2015 Investment Performance
2015 Investment Performance
Paul J. Williams TCDRS Chief Investment Officer
Stronger U.S. Dollar 105
105
100
100
US Dollar Index
95
Bad for: - U.S. multinational companies - U.S. exporters - Oil prices - Non-U.S. debtors who borrowed in dollars
95
90
85
90
Good for: - U.S. savers - U.S. consumers - U.S. importers
85
80
80
75
75
Source: Bloomberg
Stronger U.S. Dollar 105
105
100
100
US Dollar Index
95
90
Negative Impact Emerging Market Equities Intl. Developed Equities Commodities U.S. Equities Private Equity – Non-U.S.
85
95
90
Positive Impact U.S. equities Inv. Grade Bonds Inflation
85
80
80
75
75
Source: Bloomberg
Lower Oil 120
120
110
110
100
Good for: - Consumers of oil products
WTI Crude Oil
90
100
90
80
80
70
70
60 50
Bad for: - Oil producers/countries - Oil service industries - Inflation
60 50
40
40
30
30
20
20
Source: Bloomberg
Lower Oil 120
120
110
110
100
Positive Impact U.S. Equities Intl. Developed Equities Inflation Inv. Grade Bonds
WTI Crude Oil
90 80 70 60 50 40
100
90 80 70
Negative Impact Commodities High-Yield Bonds Emerging Market Equities Private Equity – Energy MLPs
60 50 40
30
30
20
20
Source: Bloomberg
China’s Economy In Transition 15.0%
15.0%
14.0%
14.0%
China Annual GDP
13.0%
12.0%
Bad for commodity producers
Good for producers of consumer products
13.0%
12.0%
11.0%
11.0%
10.0%
10.0%
9.0%
9.0%
8.0%
8.0%
7.0%
7.0%
6.0%
6.0%
Source: Bloomberg
China’s Economy In Transition 15.0%
15.0%
14.0%
14.0%
China Annual GDP
13.0%
12.0%
11.0%
Negative Impact Commodities Emerging Market Equities Intl. Developed Equities U.S. Equities
Positive Impact IG Bonds
13.0%
12.0%
11.0%
10.0%
10.0%
9.0%
9.0%
8.0%
8.0%
7.0%
7.0%
6.0%
6.0%
Source: Bloomberg
2015 TCDRS Asset Class Returns (net of all fees) 49%
14.62% 10.70%
51%
4.67% 2.70% 0.38%
-1.54%
-1.48%
-1.05%
0.49%
0.53%
-0.46%
-4.10%
-10.54%
-25.12%
-30.69%
77% of Portfolio
3.04%
0.55% -0.66%
2015 TCDRS Asset Class Returns (net of all fees) 14.62% 10.70%
0.53% -1.54%
-0.46%
9
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Questions?
www.tcdrs.org
Paul J. Williams TCDRS Chief Investment Officer
Stronger U.S. Dollar 105
105
100
100
US Dollar Index
95
Bad for: - U.S. multinational companies - U.S. exporters - Oil prices - Non-U.S. debtors who borrowed in dollars
95
90
85
90
Good for: - U.S. savers - U.S. consumers - U.S. importers
85
80
80
75
75
Source: Bloomberg
Stronger U.S. Dollar 105
105
100
100
US Dollar Index
95
90
Negative Impact Emerging Market Equities Intl. Developed Equities Commodities U.S. Equities Private Equity – Non-U.S.
85
95
90
Positive Impact U.S. equities Inv. Grade Bonds Inflation
85
80
80
75
75
Source: Bloomberg
Lower Oil 120
120
110
110
100
Good for: - Consumers of oil products
WTI Crude Oil
90
100
90
80
80
70
70
60 50
Bad for: - Oil producers/countries - Oil service industries - Inflation
60 50
40
40
30
30
20
20
Source: Bloomberg
Lower Oil 120
120
110
110
100
Positive Impact U.S. Equities Intl. Developed Equities Inflation Inv. Grade Bonds
WTI Crude Oil
90 80 70 60 50 40
100
90 80 70
Negative Impact Commodities High-Yield Bonds Emerging Market Equities Private Equity – Energy MLPs
60 50 40
30
30
20
20
Source: Bloomberg
China’s Economy In Transition 15.0%
15.0%
14.0%
14.0%
China Annual GDP
13.0%
12.0%
Bad for commodity producers
Good for producers of consumer products
13.0%
12.0%
11.0%
11.0%
10.0%
10.0%
9.0%
9.0%
8.0%
8.0%
7.0%
7.0%
6.0%
6.0%
Source: Bloomberg
China’s Economy In Transition 15.0%
15.0%
14.0%
14.0%
China Annual GDP
13.0%
12.0%
11.0%
Negative Impact Commodities Emerging Market Equities Intl. Developed Equities U.S. Equities
Positive Impact IG Bonds
13.0%
12.0%
11.0%
10.0%
10.0%
9.0%
9.0%
8.0%
8.0%
7.0%
7.0%
6.0%
6.0%
Source: Bloomberg
2015 TCDRS Asset Class Returns (net of all fees) 49%
14.62% 10.70%
51%
4.67% 2.70% 0.38%
-1.54%
-1.48%
-1.05%
0.49%
0.53%
-0.46%
-4.10%
-10.54%
-25.12%
-30.69%
77% of Portfolio
3.04%
0.55% -0.66%
2015 TCDRS Asset Class Returns (net of all fees) 14.62% 10.70%
0.53% -1.54%
-0.46%
9
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Sources of Over/Under Performance Portfolio Return -0.66%
Benchmark Return -2.45%
Outperformance 1.79%
Cash Direct Lending Opportunistic Credit Distressed Debt High-Yield Bonds Inv. Grade Bonds Hedge Funds
TIPS MLP Priv. Real Estate Funds
Commodities REIT Equity Private Equity Global Equity Emerging Markets Equity Intl. Dev. Equity U.S. Equity -0.3
-0.2
-0.1
0
0.1
CIO Asset Allocation -.15
0.2
0.3
0.4
0.5
Mgr. Performance 1.5
*Calculations are net of fees **Numbers may not sum due to rounding ***Hedge represents approx. gain/loss to total fund from implementing the hedge
0.6
0.7
Hedge .44
0.8
Questions?
www.tcdrs.org
