March 31, 2015 Endowment Quarterly Investment Report
Performance Review
University of Guelph Endowment Funds
Prepared by:
Pavilion Advisory Group Ltd.
1250 René-Lévesque Blvd. West, Suite 4030
Montreal, Quebec
H3B 4W8
Endowment Funds Results Overview
(Gross Returns for the 12 months ended March 31st, 2015)
The Total Endowment Funds returned 13.1% for the last 12 months versus 15.2% for the benchmark.
Canadian Equity | U.S. Equity |
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Non-North American Equity | Fixed Income |
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Total Endowment Portfolio Vs Endowment Policy Benchmark
As of March 31, 2015 (Gross of Fees, Annualized for Periods over 1 year)
Returns are presented gross of fees in CAD
Endowment Policy Benchmark: 30% FTSE TMX Bond Universe + 20% S&P/TSX Composite + 25% S&P 500($CAD) + 20% MSCI EAFE Net ($CAD) + 5% MSCI Emerging Markets Index.
Annualized Asset Class Performance
As of March 31, 2015 (Gross of Fees)
Allocation | Performance(%) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Market Value ($) | % of Portfolio | Year to Date | 1 Year | 2 Years | 3 Years | 4 Years | 5 Years | 6 Years | 7 Years | 8 Years | 9 Years | 10 Years | |
Canadian Equity | 63,890,641 | 18.5 | 1.9 | 3.6 | 11.6 | 12.4 | 7.3 | 9.2 | 9.4 | 6.1 | 5.4 | 6.3 | 7.8 |
S&P/TSX Composite Index | 2.6 | 6.9 | 11.4 | 9.6 | 4.4 | 7.4 | 12.5 | 4.6 | 4.6 | 5.3 | 7.4 | ||
Relative Performance | -0.7 | -3.3 | 0.2 | 2.8 | 2.9 | 1.8 | -3.1 | 1.5 | 0.8 | 1.0 | 0.4 | ||
US Equity | 94,190,333 | 27.3 | 11.9 | 30.6 | 31.0 | 27.8 | 22.3 | 21.7 | 23.3 | 15.4 | 10.1 | 10.5 | 9.6 |
S&P 500 | 10.4 | 29.4 | 30.8 | 25.7 | 22.0 | 19.6 | 19.9 | 12.3 | 8.3 | 8.6 | 8.5 | ||
Relative Performance | 1.5 | 1.2 | 0.2 | 2.1 | 0.3 | 2.1 | 3.4 | 3.1 | 1.8 | 1.9 | 1.1 | ||
Non-North American Equity | 70,867,809 | 20.6 | 12.6 | 12.0 | 20.5 | 19.3 | 15.0 | 13.7 | 15.9 | 7.9 | 4.7 | 5.7 | 6.6 |
MSCI EAFE (net) | 14.7 | 13.7 | 20.4 | 18.0 | 12.3 | 10.9 | 13.1 | 4.7 | 2.2 | 3.9 | 5.4 | ||
Relative Performance | -2.1 | -1.7 | 0.1 | 1.3 | 2.7 | 2.8 | 2.8 | 3.2 | 2.5 | 1.8 | 1.2 | ||
Emerging Markets Equity | 18,386,747 | 5.3 | 9.6 | 16.1 | 11.7 | 10.1 | 6.1 | N/A | N/A | N/A | N/A | N/A | N/A |
MSCI Emerging Markets Index | 11.9 | 15.7 | 11.4 | 8.9 | 5.0 | 6.6 | 12.5 | 4.0 | 4.6 | 6.1 | 9.3 | ||
Relative Performance | -2.3 | 0.4 | 0.3 | 1.2 | 1.1 | N/A | N/A | N/A | N/A | N/A | N/A | ||
Canadian Fixed Income | 83,118,207 | 24.1 | 4.2 | 10.4 | 5.6 | 5.4 | 6.5 | 6.3 | 6.6 | 6.2 | 6.0 | 5.9 | 5.7 |
FTSE TMX Universe Index | 4.2 | 10.3 | 5.4 | 5.1 | 6.3 | 6.0 | 5.9 | 5.8 | 5.8 | 5.7 | 5.6 | ||
Relative Performance | 0.0 | 0.1 | 0.2 | 0.3 | 0.2 | 0.3 | 0.7 | 0.4 | 0.2 | 0.2 | 0.1 | ||
Infrastructure | 13,739,164 | 4.0 | 14.0 | 26.5 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
CPI + 5% | 1.7 | 6.3 | 6.4 | 6.3 | 6.5 | 6.8 | 6.8 | 6.7 | 6.6 | 6.7 | 6.8 | ||
Relative Performance | 12.3 | 20.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||
Internal Cash | 779,551 | 0.2 | -1.8 | -2.6 | -2.6 | -1.8 | 0.3 | 2.0 | 1.6 | 1.7 | N/A | N/A | N/A |
FTSE TMX Canada 91 Day T-Bill - C$ | 0.2 | 0.9 | 1.0 | 1.0 | 1.0 | 0.9 | 0.8 | 1.1 | 1.5 | 1.8 | 1.9 | ||
Relative Performance | -2.0 | -3.5 | -3.6 | -2.8 | -0.7 | 1.1 | 0.8 | 0.6 | N/A | N/A | N/A | ||
Total Endowment (Net of Fees) | 344,500,014 | 100.0 | 5.9 | 12.3 | 13.9 | 13.6 | 10.8 | 11.0 | 13.2 | 7.8 | 5.4 | 6.1 | 6.4 |
Endowment Policy Benchmark | 7.9 | 15.2 | 16.0 | 13.8 | 11.0 | 10.7 | 12.4 | 6.9 | 5.4 | 6.0 | 6.8 | ||
Relative Performance | -2.0 | -2.9 | -2.1 | -0.2 | -0.2 | 0.3 | 0.8 | 0.9 | 0.0 | 0.1 | -0.4 | ||
Total Endowment (Gross of Fees) | 344,500,014 | 100.0 | 6.1 | 13.1 | 14.5 | 14.2 | 11.4 | 11.6 | 13.7 | 8.4 | 5.9 | 6.6 | 6.9 |
Endowment Policy Benchmark | 7.9 | 15.2 | 16.0 | 13.8 | 11.0 | 10.7 | 12.4 | 6.9 | 5.4 | 6.0 | 6.8 | ||
Relative Performance | -1.8 | -2.1 | -1.5 | 0.4 | 0.4 | 0.9 | 1.3 | 1.5 | 0.5 | 0.6 | 0.1 | ||
Total Endowment ex. Currency Overlay | 344,972,452 | 100.1 | 8.2 | 15.5 | 17.1 | 15.9 | 12.7 | N/A | N/A | N/A | N/A | N/A | N/A |
Endowment Policy Benchmark | 7.9 | 15.2 | 16.0 | 13.8 | 11.0 | 10.7 | 12.4 | 6.9 | 5.4 | 6.0 | 6.8 | ||
Relative Performance | 0.3 | 0.3 | 1.1 | 2.1 | 1.7 | N/A | N/A | N/A | N/A | N/A | N/A | ||
Effect of Passive Currency Hedge | -472,438 | -0.1 | -2.1 | -2.4 | -2.6 | -1.7 | -1.4 | N/A/ | N/A | N/A | N/A | N/A | N/A |
Endowment Policy Benchmark: 30% FTSE TMX Bond Universe + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 20% MSCI EAFE Net ($CAD) + 5% MSCI Emerging Markets Index.
All returns are reported gross of fees in CAD except for the Total Endowment where returns are displayed both net and gross of fees. EAFE stands for Europe, Australasia and Far East.
Cash amounts and percentages presented exclude residual manager cash balances and currency overlay (currency hedging).
Performance Attribution
Total Endowment Funds vs Endowment Policy Benchmark
1 Year Ending March 31, 2015
Returns are presented gross of fees in CAD
Endowment Policy Benchmark: 30% FTSE TMX Bond Universe + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 20% MSCI EAFE Net ($CAD) + 5% MSCI Emerging Markets Index.
The Benchmarks do not assume currency hedging.
“Other” includes the effects of all other factors on the Total Endowment's relative returns, including rebalancing and residual trading activity.
Endowment Asset Mix
Actual Allocation vs Investment Policy Allocation
As of March 31, 2015
Note: this actual allocation displays the aggregate managers' holdings regardless of their mandate: Cash includes internal cash directly owned by the Endowments and manager residual cash balances (data from CIBC Mellon).
Endowment Currency Exposure
As of March 31st, 2015
Currency | March 31, 2015 Unhedged | Gross Exposure (CAD) | Hedge (CAD) | March 31, 2015 Hedged | Net Hedged Exposure (CAD) |
---|---|---|---|---|---|
Canadian Dollar | 42.4% | 146,263,460 | 102,060,166 | 72.1% | 248,323,625 |
US Dollar | 39.8% | 137,428,488 | -73,369,115 | 18.6% | 64,059,373 |
Euro | 6.8% | 23,441,768 | -11,520,606 | 3.5% | 11,921,162 |
British Pound | 3.6% | 12,260,527 | -6,256,273 | 1.7% | 6,004,254 |
Swiss Franc | 2.7% | 9,453,673 | -4,617,094 | 1.4% | 4,836,579 |
Japanese Yen | 2.5% | 8,637,524 | -4,237,517 | 1,3% | 4,400,007 |
Other | 2.2% | 7,487,012 | -2,531,998 | 1.4% | 4,955,014 |
Note: The Net Hedged Exposure equals the fund's original currency exposure to its total investments (Gross Exposure) plus the currency hedge implemented by Mesirow, which is designed to protect the endowment fund from excessive foreign currency fluctuations.
Growth of Endowment Assets
Over the last 12 months the total Endowment portfolio increased $38.0 M to $344.5 M consisting of:
- -Total contributions of $7.5 M and distributions of $7.0 M.
- -1 year return (net of investment management fees) of 12.3% compared to 15.4% for 2014.