Performance Review
University of Guelph Endowment Funds
4th Quarter 2015
Prepared by:
Pavilion Advisory Group Ltd.
1250 René-Lévesque Blvd. West. Suite 4030
Montreal, Quebec
H3B 4W8 Canada
(Gross Returns for the 12 months ended December 31st, 2015)
The Total Endowment Funds returned 2.9% for the last 12 months versus 8.6% for the benchmark.
Canadian Equity | U.S. Equity |
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Non-North American Equity | Fixed Income |
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As of December 31, 2015 (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.
As of December 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 | 55,115,389 | 16.4 | -11.7 | -11.7 | -2.6 | 4.9 | 6.6 | 4.0 | 5.5 | 8.7 | 3.7 | 4.0 | 4.9 |
S&P/TSX Composite Index | -8.3 | -8.3 | 0.7 | 4.6 | 5.3 | 2.3 | 4.7 | 8.6 | 2.2 | 3.0 | 4.4 | ||
Relative Performance | -3.4 | -3.4 | -3.3 | 0.3 | 1.3 | 1.7 | 0.8 | 0.1 | 1.5 | 1.0 | 0.5 | ||
US Equity | 88,511,405 | 26.3 | 16.2 | 16.2 | 20.3 | 27.4 | 24.4 | 19.7 | 19.4 | 18.2 | 13.2 | 9.3 | 10.1 |
S&P 500 | 21.7 | 21.7 | 22.8 | 28.6 | 24.7 | 20.4 | 18.4 | 16.8 | 11.2 | 8.5 | 9.2 | ||
Relative Performance | -5.5 | -5.5 | -2.5 | -1.2 | -0.3 | -0.7 | 1.0 | 1.4 | 2.0 | 0.8 | 0.9 | ||
Non-North American Equity | 73,264,592 | 21.7 | 18.2 | 18.2 | 11.5 | 18.1 | 17.7 | 13.5 | 12.1 | 13.3 | 7.8 | 4.6 | 6.7 |
MSCI EAFE (net) | 19.0 | 19.0 | 11.1 | 17.3 | 16.7 | 10.8 | 9.3 | 9.7 | 3.8 | 2.7 | 4.8 | ||
Relative Performance | -0.8 | -0.8 | 0.4 | 0.8 | 1.0 | 2.7 | 2.8 | 3.6 | 4.0 | 1.9 | 1.9 | ||
Emerging Markets Equity | 16,208,012 | 4.8 | -2.6 | -2.6 | 3.4 | 4.4 | 8.1 | 2.8 | N/A | N/A | N/A | N/A | N/A |
MSCI Emerging Markets Index | 2.5 | 2.5 | 4.7 | 4.6 | 7.3 | 2.2 | 3.9 | 9.7 | 1.4 | 3.2 | 5.8 | ||
Relative Performance | -5.1 | -5.1 | -1.3 | -0.2 | 0.8 | 0.6 | N/A | N/A | N/A | N/A | N/A | ||
Canadian Fixed Income | 83,934,180 | 24.9 | 3.6 | 3.6 | 6.2 | 3.7 | 4.1 | 5.0 | 5.4 | 5.9 | 5.7 | 5.3 | 5.2 |
FTSE TMX Canada Universe Bond Index | 3.5 | 3.5 | 6.1 | 3.6 | 3.6 | 4.8 | 5.1 | 5.2 | 5.3 | 5.1 | 5.0 | ||
Relative Performance | 0.1 | 0.1 | 0.1 | 0.1 | 0.5 | 0.2 | 0.3 | 0.7 | 0.4 | 0.2 | 0.2 | ||
Infrastructure | 19,237,529 | 5.7 | 33.5 | 33.5 | 22.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
CPI + 5% | 6.7 | 6.7 | 6.6 | 6.5 | 6.4 | 6.6 | 6.7 | 6.7 | 6.6 | 6.7 | 6.7 | ||
Relative Performance | 26.8 | 26.8 | 15.6 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | ||
Internal Cash | 4,933,237 | 1.5 | -1.8 | -1.8 | -1.8 | -1.8 | -1.3 | 0.2 | 1.6 | 1.4 | 1.6 | N/A | N/A |
FTSE TMX Canada 91 Day T-Bill | 0.6 | 0.6 | 0.8 | 0.8 | 0.9 | 0.9 | 0.8 | 0.8 | 1.1 | 1.5 | 1.7 | ||
Relative Performance | -2.4 | -2.4 | -2.6 | -2.6 | -2.2 | -0.7 | 0.8 | 0.6 | 0.5 | N/A | N/A | ||
Total Endowment (Net of Fees) | 337,087,797 | 100.0 | 2.3 | 2.3 | 6.2 | 10.3 | 10.7 | 8.6 | 8.8 | 9.6 | 6.0 | 4.5 | 5.4 |
Endowment Policy Benchmark | 8.6 | 8.6 | 10.1 | 12.7 | 11.9 | 9.3 | 9.2 | 9.8 | 5.8 | 5.0 | 6.0 | ||
Relative Performance | -6.3 | -6.3 | -3.9 | -2.4 | -1.2 | -0.7 | -0.4 | -0.2 | 0.2 | -0.5 | -0.6 | ||
Total Endowment (Gross of Fees) | 337,087,797 | 100.0 | 2.9 | 2.9 | 6.8 | 10.9 | 11.3 | 9.1 | 9.4 | 10.1 | 6.6 | 5.0 | 6.0 |
Endowment Policy Benchmark | 8.6 | 8.6 | 10.1 | 12.7 | 11.9 | 9.3 | 9.2 | 9.8 | 5.8 | 5.0 | 6.0 | ||
Relative Performance | -5.7 | -5.7 | -3.3 | -1.8 | -0.6 | -0.2 | 0.2 | 0.3 | 0.8 | 0.0 | 0.0 | ||
Total Endowment ex. Currency Hedge | 341,204,345 | 101.2 | 7.7 | 7.7 | 9.9 | 13.6 | 13.2 | 10.7 | N/A | N/A | N/A | N/A | N/A |
Endowment Policy Benchmark | 8.6 | 8.6 | 10.1 | 12.7 | 11.9 | 9.3 | 9.2 | 9.8 | 5.8 | 5.0 | 6.0 | ||
Relative Performance | -0.9 | -0.9 | -0.2 | 0.9 | 1.3 | 1.4 | N/A | N/A | N/A | N/A | N/A | ||
Effect of Passive Currency Hedge | -4.8 | -4.8 | -3.1 | -2.7 | -1.9 | -1.6 | N/A | N/A | N/A | N/A | N/A |
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.
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).
(Gross of Fees)
Performance(%) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jan-2015 To Dec-2015 | Jan-2014 To Dec-2014 | Jan-2013 To Dec-2013 | Jan-2012 To Dec-2012 | Jan-2011 To Dec-2011 | Jan-2010 To Dec-2010 | Jan-2009 To Dec-2009 | Jan-2008 To Dec-2008 | Jan-2007 To Dec-2007 | Jan-2006 To Dec-2006 | |
Canadian Equity | -11.7 | 7.5 | 21.6 | 11.7 | -5.5 | 13.0 | 30.5 | -25.7 | 6.3 | 14.2 |
S&P/TSX Composite Index | -8.3 | 10.6 | 13.0 | 7.2 | -8.7 | 17.6 | 35.1 | -33.0 | 9.8 | 17.3 |
Relative Performance | -3.4 | -3.1 | 8.6 | 4.5 | 3.2 | -4.6 | -4.6 | 7.3 | -3.5 | -3.1 |
US Equity | 16.2 | 24.4 | 43.0 | 15.9 | 2.6 | 18.0 | 10.9 | -16.5 | -17.4 | 17.9 |
S&P 500 | 21.7 | 23.9 | 41.2 | 13.5 | 4.6 | 9.1 | 7.7 | -21.4 | -10.6 | 15.4 |
Relative Performance | -5.5 | 0.5 | 1.8 | 2.4 | -2.0 | 8.9 | 3.2 | 4.9 | 6.8 | 2.5 |
Non-North American Equity | 18.2 | 5.2 | 32.6 | 16.6 | -2.1 | 5.4 | 20.9 | -24.0 | -17.9 | 27.4 |
MSCI EAFE (net) | 19.0 | 3.6 | 31.0 | 14.8 | -10.0 | 2.1 | 12.2 | -29.3 | -5.8 | 25.9 |
Relative Performance | -0.8 | 1.6 | 1.6 | 1.8 | 7.9 | 3.3 | 8.7 | 5.3 | -12.1 | 1.5 |
Emerging Markets Equity | -2.6 | 9.7 | 6.4 | 20.0 | -15.9 | N/A | N/A | N/A | N/A | N/A |
MSCI Emerging Markets Index | 2.5 | 7.0 | 4.3 | 16.1 | -16.2 | 13.0 | 52.4 | -41.6 | 18.5 | 32.1 |
Relative Performance | -5.1 | 2.7 | 2.1 | 3.9 | 0.3 | N/A | N/A | N/A | N/A | N/A |
Canadian Fixed Income | 3.6 | 8.9 | -1.0 | 5.3 | 8.7 | 7.0 | 8.9 | 4.4 | 2.7 | 4.0 |
FTSE TMX Canada Universe Bond Index | 3.5 | 8.8 | -1.2 | 3.6 | 9.7 | 6.7 | 5.4 | 6.4 | 3.7 | 4.1 |
Relative Performance | 0.1 | 0.1 | 0.2 | 1.7 | -1.0 | 0.3 | 3.5 | -2.0 | -1.0 | -0.1 |
Infrastructure | 33.5 | 11.8 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
CPI + 5% | 6.7 | 6.6 | 6.4 | 6.0 | 7.3 | 7.5 | 6.4 | 6.2 | 7.6 | 6.8 |
Relative Performance | 26.8 | 5.2 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
Internal Cash | -1.8 | -1.8 | -1.9 | 0.0 | 6.7 | 9.1 | 0.3 | 2.6 | N/A | N/A |
FTSE TMX Canada 91 Day T-Bill | 0.6 | 0.9 | 1.0 | 1.0 | 1.0 | 0.5 | 0.6 | 3.3 | 4.4 | 4.0 |
Relative Performance | -2.4 | -2.7 | -2.9 | -1.0 | 5.7 | 8.6 | -0.3 | -0.7 | N/A | N/A |
Total Endowment (Net of Fees) | 2.3 | 10.2 | 19.1 | 12.0 | 0.3 | 9.8 | 14.4 | -15.6 | -7.1 | 14.4 |
Endowment Policy Benchmark | 8.6 | 11.7 | 17.9 | 9.7 | -0.6 | 8.5 | 13.6 | -18.2 | -1.1 | 14.9 |
Relative Performance | -6.3 | -1.5 | 1.2 | 2.3 | 0.9 | 1.3 | 0.8 | 2.6 | -6.0 | -0.5 |
Total Endowment (Gross of Fees) | 2.9 | 10.8 | 19.6 | 12.5 | 0.8 | 10.5 | 14.9 | -15.2 | -6.7 | 14.7 |
Endowment Policy Benchmark | 8.6 | 11.7 | 17.9 | 9.7 | -0.6 | 8.5 | 13.6 | -18.2 | -1.1 | 14.9 |
Relative Performance | -5.7 | -0.9 | 1.7 | 2.8 | 1.4 | 2.0 | 1.3 | 3.0 | -5.6 | -0.2 |
Total Endowment ex. Currency Hedge | 7.7 | 12.3 | 21.4 | 11.9 | 1.2 | N/A | N/A | N/A | N/A | N/A |
Endowment Policy Benchmark | 8.6 | 11.7 | 17.9 | 9.7 | -0.6 | 8.5 | 13.6 | -18.2 | -1.1 | 14.9 |
Relative Performance | -0.9 | 0.6 | 3.5 | 2.2 | 1.8 | N/A | N/A | N/A | N/A | N/A |
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 ($CAD) + 5% MSCI Emerging Markets Index.
All returns are reported gross of fees in CAD except for the Total Endowment where returns are displayed both net and gross of fees. EAFE stands for Europe, Australasia and Far East. Cash amounts and percentages presented exclude residual manager cash balances and currency overlay (currency hedging).
Total Endowment Funds Vs Endowment Policy Benchmark
1 Year Ending December 31, 2015
Returns are presented gross of fees in CAD.
Endowment Policy Benchmark: 27.5% FTSE TMX Bond Universe + 5% Infrastructure (CPI+5%) + 20% S&P/TSX Composite + 25% S&P 500 ($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.
Actual Allocation vs. Investment Policy Allocation
As of December 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).
As of December 31st, 2015
Currency | December 31st,2015 Unhedged | Gross Exposure(CAD) | Hedge(CAD) | December 31st, 2015 Hedged | Net Hedged Exposure(CAD) |
---|---|---|---|---|---|
Canadian Dollar | 39.4% | 134,415,509 | 106,410,738 | 71.4% | 240,826,247 |
U.S. Dollar | 41.7% | 142,438,474 | -78,383,255 | 19.0% | 64,055,219 |
Euro | 7.1% | 24,353,668 | -12,957,079 | 3.4% | 11,396,589 |
British Pound | 3.8% | 12,834,492 | -6,496,878 | 1.9% | 6,337,614 |
Swiss Franc | 2.7% | 9,251,457 | -4,662,628 | 1.4% | 4,588,829 |
Japanese Yen | 2.7% | 9,283,950 | -4,755,766 | 1.3% | 4,528,184 |
Other | 2.5% | 8,626,795 | -3,271,680 | 1.6% | 5,355,115 |
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.
December Market Values and Net 1-Year Returns to December 31st of Each Year
Over the last 12 months the total Endowment portfolio increased $11.9 M to $337.1 M consisting of: