Newton Global Equity -4.7 -0.4 -4.3 11.8 16.5 -4.7 3.5 7.3 -3.8 Amundi European Equity -14.3 -7.2 -7.1 10.6 13.4 -2.8 0.6 2.2 -1.6 SSGA UK Equity & Gilts 2.6 2.5 0.1 17.0 16.9 0.1 4.9 4.8 0.1 Global Equity -0.2 -0.2 0.0 N/A¹ N/A¹ N/A¹ 2.6 2.6 0.0 Schroders Multi Asset 4.8 4.1 0.7 15.9 15.2 0.7 6.4 5.9 0.5 Property 3.8 6.0 -2.2 4.4 9.2 -4.8 4.0 4.2 -0.2 M&G Loans N/A² N/A² N/A² N/A² N/A² N/A² 0.6 0.5 0.1 ¹ Appointed 16th December 2010 ² Appointed 30th April 2011 Performance by Asset Class Investment returns and the Local Authority Average The Fund participates in the WM Company’s benchmarking of Local Authority investment performance, which provides useful information on how well the Fund has performed in comparison with other Local Authorities. The graph shows that the Fund’s asset mix is broadly comparable with the Local Authority Average, the main variances indicating the Fund’s preference for equity, cash and property, but disfavour of bonds and alternatives. Local Authority Universe The Local Authority Universe is a national scheme consisting of over 90 Pension Funds. This scheme compares many aspects of Fund performance, the key areas of which are shown on the following pages. NB: The Fund figure for Alternatives includes Private Equity and Infrastructure only, whilst the Local Authority’s figure for Alternatives includes Private Equity, Hedge Funds, GTAA, and Commodities etc. Year Annual Return 2008- 2009 2009- 2010 2010- 2011 Total Fund -22.1 24.7 12.9 25.2 7.8 -4.7 -18.8 31.9 6.9 0.5 WM Benchmark -19.5 23.4 11.7 24.9 7.0 -2.8 -19.9 35.2 8.2 2.6
Actuarial Investment Return Assumptions (Most recent valuation) Investment Return Assumptions: The Investment return assumptions applied in the most recent valuation (March 2010) are shown below: Return on long dated gilts 4.5% Asset Outperformance Assumption 1.6% p.a. Financial assumptions 31 March 2007 Funding basis (%pa) 31 March 2010 Funding basis (%pa) Gilts basis (%pa) Discount rate 6.1% 6.1% 4.5% Price inflation* 3.2% 3.3% 3.3% Pay increases** 4.7% 5.3% 5.3% Pension increases: pension in excess of GMP 3.2% 3.3% 3.3% post-88 GMP 2.8% 2.8% 2.8% pre-88 GMP 0.0% 0.0% 0.0% Revaluation of deferred pension 3.2% 3.3% 3.3% Expenses 0.4% 0.5% 0.5% * Price inflation was based on RPI at 2007 – now based on CPI at 2010 ** An allowance is also made for promotional pay increases. Note that the assumption at 31 March 2010 is actually 1% p.a. for 2010/11 and 2011/12, reverting to 5.3% p.a. thereafter.
Cambridgeshire Pension Fund Account 2010/11 (Restated) 2011/12 £000 Notes £000 Dealings with members, employers and others directly involved in the fund 105,379 Contributions 7 106,825 8,371 Transfers in from other pension funds 8 8,114 113,750 114,939 -67,981 Benefits 9 -77,714 -20,274 Payments to and on account of leavers 10 -8,719 -2,188 Administration expenses 11 -2,749 -90,443 -89,182 23,307 Net (additions)/withdrawals from dealings with members 25,757 Returns on investments 28,510 Investment income 12 31,193 -1,968 Taxes on income 13 -1,961 82,441 Profit and losses on disposal of investments and changes in the market value of investments 15a -18,795 -5,748 Investment expenses 14 -3,895 103,235 Net return on investments 6,542 126,542 Net (increase)/decrease in the net assets available for benefits during the year 32,299 1,486,044 Opening net assets as at 1 April 1,612,586 1,612,586 Closing net assets as at 31 March 1,644,885 The prior year figures have been changed to reflect changes to the presentation of the 2010/11 accounts. This is purely reclassification.
1 April 2011 the year and derivative payments year and derivative receipts value during the year March 2012 £000 £000 £000 £000 £000 Fixed interest securities 0 8,892 -8,893 1 0 Equities 678,391 208,386 -190,752 -44,825 651,200 Pooled investments 643,088 219,298 -225,888 13,275 649,773 Pooled property investments 138,194 15,174 -8,592 -903 143,873 Private equity/infrastructure 86,542 14,928 -11,119 8,783 99,134 1,546,215 466,678 -445,244 -23,669 1,543,980 Derivative contracts: Futures -469 3,096 -3,404 663 -114 1,545,746 469,774 -448,648 -23,006 1,543,866 Other investment balances: 27,035 123,788 -111,017 4,211 44,017 Net investment assets 1,572,781 593,562 -559,665 -18,795 1,587,883 Transaction costs are included in the cost of purchases and in sale proceeds. The include costs charged directly to the fund, such as fees, commissions, stamp duty and other fees. Transaction costs incurred during the year total £739,767 (£915,947 in 2010/11). In addition to these costs, indirect costs are incurred through the bid-offer spread on investments within pooled investments. 15b: Analysis of investments (excluding derivative contracts) 31 March 2011 31 March 2012 £000 £000 Equities UK 320,594 Quoted 337,485 Overseas 357,797 Quoted 313,715 678,391 651,200 Pooled funds – additional analysis UK 155,111 Fixed income unit trust 155,219 403,006 Unit trusts 380,870 Overseas 84,031 Fixed income 112,466