TEXAS TECH UNIVERSITY SYSTEM MANAGED INVESTMENTS YEAR ENDED February 28, 2005

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TEXAS TECH UNIVERSITY SYSTEM
MANAGED INVESTMENTS
YEAR ENDED February 28, 2005
February 28, 2005
MARKET VALUE
FUND
ONE YEAR
TOTAL RETURN
SHORT/INTERMEDIATE TERM FUND
$
416,252,106
1.88%
LONG TERM INVESTMENT FUND
$
432,472,788
10.90%
GIFTED INVESTMENTS
$
13,163,587
5.17%
$
861,888,481
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 February 28, 2005
SHORT
INTERMEDIATE
TERM FUND
LONG TERM
INVESTMENT
FUND
Market Value @ 11/30/04 $
427,347,964
$
Net Additions
Distributions
Investment Income
Realized Gains (Losses)
Unrealized Gains (Losses)
(15,177,593)
3,085,400
(396,558)
1,392,893
$
$
$
$
$
416,252,106
$
$
$
$
$
$
Market Value @ 02/28/05 $
Page 2 of 6
410,948,542
7,049,768
(7,435,427)
2,404,683
10,056,150
9,449,072
432,472,788
SHORT/INTERMEDIATE TERM INVESTMENT FUND
TEXAS TECH UNIVERSITY SYSTEM
AS OF February 28, 2005
MARKET VALUE
02/28/05
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
1.86%
1.86%
$2,857,780
0.69%
0.28%
0.28%
$250,752,770
60.24%
1.68%
1.68%
$323,410,422
77.70%
1.68%
1.68%
$4,124,022
0.99%
0.64%
-0.87%
$4,124,022
0.99%
0.64%
-0.87%
$44,897,053
10.79%
4.92%
2.99%
$1,738,520
0.42%
3.79%
1.21%
$14,216,732
$27,865,357
$42,082,089
3.42%
6.69%
10.11%
5.34%
1.76%
$88,717,661
21.31%
5.00%
2.10%
$416,252,106
100.00%
3.24%
1.88%
3.75%
3.83%
0.05%
0.39%
Cash
17%
REMIC's
AgenciesMBSs 10%
11% 0%
Page 3 of 6
ONE YEAR
TOTAL
RETURN
16.77%
INVESTMENT COMPONENTS
Treasuries
1%
ONE YEAR
YIELD
$69,799,872
PERFORMANCE BENCHMARKS:
LEHMAN BROTHERS INTER. TERM U.S. TREASURY INDEX
LEHMAN BROTHERS INTER. TERM GOVERNMENT INDEX
TexPool
61%
% OF
TOTAL
TEXAS TECH UNIVERSITY SYSTEM
LONG TERM INVESTMENT FUND
AS OF February 28, 2005
Market Value
Manager
Fixed Income
Pacific
Acadian
Julius Baer
GMO - Emerging Markets
GMO - Int'l Small
GMO - Foreign Fund II
The Boston Company
Ssga Passive Bond
K.G. Redding
Martingale
DFA Micro-Cap
Batterymarch
Ssga US Market Index
Hotchkis & Wiley
38,887,067
-
Equities
Cash & Equiv.
32,699,673
6,228,991
18,027,216
14,177,893
5,447,633
17,091,229
11,964,089
22,759,474
17,062,801
8,796,788
15,137,931
51,833,712
27,004,603
Absolute Return:
Cash Account
GMO - Absolute Return
AQR Absolute Return
Ariel
GMO - Mean Reversion
King Street
New Castle
Oaktree - Emerging Markets
Taconic
-
-
Private Equity: (1)
Oaktree - Opp Fund III
Oaktree - Fund IV
Encap IVb
Encap Vb
Sterling Group
CDK Realty
MMC Trident
-
-
Total
38,887,067
248,232,032
Alternative
1,154,505
263,698
184,632
194,422
547,649
36,417,420
-
38,762,326
-
Performance Measures
Year to
Quarter
Date
One Year
Total
Index
33,854,178
6,228,991
18,027,216
14,177,893
5,447,633
17,091,229
11,964,089
38,887,067
23,023,172
17,247,433
8,796,788
15,332,353
51,833,712
27,552,253
2.90%
13.50%
10.20%
16.80%
11.30%
6.40%
11.90%
0.90%
0.70%
2.30%
1.10%
3.00%
2.90%
4.00%
(2.20%)
7.30%
4.50%
11.00%
5.60%
1.50%
6.50%
0.00%
(5.20%)
(1.30%)
(3.30%)
1.20%
(0.70%)
0.50%
5.70%
35.60%
21.80%
31.40%
24.50%
19.40%
26.20%
2.30%
22.40%
17.90%
7.70%
14.00%
7.60%
19.10%
Russell 1000 Value
Citigroup EMI-PAC
EAFE ($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
16,904,661
10,488,152
13,050,780
11,584,221
9,768,718
11,269,171
3,371,148
6,124,704
36,417,420
16,904,661
10,488,152
13,050,780
11,584,221
9,768,718
11,269,171
3,371,148
6,124,704
0.50%
6.20%
1.60%
4.80%
8.40%
4.70%
5.10%
2.80%
3.50%
0.30%
3.60%
2.10%
1.90%
7.80%
3.30%
5.20%
2.00%
1.40%
1.10%
N/A
1.00%
17.20%
N/A
10.60%
5.40%
6.20%
10.40%
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
CSFB Long/Short Hedge
CSFB Event Driven
2,748,993
1,152,591
11,454,813
1,207,173
4,477,686
2,162,480
826,073
2,748,993
1,152,591
11,454,813
1,207,173
4,477,686
2,162,480
826,073
106,591,364
432,472,788
4.50%
1.20%
10.90% Policy Allocation Index
(1) - Returns aren't presented for private equity due to the illiquidity of the investments.
ACTUAL ASSET MIX
FIXED INCOME
9%
ALTERNATIVE
24%
CASH
9%
REIT
5%
INT'L EQUITY
17%
SMALL CAP EQUITY
10%
LARGE CAP EQUITY
20%
MID CAP EQUITY
6%
Page 4 of 6
Benchmarks
Quarter
to Date
Year to
Date One Year
4.90%
11.30%
6.90%
14.20%
11.30%
6.90%
14.20%
1.00%
(0.90%)
0.40%
0.30%
0.30%
3.10%
5.00%
1.50%
6.00%
2.40%
9.00%
6.00%
2.40%
9.00%
0.00%
(5.80%)
(2.00%)
(2.60%)
(2.60%)
(0.50%)
1.10%
13.70%
27.60%
18.70%
26.40%
27.60%
18.70%
26.40%
2.40%
18.50%
13.60%
9.50%
9.50%
7.90%
18.90%
0.50%
3.00%
2.30%
4.30%
1.50%
4.10%
1.50%
3.80%
4.30%
0.30%
(0.40%)
1.00%
1.60%
1.00%
2.10%
1.00%
1.20%
1.60%
1.50%
N/A
6.50%
12.40%
N/A
14.30%
5.50%
8.80%
12.40%
4.10%
0.90%
11.00%
TEXAS TECH UNIVERSITY SYSTEM
GIFTED INVESTMENTS
AS OF February 28, 2005
FUND TYPE
BOOK VALUE
MARKET
BOOK VALUE
MARKET
11/30/04
VALUE 11/30/04
02/28/05
VALUE 02/28/05
Total Restricted Funds
Total Endowment Funds
Total Foundation/Agency Funds
$1,371,192
$561,889
$10,885,827
$1,371,192
$575,118
$10,977,239
$1,371,192
$560,179
$11,054,731
$1,371,192
$584,607
$11,207,788
Grand Total
$12,818,908
$12,923,550
$12,986,103
$13,163,587
Page 5 of 6
ONE YEAR
YIELD
4.65%
ONE YEAR
TOTAL
RETURN
5.17%
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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