1. 1. Quarterly Investment Performance Conference Call December 12, 2017
2. 2. Speakers Steve Klosterman Regional Director, Halbert Hargrove Chair, Investment Committee The San Diego Foundation Matt Fettig, CFA Vice President, Chief Investment Officer The San Diego Foundation Theresa Nakata Vice President, Chief Communications Officer The San Diego Foundation
3. 3. 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
4. 4. What is driving U.S. equities? -2% 0% 2% 4% 6% 8% 10% 12% 14% Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 S&P500PriceChange P/E Expansion Earnings Growth Source: Verus, Bloomberg, as of 9/29/17
5. 5. Valuations 1.7 19.6 17.9 3.1 5.1 3.1 21.7 23.2 2.0 4.6 1.7 15.8 14.1 2.4 6.3 0 5 10 15 20 25 P/BV P/E Price/FCF Dividend Yield (%) Earnings Yield (%) EAFE United States Emerging Markets Source: Bloomberg, as of 9/30/17
6. 6. Fed Rate Hike Expectations Source: Bloomberg, as of 10/6/17 Fed dot plot Market expectations
7. 7. Performance & attribution for Endowment Portfolio Asset Allocation $484.2 as of September 30, 2017 Includes Principal Only Returns* For period ending September 30, 2017 *The Foundation's Policy Index is a composite of indexes reflecting our diversified portfolio, specifically: 48% MSCI ACWI, 11% BC US Universal, 3% BC Corp High Yield Index, 3% JPM GBI-EM Diversified Index, 9% NCREIF ODCE, 15% HFRI FOF Index, 7% Cambridge Assoc. U.S. Private Equity Index Lagged, 4% Bloomberg Commodity Index Domestic Fixed Income, 9.9% Global/Int'l Fixed Income, 6.9% Domestic Equity, 24.0% Global Equity, 5.3% Alternative, 19.8% Commodities, 3.6% Real Estate, 6.6% Int'l Equity, 23.6% Cash, 0.3% Qtr. YTD 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 3.7% 11.3% 12.8% 6.1% 7.7% 7.6% 4.6% Policy Index 3.8% 11.3% 12.3% 5.9% 7.5% 7.5% 4.6% 0% 5% 10% 15%
8. 8. Performance & attribution for Long-Term Portfolio Asset Allocation $47.4 million as of September 30, 2017 Returns* For period ending September 30, 2017 *The Foundation's Policy Index for Long Term Portfolio is 50% MSCI ACWI, 20% HFRI FOF Index, 7% Barclays Aggregate, 7% Barclays High Yield, 6% FTSE NAREIT, 5% JPM GBI Global Div, 5% Bloomberg Commodity Index. Fixed Income Index: 37% Barclays Aggregate, 37% Barclays High Yield, and 26% JPM GBI Global Div Index. Alternative Investment, 19.8% Fixed Income, 18.7% Int'l Equity, 26.1% Domestic Equity, 26.4% Real Estate, 4.4% Commodities, 4.5% Qtr. YTD 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 4.2% 12.3% 12.7% 5.3% 6.5% 6.6% 4.6% Policy Index 3.7% 11.2% 11.6% 5.1% 6.7% 7.0% 4.8% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%
9. 9. Performance & attribution for Medium-Term Portfolio Asset Allocation $53.6 million as of September 30, 2017 Returns* For period ending September 30, 2017 *The Foundation's Policy Index for Medium Term Portfolio is 30% MSCI ACWI, 35% Barclays Aggregate, 5% Barclays High Yield, 4% Barclays Global Aggregate, 21% BofA ML 1-3 yr Treasury, 5% 91 Day T-Bills. Fixed Income Index: 54% Barclays Aggregate, 8% Barclays High Yield, 6% Barclays Global Aggregate, 32% BofA ML 1-3 yr Treasury. Domestic Fixed Income, 56.8% Domestic Equity, 15.4% Cash, 5.0% Int'l Equity, 15.2% Global/Int'l Fixed Income, 3.2% Commodities, 4.5% Qtr. YTD 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 2.3% 7.1% 7.2% 2.9% 3.6% 4.3% 3.0% Policy Index 2.1% 6.9% 5.9% 3.2% 3.7% 4.4% 3.5% 0.0% 2.0% 4.0% 6.0% 8.0%
10. 10. Performance & attribution for Short-Term Portfolio Asset Allocation $20.3 million as of September 30, 2017 Returns For period ending September 30, 2017 0.0% 0.1% 0.2% 0.3% 9/30/16 12/31/16 3/31/17 6/30/17 9/30/17 TSDF Actual 0.10% 0.10% 0.20% 0.20% 0.30%
11. 11. Q&A To submit questions for the Q&A, please use the Questions chat function
12. 12. Thank You SDFoundation.org/Investments