apr-11.pdf (2.07 MB) - Crown Ownership Monitoring Unit

EQC has been excluded from the analysis. EQC only employs active management fora portion of the global equities portfolio (approximately 15% of the total fund) and doesnot attempt to add value through active asset allocation decisions. Performance relativeto benchmark has been impacted by variations from the benchmark asset allocationover the year which have resulted from the uneven sell off of equities and bonds to fundoutgoings resulting from the Canterbury earthquakes and the ministerial direction toincrease the cash holding in the fund during the period.Table 2 – Attribution of value added or lost over the yearStrategy Positive contributors Negative contributorsNZSF Stock selection Global large cap and emergingmarket equity managersMulti-strategy equity managersGlobal fixed income managersSmall cap equity managersAsset allocationOff benchmarkstrategiesOverweight to equities in Q1-Q3Credit tilt within bond portfolioReturns on infrastructure andtimber assetsForeign currency exposurePrivate equity assetsACC Stock selection New Zealand bond portfolioNew Zealand and Australianequity portfoliosAsset allocation Reduced exposure to Australianequities matched againstincreased exposure to globalequitiesOff benchmarkstrategiesGSF Stock selection Global equity managersGlobal fixed income managersUnderweight equitiesAllocation to private equityAsset allocation Underweight global fixed income Foreign currency exposureUnderweight global equitiesOff benchmarkstrategiesGlobal Tactical Asset Allocation(GTAA) managerMulti-asset class strategyNPF Stock selection Global fixed income managers Global equity managersAsset allocation Foreign currency exposureOff benchmarkstrategiesN/AN/AWe stress that a year is a relatively short investment time horizon; many investmentdecisions are made with a medium term (one to three years), or longer, time horizonin mind. However, it is encouraging to see that active investment management (bothoutsourced and in-house) has added value on an after fees basis across the majority ofthe CFI portfolio in 2010/11.We would expect to see consistent added value from the active investment decisionsemployed by CFIs over time and this forms a key part of our monitoring of the CFIportfolio. The reference portfolio constructs adopted by NZSF and GSF provide auseful tool for measuring the success of key active investment decisions.page | 13