A. Risks, Returns and Assets B. Update on SDCERA s Private Markets Assets 1
Part A. Assets, Risks and Returns, and Alignment The theory behind private investments is that management can (1) make more operational improvements over a longer time horizon than can be done in public markets, (2) be more aggressive in the use of leverage and capital structure than is typical in public markets, and (3) gain access to investments while they are small before they go public or are sold to a strategic buyer. Returns are expected to be higher to match the higher earnings gains and compensate for the lack of liquidity and lower public knowledge of the investment. Assets Chart 1. Private Equity Market Assets through 2014. The emergence of the leveraged buyout industry is associated with the low price-earning ratios and low profit margins of the early 1980s. The venture capital industry is connected to the waves of technology investments driven by innovations in the computer and internet/wireless industries. The successful KKR buyout of conglomerate Beatrice in 1986 and technology public offerings of firms like Apple and Microsoft were part of the emergence of private equity as an asset class. These successes led to a wide range of private markets investing, from the successful buyout and restructuring of almost bankrupt Continental Airlines in 1993 to the internet/wireless boom of the late 1990s. By 2000, the private equity industry had grown to approximately $420 billion in assets from its beginnings in the early 1980s. From 2000 through 2014, the industry expanded from $420 billion to $2.7 trillion as pension plans and endowments searched to earn higher returns than they expected to earn in the public markets, especially after the large losses in public equities in 2000 and 2001. The number of buyout firms has grown from a handful in 1980 to an estimated 12,000 today. Not surprisingly, the surge in private market investments and participant investors has been associated with a decrease in investment returns. 2
Risks Private markets investments have unique risks: The investment is illiquid and the investor has limited governance rights. The realized returns 1 to the Trust Fund are not known for up to ten years. The sponsor of the fund, typically referred to as the General Partner (GP), has control of almost all aspects of the investment, including when to invest, the structure of the investment, and when and how to realize gains and losses. The GP provides the interim valuations of the fund holdings until they are sold in a market transaction. Limited regulation and enforcement oversight from the Securities and Exchange Commission (SEC) or Financial Industry Regulatory Agency (FINRA). Private markets investments are governed by contract law and the specifics of each agreement. Returns Unlike the public markets there is no generally accepted best return measure for private equity. This is due to the episodic nature of private equity cash flows combined with no SAMURAI-type benchmarks 2. Typical measures for measuring returns are internal rate of return (IRR), private market equivalent of public markets cash flows (PME), total value to paid in (TVPI), and distributed to paid in (DPI). The final realized returns to the Limited Partners are quite sensitive to market cycles, have high within vintage variability (hence, picking winners matters), and uncertain sustainability of returns from fund to fund within the same GP family. Chart 2. Returns of Buyout Investments, Vintage years 1984 through 2010 o Returns are cyclical; there is a downtrend in returns o Returns are sensitive to investment waves o Vintage years since 2006 have not outperformed the Russell 3000 stock market index 1 Vintage year realized returns are for investments made in that vintage year and then realized up to 10 years later. 2 A review of benchmarks and a SAMURAI benchmark can be found in August 2016 Board Meeting (Item 7.E) at: http://sdcera.granicus.com/mediaplayer.php?view_id=2&clip_id=660&meta_id=72935 3
Chart 3. Returns of Venture Capital, Vintage years 1984 through 2010 o Returns are highly cyclical o For many vintage years, returns were materially below the Russell 3000 o In 11 of the 27 vintage years from 1984 through 2010, the median fund did not outperform the Russell 3000 Chart 4. Within Vintage Return Differences o Picking the winners matters Chart 5A. Persistence of Fund Family Performance: Buyout Funds Chart 5B. Persistence of Fund Family Performance: Venture Funds o A fund sponsor s success from fund to fund is limited Chart 6A. CERL County Total Trust Fund Returns and Private Market Investment Allocations Chart 6B. CERL County Total Trust Fund Returns and Investment Expenses o Different private asset allocations and returns that are almost all the same Alignment Since its inception, the fee structure of the private equity market has been (1) a fixed management fee to pay for the fixed cost of the private equity firm and (2) a share of the profit of the investments. These fees have been approximately a 2% fixed management fee plus investment gains after a hurdle rate, typically 8%, shared 20% to the GP and 80% to the LP. These fee levels are higher than public markets fees, reflecting (1) the fixed costs of establishing and maintaining the skilled staff to evaluate, manage, and sell operating companies, (2) higher return expectations, and (3) a balance of negotiating power based upon the large flow of pension assets into private equity. Due to the long delays in realizing gains and industry billing conventions, fees can be harder to see, measure, and match to final portfolio gains. The private equity industry would like an ongoing and reliable source of capital while being paid well to invest and manage that capital. Investors want (1) returns in excess of what can be earned in the public risk markets, (2) an alignment that lowers the costs of private equity investing and is transparent on all fees, and (3) provides more flexibility than a ten-year investment window with limited property and governance rights. The evidence is that while the private equity industry is attaining its goals, pension fund investors, in aggregate, are not. 4
Implications A private markets investment is more than an allocation to an asset class; it is a contractually defined long-term relationship between SDCERA and the Fund Sponsor. Private markets returns are cyclical; therefore, underwriting and valuation matter. Investments are complex and have unique structures: therefore, transparency, alignment, manager skill, and incentives matter. Exit strategies, typically an initial public offering (IPO) or sale to a strategic buyer, can matter as much as the initial investment characteristics and operational management. The legal contracts, typically the Limited Partner Agreement (LPA) and associated documents, specifies the investors rights and flexibility to manage changing circumstances over a period of up to 10 years; therefore, careful attention to the details of these are contractual agreements are important. 5
Chart 1 Private Equity Market Assets through 2014 Invested assets: $2.7 trillion Callable capital ( dry powder ): $1.1 trillion 6
# funds Percent per yaer Chart 2 Returns of Buyout Investments 40% 35% 30% 25% 20% 15% 10% 5% 0% Buyout average IRR Vintage years 1984 to 2010 1984 1987 1990 1993 1996 1999 2002 2005 2008 100 Number of Buyout funds Vintage years 1984 to 2010 0 1984 1987 1990 1993 1996 1999 2002 2005 2008 Source: Harrison, Jenkinson, and Kaplan, 2015. Calculations through 2015. Data used: Burgiss data for 300 pension plans with $750 billion in private assets investments The chart is the weighted average of the vintage year IRRs. The weights are capital committed. 7
# funds Percent per year Chart 3 Returns of Venture Capital 90% Venture IRR Vintage years 1984 to 2010 70% 50% 30% 10% -10% 1984 1987 1990 1993 1996 1999 2002 2005 2008 Venture no. funds: Vintage years 1984 to 2010 100 50 0 1984 1987 1990 1993 1996 1999 2002 2005 2008 Source: Harrison, Jenkinson, and Kaplan, 2015. Calculations through 2015. Data used: Burgiss data for 300 pension plans with $750 billion in private assets investments The chart is the weighted average of the vintage year IRRs. The weights are capital committed. 8
Ratio of private equity retrun to the S&P 500 Chart 4 Within Vintage Return Differences 2.5 Within vintage variation: Average PME returns by quartile 708 buyout funds and 870 venture funds Vintage years 1984 to 2010 2.0 1.5 1.0 0.5 0.0 top quartile 2nd quartile 3rd quartile bottom quartile Venture funds Buyout funds 9
Chart 5A Persistence of Fund Family Performance Buyout funds: % return per year in each quartile Limited to no relationship 35% 30% 25% 20% 15% 10% 5% 0% 50% Relationship of Prior Top Quartile Performance Full Sample Results quartile 1 quartile 2 quartile 3 quartile 4 Relationship of Prior Top Quartile Performance Pre-2001 Results 40% 30% 20% 10% 0% quartile 1 quartile 2 quartile 3 quartile 4 Relationship of Prior Top Quartile Performance Post-2001 Results 35% 30% 25% 20% 15% 10% 5% 0% quartile 1 quartile 2 quartile 3 quartile 4 Source: Harris, Jenkinson, Kaplan, and Stucke 2014 Data: Burgiss data for 200 plans with $1 trillion in committed capital 10
Chart 5B Persistence of Fund Family Performance Venture funds: % return per year in each quartile Winners keep winning 50% 40% 30% 20% 10% Relationship of Prior Top Quartile Performance Full Sample Results 0% 50% quartile 1 quartile 2 quartile 3 quartile 4 Relationship of Prior Top Quartile Performance Pre-2001 Results 40% 30% 20% 10% 0% 50% quartile 1 quartile 2 quartile 3 quartile 4 Relationship of Prior Top Quartile Performance Post-2001 Results 40% 30% 20% 10% 0% quartile 1 quartile 2 quartile 3 quartile 4 Source: Harris, Jenkinson, Kaplan, and Stucke 2014 Data: Burgiss data for 200 plans with $1 trillion in committed capital 11
Chart 6A CERL County Total Trust Fund Returns and Private Market Investment Allocations Rates of Returns versus Private Equity Investments California CERL County 5-year returns as of Fiscal Year 2015 Private assets % total 5 year returns 5-year average, all CERL plans 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% *Net of Fees from 2015 CAFR **Net of Fees Q2_2015 Quarterly Consultant Report ***Net of Fees Calculated using Q2_2016 Consultant Report Gross of Fees-Fees Expense BPS ****Net of Fees from 2015 PAFR *****Net of Fees ending December 2015 (from ACERA Sr. Inv. Officer)or June 30, 2015 (from OCERS Inv. Analyst) 12
Chart 6B CERL County Total Trust Fund Returns and Investment Expenses Investment Expenses and Returns California CERL County 5-yesr returns as of Fiscal Year 2015 Fees bps 5 year returns 5-year average, all CERL plans 120 14% 110 109 100 96 12% 10% 80 79 75 69 68 66 8% 60 58 57 53 53 48 45 43 42 6% 40 38 36 34 4% 28 20 2% 0 0% *Net of Fees from 2015 CAFR **Net of Fees Q2_2015 Quarterly Consultant Report ***Net of Fees Calculated using Q2_2016 Consultant Report Gross of Fees-Fees Expense BPS ****Net of Fees from 2015 PAFR *****Net of Fees ending December 2015 (from ACERA Sr. Inv. Officer)or June 30, 2015 (from OCERS Inv. Analyst) 13
Part B. Update on SDCERA s Private Markets Assets Assets (millions) Total Trust Fund $10,935 Total Private Assets $2,423 22% Real Estate $970 9% Private Equity $663 6% Real Assets $663 6% Private Debt $127 1% 22% Outstanding Commitments Real Estate n/a Private Equity $317 Real Assets $132 Private Debt n/a FY16 Pacing Distributions $430 Captial calls $330 See Appendix for line item details 14
Appendix Private Markets Assets Detail Source: Verus Portfolio Review as of 30 June 2016 15
IRR Analysis as of Valuation date Market Vaue Distrib./ Tot. Value/ Reported Vintage as of Valuation Total Capital % Remaining Capital Paid-In Paid-In IRR Since Valuation Year 3 Manager/Fund Date 3 Commitment 3 Called 3,4 Called Commitment 3 Returned 3 (DPI) 1 (TVPI) 2 Inception 3 Date 3 Private Credit 2013 Apollo Credit Opportunities Fund III LP $62,901,609 $100,000,000 $146,272,128 146% -$46,272,128 $70,505,630 48.2% 91.2% -14.4% 03/31/16 2013 Oaktree European Dislocation Fund (US) LP $14,586,734 $90,000,000 $48,771,000 54% $41,229,000 $37,764,328 77.4% 107.3% 9.4% 03/31/16 2014 D.E. Shaw Alkali Fund II LP $40,729,720 $45,000,000 $52,878,255 118% -$7,878,255 $10,847,707 20.5% 97.5% -1.8% 03/31/16 Private Equity 1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $709,154 $34,700,000 $34,179,500 99% $520,500 $53,333,744 156.0% 158.1% 9.0% 03/31/16 1998 Oak Hill Capital Partners (Bermuda) $46,563 $10,000,000 $11,072,753 111% -$1,072,753 $18,858,513 170.3% 170.7% 10.6% 03/31/16 1999 Code, Hennessy & Simmons IV, L.P. $25,126 $10,000,000 $10,076,000 101% -$76,000 $15,727,103 156.1% 156.3% 12.1% 03/31/16 1999 OCM Opportunities Fund III, L.P. $147,260 $10,500,000 $10,500,000 100% $0 $15,655,928 149.1% 150.5% 11.8% 03/31/16 2001 Blackstone Capital Partners IV, L.P. $3,788,292 $15,000,000 $18,456,292 123% -$3,456,292 $41,864,557 226.8% 247.4% 54.3% 03/31/16 2001 Cerberus Institutional Partners, L.P. Series Two $15,983 $10,000,000 $8,600,227 86% $1,399,773 $26,700,965 310.5% 310.7% 26.7% 03/31/16 2001 Lexington Capital Partners V, L.P. $772,653 $10,000,000 $11,026,975 110% -$1,026,975 $17,049,602 154.6% 161.6% 18.2% 03/31/16 2001 OCM Opportunities Fund IV, L.P. $32,802 $10,000,000 $10,000,000 100% $0 $16,472,801 164.7% 165.1% 28.6% 03/31/16 2003 TPG Partners IV, L.P. $2,154,866 $10,000,000 $11,160,320 112% -$1,160,320 $21,285,399 190.7% 210.0% 21.0% 03/31/16 2004 Paul Capital Partners VIII-B $2,534,709 $15,000,000 $15,113,907 101% -$113,907 $18,613,379 123.2% 139.9% 9.2% 03/31/16 2004 Graham Partners II, L.P. $2,328,086 $7,500,000 $7,674,790 102% -$174,790 $11,685,740 152.3% 182.6% 12.2% 03/31/16 2004 Providence Equity Partners V, L.P. $2,876,980 $10,000,000 $12,592,186 126% -$2,592,186 $12,411,657 98.6% 121.4% 3.8% 03/31/16 2005 Northgate Private Equity Partners II, L.P. $4,651,648 $15,000,000 $14,250,000 95% $750,000 $16,321,578 114.5% 147.2% 7.9% 03/31/16 2005 Lexington Capital Partners VI-B, L.P. $3,116,642 $10,000,000 $10,774,432 108% -$774,432 $11,355,663 105.4% 134.3% 6.9% 03/31/16 2005 OCM Opportunities Fund VI, L.P. $334,258 $5,000,000 $5,000,000 100% $0 $7,540,808 150.8% 157.5% 8.8% 03/31/16 2006 Bain Capital Fund IX Coinvestment Fund, L.P. $471,013 $1,500,000 $1,886,625 126% -$386,625 $2,482,348 131.6% 156.5% 8.8% 03/31/16 2006 Bain Capital Fund IX, L.P. $1,886,970 $7,000,000 $7,524,565 107% -$524,565 $9,940,355 132.1% 157.2% 8.1% 03/31/16 2006 Blackstone Capital Partners V, L.P. $7,180,608 $15,000,000 $15,667,704 104% -$667,704 $19,243,250 122.8% 168.7% 9.0% 03/31/16 2006 Charterhouse Capital Partners VIII, L.P. $1,413,565 $11,395,500 $12,145,670 107% -$750,170 $10,388,387 85.5% 97.2% -0.5% 03/31/16 2006 Coller International Partners V-A, L.P. $2,878,447 $10,000,000 $8,292,981 83% $1,707,019 $9,142,183 110.2% 144.9% 8.9% 03/31/16 2006 Hellman & Friedman Capital Partners VI, L.P. $3,578,219 $15,000,000 $15,989,045 107% -$989,045 $24,932,789 155.9% 178.3% 13.7% 03/31/16 2006 Northgate Private Equity Partners III, L.P. $7,187,565 $15,000,000 $13,650,000 91% $1,350,000 $11,932,159 87.4% 140.1% 6.8% 03/31/16 2006 TA X, L.P. $1,680,478 $13,000,000 $12,545,000 97% $455,000 $14,625,000 116.6% 130.0% 5.0% 03/31/16 2006 TA Subordinated Debt Fund II, L.P. $742,793 $8,000,000 $6,960,000 87% $1,040,000 $8,222,888 118.1% 128.8% 7.5% 03/31/16 2006 Cerberus Institutional Partners, L.P. Series Four $5,594,699 $15,000,000 $13,851,643 92% $1,148,357 $16,498,406 119.1% 159.5% 8.0% 03/31/16 2006 Paul Capital Partners IX, L.P. $5,359,685 $20,000,000 $16,644,991 83% $3,355,009 $13,500,869 81.1% 113.3% 3.7% 03/31/16 2007 Capital International Private Equity Fund V, L.P. $2,066,773 $10,000,000 $11,023,157 110% -$1,023,157 $9,127,665 82.8% 101.6% 0.5% 03/31/16 2007 Greenbriar Equity Fund II, L.P. $2,076,892 $10,000,000 $8,613,819 86% $1,386,181 $9,463,521 109.9% 134.0% 8.1% 03/31/16 2007 OCM Opportunities Fund VII, L.P. $943,239 $7,500,000 $7,500,000 100% $0 $9,367,550 124.9% 137.5% 7.6% 03/31/16 1 (DPI) is equal to (capital returned / capital called) 2 (TVPI) is equal to (market value + capital returned) / capital called 3 Data source: The Burgiss Group Private i Module 4 Capital called may include recallable distributions
IRR Analysis as of Valuation date Market Vaue Distrib./ Tot. Value/ Reported Vintage as of Valuation Total Capital % Remaining Capital Paid-In Paid-In IRR Since Valuation Year 3 Manager/Fund Date 3 Commitment 3 Called 3,4 Called Commitment 3 Returned 3 (DPI) 1 (TVPI) 2 Inception 3 Date 3 Private Equity 2007 OCM Opportunities Fund VIIb, L.P. $1,129,561 $12,500,000 $11,250,000 90% $1,250,000 $18,077,097 160.7% 170.7% 16.7% 03/31/16 2008 Bain Capital Fund X, L.P. $8,830,428 $15,000,000 $15,367,077 102% -$367,077 $12,507,051 81.4% 138.9% 8.4% 03/31/16 2008 Emerging Europe Growth Fund II $4,476,829 $10,000,000 $9,346,983 93% $653,017 $3,448,978 36.9% 84.8% -4.7% 03/31/16 2008 Onex Partners III, L.P. $14,689,875 $15,000,000 $16,871,706 112% -$1,871,706 $10,299,277 61.0% 148.1% 13.2% 03/31/16 2009 Hellman & Friedman Capital Partners VII, L.P. $14,875,454 $15,000,000 $14,353,877 96% $646,123 $4,889,518 34.1% 137.7% 16.0% 03/31/16 2009 GSO Capital Solutions Fund $17,715,788 $50,000,000 $72,750,156 146% -$22,750,156 $72,247,073 99.3% 123.7% 11.3% 03/31/16 2010 Blackstone Capital Partners VI, L.P. $91,033,757 $100,000,000 $88,865,298 89% $11,134,702 $15,592,344 17.5% 120.0% 10.0% 03/31/16 2010 Drug Royalty II LP $562,904 $25,000,000 $24,898,488 100% $101,512 $32,390,710 130.1% 132.4% 21.1% 06/30/15 2010 Gores Capital Partners III, L.P. $39,409,372 $75,000,000 $70,682,775 94% $4,317,225 $44,564,240 63.0% 118.8% 6.8% 03/31/16 2010 Baring Asia Private Equity Fund V $55,716,475 $50,000,000 $64,715,220 129% -$14,715,220 $22,828,186 35.3% 121.4% 11.0% 03/31/16 2010 Capital International Private Equity Fund VI, L.P. $24,731,187 $50,000,000 $40,003,359 80% $9,996,641 $6,692,908 16.7% 78.6% -11.9% 03/31/16 2010 RMF 2 Co-Investment Fund, L.P. $7,396,841 $25,000,000 $8,935,111 36% $16,064,889 $2,196,608 24.6% 107.4% 3.0% 03/31/16 2010 OCM European Principal Fund III, L.P. $75,990,038 $68,373,000 $64,898,091 95% $3,474,909 $6,582,286 10.1% 127.2% 10.0% 03/31/16 2011 EQT VI $48,686,705 $45,582,000 $46,183,583 101% -$601,583 $4,058,382 8.8% 114.2% 5.9% 03/31/16 2011 Gores Small Capital Partners $8,817,201 $30,000,000 $18,481,872 62% $11,518,128 $13,695,665 74.1% 121.8% 11.3% 03/31/16 2012 TPG Asia VI, L.P. $32,816,815 $75,000,000 $43,803,053 58% $31,196,947 $13,558,665 31.0% 105.9% 5.1% 03/31/16 2012 FountainVest China Growth Capital Fund II $47,767,145 $50,000,000 $33,487,011 67% $16,512,989 $3,836,523 11.5% 154.1% 31.6% 03/31/16 2012 Drug Royalty III LP $6,550,440 $60,000,000 $11,028,718 18% $48,971,282 $3,333,746 30.2% 89.6% -9.6% 03/31/16 2012 GSO Capital Solutions Fund II, LP $27,325,969 $90,000,000 $30,699,136 34% $59,300,864 $4,127,025 13.4% 102.5% 3.3% 03/31/16 2013 New Mountain Partners IV, L.P. $39,738,407 $90,000,000 $35,362,982 39% $54,637,018 $2,002,973 5.7% 118.0% 22.7% 03/31/16 2014 SSG III $18,470,429 $60,000,000 $27,684,953 46% $32,315,047 $7,457,566 26.9% 93.7% -8.2% 03/31/16 2015 EQT VII (No.2) Limited Partnership $269,165 $56,977,500 $898,125 2% $56,079,375 $5,581 0.6% 30.6% -92.9% 03/31/16 Real Assets 2005 EnerVest Energy Institutional Fund X-B, L.P. $99,745 $10,000,000 $10,043,273 100% -$43,273 $10,126,473 100.8% 101.8% 0.5% 03/31/16 2005 Merit Energy Partners F, L.P. $3,233,484 $8,000,000 $4,761,830 60% $3,238,170 $2,180,154 45.8% 113.7% 2.4% 03/31/16 2006 EnCap Energy Capital Fund VI, L.P. $456,001 $9,000,000 $9,947,342 111% -$947,342 $17,378,120 174.7% 179.3% 26.9% 03/31/16 2007 EnCap Energy Capital Fund VII, L.P. $945,593 $10,000,000 $11,143,426 111% -$1,143,426 $14,323,365 128.5% 137.0% 17.7% 03/31/16 2007 EnerVest Energy Institutional Fund XI-B, L.P. $4,445,569 $15,000,000 $15,154,412 101% -$154,412 $10,741,351 70.9% 100.2% 0.0% 03/31/16 2008 Global Infrastructure Partners A, L.P. $31,375,860 $75,000,000 $85,636,956 114% -$10,636,956 $132,264,260 154.4% 191.1% 17.8% 03/31/16 2008 Macquarie Infrastructure Partners II $58,686,937 $75,000,000 $80,245,662 107% -$5,245,662 $57,027,554 71.1% 144.2% 8.8% 03/31/16 2008 Kayne Anderson Energy Fund V, L.P. $6,029,693 $15,000,000 $15,924,577 106% -$924,577 $15,869,067 99.7% 137.5% 16.3% 03/31/16 2010 J.P.M. Global Maritime Investment Fund $35,908,829 $75,000,000 $63,581,372 85% $11,418,628 $5,959,033 9.4% 65.8% -24.9% 03/31/16 2010 Falcon E&P $21,186,331 $75,000,000 $79,865,217 106% -$4,865,217 $49,934,935 62.5% 89.1% -7.2% 03/31/16 2010 Brookfield Americas Infrastructure Fund, L.P. $83,404,000 $75,000,000 $79,755,213 106% -$4,755,213 $31,914,765 40.0% 144.6% 11.7% 03/31/16 1 (DPI) is equal to (capital returned / capital called) 2 (TVPI) is equal to (market value + capital returned) / capital called 3 Data source: The Burgiss Group Private i Module 4 Capital called may include recallable distributions
IRR Analysis as of Valuation date Market Vaue Distrib./ Tot. Value/ Reported Vintage as of Valuation Total Capital % Remaining Capital Paid-In Paid-In IRR Since Valuation Year 3 Manager/Fund Date 3 Commitment 3 Called 3,4 Called Commitment 3 Returned 3 (DPI) 1 (TVPI) 2 Inception 3 Date 3 Real Assets 2011 Molpus Woodlands Fund III $46,847,607 $50,000,000 $47,250,000 95% $2,750,000 $11,035,018 23.4% 122.5% 6.0% 03/31/16 2011 Red Kite Mine Finance Fund $68,724,925 $50,000,000 $50,000,000 100% $0 $0 0.0% 137.4% 10.6% 05/31/16 2011 Taurus Resources Fund II Ltd. $28,904,082 $75,000,000 $71,791,571 96% $3,208,429 $14,070,698 19.6% 59.9% -22.1% 12/31/15 2011 Brookfield Brazil Agriland $52,906,000 $75,000,000 $70,694,000 94% $4,306,000 $0 0.0% 74.8% -9.7% 12/31/15 2011 Denham Commodity Partners Fund VI, L.P. $16,858,234 $50,000,000 $27,213,748 54% $22,786,252 $13,186,520 48.5% 110.4% 5.3% 03/31/16 2012 Amerra Agri Fund II $43,674,786 $50,000,000 $51,582,915 103% -$1,582,915 $19,390,063 37.6% 122.3% 9.0% 03/31/16 2012 Hancock Agricultural Investment Group-Separate Accou $44,890,872 $100,000,000 $37,300,000 37% $62,700,000 $100,000 0.3% 120.6% 7.9% 03/31/16 2013 Actis Energy 3 $17,867,000 $50,000,000 $18,313,439 37% $31,686,561 $1,369,032 7.5% 105.0% 4.1% 03/31/16 2013 Actis Energy 3 Co-Investment, LP $7,118,000 $12,500,000 $6,443,574 52% $6,056,426 $279,067 4.3% 114.8% 16.0% 03/31/16 2014 Energy & Minerals Group Fund III LP $49,953,376 $75,000,000 $62,628,169 84% $12,371,831 $1,389,765 2.2% 82.0% -15.0% 03/31/16 2014 EMG AENO Co-Investment LP $4,296,430 $6,000,000 $4,342,137 72% $1,657,863 $0 0.0% 98.9% -0.8% 03/31/16 2014 EMG AEPB Co-Investment $3,527,477 $6,000,000 $6,000,000 100% $0 $0 0.0% 58.8% -26.9% 03/31/16 Real Estate 1999 Hearthstone MSII Homebuilding Investors, L.L.C. $443 $10,000,000 $7,969,656 80% $2,030,344 $13,884,971 174.2% 174.2% 44.2% 03/31/16 2000 RREEF I.M.A. $418,746,237 $255,126,000 $524,011,553 205% -$268,885,553 $372,308,659 71.0% 151.0% 10.0% 03/31/16 2004 Southern California Smart Growth Fund $2,843,675 $25,000,000 $39,530,787 158% -$14,530,787 $33,468,973 84.7% 91.9% -2.8% 03/31/16 2005 Canyon-Johnson Urban Fund II, L.P. $1,496,594 $30,000,000 $27,090,590 90% $2,909,410 $9,895,945 36.5% 42.1% -11.6% 03/31/16 2005 RREEF Rio San Diego Plaza II $25,727,686 $25,925,218 $27,074,261 104% -$1,149,043 $12,325,000 45.5% 140.5% 4.1% 03/31/16 2005 LaSalle Asia Opportunity Fund II, L.P. $220,897 $25,000,000 $24,065,758 96% $934,242 $25,752,817 107.0% 107.9% 1.7% 03/31/16 2006 Cornerstone Hotel Income Equity Fund $15,064 $10,000,000 $9,893,271 99% $106,729 $8,901,092 90.0% 90.1% -2.1% 03/31/16 2006 California Smart Growth Fund IV $10,786,212 $25,000,000 $26,170,087 105% -$1,170,087 $18,165,635 69.4% 110.6% 1.9% 03/31/16 2007 Allegis Value Trust $23,208,233 $25,000,000 $25,582,252 102% -$582,252 $7,859,296 30.7% 121.4% 2.8% 03/31/16 2007 Cornerstone Apartment Venture III $24,114 $25,000,000 $16,325,773 65% $8,674,227 $19,531,944 119.6% 119.8% 4.4% 03/31/16 2007 PRISA II $40,691,070 $35,000,000 $35,051,409 100% -$51,409 $7,697,856 22.0% 138.1% 4.6% 03/31/16 2007 Blackstone Real Estate Partners VI $30,016,996 $50,000,000 $52,817,033 106% -$2,817,033 $73,531,817 139.2% 196.1% 14.1% 03/31/16 2007 PRISA III, L.P. $68,287,594 $50,000,000 $49,991,690 100% $8,310 $19,898,716 39.8% 176.4% 9.4% 03/31/16 2008 Trophy Property Development, L.P. $5,239,073 $15,000,000 $14,579,645 97% $420,355 $4,842,264 33.2% 69.1% -5.2% 03/31/16 2008 CB Richard Ellis Strategic Partners US V, L.P. $17,341 $40,000,000 $40,146,542 100% -$146,542 $56,129,549 139.8% 139.9% 15.7% 03/31/16 2011 JPMCB Strategic Property Fund $303,728,146 $200,000,000 $207,917,468 104% -$7,917,468 $41,515,317 20.0% 166.0% 12.4% 03/31/16 2011 Amstar SD Partners $103,272,878 $200,000,000 $254,992,209 127% -$54,992,209 $236,426,925 92.7% 133.2% 17.8% 03/31/16 Total Private Managers $2,437,477,900 $3,724,579,218 $3,626,590,356 97% $97,988,862 $2,258,563,340 62.3% 129.5% % of Portfolio (Market Value) 23.8% 1 (DPI) is equal to (capital returned / capital called) 2 (TVPI) is equal to (market value + capital returned) / capital called 3 Data source: The Burgiss Group Private i Module 4 Capital called may include recallable distributions