PORTFOLIO REVIEW3rd Quarter 2015
Prepared by: Caitlin Markel
Richard M. ToddScott Middleton, CFA, CIMA®
Steve Karsh
INNOVEST AT A GLANCE
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*As of August 2015
Privileged and Confidential
2
June 30, 2012
Innovest’s History With South Dakota School of Mines and Technology Foundation
2010-20112008-2009
Entered into contract between Innovest Portfolio Solutions and South Dakota School of Mines and Technology Foundation .
Prepared first quarterly performance report and continue to date.
Recommended consolidation of custody of the portfolio’s long term assets.
Completed spending simulations to help determine the appropriate asset allocation, resulting in a transition of the portfolio to revised asset allocation levels and new asset classes.
Purchased Private Advisors Stable Value and Common Sense Offshore as part of new allocation.
Completed manager searches for mid and small cap equities, international equity, hedge fund of funds, leveraged hedge fund of funds, private equity and real estate strategies, resulting in the hiring of several managers in 2010 (see note below).
Replaced Blackrock High Yield with JP Morgan High Yield due to management changes.
Delivered Emerging Markets presentation and related manager search.
Completed Liquid Low Correlated Hedge Fund manager search.
To improve portfolio diversification, added Cornerstone Patriot Fund, UBS Trumbull Private Real Estate Fund, Wells Fargo Emerging Markets, Highbridge Dynamic Commodities, Common Sense Long Biased, and Common Fund Capital PE VIII. Also replaced Fidelity Floating Rate with Eaton Vance Floating and replaced Janus Perkins Mid Cap Value with iShares Russell Mid Cap Value and John Hancock Disciplined Value.
Implemented a new allocation after review of the annual Asset Allocation Study
3
June 30, 2012
Innovest’s History With South Dakota School of Mines and Technology Foundation
2014-2015
Provided Asset Allocation Study along with quarterly performance reports; Delivered Fiduciary Education
Removed Highbridge Commodity from plan due to poor performance and directed complete Commodity allocation into PIMCO Commodity. Added an additional commitment to Lighthouse Global Long/Short with the proceeds from the Common Sense Redemption.
Conducted International Core Equity search including current manager (Thornburg), and index fund, and two active managers. Added iShares MSCI EAFE to portfolio to diversify International Equity allocation, which was later replaced by Vanguard Total Intl Stock.
Presented searches on Core Fixed Income, Emerging Markets Equity, LCH Basket, and PIMCO Commodity replacement.
Added Vanguard 500 Index to replace SFM due to poor performance and to lower overall costs. Added Vanguard Sm Cap Growth to lower costs and increase diversification in the SMID cap space.
Chose new allocation adding Fixed Income as an asset class
2012-2013
Delivered Active vs. Passive Investing presentation
Delivered illiquid credit presentation and related manager search, resulting in the addition of Portfolio Advisors Private Equity VII investment.
Completed analysis of the portfolio’s expense ratios of each of the investment managers.
Received a full redemption of Common Sense Offshore and partial redemptions of Private Advisors Stable Value and Common Sense Long Biased.
Added Fidelity Contra Fund to replace Weber due to inconsistent performance. Replaced Fidelity Floating Rate with Eaton Vance Floating Rate and replaced Janus Perkins Mid Cap Value with John Hancock Disciplined Mid Cap Value.
4
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5
Performance Over Time
Risk and Return (Since Inception) Asset Allocation
Cumulative Performance over Time
Change in Account Value
LastQuarter
Year ToDate
1Year
3Years
5Years
7Years
SinceInception
InceptionDate
SDSM Total Fund -6.34 -3.14 -3.05 5.19 5.98 4.02 8.71 04/01/2009SDSM Custom Benchmark -6.41 -3.67 -2.93 6.17 6.68 7.25 10.57Difference 0.07 0.53 -0.12 -0.98 -0.70 -3.23 -1.86
Market ValueAs of
07/01/2015
Market ValueAs of
09/30/2015
Change$
SDSM Total Fund 50,980,920 47,924,348 -3,056,572
$0 $1,202,971 $2,405,942 $3,608,913 $4,811,884 $6,014,855
Schwab Money Market FundCommon Fund Capital Int'l VII
TIFF PE Partners 2011CommonFund Capital PE VIIIJPMorgan High Yield Select
iShares Russell Midcap ValueVanguard Small Cap Growth Index
Vanguard Total Bond Market IdxPort Advisors PEFVI
John Hancock Disciplined Mid Cap ValuePortfolio Advisors Private Equity VII
Oak Ridge Small to Mid Cap Growth - SDSMTIFF Absolute Return Pool
UBS Trumbull Property FundCornerstone Patriot Real Estate Fund
PIMCO Commodity Real ReturnLighthouse Global Long/Short Equity
Vanguard Total Intl Stock IndexThornburg Intl ADR - SDSMEaton Vance Floating Rate; I
Wells Fargo Adv Emerging Markets EquityVanguard 500 Index Fidelity Contrafund
BRC Large Cap Equity - SDSMPrivate Advisors Stable Value Fund, Ltd.
$145,442$170,624
$285,204$365,999
$932,294$1,032,247$1,038,102$1,056,855$1,097,864$1,132,294$1,230,578$1,254,341
$1,457,634$1,776,651$1,826,988$1,922,861
$2,477,174$2,758,062$2,803,711
$2,958,146$3,388,014
$3,794,016$3,875,051
$4,238,048$4,906,148
6.0
8.0
10.0
12.0
14.0
16.0
18.0
Re
turn
(%)
8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0Risk (Standard Deviation %)
S&P 500 Index
SDSM Total Fund
SDSM Total Fund SDSM Custom Benchmark
-50 %
0%
50%
100%
150%
6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 9/15
Executive SummarySeptember 30, 2015
6
THE MARKETS
Investment ReturnsThird Quarter 2015
July August September
‐6.44%
‐11.92%
‐10.23%
‐17.90%
1.23%
‐25.00%
‐20.00%
‐15.00%
‐10.00%
‐5.00%
0.00%
5.00%
S&P 500
Russell 2000
MSCI EAFE
MSCI EM
Barclays US Agg Bond
7
U.S. ECONOMY: STILL MODESTLY POSITIVE• The U.S. economy continues to move ahead in “plow horse”
like fashion, even as Q2 GDP growth surprised at 3.9%.• Improvements in the U.S. labor market are significant, though
the September jobs report was below expectations.• Auto sales are the strongest since 2001, as consumer spending
remains on a positive trajectory.• The service sector economy has grown robustly in 2015, with
the ISM Non-Manufacturing Index hitting a record in July.
CHINA: A SOFT LANDING OR A FINANCIAL MELTDOWN?• Chinese economic data continued to disappoint to the
downside.• The Chinese domestic stock market crashed after peaking in
mid-June, sparking volatility across global markets in Q3.• A surprise devaluation of the Chinese Yuan weighed on U.S.
markets in August. • While China’s influence on global growth is quite significant,
U.S. exports to China account for just 0.5% of U.S. GDP.
Third Quarter: GLOBAL ECONOMICS
China’s Growth Has Fallen Below Its 7% Target
Source: Vanguard, 9/2015.
U.S. Leading Economic Indicators Are Encouraging
Source: Fritz Meyer POV, 9/2015.
8
GLOBAL ECONOMICS, continued
INFLATION: LOWER FOR LONGER • Energy oversupply and a strong U.S. Dollar have reduced
headline inflation in recent quarters.• Wage growth in the U.S. labor market has remained
subdued, further dampening inflationary pressures.• The U.S. Federal Reserve has delayed raising interest rates,
at least in part due to low inflation.• Bond yields have remained near record lows due to low
inflation and modest economic growth.
GLOBAL MONETARY POLICY: STILL IN THE HEADLINES• Janet Yellen and the Fed have chosen to delay raising short-
term interest rates due to global economic concerns.• Mario Draghi and the European Central Bank have launched
a QE program and may expand it due to unexpectedly low inflation in Europe.
• The Bank of Japan continues to aggressively stimulate its economy through monetary policy.
• The U.S. Dollar may continue to strengthen if monetarypolicy in the U.S. is less stimulative than abroad.
U.S. CPI and Core CPI Remain Low
Central Bank Decisions are Driving Short-Term Volatility
Source: Reuters 9/2015.
Source: JP Morgan Asset Management, as of 9/30/2015.
9
STOCKS: VOLATILITY RETURNED IN Q3• U.S. large cap stocks experienced their first 10+% correction
in four years.• Earnings growth in U.S. equities remained subdued, mostly
due to the energy sector. • U.S. equity valuations are now slightly below long-term
averages.• Emerging market valuations are now even more compelling.
BONDS: HIGH-QUALITY YIELDS PUSHED LOWER• High-grade bonds gained in Q3, reflecting their safe-haven
status when stocks tumble.• The yield on the 10-Year U.S. Treasury approached 2%,
down 29 basis points for the quarter.• Lower credit quality bonds struggled in Q3, as spreads
widened and investor confidence waned.• High yield bonds and floating rate corporate loans are trading
at attractive spreads given the recent selloff.
Third Quarter: ASSET CLASS FUNDAMENTALS
Source: Barclays Research 9/2015.
Sources: Standard & Poor’s and JP Morgan Asset Management, as of 9/30/2015.
Survey of 10-Year Treasury Expectations for Year-End 2015
U.S. Large Cap Pullbacks in the Last Six Years
10
ASSET CLASS FUNDAMENTALS, continued
ALTERNATIVES DELIVERED MIXED RESULTS • Hedge funds helped to provide stability to portfolios in the
market selloff during August and September.• Commodities remained in a downward trend and remain
particularly sensitive to bad news from China.• Midstream Master Limited Partnerships experienced a sharp
drawdown in Q3, despite having little direct exposure to commodity prices. Valuations in MLPs are now extremely attractive.
AN OPPORTUNITY TO REBALANCE• Short-term volatility reminds us of our long-term and
disciplined approach to successful investing.• Fixed-income investments have generally become
overweighted during recent market volatility. • Portfolio rebalancing takes partial profits from asset classes
that have run up the most, and adds capital to areas that are depressed in price and valuations.
• Equity bull markets are typically ended by recessions. U.S. economic fundamentals point to a low likelihood of recession in the next six to nine months.
Volatility of Stocks, Bonds, and Hedge Funds
Volatility is measured by rolling three-year standard deviations of total returns.
Source: Fundmanagertalk.com.
Why Rebalancing is Important
11
ASSET CLASS FUNDAMENTALS, continued
*Returns shown are calendar year returns from 1980 to 2014 excluding 2015, which is year‐to‐date through 9/30/2015. Intra‐year drops refer to the largest market drops from a peak to a trough during the year. Returns are based on price index only and do not include dividends. Sources: FactSet, Standard & Poor’s, and J.P. Morgan Asset Management.
12
US Market Indices Performance US Market Sector Performance
Source: Investment Metrics, LLC
Source: Investment Metrics, LLCSource: Investment Metrics, LLC
1 Quarter
0.0
10.0
-10.0
-20.0
-30.0
Re
turn
(%)
S&
P 5 0
0
I nd
e x
Ru s
s ell
2
0 00
I n
de x
MS
CI
E
AF
E
I nd
e x
MS
CI
E
AF
E LC
I nd
e xM
SC
I
Em
ergi
ng
Ma rk
ets
I n
de x
Bar
c lay s
Ca
pita
l
Ag g
r eg
a te
BC
Mu
nic
ipa l
B
on
dB
a rcla
ys U
.S.
C
or p
:
Hig
h
Yi e
ldB
C G
lob a
l
Ag
g r eg
ate
Ex U
SD
Em
ergi
ng
Ma rk
et D
ebt
S&
P/L
STA
Leve
rag e
d
Lo a
n
I nd
e x
MS
CI
U
.S.
R
EIT
I n
de x
Al e
r ian
M
L P In
f ra st
ruc
ture
DJ -U
BS
Co
mm
od it
y
I nd
e xH
FRI
F
o F C
om
posi
t e I n
de x
-6.4
-11.9-10.2
-8.9
-17.8
1.2 1.7
-4.9
0.6
-0.9 -1.4
2.1
-22.0
-14.5
-3.3
S&P 500 S&P 500 Growth S&P 500 Value
Russell Midcap Index Russell Midcap Growth Index Russell Midcap Value Index
Russell 2000 Index Russell 2000 Growth Index Russell 2000 Value Index
0.0
8.0
16.0
-8.0
-16.0
-24.0
Re
turn
(%)
1
Quarter
1
Year
-10.7
-1.6
-13.1
4.0
-11.9
1.2
-8.0
-2.1
-8.0
1.4
-8.0
-0.2
-8.3
-4.3-4.8
2.8
-6.4
-0.6
S&P 500 Consumer Discretionary S&P 500 Consumer Staples S&P 500 Energy
S&P 500 Financials S&P 500 Health Care S&P 500 Industrials
S&P 500 Information Technology S&P 500 Materials S&P 500 Telecom Services
S&P 500 Utilities
0.0
20.0
40.0
-20.0
-40.0
-60.0
Re
turn
(%)
1
Quarter
1
Year
5.4 6.6
-6.8 -7.9
-16.9 -18.0
-3.7
2.1
-6.9-3.6
-10.7
5.2
-6.7-0.3
-17.4
-29.7
-0.2
7.1
-2.6
13.2
Quarterly Market Summary September 30, 2015
Copyright © 2015 Investment Metrics, LLC. All rights reserved.
13
Intl Equity Region PerformanceIntl Equity Indices Performance
Fixed Income Market Sector Performance
Source: Investment Metrics, LLC
Source: Investment Metrics, LLCSource: Investment Metrics, LLC
Barclays U.S. Aggregate Barclays U.S. Treasury Barclays U.S. Agency Barclays U.S. Credit Index Barclays U.S. MBS
Barclays U.S. ABS Barclays U.S. Corp: High Yield Barclays Global Aggregate JPM EMBI Global (USD)
0.0
3.0
6.0
-3.0
-6.0
-9.0
Re
turn
(%)
1
Quarter
1
Year
-2.0 -2.0
0.9
-3.3
-4.9
-3.4
0.7
2.4
1.3
3.4
0.5
1.51.1
2.8
1.8
3.8
1.2
2.9
MSCI EAFE Index MSCI EAFE Small Cap Index MSCI EAFE Growth Index
MSCI EAFE Value MSCI Emerging Markets
0.0
8.0
-8.0
-16.0
-24.0
-32.0
Re
turn
(%)
1
Quarter
1
Year
-17.8-19.0
-11.7 -12.2
-8.7
-4.3
-6.8
0.6
-10.2-8.3
MSCI Japan MSCI Pacific ex Japan MSCI United Kingdom MSCI Europe ex U.K.
-25.0
-20.0
-15.0
-10.0
-5.0
0.0
Re
turn
(%)
1
Quarter
1
Year
-8.0-7.3
-10.0
-12.1
-15.9-16.7
-11.7
-1.9
Quarterly Market Summary September 30, 2015
Copyright © 2015 Investment Metrics, LLC. All rights reserved.
14
Alternative Asset Class Returns September 30, 2015
Source: Christenson Investment Parnters Source: Christenson Investment Parnters
Source: Christenson Investment Parnters Source: Standard & Poors
‐26.8
‐19.8 ‐20.5
‐15.0
‐19.7 ‐18.4
‐14.0‐10.7
‐16.0‐13.5
‐10.7‐8.3
‐14.5‐11.0 ‐10.5
‐4.4‐7.1
‐5.0
‐14.6
13.4
‐30.0
‐25.0
‐20.0
‐15.0
‐10.0
‐5.0
0.0
5.0
10.0
15.0
20.0
Crud
e Oil
Gasoline
Heatin
g Oil
Natural Gas
Soybean Oil
Whe
at
Soybeans
Corn
Zinc
Nickel
Copp
er
Alum
inum
Bloo
mbe
rg Com
m Inde
x
Cotton
Coffe
e
Sugar
Silver
Gold
Cattle
Hogs
Commodity Sector Returns
‐22.3
‐14.5 ‐13.7
‐11.1
‐7.5‐5.5 ‐5.4
‐25.0
‐20.0
‐15.0
‐10.0
‐5.0
0.0
Energy BloombergComm Index
Grains IndustrialMetals
Softs PreciousMetals
Livestock
Commodity Broad Sector Returns
‐6.0‐3.7 ‐3.5 ‐2.9 ‐1.5 ‐1.5 ‐0.2
0.12.1
4.4
17.4
‐10.0
‐5.0
0.0
5.0
10.0
15.0
20.0
Even
t Driv
en
HFRI FoF
Com
posite
Distressed
Globa
l Macro
Long/Sho
rt Equ
ity
Convertib
le Arbitrage
Fixed Income Arbitrage
Multi‐Strategy
Equity M
arket N
eutral
Managed
Futures
Dedicated Short B
ias
Hedge Fund Strategy Returns
‐14.5
‐9.1‐8.0 ‐7.6
‐5.9‐4.0
0.0
2.0 2.1 2.4
‐16.0‐14.0‐12.0‐10.0‐8.0‐6.0‐4.0‐2.00.02.04.0
Singap
ore
Canada
Emerging
Markets
Australia
Hon
g Ko
ng
Japa
n
S&P De
velope
d RE
IT
United Kingdo
m
U.S.
Europe
Global REIT Country and Regional Returns
15
June 30, 2015
Allocation Differences
0.0% 3.0% 6.0%-3.0 %-6.0 %-9.0 %
Cash & Equivalents
Private Equity
Absolute Return Funds
Real Estate
Commodities
Floating Rate Corporate Loans
High Yield
Emerging Markets Equity
International Equity
Smid Cap Equity
Large Cap Equity
0.1%
-4.0 %
-0.2 %
0.8%
-0.5 %
-0.1 %
-0.1 %
0.0%
0.2%
0.7%
3.1%
September 30, 2015
Allocation Differences
0.0% 10.0% 20.0%-10.0 %-20.0 %
Cash & Equivalents
Private Equity
Absolute Return Funds
Real Estate
Commodities
Floating Rate Corporate Loans
High Yield
Fixed Income
Emerging Markets Equity
International Equity
Smid Cap Equity
Large Cap Equity
0.3%
-3.4 %
8.4%
1.5%
-1.0 %
-0.8 %
-0.1 %
-7.8 %
0.1%
1.6%
-0.7 %
1.8%
June 30, 2015
Market Value($)
Allocation(%)
Target(%)
Large Cap Equity 12,776,285 25.06 22.00Smid Cap Equity 4,957,628 9.72 9.00International Equity 6,198,382 12.16 12.00Emerging Markets Equity 4,090,383 8.02 8.00High Yield 979,321 1.92 2.00Floating Rate Corporate Loans 3,004,988 5.89 6.00Commodities 2,296,839 4.51 5.00Real Estate 3,483,121 6.83 6.00Absolute Return Funds 10,094,204 19.80 20.00Private Equity 3,055,325 5.99 10.00Cash & Equivalents 44,443 0.09 0.00Total Fund 50,980,920 100.00 100.00
September 30, 2015
Market Value($)
Allocation(%)
Target(%)
Large Cap Equity 11,907,115 24.85 23.00Smid Cap Equity 4,456,985 9.30 10.00International Equity 5,561,773 11.61 10.00Emerging Markets Equity 3,388,014 7.07 7.00Fixed Income 1,056,855 2.21 10.00High Yield 932,294 1.95 2.00Floating Rate Corporate Loans 2,958,146 6.17 7.00Commodities 1,922,861 4.01 5.00Real Estate 3,603,639 7.52 6.00Absolute Return Funds 8,840,956 18.45 10.00Private Equity 3,150,269 6.57 10.00Cash & Equivalents 145,442 0.30 0.00Total Fund 47,924,348 100.00 100.00
Asset Allocation vs. Target Allocation
16
Allocation
MarketValue
($)%
Performance(%)
LastQuarter
Jul-2015To
Sep-2015
YearTo Date
1Year
3Years
5Years
Apr-2009To
Sep-2015Since Innovest
SinceInception
InceptionDate
Large Cap Equity
BRC Large Cap Equity (Net) 4,238,048 8.84 -8.95 -8.95 -2.06 1.44 14.28 14.63 17.02 17.02 04/01/2009S&P 500 Index -6.44 -6.44 -5.29 -0.61 12.40 13.34 16.91 16.91
Vanguard 500 Index 3,794,016 7.92 -6.45 -6.45 -5.30 -0.64 12.36 13.30 16.90 -6.19 04/01/2015S&P 500 Index -6.44 -6.44 -5.29 -0.61 12.40 13.34 16.91 -6.18
Fidelity Contrafund 3,875,051 8.09 -4.71 -4.71 0.15 3.27 13.15 13.34 16.90 15.09 01/01/2013S&P 500 Index -6.44 -6.44 -5.29 -0.61 12.40 13.34 16.91 13.76
Large Cap Equity Composite 11,907,115 24.85 -6.81 -6.81 -2.43 1.16 13.00 12.31 16.26 16.26 04/01/2009
S&P 500 Index -6.44 -6.44 -5.29 -0.61 12.40 13.34 16.91 16.91
Small/Mid Equity
iShares Russell Midcap Value 1,032,247 2.15 -8.08 -8.08 -7.79 -2.25 13.44 12.91 19.58 8.91 07/01/2013Russell Midcap Value Index -8.04 -8.04 -7.66 -2.07 13.69 13.15 19.84 9.16
John Hancock Disciplined Mid Cap Value 1,132,294 2.36 -5.45 -5.45 -2.75 5.19 17.07 16.01 20.92 13.05 07/01/2013Russell Midcap Value Index -8.04 -8.04 -7.66 -2.07 13.69 13.15 19.84 9.16
Vanguard Small Cap Growth Index 1,038,102 2.17 -11.69 -11.69 -5.84 -0.49 11.32 N/A N/A -11.42 04/01/2015CRSP U.S. Small Cap Growth TR Index -11.70 -11.70 -5.90 -0.58 11.06 11.86 18.40 -11.45
Oak Ridge Small to Mid Cap Growth (Net) 1,254,341 2.62 -13.48 -13.48 -5.65 0.72 12.02 13.02 17.64 17.64 04/01/2009Russell 2000 Growth Index -13.06 -13.06 -5.47 4.04 12.85 13.26 18.78 18.78
Smid Cap Equity Composite 4,456,985 9.30 -9.88 -9.88 -5.38 1.17 12.32 12.04 16.46 16.46 04/01/2009
SMid Cap Composite Benchmark -10.94 -10.94 -6.81 0.69 13.24 13.21 19.33 19.33
International Equity
Thornburg Intl ADR (Net) 2,803,711 5.85 -8.93 -8.93 -4.21 -6.20 3.86 2.33 9.38 9.38 04/01/2009MSCI EAFE (net) Index -10.23 -10.23 -5.28 -8.66 5.63 3.98 10.21 10.21
Vanguard Total Intl Stock Index 2,758,062 5.76 -11.61 -11.61 -6.81 -10.72 3.13 2.15 N/A -10.72 10/01/2014FTSE Global ex USA All Cap Index (Net) -11.88 -11.88 -7.62 -11.10 3.00 2.29 10.30 -11.10
International Equity Composite 5,561,773 11.61 -10.28 -10.28 -5.52 -8.40 2.86 1.20 8.37 8.37 04/01/2009
International Equity Composite Benchmark -11.06 -11.06 -6.45 -9.79 5.19 3.72 9.99 9.99
Emerging Markets Equity
Wells Fargo Adv Emerging Markets Equity 3,388,014 7.07 -17.17 -17.17 -15.49 -20.29 -6.22 -3.52 N/A -2.03 10/01/2011MSCI Emerging Markets (Net) -17.90 -17.90 -15.48 -19.28 -5.27 -3.57 7.83 -0.15
Asset Allocation & Performance
All Products are Net of Managers' Fees.Total Fund Return is Net of all Innovest, Mutual Fund, Hedge Fund and Separate Account Fees.*Returns are provided on the fund pages **30% S&P 500, 12% Russell 2500, 17% MSCI EAFE, 11% MSCI Emerging Markets, 30% Barclays Agg
17
Asset Allocation & PerformanceAllocation
MarketValue
($)%
Performance(%)
LastQuarter
Jul-2015To
Sep-2015
YearTo Date
1Year
3Years
5Years
Apr-2009To
Sep-2015Since Innovest
SinceInception
InceptionDate
Fixed Income
Vanguard Total Bond Market Idx 1,056,855 2.21 1.18 1.18 1.01 2.75 1.58 2.98 4.38 N/A 10/01/2015Barclays Aggregate Index 1.23 1.23 1.13 2.94 1.71 3.10 4.49 N/A
High Yield
JPMorgan High Yield Select 932,294 1.95 -4.80 -4.80 -2.56 -3.10 3.34 5.53 11.45 9.06 07/01/2009Barclays US Corp: High Yield -4.86 -4.86 -2.45 -3.43 3.51 6.15 13.24 10.08
Floating Rate Corporate Loans
Eaton Vance Floating Rate; I 2,958,146 6.17 -1.56 -1.56 0.64 0.40 2.49 3.98 8.78 1.79 07/01/2013CSFB Leveraged Loan -1.23 -1.23 1.61 1.25 3.77 4.84 9.68 3.09
Commodities
PIMCO Commodity Real Return 1,922,861 4.01 -16.28 -16.28 -16.80 -28.60 -18.20 -8.18 -0.15 -0.15 04/01/2009Bloomberg Commodity Index Total Return -14.47 -14.47 -15.80 -25.99 -16.02 -8.89 -3.30 -3.30
Real Estate
UBS Trumbull Property Fund 1,776,651 3.71 3.43 3.43 9.63 12.94 11.30 11.78 8.59 12.74 04/01/2010NCREIF ODCE 3.68 3.68 11.30 14.93 13.45 14.02 8.88 14.64
Cornerstone Patriot Real Estate Fund 1,826,988 3.81 4.10 4.10 10.55 12.65 11.08 12.66 8.19 12.84 04/01/2010NCREIF ODCE 3.68 3.68 11.30 14.93 13.45 14.02 8.88 14.64
Real Estate Composite 3,603,639 7.52 3.77 3.77 10.08 12.80 11.14 12.19 N/A 12.78 04/01/2010
NCREIF ODCE 3.68 3.68 11.30 14.93 13.45 14.02 8.88 14.64
Conservative Absolute Return Funds
Private Advisors Stable Value Fund, Ltd. 4,906,148 10.24 -3.02 -3.02 -2.72 -4.38 2.53 3.05 4.62 4.62 04/01/2009HFRI FOF: Conservative Index -1.84 -1.84 0.32 0.58 4.24 2.82 3.89 3.89
Absolute Return Funds
TIFF Absolute Return Pool 1,457,634 3.04 -0.91 -0.91 1.32 2.49 7.05 6.37 9.06 1.71 01/01/2014HFRI Fund of Funds Composite Index -3.66 -3.66 -1.06 -0.12 4.13 2.67 4.03 1.29
Lighthouse Global Long/Short Equity 2,477,174 5.17 -1.39 -1.39 3.10 5.29 9.73 7.33 7.19 4.78 01/01/2014HFRI Fund of Funds Composite Index -3.66 -3.66 -1.06 -0.12 4.13 2.67 4.03 1.29
Absolute Return Funds Composite 8,840,956 18.45 -2.16 -2.16 -0.49 -0.63 3.24 3.30 2.55 2.55 04/01/2009
Absolute Return Funds Benchmark -2.75 -2.75 -0.37 0.23 4.18 2.77 3.85 3.85
All Products are Net of Managers' Fees.Total Fund Return is Net of all Innovest, Mutual Fund, Hedge Fund and Separate Account Fees.*Returns are provided on the fund pages **30% S&P 500, 12% Russell 2500, 17% MSCI EAFE, 11% MSCI Emerging Markets, 30% Barclays Agg
18
Asset Allocation & PerformanceAllocation
MarketValue
($)%
Performance(%)
LastQuarter
Jul-2015To
Sep-2015
YearTo Date
1Year
3Years
5Years
Apr-2009To
Sep-2015Since Innovest
SinceInception
InceptionDate
Private Equity*
CommonFund Capital PE VIII 365,999 0.76 N/A N/A N/A N/A N/A N/A N/A N/A 12/01/2011
Common Fund Capital Int'l 170,624 0.36 N/A N/A N/A N/A N/A N/A N/A N/A 04/01/2011
Port Advisors PAPEF VI 1,097,864 2.29 N/A N/A N/A N/A N/A N/A N/A N/A 04/01/2009
TIFF PE Partners 2011 285,204 0.60 N/A N/A N/A N/A N/A N/A N/A N/A 06/01/2011
Illiquid Credit*
Port Advisors PAPEF VII 1,230,578 2.57 N/A N/A N/A N/A N/A N/A N/A N/A 10/01/2012
Total Fund
SDSM Foundation Total Fund - Net 47,924,348 100.00 -6.34 -6.34 -3.14 -3.05 5.19 5.98 8.71 4.18 10/01/2003SDSM Foundation Total Fund - Gross -6.28 -6.28 -2.92 -2.74 5.59 6.41 9.15 4.41SDSM Custom Benchmark -6.41 -6.41 -3.67 -2.93 6.17 6.68 10.57 6.21Return Benchmark (CPI + SDSM&T) 0.97 0.97 5.40 5.38 6.75 7.58 7.65 N/ASpending Benchmark (HEPI + 5.5%) 1.82 1.82 5.57 7.79 7.76 7.66 7.55 8.5870% MSCI ACWI / 30% Barclays Global Agg -6.28 -6.28 -5.21 -5.16 4.82 5.61 10.47 6.6770% Global Eq/30% Barclays Agg** -6.50 -6.50 -4.41 -2.75 6.26 7.07 11.73 7.45
All Products are Net of Managers' Fees.Total Fund Return is Net of all Innovest, Mutual Fund, Hedge Fund and Separate Account Fees.*Returns are provided on the fund pages **30% S&P 500, 12% Russell 2500, 17% MSCI EAFE, 11% MSCI Emerging Markets, 30% Barclays Agg
19
As of 6/30/2015
Commitment $1,500,000
Contributed $956,154
Outstanding Commitment $543,846
Percent of Capital Contributed 63.74%
Distributed $244,626
Reported Value $1,143,394
Residual Value $1,388,020
Annualized Inception To Date Net IRR* 11.90 %
Weighted S&P 500 Return 17.28 %
Date of First Capital Call 2/23/2009*Based on Reported Value as of 06/30/2015
Commitment $700,000
Contributed $290,500
Outstanding Commitment $409,500
Percent of Capital Contributed 41.50%
Distributed $12,661
Residual Value $342,968
Return Multiple 1.22x
Annualized Inception To Date Net IRR* 15.17%
Weighted S&P 500 Return** 13.77%
Date of First Capital Call 12/31/2011*Based on Reported Value as of 6/30/2015
Private Equity Performance
PAPEF VI
Commonfund Private Equity Partners VIII
**Weighted index returns are a since inception IRR assuming all cashflows related to the private equity fund were invested in the indicated index.
20
Commitment $300,000
Contributed $145,800
Outstanding Commitment $154,200
Percent of Capital Contributed 48.60%
Distributed $7,938
Residual Value $170,624
Return Multiple 1.22x
Annualized Inception To Date Net IRR* 8.52%
Weighted MSCI ACWI ex U.S. (net) Return** 5.96%
Date of First Capital Call 3/31/2011*Based on Reported Value as of 6/30/2015
Commitment $500,000
Contributed $285,000
Outstanding Commitment $215,000
Percent of Capital Contributed 57.00%
Distributed $52,382
Residual Value $261,918
Return Multiple 1.10x
Annualized Inception To Date Net IRR* 3.34%
Weighted S&P 500 Return** 15.98%
Date of First Capital Call 5/27/2011*Based on Reported Value as of 6/30/2015
Commonfund International Equity Partners (CIP VII)
TIFF Private Equity Partners 2011
Private Equity Performance
21
As of 6/30/2015
Commitment $2,000,000
Contributed $1,037,158
Outstanding Commitment $962,842
Percent of Capital Contributed 51.86%
Distributed $0
Residual Value $1,230,578
Annualized Inception To Date Net IRR* 9.06%
Weighted CS HY Index Return** 4.70%
Date of First Capital Call 10/15/2012*Based on Reported Value as of 6/30/2015
PAPEF VII
Illiquid Credit Performance
**The Weighted CS HY Index Return is a since inception IRR assuming all cashflows related to PAPEF VII were invested in the CS HY Index.
22
SDSM&T Foundation
Private Investments Commitment SummaryAs of June 30, 2015
INVESTMENTS TYPE
VINTAGE
YEAR
CAPITAL
COMMITMENT
CAPITAL
CALLED
UNFUNDED
COMMITMENT
($)
UNFUNDED
COMMITMENT
(%)
Portfolio Advisors Private Equity Fund VI Diversified Private Equity 2009 $1,500,000 $956,154 $543,846 36.26%
CommonFund Capital PE VIII Diversified Private Equity 2011 $700,000 $290,500 $409,500 58.50%
Common Fund Capital Int'l VII Diversified Private Equity 2011 $300,000 $145,800 $154,200 51.40%
TIFF PEP 2011 Diversified Private Equity 2011 $500,000 $285,000 $215,000 43.00%
Portfolio Advisors Private Equity Fund VII Illiquid Credit 2012 $2,000,000 $1,037,158 $962,842 48.14%
TOTAL $5,000,000 $2,714,612 $2,285,388 45.71%
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October 26, 2015
Innovest Portfolio Solutions LLC4643 South Ulster Street, Suite 1040
Denver, Colorado 80237303-694-1900
FAX 303-694-4707
Cash Flow Summary
South Dakota School of Mines & Technology Foundation REBALANCING-SPREADSHEET
Year To Date One Last 3 Last 5 SinceDescription 3Q15 9/30/2015 Year Years Years Inception*
Beginning Value 51,069,693. 22 49,490,272. 88 49,280,289. 00 38,419,755. 93 32,983,693. 49 25,457,196. 38Net Contributions 84,953. 63 -66,500. 13 83,258. 42 2,816,613. 29 3,192,831. 10 3,312,570. 32Ending Value 47,924,347. 78 47,924,347. 78 47,924,347. 78 47,924,347. 78 47,924,347. 78 47,924,347. 78Investment Gain/(Loss) -3,230,299. 07 -1,499,424. 97 -1,439,199. 64 6,687,978. 56 11,747,823. 19 19,154,581. 08
We have attempted to exercise due care as well as due diligence in preparing this report with regard to the accuracy and the authenticity of the data used. We can, however, makeno representation or warranty with regard to absolute correctness since we are dependent upon third party sources for the data we use.
24
Total Fund Performance
0.0% 4.0% 8.0% 12.0% 16.0%-4.0 %
Total Fund
Total Fund Benchmark
Total Value Added
8.7%
9.8%
-1.1 %
Total Value Added:-1.1 %
0.0% 0.6% 1.2%-0.6 %-1.2 %-1.8 %
Other
Manager Value Added
Asset Allocation
-0.1 %
-1.3 %
0.3%
Total Asset Allocation:0.3%
Average Active Weight
0.0% 3.0% 6.0%-3.0 %-6.0 %-9.0 %
Cash & Equivalents
Private Equity
Absolute Return Funds
Real Estate
Commodities
Floating Rate Corporate Loans
High Yield
Fixed Income
Emerging Markets Equity
International Equity
Smid Cap Equity
Large Cap Equity
1.3%
-5.3 %
0.0%
0.4%
0.2%
0.3%
0.1%
-0.1 %
0.0%
0.6%
0.8%
1.5%
Asset Allocation Value Added
0.0% 0.5% 1.0%-0.5 %-1.0 %
-0.4 %
0.6%
0.1%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.1%
0.1%
0.1%
Total Manager Value Added:-1.3 %
Manager Value Added
0.0% 0.2% 0.4%-0.2 %-0.4 %-0.6 %
0.0%
0.0%
-0.3 %
-0.1 %
0.1%
-0.2 %
-0.1 %
0.0%
0.0%
-0.2 %
-0.3 %
-0.1 %
Total Fund AttributionApril 1, 2009 To September 30, 2015
Note: Total Fund Benchmark is based on Policy Benchmark which is continuously rebalanced while the Custom Benchmark in the rest of the report is rebalanced quarterly. 90-Day T-Bill used as proxy benchmarkfor Private Equity as allocations to PE are not fully invested.
25
Cumulative Returns
Risk and Return
SDSM Foundation Total Fund SDSM Custom Benchmark Spending Benchmark (HEPI + 5.5%)
-50 %
0%
50%
100%
150%
6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 9/15
6
9
12
15
18
21
Re
turn
(%)
5 6 7 8 9 10 11 12 13 14 15 16Risk (Standard Deviation %)
SDSM Foundation Total Fund
S&P 500 Index
Total Portfolio Performance AnalysisAs of September 30,2015
Since 4/1/2009
26
TF Asset Allocation
Peer Group Analysis
-25.0
0.0
25.0
50.0
75.0
100.0
All
oc
ati
on
(%)
US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash
SDSM Foundation Total Fund 31.99 (54) 20.83 (34) 10.32 (95) 0.00 29.03 (13) 7.52 (19) 0.30 (72)¢£
5th Percentile 52.17 32.18 70.05 18.10 32.67 13.30 65.541st Quartile 42.75 23.15 39.49 8.98 20.42 5.92 3.96
Median 32.73 19.06 29.00 6.36 15.35 5.36 0.963rd Quartile 26.32 11.20 18.63 4.80 6.60 3.08 0.2195th Percentile 16.34 5.60 9.81 1.69 2.91 1.97 0.03
-20.0-12.0
-4.04.0
12.020.0
Re
turn
-8.0-6.5 -8.0-6.5 -6.6-4.7 -7.1-3.8
0.84.6 3.9
9.0
LastQuarter
Jul-2015To
Sep-2015
YearTo Date
1Year
3Years
Apr-2009To
Sep-2015Since Innovest
SDSM Foundation Total Fund (Gross) -6.28 (73) -6.28 (73) -2.92 (41) -2.74 (65) 5.59 (55) 9.15 (74)¢£
SDSM Custom Benchmark -6.41 (74) -6.41 (74) -3.67 (60) -2.93 (68) 6.17 (50) 10.57 (45)pr
5th Percentile -0.03 -0.03 0.75 2.20 8.29 12.411st Quartile -3.86 -3.86 -1.95 0.26 6.86 11.22Median -5.27 -5.27 -3.29 -1.50 6.16 10.373rd Quartile -6.46 -6.46 -4.73 -3.80 4.61 9.0395th Percentile -7.97 -7.97 -6.65 -7.15 0.83 3.94
Peer Group AnalysisSmall Endowment/Foundations (AUM <$100mm and Equity Allocation <60%)
As of September 30,2015
Gross of Fees Performance calculated from April 2009. Gross of Fees performance prior to April 2009 unavailable. Performance for universe constituents are Gross of FeesUniverse performance is preliminary and subject to change as more institutions report.
27
Disclaimer The preceding statistical analysis was prepared by Innovest Portfolio Solutions LLC with data provided by Investment Metrics (IM), Lipper and Morningstar, Inc. All Rights Reserved. The investment products discussed are not insured by the FDIC and involve investment risk including the possible loss of all principal. The information contained herein: (1) is proprieta ry to the v endors listed above and/or its content providers; (2) may not be c opied or distributed; and (3) is not w arranted to be accurate, complete or timely. None of the vendors nor its content providers are respons ible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Innovest compiles the information utilizing secondary data from statements provided by the plan trustee and/or custodian/ This report may also contain returns and valuations from outside sources as directed b y the client. Innovest assumes no respons ibility for the accuracy of these valuations or return methodologies. Reasonable care has been take n to assure the accuracy of the computer software and databases. Innovest disclaims responsibility, financial or ot herwise for t he accuracy and completeness of this report. Copyright 2015 by Innovest Portfolio Solutions LLC Inc. Note: Actual client mutual fund returns are reflected on the table of returns page. Fund pages subsequent to the table of returns reflect the representative mutual fund with the longest track record and may not be the actual share class held by the client. “Copyright 2015, Standard & Poor’s Financial Services LLC. Reproduction of S&P Index Services in any form is prohibited except with the prior written permission of S&P. S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for an y errors or omissions, regardless of the cause or for the r esults obtained from the use of such information. S&P DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PAR TICULAR PURPOSE OR USE. In no event shall S&P be liable f or any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with subscriber’s or others’ use of S&P Index Services (2015) Copyright MSCI 2015. Unpublished. All Rights R eserved. This information may only be used for your internal use, may not be reproduced or re-disseminated in any form and m ay not be used to create any financial instruments or products or an y indices. This information is provided on an “as is” basis and the user of this informa tion assumes the entire risk of any use it ma y make or permit t o be made of thi s information. Neither MSCI, an y or its affiliates o r any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be ob tained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warr anties (including, without limitation, all warranties of o riginality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without lim iting any of the foregoing, in no ev ent shall MSCI, any of its affiliat es or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punit ive, consequential or an y other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages.
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