VII. STANDING COMMITTEES F 9 B. Finance and Asset Management Committee Investment Performance Report Fourth Quarter Fiscal Year, as of June 30, 205 For information only. Attachment Investment Performance Report Fourth Quarter Fiscal Year 205, as of June 30, 205 F 9/209-5 9/0/5
University of Washington Investment Performance Report Fourth Quarter Fiscal Year 205 as of June 30, 205 Treasurer Board of Regents Treasury Office Published September 205 F 9./209-5 9/0/5 ATTACHMENT
University of Washington Investment Performance Report Fourth Quarter Fiscal Year 205 As of June 30, 205 Table of Contents Treasury Assets... 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 F 9./209-5 9/0/5
Treasury Assets as of June 30, 205 $5,053 ($ = Millions) Endowment & Similar Funds Endowment Funds $2,270 Operating Funds 2 806 Consolidated Endowment Fund $3,076 Life Income Trusts 83 Outside Trusts Non-CEF Endowments 6 Permanent Fund 3 36 $3,322 Endowment & Similar Funds $3,322 Operating & Reserve Funds $,73 Operating & Reserve Funds Invested Funds Cash & Liquidity Pools 2 $,526 Invested Funds Capital Assets Pool 4 27 Funds on Deposit with State of Washington 5 6 Bond Proceeds and Reserves 6 62 $,73 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 $806 million. To avoid double counting, the dollars are included only in the Consolidated Endowment Fund (CEF) total. 3 Proceeds from sale of land grants and subsequent investment returns on deposit with the state of Washington. 4 Capital Assets Pool (CAP) consists of UW internally financed projects. 5 Bond Retirement Fund and Building Fund. 6 Debt service reserve funds and construction project funds which have not yet been disbursed. F 9./209-5 9/0/5
Consolidated Endowment Fund (CEF) Asset Allocation for the Quarter Ending June 30, 205 C AP IT A L APPREC IA T IO N Current Allocation ($ = Millions) Target Policy Range Developed Markets Equity 38% Emerging Markets Equity $54 8% 7% Developed Markets Equity $,56 38% 28% Private Equity $325 % 5% Emerging Markets Equity 8% Private Equity % Real Assets 6% Real Assets $9 6% 7% Opportunistic $44 % 3% Capital Appreciation $2,256 73% 70% 55% 85% Absolute Return $50 7% 9% Fixed Income 0% Absolute Return 7% Opportunistic % Fixed Income $30 0% % Capital Preservation $820 27% 30% 5% 45% Total CEF $3,076 00% Uncalled capital commitments: % Note: Percentages may not sum due to rounding F 9./209-5 9/0/5 2
CEF Performance Summary for the Quarter Ending June 30, 205 Rolling Year Returns (%) Fiscal Year Returns (%) Rolling Years Fiscal Years 4 th Qtr FY 205 -Year 3-Year 5-Year 0-Year FY 5 FY 4 FY 3 FY 2 FY Total CEF Return.5 6.8.9 0.0 7.5 70% MSCI ACWI/30% BC Govt Bond -0..6 9.8 9.7 6.4 Capital Appreciation 2.0 8. 4.5 2.4 8.4 MSCI ACWI 0.5.2 3.6 2.5 7.0 Capital Preservation 0.0 2.7 5.5 4.2 4.3 BC Government Bond -.5 2.3 0.9 2.6 4.0 Total CEF Return 6.8 5.8 3.5-0.9 6.0 70% MSCI ACWI/30% BC Govt Bond.6 6.8.3 -.3 2.8 Capital Appreciation 8. 8.8 7.0 -.9 2.5 MSCI ACWI.2 23.6 7.2-6.0 30.8 Capital Preservation 2.7 8.0 5.9.2 3.6 BC Government Bond 2.3 2. -.5 8.3 2.3 Total Return: average annual compound return (dividend or interest plus capital appreciation or depreciation) Total Return: Average annual compound return (dividend or interest plus capital appreciation or depreciation) NACUBO/Commonfund Endowment Study $22 Growth of $0,000: CEF vs. Passive Alternatives 20 $20,608 8 $8,970 Information will not be available until January 206. $ = 000 s 6 4 CEF 2 0 70% ACWI & 30% BC Gov F 9./209-5 9/0/5 8 05 06 07 08 09 0 2 3 4 5 As of June 30 3
CEF Performance Update Total Return As of June 30, 205 4 th Qtr FY 5 Year 3 Years 5 Years 0 Years Consolidated Endowment Fund.5 6.8.9 0.0 7.5 70% MSCI ACWI & 30% BC Gov t Bond -0..6 9.8 9.7 6.4 Capital Appreciation 2.0 8. 4.5 2.4 8.4 MSCI ACWI 0.5.2 3.6 2.5 7.0 Emerging Markets Equity 4.5.0 2.4 0.0 3. Developed Markets Equity 0.5 5.2 6.6 4.3 7.2 Opportunistic (started 7//200) 4.3 8.8 7.7 3. -- Subtotal.9 7.2 5.3 2.6 -- MSCI ACWI 0.5.2 3.6 2.5 7.0 Private Equity 2 3.3 4.8 4.7 3.5.6 PE Benchmark 2,3 3.0 3.9 4.9 5.3.9 Real Assets 2 0.4 4.4 0.0 9.6 4.3 RA Benchmark 2,3 0.4 3. 6.5 0.3 7.6 Capital Preservation 0.0 2.7 5.5 4.2 4.3 BC Government Bond -.5 2.3 0.9 2.6 4.0 Absolute Return 0.0 3.3 7.8 6.4 6.8 Policy Benchmark 3 0.2 2.6 5.5 3.6 4.3 Fixed Income 0..6.8.6 2.5 BC Government Bond -.5 2.3 0.9 2.6 4.0 Market Indices S&P 0.3 7.4 7.3 7.3 7.9 Russell 2000 0.4 6.5 7.8 7. 8.4 MSCI EAFE 0.8-3.8 2.5 0.0 5.6 MSCI EMF 0.8-4.8 4. 4.0 8.5 BC High Yield 0.0-0.4 6.8 8.6 7.9 Total Return: Average Annual Compound Return (dividend or interest plus capital appreciation or depreciation) 2 Reported on a quarter lag F 9./209-5 3 Preliminary 9/0/5 4
CEF Activity and Campus Support from Investments as of June 30, 205 $ = Millions FYTD 205 CEF Activity Rolling Years FY 204 FY 203 5 Years 0 Years 5 Years Beginning Balance $2,833 $2,347 $2, $,830 $,359 $,29 Gifts 52 7 48 30 76 934 Transfers 8 7 6 33 87 7 Operating Funds Purchases 2 46 33 40 487 Total Additions $8 $224 $66 $674 $,204 $,539 Net Investment Return 94 379 279,33,542,759 Distributions (05) (94) (87) (447) (827) (,02) Advancement Support (2) (9) (7) (90) (62) (98) Administrative Fees (5) (5) (4) (23) (4) (5) Ending Balance $3,076 $2,833 $2,347 $3,076 $3,076 $3,076 Campus Support from Investments Campus Support from Investments CEF Distributions to Unit Holders $05 $94 $87 $447 $827 $,02 Advancement Support from CEF 2 9 7 90 62 98 Invested Funds Distributions 34 36 38 94 49 654 Total Campus Support $60 $48 $43 $73 $,408 $,954 Note: Numbers may not sum due to rounding Invested Funds Distributions occur annually at fiscal year end. F 9./209-5 9/0/5 5
CEF Exposures for the Quarter Ending June 30, 205 Exposure by Strategy Short-Term Liquidity Estimates as % of CEF Capital Appreciation Capital Preservation 79% 205 Emerging Markets Developed Markets Opportunistic Private Real Equity Assets Fixed Income Absolute Return 6% 4% 204 27% 203 Weekly Monthly Quarterly Year Geographic Exposure Equity Sector Exposure North America 6% Industrials 2% Health Care 2% Cash & Other 9% Energy 8% Consumer Discretionary 2% Consumer Staples 8% EM EMEA: 3% EM Latin America: 3% Developed Europe % EM Asia 5% Japan: 4% Dev. Asia ex. Japan: 3% Information Technology 4% Financials 7% Materials: 4% Telecom: 2% Utilities: 2% At 6/30/5 foreign currency exposure: 39% F 9./209-5 9/0/5 Note: Percentages may not sum due to rounding Emerging Markets, Developed Markets, Real Assets and select Absolute Return equity 6
Invested Funds for the Quarter Ending June 30, 205 Total Return (%) 4 th Qtr FY 205 -Year 3-Year 5-Year 0-Year Cash & Liquidity Pools -0. 0.9.0.6 3.0 Weighted Benchmark -0.2.3 0.7.4 3.0 IF including DIP 2 Units 0.4 2.7 3.7 3.7 4. Weighted Benchmark -0.2.5 2.8 3.5 4.3 IF including DIP 2 & CAP 3 0.4 2.8 3.7 3.7 4. Fund Allocation by Pool ($ = Millions) Fund Allocation Range Duration in Years Actual Maximum Cash Pool $679 28% 0% 40% 0.7 3.0 Liquidity Pool $847 34% 30% 60% 3. 5.0 Diversified Investment Pool $806 33% 5% 45% IF Excluding CAP $2,333 95% Capital Assets Pool 2 $27 5% 0% 5% Total Invested Funds $2,460 00% 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. 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. Asset-Backed Securities: 7% Mix of Investments: IF Excluding CAP Cash Equivalents: 3% Treasuries & Agencies 35% $ = 000 s $6 Growth of $0,000: Impact of Diversified Asset Pool (DIP) 5 4 IF Including DIP $5,200 $3,640 3 2 Mortgage Related 20% CEF Units 35% 0 IF Excluding DIP F 9./209-5 9/0/5 9 05 06 07 08 09 0 2 3 4 5 As of June 30 7