Photo Credit : Helena Kubicka de Bragança, courtesy the Cathedral of St. John the Divine

CURRENT NET ASSET VALUES

The Trustees of the Estate and Property
of the Diocesan Convention of New York
Diocesan Investment Trust

June 30, 2020

DIT FUND NET ASSET VALUE
The DIT FundNAV per shareDividend per share
06/30/2020$147.2580$1.4614
PEMS NET ASSET VALUE
PEMSNAV per shareDividend per share
06/30/2020$122.2579$1.2133
DIT FUND PERFORMANCE SUMMARY (1)
MonthMTDCYTDQTR1 Year3 Years5 Years10 Years
06/30/20202.47%-4.01%13.66%1.28%4.83%4.89%6.50%
PEMS PERFORMANCE SUMMARY (1)
MonthMTDCYTDQTR1 Year3 Years5 Years10 Years
06/30/20202.47%-4.01%13.66%1.28%4.83%4.89%6.50%
Benchmark SummaryMTDCYTDQTR1 Year3 Years5 Years10 Years
Total Common Fund Portfolio (2)2.48%-3.73%13.72%1.74%5.15%5.19%6.79%
Commonfund Policy Benchmark (5)2.12%-3.14%13.44%2.66%5.24%4.73%6.68%
MSCI ACWI (3,4)3.20%-6.25%19.22%2.11%6.14%6.46%9.16%
Bloomberg Barclays Capital US Aggregate Bond Index-0.63%6.14%2.90%8.74%5.32%4.30%3.82%
70/30 MSCI ACWI / Barclays Aggregate2.43%-2.28%14.18%4.56%6.20%6.05%7.77%
S&P 500-1.99%-3.08%20.54%7.51%10.73%10.73%13.99%
Bloomberg Barclays Capital US Aggregate Bond Index0.63%6.14%2.90%8.74%5.32%4.30%3.82%
70/30 S&P 500 / Barclays Aggregate1.58%-0.31%15.25%7.88%9.11%8.80%10.94%

(1) Returns net of all Commonfund and manager fees and DIT administration and custody expenses
(2) Returns net of all Commonfund and manager fees (but not the DIT administration and custody expenses)
(3) The Diocesan Investment Trust has decided to use the Morgan Stanley Capital International All Country World Index (MSCI ACWI) as the primary equity benchmark for overall equity performance comparison purposes. The MSCI ACWI seeks to represent the performance of stocks in all markets globally where they are traded and reflects more accurately than the S&P 500 the globally diverse nature of equity investments of the DIT.
(4) The composition of the MSCI ACWI is approximately 45% U.S., 45% non-U.S. developed markets and 10% emerging markets.
(5) Policy Benchmark Definition:  5/1/2009 to 6/30/2013 S&P 500 17.0; Russell 3000 15.0; Russell 2000 3.0; MSCI World ex U.S. 10.0; MSCI EMF Net 5.0; Barclays Capital US Aggregate Bond Index 12.5; Barclays US Inflation-Linked Index 2.0; Citigroup World Govt. Bond Index 3.0; 3 Month T-bill 5.0; Dow Jones UBS Commodity Index 5.0; Absolute 11% 5.0; HFRI FOF Conservative Index 5.0; HFRI Equity Hedge Index 12.5 07/01/2013 to 07/31/2013 Barclays Capital US Aggregate Bond Index 12.5; Barclays US Inflation-Linked Index 2.0; Citigroup World Govt. Bond Index 3.0; 3 month T-bill 5.0; Dow Jones UBS Commodity Index 5.0; HFRI FOF Composite Index 17.5; MSCI AC World Index Net 55.0
10/01/2017 to 03/31/2020 Bloomberg Barclays Capital US Aggregate Bond Index 20.0; 3 month T-bill 5.0; HFRI FOF Conservative Index 12.0; MSCI AC World Index Net 58.0; S&P Global Large Midcap Commodity 5.0; 04/01/2020 to present Bloomberg Barclays Capital US Aggregate Bond Index 15.0; 3 month T-bill 5.0; HFRI FOF Conservative Index 12.0; MSCI AC World Index Net 58.0; S&P Global Large Midcap Commodity 5.0; ICE BofA Merrill Lynch (ML) Hi-Yld Master 5.0