The University of California Review of the Foundations

The University of California Review of the Foundations’ Investment Performance and Asset Allocation For periods ending June 30, 2010

Investment Consulting Services University of California Foundations – Second Quarter 2010 Report

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Contents

1. Report Summary ......................................................................................................1

2. Individual Analysis by Foundation.............................................................................9

3. Performance and Asset Allocation by Foundation...................................................20


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1

Report Summary

In this report, we present Mercer’s review of the investment performance and asset allocation of the University of California Campus Foundations for periods ending June 30, 2010. This report is based on the investment information provided by State Street and reflects the reconciled and signed-off results – except for UC Berkeley, which acknowledges the results but does not provide a formal sign off on results – of each Foundation. Section 1 is a synopsis of key information provided in the report.


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Investment Performance – Summary The economy grew at a slower than expected pace during the quarter as industrial production and consumer spending weakened. The unemployment rate fell slightly due to discouraged workers that gave up the job hunt. Retail sales and consumer confidence decreased amid concerns over an economic slowdown. Home prices remained sluggish as mortgage applications plunged to the lowest level in more than 13 years and new home sales fell to a record low. The stock market responded with significant losses while the bond market posted solid results. In Europe, issues with sovereign debt escalated during the quarter. The European Union created the European Financial Stability Facility to quell market turmoil and the European Central Bank began buying government and private debt and reopened dollar swap lines with the Fed. Consequently, the Foundations suffered from the market correction and posted returns ranging from -3.4% to -6.4%, while the GEP achieved -4.5% for the first quarter. The ranges of the Campus Foundations’ total return investment performance and their individual policy benchmarks for periods ending June 30, 2010 are shown in the following graph:

Distribution of Foundations and Benchmark Returns as of June 30, 2010

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

1 Quarter 2 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

GEP

Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench GEP -4.48% -5.49% -2.04% -3.37% 11.31% 9.05% -4.57% -2.63% -3.55% -1.75% 3.70% 4.45% 3.01% 3.58% Maximum -3.41% -3.36% 0.05% -1.27% 15.76% 18.28% -2.26% -1.70% -2.49% -1.75% 5.20% 4.45% 5.45% 3.58% 25th P -4.32% -4.53% -1.24% -1.67% 13.97% 10.97% -4.50% -2.63% -3.48% -1.93% 3.73% 4.33% 3.43% 3.52% Median -4.48% -5.49% -1.88% -2.98% 11.78% 10.18% -5.18% -3.92% -4.03% -3.01% 3.48% 3.70% 3.30% 3.14% 75th P -4.70% -5.64% -2.04% -3.37% 11.31% 9.05% -5.71% -5.13% -4.07% -4.44% 3.12% 2.91% 2.90% 2.72% Minimum -6.35% -7.72% -2.85% -5.12% 10.48% 8.98% -6.35% -6.88% -6.58% -6.65% 1.76% 1.03% 2.04% 1.91%

Weak performance in the equity markets and mixed results in alternative investments impacted the Foundations short- and long-term performance. For periods 3 years and below (with the exception of the 1-year period), performance across all foundations was weak with returns ranging from 0.1% to -6.6%. However, performance for the 5- and 10-year periods remained positive as the median returned 3.5% and 3.3%, respectively. For the second quarter, seven of the ten Foundations exhibited positive excess returns relative to their respective policy benchmarks. Their largest performance contributors were the overweight allocation to fixed income and/or underweight to public equities coupled with superior manager performance in public equities. The performance results for the alternative investments were mixed and partly affected by the performance time lag. On an absolute return basis Irvine, Riverside, San Diego and Santa Barbara each posted results below the GEP return. Irvine implemented a few considerable asset allocation shifts during this quarter,


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adding high yield bonds, global bonds and emerging market debt, and augmenting the exposure to alternatives from 36% to 43%. San Diego overweighed alternative investments and public equities, and underweighted fixed income. Riverside suffered from its allocation to high yield bonds (21%) and commodities (6%), and Santa Barbara lagged due to its overweight to public equities. The outperformers for the quarter were Berkeley, UCLA and San Francisco, which posted returns of -4.3%, -3.9% and -3.4% respectively. These Foundations benefited from its underweight in public equity relative to the GEP. Relative to the Foundations’ individual benchmark, UCLA underperformed by 54 basis points largely due to its overweight in public equities and poor manager performance in the “Absolute Return/Marketable Alternative/Hedge Funds” asset class, which represents 30% of the portfolio. Santa Barbara’s overweight to public equities coupled with weak manager selection resulted in an underperformance of 67 basis points. Despite of having a poor absolute performance, Riverside outperformed its benchmark by 191 basis points because of an underweight in public equities and allocation to cash. The graph below presents the performance details for the second quarter 2010:

Total Performance Quarter Ending June 30, 2010

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-6.0%

-5.0%

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-2.0%

-1.0%

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Berkeley Davis Irvine UCLA Merced Riverside San Diego SanFrancisco

SantaBarbara

Santa Cruz GEP

Portfolio

Variance from Benchmark

The following graph shows the excess return over a 1-year rolling period, reflecting the observed performance trend of the Foundations. We noticed a wider divergence of excess returns starting from the early market turmoil in August 2007. This led to three major observations: San Francisco has outperformed its benchmark consistently since the market crisis in 2008; Riverside has maintained a superior performance trend since 2007, but this trend reversed, becoming significantly negative in 2009, and recently reversed yet again to positive excess returns; and Santa Barbara, which started in October 2007 to invest outside the GEP, has not overcome the negative performance trend and experienced negative excess returns of 3.3% for the fiscal year-to-date ending June 30, 2010.


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Excess Return Rolling 1 YearPortfolio Versus Individual Benchmark June 2006 to June 2010

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Jun2006

Sep2006

Dec2006

Mar2007

Jun2007

Sep2007

Dec2007

Mar2008

Jun2008

Sep2008

Dec2008

Mar2009

Jun2009

Sep2009

Dec2009

Mar2010

UC BerkeleyUC Davis (invested in GEP/STIP)UC IrvineUCLAUC Merced (invested in GEP)UC RiversideUC San DiegoUC San FranciscoUC Santa BarbaraUC Santa Cruz (invested in GEP/STIP)GEP

The next graph shows the Foundations’ excess return after adjusting for beta, or level of market exposure (relative to each Foundation’s individual benchmark). The results are shown in the beta-adjusted excess return rolling 1-year chart below:

Beta-Adjusted Excess Return (Alpha) Rolling 1 YearPortfolio Versus Individual Benchmark June 2006 to June 2010

-15.0%

-10.0%

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Jun2006

Sep2006

Dec2006

Mar2007

Jun2007

Sep2007

Dec2007

Mar2008

Jun2008

Sep2008

Dec2008

Mar2009

Jun2009

Sep2009

Dec2009

Mar2010

UC BerkeleyUC Davis (invested in GEP/STIP)UC IrvineUCLAUC Merced (invested in GEP)UC RiversideUC San DiegoUC San FranciscoUC Santa BarbaraUC Santa Cruz (invested in GEP/STIP)GEP


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While the Foundations have had market exposure consistent with their benchmarks in the past, we observed that most of the Foundations have generally reduced their risk exposure since the market downturn. We have noticed that not all of the Foundations participated fully in the market recovery because of their underweight to alternative investments and allocation to cash. However, if those Foundations had rebalanced to their benchmark weights, positive excess returns could have been achieved. San Francisco and UCLA were best able to manage their portfolio risk through these volatile markets through end of 2009. In 2010, however, their excess returns have deteriorated. Riverside and Santa Barbara were anomalies in that their excess returns were most divergent among the Foundations, signaling the low beta exposure they had during the market rebound in 2009. This indicates that they took on less market risk during the recovery since early 2009, and suffered in performance as a result. In the next step, we analyzed the risk level taken by the Foundations to achieve their returns. The graphs below are snapshots of each Foundation’s risk–return profile for 3 and 5 years calculated on a monthly basis: The weak performance of this quarter resulted in a less favorable risk–return profile in comparison with the prior quarter, with the Foundations’ achieving returns in the range of 1.8% to 5.2% and risk in the range of 9.3% to 12.8% for the 5-year period. The 3-year period returns decreased significantly; all Foundations posted negative annualized 3-year returns. As in the previous quarters, we noted that Santa Barbara took on higher risk while underperforming against the median. In October 2007, Santa Barbara adopted its own investment strategy, including a 42% allocation to alternative investment. The ongoing funding of the private equity and real estate managers coupled with an overweight in public equities resulted in high tracking error and weak returns for Santa Barbara. In addition, we evaluated the portfolios’ active risk, which measures how closely the portfolio follows a specified benchmark:

Portfolio Return and Risk for 3 Years Ending June 2010

UCBGEP

UCMUCSC

UCD

UCSDUCLA

UCSF

UCI UCSB

UCR

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

8.0% 9.0% 10.0% 11.0% 12.0% 13.0% 14.0% 15.0% 16.0%Risk

Ret

urn

Portfolio Return and Risk for 5 Years Ending June 2010

UCR

UCSBUCI

UCSFUCLAUCSD

UCD

UCSCUCMGEP

UCB

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

8.0% 9.0% 10.0% 11.0% 12.0% 13.0% 14.0% 15.0% 16.0%Risk

Ret

urn


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Annualized Tracking Error and Excess Return Portfolio Versus Individual Benchmark for 3 Years Ending June 2010

UCB

GEPUCMUCSC

UCDUCSD

UCLA

UCSF

UCI

UCSB

UCR

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

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0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0%

Tracking Error

Exce

ss R

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The graph above reflects the active risk and excess return of the individual portfolios when compared to their respective benchmarks over 3 years. When compared to the excess returns of the other foundations, we found that San Francisco, Riverside and UCLA had superior excess returns of 2.6%, 2.5%, and 0.0%, respectively. It should be noted that Riverside’s active risk (at 7.8%) is significantly higher than San Francisco’s (at 4.4%) and UCLA’s (at 1.9%). We want to emphasize that Riverside regularly changes its investment policy targets but uses a blended benchmark (71% MSCI AWCI, 29% Barclay’s Capital Aggregate) for its total fund calculation, resulting in a notably higher tracking error. For Santa Barbara as well, we observed a higher-than-average tracking error coupled with an unfavorable excess return of -4.1%. In comparison to the average of the Foundations that are invested in the GEP, UC Berkeley and San Diego took on a slightly higher risk and realized higher returns, while Irvine achieved a better return while taking on the same risk. With respect to the performance impact of alternative investments, we emphasized that Berkeley and UCLA have implemented interim benchmarks to reflect their ongoing funding of alternative asset classes. Santa Barbara (which started to invest outside the GEP in October 2007, including a significant asset allocation of 42% to alternative investments) has not developed an interim benchmark. Instead, its results are measured against its long-term target benchmark, which is less comparable to institutions that have more realistic policy targets.


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Policy Compliance Davis, Merced, and Santa Cruz are invested 100% in GEP and STIP. The other 7 Foundations have implemented their own individual investment policies. The overview of the Foundations’ asset allocation as of June 30, 2010 versus the individual benchmark is presented below.

Actual Asset Allocation versus Benchmark As of June 30, 2010

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Ber

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Dav

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LiquidityPublic Fixed IncomeAlternative InvestmentsPublic Equity

As we mentioned earlier, Berkeley and UCLA have implemented interim benchmarks to reflect their ongoing funding of alternative asset classes. These interim benchmarks are dynamically adjusted and will be reviewed periodically as the asset allocation moves closer to Berkeley’s and UCLA’s long-term policy targets. Please note that policy compliance checks variance from the benchmark policy on a sub asset class level. Riverside uses a secondary blended benchmark (71% MSCI AWCI and 29% Barclay’s Capital Aggregate) for their total fund benchmark which is not reflected in the chart above. Furthermore, the GEP changed its Hedge Fund benchmark on March 1, 2009 to HFRX (market based) from T-Bills + 4.5%. As a result, the GEP benchmark was comparatively higher than most Foundations. However, if the HFRX benchmark had been used consistently the three-year excess return would have improved.


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The following table reflects the difference between the asset allocation as of June 30, 2010 and the allocation defined in the investment policy statement for each Foundation. Any exposure outside the individual policy ranges is shaded, and the heat map on the right side shows by how much. Over-/Underweight to Individual Foundation Policy as of June 30, 2010

Public Equity

Alternative Investments

Public Fixed Income Liquidity

Total Assets

Berkeley -3.5% -9.8% 3.2% 10.2% #REF! > 5%Davis -2.4% 0.5% 0.7% 1.2% #REF! + 4% to + 5%Irvine -6.5% 2.0% 2.6% 1.8% #REF! + 3% to +4%UCLA 3.6% -4.7% 1.1% 0.0% #REF! + 2% to + 3%Merced -2.4% 0.5% 0.7% 1.2% #REF! + 0% to + 2%Riverside -9.2% -3.3% 2.0% 10.5% #REF! Within policy rangesSan Diego -0.4% -1.1% 0.5% 1.0% #REF! - 0% to -2%San Francisco -1.2% -3.5% -1.7% 6.4% #REF! - 2% to -3%Santa Barbara 9.0% -18.3% 5.3% 4.0% #REF! - 3% to -4%Santa Cruz -2.4% 0.5% 0.7% 1.2% #REF! - 4% to -5%

< -5%

% Outside the Individual Policy Range

We found that only Santa Barbara, which in October 2007 adopted a 42% target allocation in alternative investment, is below the bottom of its policy range, by 6.3%. Analysis and Recommendations Mercer Investment Consulting, Inc. (MIC) as the General Investment Consultant to The Regents of the University of California has been directed by the Committee on Investments to review the Campus Foundations’ investment policies to ensure that they are consistent with industry best practices. In compliance with the Regents Policy 6201 Investment Policy for the University of California Campus Foundations, Mercer has reviewed for each Foundation:

Investment policy and asset allocation relative to its policy Performance by asset class and relative to its benchmarks Asset allocation target percentages Ranges for each asset class Policy benchmarks for each asset class and in total Investment guidelines for each asset class as applicable

Based on our review of the UC Campus Foundations’ investment policies and the available documentation, MIC has no issues of concern to address as of June 2010. MIC fully supports the Regents’ investment policy for the Campus Foundations. This policy satisfies the Regents’ fiduciary responsibilities and allows the Campus Foundations to manage their assets in a manner consistent with industry best practices.


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2

Individual Analysis by Foundation

University of California Berkeley 10

University of California Davis 11

University of California Irvine 12

University of California Los Angeles 13

University of California Merced 14

University of California Riverside 15

University of California San Diego 16

University of California San Francisco 17

University of California Santa Barbara 18

University of California Santa Cruz 19


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6 2.4 16 7.1 0.6

4 0.8 14 5.3 0.2

2 -0.8 12 3.5 -0.2

0 -2.4 10 1.7 -0.6

-2 -4.0 8 -0.1 -1.0

Return (% pa) Excess Return (% pa) Std Deviation (% pa) Tracking Error (% pa) Information Ratio

UCB__ 4.08 (34) 0.15 (34) 12.67 (43) 2.89 (77) 0.05 (33)UCB BM 3.93 (36) 0.00 (36) 11.30 (73) 0.00 (100) na

GEP__ 3.70 (40) -0.23 (40) 11.80 (61) 1.66 (100) -0.14 (45)

5th Percentile 6.40 2.47 16.43 7.20 0.65Upper Quartile 4.54 0.61 13.68 4.73 0.16

Median 3.25 -0.68 12.39 3.69 -0.19Lower Quartile 1.93 -2.00 11.22 2.94 -0.5195th Percentile 0.37 -3.56 9.44 2.12 -0.84

Number of Funds 170 170 170 170 170Created on 13 Oct 2010. Data Source: ©2009 BNY Mellon Performance & Risk Analytics , LLC. All Rights Reserved

-7.0%

-3.5%

0.0%

3.5%

7.0%

Jul 2006 Nov 2006 Mar 2007 Jul 2007 Nov 2007 Mar 2008 Jul 2008 Nov 2008 Mar 2009 Jul 2009 Nov 2009 Mar 2010

Mon

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Exc

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-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess R

eturn (%)

Rising Markets Falling Markets 12 Month Rolling Excess Return

Created on 13 Oct 2010. Data Source: ©2009 BNY Mellon Performance & Risk Analytics, LLC. All Rights Reserved

University of California Berkeley Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCB BM for the period from Sep 2005 to Jun 2010

University of California Berkeley Excess Return from Jul 2006 to Jun 2010 UCB versus UCB BM


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6 1.9 16 7.3 0.4

4 0.3 14 5.4 0.0

2 -1.3 12 3.5 -0.4

0 -2.9 10 1.6 -0.8

-2 -4.5 8 -0.3 -1.2

Return (% pa) Excess Return (% pa) Std Deviation (% pa) Tracking Error (% pa) Information RatioUCD__ 3.74 (40) -0.71 (40) 11.73 (63) 1.87 (97) -0.38 (56)

UCD BM 4.45 (27) 0.00 (27) 10.78 (81) 0.00 (100) naGEP__ 3.70 (40) -0.75 (40) 11.80 (61) 1.92 (97) -0.39 (56)



Number of Funds 170 170 170 170 170


-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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-18.0%

-12.0%

-6.0%

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6.0%

12.0%

18.0%

Excess R

eturn (%)



University of California Davis Excess Return from Jul 2006 to Jun 2010 UCD versus UCD BM

University of California Davis Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCD BM for the period from Sep 2005 to Jun 2010


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6 3.7 16 6.6 0.9

4 2.1 14 4.9 0.5

2 0.5 12 3.2 0.1

0 -1.1 10 1.5 -0.3

-2 -2.7 8 -0.2 -0.7

Return (% pa) Excess Return (% pa) Std Deviation (% pa) Tracking Error (% pa) Information Ratio

UCI__ 2.29 (69) -0.38 (69) 12.40 (50) 2.20 (95) -0.17 (73)UCI BM 2.67 (60) 0.00 (60) 12.00 (58) 0.00 (100) na

GEP__ 3.70 (40) 1.02 (40) 11.80 (61) 1.94 (99) 0.53 (23)


Median 3.25 0.57 12.39 3.70 0.16Lower Quartile 1.93 -0.75 11.22 2.87 -0.2195th Percentile 0.37 -2.31 9.44 2.21 -0.54

Number of Funds 170 170 170 170 170Created on 13 Oct 2010. Data Source: ©2009 BNY Mellon Performance & Risk Analytics, LLC. All Rights Reserved

-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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-18.0%

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18.0%

Excess R

eturn (%)



University of California Irvine Excess Return from Jul 2006 to Jun 2010 UCI versus UCI BM

University of California Irvine Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCI BM for the period from Sep 2005 to Jun 2010


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6 3.5 16 7.3 1.1

4 1.9 14 5.4 0.6

2 0.3 12 3.5 0.1

0 -1.3 10 1.6 -0.4

-2 -2.9 8 -0.3 -0.9

Return (% pa) Excess Return (% pa) Std Deviation (%pa) Tracking Error (% pa) Information Ratio

UCLA_ 3.28 (49) 0.48 (49) 12.14 (56) 1.60 (99) 0.30 (37)UCLA BM 2.80 (59) 0.00 (59) 11.17 (75) 0.00 (100) na

GEP__ 3.70 (40) 0.90 (40) 11.80 (61) 1.24 (100) 0.72 (13)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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-6.0%

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6.0%

12.0%

18.0%

Excess Return (%

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University of California Los Angeles Excess Return from Jul 2006 to Jun 2010 UCLA versus UCLA BM

University of California Los Angeles Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCLA BM for the period from Sep 2005 to Jun 2010


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6 1.9 16 7.3 0.4

4 0.3 14 5.4 0.0

2 -1.3 12 3.5 -0.4

0 -2.9 10 1.6 -0.8

-2 -4.5 8 -0.3 -1.2


UCM__ 3.69 (41) -0.76 (41) 11.80 (62) 1.92 (97) -0.40 (56)UCM BM 4.45 (27) 0.00 (27) 10.78 (81) 0.00 (100) na

GEP__ 3.70 (40) -0.75 (40) 11.80 (61) 1.92 (97) -0.39 (56)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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)

-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

)



University of California Merced Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCM BM for the period from Sep 2005 to Jun 2010

University of California Merced Excess Return from Jul 2006 to Jun 2010 UCM versus UCM BM


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6 3.1 16 8.8 0.4

4 1.5 14 6.5 0.0

2 -0.1 12 4.2 -0.4

0 -1.7 10 1.9 -0.8

-2 -3.3 8 -0.4 -1.2


UCR__ 5.20 (15) 1.97 (15) 12.88 (40) 6.53 (23) 0.30 (18)UCR BM 3.23 (50) 0.00 (50) 15.46 (8) 0.00 (100) na

GEP__ 3.70 (40) 0.47 (40) 11.80 (61) 4.40 (57) 0.11 (39)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

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University of California Riverside Excess Return from Jul 2006 to Jun 2010 UCR versus UCR BM

University of California Riverside Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCR BM for the period from Sep 2005 to Jun 2010


Mercer

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6 2.9 16 6.4 0.7

4 1.3 14 4.7 0.3

2 -0.3 12 3.0 -0.1

0 -1.9 10 1.3 -0.5

-2 -3.5 8 -0.4 -0.9


UCSD_ 3.29 (49) -0.18 (49) 12.63 (44) 1.82 (97) -0.10 (53)UCSD BM 3.47 (45) 0.00 (45) 12.77 (42) 0.00 (100) na

GEP__ 3.70 (40) 0.23 (40) 11.80 (61) 1.68 (99) 0.13 (34)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

)



University of California San Diego Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCSD BM for the period from Sep 2005 to Jun 2010

University of California San Diego Excess Return from Jul 2006 to Jun 2010 UCSD versus UCSD BM


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6 5.3 16 6.5 1.5

4 3.7 14 4.8 1.0

2 2.1 12 3.1 0.5

0 0.5 10 1.4 0.0

-2 -1.1 8 -0.3 -0.5


UCSF_ 3.07 (55) 2.04 (55) 12.88 (40) 2.64 (86) 0.77 (38)UCSF BM 1.03 (91) 0.00 (91) 12.72 (42) 0.00 (100) na

GEP__ 3.70 (40) 2.67 (40) 11.80 (61) 2.00 (98) 1.34 (7)


Median 3.25 2.22 12.39 3.54 0.61Lower Quartile 1.93 0.90 11.22 2.89 0.2695th Percentile 0.37 -0.66 9.44 2.23 -0.18


-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

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Exc

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-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

)



University of California San Francisco Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCSF BM for the period from Sep 2005 to Jun 2010

University of San Francisco Excess Return from Jul 2006 to Jun 2010 UCSF versus UCSF BM


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6 2.4 16 9.0 0.3

4 0.8 14 6.7 -0.1

2 -0.8 12 4.4 -0.5

0 -2.4 10 2.1 -0.9

-2 -4.0 8 -0.2 -1.3


UCSB_ 1.76 (79) -2.21 (79) 14.85 (13) 4.01 (84) -0.55 (85)UCSB BM 3.97 (35) 0.00 (35) 15.30 (8) 0.00 (100) na

GEP__ 3.70 (40) -0.27 (40) 11.80 (61) 4.90 (65) -0.06 (42)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

thly

Exc

ess R

etur

n (%

)

-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

)



University of California Santa Barbara Excess Return from Jul 2006 to Jun 2010 UCSB versus UCSB BM

University of California Santa Barbara Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCSB BM for the period from Sep 2005 to Jun 2010


Mercer

19

6 1.9 16 7.3 0.4

4 0.3 14 5.4 0.0

2 -1.3 12 3.5 -0.4

0 -2.9 10 1.6 -0.8

-2 -4.5 8 -0.3 -1.2


UCSC_ 3.66 (41) -0.79 (41) 11.53 (70) 1.77 (99) -0.45 (61)UCSC BM 4.45 (27) 0.00 (27) 10.78 (81) 0.00 (100) na

GEP__ 3.70 (40) -0.75 (40) 11.80 (61) 1.92 (97) -0.39 (56)




-7.0%

-3.5%

0.0%

3.5%

7.0%


Mon

thly

Exc

ess R

etur

n (%

)

-18.0%

-12.0%

-6.0%

0.0%

6.0%

12.0%

18.0%

Excess Return (%

)



University of California Santa Cruz Comparison with the Mercer Trust - Foundations & Endowments Universe

Risk and Return Characteristics (calculated quarterly) versus UCSC BM for the period from Sep 2005 to Jun 2010

University of California Santa Cruz Excess Return from Jul 2006 to Jun 2010 UCSC versus UCSC BM


Mercer

20

3

Performance and Asset Allocation by Foundation

University of California Berkeley 21

University of California Davis 23

University of California Irvine 25

University of California Los Angeles 27

University of California Merced 29

University of California Riverside 31

University of California San Diego 33

University of California San Francisco 35

University of California Santa Barbara 37

University of California Santa Cruz 39


Mercer

21

UCB Foundation Aggregate $856,270,786 100% -4.26% 11.73% -1.12% -4.02% 4.08% 4.11%Policy Benchmark -4.21% 10.31% -1.94% -2.74% 3.93% 2.96%Variance to Policy Benchmark -0.05% +1.42% +0.82% -1.28% +0.15% +1.15%

U.S. Equity $117,807,340 14% -11.88% 16.02% -6.03% -8.82% -0.34%RUSSELL 3000 -11.32% 15.72% -6.05% -9.47% -0.48%Variance to Benchmark -0.56% +0.30% +0.02% +0.65% +0.14%

Non-U.S. Developed Equity $119,736,262 14% -10.54% 10.56% -8.57% -9.88% 5.13%MSCI EAFE (GROSS) -13.75% 6.38% -12.93% -12.94% 1.35%Variance to Benchmark +3.21% +4.18% +4.36% +3.06% +3.78%

Global Equity N/ABenchmarkVariance to Benchmark

Emerging Market Equity $51,111,453 6% -9.33% 22.84% -6.81% -6.99% 9.65%MSCI EMERGING MARKETS (NET) -8.37% 23.15% -6.17% -2.50% 12.73%Variance to Benchmark -0.96% -0.31% -0.64% -4.49% -3.08%

Core Fixed Income $101,635,497 12% 3.31% 6.45% 5.26% 7.71% 5.76%BC AGGREGATE 3.49% 9.50% 5.33% 7.55% 5.54%Variance to Benchmark -0.18% -3.05% -0.07% +0.16% +0.22%

TIPS N/ABenchmarkVariance to Benchmark

High Yield Debt 1) $23,551,063 3% 0.02% 18.55% 2.66%N/AVariance to Benchmark

Non-U.S./Global Fixed - Dev. Mkt. $28,164,050 3% 1.75% 11.54% 2.71%Citigroup WGBI (All Maturities) 0.29% 3.03% -1.04%Variance to Benchmark +1.46% +8.51% +3.75%

Emerging Market Debt N/ABenchmarkVariance to Benchmark

Private Equity $102,522,675 12% 3.05% 10.17% 7.28% 0.03% 5.31%TOTAL NON-MARKETABLE ALTERNATIVES 3.05% 10.17% 7.28% 0.03% 5.31%Variance to Benchmark +0.00% +0.00% +0.00% +0.00% +0.00%

Abs. Ret./Mktable Alts./Hedge Fds. $147,241,649 17% -2.74% 12.23% 2.45% -0.35% 4.83%91 DAY TBILL+4% 1.02% 4.16% 2.03% 5.62% 6.87%Variance to Benchmark -3.76% +8.07% +0.42% -5.97% -2.04%

Marketable Energy/Comm/Nat Res $32,594,454 4% -10.94% 10.92% -11.27% -5.94% 4.31%MARKETABLE ENERGY/COMM/OTHER BENCHMARK -12.66% 3.41% -13.98% -6.17% 2.40%Variance to Benchmark +1.72% +7.51% +2.71% +0.23% +1.91%

Private Energy/Comm/Nat Res $12,284,528 1% 3.40% 1.23% 4.85% 1.81%TOTAL PRIVATE ENERGY COMM./OTHER 3.40% 1.23% 4.85% 1.81%Variance to Benchmark +0.00% +0.00% +0.00% +0.00%

Marketable Real Estate $26,259,020 3% -6.13% 28.21% -1.23% -12.49% -1.13%MARKETABLE REAL ESTATE BENCHMARK -6.36% 40.80% -0.87% -11.74% -1.30%Variance to Benchmark +0.23% -12.59% -0.36% -0.75% +0.17%

Private Real Estate $6,217,860 1% -10.62% -24.99% -11.36% -20.88%TOTAL PRIVATE REAL ESTATE -10.62% -24.99% -11.36% -20.88%Variance to Benchmark +0.00% +0.00% +0.00% +0.00%

Liquidity Accounts2) $87,144,936 10% 0.62% 2.64% 1.22% 3.10% 4.39%91 DAY T-BILL 0.04% 0.16% 0.05% 1.57% 2.77%Variance to Benchmark +0.58% +2.48% +1.17% +1.53% +1.62%

UC Regents Mgd FundsRegents STIP $75,987,435 9% 0.66% 2.68% 1.27%

2) The Liquidity Accounts asset class performance and market value includes Regents STIP, which is also broken out separately under UC Regents Managed Funds to reflect those funds managed by the UC Regents.

Fiscal YTD

Total Return

Ten Year

Annualized Total Return

University of California, Berkeley Foundation PortfolioJune 30, 2010

Market Value

1) UCBF Investment Committee approved their HY Debt investment as part of their 'Global Equity' strategy, therefore no HY benchmark has been designated.

Notes: Returns are net of all feesPrivate asset valuations are typically lagged between 60 and 90 daysPrivate asset benchmarks use actual returns

Three Year

Five Year

Recent Quarter

Calendar YTD


Mercer

22

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy

Policy Range Compliance

(Actual Allocation)

Public Equity $312 36% 40% -4% 35% 55% Yes Public Fixed Income $130 15% 12% 3% 10% 25% Yes All Alternative Inv. $327 38% 48% -10% 30% 50% Yes Liquidity Portfolio $87 10% 0% 10% 0% 10% 0.2% Total Assets $856 100% 100%

University of California, Berkeley Foundation Portfolio

Policy Range

The calculation of the UC Berkeley Foundation Policy Benchmark reflects a set of interim weights which deviate from their long-term target weights. The asset class weights of the interim benchmark are as follows: 38.0% Public Equities, 15.0% Public Fixed Income, 42.0% Alternative Investments and 5.0% Liquidity.

The UCB Foundation Investment Committee approved their HY Debt investment as part of the “Global Equity” strategy based on the consultant's recommendation that they correlate with equities in price volatility, in addition to income generation.

June 30, 2010Asset Allocation


Mercer

23

UCD Foundation Aggregate $159,708,604 100% -4.48% 11.31% -2.04% -3.40% 3.74% 3.30%Policy Benchmark -5.49% 9.05% -3.37% -1.75% 4.45% 3.58%Variance to Policy Benchmark +1.01% +2.26% +1.33% -1.65% -0.71% -0.28%

U.S. Equity N/ABenchmarkVariance to Benchmark

Non-U.S. Developed Equity N/ABenchmarkVariance to Benchmark


Emerging Market Equity N/ABenchmarkVariance to Benchmark

Core Fixed Income N/ABenchmarkVariance to Benchmark


High Yield Debt N/ABenchmarkVariance to Benchmark

Non-U.S./Global Fixed - Dev. Mkt. N/ABenchmarkVariance to Benchmark


Private Equity N/ABenchmarkVariance to Benchmark

Abs. Ret./Mktable Alts./Hedge Fds. N/ABenchmarkVariance to Benchmark

Commodities/Natural Res./Energy N/ABenchmarkVariance to Benchmark

Real Estate N/ABenchmarkVariance to Benchmark

Liquidity Accounts N/ABenchmarkVariance to Benchmark

UC Regents Mgd FundsRegents GEP $159,636,270 100% -4.48% 11.31% -2.04% -3.55% 3.70%Regents STIP $72,334 0% 0.66% 2.68% 1.27% 3.66% 3.97%

Recent Quarter

Total Return

University of California, Davis Foundation PortfolioJune 30, 2010

Note:Returns are net of all fees

Five Year


Market Value Ten Year

Three Year

Calendar YTD

Fiscal YTD


Mercer

24

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)

Public Equity $69 43% 46% -2% 36% 56% Yes Public Fixed Income $30 19% 18% 1% 13% 23% Yes All Alternative Inv. $59 37% 37% 0% 27% 47% Yes Liquidity Portfolio $2 1% 0% 1% 0% 10% Yes Total Assets $160 100% 100%

University of California, Davis Foundation Portfolio

Policy Range

The UC Davis Foundation utilizes the GEP Policy Benchmark. Policy Benchmark Allocations shown are the GEP Current Policy Allocation rather than the Long-Term Policy Allocation. The GEP Current Policy Allocation is revised frequently and reflects the actual GEP allocation much closer than does the Long-Term Policy Allocation.



Mercer

25

UCI Foundation Aggregate $193,134,109 100% -4.67% 10.48% -1.61% -5.23% 2.29% 2.90%Policy Benchmark -5.53% 8.98% -3.23% -4.57% 2.67% 2.64%Variance to Policy Benchmark +0.86% +1.50% +1.62% -0.66% -0.38% +0.26%

U.S. Equity $28,761,540 15% -11.51% 12.49% -5.66% -10.59% -1.19%RUSSELL 3000 -11.32% 15.72% -6.05% -9.47% -0.48%Variance to Benchmark -0.19% -3.23% +0.39% -1.12% -0.71%

Non-U.S. Developed Equity $17,812,604 9% -11.40% 7.43% -9.48% -12.79% 1.54%MSCI EAFE (NET) -13.97% 5.92% -13.23% -13.38% 0.88%Variance to Benchmark +2.57% +1.51% +3.75% +0.59% +0.66%


Emerging Market Equity $1,965,807 1% -8.95% -3.44%MSCI EMERGING MARKETS-NET 1.22% 9.91%Variance to Benchmark -10.17% -13.35%

Core Fixed Income $15,935,750 8% 1.99% 11.60% 4.60% 9.45% 6.61%BC AGGREGATE 3.49% 9.50% 5.33% 7.55% 5.54%Variance to Benchmark -1.50% +2.10% -0.73% +1.90% +1.07%


High Yield Debt $2,767,524 1% -0.82% 28.88% 4.91% 5.43% 6.09%BofAML HYCP BB/B 0.23% 21.77% 4.61% 5.39% 6.17%Variance to Benchmark -1.05% +7.11% +0.30% +0.04% -0.08%

Non-U.S./Global Fixed - Dev. Mkt. $3,787,750 2% -2.13% 5.30% -1.52% 8.51% 5.49%CITIGROUP NON-US WGBI -1.26% 1.52% -3.34% 7.66% 4.98%Variance to Benchmark -0.87% +3.78% +1.82% +0.85% +0.51%

Emerging Market Debt $1,041,780 1% -1.68% 4.04%JP Morgan GBI-EM (GD Composite) -1.98% 3.36%Variance to Benchmark +0.30% +0.68%

Private Equity $16,219,131 8% 1.81% 22.50% 8.54% 0.55% 0.67%UCIF- PRIVATE EQUITIES 1.10% 19.36% 7.78% -5.85% 3.10%Variance to Benchmark +0.71% +3.14% +0.76% +6.40% -2.43%

Abs. Ret./Mktable Alts./Hedge Fds. $15,403,051 8% -4.17% 9.06% -7.76% -4.03%HFRI FUND OF FUNDS INDEX -2.58% 4.69% -1.20% -3.98%Variance to Benchmark -1.59% +4.37% -6.56% -0.05%

Commodities/Natural Res./Energy $6,510,167 3% -5.29% 8.96% -0.99% #VALUE!Dow Jones-UBS Commodity Index TR -4.81% 2.75% -9.60% #VALUE!Variance to Benchmark -0.48% +6.21% +8.61% #VALUE!

Real Estate $7,337,653 4% 5.85% -12.83% 2.04% -13.60%NCREIF PROPERTY INDEX 3.31% -1.48% 4.10% -4.71%Variance to Benchmark +2.54% -11.35% -2.06% -8.89%

Liquidity Accounts $60 0%BenchmarkVariance to Benchmark

UC Regents Mgd FundsRegents GEP $55,586,023 29% -4.48% 11.31% -2.04% -3.55% 3.70%Regents STIP $2,912,453 2% 0.66% 2.68% 1.27% 3.66% 3.97%Regents Absolute Return $12,991,465 7% 0.61% 10.91% 2.52% -0.31%Regents Vintage Real Estate $715,810 0% -22.78% -70.76% -34.83%Regents Vintage Private Equity $3,385,543 2% 5.39% 20.93% 9.33% 4.01% 10.61%

University of California, Irvine Foundation PortfolioJune 30, 2010

Market Value Fiscal YTD

Annualized Total ReturnTotal Return

Notes: Returns are net of all feesPrior to July 1, 2007 Core Fixed Income included Commonfund Mult i-Strategy and Absolute ReturnPrivate asset valuations are typically lagged between 60 and 90 days

Recent Quarter

Ten Year

Five Year

Calendar YTD

Three Year


Mercer

26

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)


University of California, Irvine Foundation Portfolio

Policy Range



Mercer

27

UCLA Foundation Aggregate $1,051,400,898 100% -3.90% 11.83% -1.09% -4.05% 3.28% 3.43%Policy Benchmark -3.36% 10.05% -1.28% -4.06% 2.80% 1.91%Variance to Policy Benchmark -0.54% +1.78% +0.19% +0.01% +0.48% +1.52%

U.S. Equity $154,541,878 15% -10.52% 25.04% -4.25% -6.06% 1.72%RUSSELL 3000 -11.32% 15.72% -6.05% -9.47% -0.48%Variance to Benchmark +0.80% +9.32% +1.80% +3.41% +2.20%

Non-U.S. Developed Equity $98,765,258 9% -13.35% 9.80% -11.76% -11.35% 2.73%MSCI AC WORLD ex US (NET) -12.45% 10.43% -11.06% -10.70% 3.38%Variance to Benchmark -0.90% -0.63% -0.70% -0.65% -0.65%


Emerging Market Equity $67,074,104 6% -9.10% 26.05% -5.93% -1.88%MSCI AC WORLD ex US (NET) -12.45% 10.43% -11.06% -10.70%Variance to Benchmark +3.35% +15.62% +5.13% +8.82%

Core Fixed Income $126,929,535 12% 1.92% 11.98% 4.45% 9.15% 6.09%BC AGGREGATE 3.49% 9.50% 5.33% 7.55% 5.54%Variance to Benchmark -1.57% +2.48% -0.88% +1.60% +0.55%





Private Equity $165,917,699 16% 2.62% 13.33% 6.12% -1.74% 4.79%TOTAL NON-MARKETABLE ACTUAL RETURN 2.72% 13.48% 6.29% -2.08% 4.52%Variance to Benchmark -0.10% -0.15% -0.17% +0.34% +0.27%

Abs. Ret./Mktable Alts./Hedge Fds. $320,349,405 30% -2.53% 6.30% 0.03% -1.55% 3.70%HFRX ABSOLUTE MKT BLENDED INDEX -1.60% 5.62% -0.98% -3.64% 1.70%Variance to Benchmark -0.93% +0.68% +1.01% +2.09% +2.00%

Commodities/Natural Res./Energy $63,152,160 6% -1.92% 8.47% -0.73% 2.37% 2.43%TOTAL INFLATION HEDGE ACTUAL RETURN -1.92% 8.47% -0.73% 2.41% 2.45%Variance to Benchmark +0.00% +0.00% +0.00% -0.04% -0.02%

Real Estate1) $46,142,792 4% 1.07% -11.28% -4.48% -16.91% -4.51%REAL ESTATE COMPOSITE BENCHMARK 0.19% -7.91% -3.25% -6.83% 2.39%Variance to Benchmark +0.88% -3.37% -1.23% -10.08% -6.90%

Liquidity Accounts ($166,884) 0% -4.82% -4.83%91 DAY T-BILL 0.04% 0.05%Variance to Benchmark -4.86% -4.88%

UC Regents Mgd FundsRegents GEP $3,322,310 0% -4.48% 11.31% -2.04% -3.55% 3.70%Regents Private Real Estate $2,220,414 0% -22.39% -71.04% -34.85%Regents Vintage Private Equity $5,372,641 1% 5.79% 18.43% 11.83% 2.70% 9.67%

Total Return

University of California, Los Angeles Foundation Portfolio

Notes: Returns are net of all feesPrivate asset valuations are typically lagged between 60 and 90 days1) The Real Estate asset class performance and market value includes the Regents Private Real Estate which is also broken out separately under UC Regents Managed Funds to reflect those funds managed by the UC Regents.

June 30, 2010

Fiscal YTD

Market Value Five Year

Ten Year


Recent Quarter

Calendar YTD

Three Year


Mercer

28

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)

Public Equity $322 31% 27% 4% 14% 40% Yes Public Fixed $128 12% 11% 1% 9% 21% Yes All Alternative Inv. $602 57% 62% -5% 38% 85% Yes Liquidity Portfolio $0 0% 0% 0% 0% 0% Yes Total Assets $1,051 100% 100%

University of California, Los Angeles Foundation Portfolio

Policy Range

The calculation of the UCLA Foundation Policy Benchmark reflects actual weights which deviate from their long-term target weights. The asset class weights utilized in the calculation of the benchmark for quarter-end are as follows: 30.8% Public Equities, 12.1% Public Fixed Income and 57.2% Alternative Investments.

UCLA does not define a cash policy range.



Mercer

29

UCM Foundation Aggregate $5,080,487 100% -4.48% 11.31% -2.04% -3.55% 3.69%Policy Benchmark -5.49% 9.05% -3.37% -1.75% 4.45%Variance to Policy Benchmark +1.01% +2.26% +1.33% -1.80% -0.76%















UC Regents Mgd FundsRegents GEP $5,080,487 100% -4.48% 11.31% -2.04% -3.55% 3.70%

Calendar YTD

Market Value

Notes: Returns are net of all fees

Total Return

Fiscal YTD

University of California, Merced Foundation PortfolioJune 30, 2010

Three Year

Five Year

Ten Year


Recent Quarter


Mercer

30

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)


University of California, Merced Foundation Portfolio

Policy Range

The UC Merced Foundation utilizes the GEP Policy Benchmark. Policy Benchmark Allocations shown are the GEP Current Policy Allocation rather than the Long-Term Policy Allocation. The GEP Current Policy Allocation is revised frequently and reflects the actual GEP allocation much closer than does the Long-Term Policy Allocation



Mercer

31

UCR Foundation Aggregate $72,788,623 100% -5.81% 15.76% -2.64% -2.49% 5.20% 5.45%Policy Benchmark 1) -7.72% 11.45% -5.12% -4.96% 3.23% 3.19%Variance to Policy Benchmark +1.91% +4.31% +2.48% +2.47% +1.97% +2.26%


Non-U.S. Developed Equity $3,813,758 5% -10.98% 21.40% -3.36%MSCI EAFE (NET) -13.97% 5.92% -13.23%Variance to Benchmark +2.99% +15.48% +9.87%


Emerging Market Equity $2,827,517 4% -10.31% 23.41% -9.87%MSCI EMERGING MARKETS (NET) -8.37% 23.15% -6.17%Variance to Benchmark -1.94% +0.26% -3.70%

Global Balanced $45,398,155 62% -5.41% 14.36% -2.84% -2.95% 4.05%GLOBAL BALANCED INDEX -6.67% 13.68% -4.65% -3.23% 3.93%Variance to Benchmark +1.26% +0.68% +1.81% +0.28% +0.12%



High Yield Debt $15,166,297 21% -2.36% 33.78% 3.35%BofAML HIGH YIELD MASTER II -0.07% 27.53% 4.74%Variance to Benchmark -2.29% +6.25% -1.39%





Commodities/Natural Res./Energy $4,616,952 6% -10.06% 24.16% -5.14% -0.54% 11.00%WILSHIRE ENERGY SECTOR ( DAILY LINKED) -11.26% 6.49% -10.19% -8.28% 4.48%Variance to Benchmark +1.20% +17.67% +5.05% +7.74% +6.52%


Liquidity Accounts 2) $965,945 1% 0.52% 1.44% 1.03% 2.04% 2.73%91 DAY T-BILL 0.04% 0.16% 0.05% 1.57% 2.77%Variance to Benchmark +0.48% +1.28% +0.98% +0.47% -0.04%

University of California, Riverside Foundation PortfolioJune 30, 2010

Three Year


Recent Quarter

Five Year

Calendar YTD

Ten Year

2) UC Riverside Foundation has a substantial portion of its cash exposure within the Global Balanced fund. As a result, the 1% reflected in the Liquidity Accounts above is considerably less than the 10% Actual Allocation to Liquidity Portfolio reflected in the Asset Allocation table.

Fiscal YTD

Total Return

Market Value

Notes: Returns are net of all fees1) The UC Riverside policy benchmark is a blend of the MSCI All Country World Index (ACWI) and Barclays Aggregate. The MSCI ACWI is an appropriate component of the policy benchmark because of its exposure to developed and emerging markets, as well as natural resources. The asset class benchmarks do not roll up into the policy benchmark. The Total Plan Aggregate market value excludes "other" endowed assets.


Mercer

32

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)

Public Equity $30 42% 51% -9% 5% 100% Yes Public Fixed $23 31% 29% 2% 3% 51% Yes All Alternative Inv. $12 17% 20% -3% 2% 45% Yes Liquidity Portfolio $8 10% 0% 10% 0% 25% Yes Total Assets $73 100% 100%

Notes: The asset class benchmarks do not roll up into the policy benchmark.The total fund benchmark reflects 71% MSCI AC World and 29% Barclay's Capital Aggregate.

University of California, Riverside Foundation Portfolio

Policy Range



Mercer

33

UCSD Foundation Aggregate $313,842,717 100% -4.71% 12.73% -1.72% -4.07% 3.29% 2.78%Policy Benchmark -5.73% 10.74% -2.74% -3.27% 3.47% 3.09%Variance to Policy Benchmark +1.02% +1.99% +1.02% -0.80% -0.18% -0.31%

U.S. Equity $34,498,069 11% -10.66% 19.54% -4.35% -6.98%S&P 500 -11.43% 14.43% -6.65% -9.81%Variance to Benchmark +0.77% +5.11% +2.30% +2.83%

Non-U.S. Developed Equity $8,650,827 3% -14.01% 5.73% -13.32%MSCI AC WORLD ex US (NET) -12.45% 10.43% -11.06%Variance to Benchmark -1.56% -4.70% -2.26%


Emerging Market Equity $5,488,035 2% -9.87% 20.98% -7.34% -3.97%MSCI EMERGING MARKETS (NET) -8.37% 23.15% -6.17% -2.50%Variance to Benchmark -1.50% -2.17% -1.17% -1.47%


TIPS $9,150,974 3% 3.99% 4.06%CPI+5% 1.38% 3.43%Variance to Benchmark +2.61% +0.63%







Real Estate $12,615,191 4% 1.18% 21.67% 6.32% -11.74% -4.19%NCREIF PROPERTY INDEX 3.31% -1.48% 4.10% -4.71% 3.78%Variance to Benchmark -2.13% +23.15% +2.22% -7.03% -7.97%


UC Regents Mgd FundsRegents STIP $553,236 0% 0.66% 2.68% 1.27% 3.66%Regents GEP $219,354,146 70% -4.48% 11.31% -2.04% -3.55% 3.70%Regents Real Estate $3,353,569 1% -5.00% -19.01% -5.18% -21.70%Regents Absolute Return $13,020,171 4% 0.61% 10.90% 2.51% -0.30%Regents Vintage Private Equity $7,158,499 2% 5.44% 19.05% 11.76% 1.36% 9.36%

Market Value

Notes: Returns are net of all feesAggregate market value excludes "other" endowed assetsPrivate asset valuations are typically lagged between 60 and 90 days

University of California, San Diego Foundation PortfolioJune 30, 2010


Recent Quarter

Calendar YTD

Three Year

Five Year

Ten Year

Fiscal YTD

Total Return


Mercer

34

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from Benchmark

Policy


(Actual Allocation)

Public Equity $143 46% 46% 0% 42% 72% Yes Public Fixed Income $33 10% 10% 0% 8% 28% Yes All Alternative Inv. $135 43% 44% -1% 10% 50% Yes Liquidity Portfolio $3 1% 0% 1% 0% 5% Yes Total Assets $314 100% 100%

University of California, San Diego Foundation Portfolio

Policy Range



Mercer

35

UCSF Foundation Aggregate $510,029,729 100% -3.41% 14.38% 0.05% -4.03% 3.07% 3.35%Policy Benchmark -4.16% 11.04% -1.27% -6.65% 1.03% 2.08%Variance to Policy Benchmark +0.75% +3.34% +1.32% +2.62% +2.04% +1.27%

U.S. Equity $82,900,993 16% -10.19% 18.16% -3.80% -10.07% -0.50% 0.58%RUSSELL 3000 -11.32% 15.72% -6.05% -9.47% -0.48% -0.92%Variance to Benchmark +1.13% +2.44% +2.25% -0.60% -0.02% +1.50%

Non-U.S. Developed Equity $77,524,691 15% -10.99% 15.18% -6.80% -6.85% 4.55% 2.95%MSCI AC WORLD ex US (NET) -12.45% 10.43% -11.06% -10.70% 3.38% 1.86%Variance to Benchmark +1.46% +4.75% +4.26% +3.85% +1.17% +1.09%


Emerging Market Equity $37,436,932 7% -4.01% 24.40% -0.61% -4.05% 12.21%S&P/IFC EM INVESTABLE COMPOSITE -7.99% 24.11% -5.54% -2.25% 13.67%Variance to Benchmark +3.98% +0.29% +4.93% -1.80% -1.46%

Core Fixed Income $63,033,111 12% 2.00% 13.07% 4.37% 7.90% 6.26% 7.30%BC AGGREGATE 3.49% 9.50% 5.33% 7.55% 5.54% 6.47%Variance to Benchmark -1.49% +3.57% -0.96% +0.35% +0.72% +0.83%

TIPS $10,212,709 2%BC GLOBAL INFLATION LINKED: U.S. TIPSVariance to Benchmark


Non-U.S./Global Fixed - Dev. Mkt. $20,219,285 4%CITIGROUP NON-US WGBI -1.26% 1.52% -3.34% 7.66% 4.98%Variance to Benchmark +1.26% -1.52% +3.34% -7.66% -4.98%


Private Equity $25,615,240 5% 1.86% 12.38% 4.75% -0.27% 7.78% -2.03%S&P 500 + 7% -9.85% 22.39% -3.37% -3.42% 6.17% 5.93%Variance to Benchmark +11.71% -10.01% +8.12% +3.15% +1.61% -7.96%

Abs. Ret./Mktable Alts./Hedge Fds.1) $132,513,929 26% -0.01% 17.61% 3.64% -1.65% 4.81%HEDGE FUND 8% ANNUM 1.94% 8.00% 3.92% 8.00% 8.00%Variance to Benchmark -1.95% +9.61% -0.28% -9.65% -3.19%

Commodities/Natural Res./Energy 2) $22,902,357 4% 11.03% 12.51% 14.65% 4.73%BenchmarkVariance to Benchmark

Real Estate $5,045,183 1% 2.57% -16.98% -7.47% -16.07%REAL ESTATE BENCHMARK 3.31% -1.48% 4.10% -22.69%Variance to Benchmark -0.74% -15.50% -11.57% +6.62%

Liquidity Accounts $32,625,299 6% -0.06% -0.29% -0.15% 1.03% 2.20%91 DAY T-BILL 0.04% 0.16% 0.05% 1.57% 2.77%Variance to Benchmark -0.10% -0.45% -0.20% -0.54% -0.57%

2) UCSF Foundation currently evaluates their Commodity/Natural Resource/Energy investments within the broader classification of Real Estate & Hard Assets. As such, no separate Commodities/Natural Res/Energy benchmark has been assigned.


Three Year

Market Value Five Year

Ten Year

Fiscal YTD

Recent Quarter

Calendar YTD

1) The Absolute Return/Marketable Alternatives/Hedge Fund asset class includes the sub composite for the Opportunistic asset class.

University of California, San Francisco Foundation PortfolioJune 30, 2010

Annualized Total ReturnTotal Return


Mercer

36

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)

Public Equity $198 39% 40% -1% 20% 60% Yes Public Fixed Income $93 18% 20% -2% 5% 30% Yes All Alternative Inv. $186 36% 40% -4% 18% 73% Yes Liquidity Portfolio $33 6% 0% 6% 0% 10% Yes Total Assets $510 100% 100%

University of California, San Francisco Foundation Portfolio

Policy Range



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UCSB Foundation Aggregate 1) $98,927,241 100% -6.35% 14.95% -2.85% -6.58% 1.76% 2.04%Policy Benchmark -5.68% 18.28% -1.58% -2.49% 3.97% 3.34%Variance to Policy Benchmark -0.67% -3.33% -1.27% -4.09% -2.21% -1.30%

U.S. Equity $21,333,725 22% -12.47% 13.28% -7.99%S&P 500 -11.43% 14.43% -6.65%Variance to Benchmark -1.04% -1.15% -1.34%

Non-U.S. Developed Equity $9,785,929 10% -13.84% 2.52% -14.24%MSCI WORLD EX US (NET) -13.63% 7.03% -12.47%Variance to Benchmark -0.21% -4.51% -1.77%

Global Equity 2) $12,272,867 12% -12.03%S&P GLOBAL LARGEMIDCAP -11.88%Variance to Benchmark -0.15%

Emerging Market Equity $5,124,851 5% -10.11% 17.70% -9.33%MSCI EMERGING MARKETS (NET) -8.37% 23.15% -6.17%Variance to Benchmark -1.74% -5.45% -3.16%

Core Fixed Income $17,971,815 18% 2.75% 13.30% 5.79%BC AGGREGATE 3.49% 9.50% 5.33%Variance to Benchmark -0.74% +3.80% +0.46%

TIPS NABenchmarkVariance to Benchmark

High Yield Debt $5,077,332 5% -0.34% 28.32% 4.72%BC CORP HIGH YIELD -0.11% 26.77% 4.51%Variance to Benchmark -0.23% +1.55% +0.21%

Non-U.S./Global Fixed - Dev. Mkt. NABenchmarkVariance to Benchmark

Emerging Market Debt NABenchmarkVariance to Benchmark

Private Equity $3,426,119 3% -4.83% 57.02% 3.10%Russell 3000 + 3% -10.66% 19.19% -4.65%Variance to Benchmark +5.83% +37.83% +7.75% +0.00% +0.00% +0.00%

Abs. Ret./Mktable Alts./Hedge Fds. $16,860,874 17% -0.60% 15.38% 2.10%LIBOR PLUS 450 BPS 1.19% 4.78% 2.37%Variance to Benchmark -1.79% +10.60% -0.27%

Commodities/Natural Res./Energy $1,164,638 1% -21.09% 24.56% -6.83% 4.74%Russell 3000 + 3% -10.66% 19.19% -4.65% -6.75%Variance to Benchmark -10.43% +5.37% -2.18% +11.49%

Real Estate $1,996,747 2% -5.63% 49.67% 3.31%NAREIT ALL SHARE PRICE INDEX -3.66% 50.30% 5.57%Variance to Benchmark -1.97% -0.63% -2.26%

Liquidity Accounts 3) $3,912,344 4% 0.18% 2.01% 0.42%BofAML 3-MONTH US T-BILL 0.04% 0.16% 0.05%Variance to Benchmark +0.14% +1.85% +0.37%

UC Regents Mgd Funds 4)

Regents STIP $1,169,465 1% 0.66% 2.68% 1.27% 3.67% 3.98%

3) The Liquidity Accounts asset class performance and market value includes Regents STIP. 4) STIP is also broken out separately under UC Regents Managed Funds to reflect those funds managed by the UC Regents.

1) The Total Foundation Aggregate includes non-discretionary assets which account for 1.3% of the Total Plan by market value.2) The Global Equity strategy has been implemented within the overall context of the total plans US/non-US Equity policy weights, which fall within their respective guidelines. As a result, the inclusion of the Global Equity asset class benchmark within the Policy Benchmark is not necessary.

Market Value


University of California, Santa Barbara Foundation PortfolioJune 30, 2010


Recent Quarter

Calendar YTD

Three Year

Five Year

Ten Year

Fiscal YTD

Total Return


Mercer

38

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)

Public Equity $49 49% 40% 9% 35% 55% Yes Public Fixed Income $23 23% 18% 5% 5% 25% Yes All Alternative Inv. $23 24% 42% -18% 30% 50% -6.3% Liquidity Portfolio $4 4% 0% 4% 0% 10% Yes Total Assets $99 100% 100%

UC Santa Barabara allocates 23.7% to alternative investment and is 6.3% below their policy range. The benchmark that is maintained by State Street is the acutal target allocation established by Goldman Sachs.

University of California, Santa Barbara Foundation Portfolio

Policy Range



Mercer

39

UCSC Foundation Aggregate $46,244,787 100% -4.48% 10.91% -2.04% -3.45% 3.66% 3.06%Policy Benchmark -5.49% 9.05% -3.37% -1.75% 4.45% 3.58%Variance to Policy Benchmark +1.01% +1.86% +1.33% -1.70% -0.79% -0.52%















UC Regents Mgd FundsRegents GEP $46,244,787 100% -4.48% 11.31% -2.04% -3.55% 3.70%

Returns are net of all fee

Calendar YTD

Market Value


Total Return

Fiscal YTD

University of California, Santa Cruz Foundation PortfolioJune 30, 2010

Three Year

Five Year

Ten Year


Recent Quarter


Mercer

40

Assets ($M)

Actual Allocation

Benchmark Policy

Allocation

Variance from

Benchmark Policy


(Actual Allocation)


University of California, Santa Cruz Foundation Portfolio

Policy Range

The UC Santa Cruz Foundation utilizes the GEP Policy Benchmark. Policy Benchmark Allocations shown are the GEP Current Policy Allocation rather than the Long-Term Policy Allocation. The GEP Current Policy Allocation is revised frequently and reflects the actual GEP allocation much closer than does the Long-Term Policy Allocation



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Documents

The University of California Review of the Foundations