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Asset Management Committee: November 12, 2015

Chairman Stephen Lacy presided at the regularly scheduled meeting on November 12, 2015. The following actions were taken:

Meeting minutes for the October 7, 2015 Asset Management Committee were approved.

Staff began by reviewing the breakdown of participants in the Endowment Pool. Staff noted that the current distribution formula is currently capped at 4.5% of purpose and that the total distribution for Fiscal Year 2016 (FY16) is at 5.9% given the 1.40% management fee charged to the Endowment Pool for the operating budget.  

Staff discussed the cash flow summary and compared the current balance to the beginning market value. Staff noted that contributions did not exceed what was distributed during the quarter and most of the decrease in market value was due to unrealized gains and losses in the investment portfolio.

Staff provided an overview of the asset allocation of the Endowment Pool and highlighted the current underweight positioning in deflation hedge assets and an overweight in the growth equity assets, which are both within rebalancing ranges.

Staff told the committee that a total of 48 managers are currently being used in the Endowment Pool, which Staff aims to decrease over time. Liquidity of the Endowment Pool was also discussed and is currently within its liquidity target with uncalled capital and other illiquid investments representing 35% of the Endowment Pool’s end of quarter market value.

Staff reviewed performance of the Endowment Pool, which outperformed its benchmark in the first quarter of FY2015. Staff also noted that quarterly performance ranked in the first quartile of the peer group. Longer term performance was also discussed and Staff noted that the Endowment Pool is outperforming its benchmark over the trailing 1, 3, 5, and 7 year time periods.

Staff proceeded to review performance for the quarter. The Growth Engine, which makes up the largest portion of the Endowment Pool, outperformed its internal benchmark. The Inflation Sensitive allocation outperformed its internal benchmark during the quarter. The Diversifiers allocation outperformed its internal benchmark. Fixed income underperformed for the quarter.

Staff then reviewed risk and return data along with peer group performance for each allocation within the Endowment Pool. Staff then discussed risk analysis of the Endowment Pool in aggregate, which is ran internally.

Staff discussed the Watch-List and commented on new additions and removals. Staff also discussed upcoming changes pending on-site visits with investment managers being conducted in the near term.

Staff reviewed the Expendable Funds Pool and updated the committee on the market value and policy balance at the end of the quarter.