vii. standing committees b. finance and asset management … · 2018-07-24 · f–5 f–5/206-15...
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F–5
F–5/206-15 6/11/15
VII. STANDING COMMITTEES B. Finance and Asset Management Committee UW Investment Committee (UWINCO) Update There will be an oral report for information only. Attachment UW Investment Performance Report, Third Quarter Fiscal Year 2015
University of WashingtonInvestment Performance Report
Third Quarter Fiscal Year 2015
as of March 31, 2015
Treasurer Board of RegentsTreasury Office
Published May 2015
ATTACHMENTF–5.1/206-15 6/11/15
table of contents
University of WashingtoninvestMent PerforMance rePort
third QUarter fiscal year 2015
As of March 31, 2015
Treasury Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1
CEF Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2
CEF Performance Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3
CEF Performance Update . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4
CEF Activity and Campus Support from Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . .5
CEF Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6
Invested Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7
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treasUry assets 1 as of March 31, 2015$5,018 ($ = Millions)
1 Assets whose management falls under the auspices of the Finance & Asset management Committee of the Board of Regents, excluding Metro Tract and Forest Trust Lands.
2 The Invested Funds Diversified Investment Pool holds Consolidated Endowment Fund units valued at $763 million. To avoid double counting, the dollars are included only in the Consolidated Endowment Fund (CEF) total.
3 Proceeds from sale of land grants and subsequent investment returns on deposit with the state of Washington. 4 Capital Assets Pool (CAP) consists of UW internally financed projects. 5 Bond Retirement Fund and Building Fund. 6 Debt service reserve funds and construction project funds which have not yet been disbursed.
Endowment & Similar FundsEndowment Funds $2,252Operating Funds 2 763Consolidated Endowment Fund $3,015Life Income Trusts 85Outside Trusts 108Non-CEF Endowments 12Permanent Fund 3 36 $3,256
Operating &Reserve Funds
$1,762
Endowment &Similar Funds
$3,256
1
Operating & Reserve Funds
Invested Funds Cash & Liquidity Pools 2 $1,622Invested Funds Capital Assets Pool 4 86Funds on Deposit w/State of Washington 5 15Bond Proceeds and Reserves 6 39
$1,762
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PRP EA
CL IAA TTI IOPA NC
consolidated endoWMent fUnd (cef) asset allocation
for the QUarter ending March 31, 2015
1 Uncalled capital commitments: 11%
Target RangePolicy Current Allocation ($ = Millions)
Note: Percentages may not sum due to rounding
Opportunistic2%
2
Developed Markets Equity
37%
Private Equity
11%
Real Assets6%
Absolute Return
17%
Fixed Income
8%
Emerging Markets Equity
18%
Emerging Markets Equity $555 18% 17%
Developed Markets Equity $1,121 37% 28%
Private Equity $328 11% 15%
Real Assets $195 6% 7%
Opportunistic $59 2% 3%
Capital Appreciation $2,258 75% 70% 55%–85%
Absolute Return $505 17% 19%
Fixed Income $252 8% 11%
Capital Preservation $757 25% 30% 15%–45%
Total CEF 1 $3,015 100%
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cef PerforMance sUMMary for the QUarter ending March 31, 2015
NACUBO/Commonfund Endowment Study 1 10-Year Growth of $10,000: CEF vs. Passive Alternatives
Rolling Year Returns 1 (%) Fiscal Year Returns 1 (%)
1-Year 3-Year3rd Qtr
FY 2015FYTD2015 FY ’14 FY ’13 FY ’12 FY ’115-Year 10-Year
1 Total Return: average annual compound return (dividend or interest plus capital appreciation or depreciation)
Rolling Years Fiscal Years
Total CEF Return 3.6 9.7 10.8 9.1 7.5
70% MSCI ACWI/30% BC Govt Bond 2 .3 5 .8 8 .7 8 .1 6 .6
Capital Appreciation 4.2 11.1 12.9 10.7 8.3
MSCI ACWI 2 .4 6 .0 11 .3 9 .6 7 .0
Capital Preservation 1.8 5.6 5.5 4.4 4.5
BC Government Bond 1 .6 5 .2 2 .3 3 .8 4 .5
Total CEF Return 5.2 15.8 13.5 -0.9 16.0
70% MSCI ACWI/30% BC Govt Bond 1 .7 16 .8 11 .3 -1 .3 21 .8
Capital Appreciation 6.0 18.8 17.0 -1.9 21.5
MSCI ACWI 0 .7 23 .6 17 .2 -6 .0 30 .8
Capital Preservation 2.7 8.0 5.9 1.2 3.6
BC Government Bond 3 .8 2 .1 -1 .5 8 .3 2 .3
1 Year 3 Years 5 Years 10 Years
3
2nd Quartile 2nd Quartile 3rd Quartile 1st Quartile
University of Washington
NACUBO/Commonfund Median Returns
1 Total Return: Average annual compound return (dividend or interest plus capital appreciation or depreciation)
15.8%
11.2%
9.2%8.0%
15.8%
11.8%
8.9%
7.0%
$20,608
$18,970
$21
19
17
15
13
11
9
7
$ =
000
’s
1 As of June 30, 2014
’05 ’06 ’07 ’08 ’09 ’10 ’11 ’12 ’13 ’14 ’15
CEF
70% ACWI & 30% BC Gov
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cef PerforMance UPdate
1 Total Return: Average Annual Compound Return (dividend or interest plus capital appreciation or depreciation)2 Reported on a quarter lag3 Preliminary
Total Return 1 As of March 31, 2015 3rd Qtr FY ‘15 1 Year 3 Years 5 Years 10 Years
Consolidated Endowment Fund 3.6 9.7 10.8 9.1 7.5
70% MSCI ACWI & 30% BC Gov’t Bond (Benchmark) 2 .3 5 .8 8 .7 8 .1 6 .6
Capital Appreciation 4.2 11.1 12.9 10.7 8.3
MSCI ACWI (Benchmark) 2 .4 6 .0 11 .3 9 .6 7 .0
Emerging Markets Equity 6 .1 13 .7 8 .4 8 .0 12 .9
Developed Markets Equity 4 .3 9 .4 14 .2 11 .5 7 .2
Opportunistic (started 7/1/2010) 3 .4 8 .9 16 .7 -- --
Subtotal 4.8 10.7 12.7 -- --
MSCI ACWI (Benchmark) 2 .4 6 .0 11 .3 9 .6 7 .0 Private Equity 2 7 .3 15 .4 15 .9 13 .4 11 .5
PE Benchmark 2, 3 3 .8 14 .9 15 .8 15 .4 11 .6 Real Assets 2 -6 .0 7 .1 9 .9 9 .0 4 .7 RA Benchmark 2, 3 -4 .8 3 .8 7 .4 10 .2 8 .0
Capital Preservation 1.8 5.6 5.5 4.4 4.5
BC Government Bond (Benchmark) 1 .6 5 .2 2 .3 3 .8 4 .5 Absolute Return 2 .3 7 .0 7 .6 6 .4 7 .0 Policy Benchmark 3 1 .7 3 .6 4 .7 3 .2 4 .5 Fixed Income 0 .7 2 .5 1 .8 1 .8 2 .7 BC Government Bond (Benchmark) 1 .6 5 .2 2 .3 3 .8 4 .5
Market Indices
S&P 1 .0 12 .7 16 .1 14 .5 8 .0 Russell 2000 4 .3 8 .2 16 .3 14 .6 8 .8 MSCI EAFE 5 .0 -0 .5 9 .5 6 .6 5 .4 MSCI EMF 2 .3 0 .8 0 .7 2 .1 8 .8 BC High Yield 2 .5 2 .0 7 .5 8 .6 8 .2
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cef activity and caMPUs sUPPort froM investMents as of March 31, 2015$ = Millions
5
Beginning Balance $2,833 $2,347 $2,111 $1,897 $1,335 $1,151
Gifts 44 71 48 312 719 931
Transfers 6 7 6 33 89 117
OperatingFundsPurchases 81 146 11 290 360 447
Total Additions $131 $224 $66 $636 $1,168 $1,495
NetInvestmentReturn 148 379 279 1,027 1,527 1,694
Distributions (78) (94) (87) (435) (815) (1,081)
AdvancementSupport (16) (19) (17) (88) (160) (193)
AdministrativeFees (4) (5) (4) (22) (40) (50)
Ending Balance $3,015 $2,833 $2,347 $3,015 $3,015 $3,015
CEFDistributions $78 $94 $87 $435 $815 $1,081
AdvancementSupportfromCEF 16 19 17 88 160 193
InvestedFundsDistribution1 0 36 38 192 423 675
Total Campus Support $94 $148 $143 $715 $1,398 $1,950
FY 2013FY 2014 5 Years 10 Years 15 Years
Rolling Years
Note: Numbers may not sum due to rounding
CEF Activity
Campus Support from Investments
FYTD 2015
1 Invested Funds Distributions occur annually at fiscal year end.
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6
cef exPosUres for the QUarter ending March 31, 2015
1 Emerging Markets, Developed Markets, Real Assets and select Absolute Return equity1 At 3/31/15 foreign currency exposure: 33%
Equity Sector Exposure 1
Short-Term Liquidity Estimates as % of CEFExposure by Strategy
Geographic Exposure 1
InformationTechnology
15%
Industrials14%
Financials 19%
Health Care 11%
ConsumerDiscretionary
14%
ConsumerStaples
10%
Energy 9%
Japan: 3%
Utilities: 2%
Materials: 4%
Telecom: 2%
EM Latin America: 3%EM EMEA: 3%
Dev . Asia ex . Japan: 4%
Absolute Return
Fixed Income
RealAssets
PrivateEquity
Opportunistic
2015
2014
2013
North America63%
EM Asia: 14%
Developed Europe: 10%
CapitalAppreciation
CapitalPreservation
27%
43%
60%
79%
Weekly Monthly Quarterly 1 Year
EmergingMarkets
Developed Markets
Note: Percentages may not sum due to roundingF–5.1/206-15 6/11/15
Range
invested fUnds for the QUarter ending March 31, 2015
Total Return 1 (%) Fund Allocation by Pool($ = Millions)
1 Total Return: average annual compound return (dividend or interest plus capital appreciation or depreciation).2 DIP: Diversified Investment Pool is designed to improve the risk profile and/or enhance the IF performance through
investment in CEF units or other investment vehicles.3 Capital Assets Pool (CAP) consists of UW internally financed projects.
1 Diversified Investment Pool (DIP) currently consists of CEF units which are included in the CEF market value.2 Capital Assets Pool consists of UW internally financed projects.
Fund Allocation Actual Maximum
Durationin Years
Cash Pool $772 31% 10% – 40% 0 .7 3 .0
Liquidity Pool $850 34% 25% – 60% 2 .6 5 .0
Diversified Investment Pool 1 $763 31% 15% – 45%
IF Excluding CAP $2,384 97%
Capital Assets Pool 2 $86 3% 0%–15%
Total Invested Funds $2,470 100%
Mix of Investments: IF Excluding CAP
Treasuries & Agencies
41%
MortgageRelated
17%
CEF Units32%
Asset-Backed Securities: 7%
7
1-Year 3-Year3rd Qtr
FY 2015 5-Year 10-Year
Cash & Liquidity Pools 0.6 1.7 1.3 2.0 3.2 Weighted Benchmark 0 .9 2 .1 1 .1 1 .9 3 .2
IF including DIP 2 Units 1.5 4.1 3.6 3.8 4.3 Weighted Benchmark 1 .3 3 .2 3 .0 3 .6 4 .5
IF including DIP 2 & CAP 3 1.5 4.1 3.6 3.8 4.3
Cash Equivalents: 3%
$15,200
$13,640
$16
15
14
13
12
11
10
9
$ =
000
’s
’05 ’06 ’07 ’08 ’09 ’10 ’11 ’12 ’13 ’14 ’15
10-Year Growth of $10,000: Impact of Diversified Asset Pool (DIP)
IF Including DIP
IF Excluding DIP
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