Albourne Update Real Assets SDCERA Board of Retirement. February 20 th 2014
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1 Albourne Update Real Assets SDCERA Board of Retirement February 20 th 2014
2 Agenda 1) Program History 2) Current allocation vs. targets 3) Portfolio composition 4) Performance 5) Future Pacing 6) Market Update 2
3 Program History The San Diego County Employees Retirement Association ( SDCERA ) Real Asset Portfolio was first established under policy in March Previously to that date there was a 5% allocation to Infrastructure. Infrastructure was combined with Energy from the Private Equity Portfolio to establish the original positions in the Real Asset Portfolio, thus establishing a beginning vintage year of From 2010 forward a 10% allocation target was established. Allocations to Real Assets typically improve the overall risk return profile of institutional investors by improving diversification with uncorrelated assets, and provide inflation protection (participation). 3
4 Program History Strategic Objective The strategic objective of the SDCERA Real Assets Portfolio is to invest funds directly in assets that are tangible or physical in nature, or to invest funds in the security interests, obligations, options and other rights to the cash flow streams associated with those assets. Performance Objective The primary performance objective of the Portfolio is to generate annualized net returns which exceed the return of the Real Assets Performance Benchmark over time. 1/3 GSCI + 1/3 S&P MLP + 1/6 S&P Materials Index + 1/6 S&P/TSX Materials Composite Index. The Real Asset portfolio continues to expand and diversify and should still be considered early in its development life. Focus remains on tangible assets with a high potential for cash flow. 4
5 Current Allocation The plan is currently within its target range of exposure to Real Assets and recent commitments are expected to increase Market Value exposure over time. Target Market Value & Range Target Market Value: $960m As of Q Based on Total SDCERA Portfolio NAV of $9.6bn 5
6 Portfolio Composition mitted pital Energy - Oil and Gas 21% Strategy Diversification The portfolio will continue to upgrade opportunities in the energy and infrastructure sectors as older vintages roll off and new opportunities present themselves. Agriculture will expand its platform as the manager continues to build out the portfolio. Additional non-core opportunities will be explored over the next 12 months. Committed Capital Timber 5% Agriculture 24% Paid-In Capital Energy - Oil and Gas 19% Paid-in Capital Timber 7% Agriculture 20% Metals And Mining 13% Infrastructure 37% Metals And Mining 12% Infrastructure 42% As of Q
7 Portfolio Composition Geographic Diversification SDCERA is well diversified geographically relative to the opportunity set that exist in global markets. Regional Diversification ional Diversification North America 71% Europe 11% South & Central America 8% Australia New Zealand Africa 4% 2% ROW 3% Asia 1% OECD Weights OECD Weights Non- OECD 10% OECD 90% As of Q
8 Performance Total Portfolio IRR: 8.3% Pooled Mean Benchmark: 5.6% Market Equivalent Benchmark: 7.4% As of Q
9 Portfolio Performance Funds Committed ($m) Paid In (% of Committed) By Strategy Unfunded ($m) Distributions ($m) NAV ($m) DPI TVPI IRR Agriculture % x 1.0x -2.3% Infrastructure % x 1.3x 11.0% Metals & Mining % x 0.9x -21.4% Oil & Gas % x 1.2x 9.5% Timber % x 1.1x 7.1% Total Portfolio % x 1.2x 8.3% By Vintage Vintage Funds Committed ($m) Paid In (% of Committed) Unfunded ($m) Distributions ($m) NAV ($m) DPI TVPI IRR PME % x 1.2x 5.1% 5.3% % x 1.6x 16.4% 8.0% % x 1.3x 8.9% 5.8% % x 1.4x 11.7% 9.5% % x 1.2x 13.9% 6.5% % x 1.1x 8.5% 4.7%* % x 0.9x -6.3% 4.7% % x 1.0x -1.3% 5.4% % x 0.5x - - Total Portfolio % x 1.2x 8.3% 7.4% All figures as of Q PME for the Real Assets portfolio is composite index comprise of 1/3 GSCI + 1/3 S&P MLP + 1/6 S&P Materials Index + 1/6 S&P/TSC Materials Composite Index as defined in the SDCERA IPS. * Vintage PME calculated using fund PMEs weighted by Paid-In. 9
10 Fund Performance Fund Year Agriculture Committed (m) Paid In (% of Committed) NAV(m) DPI TVPI IRR Brookfield Brazil AgriLand Fund % x 0.9x -8% AMERRA Agri Fund II % x 1.1x 7% Hancock Agricultural Investment Group % x 1.0x -4% Fund Fund Infrastructure Timber As of Q *This co-investment was made in Q and does not appear in commitment or unfunded totals Year Year Committed ($m) Committed ($m) Paid In (% of Committed) Paid In (% of Committed) NAV($m) DPI TVPI IRR Global Infrastructure Partners % x 1.4x 12% Macquarie Infrastructure Partners II % x 1.4x 12% Brookfield Americas Infrastructure Fund % x 1.2x 11% JP Morgan Global Maritime Investment Fund % x 0.9x -8% Actis Energy Fund III % 1 0.0x 0.5x 0% Actis Energy Fund III Co-Investment* % 0 0.0x - 0% NAV($m) DPI TVPI IRR Molpus Woodlands Fund III % x 1.1x 7% 10
11 Fund Performance Fund Year Mining Committed ($m) Paid In (% of Committed) NAV($m) DPI TVPI IRR RK Mine Finance Fund I % x 1.2x 12% Taurus Resources Fund No % x 0.7x -29% Fund Year Oil & Gas Committed ($m) Paid In (% of Committed) NAV($m) DPI TVPI IRR EnerVest Energy Institutional Fund X-B % 4 0.9x 1.2x 5% EnCap Energy Capital Fund VI % 2 1.6x 1.8x 25% Merit Energy Partners - F II % 3 0.4x 1.1x 2% EnCap Energy Capital Fund VII % 3 1.1x 1.4x 19% EnerVest Energy Institutional Fund XI-B % 9 0.5x 1.1x 4% Kayne Anderson Energy Fund V (QP), L.P % x 1.4x 20% Falcon E&P Opportunities Fund, L.P % x 1.2x 10% Denham Commodity Partners Fund VI % x 0.9x -21% As of Q
12 Cumulative Cash Flows ($m) NAV as % of Total Plan Future Pacing Despite the fact the portfolio traces some of its investments back to 2005 it is still considered a young portfolio due to its revised objectives from Focusing on managers that have strong operating expertise, and are active across the capital structure has reduced the beta risk considerably. Pacing will continue at approximately $250 +/-(75) million per year in the foreseeable future to maintain the overall portfolio within the allocation parameters established by policy. $m SDCERA Real Assets Portfolio Cumulative Cash Flows (Q Q3 2018) 18% SDCERA Real Assets Portfolio NAV as % of Total Plan (Q Q3 2018) -$200m Historical Cumulative 16% 14% Max NAV Target (15%) High Case Projected NAV -$400m 12% Base Case Projected NAV -$600m -$800m High Case Projected Cash Flows Base Case Projected Cash Flows 10% 8% 6% NAV Target (10%) Low Case Projected NAV Min NAV Target (5%) -$1000m Low Case Projected Cash Flows -$1200m % 2% 0%
13 2013 Real Asset Market Update Infrastructure Timber Infrastructure funds continue to raise additional capital as institutional appetite for the asset class does not appear to be slowing but rather shows increasing interests with respect to co-investments and direct investments in combination with co-mingled funds. Most managers performed very well despite the uncertainty of the interest rate environment. Although final valuations for the fourth quarter, and full year for 2013 will not be available until March, performance expectations are on target with yields in the 4% to 6% range and overall performance until Q3 coming in at range that is slightly negative to high teens for Brownfield strategies [Greenfield managers with higher risk have reported estimates in the mid-teens]. Timber witnessed a bit of resurgence with timber indices coming in at 9%. This can largely be attributed to the improvement of the US housing market and a drawdown of on stump inventories in the US Southeast. 13
14 2013 Real Asset Market Update Agriculture Energy Agriculture continued to perform well with indices reporting 20% returns. [It should be noted that the agriculture index consists of a small group of institutional quality managers and does not reflect the broader agriculture universe in the United States]. Agricultural performance was strong despite declines in corn and wheat. This can largely be attributable to stronger production levels on a per acre basis. It is anticipated that some agricultural assets could come under pressure 2014 as we move through a new lease cycle in a low grain price environment. Permanent crops continue to perform well despite adverse conditions in California. The energy sector continued to perform well although at a reduced pace as the majority of major plays began to mature and managers shift their focus from acquisition and drilling to more stable production-based strategies. We continue to see strong opportunities in the production and midstream space. 14
15 Disclaimer IMPORTANT NOTICE The information in this presentation (the Information ) is for informational purposes regarding the Albourne group, which includes Albourne Partners Limited, Albourne America LLC, Albourne Partners Japan Co., Ltd., Albourne Partners (Asia) Limited, Albourne Partners (Singapore) Pte. Ltd., Albourne Partners (Bermuda) Limited, Albourne Partners Deutschland AG, and Albourne Partners (Cyprus) Limited (each an Albourne Group Company and collectively, the Albourne Group ). The Information is an invitation communicated by the relevant Albourne Group Company, as more fully described below, to subscribe to such Albourne Group Company s investment advisory services in jurisdictions where such invitation is lawful and authorised. The Information does not constitute an invitation, inducement, offer or solicitation in any jurisdiction to any person or entity to acquire or dispose of, or deal in, any security, any interest in any fund, or to engage in any investment activity, nor does it constitute any form of investment, tax, legal or other advice. In the United States, the Information is being furnished, subject to United States law, by Albourne America LLC (registered as an investment adviser with the United States Securities and Exchange Commission) to persons that Albourne America LLC believes to be an Accredited Investor as that term is defined in Regulation D under the Securities Act of 1933, and a Qualified Purchaser as that term is defined in Section 2(a)(51) of the Investment Company Act of In Canada, the Information is being furnished, subject to Canadian law, by Albourne America LLC to persons that Albourne America LLC believes to be a Permitted Client within the meaning of the National Instrument In the United Kingdom, the Information is being furnished, subject to English law, by Albourne Partners Limited (authorised and regulated by the Financial Services Authority with registered number ) to an investment professional, high net worth company or unincorporated association, high value trust or other person specified in articles 19 and 49 of the Financial Services and Markets Act 2000 (Financial Promotions) Order In each of Japan, Hong Kong, Singapore, Bermuda and Germany the Information is being furnished respectively by: Albourne Partners Japan Co., Ltd. (authorised and regulated by Director of Kanto Local Financial Bureau, with reference number 1528) subject to Japanese law; Albourne Partners (Asia) Limited (regulated by the Securities and Futures Commission of Hong Kong with Central entity number AKX858) subject to Hong Kong law; Albourne Partners (Singapore) Pte. Ltd. subject to Singapore law; Albourne Partners (Bermuda) Limited subject to Bermuda law and Albourne Partners Deutschland AG subject to German law, and in all cases, to persons whom the relevant Albourne Group Company believes to be a financially sophisticated, high net worth and institutional investors capable of evaluating the merits and risks of hedge funds, private equity funds and/or any other alternative investment securities (collectively, Funds ). To the extent that the Information is supplied in any jurisdiction other than the United States, Canada, the United Kingdom, Japan, Hong Kong, Singapore, Bermuda or Germany the relevant Albourne Group Company is Albourne Partners Limited and the Information is supplied subject to English law. If you are not the kind of investor described above in the jurisdictions listed above, or if in your jurisdiction it would be unlawful for you to receive the Information, the Information is not intended for your use. The Information and the services provided by any Albourne Group Company is not provided to and may not be used by any person or entity in any jurisdiction where the provision or use thereof would be contrary to applicable laws, rules or regulations or where any Albourne Group Company is not authorized to provide such Information or services. In the United States, interests in Funds are made through private offerings pursuant to one or more exemptions provided under the United States Securities Act of 1933, as amended. You should carefully review the relevant offering documents before investing in any Funds. 15
16 Disclaimer No part of the Information in this presentation is intended as an offer to sell or a solicitation to buy any security or as a recommendation of any firm, Fund or security. You should be aware that any offer to sell, or solicitation to buy, interests in any such Funds may be unlawful in certain states or jurisdictions. There can be no assurance or guarantee that the Albourne Group s performance record or any Albourne Group Company s performance record will be achievable in future. There is no assurance that any client of an Albourne Group Company will necessarily achieve their investment objective or that such client will make any profit, or will be able to avoid incurring losse s. Funds are speculative, involve a high degree of risk, and are illiquid: you could lose all or a substantial amount of any investment you make in such Funds. Furthermore, such Funds are not subject to all the same regulatory requirements as are mutual funds; may involve complex tax structures and delays in the distribution of important tax information; often charge higher fees than mutual funds and such fees may offset the Funds trading profits; may have a limited operating history; may be highly volatile, and there may not be a secondary market for interests in such Funds. There may be restrictions on redemptions and transfer of interests in such Funds, and such interests may otherwise be illiquid. Such Funds may also be highly leveraged and may have a fund manager with total investment and/or trading authority over the Fund. It should also be noted that in the case of hedge funds, there may be a single adviser applying generally similar trading programs with the potential for a lack of diversification and concomitantly higher risk; hedge funds may also effect a substantial portion of trades on foreign exchanges, which have higher trading costs. On the other hand, private equity funds may have a limited number of holdings and concomitantly higher risk. You are solely responsible for reviewing any Fund, the qualifications of its manager, its offering documents and any statements made by a Fund or its manager and for performing such additional due diligence as you may deem appropriate, including consulting your own legal, tax and compliance advisers. To the extent any of this presentation s Information contains information obtained from third parties, (a) the Albourne Group makes no representations or warranties, express or implied, as to the accuracy or completeness of information in this presentation; and (b) the Albourne Group and all third party contributors disclaim all liability for any loss or damage, which may arise directly or indirectly from any use of or reliance upon any such data, forecasts or opinions or the Information generally. This document has been supplied free of charge and shall not form part of the services provided under any service agreement you may have with any relevant Albourne Group Company. Potential conflict of interest: Each Albourne Group Company advises clients that are affiliates with or are connected with the management company of hedge funds or private equity funds that are the subject of its research reports, which may create an incentive for the Company to favour the management company in its reports. The Albourne Group will take reasonable steps to manage any potential conflict of interest. In appropriate cases, the relevant Albourne Group Company will decline to act for one or more potential or existing clients Albourne Partners Limited. ALBOURNE is a registered trade mark of Albourne Partners Limited and is used under licence by its subsidiaries. 16
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