LP Scorecard: 2004 vintages bring the highest returns to CalPERS

California Public Employees’ Retirement System’s 2004 fund class had the leading distribution percentage (cash out divided by cash in) in its active portfolio based on the system’s latest return data and excluding vintages with less than five funds.

CalPERS has 12 vintage-2004 funds in its portfolio, representing $1.1 billion in commitments, $1.2 billion in contributions and about $2 billion in cash out. That surplus in returns amounted to a 166.4 distribution percentage.

Not far behind, the nine vintage-2003 funds produced a 164.9 percent distribution. The first half of the 2000s was a good time for CalPERS, as 14 vintage-2001 funds generated a 149.9 distribution percentage.

The vintage-2007 class was the largest in CalPERS’s portfolio, with 45 funds, as well as the highest amounts of committed ($11.1 billion), contributed ($12.3 billion) and distributed capital ($12.1 billion). Vintage-1999 funds had the highest average amount per fund in each of those categories, but only three funds were from that year.

Data from 2012-2016 vintages are considered too early to be meaningful. Once matured, those investments can be properly measured based on their forthcoming waves of distributions.

As individual vehicles go, WL Ross & Co’s first Recovery Fund from 1997 boasted the highest distribution percentage, 366 percent. Advent International’s fourth global buyout fund turned out a 324.8 percent distribution. Carlyle Group’s Asia Partners (PV II) rounded out the top three, with a 272.8 distribution percentage.

All told, CalPERS’s PE portfolio has about $55.7 billion committed to 258 active funds. Those combine for $55.5 billion drawn down and $55.7 billion cashed out as of June 30, 2016.

Action Item: Download the LP Scorecard table as a spreadsheet here: LP Scorecard Table

Calpers offices. Photo courtesy of the retirement system.