University of Washington

Transcription

1 University of Washington Investment Performance Report Third Quarter Fiscal Year 2009 As of March 3, 2009 Treasurer Board of Regents Treasury Office Published May 2009

2 Table of Contents Treasury Assets Asset Allocation Consolidated Endowment Fund Performance Update Invested Funds

3 Treasury Assets As of 3/3/ Billion Dollars in Millions Endowment & Similar Funds $,657 Operating & Reserve Funds $,093 Endowment & Similar Funds Endowment Funds $,22 Operating Funds 296 Consolidated Endowment Fund,55 Life Income Trusts 57 Outside Trusts 40 Non-CEF Endowments 6 Permanent Fund 6 29 $,657 Operating & Reserve Funds Invested Funds 2 3 $999 Bond Retirement Fund 4 4 Building Fund 4 27 Debt Service Reserve Funds 5 2 Bond Proceeds 7 4 $,093. Includes assets whose management falls under the auspices of the Finance & Audit Committee of the Board of Regents. Excludes Metro Tract and Forest Trust Lands. All dollar amounts are expressed in millions and represent market values. 2. The Invested Funds holds Consolidated Endowment Fund units valued at $300. To avoid double counting the dollars are included only in the CEF totals. 3. In June 2002 the Board of Regents authorized the establishment of a captive insurance company Portage Bay Insurance (PBI). The previous insurance vehicle the Self Insurance Revolving Fund(SIRF) will close after existing claims are resolved. Current balances: PBI $70.4; SIRF $ General obligation bond reserve fund on deposit with the state of Washington. 5. Required reserve funds for locally issued bonds (TSB Properties.2 Twenty Fifth Ave Prop $ Parking $ Housing & Dining $ Housing & Dining $0.6 Roosevelt $2.4 and Roosevelt 2 $2.0 & Commodore Duchess $0.6) 6. Proceeds from sale of land grants and subsequent investment returns on deposit with the state of Washington. 7. Construction project funds which have not yet been disbursed (IMA $ R&T $ Parking $5.7 Internal Lending Program $4.9 & 2007 General Revenue Bond $2.0)

4 2 Asset Allocation As of March 3, 2009 Consolidated Endowment Fund $,55 MM Non-Marketable Alternatives 6% International Emerging Markets 9% Fixed Income 3 6% International Developed 2% Absolute Return 2% Domestic Equity 4% Real Assets 2% Dollars in Millions Current Allocation 2 Policy Target PolicyRange Non-Marketable Alternatives $246 6% 2% 5% 25% International Emerging Markets 40 9% International Developed Markets 76 2% Domestic Equity 208 4% Equity Fund $77 5% Real Assets Fund $85 2% Absolute Return 32 2% Fixed Income Fund % Total Consolidated Endowment Fund $55 00% 3% 5% 35% 6% 5% 35% 5% 5% 35% 56% 45% 75% 5% 5% 25% 8% 5% 25% % 5% 35%. International exposure: 37%; net foreign currency exposure: 32%. 2. Current exposure percentage may not add to 00% due to rounding. 3. Includes allocation to cash.

5 3 Total Returns As of 3/3/09 (%) Consolidated Endowment Fund (CEF) For the Quarter ending March 3, 2009 Activity (in Millions) 3 rd Qtr FY 2009 Average Annual Compound Return FY 09 to Date 5-Year 0-Year Total CEF Return Strategy Weighted Policy Benchmark Equity Fund Weighted Policy Benchmark Real Assets Fund Policy Benchmark Absolute Return Fund Policy Benchmark Fixed Income Fund Policy Benchmark (LB Govt Bond) FYTD 2009 FY 2008 FY Years 0 Years Beginning Balance 2,6 2,074,690, Gifts Transfers Total Additions Operating Funds Purchases Net Investment Return Distributions Administrative Fees Advancement Support Ending Balance $,55 $2,6 $2,074 $,55 $,55 Net Change -$646 $88 $384 $89 $884 UW & Cambridge Associates Returns for periods ending 6/30/08 Market Value (in Billions) $.5 $2.5 UW Cambridge Median Return 4.0% 0.8% 4.4% 2.6% 9.7% 8.3% % -0.4% 0.5 Year 3 Years 5 Years 0 Years Cambridge Associates College and University Investment Pool Top 50 (by Invesmtent Pool Market Value) Reflects inclusion of IF units in CEF starting 7/0 value without would be $.2 0.0

6 4 Performance Update Total Return As of 3/3/09 3 rd Qtr FY 09 Year 3 Years 5 Years 0 Years Consolidated Endowment Fund Equity Fund Non-Marketable Alternatives Global Equity International Emerging Markets International Developed Markets Domestic Equity Real Assets Fund Absolute Return Fund Fixed Income Fund Public Market Indices Equity Indices MSCI ACWI Russell NASDAQ NAREIT Dow Jones Industrial Average MSCI EAFE MSCI EMF Fixed Income Indices LB Government Bond CG World Bond Index (unhedged to USD) Sources: Cambridge Associates and Northern Trust Total Return: average annual compound return (dividend or interest plus capital appreciation or depreciation) 2 Provided by Cambridge Associates on a quarter lag. 3 New strategies reflecting data starting 7//2008.

7 5 Invested Funds (IF) For the Quarter ending March 3, 2009 Total Return (%) Fund Allocation by Pool ($ in Millions) 3 rd Qtr FY Year 5-Year 0-Year Cash Citi 2 Yr Treasury Liquidity LB Intermediate Govt Bond IF excluding CEF units Weighted Benchmark IF including CEF units Weighted Benchmark Fund Allocation Range Duration Actual Maximum Cash Pool $362 28% 0% 40% yrs Liquidity Pool % 30% 60% Total Cash & Liq. Pool $999 77% CEF Units held by IF 23% 5% 40% Total Invested Funds 00% Average Annual Compound Return Mix of Investments Market Value ($ in Billions) $.4 Asset Backed Securities: 2% Cash Equivalents 36% Invested Funds including CEF units 3/3/09) Invested Funds excluding CEF units 3/3/09).2.0 Corporate Bonds: 3% 0.8 Mortgage Related 5% Government & Agencies 2% CEF Units 23%