HomeMy WebLinkAboutReports - 2018.12.31 - 31268<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="12/31/2018" Interval="1" />
Investment Performance Review
Period Ending December 31, 2018
January 17, 2019
Preliminary
Oakland County ERS
VEBA Plan
Monthly Flash Report
Market Update
Russell Indices Style Returns
Equities Month 3 M YTD 1 Year 3 Yr
Ann
5 Yr
Ann V B G V B G
S&P 500 Total Return (9.03)(13.52)(4.38)(4.38)9.25 8.49
Russell Midcap Index (9.93)(15.38)(9.08)(9.08)7.02 6.24
Russell 2000 Index (11.88)(20.21)(11.03)(11.03)7.34 4.40
Russell 1000 Growth Indx (8.60)(15.89)(1.52)(1.52)11.14 10.40
Russell 1000 Value Index (9.61)(11.73)(8.28)(8.28)6.93 5.93
Russell 3000 Index (9.31)(14.31)(5.25)(5.25)8.95 7.90
MSCI EAFE NR (4.85)(12.54)(13.79)(13.79)2.87 0.53
MSCI EM NR (2.66)(7.47)(14.58)(14.58)9.24 1.65
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 12/31/18 12/31/17 12/31/16
U.S. Aggregate 1.84 1.64 0.01 0.01 5.87 3.28 Euro Spot 1.15 1.20 1.05
U.S. Corporate Investment Grade 1.47 (0.18)(2.51)(2.51)7.10 4.20 British Pound Spot 1.28 1.35 1.23
U.S. Corporate High Yield (2.14)(4.53)(2.08)(2.08)3.96 7.95 Japanese Yen Spot 109.69 112.69 116.96
Global Aggregate 2.02 1.20 (1.20)(1.20)6.96 2.03 Swiss Franc Spot 0.98 0.97 1.02
Key Rates 12/31/18 12/31/17 12/31/16 12/31/15 12/31/14 Commodities 12/31/18 12/31/17 12/31/16
3 Month 2.35 1.38 0.50 0.16 0.04 Oil 45.41 57.40 56.24
US 2 Year 2.49 1.88 1.19 1.05 0.66 Gasoline 2.26 2.49 2.34
US 10 Year 2.68 2.41 2.44 2.27 2.17 Natural Gas 2.94 3.06 3.16
US 30 Year 3.01 2.74 3.07 3.02 2.75 Gold 1,281.30 1,337.70 1,187.30
ICE LIBOR USD 3M 2.81 1.69 1.00 0.61 0.26 Silver 15.54 17.57 16.50
Euribor 3 Month ACT/360 (0.31)(0.33)(0.32)(0.13)0.08 Copper 263.10 335.95 252.20
Bankrate 30Y Mortgage Rates Na 4.51 3.85 4.06 3.90 3.99 Corn 375.00 393.25 397.50
Prime 5.50 4.50 3.75 3.50 3.25 BBG Commodity TR Idx 159.72 179.96 176.94
December 31, 2018
Index Returns (%)
L -8.3 -4.8 -1.5 L 13.6 21.7 30.2
S
M -12.3 -9.1 -4.8 M
7.8
13.3 18.5 25.3
Levels (%)Levels
14.6 22.1
YTD 2017
Index Returns (%)Levels
S -12.9 -11.0 -9.3
6.5
4.1
0.8
-0.3
-2.2
-4.4
-8.4
-12.5 -13.0 -13.3
-14.7
-18.1-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
YTD Sector Returns
38.8
23.8 23.0 22.1 22.1 21.8 21.0
13.5 12.1 10.8
-1.0 -1.3-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
2017 Sector Returns
Page 1
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.0%)
Total Real Assets (9.2%)
Total Fixed Income Composite (36.9%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (14.1%)
Total Domestic Equity (35.5%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Min. Rebal.
($000)
Max. Rebal.
($000)
Target Rebal.
($000)
Total Fund Composite 1,192,560,371 100.0 N/A N/A 100.0 ---
Total Domestic Equity 422,827,601 35.5 10.0 50.0 37.5 -303,571,563 173,452,585 24,382,539
Total International Equity 167,697,419 14.1 5.0 20.0 12.5 -108,069,401 70,814,655 -18,627,373
Total Long/Short Equity Composite 52,591,180 4.4 0.0 7.5 5.0 -52,591,180 36,850,848 7,036,838
Total Fixed Income Composite 439,461,446 36.9 10.0 55.0 35.0 -320,205,409 216,446,758 -22,065,316
Total Real Assets 109,430,079 9.2 0.0 15.0 10.0 -109,430,079 69,453,977 9,825,958
Total Cash Composite 552,646 0.0 0.0 5.0 0.0 -552,646 59,075,373 -552,646
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2018
Page 2
Executive Summary
Policy Target In Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.0%)
Total Real Assets (9.2%)
Total Fixed Income Composite (36.9%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (14.1%)
Total Small Cap Equity Composite (7.7%)
Total Mid Cap Equity Composite (7.8%)
Total Large Cap Equity Composite (20.0%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,192,560,371 100.0 100.0 -
Total Large Cap Equity Composite 238,135,205 20.0 25.0 60,004,888
Total Mid Cap Equity Composite 93,136,570 7.8 6.3 -18,601,547
Total Small Cap Equity Composite 91,555,825 7.7 6.3 -17,020,802
Total International Equity 167,697,419 14.1 12.5 -18,627,373
Total Long/Short Equity Composite 52,591,180 4.4 5.0 7,036,838
Total Fixed Income Composite 439,461,446 36.9 35.0 -22,065,316
Total Real Assets 109,430,079 9.2 10.0 9,825,958
Total Cash Composite 552,646 0.0 0.0 -552,646
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2018
Page 3
November 30, 2018 : $1,243,764,373 December 31, 2018 : $1,192,560,371
Allocation
Market Value Allocation
SSgA S&P 500 70,202,441 5.6¢
SSgA S&P 500 Equal Weighted Index 62,562,827 5.0¢
T. Rowe Price 129,867,096 10.4¢
Seizert Capital Partners 24,348,986 2.0¢
Wedge Capital Partners 25,453,957 2.0¢
TimesSquare 27,607,280 2.2¢
Munder Capital 25,913,413 2.1¢
Lee Munder (LMCG)46,853,215 3.8¢
Loomis Small Cap 57,262,020 4.6¢
Lazard 75,788,254 6.1¢
Pictet 70,482,863 5.7¢
Berkeley Street 30,630,384 2.5¢
ABS Global 52,591,180 4.2¢
CS McKee 230,529,601 18.5¢
Loomis Fixed Income 101,381,508 8.2¢
Franklin Templeton 82,527,546 6.6¢
Churchill Senior Loan Fund 21,008,034 1.7¢
Morgan Stanley 60,696,337 4.9¢
Prudential PRISA II 25,433,556 2.0¢
Alidade Capital Fund IV 1,772,441 0.1¢
Walton Street Real Estate 6,012,210 0.5¢
AEW Real Estate 2,302,350 0.2¢
Macquarie II U.S.5,584,171 0.4¢
Macquarie Fund III Europe 3,003,438 0.2¢
ValStone Opportunity Fund V 3,096,322 0.2¢
Cash and Equivalents Account 223,352 0.0¢
Private Markets Cash 629,591 0.1¢
Allocation
Market Value Allocation
SSgA S&P 500 63,857,236 5.4¢
SSgA S&P 500 Equal Weighted Index 56,319,154 4.7¢
T. Rowe Price 117,958,815 9.9¢
Seizert Capital Partners 21,846,995 1.8¢
Wedge Capital Partners 22,696,372 1.9¢
TimesSquare 25,082,973 2.1¢
Munder Capital 23,510,230 2.0¢
Lee Munder (LMCG)41,194,247 3.5¢
Loomis Small Cap 50,361,578 4.2¢
Lazard 72,598,240 6.1¢
Pictet 65,459,667 5.5¢
Berkeley Street 29,639,512 2.5¢
ABS Global 52,591,180 4.4¢
CS McKee 233,964,818 19.6¢
Loomis Fixed Income 102,630,466 8.6¢
Franklin Templeton 81,858,128 6.9¢
Churchill Senior Loan Fund 21,008,034 1.8¢
Morgan Stanley 60,696,337 5.1¢
Prudential PRISA II 25,433,556 2.1¢
Alidade Capital Fund IV 2,198,119 0.2¢
Walton Street Real Estate 6,364,825 0.5¢
AEW Real Estate 2,627,633 0.2¢
Macquarie II U.S.5,584,171 0.5¢
Macquarie Fund III Europe 3,003,438 0.3¢
ValStone Opportunity Fund V 3,522,000 0.3¢
Cash and Equivalents Account -101,118 0.0¢
Private Markets Cash 653,764 0.1¢
Asset Allocation By Manager
Total Fund Composite
As of December 31, 2018
Page 4
Financial Reconciliation Month to Date
Market Value
10/01/2018
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2018
Total Fund Composite 1,290,062,836 -2,371,131 -24,322 -211,177 -2,479 5,088,550 -104,724,168 1,192,560,371
Total Equity Composite 747,298,668 -1,970 68,342 --191,388 -2,129 2,120,407 -106,175,730 643,116,200
Total Domestic Equity 499,752,603 -1,970 ----605 1,391,935 -78,314,362 422,827,601
Total Large Cap Equity Composite 275,911,525 -----19 707,132 -38,483,433 238,135,205
SSgA S&P 500 73,837,423 -------9,980,187 63,857,236
SSgA S&P 500 Equal Weighted Index 65,560,212 -------9,241,058 56,319,154
T. Rowe Price 136,513,890 -----19 707,132 -19,262,188 117,958,815
Total Mid Cap Equity Composite 110,900,472 -----581 371,469 -18,134,789 93,136,570
Seizert Capital Partners 25,552,768 -----82 106,334 -3,812,024 21,846,995
Wedge Capital Partners 27,564,045 -----460 146,793 -5,014,005 22,696,372
TimesSquare 29,514,232 -----38 53,454 -4,484,674 25,082,973
Munder Capital 28,269,427 -----64,888 -4,824,086 23,510,230
Total Small Cap Equity Composite 112,940,606 -1,970 ----5 313,334 -21,696,140 91,555,825
Lee Munder (LMCG)50,816,234 -----211,234 -9,833,221 41,194,247
RBC Global 1,967 -1,970 ----3 --
Loomis Small Cap 62,122,405 -----5 102,097 -11,862,918 50,361,578
Total International Equity 191,898,294 -68,342 --191,388 -1,525 728,472 -24,804,776 167,697,419
Lazard 80,747,132 -----1,525 483,884 -8,631,252 72,598,240
Pictet 79,099,619 ----123,046 -244,589 -13,761,495 65,459,667
Berkeley Street 32,051,542 -68,342 --68,342 ---2,412,030 29,639,512
Total Long/Short Equity Composite 55,647,771 -------3,056,591 52,591,180
ABS Global 55,647,771 -------3,056,591 52,591,180
Total Fixed Income Composite 430,765,000 4,288,540 ----350 2,955,584 1,452,672 439,461,446
Total Domestic Fixed Income 333,332,294 -----350 2,955,584 307,756 336,595,284
CS McKee 230,904,779 -----2,051,932 1,008,107 233,964,818
Loomis Fixed Income 102,427,515 -----350 903,652 -700,351 102,630,466
Total Global Fixed 80,713,212 ------1,144,916 81,858,128
Franklin Templeton 80,713,212 ------1,144,916 81,858,128
Private Fixed Income 16,719,494 4,288,540 ------21,008,034
Churchill Senior Loan Fund 16,719,494 4,288,540 ------21,008,034
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2018
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2018
Market Value
10/01/2018
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2018
Total Real Assets 107,736,777 1,267,624 469,789 -24,322 -19,789 -15,952 -15,952 109,430,079
Total Real Estate (Composite)96,052,846 1,267,624 19,789 --19,789 -15,952 -15,952 97,320,470
Morgan Stanley 60,696,337 -------60,696,337
Prudential PRISA II 25,433,556 -------25,433,556
Alidade Capital Fund IV 1,608,393 589,726 ----15,952 -15,952 2,198,119
Walton Street Real Estate 6,012,210 352,615 19,789 --19,789 ---6,364,825
AEW Real Estate 1,151,175 162,641 ------1,313,816
Private Investments 11,683,931 -450,000 -24,322 ----12,109,609
Macquarie II U.S.5,584,171 -------5,584,171
Macquarie Fund III Europe 3,003,438 -------3,003,438
ValStone Opportunity Fund V 3,096,322 -450,000 -24,322 ----3,522,000
Total Cash Composite 4,262,391 -5,554,194 1,833,000 ----3,393 14,841 552,646
Cash and Equivalents Account 220,638 -2,155,928 1,833,000 ---1,179 -7 -101,118
Private Markets Cash 4,041,754 -3,398,266 -----4,572 14,848 653,764
Page 6
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite 1,192,560,371 100.0 -4.21 -7.72 -7.72 -4.20 -4.20 5.67 4.84 8.33 9.38 4.99 06/01/1998
Total Fund Policy Index -3.88 -7.16 -7.16 -3.50 -3.50 6.02 5.17 7.96 9.22 5.48
Total Equity Composite 643,116,200 53.9 -8.06 -13.93 -13.93 -9.22 -9.22 6.64 5.24 10.17 11.53 4.59 04/01/1998
Total Equity Index -8.30 -14.11 -14.11 -8.48 -8.48 7.49 6.67 11.44 12.27 5.90
Total Fixed Income Composite 439,461,446 36.9 0.92 1.01 1.01 0.54 0.54 3.02 2.66 3.09 4.78 5.08 04/01/1998
Total Fixed Income Index 1.34 0.75 0.75 -0.38 -0.38 2.03 2.26 1.79 3.20 4.67
Total Real Assets 109,430,079 9.2 0.00 0.00 0.00 7.00 7.00 8.73 10.33 11.45 7.96 7.09 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 6.48 6.48 7.62 10.03 10.71 6.81 5.24
Total Cash Composite 2,089,635 0.2
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2018
Page 7
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2018
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 422,827,601 35.5 -10.05 -15.39 -15.39 -7.34 -7.34 N/A N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 238,135,205 20.0 -9.33 -13.69 -13.69 -6.14 -6.14 8.81 8.39 12.71 12.80 8.89 07/01/2008
SSgA S&P 500 (1.5 bps)63,857,236 5.4 -9.04 -13.52 -13.52 -4.41 -4.41 9.26 8.50 12.69 N/A 12.10 10/01/2009
S&P 500 Index -9.03 -13.52 -13.52 -4.38 -4.38 9.26 8.49 12.70 13.12 12.10
SSgA S&P 500 Equal Weighted Index (4 bps)56,319,154 4.7 -9.98 -14.10 -14.10 N/A N/A N/A N/A N/A N/A -11.72 02/01/2018
S&P 500 Equal Weighted -9.72 -13.90 -13.90 -7.64 -7.64 8.03 7.14 12.36 14.95 -11.59
T. Rowe Price (25 bps)117,958,815 9.9 -9.17 -13.59 -13.59 -4.05 -4.05 9.80 9.14 13.37 N/A 12.48 10/01/2009
S&P 500 Index -9.03 -13.52 -13.52 -4.38 -4.38 9.26 8.49 12.70 13.12 12.10
Total Mid Cap Equity Composite 93,136,570 7.8 -9.86 -16.02 -16.02 -10.33 -10.33 6.88 5.24 10.78 13.30 8.03 07/01/2008
Seizert Capital Partners (60 bps)21,846,995 1.8 -10.28 -14.50 -14.50 -9.74 -9.74 6.75 3.03 N/A N/A 5.07 10/01/2013
Russell Midcap Value Index -10.50 -14.95 -14.95 -12.29 -12.29 6.06 5.44 10.89 13.03 6.84
Wedge Capital Partners (75 bps)22,696,372 1.9 -10.83 -17.66 -17.66 -15.41 -15.41 5.27 5.64 11.78 14.07 6.85 05/01/2007
Russell Midcap Value Index -10.50 -14.95 -14.95 -12.29 -12.29 6.06 5.44 10.89 13.03 5.70
TimesSquare (80 bps)25,082,973 2.1 -9.14 -15.01 -15.01 -3.47 -3.47 9.08 6.99 12.87 N/A 12.96 09/01/2009
Russell Midcap Growth Index -9.07 -15.99 -15.99 -4.75 -4.75 8.59 7.42 12.27 15.12 13.09
Munder Capital (75 bps)23,510,230 2.0 -9.27 -16.84 -16.84 -12.42 -12.42 6.15 5.15 10.62 N/A 11.97 09/01/2009
Russell Midcap Growth Index -9.07 -15.99 -15.99 -4.75 -4.75 8.59 7.42 12.27 15.12 13.09
Total Small Cap Equity Composite 91,555,825 7.7 -12.06 -18.93 -18.93 -7.42 -7.42 7.28 4.44 10.05 12.51 8.71 07/01/2008
Lee Munder (LMCG) (70 bps)41,194,247 3.5 -12.08 -18.93 -18.93 -14.62 -14.62 5.86 4.60 9.82 12.04 8.11 09/01/2005
Russell 2000 Value Index -12.09 -18.67 -18.67 -12.86 -12.86 7.37 3.61 9.57 10.40 5.87
Loomis Small Cap (90 bps)50,361,578 4.2 -12.05 -18.93 -18.93 0.93 0.93 11.38 7.52 N/A N/A 13.23 09/01/2012
Russell 2000 Growth Index -11.68 -21.65 -21.65 -9.31 -9.31 7.24 5.13 11.25 13.52 10.71
Page 8
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2018
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 167,697,419 14.1 -5.18 -12.55 -12.55 -15.06 -15.06 4.46 1.53 6.67 7.92 2.65 07/01/2008
Total International Equity Index -4.49 -11.41 -11.41 -13.78 -13.78 4.98 1.14 5.30 6.15 1.39
Lazard (75 bps)72,598,240 6.1 -4.21 -10.09 -10.09 -10.64 -10.64 4.74 2.55 7.98 9.07 4.87 09/01/2006
MSCI AC World ex USA -4.49 -11.41 -11.41 -13.78 -13.78 4.98 1.14 5.33 7.06 2.84
Pictet (65 bps)65,459,667 5.5 -7.07 -17.10 -17.10 -19.45 -19.45 2.47 0.30 6.39 7.49 0.06 01/01/2008
MSCI EAFE Index -4.83 -12.50 -12.50 -13.36 -13.36 3.38 1.00 6.24 6.81 0.88
Berkeley Street (95 bps)29,639,512 2.5 -3.23 -7.53 -7.53 -14.36 -14.36 10.00 2.50 N/A N/A 2.90 11/01/2012
MSCI Emerging Markets Index -2.60 -7.40 -7.40 -14.25 -14.25 9.65 2.03 3.61 8.39 2.26
Total Long/Short Equity Composite 52,591,180 4.4 0.00 -5.49 -5.49 -3.91 -3.91 N/A N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)52,591,180 4.4 0.00 -5.49 -5.49 -3.91 -3.91 1.51 2.66 5.37 N/A 4.66 10/01/2010
HFRI FOF: Strategic Index N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Total Domestic Fixed Income 336,595,284 28.2 1.41 0.98 0.98 0.05 0.05 N/A N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)233,964,818 19.6 1.49 1.33 1.33 0.18 0.18 2.25 2.79 2.40 N/A 3.36 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.84 1.64 1.64 0.01 0.01 2.06 2.52 2.10 3.48 3.06
Loomis Fixed Income (30 bps)102,630,466 8.6 1.23 0.20 0.20 -0.25 -0.25 4.36 3.39 4.06 N/A 5.14 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.84 1.64 1.64 0.01 0.01 2.06 2.52 2.10 3.48 3.09
Total Global Fixed 81,858,128 6.9 -0.81 1.42 1.42 1.72 1.72 N/A N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)81,858,128 6.9 -0.81 1.42 1.42 1.72 1.72 3.35 1.38 3.21 N/A 2.90 04/01/2010
JPM Global Government Bond Index 2.48 2.01 2.01 -0.65 -0.65 2.53 1.11 0.32 1.74 1.90
Page 9
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2018
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate (Composite)97,320,470 8.2 0.00 0.00 0.00 7.08 7.08 N/A N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 6.48 6.48 7.62 10.03 10.71 6.81 7.91
Morgan Stanley (84 bps)60,696,337 5.1 0.00 0.00 0.00 6.67 6.67 8.90 11.57 12.35 7.53 6.37 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 6.48 6.48 7.62 10.03 10.71 6.81 5.16
Prudential PRISA II (85 bps)25,433,556 2.1 0.00 0.00 0.00 8.51 8.51 8.97 11.63 12.50 N/A 12.52 10/01/2011
NCREIF Property Index 0.00 0.00 0.00 5.27 5.27 6.73 9.03 9.52 7.34 9.62
Total Cash Composite 552,646 0.0
Cash and Equivalents Account (No fee)-101,118 0.0
Private Markets Cash 653,764 0.1
Page 10
Comparative Performance - IRR
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
ValStone Opportunity Fund V 0.00 0.00 0.00 4.13 4.13 6.56 N/A N/A N/A 7.12 08/27/2014
Macquarie II U.S.0.00 0.00 0.00 4.91 4.91 5.35 3.80 6.95 7.92 7.86 10/09/2008
Macquarie Fund III Europe 0.00 0.00 0.00 6.73 6.73 16.64 5.98 9.37 8.03 7.32 10/17/2008
Alidade Capital Fund IV 0.00 0.00 0.00 2.51 2.51 N/A N/A N/A N/A 2.94 04/20/2017
Walton Street Real Estate -0.32 -0.33 -0.33 6.37 6.37 N/A N/A N/A N/A 11.60 05/25/2017
AEW Real Estate 0.00 0.00 0.00 -0.86 -0.86 N/A N/A N/A N/A -10.26 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 0.00 4.46 4.46 N/A N/A N/A N/A 5.86 12/07/2017
Comparative Performance - IRR
Private Investments
As of December 31, 2018
Page 11
Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
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