Colorado Academy Board of Trustees: Endowment Advisory Committee Update; Preliminary Results for Q1 2017, Presented at Board of Trustees meeting on April 5, 2017

updated April 5, 2017 for the Board of Trustees meeting on April 5, 2017

Presentation and Update Archive

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Endowment Advisory Committee Updates

Performance Review For the Year Ending December 31, 2016

CA Endowment returned 7.6% in 2016, which outperformed the Policy Index return of 5.7%. For the 3-year period (2014 to 2016), Endowment returns have averaged 4.0%, also exceeding the Policy Index Return of 2.9%.

2016 Summary: Good, but Not Enough to Keep Up with Spending Needs
The Y-Axis shows the Annualized Investment Returns of our Endowment as well as the Endowment Universe. Colorado Academy generated a 4.0% annualized return, which ranked in the top 17% of our peer group. The X-Axis plots Risk, as measured by the Annualized Standard Deviation of Investment Returns. "Less Risk" is to the Left, and all things equal, "less risky" (lower standard deviation) is better than "more risky." From 2014 to 2016, the Endowment's investment returns had an annualized standard deviation of approximately 5%, which is significantly less then annualized standard deviation of the Universe, which as approximately 7.0 - 7.5%.
The Efficient Frontier, we're on it. From the perspective of Risk-Adjusted Returns, we could not have achieved a better outcome.

Asset Allocation & Strategy

Committee Remains in a Defensive Posture. The Endowment remains overweight U.S. Stocks as the primary exposure in Equities. In Fixed Income, Committee has reduced its Loan Exposure, and remains heavy in Cash. Regarding Alternatives, the Committee has exited all* Hedge Fund investments in 2016. Instead, we are focusing our Bets on Specific Ideas including MLPs, Energy and Gold.

Minutes From February 7th Meeting:

  • Committee reviewed the investment returns, by asset class, and by investment, on full year and Q4 2016 basis. We identified Lazard Strategic International Equity and Matthews Pacific Tiger Fund as holdings which underperformed their respective benchmarks. Committee discussed the best way to manage active fund managers in the Endowment.
  • Committee discussed the MLP exposures and decided to maintain our weighting.
  • Committee also discussed the Energy (XLE) exposure and discussed its correlation and distinction to the MLP investments


Committee reduced position in Loan Closed-End Funds and added to exposures in Energy and Gold

  • Committee voted to reduce our position in Loan Closed-End Funds (BGT, BSL, FRA, TLI) by one-third
  • Committee voted to increase our position in Energy (XLE) to 5.0%
  • Committee voted to increase our position in Gold (PHYS) to 5.0%

Q1 2017 Performance Update

Endowment Value = $25,209,744

as of January 31, 2017

Our Policy benchmark is comprised 60% MSCI ACWI, 20% Barclays Aggregate and 20% Hedge Funds composite.


The iShares MSCI ACWI ETF (Ticker "ACWI") is a good proxy for our Equity benchmark. In Q1 2017, ACWI returned +6.9%

Q1 2017 Performance. ACWI beat the U.S. stock market index returns of the S&P 500 (+5.9%) as well as the Dow Jones Industrial Average (+5.1%) and the Russell 2500 Growth Index (+6.2%). ACWI trailed the returns of the Emerging Markets (ETF) +12.5%
  • U.S. Active Strategies: Vanguard Dividend Growth Fund +5.9%
  • Europe: Lazard International Strategic Equity +5.9% Vanguard FTSE Developed Markets Fund +8.0%
  • Asia & Emerging Markets: Matthews Pacific Tiger Fund +12.7% Causeway Emerging Markets +14.3%

Fixed Income

The iShares U.S. Core Aggregate Bond ETF (Ticker "AGG") is our Fixed Income benchmark. In Q1 2017, AGG returned 0.8%.

(FRA) BlackRock Floating Rate Income Strategies +1.4% (BGT) BlackRock Floating Rate Income Trust +2.3% (BSL) Blackstone / GSO Senior Floating Rate Term Fund +0.9% (FRA) Western Asset Management Corporate Loan Fund +0.5% (SAMBX) RidgeWorth Seix Floating Rate High Income +1.4% (LQD) iShares iBoxx Corporate Bond ETF +1.2%

Alternatives & Other

The Hedge Fund of Funds Index increased approx. 2% from December 31, 2016 through February 28, 2017.

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