Important Disclosures

Legal Notices


IMPORTANT NOTES

Generally

This material has been prepared by Commonfund OCIO, Inc. (“CFOCIO”) and/or CF Private Equity, Inc. (“CFPE”) (each, an “Investment Manager”), each of which are indirect wholly owned subsidiaries of The Common Fund for Nonprofit Organizations (“TCF” and, together with CFOCIO, CFPE, Commonfund Securities, Inc. (“CSI”) and its or their affiliates, “Commonfund”). The information in this material is for illustration and discussion purposes only. It is not intended to be, nor should it be construed or used as, investment, tax or legal advice, any recommendation or opinion regarding the appropriateness or suitability of any investment or strategy, or an offer to sell, or a solicitation of an offer to buy, any interest in any security, including any interest in a private fund, pool, investment product, managed account or other investment vehicle (each, an “Investment Product”). This material is qualified in its entirety by the information contained in any Investment Product’s offering documents, including the governing partnership or operating agreement, investment management agreement, subscription agreement, or an Investment Product’s prospectus or other offering memorandum related thereto, as applicable (collectively, a “Prospectus”). Any offer or solicitation of an investment in an Investment Product may be made only by delivery of the Investment Product’s Prospectus to qualified investors by CSI. Prospective investors should rely solely on the Prospectus in making any investment decision. The Prospectus contains important information, including, among other information, a description of an Investment Product’s risks, investment program, fees and expenses, and should be read carefully before any investment decision is made. This material does not take into account the particular investment objectives, restrictions, or financial, legal or tax situation of any specific investor. An investment in an Investment Product is not suitable for all investors. Each Investment Manager is registered with the SEC as an investment adviser. CSI is registered as a broker-dealer with the U.S. Securities and Exchange Commission (“SEC”) and is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and the Securities Investor Protection Corporation (“SIPC”). The registrations and memberships above in no way imply that the SEC, FINRA or SIPC have endorsed any of the entities, products or services discussed herein.

Distribution

Distribution of this material and the offer of an Investment Product may be restricted in certain jurisdictions. This material is not intended for distribution or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. This material and the information contained in this material is confidential, is the property of Commonfund, is intended only for intended recipients and their authorized agents and representatives and may not be reproduced or distributed to any other person without prior written consent.

This material is as of the date indicated, may not be complete, is subject to change and does not contain material information regarding an Investment Product, including specific information relating to an investment in an Investment Product and related risks factors. Unless otherwise stated, information provided in this material is derived from one or more parts of Commonfund’s databases and internal sources.

Certain information has been provided by and/or is based on third-party sources and, although believed to be reliable, has not been independently verified. An Investment Manager is not responsible for errors or omissions from these sources. No representation is made with respect to the accuracy, completeness or timeliness of information and Commonfund assumes no obligation to update or otherwise revise such information. Unless the context otherwise requires, the term “investor” and “client” may be used interchangeably. 

Investment Process

No representation is made that an Investment Manager’s or an Investment Product’s investment process, investment objectives, goals or risk management techniques will or are likely to be achieved or successful or that an Investment Product or any underlying investment will make any profit or will not sustain losses. An investment in an Investment Product involves risk, as disclosed in the Prospectus. An Investment Manager may engage in investment practices or trading strategies that may increase the risk of investment loss and a loss of principal may occur. The risk management techniques which may be utilized by an Investment Manager cannot provide any assurance that an Investment Product will not be exposed to risks of significant trading losses.

Any descriptions involving investment process, investment examples, statistical analysis, investment strategies or risk management techniques are provided for illustration purposes only, will not apply in all situations, may not be fully indicative of any present or future investments, may be changed in the discretion of an Investment Manager and are not intended to reflect performance.

Any portfolio characteristics and limits reflect guidelines only and are implemented, and may change, in the discretion of an Investment Manager. Investments are selected by, and will vary in the discretion of, an Investment Manager and are subject to availability and market conditions, among other factors without prior notice to investors. There is no requirement that an Investment Manager or an Investment Product observe these guidelines, or that any action be taken if these guidelines are exceeded or are not met or followed. 

Market Commentary

Any opinions, assumptions, assessments, statements or the like (collectively, “Statements”) regarding future events or which are forward-looking, including regarding portfolio characteristics and limits, constitute only subjective views, beliefs, outlooks, estimations or intentions of an Investment Manager, should not be relied on, are subject to change due to a variety of factors, including fluctuating market conditions and economic factors, and involve inherent risks and uncertainties, both general and specific, many of which cannot be predicted or quantified and are beyond an Investment Manager’s or an Investment Product’s control. Future evidence and actual results (including actual composition and investment characteristics of an Investment Product’s portfolio) could differ materially from those set forth in, contemplated by, or underlying these Statements, which are subject to change without notice. There can be no assurance and no representation is given that these Statements are now, or will prove to be accurate, or complete in any way. The Investment Manager undertakes no responsibility or obligation to revise or update such Statements. Statements expressed herein may not be shared by all personnel of Commonfund.

Survey Rankings and Awards

The Commonfund rankings and awards cited may not be representative of any one investor’s or client’s experience and are not indicative of future performance.  In addition:

With regard to the Market Strategies International Cogent Reports™ study, US Institutional Brandscape February 2018 (the “2018 Cogent Survey”), Commonfund did not pay a fee to be included in such survey.  The Commonfund ranking(s) cited are based on responses from all non-profit participants in the 2018 Cogent Survey, to questions in which they were asked to rank 55 asset managers on various brand attributes. The results were reported by Cogent based on four groups of respondents: Pension <$500M, Pension $500M+, Non-Profit <$500M, Non-Profit $500+. The 2018 Cogent Survey was fielded online October 13, 2017 to November 28, 2017 and 371 investors with $100 million or more in institutional investable assets participated in the survey.  Survey participants were required to play a direct role in the evaluation and selection of investments or asset managers within their organization. In determining the sampling frame for this study, Cogent indicated that it relied upon Standard & Poor’s Money Market Directories (MMD) database of institutional investors. MMD supplied Cogent with a list of contacts at pensions and non-profits with a minimum of $100 million in investable assets. Cogent further reported that, to ensure the population for this research was representative of the universe of institutional investors, strict quotas were established by Cogent based upon a nested classification of institutional investor by category and size of assets. It also represented that data were weighted to be representative of the distribution of institutions by asset size and category according to the most recent MMD data. Cogent also reports that the data has a margin of error of +5.0% at the 95% confidence level.

With regard to the Market Strategies International Cogent Reports™ study, US Institutional Investor Brandscape February 2019 (the “2019 Cogent Survey”), Commonfund did not pay a fee to be included in such survey. The 2019 Cogent Survey was fielded online October 12, 2018 to November 30, 2018 and 409 investors with $100 million or more in institutional investable assets participated in the survey. Survey participants were required to play a direct role in the evaluation and selection of investments or asset managers within their organization. In determining the sampling frame for this study, Cogent indicated that it relied upon Standard & Poor’s Money Market Directories (MMD) database of institutional investors. Cogent further reported that, to ensure the population for this research was representative of the universe of institutional investors, strict quotas were established by Cogent based upon a nested classification of institutional investor by category and size of assets. It also represented that a disproportionate sampling structure was incorporated to provide an acceptable level of sampling error for each of the institutional segments and to afford subgroup analysis at the larger asset size levels, including 135 respondents managing assets of $1 billion or more.  When analyzing data for the total market, Cogent further states, the data was weighted to be representative of the true distribution of institutions by asset size and category according to the most recent MMD data. Cogent also reports that the data has a margin of error of +4.85% at the 95% confidence level.

With regard to the 2018 Institutional Asset Management Awards 2018 (the “2018 IAMAs”) sponsored by Fundmap, a Pageant media Company, Commonfund did not pay to enter the awards. According to Fundmap, the 2018 IAMAs represent Fundmap’s efforts to recognize the “best-in-class” firms serving the North American institutional market.  As further described by Fundmap, winners were selected by a panel of buy-side judges who cast votes for “top” asset managers and consultants serving three different classes of investors: foundations and endowments (“F&E”) with more than $1 billion in assets, F&Es with under $1 billion in assets and pension plans.

With regard to the results of the 2023 survey conducted by Pensions and Investments (“P&I”) and referred to by P&I as a “Special Report on Outsourcing Managers” (the “2023 P&I Report”), Commonfund did not pay a fee to be included in such report. According to P&I, the rankings in the 2023 P&I Report are based on data provided directly by “OCIO” firms that participated in its 2023 survey, which, as further described by P&I, included questions that asked such firms to report, among other things, the U.S. institutional, tax-exempt client assets that were internally managed by type, which included categories such as endowments and foundations. In that regard, “investment outsourcing” was defined by P&I as instances where “an outside provider manages all or most of a plan’s administrative functions and investment portfolio, such as asset allocation, manager selection and monitoring, and custodian selection,” noting that “the level of discretion and fiduciary responsibility assumed by the provider may vary by client” and further noting that “alternate terms for investment outsourcing are outsourced-CIO services, fiduciary management outsourcing and implemented consulting”; “assets under investment management” were defined by P&I as “assets for which the investment outsourcer has full or partial investment management discretion,” which definition also expressly “excluded non-discretionary assets (e.g., the investment outsourcer provides integrated resources to enhance a client’s in-house structure where the client retains full investment discretion)”; “institutional investors” were defined by P&I as “retirement plans, endowments, foundations, et al.” and as expressly “excluding high-net-worth and family office”; and “internally managed” assets were defined by P&I as “assets for which [the firm’s] portfolio managers make the day-to-day investment decisions” and which would “exclude all assets [the] firm hands to others to be subadvised.” In addition, survey participants were asked to report all data as of March 31, 2023; to report assets in U.S. dollars rounded to the nearest million; and to exclude master trust/custody, global custody and assets under administration only from all answers. For U.S. institutional OCIO, 39 firms reported AUM for endowments and 39 for foundations (the print rankings only list the top 10 for each).

With regard to the Escalent Cogent Syndicated study, US Institutional Investor Brandscape March 2020 (the “2020 Cogent Survey”), Commonfund did not pay a fee to be included in this survey.  The 2020 Cogent Survey was fielded online from October 23, 2019 to February 5, 2020 and 451 investors with $100 million or more in institutional investable assets participated in the survey. Survey participants were required to play a direct role in the evaluation and selection of investments or asset managers within their organization. In determining the sampling frame for this study, Cogent indicated that it relied upon Standard & Poor’s Money Market Directories (MMD) database of institutional investors. Cogent further reported that, to ensure the population for this research was representative of the universe of institutional investors, strict quotas were established by Cogent based upon a nested classification of institutional investor by category and size of assets. It also represented that a disproportionate sampling structure was incorporated to provide an acceptable level of sampling error for each of the institutional segments and to afford subgroup analysis at the larger asset size levels, including 142 respondents managing assets of $1 billion or more.  When analyzing data for the total market, Cogent further states, the data was weighted to be representative of the true distribution of institutions by asset size and category according to the most recent MMD data. Cogent also reports that the data has a margin of error of +4.61% at the 95% confidence level.

With regard to the results of the 2022 HEC-Dow Jones Ranking of Private Equity Global Secondary Funds, Commonfund did not pay a fee to be included in such survey. The ranking is described by Private Equity News (“PEN”) as based on research by Professor Oliver Gottschalg from HEC Business School in Paris (“HEC”) drawing on data on private equity fund performance provided by Preqin and enhanced with data sourced directly from the private equity firms themselves. PEN indicates that the ranking calculates the aggregate performance of a private equity firm, based on a range of performance measures applied to all of the qualifying funds managed by the respective firms. The performance is aggregated into one overall performance score. PEN further states that PE firms with average performance have a score of 0; that a score of one means a firm has an aggregate performance one standard deviation above the average, or better than roughly 85% of all firms; and that a score of two means performance is twice as high as a firm that scores one. The method according to PEN aggregates performance across vintage years, and considers both relative and absolute returns. From this sample, HEC is reported to have selected those firms that met the following objective criteria: A total of 28 secondary GPs met the filter requirements for the ranking: $200m raised cumulatively and having raised at least two funds over the vintage decade 2008-2017 with full performance data on their funds (74 funds raising $52bn). This is out of 202 GPs and their 477 funds (totaling $251bn) active during the period of which 225 funds with $144bn had performance data. This inaugural survey was published in June 2022.

Advisory Services

Advisory services, including those described under the trade name “Commonfund Strategic Solutions” and “OCIO” are generally provided by Commonfund OCIO or, on occasion, by CF Private Equity and subject to investment advisory agreement. Commonfund OCIO’s and CF Private Equity’s Form ADV Part 2A will be provided upon request.

There is no legal or regulatory term defining “OCIO” or “outsourced chief investment officer” services, and the meaning of such term varies from one individual to another.  Accordingly, such services have been defined for purposes hereof to mean the management of (i) an institution’s long-term or operating reserves (“Reserves”) pursuant to an investment management agreement executed between a registered investment advisor and such institution (or, in certain limited circumstances, through a fund or separate account structure intended to achieve comparable objectives) and (ii) all or substantially all of an institution’s Reserves, with advice related thereto being provided to such institution by a registered broker-dealer and which advice is solely incidental to the conduct of such broker-dealer’s business or to its brokerage services.

Benchmarks and Financial Indices

Benchmarks and financial indices are shown for illustrative purposes only. They provide general market data that serves as point of reference to compare the performance of Investment Product’s with the performance of other securities that make up a particular market. Such benchmark and indices are not available for direct investment and their performance does not reflect the expenses associated with the management of an actual portfolio, the actual cost of investing in the instruments that comprise it or other fees. An Investment Product’s investment objective is not restricted to the securities and instruments comprising any one index. No representation is made that any benchmark or index is an appropriate measure for comparison. For a list of commonly used indices, please visit #comm_indices. This list may not represent all available indices or those indices used in this material.

Certain Risks

Portfolio, volatility or return targets or objectives, if any, are used solely for illustration, measurement or comparison purposes and as an aid or guideline for prospective investors to evaluate a particular Investment Product’s strategy, volatility and accompanying information. Such targets or objectives reflect subjective determinations of an Investment Manager based on a variety of factors including, among others, the Investment Product’s investment strategy and prior performance (if any), volatility measures, portfolio characteristics and risk, and market conditions. Volatility and performance will fluctuate, including over short periods, and should be evaluated over the time period indicated and not over shorter periods. Actual volatility and returns will depend on a variety of factors including overall market conditions and the ability of an Investment Manager to implement an Investment Product’s investment process, investment objectives and risk management. Performance targets or objectives should not be relied upon as an indication of actual or projected future performance; such targets or objectives may not be achieved, in whole or in part. For a list of commonly used measures of risk, please visit #risk_rptg.

The above summary is not a complete list of the risks, tax considerations and other important disclosures involved in investing in an Investment Product and is subject to disclosures in such Investment Product’s Prospectus. Please refer to and review carefully the Investment Product’s applicable Prospectus for a more detailed list of the Investment Product’s risks and other disclosures prior to making any investment in such Investment Product.

Past performance is not indicative of futureperformance. An investor may lose all or a substantial portion of their investment through the Advisory Services or in an Investment Product.

Interests in Commonfund funds and those offered by Commonfund affiliates are placed by Commonfund Securities, Inc., a FINRA member firm and member of SIPC.


Composite Benchmarks | MSE Funds Composite Benchmark

The MSE Funds Composite Benchmark is calculated using the following components’ weights: for time periods after April 1, 2017, S&P 500 (85%) and MSCI All Country World Index excluding the U.S. Net (15%); and for time periods prior to April 1, 2017, S&P 500 (75%), MSCI All Country World Index excluding the U.S. Net (15%), and HFRI Fund of Funds Composite Index (10%).

Composite Benchmarks | Global Multi-Asset Portfolio (GMAP) Composite Benchmark

GMAP Composite Benchmark consists of the following components: MSCI ACWI Total Return Net Index (70%); Bloomberg Barclays U.S. Aggregate Bond Index (30%). Prior to December 1, 2018 it consisted of: MSCI ACWI Index - Total Return (50.0%), Bloomberg Barclays U.S. Aggregate Bond Index (20.0%), HFRI FOF Conservative Index (17.5%), MSCI US REIT Index (5.0%), Bloomberg Commodity Index (5.0%), S&P Global Natural Resources Index (2.5%).

Commonly Used Indices

3-Month Treasury Bill Index: is the average coupon - equivalent yield of the weekly 3-Month U.S. Treasury bill auctions during the month.

Barclays Capital U.S. Treasury Inflation Protected Securities (“TIPS”): Index includes all publicly issued, U.S. Treasury inflation-protected securities that have at least one year remaining to maturity, are rated investment grade and have $250 million or more of outstanding face value.

Bloomberg Barclays Capital U.S. Aggregate Bond Index: measures the performance of the U.S. investment grade bond market. The index invests in a wide spectrum of public, investment-grade, taxable, fixed income securities in the U.S. – including government, corporate, and international dollar-denominated bonds, as well as mortgage-backed and asset-backed securities, all with maturities of more than 1 year.

Bloomberg Commodity Index (“BCOM”): is calculated on an excess return basis and reflects commodity futures price movements. The index rebalances annually weighted 2/3 by trading volume and 1/3 by world production and weight-caps are applied at the commodity, sector and group level for diversification. Roll period typically occurs from 6th-10th business day based on the roll schedule.

Citigroup World Government Bond Index (“WGBI”): measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over twenty countries, denominated in a variety of currencies, and has more than twenty-five years of history available. The WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating.

CS Leveraged Loan Index: is an index designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market. The index inception is January 1992. The index frequency is monthly. New loans are added to the index on their effective date if they qualify according to the following criteria: loans must be rated “5B” or lower; only fully-funded term loans are included; the tenor must be at least one year; and the Issuers must be domiciled in developed countries (i.e., issuers from developing countries are excluded). Fallen angels are added to the index subject to the new loan criteria. Loans are removed from the index when they are upgraded to investment grade, or when they exit the market (for example, at maturity, refinancing or bankruptcy workout). Note that issuers remain in the index following default. Total return of the index is the sum of three components: principal, interest, and reinvestment return. The cumulative return assumes that coupon payments are reinvested into the index at the beginning of each period.

Dow Jones U.S. Select Real Estate Securities Index (“RESI”): represents equity real estate investment trusts (“REITs”) and real estate operating companies traded in the U.S. The Dow Jones U.S. Select REIT Index is a subset of the Dow Jones Americas Select RESISM and includes only REITs and REIT-like securities.

HFRI FOF:Conservative Index: seeks consistent returns by primarily investing in funds that generally engage in more 'conservative' strategies such as Equity Market Neutral, Fixed Income Arbitrage, and Convertible Arbitrage; exhibits a lower historical annual standard deviation than the HFRI Fund of Funds Composite Index. A fund in the HFRI FOF Conservative Index shows generally consistent performance regardless of market conditions.

HFRI Monthly Indices (“HFRI”): Most HFRI are equally weighted performance indices, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into four main strategies, each with multiple sub-strategies. All single-manager HFRI Index constituents are included in the HFRI Fund Weighted Composite, which accounts for over 2000 funds listed on the internal HFR Database. Funds included in the HFRI Monthly Indices must: report monthly returns; report net of all fees returns; report assets in U.S. dollars; and, have at least $50 million under management or have been actively trading for at least twelve months. Funds are eligible for inclusion in the HFRI the month after their addition to HFR Database. If a fund in an index liquidates or closes, that fund’s performance will be included in the HFRI up to the fund’s last reported performance update. Fund of Funds are not included in the HFRI Fund Weighted Composite Index. Both domestic and offshore funds are included in the HFRI. In cases where a manager lists mirrored-performance funds, only the fund with the larger asset size is included in the HFRI. FX-hedged versions of HFRI Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency. The HFRI are updated three times a month. The current month and the prior three months are left as estimates and are subject to change. All performance prior to that is locked and is no longer subject to change. Due to contractual obligations, Comanco does not disclose the particular funds behind any index. See https://www.hedgefundresearch.com/hfri-index-methodology.

ICE BofA Merrill Lynch 1-3 Year US Treasury Index: is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index. BOFA Merrill Lynch is licensing the BOFA Merrill Lynch Indices “As Is,” makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BOFA Merrill Lynch Indices or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend Commonfund, or any of its products or services.

ICE BofA Merrill Lynch 3-Month US Treasury Bill Index: is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

ICE BofA Merrill Lynch US High Yield Index: tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. 

MSCI ACWI Total Return Net Index: is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The developed market country indexes included are as follows: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the U.S.

The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. (List as of January 2016.)

MSCI ACWI ex USA Net Index: captures large and mid-cap representation across 22 of 23 developed markets countries (excluding the US) and 26 emerging markets countries. With 2,215 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

MSCI EAFE Net Index (Europe, Australasia, Far East): is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. (List as of January 2016.)

MSCI Emerging Markets Free (EMF) Net Index: is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. (List as of August 2019).

MSCI Europe Net Index: captures large and mid cap representation across 15 Developed Markets (DM) countries in Europe. With 446 constituents, the index covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe.

MSCI Japan Net Index: is designed to measure the performance of the large and mid cap segments of the Japanese market. With 321 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in Japan.

MSCI US REIT Index: is a free float-adjusted market capitalization weighted index that is comprised of Equity REIT securities. The MSCI US REIT Index includes securities with exposure to core real estate (e.g., residential and retail properties) as well as securities with exposure to other types of real estate (e.g., casinos, theaters).

MSCI World Energy Index: is designed to capture the large and mid-cap segments across 23 Developed Markets (DM) countries. All securities in the index are classified in the Energy sector as per the Global Industry Classification Standard (GICS®).

MSCI World ex US Index: captures large and mid cap representation across 22 of 23 developed markets countries - excluding the United States. With 1,013 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI World Index Net: captures large and mid cap representation across 23 Developed Markets (DM) countries. With 1,603 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

Russell 2000 Index: measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.

Russell 3000 Index: measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Russell 3000 Index is constructed to provide a comprehensive, unbiased and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected.

S&P 500 Index: is a widely recognized gauge of the U.S. equities market. This index is an unmanaged capitalization-weighted index consisting of 500 of the largest capitalization U.S. common stocks. The returns of the S&P 500 include the reinvestment of dividends.

S&P Global Natural Resources Index: includes 90 of the largest publicly-traded companies in natural resources and commodities businesses that meet specific investability requirements, offering investors diversified and investable equity exposure across three primary commodity-related sectors: agribusiness, energy, and metals & mining.

Morningstar LSTA Leveraged Loan Index: is a market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. Eligible for inclusion in the LLI loans are U.S. dollar denominated senior secured loans with a minimum initial term of one-year, minimum initial spread of LIBOR + 125 basis points and initial funding of $50M. The index covers all issuers regardless of origin, however all facilities must be denominated in U.S. dollar.

Risk Reporting

Value at Risk (“VaR”): VaR measures the potential loss of value resulting from market movements over a specified period of time within a specified probability of occurrence. VaR is calculated for an Investment Product by setting the confidence level to a specific value (0-100) over a one year period. For example, if the monthly VaR of a portfolio is 5 percent at a 95 percent confidence level, then there are five chances in 100, under normal market conditions, of a loss greater than 5 percent. An Investment Manager’s calculations are based on the portfolio constituents’ monthly returns with weekly frequency looking back five years, and greater weight is given to more recent returns than less recent returns. The resultant returns time series has a one-year half-life.

The VaR method relies on simplifying assumptions which are not always present in real investing environments or that may not be realized. The projections or other information generated by VaR analysis are not guarantees of future results and do not take into account abnormal market conditions – situations in which the risk of loss may be greatest. VaR is not a ‘worst case’ scenario and can understate the amount of actual loss to which an investor may be exposed.

Conditional Value at Risk (“CVaR”): While VaR is useful in understanding the maximum potential loss in a given portfolio 95 percent of the time, CVaR attempts to measure the average downside risk in a portfolio the remaining 5 percent of the time. For example, if the monthly CVaR of a portfolio is 10 percent at a 95 percent confidence level, then the average loss is 10 in those 5 percent of outcomes where VaR is exceeded – note that this calculation predicts the average loss, not the worst potential loss. CVaR calculations are based on the portfolio constituents’ monthly returns with weekly frequency looking back five years, and greater weight is given to more recent returns than less recent returns. CVaR calculations may be less reliable than VaR calculations because there are typically fewer data points.

Standard Deviation: This is a measure of how much a portfolio’s value can deviate in one year. It is calculated as annualized standard deviation of the portfolio monthly returns with weekly frequency time series looking back five years, weighting recent returns more heavily. This generates a half-life of one year.

Historical Beta (ß): This is a measure of the risk arising out of the movement of market factors. A beta (or ß) of 1.0 indicates that an up/down movement in the benchmark will generate an equal percent movement in the portfolio. Any idiosyncratic factor in the portfolio can generate an up/down move in addition to the beta.

Historical Stress Tests: We report the portfolio risk as the profit/loss it will generate if six major historic market events were to recur independently. These metrics are calculated by combining the portfolio constituents’ movements during those events for the portfolio as a whole.

Hypothetical Factor Stress Tests: We also report the portfolio risk as the profit/loss it will generate if five hypothetical market movements were to occur independently. These metrics are calculated by combining the portfolio constituents’ current sensitivity to the movements in these market factors.

Web Site Terms and Conditions

Please read the following Important Legal Information prior to using Commonfund’s web site (the “Site”). The following are terms of a legal agreement between you and Commonfund. Your use of the Site signifies that you agree to the terms, conditions, and restrictions governing the use of this site. Commonfund may change, add, or remove portions of this agreement at any time, but if it does so, it will post such changes on the Site. Commonfund may change, suspend, or discontinue any aspect of the Site at any time, including the availability of any Site feature, database, or content.

You must abide by any policies posted on the Site.

Online Submissions

By submitting your ideas, investment information, or materials (collectively, “Online Submissions”) through the Site, you grant to Commonfund the irrevocable right to use, reproduce, distribute, create derivative works of, publicly perform, digitally perform, make, have made, import such Online Submissions in any media, for any purpose whatsoever, commercial or otherwise, without compensation to you. You also acknowledge that such Online Submissions are deemed non-confidential and Commonfund is not liable for any use or disclosure of Online Submissions. You further represent that you own and/or have the right to distribute and submit to Commonfund the information contained in such Online Submissions.

About the Commonfund Organization

For information concerning The Common Fund for Nonprofit Organizations (“Commonfund”) and its subsidiaries, and the respective services and products that they provide, please see About Commonfund – About Us.

Unless the context otherwise makes clear, all references to “Commonfund” or the “Commonfund organization” in this Site should be taken to refer to Commonfund and its subsidiaries and affiliates.

CF Private Equity U.K.  Limited

CF Private Equity U.K. Limited, 1 Northumberland Avenue, 1st Floor, Trafalgar Square London, WC2N 5BW. Companies House No. 6107655.

Sustainable Finance Disclosure Regulation (EU) 2019/2088

CF Private Equity, Inc. (“CF PE”) considers broad environmental, social and governance (“ESG”) factors and integrates sustainability risks in its investment decision-making in each case where appropriate or practicable, as outlined on the Responsible Investing webpage (https://www.commonfund.org/responsible-investing). 

CF PE does not consider “adverse impacts of investment decisions on sustainability factors” at an entity-level as contemplated by the Sustainable Finance Disclosure Regulation (EU) 2019/2088 (“SFDR”) at this time. CF PE may adopt further measures which take into account adverse impacts of investment decisions in this context. 

If and where applicable, product-level disclosures under the SFDR are provided to investors under the relevant investor portal.

No Offer to Buy or Sell Securities

The information provided on this Site is for general informational purposes only and is not an offer to sell or a solicitation of an offer to buy any securities, options, futures, or other derivatives related to securities in any jurisdiction. This Site is not an offer or solicitation to participate in any particular trading strategy.

Information contained on this Site and any statements about particular securities should not be relied upon as advice to buy or sell or hold such securities or as an offer to sell such securities. This Site and the information contained does not take into account – nor does it provide any tax, legal or investment advice or opinion regarding — the specific investment objectives or financial situation of any person. The investments, securities, or trading strategies referred to on this Site may not be suitable for investors depending on their specific investment objectives and financial situation. Investors should seek professional, financial advice regarding the appropriateness of investing in any securities or investment strategies discussed or recommended on this Site and should understand that statements regarding future prospects may not be realized.

 

 

Jurisdictional Matters

Not all securities, products or services described in this Site are available in all countries, and nothing in this Site is an offer to sell or solicitation of an offer to buy these securities, products or services in any jurisdiction where their offer or sale is not qualified or exempt from regulation. No securities, products or services will be made available to any person if the provision of such securities, products or services would be in violation of such person’s home country jurisdiction or any other related jurisdiction.

NOTICE TO RESIDENTS OF JAPAN PUBLIC DISCLOSURE (FORM 20-2)
With respect to funds managed or advised by Commonfund that are registered in Japan, Commonfund will provide to any member of the Japanese public a copy of such documents as are required to be made publicly available pursuant to Article 63 of the Financial Instruments and Exchange Act of Japan.  Please contact CCIInfo@commonfund.org to request such document.

Disclaimer of Warranty and Limitation of Liability

THE SITE AND ALL DOWNLOADABLE SOFTWARE ARE DISTRIBUTED ON AN “AS IS” BASIS WITHOUT WARRANTIES OF ANY KIND, EITHER EXPRESS OR IMPLIED, INCLUDING, WITHOUT LIMITATION, WARRANTIES OF TITLE OR IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE. YOU HEREBY ACKNOWLEDGE THAT YOUR USE OF THE SITE IS AT YOUR SOLE RISK.

Commonfund and its affiliated organizations will not be responsible for any loss or damage that could result from interception by third parties of any information made available to you via the Site.

Although the information provided to you on the Site about matters other than funds offered by Commonfund and its affiliated organizations is obtained or compiled from sources we believe to be reliable, Commonfund and its affiliated organizations cannot and do not guarantee the accuracy, timeliness or completeness of such information. All such information is subject to change at any time without notice.

Neither Commonfund, nor any of its affiliates, directors, officers or employees, nor any third party vendor will be liable or have any responsibility of any kind for any loss or damage that you incur in the event of any failure or interruption of the Site, or resulting from the act or omission of any other party involved in making the Site or the data contained therein available to you, or from any other cause relating to your access to, inability to access, or use of the Site or these materials, whether or not the circumstances giving rise to such cause may have been within the control of Commonfund and its affiliated organizations or of any vendor providing software or services support. In no event will Commonfund, its affiliates or any such parties be liable to you for any direct, special, indirect, consequential, incidental damages or any other damages of any kind arising from such cause even if Commonfund and its affiliated organizations or any other party have been advised of the possibility thereof.

Third Party Content

The Commonfund Site may include content that is supplied by companies that are not affiliated with Commonfund (“Third Party Content”). The source of all Third Party Content will be clearly and prominently identified.

The Third Party Content may be protected by copyright pursuant to United States laws and international treaties and is owned or licensed by the Third Party Content provider(s) identified.

Commonfund has not been involved in the preparation or adoption Third Party Content, may or may not have edited such Third Party content, and does not explicitly or implicitly endorse or approve such content. The Third Party Content providers do not implicitly or explicitly give investment advice, or advocate the purchase or sale of any security or investment. In order to comply with applicable laws and regulations, Commonfund may at times exclude or filter Third Party Content based on objective criteria.

While Commonfund makes every attempt to provide accurate and timely information to serve the needs of users, neither Commonfund nor the Third Party Content providers guarantee the accuracy, timeliness, completeness or usefulness of any Third Party Content, and are not responsible or liable for any such content, including any advertising, products, or other materials on or available from third party sites. Third Party Content is provided for informational purposes only and Commonfund and the Third Party Content providers specifically disclaim any responsibility for Third Party Content available on the site.

You will use Third Party Content only at your own risk. THE THIRD PARTY CONTENT IS PROVIDED ON AN “AS-IS” BASIS. THE THIRD PARTY CONTENT PROVIDERS EXPRESSLY DISCLAIM ALL WARRANTIES OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION ANY WARRANTY OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR NON-INFRINGEMENT.

THE THIRD PARTY CONTENT PROVIDERS AND THEIR PARENTS, SUBSIDIARIES, AFFILIATES, SERVICE PROVIDERS, LICENSORS, OFFICERS, DIRECTORS OR EMPLOYEES SHALL NOT BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF OR RELATING TO THE USE OR THE INABILITY TO USE THE THIRD PARTY CONTENT.

Copyright or Other Notices

All materials published on the Site are protected by copyright, and are owned or controlled by Commonfund or the party credited as the provider of the materials. You may download or copy the materials displayed on the Site for your personal use only, and you may not further distribute these materials. If you download any information or software from this Site, you agree that you will not copy it or remove or obscure any copyright or other notices or legends contained in any such information.

In the event you have a claim of copyright infringement with respect to material that is contained in the Site, please notify Commonfund, Attention: Legal Department, 15 Old Danbury Road, Wilton, Connecticut 06897, telephone number (203) 563-5000.

“Commonfund” is a proprietary trademark of The Common Fund for Nonprofit Organizations.

Use of Links

Links (also known as “hyperlinks”) to or from other Internet sites may be included at times for the convenience of the user. Commonfund and its affiliates assume no responsibility for the content of any linked site. The fact that such links may exist does not indicate approval or endorsement of any material contained on any linked site.

Statements on Web Site by Commonfund Investors

Statements by investors in funds maintained by Commonfund may not be representative of the views or experiences of others. A particular investor’s views, experience, or investment results provide no assurance of future performance or success.

Limited Availability of Investment Programs

Only qualifying educational organizations that are Commonfund Members may invest in the investment funds maintained by The Common Fund for Nonprofit Organizations (“Commonfund”). Interested educational institutions and their representatives should review Commonfund’s publication Information for Members. Investment programs offered by Commonfund’s affiliates will be available to other types of qualifying institutional investors. Interested investors should consult the offering documents for any such program for further information.

Affiliation with Commonfund Securities, Inc.

Notice of Investor Education and Protection Information Pursuant to FINRA Rule 2267

Interests in Commonfund funds and those offered by Commonfund’s affiliates are placed by Commonfund Securities, Inc., a broker-dealer that is a member of the Financial Industry Regulatory Authority (“FINRA”). Commonfund Securities, Inc. is an indirect, wholly-owned subsidiary of Commonfund. Please refer to FINRA’s website (www.finra.org) and/or FINRA BrokerCheck (https://brokercheck.finra.org or Hotline Number (800) 289-9999) for more information about FINRA and its member organizations.

FINRA BrokerCheck is a resource tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. Features of FINRA BrokerCheck include:

  • Search capabilities for both a broker and brokerage firm

  • Online delivery of a report on a broker or brokerage firm

  • Explanatory information to help investors better understand the content, context and source of the information provided

  • Links to additional resources and tools

The information made available through FINRA BrokerCheck is derived from the Central Registration Depository (CRD®), the securities industry online registration and licensing database, as reported on industry registration/licensing forms brokers, brokerage firms and regulators complete. More detailed information regarding FINRA BrokerCheck is contained in an investor brochure which is available via the FINRA website.

Notice Pursuant to SEA Rule 17a-3(a)(18)(ii)

Any complaints concerning or relating to an investor or client account may be directed to the Investor Services Department at 203-563-5000, or at 15 Old Danbury Road, Wilton, CT 06897.

Notice Pursuant to FINRA Rule 2261

Investors and clients may request certain information relative to Commonfund Securities, Inc.’s financial condition by contacting the Investor Services Department at 203-563-5000, or at 15 Old Danbury Road, Wilton, CT 06897.

Notice of Business Continuity Preparedness

Commonfund has developed a business continuity plan that is designed to minimize the impact of computer or facilities related emergencies or external events, such as a natural disaster, on Commonfund and our ability to provide service to our clients. The goal of our plan is that we will continue, or resume as quickly as possible, critical business operations during these types of disruptions.

Our plan addresses the actions that we will take in the event that the significant disruption affects a single building, a business district, a citywide area, or an entire region. We have different planned recovery times depending on the severity of the significant business disruption. In most of the scenarios addressed by our plan, we anticipate recovery times within 24 hours from the significant business disruption. Even in the most significant business disruption scenario addressed by our plan, we anticipate that critical business operations could be resumed within five days.

To support our Business Continuity Plan recovery times, Commonfund employees are designated to work remotely via a secure connection to access critical business systems and resources. In addition, a command center close to Commonfund’s headquarters has been secured for key personnel to convene in order to direct the recovery effort. Our plan will be reviewed, updated and tested periodically. If a material change to the plan occurs, this Notice of Business Continuity Preparedness will be updated as appropriate. We may modify this notice at any time with such modifications becoming effective upon posting to our web site. 

You may obtain a current copy of this notice by clicking here, or Commonfund will mail you a copy upon request made to the Investor Services Department at 888-823-3863 or InvestorServices@commonfund.org.

Notice of Anti-Money Laundering Customer Identification Requirements Important Information About Procedures for Opening a New Account

To help the government fight the funding of terrorism and money laundering activities, Federal law requires all financial institutions to obtain, verify, and record information that identifies each customer who opens an account.

What this means for you: When you open an account, we may ask for documents or information related to: your principal place of business, local office or other physical location; taxpayer identification number; and other documents demonstrating your lawful existence such as certified articles of incorporation, a government-issued business license, a partnership agreement, or a trust agreement, and other identifying documents.

 

Privacy Notice

Your privacy is very important to us.  Please read this Privacy Notice carefully to understand what we do with respect to the collection, sharing and protection of non-public personal information of clients/investors, prospective clients/investors and former clients/investors. These policies apply to individuals and individual retirement accounts (as applicable) and may be changed at any time, provided a notice of such change is given to you.

We collect personal information, such as your address, U.S. Social Security number or tax identification number, assets, transaction and/or income information, for example, when you: (i) provide it to us in the Subscription Agreement and related documents; (ii) provide it to us in correspondence and conversations with the Manager’s or Fund’s representatives; or (iii) make transactions with the Fund, such as when you purchase securities from us, tell us where to send money or make a wire transfer.  We also may collect your personal information from other sources, such as affiliates.

We may disclose information about our clients/investors, prospective clients/investors or former clients/investors to affiliates (i.e., financial and non-financial companies related by common ownership or control) or non-affiliates (i.e., financial or non-financial companies not related by common ownership or control) for our everyday business purposes, such as to process your transactions, maintain your account(s) or respond to court orders and legal investigations.  Thus, it may be necessary, under anti-money laundering and similar laws, to disclose information about the Fund’s investors in order to accept subscriptions from them. We will also release information about you if you direct us to do so.  We do not share your information with non-affiliates for them to market to you.  We may also disclose information about your transactions and experiences with us to our affiliates for their everyday business purposes.  You cannot limit these types of sharing.

We may also disclose information you provide to us to companies that perform marketing services on our behalf, such as any affiliated or unaffiliated placement agent the Fund has retained or may retain.

We may also share information with our affiliates to bring investment opportunities or services to you.  You may prevent this type of sharing by contacting the Investor Services Department at 888-823-3863 or InvestorServices@commonfund.org. If you are a new client/investor, we can begin sharing your information 30 days from the date we send this Privacy Notice to you. When you are no longer our client/investor, we may continue to share your information as described in this Privacy Notice; however, you may contact us at any time to limit our sharing.  If you limit sharing for an account you hold jointly with someone else, your choices will apply to everyone on your account.  State laws may give you additional rights to limit sharing of information.

To protect your personal information from unauthorized access and use, we use security measures that comply with applicable law.  These measures include electronic and computer safeguards and secured files and buildings.

Please be aware of the Commonfund California Privacy Notice, the Commonfund European Privacy Notice and the Cayman Fund Privacy Notice that supplement this Privacy Notice.  These notices apply generally to the provision of personal information by individuals who are California residents, individual clients and investors in the European Economic Area and individual investors or individuals associated with investors in our funds based in the Cayman Islands, respectively, and explain how we may collect and use such information under the California Consumer Privacy Act, the European Union General Data Protection Regulation and the Cayman Islands Data Protection Law, as applicable. Click here to read the California Privacy Notice. Click here to read The Commonfund European Privacy Notice. Click here to read the Cayman Fund Privacy Notice.  

If you have any questions about this Privacy Notice, including the Commonfund California Privacy Notice, the Commonfund European Privacy Notice and/or the Cayman Fund Privacy Notice, call 888-823-3863 or email InvestorServices@commonfund.org.

Miscellaneous

This agreement has been made in and shall be construed and enforced in accordance with New York law. Any action to enforce this Agreement shall be brought in the federal or state courts located in New York City.