University of Washington

Transcription

1 University of Washington Investment Performance Report to UWINCO Fourth Quarter Fiscal Year 200 As of June 30, 200 Treasurer Board of Regents Treasury Office Published August 200

2 Table of Contents Treasury Assets.... Asset Allocation... 2 Consolidated Endowment Fund... 3 Performance Update... 4 Invested Funds... 5 Global Equity... 6 Non-Marketable Alternatives... 7 Real Assets... 8 Absolute Return... 9 Fixed Income... 0 Consolidated Endowment Fund Spending Update... Glossary... 2

3 Treasury Assets As of June 30, 200 $3.2 Billion Dollars in Millions Endowment & Similar Funds $,984 Operating & Reserve Funds $,96 Endowment & Similar Funds Endowment Funds $,475 Operating Funds 355 Consolidated Endowment Fund,830 Life Income Trusts 66 Outside Trusts 46 Non-CEF Endowments 2 Permanent Fund 6 30 $,984 Operating & Reserve Funds Invested Funds 2, 3 $,069 Bond Retirement Fund 4 22 Building Fund 4 20 Debt Service Reserve Funds 5 2 Bond Proceeds 7 73 $,96. Includes assets whose management falls under the auspices of the Finance & Audit Committee of the Board of Regents. Excludes Metro Tract and Forest Trust Lands. All dollar amounts are expressed in millions and represent market values. 2. The Invested Funds holds Consolidated Endowment Fund units valued at $355. To avoid double counting, the dollars are included only in the CEF totals. 3. In June 2002, the Board of Regents authorized the establishment of a captive insurance company, Portage Bay Insurance(PBI). The previous insurance vehicle, the Self Insurance Revolving Fund (SIRF), will close after existing claims are resolved. Current balances: PBI $72.6 & SIRF $ General obligation bond reserve fund on deposit with the state of Washington. 5. Required reserve funds for locally issued bonds (TSB Properties $., Twenty Fifth Ave Prop $2.4, 2004 Parking $.4, 2002 Housing & Dining $.5, 2004 Housing & Dining $0.6, Roosevelt $2.3 and Roosevelt 2 $2.0 & Commodore Duchess $0.6) 6. Proceeds from sale of land grants and subsequent investment returns on deposit with the state of Washington. 7. Construction project funds which have not yet been disbursed.

4 2 Asset Allocation As of June 30, 200 Consolidated Endowment Fund $,830 Million Fixed Income 3 3% Non- Marketable Alternatives 5% Absolute Return 20% 4% Real Assets 0% Domestic Equity % Developed 7% Dollars in Millions Current Allocation 2 Policy Target Policy Range Non-Marketable Alternatives $273 5% 2% 5% 25% Global Equity Markets $26 4% 3% 5% 35% Developed Markets $298 7% 6% 5% 35% Domestic Equity $204 % 5% 5% 35% Equity Fund $,036 57% 56% 45% 75% Real Assets Fund $75 0% 5% 5% 25% Absolute Return $378 20% 8% 5% 25% Fixed Income Fund 3 $24 3% % 5% 35% Total Consolidated Endowment Fund $,830 00% exposure: 38%; net foreign currency exposure: 34%. 2 Current exposure percentage may not add to 00% due to rounding. 3 Includes allocation to cash.

5 3 Consolidated Endowment Fund (CEF) For the Quarter ending June 30, 200 Total Returns (%) Activity (in Millions) 4 th Qtr FY 200 -Year 5-Year 0-Year Total CEF Return Strategy Weighted Policy Benchmark Equity Fund Weighted Policy Benchmark Real Assets Fund Policy Benchmark Absolute Return Fund Policy Benchmark Fixed Income Fund Policy Benchmark (BC Govt Bond) FY 200 FY 2009 FY Years 0 Years 5 Years Beginning Balance $,649 $2,6 $2,074 $,359 $,47 $440 Gifts Transfers Total Additions Operating Funds Purchases Net Investment Return 20 (55) ,226 Distributions (59) (75) (94) (379) (655) (755) Administrative Fees (4) (4) (4) (8) (29) (35) Advancement Support (4) (4) (7) (72) (08) (0) Ending Balance $,830 $,649 $2,6 $,830 $,830 $,830 Net Change $8 ($52) $88 $47 $683 $,390 Average Annual Compound Return Restated UW & Cambridge Associates Returns for periods ending 6/30/0 Market Value (in Billions) $.8 $ Data not available.5 at press time Cambridge Associates College and University Investment Pool Top 50 (by Investment Pool Market Value) Reflects inclusion of IF units in CEF starting 7/0 value without would be $.5 0.0

6 4 Performance Update Sources: Cambridge Associates and State Street Total Return: average annual compound return (dividend or interest plus capital appreciation or depreciation) 2 Provided by Cambridge Associates on a quarter lag. 3 New strategies reflecting data starting 7//2008. Total Return As of 6/30/0 4 th Qtr FY 0 Year 3 Years 5 Years 0 Years Consolidated Endowment Fund Equity Fund Non-Marketable Alternatives Global Equity Markets Developed Markets Domestic Equity Real Assets Fund Absolute Returns Fund Fixed Income Fund Public Market Indices Equity Indices S&P MSCI ACWI Russell NASDAQ NAREIT Dow Jones Industrial Average MSCI EAFE MSCI EMF Fixed Income Indices BC Government Bond CG World Bond Index(unhedged to USD)

7 5 Invested Funds (IF) For the Quarter ending June 30, 200 Total Return (%) Fund Allocation by Pool ($ in Millions) Average Annual Compound Return 4 th Qtr Duration FY 200 -Year 5-Year 0-Year Fund Allocation Range Actual Maximum Cash Cash Pool $378 27% 0% 40% 0.3 yrs 3.0 yrs Citi 2 Yr Treasury Liquidity Liquidity Pool $690 48% 30% 60% 3.3 yrs 4.2 yrs LB Intermediate Government Bond IF excluding CEF units Total Cash & Liq. Pool $,069 75% Weighted Benchmark IF including CEF units CEF Units held by IF 25% 5% 40% Weighted Benchmark Total Invested Funds 00% Mix of Investments CEF Units 25% Market Value ($ in Billions) Invested Funds including CEF units 6/30/0) Invested Funds excluding CEF units 6/30/0) $ Government & Agencies 45% Mortgage- Related % Cash Equivalents 5% Corporate Bonds: % Asset-Backed Securities: 3%

8 6 Global Equity Strategy For the Quarter ending June 30, 200 ($763 Million) Total Return (%) Market Exposure $,830 Million Average Annual Compound Return 2 New strategy reflecting data starting 7//08 4 th Qtr FY 200 -Year 5-Year 0-Year Global Equity Policy Benchmark (MSCI ACWI) Markets MSCI EMF Developed Markets MSCI EAFE Domestic Equity Russell G L O 4% Non- Marketable Alternatives 5% B A Fixed Income 3% L E Q Developed 7% U I T Absolute Return 20% Y Domestic Equity % Real Assets 0% 48 Country Allocation (%) Sector Distribution (%) Global Equity ACWI Global Equity ACWI North America Asia Pacific Developed Europe Asia EMEA Latin America Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecom Services Utilities

9 7 Non-Marketable Alternatives Strategy For the Quarter ending June 30, 200 ($273 Million) Total Return (%) Asset Allocation $,830 Million 4 th Qtr FY 200 -Year 5-Year 0-Year Non-Marketable Alternatives Policy Benchmark Venture Capital CA VC Fund Universe Private Equity CA PE Fund Universe Based on time-weighted returns provided by Cambridge Associates on a quarter lag. 2 60% Cambridge Associates Venture Capital Fund Universe plus 40% Cambridge Associates Private Equity Fund Universe 3 US Buyouts, Non-US Private Equity, Opportunistic Venture Capital: 6% Domestic Equity % Developed 7% Real Assets 0% Non- Market- 4% able Alternatives 5% US Buyout: 5% Absolute Return 20% Fixed Income 3% Non US Private Equity: 3% Opportunistic: % Market Exposure by Investment Stage Market Exposure by Investment Sector (Exposures : 29%, Northwest: 7%) Buyout 42% Hardware/ Electrical 5% Healthcare/ Biotech 26% Public 4% Distressed 6% Early 4% Expansion/ Late 5% Seed/ Start Up 8% Distressed 6% Financial Services 7% Software 8% Manufacturing/ Other 5% Consumer/ Retail 7% Information Technology 6%

10 8 Real Assets Strategy For the Quarter ending June 30, 200 ($75 Million) Total Return (%) Asset Allocation $,830 Million 4 th Qtr FY 200 -Year 5-Year 0-Year Real Assets Policy Benchmark Private Funds Benchmark Public Funds Benchmark Average Annual Compound Return 2. Private components + Public components 3. Based on time-weighted returns provided by Cambridge Assoc. on a quarterly basis 3. Private components: 50% NCREIF + 30% CA Oil & Gas 4. Public components: 0% NAREIT + 0% GSCI Fixed Income 3% Absolute Return 20% NonMarketable Alternatives 5% Real Assets 0% 4% Developed 7% Domestic Equity % Private Funds: 7% Public Funds: 3% Private Funds Strategy Commitments by Sub-Sector $37 Million ($80 Million unfunded) as of June 30, 200 Market Exposure by Investment Sector ( Exposure 23%) Actual Policy Benchmark Energy 48% Timber: 3% Natural Resources 5% Real Estate 60% Real Estate 49% US: 29% Japan: 8% Other 6% India: 3% Greater China: 2% Western Europe: % Real Estate 49% Commodities 0% Natural Resources 30% Market exposure of private funds provided on a quarter lag basis

11 9 Absolute Return Strategy For the Quarter ending June 30, 200 ($378 Million) Total Return (%) 4 th Qtr FY 200 -Year 5-Year 0-Year Absolute Return Strategy Policy Benchmark Hybrid HFRI FOF: Diversified Index Equity HFRI Equity Hedge (Total) Index Credit HFRI RV Fixed Income-Corp Index Asset Allocation $,830 Million NonMarketable Alternatives 5% Fixed Income 3% 4% Absolute Return 20% Developed 7% Domestic Equity % Real Assets 0% Average Annual Compound Returns new strategy reflecting data starting 7// % MSCI ACWI plus 80% (3-month T-Bill + 4%) Hybrid: % Credit: 7% Equity: 2%

12 Total Return (%) Fixed Income Strategy * For the Quarter ending June 30, 200 ($24 Million) Asset Allocation $,830 Million Average Annual Compound Return 2 Includes Relative Value 4 th Qtr FY 200 -Year 5-Year 0-Year Fixed Income Policy Benchmark (BC Govt Bond) Domestic Fixed Income BC Government Bond Cash Month T-Bill % NonMarketable Alternatives 5% Developed 7% Fixed Income 3% Domestic Equity % Real Assets 0% Absolute Return 20% Sector Distribution (%) Risk Characteristics: Quality Distribution (%) Mortgage- Related Asset Backed Securities 8 9 TSY AGY AAA 6% 27% 44% Cash and Cash Equivalents 6 AA A 7% 9% Corporate 26 BBB 2% Government and Agencies 42 CCC NR 0% 5% * Includes allocation to cash 0

13 Consolidated Endowment Fund Spending Update For the Quarter ending June 30, 200 Interim Policy, Approved 3/9/09 Reduce CEF distributions 25% in FY09 and another 25% in FY0. Thereafter, hold constant until reviewed by Board of Regents (no later than 6/30/3). Current and Projected Results of Interim Policy $ = 000 s FY 2008 FY 2009 FY 200 Beginning Market Value $2,073,59 $2,6,438 $,649,59 Distributions $94,34 $75,478 $59,05 Effective Spending Rate 4.5% 3.5% 3.6% Administrative Fees 2 $2,33 $8,004 $7,908 Effective Spending Rate Including Fees 5.6% 4.3% 4.7% Total Return 2.0% -23.7% 2.4% Actual distributions are administered on a quarterly and per unit basis. New gifts are added quarterly and receive payouts at the next distribution date. Therefore, year over year declines cannot equal 25%. 2 Administrative fees supporting Advancement (80 bps) and Treasury (20 bps) operations paid quarterly based on prior quarters market value. Quarterly Market Values and Additions $ = 000 s Value Additions Additions as % 07//2008 $2,6,438 $34,3.6% 0//2008 $,90,352 $26,87.4% 0//2009 $,67,60 $20,809.3% 04//2009 $,55,209 $2,94 0.8% 07//2009 $,649,59 $, % 0//2009 $,776,688 $7, % 0//200 $,840,054 $7,0 0.9% 04//200 $,897,286 $,65 0.6% 07//200 $,850,87 $20,34.% Per Unit Distributions FY 08 FY Year-Over-Year Payout Per Unit Change FY08 Four Quarter Total $4.76 NA FY09 Four Quarter Total $ % FY0 Four Quarter Total $ % FY Four Quarter Total $ % FY09 per unit payouts were 25% less than FY08 payouts. FY0 per unit payouts will be 25% less than FY09 payouts. FY per unit payouts will equal FY0 payouts.

14 2 Benchmarks Consolidated Endowment Fund Policy Benchmark: Policyweighted blend of indices at the strategy level. Invested Funds Weighted Benchmark: A weighted average of the specific benchmarks assigned to the Cash Pool, Liquidity Pool and CEF units held by IF. Indices - Domestic Cambridge Associates U.S. Venture Capital Index is based on return data compiled on funds representing over 80% of the total dollars raised by U.S. venture capital managers since 98. Cambridge Associates U.S. Private Equity Index is based on returns data compiled on funds representing over 70% of the total dollars raised by U.S. leveraged buyout, subordinated debt and special situation partnerships formed since 986. Cambridge Associates Oil & Gas Index. This index, formed in 986, is a subset of Cambridge Associates larger Natural Resources Index. Dow Jones Industrial Average is the best known U.S. index of stock. A price-weighted average of 30 actively traded bluechip stocks, primarily industrials including stocks that trade on the New York Stock Exchange. Goldman Sachs Commodities Index (GSCI) is a composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Barclays Capital (BC) Government Bond Index: The BC Government Bond Index includes all bonds in Barclays Capital s Treasury and Agency Bond indices and aims to Global Equity Strategy Absolute Return Non-Marketable Alternatives Real Assets Fixed Income MSCI ACWI 20% MSCI ACWI Plus 80% (3-Month T-Bills +4%) Glossary measure the total return of the domestic, taxable government bond market. The Treasury Bond Index includes all public obligations guaranteed by the US government. Mortgagebacked securities are not included in the BC Government Index. Barclays Capital Intermediate Government Bond Index: The index is a subindex of the Barclays Capital Government Bond Index and is composed of the intermediateterm ( 0 year maturity) component of that index. NAREIT Property Index. The index is a subset of the NAREIT Composite index that includes all publicly traded REITs in property sectors. NASDAQ (National Association of Securities Dealers Automatic Quotation System) is an electronic quotation system that provides price quotations to market participants about the more actively traded common stock issues in the over the counter market. NCREIF Property Index. The index measures the performance of institutional real estate investments. It includes properties with leverage, but all returns are reported on an unleveraged basis. Russell 3000: The index measures the performance of the 3000 largest US companies as determined by market capitalization. Currently these 3000 company stocks represent approximately 98% of the investable US equity market. Only common stocks belonging to corporations domiciled in the US and its territories are included. The index is a good measure of the broader market. S&P 500 Index: The S&P 500 Index is designed to replicate the broad industry groupings of all issues listed on the New 40% Cambridge Associates Venture Capital Fund Universe 60% Cambridge Associates Private Equity Fund Universe Private Real Assets: 50% NCREIF + 30% CA Oil & Gas plus Public components: 0% NAREIT + 0% GSCI Index Barclays Capital Government Bond Benchmark York Stock Exchange and to reflect the price movement of common stocks in general. Indices - Citigroup World Government Bond Index (unhedged to USD): This Index includes the most significant and liquid government bond markets globally that carry at least an investment grade rating. Currently, this includes all countries in the Citigroup EMU Governments Index (EGBI) and Australia, Canada, Denmark, Japan, Sweden, Switzerland, United Kingdom and the United States. Index weights are based on the market capitalization of qualifying outstanding debt stocks. The unhedged index reflects the local return including the effect of changes in local currency values. Morgan Stanley Capital Inc. All Country World Index (MSCI ACWI): Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of January 2009 the MSCI ACWI consisted of 46 country indices comprising 23 developed and 23 emerging market country indices. Morgan Stanley Capital Inc. Europe, Australia, Far East (MSCI EAFE) Index represents free float-adjusted market capitalization of 2 developed countries. The objective of the index is to measure, in US dollars, the performance of the developed stock markets of the world, excluding U.S. and Canada. Since the index is measured in U.S. dollars and is unhedged, it will reflect shifts in the value of foreign currencies versus the dollar.. Morgan Stanley Capital Inc. Markets Free Index (MSCI EMF): A market capitalization weighted benchmark index made up of equities in emerging countries. University of Washington Investment Performance Report is produced on a quarterly basis by: Treasury Office University of Washington 43 th Avenue NE, Suite 600 Campus Mail: Box Seattle, Washington If you would like additional copies or have questions concerning this report, please contact Laurene Fenno, (206)