UNJSPF Investment Management Division Presentation for FAFICS

Transcription

1 UNJSPF Investment Management Division Presentation for FAFICS JULY 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 14 July 2017, with a preliminary year-to-date nominal return of per cent. 2

4 UNJSPF Asset Allocation Policy 30 June 2017 As of 30 June 2017: YTD nominal return 8.80% Market Value of Assets US$ 59,015,436,202 Asset Classes SAA 1 TAA 2 Actual 30 June 2017 Minimum Target Maximum Near-Term Minimum Near-Term Maximum Global Equities 3 50% 58% 69% 52% 64% 62.97% Real Assets 4 3% 9% 10% 4% 10% 6.79% Alternative Investments 5 0% 5% 10% 2% 8% 3.07% Global Fixed Income 19% 26.5% 37% 22% 31% 22.47% Cash & Short-term 0% 1.5% 6% 0% 6% 4.71% Total 100% 100% [1] SAA or Strategic Asset Allocation represents long-term asset allocation targets and ranges effective 1 August 2015, based on the 2015 ALM study. [2] TAA or Tactical Asset Allocation represents near-term asset allocation ranges. [3] Global Equities include Public Equity (including REITs), Minimum Volatility Equity and Green Equity strategies. [4] Real Assets include Real Estate, Infrastructure, and Timberland. [5] Alternative Investments include Private Equity and a modest allocation to Real Return Funds. Source: Preliminary numbers from the independent Master Record Keeper, Northern Trust. Note: Numbers may not total to 100 due to rounding. 3

5 ASSET ALLOCATION 1Q 2017 vs 2Q 2017 ASSET ALLOCATION 2017 (USD Billion) Mar-17 Jun-17 Equities 35,990 37,160 Real Assets 3,952 4,006 Alternative Investments 1,721 1,809 Sub-Total, Equity like 41,663 42,976 Fixed Income 12,959 13,262 Cash & Short Term 2,412 2,778 Sub-Total, Fixed Income 15,372 16,040 Market Value of Assets 57,035 59,015 TAA 2017 (%) SAA Mar-17 TAA Jun-17 TAA Equities 58.0% 63.1% 5.1% 63.0% 5.0% Real Assets 9.0% 6.9% -2.1% 6.8% -2.2% Alternative Investments 5.0% 3.0% -2.0% 3.1% -1.9% Sub-Total, Equity like 72.0% 73.0% 1.0% 72.8% 0.8% Fixed Income 26.5% 22.7% -3.8% 22.5% -4.0% Cash & Short Term 1.5% 4.2% 2.7% 4.7% 3.2% Sub-Total, Fixed Income 28.0% 27.0% -1.0% 27.2% -0.8% TOTAL 100.0% 100.0% 0.0% 100.0% 0.0% Source: MRK Northern Trust 4

6 MARKET VALUE OF ASSETS Billions US dollars UNJSPF (US$ Billions) June 2017 Source: Independent MRK - Northern Trust 5

7 REAL RETURN (Inflation Adjusted) - Preliminary Through 30 June UNJSPF Real Return excess of 3.5 % Long-term Investment Objective through 30 June (2.0) (0.8) (0.7) (4.0) 1 Year 2 Years 3 Years 4 Years 5 Years 10 Years 15 Years 20 Years 25 Years 50 Years 1 Year 2 Years 3 Years 4 Years 5 Years 10 Years 15 Years 20 Years 25 Years 50 Years UN Nominal Return % US CPI UN Real Return (Inf. Adj.) % Excess Return (3.5%) (0.8) (0.7) Source: Independent MRK - Northern Trust 6

8 PERFORMANCE VERSUS POLICY BENCHMARK 30 JUNE 2017 Per cent QTD YTD 1 Yr 3 Yr 5 Yr 7 Yr 10 Yr Total Fund UN Policy benchmark Difference Source: Independent MRK - Northern Trust Note: Numbers shown above are the Fund s preliminary performance numbers from the independent Master Record Keeper. As of 2Q 2017, the UN Policy benchmark return does not include the NCREIF ODCE benchmark return. 7

9 Calendar Year UNJSPF Annual Return (CY) % UN Policy Benchmar k Return (CY) % Relative Performanc e % US CPI Real Return % In Excess of 3.5% MVA (Billions USD) LONG-TERM PERFORMANCE Change YoY Statistics Average Median Stanard Deviation MAX MIN Positive Negative Positive % 73% 73% 55% 73% 64% 71% Negative % 27% 27% 45% 27% 36% 29% % Source: Independent MRK - Northern Trust Accumulation MVA from CY 1995 to CY 2016 (in Billions USD): Average per annum (in Billions USD): Outperforming both relative and real in the same year: % 8

10 FUND PERFORMANCE ATTRIBUTION 2Q 2017 UNJSPF - INVESTMENT MANAGEMENT DIVISION RISK & PERFORMANCE DASHBOARD FUND PERFORMANCE AND ATTRIBUTION 30 June Months 12/31/2016YTD 1 Year 3 Years 5 Years 10 Years 2Q17 1Q17 YTD 1 Yr. 3 Yrs. 5 Yrs. 10 Yrs. Total Fund Performance* UN Policy Benchmark Performance * Relative Performance 0.09 (0.13) (0.04) (0.01) (0.43) Equity Impact Restrictions Tobacco (0.00) (0.03) (0.04) (0.02) Armaments (0.04) (0.02) (0.06) (0.03) (0.17) (0.12) (0.10) Equity Restrictions Total Impact (0.04) (0.05) (0.10) 0.03 (0.16) (0.11) (0.12) Total Fund Net Relative Performance 0.13 (0.08) 0.06 (0.04) (0.27) Total Attribution by Asset Class Public Equity (0.08) (0.03) (0.12) (0.01) Equity Restrictions (Tobacco and Armaments)** (0.03) Net Public Equity (0.04) 0.02 (0.02) (0.03) Fixed Income (0.12) 0.21 (0.07) Real Assets (0.15) (0.10) (0.10) Alternative Investments 1 (0.05) (0.23) (0.30) (0.43) (0.07) (0.08) (0.04) Cash & Short Term (0.07) (0.12) (0.20) (0.29) (0.22) (0.07) 0.05 Net Relative** 0.13 (0.09) 0.04 (0.05) (0.32) Tactical Asset Allocation (0.11) Selection (0.04) (0.25) (0.30) (0.35) (0.34) (0.25) (0.24) Residual (0.00) Restriction (0.03) Total Attribution*** 0.13 (0.08) 0.06 (0.04) (0.27) Currency Contribution**** Fund Currency Contribution (0.25) (2.75) (1.77) (0.82) UN Policy Benchmark Currency Contribution (0.50) (2.80) (1.94) (0.54) Net Currency Contribution (0.00) (0.02) (0.02) (0.28) Source: Independent MRK - Northern Trust Source : Independent M RK, Northern Trust 1 Note: The risk and performance dashboard is for Total Fund attribution. For Total Fund attribution, NT applies a cash flow 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 recommend not to use Total Fund attribution to gauge Alternative Investments (private equity) and Real Assets (real estate) performance. *The Fund's returns are preliminary for the 2Q17. The Real Estate benchmark is preliminary and includes the 25bps quarterly hurdle rate. This calculation is built into the Policy benchmark. ** Equity restrictions is the impact of not investing in Tobacco and Armaments. *** This does not include the residual. **** The currency contribution returns shown are the arithmetic difference between base returns in USD and local currency returns. 9

11 PERFORMANCE ATTRIBUTION ANALYSIS TOTAL FUND BY ASSET CLASS 2Q 2017 United Nations Joint Staff Pension Fund A.1. Total Fund By Asset Class As of June 30, 2017 Strategic Asset Allocation - 3/31/17-6/30/17 Weight Base Return Local Return Currency Contribution Attribution Categories UNJSPF Ending Weight Policy Benchmark Ending Weight Difference UNJSPF Benchmark Difference Total UN Fund (0.0) (0.00) 0.13 (0.06) 0.07 Total Public Equity (0.21) (0.19) (0.01) 0.04 (0.13) (0.09) Real Assets (2.2) Alternative Investments (1.9) (0.57) (0.48) (0.04) (0.02) (0.07) Long Term Fixed (4.0) (0.12) Cash & Equivalents (1.41) (1.48) (0.01) (0.07) (0.08) UNJSPF Benchmark Difference UNJSPF Benchmark Difference Asset Alloc Stock Sel Total Attribution * The Fund's returns are preliminary for 2Q17. The Real Estate benchmark is preliminary and includes the 25bps quarterly hurdle rate. This calculation is built into the Policy benchmark. * 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). 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