UNJSPF Investment Management Division Presentation for AFICS NY Annual Assembly

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1 UNJSPF Investment Management Division Presentation for AFICS NY Annual Assembly JUNE 2017

2 UNJSPF PERFORMANCE DISCLAIMER Data in this presentation is based upon unaudited preliminary numbers from Northern Trust, Advisors, Bloomberg, MSCI Barra and other different market sources. Some of the performance data may not reconcile, since these reports are not all published on the same day and preliminary results change over time before being finalized. Real Assets and Private Equity returns are reported on a lagged-quarter basis. 1

3 Introduction Market volatility continues to be high, due to Central Bank and political events (such as Central Bank announcements and election outcomes). Broad diversification across markets and asset classes has dampened the overall impact of this volatility on the Fund. We are focused on the long-term, and we believe that we are well positioned relative to our objectives. The Fund s Market Value of Assets was $ billion as of 26 June 2017, with a year-to-date nominal return of 9.18 per cent. 2

4 UNJSPF Asset Allocation Policy 31 Mar

5 ASSET ALLOCATION 4Q 2016 vs 1Q 2017 ASSET ALLOCATION 2017 (USD Billion) Dec-16 Mar-17 Equities 34,363 35,990 Real Assets 3,894 3,952 Alternative Investments 1,625 1,721 Sub-Total, Equity like 39,883 41,663 Fixed Income 12,403 12,959 Cash & Short Term 2,146 2,412 Sub-Total, Fixed Income 14,550 15,372 Market Value of Assets 54,432 57,035 TAA 2017 (%) SAA Dec-16 TAA Mar-17 TAA Equities 58.0% 63.1% 5.1% 63.1% 5.1% Real Assets 9.0% 7.2% -1.8% 6.9% -2.1% Alternative Investments 5.0% 3.0% -2.0% 3.0% -2.0% Sub-Total, Equity like 72.0% 73.3% 1.3% 73.0% 1.0% Fixed Income 26.5% 22.8% -3.7% 22.7% -3.8% Cash & Short Term 1.5% 3.9% 2.4% 4.2% 2.7% Sub-Total, Fixed Income 28.0% 26.7% -1.3% 27.0% -1.0% TOTAL 100.0% 100.0% 0.0% 100.0% 0.0% Source: MRK Northern Trust 4

6 Billions US dollars MARKET VALUE OF ASSETS UNJSPF (US$ Billions) Mar-17 From independent Master Record Keeper : Northern Trust. Generated on 4 May 2017 Numbers are preliminary and are subject to change. 5

7 REAL RETURN (Inflation Adjusted) - Preliminary Through 31 Mar 2017 Source: Independent MRK - Northern Trust. 6

8 Performance versus Policy Benchmark through 31 March

9 Calendar Year UNJSPF Annual Nominal Return (CY) % UN Policy Benchmark Return (CY) % Relative Performance % US CPI Real Return % In Excess of 3.5% End of Period MVA (Billions USD) LONG-TERM PERFORMANCE Q2017 Change (USD) Q 2017* N/A N/A N/A Statistics Average Median Standard Deviation MAX MIN Positive Years Negative Years Positive % 73% 73% 55% 73% 64% 71% Negative % 27% 27% 45% 27% 36% 29% % Accumulation AuM from CY 1995 to CY 2016 (in Billions USD): Average per annum (in Billions USD): Outperforming both relative and real in the same year: 7 32% * Quarterly returns for this period are not included in the annual statistics and are preliminary numbers for the plan and index. 8

10 FUND PERFORMANCE ATTRIBUTION 1Q

11 PERFORMANCE ATTRIBUTION ANALYSIS TOTAL FUND BY ASSET CLASS 1Q 2017 United Nations Joint Staff Pension Fund A.1. Total Fund By Asset Class As of March 31, 2017 Strategic Asset Allocation - 12/31/16-3/31/17 Weights Base Return Currency Contribution Attribution Categories UNJSPF Ending Weight Benchmark Weight Difference UNJSPF Benchmark Difference UNJSPF Benchmark Difference Asset Alloc Stock Sel Total Attribution Total UN Fund (0.0) (0.01) 0.14 (0.15) 0.00 Total Public Equity (0.21) (0.06) 0.11 (0.13) (0.03) Real Assets (2.1) Alternative Investments (2.0) (0.58) (0.07) (0.16) (0.23) Long Term Fixed (3.9) Cash & Equivalents (0.04) (0.18) (0.12) (0.00) (0.12) * The currency contribution returns shown are the arithmetic difference between base returns in USD and local currency returns. * Returns included in this report (except real estate) are calculated gross of management and custody fees. Gross of fees returns are calculated after the deduction of trading expenses (broker commissions, SEC fees, fx fees, etc) as required by the Global Investment Performance Standards (GIPS). * The Real Estate benchmark is the NFI-ODCE Index which is only updated quarterly. The UNJSPF real estate returns contribute to the plans total return monthly, therefore there are inconsistent in the real estate asset class for month end periods that do not coincide with quarter end periods. * Real Estate and Private Equity returns shown are reported net of management fee. Management fees are accrued and deducted by investment managers. * Fixed Income local return was created by Northern Trust weighting the Barclay's Global Aggregate monthly country returns. This was used to calculate the Bond Benchmark currency contribution. * Some external managers report performance after IMD/NT cut-off date for reporting * Note: The risk and performance dashboard is for Total Fund attribution. For Total Fund attribution, NT applies an adjusted valuation methodology for private equity and real estate to roll up individual asset class returns to the Total Fund, using Time Weighted Returns (TWR) methodology. We strongly recommended not to use Total Fund attribution to gauge private equity and real estate performance. 10

12 THEMES DRIVERS OF PERFORMANCE Currency Effect Central Bank Actions Active vs. Passive Negative Yield Political Events: Elections/Referendum Duration 11

UNJSPF Investment Management Division Presentation for FAFICS

UNJSPF Investment Management Division Presentation for FAFICS JULY 2017 UNJSPF PERFORMANCE DISCLAIMER Data in this presentation is based upon unaudited preliminary numbers from Northern Trust, Advisors,