the new mexico state investment council (“nmsic”)...timberland – market update (4q16)...
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The New Mexico State Investment Council (“NMSIC”)
Fourth Quarter 2016: Real Assets Performance Measurement Report
Proprietary & Confidential
May 2017
1) 4Q16 Economic Dashboard - Market Outlook
• Agriculture Market Update
• Infrastructure Market Update
• Timberland Market Update
• Currency Effects
2) 4Q16 Real Assets Performance Measurement Highlights
Appendix:
A. Additional 4Q16 Performance Measurement Report
B. Definitions
C. 4Q16 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. 4Q16 Economic Dashboard – Market Outlook
Agriculture – Market Update (4Q16)
• U.S. net farm income declined for the third consecutive year in 2016. The USDA is also forecasting a fourth year of declines into 2017, although cash receipts in 2017 (including direct payments) are forecasted to remain unchanged as lower crop prices should be offset by higher crop yields and production volume.
• Commodity prices were mixed during the quarter as soybean and corn prices remained soft, while sugar prices were relatively stable at a multi-year high due to global deficits.
• Prices across the nut complex softened over the past 12 months, although buyers have returned to the tree nut market driven by attractive pricing, and resulting in average prices increases to near 5-year averages. – Although early season price declines are expected to negatively impact tree-nut land values and grower returns,
anticipated yields should maintain good grower profitability. • The weak AUD and BRL continue to aid the competiveness of Australian and Brazilian exports and support local pricing, although
many currencies experienced strong appreciation against the USD through 2017. – Given the expected continued macro uncertainty, U.S. exporters will likely continue to face currency headwinds.
• The much anticipated La Niña, associated with higher rainfall in Brazil’s northeast, is now unlikely to occur in 2017. • In Australia, strong winter crop production, above average winter rainfall and continued interest rate cuts are contributing to
positive income growth and prospects for modest capital appreciation in many areas.
Fourth Quarter 2016 Source: Hancock; USDA WASDE; (Right) USDA, National Agricultural Statistics Service, Agricultural Prices April 2017
Grain and Oilseed Prices ($/Bushel)
4
Agriculture – Market Update (4Q16)
• The NCREIF Farmland Index (“NFI”) generated a 2.9% total return for the Quarter, which was largely driven by the income return.
– Appreciation for the Quarter was slightly below 50 basis points, an uptick from 3Q16’s negative return but the lowest in six years.
• The NFI generated an annual return of 7.1% for 2016, the lowest since 2009.
– Returns for the NFI have been in general decline since 2013 and largely driven by lower crop prices negatively impacting farmer profitability and leading to a decline in farmland values.
• Row crops returned 4.7% in 2016 and continue to underperform relative to the NFI’s historic average.
– The income and total return are the lowest in the NFI’s history, with declines in income largely due to significant run up in values over time.
• Perm crops returned 10.1% in 2016 and despite gradual declines over recent years, return remain robust and in fact are more in-line with longer term expectations.
Fourth Quarter 2016 Source: NCREIF
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NFI Row Crop Performance(Rolling 1-year total returns through 4Q16)
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NFI Permanent Crop Performance(Rolling 1-year total returns through 4Q16)
Permanent Crops Income Return Appreciation Return
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NFI Crop Type Performance(Calendard Year Annual Return as of 4Q16)
NFI Income (Left) NFI Appreciation (Left)
Row Crop Total (Right) Perm Crop Total (Right)
Infrastructure – Market Update (4Q16)
General
• Fundraising was substantially lower compared to previous quarter, but capital raised in 2016 was approximately 40% higher than in 2015 with $62.9 billion raised across 65 funds according to Preqin.
• Deal volumes were up 15% compared to the previous quarter, with 512 deals completed (aggregate value of $128 billion). Deal volume in 2016 was up 15% compared to 2015, due to 5% increase in number of deals and 9% increase in average deal size. During 2016, renewable energy was the largest sector with 44% of deals up from 41% in 2015.
Europe
• European dealflow in the quarter was dominated by mega deals in the gas distribution space – the sale of 61% in National Grid’s gas distribution network to a consortium led by Macquarie for £5.4bn and the sale of approximately 17% stake in Scotia gas network to ADIA for £0.7bn. Renewable energy activity continued to be strong, with the closing of the £1.6bn Race Bank offshore wind project and a large number of smaller solar, wind and waste-to-energy projects closing in the quarter. In the telecom sector, Antin agreed to sell its French telecom tower business FPS to a consortium comprising American Towers / PGGM for EUR 697m.
North America
• Markets were weighing the impact of the November US presidential election on the country’s renewable energy industry and infrastructure sectors. Some of the largest deals in the quarter were in energy – the $2.2bn TransCanada Northeast Power portfolio sale to LS Power, the $1bn New England Hydroelectric portfolio sale to Arclight, and a large number of smaller wind and solar project developments and trades. Deal flow continued to be strong in the natural resources/ pipelines sector (approximately $5bn).
Asia Pacific
• Dealflow in Asia was dominated by investments in power plants, including the $2bn wind farm project development in Vietnam as well as smaller wind and solar projects across the region. There were a few mega deals in gas distribution (China), telecoms (India), and rail (Thailand). 6
Source: Preqin
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Timberland – Market Update (4Q16) Timber Markets • Chinese demand remained strong with record-high volumes of softwood lumber imports reached in 2016 while softwood log
imports reached their second highest level on record.
– Total China (roundwood equivalents) imports of lumber and logs increased 17% in 2016 from the prior year and almost 38% from five years ago.
– New Zealand remained the top exporter of logs to China in 2016, while Australia set a new record for hardwood chip exports to China.
• Timber prices in the U.S. South remained flat despite strong lumber markets, driven by persistently high levels of supply.
• Improving demand for logs domestically and overseas have supported U.S. Northwest timber prices, and Doug-fir log prices continue to slowly increase.
– U.S. housing continues to show signs of improvement via increasing housing starts and a healthy U.S. lumber market; timber forecasting firms project a cyclical peak of approximately 1.7 million starts to occur between 2019 and 2021.
– 2016’s new housing starts increased by 5% from 2015, and totaled 1.2 million starts for the year.
• Brazil and Chile continue to offer market diversification and attractive cost competitive structures.
– Brazilian pulp producers have continued to perform well exporting 13 million tons of pulp in 2016.
– The downward movement in the Chilean peso has boosted its lumber and plywood producers’ ability to compete in U.S. markets.
Fourth Quarter 2016
Source: U.S. Census Bureau via Campbell Timber Trends Source: Timber Mart-South via Campbell Timber Trends
U.S. Southeast Pine Stumpage Prices by Product U.S. Housing Starts
Timberland – Market Update (4Q16) Performance Update
• The NCREIF Timberland Index (“NTI”) produced a 1.2% return during the Quarter and a 2.6% total return for 2016, both return periods marking the lowest total return since 2011; returns were entirely income driven for 4Q16 and 2016.
– Capital appreciation for the quarter and year was flat at 0.01%.
• The Northeast region was the only negative returning region during the Quarter and year (-2.8%/-4.9%), while the South and Northwest had modest quarterly and annual returns (0.9%/2.9% and 2.0%/2.5%, respectively).
• The Lake States outperformed during the Quarter and during 2016 with total returns of 6.7% and 6.4%, respectively.
• U.S. timberland values showed slight improvement during the Quarter, with the NTI’s total per acre value increasing to $1,796/acre in comparison to the prior quarter’s $1,776/acre value.
– The Northwest ($2,788/acre) and South ($1,782/acre) regions continue to hold the highest timberland values.
• U.S. timberland return expectations have been tempered over the past two years by several key market drivers, including:
– Slower than expected pace of the U.S. housing recovery; declining log exports to China; an increase in softwood lumber imports from Canada and plywood imports from South America; the persistent supply-overhang in southern pine impeding any notable timber price growth.
Fourth Quarter 2016 Source: NCREIF; Townsend
NTI Quarterly Total Return Trends by Region (4Q15 – 4Q16)
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Total Return
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$ 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 30.7% and 13.6% 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. One of the key concerns influencing global markets going forward is the pace of inflation and the impact on interest rate expectations.
• Worries continue in Great Britain due to the recent decision to leave the European Union (“EU”) as Article 50 outlining the process of leaving the EU was triggered at the end of March 2017. While volatility has slowed down, it is still expected to be the norm while uncertainty remains. In the meantime, the British Pound continues its unstable ways against the U.S. dollar and has fallen to 0.80 GBP/USD as of 1/31/17 (post Brexit vote). The Euro has also been largely affected against the U.S. dollar and declined to 0.93 EUR/USD as of 1/31/17.
Currency Effects – Market Trends (4Q16)
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25 year Average: 0.84 EUR/USD
Max: 10/25/20001.21 EUR/USD
Min: 4/22/20080.63 EUR/USD
12/31/2016 0.95 EUR/USD
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25 year Average: 0.62 GBP/USD
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12/31/2016
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• At quarter-end, the Australian Dollar (AUS)/USD and Brazilian Real (BRL)/USD exchange rates were about 2.5% and 57.1% 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 4Q16 with the U.S. dollar increasing in value against the British Pound and the Euro while remaining relatively flat against the Brazilian Real and Australian Dollar.
Currency Effects – Market Trends (4Q16)
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Max: 4/3/20012.09 AUS/USD
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12/31/2016 1.39 AUS/USD
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22 year Average: 2.07 BRL/USD
Max: 9/23/20154.18 BRL/USD
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2. 4Q16 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 the beginning of 2017 have committed approximately $1.9 billion across 25 funds with 17 managers.
• No new commitments were made during 4Q16. In 2016, three 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 4Q16, NMSIC’s real assets market value represents 5.4% of the aggregate Land Grant Permanent Fund and Severance Tax Permanent Fund assets (“NMSIC’s assets”). When unfunded commitments are included, real assets represents approximately 8.6%** of NMSIC’s total plan assets as of 4Q16.
• Over the since inception periods, performance remains strong generating an 16.1% net time weighted return, and a 7.7% net since inception IRR. Overall performance (quarter, one-, three-, and five-year) has been volatile but strong recently and has outperformed the Real Assets CPI + 300 benchmark. Volatility has come from (i) global currency movements, (ii) fluctuation in energy prices which had a strong return to finish out the year, 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 4Q16, 44.4% 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. **Unfunded commitments include 75% of all outstanding commitments to closed end funds to approximate the prolonged exposure.
Portfolio Status
• Since the 2011 inception, NMSIC has committed approximately $1.9 billion to real assets across 25 funds with 17 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.
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Real Assets Portfolio Allocation
1 Fund $50
3 Funds $250
7 Funds
$465
5 Funds $325
5 Funds $475
3 Funds
$300
1 Fund
$50
$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).
$113 Per Pacing Model
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 12.5% net return over the one-year period ending December 31, 2016.
• Despite its volatility over the year, Energy was the strongest performer, contributing nearly 6% to NMSIC’s one-year return.
• The “Other” category was the smallest contributor to performance but still added 0.2% to NMSIC’s one-year return.
*The exhibit above provides the contribution to the overall composite real assets return by sector. The contribution by sector is a relative measure and is denoted as either positive or negative to the overall portfolio composite return. The contribution of an individual sector to the overall performance relates to the size of 12/31/16 exposure and its returns over the one-year period. Time weighted net returns and values are denoted as of 12/31/16; however, exposures change over the one-year period.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Infrastructure ($402.4 M) /
10.1%
Timber ($236.8 M) /
5.7%
Agriculture ($108.1 M) /
3.7%
Other ($42.1 M) /
5.6%
Energy ($274.1 M) /
27.3%
Total ($985.4 M) /
12.5%
Sector Contribution to One-Year Time Weighted Net Return as of 4Q16*
Down
Up
Total Return
NAV/One-Year net TWR
Appendix A: Additional 4Q16 Performance Measurement Report
Portfolio Status
• NMSIC’s real assets allocation target is 9% of total plan assets (based on market value). Current commitments represent 9.6% 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 4Q16
Sub-Sector
Target
Allocation
Range
Committed
Allocation*
Committed
Value (millions)
Net Asset
Value
Number of
Commitments
Agriculture 0-15% 21.0% $375.0 $108.1 4
Commodities 0-10% 0.0% $0.0 $0.0 0
Energy 0-40% 33.6% $600.0 $274.1 9
Infrastructure 0-40% 28.8% $515.0 $400.8 6
Timberland* 0-40% 21.0% $375.0 $236.8 4
Other 0-15% 2.8% $49.8 $42.1 2
Total 107.2% $1,914.8 $1,061.9 25
Al locations as a % of the 9% real assets target.
*$80 mi l l ion in unfunded commitments from a Timber manager wi l l not be ca l led.
17
Real Assets Portfolio Performance – IRR Analysis
Total Performance
• The adjacent chart presents the inception to date value weighted net IRR’s of NMSIC’s real asset portfolio as well as the market value.
• Given the portfolio is relatively young, early returns were primarily attributable to strong performance from early energy investments with a small relative market value and more recently the infrastructure investments.
• As new commitments are made across asset classes and the portfolio becomes more diversified, overall performance is anticipated to continue to outperform the long-term Consumer Price Index (“CPI”) plus 300 basis points benchmark.
21
.9%
18
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December 2014
December 2015
December 2016
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NMSIC Real Asset Portfolio PerformanceInception to Date Net IRRs and Market Value
NMSIC Real Assets Net IRR (%) (left axis) Market Value ($) (right axis)
18
Real Assets Portfolio Cash Flows
Quarterly Cash Flow Activity
• During the quarter, NMSIC’s real asset managers called $90.6 million and distributed $47.0 million in income/gains (distributions) and return of capital distributions (withdrawals). The contributions were broadly based across infrastructure ($18.3 million), Timber ($16.5 million), Agriculture ($20.6 million), Energy ($30.3 million), and other ($4.8 million).
$900,000,000
$950,000,000
$1,000,000,000
$1,050,000,000
$1,100,000,000
4Q16 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 4Q16 market values as a percentage of total real assets market value, while the chart on the right is based on NAV plus unfunded commitments.
• Sector diversification is expected to change as funds develop and call additional capital for investments.
*NMSIC Sector Diversification - 4Q16 Market Value+Unfunded Commitments
as a % of Total Real Assets Market Value+Unfunded Commitments.
*NMSIC Sector Diversification - 4Q16 Market Value as a % of Total Real Assets
Agriculture10.2%
Energy25.8%
Infrastructure37.7%
Timberland22.3%
Other4.0%
Diversification by Market Value*
Agriculture19.5%
Energy29.9%
Infrastructure28.0%
Timberland20.0%
Other2.6%
Diversification by Exposure*
20
Real Assets Portfolio Diversification
Global Geographic Diversification
• NMSIC’s real asset portfolio is currently weighted towards developed Americas, Europe, and Asia.
• Emerging Americas currently represents investments in Brazil, Chile, and Mexico. 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
64.3%
Developed Europe12.1%
Developed Asia6.3%
Emerging Americas12.8%
Emerging Asia2.5%
Other1.5%
Geographic Diversification by Market Value*
*NMSIC Global Geographic Diversification - 4Q16 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
New Mexico State Investment Council
**Frontier is comprised of 151 countries mainly consisting of other developing countries not listed in the Emerging regions as well as Third World countries.
Developed
Americas
(2)
Developed Europe
(21)
Developed Asia
(5)
Developed Middle
East and Africa
(1)
Emerging
Americas
(6)
Emerging Europe
(5)
Emerging Asia
(8)
Emerging Middle
East and Africa
(3)
Frontier**
(151)
United States Austria Austra l ia Is rael Brazi l Czech Republ ic China Egypt Other Developing
Canada Belgium Hong Kong Chi le Hungary India South Africa and Third World
Denmark Japan Colombia Morocco Indones ia Turkey 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
Definitions (continued):
• The NCREIF Timberland Property Index (NTI) – The NCREIF Timberland Property Index represents data collected from the Voting Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NTI is an unlevered domestic index, gross of fees, that aggregates the returns of approximately 446 privately owned institutional investment properties valued at $23.6 billion as of 4Q16. 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 743 privately owned institutional investment properties valued at $8.0 billion as of 4Q16. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of Agricultural properties only. Note that the NFI is not an investable or duplicable universe. Also, the NFI may not fully illustrate the performance of the institutional property universe.
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New Mexico State Investment Council
Source: www.ncreif.org
Definitions (continued):
• The Consumer Price Index (CPI) – The Consumer Price Index illustrates monthly changes in the weighted average of prices of consumers’ good and services, excluding income taxes, financial instruments, and other saving-related items. Data is collected on a monthly basis by the Bureau of Labor Statistics (BSL economic assistants) in 87 urban areas nationwide and from approximately 80,000 items regrouped in more than 200 categories, which includes 24,000 retail and service establishments, as well as 50,000 landlords or tenants. The Consumer Expenditure Survey derives each item’s weight from their reported expenditures.
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New Mexico State Investment Council
Source: www.bls.gov/cpi
Appendix C: 4Q16 Real Assets Flash Report
1,785,792,016 9.0% 1,061,886,692 5.4% 849,477,990 4.3% -125,572,666 -0.6%
TGRS TNET TGRS TNET TGRS TNET TGRS TNET3.9 3.3 15.4 12.5 7.2 4.4 14.6 9.71.6 5.2 4.2 4.4
Funding Status ($)Investment
Vintage YearCommitment
AmountFundedAmount
UnfundedCommitments
CapitalReturned
MarketValue
MarketValue (%)
Market Value+ Unfunded
Commitments (%)
Infrastructure 2012 515,000,000 403,932,773 135,022,673 73,347,002 400,755,010 37.7 28.0
Timber 2014 375,000,000 231,224,255 145,534,280 8,224,273 236,821,362 22.3 20.0
Agriculture 2014 375,000,000 124,828,341 263,827,397 13,663,084 108,100,221 10.2 16.8
Energy 2011 600,000,000 334,180,699 297,935,089 108,335,563 274,100,681 25.8 29.9
Other 2013 49,800,000 63,122,213 7,158,551 22,477,087 42,109,418 4.0 2.6
Total Current PortfolioNew Mexico State Investment Council Other Real Assets 2011 1,914,800,000 1,157,288,281 849,477,990 226,047,009 1,061,886,692 100.0 97.4
New Mexico State Investment Council Other Real Assets
Fourth Quarter 2016Portfolio Composition ($)
Total Plan Assets Allocation Market Value Unfunded Commitments Remaining Allocation19,842,133,516
Other
CPI + 300 BPS
Infrastructure
Timber
Agriculture
Energy
New Mexico State Investment Council Other Real Assets
5 Year (%)Performance Summary Quarter (%) 1 Year (%) 3 Year (%)
INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET TGRS TNET
InfrastructureInfrastructure 400,755,010 0.9 0.4 1.3 0.8 2.8 9.7 12.8 10.1 3.2 6.9 10.3 7.7 19.7 15.6 4Q12 9.8 1.2
TimberTimber 236,821,362 0.1 2.5 2.6 2.3 1.2 5.5 6.8 5.7 2.4 5.3 7.7 6.6 7.7 6.6 1Q14 6.1 1.1
AgricultureAgriculture 108,100,221 0.5 -2.8 -2.3 -2.7 1.7 5.5 7.3 3.7 0.2 -12.6 4Q14 -2.8 1.0
EnergyEnergy 274,100,681 5.7 5.3 10.9 9.9 11.6 18.8 32.0 27.3 8.0 -2.2 5.7 2.8 6.8 3.6 10.6 6.5 18.7 13.2 2Q11 8.4 1.1
OtherOther 42,109,418 5.4 2.9 8.2 7.4 9.9 -1.1 8.6 5.6 10.8 -7.2 2.9 -0.1 8.0 2.1 2Q13 1.7 1.0
Total PortfolioNew Mexico State Investment Council Other Real Assets 1,061,886,692 2.0 1.8 3.9 3.3 4.8 10.2 15.4 12.5 4.7 2.4 7.2 4.4 5.0 9.3 14.6 9.7 22.4 16.1 2Q11 7.7 1.1
IndicesCPI + 300 BPS 1.6 5.2 4.2 4.4 4.5 2Q11NCREIF Timberland Property Index “NTI” 0.7 0.5 1.2 2.6 0.1 2.7 2.7 3.2 6.0 2.7 4.3 7.1 6.3 2Q11NCREIF Fund Index –Timberland Fund Index “NFI-TFI Commingled Value Weight” 1.1 0.9 2.5 0.8 3.9 2.8 5.7 4.7 4.7 3.7 2Q11NCREIF Farmland Property Index “NFI” 2.5 0.4 2.9 5.2 1.9 7.1 6.2 3.6 10.0 7.1 6.4 13.8 14.2 2Q11CPI 0.8 2.1 1.1 1.4 1.5 2Q11
NetIRR
EquityMultiple
New Mexico State Investment Council Other Real Assets
Fourth Quarter 2016
Returns (%)Market Value
($)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.