E R S. City and County of San Francisco Employees' Retirement System. RETIREMENT BOARD CALENDAR SHEET Retirement Board Meeting of February 10, 2016
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1 - E R S - San Francisco Employees' Retirement System City and County of San Francisco Employees' Retirement System RETIREMENT BOARD CALENDAR SHEET Retirement Board Meeting of February 10, 2016 To: Retirement Board Through: Jay Huish/k Executive Director William J. Coaker, Jr. - CFA, MBA Chief Investment Officer From: Joshua K. Man, CFA Security Analyst, Fixed Income Date: February 10, 2016 Re: Chief Investment Officer's Report - Plan Value Best Available as of January 31, 2016 Value (1) MID QTQ YTD FYTD (000) (%) (%) (%) (%) San Francisco Empl. Ret. Sys. 19,259, Total Global Equity 9,195, US Equity 4,704, Intl Equity 4,050, Global Equity 441, Total Fixed Income 4,845, Total Private Equity 2,567, Total Real Assets 2,233, Total Cash (Invi-Ded) ExSec Lending 417, Total Cash (Inv+Ded) Inc Sec Lending Notes: (1) Valuations are preliminary and are reported gross of fees Market Street, 51h Floor San Francisco, CA
2 SFERS Asset Allocation January 31, 2016 Section 1 - Current Month (ln$million) 12/31115 Cash Cash Market 1131/16 1/31116 AssetAllocation Compli- Beg. Bat. In Out Change 1" End. Bal. AllocationTarget Min Max ance [al Ib] + [C] lj = [ej Growth/Capital Appreciation Global Equity (A) 9, (102.5) (658.3) 9, % 47% 40% 54% Re- Section 2 - Projected (2-Month Period) ig I[ Net Cash IgI 3/31116 Proi'd Bat II = [e]+[f}+[g] 9, /16 Compli- Allocation ance 48.4% Private Equity (B) 2, (15.9) (7.4) 2, % 16% 10% 20% (11.0) 2, % Total Growth/Capital Appreciation (A) + (B) 12, (118.4) (665.7) 11, % 63% 53 Io 73% 1. E% Total Real Assets/Inflation Hedge Real Assets 2, (42.9) (6.2) 2, % 9% 15% (11.0) 11, % (19.0) 2, % Capital Preservation/Risk Reduction Fixed Income (C) 4, (211.9) 1.7 4, % 25% 20% 30% (7.4) 4, % Investment Cash (D) (159.4) % 0% 0% 1% No Dedicated Cash -Benefits (102.0) IBenefit Total Capital Preservation/Risk Reduction (C) + (D) 5, (371.3) 1.7 5, % 25% 20% 30% (75.0) (145.0) % (75.0) , % Total Portfolio 20, (634.5) (670.2) Monthly MV % Change -3.9% 0.0 (145.0) 19,114.7 Total Investment Portfolio (exci Ded Cash) 19,741.3 (670.2) 19, % 100% Monthlv MV % Chanqe -3.4% (75.0) , % Cash In = lnterportfolio In; Cash Out = Interportfolio Out. Beginning and Ending Asset Balances are based on 'Entry Dates'. Asset Allocation is calculated based on Total Portfolio assets minus Dedicated Cash 1 Market Change includes income received except for lnv and Ded Cash accounts. Estimated Unfunded Commitments as of Current Month End: PE : $2,215.9 RA $1,697.6 Fl: $245.3 Total : $4,158.9 RE Bridge Loan : $30.0
3 SFERS Asset Allocation - with Sub Asset Classes January 31, 2016 Section 1 - Current Month Section 2 - Projected (2-Month Period) Cash Cash Mkt 1131/16 1/31/16 1 Asset Allocation Compli- Re- Net 3131/16 03/31116 icompli (In$Million) Beg. Bal. In out Change End. Bal. Allocation Igjt Win Max ance Cash Proid Bal Allocation ance [a] + [b] + [c] 4 [d] = [e] [1] [gj [h[ =[e]+[f[+fg] Growthlcapital Appreciation Global Equity (A) 9 L1 481% 47% 40% 54% j8 48.4% US Large Cap Core: Passive: S&P 500 index 1,605.7 (102.2) (81.9) 1, % 16% 10% 22% 1, % Enhanced S&P: QMA (35.7) % 5% 0% 7% % Passive: MSCI-US ex Fossil Fuels (4.2) % % I Wellington (36.0) % } I US Large Cap Growth. 9% 6% 12%} Sands } (47.1) { US Large Cap Value: Passive: BlackRock (48.1) % 1 9% 6% 12% % I Core: Bivium r (0.4) (7.8) 94.3 r 1.0% % 1 US Small Cap: Growth: NT Russell 2000 Gth Fd (23.7) % 6% 4% 8%} % Value: DFA. L i (18.7) i 2.8% i i 28% i US Convertibles: I Advent(Globai) (198.7 (12.2) (186.5) 1 2.0% Zazove } (10.4) k 11.6% j 1 3% 0% 5% } ( { :} I AQR I6572l (46.4) (610.7) 1 6.6% % International Core: Cap Guardian (17.6) % {14% 9% 19%} % NTEAFE Passive } L 361.oi (26.1) 334.9J L 3.6% L 3.6% J International Growth: William Blair (40.1) % 1 5% 3% 7% % I LSV ' (40.1) International Value. 47% 1 } t { 11% 7% 15% t Causeway J (38.0) { } DFA (27.5) (394,91 International Small Cap: 5 4,3% } { 6% 4% 8% I Pyramis 1 1 (26.6) { { 2 } Mondrian ( (9.8) %1_" ( % Wellington I (7.2) % 1% %r Emerging Mkts.: =( Capital Intl (EMGF) 94.0 (5.8) 88.2 l 1.0% 7% 15%} % Y DFA Small Cap I (8.7) I I1.5% I 111% I 1.5% DFA Core I263.7J (12.2) L L J L 2.7% Global Equity Arrowstreet Capital (26.1) % 5% 0% 7% % I Ashmore GSSF Ill 0.9 (0.0) Opportunistic Strategies: %) % } % I Ashniore GSSF V 1 4,9 J (0.4) { o 1 { MonthlyMV%Changeforintl Equity jl% 100.0% 100% 100.0% Private Equity (B) 62.6 (j (4) zmm 13.5% 16% 10% 20% OM )jj 133% Monthly MV % Change for Private Equity 1.6% 'Total Growth/Capital Appreciation (A) + (B) 12, (118.4) (665.7) 11, % 63% 53% 73% 0.0 (11.0) 11, % Monthly MV % Change Page 2
4 Total Real Assets/Inflation Hedge SFERS Asset Allocation - with Sub Asset Classes (Cont ' d) January 31, 2016 Section 1 - Current Month 12131/15 Cash Cash Mkt 1/31/16 1/31116 Asset Allocation Compli- (In $ Million) Beg. Bal. In Out Change End. Bal. Allocation jg( Min Max ance [a] + ]b] + ]c] -' ]d] ]e] Real Assets ZM 45.2 {4) ( 11.7% 12% 9% 15% GIobal-Blackrock EPRA NAREI Index (3.4) % 10% 8% 12% No Monthly MV % Change for Total Real Assets -0.2% Capital Preservation/Risk Reduction Fixed Income (C) (jj) % 25% 20% Passive Index: BC US Debt Index Fund % 3% 0% 20% Core US Bonds: Internal Fixed (1.2) % 10% 0% 20% Core Plus: IAFL-CIO (0.8) % Aberdeen % Aberdeen Artio (88.7) % I Baird I % IR&M % LStone Harbor_) (81.7) % 56% 45% 70% No Commercial Mortgages: Prima (6.3) (0.1) % 8% 6% 14% High Yield/Bank Loan: I Oaktree HY (3.7) % 1 1. Sankaty Bank Loans (1.0) %J 9% 7% 11% High Yield CMBS: Pyramis (30.0) % 5% 3% 10% Emerging Market Debt: ' GMO J' (0.0) (7.2) ?.1 6.6%1 PIMCO J I 143.5j (0.4) %J 9% 4% 14% Opportunistic Fixed Income Portfolio (3.9) (0.3) % 0% 0% 10% Monthly MV % Change for Fixed Income 0,2% 100% i 100% Investment Cash (D) 185, (159.4) % 0% 0% 1% No Dedicated Cash - Benefits (102.0) IBenefit_Pymt] Total Capital Preservation/Risk Reduction (C) + (D) 5, (371.3) 1.7 5, % 25% 20% 30% Monthly MV % Change 1.0% Total Portfolio 20, (634.5) (670.2) 19,259.7 Monthly MV % Change Total Investment Portfolio (excl Ded Cash) 19,741.3 (670.2) 19, % 100% Monthly MV % Change Section 2 - Projected (2-Month Period) Re- Net 03/31/16 03/31/16 Compli. Cash Proid Bal Allocation] ance ]f] [gj [h] =[]e]+[f]+[g]] 0.0 (19.0) 2,214.7 it % No 0.0 (74) % % % %1 42.5% % % % No % % % % % % [ f.6% J 3.0%J Ys (7.4) % 100% (75.0) % 75.0 (145.0) (75.0) , % 0.0 (145.0) 19, , % Page 3
5 San Francisco City and County EmpIoyees Retirement System Cash Activities and Projections As of January 31, 2016 Beginning Balance as of 01/ Private Equity Net Funding Real Asset Net Funding Equity/Fixed Income Activities Net transfers to and from Equity Funds Net transfers to and from Fixed Income Funds Opportunistic Fixed Income Net Funding Equity/Fixed Income Net Funding Income Rd Securities Lending Earnings Balance as of Investment Cash Account (In $ Million) Proiected Cash Transactions $99.4 ($13.7) $2.8 ($46.8) ($2.3) $88.5 $0.1 $0.5 wu Private Equity Net Funding Real Assets Net Funding Opportunistic Fixed Income Net Funding Equity/Fixed Income Net Funding Td to Ded Cash Total Net Use (-)/ Receipt (±) of Funds Projected Ending Balance Next 2 Months $11.0 $19.0 $7.4 $0.0 I3. ($5.3) $5.9 $0.0 ($75.0) ($58.5) Mn ueaicatea Beginning Balance as of 01/ Benefit Payment for January 2016 Income Rd from Domestic Equity and Fixed Income Income Rd Ending Balance as of 01131/2016 uasn Account $289.8 ($102.0) $3.4 Benefit Payment Reserve for February 2016 & March 2016 Income Rd from Domestic Equity and Fixed Income Rd from mv Cash Total Net Use (-)/ Receipt (±) of Funds Projected Ending Balance Projected Cash Transactions Next 2 Months ($147.0) $2.0 $75.0 ($70.0)
6 SFERS Monthly Net Assets June January Em am (I.) Me January 2016 figure is preliminary
7 City and County of San Francisco SFERS '--' San Francisco Employees' Retirement System San Francisco City and County Employees' Retirement System Chief Investment Officer William J. Coaker Jr., CFA, MBA Memorandum DATE: February 10, 2016 TO: THROUGH: FROM: SUBJECT: Members of the Retirement Board Jay Huisfr4W Executive Director William J. Coaker Jr. - CFA, CFP, MBA Chief Investment Officer ClO Report Memorandum This memo summarizes our recent investment returns, the status of staff research and initiatives that are currently underway or that we plan to commence, and updates on the status of investments previously approved in closed session. 1 - Investment Returns in CV 2015 and FY As noted last month, SEERS portfolio returned approximately 2.25% in calendar year Our absolute returns were low, but early data indicates that our returns were very good versus peers, perhaps in the top 5% or close to that. In 2015 our U.S. equity portfolio was essentially flat (0.17%) while international stocks and our fixed income portfolio edged down (-2.19% and -0.45%, respectively). We did experience strong positive returns in private equity (1 4.27%) and real assets (12.13%), thanks to very good manager selection and a strong exit market. In January 2016, our U.S. equities and international stocks declined by -6.42% and -7.06%, respectively. Our entire portfolio fell by -3.62% during the month. On a fiscal year basis, our investments have declined by -4.70% in the first seven months of FY U.S. equities and international stocks have lost -8.05% and %, respectively, during that time. Our asset values peaked in the spring of 2014 at $20.7 billion. Assets are ncw $19.3 billion Market Street, 5 th Floor San Francisco, CA 94103
8 2 - Recent Equity Returns and Economic Conditions Equity declines of 10% are generally considered a "correction" while declines of 20% or more are considered a "bear market." Since July 1, 2015 thru February 4, 2016 (the date of this writing), the S&P 500 and the Russell 3000 have declined by -7.2% and -9.2%, respectively. However, the average stock in the Russell 3000 is more than 30% off their highs. In other words, most stocks in the U.S. are in a bear market, though the major indices are not. Good returns from a handful of stocks that are well represented in the indices - particularly, Amazon, Facebook, Google, and Netf lix - has kept the major indices out of official bear market territory. From July 1, 2014 to February 4, 2016, the MSCI ACWI ex-u.s. and the MSCI Emerging Market indices have fallen by -17.7% and -25.8%, respectively. Going forward, the key to equity returns the rest of the year will be whether economic growth in the U.S., and China - as well as others around the world - improves or weakens further. At this time, the global economy is currently in a "growth recession" though not an actual recession. Initial estimates are that U.S. GDP in the fourth quarter of 2015 was just 0.7%. Positive contributors to GDP were consumer spending, investment in residential real estate, and government spending, while detractors from growth were a decline in exports, inventories, and non-real estate investment. Regarding prospects for the U.S. economy, if consumer spending remains solid - and it should as long as job growth and wage growth remain positive - inventories should eventually move higher. Two headwinds for exports have been the stronger U.S. dollar and weak foreign economies, and both of these factors appear poised to persist, at least for the time being. Non-real estate investment depends on the confidence of business leaders toward consumer spending and U.S. and international economic growth going forward. Regarding China, economic growth in 4q201 5 was 6.8% and for all of 2015 it was 6.9%. That's China's lowest level of growth in 25 years, but it's still a very strong growth rate and it is down only marginally from 7.3% in While doubts persist about China's actual rate of growth, private estimates are that in 2015 China grew between 5.0% and 6.3%. As we have noted before, economic growth in China really has two components. Chinese exports, real estate, and heavy industry have all slowed substantially, but consumer spending, light industry, and the service sector are all growing very strongly. In short, we continue to believe that China is in the midst of a necessary rebalancing of their economy from a heavy reliance on exports, low cost manufacturing, speculation in real estate, and an explosive growth of debt to higher quality of growth led by advances in retail spending, financial services, health care, innovation, and consumer and business spending. Overall, China does not appear to be on the verge of a "hard landing." The U.S. economy also does not appear to be on verge of a recession. All that said, for two reasons we are still cautious about the prospects for returns on riskier assets. First, we can't be completely certain that growth in China will continue to be strong due to the lack of transparency about their economy and their actual levels of debt. Second, U.S. GDP was 2.0% for all of 2015, which was a disappointment, and it grew 2
9 by just 0.7% in the last quarter, meaning the economy was slowing at year-end. Disappointing economic growth has been the case now for many years. The U.S. economy has failed to grow by even 3.0% in any single year for the past ten years, which is unprecedented since the Great Depression. The lack of a strong recovery despite unprecedented monetary and fiscal stimulus is certainly a concern. 3 - DFJ Venture XII, L.P. At its meeting on January 20, 2016, the Retirement Board approved in closed session an investment of up to $25 million in DFJ Venture XII, L.P. The investment was approved by the following vote: Ayes: Nays: Absent: Cohen, Driscoll, Makras, Paskin-Jordan, Stansbury None Bridges, Meiberger SFERS' investment of $25 million in DFJ Venture XII, L.P. closed on February 2, This investment is classified as a venture capital investment within SFERS Private Equity portfolio and is SFERS' third investment with DFJ. More information about DFJ is available on Hilihouse Fund III, L.P. At its meeting on January 20, 2016, the Retirement Board approved in closed session an investment of up to $125 million in Hillhouse Fund Ill, L.P. The investment was approved by the following vote: Ayes: Nays: Absent: Cohen, Driscoll, Makras, Meiberger, Paskin-Jordan, Stansbury None Bridges SFERS' investment of $100 million in Hillhouse Fund III, L.P. closed on January 31, This investment is classified as a growth capital investment within SFERS' Private Equity portfolio and is SFERS' first investment with Hillhouse Capital Group ("Hillhouse"). More information about Hillhouse is available on Recent hires Christopher Chow joined our team as Senior Portfolio Manager of Natural Resources on February 1st. Mr. Chow has spent the past nine years at Albourne America where he researched real asset and private equity strategies. At Albourne Mr. Chow was instrumental in leading the firm's research efforts in real assets from the ground up. Mr. Chow earned an MBA from the University of California, Berkeley, Haas School of Business with an emphasis in both finance and real estate. He earned a Bachelor of Science degree from the University of California, Los Angeles (UCLA), with a major in business economics and a minor in accounting. Ellen Brownell joins SFERS as Director of Asset Allocation, Risk Management, and Innovation on February 8th. Ms. Brownell brings 20 years of broad investment experience to SFERS, including a background in public and private 3
10 markets, asset allocation, and risk management. For ten years she served as Managing Director of Public Equity and Chief Operating Officer for Dartmouth College. She also served as ClO of the Asset Allocation Program at Ashford Capital Management, Associate CIO at University of Delaware, and most recently as Senior Vice President at Callan Associates where she led the asset allocation, risk management, and governance and oversight of client portfolios. Ms. Brownell is a graduate of Yale University. David Francl will join SFERS as Managing Director of Absolute Return on February 16th. Mr. Francl has spent the past 18 ½ years at Intel Corporation in treasury and investment management. He has spent the past 9 years managing Intel's hedge fund portfolio which outperformed by more than 3% during his tenure. Mr. Francl managed Intel's $2.7 billion hedge fund portfolio from its inception in Prior to Intel, Mr. Franci worked at Price Waterhouse as a tax accountant. He earned an MBA from the University of California, Berkeley, Haas School of Business and a Bachelor's degree in Accounting from the University of Wisconsin, with magna cum laude honors. He also passed the CPA exam in With these recent additions we now have 16 investment professionals, up from 9 in the summer Our team consists of the CIO and three Managing Directors, eight Directors and Senior Portfolio Managers, and four Senior Analysts. Of our 16 investment professionals: - 13 have advanced degrees. - 9 are CFA charter holders. - 9 possess two or more advanced degrees or professional designations. - 3 are former Certified Public Accountants. - Our staff includes a variety of disciplines including finance (10), accounting (6), economics (6), real estate (2), engineering (1), statistics (1), and several other fields. With our management team (SPM and above) now in place, in 2016 our recruitment efforts will focus on hiring analysts in the areas of real estate, real assets, asset allocation, and absolute return. 6 - Initiatives for recent new hires Mr. Francl will focus on the following actions in the near term: -Evaluation of the hedge fund consultant and fund of hedge fund manager RFP's will be completed by the search committee by March 31. Staff expects to make a recommendation to the Board on April 13th regarding which candidates staff should conduct complete due diligence, including a comprehensive onsite evaluation. -Staff expects to recommend one or more consultants or fund of hedge fund managers to the Board on June 8th. The selected firm would begin service to SFERS on July 8th. -Staff and the consultant and/or fund of funds manager expect to recommend policies and procedures on August 10th. -Initial investments are projected to be made by December 31, The program should be mostly or fully invested by June 30, Ms. Brownell will be focusing on the following: -Gathering and reporting on SFERS risk exposures across a wide array of risk factors. -I
11 -Meetings with approximately eight public plans that have advanced risk management practices. -Participate with David Francl and me in the onsite due diligence of prospective hedge fund consultants and fund of hedge fund managers. Mr. Chow will work closely with Mr. Wang, Mr. Comerford, and Cambridge Associates in researching potential strategies for the real assets portfolio. 7 Next Month's ClO Report Next month's ClO report will include a summary of actions completed in 2015 as well as research projects, initiatives, and objectives for 2016.
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