Beruflich Dokumente
Kultur Dokumente
Source: Invient
Net Contributed NAV Net Distributed
Inception-to-date Net IRR
QUARTER-OVER-QUARTER PERFORMANCE
All investment strategies generated positive performance during the quarter g g p p g q
In Q4 2013, Buyout funds generated a net gain of $44.6 million, or 61% of the total net gain
Venture capital, growth equity and special situations strategies also generated net gains
84 funds reported net gains compared to 27 funds reporting net losses p g p p g
NM SIC Private Equity Portfolio - Quarterly NAV Changes
As of December 31, 2013 ($ in millions)
$1,750
$48.7
$79.2
$73.2
$40.6
$113.2
$73.3
$1,500
$1,459.9
$1,502.7 $1,503.3
6/30/13 NAV Net
Contributions
Net
Distributions
Net Gain 9/30/13 NAV Net
Contributions
Net
Distributions
Net Gain 12/31/13 NAV
$1,250
NM SIC 3
Source: Invient
DI VERSI FI CATI ON: VI NTAGE YEAR
The Program has exposure across multiple vintage years
More than 50% of exposure is in funds with vintage years 2008 or later as of December 31, 2013
Private equity strategy targets $500 million of commitments per year to six to eight managers
The SIC has approved four commitments totaling $350 million in 2014
Diversification and Pacing by Vintage Year - NM SIC National Private Equity Program Active Commitments
As of December 31, 2013 ($ in millions) , ($ )
Paci ng by Vi ntage Year Exposure by Vi ntage Year
$350.0
$400.0
$450.0
1997-2004
14%
2013
15%
$150.0
$200.0
$250.0
$300.0
2005
9%
2006
14%
2012
13%
$-
$50.0
$100.0
14%
2007
12% 2008
9%
2009
6%
2010
0%
2011
8%
NM SIC 4
Source: Invient. Does not include liquidated or sold funds. Exposure defined as net asset value plus unfunded commitments.
Vintage year defined by the first cash flow of the fund.
DI VERSI FI CATI ON: STRATEGY
The portfolio is within strategy allocation targets
Strategy Allocation
As of December 31, 2013 ($ in millions)
Target Al l ocati on NAV Unfunded Total Exposure
Strategy Low Hi gh $ % $ % $ %
Venture Capital 0% - 10% 79.5 $ 5.3% 8.0 $ 0.8% 87.4 $ 3.4%
Growth Equity 10% - 20% 176.2 11.7% 124.2 11.8% 300.3 11.8%
Buyout 50% - 70% 966.3 64.3% 661.0 63.1% 1,627.3 63.8%
Special Situations 15% - 25% 281.4 18.7% 255.2 24.3% 536.6 21.0%
Total
1,503.3 $ 100.0% 1,048.3 $ 100.0% 2,551.6 $ 100.0%
Source: Data from Invient and target allocations from January 24, 2012 strategy presentation to NM SIC. Target allocation refers to portfolio's total exposure (NAV + Unfunded).
Diversification by Strategy - NM SIC National Private Equity Program Active Commitments
As of December 31, 2013
By Commi tment By Exposure
Growth Equi ty
Speci al
Si tuati ons
20%
Growth Equi ty
Speci al
Si tuati ons
22%
Buyout
62%
Venture Capi tal
8%
Growth Equi ty
10%
Buyout
64%
Venture Capi tal
3%
Growth Equi ty
13%
NM SIC 5
Source: Invient. Does not include liquidated or sold funds. Exposure defined as net asset value plus unfunded commitments.
DI VERSI FI CATI ON: GEOGRAPHY AND I NDUSTRY
Portfolio is concentrated in North America and diversified across industries
Geographic diversification is based on the headquarters of the underlying portfolio companies
The portfolio is below target in Asia and Emerging Markets (target of 10% to 20%) and above
target in North America (target of 60% to 70%)
The underlying companies are diversified across a number of industries, with consumer
companies having the largest allocation, although 1% lower than during the prior quarter
There were no significant changes in diversification compared to last quarter
Underlying Portfolio Company Diversification (By Remaining Value)
As of December 31, 2013
Geography Industry
Asi a + Emergi ng
Markets
3%
Un-
cl assi fi ed
5%
Other
7%
Europe
17%
5%
Consumer
32%
I d t i l /
Informati on
Technol ogy
12%
7%
North Ameri ca
75%
Energy
3%
Fi nanci al s
11%
Heal thcare
14%
Industri al s /
Materi al s
21%
NM SIC 6
Source: Invient. Does not include liquidated or sold funds.
14%
Copyright 2014 by LP Capital Advisors LLC.
New Mexico Private Equity Investment Program
Q4 2013 Review
May 2014
2
New Mexico Private Equity Investment Program Overview
The New Mexico Private Equity Investment Program (NMPEIP or Program) was
established in 1993 to make investments into private equity funds which in turn invest into
NM-based companies
For many years the Program was managed as a differential rate (below market rate) program
Since 2004, the Program has been managed with financial returns as the primary focus
Fiduciary-based approach with economic development benefits as a secondary consideration
Prudent Investor investment standard vs. differential rate investments
Financial returns significantly improved since 2004
1
With Sun Mountain as the Program Advisor no third party marketers or placement agents
have been used and no placement fees have been paid
1
Source: Invient (SICs private equity record keeper); as of 12/31/13
3
NMPEIP Financial Performance Comparison
1993-2003 vs. 2004-Present
Metric 1993-2003 2004-Present Difference
Internal Rate of Return -18.2% 4.4% +22.6%
Since Inception Returns $-56.5M $35.4M $91.9M
Distributions to the SIC $5.0M $107.4M $102.4M
Non-Program Investment
Into NM-based
Companies
$0.5B $1.4B +180%
Source: Invient (SICs private equity record keeper) as of 9/30/13
Program focused on economic
development
Program focused on financial returns
Advisor - Sun Mountain Capital
4
Program is in compliance with the statute
$252.8 million in net deployed capital versus a statutory cap of $401.4 million
Programs net deployed capital represents 5.7% of the Severance Tax Permanent Fund (STPF), on
track to achieve the NMPEIPs long term target allocation of 5.0%
Individual company ownership concentration levels are below statutory caps
Program financial performance has improved since 2004
Program IRR since inception has improved from -18.2% to -0.5%
NMPEIP investments have performed in line with national venture benchmarks
Program funds and their portfolio companies continue to make progress
Program impact on New Mexico is substantial
29 funds have received commitments and invested in 67 New Mexico-based companies
Capital multiplier of 6.5x has resulted in over $2.0 billion of capital invested into NM companies
NMPEIP Q4 2013 Update Summary
Source: Invient (SICs private equity record keeper); as of 12/31/13
5
NMPEIP Status Overview and Summary of Partnership Commitments
All Fund Commitment Summary Commitment Funded Percent NM Investment Value ($)
2
Return
2
Fund
as of 12/31/13 Vintage Dollars % of Fund To Date Funded
Invest
1
Realized Unrealized
3
Total Multiple IRR Liquidated
ARCH Venture Fund II, L.P. 1993 $1.2 3.9% $1.2 100.0% $67.1 $4.3 $0.0 $4.3 3.53x 44.8% Yes
ARCH Venture Fund III, L.P. 1996 $4.0 3.7% $4.0 100.0% $0.0 $3.7 $0.1 $3.8 0.95x -0.8% In Process
CVMEquity Fund V 1998 $3.0 2.6% $3.0 100.0% $1.1 $1.7 $0.0 $1.7 0.58x -6.1% Yes
Murphree Venture Partners IV, L.P. 1998 $4.0 13.8% $4.0 100.0% $4.9 $0.1 $0.0 $0.1 0.02x -71.8% Yes
Tullis/Dickerson Capital Focus II, L.P.
4
1998 $5.0 10.0% $5.0 100.0% $10.1 $2.4 $1.6 $4.0 0.79x -2.0% Yes
Valley Ventures II, L.P. 1998 $3.0 50.0% $3.0 100.0% $18.4 $2.6 $0.0 $2.6 0.87x -1.6% Yes
Vestor Partners, L.P. 1998 $2.5 24.0% $2.4 94.0% $0.0 $0.6 $0.0 $0.6 0.27x -16.4% Yes
International Venture Fund I, L.P. 2000 $5.0 30.0% $5.0 100.0% $9.6 $0.0 $1.5 $1.5 0.30x -9.9% In Process
Murphree Venture Partners V, L.P. 2000 $3.0 20.0% $3.0 100.0% $2.2 $0.9 $2.0 $3.0 1.00x -0.5%
Red River Ventures, L.P. 2000 $7.2 5.5% $7.2 100.0% $12.8 $3.6 $1.8 $5.4 0.76x -5.1%
Tullis/Dickerson Capital Focus III, L.P.
4
2001 $15.0 11.8% $15.0 100.0% $51.4 $13.3 $5.7 $18.9 1.26x 5.6%
Wasatch Venture Fund III, LLC 2001 $8.7 12.4% $8.7 100.0% $41.3 $4.0 $3.3 $7.2 0.83x -3.3%
Altira Technology Fund IV, L.P. 2002 $10.0 15.6% $10.0 100.0% $14.3 $14.1 $1.7 $15.8 1.58x 7.9%
Blue Sage Capital, L.P. 2002 $10.0 6.9% $7.6 76.4% $10.0 $17.7 $11.5 $29.3 3.83x 23.3%
ITU Ventures West I, L.P. 2002 $15.0 53.6% $15.0 100.0% $15.3 $5.9 $0.9 $6.9 0.47x -12.7% Yes
Valley Ventures III, L.P. 2002 $6.7 15.0% $6.5 98.0% $14.9 $1.0 $0.9 $1.9 0.29x -18.1%
New Mexico Co-Investment Partners, L.P.
5
2003 $62.0 100.0% $62.0 100.0% $161.7 $10.0 $3.2 $13.2 0.21x -23.2%
vSpring II, L.P.
4
2003 $20.0 23.6% $20.0 100.0% $91.8 $0.0 $6.1 $6.1 0.31x -14.5%
Flywheel I, L.P. 2004 $15.0 46.9% $15.0 100.0% $52.4 $8.0 $8.3 $16.2 1.08x 1.3%
Verge I, L.P. 2004 $10.0 47.6% $10.0 100.0% $50.6 $2.5 $6.9 $9.4 0.94x -1.2%
Wasatch New Mexico Fund, LLC 2004 $12.0 17.1% $12.0 100.0% $46.9 $0.0 $4.0 $4.0 0.34x -16.6%
ITU Ventures III NM, L.P. 2005 $2.3 1.9% $2.3 100.0% $0.0 $0.1 $0.0 $0.1 0.04x -73.6% Yes
Psilos Group Partners IIIB, L.P. 2005 $15.0 5.0% $13.8 92.0% $28.8 $8.0 $12.1 $20.2 1.46x 8.9%
Village Ventures Fund II-B, L.P. 2006 $15.0 10.7% $14.5 96.6% $3.2 $5.0 $27.0 $32.0 2.21x 17.9%
NMSIC Co-Investment Fund, L.P. (Classic) 2007 $30.0 100.0% $25.0 83.3% $347.2 $0.5 $28.4 $28.9 1.15x 4.6%
NMSIC Co-Investment Fund, L.P. (Focused) 2007 $62.5 100.0% $60.4 96.6% $780.6 $1.9 $70.7 $72.5 1.20x 4.3%
vSpring III, L.P.
4
2007 $15.0 9.9% $15.0 100.0% $18.0 $0.3 $10.7 $10.9 0.73x -7.4%
EPIC Venture Fund IV, LLC 2008 $10.0 17.2% $7.7 77.0% $7.0 $0.0 $11.6 $11.7 1.49x 12.5%
NMSIC Co-Investment Fund, L.P. (2013) 2013 $20.0 100.0% $7.0 34.8% $6.6 $0.0 $12.1 $12.2 1.70x N/A
Program Totals
7
$392.1 11.1% $365.2 93.2% $1,868.3 $112.4 $231.9 $344.4 0.9x -0.5% 10 of 29
Source: Invient reporting
Notes:
1) Incl udes both di rect fund i nvestments and caused to i nvest dol l ars i nto NewMexi co compani es. Sourced fromInvi ent reporti ng, GP reporti ng and Sun Mountai n Capi tal anal ysi s
2) Investment Val ues and Return cal cul ati ons based upon asset val ues from12/31/13
3) Fai r Market Val ue as determi ned by Fund GPs under FASB 157 as of the report date
4) Fi rmmanagi ng the fund has changed name: Tul l i s/Di ckerson i s nowcal l ed Tul l i s Heal th Investors, vSpri ng i s nowcal l ed Si gnal Peak Capi tal
5) NewMexi co Co-Investment Partners, L.P. data i ncl udes one SIC di rect i nvestment for reporti ng purposes
6) Total NMPEIP commi tment as a percentage of combi ned fund si zes; excl udes the co-i nvestment funds
7) As of the reporti ng date, ful l reporti ng has not been recei ved fromBl ue Sage Capi tal , NewMexi co Co-Investment Partners, Wasatch NewMexi co or Verge I
6
Unaudited Performance Data as of 12/31/13
Number of Fund Commitments 29
Capital Committed (Total) $392.1
Capital Committed (Net of Dist.'s Received) $279.7
Capital Drawn $365.2
% of Capital Committed (Total) 93.2%
Distributions Received $112.4
% of Capital Drawn 30.8%
Outstanding Deployed Capital $252.8
Outstanding Deployed Capital as % of STPF 5.7%
Portfolio Carrying Value $231.9
Total Portfolio Value $344.3
% of Capital Drawn 94.3%
Portfolio Multiple of Invested Capital 0.9x
Portfolio IRR -0.5%
Note: Returns calculated using reported Carrying Values as of 12/31/13
and data provided by Invient
Severance Tax Permanent Fund ("STPF") currently $4,460.040 million
as of 12/31/13
6
NMPEIP Carrying Value Quarter Over Quarter
NM PEIP Changes in Q3 2013 Reported Value
Early VC Later VC Buyout Total
Reported Valuation as of Q2 2013 $115.3 $73.9 $13.4 $202.6
Contributions to General Partners $3.7 $0.2 $0.0 $3.9
Distributions from General Partners ($0.1) ($5.3) $0.0 ($5.4)
Change in Value $3.0 $15.0 $0.0 $18.0
Reported Valuation as of Q3 2013 $121.9 $83.9 $13.4 $219.1
Source: Invient reporting
NM PEIP Changes in Q4 2013 Reported Value
Early VC Later VC Buyout Total
Reported Valuation as of Q3 2013 $121.9 $83.9 $13.4 $219.1
Contributions to General Partners $3.4 $0.2 $0.0 $3.6
Distributions from General Partners ($2.2) ($0.2) $0.0 ($2.4)
Change in Value $11.1 $0.5 ($0.1) $11.6
Reported Valuation as of Q4 2013 $134.2 $84.5 $13.3 $231.9
Source: Invient reporting
7
Recent NMPEIP Vintages Tracking National Benchmarks
Since 2004, performance has tracked
national venture capital benchmarks
40% of vintages are above median and
80% are in the top three quartiles
2004-Present Vintage Cumulative
1
st
quartile: 20% 20%
2
nd
quartile: 20% 40%
3
rd
quartile: 40% 80%
4
th
quartile: 20% 100%
NMPEIP v National Benchmarks
NMPEIP Cambridge Associates Thomson
Vintage Net IRR Quartile Quartile
1993 44.8% Second First
1994 N/A N/A N/A
1995 N/A N/A N/A
1996 (0.8%) Fourth Fourth
1997 N/A N/A N/A
1998 (20.7%) Fourth Fourth
1999 N/A N/A N/A
2000 (5.7%) Third Fourth
2001 2.3% Second Second
2002 (1.3%) Third Third
2003 (20.5%) Fourth Fourth
2004 (5.2%) Third Fourth
2005 (1.2%) Third Third
2006 17.9% First First
2007 2.7% Fourth Third
2008 12.5% Second Second
2009 N/A N/A N/A
2010 N/A N/A N/A
2011 N/A N/A N/A
2012 N/A N/A N/A
Source: Invi ent reporti ng (as of 12/31/13) and most recentl y avai l abl e nati onal
benchmarks (Cambri dge Associ ates as of 9/30/13 and Thomson data as of 6/30/13)
Note: No fund commi tments were made i n years l abel ed "N/A"
8
NMPEIP Activity Highlights
Verge I
Verge made a distribution in Q4 2013 related to
the sale of ZTEC Instruments.
Valley Ventures III
Progress continued on liquidating the Funds
remaining portfolio holdings.
Blue Sage Capital
During 2013, Blue Sage Capital retired the Funds
remaining SBA leverage.
International Venture Fund I
At the end of 2013, IVF I entered into a liquidating
trust to complete the dissolution of the Fund.
NMPEIP Funds New Mexico Portfolio Companies
Lumidigm
Following the close of Q4 2013, Lumidigm was
acquired by HID Global.
xF Technologies
xF obtained all of the necessary building permits
for its Albuquerque-based pilot plant and began
construction.
Exagen Diagnostics
The company closed a significant new financing
round. The proceeds will be used to fund growth
initiatives and sales force expansion.
TriLumina
During Q4 2013, the Company was awarded a
$900,000 research grant by the Israel-U.S.
Binational Industrial Research and Development
Foundation (BIRD).
9
67 New Mexico Companies
New Mexico Companies as of 12/31/13
Advent Solar Elisar Software MicroOptical Devices Skorpios Technologies
Altaview Technologies Enerpulse MIOX Southwest Med Tech
Altela Entrada Nanocrystal Sundrop
American Clay Exagen Diagnostics NanoMR Surfect Technologies
Amtech Figaro Noribachi TCI Medical
Aspen Avionics Growstone Nuvita Teucrium Trading
Avasca Holochip OnQueue Technologies Tred
Avisa Pharma Infantelligence Patchwork Systems TriLumina
Bioreason InnovASIC Phase-I TruTouch Technologies
Boomtime Intellicyt POSLavu VeraLight
Comet Solutions Introbotics Protalex Vertical Power
Consolidated Energy Iosil Energy ProtoHIT Vibrant
Controlled Recovery JackRabbit Systems Puente Partners WellKeeper
Desert Power Kinetisis Quasar xF Technologies
Dining Gift Services Lumidigm Respira Therapeutics Zia Laser
Earthstone Mesofuel Seattle Fish Company ZTEC Instruments
Eclipse Aviation Metaphor Seclarity
Status Key
Active (39) Exited at a Gain (9) Exited at a Loss (19)
Note: NMPEIP participants and the SIC directly have invested in 65 New Mexico-based companies,
with 2 additional companies funded by SIC National Program participants
10
Capital Invested by Sector: Active NMPEIP Program Sector Concentration
11
Significant Economic Impact
NMPEIP Impact Summary as of 12/31/13
Total Investment in New Mexico Portolio Companies
A) Investment by Funds with NMPEIP Participation $282,954,458
B) External Investment Caused by Funds with NMPEIP Participation $1,852,944,997
Total VC Investment in NM Companies $2,143,331,454
Investment Multiplier (B / A) 6.5x
Categorization of NM Portfolio Companies
Active Companies 39 58.2%
Companies Exited at a Gain 9 13.4%
Companies Exited at a Loss 19 28.4%
Number of Companies funded 67 100.0%
NM Economic Impact Q4 2013
NM Purchases $28,534,104
NM Payroll $22,671,157
NM Economic Impact $51,205,261
Total Current Full-Time Jobs 1,371
Average Salary of Jobs Created $66,145
Average Salary in New Mexico
1
$40,905
Source: Survey of parti ci pati ng NMPEIP fund managers and NM compani es
1
Source: New Mexi co wage and sal ary di sbursements and total wage and sal ary empl oyees from the U.S. Dept. of
Commerce, Bureau of Economi c Anal ysi s. Average determi ned by di vi di ng di sbursements by empl oyees
12
Summary of Key Points
Program is currently in compliance and is evaluating potential new commitments per the
approved pacing plan
Program financial returns are improving steadily
Since 2004, NMPEIP investments have performed in line with national benchmarks and have
produced a positive financial return for the NMSIC
Program is having a significant positive impact on the New Mexico economy
13
Disclaimer
The preceding presentation relies on information provided by third parties, including the New Mexico State
Investment Council (NMSIC), NMSICs General Partners and/or Invient, NMSICs data provider. The analysis
included herein is dependent on such information being complete and accurate in all material respects.
Additionally, analysis may utilize or involve forward-looking information that is derived in part from longer-
term historical data provided by third-party sources.
In addition, projected results, if any, are based on a number of assumptions, including returns, fund size,
economic terms, targeted investment allocation and other factors. Due to various risks and uncertainties, the
projections in this presentation may differ materially from actual results or change significantly if any one or
more of the assumptions are changed. As such, undue reliance should not be placed on such information.
Nothing herein is intended to serve as investment advice, a recommendation of any particular investment or
type of investment, a suggestion of merits of purchasing or selling securities, or an invitation or inducement to
engage in investment activity.
This report is solely for the use of NMSIC. No part of it may be circulated, quoted, or reproduced without prior
approval from Sun Mountain Capital Advisors or the New Mexico State Investment Council.
New Mexico State Investment Council
Investment Performance Analysis
Period Ended: March 31, 2014
General Market Commentary Land Grant Asset Allocation vs. InterimTarget
*Severance Tax Asset Allocation vs. InterimTarget NMSIC Performance Attribution Summary
NMSIC Total Fund - Schedule of Investable Assets
Long-Term
Target (%)
Asset
Allocation
($)
Asset
Allocation
(%)
Interim
Target
(%)
Differences
(%)
Land Grant Total Fund Composite 13,680,844,820 100.00 100.00 0.00
US Equity 4,881,466,277 35.68 35.00 0.68
Non-US Equity 1,866,068,994 13.64 15.00 -1.36
Fixed Income 3,124,071,493 22.84 20.00 2.84
Absolute Return 942,001,007 6.89 7.00 -0.11
Private Equity 1,228,234,965 8.98 10.00 -1.02
Real Estate 982,443,731 7.18 8.00 -0.82
Real Return 615,496,501 4.50 5.00 -0.50
Cash Equivalent 41,061,853 0.30 0.00 0.30
Federal Reserve chair Janet Yellen addressed the subpar U.S. job market, reassuring
investors that interest rates would be kept low for some time after the Feds monthly
bond purchases are phased out, which most expect by the end of 2014.
Residents of Crimea voted overwhelmingly in favor of joining Russia after its local
parliament called for a referendum decried foul by the West. Russia incurred sanctions on
officials, downward pressure on the ruble and further decreases in foreign investment.
Equity markets posted mixed returns in March as the S&P 500 (Cap Wtd) Index returned
0.84% and the MSCI EAFE (Net) Index returned -0.64%. Emerging markets returned
3.07% as measured by the MSCI EM (Net) Index.
The Barclays US Aggregate Bond Index returned -0.17% in March, outperforming the
Barclays US Treasury Intermediate Term Index return of -0.41%.
Absolute return strategies, as measured by the HFN FOF Multi-Strat Index, returned
-0.69% for the month and 6.30% over the trailing one-year period.
Crude oil's price fell by 0.98% in March but has increased by 4.47% over one year.
100.00
31.00
15.00
16.00
8.00
10.00
10.00
10.00
0.00
Long-Term
Target (%)
Asset
Allocation
($)
Asset
Allocation
(%)
Interim
Target
(%)
Differences
(%)
Severance Tax Total Fund (Ex. ETI) Composite 4,256,942,944 100.00 100.00 0.00
US Equity 1,554,041,452 36.51 35.00 1.51
Non-US Equity 649,102,278 15.25 15.00 0.25
Fixed Income 956,565,993 22.47 20.00 2.47
Absolute Return 303,215,320 7.12 7.00 0.12
Private Equity 377,080,900 8.86 10.00 -1.14
Real Estate 260,568,503 6.12 8.00 -1.88
Real Return 138,448,227 3.25 5.00 -1.75
Cash Equivalent 17,920,272 0.42 0.00 0.42
The Land Grant Total Fund's relative underperformance over the last 3 years was
primarily driven by manager performance in equities, particularly US equities.
However, asset allocation positioning relative to the target allocation was favorable, as an
under allocation to non-US equity and real return proved helpful.
Over the last year portfolio positioning has deviated from the target allocation, as
residuals intended for other asset classes are temporarily held as fixed income.
Despite that variance, strong value add by managers within US equity, fixed income, and
alternative assets led to overall outperformance by the Total Fund.
T. Rowe Price LC Growth, Seizert, and Donald Smith provided the best relative
performance, while the MFS Int'l, Templeton, BlackRock Emg, and DuPont have not
been able to add value since their inception late in 2013.
The Total Fund also benefitted from the timing of large transactions over the last year.
100.00
31.00
15.00
16.00
8.00
10.00
10.00
10.00
0.00
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
NMSIC Total Fund Composite 0.91 2.02 2.02 12.01 13.04 8.57 13.02 6.61
Land Grant Total Fund Composite 0.95 2.01 2.01 11.92 12.99 8.63 13.15 6.73
Land Grant Policy Index 0.70 1.82 1.82 11.62 12.31 9.42 15.72 6.60
Difference 0.25 0.19 0.19 0.30 0.68 -0.79 -2.57 0.13
Severance Tax Total Fund Composite 0.95 1.98 1.98 11.86 12.76 8.11 12.50 6.07
Severance Tax Policy Index 0.70 1.82 1.82 11.62 12.31 9.42 15.45 6.68
Difference 0.25 0.16 0.16 0.24 0.45 -1.31 -2.95 -0.61
Periods Ending
Beginning
Market Value ($)
Net
Cash Flow ($)
Gain/Loss ($)
Ending
Market Value ($)
%Return
CYTD 18,751,981,477 20,163,501 379,312,864 19,151,457,842 2.02
New Mexico State Investment Council
As of March 31, 2014
Performance shown is gross of fees. Performance is annualized for periods greater than one year. Fiscal year ends June 30.
*Severance Tax target allocation excludes economically targeted investments and the state private equity program.
Page 1
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011 2010 2009
NMSIC Total Fund Composite 19,151,457,842 100.00 0.91 2.02 2.02 12.01 13.04 8.57 13.02 6.61 16.26 14.26 -0.93 14.55 18.69
Land Grant Total Fund Composite 13,680,844,820 71.44 0.95 2.01 2.01 11.92 12.99 8.63 13.15 6.73 16.28 14.45 -0.87 14.44 19.30
Land Grant Policy Index 0.70 1.82 1.82 11.62 12.31 9.42 15.72 6.60 16.01 14.10 2.48 14.50 20.67
Difference 0.25 0.19 0.19 0.30 0.68 -0.79 -2.57 0.13 0.27 0.35 -3.35 -0.06 -1.37
Severance Tax Total Fund Composite 4,515,494,375 23.58 0.95 1.98 1.98 11.86 12.76 8.11 12.50 6.07 15.61 13.52 -0.39 12.82 18.59
Severance Tax Policy Index 0.70 1.82 1.82 11.62 12.31 9.42 15.45 6.68 16.01 14.10 2.48 14.71 18.61
Difference 0.25 0.16 0.16 0.24 0.45 -1.31 -2.95 -0.61 -0.40 -0.58 -2.87 -1.89 -0.02
NMSIC Global Equity Composite 9,570,757,495 49.97 0.17 1.15 1.15 17.52 18.86 9.67 18.59 8.05 27.18 16.32 -7.00 18.26 41.50
Global Equity Custom Index 0.63 1.46 1.46 17.82 18.66 11.15 20.08 8.05 26.81 16.93 -3.84 15.57 34.39
Difference -0.46 -0.31 -0.31 -0.30 0.20 -1.48 -1.49 0.00 0.37 -0.61 -3.16 2.69 7.11
NMSIC US Equity Composite 6,910,520,290 36.08 -0.21 1.84 1.84 19.83 23.52 12.53 20.06 8.52 34.12 16.02 -4.34 19.00 38.89
R 3000 Index 0.53 1.97 1.97 19.40 22.61 14.61 21.93 7.86 33.55 16.42 1.03 16.93 28.34
Difference -0.74 -0.13 -0.13 0.43 0.91 -2.08 -1.87 0.66 0.57 -0.40 -5.37 2.07 10.55
NMSIC Non-US Equity Composite 2,660,237,205 13.89 1.17 -0.62 -0.62 11.84 7.57 1.87 15.49 7.49 10.88 16.27 -14.99 12.13 56.12
Non-US Equity Custom Index 0.85 0.25 0.25 14.07 9.67 3.16 15.53 8.11 12.03 17.79 -14.54 12.12 49.14
Difference 0.32 -0.87 -0.87 -2.23 -2.10 -1.29 -0.04 -0.62 -1.15 -1.52 -0.45 0.01 6.98
NMSIC Fixed Income Composite 4,390,878,898 22.93 0.20 2.38 2.38 4.81 2.76 6.76 9.42 4.24 1.74 12.78 6.65 17.12 4.74
Fixed Income Custom Index -0.03 1.79 1.79 2.20 0.32 2.07 4.86 1.42 -1.41 0.69 6.25 10.89 6.04
Difference 0.23 0.59 0.59 2.61 2.44 4.69 4.56 2.82 3.15 12.09 0.40 6.23 -1.30
NMSIC US Core Bonds Pool 2,952,253,615 15.42 0.01 2.51 2.51 4.60 1.40 5.86 5.79 5.07 -0.34 11.29 4.92 11.07 -0.33
Barclays US Agg Bond Index -0.17 1.84 1.84 2.28 -0.10 3.75 4.80 4.46 -2.02 4.21 7.84 6.54 5.93
Difference 0.18 0.67 0.67 2.32 1.50 2.11 0.99 0.61 1.68 7.08 -2.92 4.53 -6.26
NMSIC Credit & Structured Finance Pool 949,501,935 4.96 0.90 2.85 2.85 6.11 9.87 11.60 29.89 N/A 11.61 19.67 16.03 46.02 37.65
C&SF Primary Benchmark 0.30 2.15 2.15 2.23 2.82 -4.66 5.01 N/A 1.45 -12.07 -2.18 31.02 4.64
Difference 0.60 0.70 0.70 3.88 7.05 16.26 24.88 N/A 10.16 31.74 18.21 15.00 33.01
C&SF Secondary Benchmark 0.22 2.41 2.41 2.49 3.09 -4.58 5.07 N/A 1.45 -12.07 -2.18 31.02 4.64
Difference 0.68 0.44 0.44 3.62 6.78 16.18 24.82 N/A 10.16 31.74 18.21 15.00 33.01
New Mexico State Investment Council
Asset Allocation & Performance - Composites
As of March 31, 2014
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Fiscal year ends June 30.
Page 2
New Mexico State Investment Council
Asset Allocation & Performance - Composites
As of March 31, 2014
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011 2010 2009
NMSIC Unconstrained Fixed Income Pool 489,123,347 2.55 -0.03 0.72 0.72 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
3 Month LIBOR + 2.5% 0.23 0.68 0.68 2.07 2.78 2.86 2.93 4.65 2.79 3.02 2.78 2.84 3.52
Difference -0.26 0.04 0.04 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
NMSIC Cash Equivalent Composite 61,638,976 0.32 0.00 0.19 0.19 0.20 0.54 1.17 0.88 2.43 1.06 0.00 2.52 0.20 0.56
BofA ML 3 Mo US T-Bill Index 0.00 0.01 0.01 0.05 0.07 0.08 0.12 1.65 0.07 0.11 0.10 0.13 0.21
Difference 0.00 0.18 0.18 0.15 0.47 1.09 0.76 0.78 0.99 -0.11 2.42 0.07 0.35
NMSIC Absolute Return Composite 1,267,357,820 6.62 -0.18 1.56 1.56 6.97 8.49 4.19 5.88 N/A 10.68 6.50 -3.92 4.65 11.43
HFRI FOF Comp Index -0.77 0.45 0.45 5.87 5.92 2.34 4.89 3.10 8.96 4.79 -5.72 5.70 11.47
Difference 0.59 1.11 1.11 1.10 2.57 1.85 0.99 N/A 1.72 1.71 1.80 -1.05 -0.04
NMSIC Private Equity Composite (Ex. State) 1,605,316,126 8.38 4.79 4.90 4.90 12.37 15.93 10.85 8.08 11.68 12.94 14.86 10.03 11.02 -11.25
80/20 Cambridge PE Index (Lagged 1 Qtr) 0.00 0.00 0.00 8.77 13.22 12.25 13.48 13.06 16.62 14.12 15.20 16.36 -9.94
Difference 4.79 4.90 4.90 3.60 2.71 -1.40 -5.40 -1.38 -3.68 0.74 -5.17 -5.34 -1.31
Venture Econ All Prvt Eq Index (Lagged 1 Qtr) 7.33 7.33 7.33 15.24 20.84 14.50 15.51 13.11 16.57 14.34 12.33 15.77 -6.33
Difference -2.54 -2.43 -2.43 -2.87 -4.91 -3.65 -7.43 -1.43 -3.63 0.52 -2.30 -4.75 -4.92
Townsend Reported Real Estate 1,082,589,554 5.65 3.80 3.80 3.80 9.80 12.34 10.26 1.93 N/A 10.50 9.63 10.34 -6.44 -32.07
NCREIF ODCE Index (Net) (Lagged 1 Qtr) 2.94 2.94 2.94 10.21 12.90 12.53 2.71 6.16 11.97 10.47 17.18 6.01 -35.70
Difference 0.86 0.86 0.86 -0.41 -0.56 -2.27 -0.78 N/A -1.47 -0.84 -6.84 -12.45 3.63
NCREIF/Townsend Wtd Benchmark (Lagged 1 Qtr) 3.00 3.00 3.00 9.91 12.35 12.28 2.65 N/A 12.07 10.46 17.01 3.64 -37.07
Difference 0.80 0.80 0.80 -0.11 -0.01 -2.02 -0.72 N/A -1.57 -0.83 -6.67 -10.08 5.00
NMSIC Real Return 753,944,805 3.94 1.13 2.14 2.14 5.26 7.39 N/A N/A N/A 8.40 N/A N/A N/A N/A
Real Return Custom Index 0.44 3.20 3.20 4.74 0.05 1.82 4.68 4.78 -2.72 4.90 2.77 7.53 8.92
Difference 0.69 -1.06 -1.06 0.52 7.34 N/A N/A N/A 11.12 N/A N/A N/A N/A
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Fiscal year ends June 30.
Page 3
Figure 2: Total Value Added:0.68% Figure 1: Total Fund Performance
Figure 4: Total Mgr Value Added:0.52%
Manager Value Added
0.00% 0.40% 0.80% -0.40 % -0.80 %
0.00%
0.11%
-0.05 %
0.22%
0.15%
0.22%
-0.38 %
0.24%
Asset Allocation Value Added
0.00% 0.50% 1.00% -0.50 % -1.00 %
-0.11 %
0.17%
-0.03 %
-0.05 %
-0.02 %
-0.53 %
0.33%
0.04%
Figure 3: Total Asset Allocation:-0.20 %
New Mexico State Investment Council
Land Grant Total Fund Composite vs. Land Grant Policy Index
Total Fund Attribution
1 Year Ending March 31, 2014
Performance shown is gross of fees. Calculation is based on monthly periodicity. Total Value Added: The percentage over- or underperformance of the total fund as
compared to the benchmark for the specified time period. Average Active Weight: The average percentage over- or underweight to each investment relative to the policy
weights. Asset Allocation Value Added: How the variance of the fund's actual allocation from the policy weights added or subtracted from total fund performance.
Manager Value Added: The portion of total value added attributable to the relative performance of the fund's investments, relative to the individual benchmarks that
represent them in the Land Grant Policy Index. Other: The contribution of other residual factors, including estimation error and transaction timing. See Glossary for
additional information regarding the Total Fund Attribution calculation.
Page 4
Figure 2: Total Value Added:-0.80 % Figure 1: Total Fund Performance
Figure 4: Total Mgr Value Added:-1.06 %
Manager Value Added
0.00% 0.80% -0.80 % -1.60 %
0.00%
0.04%
-0.10 %
-0.16 %
0.08%
0.30%
-0.26 %
-0.97 %
Asset Allocation Value Added
0.00% 0.30% 0.60% -0.30 % -0.60 %
-0.08 %
0.14%
-0.07 %
-0.07 %
-0.04 %
-0.22 %
0.27%
0.18%
Figure 3: Total Asset Allocation:0.12%
New Mexico State Investment Council
Land Grant Total Fund Composite vs. Land Grant Policy Index
Total Fund Attribution
3 Years Ending March 31, 2014
Performance shown is gross of fees. Calculation is based on monthly periodicity. Total Value Added: The percentage over- or underperformance of the total fund as
compared to the benchmark for the specified time period. Average Active Weight: The average percentage over- or underweight to each investment relative to the policy
weights. Asset Allocation Value Added: How the variance of the fund's actual allocation from the policy weights added or subtracted from total fund performance.
Manager Value Added: The portion of total value added attributable to the relative performance of the fund's investments, relative to the individual benchmarks that
represent them in the Land Grant Policy Index. Other: The contribution of other residual factors, including estimation error and transaction timing. See Glossary for
additional information regarding the Total Fund Attribution calculation.
Page 5
Figure 2: Total Value Added:0.45% Figure 1: Total Fund Performance
Figure 4: Total Mgr Value Added:0.49%
Manager Value Added
0.00% 0.30% 0.60% -0.30 % -0.60 %
0.00%
0.00%
0.07%
-0.03 %
0.06%
0.15%
0.24%
-0.22 %
0.22%
Asset Allocation Value Added
0.00% 0.50% 1.00% -0.50 % -1.00 %
-0.08 %
-0.20 %
0.28%
-0.03 %
-0.01 %
-0.02 %
-0.43 %
0.37%
-0.18 %
Figure 3: Total Asset Allocation:-0.30 %
New Mexico State Investment Council
Severance Tax Total Fund Composite vs. Severance Tax Policy Index
Total Fund Attribution
1 Year Ending March 31, 2014
Performance shown is gross of fees. Calculation is based on monthly periodicity. Total Value Added: The percentage over- or underperformance of the total fund as
compared to the benchmark for the specified time period. Average Active Weight: The average percentage over- or underweight to each investment relative to the policy
weights. Asset Allocation Value Added: How the variance of the fund's actual allocation from the policy weights added or subtracted from total fund performance.
Manager Value Added: The portion of total value added attributable to the relative performance of the fund's investments, relative to the individual benchmarks that
represent them in the Severance Tax Policy Index. Other: The contribution of other residual factors, including estimation error and transaction timing. See Glossary for
additional information regarding the Total Fund Attribution calculation.
Page 6
Figure 2: Total Value Added:-1.31 % Figure 1: Total Fund Performance
Figure 4: Total Mgr Value Added:-1.54 %
Manager Value Added
0.00% 0.80% -0.80 % -1.60 %
0.00%
0.00%
0.03%
-0.12 %
-0.45 %
0.08%
0.23%
-0.20 %
-1.10 %
Asset Allocation Value Added
0.00% 0.30% 0.60% -0.30 % -0.60 %
-0.05 %
-0.17 %
0.17%
-0.04 %
0.17%
0.02%
-0.13 %
0.37%
-0.03 %
Figure 3: Total Asset Allocation:0.33%
New Mexico State Investment Council
Severance Tax Total Fund Composite vs. Severance Tax Policy Index
Total Fund Attribution
3 Years Ending March 31, 2014
Performance shown is gross of fees. Calculation is based on monthly periodicity. Total Value Added: The percentage over- or underperformance of the total fund as
compared to the benchmark for the specified time period. Average Active Weight: The average percentage over- or underweight to each investment relative to the policy
weights. Asset Allocation Value Added: How the variance of the fund's actual allocation from the policy weights added or subtracted from total fund performance.
Manager Value Added: The portion of total value added attributable to the relative performance of the fund's investments, relative to the individual benchmarks that
represent them in the Severance Tax Policy Index. Other: The contribution of other residual factors, including estimation error and transaction timing. See Glossary for
additional information regarding the Total Fund Attribution calculation.
Page 7
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011
Since
Incep.
Inception
Date
US Equity
NMSIC US Equity Composite 6,910,520,290 36.08 -0.21 1.84 1.84 19.83 23.52 12.53 20.06 8.52 34.12 16.02 -4.34 5.37 05/01/1999
R 3000 Index 0.53 1.97 1.97 19.40 22.61 14.61 21.93 7.86 33.55 16.42 1.03 4.94
NMSIC US Large Cap Equity Composite 5,913,792,087 30.88 -0.24 1.59 1.59 19.01 22.10 12.07 19.01 8.44 32.57 16.32 -4.63 4.63 05/01/1999
R 1000 Index 0.64 2.05 2.05 19.25 22.41 14.75 21.73 7.80 33.11 16.43 1.50 4.68
NMSIC US Large Cap Active Pool 2,458,360,151 12.84 -1.31 1.04 1.04 18.96 22.22 10.80 18.03 8.18 32.34 15.45 -6.46 4.16 05/01/1999
Wellington Management Company 758,801,754 3.96 1.75 2.93 2.93 16.17 19.50 N/A N/A N/A 28.72 N/A N/A 23.72 06/01/2012
R 1000 Value Index 2.39 3.02 3.02 17.80 21.57 14.80 21.75 7.58 32.53 17.50 0.39 26.98
Brown Brothers Harriman 604,265,770 3.16 1.76 2.04 2.04 14.72 17.76 N/A N/A N/A 28.51 N/A N/A 22.42 07/01/2012
R 1000 Index 0.64 2.05 2.05 19.25 22.41 14.75 21.73 7.80 33.11 16.43 1.50 23.45
J.P. Morgan Asset Management 751,173,696 3.92 -5.00 -1.17 -1.17 21.52 24.32 N/A N/A N/A 34.13 N/A N/A 19.25 06/01/2012
T. Rowe Price LC Growth 344,118,932 1.80 -4.63 0.22 0.22 28.25 34.25 N/A N/A N/A 45.43 N/A N/A 28.71 06/01/2012
R 1000 Growth Index -1.01 1.12 1.12 20.73 23.22 14.62 21.68 7.86 33.48 15.26 2.64 22.55
NMSIC US Large Cap Index Pool 2,910,940,565 15.20 0.63 2.04 2.04 19.21 22.41 14.60 20.55 8.57 33.10 16.09 1.18 5.26 05/01/1999
NT Russell 1000 Index Fund 2,910,433,936 15.20 0.63 2.03 2.03 19.21 22.41 N/A N/A N/A 33.10 16.31 N/A 17.49 08/01/2011
R 1000 Index 0.64 2.05 2.05 19.25 22.41 14.75 21.73 7.80 33.11 16.43 1.50 17.65
NMSIC US Large Cap Enhanced Index Pool 544,491,371 2.84 -0.01 1.66 1.66 18.34 20.16 N/A N/A N/A 32.03 N/A N/A 24.19 06/01/2012
PanAgora Asset Management 544,491,371 2.84 -0.01 1.66 1.66 18.34 20.16 N/A N/A N/A 32.03 N/A N/A 24.49 06/01/2012
R 1000 Index 0.64 2.05 2.05 19.25 22.41 14.75 21.73 7.80 33.11 16.43 1.50 24.81
NMSIC US Small/Mid Cap Equity Composite 996,728,202 5.20 0.00 3.40 3.40 24.69 31.52 N/A N/A N/A 42.39 14.00 N/A 14.16 05/01/2011
R 2500 Index -0.36 2.30 2.30 21.25 24.01 13.95 25.33 9.43 36.80 17.88 -2.51 13.26
NMSIC US Small/Mid Cap Active Pool 698,555,843 3.65 -0.14 3.55 3.55 24.90 33.28 15.30 24.15 9.58 43.97 13.70 -2.65 9.24 11/01/1998
Seizert Capital Partners 239,140,929 1.25 0.49 2.38 2.38 24.79 34.72 N/A N/A N/A 49.44 22.61 N/A 32.26 01/01/2012
R Mid Cap Index -0.27 3.53 3.53 20.85 23.51 14.39 25.55 10.05 34.76 17.28 -1.55 24.46
Donald Smith & Company 219,516,311 1.15 1.35 8.17 8.17 29.65 31.51 N/A N/A N/A 32.42 19.90 N/A 27.18 01/01/2012
R 2000 Value Index 1.24 1.78 1.78 19.69 22.65 12.74 23.33 8.07 34.52 18.05 -5.50 23.79
Cortina Asset Management 239,898,603 1.25 -2.07 0.75 0.75 20.57 32.63 N/A N/A N/A 49.08 7.72 N/A 23.85 01/01/2012
R 2000 Growth Index -2.46 0.48 0.48 22.61 27.19 13.61 25.24 8.87 43.30 14.59 -2.91 24.93
NMSIC US Small/Mid Cap Index Pool 91,243,715 0.48 -0.72 2.73 2.73 22.56 25.41 N/A N/A N/A 33.79 N/A N/A 28.97 01/01/2013
NT Extended Equity Market Index Fund 91,243,715 0.48 -0.72 2.73 2.73 22.56 25.41 N/A N/A N/A 33.79 N/A N/A 28.97 01/01/2013
R 2500 Index -0.36 2.30 2.30 21.25 24.01 13.95 25.33 9.43 36.80 17.88 -2.51 30.85
New Mexico State Investment Council
Asset Allocation & Performance - Composites & Managers
As of March 31, 2014
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Since Inception date shown represents the first full month following initial funding. Fiscal year ends June 30.
Page 8
New Mexico State Investment Council
Asset Allocation & Performance - Composites & Managers
As of March 31, 2014
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011
Since
Incep.
Inception
Date
NMSIC US Small/Mid Cap Enhanced Index Pool 206,928,644 1.08 0.80 3.18 3.18 25.21 28.61 N/A N/A N/A 40.57 N/A N/A 35.45 12/01/2012
BlackRock Alpha Tilts 206,899,283 1.08 0.80 3.19 3.19 25.21 28.62 N/A N/A N/A 40.59 N/A N/A 25.46 02/01/2012
R 2000 Index -0.68 1.12 1.12 21.16 24.90 13.18 24.31 8.53 38.82 16.34 -4.18 21.52
Non-US Equity
NMSIC Non-US Equity Composite 2,660,237,205 13.89 1.17 -0.62 -0.62 11.84 7.57 1.87 15.49 7.49 10.88 16.27 -14.99 6.05 05/01/1999
Non-US Equity Custom Index 0.85 0.25 0.25 14.07 9.67 3.16 15.53 8.11 12.03 17.79 -14.54 6.38
NMSIC Non-US Developed Markets Composite 1,370,424,639 7.16 -0.10 0.35 0.35 17.65 16.59 7.29 15.76 6.18 22.22 17.61 -11.38 4.68 05/01/1999
MSCI EAFE Index (Net) -0.64 0.66 0.66 18.72 17.56 7.21 16.02 6.53 22.78 17.32 -12.14 4.23
NMSIC Non-US Developed Markets Active Pool 1,248,908,395 6.52 -0.05 0.37 0.37 N/A N/A N/A N/A N/A N/A N/A N/A 12.55 09/01/2013
LSV Int'l Large Cap Value 278,030,456 1.45 0.58 0.83 0.83 N/A N/A N/A N/A N/A N/A N/A N/A 14.26 09/01/2013
MSCI ACW Ex US Value Index (Net) 0.44 0.71 0.71 17.61 13.80 4.01 15.80 7.27 15.04 16.97 -13.20 13.33
T. Rowe Price Int'l Core 344,192,866 1.80 -0.61 -0.09 -0.09 N/A N/A N/A N/A N/A N/A N/A N/A 14.72 09/01/2013
Schroder Int'l Alpha 4,934 0.00 0.03 -8.48 -8.48 N/A N/A N/A N/A N/A N/A N/A N/A -1.78 09/01/2013
Russell Transition Mgmt Non-US Developed 95,583 0.00 1.85 4.98 4.98 N/A N/A N/A N/A N/A N/A N/A N/A -21.67 09/01/2013
MSCI EAFE Index (Net) -0.64 0.66 0.66 18.72 17.56 7.21 16.02 6.53 22.78 17.32 -12.14 14.28
MFS Int'l Large Cap Growth 341,042,886 1.78 -0.14 -0.78 -0.78 N/A N/A N/A N/A N/A N/A N/A N/A 3.24 10/01/2013
MSCI ACW Ex US Growth Index (Net) 0.07 0.30 0.30 14.25 10.84 4.27 15.22 6.93 15.49 16.67 -14.21 4.98
Templeton Int'l Small Cap Equity 285,541,670 1.49 0.12 1.86 1.86 N/A N/A N/A N/A N/A N/A N/A N/A 7.13 10/01/2013
MSCI ACW Ex US Sm Cap Index (Net) 0.13 3.47 3.47 21.66 16.28 5.52 21.18 9.31 19.73 18.52 -18.50 8.26
NMSIC Non-US Developed Markets Index Pool 121,516,245 0.63 -0.58 0.15 0.15 17.74 16.69 7.32 15.78 6.19 22.56 17.61 -11.38 4.69 05/01/1999
Alliance Bernstein MSCI EAFE Int'l Index 120,940,665 0.63 -0.58 0.15 0.15 17.78 16.72 7.29 16.11 6.55 22.59 17.53 -11.44 6.21 06/01/1998
MSCI EAFE Index (Net) -0.64 0.66 0.66 18.72 17.56 7.21 16.02 6.53 22.78 17.32 -12.14 4.61
NMSIC Non-US Emerging Markets Composite 1,289,812,566 6.73 2.56 -1.63 -1.63 5.02 -3.69 -6.08 13.87 10.10 -3.55 14.10 -21.95 9.53 05/01/1999
MSCI Emg Mkts Index (Net) 3.07 -0.43 -0.43 7.24 -1.43 -2.86 14.48 10.11 -2.60 18.23 -18.42 9.21
NMSIC Non-US Emerging Markets Active Pool 772,633,140 4.03 2.38 -2.25 -2.25 N/A N/A N/A N/A N/A N/A N/A N/A 5.44 09/01/2013
BlackRock Emg Mkts Opp Fund 263,892,277 1.38 2.59 -1.97 -1.97 N/A N/A N/A N/A N/A N/A N/A N/A -0.15 10/01/2013
DuPont Capital Management 507,352,226 2.65 2.27 -2.40 -2.40 N/A N/A N/A N/A N/A N/A N/A N/A 4.89 09/01/2013
SSGM Transition Mgmt Non-US Emerging 1,388,637 0.01 0.26 0.67 0.67 N/A N/A N/A N/A N/A N/A N/A N/A 21.18 09/01/2013
MSCI Emg Mkts Index (Net) 3.07 -0.43 -0.43 7.24 -1.43 -2.86 14.48 10.11 -2.60 18.23 -18.42 7.99
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Since Inception date shown represents the first full month following initial funding. Fiscal year ends June 30.
Page 9
New Mexico State Investment Council
Asset Allocation & Performance - Composites & Managers
As of March 31, 2014
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011
Since
Incep.
Inception
Date
NMSIC Non-US Emerging Markets Index Pool 517,179,426 2.70 2.83 -0.69 -0.69 7.05 -1.83 -5.48 14.31 10.31 -2.61 14.10 -21.95 9.67 05/01/1999
Alliance Bernstein Emerging Markets Index 517,179,426 2.70 2.83 -0.68 -0.68 7.05 -1.82 N/A N/A N/A -2.61 N/A N/A 1.97 11/01/2012
MSCI Emg Mkts Index (Net) 3.07 -0.43 -0.43 7.24 -1.43 -2.86 14.48 10.11 -2.60 18.23 -18.42 2.12
Fixed Income
NMSIC Fixed Income Composite 4,390,878,898 22.93 0.20 2.38 2.38 4.81 2.76 6.76 9.42 4.24 1.74 12.78 6.65 5.48 05/01/1999
Fixed Income Custom Index -0.03 1.79 1.79 2.20 0.32 2.07 4.86 1.42 -1.41 0.69 6.25 3.34
NMSIC US Core Bonds Pool 2,952,253,615 15.42 0.01 2.51 2.51 4.60 1.40 5.86 5.79 5.07 -0.34 11.29 4.92 5.89 05/01/1999
Barclays US Agg Bond Index -0.17 1.84 1.84 2.28 -0.10 3.75 4.80 4.46 -2.02 4.21 7.84 5.41
PIMCO Barclays US Universal 1,249,535,877 6.52 -0.23 2.01 2.01 3.43 0.34 4.86 N/A N/A -0.69 11.44 N/A 4.86 04/01/2011
Prudential Barclays US Universal 850,104,087 4.44 0.06 2.68 2.68 5.70 2.64 6.96 N/A N/A 0.77 11.23 N/A 6.96 04/01/2011
Loomis Sayles Barclays US Universal 851,740,467 4.45 0.30 3.08 3.08 5.43 1.89 6.35 N/A N/A -0.84 10.77 N/A 6.35 04/01/2011
Barclays US Unv Bond Index -0.09 1.95 1.95 2.94 0.51 4.23 5.74 4.78 -1.35 5.53 7.40 4.23
NMSIC Credit & Structured Finance Pool 949,501,935 4.96 0.90 2.85 2.85 6.11 9.87 11.60 29.89 N/A 11.61 19.67 16.03 2.11 04/01/2006
C&SF Primary Benchmark 0.30 2.15 2.15 2.23 2.82 -4.66 5.01 N/A 1.45 -12.07 -2.18 N/A
C&SF Secondary Benchmark 0.22 2.41 2.41 2.49 3.09 -4.58 5.07 N/A 1.45 -12.07 -2.18 N/A
NMSIC Unconstrained Fixed Income Pool 489,123,347 2.55 -0.03 0.72 0.72 N/A N/A N/A N/A N/A N/A N/A N/A 0.68 12/01/2013
PIMCO Unconstrained 251,965,491 1.32 -0.22 0.89 0.89 N/A N/A N/A N/A N/A N/A N/A N/A 0.59 12/01/2013
Loomis Sayles Unconstrained 202,157,004 1.06 0.20 0.64 0.64 N/A N/A N/A N/A N/A N/A N/A N/A 0.93 12/01/2013
Cash Unconstrained 35,000,853 0.18 0.00 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00 02/01/2014
3 Month LIBOR + 2.5% 0.23 0.68 0.68 2.07 2.78 2.86 2.93 4.65 2.79 3.02 2.78 0.45
NMSIC Cash Equivalent Composite 61,638,976 0.32 0.00 0.19 0.19 0.20 0.54 1.17 0.88 2.43 1.06 0.00 2.52 4.09 07/01/1988
BofA ML 3 Mo US T-Bill Index 0.00 0.01 0.01 0.05 0.07 0.08 0.12 1.65 0.07 0.11 0.10 3.70
Absolute Return
NMSIC Absolute Return Composite 1,267,357,820 6.62 -0.18 1.56 1.56 6.97 8.49 4.19 5.88 N/A 10.68 6.50 -3.92 2.76 09/01/2005
Mariner Matador, LLC 446,583,682 2.33 -0.06 1.82 1.82 8.48 11.14 5.16 5.87 N/A 14.75 6.01 -5.34 3.99 10/01/2005
AAM High Desert Fund 414,675,538 2.17 -0.55 1.29 1.29 8.35 9.33 5.86 N/A N/A 12.83 10.31 -3.98 5.87 12/01/2010
Crestline Enchantment Fund Class A 351,429,171 1.83 0.10 1.79 1.79 5.79 7.05 2.92 5.43 N/A 7.16 3.84 -1.52 3.30 10/01/2005
Crestline Enchantment Fund Class B 32,402,838 0.17 0.00 0.00 0.00 -3.69 -2.31 -0.48 3.14 N/A -2.04 3.54 0.71 0.13 06/01/2006
Crestline Offshore Recovery 8,392,345 0.04 0.00 -0.16 -0.16 -3.94 -7.56 -1.63 14.96 N/A -5.50 5.35 -3.07 14.27 02/01/2009
Austin Capital Safe Harbor QP Fund 7,582,382 0.04 0.00 -0.37 -0.37 -20.63 -21.96 -12.64 -7.41 N/A -21.36 -2.27 -16.86 -4.12 10/01/2005
CT Preferred Investors Management LLC 3,741,985 0.02 0.00 0.00 0.00 0.10 0.24 0.59 3.20 N/A -2.12 4.61 0.21 -0.91 11/01/2005
ARS Pool (Cash Account) 2,549,880 0.01 0.00 0.00 0.00 0.01 0.01 0.37 0.21 N/A 1.11 0.00 0.00 1.74 09/01/2005
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Since Inception date shown represents the first full month following initial funding. Fiscal year ends June 30.
Page 10
New Mexico State Investment Council
Asset Allocation & Performance - Composites & Managers
As of March 31, 2014
Allocation
Market
Value ($)
%
Performance (%)
MTD QTD CYTD FYTD
1
Year
3
Years
5
Years
10
Years
2013 2012 2011
Since
Incep.
Inception
Date
HFRI FOF Comp Index -0.77 0.45 0.45 5.87 5.92 2.34 4.89 3.10 8.96 4.79 -5.72 2.78
Private Equity
NMSIC Private Equity Composite (Ex. State) 1,605,316,126 8.38 4.79 4.90 4.90 12.37 15.93 10.85 8.08 11.68 12.94 14.86 10.03 4.07 06/01/2001
Private Equity Pooled Funds 1,602,565,717 8.37 4.80 4.91 4.91 12.39 15.96 N/A N/A N/A 12.95 16.22 N/A 10.90 07/01/2011
80/20 Cambridge PE Index (Lagged 1 Qtr) 0.00 0.00 0.00 8.77 13.22 12.25 13.48 13.06 16.62 14.12 15.20 11.47
Venture Econ All Prvt Eq Index (Lagged 1 Qtr) 7.33 7.33 7.33 15.24 20.84 14.50 15.51 13.11 16.57 14.34 12.33 13.71
Real Estate
Townsend Reported Real Estate 1,082,589,554 5.65 3.80 3.80 3.80 9.80 12.34 10.26 1.93 N/A 10.50 9.63 10.34 2.25 10/01/2004
NCREIF ODCE Index (Net) (Lagged 1 Qtr) 2.94 2.94 2.94 10.21 12.90 12.53 2.71 6.16 11.97 10.47 17.18 5.93
NCREIF/Townsend Wtd Benchmark (Lagged 1 Qtr) 3.00 3.00 3.00 9.91 12.35 12.28 2.65 N/A 12.07 10.46 17.01 6.79
Real Return
NMSIC Real Return 753,944,805 3.94 1.13 2.14 2.14 5.26 7.39 N/A N/A N/A 8.40 N/A N/A 7.82 06/01/2012
Real Return Custom Index 0.44 3.20 3.20 4.74 0.05 1.82 4.68 4.78 -2.72 4.90 2.77 2.80
ETI
NMSIC Economically Targeted Investments 37,258,768 0.19 -1.20 -1.35 -1.35 -2.44 -2.63 -1.56 -2.14 -1.15 -1.15 -0.32 -2.12 -1.82 07/01/1998
BofA ML 3 Mo US T-Bill Index 0.00 0.01 0.01 0.05 0.07 0.08 0.12 1.65 0.07 0.11 0.10 2.38
Severance Tax State PE Program 221,292,663 1.16 2.41 2.34 2.34 11.83 10.44 7.76 2.66 -0.44 6.85 13.11 11.39 -5.07 08/01/2001
Cambridge VC Index (Lagged 1 Qtr) 0.00 0.00 0.00 11.04 13.84 11.32 10.09 8.48 15.15 7.54 20.66 0.12
Venture Econ All Prvt Eq Index (Lagged 1 Qtr) 7.33 7.33 7.33 15.24 20.84 14.50 15.51 13.11 16.57 14.34 12.33 9.35
NMSIC Total Fund Composite 19,151,457,842 100.00 0.91 2.02 2.02 12.01 13.04 8.57 13.02 6.61 16.26 14.26 -0.93 5.00 01/01/2000
Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate, Real Return, and Private Equity investments, which are shown
net of fees. Performance is annualized for periods greater than one year. RVK endorses GIPS and calculates performance for composites and investment managers using
different methodologies. Since Inception date shown represents the first full month following initial funding. Fiscal year ends June 30.
Page 11
NMSIC Total Fund - Schedule of Investable Assets
Allocation
Market
Value ($)
%
Perf. (%)
QTD
1
Year
Loomis Sayles Barclays US Universal 851,740,467 4.45 3.08 1.89
NMSIC Credit & Structured Finance Pool 949,501,935 4.96 2.85 9.87
NMSIC Unconstrained Fixed Income Pool 489,123,347 2.55 0.72 N/A
NMSIC Cash Equivalent Composite 61,638,976 0.32 0.19 0.54
NMSIC Economically Targeted Inv. 37,258,768 0.19 -1.35 -2.63
SIC Managed Core Bonds Fund 873,184 0.00 0.00 0.01
NMSIC Absolute Return Composite 1,267,357,820 6.62 1.56 8.49
Mariner Matador, LLC 446,583,682 2.33 1.82 11.14
AAM High Desert Fund 414,675,538 2.17 1.29 9.33
Crestline Enchantment Fund Class A 351,429,171 1.83 1.79 7.05
Crestline Enchantment Fund Class B 32,402,838 0.17 0.00 -2.31
Crestline Offshore Recovery 8,392,345 0.04 -0.16 -7.56
Austin Capital Safe Harbor QP Fund 7,582,382 0.04 -0.37 -21.96
CT Preferred Investors Management LLC 3,741,985 0.02 0.00 0.24
ARS Pool (Cash Account) 2,549,880 0.01 0.00 0.01
NMSIC Private Equity Composite 1,826,608,789 9.54 4.59 15.29
Townsend Reported Real Estate 1,082,589,554 5.65 3.80 12.34
NMSIC Real Return 753,944,805 3.94 2.14 7.39
Waterfall Eden Fund, LP 167,548,713 0.87 3.44 N/A
ING Real Return 154,705,573 0.81 1.13 N/A
Credit Suisse Bank Loan 129,119,996 0.67 1.19 N/A
J.P. Morgan Infrastructure Partners 67,691,343 0.35 7.36 N/A
Real Return Pool (Cash Account) 58,505,940 0.31 0.00 0.01
Natural Gas Partners X, L.P. 44,248,173 0.23 -1.12 11.85
EIG Energy Fund XV 38,736,118 0.20 0.21 10.73
Global Infrastructure Partners II 30,286,303 0.16 7.66 30.59
Brookfield Global Timber V 19,779,936 0.10 -0.38 N/A
Brookfield Infrastructure II 12,729,939 0.07 -1.64 N/A
Brookfield Capital Partners III 11,816,072 0.06 14.56 19.99
EIG Energy Fund XVI 9,038,104 0.05 -14.50 N/A
EnCap Investments, L.P. 7,667,123 0.04 8.01 -14.23
Alterna II 2,071,456 0.01 -24.08 N/A
Allocation
Market
Value ($)
%
Perf. (%)
QTD
1
Year
NMSIC Total Fund Composite 19,151,457,842 100.00 2.02 13.04
NMSIC US Equity Composite 6,910,520,290 36.08 1.84 23.52
NT Russell 1000 Index Fund 2,910,433,936 15.20 2.03 22.41
Wellington Management Company 758,801,754 3.96 2.93 19.50
J.P. Morgan Asset Management 751,173,696 3.92 -1.17 24.32
Brown Brothers Harriman 604,265,770 3.16 2.04 17.76
PanAgora Asset Management 544,491,371 2.84 1.66 20.16
T. Rowe Price LC Growth 344,118,932 1.80 0.22 34.25
Cortina Asset Management 239,898,603 1.25 0.75 32.63
Seizert Capital Partners 239,140,929 1.25 2.38 34.72
Donald Smith & Company 219,516,311 1.15 8.17 31.51
BlackRock Alpha Tilts 206,899,283 1.08 3.19 28.62
NT Extended Equity Market Index Fund 91,243,715 0.48 2.73 25.41
SIC Managed Large Cap Index 495,838 0.00 5.96 7.23
BlackRock Transition 29,361 0.00 -13.69 -8.07
Northern Trust Transition 10,791 0.00 3.71 6.85
NMSIC Non-US Equity Composite 2,660,237,205 13.89 -0.62 7.57
Alliance Bernstein Emerging Markets Index 517,179,426 2.70 -0.68 -1.82
DuPont Capital Management 507,352,226 2.65 -2.40 N/A
T. Rowe Price Int'l Core 344,192,866 1.80 -0.09 N/A
MFS Int'l Large Cap Growth 341,042,886 1.78 -0.78 N/A
Templeton Int'l Small Cap Equity 285,541,670 1.49 1.86 N/A
LSV Int'l Large Cap Value 278,030,456 1.45 0.83 N/A
BlackRock Emg Mkts Opp Fund 263,892,277 1.38 -1.97 N/A
Alliance Bernstein MSCI EAFE Int'l Index 120,940,665 0.63 0.15 16.72
SSGM Transition Mgmt Non-US Emerging 1,388,637 0.01 0.67 N/A
Reclaims (Jarislowksy Fraser) 575,580 0.00 0.03 20.14
Russell Transition Mgmt Non-US Developed 95,583 0.00 4.98 N/A
Schroder Int'l Alpha 4,934 0.00 -8.48 N/A
NMSIC Fixed Income Composite 4,390,878,898 22.93 2.38 2.76
PIMCO Barclays US Universal 1,249,535,877 6.52 2.01 0.34
Prudential Barclays US Universal 850,104,087 4.44 2.68 2.64
Periods Ending
Beginning
Market Value ($)
Net
Cash Flow ($)
Gain/Loss ($)
Ending
Market Value ($)
%Return
FYTD 17,094,085,920 4,854,507 2,052,517,415 19,151,457,842 12.01
New Mexico State Investment Council
Asset Allocation, Performance & Schedule of Investable Assets
As of March 31, 2014
Allocations shown may not sum up to 100% exactly due to rounding. Performance shown is gross of fees, except for Credit & Structured Finance, Absolute Return, Real Estate,
Real Return, and Private Equity, which are net of fees. Market values and performance are preliminary and subject to change. RVK endorses GIPS and calculates performance
for composites and investment managers using different methodologies. Fiscal year ends June 30.
Page 12
Capital Markets Review
As of March 31, 2014
3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr