Key Takeaways
- • The Calgary Foundation, which manages a $1.4 billion endowment and granted more than $75 million to over 1,200 charities in 2024, shifted from a heavy domestic public market allocation to a diversified portfolio that expanded its investable universe and reduced volatility, according to investment associate Jessica Mitchell.
- • The foundation began investing in real assets and private equity in 2013, following the 2008 global financial crisis, when its portfolio was close to a standard 60/40 split and bonds yielded fewer than one per cent.
- • Since 2018, the portfolio has outperformed in five of nine rolling four-year periods with lower standard deviation, and over the 12-year period it outperformed its pre-crisis asset mix by 1.2 per cent.
- • The portfolio has shown lower upside and downside capture relative to its pre-crisis mix, trading some participation in market rallies for better capital preservation in sell-offs.
- • Mitchell noted alternatives carry different risks and require greater internal capacity to oversee, and that building a private investment program demands diversification across vintage years, general partners and strategies.
Summary
Mitchell, an investment associate at the Calgary Foundation, outlined the organization's portfolio transition during a session at the Canadian Investment Review's 2025 Endowment & Foundation Investment Forum, as reported by Benefits Canada. The foundation's guiding questions, she said, were how to reduce drawdown risk, add diversification and position the portfolio to meet its return objective. The organization supports charitable efforts through its $1.4 billion endowment and, in addition to the more than $75 million granted to over 1,200 charities in 2024, has given out more than $900 million to local organizations over the past 70 years.
The shift followed the 2008 global financial crisis. At that time the portfolio was close to a standard 60/40 split, and a five per cent spending target felt untenable to Mitchell because bonds were earning fewer than one per cent. The endowment model, with low annual cash obligations and a perpetual time horizon, allowed the foundation to take a larger allocation to illiquid assets. Beginning in 2013, it moved into real assets and private equity following a recommendation to reduce public market securities.
According to Mitchell, the portfolio has outperformed in five of nine rolling four-year periods with lower standard deviation since 2018, and over the 12-year period it beat the pre-crisis asset mix by 1.2 per cent. She said the portfolio responds less to large public market moves, so it may lag during rallies but also falls less in down markets. Comparing against the pre-crisis mix, she noted reduced upside and downside capture, which she attributed to greater diversification, while the portfolio still preserved capital in falling markets.
Mitchell acknowledged that alternatives carry different risks than public assets and require greater internal capacity to oversee. Building the private investment program, she said, requires a serious time commitment and diversification across vintage years, general partners and strategies. Summarizing the approach, she said, "By diversifying on the public side and investing in alternatives, we are expanding the breadth and depth of our investible universe," adding, "For us, we think that trade-off has been worthwhile."
The shift followed the 2008 global financial crisis. At that time the portfolio was close to a standard 60/40 split, and a five per cent spending target felt untenable to Mitchell because bonds were earning fewer than one per cent. The endowment model, with low annual cash obligations and a perpetual time horizon, allowed the foundation to take a larger allocation to illiquid assets. Beginning in 2013, it moved into real assets and private equity following a recommendation to reduce public market securities.
According to Mitchell, the portfolio has outperformed in five of nine rolling four-year periods with lower standard deviation since 2018, and over the 12-year period it beat the pre-crisis asset mix by 1.2 per cent. She said the portfolio responds less to large public market moves, so it may lag during rallies but also falls less in down markets. Comparing against the pre-crisis mix, she noted reduced upside and downside capture, which she attributed to greater diversification, while the portfolio still preserved capital in falling markets.
Mitchell acknowledged that alternatives carry different risks than public assets and require greater internal capacity to oversee. Building the private investment program, she said, requires a serious time commitment and diversification across vintage years, general partners and strategies. Summarizing the approach, she said, "By diversifying on the public side and investing in alternatives, we are expanding the breadth and depth of our investible universe," adding, "For us, we think that trade-off has been worthwhile."
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