December 31 st, décembre 2015

Transcription

1 December 31 st, décembre

2 2015 Endowment survey Highlights HIGHLIGHTS Total Asset Growth since 2008 ENDOWMENTS 88 % of total assets Median 2015 return 5,0 % Median yrs annualized return Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation 6,0 % Advantage 1st quartile 7,3 % vs 4th quartile 2,7 % Advantage 1st quartile 6,6 % vs 4th quartile 5,0 % 1st quartile : lowest into bond highest into alternative 4th quartile : the exact opposite Reducing by -2,1 % Increasing by 1,9 % Mostly seen into 1st quartile : Real Estate 7,4 % Hedged Funds 7,3 % 2

3 Survey Statistics - Endowments 72 Participants (Endowment) Stable Year 7.9 Total Endowment Assets Under Management ($ billions) Total = 18,4 Endowment = 16,4 88 % of total assets growth since Year 3

4 Changes to the funds sub-grouping : Endowment Quartiles Fund sub-groups are now based on quartiles : To keep an even number of funds per group : Endowments Quartiles st = 25 th largest funds Above $ 220 M Above $ 300 M 2 nd = 25 th next largest $ 55 M to $ 220 M $ 80 M to $ 300 M 3rd = 25 th next $ 20 M to $ 55 M $ 25 M to $ 80 M 4th = 25 th smallest Below $ 20 M Below $ 25 M For historical comparison, I suggest that we match the new quartiles grouping to each sub-groups definitions we used prior to 2015 we used to separate funds based on a static value of assets under management Endowments subgroups 2014 sub-groups definitions 2015 quartile definitions Group 1 = 1 st quartile Above $ 100 M Above $ 300 M Group 2 = 2 nd quartile $ 30 M to $ 100 M $ 80 M to $ 300 M Group 3 = 3 rd quartile $ 10 M to $ 30 M $ 25 M to $ 80 M Group 4 = 4 th quartile Below $ 10 M Below $ 25 M 4

5 2015 Endowment: Average Asset Allocation (Dollar Weighted within each Group) December in quartiles by fund size 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 4th Quartile 3rd Quartile 2nd Quartile 1st Quartile Equity 49.8% 62.8% 60.9% 55.0% Alternatif 7.3% 3.5% 5.2% 22.7% Bond 38.2% 29.0% 29.5% 21.0% Cash 4.7% 4.7% 4.4% 1.3% Equity Alternatif Bond Cash 1 st quartile is > $ 300 M 2 nd quartile is $ 80 to 300 M 3 rd quartile is $ 25 to 80 M 4 th quartile is < $ 25 M 5

6 2003 Endowment: Average Asset Allocation (Dollar Weighted within each Group) December in quartiles by fund size smallest 25% med-small med-large largest 25% Equity Alternative Fixed Income Cash Equity Alternative Fixed Income Cash 6

7 Compare Asset Allocation Endowments : 2015 vs 2014 Endowments Changes Equity 56,1% 58,1% -2,1% Alternative 19,3% 17,4% 1,9% Fixed Income 22,7% 22,7% 0,0% Cash 1,9% 1,8% 0,1% Total 100,0% 100,0% 0,0% 7

8 December 2015 Alternative Investment profile Total Asset by Endowment Quartiles % of total AUM 1 st quartile 2 nd quartile 3 rd quartile 4 th quartile Real Estate ,2% Hedge Funds ,1% Private Equity ,5% Others ,0% Commodity ,4% Total Alternative ,3% Weights vs sub-total 22,7 % 5,2 % 3,5 % 7,3 % Weights vs total allocation to the asset class 95,2 % 3,6 % 0,8 % 0,4 % Total Assets Weights vs Total Asset 18,4 % 0,7 % 0,2 % 0,1 % December 2014 Alternative Investment profile by Endowment size Total Asset % of total AUM > 100 millions $ > $30 Million to $100 Million > $10 Million to $30 Million $10 Million Real Estate ,3% Hedge Funds ,3% Private Equity ,1% Others ,7% Commodity ,6% Total Alternative ,0 % Weights vs total allocation to the asset class 95,6 % 3,8 % 0,6 % 0,0 % Weights vs sub-total 20,5 % 7,3 % 10,6 % 0,0 % Total Assets Weights vs Total Asset 18,2 % 0,7 % 0,1 % 0,0 % 8

9 Endowment - Historical Annual Returns for each year, ending December 31 st 30.0% 20.0% 10.0% 5,0 % 0.0% -10.0% -20.0% 10th percentile 25th percentile Median 75th percentile 90th percentile -30.0% 9

10 2015 Annual Return Distribution by Endowment Quartiles 30.0% 25.0% 20.0% 26.1% High Median Low 15.0% 10.0% 5.0% 0.0% -5.0% 7.3% 2.2% 11.6% 4.9% 9.5% 5.4% 1.0% 8.8% 2.7% -2.6% Overall median = 5,0 % -10.0% -10.4% -15.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 10

11 Historical Median One Year Returns by Endowment Quartiles 20% 15% 10% 5% 0% -5% -10% -15% -20% 1st quartile 2nd quartile 3rd quartile 4th quartile Year 11

12 Endowment - Annualized Returns (December 31 st, 2015) 16.0% 14.0% 12.0% 10.0% 11.2% 10.6% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 7.8% 8.6% 6.0% 4.0% 5.0% 6.0% 2.0% 0.0% 1 Year 2 Year 3 Year 4 Year 5 Year 10 Year 12

13 16.0% 14.0% 12.0% Endowment - Historical Ten Year Annualized Returns for each period, ending December 31 st 10th percentile 25th percentile Median 75th percentile 90th percentile 10.0% 8.0% 6.0% 6,0% 4.0% 2.0% 0.0% 13

14 2015 Ten Year Returns Distribution by Endowment Quartiles 14.0% 12.0% 10.0% 13.1% High Median Low 8.0% 6.0% 4.0% 7.6% 7.7% 6.6% 6.2% 5.7% 4.5% 4.4% 4.4% 6.9% 5.0% Overall median = 6,0 % 2.0% 1.4% 0.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 14

15 December 31 st, décembre

16 2015 Pension survey Highlights HIGHLIGHTS Total Asset Growth since 2008 PENSIONS 66 % of total assets Median 2015 return 6,2 % Median yrs annualized return Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation 6,3 % Advantage 1st quartile 7,4 % vs 4th quartile 4,5 % Advantage 1st quartile 6,8 % vs 4th quartile 6,0 % 1st quartile : lowest into equity highest into alternative 4th quartile : the exact opposite Reducing by -1,9 % Increasing by 1,6 % Mostly seen into 1st quartile : Real Estate 5,8 % Hedged Funds 3,3 % 16

17 Survey Statistics Participants (Pension) Stable Year 25.4 Total Pension Assets Under Management ($ billions) % of total assets growth since Year 17

18 Changes to the funds sub-grouping : Pension Quartiles Fund sub-groups are now based on quartiles to keep an even number of funds per group : Pensions Quartiles st = 25 th largest funds Above $ M Above $ M 2 nd = 25 th next largest $ 355 M to $ M $ 370 M to $ M 3rd = 25 th next $ 123 M to $ 355 M $ 150 M to $ 370 M 4th = 25 th smallest Below $ 123 M Below $ 150 M For historical comparison, I suggest that we match the new quartiles grouping to each sub-groups definitions we used prior to 2015 we used to separate funds based on a static value of assets under management Pensions Quartiles 2014 sub-group definitions 2015 quartile definitions 1st = 25 th largest funds Above $ 500 M Above $ M 2 nd = 25 th next largest $ 150 M to $ 500 M $ 370 M to $ M 3rd = 25 th next $ 30 M to $ 150 M $ 150 M to $ 370 M 4th = 25 th smallest Below $ 30 M Below $ 150 M 18

19 % Pension: Average Asset Allocation Dollar Weighted within each Group December in quartiles by fund size 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 4th quartile 3rd quartile 2nd quartile 1st quartile Equity 61.6% 55.6% 54.5% 47.6% Alternative 4.1% 5.9% 12.0% 18.1% Fixed Income 31.2% 36.3% 32.5% 31.8% Cash 3.2% 2.2% 1.1% 2.5% Equity Alternative Fixed Income Cash 1 st quartile is > $ M 2 nd quartile is $ 370 to M 3 rd quartile is $ 150 to 370 M 4 th quartile is < $ 150 M 19

20 Pension: Average Asset Allocation Dollar Weighted within each Group December in quartiles by fund size smallest 25% med-small med-large largest 25% Equity Alternative Fixed Income Cash

21 Compare Asset Allocation Pensions : 2015 vs 2014 Pensions Changes Equity 50,2% 52,1% -1,9% Alternative 15,4% 13,8% 1,6% Fixed Income 32,3% 31,9% 0,4% Cash 2,1% 2,3% -0,2% Total 100,0% 100,0% 0,0% 21

22 December 2015 Alternative investment profile by Pension size Total Asset % of total AUM 1 st quartile 2 nd quartile 3 rd quartile 4 th quartile Real Estate ,4% Hedge Funds ,7% Private Equity ,4% Others ,5% Commodity ,3% Total Alternative ,40% Weights vs total allocation to the asset class 76,7% 20,1% 2,8% 0,4% Weights vs sub-group 18,1 % 12,0 % 5,9 % 4,1 % Total Asset Weights vs Total Asset 11,8% 3,1% 0,4% 0,1% December 2014 Alternative investment profile by Pension size Total Asset % of total AUM Pension > 500 millions $ Pension > $150 Million to $500 Million Pension > $30 Million to $150 Million Pension $30 Million Real Estate ,6% Hedge Funds ,6% Others ,0% Private Equity ,6% Commodity ,5% Total Alternative ,3 % Weights vs total allocation to the asset class 94,7% 4,8% 0,4% 0,0% Weights vs sub-group 14,4 % 5,9 % 2,7 % 0,0 % Total Asset Weights vs Total Assets 12,6% 0,6% 0,1% 0,0% 22

23 Pension - Historical Annual Returns for each year, ending December 31 st 30.0% 20.0% 10.0% 0.0% 6,2 % -10.0% -20.0% 10th percentile 25th percentile Median 75th percentile 90th percentile -30.0% 23

24 2015 Annual Return Distribution by Pension Quartiles 12.0% 10.0% 8.0% 6.0% 10.2% 7.4% 9.3% 6.2% 10.2% 6.0% 7.4% High Median Low Overall median = 6,2 % 4.0% 3.0% 3.9% 3.2% 4.5% 2.0% 0.0% -0.2% -2.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 24

25 Historical Median One Year Returns by Pension Quartiles 20% 15% 10% 5% 0% -5% -10% -15% -20% 1st quartile 2nd quartile 3rd quartile 4th quartile Year 25

26 14.0% Pensions - Annualized Returns (December 31 st, 2015) 12.0% 10.0% 10.7% 10.5% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 8.4% 8.6% 6.0% 6.2% 6.3% 4.0% 2.0% 0.0% 1 Year 2 Year 3 Year 4 Year 5 Year 10 Year 26

27 Pensions - Ten Year Annualized Returns for each period, ending December 31 st 14.0% 12.0% 10.0% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 6.0% 6,3 % 4.0% 2.0% 0.0% 27

28 2015 Ten Year Returns Distribution by Pension Quartiles 14.0% 12.0% High Median Low 10.0% 8.0% 6.0% 4.0% 7.3% 7.4% 6.8% 6.4% 5.5% 4.7% 6.9% 6.2% 4.7% 7.2% 6.0% 3.8% Overall median = 6,3 % 2.0% 0.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 28

29 2015 Investment Survey Highlights HIGHLIGHTS PENSIONS ENDOWMENTS Total Asset Growth since % of total assets 88 % of total assets Median 2015 return 6,2 % 5,0 % Median yrs annualized return 6,3 % 6,0 % Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation Advantage 1st quartile 7,4 % vs 4th quartile 4,5 % Advantage 1st quartile 6,8 % vs 4th quartile 6,0 % 1st quartile : lowest into equity highest into alternative 4th quartile : the exact opposite Reducing by -1,9 % Increasing by 1,6 % Mostly seen into 1st quartile : Real Estate 5,8 % Hedge Funds 3,3 % Advantage 1st quartile 7,3 % vs 4th quartile 2,7 % Advantage 1st quartile 6,6 % vs 4th quartile 5,0 % 1st quartile : lowest into bond highest into alternative 4th quartile : the exact opposite Reducing by -2,1 % Increasing by 1,9 % Mostly seen into 1st quartile : Real Estate 7,4 % Hedge Funds 7,3 % 29