InFaith Community Foundation - Income Portfolio March 2017 Investment Performance Report

Transcription

1 InFaith Community Foundation - Income Portfolio March 2017 Investment Performance Report

2 InFaith Community Foundation - Income Portfolio March 2017 Investment Performance Report

3 Copyright 2017 by Cambridge Associates ( CA ). All rights reserved. Confidential. This report may not be displayed, reproduced, distributed, transmitted, or used to create derivative works in any form, in whole or in portion, by any means, without written permission from CA. Copying of this publication is a violation of U.S. and global copyright laws (e.g., 17 U.S.C. 101 et seq.). Violators of this copyright may be subject to liability for substantial monetary damages. The information and material published in this report are confidential and non-transferable. Therefore, recipients may not disclose any information or material derived from this report to third parties, or use information or material from this report, without prior written authorization. This report is provided for informational purposes only. It is not intended to constitute an offer of securities of any of the issuers that may be described in the report. No part of this report is intended as a recommendation of any firm or any security, unless expressly stated otherwise. Nothing contained in this report should be construed as the provision of tax or legal advice. Past performance is not indicative of future performance. Any information or opinions provided in this report are as of the date of the report and CA is under no obligation to update the information or communicate that any updates have been made. Information contained herein may have been provided by third parties, including investment firms providing information on returns and assets under management, and may not have been independently verified. CA can neither assure nor accept responsibility for accuracy, but substantial legal liability may apply to misrepresentations of results made by a manager that are delivered to CA electronically, by wire, or through the mail. Managers may report returns to CA gross (before the deduction of management fees), net (after the deduction of management fees), or both. An explanation of how CA calculates adjustments to returns based on fees can be found in the Methodology and Calculations section. CA includes the following: Cambridge Associates, LLC, a Massachusetts limited liability company with offices in Arlington, VA; Boston, MA; Dallas, TX; Menlo Park, CA; and San Francisco, CA. Cambridge Associates Fiduciary Trust, LLC, a New Hampshire limited liability company chartered to serve as a non-depository trust company, and a wholly-owned subsidiary of Cambridge Associates, LLC. Cambridge Associates Limited, a limited company in England and Wales No authorised and regulated by the Financial Conduct Authority in the conduct of Investment Business. Cambridge Associates Limited, LLC, a Massachusetts limited liability company with a branch office in Sydney, Australia (ARBN ). Cambridge Associates Asia Pte Ltd, a Singapore corporation (Registration No G), and Cambridge Associates Investment Consultancy (Beijing) Ltd, a wholly owned subsidiary of Cambridge Associates, LLC registered with the Beijing Administration for Industry and Commerce (Registration No ). We recommend that you compare the values shown in this report with the records/statements of your custodian, administrator or investment managers in whose products you are invested.

4 Table Of Contents - March 2017 (USD) Portfolio Summary Target Allocation Sleeve Performance Over Time Investment Performance Over Time Allocation Over Time Table Performance Contribution Endnotes Appendix

5 Portfolio Summary - March 2017 (USD) MARKET VALUE $19,493,829 PERFORMANCE (%) Description Total Assets BBG Barc Aggregate Bond Index Value Add Quarter To Date (%) Cumulative 1 Year (%) 3 Year (%) 5 Year (%) Since Inception (%) ALLOCATION (%) Description Fixed Income Market Value Mar 2017 (M) 19.5 Allocation Target Mar 2017 (%) Long Term (%) Target Variance (%) 0.0 Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Returns less than one year are cumulative. Asset values include managers' discretionary cash. Totals may not sum due to rounding. 1

6 Target Allocation - March 2017 (USD) Description Total Assets Fixed Income Market Value Mar 2017 (M) Allocation Mar 2017 (%) Target Long Term (%) Target Variance Amount Target Variance (%) Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Asset values include managers' discretionary cash. Target variance equals actual allocation minus target allocation. Totals may not sum due to rounding. 2

7 Sleeve Performance Over Time - March 2017 (USD) Description Total Assets BBG Barc Aggregate Bond Index Value Add Fixed Income BBG Barc Aggregate Bond Index Value Add Inception Date Market Value Mar 2017 (M) Quarter To Date (%) Cumulative 1 Year (%) 3 Year (%) 5 Year (%) Since Inception (%) Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Returns less than one year are cumulative. Totals may not sum due to rounding. 3

8 Investment Performance Over Time - March 2017 (USD) Inception Date Description Total Assets BBG Barc Aggregate Bond Index Value Add Fixed Income BBG Barc Aggregate Bond Index Value Add Thrivent Gov. Bond Fund Thrivent Gov. Bond Fund Value Add BM1 Market Value Mar 2017 (M) Quarter To Date (%) Cumulative 1 Year (%) 3 Year (%) 5 Year (%) Since Inception (%) Thrivent Income Fund BBG Barc Aggregate Bond Index Value Add 7.6 Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Returns less than one year are cumulative. Totals may not sum due to rounding. 4

9 Allocation Over Time - March 2017 (USD) Description Total Assets Fixed Income Thrivent Gov. Bond Fund Thrivent Income Fund Market Value Mar 2017 Allocation Mar 2017 (%) Allocation Dec 2016 (%) Allocation Sep 2016 (%) Allocation Jun 2016 (%) Allocation Mar 2016 (%) 19,493,829 19,493,829 11,903, ,590, Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Asset values include managers' discretionary cash. Totals may not sum due to rounding. 5

10 Performance Contribution - March 2017 (USD) Description Total Assets Fixed Income Thrivent Gov. Bond Fund Thrivent Income Fund Quarter To Date (%) Contribution Quarter To Date (%) Cumulative 1 Year (%) Contribution Cumulative 1 Year (%) Note: Figures are as of month-end. Rows marked with (*) contain preliminary data. Performance contributions for sleeves are the sum of the investment contributions over the chosen time period. Totals may not sum due to rounding. Returns less than one year are cumulative. 6

11 Endnotes - March 2017 (USD) 1. The Thrivent Gov. Bond Fund BM consists of 40% Bloomberg Barclays U.S. Treasury Bond Index, 40% Bloomberg Barclays U.S. Agency Index, 10% Bloomberg Barclays U.S. TIPS index, and 10% Bloomberg Barclays Mortgage-Backed Securities Index. 7

12 Appendix - March 2017 (USD) 8

13 Methodology & Calculations & Calculations Cambridge Associates LLC (CA) has established a proprietary database to monitor a client's portfolio across managers, asset classes, and at the total assets level. Users of the analysis may find the following description of the data sources, classification of investments, and the calculation techniques helpful in their interpretation of information that may be presented in the Investment Performance Report. 1. Investment manager statements are the primary source of information concerning client market values, returns, and cash flow transactions. In cases where managers are unable to provide data or where CA is otherwise instructed, custodian and/or client provided information is used as a substitute for data provided by the investment managers. 2. Investment manager inception dates represent the initial funding dates. Tracked performance begins on the first day after the manager inception date. 3. All performance figures are shown on a total return basis and in U.S. Dollars unless otherwise indicated. All return time periods over one year are annualized. returns follow an actual month/12 convention. 4. Marketable investment manager returns are verified through CA s proprietary performance database system on a monthly basis. If monthly returns are unavailable, quarterly returns may be substituted. The quarterly reported returns are generally time-weighted returns (i.e. three monthly returns geometrically linked). All returns for periods longer than one quarter are geometrically linked time-weighted returns. All returns are net of fees unless otherwise labeled. 5. Marketable Alternative (MALT) manager returns are presented net of both management and incentive fees unless otherwise labeled. Detailed analysis of MALT returns, long/short positions, and strategy exposures are available in a separate MALT Performance Report for MALT Performance Reporting subscribers. 6. Private Investment (PI) manager returns are geometrically linked time-weighted quarterly returns. Quarterly returns are Internal Rates of Return (IRR s) calculated by the CA PI Performance Reporting department. The IRR (Net to Limited Partner) reflects the client s return on its investment in the partnership net of fees, expenses, and carried interest received by the general partners. Due to the timing of information availability from private investment managers, PI returns are reported on a one quarter lag. A 0% return is assumed for the current quarter to allow the calculation of composites. Detailed analysis of PI returns, commitments, and strategy exposures are available in a separate PI Performance Report for PI Performance Reporting subscribers. 7. Composites represent a collective value for a grouping of similar managers as if their underlying assets were pooled into one master portfolio. Managers are assigned to a particular composite according to the classification of their investments and the specific objectives of the client. The calculation of composite returns is based on the Modified Dietz method of asset and cash flow weighting. 8. The CA Manager Universe statistics, including Medians, are derived from CA s proprietary database covering investment managers. These universe statistics and rankings exclude managers that exclude cash from their reported total returns. For calculations including any years from 1998 to the present, those managers with less than $50 million in product assets are excluded. Returns for inactive (discontinued) managers are included if performance is available for the entire performance period measured. The Medians will not include simulated performance series provided by managers. 9. CA Manager Medians are compiled at each quarter end. CA Percentile Rankings are based upon a scale of 0 to 100, where 0 represents the best performing and 100 the worst. Returns in place for less than the full quarterly period are not ranked.

14 Methodology & Calculations 10. As a result of CA s methodology, it is incorrect to link quarterly medians to come up with a median over an extended time period. The compounded median that would result from such a calculation would be different from the 50th percentile manager ranking for the complete time under consideration. 11. The CA Preliminary Endowment Median is populated from CA s Client base, the majority of which are tracked by the Performance Reporting department. All Taxable Clients are excluded from the universe. The CA Preliminary Endowment Median is compiled on a quarterly basis and Median returns are available approximately starting four weeks after quarter end. As CA s Client base reports in, the universe size will grow accordingly. A minimum of 15 Clients must be present for the CA Preliminary Endowment Median to be generated for the given time period. Approximately six weeks to eight weeks after quarter end, the CA Preliminary Endowment Median has the capability to be filtered by asset size and institution type. The Preliminary Endowment Median return and percentile ranking within the universe reported in any given Performance Report will be dependent on the available universe of endowments at the time the report is prepared. 12. Index returns are reported on the same basis as investment manager returns. Performance is shown on a total return basis, where tracked performance begins first day after investment manager inception unless otherwise stated. If an index is unavailable for the current period, a 0% return will be assumed. Please see Index Vendor list for source disclosure. 13. We recommend that you compare the values shown in this report with the records/statements of your custodian, administrator, or of the investment managers in whose products you are invested. 14. The time-weighted return (TWR) measures the return of the same dollar invested continuously for a specific time period. Returns depend only on the length of the investment, not the amount invested. TWRs provide equal weight to each time period, thereby neutralizing the impact of cash flows. Due to most long-only and hedge fund managers lack of direct influence over the timing of investor cash flows, a TWR allows for more appropriate performance evaluation for public investments. All public investment performance is calculated on a timeweighted basis. Although standard, this approach only allows the investor to evaluate performance on a monthly frequency, diminishing the investor s ability to measure profit in the middle of the month.

15 Index Sources Index Sources The Investment Performance Report was prepared using a subset of the listed Index Data providers below Barclay Trading Group Barclays BARRA Barron's Bloomberg L.P. BofA Merrill Lynch British Bankers' Association Cambridge Associates LLC Chase Manhattan Bank Citigroup Global Markets Commodity Research Bureau Common-Stock Indexes (Cowles Commission) Credit Lyonnais Securities Asia Credit Suisse CS First Boston Corp. CS First Boston High-Yield Market Research Group Deutsche Bank Dow Jones Indexes Edward I. Altman - NYU Salomon Center Eurekahedge European Public Real Estate Association FactSet Research Systems, Inc. FBC High Yield Research Federal Reserve Frank Russell Company FTSE International Limited Goldman, Sachs & Co. Grantham, Mayo, Van Otterloo & Company Hambrecht & Quist Hedge Fund Research, Inc. Hoare Govett Corporate Finance Ltd. HSBC ING Barings International Finance Corporation J.P. Morgan Securities, Inc. JPMorgan H&Q Kinder, Lydenberg, Domini & Co., Inc. Lipper Inc. MSCI Inc. Morgan Stanley Dean Witter National Association of Real Estate Investment Trusts National Council of Real Estate Investment Fiduciaries OECD Property & Portfolio Research, Inc. Price Group Prudential Real Estate Investors Salomon Smith Barney Standard & Poor's Standard & Poor's Compustat SWX Swiss Exchange Thomson Reuters Datastream UBS Global Asset Management U.S. Dept of Labor - Bureau of Labor Statistics The Wall Street Journal Wilshire Associates, Inc. WM Company

16 Index Disclaimers Index Disclaimers Note: The 91-Day Treasury Bill Index sources the BofA Merrill Lynch 91-Day Treasury Bills Index from Jan 1978 to present. Pre-1978 data represents returns calculated by Cambridge Associates using yields from the Federal Reserve. Total returns for MSCI Emerging Markets and All Country indices are gross of dividend taxes unless specifically noted with (NET). Total returns for MSCI developed markets indices are net of dividend taxes. MSCI. MSCI data provided "as is" without any express or implied warranties. The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by, Cambridge Associates. The MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial products, or indices. Neither MSCI nor any other third party involved in or related to compiling, computing or creating the MSCI data (the 'MSCI Parties') makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. Source: FTSE To the extent permissible by law, FTSE accepts no liability for errors or omissions in the data. The Industry Classification Benchmark is property of FTSE International Limited and has been licensed for use. The BofA Merrill Lynch Indices are used with permission. Copyright 2017, Merrill Lynch, Pierce, Fenner & Smith Incorporated. All rights reserved. The BofA Merrill Lynch Indices may not be copied, used, or distributed without BofA Merrill Lynch's prior written approval. The Wilshire IndexesSM are produced by Wilshire Associates Incorporated and have been licensed for use. All content of the Wilshire IndexesSM 2017 is proprietary to Wilshire Associates Incorporated. Source: 2017 Investment Property Databank Limited. All rights reserved. IPD has no liability to any person for any loss, damage, cost or expense suffered as a result of any use of or reliance on any of the information.