COMPTROLLER S INVESTMENT ADVISORY BOARD. Endowment Portfolio Review

Transcription

1 COMPTROLLER S INVESTMENT ADVISORY BOARD Endowment Portfoio Review Meeting Date: Apri 6, 209 Q 4 208

2 Tabe of Contents Asset Aocation Summary Actua vs. Target Aocations Asset Aocation Evoution Contributions & Distributions Portfoio Liquidity Portfoio Geographic Aocation Fixed Income Summary Fixed Income Detai.... Equity Summary Pubic Equity Detai Private Equity Detai Rea Estate Detai Strategic A Asset & Overays Strategic A Asset & Overays Detai Vaue at Risk (VaR) Anaysis Portfoio Risk Summary TTSTC Performance Tabe Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 2

3 Asset Aocation Summary Asset Cass Strategy Number of Funds 2, 3 Number of Managers 2, 3 Current Market Vaue Weight Long-Term Target Poicy Range Fixed Income $,20,844, % 35.0% 20-50% Goba Fixed Income ,49,60 5.% 0.0% Aternative Fixed Income ,779, % 5.0% Private Debt ,645, % 0.0% Equity 0 47 $,96,072, % 45.0% 30-60% Goba Pubic Equity ,733, % 5.0% Hedged Equity ,338, % 20.0% Private Equity ,000,476.3% 0.0% Rea Assets $537,947, % 20.0% 0-30% Stabe Vaue Rea Estate ,38, % 0.0% Enhanced Rea Estate ,809,53 4.3% 0.0% Strategic A Asset & Overays 0 9 $274,44, % 0.0% 0-0% A Asset Strategies ,689,020.% 0.0% Overays ,725, % 0.0% Tota Portfoio $3,975,278, % 00.0% Exposures obtained through derivatives are reported on a notiona basis. Cash exposure is offset by the tota notiona derivative exposure. 2 Does not incude funds in wind down or redemption. 3 Manager count for aggregates are ess than sum of components due to managers with mutipe strategy aocations. 4 Incudes Cash and Derivatives Offset Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 3

4 Actua vs. Target Aocations FIXED INCOME -4.8% [INCLUDING SAA & O -0.% ] Goba Fixed Income (ex-cash) -.0% Cash + Overay Offset 2-4.0% Goba Pubic Equity -0.5% 0.2% Aternative Fixed Income 0.0% Private Debt 4.3% EQUITY 3.5% Hedged Equity.3% Private Equity [5.2% INCLUDING SAA & O] REAL ASSETS -6.5% [INCLUDING SAA & O -5.%] Stabe Vaue RE -0.7% Enhanced RE -5.7%.% A Asset Strategies 5.8% Overays 6.9% Strategic A Asset & Overays -5% -2% -9% -6% -3% 0% 3% 6% 9% 2% 5% Exposures obtained through derivatives are reported on a notiona basis. Cash exposure is offset by the tota notiona derivative exposure. 2 Incudes Derivatives Offset Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 4

5 Asset Aocation Evoution (Actua) $4,500,000,000 Tota AUM: $3,975,278,98 $4,000,000,000 $3,500,000,000 5.% Goba Fixed Income 2 5.2% Aternative Fixed Income Fixed Income $3,000,000, % Private Debt $2,500,000, % Goba Pubic Equity $2,000,000, % Hedged Equity Equity $,500,000,000 $,000,000,000.3% Private Equity $500,000,000 $0 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-0 Jun-0 Sep-0 Dec-0 Mar- Jun- Sep- Dec- Mar-2 Jun-2 Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 Dec-3 Mar-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 9.3% Stabe Vaue Rea Estate 4.3% Enhanced Rea Estate.% A Asset 5.8% Overays Rea Assets A Asset Exposures obtained through derivatives are reported on a notiona basis. Cash exposure is offset by the tota notiona derivative exposure. 2 Incudes Cash and Derivatives Offset Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 5

6 Contributions & Distributions $7,000,000,000 $6,000,000,000 $5,000,000,000 $4,000,000,000 Tota AUM + Distributions $5,927,22,862 Tota AUM $3,975,278,98 $3,000,000,000 Contributions $3,8,732,74 $2,000,000,000 $,000,000,000 Distributions $,95,843,88 $0 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-0 Jun-0 Sep-0 Dec-0 Mar- Jun- Sep- Dec- Mar-2 Jun-2 Sep-2 Dec-2 Mar-3 Jun-3 Sep-3 Dec-3 Mar-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 Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 6

7 Portfoio Liquidity,2 TOTAL PORTFOLIO FIXED INCOME Goba Fixed Aternative Fixed Private Debt EQUITY Goba Equity Hedged Equity Private Equity REAL ASSETS Stabe Vaue Rea Assets Enhanced Rea Estate STRATEGIC ALL ASSET & OVERLAYS A Asset Strategies Overays 0% 20% 40% 60% 80% 00% 0-3 MONTHS 3 MONTHS - 2 YEARS > 2 YEARS POLICY GUIDELINES 3 Projected iquidity takes hard ock, notice and payout periods into consideration. 2 Physica cash is incuded in the goba fixed bucket. Notiona derivative exposures are not incuded. 3 Poicy Guideines: Minimum of 20% in 0-3 months and minimum of 60% in ess than 2 years. 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 Stabe Vaue Enhanced STRATEGIC ALL ASSET & OVERLAYS A Asset Overays 0% 20% 40% 60% 80% 00% NORTH AMERICA EUROPE ASIA EMERGING MARKETS GLOBAL/ OTHER Cacuated using gross exposures except commodities, which are cacuated using net exposures. 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 Downside Deviation Max Drawdown % Positive US Universa HFRI Conservative MSCI ACWI IMI Months Beta Correation Beta Correation Beta Correation Goba Fixed Income & Cash $20,49,60 5.%.5%.3 2.0% -.3% 80.6% Goba Fixed Income (ex-cash) 38,752, % 2.0%.4.9% -0.8% 77.8% Goba Fixed Manager 65,675,36 4.2% 2.2%..8% -.7% 69.4% Goba Fixed Derivatives 53,076, % Cash + Overay Offset -7,332, % Cash (Physica) 326,279, % Overay Offset -443,62,23 -.2% US Universa 2.7% % -2.9% 66.7% Aternative Fixed Income $604,779, % 2.5% % -.3% 80.6% Event Driven 32,98, % 4.8% % -4.% 6.% HFRI Event Driven (Tota) Index 4.2%. 5.% -4.9% 72.2% Reative Vaue 275,430,34 6.9% 2.7% % -3.6% 9.7% HFRI Reative Vaue (Tota) Index 2.7%. 3.4% -3.2% 75.0% Tactica Trading 94,822, % 7.6% % -7.5% 55.6% HFRI Macro (Tota) Index 4.2% % -6.8% 44.4% Fund of Funds,608, % 63.9% % -9.2% 47.2% HFRI FoF: Conservative 2.2% % -3.2% 75.0% Private Debt $395,645, % Tota Fixed Income $,20,844, %.9% % -.6% 80.6% Traiing 36 months. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 9

10 Fixed Income Detai Sector Aocation Yied 50% Portfoio Goba Fixed ex-cash 40% 30% 20% 0% 3% 44% 42% 30% Portfoio 27% US Universa 26% US Universa 0% % 2% 3% 4% 5% 6% Duration Years Portfoio US Universa 0% Gov't & Gov't Re Credit Securitized Growth of $,000 Gross Exposure by Strategy VaR of Tactica Trading Strategy $ % 0% Fixed Income $250 $200 $50 $00 $050 $000 Aternative Fixed Income US Universa Goba Fixed Income HFRI FoF Conservative 400% 200% 8% 6% 4% $950 2% $900 Mar-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 0% Event Driven Reative Vaue 0% Traiing 5 year. Q8 2Q8 3Q8 4Q8 One month 95% confidence extrapoated ex-ante VaR provided by the managers. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 0

11 Equity Summary Strategy Market Vaue Portfoio Weight Standard Deviation Sharpe Ratio Downside Deviation Max Drawdown % Positive MSCI ACWI IMI HFRI Strategic Months Beta Correation Beta Correation Goba Equity $577,733, % 0.2% % -7.5% 63.9% Goba Equity Managers 305,588, % 0.5% % -8.% 6.% Goba Equity Derivatives 272,44, % MSCI ACWI IMI 0.8% % -4.7% 75.0% Hedged Equity $932,338, % 5.7% % -7.6% 69.4% HFRI FoF: Strategic 5.4% % -9.3% 63.9% Private Equity $45,000,476.3% Tota Equity $,96,072, % 5.5%.0 7.6% -6.0% 75.0% Traiing 36 months. Goba Equity Hedged Equity Sector Aocation Private Equity MSCI ACWI IMI Communication Services 8% Materias 6% Utiities 5% Rea Estate 3% Discretionary 2% Stapes 8% Communication Services 7% Other 3% Utiities 2% Rea Estate % Discretionary 4% Stapes 7% Communication Services 2% Utiities 2% Rea Estate % Other 5% Materias 2% Discretionary 5% Materias 5% Stapes 3% Utiities 3% Communication Services 8% Rea Estate 4% Discretionary % Stapes 8% IT 2% Industrias 0% Energy 7% Financias 22% Materias 4% IT 7% Industrias % Financias 0% Heathcare % Energy 4% IT 24% Industrias 0% Heathcare 2% Energy 5% Financias 9% IT 5% Industrias % Heathcare 2% Energy 6% Financias 7% Heathcare 8% Cacuated using gross exposures. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209

12 Pubic Equity Detai $600 Growth of $,000 Exposure by Quarter - Hedged Equity $500 $400 MSCI ACWI IMI Goba Equity Hedged Equity HFRI FoF Strategic 50% Long Exposure Short Exposure Net Exposure 25% $300 $200 $00 $000 $900 Mar-4 Jun-4 Traiing 5 year. Discretionary Stapes Energy Financias Heath Care Industrias Information Technoogy Materias 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 Sector Under/Over Aocation Dec-7 Mar-8 Jun-8 Sep-8 Dec-8 Goba Pubic Equity Hedged Equity 00% 75% 50% 25% 0% -25% -50% -58% 07% -5% 08% 0% 09% 49% 57% 66% 67% -44% -42% 4% 3% 3% 3% -47% 68% -46% 67% -45% 68% -40% 73% 08% 75% -32% 05% 0% 7% -34% 95% 69% 60% -32% -36% Other Sectors Communication Services Utiities -75% Rea Estate -9% -6% -3% 0% 3% 6% 9% 2% 5% -00% Reative to MSCI ACWI IMI Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 2

13 Private Equity Detai Strategy Number of Current Fund Commitments Portfoio Weight Commitments Unfunded Commitments Tota Contributions Distributions Remaining Vaue 2 Tota Vaue Buyout % $722,486,896 $8,807,623 $590,798,337 $496,72,747 $342,699,28 $839,42,027 Venture Capita 7 2.7% 202,050,000 56,826,595 45,847,067 99,787,30 08,30,95 208,088,505 Tota Private Equity 79.3% $924,536,896 $238,634,28 $736,645,404 $596,509,057 $45,000,476 $,047,509,533 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. Strategy Distributed/Paid In (DPI) Tota Vaue/Paid In (TVPI) Year IRR ITD IRR Time Weighted Returns Year 3 Year 5 Year Buyout % 9.6% 7.% 3.8% 2.6% Venture % 5.9% 6.2% 0.4% 3.3% Tota Private Equity % 8.4% 6.9% 3.0% 2.7% Private Equity Bend 6.3% 3.9% 2.4% Buyout Sector Aocation Venture Sector Aocation Communication Services % Other 6% Materias 3% IT 3% Utiities 2% Rea Estate % Discretionary 6% Stapes 3% Communication Services 3% Other 3% Discretionary 3% Stapes % Financias 6% Industrias 2% Energy 20% IT 58% Heathcare % Heathcare 2% Financias 0% Industrias 5% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 3

14 Rea Estate Detai Strategy Number of Current Fund Commitments Portfoio Weight Commitments Unfunded Commitments Tota Contributions Distributions Remaining Vaue 2 Tota Vaue Stabe Vaue % $788,50,07 $23,369,28 $649,594,349 $453,567,245 $368,38,329 $82,705,573 Enhanced Return % 626,862, ,04, ,030, ,339,050 69,809,53 542,48,203 Tota Rea Estate % $,45,363,607 $48,473,398 $,07,624,399 $825,906,294 $537,947,482 $,363,853,777 Strategy Distributed/Paid In (DPI) Tota Vaue/Paid In (TVPI) Year IRR ITD IRR Time Weighted Returns Year 3 Year 5 Year Stabe Vaue % 9.% 0.0%.0% 0.% Stabe Vaue RE Bend 7.7% 7.8% 9.7% Enhanced Return % 6.5% 5.% 7.%.2% Enhanced RE Bend 9.5% 9.8%.3% Tota Rea Estate % 7.7% 8.5% 9.8%.3% Rea Estate Bend 8.2% 8.4% 0.3% 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. Stabe Vaue Sector Aocation Other 0% Timber 4% Infrastructure 2% Office 0% Enhanced Sector Aocation Office 23% Industria 8% Uncassified Debt 20% Industria 3% Other 3% Retai 2% Residentia 34% Retai 7% Uncassified Debt % Hospitaity 4% Residentia 30% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 4

15 Strategic A Asset & Overays Strategy Market Vaue Portfoio Weight Standard Deviation Sharpe Ratio Downside Deviation Max Drawdown % Positive Months Tota Poicy Benchmark Beta Correation A Asset Strategies $42,689,020.% 3.6% % -2.4% 86.% Muti Strategy 36,37,24 0.9% 3.8%.5 5.0% -2.6% 77.8% Opportunistic 6,37, % Overays 23,725, % Strategic A Asset & Overays $274,44, % 3.2%.9 3.9% -.7% 83.3% TTSTC Bended Endowment 3.4%.3 5.4% -2.9% 83.3% - - Traiing 36 months. Muti Strategy Breakdown Opportunistic Breakdown Overays Breakdown Fixed Income 4% Equity 63% Fixed Income 78% Equity 86% Rea Assets 37% Rea Assets 22% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 5

16 Strategic A Asset & Overays Detai % of Tota Portfoio % 0% 9% 8% 7% 6% 5% 4% 3% 2% % 0% Smart Leverage Summary Derivatives (Notiona) Cash (Physica) Leverage Jun-7 Sep-7 Dec-7 Mar-8 Jun-8 Sep-8 Dec-8 Derivatives Aocation Fixed Income 36% Swap 00% Equity 64% In time periods where measured everage isn t present, we dispay everage as 0%. Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 6

17 5% Vaue at Risk (VaR) Anaysis Tweve Month History VaR as a Percent of Market Vaue (One Month, 95% Confidence) 4% Poicy 3.5% 3% Current 3.2% 2% Min 2.8% Max 4.2% % Jan-8 Feb-8 Mar-8 Apr-8 May-8 Jun-8 Ju-8 Aug-8 Sep-8 Oct-8 Nov-8 Dec-8 2.8% 2 Month Average VaR 3.4% 4.2% VaR 95% Poicy Bench Min VaR 95% Poicy Bench VaR 95% Poicy Bench Max VaR 95% 65% ACWI IMI/35% Mutiverse Parametric VaR 95% Differentia from Poicy VaR VaR Contribution 0.6% 0.5% 0.4% Asset Aocation Manager Seection/Manager Behavior FIXED INCOME Goba Fixed Income At Fixed Income Private Debt Asset Weight MVaR % 0.2% EQUITY Goba Pubic Equity Hedged Equity 0.% Private Equity 0.0% REAL ASSETS Stabe Vaue Rea Estate -0.% Enhanced Rea Estate -0.2% -0.3% STRATEGIC ALL ASSET & OVERLAYS A Asset Strategies Overays -0.4% -0% 0% 0% 20% 30% 40% 50% 60% 70% 80% Jan-8 Feb-8 Mar-8 Apr-8 May-8 Jun-8 Ju-8 Aug-8 Sep-8 Oct-8 Nov-8 Dec-8 Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 7

18 Portfoio Risk Summary Scenario Anaysis 987 Back Monday - 5 Day Traditiona 65/35 Portfoio Poicy Portfoio TTSTC 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 -35% -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 8

19 TTSTC Performance Tabe Jan Feb Mar Apr May Jun Ju Aug Sep Oct Nov Dec YTD % -0.%.9% -.8% -0.5% -4.5% -4.7% 0.7% -6.0% 3.7% 4.0% -2.8% -0.9% % -0.9% 0.4% 5.9% 4.8%.3%.4% 2.% 0.3% 4.4%.6% 3.6% 25.8% %.4% 0.% -2.4% 0.8% 2.% -2.8% 0.6% 2.2%.6% 4.% 2.9% 3.% % 2.0% -.6% -2.% 2.9%.3% 3.2% 0.2%.2% -.9% 2.8%.4% 7.8% % 0.0%.8%.5% -2.5% -0.2% 0.2%.8%.2% 2.8% 2.2%.3% 4.7% % -0.%.4% 3.0% 2.7% -0.7% -.7% 0.3% 3.0% 2.0% -3.2% -0.2% 7.7% % -0.5% -.% 2.3%.3% -3.4% -.2% -0.8% -6.6% -9.6% -2.9% 0.6% -23.8% % -3.6%.9% 3.2% 3.% 0.6% 4.0%.3% 2.5% 0.% 2.2%.% 5.0% %.0% 2.6%.0% -3.9% -.% 3.4% -0.7% 4.% 2.% -0.4% 3.0% 0.3% %.6% 0.6% 2.2% -0.5% -.% 0.% -2.2% -4.4% 3.% -0.8% -0.5% -.6% % 2.0% 0.0% 0.2% -2.8%.%.3%.6%.4% 0.% 0.9% 0.9% 9.3% % 0.2%.%.0% 0.% -2.%.9% 0.0%.8%.9% 0.8% 0.6% 9.8% % 2.5% 0.2% 0.6%.3%.% -0.3% 0.9% -.5% 0.0%.0% -0.8% 4.9% % 2.% -0.2%.4% 0.4% -.% 0.% -2.% -.7%.7% -0.3% -.0% -0.6% % -0.5%.9%.2% 0.6% 0.%.7% 0.7% 0.7% 0.6% 0.8%.2% 7.5% 207.5%.% 0.8%.0%.0% 0.%.3% 0.7% 0.8%.3% 0.7% 0.7%.5% 208.9% -0.9% -0.% 0.8% 0.3% 0.2%.3% 0.3% 0.2% -.7% 0.% -.5% 0.8% Texas Treasury Safekeeping Trust Company s Presentation to the Comptroer s Investment Advisory Board - Apri 6, 209 9

20 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.