TEXAS TECH UNIVERSITY SYSTEM MANAGED INVESTMENTS YEAR ENDED May 31, 2005

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TEXAS TECH UNIVERSITY SYSTEM
MANAGED INVESTMENTS
YEAR ENDED May 31, 2005
May 31, 2005
MARKET VALUE
FUND
ONE YEAR
TOTAL RETURN
SHORT/INTERMEDIATE TERM FUND
$
414,405,445
3.72%
LONG TERM INVESTMENT FUND
$
439,249,086
14.90%
GIFTED INVESTMENTS
$
13,159,769
5.60%
$
866,814,300
TOTAL
INVESTMENT ALLOCATIONS
LONG TERM FUND
50%
SHORT/INTER.
FUND
48%
GIFTED INVEST.
2%
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, 2005
SHORT
INTERMEDIATE
TERM FUND
Market Value @ 2/28/05
$
Net Additions
Distributions
Investment Income
Realized Gains (Losses)
Unrealized Gains (Losses)
$
$
$
$
$
Market Value @ 05/31/05 $
416,252,106
(6,402,261)
3,261,059
1,294,541
414,405,445
Page 2 of 6
LONG TERM
INVESTMENT
FUND
$
$
$
$
$
$
$
432,472,788
12,635,088
(3,862,283)
1,395,317
3,229,253
(6,621,077)
439,249,086
SHORT/INTERMEDIATE TERM INVESTMENT FUND
TEXAS TECH UNIVERSITY SYSTEM
AS OF May 31, 2005
MARKET VALUE
05/31/05
INVESTMENT TYPE
SHORT-TERM ASSETS
PRIMARY DEPOSITORY CASH:
PNB FINANCIAL BANK REPURCHASE AGREEMENT
SECONDARY DEPOSITORY CASH
TEXPOOL
TOTAL SHORT TERM ASSETS
SHORT/INTERMEDIATE TERM ASSETS
U.S. TREASURIES (unannualized returns; purchased 12/04)
TOTAL SHORT/INTERMEDIATE TERM ASSETS
INTERMEDIATE TERM ASSETS
CALLABLE AGENCY SECURITIES
MBSs
REAL ESTATE MORTGAGE INVESTMENT CONDUITS (REMICs):
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
TOTAL REMIC'S
TOTAL INTERMEDIATE TERM ASSETS
TOTAL SHORT/INTERMEDIATE TERM INVESTMENT FUND
1.92%
1.92%
$1,474,316
0.36%
0.31%
0.31%
$166,398,225
40.15%
2.10%
2.10%
$226,594,481
54.68%
1.26%
1.26%
$100,154,951
24.17%
1.45%
1.28%
$100,154,951
24.17%
1.45%
1.28%
$45,356,617
10.94%
4.21%
6.23%
$1,620,171
0.39%
3.81%
3.50%
$14,316,257
$26,362,969
$40,679,225
3.45%
6.36%
9.82%
5.29%
7.91%
$87,656,012
21.15%
4.76%
6.91%
$414,405,445
100.00%
3.01%
3.72%
3.92%
4.62%
3.75%
4.67%
TexPool
40%
Treasuries
24%
Page 3 of 6
ONE YEAR
TOTAL
RETURN
14.17%
INVESTMENT COMPONENTS
MBSs
0%
ONE YEAR
YIELD
$58,721,940
PERFORMANCE BENCHMARKS:
LEHMAN BROTHERS INTER. TERM U.S. TREASURY INDEX
LEHMAN BROTHERS INTER. TERM GOVERNMENT INDEX
Agencies
11%
% OF
TOTAL
REMIC's
10%
Cash
15%
TEXAS TECH UNIVERSITY SYSTEM
LONG TERM INVESTMENT FUND
AS OF May 31, 2005
Market Value
Manager
Fixed Income
Pacific
Acadian
Julius Baer
GMO - Emerging Markets
GMO - Int'l Small
GMO - Foreign Fund II
The Boston Company
Ssga Passive Bond
K.G. Redding
Martingale
DFA Micro-Cap
Batterymarch
Ssga US Market Index
Hotchkis & Wiley
39,636,709
-
Equities
Cash & Equiv.
32,459,485
6,019,197
16,950,648
13,396,434
5,221,666
25,776,037
15,942,656
23,112,461
17,238,843
8,464,641
14,333,139
51,641,312
27,381,658
Absolute Return:
Cash Account
GMO - Absolute Return
AQR Absolute Return
Ariel
GMO - Mean Reversion
King Street
New Castle
Oaktree - Emerging Markets
Taconic
-
-
Private Equity: (1)
Oaktree - Opp Fund III
Oaktree - Fund IV
Encap IVb
Encap Vb
Sterling Group
CDK Realty
MMC Trident
-
-
Total
39,636,709
Alternative
1,352,439
948,461
127,726
312,271
250,429
-
One
Year
(2.30%)
3.70%
(1.80%)
4.90%
1.20%
(3.30%)
0.10%
1.90%
(1.00%)
(0.60%)
(7.00%)
(3.30%)
(1.00%)
0.80%
11.10%
30.50%
19.10%
38.00%
22.20%
15.00%
28.40%
6.70%
32.80%
20.70%
7.90%
13.40%
9.20%
22.60%
Russell 1000 Value
Citigroup EMI-PAC
EAFE ($US)
MSCI Emerging Markets
Citigroup EMI-PAC
EAFE ($US)
MSCI Emerging Markets
Lehman Aggregate
Wilshire REIT Index
Russell 2000 Value
Russell 2000
Russell 2000
Wilshire 5000
Russell MidCap Value
(0.80%)
(4.50%)
(4.80%)
(6.00%)
(4.50%)
(4.80%)
(6.00%)
1.90%
7.90%
(1.40%)
(2.40%)
(2.40%)
(0.30%)
1.10%
0.70%
1.30%
(2.50%)
2.50%
1.30%
(2.50%)
2.50%
2.00%
1.60%
(3.40%)
(4.90%)
(4.90%)
(0.80%)
2.20%
15.50%
21.90%
14.60%
30.50%
21.90%
14.60%
30.50%
6.80%
31.30%
15.10%
9.80%
9.80%
9.60%
22.10%
16,820,141
10,482,415
13,558,884
11,096,348
9,757,365
11,721,358
4,343,696
6,180,831
31,754,980
16,820,141
10,482,415
13,558,884
11,096,348
9,757,365
11,721,358
4,343,696
6,180,831
0.60%
(0.40%)
(0.10%)
3.90%
(3.40%)
(0.10%)
4.00%
(0.70%)
0.90%
0.90%
3.20%
2.00%
5.90%
4.20%
3.20%
9.50%
1.20%
2.30%
1.60%
17.70%
2.90%
15.90%
15.50%
11.20%
11.60%
4.80%
10.70%
91-day T-Bill
S&P 500
CSFB Multi Strategy Hedge
CSFB Event Driven
91-day T-Bill + 4%
CSFB Distressed Hedge
91-day T-Bill + 4%
CSFB Long/Short Hedge
CSFB Event Driven
0.70%
1.10%
(0.60%) (1.00%)
(1.90%) (0.90%)
0.30%
1.90%
1.70%
2.70%
0.70%
2.80%
1.70%
2.70%
(2.20%) (1.00%)
0.30%
1.90%
2.00%
8.20%
3.90%
12.00%
6.00%
13.40%
6.00%
8.10%
12.00%
3,515,606
900,932
9,399,270
1,527,679
4,537,579
2,162,480
923,311
3,515,606
900,932
9,399,270
1,527,679
4,537,579
2,162,480
923,311
106,927,894
439,249,086
0.40%
1.60%
14.90% Policy Allocation Index
(0.60%)
12.70%
(1) - Returns aren't presented for private equity due to the illiquidity of the investments.
ACTUAL ASSET MIX
FIXED INCOME
9%
Year to
Date
(0.10%)
(3.40%)
(6.00%)
(5.50%)
(4.10%)
(4.70%)
(6.00%)
1.90%
4.50%
0.70%
(3.80%)
(4.50%)
(0.40%)
0.30%
34,746,307
Index
Benchmarks
Quarter
to Date
33,811,924
6,019,197
16,950,648
13,396,434
5,221,666
25,776,037
15,942,656
39,636,709
24,060,922
17,366,569
8,464,641
14,645,410
51,641,312
27,632,087
31,754,980
-
257,938,176
Total
Performance Measures
Year to
Quarter
Date
One Year
ALTERNATIVE
25%
CASH
8%
REIT
5%
INT'L EQUITY
19%
SMALL CAP EQUITY
9%
MID CAP EQUITY
6%
LARGE CAP EQUITY
19%
Page 4 of 6
0.30%
TEXAS TECH UNIVERSITY SYSTEM
GIFTED INVESTMENTS
AS OF May 31, 2005
BOOK VALUE
2/28/05
MARKET
VALUE 2/28/05
Total Restricted Funds
Total Endowment Funds
Total Foundation/Agency Funds
$1,371,192
$560,179
$11,054,731
$1,371,192
$584,607
$11,207,788
$1,371,192
$560,523
$11,022,832
$1,371,192
$584,117
$11,204,460
Grand Total
$12,986,103
$13,163,587
$12,954,547
$13,159,769
FUND TYPE
BOOK VALUE
MARKET
05/31/05
VALUE 05/31/05
Page 5 of 6
ONE YEAR
YIELD
4.50%
ONE YEAR
TOTAL
RETURN
5.60%
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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