Portfolio Summary 31-Mar-12

Transcription

1 Portfolio Summary Portfolio Return (NCRS) vs. Benchmark 15.18% 14.23% Assets Under Management ($mil) $89.12 Billion as of March 31, 212 1,638 1,365 1,351 9,879 1,45 11,248 11,77 11, % 5.88% 3.8% 3.48% 5.15% 5.64% 3.61% 3.57% 6.3% 5.93% 6,224 65,253 74,942 75,921 3 month Fiscal YTD 1 year 3 year 5 year 1 year June 9 June 1 June 11 Mar 12 NCRS Benchmark NCRS Cash Mgmt Program Other NCRS Asset Allocation MV ($mil) Current % Policy % Policy Range Global Equity $ 34, % 4.5% 35.% - 5.% Fixed Income $ 26, % 36.% 34.% - 42.% Real Estate $ 5, % 8.% 5.% - 1.% Alternatives $ 3, % 6.5% % - 7.5% Private Equity $ 3, % $ % Credit $ 2, % 4.5% % - 5.% Inflation $ 2, % 4.5% % - 5.% Total NCRS $ 75,921 1% 1% Real Estate Alternatives Credit Fixed Income 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 1.14% 13.2% -.1% 13.2%.28% 21.12%.54% 4.62%.87% 12.14% -.56% 12.14% -.46% 21.1% -.12% 4.9% -.96%.48% 7.94%.48% 1.65% 9.91% 8.15% 7.46% -1.17% -.12% 8.62% -.12% 11.79% 9.32% 7.6% 7.12% 1.41% 3.4% 6.6% 3.4% 1.66% -1.71% -4.56% 3.15% 1.66% 3.95% 1.6% 3.95% 14.95% 1.49%.2% 6.3% 1.47% 2.1% 3.18% 2.1% 7.92% 8.74% 3.19% 3.63% 2.3% 2.79% 1.67% 2.79% 7.97% 15.72% 4.73% 6.58% 1.55% 2.9% 4.2% 2.9% 9.31% 8.79% 4.63% 4.47% 2.18% 2.72% 1.99% 2.72% 9.26% 19.52% 3.68% 6.65%.49% 2.33% -5.11% 2.33% -4.% 5.48% -.88% -.25% 3.57% -1.36% 3.57% -.34% 2.64% 4.33% 5.45%.84% 3.7% -2.15% 3.7%.28% % 4.91% -1.5% 4.91%.76% % 3.15% -6.44% 3.15% -8.61% % 2.46% -7.42% 2.46% -6.4% Note: Private Equity benchmark return is preliminary. Final return is released May 3, 212.

2 Volatility Tracking Error Portfolio Summary Global Equity Fixed Income Real Estate Private Equity Credit Strategies Inflation Portfolio Total NCRS Attribution - Contribution to Relative Performance 3 month 6 month 1 Year 3 Year 5 Year Risk and Return Metrics POSITION 36-MONTH 6-MONTH Active Active Program $ Bil % Wgt Return St. Dev Return TE IR Return St. Dev Return TE IR Global Equity Fixed Income Real Estate Private Equity Hedged Strategies Credit Strategies Inflation Portfolio Total NCRS Rolling 3 Year Total Fund Volatility & Tracking Error NC 36-Mo Ann. Vol 36-Mo Tracking Error Returns 25th percentile Median 75th percentile NCRS Percentile Rank Universe Comparison* 1 Year 3 Year 5 Year 1 Year Risk 25th percentile Median th percentile NCRS Percentile Rank *BNY Mellon Universe - Public Funds > $1B (Gross of Fees)

3 Portfolio Summary - Global Equity Fund Allocation (based on fund mandate) Dom. Small Cap 3.% Dom. Mid Cap 4.% Developed Int'l 35.9% Emerging Int'l 4.6% Frontier.5% Global 5.% Int'l Small Cap 3.4% Dom. Large Cap 36.4% Rebalance 3.7% Cash/Transition 3.5% Style Allocation Strategy Allocation Cash/Transition 3.5% Core 59.2% Growth 19.1% Passive 42.% Active 54.5% Value 18.3% Cash/Transition 3.5% Sector Allocation 25% 2% 19.2% 2.3% 15% 1% 13.9% 11.6% 9.3% 7.5% 1.3% 11.5% 9.8% 8.7% 8.6% 7.5% 11.5% 1.3% 14.% 11.9% 7.9% 6.4% 5% % Consumer Discretionary Consumer Staples Energy Financials Health Care Materials & Processing Producer Durables Technology Utilities Equity Portfolio MSCI AC World

4 Portfolio Summary - Fixed Income Allocation Core FI 96.7% Non-Core FI 3.3% 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 -.96%.48% 7.94%.48% 1.65% 9.91% 8.15% 7.46% -1.%.35% 8.32%.35% 11.35% 9.99% 8.28% 7.53%.25% 4.55% 4.37% 4.55% 4.66% 9.95% % -.12% 8.62% -.12% 11.79% 9.32% 7.6% 7.12% Core Fixed Income 5% 4% 3% 2% 35.6% 4.% 38.7% 35.% 25.1% Sector Allocation 25.% 1% %.%.%.%.%.6%.% Gov't (UST & Agency) Corporate RMBS Asset-backed CMBS Cash Portfolio Benchmark 4% 35% 3% 25% 2% 15% 1% 5% % 37.5% 3.1% 3.9% Treasury 27.5% Agency (Debt & MBS) Quality Allocation 18.8% 21.% 13.5% 8.7% 5.4% 4.8%.4%.5%.9%.% AAA AA A BBB High Yield Portfolio Benchmark Government (Treasury & Agency) Corporate Mortgage Total Portfolio Characteristics Avg. Coupon Yield to Maturity 5.52% 2.19% 6.8% 4.16% 4.84% 2.27% 5.57% 2.98% Duration

5 $ Millions Portfolio Summary - Private Equity 2, Private Equity Commitments by Vintage Year 1,5 1, 5 Pre Funded Unfunded IRR by Vintage Year Pre Total NCRS # of Funds Strategy Allocation (based on commitments) Geographic Allocation (based on valuation)* Special Situations 27.9% Venture Capital 21.7% North America 71.4% Europe / UK 18.9% Buyout 44.5% Pacific Rim 8.8% Growth Equity 5.9% Rest of World.6% South America.3% GICS Industry Allocation (based on valuation)* Financials 11.4% Healthcare 18.8% Industrials 16.7% Information Technology 18.1% Energy 5.6% Consumer Discretionary 15.9% Materials 3.% Consumer Staples 2.5% Utilities 5.3% Telecom Services 2.6% * data as of 12/31/11

6 $ Millions Portfolio Summary - Real Estate 2, Real Estate Commitments by Vintage Year 1,5 1, 5 Pre Funded Unfunded IRR by Vintage Year Pre Total NCRS N/A 2.42 # of Funds Strategy Allocation (based on valuation) Geographic Allocation (based on valuation)* Valued-added 21.5% Core 43.3% Opportunistic 34.9% North America 8.2% Europe 1.2% Asia 8.6% Cash.4% South America 1.% Sector Allocation (based on valuation)* Multi-type 8.9% Office 29.% Healthcare 1.5% Lodging 11.2% Residential 17.% Land 3.7% Industrial 11.1% Timber 4.8% Retail 12.8% REIT Composite FTSE/EPRA/NAREIT Global Securities Index * as of 12/31/11 Global REIT Returns Month 3 Month Fiscal YTD Cal YTD 1 Yr 3 Yr 5 Yr 1 Yr.9% 14.% -.95% 14.% 1.84% 31.5% % 12.9%.24% 12.9% 3.19% 31.46% -4.12% 1.35%

7 $ Millions $ Millions Portfolio Summary - Credit, Inflation, & Credit Strategies 2, 1,5 1, Credit Commitments by Vintage Year Strategy Allocation (based on valuation) 61.8% Mezzanine 4.4% Distressed Debt 15.7% Structured Credit 9.7% Bank Loans 8.4% Funded Unfunded Inflation Portfolio IRR by Vintage Year Total NCRS 1.59 N/A N/A 6.28 # of Funds , 1,5 1, 5 Inflation Commitments by Vintage Year Strategy Allocation (based on valuation) Commodities 83.1% Energy 16.9% Funded Unfunded IRR by Vintage Year Total NCRS N/A # of Funds Fund Allocation Franklin Street 84.4% SCS 4.9% BlackRock 6.6% Other.% Broyhill 2.% CS/ NC Inv Fund %

8 New Investments - previous 12 months Global Equity Fund Name Firm Name Commitment Closing Date* Wellington Large Cap Value Wellington Management Company $832,, 4/29/211 RhumbLine Russell 2 Passive RhumbLine Advisors $3,7,, 4/29/211 BlackRock MSCI EAFE IMI BlackRock $34,, 4/29/211 BlackRock MSCI Canada BlackRock $523,, 4/29/211 BlackRock MSCI ACWI ex-us SC BlackRock $643,, 4/29/211 Gladius Aconcagua Gladius Investment Group $1,,, 9/26/211 Private Equity Harvest Partners VI Harvest Partners $1,, 9/28/211 Vista Equity Partners Fund IV Vista Equity Partners $5,, 1/28/211 Tenaya Capital VI Tenaya Capital Partners $75,, 11/15/211 Oaktree European Principal Fund III Oaktree Capital Management 35,617,6 12/7/211 Mount Kellet Capital Partners II Mount Kellet Capital Partners $75,, 2/15/212 Accel-KKR Capital Partners IV AKKR Management Company $1,, 3/16/212 Real Estate Credit Strategies Inflation Portfolio DRA Growth & Income Fund VII DRA Advisors $15,, 5/9/211 Lone Star Real Estate Partners II Lone Star Real Estate Partners $3,, 5/26/211 Harrison Street Real Estate Partners III Harrison Street Real Estate Capital $6,, 6/6/211 Blackstone Real Estate Partners VII The Blackstone Group $3,, 8/15/211 WCP Real Estate Fund III(A) Westport Capital Partners $1,, 12/16/211 Brookfield Real Estate Finance Fund III Brookfield Real Estate Partners $1,, 12/3/211 CVI Credit Value Fund CarVal Investors $15,, 6/29/211 Varde Fund X Varde Partners $1,, 6/29/211 Saba Capital Partners Saba Capital Partners $1,, 8/31/211 Claren Road Credit Fund Claren Road Asset Management $1,, 9/3/211 Oaktree Value Opportunities Fund Oaktree Capital Management $15,, 1/25/211 GSO Capital Opportunities Fund II GSO Capital Partners $1,, 11/17/211 Fortress Credit Opportunities Fund III Fortress Investment Group $75,, 3/19/212 Vermillion Celadon Vermillion $3,, 4/29/211 Credit Suisse Enhanced Credit Suisse $5,, 5/31/211 Blackstone Resources Select Blackstone Alternative Asset Management $5,, 6/29/211 ArcLight Energy Partners Fund V ArcLight Capital Holdings $1,, 1/14/211 Energy Capital Partners II (Summit Co-Invest) Energy Capital Partners $2,, 1/2/211 EIF US Power Fund IV EIF Management $75,, 1/25/211 EnCap Energy Capital Fund VIII Co-Invest EnCap Investments $12,148, 12/8/211 Perella Weinburg Partners ABV Opp Fund III Perella Weinburg Partners $15,, 12/2/211 Denham Commodity Partners Fund VI Denham Capital $75,, 2/28/212 RK Mine Finance Fund II Red Kite General Partner Limited $75,, 3/29/212 None * Closing date for Global Equity is the date account was funded