June 27, 2013 - Public Employees Retirement Association of New ...

PERA Executive Investment Summary
May 2013
Portfolio Manager Views:
Public Equity:
In May, small cap stocks outperformed large cap with the S&P 500 posting 2.34% and the Russell
2000 Index posting 4.00%. The U.S. equity markets continued positively due to better than
expected U.S. employment data and corporate earnings. May was the 7 th consecutive monthly rise
in the S&P 500. NMPERA’s small cap value managers, DFA and MetWest both exceeded their
benchmark in excess of 150 basis points, both managers underweighted REITS and utilities which
helped since both sectors did poorly for the month. International equity saw a negative return for
the month; the NMPERA managers had mixed results although the international small cap managers
held up the best. Small and Smid Cap growth managers, RBC and TimesSquare, whose contracts
were recently renewed, fared well for the month. For the 5 year return, both managers have
exceeded their benchmarks by at least 350 basis points.
~ LeAnne Larrañaga-Ruffy
Fixed Income:
In May, the fixed income markets were negative with the Barclays U.S. Aggregate bond index
posting -1.78%. The Fed announced possible reduction of the quantitative easing stimulus which
caused the Fixed Income markets to slide, with Treasuries being hit the hardest and riskier assets
such as high yield and emerging markets also being impacted negatively. All of NMPERA’s managers
struggled for the month, posting negative returns with only the global managers beating their
respective benchmarks. Manulife, which was slow out of the gate after being hired in 2011, has
exceeded their benchmark by 850 basis points for the one year return. In May they had an excess
return of 101 basis points, due to their underweight exposure to U.S. Treasuries and a shorter
duration. In addition their use of the British pound and Canadian dollar hedges, emerging market
positions within Asia benefitted performance.
~ LeAnne Larrañaga-Ruffy
Real Assets:
PERA’s Real Assets private partnerships called $1.7 million during the month of May. Distributions
of $5.3 million were received during the month. Year to date the portfolio of sixteen partnerships
drawn $243 million on $417 million in commitments. Cumulative distributions total $77.6 million,
with an (unrealized) fair value of $208 million, resulting in an Internal Rate of Return of 10.43%, or
1.22x cost since the inception of the program. Various areas of real assets provided modest results
for the month of May. Crude oil, gold and natural gas in particular, provided divergent returns. WTI
Brent spread increased to an eight month high given the increased geo-political volatility in the
Middle East leaning towards possible reduced exports. Agriculture commodities were mixed with a
couple of leaders: coffee, wheat and soybeans.
~ Christina Keyes
Private Equity:
As of May 31, 2013 the Private Equity portfolio is 65% drawn ($628 million) on $887 million
committed. Residual fair value ($543 million) plus cumulative distributions ($224 million) make for
a total fair value of $768 million, or 1.22 times cost, and a net since inception IRR of +8.26%.
PERA’s $40mm 2013 commitment to Carlyle VI buyout fund is in the last stages of closing. This is
PERA’s first of four private equity commitments slated for 2013.
~Joaquin Lujan
4