Investment Management of Delaware Community Foundation Funds
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1 Investment Management of Delaware Community Foundation Funds June 30, 2015 All funds established at the Delaware Community Foundation (DCF) are managed as provided by the Investment Policy Statement approved by the Board of Directors. The Investment Committee oversees the process and selects and monitors investment managers. A copy of the DCF s Investment Policy Statement is available upon request. Delaware Community Foundation Investment Committee Robert N. MacGovern Jr., CFA, MBA, Chairman Retired Chief Investment Officer, Nuclear Electric Insurance LTD Matthew C. Beardwood Vice President, Glenmede Trust Company, N.A. Paul H. Harrell Jr. Immediate Past Chairman, Harrell Resources, Inc. Kathleen Hawkins Wealth Management Advisor, Merrill Lynch & Co.,Inc. Cynthia A. Hewitt First Vice President, Global Private Client Group, Merrill Lynch & Co. Joseph M. Schell, MBA Retired Investment Banker Valerie J. Sill, CFA President and CEO, DuPont Capital Management Philip C. Timon Chief Investment Officer, Endowment Capital Group, LP Thomas D. Wren Past Chairman, DCF Board of Directors Market Review Fiscal year 2015 was marked by the continued dominance of U.S. equities as the sharp rally of the U.S. dollar (USD) held back local market gains in non-u.s. assets. The USD rally was particularly acute in the first half of the fiscal year. The stunning 40%-plus decline in oil prices severely impacted commodity- and natural resources-related investments, as well as equities and the currencies of commodity-exporting countries. Hedge fund performance during the fiscal year was mixed, and strategy leadership largely reversed course from the prior year. Macro managers led, reporting gains in excess of fundamentals-based equity, event-driven, and creditoriented managers as they profited from the sell-off in oil and natural gas, as well as the divergent paths of many major currencies. As we enter fiscal year 2016, volatility has increased and several geopolitical issues are at the forefront for investors. Greece, Ukraine, and Syria are competing for headlines, each posing unique risks to global markets. Uncertainty about future economic growth in China is perhaps an even greater macroeconomic concern. This has already been seen in extreme volatility in the Chinese equity market, but the sheer size of her economy makes China a significant driver for growth and earnings in many other world markets. In the U.S., the likelihood of a rise in interest rates after years of rates being held artificially low is a significant concern for the equity and bond markets. Also adding to volatility are jitters going through the municipal bond market due to unresolved credit issues with a number of large and prominent issuers (most notably Puerto Rico and Chicago). All of these considerations are likely to provide strong headwinds to investment returns in FY DCF posted a positive 0.1% return for the quarter ending June 30, 2015, modestly beating the 0% return for the Policy Benchmark. Three and five year returns at 7.9% and 8.4% respectively, were more encouraging in that they handily exceeded the Policy Benchmark, and the important objective of providing longer term real returns in excess of 5%. The DCF Investment Committee continues to take steps to balance the risk and return profile of the portfolio and is monitoring manager performance and asset allocation closely in this challenging investment environment. 1
2 DCF Investment Managers The Delaware Community Foundation strives to provide the highest level of stewardship possible to our fundholders. Because we pool our resources for investment purposes, your funds have access to the best performing money managers at a competitive fee. Approximately 62% of our assets are invested in global equities, 18% in flexible capital, and 20% in fixed income instruments. The DCF portfolio is monitored by the DCF Investment Committee, which is made up of community leaders with investment expertise and Prime, Buchholz & Associates, Inc. Strategic changes are made as necessary, while taking a long-term view of the market. Equities Vanguard Institutional Index Fund Institutional Shares Valley Forge, Pennsylvania (inception ) Domestic Equities. Large cap blend fund. The fund employs a passive management or indexing investment approach designed to track the performance of the Standard & Poor s 500 Index which is dominated by the stocks of large U.S. companies. The fund attempts to replicate the target index by investing all, or substantially all, of its assets to the stocks that make up the index. The performance benchmark is the S&P 500 Index. Westfield Capital Management Boston, Massachusetts (inception ) Domestic Equities. Small cap growth manager. Westfield applies fundamental research to companies in diverse industries with consistent or accelerating earnings growth. The managers perform extensive, in-depth research that includes company on-site visits and meetings with management. The performance benchmark is the Russell 2000 Growth Index. Marathon International Equities London, United Kingdom The fund is centered on the long-term capital cycle. Marathon believes that the prospect of high returns will attract excessive capital, resulting in increased competition and capacity, pushing returns lower. Conversely, the expectation of low returns can lead to consolidation and decreased capacity, which may in turn increase the return potential. Marathon utilizes this approach to identify areas of the market where they feel competition is in retreat, there are significant barriers to entry, or growth is underappreciated. The resulting portfolio is highly diversified across. The performance benchmark is the MSCI EAFE Index. 2 John W. Bristol Equity Fund I Greenbrae, California (inception ) Domestic Equities. All cap growth manager. John W. Bristol believes that above-average long-term earnings and dividend growth generally provide the most effective long-term investment results. As a result the investment team s process is research-intensive, emphasizing a company-by-company approach in determining the key drivers of long-term growth. The performance benchmark is the S&P 500 Index. Parametric Tax-Managed Emerging Mkt. Fund Rye Brook, New York (inception ) International Equities. The Parametric Emerging Markets strategy is designed to capture the long-term returns provided by the equity markets of developing countries. Parametric employs a systematic investment approach emphasizing diversification and has developed a quantitative equally-weighted, tiered approach to country allocation. The performance benchmark is the MSCI EM Net Index. Lazard Emerging Markets Equity Portfolio New York, New York (inception ) International Emerging Markets Equities. The portfolio seeks long-term capital appreciation by investing in companies with strong, sustainable financial productivity at attractive valuations. The performance benchmark is the MSCI Emerging Markets Net Index. Sanderson International Value London, UK ( ) Sanderson seeks to invest in companies whose discounted future profits are attractive relative to their current stock prices utilizing a bottom-up, value approach to investing. Sanderson is a long-term investor with typical holding periods of 3-5 years. Exposure to emerging markets is capped at 20%, the strategy's historical average is ~10% and typically includes the more developed emerging economies. The performance benchmark is the MSCI EAFE (Net). AEW Global Properties Securities Boston, MA The fund manages real estate securities based on proven, research intensive, and value oriented approach to real estate securities. AEW Global takes a value based approach to the construction and management of the portfolio, and fully integrates the capabilities of AEW's research, real estate, and equity securities professionals. Management ultimately believes the majority of its excess returns over its benchmark originate from underlying security selection. The performance benchmark is the UBS Real Estate Investors.
3 Fixed Income Loomis & Sayles Investment Grade Bond Fund Class Y Boston, MA (inception ) Fixed Income. A flexible, fixed-income strategy seeks to deliver strong, long-term performance without taking on excessive risk. A high-quality, 5-star fund, Loomis & Sayles Investment Grade Bond Fund complements an investment grade portfolio with a flexible, multi-sector approach to offer added exposure to international and below-investment grade bonds. The performance benchmark is the Barclays U.S. Govt/Credit. Vanguard Total Bond Market Index Valley Forge, PA (inception 01.09) Fixed Income. The fund seeks to track the performance of a broad, market-weighted bond index. The index measures a wide spectrum of public, investment-grade, taxable, fixed-income securities in the United States, including government, corporate and international dollardenominated bonds, as well as mortgage-backed and asset-backed securities with maturities of more than one year. The performance benchmark is the Spliced Total Bond Market Index. Vanguard Inter-term Treasury Valley Forge, PA Intermediate Term. The fund must invest at least 80% of its assets in U.S. Treasury securities. The fund is designed to capture the performance of the intermediate-term segment (5-15 year maturities) of the U.S. Treasury market. The fund s weighted-average maturity will range from 5-10 years and the duration will range from 4-7 years, although the duration will be adjusted to reflect the portfolio manager s near-term interest rate outlook, the shape of the yield curve, and other factors. The performance benchmark is the Barclays Capital U.S Year Treasury Index. Colchester Global Fixed Income London, UK Colchester s team forecasts inflation for each country and attempts to find markets that offer a real-yield advantage on a relative basis. The majority of the portfolio comprises sovereign bonds. In addition to G7 countries, the investable universe currently includes the domestic sovereign debt of the non-classic countries, such as Hungary, Poland and Mexico, among others. The performance benchmark is the Citigroup World Government Bond Fit Adjusted Composite Index. Flexible Capital Forester Diversified LTD Greenwich, CT (inception ) Alternative Asset Class. The fund seeks to achieve medium- to long-term returns that are superior to the broad market averages while assuming less risk. The fund is diversified in an effort to mitigate risk of investing in a single fund or strategy and seeks to be diversified by strategy, have long and short exposure to equity and credit markets, and be geographically diverse. The performance benchmark is the HFRI Fundof-Funds Index. Weatherlow Offshore Fund I Evanston, IL A diversified fund of hedge funds that seeks to generate equity-like returns with bond-like volatility. The manager blends quantitative modeling and qualitative review to build the portfolio. The fund will typically be made up of managers, and the aim is for no single fund to account for more than 15% of capital. The performance benchmark is the HFRI Fund-of-Funds Index. UBP Multi-Strategy Hedge Fund Switzerland and New York, NY (inception ) Alternative Asset Class; Hedge Funds. The fund goal is to achieve long-term risk-adjusted capital appreciation by investing in a diversified portfolio of hedge funds, managed by some of the industry s most experienced managers. The performance benchmark is the HFRI Fund-of-Funds Composite Index. Anchorage Capital Partners Offshore, Ltd. New York, NY (inception ) Anchorage Capital Partners is a debt-focused special situations fund that seeks to earn superior risk-adjusted returns while emphasizing preservation of capital. The performance benchmark is HFRI ED: Distressed/Restructuring Index Canyon Value realization Fund Cayman, Ltd. Beverly Hills, CA. (inception ) The fund s objective is capital preservation and low correlation with broader debt and equity markets, using a broadly diversified portfolio with very low leverage. The performance benchmark is HFRI ED: Distressed/Restructuring Index 3
4 Endowment Asset Allocation as of June 30, 2015 $192,220,536* Global Equities 61.7% 1. Vanguard (VINIX) $30,302,353 (15.8%) Domestic Equities. Large cap blend manager. Benchmark: S&P 500 Index 2. Westfield Capital Management $11,571,938 (6.0%) Domestic Equities. Small cap growth manager. Benchmark: Russell 2000 Growth Index 3. Marathon International Equities $22,277,745 (11.6%) International Emerging Blend Equities manager. Benchmark: MSCI EAFE Index. 4. John W. Bristol Equity Fund I $9,795,757 (5.1%) Domestic Equities. All cap growth manager. Benchmark: S&P 500 Index 5. Parametric Tax-Managed Emerging Markets Inst. $8,699,166 (4.5%) International Equities, Emerging Markets Net Index. Benchmark: MSCI EM 6. Lazard Emerging Markets Portfolio $8,699,842 (4.5%) International emerging markets equities. Benchmark: MSCI Emerging Markets Net Index. 7. Sanderson International Value $17,807,244 (9.3%) Foreign Developed Blend manager. Benchmark: MSCI EAFE (Net) 8. AEW Global Properties Securities $9,536,391 (5.0%) Global Real Assets. Benchmark: AEW Spliced Global Real Estate Index Fixed Income 19.5% 9. Loomis & Sayles $9,056,772 (4.7%) Fixed Income. Core Plus. Benchmark: Barclays U.S. Govt/Credit 10. Vanguard Total Bond Market Index $10,133,336 (5.3%) Fixed Income. Benchmark: Spliced Total Bond Market Index 11. Vanguard Inter-term Treasury $9,137,918 (4.8%) Fixed Income. Benchmark: Barclays Capital US Treasury: 5-10 Yr. 12. Colchester Global Fixed Income $9,077,113 (4.7%) Global Fixed Income. Benchmark: Citigroup World Government Bond Flexible Capital 18.0% 13. Forester Diversified $12,581,195 (6.5%) Hedge Fund Benchmark: HFRI Fund of Funds Diversified Index 14. Weatherlow Offshore Fund I $12,648,007 (6.6%) Benchmark: HFRI Fund of Funds Diversified Index 15. UBP Multi-Strategy Hedge Fund $329,719 (0.2%) Alternative Asset Class. Hedge Funds. Benchmark: HFRI Fund-of-Fund Composite Index 16. Anchorage Capital Partners Offshore, LTD $5,063,178 (2.6%) Benchmark: HFRI ED: Distressed/Restructuring Index 17. Canyon Value Realization Fund Cayman LTD. $3,980,097 (2.1%) Benchmark: HFRI ED: Distressed/Restructuring Index Liquid Capital 18. Deutsche Bank Pooled Cash $1,522,764 (0.8%) Benchmark: Citigroup 3 Month T-Bill 4 *Does not include Rodel Foundation
5 Market value estimated using preliminary manager reported performance. Delaware Community Foundation calendar year investment returns over the past 10+ years P.O. Box 1636 Wilmington, DE The Circle Georgetown, DE West Loockerman St. Ste. 2C Dover DE
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