CalPERS, the $152bn California Public Employees' Retirement System, has seen its $7.7bn private equity portfolio post a 19.6% average internal rate of return (IRR) for funds it has invested in since 1990.
The private equity performance figures, a rare example of transparency in the private equity investment industry, lists all CalPERS' investments by fund and vintage. It also includes the pension fund's performance benchmark for the private equity funds - the IRR - as well as the amount of capital committed, capital contributed and the absolute return, which is expressed as a cash multiple.
According to the performance data, the LM Capital Fund had a -83.6% IRR prior to CalPERS exiting the fund. CalPERS entered the fund on July 15, 1994 and had committed $25m to it, but by the time of the pension fund's exit it had only contributed $4.8m.
Other poor performing funds include the Kidd Kamm Equity Partners fund, with a -27.3% IRR; the Beacon Group III Focus Value Fund, which posted a -22.5% IRR; the Technology Partners Fund VI, -18.7% IRR; and Beacon Group Energy Investment fund, with a -3.2% IRR.
CalPERS best performing funds featured the Information Technology Ventures fund, with a 99.5% IRR; the Schroder Ventures European Fund at 99.3% IRR; the Candover 1994 UK Fund with a 46.2% IRR; Doughty Hansen & Co Funds II, 45.1% IRR; and Thomas H Lee Equity Fund III on 44.3% IRR.
The LM Capital Fund is only one of five private equity that CalPERS exited from. The Joseph, Littlejohn & Levy Fund was left, after exceeding the pension fund's expectations. That particular fund was entered in January 1991, and had posted a 33.4% IRR and an absolute return of 2.61.
The remaining exited three funds are the Conseco Capital Partners II fund, which surpassed CalPERS' expectations with a 89.5% IRR; the Lombard Nogales Radio Partners fund, which had a below par 17.7% IRR; and the Relational Investors fund which met expectations with a 14.2% IRR.
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