March 2016 Endowment Quarterly Investment Report
Performance Review
University of Guelph Endowment Funds
1st Quarter 2016
Prepared by:
Pavilion Advisory Group Ltd.
1250 René-Lévesque Blvd. West, Suite 4030
Montreal, Quebec
H3B 4W8 Canada
Endowment Funds Results Overview
(Gross Returns for the 12 months ended March 31st, 2016)
The Total Endowment Funds lost 3.3% over the last 12 months, underperforming their hedged benchmark by 1.3% and their unhedged benchmark by 2.0%.
Canadian Equity U.S. Equity | U.S. Equity |
---|---|
|
|
Non-North American Equity | Fixed Income |
|
|
.
Total Endowment Portfolio Vs Endowment Policy Benchmark Benchmark
As of March 31, 2016 (Gross of Fees, Annualized for Periods over 1 Year)
Returns are presented gross of fees in CAD.
Endowment Policy Benchmark: 27.5% FTSE TMX Bond Universe + 5% Infrastructure (CPI+5%) + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 17.5% MSCI EAFE Net ($CAD) + 5% MSCI Emerging Markets
Index. The Hedged Endowment Policy Benchmark has the same composition as the Endowment Policy Benchmark, but all foreign indices are 50% hedged back to Canadian dollars.
Annualized Asset Class Performance
As of March 31, 2016 (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 | 58,153,753 | 17.7 | 5.7 | -8.5 | -2.6 | 4.5 | 6.8 | 4.0 | 6.1 | 10.1 | 4.8 | 4.3 | 5.1 |
S&P/TSX Composite Index | 4.5 | -6.6 | 0.0 | 5.0 | 5.3 | 2.1 | 4.9 | 9.6 | 3.2 | 3.3 | 4.0 | ||
Relative Performance | 1.2 | -1.9 | -2.6 | -0.5 | 1.5 | 1.9 | 1.2 | 0.5 | 1.6 | 1.0 | 1.1 | ||
US Equity | 80,963,275 | 24.6 | -3.9 | -0.2 | 14.2 | 19.6 | 20.1 | 17.4 | 17.8 | 19.7 | 13.3 | 8.9 | 9.4 |
S&P 500 | -5.7 | 3.9 | 15.9 | 21.1 | 19.8 | 18.1 | 16.8 | 17.4 | 11.2 | 7.8 | 8.1 | ||
Relative Performance | 1.8 | -4.1 | -1.7 | -1.5 | 0.3 | -0.7 | 1.0 | 2.3 | 2.1 | 1.1 | 1.3 | ||
Non-North American Equity | 67,178,407 | 20.4 | -8.1 | -3.6 | 3.9 | 11.9 | 13.2 | 11.0 | 10.6 | 12.9 | 6.4 | 3.7 | 4.7 |
MSCI EAFE (net) | -9.7 | -6.4 | 3.2 | 10.7 | 11.4 | 8.3 | 7.8 | 10.1 | 3.2 | 1.2 | 2.8 | ||
Relative Performance | 1.6 | 2.8 | 0.7 | 1.2 | 1.8 | 2.7 | 2.8 | 2.8 | 3.2 | 2.5 | 1.9 | ||
Emerging Markets Equity | 15,986,197 | 4.9 | -1.1 | -12.1 | 1.0 | 3.1 | 4.1 | 2.2 | N/A | N/A | N/A | N/A | N/A |
MSCI Emerging Markets Index | -1.6 | -9.8 | 2.1 | 3.8 | 3.9 | 1.8 | 3.7 | 9.0 | 2.2 | 2.8 | 4.4 | ||
Relative Performance | 0.5 | -2.3 | -1.1 | -0.7 | 0.2 | 0.4 | N/A | N/A | N/A | N/A | N/A | ||
Canadian Fixed Income | 85,121,431 | 25.9 | 1.4 | 0.8 | 5.5 | 4.0 | 4.2 | 5.3 | 5.3 | 5.8 | 5.5 | 5.4 | 5.4 |
FTSE TMX Canada Universe Bond Index | 1.4 | 0.8 | 5.4 | 3.9 | 4.0 | 5.1 | 5.1 | 5.1 | 5.1 | 5.2 | 5.2 | ||
Relative Performance | 0.0 | 0.0 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.7 | 0.4 | 0.2 | 0.2 | ||
Infrastructure | 18,657,084 | 5.7 | -6.8 | 9.1 | 17.5 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
CPI + 5% | 1.5 | 6.5 | 6.3 | 6.4 | 6.3 | 6.5 | 6.7 | 6.7 | 6.6 | 6.6 | 6.7 | ||
Relative Performance | -8.3 | 2.6 | 11.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||
Internal Cash | 163,433 | 0.0 | -0.3 | -0.2 | -1.4 | -1.8 | -1.4 | 0.2 | 1.6 | 1.4 | 1.4 | N/A | N/A |
FTSE TMX Canada 91 Day T-Bill | 0.1 | 0.5 | 0.7 | 0.8 | 0.9 | 0.9 | 0.9 | 0.8 | 1.0 | 1.4 | 1.7 | ||
Relative Performance | -0.4 | -0.7 | -2.1 | -2.6 | -2.3 | -0.7 | 0.7 | 0.6 | 0.4 | N/A | N/A | ||
Total Endowment (Net of Fees) | 328,881,208 | 100.0 | -0.5 | -3.9 | 3.9 | 7.6 | 8.9 | 7.7 | 8.4 | 10.5 | 6.3 | 4.3 | 5.0 |
Endowment Policy Benchmark | -1.8 | -1.3 | 6.7 | 10.0 | 9.9 | 8.4 | 8.7 | 10.8 | 6.1 | 4.4 | 5.2 | ||
Relative Performance | 1.3 | -2.6 | -2.8 | -2.4 | -1.0 | -0.7 | -0.3 | -0.3 | 0.2 | -0.1 | -0.2 | ||
Endowment Policy Benchmark (Hedged) | -0.6 | -2.0 | 5.5 | 8.4 | 8.7 | 7.4 | 8.0 | 10.3 | 5.6 | 4.0 | 4.8 | ||
Relative Performance | 0.1 | -1.9 | -1.6 | -0.8 | 0.2 | 0.3 | 0.4 | 0.2 | 0.7 | 0.3 | 0.2 | ||
Total Endowment (Gross of Fees) | 328,881,208 | 100.0 | -0.3 | -3.3 | 4.5 | 8.2 | 9.5 | 8.3 | 9.0 | 11.1 | 6.9 | 4.8 | 5.6 |
Endowment Policy Benchmark | -1.8 | -1.3 | 6.7 | 10.0 | 9.9 | 8.4 | 8.7 | 10.8 | 6.1 | 4.4 | 5.2 | ||
Relative Performance | 1.5 | -2.0 | -2.2 | -1.8 | -0.4 | -0.1 | 0.3 | 0.3 | 0.8 | 0.4 | 0.4 | ||
Endowment Policy Benchmark (Hedged) | -0.6 | -2.0 | 5.5 | 8.4 | 8.7 | 7.4 | 8.0 | 10.3 | 5.6 | 4.0 | 4.8 | ||
Relative Performance | 0.3 | -1.3 | -1.0 | -0.2 | 0.8 | 0.9 | 1.0 | 0.8 | 1.3 | 0.8 | 0.8 |
Endowment Policy Benchmark: 27.5% FTSE TMX Bond Universe + 5% Infrastructure (CPI+5%) + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 17.5% MSCI EAFE Net ($CAD) + 5%
MSCI Emerging Markets Index. The Hedged Endowment Policy Benchmark has the same composition as the Endowment Policy Benchmark, but all foreign indices are 50% hedged back to
Canadian dollars.
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).
Annual Asset Class Performance
(Gross of Fees)
Performance(%) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
: | Apr-2015 To Mar-2016 | Apr-2014 To Mar-2015 | Apr-2013 To Mar-2014 | Apr-2012 To Mar-2013 | Apr-2011 To Mar-2012 | Apr-2010 To Mar-2011 | Apr-2009 To Mar-2010 | Apr-2008 To Mar-2009 | Apr-2007 To Mar-2008 | Apr-2006 To Mar-2007 |
Canadian Equity | -8.5 | 3.6 | 20.2 | 14.2 | -6.7 | 17.2 | 37.6 | -25.5 | -0.2 | 13.1 |
S&P/TSX Composite Index | -6.6 | 6.9 | 16.0 | 6.1 | -9.8 | 20.4 | 42.1 | -32.4 | 4.0 | 11.4 |
Relative Performance | -1.9 | -3.3 | 4.2 | 8.1 | 3.1 | -3.2 | -4.5 | 6.9 | -4.2 | 1.7 |
US Equity |
-0.2 | 30.6 | 31.4 | 21.6 | 7.2 | 19.6 | 31.6 | -22.6 | -20.9 | 14.2 |
S&P 500 | 3.9 | 29.4 | 32.2 | 16.0 | 11.5 | 10.5 | 21.2 | -24.1 | -15.5 | 10.5 |
Relative Performance |
-4.1 | 1.2 | -0.8 | 5.6 | -4.3 | 9.1 | 10.4 | 1.5 | -5.4 | 3.7 |
Non-North American Equity |
-3.6 | 12.0 | 29.6 | 17.0 | 2.9 | 8.7 | 27.2 | -29.5 | -15.6 | 13.9 |
MSCI EAFE (net) | -6.4 | 13.7 | 27.5 | 13.3 | -3.2 | 5.5 | 25.0 | -34.4 | -13.4 | 18.8 |
RelativePerformance | 2.8 | -1.7 | 2.1 | 3.7 | 6.1 | 3.2 | 2.2 | 4.9 | -2.2 | -4.9 |
Emerging Markets Equity |
-12.1 | 16.1 | 7.6 | 6.9 | -5.1 | N/A | N/A | N/A | N/A | N/A |
MSCI Emerging Markets Index | -9.8 | 15.7 | 7.3 | 4.2 | -6.0 | 13.5 | 46.9 | -34.9 | 8.2 | 19.6 |
Relative Performance | -2.3 | 0.4 | 0.3 | 2.7 | 0.9 | N/A | N/A | N/A | N/A | N/A |
Canadian Fixed Income |
0.8 | 10.4 | 1.0 | 4.9 | 10.0 | 5.3 | 8.4 | 3.5 | 4.7 | 5.3 |
FTSE TMX Canada Universe Bond Index | 0.8 | 10.3 | 0.8 | 4.5 | 9.7 | 5.1 | 5.1 | 4.9 | 5.8 | 5.5 |
Relative Performance |
0.0 | 0.1 | 0.2 | 0.4 | 0.3 | 0.2 | 3.3 | -1.4 | -1.1 | -0.2 |
Infrastructure | 9.1 | 26.5 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
CPI + 5% | 6.5 | 6.2 | 6.4 | 6.2 | 7.0 | 8.2 | 6.5 | 6.1 | 6.5 | 7.5 |
Relative Performance |
2.6 | 20.3 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
Internal Cash |
-0.2 | -2.6 | -2.7 | -0.1 | 6.9 | 8.9 | 0.0 | 2.1 | N/A | N/A |
FTSE TMX Canada 91 Day T-Bill | 0.5 | 0.9 | 1.0 | 1.0 | 0.9 | 0.8 | 0.3 | 2.4 | 4.6 | 4.2 |
Relative Performance |
-0.7 | -3.5 | -3.7 | -1.1 | 6.0 | 8.1 | -0.3 | -0.3 | N/A | N/A |
Total Endowment (Net of Fees) | -3.9 | 12.3 | 15.4 | 13.0 | 2.9 | 11.9 | 24.4 | -19.2 | -10.3 | 12.0 |
Endowment Policy Benchmark | -1.3 | 15.2 | 16.9 | 9.5 | 2.9 | 9.9 | 24.9 | -22.0 | -8.4 | 12.6 |
Relative Performance | -2.6 | -2.9 | -1.5 | 3.5 | 0.0 | 2.0 | -0.5 | 2.8 | -1.9 | -0.6 |
Endowment Policy Benchmark (Hedged) | -2.0 | 13.6 | 14.5 | 9.7 | 2.4 | 10.9 | 24.9 | -22.0 | -8.4 | 12.6 |
Relative Performance | -1.9 | -1.3 | 0.9 | 3.3 | 0.5 | 1.0 | -0.5 | 2.8 | -1.9 | -0.6 |
Total Endowment (Gross of Fees) | -3.3 | 13.1 | 15.9 | 13.6 | 3.4 | 12.4 | 25.2 | -18.8 | -10.0 | 12.3 |
Endowment Policy Benchmark | -1.3 | 15.2 | 16.9 | 9.5 | 2.9 | 9.9 | 24.9 | -22.0 | -8.4 | 12.6 |
Relative Performance | -2.0 | -2.1 | -1.0 | 4.1 | 0.5 | 2.5 | 0.3 | 3.2 | -1.6 | -0.3 |
Endowment Policy Benchmark (Hedged) | -2.0 | 13.6 | 14.5 | 9.7 | 2.4 | 10.9 | 24.9 | -22.0 | -8.4 | 12.6 |
Relative Performance | -1.3 | -0.5 | 1.4 | 3.9 | 1.0 | 1.5 | 0.3 | 3.2 | -1.6 | -0.3 |
Endowment Policy Benchmark: 27.5% FTSE TMX Bond Universe + 5% Infrastructure (CPI+5%) + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 17.5% MSCI EAFE Net ($CAD) + 5%
MSCI Emerging Markets Index. The Hedged Endowment Policy Benchmark has the same composition as the Endowment Policy Benchmark, but all foreign indices are 50% hedged back to Canadian dollars.
All returns are reported gross of fees in CAD except for the Total Endowment where returns are displayed both net and gross of fees. EAFE stands for Europe, Australasia and Far East.
Cash amounts and percentages presented exclude residual manager cash balances and currency overlay (currency hedging)
.
The Endowment Policy Benchmark (Hedged) has the same components as the Endowment Policy Benchmark, but all foreign indices are 50% hedged back to Canadian dollars.
Performance Attribution
Total Endowment Funds Vs Endowment Policy Benchmark
1 Year Ending March 31, 2016
Returns are presented gross of fees in CAD.
Endowment Policy Benchmark: 27.5% FTSE TMX Bond Universe + 5% Infrastructure (CPI+5%) + 20% S&P/TSX Composite + 25% S&P 500 ($CAD) + 17.5% 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, 2016
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, 2016
Currency | March31st, 2016Unhedged |
GrossExposure (CAD) |
Hedge(CAD) | March31st, 2016Hedged |
NetHedged Exposure(CAD) |
---|---|---|---|---|---|
Canadian Dollar | 43.5% | 141,886,950 | 90,262,463 | 70.6% | 232,149,413 |
U.S. Dollar | 38.6% | 125,853,921 | -59,963,150 | 20.0% | 65,890,771 |
Euro | 6.9% | 22,511,910 | -10,874,504 | 3.5% | 11,637,406 |
British Pound | 3.4% | 11,026,374 | -5,512,987 | 1.7% | 5,513,387 |
Swiss Franc | 2.6% | 8,076,489 | -4,046,600 | 1.3% | 4,029,889 |
Japanese Yen | 2.5% | 8,400,354 | -4,182,186 | 1.2% | 4,218,168 |
Other | 2.6% | 8,467,582 | -3,025,407 | 1.7% | 5,442,175 |
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 funds from excessive foreign currency fluctuations.
Growth of Endowment Assets
March Market Values and Net 1-Year Returns to March 31st of Each Year
Over the last 12 months the total Endowment portfolio decreased $15.6 M to $337.1 M consisting of:
– Total contributions of $7.2 M and distributions of $8.8 M.
– 1-year return (net of investment management fees) of -3.9% compared to 12.3% one year ago.