Our latest scorecard compares the top and bottom five private debt funds within Pennsylvania PSERS’s portfolio through September 30, 2012 as well as through a year earlier, for comparison. Altogether the pension fund had committed to 27 private debt vehicles through late September out of some 202 private equity-related vehicles, including buyout-related and venture capital funds.
Prominent fund managers in the portfolio on the buyout side include Apax Partners; Bain Capital; Cinven, KKR, Quadrangle Capital Partners and TPG Capital.
In this scorecard, Cerberus Institutional Partners LP (Series 2) retains the top spot among private debt vehicles in 2012, posting an IRR of 27.05 percent and investment multiple of 2.96 times. The top three performing private debt vehicles in 2012 were 2001, 2000, and 2001 vintages respectively.
Avenue Special Situations Fund II LP took second place with a 19.22 percent IRR and 1.58 times multiple and GSC Partners CDO Investors III LP took third place with an 18.58 percent IRR and 1.84 times multiple. The 2005 vintage Versa Capital Fund I LP took second place in 2011 and Avenue Asia Special Situations Fund II LP dropped to third place.
The bottom five performers of 2012 (excluding vintages younger than 2010) were 2006, 2003 and 2005 vintages respectively. The bottom three were Avenue Asia Special Situations Fund IV LP, posting a 3.86 percent IRR and 1.13 times multiple; the GSC Partners CDO Investors IV LP, posting a 5.14 percent and 1.24 times multiple; and GSC Recovery III (Parallel Fund) LP, posting a 6.57 percent IRR and 1.24 times multiple.
The bottom performers for the same period in 2011 varied slightly, with the 2005 vintage GSC Recovery III (Parallel Fund) LP taking the bottom slot by posting an IRR of 0.77 percent and 1.02x multiple. This was followed by the 2006 vintage Avenue Asia Special Situations Fund IV LP, posting a 3.92 percent IRR and 1.11 times multiple and the 2006 vintage Gleacher Mezzanine Fund II LP, which generated a 4.58 percent IRR and 1.08 times multiple for the period.
As of December 31, 2012, the Pennsylvania PSERS private markets portfolio (including private equity, private debt and venture capital funds) accounted for 21.3 percent of the pension fund’s total portfolio (just under its target allocation of 22 per cent). Its total net assets reached $49.7 billion for the period. Of this amount, private equity accounted for $8 billion; private debt, $1.5 billion; and venture capital, $860 million.
Top And Bottom Five Performing Pennsylvania PSERS Private Debt Funds*
Top Five (as of Sept. 30)
1. Cerberus Institutional Partners LP (Series 2)
IRR: 27.05 percent
2. Avenue Special Situations Fund II LP
IRR: 19.22 percent
3. GSC Partners CDO Investors III LP
IRR: 18.58 percent
4. Avenue Special Situations Fund III LP
IRR: 18.53 percent
5. Versa Capital Fund I LP
IRR: 18.42 percent
Bottom Five (as of Sept. 30)
5. Cerberus Institutional Partners LP (Series 4)
IRR: 7.3 percent
4. NYLIM Mezzanine Partners II (Parallel Fund) LP
IRR: 6.75 percent
3. GSC Recovery III (Parallel Fund) LP
IRR: 6.57 percent
2. GSC Partners CDO Investors IV LP
IRR: 5.14 percent
1. Avenue Asia Special Situations Fund IV LP
IRR: 3.86 percent
* Excluding vintages younger than 2010