Investment Committee Quarterly Activity Report 1. CHIEF INVESTMENT OFFICER REPORT

Transcription

1 Investment Committee Quarterly Activity Report 1. CHIEF INVESTMENT OFFICER REPORT

2 CALSTRS INVESTMENT COMMITTEE QUARTERLY ACTIVITY REPORT CHIEF INVESTMENT OFFICER REPORT To help the Investment Committee and the public review these quarterly reports for each asset class, it is important to first understand the backdrop of the global capital markets during the quarter ending Sept 30, It is also important to view the longer term trend in the financial markets over the past three to five years. Please take the time to review this first before reading all the asset class quarterly reports. Equity Market Returns around the world for quarter ending Sept 30, 2014 UK -6.1% USA -0.02% EURO -7.1% Japan -2.3% Developed Markets (MSCI EAFE) -5.7% Emerging Markets Pacific -3.6% (MSCI EM) -3.5% All indices exclude tobacco holdings and will also exclude certain firearms effective April 30, 2013 Russell 3000 FTSE 100 Nikkei 225 Trailing 12 Months Ending Sept. 30, Trailing 3 Years Ending Sept. 30, FOR THE QUARTER AND YEAR ENDING SEPTEMBER 30,

3 CALSTRS INVESTMENT COMMITTEE QUARTERLY ACTIVITY REPORT U.S. Treasury Yield Curve FY Interest Rates June 30, 2014 Sept. 30, Mo 6 Mo 1 YR 2 YR 5YR 7 YR 10 YR 30YR Capital Market Returns for the three years and the five years ending Sept 30, Years 5 Years U.S. Equity 11.8 All World Ex U.S. 2.9 Fixed Income 11.8 Real Estate Index 19.4 Prvt Eq Index 0.1 Cash U.S. Equity 5.9 All World Ex U.S. 4.4 Fixed Income 9.9 Real Estate Index Prvt Eq Index 0.1 Cash FOR THE QUARTER AND YEAR ENDING SEPTEMBER 30,

4 CALSTRS INVESTMENT COMMITTEE QUARTERLY ACTIVITY REPORT Financial Market Indicators Sept. 30, 2014 Global Equity Market P/E Ratios U.S. Corporate Bond Market Spread 540 Spread Spreads are Tight Spreads are Wide U.S. Real Estate Market Cap Rate U.S. Private Equity EBITDA Multiple 10 Cap 5 X Historic average 7.9 Avg. Cap Rate Office prop. 5.2% Avg. Cap Rate Cap 10 X 9.8 U.S. Inflation Rate 1.7% yoy Zero Inflation Double Digit Inflation FOR THE QUARTER AND YEAR ENDING SEPTEMBER 30,

5 CALSTRS INVESTMENT COMMITTEE QUARTERLY ACTIVITY REPORT Asset Allocation over time Jul 14 Aug 14 Sept Target Long-term Target Global Stock 57.0% 58.1% 56.2% 55.0% 51.0% Fixed Income 15.7% 15.7% 15.8% 17.0% 16.0% Real Estate 11.9% 11.7% 12.2% 13.0% 13.0% Private Equity 11.4% 11.0% 11.5% 13.0% 13.0% Inflation Sensitive 0.7% 0.7% 0.7% 1.0% 6.0% Absolute Return 0.8% 0.8% 0.8% 0.0% 0.0% Cash 2.5% 2.0% 2.8% 1.0% 1.0% September 30, 2014 Asset Mix Fixed Income 15.8% Real Estate 12.2% Private Equity 11.5% Global Stock 56.2% Cash 2.8% Inflation Sensitive 0.7% Absolute Return 0.8% Allocation over the past 3 years 100% 80% 60% 40% 20% 0% Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-14 Jan-14 Mar-14 May-14 Jul-14 Sep-14 FOR THE QUARTER AND YEAR ENDING SEPTEMBER 30,

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13 As of September 30, 2014 (reflected in millions) As of September 30,

14 (* Securities, Positions & FXs - amounts in USD in millions) Public Assets Real Estate Private Equity Total 13

15 Asset Securities On-Loan Collateral Valuation Percent 14

16 Firm Name Key Person Making Gift Identity of Recipient Date of Contribution Value of Contribution Date CalSTRS Notified Expiration of Disqualification 15

17 Internal Marketing Firms* Firm/Staff Registered Firm Name Placement Agent Names Registration Lobbyist CA 16

18 Internal Marketing Firms* Firm/Staff Registered Firm Name Placement Agent Names Registration Lobbyist CA 17

19 Internal Marketing Firms* Firm/Staff Registered Firm Name Placement Agent Names Registration Lobbyist CA Yes 18

20 Internal Marketing Firms* Firm/Staff Registered Firm Name Placement Agent Names Registration Lobbyist CA 19

21 (Fees are not paid by CalSTRS) Fees Paid to CalSTRS PA s by GPs Commitment Asset Commitment through Date Fund Name Class Fund Manager Placement Agent Firm (in millions) 9/30/14 20

22 (Fees are not paid by CalSTRS) Fees Paid to CalSTRS PA s by GPs Commitment Asset Commitment through Date Fund Name Class Fund Manager Placement Agent Firm (in millions) 9/30/14 Bold Blue indicates new data from prior quarter/totals. 21

23 (Fees are not paid by CalSTRS) CalSTRS Fees Paid to PA s Commitment Asset Commitment by GPs through Date Fund Name Class Fund Manager Placement Agent Firm (in millions) 9/30/14 Bold Blue indicates new data from prior quarter/totals. 22

24 For Transactions Requiring Board Approval in Closed Session Transaction Closed Board Vote Voting Record Transaction Closed Board Vote Voting Record Transaction Closed Board Vote Voting Record 23