PCF - Presbyterian Endowment Fund (PEF)
Quarterly Snapshot
As of March 31, 2017
CA Managed PEF Total Assets: $669.4 mm
Objectives
Financial Objectives:
● Provide a stream of relatively stable and constant earnings in support of annual budgetary needs; and
● Preserve and enhance the real (inflation-adjusted) purchasing power of the Endowment Fund.
Investment Objectives:
● Attain a real compound annual return to support spending formula, net of investment expenses, on average, over a five- to
seven-year period;
● Outperform the Endowment Fund's custom policy benchmark; and
● Invest in accordance with the Social Witness Principles of the General Assembly of the PC(USA).
Quarterly Performance Commentary
● Global equity markets (MSCI ACWI Index (Net)) were positive for the quarter, returning +6.9%. U.S. stocks (Russell 3000 Index; +5.7%)
underperformed emerging market stocks (MSCI Emerging Markets Index (Net); +11.4%) and developed non-U.S. stocks
(MSCI EAFE Index (Net); +7.2%). Bonds were positive for the quarter, returning +1.0% (BBG Barclays Government / Credit Index).
● In March, PEF returned +0.8%. This is compared to +0.6% for the Policy Benchmark. For the quarter to date,
PEF returned +4.6% versus +4.0% for the Policy Benchmark.
● PEF's Capital Appreciation strategies returned +6.5% during the quarter, while Diversifying Strategies returned +1.9%.
PEF's macroeconomic hedges - Inflation Sensitive and Deflation Hedging strategies - returned +0.2% and +1.6%, respectively.
Performance
Total
Assets
CA Managed PEF
$669.4 mm
4.6%
11.4%
Value of $1 Over Time
Trailing
3-Year
3/31/2014
3/31/2017
Since C|A
Oversight
12/31/2012
3/31/2017
Trailing
5-Year
3/31/2012
3/31/2017
3.0%
5.5%
5.4%
Benchmarks
Policy Benchmark
4.0%
11.3%
3.9%
6.3%
6.1%
Market Indices
MSCI All Country World Index (Net)
BBG Barclays Govt/Credit Index
6.9%
1.0%
15.0%
0.5%
5.3%
2.7%
9.3%
1.8%
8.8%
2.5%
The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and
principal value of an investment will fluctuate and current market performance may be lower or higher than the performance quoted.
$1.40
$1.30
$1.20
Dollars ($)
Performance
Trailing
QTD
1-Year
12/31/2016 3/31/2016
3/31/2017
3/31/2017
$1.10
$1.00
$0.90
$0.80
Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16
CA Managed PEF
Policy Benchmark
Current Portfolio Positioning
Asset Allocation
100%
90%
80%
70%
Investment Strategy
100%
6.0%
15.0%
13.9%
5.0%
Cash and Equivalents
15.0%
Deflation Hedging
60%
50%
Inflation Sensitive
40%
30%
64.3%
65.0%
Cash and Equivalents
13.9%
Deflation Hedging
5.2%
Inflation Sensitive
70%
10.5%
Diversifying Strategies
60%
6.8%
90%
5.2%
10.5%
6.0%
Diversifying Strategies
80%
50%
10.2%
40%
4.5%
6.1%
30%
12.3%
20%
20%
Capital Appreciation
10%
10%
Market Sensitive Hedge Funds
24.5%
Private Equity/Venture Capital
Global Equity
Emerging Markets Equity
Global Developed ex-U.S. Equity
U.S. Equity
0%
0%
CA Managed PEF
Policy Targets
CA Managed PEF
Notes:
Inception Date: 12/31/2010
Policy Benchmark: 55% Long Only Equity Custom Benchmark / 10% HFRI Equity Hedge Index / 15% HFRI Event Driven Index / 5% Inflation Sensitive Custom
Benchmark / 12% BBG Barclays Gov't/Credit Index / 3% Citigroup World Government Bond Index from 9/1/15 to present.
MSCI All Country World Index (Net): Represents global equities, including public equities of U.S., ex-U.S., and emerging market companies. Benchmark includes MSCI
All Country World Index from Inception through 8/31/15 and MSCI All Country World Index (Net) from 9/1/15 to the present.