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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

September 30, 2019

DIT FUND NET ASSET VALUE
The DIT FundNAV per shareDividend per share
09/30/2019$149.5027$1.4119
PEMS NET ASSET VALUE
PEMSNAV per shareDividend per share
09/30/2019$124.1215$1.1722
DIT FUND PERFORMANCE SUMMARY (1)
MonthMTDCYTDQTR1 Year3 Years5 Years10 Years
09/30/20191.13%12.27%-0.21%2.99%7.34%5.24%6.43%
PEMS PERFORMANCE SUMMARY (1)
MonthMTDCYTDQTR1 Year3 Years5 Years10 Years
09/30/20191.13%12.27%-0.21%2.99%7.34%5.24%6.43%
Benchmark SummaryMTDCYTDQTR1 Year3 Years5 Years10 Years
Total Common Fund Portfolio (2)1.13%12.42%0.13%3.23%7.56%5.48%6.70%
Commonfund Policy Benchmark (5)1.24%12.22%0.18%3.08%6.84%4.58%6.45%
MSCI ACWI (3,4)2.10%16.20%-0.03%1.38%9.71%6.65%8.35%
Bloomberg Barclays Capital US Aggregate Bond Index-0.53%8.52%2.27%10.30%2.92%3.38%3.75%
70/30 MSCI ACWI / Barclays Aggregate1.31%14.06%0.69%4.32%7.79%5.83%7.16%
S&P 5001.87%20.55%1.70%4.25%13.39%10.84%13.24%
Bloomberg Barclays Capital US Aggregate Bond Index-0.53%8.52%2.27%10.30%2.92%3.38%3.75%
70/30 S&P 500 / Barclays Aggregate1.15%16.94%1.87%6.07%10.25%8.60%10.39%

(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 present 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

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