Portfolio Summary 31-Dec-10

Transcription

1 Portfolio Summary Portfolio Return (NCRS) vs. Benchmark 13.1% 12.85% 12.41% 11.61% 1,496 12,68 Assets Under Management ($mil) $85.43 Billion as of December 31, 21 1,351 9,879 1,45 11,248 1,597 11, % 4.55% 4.47% 4.46% 4.99% 4.78% 72,35 6,224 65,253 72, % 1.5% 3 month Fiscal YTD 1 year 3 year 5 year 1 year June 8 June 9 June 1 Dec 1 NCRS Benchmark NCRS Cash Mgmt Program Other NCRS Asset Allocation MV ($mil) Current % Policy % Policy Range Global Equity $ 37, % 48.5% 43.5% % Fixed Income $ 25, % 38.% 33.5% % Real Estate $ 3, % 6.% 5.% - 7.% Alternatives $ 3, % 4.5% 3.5% - 5.% Private Equity $ 3, % $ % Credit $ 1, % 1.5% % - 5.% Inflation $ % 1.5% % - 5.% Total NCRS $ 72,422 1% 1% Real Estate Alternatives Fixed Income Credit Inflation Global Equity NCRS Asset Class Returns Month 3 Month Fiscal YTD Cal YTD 1 Yr 3 Yr 5 Yr 1 Yr Global Equity Custom Equity Benchmark Fixed Income Custom Fixed Income Benchmark Real Estate Custom Real Estate Benchmark Alternatives Custom Alternatives Benchmark Private Equity Custom Private Equity Benchmark Custom Hedge Fund Benchmark Credit Strategies Custom Credit Benchmark Inflation Portfolio Custom Inflation Benchmark 6.91% 9.98% 24.27% 15.24% 15.24% -2.78% 2.76% 3.2% 7.2% 1.37% 24.88% 14.75% 14.75% -3.19% 2.62% 2.35% -1.53% -1.98% 2.9% 9.45% 9.45% 7.94% 6.96% 7.9% -1.84% -2.8% 1.14% 9.1% 9.1% 6.81% 6.25% 6.68% 1.3% 4.28% 7.97%.29%.29% % -2.89% 2.23% 5.54% 5.54% 11.56% 8.44% 8.44% -9.44%.31% 5.26%.23% 1.47% 3.18% 5.94% 5.94% -2.32% 3.58% -1.85% 6.85% 8.86%.72% 1.98% 1.98% -.97% 4.18% 2.9%.26% 1.18% 3.11% 5.7% 5.7% -1.75% 4.97% -1.24% 9.64% 12.16% -.22% 13.46% 13.46% -4.7% 3.44% 2.64%.7% 2.92% 3.55% 6.9% 6.9% -2.26% 2.31% -.34% 1.2% 2.7% 4.13% 4.13% 4.79% 6.43% 6.38%.43% 4.39% 6.88% 15.89% 15.89% % 1.82% 3.68% 7.5% 7.5% % 1.52% % -19.2% -19.2% % 1.58% 3.% 4.39% 4.39% - - -

2 Portfolio Summary - Global Equity Fund Allocation (based on fund mandate) Dom. Small Cap 5.8% Dom. Mid Cap 6.9% Developed Int'l 27.9% Emerging Int'l 4.2% Frontier.5% Global 4.9% Int'l Small Cap 1.6% Dom. Large Cap 36.5% Cash/Transition 11.7% Style Allocation Strategy Allocation Cash/Transition 11.7% Core 49.1% Growth 23.4% Enhanced 2.3% Active 58.7% Value 15.9% Cash/Transition 11.7% Passive 27.3% Sector Allocation 25% 2% 15% 1% 5% 13.5% 1.8% 8.4% 6.8% 11.5% 9.5% 18.% 21.4% 11.3% 7.9% 7.6% 12.2% 1.2% 1.5% 15.6% 11.5% 5.5% 7.8% % Consumer Discretionary Consumer Staples Energy Financials Health Care Materials & Processing Producer Durables Technology Utilities Equity Portfolio MSCI AC World

3 Portfolio Summary - Fixed Income Allocation Core FI 94.5% Non-Core FI 5.5% Total Fixed Income Core Fixed Income Non-Core Fixed Income Custom Fixed Income Benchmark Returns Month 3 Month Fiscal YTD Cal YTD 1 Yr 3 Yr 5 Yr 1 Yr -1.53% -1.98% 2.9% 9.45% 9.45% 7.94% 6.96% 7.9% -1.69% -2.32% 1.72% 9.29% 9.29% 7.81% 6.98% 7.1% 1.9% 3.17% 7.76% 12.84% 12.84% 1.72% % -2.8% 1.14% 9.1% 9.1% 6.81% 6.25% 6.68% Core Fixed Income 5% Sector Allocation 4% 35.2% 4.% 37.6% 35.% 3% 26.3% 25.% 2% 1% %.%.%.%.%.9%.% Gov't (UST & Agency) Corporate RMBS Asset-backed CMBS Cash Portfolio Benchmark 4% 35% 3% 25% 2% 15% 1% 5% % 26.% 36.2% Treasury 36.% 28.8% Agency (Debt & MBS) Quality Allocation 2.5% 19.9% 1.7% 8.7% 5.8% 6.%.2%.4%.8%.% AAA AA A BBB High Yield Portfolio Benchmark Government (Treasury & Agency) Corporate Mortgage Total Portfolio Characteristics Avg. Coupon Yield to Maturity 6.11% 3.16% 6.28% 4.9% 5.15% 3.38% 5.87% 3.84% Duration

4 $ Millions Portfolio Summary - Private Equity 2, Private Equity Commitments by Vintage Year 1,5 1, 5 Pre Pre Total NCRS # of Funds Strategy Allocation (based on commitments) Geographic Allocation (based on valuation)* Buyout 42.4% Special Situations 16.1% Fund-of-Funds 25.6% Venture Capital 11.8% North America 71.5% Europe / UK 19.9% Pacific Rim 8.3% Growth Equity 4.1% Rest of World.1% South America.2% GICS Industry Allocation (based on valuation)* Healthcare 2.6% Industrials 14.2% Financials 16.4% Information Technology 14.7% Energy 6.5% Consumer Discretionary 16.% Consumer Staples 2.7% Utilities 1.8% Materials 4.5% Telecom Services 2.5% * as of 9/3/1

5 $ Millions Portfolio Summary - Real Estate 2, Private Real Estate Commitments by Vintage Year 1,5 1, 5 Pre Pre Total NCRS # of Funds Strategy Allocation (based on valuation) Geographic Allocation (based on valuation)* Valued-added 23.2% Opportunistic 37.9% North America 75.4% Europe 12.1% Core 38.3% Asia 11.5% Cash.6% South America 1.% Sector Allocation (based on valuation)* Office 21.6% Other 4.5% Residential 15.5% Multi-type 14.2% Retail 12.1% Lodging 12.3% Industrial 1.4% Timber 7.2% Land 2.2% REIT Composite FTSE/EPRA/NAREIT Global Securities Index * as of 9/3/1 Global REIT Returns Month 3 Month Fiscal YTD Cal YTD 1 Yr 3 Yr 5 Yr 1 Yr 6.1% 6.13% 25.8% 21.58% 21.58% -2.2% % 6.15% 25.73% 2.4% 2.4% -4.53% 2.88% 9.82%

6 $ Millions $ Millions Portfolio Summary - Credit, Inflation, & Credit Strategies Credit Commitments by Vintage Year Strategy Allocation (based on valuation) 1, Structured Credit 25.% Distressed Debt 17.8% Bank Loans 15.9% Mezzanine 5.6% 35.8% Total NCRS # of Funds Inflation Portfolio 8 Inflation Commitments by Vintage Year Strategy Allocation (based on valuation) 6 4 Commodities 14.9% Timber 52.3% Energy 32.8% Total NCRS N/A # of Funds Fund Allocation Franklin Street 72.6% SCS 19.% Taconic.% DKR.1% BlackRock 6.7% Broyhill 1.6%

7 New Investments - previous 12 months Global Equity Fund Name Firm Name Commitment Closing Date* MCM Large Cap Passive Mellon Capital Management $1,824,, 4/1/21 MCM Mid Cap Passive Mellon Capital Management $61,, 4/1/21 Wellington Mid Cap Opportunities Wellington Management Company $795,, 4/9/21 BlackRock ACWI ex US IMI BlackRock $2,347,, 9/9/21 Mondrian International Small Cap Mondrian Investment Partners $25,, 9/9/21 Franklin Templeton International Small Cap Franklin Templeton $25,, 9/9/21 Private Equity Credit Suisse Innovation Fund Credit Suisse $23,, 2/23/21 Real Estate RREEF Global Opp Fund II, LLC Senior Notes RREEF $12,366,672 7/11/21 AG Asia Realty Fund II Angelo Gordon $5,, 7/3/21 AG Net Lease Realty Fund II Angelo Gordon $1,, 7/3/21 Shorenstein X Shorenstein Realty Investors $1,, 1/15/21 Crossharbor Institutional Partners II CrossHarbor Capital $15,, 12/23/21 Credit Strategies Inflation Portfolio AG GECC Public-Private Investment Fund (PPIP) Angelo Gordon $2,, 2/19/21 WLR IV PPIP Co-Invest WL Ross & Company $15,, 3/2/21 PAAMCO - Newport Burgundy PAAMCO $5,, 12/22/21 Energy Capital Partners II Energy Capital Partners $5,, 8/16/21 Sheridan Production Partners II Sheridan Production Partners $165,, 11/5/21 Gresham TAP Flex Gresham Investment Management $5,, 12/2/21 None * Closing date for Global Equity is the date account was funded