UNJSPF Investment Management Division Presentation for ... · Investment Management Division...
Transcript of UNJSPF Investment Management Division Presentation for ... · Investment Management Division...
UNJSPF Investment Management Division
Presentation for AFICS
NY Annual Assembly
JUNE 2017
UNJSPF PERFORMANCE
DISCLAIMER
Data in this presentation is based upon unaudited preliminary numbers from Northern Trust, Advisors, Bloomberg, MSCI Barra and other different market sources. Some of the performance data may not reconcile, since these reports are not all published on the same day and preliminary results change over time before being finalized.
Real Assets and Private Equity returns are reported on a lagged-quarter basis.
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Introduction
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Market volatility continues to be high, due to Central Bank and political events (such as Central Bank announcements and election outcomes).
Broad diversification across markets and asset classes has dampened the overall impact of this volatility on the Fund.
We are focused on the long-term, and we believe that we are well positioned relative to our objectives.
The Fund’s Market Value of Assets was $59.393 billion as of 26 June 2017, with a year-to-date nominal return of 9.18 per cent.
UNJSPF Asset Allocation Policy31 Mar 2017
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ASSET ALLOCATION4Q 2016 vs 1Q 2017
Source: MRK Northern Trust
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ASSET ALLOCATION 2017 (USD Billion) Dec-16 Mar-17
Equities 34,363 35,990
Real Assets 3,894 3,952
Alternative Investments 1,625 1,721
Sub-Total, Equity like 39,883 41,663
Fixed Income 12,403 12,959
Cash & Short Term 2,146 2,412
Sub-Total, Fixed Income 14,550 15,372
Market Value of Assets 54,432 57,035
TAA 2017 (%) SAA Dec-16 TAA Mar-17 TAA
Equities 58.0% 63.1% 5.1% 63.1% 5.1%
Real Assets 9.0% 7.2% -1.8% 6.9% -2.1%
Alternative Investments 5.0% 3.0% -2.0% 3.0% -2.0%
Sub-Total, Equity like 72.0% 73.3% 1.3% 73.0% 1.0%
Fixed Income 26.5% 22.8% -3.7% 22.7% -3.8%
Cash & Short Term 1.5% 3.9% 2.4% 4.2% 2.7%
Sub-Total, Fixed Income 28.0% 26.7% -1.3% 27.0% -1.0%
TOTAL 100.0% 100.0% 0.0% 100.0% 0.0%
MARKET VALUE OF ASSETS
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From independent Master Record Keeper : Northern Trust. Generated on 4 May 2017Numbers are preliminary and are subject to change.
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 201631-
Mar-17
UNJSPF (US$ Billions) 9.11 10.42 10.81 12.88 12.99 15.34 17.07 18.71 22.04 26.04 23.94 21.99 21.19 26.29 29.65 31.82 36.66 41.71 31.29 37.53 41.44 39.75 44.68 51.37 52.82 52.11 54.43 57.03
0.00
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20.00
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Source: Independent MRK - Northern Trust.
REAL RETURN (Inflation Adjusted) - PreliminaryThrough 31 Mar 2017
Performance versus Policy Benchmark through 31 March 2017
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LONG-TERM PERFORMANCE1995 – 1Q2017
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Calendar Year
UNJSPF Annual
Nominal Return
(CY) %
UN Policy
Benchmark
Return (CY)
%
Relative
Performance
%
US CPIReal
Return %
In Excess of
3.5%
End of
Period MVA
(Billions
USD)
Change
(USD)%
1995 18.41 20.49 -2.08 2.5 15.9 12.4 15.34 - -
1996 12.07 10.25 1.82 3.3 8.8 5.3 17.07 1.7 11.3
1997 10.02 11.31 -1.30 1.7 8.3 4.8 18.71 1.6 9.6
1998 18.64 19.14 -0.50 1.6 17.0 13.5 22.04 3.3 17.8
1999 19.85 14.60 5.25 2.7 17.2 13.7 26.04 4.0 18.2
2000 -6.18 -6.71 0.53 3.4 -9.6 -13.1 23.94 -2.1 -8.1
2001 -8.41 -8.48 0.07 1.6 -10.0 -13.5 21.99 -2.0 -8.2
2002 -2.88 -6.55 3.67 2.4 -5.3 -8.8 21.19 -0.8 -3.6
2003 24.79 24.96 -0.17 1.9 22.9 19.4 26.29 5.1 24.1
2004 13.70 13.25 0.45 3.3 10.4 6.9 29.65 3.4 12.8
2005 7.45 6.57 0.88 3.4 4.0 0.5 31.82 2.2 7.3
2006 15.89 16.02 -0.13 2.5 13.4 9.9 36.66 4.8 15.2
2007 13.93 11.43 2.50 4.1 9.8 6.3 41.71 5.1 13.8
2008 -24.89 -26.35 1.46 0.1 -25.0 -28.5 31.29 -10.4 -25.0
2009 20.23 20.64 -0.42 2.7 17.5 14.0 37.53 6.2 20.0
2010 10.31 10.91 -0.60 1.5 8.8 5.3 41.44 3.9 10.4
2011 -3.92 -1.37 -2.55 3.0 -6.9 -10.4 39.75 -1.7 -4.1
2012 12.67 12.06 0.62 1.7 10.9 7.4 44.68 4.9 12.4
2013 15.49 13.51 1.98 1.5 14.0 10.5 51.37 6.7 15.0
2014 3.21 3.74 -0.53 0.8 2.5 -1.0 52.82 1.5 2.8
2015 -1.00 -1.10 0.10 0.7 -1.7 -5.2 52.11 -0.7 -1.3
2016 5.19 6.90 -1.71 2.1 3.1 -0.4 54.43 2.3 4.4
1 Q 2017* 4.96 4.94 0.02 N/A N/A N/A 57.04 2.6 4.8
Average 7.9 7.5 0.4 2.2 5.7 2.2 1.9 6.9
Median 11.2 11.1 0.1 2.2 8.8 5.3 2.3 10.4
Standard Deviation 11.9 12.0 1.8 1.0 11.5 11.5 3.9 11.8
MAX 24.8 25.0 5.2 4.1 22.9 19.4 6.7 24.1
MIN -24.9 -26.3 -2.6 0.1 -25.0 -28.5 -10.4 -25.0
Positive Years 16 16 12 16 14 15.0
Negative Years 6 6 10 6 8 6.0
Positive % 73% 73% 55% 73% 64% 71%
Negative % 27% 27% 45% 27% 36% 29%
39.09
1.9
7 32%
* Quarterly returns for this period are not included in the annual statistics and are preliminary numbers for the plan and index.
Outperforming both relative and real in the same year:
Accumulation AuM from CY 1995 to CY 2016 (in Billions USD):
Average per annum (in Billions USD):
Statistics
FUND PERFORMANCE ATTRIBUTION
1Q 2017
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PERFORMANCE ATTRIBUTION ANALYSIS – TOTAL FUND BY ASSET CLASS1Q 2017
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* The currency contribution returns shown are the arithmetic difference between base returns in USD and local currency returns.
* Returns included in this report (except real estate) are calculated gross of management and custody fees. Gross of fees returns are calculated
after the deduction of trading expenses (broker commissions, SEC fees, fx fees, etc) as required by the Global Investment Performance Standards (GIPS).
* The Real Estate benchmark is the NFI-ODCE Index which is only updated quarterly. The UNJSPF real estate returns contribute to the plans total return
monthly, therefore there are inconsistent in the real estate asset class for month end periods that do not coincide with quarter end periods.
* Real Estate and Private Equity returns shown are reported net of management fee. Management fees are accrued and deducted by investment managers.
* Fixed Income local return was created by Northern Trust weighting the Barclay's Global Aggregate monthly country returns. This was used to calculate the
Bond Benchmark currency contribution.
* Some external managers report performance after IMD/NT cut-off date for reporting
* Note: The risk and performance dashboard is for Total Fund attribution. For Total Fund attribution, NT applies an adjusted valuation
methodology for private equity and real estate to roll up individual asset class returns to the Total Fund, using Time Weighted Returns
(TWR) methodology. We strongly recommended not to use Total Fund attribution to gauge private equity and real estate performance.
Attribution
Categories
UN
JS
PF
Endin
g W
eig
ht
Benchm
ark
Weig
ht
Diffe
rence
UN
JS
PF
Benchm
ark
Diffe
rence
UN
JS
PF
Benchm
ark
Diffe
rence
Asset
Allo
c
Sto
ck S
el
Tota
l
Att
ribution
Total UN Fund 100.0 100.0 (0.0) 4.95 4.94 0.00 1.16 1.18 (0.01) 0.14 (0.15) 0.00
Total Public Equity 63.1 58.0 5.1 6.83 7.05 (0.21) 1.18 1.23 (0.06) 0.11 (0.13) (0.03)
Real Assets 6.9 9.0 (2.1) 1.45 0.25 1.20 0.61 0.00 0.61 0.10 0.08 0.18
Alternative Investments 3.0 5.0 (2.0) 1.65 7.57 1.65 0.37 0.95 (0.58) (0.07) (0.16) (0.23)
Long Term Fixed 22.6 26.5 (3.9) 2.04 1.76 0.28 1.53 1.48 0.05 0.12 0.06 0.19
Cash & Equivalents 4.3 1.5 2.8 0.65 0.69 (0.04) 0.55 0.73 (0.18) (0.12) (0.00) (0.12)
Weights
United Nations Joint Staff Pension Fund
A.1. Total Fund By Asset Class
As of March 31, 2017
Base Return
Strategic Asset Allocation - 12/31/16 - 3/31/17
Currency Contribution
THEMES
DRIVERS OF PERFORMANCE
Currency Effect Central Bank Actions
Active vs. Passive Negative Yield
Political Events: Elections/Referendum Duration
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