q3-2016 quarterly investment webinar - the san diego foundation

Quarterly Investment Narrative Conference Call

Monday, November 14

Speakers

Horacio Valeiras, CFAPrincipal, HAV Capital

Investment Chair, Board of GovernorsThe San Diego Foundation

Matt Fettig, CFAVice President, Chief Investment Officer

The San Diego Foundation

Adrienne VargasVice President, Chief Giving Officer

The San Diego Foundation

Agenda

1. Macroeconomic update

2. Performance & attribution for Endowment Portfolio

3. Performance & attribution for Long-Term Portfolio

4. Performance & attribution for Medium-Term Portfolio

5. Performance & attribution for Short-Term Portfolio

6. Q&A

Average Calendar Year S&P 500 Price Return (1951-2015)

Yield Environment

Source: Verus, as of 8/31/16

Credit Environment

Source: Barclays Capital Indices, Bloomberg, as of 9/30/16

MarketCredit Spread

(9/30/16)Credit Spread (1 Year Ago)

Long US Corporate 1.8% 2.1%

US Aggregate 0.9% 1.2%

US High Yield 5.1% 6.8%

US High Yield Energy 6.6% 11.4%

US Bank Loans 3.9% 3.9%

Source: Bloomberg, as of 9/30/16 Source: Barclays, Credit Suisse, Bloomberg, as of 9/30/16

Credit Spreads 3 Month Libor Spreads

Issuance and Default

Source: Bloomberg, BofA Merrill Lynch, as of 9/30/16 Source: JP Morgan, as of 9/30/16 Source: Credit Suisse, BofA, as of 9/30/16

U.S. Debt Issuance EM Debt Issuance HY Default Trends (rolling 1 year)

Domestic Equity

Source: Russell Investments, as of 9/26/16 Source: Bloomberg, as of 9/30/16

U.S. Equities Sector Impact on S&P 500 Earnings Growth

Performance & attribution for Endowment Portfolio

Asset Allocation$434 million as of September 30, 2016

Includes Principal Only

ReturnsFor period ending September 30, 2016

Performance & attribution for Long-Term Portfolio

Asset Allocation$41 million as of September 30, 2016

Returns

Performance & attribution for Medium-Term Portfolio

Asset Allocation$52.6 million as of September 30, 2016

Returns

Performance & attribution for Short-Term Portfolio

Asset Allocation$21.2 million as of September 30, 2016

Returns

Q&ATo submit questions for the Q&A,

please use the “Questions” chat function

Thank YouSDFoundation.org/Investments