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Quarterly Investment Narrative Conference Call
Monday, February 13, 2017
Speakers
Horacio Valeiras, CFA Principal, HAV Capital
Investment Chair, Board of Governors The San Diego Foundation
Matt Fettig, CFA Vice President, Chief Investment Officer
The San Diego Foundation
Adrienne Vargas Vice President, Chief Giving Officer
The San Diego Foundation
Agenda
1. Macroeconomic update
2. Performance & attribution for Endowment Portfolio
3. Performance & attribution for Long-Term Portfolio
4. Performance & attribution for Medium-Term Portfolio
5. Performance & attribution for Short-Term Portfolio
6. Q&A
U.S. Equities
3000
4000
5000
6000
7000
Jul-12 Jul-13 Jul-14 Jul-15 Jul-16
Russell 3000
Source: Russell Investments, as of 12/30/16
S&P500 EPS
Source: FactSet, as of 12/30/16
$20
$22
$24
$26
$28
$30
$32
$34
$36
Q1 15 Q2 15 Q3 15 Q4 15 Q1 16 Q2 16 Q3 16 Q4 16 Q1 17 Q2 17 Q3 17 Q4 17
Actual Estimate
MSCI Valuation Metrics
1.6
19.9
9.7
3.2 5.0
2.8
22.9
13.4
2.1
4.4
1.5
14.6
8.7
2.6
6.8
0
5
10
15
20
25
P/BV P/E Price/Cash Earnings
Dividend Yield (%)
Earnings Yield (%)
EAFE United States Emerging Markets
Source: MSCI, as of 12/31/16
10 Year Return 90% Confidence Interval
-10%
-5%
0%
5%
10%
15%
20%
25%
30% R
etur
n
5th to 25th 25th to 50th 50th to 75th 75th to 95th 10 Year Forecast (Geometric) High Volatility
Low Volatility
Performance & attribution for Endowment Portfolio
Asset Allocation $446.3 million as of December 31, 2016
Includes Principal Only
Returns For period ending December 31, 2016
Domestic Fixed Income,
9.9%
Global/Int'l Fixed Income,
6.8%
Domestic Equity, 25.5%
Global Equity, 5.8%
Alternative, 20.0%
Commodities, 4.2%
Real Estate, 7.3%
Int'l Equity, 20.5%
Cash, 0.1%
Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 1.3% 8.5% 3.5% 7.7% 7.1% 4.3% Policy Index 0.9% 8.1% 3.4% 7.4% 6.8% 4.3%
0%
5%
10%
Performance & attribution for Long-Term Portfolio
Asset Allocation $40.5 million as of December 31, 2016
Returns
Alternative Investment,
20.10%
Fixed Income, 18.80%
Int'l Equity, 25.53%
Domestic Equity, 26.24%
Real Estate, 4.00%
Commodities, 5.20% Cash, 0.00%
Qtr. 1 Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 0.40% 8.90% 2.50% 6.40% 6.00% 4.00% Policy Index 0.40% 7.40% 2.60% 6.50% 6.30% 4.40%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Performance & attribution for Medium-Term Portfolio
Asset Allocation $51.3 million as of December 31, 2016
Returns
Domestic Fixed Income,
56.20% Domestic Equity, 15.20%
Cash, 5.00%
Int'l Equity, 14.90%
Global/Int'l Fixed Income,
3.70% Commodities,
5.10%
Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 0.00% 6.20% 1.30% 3.90% 4.00% 2.80% Policy Index -0.90% 4.60% 1.80% 3.70% 4.20% 3.30%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
Performance & attribution for Short-Term Portfolio
Asset Allocation $20 million as of December 31, 2016
Returns
0.0%
0.1%
0.2%
0.3%
12/31/15 3/31/16 6/30/16 9/30/16 12/31/16 TSDF Actual 0.00% 0.10% 0.10% 0.10% 0.10%
Q&A
To submit questions for the Q&A, please use the “Questions” chat function
Thank You
SDFoundation.org/Investments