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Asset Management Committee: March 15, 2012

The Asset Management Committee met on March 15, 2012. Lee Borck presided on behalf of Chairman Richard Myers. In addition to the regular performance monitoring reports, the following are a few of the reports received and actions taken:

  • Received a report from the risk assessment subcommittee and staff on the implementation status of the AlphaSimplex Volatility Cap strategy, which attempts to reduce potential future portfolio drawdowns.
  • Staff also made a presentation on the additional research into the AlphaSimplex Beta Trend Overlay strategy. The committee requested staff use the modeling data in place to create extreme scenarios to determine the outcome when staff has re-balanced the portfolio to maximum exposure and the overlay strategy subsequently adds market exposure. The concern was the total exposure that might occur should the situation take place at an inopportune time coincident to an extreme market event.
  • The committee received a fiscal year 2013 investment department budget recommendation from staff; the budget will be subsequently presented to the finance and audit committee during the budget process.
  • The real estate subcommittee reported on its meeting, including a request from Homeland Security attorneys to exempt from the Research Park restrictive covenants the easement for an emergency exit from the NBAF site. The request was forwarded to the board with a recommendation for favorable consideration.
  • The committee had a joint meeting with the finance and audit committee to receive reports and discuss the operating budget, business model and capitalization plan for the real estate supporting organization.
  • Endowment pool annualized returns for the periods ending Dec. 31, 2011 were 1.13 percent, 7.95 percent, 1.32 percent and 5.72 percent for the one-, three-, five- and 10-year periods respectively.

If you are interested in learning more about the status of the endowment and the policies and procedures utilized in managing all KSU Foundation assets, please click here: http://www.found.k-state.edu/financials/investments/