market value). Current commitments represent 9.2% 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.

16

Real Assets Portfolio Allocation

As of 3Q16

Sub-Sector

Target

Allocation

Range

Committed

Allocation*

Committed

Value (millions)

Net Asset

Value

Number of

Commitments

Agriculture 0-15% 18.4% $325.0 $90.2 3

Commodities 0-10% 0.0% $0.0 $0.0 0

Energy 0-40% 33.9% $600.0 $257.4 9

Infrastructure 0-40% 29.1% $515.0 $383.3 6

Timberland* 0-40% 21.2% $375.0 $217.2 4

Other 0-15% 2.8% $49.8 $37.3 2

Total 105.4% $1,864.8 $985.4 24

Al locations as a % of the 9% real assets target.

*$80 mi l l ion in unfunded commitments from a Timber manager wi l l not be ca l led.

17

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 and more recently the infrastructure investments.

• 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.

21

.9%

18

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%

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NMSIC Real Asset Portfolio Performance

Inception to Date Net IRRs and Market Value

NMSIC Real Assets Net IRR (%) (left axis) Market Value ($) (right axis)

18

Real Assets Portfolio Cash Flows

Quarterly Cash Flow Activity

• During the quarter, NMSIC’s real asset managers called $66.8 million and distributed $22.2 million in income/gains (distributions) and return of capital distributions (withdrawals). The contributions were broadly based across infrastructure ($21.7 million), Timber ($5.3 million), Agriculture ($8.5 million), Energy ($28.6 million), and other ($2.7 million).

$875,000,000

$925,000,000

$975,000,000

$1,025,000,000

3Q16 NAV Components - Real Assets Portfolio

19

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 3Q16 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.

Agriculture

9.2%

Energy26.1%

Infrastructure38.9%

Timberland22.0%

Other3.8%

Diversification by Market Value*

Agriculture17.9%

Energy29.0%

Infrastructure29.6%

Timberland*20.9%

Other2.6%

Diversification by Exposure*

*NMSIC Sector Diversification - 3Q16 Market Value+Unfunded Commitments

as a % of Total Real Assets Market Value+Unfunded Commitments.

*NMSIC Sector Diversification - 3Q16 Market Value as a % of Total Real Assets

20

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 80.9% of the portfolio.

• Emerging Americas currently represents investments in Brazil, Chile, and Mexico representing approximately 11.9%, 2.1% and 1.1% of current Real Assets Portfolio Net Asset Value, respectively. Other Emerging Americas holdings are invested in Columbia and Peru accounting for less than 1% of the portfolio.

• 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.

Developed Americas

68.8%

Developed Europe6.5%

Developed Asia3.3%

Emerging Americas15.6%

Emerging Europe0.2%

Emerging Asia2.5%

Emerging Middle East and Africa

2.4%

Frontier0.0%

Other0.6%

Geographic Diversification by Market Value*

*NMSIC Global Geographic Diversification - 3Q16 Market Value as a % of Total Real Assets

Appendix B: 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.

22

New Mexico State Investment Council

Definitions (continued):

23


**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 countires

England New Zealand Mexico Poland South Korea

Finland Singapore Peru Russ ia Malays ia

France Puerto Rico Phi l ippines

Germany Taiwan

Greece Thai land

Ireland

Ita ly

Luxembourg

Netherlands

Northern Ireland

Norway

Portugal

Scotland

Spain

Sweden

Switzerland

United Kingdom

Wales

Geographic Diversification


• 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 3Q16. 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 729 privately owned institutional investment properties valued at $7.8 billion as of 3Q16. 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


• 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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Source: www.bls.gov/cpi

Appendix C: 3Q16 Real Assets Flash Report

1,770,012,957 9.0% 985,417,837 5.0% 828,841,782 4.2% -44,246,662 -0.2%

TGRS TNET TGRS TNET TGRS TNET TGRS TNET4.0 3.4 12.7 9.9 7.0 3.9 16.3 11.41.2 4.5 4.1 4.3

Funding Status ($)Investment

Vintage YearCommitment

AmountFundedAmount

UnfundedCommitments

CapitalReturned

MarketValue

MarketValue (%)

Market Value+ Unfunded

Commitments (%)

Infrastructure 2012 515,000,000 385,586,841 152,939,148 69,362,655 383,331,744 38.9 29.6

Timber 2014 375,000,000 214,772,607 161,985,928 6,158,743 217,156,728 22.0 20.9

Agriculture 2014 325,000,000 104,229,300 234,426,438 13,663,084 90,247,036 9.2 17.9

Energy 2011 600,000,000 303,861,153 269,586,807 70,020,988 257,415,217 26.1 29.0

Other 2013 49,800,000 58,286,603 9,903,461 19,891,403 37,267,112 3.8 2.6

Total Current PortfolioNew Mexico State Investment Council Other Real Assets 2011 1,864,800,000 1,066,736,504 828,841,782 179,096,873 985,417,837 100.0 100.0

New Mexico State Investment Council Other Real Assets

Third Quarter 2016Portfolio Composition ($)

Total Plan Assets Allocation Market Value Unfunded Commitments Remaining Allocation19,666,810,636

Other

CPI + 300 BPS

Infrastructure

Timber

Agriculture

Energy


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

InfrastructureInfrastructure 383,331,744 0.7 2.2 2.9 2.5 2.4 10.8 13.5 10.6 3.0 8.6 11.8 8.9 20.7 16.4 4Q12 10.7 1.2

TimberTimber 217,156,728 0.5 0.5 1.0 0.7 1.8 -2.0 -0.2 0.3 7.5 6.3 1Q14 5.1 1.0

AgricultureAgriculture 90,247,036 1.2 0.3 1.5 0.5 2.0 14.6 16.8 11.4 1.4 -12.9 4Q14 -0.4 1.0

EnergyEnergy 257,415,217 2.4 7.1 9.6 8.7 8.6 11.2 20.7 16.7 6.3 -4.4 1.8 -1.1 5.9 4.6 10.8 6.8 17.3 11.9 2Q11 4.8 1.1

OtherOther 37,267,112 1.6 -0.4 1.2 0.6 5.8 -8.2 -2.7 -2.2 14.4 -8.0 5.3 1.3 6.1 0.4 2Q13 -1.5 1.0

Total PortfolioNew Mexico State Investment Council Other Real Assets 985,417,837 1.2 2.8 4.0 3.4 4.0 8.5 12.7 9.9 4.5 2.4 7.0 3.9 4.9 11.0 16.3 11.4 22.7 16.3 2Q11 6.8 1.1

IndicesCPI + 300 BPS 1.2 4.5 4.1 4.3 4.5 2Q11NCREIF Timberland Property Index “NTI” 0.7 0.0 0.7 2.5 0.8 3.4 2.7 4.8 7.6 2.7 4.1 6.9 6.3 2Q11NCREIF Fund Index –Timberland Fund Index “NFI-TFI Commingled Value Weight” 0.2 0.0 -0.3 -2.0 5.5 4.3 5.2 4.1 4.7 3.7 2Q11NCREIF Farmland Property Index “NFI” 1.6 -0.2 1.4 5.3 3.1 8.6 6.9 5.1 12.2 7.3 7.4 15.1 14.3 2Q11CPI 0.5 1.5 1.0 1.2 1.4 2Q11

NetIRR

EquityMultiple


Third Quarter 2016

Returns (%)Market Value

($)Quarter 1 Year 3 Year 5 Year Inception TWR

CalculationInception

Advisory Disclosures and Definitions

Disclosure Proprietary 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.

the new mexico state investment council (“nmsic”) · 2017-05-24 · agricultural – market...

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