Q 4. Portfolio Review COMPTROLLER S INVESTMENT ADVISORY BOARD

Transcription

1 Q COMPTROLLER S INVESTMENT ADVISORY BOARD Portfoio Review Meeting Date: Apri 6, 209 Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board August 6, 208

2 The State Water Impementation Fund for Texas ( SWIFT ) was created by the 83rd Texas Legisature, Reguar Session, and became effective once voters approved the constitutiona amendment to fund the SWIFT with $2 biion from the Economic Stabiization Fund. The creation of the SWIFT and its requirements are set forth in Chapter 5 of the Texas Water Code. Funds in the SWIFT are used to subsidize financing costs for projects incuded in the State Water Pan deveoped and impemented by the Texas Water Deveopment Board (TWDB). The baance of the SWIFT is expected to be drawn down over time; however, funds used for financing subsidies wi utimatey be repaid to the SWIFT. The investment objective of the SWIFT is to preserve its purchasing power whie maintaining sufficient iquidity to meet the needs of the TWDB.

3 Tabe of Contents Asset Aocation Summary 5...Asset Aocation Evoution SWIFT Portfoio Market Vaue 7...Portfoio Liquidity Portfoio Geographic Aocation Fixed Income Summary 0...Equity Summary...Equity Detai 2...Rea Estate Summary 3...A Asset Strategies 4...Vaue at Risk (VaR) Anaysis 5...Portfoio Risk Summary 6...SWIFT Performance Tabe Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209

4 Asset Aocation Summary Asset Cass Strategy Number of Funds, 2 Number of Managers, 2 Current Market Vaue Weight Target Weight Fixed Income $809,888,96 49.% 55.0% Cash ,28, % 0.0% Goba Fixed Income (ex-cash) ,34,29 9.3% 0.0% Aternative Fixed Income ,430,39 5.4% 5.0% Private Debt ,05, % 20.0% Equity 3 2 $468,370, % 30.0% Goba Pubic Equity ,060, % 5.0% Hedged Equity ,80, % 25.0% Private Equity 2 2 2,500, % 0.0% Rea Assets 7 5 $289,459,20 7.6% 5.0% Rea Estate ,459,20 7.6% 5.0% Strategic A Asset 2 2 $80,966, % 0.0% A Asset Strategies ,966, % 0.0% Tota Portfoio 6 43 $,648,684, % 00.0% Does not incude funds in wind down or redemption. 2 Manager count for aggregates are ess than sum of components due to managers with mutipe strategy aocations. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 4

5 Asset Aocation Evoution (Actua) Tota AUM: $,648,684,323 00% 90% 80% 70% 9.5% Cash 9.3% Goba Fixed Income 5.4% Aternative Fixed Income Fixed Income 60% 4.9% Private Debt 50% 40% 5.0% Goba Pubic Equity 23.2% Hedged Equity Equity 30% 20% 7.6% Rea Estate Rea Assets 0% 0% 4Q203 Q204 2Q204 3Q204 4Q204 Q205 2Q205 3Q205 4Q205 Q206 2Q206 3Q206 4Q206 Q207 2Q207 3Q207 4Q207 Q208 2Q208 3Q208 4Q % A Asset A Asset Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 5

6 SWIFT Portfoio Market Vaue As of January 3, SWIFT Funding Distribution ($08 MM) Distribution ($75 MM) Distribution ($33 MM) Distribution ($89 MM) Distribution ($23 MM).9.8 Doars in Biions.7.6 $ $.46 $.46 $.38.3 Dec-3 Mar4-4 Jun-4 Sep-4 Dec-4 Mar-5 Jun-5 Sep-5 Dec-5 Mar-6 Jun-6 Sep-6 Dec-6 Mar-7 Jun-7 Sep-7 Dec-7 Mar-8 Jun-8 Sep-8 Dec-8 Jan-9 Amount Funded SWIFT Dynamic Benchmark Poicy Benchmark Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 6

7 Portfoio Liquidity TOTAL PORTFOLIO FIXED INCOME Goba Fixed At Fixed Private Debt EQUITY Goba Equity Hedged Equity Private Equity REAL ASSETS Rea Estate ALL ASSET 0% 20% 40% 60% 80% 00% 0-3 MONTHS >3 MONTHS Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 7

8 Portfoio Geographic Aocation TOTAL PORTFOLIO FIXED INCOME Goba Fixed At Fixed Private Debt US Universa EQUITY Goba Equity Hedged Equity Private Equity MSCI ACWI IMI REAL ASSETS Rea Estate ALL ASSET 0% 20% 40% 60% 80% 00% Cacuated using gross exposures. NORTH AMERICA EUROPE ASIA EMERGING MARKETS GLOBAL/ OTHER Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 8

9 Fixed Income Summary Strategy Market Vaue Portfoio Weight Standard Deviation Sharpe Ratio % Positive US Universa HFRI Conservative MSCI ACWI IMI Months Beta Correation Beta Correation Beta Correation Goba Fixed Income (ex-cash) $53,34,29 9.3%.9% % Cash $57,28, % US Universa 2.7% % Aternative Fixed Income $254,430,39 5.4% 2.4% % HFRI FoF: Conservative 2.2% % Private Debt $245,05, % Tota Fixed Income $809,888,96 49.%.5% % Traiing 36 months. Sector Exposure Yied Goba Fixed ex-cash 50% 40% 30% 20% 43% 44% 30% 30% Portfoio US Universa 27% 26% Portfoio US Universa 0% % 2% 3% 4% 5% 6% Duration Years 0% Portfoio 0% Gov't & Gov't Re Credit Securitized Cacuated using gross exposures US Universa Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 9

10 Equity Summary Strategy Market Vaue Portfoio Weight Standard Deviation Sharpe Ratio % Positive Months MSCI ACWI IMI HFRI FoF Strategic Beta Correation Beta Correation Goba Equity $83,060, % 9.8% % MSCI ACWI IMI 0.8% % Hedged Equity $382,80, % 5.6% % HFRI FoF: Strategic 5.4% % Private Equity $2,500, % Tota Equity $468,370, % 6.0% % Traiing 36 months. Strategy Number of Fund Commitments Commitments Unfunded Commitments Tota Contributions Distributions Remaining Vaue 2 Tota Vaue Tota Private Equity 2 $7,500,000 $5,000,000 $2,500,000 $0 $2,500,000 $2,500,000 Tota Contributions incude fees and expenses that may not reduce or ower unfunded commitment. 2 Remaining Vaue is equa to the ast actua reported capita account vaue pus subsequent capita cas ess subsequent distributions through the indicated date, with no vauation changes. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 0

11 Equity Detai Goba Equity Hedged Equity MSCI ACWI IMI Other % Materias 5% Utiities 3% Communication Services 9% Rea Estate 3% Consumer Discretionary 0% Consumer Stapes 8% Communication Services 7% Other 4% Utiities 3% Rea Estate % Consumer Discretionary 2% Consumer Stapes 5% Utiities 3% Communication Services 8% Materias 5% Rea Estate 4% Consumer Discretionary % Consumer Stapes 8% IT 5% Industrias 0% Heathcare 2% Energy 6% Financias 7% Materias 5% IT 5% Industrias 4% Energy 5% Financias 2% Heathcare 9% IT 5% Industrias % Heathcare 2% Energy 6% Financias 7% Sector Under/Over Aocation Consumer Discretionary Consumer Stapes Energy Financias Heath Care Goba Pubic Equity Hedged Equity Industrias Information Technoogy Materias Other Sectors Communication Services Utiities Rea Estate -6% -3% 0% 3% 6% 9% 2% 5% Reative to MSCI ACWI IMI Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209

12 Rea Estate Summary Strategy Number of Current Fund Commitments Portfoio Weight Commitments Unfunded Commitments Tota Contributions Distributions Remaining Vaue Tota Vaue Rea Estate 7 7.6% $339,000,000 $52,90,455 $354,88,244 $23,604,983 $289,459,20 $43,064,85 Strategy Distributed/Paid In (DPI) Tota Vaue/Paid In (TVPI) Year IRR ITD IRR Time Weighted Returns Year 3 Year 5 Year Rea Estate % 9.3% 8.8% 9.5% - Rea Estate Bend 7.7% 7.8% - Sector Aocation Other 9% Office 20% Uncassified Debt 24% Industria 4% Hote % Residentia 22% Retai 0% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 2

13 A Asset Strategies Strategy Market Vaue Portfoio Weight Standard Deviation Sharpe Ratio Downside Deviation Max Drawdown % Positive Months Tota Poicy Benchmark Beta Correation Muti-Strategy $80,966, % 3.0% % -2.6% 80.6% A Asset Tota $80,966, % 3.0% % -2.6% 80.6% TTSTC Bended Endowment 2.4% % -2.3% 86.% - - Traiing 36 months. A Asset Breakdown Fixed Income 2% Rea Assets 7% Equity 62% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 3

14 Vaue at Risk (VaR) Anaysis Tweve Month History VaR as a Percent of Market Vaue (One Month, 95% Confidence) 3.5% 3.0% 2.5% Poicy.9% Current 2.3% 2.0%.5%.0% 0.5% Jan-8 Feb-8 Mar-8 Apr-8 May-8 Jun-8 Ju-8 Aug-8 Sep-8 Oct-8 Nov-8 Dec-8.5% Min.5% Max 2.5% 2 Month Average VaR 2.3% 2.5% VaR 95% Poicy Bench Min VaR 95% Poicy Bench VaR 95% Poicy Bench Max VaR 95% 50% ACWI IMI/ 50% Mutiverse Parametric VaR 95% Differentia from Poicy VaR VaR Contribution 0.5% FIXED INCOME 0.4% 0.3% 0.2% 0.% Goba Fixed and Cash Aternative Fixed Income Private Debt EQUITY Asset Weight MVaR % -0.% -0.2% -0.3% -0.4% -0.5% -0.6% Jan-8 Feb-8 Mar-8 Apr-8 May-8 Jun -8 Ju-8 Asset Aocation Manager Seection/Manager Behavior Aug-8 Sep-8 Oct-8 Nov-8 Dec-8 Goba Pubic Equity Hedged Equity Private Equity REAL ASSETS Rea Estate ALL ASSET STRATEGIES -0% 0% 0% 20% 30% 40% 50% 60% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 4

15 Portfoio Risk Summary Scenario Anaysis 987 Back Monday - 5 Day 50% ACWI IMI / 50% Mutiverse Poicy Portfoio SWIFT Portfoio 990 Guf War - 5 Day 997 Asian Crisis - 5 Day 998 Nasdaq Correction - 5 Day 998 Russian Devauation - 5 Day 200 Sept. th Attack - 5 Day 2008 Deeveraging - 6 Months 203 Taper Tantrum - 6 Weeks -30% -25% -20% -5% -0% -5% 0% Monthy Portfoio Tai Risk Profie Currency Commodity Credit Equity 0% Norma Extreme 2 Norma Extreme 2 Norma Extreme 2 Norma Extreme 2-5% -0% Market Event Portfoio Response -5% Norma Scenarios 6% Probabiity. 2 Extreme Scenarios % Probabiity. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 5

16 SWIFT Performance Tabe Jan Feb Mar Apr May Jun Ju Aug Sep Oct Nov Dec YTD % 0.0% % 0.% 0.2% 0.% 0.4% 0.3% -0.% 0.3% -0.5% 0.0% 0.% -0.6% 0.3% % 0.9% -0.% 0.4% 0.2% -0.7% -0.% -.3% -.3%.0% -0.4% -.% -2.2% % -0.4%.8%.2% 0.8% 0.%.5% 0.8% 0.5% 0.0% 0.4%.% 6.6% %.0% 0.6% 0.8% 0.9% 0.% 0.7% 0.6% 0.7% 0.8% 0.4% 0.4% 8.% 208.2% -0.3% 0.% 0.6% 0.5% 0.4% 0.8% 0.4% 0.4% -.3% 0.2% -0.9% 2.0% s Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board Apri 6, 209 6

17 Discaimer The information contained in this booket has been compied by or for the Texas Treasury Safekeeping Trust Company and it does not represent the opinions or views of the funds or managers represented herein. 7