November 2011 Investment Report


  • U.S. equities represented by the Russell 3000 Index fell 0.3% in November, the sixth monthly decline in the past seven months. Markets fluctuated during the month, with the S&P 500 declining more than 7% during the month, before gaining back most of the losses when central banks from around the world acted jointly to increase the supply of money and reduce fears of a global banking crisis. Year-to-date, the S&P 500 has gained 1.1%.
  • Large-company U.S. equities outperformed small-company U.S. equities during the month as investors favored the lower risk-return profile of more established large-company equities. Among large-company equities, those with strong earnings growth performed better than equities classified as “value.”
  • International developed equities, as measured by the bellwether MSCI EAFE Index, declined 4.9% in U.S. dollar terms. Equities of developing countries also decreased as the MSCI Emerging Markets IMI Index declined 6.9% during the month.
  • The U.S. Treasury yield curve flattened as short rates (three months to three years) moved up fractionally and interest rates at the long end of the yield curve came down. The yield on 10-year treasuries dropped 4.5 basis points to end the month at 2.07%. The long bond (30-year U.S. Treasury) dropped 7.6 basis points in yield to 3.06%.
  • Credit performed poorly in November, as investors became more risk-averse in reaction to the European debt crisis. Investment-grade debt as represented by the Barclays U.S. Credit Index was down 1.7%. The Barclays U.S. High Yield Index declined 2.2%.
  • The U.S. dollar—the big winner for investors during the month—outperformed almost all other asset classes. November produced a 2.9% return for the Dollar Index, which compares the U.S. Dollar to six other major currencies of 21 countries (including 16 European Union members). Emerging market currencies fell sharply. The following currencies experienced declines: Brazilian real (-5.4%), the S. Korean won (-2.9%), the Mexican peso (-2.1%) and the Russian ruble (-1.5%).
  • Commodities did not benefit with the gain in the U.S. dollar—as reflected in the Dow Jones UBS Commodity Index, which fell 2.2% for the month. Grains were the biggest detractor, declining 7.0%. Petrol and livestock were the outliers, gaining 4.7% and 2.5% respectively. Precious metals were nearly unchanged, but industrial metals lost 3.0% in value.

Economics Highlights

  • The U.S. Federal Reserve (the Fed) and five other central banks lowered the dollar swap rate in an effort to lower the cost of dollar loans for European banks. China followed with a similar move: lowering the bank reserve requirement to provide liquidity to its banking system.
  • Congress’s deficit-cutting “Supercommittee” failed to reach an agreement to reduce the deficit by the November 23 deadline. The failure to reach an agreement will result in $1.2 trillion of automatic federal budget cuts, with many cuts expected in the defense budget and some entitlements.
  • MF Global Holdings, which was headed by former New Jersey governor and Goldman Sachs Chairman John Corzine, filed for bankruptcy. This marked the biggest financial company failure since the Lehman Brothers collapse in September 2008. Regulators continue to investigate the potential disappearance of $1.2 billion in client funds.
  • The unemployment rate in the U.S. surprisingly dropped to 8.6% from 9.0%. It was the lowest level of unemployment in the last 2.5 years. However, this decline is somewhat misleading in terms of a positive economic indicator because half of the unemployment decline reflects a contraction of the workforce (e.g., people giving up their job search).

Geopolitical Headlines

  • Turmoil continued in the Middle East with Syria’s expulsion from the Arab League, Egypt’s forced first democratic election in 60 years, and the United Kingdom’s withdrawal of diplomatic personnel from Iran due to vandalism at the British embassy in Tehran.
  • Recent elections in Spain, Italy and Greece favored politicians willing to impose greater austerity measures.

Sources: Bloomberg News, Wall Street Journal, CNBC and CNN

Key Monthly Economic Statistics

This table contains a list of key monthly economic statistics. Each statistic is listed with a link to a Web page that provides a thorough description of the economic indicator.

  Positive Statistics
  Neutral Statistics
  Negative Statistics

Source:–economic statistics; Econoday–description of the economic indicators

Investment Fund Review (Net of Fees Performance)

For returns of one year, three years, five years, 10 years and Since Inception periods, please visit our Historical Funds Performance page.

Inflation Protection Fund

Fund November Year-to-Date
Inflation Protection Fund +0.2% +8.3%
Barclays Capital U.S. Inflation-Linked Bond Index +0.8% +13.9%
Difference -0.6% -5.6%
  • The Inflation Protection Fund produced a fractional gain for the month and underperformed its benchmark return by 0.6%. As has been the case for most of 2011, the fund’s diversifying strategies detracted from performance, with the fund’s 10% allocation to commodities declining 1.3% and the fund’s allocation to debt from developing countries declining 2.3% largely due to strength in the U.S. dollar relative to foreign currencies.
  • For the year, the fund continues to significantly trail its benchmark Barclays Capital U.S. Inflation-Linked Bond Index, which is comprised exclusively of U.S. Treasury Inflation Protected Securities (TIPS). U.S. TIPS represent the best-performing asset class in the world as risk-averse investors have sought the safety of the asset class. Hence, all three of the fund’s diversifying strategies have detracted from the fund’s benchmark-relative performance. Yields for U.S. TIPS remain at historically low levels, with shorter-maturity TIPS carrying negative yields. With the absence of accelerating inflation, U.S. TIPS are unlikely to continue providing investors with meaningful returns.

Fixed Income Fund

Fund November Year-to-Date
Fixed Income Fund -1.1% +4.6%
Barclays Capital U.S. Universal (Ex MBS) Index -0.5% +6.4%
Difference -0.6% -1.8%
  • The Fixed Income Fund (FIF) declined 1.1% in November and underperformed the fund’s benchmark return, as risk aversion among bond investors resulted in preference for the perceived safety of U.S. Treasury securities. Additionally, U.S. government debt gained nearly 1% for the month, whereas investment-grade and below-investment-grade bonds lost value during the month. FIF’s exposure to U.S. government debt is significantly below the amount of government debt in the benchmark. Every strategy in the fund contributed to the below-benchmark performance, with the exception of the fund’s allocation to positive social purpose loans (i.e., mortgages supporting affordable housing), which are linked to interest rate changes for U.S. government debt.
  • For the year, the fund has gained 4.6% but trails its benchmark by a meaningful 1.8%. The fund’s allocation to bonds from developing countries and below-investment-grade bonds have primarily contributed to the fund’s below-benchmark performance, as investor risk aversion has adversely affected bonds. In addition, FIF’s lower-than-benchmark allocation to U.S. Treasury securities has also detracted from performance. The fund’s best performing strategy is its allocation to positive social purpose loans, which have gained 7.8% for the 11 months ending November 30.

U.S. Equity Fund

Fund November Year-to-Date
U.S. Equity Fund -0.5% -1.1%
Russell 3000 -0.3% +0.2%
Difference -0.2% -1.3%
  • The U.S. Equity Fund declined 0.5% in November and modestly underperformed the fund’s benchmark. The primary driver of the fund’s below-benchmark performance was poor benchmark-relative performance by three of the fund’s small and mid-sized company managers. The fund’s allocation to private real estate and private equity, however, positively contributed to its performance.
  • For the year, the U.S. Equity Fund trails its benchmark by 1.3%, largely due to its greater-than-benchmark allocations to stocks of small and mid-sized companies. The Russell 2000 Index of small companies has declined 4.8% for the year, whereas the S&P 500 Index has gained 1.1%.

International Equity Fund

Fund November Year-to-Date
International Equity Fund -5.5% -14.3%
MSCI ACWI x US -5.2% -13.3%
Difference -0.3% -1.0%
  • The International Equity Fund declined 5.5% as international stocks suffered from a decline in the value of foreign currencies relative to the U.S. dollar. The fund modestly underperformed its benchmark. The primary contributor to the fund’s below-benchmark performance was its allocation to international real estate investment trusts, which declined 8%.
  • For the year, the International Equity Fund trails its benchmark by 1.0%. The fund’s greater-than-benchmark exposure to small internationally-based companies has declined 18.0% and has detracted from the benchmark-relative performance. In addition, the fund’s exposure to international real estate investment trusts also detracted from performance. However, the fund’s allocation to international private real estate investments, which have gained 5.6%, has contributed positively to performance.

Multiple Asset Fund

Fund November Year-to-Date
Multiple Asset Fund -1.6% -1.2%
Composite Benchmark -1.2% +0.5%
Difference -0.4% -1.7%
  • For the month of November, MAF declined 1.6% and underperformed its benchmark return by 0.4%. All four of the fund’s strategies underperformed their respective benchmarks.
  • For the year, the fund is underperforming its benchmark by a disappointing 1.7%. All four funds that comprise the Multiple Asset Fund are underperforming their respective benchmarks.

Balanced Social Values Plus Fund

Fund November Year-to-Date
Balanced Social Values Plus Fund +0.6% +3.3%
Composite Benchmark +0.4% +2.6%
Difference +0.2% +0.7%


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