TEXAS TECH UNIVERSITY SYSTEM MANAGED INVESTMENTS YEAR ENDED May 31, 2007

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TEXAS TECH UNIVERSITY SYSTEM
MANAGED INVESTMENTS
YEAR ENDED May 31, 2007
May 31, 2007
MARKET VALUE
FUND
ONE YEAR
TOTAL RETURN
SHORT/INTERMEDIATE TERM FUND
$
488,528,109
5.20%
LONG TERM INVESTMENT FUND
$
600,552,126
21.00%
GIFTED INVESTMENTS
$
15,951,251
6.24%
$
1,105,031,485
TOTAL
INVESTMENT ALLOCATIONS
LONG TERM FUND
55%
SHORT/INTER.
FUND
44%
GIFTED INVEST.
1%
Prepared by: Eric Fisher
Manager - Treasury Services
Texas Tech University System
Box 41098
Lubbock, TX 79409-1098
(806) 742-3243
[email protected]
Page 1 of 6
TEXAS TECH UNIVERSITY SYSTEM
MARKET VALUES OF INVESTMENT POOLS
INVESTMENT ACTIVITY
Quarter Ended May 31, 2007
SHORT
INTERMEDIATE
TERM FUND
Market Value @ 2/28/07
$
Net Additions
Distributions
Investment Income
Realized Gains (Losses)
Unrealized Gains (Losses)
$
$
$
$
$
Market Value @ 05/31/07 $
475,601,201
9,044,833
6,008,047
(2,125,972)
488,528,109
Page 2 of 6
LONG TERM
INVESTMENT
FUND
$
561,743,218
$
$
$
$
$
4,839,185
5,221,442
1,231,809
11,468,596
16,047,875
$
600,552,126
SHORT/INTERMEDIATE TERM INVESTMENT FUND
TEXAS TECH UNIVERSITY SYSTEM
AS OF May 31, 2007
MARKET VALUE % OF ONE YEAR
05/31/07
TOTAL
YIELD
INVESTMENT TYPE
ONE YEAR
TOTAL
RETURN
SHORT-TERM ASSETS
PRIMARY DEPOSITORY CASH:
PNB FINANCIAL BANK REPURCHASE AGREEMENT
$48,704,705
9.97%
3.55%
3.55%
SECONDARY DEPOSITORY CASH
$12,728,239
2.61%
3.42%
3.42%
$157,893,852
32.32%
5.29%
5.29%
$219,326,796
44.90%
4.79%
4.79%
$82,574,265
16.90%
4.37%
5.54%
$82,574,265
16.90%
4.37%
5.54%
$123,570,144
25.29%
4.47%
4.64%
$692,274
0.14%
5.44%
7.34%
REAL ESTATE MORTGAGE INVESTMENT CONDUITS (REMICs):
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
TOTAL REMIC'S
$10,292,888
$18,716,479
$29,009,367
2.11%
3.83%
5.94%
4.93%
6.94%
VANGUARD BOND INDEX FUND
$33,355,263
6.83%
5.16%
6.53%
$186,627,048
38.20%
4.74%
5.60%
$488,528,109
100.00%
4.67%
5.20%
TEXPOOL
TOTAL SHORT TERM ASSETS
SHORT/INTERMEDIATE TERM ASSETS
U.S. TREASURIES
TOTAL SHORT/INTERMEDIATE TERM ASSETS
INTERMEDIATE TERM ASSETS
CALLABLE AGENCY SECURITIES
MBSs
TOTAL INTERMEDIATE TERM ASSETS
TOTAL SHORT/INTERMEDIATE TERM INVESTMENT FUND
INVESTMENT COMPONENTS
Cash
13%
TexPool
32%
REMIC's
6%
Vanguard
MBSs 7%
0%
Treasuries
17%
Agencies
25%
Page 3 of 6
TEXAS TECH UNIVERSITY SYSTEM
LONG TERM INVESTMENT FUND
AS OF May 31, 2007
Market Value
Manager
Fixed Income
Large Cap Equity:
INTECH
Oakbrook
Ssga US Market Index
Mid Cap Equity
Hotchkis & Wiley
Small Cap Equity:
DFA Micro-Cap
Martingale
International Equity
GMO - Emerging Markets
GMO - Foreign Fund II
Julius Baer
Acadian
GMO - Int'l Small
Ssga Emerging Markets
Fixed Income:
Ssga Passive Bond
Cash:
Cash Account
Real Assets:
CDK Realty
E2M
Halcyon
Encap IV
Encap V
Encap VI
Equities
Absolute Return:
Ariel
GMO - Mean Reversion
GMO - Absolute Return
King Street
New Castle
Oaktree - Emerging Markets
Taconic
Shepherd Investments
(2)
Alson
(2)
Davidson Kempner
(2)
Wexford
Private Equity:
Oaktree - Fund IV
(1)
(1)
Oaktree - Prin Opp Fund III
(1)
Oaktree - Prin Opp Fund IV
(1)
OakTree European
(1)
Stone Point Trident
(1)
Sterling Group
(1)
Reservoir
Bear Stearns Merchant Banking (1)
Goldman Sachs Vintage Fund IV (1)
Main Street Capital
(1)
Total
Alternative
Total
Benchmarks
Quarter
Year to
Date
14.60% S&P/Citigroup 500 Growth
23.40% S&P 500
22.70% S&P 500
9.00%
9.30%
9.30%
7.90%
8.80%
8.80%
20.80%
22.80%
22.80%
25.30% Russell MidCap Value
7.90%
11.90%
26.40%
15.30% Russell 2000
15.60% Russell 2000
7.10%
7.10%
8.00%
8.00%
18.90%
18.90%
14.20%
9.00%
9.00%
10.60%
10.60%
N/A
12.30%
10.60%
10.60%
13.50%
13.50%
N/A
38.20%
26.80%
26.80%
31.70%
31.70%
N/A
Index
-
30,261,648
31,915,912
62,586,173
219,082
-
-
30,261,648
32,134,994
62,586,173
6.80%
4.80%
9.30%
5.60%
2.90%
8.80%
-
26,704,748
1,076,141
-
27,780,889
7.60%
10.30%
-
9,637,415
12,861,880
63,311
-
9,637,415
12,925,191
5.80%
7.00%
6.40%
8.20%
-
26,490,556
55,903,281
43,104,473
12,222,227
9,381,721
4,925,923
-
-
26,490,556
55,903,281
43,104,473
12,222,227
9,381,721
4,925,923
15.70%
8.70%
11.50%
14.10%
11.00%
N/A
14.50%
10.40%
12.00%
21.90%
14.60%
N/A
-
-
26,048,545
(0.20%)
1.30%
6.60% Lehman Aggregate
-
13,120,226
1.20%
2.10%
4.90% 91-day T-Bill
3.30%
4.00%
4.60%
6.10%
4.90%
4.90%
6.40%
6.60%
6.20%
3.90%
12.10%
3.90%
3.40%
5.00%
10.40%
5.00%
7.50%
9.20%
11.20%
8.20%
7.20%
13.70%
8.00%
8.90%
26,048,545
(1)
(1)
(1)
(1)
(1)
(1)
Cash & Equiv.
Performance Measures
Year to
Date
One Year
Quarter
-
-
-
-
-
-
10,878,270
3,555,299
557,600
7,261,192
19,013,911
2,391,062
10,878,270
3,555,299
557,600
7,261,192
19,013,911
2,391,062
-
-
-
18,294,606
12,442,563
21,801,326
13,304,065
15,244,959
2,641,350
8,082,916
12,350,380
10,000,000
10,362,789
11,366,648
18,294,606
12,442,563
21,801,326
13,304,065
15,244,959
2,641,350
8,082,916
12,350,380
10,000,000
10,362,789
11,366,648
-
-
-
572,154
11,456,068
2,557,905
4,677,395
16,557,531
4,509,470
8,403,269
2,222,621
992,962
2,530,551
572,154
11,456,068
2,557,905
4,677,395
16,557,531
4,509,470
8,403,269
2,222,621
992,962
2,530,551
234,028,862
600,552,126
26,048,545
325,995,958
13,120,226
14,478,760
39.00%
26.80%
30.60%
37.70%
31.60%
N/A
15.20%
8.90%
14.00%
20.50%
9.00%
11.60%
17.00%
18.00%
N/A
N/A
N/A
MSCI Emerging Markets Free
EAFE ($US)
EAFE ($US)
S&P/Citigroup EMI-PAC
S&P/Citigroup EMI-PAC
MSCI Emerging Markets Free
CSFB Event Driven
91-day T-Bill + 4%
S&P 500
CSFB Distressed Hedge
91-day T-Bill
CSFB Long/Short Hedge
CSFB Event Driven
CSFB Multi Strategy
CSFB Long/Short Hedge
CSFB Multi Strategy
CSFB Global Macro
21.00% Policy Allocation Index
(1) - Returns aren't presented for private equity due to the illiquidity of the investments
(2) - Managers added during FY 07
ACTUAL ASSET MIX
FIXED INCOME
4%
CASH
2%
ABSOLUTE RETURN
23%
PRIVATE EQUITY
9%
REAL ASSETS
7%
SMALL CAP EQUITY
4%
INT'L EQUITY
26%
MID CAP EQUITY
4%
LARGE CAP EQUITY
21%
Page 4 of 6
One
Year
(0.20%)
1.30%
6.70%
1.30%
2.20%
5.20%
7.10%
2.30%
9.30%
5.00%
1.30%
7.20%
7.10%
4.90%
7.20%
4.90%
4.80%
11.70%
3.80%
8.80%
8.10%
2.20%
9.20%
11.70%
7.90%
9.20%
7.90%
6.70%
21.80%
9.20%
22.80%
17.30%
5.20%
17.60%
21.80%
15.40%
N/A
N/A
N/A
7.50%
8.50%
21.40%
TEXAS TECH UNIVERSITY SYSTEM
GIFTED INVESTMENTS
AS OF May 31, 2007
Art
Total Foundation/Agency Funds
$1,286,224
$515,079
60,000
$13,781,980
MARKET
VALUE 2/28/07
3.00
$1,286,224
$541,804
60,000
$13,984,337
Grand Total
$15,583,284
$15,812,365
FUND TYPE
Total Restricted Funds
Total Endowment Funds
BOOK VALUE
2/28/07
BOOK VALUE
MARKET
05/31/07
VALUE 05/31/07
$1,282,342
$523,517
60,000
$13,730,678
$1,282,342
$562,569
60,000
$14,106,339
$15,536,537
$15,951,251
Page 5 of 6
ONE YEAR
YIELD
3.15%
ONE YEAR
TOTAL
RETURN
6.24%
Glossary of Terms
Book Value
Fund value without accounting for changes in market value. Sum of original investment,
additions and deletions from the fund, current income (interest and dividends less fees),
and realized gains and losses.
Market Value
Fund value with investments priced as of the date of the report. Sum of book value and
unrealized gains and losses.
Yield
Return measuring current income (interest and dividends less fees) earned based on the
beginning market value of fund.
Total Return
Return measuring total appreciation in the value of the fund. Total appreciation includes
current income, plus realized and unrealized gains and losses.
One Year Yield
Yield for the year ended as of the date of the report.
One Year Total Return Total return for the year ended as of the date of the report.
Page 6 of 6
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