CALIFORNIA PUBLIC EMPLOYEES' RETIREMENT
SYSTEM
ALTERNATIVE
INVESTMENT MANAGEMENT PROGRAM
Quarterly Review
Executive Summary
Quarter ended
June 30, 2001
Section Page
A. AIM Program - Overall
Portfolio................................................................. 1
Portfolio
Diversification - Portfolio Style.................................................................. 4
Portfolio
Company Diversification - Geographic Location............................................. 5
Portfolio
Company Diversification - Industry............................................................. 6
B. PARTNERSHIP COMPONENT................................................................................ 7
Limited
Partnerships - Performance Analysis............................................................. 7
Limited
Partnerships - Multiple of Total Value........................................................... 8
Limited
Partnerships - Commitments Authorized in 2001.............................................. 9
Limited
Partnerships - Commitments and Contributions Since Inception........................ 10
Limited
Partnerships - Portfolio Activity................................................................. 11
Limited
Partnerships - Proposal Activity................................................................. 11
Limited
Partnerships Diversification - International Holdings....................................... 12
Limited
Partnerships Diversification - California Oriented............................................ 13
C. DIRECT COMPONENT........................................................................................ 14
Direct Component - Co-Investments
- Quarterly Activity.......................................... 15
Direct Component - Co-Investments
- Performance Analysis..................................... 15
Direct Component - Independently
Sourced Direct Investments - Quarterly Activity...... 15
Direct
Component - Independently Sourced Direct Investments - Performance Analysis.. 15
Direct
Component - Investment Vehicles - Quarterly Activity.................................... 15
Direct
Component - Investment Vehicles - Performance Analysis................................ 16
TABLE OF CONTENTS (Continued)
Page
Tables
Table
1 - Summary of AIM Portfolio................................................................ 3
Table 2 - Amount Committed by Portfolio Style................................................. 4
Table
3 - Portfolio Diversification by
Geographic Location................................... 5
Table
4 - Portfolio Diversification by
Industry....................................................6
Table 5 - Components of Total Gain............................................................... 7
Table 6 - Commitments Authorized in 2001...................................................... 9
Table
7 - Summary of Capital Commitments and
Contributions............................ 10
Table
8 - Key Statistics of AIM Partnership
Portfolio........................................ 11
Table
9 - AIM Limited Partnership Program
Quarterly Activity............................. 11
Table
10 - Commitments by Partnership Category.............................................. 12
Table
11 - International Asset Allocation......................................................... 13
Table
12 - California-Oriented Partnership Commitments..................................... 14
Table
13 - Direct Component Investment Activity.............................................. 15
Figures
Figure
1 - Portfolio Diversification by Style......................................................... 4
Figure
2 - Portfolio Diversification by Geographic Location..................................... 5
Figure
3 - California Portfolio Company Diversification by Industry.......................... 6
Figure
4 - Multiple of Total Value to Capital Contributed by Vintage Year................. 8
Figure
5 - Capital Deployed as a Percentage of Capital Committed by Vintage Year.. 10
I. ALTERNATIVE INVESTMENT
MANAGEMENT PROGRAM
A. AIM PROGRAM-OVERALL PORTFOLIO
This
quarterly review has been prepared by The PrivateEdge Group at State Street
Corporation (“PE”) and Staff, based on cash flow data, valuation data and
activity data generated by PE, Hamilton Lane Advisors (“HL”), Pacific Corporate
Group (“PCG”), Grove Street Advisors ("GSA") and Staff. Outlined below are specific highlights of
the portfolio.
Performance
·
As
of June 30, 2001, the AIM Program has generated a net internal rate of return
(“IRR”) of 16.8% since inception (March 1990).
The public market ten-year Wilshire 2500 Index returned 14.8% as of June
30, 2001. In order to address the immaturity of young partnerships within the
portfolio, CalPERS adopted a short-term benchmark, which measures performance
of young partnerships (those in the first four years of life) against Venture
Economics universe data. As of March
31, 2001 (the most recent date of calculation) the AIM Partnership net IRR over
the most recent four years is an estimated net IRR of 10.05%, which ranks above
the most recent Venture Economics median return of 6.05% by 400 basis points.
AIM Staff is working with CalPERS senior management to develop a new
performance benchmark. Additional information will be provided in subsequent
quarterly reports.
·
CalPERS’
commitments have increased over the past three years by 138% (with $4.0 billion
committed in the last 12 months), resulting in a majority of the portfolio
being in the early stage of its investment life. As of June 30, 2001, the average age of the investments in the
portfolio including all authorized commitments was 2.5 years. Thus the
portfolio is experiencing a “J-curve” phenomenon, which reflects payment of
fees that are not offset while young investments are held at cost pending
maturity.
·
As
of June 30, 2001, AIM Program direct investments generated a net internal rate
of return (“IRR”) of 18.6% since inception (June, 1990). AIM Program direct investments are
performing according to expectations at this stage of their investment cycle.
Authorized
Commitments
·
As
of June 30, 2001, the AIM Program had total active commitments of $19.1
billion. Exited investments totaled $1
billion, bringing total authorized commitments to $20.1 billion since the
inception of the program. An exited commitment is defined as either a
commitment that has ended in accordance with the terms of the investment
agreement or a commitment that the Limited Partners have chosen to end
prematurely due to unforeseen circumstances.
·
CalPERS
authorized $662.5 million of new partnership commitments during the second
quarter of 2001. This amount includes
$150 million and $312.5 million committed to Carlyle Group and Thomas Weisel
Partners funds respectively. These
commitment amounts were authorized by the Investment Committee as part of the
overall strategic relationship with these firms.
·
At
formation in October 1998, California Emerging Ventures, LLC (“CEV” or “CEV I”)
had $355 million in total committed capital, $350 million from CalPERS and $5
million from GSA’s partners. CalPERS has retained the right to approve
additional capital to the CEV program through the use of a “Supplemental Pool”. As of June 30, 2001, Total capital committed
through the CEV relationship was $945.7 million.
·
Effective
March 2001, total committed capital to CEV II increased from $404 million to
$484.8 million -- $480 million from CalPERS and $4.8 million from GSA’s
partners. As of June 30, 2001 the total capital committed through the CEV II
relationship, including the supplemental pool was $1.3 billion.
·
During
the first quarter of 2001 CalPERS authorized $500 million to California
Emerging Ventures III (“CEV III”). CEV
III is a follow-on investment vehicle managed by GSA, which will allow CalPERS
to continue its strategy of accessing high-quality venture capital funds. As of June 30, 2001, the total capital
committed through the CEV III relationship including the supplemental pool was
$525 million.
·
During
the second quarter of 2001, CalPERS authorized no new co-investments or direct
investments.
Portfolio
Activity
·
As
the AIM Portfolio matures and distributions grow, the Program is becoming
self-sustaining. Since inception,
CalPERS has contributed $9.7 billion and received $6.5 billion of distributions
as of June 30, 2001. CalPERS contributed $0.3 billion and received $0.2 billion
in distributions for the three months ended June 30, 2001.
·
Through
June 30, 2001, GSA had reviewed over 1139 investment opportunities
(approximately 104 during the second quarter) and met with over 439 teams
(approximately 28 during the second quarter).
Through the end of the second quarter, a total of 98 funds had been
committed to through the CEV relationship.
TABLE 1 – SUMMARY OF AIM PORTFOLIO
Since Inception
(March 1990) THROUGH June 30, 2001
(US$ in millions)
|
|
Number of Commitments(1)
|
Capital Committed
|
Unfunded Commitment(2)
|
Capital Contributed(3)
|
Distributions & Returns of Capital(4)
|
Fair Market Value(5)
|
Net
IRR(6)
|
|
|
|
|
|
|
|
|
|
|
Total Active Commitments(7)
|
204
|
$19,062.7
|
$10,206.1
|
$8,856.6
|
$4,835.4
|
$7,083.2
|
15.4%
|
|
|
|
|
|
|
|
|
|
|
Total Active Partnerships
|
177
|
14,036.3
|
6,598.0
|
7,438.3
|
4,610.7
|
5,657.3
|
15.8%
|
|
|
|
|
|
|
|
|
|
|
Total Active Directs
|
27
|
5,026.4
|
3,608.1
|
1,418.3
|
224.7
|
1,425.9
|
11.6%
|
|
Co-Investments(8)
|
16
|
404.7
|
22.7
|
381.9
|
25.9
|
341.3
|
(1.5%)(9)
|
|
Direct Investments
|
4
|
835.0
|
398.5
|
436.5
|
179.1
|
533.1
|
58.4%
|
|
Investment Vehicles(10) (11)
|
7
|
3,786.7
|
3,186.9
|
599.8
|
19.7
|
551.5
|
(6.8%)(9)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Exited Commitments(12)
|
10
|
$989.3
|
-
|
$883.0
|
$1,645.3
|
-
|
23.5%
|
|
Total AIM Portfolio
|
214
|
$20,052.0
|
$10,312.4
|
$9,739.6
|
$6,480.7
|
$7,083.2
|
16.8%
|
|
|
|
|
|
|
|
|
|
|
Total Partnerships
|
182
|
14,452.3
|
6,704.9
|
7,747.4
|
5,063.0
|
5,657.3
|
16.3%
|
|
Total Direct Component
|
32
|
5,599.7
|
3,607.6
|
1,992.2
|
1,417.7
|
1,425.9
|
18.6%
|
|
|
|
|
|
|
|
|
|
(1)
Includes
all authorized commitments as of June 30, 2001, including those commitments
that have been authorized but not yet closed.
(2)
Only
includes active unfunded commitments.
(3)
Includes
Fees in excess of committed capital.
(4)
Includes
distributions of profit and returns of capital.
(5)
Based
on values reported by the general partners as of June 30, 2001.
(6)
The
net IRR includes returns from all commitments since inception, including those
investments that have been exited.
(7)
An
active commitment refers to an investment that has not reached the end of its
legal term.
(8)
Does
not include CalPERS’ co-investment arrangements with Carlyle Partners II, L.P.
($20 million), Sanderling Biomedical IV, L.P. ($30 million) and Asian Recovery
Fund, L.P. ($35 million).
(9)
Please
note that interim returns may not be indicative of ultimate performance due to
the very early stage of investment life for certain investments.
(10)
Includes
California Emerging Ventures (“CEV”), California Emerging Ventures II (“CEV
II”), California Emerging Ventures III (“CEV III”), California Initiative and Corporate Partners Program. The commitment to California Initiative has
been reduced to $475 million.
(11)
The
Joint Real Estate/AIM Technology Program, pending strategic discussions, may be
classified under the Real Estate program.
For this reason, the commitment amount of $500 million is not included
in this report.
(12)
An
exited commitment is defined either as a commitment which has ended in
accordance with the terms of the Partnership Agreement or a commitment in which
the Limited Partners have chosen to end prematurely due to unforeseen
circumstances.
Portfolio
Diversification – By Portfolio Style
At quarter end, the Corporate Restructuring and Investment
Vehicles strategies made up the largest percentages of commitments in the AIM
Program, followed by the Venture Capital and Expansion Capital categories. Of
the $19.1 billion of active committed capital, 73.6% has been committed to the
Partnership Component and 26.4% has been committed to the Direct Component. While
the investment vehicles are reported as a unique portfolio style, a majority of
the vehicle commitment (74.25%) is to the CEV relationship which concentrates
on venture capital. Figure 1-AIM Program – Portfolio Diversification
details the approximate current allocations.
TABLE 2 - AMOUNT Committed by PORTFOLIO Style
As of June 30, 2001
(US$ in millions)
|
|
Total
Commitments (1)
|
Active
Commitments
|
Exited
Commitments (2)
|
June 30, 2001
Net IRR
|
% of Active Commitments
|
Co-Investments
|
$ 478.0
|
$ 404.7
|
$ 73.3
|
(2.5%)
|
2.1%
|
Corporate
Restructuring
|
6,519.7
|
6,369.7
|
150.0
|
15.4%
|
33.4%
|
Direct
Investments
|
1,335.0
|
835.0
|
500.0
|
26.7%
|
4.4%
|
Distressed
Securities
|
550.0
|
500.0
|
50.0
|
22.4%
|
2.6%
|
Expansion
Capital
|
2,178.9
|
2,178.9
|
0.0
|
13.3%
|
11.4%
|
Investment Vehicles
(3)
|
3,786.7
|
3,786.7
|
0.0
|
(6.8%)(4)
|
19.9%
|
Mezzanine
Debt
|
377.5
|
377.5
|
0.0
|
5.5%
|
2.0%
|
Natural
Resources
|
410.0
|
410.0
|
0.0
|
7.3%
|
2.2%
|
Secondary
Interests
|
582.3
|
582.3
|
0.0
|
27.9%
|
3.0%
|
Special
Situation
|
943.3
|
727.3
|
216.0
|
12.9%
|
3.8%
|
Venture
Capital
|
2,840.5
|
2,840.5
|
0.0
|
25.7%
|
14.9%
|
|
Other
|
50.0
|
50.0
|
0.0
|
0.0%
|
0.3%
|
|
Total
|
$20,052.0
|
$19,062.7
|
$989.3
|
16.8%
|
100.0%
|
(1)
Includes
all authorized commitments as of June 30, 2001.
(2)
An
exited commitment is defined either as a commitment that has ended in
accordance with the terms of the Partnership Agreement or a commitment that the
Limited Partners have chosen to end prematurely due to unforeseen
circumstances.
(3)
Investment
Vehicles include California
Emerging Ventures, California Emerging Ventures II, California Emerging
Ventures III, California Initiative and Corporate Partners Program.
(4)
Investment
Vehicles returns are too early to be meaningful.
As of
June 30, 2001, CalPERS’ AIM Portfolio was well diversified by geographic
region. Table 3 – Portfolio Diversification by
Geographic Location outlines the current amounts invested by the AIM
Program based upon the location of each portfolio company’s headquarters or
area of primary operation. As shown in
Figure 2 – AIM Program Diversification by
Geographic Location, approximately 20% of the investments were in companies
with their primary locations within California, and an additional 61% were
non-California domestic investments.
Taken together, all domestic portfolio companies represent 81% of
investments completed as of June 30, 2001.
TABLE 3 – PORTFOLIO Diversification by Geographic
Location
As of June
30, 2001
|
Location
|
Amount
Invested
(US$ in millions)
|
Percentage
Invested
|
|
Asia
|
$ 231.0
|
4%
|
|
California
|
1,304.6
|
20%
|
|
Canada
|
64.9
|
1%
|
|
Latin
America
|
118.8
|
2%
|
|
Other
(2)
|
159.3
|
2%
|
|
United
States (excluding CA)
|
3,955.6
|
61%
|
|
|
Western
Europe
|
628.8
|
10%
|
|
|
Total
|
$6,462.9
|
100%
|
|
|
|
|
|
|
|
Figure 2 – AIM Program - Portfolio Diversification by Geographic Location
As
Measured by CalPERS’ Market Value Exposure
As of June 30, 2001
(1) Includes CalPERS’ pro rata interest in the fair market value of
investments held by Partnerships, Co-Investments, Direct Investments and
Investment Vehicles as of June 30, 2001.
(2) “Other” represents Australia, Russia, South Africa, Caribbean and the
Middle East.
Portfolio Company Diversification by Industry: (Total
Portfolio and California Portfolio Specific) (1)
As of
June 30, 2001, CalPERS’ AIM Portfolio was broadly diversified by industry. Table 4 –
Portfolio Diversification by Industry
outlines the current amounts invested by the AIM Portfolio based upon the
industry focus of each portfolio company for both the overall portfolio and for
California-based companies. Within the
overall portfolio diversification, financial services and communications are
the two most highly concentrated categories.
As shown in Figure 3 - California
Portfolio Company Diversification by Industry, the financial services and
consumer-related categories make up the largest percentage of California
portfolio companies, followed by the communications, medical/health related and
computer-related categories.
TABLE 4 – Portfolio
DIVERSIFICATION by Industry
All Portfolio COmpanies
& California-Based portfolio Companies
As of June 30, 2001
|
|
All Portfolio Companies
|
California Portfolio
Companies
|
|
|
|
|
|
|
|
Industry
|
Portfolio Amount Invested (US$ in millions)
|
Portfolio Percentage Invested
|
California Amount Invested
(US$ in millions)
|
California Percentage Invested
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology
|
$ 129.7
|
2%
|
$ 63.9
|
5%
|
|
Communications
|
943.5
|
15%
|
213.6
|
16%
|
|
Computer-Related
|
437.2
|
7%
|
125.6
|
10%
|
|
Consumer-Related
|
843.4
|
13%
|
239.5
|
18%
|
|
Electronics-Related
|
45.2
|
1%
|
27.2
|
2%
|
|
Energy
|
358.8
|
6%
|
7.7
|
1%
|
|
Financial
Services
|
966.8
|
15%
|
236.9
|
18%
|
|
Industrial Products
|
303.5
|
5%
|
25.2
|
2%
|
|
Manufacturing
|
484.5
|
7%
|
46.2
|
4%
|
|
Media
|
235.8
|
4%
|
24.5
|
2%
|
|
Medical/Health-Related
|
655.4
|
10%
|
158.1
|
12%
|
|
Other
|
382.4
|
6%
|
40.2
|
3%
|
|
Real
Estate
|
29.2
|
0%
|
15.5
|
1%
|
|
Services
|
521.9
|
8%
|
64.0
|
5%
|
|
Transportation
|
125.6
|
2%
|
16.6
|
1%
|
|
Total
|
$6,462.9
|
100.0%
|
$1,304.6
|
100.0%
|
Figure 3 –
California Portfolio Diversification by Industry
As Measured by CalPERS’ Market
Value Exposure
As of June 30, 2001
(1) Includes CalPERS’ pro rata interest in the fair market value of
investments held by Partnerships, Co-investments, Direct Investments and
Investment Vehicles as of June 30, 2001
B. PARTNERSHIP
COMPONENT
·
Since
inception, CalPERS had authorized approximately $14.5 billion of commitments to
91 fund sponsors representing 182 limited partnership investments as of June
30, 2001. The total amount contributed
to these investments was approximately $7.7 billion.
·
Since
inception, there have been approximately $5.1 billion of gross distributions
from the AIM limited partnerships, of which $3.1 billion represented a gain on
capital invested.
·
These
distributions indicate that CalPERS’ investments continue to move into a more
mature phase where increased distributions may be anticipated. During the
quarter, CalPERS received distributions totaling $168.0 million.
·
The
overall net internal rate of return (“IRR”) since inception for all limited
partnership investments was 16.3% as of June 30, 2001.
·
The
partnership component is well diversified and includes investments with
strategic, core, and emerging partners.
Limited Partnerships - Performance
Analysis
Given that the weighted average age (as weighted by
commitments of the partnerships) is approximately only 2.9 years, the limited
partnership portfolio’s net return of 16.3% is consistent with expectations at
this phase in the program.
Total active commitments to partnerships that had drawn
capital as of June 30, 2001 were $11.9 billion. The $7.7 billion of capital drawn down as of June 30, 2001
represents 65% of the total amount committed to the 156 closed active limited
partnerships. As of June 30, 2001, the
total amount of non-recallable capital returned to CalPERS from these
partnerships was approximately $1.9 billion.
The total cost basis of approximately $5.7 billion represents
the difference between the aggregate amount of contributed capital and the
total amount of non-callable capital returned.
For reporting purposes, the fair market value of an
investment generally is based upon the conservative practice of requiring
investments to be shown at cost until there is substantial material evidence to
value the investment otherwise. Given
these conservative valuation policies, the estimated fair market value may
understate the value of portfolio investments.
For instance, in order to remain conservative, the general partner of a
partnership may hold an investment at cost, even if recent financial
performance or some other indication would suggest that it is worth a greater
amount. The
estimated fair market value of CalPERS' partnership portfolio as of June 30,
2001 is $5.66 billion, which is slightly less than CalPERS' cost basis of $5.74
billion, resulting in an unrealized loss of approximately ($0.08) billion. One component of the unrealized loss is the
foreign currency loss, which was created by exchange rate movements.
On a cumulative basis, the CalPERS AIM partnership
portfolio showed total gain (including realized and unrealized gains) of
approximately $3.0 billion at June 30, 2001. The four components which make up
the total gain are shown in Table 5 - Components
of Total Gain.
TABLE 5 -
COMPONENTS OF TOTAL GAIN
|
Component
|
Amount
|
% of Total
|
|
Unrealized
Investment Gain/(Loss)
|
($
49,403,549)
|
(1.66%)
|
|
Unrealized
Foreign Currency Gain/(Loss)
|
($
32,100,721)
|
(1.08%)
|
|
Realized
Profit Distributions to Date
|
$3,130,521,780
|
105.18%
|
|
Realized
Foreign Currency Gain/(Loss)
|
($
72,703,955)
|
(2.44%)
|
|
Total Gain at June 30, 2001
|
$2,976,313,555
|
100.00%
|
Limited Partnerships - Multiple of Total
Value
The following graph in figure 4 - Multiple of Total Value to Capital Contributed by Vintage Year,
illustrates the relationship between the total value and contributed capital
through the use of a multiple for each vintage year in the portfolio. The total value of the partnership is the
Fair Market Value (the 6/30/01 valuation provided by the General Partner) plus
Total Distributions since inception (return of capital plus capital gain). A multiple that is greater than one
indicates that the total value exceeds the amount of capital contributed to
date, whereas a multiple of less than one indicates that the total value is
less than the amount of capital contributed.
As of June 30, 2001, the overall multiple for AIM Program limited partnerships
is 1.38x.
Figure
4 - Multiple of Total Value to Capital Contributed
by
Vintage Year
As
of June 30, 2001
Limited
Partnerships – Commitments Authorized in 2001
Table 6 - Commitments Authorized
in 2001 indicates that during the quarter ended June 30, 2001, nine new
limited partnership commitments were authorized for $662.5 million. Two of the commitments represent general
partner groups that are new to CalPERS, Advent partners and Avenue Special Situations
Fund. Five of the new authorized
commitments had closed by the end of the second quarter.
TABLE 6 - COMMITMENTS
AUTHORIZED IN 2001
As of June
30, 2001
|
Partnership Name
|
Fund Classification
|
Authorized Commitment
|
Date
Authorized
|
Closing
Date
|
|
|
|
|
|
|
|
1st Quarter
2001:
|
|
|
|
|
|
Bridgepoint
Capital European Private Equity Fund II
|
Successor
|
$100,000,000
|
February 2001
|
May
14,2001
|
|
Candover
2001, L.P.
|
Successor
|
$150,000,000
|
January 2001
|
June
13, 2001
|
|
KKR
Millenium Fund.
|
Successor
|
$150,000,000
|
February 2001
|
June
18, 2001
|
|
Ripplewood
Partners II, L.P.
|
New
|
$50,000,000
|
January 2001
|
May
18, 2001
|
|
William
Simon Distressed Fund
|
New
|
$25,000,000
|
January 2001
|
April
2, 2001
|
|
Total 1st
Quarter:
|
|
$475,000,000
|
|
|
|
|
|
|
|
|
|
2nd Quarter
2001:
|
|
|
|
|
|
Avenue Special Situations Fund
|
New
|
$75,000,000
|
April 2001
|
Not Closed
|
|
Carlyle Asia Venture Partners II1
|
Successor
|
$50,000,000
|
April 2001
|
May 11, 2001
|
|
Carlyle Realty Partners III1
|
Successor
|
$50,000,000
|
April 2001
|
June 15, 2001
|
|
Carlyle Venture Partners II1
|
Successor
|
$50,000,000
|
April 2001
|
April 17, 2001
|
|
Thomas Weisel Global Growth Partners1
|
Successor
|
$75,000,000
|
April 2001
|
Not Closed
|
|
Thomas Weisel Strategic Opportunities1
|
Successor
|
$150,000,000
|
April 2001
|
Not Closed
|
|
Thomas Weisel Venture Partners1
|
Successor
|
$87,500,000
|
March 2001
|
March 23, 2001
|
|
T3 II
|
Successor
|
$100,000,000
|
May 2001
|
June 11, 2001
|
|
Advent Partners
|
New
|
$25,000,000
|
June 2001
|
Not Closed
|
|
Total 2nd
Quarter:
|
|
$662,500,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 2001 Authorized
Commitments
|
|
$1,137,500,000
|
|
|
The commitment amounts were authorized by the
Investment Committee as part of the overall strategic relationship with these firms at the time of the direct
investments.
Limited Partnerships – Commitments and Contributions Since
Inception
As of June 30, 2001,
the total capital contributed by CalPERS to active limited partnerships was
$7.4 billion, or 53% of total capital commitments(1). As would
normally be expected, the oldest vintage year partnerships have the highest
deployment percentage, as it typically takes some time for each partnership to
call down the full amount of capital committed. It should be noted that partnerships in earlier vintage years
have reached the end of their investment period and will not be calling
additional capital for investment; however, capital may be called for fees and
expenses. The total capital contributed
as a percentage of total capital committed by vintage year is presented in
Figure 5 - Capital Deployed as a % of Capital
Committed by Vintage Year. Table 7 – Summary of Capital Commitments and
Contributions outlines the detail by vintage year.
TABLE 7 - SUMMARY OF CAPITAL
COMMITMENTS AND CONTRIBUTIONS (1)
(US$ in
millions)
|
|
Vintage Year
|
|
Capital Committed
|
Capital Contributed
|
Unfunded Commitment
|
|
|
1990
|
|
$ 125.3
|
$ 124.1
|
$ 1.2
|
|
|
1991
|
|
134.4
|
124.4
|
10.0
|
|
|
1992
|
|
160.0
|
156.6
|
3.4
|
|
|
1993
|
|
275.0
|
271.2
|
3.8
|
|
|
1994
|
(2)
|
1,034.2
|
1,065.7
|
0.0
|
|
|
1995
|
|
905.0
|
881.1
|
23.9
|
|
|
1996
|
|
902.5
|
850.0
|
52.5
|
|
|
1997
|
|
1,289.8
|
1,073.4
|
216.5
|
|
|
1998
|
|
2,040.0
|
1,557.7
|
482.3
|
|
|
1999
|
|
910.0
|
496.0
|
414.0
|
|
|
2000
|
|
3,500.0
|
619.7
|
2,880.3
|
|
|
2001
|
(3)
|
2,760.0
|
218.3
|
2,541.7
|
|
|
Total:
|
(4)
|
$ 14,036.3
|
$ 7,438.3
|
$ 6,629.5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Includes all
authorized active commitments to partnerships as of June 30, 2001.
(2) Contributed
capital is greater than capital committed as a result of partnership fees and
expenses paid in addition to the commitment amount.
(3) Investments
authorized in 2000 that not yet drawn capital are included as vintage year 2001
investments in this table.
(4) Total may
not balance due to rounding.
Figure
5 – Capital Deployed as a Percentage of Capital Committed by Vintage Year
Limited
Partnerships – Portfolio Activity
During the second quarter of 2001, CalPERS contributed a
total of $295.0 million of net capital to partnerships and received gross
distributions of $168.0 million, representing $101.5 million of profit and
$66.5 million of returned capital.
Table 8 – Key Statistics of AIM
Partnership Portfolio summarizes key
statistics for the portfolio over time.
TABLE 8 –
KEY STATISTICS OF AIM PARTNERSHIP PORTFOLIO
As of June
30, 2001
|
(US$ millions)
|
Quarter
ended
June
30, 2001
|
Quarter
ended
June
30, 2000
|
Inception to
June 30, 2001
|
Inception to
June 30, 2000
|
|
L.P. investments authorized (1)
|
9
|
10
|
182
|
132
|
|
Capital committed (1)
|
$662.5
|
$1,085.0
|
$14,452.3
|
$9,869.9
|
|
Capital invested (total) (2)
|
$326.8
|
$470.8
|
$8,168.2
|
$6,800.7
|
|
Capital invested (net) (3)
|
$295.0
|
$438.2
|
$7,747.4
|
$6,460.2
|
|
Distributions (4)
|
$168.0
|
$228.4
|
$5,063.0
|
$3,918.8
|
|
Weighted average age (5)
|
- -
|
- -
|
2.9 years
|
3.4
years
|
(1)
Includes
all allocated commitments authorized (including exited) for the periods ending
June 30, 2001 and June 30, 2000.
(2)
Total
capital contributed, including management fees and expenses paid to general
partner groups.
(3)
Capital
contributed, net of recallable returns of capital.
(4)
Includes
returns of capital as well as profit distributions.
(5)
The
average age is weighted by partnership commitment.
Limited Partnerships - Proposal
Activity
The activity of the Limited Partnership Program during the
first quarter of 2001 is summarized in Table 9 - AIM Limited Partnership Program Quarterly Activity. Investment transaction flow continued to be
strong during the second quarter, with 74 proposals reviewed. These proposals were reviewed based on the
guidelines established by the Investment Committee for the Program. If a proposal was determined to have met the
minimum criteria, it was analyzed further and a judgment was made as to whether
or not the opportunity was compelling from an investment performance standpoint
and on the basis of its strategic fit given the composition of the
portfolio. As of June 30, 2001, a
number of these proposals were still under preliminary review.
Together with the eight opportunities which were in
various stages of due diligence/negotiations at the end of the first quarter of
2001, a total of eleven potential investments were reviewed by the consultants
during the quarter. Of these, nine new
commitments were authorized by the Investment Committee or Delegation Committee
for investment and five remained under review at the close of the second quarter
of 2001.
TABLE 9 -
AIM Limited partnership PROGRAM
Quarterly ACTIVITY
|
|
2nd Qtr 2001
|
|
Investment Proposals Received
|
74
|
|
Due Diligence Reviews Initiated
|
16
|
|
Due Diligence Reviews Completed
|
11
|
|
New Commitments Authorized
|
9
|
|
In Due Diligence at Quarter End
|
5
|
Limited Partnership Diversification - International
Holdings
Commitments to international
partnerships are shown in Table 11 – International
Asset Allocation. CalPERS has authorized approximately 19.0% of total
partnership commitments to internationally targeted partnerships(1). In addition, certain domestic partnerships
are permitted to invest a percentage of their committed capital internationally
(typically 20%). These domestic funds
have made investments in internationally based companies whose aggregate market
value at June 30, 2001 was $428 million.
In addition, investments in internationally based companies made by the
internationally targeted partnerships had a market value of $700 million as of
June 30, 2001. Consequently, CalPERS’ portfolio
includes international investments valued at nearly $1.1 billion.
TABLE 11 –
INTERNATIONAL ASSET ALLOCATION (1)
|
Investment
|
Vintage Year
|
Commitment Amount (Millions)
|
Percent of Total Authorized Commitment
|
|
|
|
|
|
|
|
|
|
|
|
APA German European Ventures, L.P.
|
1990
|
4.3
|
0.03%
|
|
Apax CR III, L.P.
|
1990
|
9.2
|
0.07%
|
|
Apax Ventures IV International Ptrs L.P.
|
1990
|
11.8
|
0.08%
|
|
Asia
Recovery Fund, LP.
|
2000
|
100.0
|
0.71%
|
|
Bridgepoint Capital European Private Equity Fund II
|
2001
|
100.0
|
0.71%
|
|
The
Candover 1994 Fund, L.P.
|
1994
|
47.7
|
0.34%
|
|
The
Candover 1997 Fund, L.P.
|
1998
|
100.0
|
0.71%
|
|
Candover 2001, L.P.
|
2001
|
150.0
|
1.07%
|
|
Carlyle
Asia Partners, L.P.
|
2000
|
75.0
|
0.53%
|
|
Carlyle
Asia Venture Partners II, LP
|
2001
|
50.0
|
0.36%
|
|
Coller
International Partners II, L.P.
|
1998
|
75.0
|
0.53%
|
|
Coller
International Partners III, L.P.
|
1999
|
100.0
|
0.71%
|
|
CVC
European Equity Partners, L.P.
|
1996
|
50.0
|
0.36%
|
|
CVC
European Equity Partners II, L.P.
|
1998
|
150.0
|
1.07%
|
|
CVC
European Equity Partners III, L.P.
|
2001
|
200.0
|
1.42%
|
|
Doughty
Hanson Fund II, L.P.
|
1995
|
50.0
|
0.36%
|
|
Dresder
Kleinwort Benson Emerging Europe
|
2001
|
150.0
|
1.07%
|
|
Ethos
Private Equity Fund III L.P.(2)
|
1996
|
25.0
|
0.18%
|
|
Ethos
Private Equity Fund IV L.P.(3)
|
1998
|
50.0
|
0.36%
|
|
Exxel
Capital Partners V, L.P.
|
1998
|
75.0
|
0.53%
|
|
KKR
European Fund, L.P.
|
2001
|
75.0
|
0.53%
|
|
Lombard
Pacific Rim Fund
|
N/A(4)
|
250.0
|
1.78%
|
|
Lombard
Thailand Fund
|
N/A(4)
|
150.0
|
1.07%
|
|
Lombard/Pacific Partners, L.P. 1st Tranche
|
1995
|
75.0
|
0.53%
|
|
Lombard/Pacific Partners, L.P. 2nd Tranche
|
1997
|
250.0
|
1.78%
|
|
Newbridge Asia III, L.P.
|
2001
|
75.0
|
0.53%
|
|
Polish
Enterprise Fund IV, L.P.
|
2000
|
50.0
|
0.36%
|
|
Schroder UK Venture Fund III, L.P.
|
1991
|
12.7
|
0.09%
|
|
Schroder UK Venture Fund IV L.P. 2
|
1996
|
30.0
|
0.21%
|
|
Schroder Venture European Fund, L.P.
|
1997
|
100.0
|
0.71%
|
|
Total
|
|
$ 2,665.7
|
18.81%
|
|
(1) Includes all authorized active
commitments.
|
|
|
|
|
(2) Formerly FirstCorp Capital 1996
Fund, LP
|
|
|
|
|
(3) Formerly FirstCorp Capital IV, L.P.
|
|
|
|
|
(4) N/A indicates that the Fund had not
closed as of June 30, 2001.
|
|
|
|
|
|
|
Limited Partnership Diversification - California-Oriented
The AIM Program includes a California-oriented component
which is designed to take advantage of a number of factors conducive to
targeted investment activity within the state:
(i) the unique size characteristics of the California economy; (ii) the existence of a “capital gap” for
certain business segments within the state; and (iii) the ability to construct
a diversified array of investment vehicles which reflects the state’s large
number of business entities and the wide range of development cycles that they
represent. As shown in Table 12 - California-Oriented Partnership Commitments,
these investment commitments totaled $964.8 million as of June 30, 2001. In addition to those partnerships listed as
California-Oriented, many AIM Program partnerships have a presence and make
investments in California.
TABLE 12 -
CALIFORNIA-ORIENTED PARTNERSHIP COMMITMENTS(5)
As of June 30, 2001
|
Investment
|
Vintage Year
|
Amount Committed
($ million)
|
Capital Contributed
($ million)
|
Target Market
|
|
Alta California Partners, L.P.
|
1996
|
$100.0
|
$95.0
|
Start-up and early-stage ventures
|
|
Alta California Partners II, L.P.
|
1998
|
$100.0
|
$73.0
|
Start-up and early-stage ventures
|
|
Alta California Partners III, L.P.
|
2000
|
$135.0
|
$20.3
|
Start-up and early-stage ventures
|
|
Bastion Capital Fund, L.P. (1) (2)
|
1994
|
$
25.0
|
$24.4
|
Minority-owned businesses
|
|
Burrill/UCSF Seed Capital Fund
|
N/A(3)
|
$
10.0
|
N/A(3)
|
Seed Capital Investments
|
|
CA Community Bank & Thrift FD, L.P.
|
1997
|
$
39.8
|
$38.1
|
Community banks &
thrifts
|
|
Doyle & Boissiere Fund I, L.P.
|
1997
|
$
75.0
|
$64.0
|
Under-performing
middle-market companies
|
|
Fairview Capital, L.P. (1) (2)
|
1994
|
$
25.0
|
$22.5
|
Minority-owned venture capital funds
|
|
Kline Hawkes California, L.P.
|
1995
|
$
45.0
|
$35.8
|
Small and later-stage businesses
|
|
Kline Hawkes Pacific, L.P.
|
2000
|
$100.0
|
$29.0
|
Small and later-stage businesses
|
|
Levine Leichtman Capital Partners, L.P.
|
1994
|
$100.0
|
$122.3(4)
|
