I-1. Periods ending September 30, 2013

Transcription

1 I-1 Preliminary i Investment t Performance Periods ending September 3, 13 Committee on Investments/ Investment Advisory Group November 5, 13

2 Contents Market Overview Performance Asset Allocation Total Fund Attribution Appendix November 5, 13

3 Market Overview: and Fixed Income Returns Risky assets outperformed during the quarter led by Non-U.S. Developed uities as the MSCI World ex-u.s. Index surged 11.3% High yield gained.3% for the quarter while core fixed income assets saw a mild increase of.% Capital Market Returns, periods ending 9/3/13 Q3-13 CYTD 1-Year (5) (1) (1.9) (1.7) (.) (.1) (.7) Russell 3 MS World ex-us MS Emg Mkt BC Agg Bond BC US High Yield JPM EMBI GD November 5, 13 3

4 UC Performance: Quarter and One Year All plan portfolios outpaced policy benchmarks For the quarter, UCRP outperformed by.3%, GEP outperformed by.8%, STIP outperformed by.3% and TRIP outperformed by.% For the one year, UCRP outperformed by 1.%, GEP outperformed by., STIP outperformed by 1.7% and TRIP outperformed by.% Gains within the plans were primarily a result of asset allocation and manager selection Returns for 3 Months ending Sep 3, 13 (%) UCRP GEP STIP TRIP ENTITY Plan Policy Bench Returns for 1 Year ending Sep 3, 13 (%) UCRP GEP STIP TRIP ENTITY Plan Policy Bench November 5, 13

5 UCRP Asset Allocation The primary active exposures for UCRP were: Overweights in and Real Estate Underweights in Fixed Income, Private, Cross Asset Class, and Asset Class UCRP Actual UCRP Policy Difference UCRP Long-Term UCRP $M Sept 3 Sept 3 Weight as of from Target as of as of Lower Upper Sep 3 13 Sep 3 13 Sept 3 Policy Mar 1 13 Sep 3 13 Bound (%) Bound (%) (%) (%) (%) (%) U.S. $11, Non-U.S. Developed 7, Emerging Market 3, Total, U.S. Fixed Income 5, (.) U.S. High Yield 1, Emerging Market Debt 1, (.35) , (.) Total Fixed Income 1, (1.9) Private 3, (.8) Absolute Return, (.5) Cross Asset Class 1, (.8) Opportunistic, (.91) 3... Real Estate Private, Real Estate Public (.) Total Alternatives 13, (1.7) Liquidity TOTAL $7, November 5, 13 5

6 GEP Asset Allocation The primary active exposures for GEP were: Overweights in, Private and Real Estate Underweights in Fixed Income, Absolute Return and Cross Asset Class Asset Class GEP Actual GEP Long-Term GEP Policy as of Difference from Sept 3 Sept 3 GEP $M as of Weight Sep 3 Target as of Sep 3 13 Sept 3 Policy Lower Upper Sep July 15 1 (%) (%) Bound (%) Bound (%) (%) (%) U.S. $1, (.) Non-U.S. Developed Emerging Market Total, U.S. Fixed Income (1.7) U.S. High Yield (.8) Emerging Market Debt (1.) (.1) Total Fixed Income (.5) Private Absolute Return 1, (.98) Cross Asset Class (.98) 5... Opportunistic (.38) Real Estate - Private Real Estate - Public (.5) Total Alternatives 3, Liquidity TOTAL $7, November 5, 13

7 TRIP Asset Allocation The portfolio transitioned to its new asset allocation during the quarter and its exposures at quarter end are below: Asset Class TRIP $M as of Sep 3 13 TRIP Actual Weight Sep 3 13 (%) TRIP Policy as of Sep 3 13 (%) Difference from TRIP Long-Term Sept 3 Sept 3 Policy Target as of Lower (%) Aug 1 13 (%) Bound (%) Sept 3 Upper Bound (%) U.S. $ (.9) Non-U.S. Developed Emerging Market Opportunistic (.13) Real Estate - Public Total, (.8) U.S. Fixed Income 1, (.) U.S. High Yield Emerging Market Debt (.1) Total Fixed Income 1, (.75)..5.5 Absolute Return (.1) Cross Asset Class Total Alternatives 1, Liquidity TOTAL $5, November 5, 13 7

8 8 UC Asset Class Performance UCRP Performance Periods ending Sep 3, 13 (%) QTD Val. Add CYTD Val. Add 1 Year Val. Add 8 () () () UCRP Performance Periods ending Sep 3, 13 (%) 3 Year Val. Add 5 Year Val. Add 1 Year Val. Add US Non US Emg Mkt US Fixed US High Inc Yld T Private IPS Abs Ret Opp Real Ass Priv Public ets RE RE US Non US Emg Mkt US Fixed Inc US High Yld T Private IPS Abs Ret Opp Real Ass Priv Public ets RE RE () () () 8 () GEP Performance Periods ending Sep 3, 13 (%) QTD Val. Add CYTD Val. Add 1 Year Val. Add 8 () () () GEP Performance Periods ending Sep 3, 13 (%) 3 Year Val. Add 5 Year Val. Add 1 Year Val. Add US Non US Emg Mkt US Fixed Inc US High Yld Private Abs Ret Opp Priv RE Public RE US Non US Emg Mkt US Fixed Inc US High Yld Private Abs Ret Oppp Priv RE Public RE () () November 5, 13 8

9 UCRP Performance Attribution for Quarter End Asset selection within Absolute Return and U.S. contributed t most to the 8 bps of outperformance during the quarter UCRP Attribution for 3 mo. ending Sep 3 13 (basis points) 3 5 Total impact (1) 5 (1) (1) 3 1 () 5 1 () () 1 15 (8) US Non US EM HY Debt Private Abs Ret Opp RE Private RE Public Cash Total Values in basis points (bps) Non US EM US EM HY Db Debt Debt Private Opp Real RE Abs Ret Assets Private *Allocation measures the impact of over/under weighting g an asset class relative to its policy target **Selection measures the impact of each asset class performing above/below its respective policy benchmark The numbers may not add due to rounding. RE Public Cash Total Allocation* 1 (1) 3 () (1) () () 1 Selection** 9 () (8) 3 () 1 1 (3) (1) () 18 Total impact 11 (1) (8) 5 (1) (1) 3 1 () 5 1 () () 8 November 5, 13 9

10 UCRP Performance Attribution for Last 1 Months Asset selection within nearly all asset classes contributed t to the 11 bps of outperformance 1 1 Total impact UCRP Attribution for 1 mo. ending Sep 3 13 (basis points) () 1 () 19 9 (1) 1 7 (1) () US Non US EM HY Debt Private Abs Ret Opp RE Private RE Public Cash Total Values in basis US Non US EM Private Opp Real EM HY Debt Abs Ret points (bps) Debt Assets *Allocation measures the impact of over/under weighting g an asset class relative to its policy target **Selection measures the impact of each asset class performing above/below its respective policy benchmark The numbers may not add due to rounding. RE Private RE Public Cash Total Allocation* 11 3 () 13 (1) 1 1 (1) 1 () () Selection** () 3 () 8 (11) 11 3 (1) 71 Total impact 8 () 1 () 19 9 (1) 1 7 (1) () 11 November 5, 13 1

11 GEP Performance Attribution for Quarter End Asset selection within Absolute Return and Opportunistic ti primarily contributed to the 8 bps of outperformance 9 8 Total impact GEP Attribution for 3 mo. ending Sep 3 13 (basis points) (5) (8) 1 () 17 1 US Non US EM HY Debt Private Abs Ret Opp RE Private RE Public Cash Total Values in basis points (bps) US Non US EM HY Debt EM Debt *Allocation measures the impact of over/under weighting g an asset class relative to its policy target **Selection measures the impact of each asset class performing above/below its respective policy benchmark The numbers may not add due to rounding. Private Abs Ret Opp Real RE Private RE Public Cash Total Assets Allocation* (1) (1) (1) (1) 1 11 Selection** 8 () (8) 1 (3) () () 1 (1) 3 () 7 Total impact 7 (5) (8) 1 3 () November 5, 13 11

12 GEP Performance Attribution for Last 1 Months Asset selection within most asset classes contributed t to the 15 bps of outperformance Total impact GEP Attribution for 1 mo. ending Sep 3 13 (basis points) (1) (1) (1) 15 US Non US EM HY Debt Private Abs Ret Opp RE Private RE Public Cash Total Values in basis Non US EM Private Opp Real US EM HY Debt Abs Ret RE Private RE Public points (bps) Debt Assets Cash Total Allocation* 1 1 (3) (1) 1 (1) Selection** (3) () 11 (1) 3 5 (1) 19 Total impact (1) (1) (1) 15 *Allocation measures the impact of over/under weighting g an asset class relative to its policy target **Selection measures the impact of each asset class performing above/below its respective policy benchmark The numbers may not add due to rounding. November 5, 13 1

13 TRIP Performance Attribution for Quarter End Asset allocation and selection within the active asset classes contributed to the 1 bps of outperformance during the transition period Total impact (3) US All (5) Non US (7) (8) EM IT RE TRIP Attribution for 3 mo. ending Sep 3 13 (basis points) 11 y Opp uit 7 (1) (1) Gov vt Cred dit Colla at HY YD 3 EM DEB BT 3 R A 1 1 CA AC al Tot Values in basis Non US Opp US All EM REIT points (bp) Govt Credit Collat HYD EM DEBT AR Total Allocation () (1) () (7) 3 (1) 1 3 (1) (9) Selection (1) () (1) (1) 9 (1) 1 () (1) 5 5 Total impact (3) (5) (7) (8) 11 (1) 7 (1) *Allocation measures the impact of over/under weighting g an asset class relative to its policy target **Selection measures the impact of each asset class performing above/below its respective policy benchmark The numbers may not add due to rounding. November 5, 13 13

14 Appendix November 5, 13 1

15 UC Performance: Longer Periods Diversification and Asset Allocation are important to long-term performance All UC Plans outperformed their benchmarks across all periods Returns for 3 Years ending Sep 3, 13 (%) Returns for 5 Years ending Sep 3, 13 (%) UCRP GEP STIP TRIP ENTITY UCRP GEP STIP TRIP ENTITY Returns for 7 Years ending Sep 3, 13 (%) Returns for 1 Years ending Sep 3, 13 (%) UCRP GEP STIP ENTITY UCRP GEP STIP ENTITY Plan Policy Bench November 5,

16 UCRP Risk Decomposition UCRP Asset Weights UCRP Total Risk Weights Cross Asset Class 3% Absolute Return % Private 7% % % HY Debt 3% Opportunistic % % Real Estate 5% U.S. % EM 7% Non-U.S. 17% Opportunistic Cross Asset Class 9% Absolute Return Pi Private 3% 9% HY Debt % Real Estate 3% EM Real Estate 5% % UCRP Active Risk Weights U.S. 3% Non-U.S. % U.S. % 9/3/13 UCRP Total Fund BENCH. PORTFOLIO ACTIVE RISK RISK RISK Total Fund Risk Budget Source: MSCI/Barra Inc. Risk weights are contribution to risk by asset class. - Opportunistic % Cross Asset Class 13% Absolute Return 9% Private 3% % Non-U.S. % EM 3% -% HY Debt % November 5, 13 1

17 GEP Risk Decomposition Opportunistic 8% Cross Asset Class % % GEP Asset Weights Real Estate 8% U.S. 15% Non-U.S. 3% Opportunistic Cross Asset Class % GEP Total Risk Weights Real Estate 9% U.S. 1% Non-U.S. % Absolute Return % Private 9/3/13 GEP Total Fund BENCH. RISK PORTFOLIO RISK % % ACTIVE RISK Total Fund Risk Budget Source: MSCI/Barra Inc. Risk weights are contribution to risk by asset class. EM 7% % HY Debt % Absolute Return Private 1% Real Estate % - Opportunistic % Cross Asset Class 1 Absolute Return 5% % HY Debt GEP Active Risk Weights Private % % % U.S. 35% EM Non-U.S. % EM % HY Debt % November 5, 13 17

18 TRIP Risk Decomposition Absolute Return 7% 5% High Yield Debt 5% Govt. % Credit 18% TRIP Asset Weights High Yield TRIP Total Risk Weights Cross Asset Class 1 U.S. 15% Real Estate Opportunistic Non-U.S. 8% EM 7% Credit % Debt 3% Govt. % Real Estate 3% Absolute Return Opportunistic 18% Cross Asset Class % EM 1% U.S. 5% Non-U.S. 1% 9/3/13 TRIP Cross Asset Class 3% TRIP Active Risk Weights Non-U.S. EM US U.S. - % Opportunistic % Real Estate 3 Total Fund BENCH. RISK PORTFOLIO RISK ACTIVE RISK Total Fund Risk Budget Source: MSCI/Barra Inc. Risk weights are contribution to risk by asset class. Absolute Return 19% HY Debt % Credit -% Govt. % November 5, 13 18