September 30, 2017 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 Canada
Endowment Funds Results Overview
(Net of fees returns for the 12 months ended September 30th, 2017)
The Total Endowment Funds gained 9.2% over the last 12 months, outperforming the unhedged benchmark by 2.0% and the hedged benchmark by 1.0%.
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 September 30, 2017 (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 + 7.5% Infrastructure (CPI+5%) + 17.5% S&P/TSX Composite + 20% S&P 500 ($CAD) + 20% MSCI EAFE Net ($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 from November 2010 to June 2017, 37.5% hedged from June to September 2017, 25% hedged since September 2017.
Asset Class Performance
As of September 30, 2017 (Gross of Fees)
Allocation | Annualized Performance(%) | Annual Performance(%) | ||||||||||
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Market Value ($) | % of Portfolio | Quarter to Date | 1 Year | 3 Years | 5 Years | 10 Years | 1 Year Ending Sep-2016 | 1 Year Ending Sep-2015 | 1 Year Ending Sep-2014 | 1 Year Ending Sep-2013 | 1 Year Ending Sep-2012 | |
Canadian Equity | 78,307,642 | 18.5 | 5.7 | 11.7 | 4.5 | 9.6 | 5.6 | 15.8 | -11.9 | 18.0 | 17.5 | 13.8 |
S&P/TSX Composite Index | 3.7 | 9.2 | 4.5 | 8.1 | 4.1 | 14.2 | -8.4 | 20.4 | 7.1 | 9.2 | ||
Relative Performance | 2.0 | 2.5 | 0.0 | 1.5 | 1.5 | 1.6 | -3.5 | -2.4 | 10.4 | 4.6 | ||
US Equity | 89,277,848 | 21.1 | -0.5 | 12.5 | 15.1 | 20.5 | 11.6 | 11.8 | 21.3 | 27.2 | 30.8 | 23.5 |
S&P 500 Index (CAD) | 0.6 | 12.9 | 15.0 | 19.8 | 9.9 | 13.2 | 19.2 | 30.2 | 24.7 | 22.9 | ||
Relative Performance | -1.1 | -0.4 | 0.1 | 0.7 | 1.7 | -1.4 | 2.1 | -3.0 | 6.1 | 0.6 | ||
Non-North American Equity | 90,812,233 | 21.4 | 1.3 | 14.8 | 10.1 | 14.9 | 6.9 | 6.2 | 9.3 | 16.4 | 29.1 | 11.5 |
MSCI EAFE Composite | 1.6 | 13.8 | 9.5 | 14.2 | 4.2 | 4.9 | 10.0 | 13.8 | 29.8 | 7.9 | ||
Relative Performance | -0.3 | 1.0 | 0.6 | 0.7 | 2.7 | 1.3 | -0.7 | 2.6 | -0.7 | 3.6 | ||
Emerging Markets | 21,942,306 | 5.2 | 2.3 | 18.4 | 8.8 | 10.5 | N/A | 15.0 | -5.5 | 17.4 | 9.2 | 11.5 |
MSCI Emerging Markets Index | 4.0 | 17.0 | 9.3 | 9.5 | 4.0 | 14.9 | -2.8 | 13.8 | 5.9 | 10.8 | ||
Relative Performance | -1.7 | 1.4 | -0.5 | 1.0 | N/A | 0.1 | -2.7 | 3.6 | 3.3 | 0.7 | ||
Canadian Fixed Income | 119,552,252 | 28.2 | -1.8 | -2.7 | 3.0 | 2.8 | 5.0 | 6.5 | 5.4 | 6.5 | -1.1 | 6.7 |
FTSE TMX Canada Universe Bond Index | -1.8 | -3.0 | 2.8 | 2.7 | 4.7 | 6.3 | 5.3 | 6.3 | -1.3 | 5.5 | ||
Relative Performance | 0.0 | 0.3 | 0.2 | 0.1 | 0.3 | 0.2 | 0.1 | 0.2 | 0.2 | 1.2 | ||
Infrastructure | 23,785,082 | 5.6 | -2.8 | 14.2 | 14.3 | N/A | N/A | 0.1 | 30.7 | N/A | N/A | N/A |
CPI + 5% | 1.5 | 6.6 | 6.3 | 6.4 | 6.6 | 6.3 | 6.0 | 7.1 | 6.1 | 6.2 | ||
Relative Performance | -4.3 | 7.6 | 8.0 | N/A | N/A | -6.2 | 24.7 | N/A | N/A | N/A | ||
Internal Cash | 871,411 | 0.2 | 0.0 | -0.7 | -1.2 | -1.3 | 1.3 | -0.3 | -2.6 | -1.0 | -1.9 | -0.6 |
FTSE TMX Canada 91 Day T-Bill | 0.1 | 0.5 | 0.6 | 0.7 | 1.1 | 0.5 | 0.8 | 0.9 | 1.1 | 0.9 | ||
Relative Performance | -0.1 | -1.2 | -1.8 | -2.0 | 0.2 | -0.8 | -3.4 | -1.9 | -3.0 | -1.5 | ||
Total Endowment (Gross of Fees) | 424,100,427 | 100.0 | 1.3 | 9.8 | 7.4 | 10.6 | 6.7 | 9.9 | 2.8 | 15.3 | 16.0 | 14.9 |
Net of Fees | 1.2 | 9.2 | 6.8 | 10.0 | 6.1 | 9.2 | 2.2 | 14.6 | 15.5 | 14.3 | ||
Relative Performance | 0.1 | 0.6 | 0.6 | 0.6 | 0.6 | 0.7 | 0.6 | 0.7 | 0.5 | 0.6 | ||
Endowment Policy Benchmark (Hedged) | 1.3 | 8.2 | 7.1 | 9.7 | 5.4 | 9.9 | 3.3 | 15.1 | 12.2 | 12.8 | ||
Relative Performance | 0.0 | 1.6 | 0.3 | 0.9 | 1.3 | 0.0 | -0.5 | 0.2 | 3.8 | 2.1 | ||
Total Endowment (Gross of Fees) | 424,100,427 | 100.0 | 1.3 | 9.8 | 7.4 | 10.6 | 6.7 | 9.9 | 2.8 | 15.3 | 16.0 | 14.9 |
Total Endowment ex. FX overlay | 0.6 | 8.8 | 8.5 | 11.8 | 7.1 | 9.4 | 7.3 | 17.1 | 17.0 | 13.2 | ||
Relative Performance | 0.7 | 1.0 | -1.1 | -1.2 | -0.4 | 0.5 | -4.5 | -1.8 | -1.0 | 1.7 |
Endowment Policy Benchmark (Hedged): 30% FTSE TMX Bond Universe + 7.5% Infrastructure (CPI+5%) + 17.5% S&P/TSX Composite + 20% S&P 500 ($CAD) + 20% MSCI EAFE Net ($CAD) + 5% MSCI Emerging Markets Index.. All foreign indices are 50% hedged back to Canadian dollars from November 2010 to June 2017, 37.5% hedged from June to September 2017, 25% hedged since September 2017.
All returns are reported gross of fees in CAD except for the Total Endowment where returns are displayed both net and gross of fees. EAFE stands for Europe, Australasia and Far East. Cash amounts and percentages presented exclude residual manager cash balances and currency overlay (currency hedging).
Performance Attribution
Total Endowment Funds Vs Endowment Policy Benchmark
1 Year Ending September 30, 2017
Returns are presented gross of fees in CAD.
Endowment Policy Benchmark: 30% FTSE TMX Bond Universe + 7.5% Infrastructure (CPI+5%) + 17.5% S&P/TSX Composite + 20% S&P 500 ($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 September 30, 2017
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).
Growth of Endowment Assets
September Market Values and Net 1-Year Returns to September 30th of Each Year
Over the last 12 months the total Endowment portfolio increased from $378.7 M to $424.1 M consisting of:
- –Total contributions of $19.2 M and distributions of $9.4 M
- –1-year return (net of investment management fees) of 9.2%, same as the year ended September 2016. Per Expendable Fund Investment Policy approved by the Board on Jun. 3, 2016, all sinking funds and a portion of expendable funds are now invested in this portfolio