Fiscal Year 2016 Market Value and Performance PURDUE MARKET VALUES - - PowerPoint PPT Presentation

2016 ANNUAL REPORT

OF THE INVESTMENT COMMITTEE

David Cooper Chief Investment Officer Purdue Research Foundation

Fiscal Year 2016 Market Value and Performance

PURDUE MARKET VALUES (IN MILLIONS)

$1,787 $1,736 $1,457 $1,633 $2,000 $1,917 $2,182 $2,473 $2,398 $2,255 $0 $500 $1,000 $1,500 $2,000 $2,500 FY 07 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 2 19.4%

• 2.7%
• 20.4%

14.4% 23.7%

• 2.5%

12.2% 17.1% 2.4%

• 3.4%

Investment Performance

1-Year 3-Year 5-Year 10-Year Purdue Endowment

• 3.4%

5.0% 4.9% 5.2% Target Benchmark

• 2.1%

4.7% 4.6% 4.2%

ANNUALIZED NET INVESTMENT RETURNS

Fiscal Year 2016 Performance Update

Purdue Endowment Preliminary Returns (in Percent)

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Contributors: Public and Private Real Estate Private Equity / VC Fixed Income Detractors: Equities Hedge Funds Natural Resources

• 3.4
• 0.5
• 11.8
• 8.0
• 7.1

17.8 10.1 3.5

• 18.8

3.3

• 20.0
• 15.0
• 10.0
• 5.0

0.0 5.0 10.0 15.0 20.0

* Preliminary

Outperformance vs. Target Benchmark

Return(%) Vol.(%) Sharpe Beta Return(%) Vol.(%) Sharpe Beta

Purdue 5.0 6.6 0.76 0.57 4.9 7.7 0.65 0.56 Target Benchmark

4.7 7.6 0.65 0.64 4.6 8.8 0.56 0.64 0.0 5.0 10.0

0.0 5.0 10.0

Return (%) Annualized Standard Deviation (%)

Trailing 3-Years

Purdue Target Benchmark

Trailing 3-Years Trailing 5-Years

0.0 5.0 10.0

0.0 5.0 10.0

Return (%) Annualized Standard Deviation (%)

Trailing 5-Years

Target Benchmark Purdue

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Source: Cambridge Associates, Calculations are based on monthly data net of fees

PURDUE ENDOWMENT ASSESSMENT RESULTS

INVE STME NTS

ASSET ALLOCATION MODIFICATION THEMES

The following main themes of change are based on the past several months of investigation, research, interviews, committee(s) discussions, and survey results. 1. Significantly Modify and Reduce Hedge Funds from 25% to 15% (40% Reduction)

• Currently not demonstrating intended purpose
• Crowded industry
• Fees are weighing on performance
• Replace with lower cost options
• 2. Increase Public and Private Equity
• Better probability of achieving return imperatives
• Efficiency does not materially change
• Investment profile of Endowment has the ability to accept added risk
• Similar to risk of the “majors” peers
• Limited choices with reduction of hedge fund proceeds
• 3. Increase Public Equity Passive Management
• Transition current passive public equity management from 23% to 50%
• Public markets continue to trend toward efficiency
• Frustration with recent performance of active management

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INVE STME NTS

CURRENT POLICY VS. PROPOSED

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