Domestic Equity

Domestic Equity Asset Allocation

(as of 09/30/09)

Manager Market Value Weight Benchmark Manager Website
Goldman Sachs 370,679,713 4.7% Russell 1000 Growth www.goldmansachs.com
Brandywine Global Inv 351,675,533 4.5% Russell 1000 Value www.brandywineglobal.com
BGI 11,514 0.0% S&P 500 www.barclaysglobal.com
Large Cap Equity Index 1,157,599,926 14.7% S&P 500 www.nmerb.org
Perimeter Capital 117,250,959 1.5% Russell 2000 Growth www.perimetercap.com
Wells Capital Mgmt 66,300,708 0.8% Russell 2000 Growth www.wellscap.com
Rothchild Asset Mgt 157,902,131 2.0% Russell 2000 Value www.rothschild.com
DOMESTIC EQUITY 2,221,420.484 28.3%    

International Equity

International Equity Allocation

(as of 9/30/09)

Manager Market Value Weight Benchmark Manager Website
Pyramis Int'l Equity 281,869,337 3.6% MSCI EAFE www.pyramis.com
Alliance Bernstein 112,997,830 1.4% MSCI EAFE Value www.alliancebernstein.com
Baring 146,460,315 1.9% MSCI EAFE Growth www.baring-asset.com
Alliance Capital Emerging Blend 583,271,246 7.4% MSCI Emerging Markets www.alliancebernstein.com
Robeco Institutional Assets 363,739,992 4.6% MSCI Emerging Markets www.robeco.com
INTERNATIONAL EQUITY 2,221,420.484 18.9%    

Private Equity

Private Equity

(as of 09/30/09)

Manager - Private Equity, LP PE Commitment PE Funded
Lexington Partners $ 20 11
Levine Leichtman Deep Value $ 20 11
Perseus Partners $ 15 10
Newstone Capital Partners $ 20 15
Industrial Opportunity Partners (IOP) $ 20 5
HM Capital $ 20 10
Psilos Group Partners $ 10 5
Goode Partners $ 20 11
GF Capital $ 15 4
Lion Capital $ 38 27
KH Growth Fund, LP $ 10 2
Apollo Investment Fund VII, L.P. $ 40 7
Ares Distressed Securities Fund, L.P. $ 30 20
Bridgepoint Europe IV $ 25 1
Platinum Equity Capital Partners II, L.P. $ 30 8
Leeds Equity Partners V, L.P. $ 20 1
Fletcher Spaght Ventures II $ 20 4
ComVest Investment Partners III, LP $ 25 12
Clayton, Dubilier & Rice Fund VIII, LP $ 40 None
Levine Leichtman Fund IV, LP $ 50 6
VSS Structured Capital II, LP $ 40 3
Blackrock NMERB Co-Investment $ 75 1
Total PE Commitments $ 603 179
Dollar amounts in millions

Fixed Income

Fixed Income Asset Allocation

(as of 09/30/09)

Manager Market Value Weight Benchmark Manager Website
Beach Point - Total Return 482,373,739 6.1% ML US HY Contr BB-B www.beachpointcapital.com
PIMCO - Distressed Senior Credit 350,601,730 4.0% Barclays Capital Aggregate www.pimco.com
Neuberger Enhanced FI Index 548,255,932 7.0% Barclays Capital Aggregate www.nb.com
Pyramis Fixed Income 654,628,846 8.3% Barclays Capital Aggregate www.pyramis.com
WAMCO 549,815,845 7.0% Barclays Capital Aggregate www.westernasset.com
TOTAL FIXED INCOME 2,585,676,092 32.4%    

REITS

Real Estate Investment Trusts (REITS) is a security that sells like stock on the major exchanges but invests in real estate directly, either through properties or mortgages. Among other things, REITS invest in shopping malls, office buildings, apartments, warehouses and hotels.

Internally managed by NMERB Staff Commitment RE Funded
Real Estate Investment Trusts (REITS) $275  
Manager - Private Real Estate RE Commitment  
Guggenheim Structure Real Estate III, LP $ 5 $ 5
GSR3LP $ 20 $ 11
Greenfield $ 25 $ 4
AMB Institutional Alliance REIT III $ 20 $ 12
AMB Institutional Alliance Europe Fund I $ 7 $ 7
Prima Mortgage Investment Trust, LLC $ 50 $ 42
NM ORG Secondary Opportunity Fund $ 25 none
Lone Star Real Estate Fund II, LP $ 25 none
Lone Star Fund VII, LP $ 25 none
Lionstone Cash Flow Real Estate, LP $ 30 none
ITotal RE Commitments $ 232 Million $ 81
values in millions    

Real Estate

Real Estate Funds

(as of 9/30/09)

Infrastructure Commitment Funded
CITI Infrastructure Partners, LP $ 50 Million $25
Alinda Infrastructure Partners, LP $ 50 Million $11
Total Commitments $100 Million $36
Real Assets - Timber & Agriculture Commitment Funded
Conservation Forestry $ 25 Million $7
Total Commitments $50 Million $7

Absolute Returns

Absolute Return Strategies Allocation

(as of 9/30/09)

Manager Market Value Weight Benchmark Manager Website
Deutsche Topiary Fund 28,635,030 0.4% 90 dayT-bill + 200 basis points www.db.com/ars
Gottex Market Fund 68,056,404 0.9% 90 dayT-bill + 200 basis points www.gottexfunds.com
Gottex Neutral Plus 82,064,000 1.0% % 90 dayT-bill + 200 basis points www.gottexfunds.com
Tag Relative Offshore Fund 46,264,263 0.6% 90 dayT-bill + 200 basis points www.tagassoc.com/about/portfoliomgmt.html
Austin Cap Safe Harbor 78,087,947 1.0% 90 dayT-bill + 200 basis points www.austincap.com
Benchmark Plus 224,180,714 2.9% 90 dayT-bill + 200 basis points www.bpfunds.com
HEDGE FUNDS 527,288,358 6.7%