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Private Equity Fund of Funds Review 7

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Private Equity Fund of Funds Review 7 Tacoma Employees’ Retirement System Executive Summary of Performance First Quarter 2012 Wilshire Associates Incorporated 1299 Ocean Avenue, Suite 700 Santa Monica, CA 90401 Phone: 310-451-3051 [email protected] Wilshire Consulting Executive Summary of Performance – March 31, 2012 Prepared for Tacoma Employees’ Retirement System TABLE OF CONTENTS Section Tab Numbers in Context 1 Plan Asset Allocation/Investment Performance 2 Investment Manager Exhibits 3 Investment Manager Descriptions 4 Universe Comparisons 5 Investment Policy Statement 6 Private Equity Fund of Funds Review 7 Page | 0 Numbers in Context Asset Class Assumptions Update Total Return (%) Risk (%) 2012 Q1 Change 2012 ACA 2012 vs YE ACA Investment Categories: U.S. Stocks 7.50 7.25 (0.25) 17.00 Dev ex‐U.S. Stocks 7.50 7.25 (0.25) 18.00 Emerggging Mkt Stocks 7.50 7.25 (()0.25) 26.00 Global Stocks 7.80 7.55 (0.25) 17.05 Private Markets 10.25 9.85 (0.40) 27.50 Cash Equivalents 1.50 1.75 0.25 1.25 Core Bonds 2.85 2.95 0.10 5.00 LT Core Bonds 3.20 3.50 0.30 10.00 TIPS 1.65 2.00 0.35 6.00 High Yield Bonds 5.45 5.25 (0.20) 10.00 Non‐U.S. Bonds (Hdg) 2.50 2.60 0.10 3.50 U.S. RE Securities 5.05 5.30 0.25 15.00 Private Real Estate 5.80 6.05 0.25 12.25 Commodities 4.00 4.35 0.35 13.00 Real Asset Basket 5.85 6.10 0.25 7.75 Inflation: 2.00 2.35 0.35 1.75 Returns minus Inflation: U.S. Stocks 5.50 4.90 (0.60) U.S. Bonds 0.85 0.60 (0.25) Cash Equivalents (0.50) (0.60) (0.10) Stocks minus Bonds: 4.65 4.30 ()(0.35) Bonds minus Cash: 1.35 1.20 (0.15) 2 Wilshire 2012 State Funding Study 120% Of the 102 plans with 2011 data, 100% 99% • 100% ns 95% 93% 97% 89% 88% 87% 95% 96% 90% ofhf them were un der fun ddded 86% 90% 85% 85% 87% 80% 80% 83% based on market values 75% 68% 68% 69% 60% lans as % of 102 Pla of % lans as 49% 55% PP 40% 36% Underfunded Underfunded 20% 0% FY00 FY01 FY02 FY03 FY04 FY05 FY06 FY07 FY08 FY09 FY10 FY11 Market Value Actuarial Value 30 • On a market value basis, a 25 100% Funded majority of the 102 plans are less 20 than or equal to 80% funded 15 irement Systems irement tt 10 Re 5 0 Market Value Actuarial Value 3 Wilshire 2012 State Funding Study • U.S. Equity plus Non-U.S. Equity Private Equity 82%8.2% equalfls 51% of assets Real Estate 6.4% U.S. Equity Other 31.1% 9.4% Non-U.S. Fixed 1.7% U.S. Fixed 23.3% Non-U.S. EitEquity 19.9% Change in Exposure Equity 2001 2006 2011 01-11 06-11 • Average allocation to Non -U.S. USU.S. Equity 43. 8 % 42. 3 % 31. 1 % -12. 7 % -11. 2 % Non-U.S. Equity 12.5 17.1 19.9 7.4 2.8 Equities has increased while Real Estate 3.4 4.8 6.4 3.0 1.6 allocation to U.S. Bonds Private Equity 3.9 4.4 8.2 4.3 3.8 Equity Subtotal 63.6 68.6 65.6 2.0 -3.0 decreased Debt U.S. Fixed 34.6 27.2 23.3 -11.3 -3.9 Non-U.S. Fixed 1.6 0.9 1.7 0.1 0.8 Other 0.2 3.3 9.5 9.3 6.2 Debt Subtotal 36.4 31.4 34.4 -2.0 3.0 Return * 6.2 6.4 6.4 0.2 0.0 Risk * 11.011.511.20.2-0.3 4 Economic Review March 31, 2012 Key Economic Indicators CPI (all items) Monthly Change Cumulative Change Seasonally adjusted Mar-12 0.3 3-Month 0.9 Feb-12 040.4 12-Month 262.6 Jan-12 0.2 10-Yr Annual 2.5 Breakeven Inflation 10-Year 2.3 Consumer Sentiment Mar-12 76.2 Unv. of Michigan Survey Feb-12 75.3 1YrAgo1-Yr Ago 67. 5 10- Yr Avg 79. 9 Manufacturing Mar-12 53.4 Change in Manufacturing Sector Inst. for Supply Mgmt Feb-12 52.4 >50 Expansion Purchasing Mngrs' Idx 1-Yr Avg 53.6 <50 Contraction Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity. Changes in Real GDP (2005 base year) Unemployment Rate and Job Growth/Loss 10.00% $14,000 800 15.0 Real GDP $12,000 8.00% $10,000 600 6.00% Consumer Spending $8,000 10.0 th 400 bil) $6,000 (%) 4.00% hou) ww ee tt $$ $4,000 2.00% 200 $2,000 5.0 0.00% $- - $(2,000) -2.00% $(4,000) - (200) -4.00% $(6,000) Rat ployment nnualized Gro uarterly GDP ( Growth/Loss ( AA mm -6.00% $(8,000) QQ (400) $(10,000) (5.0) Job -8.00% Une $(12,000) (600) -10.00% $(14,000) (800) (10.0) Annualized Change in Real GDP Private Investment Series9 Government Spending Job Growth (Loss) Unemployment Rate Data sources: Bureau of Economic Analysis, Bureau of Labor Statistics, Federal Reserve Bank of St. Louis, Barclays Capital 5 Re-establishing the Housing Market U.S. Housing • Dramatic increase in 1,200,000 12.00 foreclosures 1, 000,000 10.00 – 2006 = <1 million 800,000 8.00 600,000 6.00 osure Filings ency Rate Rate ency (%) – 2007 = 1. 7 million ll 400,000 4.00 Forec – 2008 = 3.2 million 200,000 2.00 Delinqu 0 - Foreclosure Filings Residential Delinquency Rates • Since peak ownership (Dec- Home Ownership and Prices 2004), 10 mil new housing 70.0 $300,000 69.0 $250,000 units 68.0 67.0 $200,000 66.0 les Price – Owner occupied = 1 mil ship Rate (%) rr 65. 0 $150,000 aa 64.0 $100,000 – Renter occupied = 6 mil 63.0 Median S 62.0 $50,000 61.0 – Vacant = 3 mil National Owne 60.0 $0 6 Source: RealtyTrac, U.S. Census Bureau Home Ownership Rate New Homes Median Price Waiting on Consumer Spending • Consumer spending comprises 70% of GDP • Growth slowed in 2011 – Real GDP Growth of 1.6% versus 3.1% in 2010 – Moderate consumer spending, but positive Contribution to Real GDP Growth - 2011 4.0 ) %% 3.0 2.0 tribution ( nn 1.0 Growth Co 0.0 -1.0 Annualized -202.0 Real GDP Personal Consumption Private Investment Government Spending 7 Source: Bureau of Economic Analysis Employment Constraints Employment and Labor Force 170,000 High unemployment continues to Winter • 2008 restrain growth 160,000 Jun‐13 150,000 146,534 – Labor force has not been 140,000 gggrowing (thou) ers 130,000 kk Civilian Employment (in millions) Peak Employment (Nov‐2007) 146.6 Current Employment (Mar‐2012) 142.0 – Jobs slowly coming back Wor 120,000 difference 4.6 Trending Labor Force (Mar‐2012) 160.2 110,000 Current Labor Force (Mar‐2012) 154.7 difference 5.5 100,000 Labor Force Trending LF Employed +300 thou/mo Rolling 1-Year Wage Growth • Wage growth remains stagnant 4.0 3.5 3.0 • Weak employment and wage 2.5 ages (%) growth translates to weak WW 2.0 consumer demand 1.5 1.0 Growth in 050.5 0.0 8 Source: Bureau of Labor Statistics Debt Constraints Growth of Consumer Credit 20% $2,000 • Consumers again willing to utilize $1,800 d 15% dbdebt $1,600 $1,400 10% – Revolving credit (i.e. credit $1,200 5% $1,000 ange Annualize ange cards) has flat lined tstanding (bil) hh $800 uu 0% $600 – Non-revolving credit (i.e. autos, $400 -5% O Credit school loans) moving higher 6-Month C $200 -10% $0 Change in Total Credit Revolving Credit Nonrevolving Credit Household Debt as a % of Disposable Income 140% HhlddbhihildHousehold debt, which includes • 120% mortgages, continuing to fall 100% versus disposable income 80% 60% 40% 20% 0% 9 Source: Federal Reserve, Bureau of Economic Analysis Drop in Savings Income versus Spending 8.0% Economic Stimulus • Growth in personal consumption Act of 2008 hbhas been outpacing disposa ble 60%6.0% 4.0% income growth, with the difference 10/31/2010 coming from savings 2.0% Month Growth Month -- 0.0% -2.0% Rolling 6 -4.0% -6.0% Real Disposable Income Real Personal Consumption Expenditures Personal Savings Rate 9.0% • AiildhilAssuming mild growth in real 8.0% 7.0% disposable income, savings rate 10/31/2010 would have to fall to ~3.4% to 6.0% produce 2% real growth in 5.0% personal consumption 4.0% 3.0% 2.0% 10%1.0% 0.0% 10 Source: Bureau of Economic Analysis Storm Clouds on the Horizon • Provisions of current tax law, including 2%-point cut in payroll tax,,p will expire • Extended unemployment benefits also set to expire • Deficit reduction committeecommittees’s sequestration cuts equal $1 .2 tril “li“Resulting fisca l contraction –consisting of both tax “The Congressional Budget increases and spending cuts Office predicts…(a federal – would be in the revenue) increase of neighborhood of 3.5% of $512bn…equivalent to 2.9 gross domestic product.” per cent of GDP.” ‐ Alan Blinder, Clinton ‐ Martin Feldstein, Chairmen Appointee to the Federal of Council of Economic Reserve’s Board of Advisors under Reagan Governors 11 U. S. Capital Markets: Equity Wilshire 5000 Sector Weight & Return (%) 20.83 March 31, 2012 Qtr Ytd 1 Yr 3 Yr 5 Yr 10 Yr Info.
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