2019-10 risk reports
TRANSCRIPT
Total Return FocusedTarget Allocation Risk Summary
May 1, 2008 to June 30, 2019
Analysis provided by PerTrac RiskPlus powered by FinAnalytica. All values are annual.
Factor Contribution to Risk Portfolio Historical Stress Tests
Percent Contribution to Risk and ETLTotal Portfolio Summary
*Calculated with a 99% Confidence Interval.**Similar to the Sharpe Ratio which is a standard deviation-based performance measure, but STARR (stable tail-adjusted return ratio) uses the ETL in the denominator as a risk measure. STARR can be seen as a more effective indicator of risk-adjusted performance because it penalizes only for downside risk, while the standard deviation does not distinguish between upside and downside risk.
Volatility 6.2%
Value at Risk (VaR)* 12.9%
Expected Tail Loss (ETL)* 16.6%
Expected Tail Return (ETR)* 13.0%
Rachev Ratio (ETR/ETL)* 0.8
STARR Performance (Excess Return/ETL)** 0.1
7%
-1%
72%
2%
14%
0%
2%
3%
0%
-20% 0% 20% 40% 60% 80% 100%
Specific Risk
Commodity Risk
Equity Risk
FX Risk
Fixed Income Risk
Style Risk
Size Risk
Interest Rate Risk
Volatility
1.9%
-1.8%
7.3%
-7.3%
2.8%
-4.0%
7.0%
-6.5%
-17.2%-25%-20%-15%-10%
-5%0%5%
10%15%20%25%
25%
7%
37%
10%
8%
0%
0%
4%
0%
2%
6%
24%
8%
38%
11%
4%
0%
0%
4%
2%
3%
6%
11%
3%
14%
6%
8%
6%
5%
8%
29%
6%
5%
0% 10% 20% 30% 40% 50%
US EquitySmall Cap US…
International EquityMLPs
Private EquityCore Real Estate
Non-Core Real…Diversified…
Int. Duration…Bank Loans
Emerging Market…
Percent Contribution to ETL Percent Contribution to Risk Target Allocation
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Income FocusedTarget Allocation Risk Summary
May 1, 2008 to June 30, 2019
Analysis provided by PerTrac RiskPlus powered by FinAnalytica. All values are annual.
Factor Contribution to Risk Portfolio Historical Stress Tests
Percent Contribution to Risk and ETLTotal Portfolio Summary
*Calculated with a 99% Confidence Interval.**Similar to the Sharpe Ratio which is a standard deviation-based performance measure, but STARR (stable tail-adjusted return ratio) uses the ETL in the denominator as a risk measure. STARR can be seen as a more effective indicator of risk-adjusted performance because it penalizes only for downside risk, while the standard deviation does not distinguish between upside and downside risk.
Volatility 5.3%
Value at Risk (VaR)* 9.8%
Expected Tail Loss (ETL)* 12.6%
Expected Tail Return (ETR)* 11.3%
Rachev Ratio (ETR/ETL)* 0.9
STARR Performance (Excess Return/ETL)** 0.1
7%
-1%
76%
4%
11%
0%
1%
2%
0%
-20% 0% 20% 40% 60% 80% 100%
Specific Risk
Commodity Risk
Equity Risk
FX Risk
Fixed Income Risk
Style Risk
Size Risk
Interest Rate Risk
Volatility
22%
6%
33%
17%
4%
2%
0%
2%
6%
10%
20%
6%
31%
18%
4%
0%
0%
4%
7%
10%
8%
2%
10%
7%
3%
11%
3%
37%
12%
7%
0% 10% 20% 30% 40% 50%
US EquitySmall Cap US…
International EquityMLPs
Preferred StockCore Real Estate
Non-Core Real…Int. Duration…Bank Loans
Emerging Market…
Percent Contribution to ETL Percent Contribution to Risk Target Allocation
1.6%
-1.5%
5.7%
-5.7%
1.9%
-2.3%
5.6%
-4.9%
-15.6%-25%-20%-15%-10%
-5%0%5%
10%15%20%
Page 3
Workers Compensation FundTarget Allocation Risk Summary
May 1, 2008 to June 30, 2019
Analysis provided by PerTrac RiskPlus powered by FinAnalytica. All values are annual.
Factor Contribution to Risk Portfolio Historical Stress Tests
Percent Contribution to Risk and ETLTotal Portfolio Summary
*Calculated with a 99% Confidence Interval.**Similar to the Sharpe Ratio which is a standard deviation-based performance measure, but STARR (stable tail-adjusted return ratio) uses the ETL in the denominator as a risk measure. STARR can be seen as a more effective indicator of risk-adjusted performance because it penalizes only for downside risk, while the standard deviation does not distinguish between upside and downside risk.
Volatility 5.7%
Value at Risk (VaR)* 9.4%
Expected Tail Loss (ETL)* 12.9%
Expected Tail Return (ETR)* 13.6%
Rachev Ratio (ETR/ETL)* 1.1
STARR Performance (Excess Return/ETL)** 0.1
5%
0%
47%
2%
23%
0%
1%
23%
0%
-20% 0% 20% 40% 60% 80% 100%
Specific Risk
Commodity Risk
Equity Risk
FX Risk
Fixed Income Risk
Style Risk
Size Risk
Interest Rate Risk
Volatility
17%
4%
25%
6%
0%
0%
41%
6%
13%
4%
22%
6%
0%
0%
48%
6%
8%
2%
10%
5%
5%
4%
62%
5%
0% 20% 40% 60% 80%
US Equity
Small Cap US…
International Equity
MLPs
Core Real Estate
Non-Core Real…
LDI Fixed Income
Emerging Market…
Percent Contribution to ETL Percent Contribution to Risk Target Allocation
0.9%
-0.7%
3.9%
-3.3% -2.4%
6.9%
-1.2%
4.3%
-13.4%-25%-20%-15%-10%-5%0%5%
10%15%20%25%30%35%
Page 4
Pool ATarget Allocation Risk Summary
May 1, 2008 to June 30, 2019
Analysis provided by PerTrac RiskPlus powered by FinAnalytica. All values are annual.
Factor Contribution to Risk Portfolio Historical Stress Tests
Percent Contribution to Risk and ETLTotal Portfolio Summary
*Calculated with a 99% Confidence Interval.**Similar to the Sharpe Ratio which is a standard deviation-based performance measure, but STARR (stable tail-adjusted return ratio) uses the ETL in the denominator as a risk measure. STARR can be seen as a more effective indicator of risk-adjusted performance because it penalizes only for downside risk, while the standard deviation does not distinguish between upside and downside risk.
Volatility 4.2%
Value at Risk (VaR)* 6.6%
Expected Tail Loss (ETL)* 8.9%
Expected Tail Return (ETR)* 8.6%
Rachev Ratio (ETR/ETL)* 1.0
STARR Performance (Excess Return/ETL)** 0.1
7%
-1%
69%
0%
21%
0%
1%
2%
0%
-20% 0% 20% 40% 60% 80% 100%
Specific Risk
Commodity Risk
Equity Risk
FX Risk
Fixed Income Risk
Style Risk
Size Risk
Interest Rate Risk
Volatility
26%
4%
30%
15%
12%
0%
8%
6%
0%
22%
3%
28%
16%
13%
0%
11%
7%
0%
8%
1%
8%
5%
7%
8%
49%
10%
5%
-10% 0% 10% 20% 30% 40% 50%
US Equity
Small Cap US Equity
International Equity
MLPs
Preferred Stock
Non-Core Real Estate
Int. Duration Fixed Income
Bank Loans
Cash Equiv.
Percent Contribution to ETL Percent Contribution to Risk Target Allocation
1.0%
-1.0%
4.2%
-4.2%
0.6%
-0.2%
3.7%
-3.0%
-12.3%
-25%-20%-15%-10%-5%0%5%
10%15%20%
Page 5
LSRATarget Allocation Risk Summary
May 1, 2008 to June 30, 2019
Analysis provided by PerTrac RiskPlus powered by FinAnalytica. All values are annual.
Factor Contribution to Risk Portfolio Historical Stress Tests
Percent Contribution to Risk and ETLTotal Portfolio Summary
*Calculated with a 99% Confidence Interval.**Similar to the Sharpe Ratio which is a standard deviation-based performance measure, but STARR (stable tail-adjusted return ratio) uses the ETL in the denominator as a risk measure. STARR can be seen as a more effective indicator of risk-adjusted performance because it penalizes only for downside risk, while the standard deviation does not distinguish between upside and downside risk.
Volatility 4.1%
Value at Risk (VaR)* 7.5%
Expected Tail Loss (ETL)* 9.8%
Expected Tail Return (ETR)* 8.6%
Rachev Ratio (ETR/ETL)* 0.9
STARR Performance (Excess Return/ETL)** 0.1
27%
8%
40%
12%
6%
5%
1%
2%
24%
8%
38%
13%
5%
7%
2%
3%
7%
2%
9%
4%
6%
33%
33%
4%
0% 10% 20% 30% 40% 50%
US Equity
Small Cap US Equity
International Equity
MLPs
Diversified Hedge Funds
Int. Duration Fixed Income
Low Duration Fixed Income
Bank Loans
Percent Contribution to ETL Percent Contribution to Risk Target Allocation
2%
-1%
79%
1%
14%
1%
2%
2%
1%
-20% 0% 20% 40% 60% 80% 100%
Specific Risk
Commodity Risk
Equity Risk
FX Risk
Fixed Income Risk
Style Risk
Size Risk
Interest Rate Risk
Volatility
1.2%
-1.2%
4.7%
-4.7%
1.0%
-1.1%
3.9%
-3.4%
-11.3%
-25%-20%-15%-10%-5%0%5%
10%15%20%
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Stress Test Summary
Fund Permanent Mineral Trust
Permanent Land Fund
University Permanent Land Fund
Hathaway Scholarship
Common School
Permanent Land Fund
Higher Education
Workers Comp.Fund
Pool A LSRA
Fund Value as of 6/30/2019 ($M) $7,972.0 $194.7 $26.2 $591.9 $4,078.5 $120.3 $2,234.3 $243.3 $1,554.8
Stress Test
Returns (%)
Oil +25% 1.9% 1.9% 1.9% 1.9% 1.6% 1.6% 0.9% 1.0% 1.2%
Oil -25% -1.8% -1.8% -1.8% -1.8% -1.5% -1.5% -0.7% -1.0% -1.2%
Russell 3000 +30% 7.3% 7.3% 7.3% 7.3% 5.7% 5.7% 3.9% 4.2% 4.7%
Russell 3000 -30% -7.3% -7.3% -7.3% -7.3% -5.7% -5.7% -3.3% -4.2% -4.7%
10 Year Treasury +100 bps 2.8% 2.8% 2.8% 2.8% 1.8% 1.8% -2.4% 0.6% 1.0%
10 Year Treasury -100 bps -4.0% -4.0% -4.0% -4.0% -2.3% -2.3% 6.9% -0.2% -1.1%
HY Spreads Compress 25% 7.0% 7.0% 7.0% 7.0% 5.6% 5.6% -1.2% 3.7% 3.9%
HY Spreads Widen 25% -6.5% -6.5% -6.5% -6.5% -4.9% -4.9% 4.3% -3.0% -3.4%
Sept - Oct Crash 2008 -17.2% -17.2% -17.2% -17.2% -15.6% -15.6% -13.4% -12.3% -11.3%
Stress Test
Returns($M)
Oil +25% $154.3 $3.8 $0.5 $11.5 $64.5 $1.9 $19.4 $2.5 $18.0
Oil -25% -$144.7 -$3.5 -$0.5 -$10.7 -$60.1 -$1.8 -$15.5 -$2.5 -$18.2
Russell 3000 +30% $585.1 $14.3 $1.9 $43.4 $232.9 $6.9 $86.5 $10.3 $73.1
Russell 3000 -30% -$578.8 -$14.1 -$1.9 -$43.0 -$231.7 -$6.8 -$74.0 -$10.2 -$73.2
10 Year Treasury +100 bps $225.6 $5.5 $0.7 $16.7 $74.6 $2.2 -$54.5 $1.4 $16.2
10 Year Treasury -100 bps -$316.5 -$7.7 -$1.0 -$23.5 -$95.4 -$2.8 $154.6 -$0.6 -$17.4
HY Spreads Compress 25% $555.6 $13.6 $1.8 $41.3 $227.2 $6.7 -$27.3 $8.9 $61.1
HY Spreads Widen 25% -$516.6 -$12.6 -$1.7 -$38.4 -$198.2 -$5.8 $97.0 -$7.4 -$53.3
Sept - Oct Crash 2008 -$1,372.2 -$33.5 -$4.5 -$101.9 -$634.5 -$18.7 -$298.7 -$29.8 -$175.9
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