December 31 st, 2015 31 décembre 2015 1
2015 Endowment survey Highlights HIGHLIGHTS Total Asset Growth since 2008 ENDOWMENTS 88 % of total assets Median 2015 return 5,0 % Median 2015 10 yrs annualized return Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation 6,0 % Advantage 1st quartile 7,3 % vs 4th quartile 2,7 % Advantage 1st quartile 6,6 % vs 4th quartile 5,0 % 1st quartile : lowest into bond highest into alternative 4th quartile : the exact opposite Reducing by -2,1 % Increasing by 1,9 % Mostly seen into 1st quartile : Real Estate 7,4 % Hedged Funds 7,3 % 2
Survey Statistics - Endowments 72 Participants (Endowment) 67 69 67 67 66 64 68 66 68 69 Stable 61 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Year 7.9 Total Endowment Assets Under Management ($ billions) 9.0 10.4 10.9 8.7 10.8 11.0 10.8 12.1 14.0 15.3 Total = 18,4 Endowment = 16,4 88 % of total assets growth since 2008 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Year 3
Changes to the funds sub-grouping : Endowment Quartiles Fund sub-groups are now based on quartiles : To keep an even number of funds per group : Endowments Quartiles 2014 2015 1st = 25 th largest funds Above $ 220 M Above $ 300 M 2 nd = 25 th next largest $ 55 M to $ 220 M $ 80 M to $ 300 M 3rd = 25 th next $ 20 M to $ 55 M $ 25 M to $ 80 M 4th = 25 th smallest Below $ 20 M Below $ 25 M For historical comparison, I suggest that we match the new quartiles grouping to each sub-groups definitions we used prior to 2015 we used to separate funds based on a static value of assets under management Endowments subgroups 2014 sub-groups definitions 2015 quartile definitions Group 1 = 1 st quartile Above $ 100 M Above $ 300 M Group 2 = 2 nd quartile $ 30 M to $ 100 M $ 80 M to $ 300 M Group 3 = 3 rd quartile $ 10 M to $ 30 M $ 25 M to $ 80 M Group 4 = 4 th quartile Below $ 10 M Below $ 25 M 4
2015 Endowment: Average Asset Allocation (Dollar Weighted within each Group) December 2015 - in quartiles by fund size 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 4th Quartile 3rd Quartile 2nd Quartile 1st Quartile Equity 49.8% 62.8% 60.9% 55.0% Alternatif 7.3% 3.5% 5.2% 22.7% Bond 38.2% 29.0% 29.5% 21.0% Cash 4.7% 4.7% 4.4% 1.3% Equity Alternatif Bond Cash 1 st quartile is > $ 300 M 2 nd quartile is $ 80 to 300 M 3 rd quartile is $ 25 to 80 M 4 th quartile is < $ 25 M 5
2003 Endowment: Average Asset Allocation (Dollar Weighted within each Group) December 2003 - in quartiles by fund size 70.0 60.0 50.0 40.0 30.0 20.0 10.0 - smallest 25% med-small med-large largest 25% Equity 41.3 53.9 55.8 60.1 Alternative - 0.2 2.3 8.2 Fixed Income 45.9 42.3 36.4 29.5 Cash 12.9 3.6 5.5 2.3 Equity Alternative Fixed Income Cash 6
Compare Asset Allocation Endowments : 2015 vs 2014 Endowments 2015 2014 Changes Equity 56,1% 58,1% -2,1% Alternative 19,3% 17,4% 1,9% Fixed Income 22,7% 22,7% 0,0% Cash 1,9% 1,8% 0,1% Total 100,0% 100,0% 0,0% 7
December 2015 Alternative Investment profile Total Asset by Endowment Quartiles % of total AUM 1 st quartile 2 nd quartile 3 rd quartile 4 th quartile Real Estate 1 144 495 6,2% 1 056 308 60 989 18 535 8 663 Hedge Funds 1 120 692 6,1% 1 080 407 33 501 6 784 Private Equity 653 153 3,5% 650 566 2 586 Others 560 332 3,0% 519 140 32 538 2 107 6 547 Commodity 76 441 0,4% 76 441 Total Alternative 3 555 113 19,3% 3 382 863 127 028 30 012 15 211 Weights vs sub-total 22,7 % 5,2 % 3,5 % 7,3 % Weights vs total allocation to the asset class 95,2 % 3,6 % 0,8 % 0,4 % Total Assets 18 420 497 14 902 126 2 440 722 870 398 207 251 Weights vs Total Asset 18,4 % 0,7 % 0,2 % 0,1 % December 2014 Alternative Investment profile by Endowment size Total Asset % of total AUM > 100 millions $ > $30 Million to $100 Million > $10 Million to $30 Million $10 Million Real Estate 973 390 6,3% 908 269 54 842 10 279 Hedge Funds 969 656 6,3% 951 166 18 490 Private Equity 467 801 3,1% 466 368 1 433 Others 413 376 2,7% 370 420 35 470 7 486 Commodity 90 074 0,6% 90 074 Total Alternative 2 914 296 19,0 % 2 786 296 110 235 17 765 0 Weights vs total allocation to the asset class 95,6 % 3,8 % 0,6 % 0,0 % Weights vs sub-total 20,5 % 7,3 % 10,6 % 0,0 % Total Assets 15 329 200 13 598 682 1 512 927 167 223 50 368 Weights vs Total Asset 18,2 % 0,7 % 0,1 % 0,0 % 8
Endowment - Historical Annual Returns for each year, ending December 31 st 30.0% 20.0% 10.0% 5,0 % 0.0% -10.0% -20.0% 10th percentile 25th percentile Median 75th percentile 90th percentile -30.0% 9
2015 Annual Return Distribution by Endowment Quartiles 30.0% 25.0% 20.0% 26.1% High Median Low 15.0% 10.0% 5.0% 0.0% -5.0% 7.3% 2.2% 11.6% 4.9% 9.5% 5.4% 1.0% 8.8% 2.7% -2.6% Overall median = 5,0 % -10.0% -10.4% -15.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 10
Historical Median One Year Returns by Endowment Quartiles 20% 15% 10% 5% 0% -5% -10% -15% -20% 1st quartile 2nd quartile 3rd quartile 4th quartile Year 11
Endowment - Annualized Returns (December 31 st, 2015) 16.0% 14.0% 12.0% 10.0% 11.2% 10.6% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 7.8% 8.6% 6.0% 4.0% 5.0% 6.0% 2.0% 0.0% 1 Year 2 Year 3 Year 4 Year 5 Year 10 Year 12
16.0% 14.0% 12.0% Endowment - Historical Ten Year Annualized Returns for each period, ending December 31 st 10th percentile 25th percentile Median 75th percentile 90th percentile 10.0% 8.0% 6.0% 6,0% 4.0% 2.0% 0.0% 13
2015 Ten Year Returns Distribution by Endowment Quartiles 14.0% 12.0% 10.0% 13.1% High Median Low 8.0% 6.0% 4.0% 7.6% 7.7% 6.6% 6.2% 5.7% 4.5% 4.4% 4.4% 6.9% 5.0% Overall median = 6,0 % 2.0% 1.4% 0.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 14
December 31 st, 2015 31 décembre 2015 15
2015 Pension survey Highlights HIGHLIGHTS Total Asset Growth since 2008 PENSIONS 66 % of total assets Median 2015 return 6,2 % Median 2015 10 yrs annualized return Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation 6,3 % Advantage 1st quartile 7,4 % vs 4th quartile 4,5 % Advantage 1st quartile 6,8 % vs 4th quartile 6,0 % 1st quartile : lowest into equity highest into alternative 4th quartile : the exact opposite Reducing by -1,9 % Increasing by 1,6 % Mostly seen into 1st quartile : Real Estate 5,8 % Hedged Funds 3,3 % 16
Survey Statistics 54 52 57 55 Participants (Pension) 56 54 56 55 56 54 Stable 50 50 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Year 25.4 Total Pension Assets Under Management ($ billions) 34.4 34.3 34.4 35.4 30.1 31.3 31.4 28.1 44.5 39.4 46.7 66 % of total assets growth since 2008 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Year 17
Changes to the funds sub-grouping : Pension Quartiles Fund sub-groups are now based on quartiles to keep an even number of funds per group : Pensions Quartiles 2014 2015 1st = 25 th largest funds Above $ 1 250 M Above $ 1 256 M 2 nd = 25 th next largest $ 355 M to $ 1 250 M $ 370 M to $ 1 256 M 3rd = 25 th next $ 123 M to $ 355 M $ 150 M to $ 370 M 4th = 25 th smallest Below $ 123 M Below $ 150 M For historical comparison, I suggest that we match the new quartiles grouping to each sub-groups definitions we used prior to 2015 we used to separate funds based on a static value of assets under management Pensions Quartiles 2014 sub-group definitions 2015 quartile definitions 1st = 25 th largest funds Above $ 500 M Above $ 1 256 M 2 nd = 25 th next largest $ 150 M to $ 500 M $ 370 M to $ 1 256 M 3rd = 25 th next $ 30 M to $ 150 M $ 150 M to $ 370 M 4th = 25 th smallest Below $ 30 M Below $ 150 M 18
2015 70.0% Pension: Average Asset Allocation Dollar Weighted within each Group December 2015 - in quartiles by fund size 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 4th quartile 3rd quartile 2nd quartile 1st quartile Equity 61.6% 55.6% 54.5% 47.6% Alternative 4.1% 5.9% 12.0% 18.1% Fixed Income 31.2% 36.3% 32.5% 31.8% Cash 3.2% 2.2% 1.1% 2.5% Equity Alternative Fixed Income Cash 1 st quartile is > $ 1 256 M 2 nd quartile is $ 370 to 1 256 M 3 rd quartile is $ 150 to 370 M 4 th quartile is < $ 150 M 19
2003 70.0 Pension: Average Asset Allocation Dollar Weighted within each Group December 2003 - in quartiles by fund size 60.0 50.0 40.0 30.0 20.0 10.0 - smallest 25% med-small med-large largest 25% Equity 60.8 63.2 59.9 56.9 Alternative 1.4 0.2 2.3 3.5 Fixed Income 34.1 34.1 35.2 37.6 Cash 3.7 2.5 2.6 2.0 20
Compare Asset Allocation Pensions : 2015 vs 2014 Pensions 2015 2014 Changes Equity 50,2% 52,1% -1,9% Alternative 15,4% 13,8% 1,6% Fixed Income 32,3% 31,9% 0,4% Cash 2,1% 2,3% -0,2% Total 100,0% 100,0% 0,0% 21
December 2015 Alternative investment profile by Pension size Total Asset % of total AUM 1 st quartile 2 nd quartile 3 rd quartile 4 th quartile Real Estate 2 520 403 5,4% 1 757 716 563 788 172 431 26 468 Hedge Funds 1 282 313 2,7% 1 010 132 272 181 Private Equity 1 142 784 2,4% 867 127 275 656 Others 2 086 137 4,5% 1 722 985 331 853 26 853 4 446 Commodity 154 480 0,3% 152 658 1 822 Total Alternative 7 186 117 15,40% 5 510 618 1 445 301 199 284 30 914 Weights vs total allocation to the asset class 76,7% 20,1% 2,8% 0,4% Weights vs sub-group 18,1 % 12,0 % 5,9 % 4,1 % Total Asset 46 701 500 30 523 082 12 040 944 3 384 830 752 644 Weights vs Total Asset 11,8% 3,1% 0,4% 0,1% December 2014 Alternative investment profile by Pension size Total Asset % of total AUM Pension > 500 millions $ Pension > $150 Million to $500 Million Pension > $30 Million to $150 Million Pension $30 Million Real Estate 2 052 935 4,6% 1 803 378 224 958 24 599 Hedge Funds 1 613 684 3,6% 1 580 880 32 804 Others 1 337 212 3,0% 1 309 862 27 350 0 Private Equity 693 291 1,6% 693 204 87 Commodity 202 955 0,5% 202 955 Total Alternative 5 900 077 13,3 % 5 590 279 285 199 24 599 0 Weights vs total allocation to the asset class 94,7% 4,8% 0,4% 0,0% Weights vs sub-group 14,4 % 5,9 % 2,7 % 0,0 % Total Asset 44 659 562 38 783 316 4 808 554 926 309 189 987 Weights vs Total Assets 12,6% 0,6% 0,1% 0,0% 22
Pension - Historical Annual Returns for each year, ending December 31 st 30.0% 20.0% 10.0% 0.0% 6,2 % -10.0% -20.0% 10th percentile 25th percentile Median 75th percentile 90th percentile -30.0% 23
2015 Annual Return Distribution by Pension Quartiles 12.0% 10.0% 8.0% 6.0% 10.2% 7.4% 9.3% 6.2% 10.2% 6.0% 7.4% High Median Low Overall median = 6,2 % 4.0% 3.0% 3.9% 3.2% 4.5% 2.0% 0.0% -0.2% -2.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 24
Historical Median One Year Returns by Pension Quartiles 20% 15% 10% 5% 0% -5% -10% -15% -20% 1st quartile 2nd quartile 3rd quartile 4th quartile 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Year 25
14.0% Pensions - Annualized Returns (December 31 st, 2015) 12.0% 10.0% 10.7% 10.5% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 8.4% 8.6% 6.0% 6.2% 6.3% 4.0% 2.0% 0.0% 1 Year 2 Year 3 Year 4 Year 5 Year 10 Year 26
Pensions - Ten Year Annualized Returns for each period, ending December 31 st 14.0% 12.0% 10.0% 10th percentile 25th percentile Median 75th percentile 90th percentile 8.0% 6.0% 6,3 % 4.0% 2.0% 0.0% 27
2015 Ten Year Returns Distribution by Pension Quartiles 14.0% 12.0% High Median Low 10.0% 8.0% 6.0% 4.0% 7.3% 7.4% 6.8% 6.4% 5.5% 4.7% 6.9% 6.2% 4.7% 7.2% 6.0% 3.8% Overall median = 6,3 % 2.0% 0.0% 1st quartile 2nd quartile 3rd quartile 4th quartile 28
2015 Investment Survey Highlights HIGHLIGHTS PENSIONS ENDOWMENTS Total Asset Growth since 2008 66 % of total assets 88 % of total assets Median 2015 return 6,2 % 5,0 % Median 2015 10 yrs annualized return 6,3 % 6,0 % Median return by fund size : 1 yr Median return by fund size : 10 yrs Main asset allocation divergence by fund size Total allocation to Equity Total allocation to Alternative Alternative investment main allocation Advantage 1st quartile 7,4 % vs 4th quartile 4,5 % Advantage 1st quartile 6,8 % vs 4th quartile 6,0 % 1st quartile : lowest into equity highest into alternative 4th quartile : the exact opposite Reducing by -1,9 % Increasing by 1,6 % Mostly seen into 1st quartile : Real Estate 5,8 % Hedge Funds 3,3 % Advantage 1st quartile 7,3 % vs 4th quartile 2,7 % Advantage 1st quartile 6,6 % vs 4th quartile 5,0 % 1st quartile : lowest into bond highest into alternative 4th quartile : the exact opposite Reducing by -2,1 % Increasing by 1,9 % Mostly seen into 1st quartile : Real Estate 7,4 % Hedge Funds 7,3 % 29