Diocesan Investment Fund EXECUTIVE SUMMARY AS OF MARCH 31, 2018

Transcription

1 Diocesan Investment Fund EXECUTIVE SUMMARY AS OF MARCH 31, 2018 PORTFOLIO RESULTS The Diocesan Investment Fund (DIF) employs a diversified asset allocation consistent with its long term investment horizon. The DIF has experienced outperformance relative to peers over the long term due to the diversification of the Fund s allocation, as well as the outperformance of the Fund s managers relative to their corresponding benchmarks. 10.8% 6.0% 7.8% 7.9% -0.6% 1st Quarter of Year 10 Years Since 2003* Since Inception (1/1/1992) bottom 38% of peers top 16% of peers top 40% of peers *In 2003, the current best-in-class institutional investment manager approach was implemented. Figure 1: DIF net of fees returns as of March 31, 2018 top 25% of peers top 13% of peers INVESTMENT MANAGERS The Investment Committee meets quarterly with the DIF s consultant, Sellwood Consulting, to review the Fund s performance, asset allocation and manager structure, including performance of the individual investment managers. The Investment Committee and/or Sellwood meets with each investment manager on an ongoing basis to discuss investment results, strategy, and outlook for the future, as well as any changes or issues within the firm or investment team. Figure 2: DIF target composition

2 MANAGER STRATEGY DESCRIPTION Value Equity S&P 500 Index Large Cap Growth Equity Small Cap Equity Small Cap Index International Stock International Equity International Equity Total Return Bond Total Return Bond Total Return Bond Index America II Real Estate Value All Asset An institional mutual fund that employs a consistent bottom up approach designed to invest in companies that are selling at attractive valuations relative to their industry peers. An exchange traded fund (ETF) that seeks to replicate the performance of the S&P 500 Index. An institutional mutual fund that employs a bottom up research approach to seek companies that they believe have the opportunity for growth and the potential for excess returns. An institutional mutual fund that invests in U.S. small cap companies with a traditional value, absolute return focus. The manager places a premium on avoiding large losses and invests with a margin of safety. An institutional mutual fund that seeks to replicate the performance of the CRSP US Small Cap Index. A value oriented mutual fund that seeks long term capital growth by investing in a diversified portfolio of mid to large non U.S. companies. An institutional mutual fund that employs a long term, bottom up investment strategy, utilizing fundamental research to identify undervalued securities in the international stock market. An institutional mutual fund that seeks long term capital appreciation by employing a growth oriented investment strategy, investing in non U.S. developed markets and emerging markets. An institutional mutual fund that seeks to outperform the Barclay s Aggregate Index by creating a highly diversified intermediate term, fixed income portfolio. An institutional mutual fund that employs opportunistic positioning in the U.S. bond market to create a diversified, credit focused portfolio with little to no holdings overlap with the Aggregate Bond Index. An institutional mutual fund that seeks to replicate the performance of the Barclays Aggregate Bond Index. A private real estate investment trust that seeks to generate real returns by investing in high quality, income producing real estate, diversified geographically and by property type. An institutional mutual fund that employs a fundamental, valueoriented approach to construct a global real estate portfolio, with flexibility to invest in any industry or region or part of a company s capital structure. An institutional mutual fund with a real return strategy that invests tactically across underlying PIMCO mutual funds with the objective of outperforming inflation by a rate of 5% long term. Page 2

3 MANAGER STRATEGY DESCRIPTION Global Absolute Return Figure 3: DIF manager descriptions An institutional mutual fund, sub advised by Standard Life Investments, that provides exposure to a highly diversified array of skill based trades in global markets. INVESTMENT COMMITTEE MEMBERS Rick Grimshaw, Convenor St. Michael and All Angels, Portland (503) Dick Anderson Christ Church, Lake Oswego (503) Rev. Brendan Barnicle St. Stephen s, Portland (503) James Baxendale Trinity Cathedral, Portland (503) Jeffrey Krum Ascension, Portland (503) Roger Neu St. John the Baptist, Portland (503) Lindsey Williams St. John the Baptist, Portland (503) Mike Stone Treasurer Christ Church, Lake Oswego (503) Mike Penfield, ex-officio US Bank St. John the Baptist, Portland (503) Ashlee Moehring, ex-officio Investment Advisor Sellwood Consulting (503) Page 3

4 Diocese of Oregon Diocesan Investment Fund Performance % of QTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Return Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) Diocesan Investment Fund Jan-92 60% MSCI ACW Index / 40% Barclays Aggregate Index Trust Funds < $50mm Net Universe Rank US Equity Jan-06 Becker Value Equity Inst (BVEIX) Dec-16 Vanguard S&P 500;ETF (VOO) Jun-13 Jackson Square LCG Eq (DPLGX) Sep-13 Vanguard SmCp Idx;Adm (VSMAX) Sep-17 Champlain Small Cap Inst (CIPNX) Nov-17 Non US Equity Jan-06 Dodge & Cox Intl Stock (DODFX) Jun-10 Templeton Instl Intl Equity (TFEQX) Jun-10 Harding Loevner:IE;I (HLMIX) Jul-12 Fixed Income Jan-06 PIMCO:Tot Rtn;Inst (PTTRX) Nov-98 Guggenheim:Tot Rtn Bond (GIBIX) Dec-14 Vanguard:Tot Bnd Mkt Idx (VBTLX) Nov-17 Real Estate Jan-06 RREEF America II Jul-02 Third Avenue Real Estate (TAREX) May-14 Marketable Alternatives Aug-02 Aurora Offshore Fund I Aug-02 PIMCO:All Asset;Inst (PAAIX) Jul-09 JHancock:Glbl AbsRet;R6 (JHASX) Sep-16 Composite-level data prior to January 1, 2013 has been provided by the previous consultant. Starting January 1, 2013 all manager performance is client-specific after the client inception date. Rates of Return Ending March 31, 2018 Inception Since Page 4

5 Diocese of Oregon Diocesan Investment Fund As of March 31, 2018 Asset Allocation vs. Target Current Target Difference Target Range Within Range US Large Cap Equity 32.8% 32.0% 0.8% 26.0% % Yes Becker Value Equity Inst (BVEIX) 11.4% Vanguard S&P 500;ETF (VOO) 10.8% Jackson Square LCG Eq (DPLGX) 10.6% US SMID Cap Equity 8.6% 8.0% 0.6% 6.0% % Yes Vanguard SmCp Idx;Adm (VSMAX) 4.2% Champlain Small Cap Inst (CIPNX) 4.3% Non-US Equity 23.3% 24.0% -0.7% 19.0% % Yes Dodge & Cox Intl Stock (DODFX) 7.0% Templeton Instl Intl Equity (TFEQX) 7.9% Harding Loevner:IE;I (HLMIX) 8.3% Fixed Income 15.7% 16.0% -0.3% 13.0% % Yes PIMCO:Tot Rtn;Inst (PTTRX) 7.5% Guggenheim:Tot Rtn Bond (GIBIX) 4.0% Vanguard:Tot Bnd Mkt Idx (VBTLX) 4.1% Real Estate 7.2% 7.0% 0.2% 5.0% - 9.0% Yes RREEF America II 3.6% Third Avenue Real Estate (TAREX) 3.6% Marketable Alternatives 11.8% 12.5% -0.7% 10.0% % Yes Aurora Offshore Fund I 0.0% PIMCO:All Asset;Inst (PAAIX) 5.2% JHancock:Glbl AbsRet;R6 (JHASX) 6.6% Cash Equivalent 0.7% 0.5% 0.2% 0.0% - 2.0% Yes Fidelity Instl MM Govt I (FIGXX) 0.7% Total 100.0% 100.0% XXXXX Page 5

6 Diocese of Oregon Diocesan Investment Fund As of March 31, 2018 Page 6