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)
Vintage: 2001
Multiple: 2.96x
IRR: 27.05 percent
2. Avenue Special Situations Fund II LP
Vintage: 2000
Multiple: 1.58x
IRR: 19.22 percent
3. GSC Partners CDO Investors III LP
Vintage: 2001
Multiple: 1.84x
IRR: 18.58 percent
4. Avenue Special Situations Fund III LP
Vintage: 2002
Multiple: 1.72x
IRR: 18.53 percent
5. Versa Capital Fund I LP
Vintage: 2005
Multiple: 1.74x
IRR: 18.42 percent
Bottom Five (as of Sept. 30)
5. Cerberus Institutional Partners LP (Series 4)
Vintage: 2006
Multiple: 1.35x
IRR: 7.3 percent
4. NYLIM Mezzanine Partners II (Parallel Fund) LP
Vintage: 2006
Multiple: 1.22x
IRR: 6.75 percent
3. GSC Recovery III (Parallel Fund) LP
Vintage: 2005
Multiple: 1.24x
IRR: 6.57 percent
2. GSC Partners CDO Investors IV LP
Vintage: 2003
Multiple: 1.24x
IRR: 5.14 percent
1. Avenue Asia Special Situations Fund IV LP
Vintage: 2006
Multiple: 1.13x
IRR: 3.86 percent
* Excluding vintages younger than 2010
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