University of Washington

Transcription

1 University of Washington Quarterly Investment Performance Report University of Washington Investment Management Company Published November 2018

2 University of Washington Quarterly Investment Performance Report Table of Contents UW Financial Assets Overview Consolidated Endowment Fund (CEF) Asset Allocation CEF Performance Summary CEF Performance Update CEF Activity and Campus Support From Investments CEF Exposures Invested Funds Portfolio Summary

3 UW Financial Assets Overview 1 ($ Millions) Total Assets $5,650 Endowment & Similar Funds Operating 2 & Reserve Funds Endowment Funds $2,807 IF - Short & Intermediate-term Pools 3 $1,719 IF - Long-term Pool Endowment & IF - Capital Assets Pool Consolidated Endowment Fund $3,453 Similar Funds Bond Retirement & Building Funds 6 21 Life Income Trusts 109 $3,752 Operating & Bond Proceeds and Reserves 7 22 Outside Trusts 135 Reserve Funds Non-CEF Endowments 17 $1,898 Permanent Fund 4 38 $3,752 $1,898 1 Assets whose management falls under the auspices of the Finance & Asset Management Committee of the Board of Regents, excluding Metro Tract and Forest Trust Lands. 2 Invested Funds (IF) Long-term Pool holds units of the Consolidated Endowment Fund (CEF) valued at $647 million. To avoid double counting, the dollars are included only in the CEF total. 3 Excludes general operating account balances of $32 million held to meet the next day operating expense payments. 4 Proceeds from sale of land grants and subsequent investment returns on deposit with the state of Washington. 5 Invested Funds (IF) Capital Assets Pool (CAP) consists of UW internally financed projects. 6 Bond Retirement Fund and Building Fund on deposit with the state of Washington. 7 Debt service reserve funds and construction project funds which have not yet been disbursed. 1

4 CEF Asset Allocation ($ Millions) Total CEF $3,453 Absolute Return 19% Fixed Income 8% Emerging Equity 18% Current Allocation Emerging Equity $611 18% 17% Developed Equity 1,280 37% 30% Private Equity % 15% Real Assets 178 5% 5% Opportunistic 48 1% 3% Policy Target Range Capital Appreciation $2,536 73% 70% 55% - 85% Absolute Return % 19% Fixed Income 270 8% 11% Private Equity 12% Developed Equity 37% Capital Preservation $917 27% 30% 15% - 45% Consolidated Endowment Fund* $3, % * Uncalled capital commitments: 16% Opportunistic 1% Note: Percentages may not sum due to rounding. 2

5 CEF Performance Summary Rolling Year Returns (%) Fiscal Year 1 Returns (%) 1 Year 3 Year 5 Year 10 Year 20 Year CEF Return CEF Return Passive Benchmark Passive Benchmark Capital Appreciation Capital Appreciation MSCI ACWI (Net) MSCI ACWI (Net) Capital Preservation Capital Preservation BB/BC Intermediate Gov't Bond BB/BC Intermediate Gov't Bond % MSCI ACWI (Net) + 30% BB/BC Intermediate Government Bond Index 1 The University of Washington fiscal year runs from July 1st to June 30th 2 70% MSCI ACWI (Net) + 30% BB/BC Intermediate Government Bond Index Public Peers with Endowments $1-5 Billion Not available at time of publication. ($ Millions) $5,500 $5,000 $4,500 $4,000 $3,500 $3,000 $2,500 $2,000 $1,500 $1,000 $500 $0 Market Value and Distributions Over 20 Years CEF Campus Distributions CEF Market Value 3

6 CEF Performance Update Rolling Returns % Quarter CYTD 1 Year 5 Year 10 Year CONSOLIDATED ENDOWMENT FUND Passive Benchmark CAPITAL APPRECIATION MSCI ACWI (Net) Emerging Equity Developed Equity Opportunistic (started 7/1/2010) Subtotal MSCI ACWI (Net) Private Equity PE Benchmark Real Assets RA Benchmark CAPITAL PRESERVATION BB/BC Intermediate Government Bond Absolute Return Policy Benchmark Fixed Income BB/BC Intermediate Government Bond MARKET INDICES S&P MSCI EM (Net, USD) Citigroup 3 Month T-Bill % MSCI ACWI (Net) + 30% BB/BC Intermediate Government Bond Index 2 Reported on a quarter lag 3 Preliminary 4

7 CEF Activity and Campus Support ($ Millions) CEF Activity Rolling Years FYTD 2019 FY 2018 FY Year 5 Year 10 Year 20 Year Beginning Balance $3,407 $3,144 $2,968 $2,900 $2,450 $1,907 $702 Endowment Gifts ,302 Transfers Operating Funds 0 (0) (163) (188) Total Additions (61) ,806 Net Investment Return ,154 1,759 2,816 Distributions to Unit Holders (32) (121) (113) (351) (555) (934) (1,523) Internal Fees: Advancement (80 bps) (6) (24) (23) (70) (111) (190) (276) UWINCO (20 bps) (2) (6) (6) (18) (28) (48) (72) Ending Balance $3,453 $3,407 $3,144 $3,453 $3,453 $3,453 $3,453 Active Management Contribution Net Investment Return $59 $301 $378 $845 $1,154 $1,759 $2,816 Less: Passive Return 1 (101) (228) (351) (840) (933) (1,642) (2,148) Less: UWINCO (2) (6) (6) (18) (28) (48) (72) Net Active Management ($44) $67 $21 ($12) $193 $69 $596 Campus Support from Investments CEF Distributions to Unit Holders ,523 Advancement Support from CEF Invested Funds Distributions Total Campus Support $38 $195 $177 $562 $886 $1,535 $2, % MSCI ACWI (Net) + 30% BB/BC Intermediate Government Bond Index 2 Invested Funds Distributions are made annually in June. 5

8 CEF Exposures Exposure by Strategy Short-Term Liquidity as a % of CEF 2018 Emerging Developed PE RA * Absolute Return FI 2017 Emerging Developed PE RA * Absolute Return FI 80% 2016 Emerging Developed PE RA * Absolute Return FI 41% 60% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% PE = Private Equity; RA = Real Assets; * = Opportunistic; FI = Fixed Income 22% Weekly Monthly Quarterly 1 Year Geographic Exposure* Equity Sector Exposure EM Asia 14% Industrials 12% Information Technology 17% Communication 5% Materials 4% Utilities 2% North America 58% 2nd Quartile Dev Europe & Middle East 15% EM EMEA 2% EM LatAm 4% Dev Asia ex Japan 2% Healthcare 12% Financials 10% Energy 10% Real Estate 7% Consumer Discretionary 14% Consumer Staples 7% *Foreign currency exposure: 39%. 6

9 Invested Funds (IF) Portfolio Summary Returns (%) Fund Allocation By Pool Fund Allocation Duration (Years) Range Quarter 1 Year 3 Year 5 Year 10 Year $ Millions Actual Maximum Short & Intermediate Pools Short-term Pool 1 $1,247 50% 10%-40% Weighted Benchmark Intermediate-term Pool % 25%-60% Long-term Pool % 15%-45% IF excluding CAP IF excluding CAP $2,366 95% Weighted Benchmark Capital Assets Pool % 0%-15% Total Invested Funds Total Invested Funds $2, % Information Purposes Only 1 Short-term Pool includes $263M of restricted Supplemental Retirement Funds. 1 Capital Assets Pool (CAP) consists of UW internally financed projects. 2 Long-term Pool consists of CEF units and are included in the CEF market value. 3 Capital Assets Pool (CAP) consists of UW internally financed projects. Mix of Investments $30,000 Growth of $10,000: Impact of Long-term Pool (LTP) Mortgage Related 21% SRP 10% $25,000 $20,000 $24,974 $19,623 Long-term Pool 26% CAP 5% Cash 3% $15,000 $10,000 IF including LTP IF excluding LTP Treasury & Agencies 27% Asset Backed 6% Other 1% $5,000 $0 7