I-4 UC Absolute Return (AR) Program
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1 I-4 Committee on Investments/ Investment Advisory Group November 2, 2010
2 Hedge Fund Industry Update FY 2009/2010 Consistent growth has returned to the hedge fund industry following the market turmoil of the last two years. The increase in assets under management within the industry has largely been driven by performance, but asset flows have also turned positive year to date in While the industry has rebounded, the distribution of capital across strategies remains uneven, creating both areas of opportunity and pockets of crowdedness. The Volcker regulations will likely result in a decrease in proprietary trading activities at banks, leaving some strategies less crowded, and an increase in the number of hedge fund launches. Structural changes brought about by lessons learned during the credit crisis should lead to a more stable hedge fund business model. FY 2009/2010 Update 2
3 UC AR Program Overview as of Sept. 30, 2010 AR Program Inception Date April 1, 2003 Total Number of Managers, Funds 39 managers, 40 funds Market Value $3.6 billion Current Allocation of Total GEP 23.5% Current Allocation of Total UCRP 5.7% FY 2009/2010 Update 3
4 UC AR Performance Update as of Sept. 30, 2010 Fiscal Year Ended 6/30/ Year to Date Fiscal Year 2010/2011 Trailing Three Years (annualized) UC AR Portfolio Return 9.1% 4.8% 4.6% 0.3% UC AR Benchmark Return* HFRX 50/50 Index** HFRI Fund of Funds Index Barclays Agg. Bond Index S&P MSCI World * 1 Month T-Bill + 4.5% from inception to February 28, 2009; 50% HFRX Absolute Return/50% HFRX Market Directional from March 1, 2009 onward ** 50% HFRX Absolute Return/50% HFRX Market Directional FY 2009/2010 Update 4
5 UC AR vs. Market Indices Trailing Five Years 7.0% 6.0% Annualized Risk/Return October 1, 2005 to September 30, 2010 Barclays Aggregate Bond Index 5.0% UC AR Portfolio Annualized Return 4.0% 3.0% 60/40 S&P 500/ Barclays Agg 2.0% 1.0% HFRI Fund of Funds Index HFRX 50/50 Index MSCI World 0.0% S&P % 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0% Standard Deviation FY 2009/2010 Update 5
6 UC AR Portfolio Update FY 2009/2010 The UC AR group focused on allocating capital to idiosyncratic strategies that can benefit, regardless of market direction, while maintaining a high level of liquidity. UC made allocations to both directional and relative value strategies to ensure a diversified source of returns amidst an uncertain market environment. Allocations to convertible arbitrage and macro funds coupled with a reduction in market neutral and equity hedge strategies should improve the portfolio s upside/downside skew. Equity beta exposure in the portfolio remains low. FY 2009/2010 Update 6
7 Portfolio Strategy Avoid herd mentality and differentiate on the basis of manager selection across three dimensions: 1. Region: Looking to add more exposure to Emerging Markets 2. Strategy: Focusing on more out-of-favor investment strategies, where investors are less likely to be chasing returns Focusing on non-correlated strategies to hedge against equity market downturns Growing a bullpen of diversified strategies to avoid just-in-time funding 3. Fund Size: Finding smaller managers in less crowded strategies FY 2009/2010 Update 7
8 Strategic Portfolio Construction Process Combine quantitative analytics with qualitative insights. Perform marginal contribution analyses on the portfolio to determine beneficial tactical strategy allocations to improve upside/downside skew. Analyze and monitor the portfolio's factor beta exposure to ensure we are not running unknown tilts. Run scenario analyses to identify strategies that provide greater downside protection and evaluate if our allocations to these strategies are sufficient. Qualitatively evaluate the hedge fund landscape to determine strategies that are likely to benefit from rich opportunity sets on a go-forward basis. Focus on manager selection, a critical element of portfolio construction. The dispersion of returns between hedge fund managers can be high. FY 2009/2010 Update 8
9 UC AR Portfolio: Strategy Allocation Sept. 30, 2010 During the past two years, equity hedge has become a smaller portion as allocations increased to other strategies, such as global macro and convert arbitrage. Global Macro 12.5% 8 Hedged Equity 32.0% Relative Value Arb 15.6% 5 13 Event Driven 18.7% Convertible Arb 5.0% 2 Distressed 2.1% Side Pockets 1.5% Note: Portfolio includes 39 Managers, 40 Funds Equity Market Neutral 5.2% Emerging Markets 7.5% FY 2009/2010 Update 9
10 UC AR Portfolio: Sector Exposures Sept. 30, 2010 Sector exposures within the long/short equity portion of the AR portfolio have become increasingly diversified across industry sectors. Real Estate 13% Utilities 1% Transportation 0% Technology 9% Index 5% Other 2% Consumer Discretionary 9% Consumer Staples 3% Energy 14% Materials 9% Financials 18% Note: Figures are % of total gross exposure. Industrials 10% Health Care 7% FY 2009/2010 Update 10
11 UC AR Performance: Downside Protection UC AR has outperformed by an average of +3.7% during S&P down months over the past five years. Average outperformance has increased over time as the portfolio continued to add diversifying strategies. 4.0% 2.0% S&P 500 Down Months During Past 5 Years 0.0% -2.0% -4.0% Monthly Return -6.0% -8.0% -10.0% -12.0% -14.0% UC AR S&P % -18.0% Note: 22 down months FY 2009/2010 Update 11
12 UC AR Performance: Upside/Downside Capture On a rolling 12 month basis during the past three years, the portfolio captures 52% of the upside when markets are positive and only 35.6% of the downside when markets turn negative. When the markets are positive the UC portfolio participates 100% of the time and only 80% of the time when the markets turn negative. Positive Periods MSCI Negative Periods MSCI UC Actual UC Proforma UC Actual UC Proforma September 2007-August 2010 September 2007-August 2010 # of positive 12 m periods for MSCI World Index # of negative 12 m periods for MSCI World Index # of positive 12 m periods for MSCI World Index and HF Portfolio # of negative 12 m periods for MSCI World Index and HF Portfolio 12 9 Upside Capture/Participation 100.0% 100.0% Downside Capture/Participation 80.0% 60.0% Ave 12 m Ret in positive period 26.6% 26.6% Ave 12 m Ret in negative period -30.9% -30.9% Ave 12 m Ret of HF portfolio in positive period 13.8% 26.1% Ave 12 m Ret of HF portfolio in negative period -11.0% -0.6% Upside Capture/Participation 52.0% 98.2% Downside Capture/Participation 35.6% 1.9% FY 2009/2010 Update 12
13 UC AR Performance: Upside Capture Trend On a rolling 12 month basis, the trend in upside capture has been steadily improving with the addition of diversified strategies and the accumulation of alpha % % UC AR Upside Capture MSCI World 12 m Return 160.0% 140.0% 120.0% 100.0% 80.0% 60.0% 40.0% 20.0% 0.0% Jun-10 Mar-10 Dec-09 Sep-09 Jun-09 Mar-09 Dec-08 Sep-08 Jun-08 Mar-08 Dec-07 Sep-07 Jun-07 Mar-07 Dec-06 Sep-06 Jun-06 Mar-06 Dec-05 Sep-05 Jun-05 Mar-05 Dec-04 Sep-04 Jun-04 Mar-04 Upside capture %= UC AR 12 m returns / MSCI 12 m returns over the comparable period FY 2009/2010 Update 13
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