charitablegiving endowment ipspowerpoint
DESCRIPTION
EndowmentTRANSCRIPT
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CharitableGiving EndowmentInvestment Policy Statement
May 6th, 2015
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CharitableGiving Mission
To offer higher education
opportunities to children from low-income families
And enhancing equitable
opportunity for social mobility
By providing a reliable source
of funds for current and
future students
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Investment Portfolio
Outflows
• Asset management fee 0.75%
• Scholarship payouts 2.5%
Inflows
• Nominal rate of return 9.0%
• CPI inflation 2.0%
Risks
• Sharpe ratio 0.77
• Standard deviation under 12.0%
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Strategic Asset Allocation Optimal Min Max Benchmarks
Equity U.S. 10% 10% 20% Russell 1000 TR USD Equity Global 10% 10% 15% Russell Global 3000 TR USD
Fixed Income 38% 20% 50% Barclays US Agg Bond TR USDReal Estate 20% 5% 20% S&P Global Property TR USDPrivate Equity 20% 10% 20% Cambridge Associates US PELiquid Cash 2% 2% 5% Dreyfus Liquid Assets Class 1
Given the large size of CharitableGiving investment portfolio ($1 bn) the asset allocation favors alternative investments (40%) and fixed income securities (38%). Expense ratio of 2.5% per annum, and low liquidity needs enable the Endowment to accept higher levels of risk.
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Comparative Statistics
Source: National Association of College and University Business Officers, Public NCSE Tables
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Risk Tolerance
• Endowments of similar size: Equity 40% and Alternatives 44%
• CharitableGiving: Alternatives 40% and Fixed Income 38%• CharitableGiving portfolio allows for high risk tolerance
due to its long-term horizon and low liquidity • Nominal required rate of return of 9% is achievable
under barbell strategy (Alternatives – high risk vs. Bonds – lower risk)
• Equity allocation substantially lower compared to peer group
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Efficient Frontier
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Optimal Asset AllocationStrategic asset allocation meets investment risk and return parameters:
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Simulated Annual Rate of Return
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Monte Carlo Simulation
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Asset Classes Return And Risk Characteristics
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Comparative Statistics
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Simulation For Optimal Asset Allocation
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DiversificationNegative correlations across asset classes reduce overall risk of the portfolio as illustrated in Fixed Income and Alternative Investments
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Comparative Spending Rate
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Thank You!
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