The New Mexico State Investment Council (“NMSIC”) First Quarter 2017: Real Assets Performance Measurement Report

August 2017

1) 1Q17 Economic Dashboard – Market Outlook

• Agriculture Market Update

• Infrastructure Market Update

• Timberland Market Update

• Currency Effects

2) 1Q17 Real Assets Performance Measurement Highlights

Appendix:

A. Additional 1Q17 Performance Measurement Report

B. Definitions

C. 1Q17 Real Assets Flash Report

2

Table of Contents

Disclaimer: This is a public version of the original Performance Measurement Presentation, portions of which have been removed for confidentiality purposes.

1. 1Q17 Economic Dashboard – Market Outlook

Agriculture – Market Update (1Q17)

• Global weather conditions have favored strong crop production in almost all major regions over the past four years, contributing to increased stocks, lower commodity prices, and declining farm income.

• During the quarter, however, agriculture commodity prices experienced modest increases as global demand showed signs of accelerating during the quarter, which may help offset record production levels and help drive price increases.

• U.S. producers of corn and soybeans saw an uplift in export demand due to a harsh drought across much of Brazil, helping to offset the significant effects of the continued strong U.S. dollar and record production levels.

– U.S. farmland prices in the Corn Belt, however, continued to experience downward pressure on values as the market continues to adjust to a lower commodity price environment.

• Tree nut prices were stable through year end as buyers continued to move back into the market amidst attractive pricing, although these lower prices are beginning to be reflected in certain permanent crop land values.

• California’s water-year had a healthy start with all regions tracking above 120% of the historical average precipitation. • In Australia, record winter rainfall contributed to strong grain production and high expectations for summer crop production.

– Export demand continued to be supported by the weakening of the AUD and helping to bring the domestic market into balance while supporting grower profitability.

• Brazil’s sugar and oilseed producers continue to benefit from higher export demand and prices despite the Real’s strengthening. – Following the drought in core grains and oilseed producing regions, weather is normalizing, which could improve yields.

First Quarter 2017 Source: Itau and Bloomberg; Itau Commodities Monthly Review March 17’ Source: USDA, ERS

Itau Grain and Soybean Price Index

4

Net Farm Income and Net Cash Income, 2000-2017F

Agriculture – Market Update (1Q17)

• The NCREIF Farmland Index (“NFI”) generated a low return of 0.5% for the quarter as weaker commodity pricing continues to translate into lower returns.

– This is the lowest first quarter return over the last five years. – Returns were solely driven by the NFI’s income as appreciation was flat for the quarter.

• The trailing twelve-month return continues its trend downward and is the lowest since 3Q10. – Returns have generally been in decline since 2013 as lower crop prices have continued to negatively impact farmer

profitability and overall farmland values. • Row crops returned a 0.9% total return for the quarter, which was all attributable to the income return.

– The trailing twelve-month return was 4.0% and the lowest in NFI’s history when calculating from 1Q-to-1Q periods, and primarily driven by an average income return of 3.6%.

• Permanent crop returns were effectively flat for the quarter with a -0.03% return. – The trailing twelve-month return was a modest 8.9% in relation to the relatively high-bar set over recent years, and

driven primarily by the income return as expected within this crop type.

First Quarter 2017 Source: NCREIF

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NFI Permanent Crop Performance(Rolling 1-year total returns through 1Q17)

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Infrastructure – Market Update (1Q17) General • Fundraising has been at an all-time high in Q1 2017, driven by the final close

of the largest ever unlisted infrastructure fund, Global Infrastructure Partners III (US$15.8bn). Capital raised in Q1 was c. 120% higher than in Q4 2016 with $29.4 billion raised across 16 funds according to Preqin.

• Deal volume was similar to the previous quarter (est. aggregate value of US$206bn) but for 33% fewer deals. Average deal size was 50% higher quarter-on-quarter and 90% higher year-on-year. During the quarter, renewable energy was the largest sector with 57% of deals.

Europe • Activity in the European transport and social PPP sectors remained high

driven by road, rail and lock tenders in Norway, the Netherlands and Germany. A number of mega deals in the utility sector reached financial close, namely the acquisition of UK’s National Grid, of the French electricity grid RTE and various trades in UK water utilities. The majority of dealflow was in clean energy but there were regional differences: investment was down in the UK (91%, to $1.2bn) as no new offshore wind projects reached financial close but was 96% higher in Germany ($3bn) and 145% higher in France ($1.1bn).

North America • Dealflow was dominated by a diverse array of mega deals across power,

airports, rail, water and telecom. Notable transactions included the approval of the $4bn LaGuardia Airport re-development project, the $3.4bn divestment of GE’s water business, and the $3.3bn acquisition by Dynegy of Engie’s US Power Generation portfolio. Clean energy investment in the US declined 24% to $9.4bn, reflecting mainly lower average cost/MW for wind and solar. Investment in Mexico was up 47-fold to $2.3bn, driven by the $650m 745MW Villanueva solar PV complex in Mexico.

Asia Pacific • Clean energy investment remained strong throughout Asia Pacific. It was up

36% to $4.1bn in Japan and investment in China stood at $17.2bn despite a decline of 11%. Numerous renewable energy projects were completed across the rest of Asia Pacific mainly in India, Philippines, and Australia. Other notable deals were the A$600m Sunshine Cost Airport lease, the CNY 5.8bn Qingdao Port partial sale and the $640m Raigarh-Pugalur long distance transmission link JV in India.

6 Source: Preqin

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Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

2012 2013 2014 2015 2016 17

Unlisted Infrastructure Fundraising

No. of Funds Closed Aggregate Capital Raised ($bn)

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Infrastructure Deals Completed

No. of Deals Estimated Aggregate Deal Value ($bn)

Timberland – Market Update (1Q17) Timber Markets • The U.S. housing recovery remained sluggish in 2016 but with a continued upward trend over the past year.

– While demand constraints continue to exist, supply constraints have moved into the spotlight as limited buildable lots and construction labor have been hindering home construction.

• U.S. South sawtimber and stumpage prices remain low with little to no response to the surging lumber market, which continues to be driven by the ongoing inventory overhang across the South.

– Conservative estimates do not have this overhang burning off for several more years as may of the early estimates have been well below current levels, and the general decrease in harvesting continues to exacerbate the issue further due to the inherent growth of the standing inventory.

• Pacific Northwest (PNW) log prices were mixed throughout the year due to tighter supply/demand ratios, an uptick in domestic demand, and weaker but resilient Chinese demand.

– The price spread for two primary timber types in the Northwest continues to widen as the continued recovery in U.S. housing has helped Douglas-fir values, while whitewoods log prices weaken in response to slower export demand.

• Overall deal flow for 2016 was strong, even after excluding Weyerhaeuser’s acquisition of Plum Creek, which closed in Q1 2016 for an implied timberland value of $8.1 bn (6.6 million acres).

First Quarter 2017 Source: LogLines, Region 2, Lower Columbia River via Campbell Timber Trends Source: Timber Mart-South via Campbell Timber Trends

Pine Sawtimber: Comparison of Stumpage to Delivered Prices Delivered Prices for #2 Sawlogs in Lower Columbia Basin

7

Timberland – Market Update (1Q17) Performance Update • U.S. timberland market value growth has remained low with Q1 2017 returns of 0.8% according to NCREIF, making the

rolling 12 month return 3.6%, up from 2.9% for the same period one year ago. • Relatively weak year-end valuations over the past two years have held the last two quarter’s rolling 12 month appreciation

returns well below the preceding three quarters, highlighting general softness in the U.S. market. – Modest appreciation return of 0.8% for the quarter, down slightly from last quarter’s 1.2% return.

• The rolling 12 month income return has remained relatively stable since 2011, falling within a range from 2.5%-2.9% and indicating the possibility of the market having found some modicum of stability over the past two years despite the ongoing timber glut in the U.S. South.

– Relatively stable income returns over the past eight quarters with a 0.6% return for the quarter • Timberland values on a per acre basis have been relatively stable over the past two years (i.e. 4Q14) with a slight increase

for the quarter reaching $1,800 per acre. – Values in the U.S. South have been primarily responsible for the overall stability with two-thirds share of the index. – Northwest values remain the highest despite a slight decrease over the quarter to reach $2,678 per acre.

First Quarter 2017 Source: NCREIF

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NCREIF Timber Index Returns(annualized returns through March 31, 2017)

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$ Per Acre

Timberland Quarterly Total Return Trends by Region

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• Since the end of the GFC, the U.S. market has experienced strong economic expansion galvanized by favorable macro fundamentals and rising FDI volumes, given the lagging recovery experienced across Europe. As a result, the continuous growth of the U.S. market has been reflected in global currency movements characterized by a steady rise in USD compared to other major currencies since 2H14.

• At quarter-end the British Pound (GBP)/USD and Euro (EUR)/USD exchange rates were 28.0% and 11.9% higher than their 25-year average, respectively.

• The USD appreciation is negatively correlated with the cost of imports and has been favorable to local investors and consumers. One of the key concerns influencing global markets going forward is the pace of inflation and the impact on interest rate expectations.

• Worries continue in Great Britain due to the recent decision to leave the European Union (“EU”) as Article 50 outlining the process of leaving the EU was triggered at the end of March 2017. While volatility has slowed down, it is still expected to be the norm while uncertainty remains. In the meantime, the British Pound continues its unstable ways against the U.S. dollar but has risen to 0.77 GBP/USD as of 06/30/17 (post Brexit vote). The Euro has also been largely affected against the U.S. dollar and rose to 0.88 EUR/USD as of 6/30/17.

Currency Effects – Market Trends (1Q17)

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EURO-USD Rates over 25 Years

25 year Average: 0.84 EUR/USD

Max: 10/25/20001.21 EUR/USD

Min: 4/22/20080.63 EUR/USD

3/31/2017 0.94 EUR/USD

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GBP-USD Rates over 25 Years

25 year Average: 0.62 GBP/USD

Min: 11/8/20070.47 GBP/USD

Max: 1/16/20170.83 GBP/USD

3/31/20170.80 GBP/USD

• At quarter-end, the Australian Dollar (AUS)/USD and Brazilian Real (BRL)/USD exchange rates were about 3.3% lower and 49.8% higher than their 25-year average and 22-year average, respectively.

• U.S. investors with foreign investments have been experiencing short-term fluctuations on their international returns when translated into USD. This trend continued during 1Q17 with the U.S. dollar decreasing in value against the British Pound, Euro, Brazilian Real and the Australian Dollar.

Currency Effects – Market Trends (1Q17)

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25 year Average: 1.35 AUS/USD

Max: 4/3/20012.09 AUS/USD

Min: 7/28/20110.91 AUS/USD

3/31/2017 1.31 AUS/USD

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22 year Average: 2.07 BRL/USD

Max: 9/23/20154.18 BRL/USD

Min: 10/26/19940.83 BRL/USD

3/31/2017 3.12 BRL/USD

2. 1Q17 Real Assets Performance Measurement Highlights

Highlights

• New Mexico State Investment Council’s (NMSIC) current target allocation to real assets is 9%*.

• NMSIC began investing in real assets in 2011, and through the beginning of 2017 have committed approximately $2.0 billion across 26 funds with 17 managers.

• A $50 million commitment was made in the Agriculture sector during 1Q17. In 2016, three commitments were made one each to Infrastructure, Timber, and the Energy sectors totaling $300 million.

• Subsequent to quarter end, a $100 million commitment was made in the Infrastructure sector. Additionally, a commitment was made in the Energy sector for $50 million.

• As of 1Q17, NMSIC’s real assets market value represents 5.5% of the aggregate Land Grant Permanent Fund and Severance Tax Permanent Fund assets (“NMSIC’s assets”). When unfunded commitments are included, real assets represents approximately 8.6%** of NMSIC’s total plan assets as of 1Q17.

• Over the since inception periods, performance remains strong generating a 16.2% net time weighted return, and an 8.9% net since inception IRR which is an increase of 1.2% over last quarter. Overall performance (quarter, one-, three-, and five-year) has been volatile but strong recently and has outperformed the Real Assets CPI + 300 benchmark. Volatility has come from (i) global currency movements, (ii) fluctuation in energy prices which has produced strong returns over the past year, and (iii) j-curve effect due to the build out of the Real Assets portfolio. Over the longer term these factors are expected to have a lower impact on returns.

• As of 1Q17, 42.2% of committed capital remains unfunded and most funds are still in their j-curve. Long-term performance is expected to become less volatile as the portfolio matures, becomes income producing, funded capital increases, and new commitments are made.

• NMSIC continues to commit capital across the real asset sectors in order to move the allocation within the target range.

Portfolio Highlights

12 *Real Assets forms part of the Real Return allocation. The long term target for Real Return is 12%. Real Assets is targeted to be 75% of the Real Return allocation. **Unfunded commitments include 75% of all outstanding commitments to closed end funds to approximate the prolonged exposure.

Portfolio Status

• Since the 2011 inception, NMSIC has committed approximately $1.9 billion to real assets across 26 funds with 17 managers.

• NMSIC’s real asset program incorporates a number of open ended and long dated funds where the capital is either permanently invested or invested for a considerable length of time which contributes to higher historical pacing than forecast projections.

13

Real Assets Portfolio Allocation

1 Fund $50

3 Funds $185

7 Funds $465

5 Funds $325

5 Funds $475

3 Funds$300

3 Funds$200

$174 $180

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NMSIC Real Assets Allocation Growth

Annual Commitments (left axis) Per Pacing Model (left axis) Total Commitments % of NMSIC's Assets (right axis) NAV % of NMSIC's Assets (right axis)

Commitments in $ represented on left axis (bars) and % of NMSIC Assets represented on right axis (lines).

14

Real Assets Portfolio Performance – Time Weighted Return Attribution

Performance Attribution

• Accounting for both returns and capital invested, the adjacent chart shows the impact each investment had on NMSIC’s real assets portfolio over the one-year period.

• NMSIC’s real assets portfolio generated a 15.6% net return over the one-year period ending March 31, 2017.

• Energy was the strongest performer, contributing 10.0% to NMSIC’s one-year return despite exhibiting significant volatility over longer time frames.

• Agriculture was a detractor to performance taking away -0.9% to NMSIC’s one-year return. Negative performance within the Agriculture sector was mostly due to the early life of the Funds experiencing j-curve drag.

*The exhibit above provides the contribution to the overall composite real assets return by sector. The contribution by sector is a relative measure and is denoted as either positive or negative to the overall portfolio composite return. The contribution of an individual sector to the overall performance relates to the size of 3/31/17 exposure and its returns over the one-year period. Time weighted net returns and values are denoted as of 3/31/17; however, exposures change over the one-year period.

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Infrastructure ($413.1 M) /

9.9%

Timber ($242.2 M) /

5.3%

Agriculture ($130.3 M) /

-0.9%

Other ($41.1 M) /

8.2%

Energy ($315.5 M) /

46.9%

Total ($1,142 M) /

15.6%

Sector Contribution to One-Year Time Weighted Net Return as of 1Q17*

Down

Up

Total Return

NAV/One-Year net TWR

Appendix A: Additional 1Q17 Performance Measurement Report

Portfolio Status

• NMSIC’s real assets allocation target is 9% of total plan assets (based on market value). Current commitments represent 9.9% of total plan assets.

• Due to the closed-ended nature of many of the real asset commitments, NMSIC will seek additional commitments beyond its target allocation for each sub category within real assets (over-commitment factor).

• The real assets portfolio comprises six sub-sectors with target allocation ranges shown in the adjacent chart.

16

Real Assets Portfolio Allocation

As of 1Q17

Sub-Sector

Target Allocation

RangeCommitted Allocation*

Committed Value (millions)

Net Asset Value

Number of Commitments

Agriculture 0-15% 20.2% $375.0 $130.3 4Commodities 0-10% 0.0% $0.0 $0.0 0Energy 0-40% 32.3% $600.0 $315.5 9Infrastructure 0-40% 33.2% $615.0 $413.1 7Timberland* 0-40% 16.7% $310.0 $242.2 4Other 0-15% 2.7% $49.8 $41.1 2

Total 105.1% $1,949.8 $1,142.2 26Al locations as a % of the 9% rea l assets target.

*$65 mi l l ion in unfunded commitments from a Timber manager was released in Apri l 2017 and i s

reflected in the chart above.

17

Real Assets Portfolio Performance – IRR Analysis

Total Performance

• The adjacent chart presents the inception to date value weighted net IRR’s of NMSIC’s real asset portfolio as well as the market value.

• Given the portfolio is relatively young, early returns were primarily attributable to strong performance from early energy investments with a small relative market value and more recently the infrastructure investments.

• As new commitments are made across asset classes and the portfolio becomes more diversified, overall performance is anticipated to continue to outperform the long-term Consumer Price Index (“CPI”) plus 300 basis points benchmark.

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NMSIC Real Asset Portfolio PerformanceInception to Date Net IRRs and Market Value

NMSIC Real Assets Net IRR (%) (left axis) Market Value ($) (right axis)

18

Real Assets Portfolio Cash Flows

Quarterly Cash Flow Activity

• During the quarter, NMSIC’s real asset managers called $52.4 million and distributed $16.8 million in income/gains (distributions) and return of capital distributions (withdrawals). The contributions were concentrated in Agriculture ($23.5 million) and Energy ($24.3 million) during the quarter.

$900,000,000

$950,000,000

$1,000,000,000

$1,050,000,000

$1,100,000,000

$1,150,000,000

$1,200,000,000

1Q17 NAV Components - Real Assets Portfolio

19

Real Assets Portfolio Diversification

Sector Diversification

• As previously mentioned, the portfolio is still early in its life cycle as many funds still have significant capital to invest throughout their investment periods.

• As illustrated below, the chart on the left displays NMSIC’s real assets diversification based on 1Q17 market values as a percentage of total real assets market value, while the chart on the right is based on NAV plus unfunded commitments.

• Sector diversification is expected to change as funds develop and call additional capital for investments.

*NMSIC Sector Diversification - 1Q17 Market Value+Unfunded Commitments as a % of Total Real Assets Market Value+Unfunded Commitments.

*NMSIC Sector Diversification - 1Q17 Market Value as a % of Total Real Assets

Agriculture11.4%

Energy27.6%

Infrastructure36.2%

Timberland21.2%

Other3.6%

Diversification by Market Value*

Agriculture18.7%

Energy30.0%Infrastructure

32.7%

Timberland*16.1%

Other2.5%

Diversification by Exposure*

20

Real Assets Portfolio Diversification

Global Geographic Diversification

• NMSIC’s real asset portfolio is currently weighted towards developed Americas, Europe, and Asia.

• Emerging Americas currently represents investments in Brazil, Chile, and Mexico. Other Emerging Americas holdings are invested in Columbia and Peru accounting for less than 1% of the portfolio.

• Many current and pending investments have global mandates and geographic diversification is expected to change as these commitments are drawn and NMSIC makes additional commitments going forward.

*NMSIC Global Geographic Diversification - 1Q17 Market Value as a % of Total Real Assets

Developed Americas

66.5%

Developed Europe11.0%

Developed Asia1.3%

Emerging Americas14.8%

Emerging Asia1.6% Other

3.2%

Geographic Diversification by Market Value*

• The real asset portfolio’s objectives are: portfolio diversification and volatility reduction, inflation hedging, income generation, attractive risk adjusted returns, and capital preservation.

Investment Guidelines & Compliance

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Category ComplianceRA Allocation target

Return Targets/BenchmarkPrivate Real Assets

Investment Style AllocationsAgriculture

Energy

Infrastructure

Timberland

Other

Risk Policies Manager Diversification

Maximum LP share of fund

Fund Diversification

Property Diversification

Geographic Diversification

International Exposure

Leverage

None. Portfolio must be well diversified by locationGlobally Diversified (20% max to non-OECD countries)

65% Max

0-15%0-40%0-40%0-40%0-15%

35% to one manager25%

NoneNone. Portfolio must be well diversified by property type

Plan Requirement9.0% of Total Plan Assets

3%+CPI-U (rolling 5-year)

Appendix B: Definitions

Definitions:

• Internal Rate of Return (“IRR”) – IRR is the average rate earned by each and every dollar invested during the period. This rate is influenced not only by movements in financial markets and decisions made by portfolio managers, but also by the timing and size of cash inflows and outflows and the beginning and ending market values.

• Time-Weighted Return (“TWR”) – A rate-of-return measure of portfolio performance that gives equal weight to each period regardless of any differences in amounts invested in each period. TWR are designed to eliminate the effect that the size and timing of cash flows has on the IRR since the pattern of cash flows varies significantly among funds.

23

New Mexico State Investment Council

Definitions (continued):

24

New Mexico State Investment Council

**Frontier is comprised of 151 countries mainly consisting of other developing countries not listed in the Emerging regions as well as Third World countries.

Developed Americas

(2)Developed Europe

(21)Developed Asia

(5)

Developed Middle East and Africa

(1)

Emerging Americas

(6)Emerging Europe

(5)Emerging Asia

(8)

Emerging Middle East and Africa

(3)Frontier**

(151)United States Austria Austra l ia Is rael Brazi l Czech Republ ic China Egypt Other Developing Canada Belgium Hong Kong Chi le Hungary India South Africa and Third World

Denmark Japan Colombia Morocco Indones ia Turkey counti resEngland New Zealand Mexico Poland South KoreaFinland Singapore Peru Russ ia Malays iaFrance Puerto Rico Phi l ippinesGermany TaiwanGreece Thai landIrelandIta lyLuxembourg NetherlandsNorthern Ireland NorwayPortugalScotlandSpainSwedenSwitzerlandUnited KingdomWales

Geographic Diversification

Definitions (continued):

• The NCREIF Timberland Property Index (NTI) – The NCREIF Timberland Property Index represents data collected from the Voting Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NTI is an unlevered domestic index, gross of fees, that aggregates the returns of approximately 445 privately owned institutional investment properties valued at $24.1 billion as of 1Q17. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of Timberland properties only. Note that the NTI is not an investable or duplicable universe. Also, the NTI may not fully illustrate the performance of the institutional property universe.

• The NCREIF Timberland Fund and Separate Account (NFI-TFI) – The NCREIF Timberland Fund Index is a levered domestic capitalization-weighted index based on each Funds’ Net Asset Value, which represents data collected from the Voting Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NFI-TFI is a gross and net of fees time-weighted return index consisting of commingled funds and individually managed accounts held in a fiduciary environment for taxable and tax-exempt investors, and mostly comprised of Timber, Timberland and cash equivalent assets, which are invested at 95% or more in the United States. The Funds comprised in the index may change if (i) existing Funds are removed from the index due to recurring underperformance, (ii) liquidation or termination, as well as (iii) entry of new Funds or new members of NCREIF. The NFI-TFI may not fully illustrate the performance of the institutional property universe.

• The NCREIF Farmland Property Index (NFI) – The NCREIF Farmland Property Index represents data collected from the Data Contributing Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NFI is an unlevered domestic index, gross of fees, that aggregates the returns of approximately 683 privately owned institutional investment properties valued at $7.8 billion as of 1Q17. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of Agricultural properties only. Note that the NFI is not an investable or duplicable universe. Also, the NFI may not fully illustrate the performance of the institutional property universe.

25

New Mexico State Investment Council

Source: www.ncreif.org

Definitions (continued):

• The Consumer Price Index (CPI) – The Consumer Price Index illustrates monthly changes in the weighted average of prices of consumers’ good and services, excluding income taxes, financial instruments, and other saving-related items. Data is collected on a monthly basis by the Bureau of Labor Statistics (BSL economic assistants) in 87 urban areas nationwide and from approximately 80,000 items regrouped in more than 200 categories, which includes 24,000 retail and service establishments, as well as 50,000 landlords or tenants. The Consumer Expenditure Survey derives each item’s weight from their reported expenditures.

26

New Mexico State Investment Council

Source: www.bls.gov/cpi

Appendix C: 1Q17 Real Assets Flash Report

1,855,004,131 9.0% 1,142,155,764 5.5% 901,116,701 4.4% -188,268,334 -0.9%

TGRS TNET TGRS TNET TGRS TNET TGRS TNET

5.5 4.3 19.1 15.6 8.6 5.5 14.5 9.6

1.1 5.5 4.1 4.3

Funding Status ($)Investment

Vintage Year

Commitment

Amount

Funded

Amount

Unfunded

Commitments

Capital

Returned

Market

Value

Market

Value (%)

Market Value

+ Unfunded

Commitments (%)

Brookfield Infrastructure Fund II 2013 100,000,000 99,133,904 12,305,033 20,552,352 99,633,258 8.7 5.5

Brookfield Infrastructure Fund III 2016 75,000,000 12,677,637 62,322,363 213,008 13,757,470 1.2 3.7

Global Infrastructure Partners II 2012 75,000,000 76,441,195 11,328,231 36,289,055 73,184,675 6.4 4.1

IFM Global Infrastructure 2015 100,000,000 100,000,000 0 4,646,203 111,494,289 9.8 5.5

JP Morgan Infrastructure Investments Fund 2013 65,000,000 65,017,630 0 15,075,836 58,860,905 5.2 2.9

Macquarie Asia Infrastructure Fund 2015 100,000,000 51,883,030 48,116,971 879,482 56,209,399 4.9 5.1

Macquarie Infrastructure Partners IV 2017 100,000,000 0 100,000,000 0 0 0.0 4.9

Infrastructure 2012 615,000,000 405,153,396 234,072,598 77,655,936 413,139,996 36.2 31.7

Brookfield Timberlands Fund V 2013 100,000,000 21,798,264 80,026,211 5,308,655 22,973,178 2.0 5.0

FIA Timber Growth and Value Partners Fund 2015 50,000,000 38,357,287 11,576,774 0 40,672,171 3.6 2.6

Hancock Timberland XII 2014 100,000,000 49,458,053 50,541,946 823,668 51,577,398 4.5 5.0

RMS Evergreen Fund 2016 125,000,000 125,000,000 0 2,368,514 126,972,036 11.1 6.2

Timber 2014 375,000,000 234,613,604 142,144,931 8,500,837 242,194,783 21.2 18.8

ACM Fund II 2017 50,000,000 8,546,783 41,453,217 0 7,865,860 0.7 2.4

Brookfield Brazil Agricultural Fund II 2015 75,000,000 8,265,529 66,734,471 0 6,283,865 0.6 3.6

NGP Agriculture Fund* 2014 50,000,000 40,596,309 9,403,691 7,347 40,362,377 3.5 2.4

TIAA-CREF Global Agriculture II 2015 200,000,000 90,933,424 122,722,313 13,655,737 75,741,497 6.6 9.7

Agriculture 2014 375,000,000 148,342,045 240,313,692 13,663,084 130,253,599 11.4 18.1

Blackstone Energy Partners II* 2015 50,000,000 16,778,990 34,260,252 36,387 17,743,674 1.6 2.5

Carlyle Power Partners II* 2016 100,000,000 37,297,171 64,112,603 1,414,036 33,758,472 3.0 4.8

EIG Energy Fund XV* 2011 50,000,000 49,326,647 10,352,662 27,136,953 31,672,328 2.8 2.1

EIG Energy Fund XVI* 2013 100,000,000 59,063,976 44,714,350 4,043,113 64,341,875 5.6 5.3

EnCap Energy Capital Fund IX* 2013 50,000,000 49,398,494 10,929,543 29,942,163 36,696,479 3.2 2.3

EnCap Flatrock Midstream Fund III 2014 25,000,000 9,761,617 15,951,333 1,995,693 8,987,627 0.8 1.2

Global Energy & Power Infrastructure Fund II 2014 100,000,000 36,413,530 65,841,171 2,254,700 59,423,891 5.2 6.1

NGP Natural Resources X* 2012 75,000,000 73,180,357 6,064,356 48,675,629 33,880,994 3.0 2.0

NGP XI* 2014 50,000,000 27,285,410 24,810,616 4,352,058 29,002,456 2.5 2.6

Energy 2011 600,000,000 358,506,192 277,036,886 119,850,732 315,507,796 27.6 29.0

Alterna Core Capital Assets Fund II 2013 25,000,000 34,411,946 3,985,716 15,674,282 19,726,986 1.7 1.2

Brookfield Capital Partners* 2013 24,800,000 28,710,267 3,562,878 7,529,304 21,332,604 1.9 1.2

Other 2013 49,800,000 63,122,213 7,548,594 23,203,586 41,059,590 3.6 2.4

Total Current Portfolio

New Mexico State Investment Council Other Real Assets 2011 2,014,800,000 1,209,737,450 901,116,701 242,874,175 1,142,155,764 100.0 100.0

*Townsend did not underwrite nor monitors these Funds due to Private Equity consulting involvement.

20,611,157,007

Other

CPI + 300 BPS

Infrastructure

Timber

Agriculture

Energy

New Mexico State Investment Council Other Real Assets

5 Year (%)Performance Summary Quarter (%) 1 Year (%) 3 Year (%)

New Mexico State Investment Council Other Real Assets

First Quarter 2017

Portfolio Composition ($)

Total Plan Assets Allocation Market Value Unfunded Commitments Remaining Allocation

INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET TGRS TNET

Infrastructure

Brookfield Infrastructure Fund II 99,633,258 1.6 2.5 4.1 2.9 3.6 13.4 17.4 12.6 5.9 8.2 14.5 9.3 17.3 11.4 1Q14 11.0 1.2

Brookfield Infrastructure Fund III 13,757,470 0.1 5.0 5.1 2.8 12.5 3.8 3Q16 14.8 1.1

Global Infrastructure Partners II 73,184,675 0.9 3.3 4.1 3.8 6.6 10.5 17.5 15.5 6.3 16.3 23.3 19.4 26.6 21.7 4Q12 23.5 1.4

IFM Global Infrastructure 111,494,289 1.2 3.0 4.2 3.6 3.4 6.8 10.4 9.1 9.2 8.0 3Q15 8.2 1.2

JP Morgan Infrastructure Investments Fund 58,860,905 0.0 2.8 2.8 2.5 0.0 2.4 2.4 1.4 -0.1 2.8 2.7 1.7 3.5 2.5 4Q13 4.2 1.1

Macquarie Asia Infrastructure Fund 56,209,399 0.0 8.5 8.5 8.1 1.1 9.1 10.4 9.3 4.0 2.1 2Q15 7.3 1.1

Infrastructure 413,139,996 0.8 3.7 4.5 3.9 3.1 9.1 12.4 9.9 3.5 7.4 11.0 8.4 19.7 15.6 4Q12 10.5 1.2

Timber

Brookfield Timberlands Fund V 22,973,178 1.7 3.1 4.8 4.0 7.0 7.7 15.2 12.9 6.9 3.9 11.1 9.7 11.1 9.8 1Q14 9.7 1.3

FIA Timber Growth and Value Partners Fund 40,672,171 -0.3 3.9 3.7 3.5 -1.2 9.4 8.1 8.0 8.1 8.0 2Q16 8.1 1.1

Hancock Timberland XII 51,577,398 -0.2 -0.2 -0.4 -0.6 -1.6 7.5 5.8 4.9 4.9 4.0 3Q14 4.5 1.1

RMS Evergreen Fund 126,972,036 0.1 0.4 0.5 0.2 1.1 3.0 4.1 3.1 4.1 3.1 2Q16 3.5 1.0

Timber 242,194,783 0.1 1.1 1.2 0.9 0.9 5.4 6.4 5.3 2.4 4.7 7.1 6.0 7.5 6.3 1Q14 5.7 1.1

Agriculture

ACM Fund II 7,865,860 2Q17 -85.0 0.9

Brookfield Brazil Agriculture Fund II 6,283,865 2Q17 -93.6 0.8

NGP Agriculture Fund* 40,362,377 0.0 0.3 0.3 0.1 -0.6 -0.9 -1.5 -2.1 4.7 -3.0 4Q14 -0.6 1.0

TIAA-CREF Global Agriculture II 75,741,497 0.4 2.3 2.6 1.8 3.1 4.1 7.3 3.4 5.1 -0.9 3Q15 -1.6 1.0

Agriculture 130,253,599 0.0 1.5 1.5 -1.2 1.7 2.3 4.1 -0.9 0.8 -11.9 4Q14 -3.3 1.0

Energy

Blackstone Energy Partners II* 17,743,674 -3.5 16.5 13.0 13.0 58.8 58.8 3Q16 22.6 1.1

Carlyle Power Partners II* 33,758,472 0.0 1.2 1.2 0.1 11.1 7.5 3Q16 -6.9 0.9

EIG Energy Fund XV* 31,672,328 2.2 3.4 5.6 5.2 8.5 14.2 23.6 21.9 10.8 -9.2 0.8 -0.6 9.4 -4.2 5.0 3.4 14.1 11.1 2Q11 6.0 1.2

EIG Energy Fund XVI* 64,341,875 1.4 7.8 9.2 8.6 7.6 64.4 75.2 71.6 6.6 -29.2 -24.0 -30.4 -25.2 -33.4 4Q13 9.0 1.2

EnCap Energy Capital Fund IX* 36,696,479 0.2 -0.8 -0.6 -1.0 1.1 48.5 49.9 48.0 0.3 22.3 22.7 19.5 20.7 6.8 2Q13 20.0 1.3

EnCap Flatrock Midstream Fund III 8,987,627 0.6 -0.2 0.3 -0.7 3.0 11.3 14.5 7.4 54.3 11.1 4Q14 16.0 1.1

Global Energy & Power Infrastructure Fund II 59,423,891 0.7 54.6 55.4 44.8 0.7 112.1 112.8 87.4 46.7 15.7 1Q15 69.9 1.7

NGP Natural Resources X* 33,880,994 -0.2 0.6 0.4 0.0 38.4 -13.0 34.1 31.9 15.8 -13.1 4.9 4.0 10.7 -1.9 11.4 6.4 11.4 6.4 2Q12 5.0 1.1

NGP XI* 29,002,456 0.3 15.6 15.9 12.3 15.3 53.4 74.7 54.5 19.6 10.9 1Q15 32.1 1.2

Energy 315,507,796 0.6 12.2 12.8 10.4 9.6 41.5 54.2 46.9 7.2 3.0 10.5 6.6 6.6 5.3 12.3 7.6 20.5 14.5 2Q11 11.5 1.2

Other

Alterna Core Capital Assets Fund II 19,726,986 2.0 2.9 4.9 4.4 8.6 6.7 15.8 12.1 6.9 -2.5 4.2 -3.5 3.3 -5.7 3Q13 2.8 1.0

Brookfield Capital Partners* 21,332,604 0.6 -0.1 0.5 0.1 5.3 0.7 5.9 5.1 8.1 -9.9 -2.6 -2.9 6.1 3.3 2Q13 0.3 1.0

Other 41,059,590 1.3 1.3 2.6 2.2 6.8 3.3 10.2 8.2 8.8 -7.1 1.1 -1.0 7.2 1.8 2Q13 1.2 1.0

Total Portfolio

New Mexico State Investment Council Other Real Assets 1,142,155,764 0.5 5.0 5.5 4.3 4.2 14.4 19.1 15.6 4.4 4.1 8.6 5.5 4.9 9.4 14.5 9.6 22.5 16.2 2Q11 8.9 1.1

Indices

CPI + 300 BPS 1.1 5.5 4.1 4.3 4.5 2Q11

NCREIF Timberland Property Index “NTI” 0.6 0.1 0.8 2.7 1.0 3.7 2.7 2.9 5.7 2.7 4.4 7.2 6.1 2Q11

NCREIF Fund Index –Timberland Fund Index “NFI-TFI Commingled Value Weight” 0.7 0.5 4.0 2.3 3.5 2.4 5.8 4.7 4.6 3.6 2Q11

NCREIF Farmland Property Index “NFI” 0.5 0.0 0.5 5.2 0.9 6.2 6.1 3.1 9.3 7.0 5.8 13.1 13.7 2Q11

CPI 0.4 2.4 1.1 1.3 1.5 2Q11

*Townsend did not underwrite nor monitors these Funds due to Private Equity consulting involvement.

Net

IRR

Equity

Multiple

New Mexico State Investment Council Other Real Assets

First Quarter 2017

Returns (%)Market Value

($)

Quarter 1 Year 3 Year 5 Year Inception TWR

Calculation

Inception

Advisory Disclosures and Definitions

Disclosure Past performance is not indicative of future results. Investing involves risk, including the possible loss of principal. Returns are presented on a time weighted basis and shown both gross and net of underlying third party fees and expenses and may include income, appreciation and/or other earnings. In addition, investment level Net IRR’s and equity multiples are reported. The Townsend Group, on behalf of its client base, collects quarterly limited partner/client level performance data based upon inputs from the underlying investment managers. Data collection is for purposes of calculating investment level performance as well as aggregating and reporting client level total portfolio performance. Quarterly limited partner/client level performance data is collected directly1 from the investment managers via a secure data collection site.

1In select instances where underlying investment managers have ceased reporting limited partner/client level performance data directly to The Townsend Group via a secure data collection site, The Townsend Group may choose to input performance data on behalf of its client based upon the investment managers quarterly capital account statements which are supplied to The Townsend Group and the client alike. Benchmarks The potential universe of available real asset benchmarks are infinite. Any one benchmark, or combination thereof, may be utilized on a gross or net of fees basis with or without basis point premiums attached. These benchmarks may also utilize a blended composition with varying weighting methodologies, including market weighted and static weighted approaches.