Quarterly Investment Narrative Conference Call

Monday, February 13, 2017

Speakers

Horacio Valeiras, CFA Principal, HAV Capital

Investment Chair, Board of Governors The San Diego Foundation

Matt Fettig, CFA Vice President, Chief Investment Officer

The San Diego Foundation

Adrienne Vargas Vice President, Chief Giving Officer

The San Diego Foundation

Agenda

1. Macroeconomic update

2. Performance & attribution for Endowment Portfolio

3. Performance & attribution for Long-Term Portfolio

4. Performance & attribution for Medium-Term Portfolio

5. Performance & attribution for Short-Term Portfolio

6. Q&A

U.S. Equities

3000

4000

5000

6000

7000

Jul-12 Jul-13 Jul-14 Jul-15 Jul-16

Russell 3000

Source: Russell Investments, as of 12/30/16

S&P500 EPS

Source: FactSet, as of 12/30/16

$20

$22

$24

$26

$28

$30

$32

$34

$36

Q1 15 Q2 15 Q3 15 Q4 15 Q1 16 Q2 16 Q3 16 Q4 16 Q1 17 Q2 17 Q3 17 Q4 17

Actual Estimate

MSCI Valuation Metrics

1.6

19.9

9.7

3.2 5.0

2.8

22.9

13.4

2.1

4.4

1.5

14.6

8.7

2.6

6.8

0

5

10

15

20

25

P/BV P/E Price/Cash Earnings

Dividend Yield (%)

Earnings Yield (%)

EAFE United States Emerging Markets

Source: MSCI, as of 12/31/16

10 Year Return 90% Confidence Interval

-10%

-5%

0%

5%

10%

15%

20%

25%

30% R

etur

n

5th to 25th 25th to 50th 50th to 75th 75th to 95th 10 Year Forecast (Geometric) High Volatility

Low Volatility

Performance & attribution for Endowment Portfolio

Asset Allocation $446.3 million as of December 31, 2016

Includes Principal Only

Returns For period ending December 31, 2016

Domestic Fixed Income,

9.9%

Global/Int'l Fixed Income,

6.8%

Domestic Equity, 25.5%

Global Equity, 5.8%

Alternative, 20.0%

Commodities, 4.2%

Real Estate, 7.3%

Int'l Equity, 20.5%

Cash, 0.1%

Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 1.3% 8.5% 3.5% 7.7% 7.1% 4.3% Policy Index 0.9% 8.1% 3.4% 7.4% 6.8% 4.3%

0%

5%

10%

Performance & attribution for Long-Term Portfolio

Asset Allocation $40.5 million as of December 31, 2016

Returns

Alternative Investment,

20.10%

Fixed Income, 18.80%

Int'l Equity, 25.53%

Domestic Equity, 26.24%

Real Estate, 4.00%

Commodities, 5.20% Cash, 0.00%

Qtr. 1 Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 0.40% 8.90% 2.50% 6.40% 6.00% 4.00% Policy Index 0.40% 7.40% 2.60% 6.50% 6.30% 4.40%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

Performance & attribution for Medium-Term Portfolio

Asset Allocation $51.3 million as of December 31, 2016

Returns

Domestic Fixed Income,

56.20% Domestic Equity, 15.20%

Cash, 5.00%

Int'l Equity, 14.90%

Global/Int'l Fixed Income,

3.70% Commodities,

5.10%

Qtr. 1-Yr 3-Yr 5-Yr 7-Yr 10-Yr TSDF Actual 0.00% 6.20% 1.30% 3.90% 4.00% 2.80% Policy Index -0.90% 4.60% 1.80% 3.70% 4.20% 3.30%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

Performance & attribution for Short-Term Portfolio

Asset Allocation $20 million as of December 31, 2016

Returns

0.0%

0.1%

0.2%

0.3%

12/31/15 3/31/16 6/30/16 9/30/16 12/31/16 TSDF Actual 0.00% 0.10% 0.10% 0.10% 0.10%

Q&A

To submit questions for the Q&A, please use the “Questions” chat function

Thank You

SDFoundation.org/Investments