cfi real return bond fund, ltd
TRANSCRIPT
CFI Real Return Bond Fund, Ltd
Nevada System of Higher Education 1(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 1 of 37
Source: Bloomberg, Bureau of Labor Statistics
Target Fed Funds Rate and CPIAs of April 30, 2011
FOMC Policy Range0.00 - 0.25%0%
2%
4%
6%
8%
10%
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Per
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)
CPI (Core)
Fed Funds Rate
Nevada System of Higher Education 2(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 2 of 37
U.S. Treasury Yield CurveAs of April 30, 2011
Source: Bloomberg
12/31/2010
4/29/2011
0.0
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30
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-0.08-0.09-0.08
0.01 0.00
-0.04-0.03
-0.01
0.06
Cha
nge
in Y
ield
(%)
Nevada System of Higher Education 3(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 3 of 37
2-Year vs. 10-Year U.S. Treasury YieldAs of April 30, 2011
Source: Bloomberg
0.60
3.29
0
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2.69
-1
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2/10 Year Treasury
Nevada System of Higher Education 4(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 4 of 37
10-Year Treasury Yields: Nominals vs. RealsAs of April 30, 2011
Source: Bloomberg
0.71
3.29
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10-year OTR TIIS
10-year OTR Treasury
2.58
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Dec
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Breakeven Inflation
Nevada System of Higher Education 5(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 5 of 37
CFI Real Return Bond Fund, Ltd | Objective and Strategy As of March 31, 2011
Objective To invest primarily in investment grade inflation-indexed securities, including U.S. Treasury inflation-indexed securities and non-U.S. dollar denominated inflation-indexed securities.
Benchmark Barclays U.S. Inflation-Linked Index
Inception August 2004
Assets Managed $153 Million
Investment Vehicle Cayman Islands Exempted Company
Eligible Investors Pre-qualified Not-for-Profit Institutions
Minimum Investment
$1,000,000 initial; $100,000 subsequent
Offering Monthly, 5 business days notice
Redemptions Monthly, 5 business days notice
Valuations Daily Net Asset Value (NAV)
Value-Add Focus
Duration
Term Structure
Security Selection
Nevada System of Higher Education 6(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 6 of 37
CFI Real Return Bond Fund, Ltd | Portfolio Construction As of March 31, 2011
Portfolio Construction
Western Asset Management Company (WAMCO)
Value-oriented
Emphasis on adding value through duration, term structure and security selection
Nevada System of Higher Education 7(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 7 of 37
* Net returns are total returns net of all fees and expenses either charged to the Fund or paid directly by Commonfund Investors. For more information on fees and expenses, see Confidential Offering Memorandum. Returns for periods of one year or greater are annualized.
CFI Real Return Bond Fund, Ltd | Performance As of March 31, 2011
Net Performance* | March 31, 2011 Fiscal Year ended June 30
Quarter CYTD FYTD 2010 2009 2008 2007 2006
CFI Real Return Bond Fund, Ltd 2.00% 2.00% 3.10% 8.99% 0.04% 14.73% 4.14% -1.36%
Barclays U.S. Inflation Linked Index 2.06% 2.06% 3.93% 9.53% -1.19% 15.14% 3.95% -1.61%
Calendar Year ended December 31
2010 2009 2008 2007 2006
CFI Real Return Bond Fund, Ltd 5.36% 10.19% -0.55% 10.79% 1.34%
Barclays U.S. Inflation Linked Index 6.33% 10.48% -1.71% 11.78% 0.50%
6.96%
3.78%
6.21%
7.95%
3.89%
6.22%
1 Year 3 Years 5 Years
Net Performance* CFI Real Return Bond Fund, LtdBarclays U.S. Inflation Linked Index 5 Year Risk Characteristics
CFI Real Return Bond Fund, Ltd
Barclays U.S. Inflation Linked Index
Standard Deviation 4.92% 4.79%
Sharpe Ratio 1.39 1.63
R20.98 1.00
Beta 1.02 1.00
Up Capture 96% 100%
Down Capture 115% 100%
Nevada System of Higher Education 8(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 8 of 37
1. May not add to 100 percent due to rounding.
CFI Real Return Bond Fund, Ltd | Attribution As of March 31, 2011
98%
2%
100%Government
Foreigns
Cash Equivalents
Sector Allocations1
CFI Real Return Bond Fund, Ltd
Barclays U.S. Inflation Linked Index
Portfolio CharacteristicsCFI Real Return Bond
Fund, LtdBarclays U.S. Inflation
Linked Index
Effective Duration (yrs) 7.8 7.7
Average Quality Govt Govt
Weighted Average Life (yrs) 9.5 9.2
Yield to Maturity 2.9% 2.8%
Average Coupon 2.0% 2.0%
98%
2%
100%
Government
AAA
Credit Quality1
CFI Real Return Bond Fund, Ltd
Barclays U.S. Inflation Linked Index
Nevada System of Higher Education 9(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 9 of 37
Commonfund Investment Staff | Fixed Income and CommoditiesCommonfund Asset Management Company
Alec C. Rapaport, Managing Director, Head of Fixed Income and Commodities, oversees all aspects of the fixed income, distressed debt and commodities investment programs including investment strategy, portfolio management, due diligence and manager selection. Prior to joining Commonfund in 2000, Alec was Director of Fixed Income and Currency Research at Evaluation Associates, an investment consulting firm. At Evaluation Associates, he was responsible for the oversight of domestic and global fixed income, emerging markets debts and currency asset classes. Alec conducted asset allocation studies, manager due diligence and manager searches for Evaluation Associates’ clients. He received his A.B. in Economics from Vassar College and his M.B.A. in Finance with a concentration in International Studies from New York University’s Stern School of Business.
David S. Hertan, CFA, Managing Director, joined Commonfund in 2006. David has over 20 years of investment management and capital markets experience. Prior to joining Commonfund, David held leadership positions in fixed income portfolio management at Standish Mellon Asset Management, The Boston Company Asset Management, and State Street Global Advisors. Earlier in his career, David served in key capacities in the Treasurer’s Office at Ford Motor Company and at Sallie Mae. He received his B.A. in Economics from Duke University and his M.B.A in Finance and Accounting from Columbia University Graduate School of Business. David is a CFA charterholder and is a member of the Boston Security Analysts Society and the CFA Institute.
Claudio Phillips, Managing Director, joined Commonfund in 2006. He brings a depth of experience in the credit markets most recently from The Seaport Group where he was responsible for running the performing and non-performing bank loan trading group. Prior to joining Commonfund, Claudio was a Managing Director at Citigroup/Salomon Smith Barney where he was in charge of all non-European Global Performing Loan (including emerging markets) trading. He was also with Nationsbank and Midland Plc where he focused on emerging markets and was responsible for establishing and building out proprietary loan trading teams in each of those organizations. He also served as an Assistant Executive Director at Habitat for Humanity for 2 years. He received his A.B from Harvard University.
Tyler Stevens, Managing Director, joined Commonfund in 2005. He shares responsibility for fund structure, portfolio research and analysis, manager identification, due diligence and investment monitoring with a focus on commodities. Prior to joining Commonfund, Tyler worked for Arlington Hill Investment Management, a Fixed Income Arbitrage Fund. He has 15 years of trading experience in commodities, foreign exchange and fixed income derivatives for Louis Dreyfus and JP Morgan Chase and he was also involved with the building of two internet startups in New York and London during the internet boom. Tyler has also spent time as a Math teacher at The Forman School in Connecticut. He received his B.A. in Economics and Sociology from Northwestern University and received his M.B.A. in Finance and Organizational Behavior from the Kellogg Graduate School of Management.
Ivo C. Nenin, CFA, Associate Director, serves as a commodity analyst supporting the CFI Multi-Strategy Commodities Fund. Prior to joining the Fixed Income and Commodities Team, Ivo worked in the Fund Accounting Analytics Department of Commonfund for two and a half years, focusing on valuation and reporting for the Commodities and Domestic and International Equity Funds. He also worked at AIG in their Domestic Brokerage Treasury Department before coming to Commonfund. Ivo received his B.S in Finance and Accounting from the University of Bridgeport and is a CFA charterholder.
Nevada System of Higher Education 10(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 10 of 37
Commonfund Investment Staff | Fixed Income and CommoditiesCommonfund Asset Management Company
Olga Chiriac, Senior Analyst, joined Commonfund in 2005 and serves as a generalist, supporting all areas of the Fixed Income and Commodities Team. Prior to joining Commonfund, Olga was with Telekurs Financial USA from 1998 through 2005 most recently as an Assistant Manager for Corporate Fixed Income. While at Telekurs she was responsible for the oversight of corporate bond market coverage, corporate actions and pricing support. Olga received her B.S. and her M.B.A. from the University of Bridgeport.
Vincent Kravec, Senior Analyst, joined Commonfund in 2006 and serves as a generalist, supporting all areas of the Fixed Income and Commodities Team. Prior to joining Commonfund, Vincent was with Lazard Asset Management from 1999 through 2006 most recently as a member of the Fixed Income operations staff. While at Lazard he was responsible for allocating trades and resolving trade problems for corporates, treasuries, municipals, asset backs and FX trading desks. He was also a supervisor in Fixed Income Accounting and a trading assistant on the Emerging Markets team. Previous experience includes positions at Morgan Stanley, Alliance Capital and Evaluation Associates. Vincent received his B.A. from Fairfield University and his M.B.A. from NYU.
Shashank Shringi, CFA, Senior Analyst joined Commonfund in 2007 and serves as a generalist, supporting all areas of the Fixed Income and Commodities Team. Prior to joining Commonfund, Shashank worked as Manager, Financial Analysis at RVI Group. While at RVI he was responsible for review of the investment portfolio, CDO surveillance and financial modeling such as pricing, real estate valuation and capital charge across line of business. He was also with BlackRock Financial Management as an Analyst in the Portfolio Analytics Group. In that capacity he worked as a portfolio analyst to perform quantitative analysis on fixed income securities and portfolios. He also worked on the index team at BlackRock modeling, rebalancing and researching various customized fixed income indices. He received his B.E. from University of Pune, India and received his M.S. in Management Information Systems and M.B.A. in Finance from the University of Illinois at Chicago.
Howard Wen, Analyst, supports all areas of quantitative analysis as a part of the rotational program in Marketable Investments group at Commonfund. Prior to joining the firm in July 2008, Howard was an intern in the interest rate derivatives group at Calyon - Credit Agricole, in New York and was a business information services summer analyst at Morgan Stanley in New York. He received his B.S. degree from New York University’s Stern School of Business with a double major in Finance and Information Systems.
Nevada System of Higher Education 11(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 11 of 37
Important Notes | For Eligible Investors Only
The Common Fund for Nonprofit Organizations (“Commonfund”) was established in 1971 and manages investment funds primarily for nonprofit institutions and other qualified investors.
The following Commonfund affiliate organizations are registered with the Securities and Exchange Commission as investment advisers: Commonfund Asset Management Company, Inc. (“Comanco”), CommonfundCapital, Inc. (“CCI”), and Commonfund Realty, Inc. (“CRI”)
Additional information regarding Commonfundand its affiliates’ policies and procedures for calculating and reporting performance is available upon request.
Comanco and CRI claim compliance with the Global Investment Performance Standards (GIPS®). To obtain a presentation that complies with GIPS requirements and/or a list and description of Commonfund’s composites, please contact Commonfund at 888-823-6246 or 203-563-5000.
This document is intended only for qualified, pre-existing investors in CCI, CRI, and Comancoprograms, Members of The Common Fund For Nonprofit Organizations (“Commonfund”), or other eligible institutional investors approved by Commonfund Securities, Inc. It is not intended to constitute an offer to sell, nor the solicitation of an offer to buy, securities. Any such offerings will be made only by means of information
memoranda and related subscription documents that will be made available by Commonfund Securities, Inc. (a broker-dealer affiliate of CCI, CRI and Comanco) only at the time an offering is in progress and only to investors qualified and eligible to invest.
Past performance is not indicative of future results. All investments have the potential for profit and the possibility of loss. Similarly, our access to particular managers may vary in the future and cannot be guaranteed.
Returns on funds are presented net of all fees. Performance includes reinvestment of dividends. Internal Rates of Return should be evaluated in light of information on the investment program of the partnership, the risks associated therewith, and performance of the partnership as disclosed in the Information Memorandum for the partnership, the Annual Reports of Commonfund Capital, Inc. and the partnership and the Quarterly Reports of the partnership. Commonfund Capital, Inc. presents return information for its partnerships on a dollar-weighted (e.g., internal rate of return) rather than the time-weighted (e.g., annual or other period rate of return) basis, which is used principally to report performance of publicly-traded securities. The internal rate of return since inception is the most commonly used calculation methodology used for presentation of performance in the private capital business.
Comparison of returns calculated on an IRR basis with returns on a time-weighted basis is not
appropriate. For a description of the two return calculation methods see “Measuring Investment Returns, Time vs. Dollar-Weighted – What’s the Difference?”, a copy is available from Commonfund Capital.
Gross performance results do not reflect the deduction of investment advisory fees and other fees as disclosed in Form ADV on file with the SEC.
The information provided in this presentation is confidential, and is presented solely for the use of the recipient. Commonfund requests that the recipient not copy or make any further use of this material without its prior written consent.
Important Information About Procedures for Opening a New Account:
To help the government fight the funding of terrorism and money laundering activities, Federal law requires all financial institutions to obtain, verify, and record information that identifies each customer who opens an account. What this means for you: When you open an account, we may ask for documents or information related to: your principal place of business, local office or other physical location; taxpayer identification number; and other documents demonstrating your lawful existence such as certified articles of incorporation, a government-issued business license, a partnership agreement, or a trust instrument, and other identifying documents.
Securities offered through Commonfund Securities, Inc., a member of the FINRA
Nevada System of Higher Education 12(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 12 of 37
Important Notes | Market Commentary
Information, opinions, or commentary concerning the financial markets, economic conditions, or other topical subject matter are prepared, written, or created prior to printing and do not reflect current, up-to-date, market or economic conditions. Commonfund disclaims any responsibility to update such information, opinions, or commentary.
To the extent views presented forecast market activity, they may be based on many factors in addition to those explicitly stated in this material. Forecasts of experts inevitably differ. Views attributed to third parties are presented to demonstrate the existence of points of view, not as a basis for recommendations or as investment advice. Managers who may or may not subscribe to the views expressed in this material make investment decisions for funds maintained by Commonfund or its affiliates. The views presented in this material may not be relied upon as an indication of trading intent on behalf of any Commonfund fund, or of any Commonfund managers.
Market and investment views of third parties presented in this material do not necessarily reflect the views of Commonfund and Commonfund disclaims any responsibility to present its views on the subjects covered in statements by third parties.
Nevada System of Higher Education 13(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 13 of 37
International Equity Fund
Nevada System of Higher Education 1(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 14 of 37
1. Includes crossfund exposure. Direct fund investment is $535 million.Cash averages 0-5 percent in the portfolio but may significantly exceed 5 percent for temporary periods when there are large purchases or redemptions of the fund's securities.The International Equity Fund was previously organized in two currency hedging alternatives – More Hedged and Less Hedged. The More Hedged version was launched on July 1, 1983 and terminated July 1, 1999. The Less Hedged version was launched November 1, 1993 and is the predecessor fund to the existing International Equity Fund.
International Equity Fund | Objective and StrategyMarch 31, 2011
Objective Outperform its benchmark, the Morgan Stanley Capital International (MSCI) World ex-U.S. Net Index, over a full market cycle while reducing risk through diversification of manager allocations
Benchmark MSCI World ex-U.S. Net Index
Inception November 1993
Assets Managed $654 Million1
Investment Vehicle Commingled Fund
Eligible Investors Educational Institutions
Minimum Investment
$50,000
10-40%
5-30%10-40%
10-40%
0-5%
Strategy Ranges
GLG, Inc.
Japan Advisory
JP Morgan
Odey
Symphony
34%
10%33%
20%
3%
Actual Weights
GLG, Inc.
Japan Advisory
JP Morgan
Odey
Symphony
Nevada System of Higher Education 2(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 15 of 37
International Equity Fund | Portfolio Construction As of March 31, 2011
Portfolio Construction
GLG, Inc.J.H. Whitney Investment
ManagementJP Morgan Asset
ManagementOdey Asset
ManagementSymphony Financial
Partners
GLG employs multiple sources of alpha, including bottom up fundamental company research, macro research and quantitative research to dynamically build portfolios ranging from 50 -150 securities.
Japan Advisory, as sub-advisor to J.H. Whitney Investment Management, directs portfolio strategy. Japan Advisory is an opportunistic manager using bottom-up fundamental research and top down macro views combined with an evaluation of market fund flows to invest in Japanese equities.
Using a fundamental global research framework, the team seeks to identify stocks based on valuation, a catalyst and an appropriate time line to achieve their upside potential to build a 70-100 stock portfolio.
A specialist European manager combining elements of top down research with solid bottom up fundamental research to build an opportunistic portfolio of 75-100 European securities.
Symphony seeks to acquire significant minority positions in Japanese companies deemed undervalued through its research and where appropriate work in a co-operative manner with management to accelerate value recognition in the market.
Nevada System of Higher Education 3(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 16 of 37
* Net returns are total returns net of all fees and expenses either charged to the fund or paid directly by Commonfund members. For more information on fees and expenses, see Information for Members. Returns for periods of one year or greater are annualized. Past performance is no guarantee of future results.
International Equity Fund | PerformanceMarch 31, 2011
12.78%
-2.42%
1.08%
11.60%
-2.23%
1.99%
10.42%
-3.01%
1.30%
1 Year 3 Year 5 Year
Net Performance*
International Equity FundMSCI World ex-U.S. Net IndexMSCI EAFE Index
5 Year Risk Characteristics International Equity FundMSCI World ex-U.S. Net
IndexStandard Deviation 20.43% 21.52%Sharpe Ratio -0.05 -0.01R2 98.29 100.00Beta 0.94 1.00Up Capture 93% 100%Down Capture 98% 100%
Net Performance* | March 31, 2011 Fiscal Year ended June 30Quarter CYTD FYTD 2010 2009 2008 2007 2006
International Equity Fund 2.19% 2.19% 27.88% 6.46% -30.35% -10.31% 25.38% 24.28%MSCI World ex-U.S. Net Index 3.82% 3.82% 29.22% 7.03% -31.62% -8.81% 27.09% 26.89%
MSCI EAFE Index 3.36% 3.36% 28.36% 5.92% -31.35% -10.61% 27.00% 26.56%
Calendar Year ended December 312010 2009 2008 2007 2006
International Equity Fund 12.91% 26.89% -43.41% 13.31% 22.29%MSCI World ex-U.S. Net Index 8.95% 33.67% -43.56% 12.44% 25.71%
MSCI EAFE Index 7.75% 31.78% -43.38% 11.17% 26.34%
Nevada System of Higher Education 4(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 17 of 37
International Equity Fund | Attribution March 31, 2011
Source: Factset 1. May not add to 100 percent due to rounding.2. Excludes cash. Cash generally averages 0-10 percent in the portfolio but may significantly exceed 10 percent for temporary periods when there are large purchases or
redemptions of the fund's securities
17%
6%
8%
24%
4%
16%
6%
11%
4%
2%
9%
9%
11%
25%
7%
12%
5%
12%
5%
4%
Consumer Discretionary
Consumer Staples
Energy
Financials
Healthcare
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Sector Weighting1,2
International Equity Fund
MSCI World ex-U.S. Net Index
Portfolio Characteristics2 International Equity FundMSCI World ex-U.S. Net
IndexWeighted Avg Mkt Cap ($mm) $43,803 $51,546Japan Weight 20.5% 18.1%Emerging Markets Exposure 6.0% 0.7%P/E Using FY1 Est 11.5x 11.9xP/B Ratio 1.4x 1.1xDividend Yield 2.1% 3.1%Est 3-5 Yr EPS Growth 10.9% 9.9%
Capitalization1,2 International Equity FundMSCI World ex-U.S. Net
Index>$100bn 9% 14%$50-$100bn 25% 26%$10-$50bn 43% 41%$2-$10bn 17% 19%<$2bn 7% 0%
Top 10 Holdings %Company Country WeightRio Tinto PLC UNITED KINGDOM 2.6Compagnie Financiere Richemont S.A. SWITZERLAND 1.8BG Group PLC UNITED KINGDOM 1.7KDDI Corp. JAPAN 1.7ING Groep N.V. NETHERLANDS 1.7Allianz SE GERMANY 1.5Weir Group PLC UNITED KINGDOM 1.4Swatch Group AG SWITZERLAND 1.3Novo Nordisk A/S DENMARK 1.3Vodafone Group PLC UNITED KINGDOM 1.3Total 16.3
Nevada System of Higher Education 5(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 18 of 37
International Equity Fund | Country Weighting2
As of March 31, 2011
Source: FactSet1. Cash/Other includes cash and private equity investments. Cash generally averages 0-10 percent in the portfolio but may significantly exceed 10 percent for temporary periods
when there are large purchases or redemptions of the fund's securities2. May not add to 100 percent due to rounding.
39%
23%
7%
21%
8%
3%
International Equity Fund
Europe (ex-U.K.)
U.K.
Asia/Pacific Basin (ex-Japan)
Japan
Americas/Other
Cash
39%
19%
12%
18%
12%
MSCI World ex-U.S. Net Index
Europe (ex-U.K.)
U.K.
Asia/Pacific Basin (ex-Japan)
Japan
Americas/Other
Country Weightings International Equity FundMSCI World ex-U.S. Net
IndexAustria 0.2% 0.3%Belgium 1.3% 0.8%Denmark 1.2% 1.0%Finland 0.9% 1.0%France 9.9% 8.7%Germany 8.6% 7.6%Greece 0.0% 0.2%Ireland 0.0% 0.2%Italy 3.3% 2.5%Netherlands 4.3% 2.5%Norway 1.2% 0.8%Portugal 0.2% 0.2%Spain 1.8% 3.2%Sweden 1.1% 2.8%Switzerland 4.6% 7.0%United Kingdom 23.3% 18.9% Total Europe 62.1% 57.8%Australia 0.9% 7.8%China/Hong Kong 4.9% 2.6%India 0.3% 0.0%Japan 20.5% 18.1%New Zealand 0.0% 0.1%Singapore 0.1% 1.4%South Korea 0.3% 0.0%Taiwan 0.3% 0.0%Total Asia/Pacific Basin 27.3% 29.9%Brazil 0.5% 0.0%Canada 3.8% 11.0%Other 3.7% 1.2%Total Americas/Other 8.0% 12.2%
Cash1 2.6% 0.0%Total Fund 100% 100%
Nevada System of Higher Education 6(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 19 of 37
International Equity | Developed x-US Large Cap Equity Universe | Quartile Ranking Period Ending March 31, 2011
Universe Source: (c) Russell/Mellon Analytical ServicesAs of the March 2010 quarter, Russell has reclassified its non-US universes. The Developed x-US Large Cap Equity Universe includes portfolios utilizing developed market only benchmarks (EAFE or MSCI World ex-US) with limited (less than 5%) exposure to emerging markets, consistent with the International Equity Fund. Past performance does not assure future results.
Maximum
25th Percentile
75th Percentile
Minimum
-10%
-5%
0%
5%
10%
15%
20%
-10%
-5%
0%
5%
10%
15%
20%
Quarter 1 Year 3 Years 5 Years 10 Years
Per
cent
Ret
urn
(%)
Maximum
25th Percentile
Median
75th Percentile
Minimum
International Equity (Gross)
MSCI World Ex-US Index
Performance and Percentile Ranking Quarter Percentile 1 Year Percentile 3 Years Percentile 5 Years Percentile 10 Years Percentile# of Portfolios in Universe 40 40 39 29 15� � � � International Equity (Gross) 2.5% 88 14.4% 27 -1.0% 28 2.3% 30 6.6% 57� MSCI World Ex-US Index 3.8% 49 11.6% 69 -2.2% 45 2.0% 47 6.0% 75
International Equity Fund (Net) 2.2% 12.8% -2.4% 1.1% 5.6%
Universe Performance Quarter 1 Year 3 Years 5 Years 10 Years Maximum 6.8% 17.3% 1.3% 6.0% 8.9%
25th Percentile 4.6% 14.4% -0.8% 2.6% 8.2%Median 3.7% 12.9% -2.6% 1.6% 6.7%
75th Percentile 3.1% 11.2% -4.0% 0.6% 5.9%Minimum 0.9% 4.8% -7.2% -2.1% 4.7%
Nevada System of Higher Education 7(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 20 of 37
Commonfund Asset Management Company | Equities Investment StaffJeffrey T. Long, CFA, Managing Director and Head of Equities, joined Commonfund in 2004 and oversees all aspects of the marketable equity investment programs, including investment strategy, portfolio management, due diligence and manager selection. Prior to joining Commonfund, Jeff was Managing Director, Associate Director of Equity Research for Citigroup Asset Management since 2002. He managed equity research analysts covering more than 600 companies globally through quantitative systematic, traditional growth and value, and research analyst driven strategies. Before joining Citigroup in 1998 as a Senior Equity Analyst, Jeff was Vice President, Senior Equity Analyst for J. P. Morgan Securities, Inc. in New York. Earlier, he was Vice President, Head of Financial Advisory for J. P. Morgan Australia, Ltd. in Melbourne, Australia and also held positions with Morgan Guaranty Trust Company in Seoul, Korea and New York. He is a CFA charterholder, holds a B.S., Applied Mathematics and Economics from Brown University and is a member of the CFA Institute.
Mark A. Bennett, CFA, Managing Director, joined Commonfund in 1998 and specializes in evaluating and monitoring managers. Prior to joining Commonfund, Mark was an Investment Consultant for defined benefit services at CIGNA Retirement and Investment Services. From 1993 to 1996, he was an asset allocation analyst and consultant for CIGNA-Connecticut General Pension Services, Inc. Previously, from 1989 to 1993, Mark was a benefit technician for CIGNA Retirement and Investment Services. He received a B.S. from Bryant College and his M.B.A. from the University of Hartford. Mark is a CFA charterholder and is a member of the Hartford Society of Financial Analysts and the CFA Institute.
Michele Ward, CFA, Managing Director, joined Commonfund in 2005 and is responsible for the Core Equity, All Cap Equity and Equity Opportunities portfolios, as well as assisting the Equities team manage the Multi Strategy funds. Prior to joining Commonfund, Michele was Managing Director and Portfolio Manager at Barrett Associates in New York, where she also served as Director of Research. Previously, Michele was CIO and Portfolio Manager for Retirement Systems Investors in Fairfield, CT, responsible for the firm’s internally managed growth portfolios as well as selecting and overseeing its external equities managers. In addition, she spent nine years at Columbus Circle Investors, initially as a securities analyst and most recently as mid-cap portfolio manager. Earlier in her career, Michele was a consultant at Greenwich Associates, working with money center and regional banks on their wholesale banking strategies. Michele received her B.A in political science from Yale and her Masters in Public and Private Management from Yale’s School of Management. She is a CFA charterholder and a member of the New York Society of Securities Analysts and the CFA Institute.
Jeffrey P. Boris, Director, joined Commonfund in 2001 and shares responsibility for fund structure, portfolio research and analysis, manager identification, due diligence and investment monitoring. Jeff is also responsible for Commonfund’s direct equity management trade execution. Prior to joining Commonfund, Jeff was a Vice President of Institutional Equity Sales & Trading for EVEREN Securities, which is now Wachovia Securities. Starting in San Francisco in 1995 and then in Boston from 1996 until 2000, Jeff was responsible for managing investment relationships with large asset management firms. He also worked as an equity research analyst at State Street Research and Management in Boston. Jeff received his undergraduate degree from Boston College and his M.B.A from the Kellogg Graduate School of Management at Northwestern University.
Betsy Wilson, CFA, Director, joined Commonfund in 2005 and serves as a generalist, supporting all areas of the Equities Team. Prior to joining Commonfund, she was an analyst for a consumer-based long/short equity hedge fund. While in Dallas, she was an Assistant Vice President and analyst with Westwood Management, a large cap value fund with over $4 billion in assets under management. At Westwood, she was responsible for industry/company analysis and issuing stock recommendations across multi-cap products. Betsy is a CFA charterholder and is a member of the Stamford CFA Society and the CFA Institute. She received her undergraduate degree and M.B.A. from Southern Methodist University in Dallas, Texas.
Nevada System of Higher Education 8(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 21 of 37
Commonfund Asset Management Company | Equities Investment Staff Suzanne Connor, Associate Director, joined Commonfund in 2006 and serves as a generalist, supporting all areas of the Equities Team. Prior to joining Commonfund, Suzanne was with Putnam Investments working as a Product Manager focused on non-U.S. quantitative strategies. Suzanne received her B.S. from the University of Southern California with a focus in Business Administration.
Christopher Dziubasik, Senior Analyst, joined Commonfund in 2007 and serves as a generalist, supporting all areas of the Equities Team. Chris has six years experience in manager research and portfolio analytics, most recently at 3D Asset Management in Hartford. Prior to this he spent time at Advest and CRA RogersCasey in similar roles. Earlier he spent 8 years in the Air Force. He received his B.S. in Finance from Central Connecticut State University and is currently working on his M.B.A. from the University of Hartford.
Vineet Naik, Analyst, joined Commonfund in 2009 and supports all areas of quantitative analysis as a part of the rotational program in Marketable Investments group at Commonfund. Vineet’s responsibilities include assisting teams with analysis of risk, returns and fulfilling reporting requirements. Prior to joining Commonfund, he was an analyst in the Citi Capital Markets program. Vineet received a B.S. degree from Boston College’s Carroll School of Management with a major in Finance and a minor in Mathematics.
Nevada System of Higher Education 9(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 22 of 37
Important Notes | For Eligible Investors Only
The Common Fund for Nonprofit Organizations (“Commonfund”) was established in 1971 and manages investment funds primarily for nonprofit institutions and other qualified investors.
The following Commonfund affiliate organizations are registered with the Securities and Exchange Commission as investment advisers: Commonfund Asset Management Company, Inc. (“Comanco”), CommonfundCapital, Inc. (“CCI”), and Commonfund Realty, Inc. (“CRI”)
Additional information regarding Commonfundand its affiliates’ policies and procedures for calculating and reporting performance is available upon request.
Comanco and CRI claim compliance with the Global Investment Performance Standards (GIPS®). To obtain a presentation that complies with GIPS requirements and/or a list and description of Commonfund’s composites, please contact Commonfund at 888-823-6246 or 203-563-5000.
This document is intended only for qualified, pre-existing investors in CCI, CRI, and Comancoprograms, Members of The Common Fund For Nonprofit Organizations (“Commonfund”), or other eligible institutional investors approved by Commonfund Securities, Inc. It is not intended to constitute an offer to sell, nor the solicitation of an offer to buy, securities. Any such offerings will be made only by means of information
memoranda and related subscription documents that will be made available by Commonfund Securities, Inc. (a broker-dealer affiliate of CCI, CRI and Comanco) only at the time an offering is in progress and only to investors qualified and eligible to invest.
Past performance is not indicative of future results. All investments have the potential for profit and the possibility of loss. Similarly, our access to particular managers may vary in the future and cannot be guaranteed.
Returns on funds are presented net of all fees. Performance includes reinvestment of dividends. Internal Rates of Return should be evaluated in light of information on the investment program of the partnership, the risks associated therewith, and performance of the partnership as disclosed in the Information Memorandum for the partnership, the Annual Reports of Commonfund Capital, Inc. and the partnership and the Quarterly Reports of the partnership. Commonfund Capital, Inc. presents return information for its partnerships on a dollar-weighted (e.g., internal rate of return) rather than the time-weighted (e.g., annual or other period rate of return) basis, which is used principally to report performance of publicly-traded securities. The internal rate of return since inception is the most commonly used calculation methodology used for presentation of performance in the private capital business.
Comparison of returns calculated on an IRR basis with returns on a time-weighted basis is not
appropriate. For a description of the two return calculation methods see “Measuring Investment Returns, Time vs. Dollar-Weighted – What’s the Difference?”, a copy is available from Commonfund Capital.
Gross performance results do not reflect the deduction of investment advisory fees and other fees as disclosed in Form ADV on file with the SEC.
The information provided in this presentation is confidential, and is presented solely for the use of the recipient. Commonfund requests that the recipient not copy or make any further use of this material without its prior written consent.
Important Information About Procedures for Opening a New Account:
To help the government fight the funding of terrorism and money laundering activities, Federal law requires all financial institutions to obtain, verify, and record information that identifies each customer who opens an account. What this means for you: When you open an account, we may ask for documents or information related to: your principal place of business, local office or other physical location; taxpayer identification number; and other documents demonstrating your lawful existence such as certified articles of incorporation, a government-issued business license, a partnership agreement, or a trust instrument, and other identifying documents.
Securities offered through Commonfund Securities, Inc., a member of the FINRA
Nevada System of Higher Education 10(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 23 of 37
Important Notes | Market Commentary
Information, opinions, or commentary concerning the financial markets, economic conditions, or other topical subject matter are prepared, written, or created prior to printing and do not reflect current, up-to-date, market or economic conditions. Commonfund disclaims any responsibility to update such information, opinions, or commentary.
To the extent views presented forecast market activity, they may be based on many factors in addition to those explicitly stated in this material. Forecasts of experts inevitably differ. Views attributed to third parties are presented to demonstrate the existence of points of view, not as a basis for recommendations or as investment advice. Managers who may or may not subscribe to the views expressed in this material make investment decisions for funds maintained by Commonfund or its affiliates. The views presented in this material may not be relied upon as an indication of trading intent on behalf of any Commonfund fund, or of any Commonfund managers.
Market and investment views of third parties presented in this material do not necessarily reflect the views of Commonfund and Commonfund disclaims any responsibility to present its views on the subjects covered in statements by third parties.
Nevada System of Higher Education 11(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 24 of 37
Account TitleMarketable Securities
Equity Fixed IncomeNon-Marketable SecuritiesPrivate Real EstateCash Equivalents
Endowment Fund-01 $35,623,924.08 $14,564,796.40NSHE Operating-04 $162,509,894.76Operating Fund-03 $57,030,879.62 $63,616,437.17
$92,654,803.70 $63,616,437.17 $162,509,894.76 $14,564,796.40Total Nevada System of Higher Education27.80% 19.08% 48.75% 4.37%% Allocation*
Nevada System of Higher Education Total Market Value
Marketable InvestmentsPrivate ProgramsReal Estate
Market Value Value Date*$318,781,135.63$14,564,796.40
$0.00
04/29/1103/31/11
Market Value % Allocation$50,188,720.48
$283,157,211.5515.06%84.94%
Endowment/Plan PoolOperating Pool
$333,345,932.03
Institution SummaryAs of 04/30/11
* Investments in Programs of Commonfund Capital and Commonfund Realty are carried as of the most recent valuation date which may not correspond to the marketable securities valuation dates.
Nevada System of Higher Education1
(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 25 of 37
Institution SummaryAs of 04/30/11
Explanatory Notes:· Past performance is no assurance of future results. · For questions, inquiries, concerns or to report any discrepancies or inaccuracies with your report, please call the Account Services team at 888-TCF-
FUND.
* Investments in Programs of Commonfund Capital and Commonfund Realty are carried as of the most recent valuation date which may not correspond to the marketable securities valuation dates.
Nevada System of Higher Education2
(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 26 of 37
(a) JP Morgan Prime MM Fund(b) State Street Inst US Govt MM Fund - TA(c) International Equity Fund(d) CFI Real Return Bond Fund(e) Emerging Markets Fund(f) Int'l Private Equity Partners IV(g) Private Equity Partners V(h) Energy Partners IV(i) Private Equity Partners IV(j) Venture Partners V(k) Other
$81,259,267 24.37%$81,250,628 24.37%$79,531,678 23.86%$63,616,437 19.08%$13,123,125 3.94%$3,728,890 1.12%$3,451,249 1.04%$2,535,763 0.76%$2,429,260 0.73%$1,232,777 0.37%$1,186,858 0.36%
Market ValuePercentOf Total**
Investment Portfolio by Commonfund FundFor All AccountsAs of 04/30/11 Total Portfolio Value: $333,345,932
* Investments in Programs of Commonfund Capital and Commonfund Realty are carried as of the most recent valuation date which may not correspond to this date.** Due to rounding, percentages may not total to 100%.For the Short Term and Evergreen Funds, reported values include transactions pending at current month end.
Nevada System of Higher Education3
(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 27 of 37
Market Value Of Total**Percent
(a) Fixed Income $226,126,332 67.84%(b) International Equity $79,531,678 23.86%(c) Emerging Markets $13,110,002 3.93%(d) Domestic Private Equity $5,880,509 1.76%(e) Private Capital $4,955,397 1.49%(f) International Private Equity $3,742,013 1.12%
Investment Portfolio by Asset ClassFor All AccountsAs of 04/30/11 Total Portfolio Value: $333,345,932
* Investments in Programs of Commonfund Capital and Commonfund Realty are carried as of the most recent valuation date which may not correspond to this date.** Due to rounding, percentages may not total to 100%.*** For the Short Term and Evergreen Funds, reported values include transactions pending at current month end.
Nevada System of Higher Education4
(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 28 of 37
$162,509,895Cash 48.75%$79,531,678International Equity 23.86%$63,616,437US Fixed Income 19.08%$13,110,002Emerging Market Equity 3.93%$5,880,509Private Equity 1.76%$3,742,013International Private Equity 1.12%$2,535,763Energy 0.76%$2,419,635Venture Capital 0.73%
Investment Portfolio by Asset StyleFor All AccountsAs of 04/30/11 Total Portfolio Value: $333,345,932
Total Asset StyleMarket Value
Percent ofPortfolio**Asset Style
* Investments in Programs of Commonfund Capital and Commonfund Realty are carried as of the most recent valuation date which may not correspond to this date.** Due to rounding, percentages may not total to 100%.For the Short Term and Evergreen Funds, reported values include transactions pending at current month end.
Nevada System of Higher Education5
(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 29 of 37
Market Value
07/01/10Beginning
TransactionsNet*
WithdrawnParticipant fees
AppreciationUnrealized **
Market Value
04/30/11Ending
Investment FundENDOWMENT FUNDEndowment Fund-01
$10,490,441.17Emerging Markets Fund ($13,632.60) $2,493,871.00 $13,123,125.22$152,445.65$16,613,294.79International Equity Fund ($21,738.43) $5,668,385.09 $22,500,798.86$240,857.41$27,103,735.96Total Equity ($35,371.03) $8,162,256.09 $35,623,924.08$393,303.06$27,103,735.96Total Endowment Fund-01 ($35,371.03) $8,162,256.09 $35,623,924.08$393,303.06$27,103,735.96TOTAL ENDOWMENT FUND ($35,371.03) $8,162,256.09 $35,623,924.08$393,303.06
OPERATING FUNDNSHE Operating-04
$0.00Demand Deposit Account (Cash Platform) $0.00 $0.00 $0.00$0.00$33,001,460.91JP Morgan Prime MM Fund $0.00 $0.00 $81,259,267.06$48,257,806.15
$0.00SS Inst Liquid Reserves Fund Cash Sweep $0.00 $0.00 $0.00$0.00$32,997,557.95State Street Inst US Govt MM Fund - TA $0.00 $0.00 $81,250,627.70$48,253,069.75$65,999,018.86Total Fixed Income $0.00 $0.00 $162,509,894.76$96,510,875.90$65,999,018.86Total NSHE Operating-04 $0.00 $0.00 $162,509,894.76$96,510,875.90
Operating Fund-03$42,108,318.59International Equity Fund ($55,098.59) $14,367,178.63 $57,030,879.62$610,480.99$42,108,318.59Total Equity ($55,098.59) $14,367,178.63 $57,030,879.62$610,480.99
Marketable Investments Account SummaryFor Date Range 07/01/10 - 04/30/11For All Accounts
$60,374,710.75CFI Real Return Bond Fund ($50,900.05) $2,234,210.93 $63,616,437.17$1,058,415.54
* Net Transactions includes all contributions, withdrawals, and reinvestments.** Unrealized Appreciation does not include income distributed. See Income Summary for details.
Nevada System of Higher Education
6(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 30 of 37
Market Value
07/01/10Beginning
TransactionsNet*
WithdrawnParticipant fees
AppreciationUnrealized **
Market Value
04/30/11Ending
Investment Fund $60,374,710.75CFI Real Return Bond Fund ($50,900.05) $2,234,210.93 $63,616,437.17$1,058,415.54$60,374,710.75Total Fixed Income ($50,900.05) $2,234,210.93 $63,616,437.17$1,058,415.54
$102,483,029.34Total Operating Fund-03 ($105,998.64) $16,601,389.56 $120,647,316.79$1,668,896.53$168,482,048.20TOTAL OPERATING FUND ($105,998.64) $16,601,389.56 $283,157,211.55$98,179,772.43
$195,585,784.16 ($141,369.67) $24,763,645.65 $318,781,135.63$98,573,075.49Institution Totals
Total Marketable InvestmentsTotal Operating Fund
Total Endowment FundTotal Equity
Total Fixed Income
$168,482,048.20 ($105,998.64) $16,601,389.56 $283,157,211.55$98,179,772.43$27,103,735.96 ($35,371.03) $8,162,256.09 $35,623,924.08$393,303.06$69,212,054.55 ($90,469.62) $22,529,434.72 $92,654,803.70$1,003,784.05
$126,373,729.61 ($50,900.05) $2,234,210.93 $226,126,331.93$97,569,291.44
Marketable Investments Account SummaryFor Date Range 07/01/10 - 04/30/11For All Accounts
* Net Transactions includes all contributions, withdrawals, and reinvestments.** Unrealized Appreciation does not include income distributed. See Income Summary for details.
Nevada System of Higher Education
7(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 31 of 37
Marketable Investments Account SummaryFor Date Range 07/01/10 - 04/30/11For All Accounts
Explanatory Notes:· For questions, inquiries, concerns or to report any discrepancies or inaccuracies with your report, please call the Account Services team at 888-TCF-
FUND.
* Net Transactions includes all contributions, withdrawals, and reinvestments.** Unrealized Appreciation does not include income distributed. See Income Summary for details.
Nevada System of Higher Education
8(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 32 of 37
ENDOWMENT FUNDSEndowment FundEmerging Markets FundMSCI Emerging Markets Free NetMSCI Emg Mkts Free Gross Div
1.933.103.12
1.933.103.12
1.555.215.29
25.1033.2933.56
13.4620.6721.00
1.012.692.98
6.869.85
10.17
8.30N/A9.01
01/31/95
International Equity FundMSCI World Ex-US Net Index
5.855.45
5.855.45
8.199.47
35.4436.25
20.4119.46
-1.94-2.26
1.422.11
6.375.62
01/31/94
Total Equity 4.39 4.39 5.74 31.63 17.93 -1.00 2.94 7.10 09/30/87Total Endowment Fund 4.39 4.39 5.74 31.63 17.93 5.40 5.95 8.02 09/30/87
TOTAL ENDOWMENT FUNDS 4.39 4.39 5.74 31.63 17.93 5.40 5.95 8.02 09/30/87
OPERATING FUNDSNSHE OperatingJP Morgan Prime MM FundML 0-3 Month Treasury BillIMoney Net
0.010.010.00
0.010.010.00
0.030.050.00
0.100.120.02
0.120.150.02
N/AN/AN/A
N/AN/AN/A
0.110.140.02
01/31/10
State Street Inst US Govt MM Fund - TAML 0-3 Month Treasury BillIMoney Net
0.000.010.00
0.000.010.00
0.010.050.00
0.050.120.02
0.070.150.02
N/AN/AN/A
N/AN/AN/A
0.050.140.02
01/31/10
Investment Performance ReportAs of 04/30/11Time Weighted Returns After Fees
For All Accounts
CURMONTH
CURQTD
CALENDARYTD
FISCAL6/30YTD
1YEAR
3YEAR
5YEAR
SINCEINCEPTION
PERF.INCEPTION
Nevada System of Higher Education
9(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 33 of 37
Operating FundInternational Equity FundMSCI World Ex-US Net Index
5.855.45
5.855.45
8.199.47
35.4436.25
20.4119.46
-1.94-2.26
1.422.11
3.493.45
06/30/00
CFI Real Return CompositeBarclays Capital U.S. TIPS
2.152.51
2.152.51
4.214.64
5.376.55
6.728.06
5.455.54
6.696.81
7.187.27
12/31/00
TOTAL OPERATING FUNDS 1.45 1.45 2.30 7.58 5.23 2.28 3.58 5.39 09/30/87
Investment Performance ReportAs of 04/30/11Time Weighted Returns After Fees
For All Accounts
CURMONTH
CURQTD
CALENDARYTD
FISCAL6/30YTD
1YEAR
3YEAR
5YEAR
SINCEINCEPTION
PERF.INCEPTION
TOTAL INSTITUTION 1.74 1.74 2.63 10.01 6.43 2.44 3.79 6.31 09/30/87
Nevada System of Higher Education
10(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 34 of 37
Investment Performance ReportAs of 04/30/11Time Weighted Returns After Fees
For All Accounts
· Absolute Return Investors Company ("ARIC") and Absolute Return Fund ("ARF") have been in liquidation since March 31, 2009. Please note that in accordance with GIPS, the performance for ARIC in its liquidation phase ("Absolute Return Liquidation") is reported separately from the performance of ARIC and ARF, whose historical performances ended on March 31, 2009. Absolute Return Liquidation performance is presented as time weighted but may also be presented as dollar weighted. From April 30, 2009 through October 31, 2010 the dollar weighted performance of Absolute Return Liquidation was approximately 8.35 percent.
· Group performance returns include all accounts, both current and closed. Only current accounts are shown as individual line items. Refer to the "Performance - Closed Accounts" query in Portfolio Access for a complete list of closed accounts.
· Endowment fund returns are not available prior to October 1987. · Performance is calculated monthly. Therefore, returns for investments in any fund for less than a full month are not included in these performance figures. · Past performance is no assurance of future results. · For questions, inquiries, concerns or to report any discrepancies or inaccuracies with your report, please call the Account Services team at 888-TCF-FUND.
Explanatory Notes:
Nevada System of Higher Education
11(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 35 of 37
Age ofFund
CapitalCommitted Capital Called Capital
Distributions Capital BalanceOverallReturn
MultipleRemaining
Capital to beCalled Value DateIRR
Endowment Fund-01Private Capital
International Private EquityCIP IV 4,000,000 3,720,000 2,325,840 3,728,8909.8 yrs 280,000 1.63 12/31/1015.67
Total International Private 4,000,000 3,720,000 2,325,840 3,728,890280,000 1.63 15.67Natural Resources
EE IV 4,000,000 3,910,228 11,020,922 2,535,76312.9 yrs 89,772 3.47 12/31/1026.29Total Natural Resources 4,000,000 3,910,228 11,020,922 2,535,76389,772 3.47 26.29U. S. Private Equity
EPEP IV 5,000,000 4,855,000 6,464,369 2,429,26011.0 yrs 145,000 1.83 12/31/1016.90CEP V 4,000,000 3,480,000 1,618,720 3,451,2499.8 yrs 520,000 1.46 12/31/1010.86
Total U. S. Private Equity 9,000,000 8,335,000 8,083,089 5,880,509665,000 1.68 15.00Venture Capital
EVP IV 5,000,000 4,900,000 3,925,490 1,283,64412.3 yrs 100,000 1.06 12/31/101.14EVP V 2,640,000 2,545,481 1,287,551 1,291,81411.0 yrs 94,519 1.01 12/31/100.25
Total Venture Capital 7,640,000 7,445,481 5,213,041 2,575,458194,519 1.05 0.84Total Private Capital 24,640,000 23,410,709 26,642,892 14,720,6191,229,291 1.77 13.80
24,640,000 23,410,709 26,642,892 14,720,619Grand Total 1.771,229,291 13.80
Non-Marketable Investments Account SummaryInception Through December 31, 2010For All Accounts
CEP V - Private Equity Partners V CIP IV - Int'l Private Equity Partners IV EE IV - Energy Partners IVEPEP IV - Private Equity Partners IV EVP IV - Venture Partners IV EVP V - Venture Partners V
Nevada System of Higher Education
12(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 36 of 37
Non-Marketable Investments Account SummaryInception Through December 31, 2010For All Accounts
· All performance data set forth herein is net of all fees and carried interest. Internal Rates of Return (IRR) should be evaluated in light of information on the investment program of the partnership, the risks associated therewith, and performance of the partnership as disclosed in the Offering Memorandum for the partnership, the Audited Annual Reports of the partnership and the Quarterly Reports of the partnership. Return information is presented for these partnerships on a dollar-weighted (e.g., internal rate of return) basis, which is standard for the private capital industry, rather than the time-weighted (i.e., annual or other period rate of return) basis, which is used principally to report performance of publicly-traded securities. The IRR since inception is the most commonly used calculation methodology for presentation of performance in the private capital business. Comparison of returns calculated on an IRR basis with returns on a time-weighted basis is not appropriate. For a description of the two return calculation methods see Measuring Investment Returns, Time vs. Dollar-Weighted - What’s the Difference?, a copy is available from Commonfund.
· Also Referred to as Net Multiple, total value to invested capital net of the general partner’s carried interest = (Distribution + Ending Capital Balance)/Capital Drawdown).
· Net annualized internal rate of return since inception through value date. · Performance information is not shown for liquidated funds or for funds where the information is not yet meaningful due to the youth of the fund.
Transaction flows and capital for these funds are not included in the appropriate totals. · Past performance is no assurance of future results. · For questions, inquiries, concerns or to report any discrepancies or inaccuracies with your report, please call the Account Services team at 888-TCF-
FUND.
Explanatory Notes:
Nevada System of Higher Education
13(INVESTMENT AND FACILITIES COMMITTEE 06/16/11) IF-6, Page 37 of 37