INVESTMENT PERFORMANCE ANALYSIS

Transcription

1 CONSULTING TEAM George Hauptfuhrer Jeffrey Croteau INVESTMENT ANALYST Travis Unger PERFORMANCE ANALYST David Mesa CLIENT SERVICE CONTACT Fourth Quarter 2017 INVESTMENT PERFORMANCE ANALYSIS Community Foundation of the Chattahoochee Valley, Inc. GENERAL CONTACT 273 Corporate Drive, Suite 250 Portsmouth, NH P: F: Prime Buchholz LLC

2 Total Fund Highlights The CFCV Main Pool advanced 3.4% during the fourth quarter, and gained 14.7% for the calendar year. All segments of the portfolio posted gains in 2017 as global markets rallied. The portfolio has generated an annualized return of 5.0% since inception in At yearend net assets stood at $75.3 million. Led by emerging markets (+37.3%), international equity markets produced strong returns for the calendar year. Managers within the segment gained 5.1% in the fourth quarter and 26.9% during Domestic managers combined to return 20.7% for the year, but lagged the Russell 3000 Index as the segment s small / mid cap bias retracted modestly from relative results. Flexible capital managers continued to produce steady returns, gaining 1.5% for the quarter. Led by Archipelago (+13.0%) and FPA Crescent (+10.4%), the segment advanced 8.4% during the year, outpacing the HFRI FOF: Diversified Index (+6.5%) by nearly 200 bps. The Federal Open Market Committee announced a 25 bps rate increase during the quarter, marking the third increase for the year. Intermediate-term Treasuries outperformed their longer-term counterparts as the yield curve continued to flatten during the quarter. Overall, fixed income managers combined to gain 4.7% for the year, outperforming the Bloomberg Barclays U.S. Aggregate Index (+3.6%) and underperforming the Citigroup World Government Bond Index (+7.5%). Other than MLPs, which experienced a choppy quarter, real assets (+3.4%) surged to finish the year. Managers within the segment combined to gain 3.1% as strong global growth and rising inflation were a boost to the segment. Community Foundation of the Chattahoochee Valley, Inc. 20

3 Segment Performance - Main Pool (% Rate of ) Benchmark Dependent Metrics relative to S&P 500 Index As of December 31, Quarter Fiscal YTD Calendar YTD 1 Year 2 Years 3 Years 5 Years 7 Years Since Inception Since Inception Standard Deviation Since Inception Beta Since Inception Actual Correlation Inception Date Total Fund Jan-07 Policy Index Jan-07 Actual Index Jan-11 Global Equity Dec-06 MSCI AC World Index (Net) Dec-06 Domestic Equity Jan-07 Russell 3000 Index Jan-07 International Equity Jan-07 MSCI AC World ex USA (Net) Jan-07 Private Capital Dec-09 Total Flexible Capital Jan-07 HFRI FOF: Diversified Index Jan-07 Total Real Assets Jan-08 Real Assets Composite Index Jan-08 Total Fixed Income Feb-07 Fixed Income Composite Index Feb-07 - Table reflects performance data for CFCV Main Pool - Periods greater than one year are annualized Community Foundation of the Chattahoochee Valley, Inc. 21

4 Segment Performance - Main Pool (% Rate of ) As of December 31, Total Fund Policy Index Actual Index NA NA NA Global Equity MSCI AC World Index (Net) Domestic Equity Russell 3000 Index International Equity MSCI AC World ex USA (Net) Private Capital NA NA Total Flexible Capital HFRI FOF: Diversified Index Total Real Assets Real Assets Composite Index Total Fixed Income Fixed Income Composite Index Community Foundation of the Chattahoochee Valley, Inc. 22

5 Investment Detail Community Foundation of the Chattahoochee Valley, Inc. CFCV Main Pool Preliminary as of December 31, 2017 Market Value % of Portfolio Mar-17 Jun-17 Sep-17 Dec-17 Calendar YTD Fiscal YTD 1 YR 3 YRS 5 YRS 7 YRS Since Inception Date $75,283, Total Fund Jan-07 Policy Index Jan-07 Actual Index Jan-11 Consumer Price Index Jan-07 $33,634, Global Equity Jan-07 $3,401, Dodge & Cox Global Stock Fund NA NA NA 28.0 Mar-16 MSCI World Index (Net) $15,789, Domestic Equity Jan-07 Russell 3000 Index $10,879, Vanguard 500 Index Adm Fund Mar-10 S&P 500 Index $2,486, Vanguard Extended Market Index Adm Fund NA NA NA 13.6 Sep-15 Spliced Extended Market Index $2,423, Champlain Mid Cap Core Fund NA NA NA 18.7 Jun-16 Russell Midcap Index Community Foundation of the Chattahoochee Valley, Inc. 23

6 Investment Detail Community Foundation of the Chattahoochee Valley, Inc. CFCV Main Pool Preliminary as of December 31, 2017 Market Value % of Portfolio Mar-17 Jun-17 Sep-17 Dec-17 Calendar YTD Fiscal YTD 1 YR 3 YRS 5 YRS 7 YRS Since Inception Date $14,443, International Equity Jan-07 MSCI AC World ex USA (Net) $3,711, Vanguard Total Intl Stock ETF NA 8.7 Sep-12 Spliced Total International Stock Index $5,915, Sanderson International Value Fund Jul-10 MSCI EAFE (Net) $4,816, Parametric Emerging Markets I Fund Jan-07 MSCI EM (Net) $5,045, Private Capital Dec-09 Community Foundation of the Chattahoochee Valley, Inc. 24

7 Investment Detail Community Foundation of the Chattahoochee Valley, Inc. CFCV Main Pool Preliminary as of December 31, 2017 Market Value % of Portfolio Mar-17 Jun-17 Sep-17 Dec-17 Calendar YTD Fiscal YTD 1 YR 3 YRS 5 YRS 7 YRS Since Inception Date $10,045, Total Flexible Capital Jan-07 HFRI FOF: Diversified Index $2,441, Archipelago Holdings, Ltd NA 7.5 Dec-11 HFRI FOF: Strategic Index $46, FPA Crescent Fund NA NA NA 10.7 Dec-16 HFRI Equity Hedge (Total) Index $169, Loomis Sayles Strategic Alpha Y Fund NA NA NA 2.3 Mar-15 Libor 3 Month Plus 3% Index $2,427, Anchorage Capital Partners Offshore, Ltd NA NA NA 4.6 Nov-15 HFRI ED: Distressed/Restructuring Index $2,476, Knighthead Offshore Fund NA NA NA 5.6 Nov-15 HFRI ED: Distressed/Restructuring Index $2,483, Farallon Capital Institutional Partners, L.P NA NA NA 5.8 Nov-15 HFRI Event-Driven (Total) Index Community Foundation of the Chattahoochee Valley, Inc. 25

8 Investment Detail Community Foundation of the Chattahoochee Valley, Inc. CFCV Main Pool Preliminary as of December 31, 2017 Market Value % of Portfolio Mar-17 Jun-17 Sep-17 Dec-17 Calendar YTD Fiscal YTD 1 YR 3 YRS 5 YRS 7 YRS Since Inception Date $8,297, Total Real Assets Jan-08 Real Assets Composite Index $4,959, Public Real Assets Jan-10 $2,146, Seaport Global Property Securities Fund, L.P Jan-08 Seaport Spliced Global Real Estate Index $1,533, Vanguard Inflation-Protected Securities Adm Fund Oct-08 Blbg Barc U.S. TIPS $1,278, Harvest MLP Income Fund II NA NA -4.1 Mar-14 Alerian MLP Index $3,338, Private Real Assets Jan-10 Community Foundation of the Chattahoochee Valley, Inc. 26

9 Investment Detail Community Foundation of the Chattahoochee Valley, Inc. CFCV Main Pool Preliminary as of December 31, 2017 Market Value % of Portfolio Mar-17 Jun-17 Sep-17 Dec-17 Calendar YTD Fiscal YTD 1 YR 3 YRS 5 YRS 7 YRS Since Inception Date $5,983, Total Fixed Income Feb-07 Fixed Income Composite Index $3,529, Vanguard Total Bond Market Index Adm Fund Dec-10 Spliced Total Bond Market Index $2,454, Colchester Global Bond Fund NA 1.5 Jun-12 Citigroup World Government Bond Index $12,276, Total Liquid Capital Jan-07 $11,861, Federated Government Obligations #5 Fund Jan-07 Citigroup 3 Month T-Bill $415, Forester Holdback Please Note: - Periods greater than one year are annualized - Since inception returns are calculated from the first full month - Performance and market values are subject to change based on statement availability from the investment manager/custodian - s are net of investment management fees and gross of consulting fees unless otherwise stated - Policy Index (as of 5/31/2017): 27% Russell 3000 Index / 27% MSCI AC World xus Index / 16% HFRI Fund-of-Funds Diversified Index / 10% Private Equity / 10% Fixed Income Composite Index / 10% Real Assets Composite Index - Fixed Income Composite Index (effective 6/1/2016): 70% Blbg Barc Aggregate Float Adjusted Composite Index / 30% Citigroup World Govt. Bond Index. Components have changed over time - Real Assets Composite Index (effective 6/1/2016): 40% Seaport Spliced Real Estate Index / 20% Blbg Barc US Treasury Inflation Notes Index / 20% Bloomberg Commodity Index / 20% Alerian MLP Index (Components have changed over time) - Real Assets Composite Index (effective 7/1/2017): 40% Seaport Spliced Real Estate Index / 30% Bloomberg Commodity Index / 30% Alerian MLP Index (Components have changed over time) - Private Equity and Private Real Assets: Market value reported one quarter in arrears, adjusted for current capital activity. Valuations subject to availability. Performance may change as updates are processed. - Anchorage Capital Partners: Converted to Class K shares on December 31, Vanguard Total Bond Market Index Adm Fund: Ending market value includes estimated monthly dividend reinvestment. - Farallon & Knighthead: Market value estimated using manger-reported preliminary performance. - Forester Holdback: Approximately 10% of the redemption proceeds are held by Forester to be paid upon completion of audit in June Federated Government Obligations: Market value adjusted to include Forester December redemption of $3.741MM. Community Foundation of the Chattahoochee Valley, Inc. 27

10 Non-Marketable Strategies - Main Pool Investment Summary As of December 31, 2017 Capital Commitment Cmt Date Paid-in Capital Capital Contributed % Funded Remaining Commitment Distributed Capital ed Recallable Capital Market Value Net Growth of Portfolio DPI Multiple TVPI Multiple IRR (%) Valuation Date Total Non-Marketable Alternatives $17,750,000 $10,569,350 $9,833, $7,916,464 $4,400,839 $3,738,112 $656,538 $8,383,488 $2,214, Total Global Private Equity $11,250,000 $6,509,197 $5,948, $5,301,275 $3,074,982 $2,530,823 $544,158 $5,045,029 $1,610, Buyouts RCP Fund IX, LP $1,000,000 May-14 $630,106 $630, $369,894 $30,106 $30,106 - $636,826 $36, Sep-17 RCP Fund XI, LP $1,500,000 Dec-16 $135,000 $135, $1,365, $99,190 -$35, Sep-17 Distressed Siguler Guff Distressed Opportunities Fund IV, LP $750,000 Jul-10 $686,250 $686, $63,750 $623,311 $623,311 - $361,893 $298, Sep-17 Drum Special Situation Partners III LP $500,000 Jan-11 $588,011 $241, $258,442 $585,928 $240,744 $345,184 $243,607 $241, Sep-17 Davidson Kempner Long-Term Distressed Opportunities Intl Fund II, LP $1,000,000 Jun-13 $877,961 $740, $259,711 $641,683 $506,972 $134,711 $613,138 $376, Nov-17 Davidson Kempner Long-Term Distressed Opportunities Intl III, LP $750,000 Jan-15 $644,388 $606, $143,350 $37,264 - $37,264 $711,209 $104, Dec-17 Davidson Kempner Long-Term Distressed Opportunities Intl IV, LP $1,000,000 Jun $1,000, Dec-17 Multi Strategy Aberdeen Global Partners, LP $1,000,000 Dec-12 $915,975 $910, $90,000 $203,208 $203,208 - $935,692 $222, Jun-17 Secondaries Landmark Equity Partners XIV, L.P. $1,000,000 Nov-09 $995,007 $962, $37,628 $941,062 $914,062 $27,000 $328,791 $274, Sep-17 Venture Capital Commonfund Capital Venture Partners XI, LP $1,250,000 Feb-15 $571,875 $571, $678,125 $12,420 $12,420 - $647,540 $88, Sep-17 Greenspring Opportunities IV, L.P. $750,000 Nov-15 $464,625 $464, $285, $467,144 $2, Sep-17 Total Non-Marketable Real Assets $6,500,000 $4,060,153 $3,884, $2,615,189 $1,325,858 $1,207,289 $112,380 $3,338,459 $604, Metropolitan Global Real Estate Partners III, L.P. $1,000,000 Dec-09 $907,663 $900, $99,684 $752,611 $745,611 $7,000 $429,349 $274, Sep-17 VIA Energy II, L.P. $1,000,000 Nov-11 $790,000 $790, $210,000 $159,266 $159,266 - $619,572 -$11, Sep-17 VIA Energy III, L.P. $1,000,000 May-14 $514,907 $510, $490,000 $91,620 $85,431 - $498,216 $74, Sep-17 Och Ziff Real Estate Parallel Fund III B, LP $1,000,000 Dec-13 $516,991 $425, $574,819 $183,554 $137,015 $46,539 $370,483 $37, Sep-17 Old Ironsides Energy Fund II-A, LP $1,500,000 Feb-15 $925,534 $865, $634,445 $138,807 $79,966 $58,841 $1,023,821 $237, Sep-17 WHI Real Estate Partners IV, L.P. $1,000,000 Sep-17 $405,057 $393, $606, $397,018 -$8, Sep-17 Community Foundation of the Chattahoochee Valley, Inc. 28

11 Non-Marketable Strategies - Main Pool Investment Summary As of December 31, 2017 General Notes: -Valuations subject to availability. Performance may change as updates are processed. -This report contains information from manager supplied financial reports (audited or unaudited). Content is subject to change without notice. Information obtained from the manager is believed to be reliable; however, accuracy of the data is not guaranteed and has not been independently verified by Prime Buchholz. Glossary: -Paid-in Capital: Sum of all contributions into the fund. -Capital Contributed: Paid-in capital (excluding fees/expenses ex. capital commitment) reduced by recallable capital. -Remaining Commitment: Total amount remaining to be called. -Distributed: Sum of both recallable and non-recallable distributions. -Capital ed: Distributions not subject to recall. -Recallable Capital: Distributions subject to recall. -Net Growth of Portfolio: Reduced by any fees paid ex-capital commitment. -DPI Multiple: Distributions (including recallable capital) to paid-in capital. -TVPI Multiple: Total Value (market value + distributions including recallable capital) to paid-in capital. -IRR: Calculated since inception. Community Foundation of the Chattahoochee Valley, Inc. 29

12 Asset Allocation Current (Main Pool) Asset Allocation (%) Lower (%) Target (%) Upper (%) Difference (%) Total Fund Domestic Equity Non-US Developed Equity Emerging Markets Equity Private Equity Flexible Capital Real Assets Fixed Income Liquid Capital % 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% Domestic Equity $17,388, % 27.0% Non-US Developed Equity $10,663, % 17.0% Emerging Markets Equity $6,279, % 10.0% Private Equity $5,045, % 10.0% Flexible Capital $10,045, % 16.0% Real Assets $8,297,563 Fixed Income $5,983, % 10.0% 10.0% 11.0% Liquid Capital $12,276, % 16.3% Actual Allocation Policy Target Please Note: Actual allocations for Domestic, Non-US Developed, and International Equity provided on a look through basis using Dodge & Cox Global Stock Fund statistics as of 12/31/2017 Community Foundation of the Chattahoochee Valley, Inc. 30

13 Asset Allocation Historical 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Mar-07 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Global Equity Domestic Equity International Equity Private Equity Flexible Capital Real Assets Fixed Income Cash Mar-07 reflects earliest period for which asset allocation is available Community Foundation of the Chattahoochee Valley, Inc. 31

14 Asset Allocation - Performance Comparison - Main Pool As of December 31, 2017 Total Fund Performance 1 Year 2 Years 3 Years Inflation Adjusted Real Portfolio Statistics Statistical Output (%) Policy Domestic 70/30 Global 70/30 Expected (Arithmetic) Expected Standard Deviation Expected (Geometric) Sharpe Ratio Historical (Arithmetic) Historical Standard Deviation Historical (Geometric) Beta ( to S&P 500 Index) Correlation ( to S&P 500 Index) Probability of s Exceeding 5% 10 Years Years 1 Year Std. Dev. 2 Years Standard Deviation 3 Years Std. Dev. Total Fund Main Pool - Policy Index Consumer Price Index Years Std. Dev. Historical Stress Test Deflation: Fall '08 to S&P Trough Sep-08 to Mar-09 Corporate Scandals May-02 to Jul-02 Tech Bubble Collapse Mar-00 to Mar-01 Russian Debt/ LTCM Collapse Jul-98 to Oct-98 Rising Rates Jan-94 to Dec-94 Shock Inflation Jan-73 to Dec-73 High Inflation Jan-73 to Dec-81 Policy Index Domestic 70/30 Global 70/ % -32.5% -30.2% -13.7% -16.9% -12.0% -13.4% -11.9% -13.6% -12.2% -11.3% -9.8% +3.0% -0.8% +0.4% -7.7% -9.6% -7.8% +5.2% +5.5% +5.2% Notes: - Domestic 70/30: 70% S&P 500/30% Blbg Barc Aggregate. Global 70/30: 70% MSCI ACWI/ 30% Blbg Barc Global Aggregate. - Expected return/risk using year Prime Buchholz capital market assumptions. Historical data based on the previous 25 years of index returns as of most recent quarter-end - Index components utilized: Russell 3000/MSCI World ex U.S./MSCI Emerging Mkts./All Private Equity Benchmark/Blbg Barc Aggregate/Blbg Barc Long G/C/Blbg Barc U.S. Corp. HY/Blbg Barc Muni/HFRI Fund Weighted/Blbg Barc U.S. TIPS/Private Equity-All Buyouts/S&P Natural Resources/S&P GSCI-DJ UBS/NCREIF Leverage & Fee Adj./Blbg Barc Long Treasury/30-Day T-Bill/JPM Non-U.S. Global Govt. Community Foundation of the Chattahoochee Valley, Inc. 32

15 Peer Comparison Main Pool Asset Allocation CFCV COF $101-$500 Million NCSE $101-$500 Million 12/31/ /31/2016 6/30/2016 Actual Actual Actual Allocation (%) Allocation (%) Allocation (%) Domestic Equity International Equity Private Equity Flexible Capital Real Assets Domestic Fixed Income Global Fixed Income Liquid Capital

16 Peer Comparison Main Pool Asset Allocation CFCV IM All E&F $101-$250M 12/31/2017 Actual 12/31/2017 Actual Allocation (%) Allocation (%) Domestic Equity International Equity Private Equity Flexible Capital Real Assets Domestic Fixed Income Global Fixed Income Liquid Capital

17 Schedule of Investable Assets Main Pool January 1, 2008 To December 31, 2017 Periods Beginning Market Value Net Cash Flow Investment Performance Ending Market Value 2008 $29,568,486 $3,468,548 -$8,579,532 $24,457, $24,457,502 $4,646,739 $6,606,890 $35,711, $35,711,131 $14,169,459 $6,440,750 $56,321, $56,321,340 $9,161,165 -$2,299,441 $63,183, $63,183,064 -$1,351,320 $7,246,402 $69,078, $69,078,147 $1,039,739 $8,234,060 $78,351, $78,351,945 $5,133,040 $2,369,623 $85,854, $85,854,608 $14,188,814 -$3,605,052 $96,438, $96,438,370 $8,334,156 $6,770,202 $111,542, $111,542,728 -$49,054,085 $12,795,084 $75,283,727 $29,568,486 $9,736,256 $35,978,985 $75,283,727 $150.0 $111.5 Market Value In Millions $100.0 $50.0 $35.7 $56.3 $63.2 $69.1 $78.4 $85.9 $96.4 $75.3 $24.5 $0.0 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 Total Fund Community Foundation of the Chattahoochee Valley, Inc. 35

18 Liquidity Schedule Main Pool As of December 31, 2017 Redemption Terms Daily $44,860, Semi-Monthly $2,454, Monthly $9,340, Semi Liquid $9,829, Illiquid $8,799, Total $75,283, Unfunded Commitments (% of Total Fund) Private Capital $5,301, Private Real Assets $2,615, Total $7,916, Investments Inception Subscriptions Market Value Daily Semi-Monthly Monthly Semi Liquid Illiquid Notes Global Equity Dodge & Cox Global Stock Fund Feb-16 Daily $3,401,461 $3,401,461 Vanguard 500 Index Adm Fund Feb-10 Daily $10,879,042 $10,879,042 Vanguard Extended Market Index Adm Fund Aug-15 Daily $2,486,904 $2,486,904 Champlain Mid Cap Core Fund May-16 Daily $2,423,989 $2,423,989 Vanguard Total International Stock Index ETF Sep-12 Daily $3,711,340 $3,711,340 Sanderson International Value Fund Jun-10 Monthly $5,915,244 $5,915,244 See footnote Parametric Emerging Markets I Fund Dec-06 Daily $4,816,706 $4,816,706 Private Equity Private Capital Nov-09 Illiquid $5,045,029 $5,045,029 Flexible Capital Total Flexible Capital Nov-06 Various $10,045,664 $215,912 $9,829,752 Real Assets Seaport Global Property Securities Fund, L.P. Dec-07 Monthly $2,146,809 $2,146,809 See footnote Vanguard Inflation-Protected Securities Adm Fund Sep-08 Daily $1,533,775 $1,533,775 Harvest MLP Income Fund II Mar-14 Monthly $1,278,521 $1,278,521 See footnote Private Real Assets Nov-09 Illiquid $3,338,459 $3,338,459 Global Fixed Income Vanguard Total Bond Market Index Adm Fund Nov-10 Daily $3,529,592 $3,529,592 Colchester Global Bond Fund Jun-12 Semi-Monthly $2,454,203 $2,454,203 See footnote Community Foundation of the Chattahoochee Valley, Inc. 36

19 Liquidity Schedule Main Pool As of December 31, 2017 Investments Inception Subscriptions Market Value Daily Semi-Monthly Monthly Semi Liquid Illiquid Notes Liquid Capital Federated Government Obligations #5 Fund Dec-06 Daily $11,861,314 $11,861,314 Forester Holdback Dec-17 Illiquid $415,675 $415,675 Total ($) $75,283,727 $44,860,035 $2,454,203 $9,340,573 $9,829,752 $8,799,163 Total (%) Definitions: Semi-Liquid: Redemption can be processed within a period greater than 30 days; liquidity details for semi-liquid investments can be found on the following Flexible Capital Detail report. Illiquid: Redemptions cannot be processed (closed end partnerships) Footnotes: Sanderson: Redemptions require 10 business days notice Seaport: Redemptions require 15 business days notice Harvest: Redemptions require 30 days notice. 1% fee if redeemed in first year. Colchester: Subscriptions and redemptions available mid-month and month-end with 5 business day notice. Community Foundation of the Chattahoochee Valley, Inc. 37

20 Flexible Capital Detail Main Pool Next Investment Tranche Subscription Frequency Subscription Date Market Value Redemption Frequency Notice Period Redemption Notice Deadline Possible Redemption Date Lock Notes Archipelago Holdings, Ltd. A Monthly 12/1/11, 3/1/12, 1/1/13 $2,441,537 Quarterly 45 days 5/16/18 6/30/18 None Wellington removed the 1-year initial lock up for Archipelago on 4/1/17 FPA Crescent Fund FPACX Daily Dec-16 $46,875 Daily N/A N/A N/A N/A Loomis Strategic Alpha LASYX Daily Mar-15 $169,038 Daily N/A N/A N/A N/A Farallon Capital Institutional Partners LP C Monthly 11/1/15 $2,483,778 Semi-Annual 60 days 4/30/18 6/30/18 No Knighthead Offshore Fund, Ltd. B Subclass 1 Monthly 11/1/15 $2,476,624 Quarterly 90 days 9/30/18 12/31/18 1 Year 50% redemption June 30/December 31. No Special Investment Programs Quarterly redemptions once lock expires. 12.5% available per quarter (2 years to fully redeem) Anchorage Capital Partners Offshore Fund, Ltd. K Monthly 11/1/2015 $2,427,813 Annually 90 days 9/30/18 12/31/18 1 Year Community Foundation of the Chattahoochee Valley, Inc. 38

21 Peer Performance Comparison Main Pool As of December 31, Year 3 Years 5 Years 5 Years Standard Deviation 5 Years Beta 5 Years Actual Correlation Dodge & Cox Global Stock (DODWX) 21.5 (55) 9.4 (34) 13.3 (17) (55) 17.1 (11) -8.0 (81) 7.0 (19) 33.2 (17) MSCI AC World Index (Net) 24.0 (41) 9.3 (35) 10.8 (50) (41) 7.9 (36) -2.4 (56) 4.2 (37) 22.8 (60) IM Global Equity (MF) Median Vanguard 500 Index Adm Fund 21.8 (37) 11.4 (17) 15.8 (14) (37) 11.9 (26) 1.4 (28) 13.6 (15) 32.3 (41) S&P 500 Index 21.8 (36) 11.4 (17) 15.8 (14) (36) 12.0 (26) 1.4 (28) 13.7 (15) 32.4 (39) IM U.S. Large Cap Core Equity (MF) Median Vanguard Extended Market ETF 18.1 (29) 9.9 (21) 14.6 (23) (29) 16.2 (37) -3.3 (50) 7.5 (67) 38.4 (18) S&P Completion Index 18.1 (28) 9.8 (22) 14.5 (24) (28) 16.0 (39) -3.4 (52) 7.5 (68) 38.2 (18) IM U.S. Mid Cap Core Equity (MF) Median Champlain Mid Cap Core Fund 19.9 (15) 13.2 (2) 16.7 (3) (15) 19.1 (14) 1.7 (6) 8.3 (60) 37.9 (19) Russell Midcap Index 18.5 (24) 9.6 (27) 15.0 (14) (24) 13.8 (59) -2.4 (37) 13.2 (14) 34.8 (52) IM U.S. Mid Cap Core Equity (MF) Median Vanguard Total Intl Stock ETF 27.4 (58) 8.6 (46) 6.9 (54) (58) 4.8 (33) -4.1 (56) -4.7 (53) 14.5 (58) Spliced Total International Stock Index 27.4 (58) 8.5 (48) 7.4 (46) (58) 4.7 (33) -4.3 (56) -3.4 (39) 15.8 (55) IM International Equity (MF) Median Sanderson International Value Fund 25.7 (19) 6.5 (68) 8.4 (17) (19) 2.1 (57) -5.8 (79) -2.5 (6) 27.2 (6) MSCI EAFE (Net) 25.0 (27) 7.8 (41) 7.9 (26) (27) 1.0 (74) -0.8 (33) -4.9 (22) 22.8 (38) IM International Value Equity (MF) Median Parametric Emerging Markets I Fund 27.3 (83) 6.1 (76) 3.0 (73) (83) 12.3 (22) (71) -3.8 (60) 1.0 (32) MSCI EM (Net) 37.3 (42) 9.1 (39) 4.3 (47) (42) 11.2 (30) (58) -2.2 (43) -2.6 (58) IM Emerging Markets Equity (MF) Median Community Foundation of the Chattahoochee Valley, Inc. 39

22 Peer Performance Comparison Main Pool As of December 31, Year 3 Years 5 Years 5 Years Standard Deviation 5 Years Beta 5 Years Actual Correlation Seaport Global Property Securities Fund, L.P (54) 5.3 (30) 7.5 (17) (54) 3.8 (32) 1.4 (18) 20.6 (3) 2.1 (77) Seaport Spliced Global Real Estate Index 11.4 (49) 5.4 (29) 8.0 (7) (49) 5.0 (20) 0.1 (40) 22.1 (2) 2.7 (67) IM Global Real Estate (MF) Median Vanguard Total Bond Market Index Adm Fund 3.6 (52) 2.2 (48) 2.0 (45) (52) 2.6 (63) 0.4 (28) 5.9 (32) -2.1 (58) Spliced Total Bond Market Index 3.6 (48) 2.3 (40) 2.1 (38) (48) 2.8 (55) 0.4 (25) 5.9 (33) -2.0 (50) IM U.S. Broad Market Core Fixed Income (MF) Median Colchester Global Bond Fund 8.0 (24) 1.7 (65) 0.2 (80) (24) 3.7 (46) -6.1 (88) -0.3 (78) -3.5 (69) Citigroup World Government Bond Index 7.5 (37) 1.7 (63) 0.1 (81) (37) 1.6 (78) -3.6 (44) -0.5 (79) -4.0 (78) IM Global Fixed Income (MF) Median Please Note: - Standard Deviation, Beta and Correlation are relative to the primary benchmark for the strategy - Manager and benchmark universe rankings are listed in parenthesis next to manager and benchmark returns - Peer Universe rankings range from 1 to 100. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is IM Median returns for mutual fund (MF) universes reported net of fees. - IM Median returns for separate account (SA) and commingled fund (CF) universes reported gross of fees. Community Foundation of the Chattahoochee Valley, Inc. 40

23 Private Equity Summary Private Capital As of December 31, 2017 Cash Flow Summary Inception Date: 11/09 Capital Committed: $11,250,000 Total Contributions: $6,509,197 Capital Contributed: $5,948,725 Remaining Capital Commitment: $5,301,275 Total Distributions: $3,074,982 Market Value: $5,045,029 Inception IRR: 10.0 PME+ (S&P 500 Index): 14.5 DPI: 0.5 RVPI: 0.8 TVPI: 1.3 Strategy Allocation and Remaining Commitment (% of Total Fund) Remaining Capital Market Value Commitment Buyouts Distressed Multi Strategy Secondaries Venture Capital Total Strategy Allocation By Market Value (%) Strategy Allocation by Remaining Capital Commitment (%) Venture Capital 22.1 Buyouts 14.6 Venture Capital 21.2 Secondaries 6.5 Secondaries 0.8 Multi Strategy 2.0 Buyouts 38.1 Multi Strategy 18.5 Distressed 38.3 Distressed 37.9 PME+ utilizes a public benchmark index to simulate the cash flows of the Private Equity program into a Public Market Equivalent (PME). The Private Equity program is outperforming the Public Market Equivalent when Program IRR is greater than the estimated PME IRR. Community Foundation of the Chattahoochee Valley, Inc. 45

24 Historical Cash Flows Private Capital As of December 31, 2017 Discrete Cash Flows & Cumulative Net Cash Flow (000s) 1, , , , ,434-3,000-3,434-4, Cumulative Cash Flow Distribution Contributions Cumulative Cash Flows & Net Asset Value (000s) 8,000 6,000 4,000 2, ,509 5,075 5,045 4,036 3,276 3,075 2,255 2,177 1,499 1, /09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 Net Asset Value Distribution Contributions Discrete cash flows reflect full calendar years and the current year to date. Cumulative cash flows reflect rolling annual dates starting from the date of the first cash flow. Community Foundation of the Chattahoochee Valley, Inc. 46

25 Vintage Year and Strategy Cash Flows Private Capital As of December 31, ,200 Vintage Year Commitments and Cash Flows (000s) 2,400 1, Market Value Capital Commitment Remaining Capital Commitment Contributions Distributions Strategy Commitments and Cash Flows (000s) 4,500 3,000 1,500 0 Buyouts Distressed Multi Strategy Secondaries Venture Capital Market Value Capital Commitment Remaining Capital Commitment Contributions Distributions Community Foundation of the Chattahoochee Valley, Inc. 47