HomeMy WebLinkAboutReports - 2019.06.20 - 31851<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="05/31/2019" Interval="1" />
Investment Performance Review
Period Ending May 31, 2019
June 20, 2019
Oakland County ERS
Defined Benefit 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 (6.35)(0.67)10.73 3.78 11.72 9.66
Russell Midcap Index (6.14)(1.73)13.54 1.57 9.85 7.88
Russell 2000 Index (7.78)(6.64)9.25 (9.08)9.73 6.69
Russell 1000 Growth Indx (6.32)0.70 13.68 5.40 15.33 12.32
Russell 1000 Value Index (6.43)(2.50)8.45 1.44 7.97 6.51
Russell 3000 Index (6.47)(1.32)10.92 2.49 11.54 9.23
MSCI EAFE NR (4.80)(1.51)7.64 (5.75)5.82 1.27
MSCI EM NR (7.26)(4.51)4.09 (8.70)9.88 1.79
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 05/31/19 12/31/18 12/31/17
U.S. Aggregate 1.78 3.76 4.80 6.40 5.73 2.69 Euro Spot 1.12 1.15 1.20
U.S. Corporate Investment Grade 1.43 4.54 7.23 7.45 7.48 3.44 British Pound Spot 1.26 1.28 1.35
U.S. Corporate High Yield (1.19)1.16 7.49 5.51 3.50 6.57 Japanese Yen Spot 108.29 109.69 112.69
Global Aggregate 1.35 2.32 3.28 3.09 7.01 1.64 Swiss Franc Spot 1.00 0.98 0.97
Key Rates 05/31/19 12/31/18 12/31/17 12/31/16 12/31/15 Commodities 05/31/19 12/31/18 12/31/17
3 Month 2.34 2.35 1.38 0.50 0.16 Oil 53.50 47.30 55.98
US 2 Year 1.92 2.49 1.88 1.19 1.05 Gasoline 2.82 2.26 2.49
US 10 Year 2.12 2.68 2.41 2.44 2.27 Natural Gas 2.45 2.76 2.72
US 30 Year 2.57 3.01 2.74 3.07 3.02 Gold 1,311.10 1,300.20 1,187.30
ICE LIBOR USD 3M 2.50 2.81 1.69 1.00 0.61 Silver 14.57 15.71 16.50
Euribor 3 Month ACT/360 (0.32)(0.31)(0.33)(0.32)(0.13)Copper 264.00 264.10 336.80
Bankrate 30Y Mortgage Rates Na 4.03 4.51 3.85 4.06 3.90 Corn 427.00 390.75 404.25
Prime 5.50 5.50 4.50 3.75 3.50 BBG Commodity TR Idx 163.42 159.72 179.96
-12.9
-12.3 -9.1 -4.8
Levels (%)Levels
-11.0 -9.3
YTD 2018
Index Returns (%)Levels
S 6.7 9.2 11.7 S
M 10.6 13.5 17.8 M
May 31, 2019
Index Returns (%)
L 8.5 11.0 13.7 L -8.3 -4.8 -1.5
18.3
16.5
14.2
13.0 12.5
11.0 10.7 10.4 9.8
5.0
3.5
1.3
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
YTD Sector Returns
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
2018 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 (0.4%)
Total Real Asset (10.1%)
Total Fixed Income Composite (36.8%)
Total Long/Short Equity Composite (6.2%)
Total International Equity (13.9%)
Total Domestic Equity (32.5%)
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 722,363,895 100.0 N/A N/A 100.0 ---
Total Domestic Equity 234,803,676 32.5 10.0 50.0 37.5 -162,567,286 126,378,272 36,082,785
Total International Equity 100,671,724 13.9 5.0 20.0 12.5 -64,553,530 43,801,055 -10,376,237
Total Long/Short Equity Composite 44,563,850 6.2 0.0 7.5 5.0 -44,563,850 9,613,442 -8,445,656
Total Fixed Income Composite 265,954,565 36.8 10.0 55.0 35.0 -193,718,175 131,345,577 -13,127,202
Total Real Asset 73,304,027 10.1 0.0 15.0 10.0 -73,304,027 35,050,558 -1,067,637
Total Cash Composite 3,066,054 0.4 0.0 5.0 0.0 -3,066,054 33,052,141 -3,066,054
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of May 31, 2019
Page 2
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 (0.4%)
Total Real Asset (10.1%)
Total Fixed Income Composite (36.8%)
Total Long/Short Equity Composite (6.2%)
Total International Equity (13.9%)
Total Small Cap Equity Composite (6.3%)
Total Mid Cap Equity Composite (7.6%)
Total Large Cap Equity Composite (18.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 722,363,895 100.0 100.0 -
Total Large Cap Equity Composite 134,556,231 18.6 25.0 46,034,743
Total Mid Cap Equity Composite 54,639,251 7.6 6.3 -9,491,508
Total Small Cap Equity Composite 45,608,193 6.3 6.3 -460,450
Total International Equity 100,671,724 13.9 12.5 -10,376,237
Total Long/Short Equity Composite 44,563,850 6.2 5.0 -8,445,656
Total Fixed Income Composite 265,954,565 36.8 35.0 -13,127,202
Total Real Asset 73,304,027 10.1 10.0 -1,067,637
Total Cash Composite 3,066,054 0.4 0.0 -3,066,054
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of May 31, 2019
Page 3
April 30, 2019 : $757,204,275 May 31, 2019 : $722,363,895
Allocation
Market Value Allocation
SSgA S&P 500 36,914,017 4.9¢
SSgA S&P 500 Equal Weighted Index 36,131,725 4.8¢
T. Rowe Price 86,540,175 11.4¢
Wedge Capital Partners 14,503,362 1.9¢
TimesSquare 13,657,405 1.8¢
Munder Capital 1,722 0.0¢
Great Lakes SmidCap 15,071,209 2.0¢
Reinhart Partners 14,733,193 1.9¢
Lee Munder (LMCG)25,495,145 3.4¢
Loomis Small Cap 23,282,213 3.1¢
Lazard 38,242,785 5.1¢
Pictet 49,003,682 6.5¢
Berkeley Street 19,770,066 2.6¢
ABS Global 44,563,850 5.9¢
CS McKee 132,612,919 17.5¢
Loomis Fixed Income 80,751,336 10.7¢
Franklin Templeton 37,177,409 4.9¢
Churchill Senior Loan Fund 12,711,282 1.7¢
Morgan Stanley 43,419,565 5.7¢
JPM Euro Property 150,572 0.0¢
Prudential PRISA II 18,804,197 2.5¢
Alidade Capital Fund IV 3,441,195 0.5¢
Walton Street Real Estate 3,343,270 0.4¢
AEW Real Estate 1,967,346 0.3¢
ValStone Opportunity Fund V 2,196,341 0.3¢
Cash and Equivalents Account 117,670 0.0¢
Private Markets Cash 2,600,625 0.3¢
Allocation
Market Value Allocation
SSgA S&P 500 34,565,862 4.8¢
SSgA S&P 500 Equal Weighted Index 33,671,737 4.7¢
T. Rowe Price 66,318,632 9.2¢
Wedge Capital Partners 13,525,076 1.9¢
TimesSquare 13,171,931 1.8¢
Munder Capital -0.0¢
Great Lakes SmidCap 13,788,087 1.9¢
Reinhart Partners 14,154,157 2.0¢
Lee Munder (LMCG)23,480,952 3.3¢
Loomis Small Cap 22,127,241 3.1¢
Lazard 36,613,264 5.1¢
Pictet 45,896,489 6.4¢
Berkeley Street 18,161,972 2.5¢
ABS Global 44,563,850 6.2¢
CS McKee 134,827,180 18.7¢
Loomis Fixed Income 82,098,160 11.4¢
Franklin Templeton 36,643,680 5.1¢
Churchill Senior Loan Fund 12,385,544 1.7¢
Morgan Stanley 43,419,565 6.0¢
JPM Euro Property 150,572 0.0¢
Prudential PRISA II 18,804,197 2.6¢
Alidade Capital Fund IV 3,396,922 0.5¢
Walton Street Real Estate 3,369,084 0.5¢
AEW Real Estate 1,967,346 0.3¢
ValStone Opportunity Fund V 2,196,341 0.3¢
Cash and Equivalents Account 126,738 0.0¢
Private Markets Cash 2,939,316 0.4¢
Asset Allocation By Manager
Total Fund Composite
As of May 31, 2019
Page 4
Financial Reconciliation Month to Date
Market Value
04/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
05/31/2019
Total Fund Composite 741,934,017 -34,801 -15,000,000 -83,601 -3,769 2,065,927 -6,583,480 722,363,895
Total Equity Composite 403,832,622 -15,241,790 28,449 --70,184 -1,997 690,061 -9,197,911 380,039,250
Total Domestic Equity 256,607,159 -15,241,790 ----1,033 480,900 -7,041,560 234,803,676
Total Large Cap Equity Composite 153,414,386 -15,000,000 ----72 271,894 -4,129,977 134,556,231
SSgA S&P 500 35,472,927 -------907,065 34,565,862
SSgA S&P 500 Equal Weighted Index 34,869,208 -------1,197,471 33,671,737
T. Rowe Price 83,072,251 -15,000,000 ----72 271,894 -2,025,441 66,318,632
Total Mid Cap Equity Composite 55,942,763 -38,488 ----548 131,556 -1,396,032 54,639,251
Seizert Capital Partners 13,700 -13,700 ----83 83 --
Wedge Capital Partners 14,025,189 -----171 50,552 -550,494 13,525,076
TimesSquare 12,959,863 -----147 13,600 198,615 13,171,931
Munder Capital 28,944,011 -29,139,369 ----51 5,347 190,062 -
Great Lakes SmidCap -14,580,627 ----19 32,331 -824,852 13,788,087
Reinhart Partners -14,533,954 ----77 29,642 -409,363 14,154,157
Total Small Cap Equity Composite 47,250,009 -203,302 ----413 77,450 -1,515,551 45,608,193
Lee Munder (LMCG)24,585,456 -----175 65,946 -1,170,274 23,480,952
Loomis Small Cap 22,664,554 -203,302 ----238 11,504 -345,277 22,127,241
Total International Equity 103,801,045 -28,449 --70,184 -964 209,161 -3,295,783 100,671,724
Lazard 37,211,429 -----964 209,161 -806,362 36,613,264
Pictet 47,434,093 ----41,735 ---1,495,869 45,896,489
Berkeley Street 19,155,524 -28,449 --28,449 ---993,552 18,161,972
Total Long/Short Equity Composite 43,424,418 ------1,139,432 44,563,850
ABS Global 43,424,418 ------1,139,432 44,563,850
Total Fixed Income Composite 262,301,846 -325,738 ----1,749 1,377,236 2,602,969 265,954,565
Total Domestic Fixed Income 212,900,161 -----1,749 1,377,236 2,649,692 216,925,340
CS McKee 132,495,660 -----713 744,863 1,587,370 134,827,180
Loomis Fixed Income 80,404,502 -----1,036 632,373 1,062,322 82,098,160
Total Global Fixed 36,690,403 -------46,723 36,643,680
Franklin Templeton 36,690,403 -------46,723 36,643,680
Private Fixed Income 12,711,282 -325,738 ------12,385,544
Churchill Senior Loan Fund 12,711,282 -325,738 ------12,385,544
Financial Reconciliation
Total Fund
Quarter To Date Ending May 31, 2019
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending May 31, 2019
Market Value
04/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
05/31/2019
Total Real Asset 73,119,184 198,259 ---13,416 ---73,304,027
Total Real Estate 70,922,843 198,259 ---13,416 ---71,107,686
Morgan Stanley 43,419,565 -------43,419,565
JPM Euro Property 150,572 -------150,572
Prudential PRISA II 18,804,197 -------18,804,197
Alidade Capital Fund IV 3,441,195 -44,273 ------3,396,922
Walton Street Real Estate 3,343,270 39,230 ---13,416 ---3,369,084
AEW Real Estate 1,764,044 203,302 ------1,967,346
Private Investments 2,196,341 -------2,196,341
ValStone Opportunity Fund V 2,196,341 -------2,196,341
Total Cash Composite 2,680,365 15,369,269 6,352 -15,000,000 --23 -1,370 11,461 3,066,054
Cash and Equivalents Account 80,553 15,038,488 6,352 -15,000,000 --23 1,368 -126,738
Private Markets Cash 2,599,812 330,781 -----2,738 11,461 2,939,316
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 722,363,895 100.0 -2.62 -0.61 -0.30 7.43 2.26 7.56 5.91 8.28 9.17 8.28 10/01/1986
Total Fund Policy Index -2.75 -0.85 -0.06 7.44 3.13 7.38 5.88 8.53 9.61 8.73
Total Equity Composite 380,039,250 52.6 -5.47 -2.12 -4.85 10.60 -1.39 9.28 6.67 10.92 11.75 9.42 10/01/1986
Total Equity Index -6.22 -2.88 -5.50 10.03 -0.93 9.85 7.80 12.27 12.85 9.77
Total Fixed Income Composite 265,954,565 36.8 1.15 1.52 5.80 4.72 6.15 3.57 2.94 3.27 4.83 6.37 10/01/1986
Total Fixed Income Index 1.64 1.65 6.13 4.69 5.87 2.37 2.46 2.20 3.61 6.15
Total Real Asset 73,304,027 10.1 0.00 0.00 4.08 1.87 8.56 9.20 11.27 10.73 7.90 4.78 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 3.20 1.42 7.52 7.97 10.18 10.77 8.74 5.34
Total Cash Composite 3,066,054 0.4
Asset Allocation & Performance
Total Fund Composite
As of May 31, 2019
Page 7
Asset Allocation & Performance
Total Fund Composite
As of May 31, 2019
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 234,803,676 32.5 -6.22 -2.57 -5.68 11.38 0.92 N/A N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 134,556,231 18.6 -6.30 -2.53 -3.70 11.56 3.90 11.74 9.85 13.72 13.94 9.79 07/01/2008
SSgA S&P 500 (1.5 bps)34,565,862 4.8 -6.36 -2.56 -4.22 10.74 3.81 11.77 9.72 13.60 N/A 12.80 10/01/2009
S&P 500 Index -6.35 -2.56 -4.24 10.74 3.78 11.72 9.66 13.53 13.95 12.73
SSgA S&P 500 Equal Weighted Index (4 bps)33,671,737 4.7 -6.81 -3.43 -4.60 11.05 1.58 N/A N/A N/A N/A -1.47 02/01/2018
S&P 500 Equal Weighted -6.90 -3.55 -4.58 10.83 1.55 9.70 8.18 13.38 14.62 -1.51
T. Rowe Price (25 bps)66,318,632 9.2 -6.07 -2.15 -3.10 12.13 4.91 12.96 10.68 14.41 N/A 13.31 10/01/2009
S&P 500 Index -6.35 -2.56 -4.24 10.74 3.78 11.72 9.66 13.53 13.95 12.73
Total Mid Cap Equity Composite 54,639,251 7.6 -5.74 -2.26 -6.87 10.86 -2.03 8.87 6.61 11.53 13.13 8.75 07/01/2008
Wedge Capital Partners (75 bps)13,525,076 1.9 -6.74 -3.56 -10.40 8.79 -7.04 6.35 5.97 11.65 14.22 7.27 05/01/2007
Russell Midcap Value Index -6.42 -3.34 -5.98 10.56 -2.09 6.92 6.05 11.86 13.84 6.38
TimesSquare (80 bps)13,171,931 1.8 -3.55 1.64 0.90 18.79 8.79 13.79 10.22 14.62 N/A 14.36 09/01/2009
Russell Midcap Growth Index -5.75 -1.51 -1.03 17.81 6.87 13.88 10.28 13.96 15.29 14.41
Great Lakes SmidCap 13,788,087 1.9 -8.51 -5.44 N/A N/A N/A N/A N/A N/A N/A -8.51 05/01/2019
Russell 2500 Index -7.11 -3.86 -9.24 11.35 -4.29 9.79 7.19 11.98 13.78 -7.11
Reinhart Partners 14,154,157 2.0 -3.93 -2.61 N/A N/A N/A N/A N/A N/A N/A -3.93 05/01/2019
Russell 2500 Index -7.11 -3.86 -9.24 11.35 -4.29 9.79 7.19 11.98 13.78 -7.11
Total Small Cap Equity Composite 45,608,193 6.3 -6.50 -3.06 -10.07 11.01 -4.29 10.11 7.20 10.99 12.81 9.39 07/01/2008
Lee Munder (70 bps)23,480,952 3.3 -7.90 -4.49 -11.95 8.59 -9.14 5.94 6.26 10.63 12.40 8.51 09/01/2005
Russell 2000 Value Index -8.17 -4.69 -13.24 6.67 -11.32 7.68 5.00 10.08 11.67 6.19
Loomis Small Cap (90 bps)22,127,241 3.1 -4.96 -1.50 -7.98 13.68 0.57 16.87 12.25 N/A N/A 14.58 09/01/2012
Russell 2000 Growth Index -7.42 -4.60 -12.44 11.76 -6.88 11.72 8.32 12.48 13.93 11.84
Page 8
Asset Allocation & Performance
Total Fund Composite
As of May 31, 2019
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 100,671,724 13.9 -5.91 -2.97 -4.69 9.55 -7.06 7.03 2.65 7.97 7.54 3.39 07/01/2008
Total International Equity Index -5.26 -2.69 -4.79 7.47 -5.79 7.24 1.79 6.92 6.00 2.01
Lazard (75 bps)36,613,264 5.1 -4.26 -1.60 -2.17 8.89 -3.81 7.19 3.30 9.15 8.84 5.37 09/01/2006
MSCI AC World ex USA -5.26 -2.69 -4.79 7.47 -5.79 7.24 1.79 6.83 6.28 3.32
Pictet (65 bps)45,896,489 6.4 -6.30 -3.16 -8.25 10.67 -9.68 5.94 1.85 7.96 7.01 0.95 01/01/2008
MSCI EAFE Index -4.66 -1.89 -5.46 8.05 -5.26 6.35 1.76 7.96 6.72 1.53
Berkeley Street (95 bps)18,161,972 2.5 -8.13 -5.19 -0.03 8.11 -6.25 10.77 3.65 N/A N/A 3.94 11/01/2012
MSCI Emerging Markets Index -7.22 -5.25 -3.52 4.19 -8.34 10.28 2.16 4.19 5.38 2.75
Total Long/Short Equity Composite 44,563,850 6.2 0.00 2.62 -0.24 8.47 -0.64 5.33 3.48 4.62 N/A 4.22 10/01/2010
ABS Global (100 bps)44,563,850 6.2 0.00 2.62 -0.24 8.47 -0.64 5.33 3.66 6.18 N/A 5.11 10/01/2010
HFRI FOF: Strategic Index -1.20 -0.28 -0.85 6.01 -2.38 4.26 2.17 3.84 3.37 2.83
Total Domestic Fixed Income 216,925,340 30.0 1.67 1.89 6.26 5.30 6.49 N/A N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)134,827,180 18.7 1.67 1.76 6.45 5.05 6.42 2.72 3.08 2.77 N/A 3.78 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.78 1.80 6.51 4.80 6.40 2.50 2.70 2.45 3.83 3.44
Loomis Fixed Income (30 bps)82,098,160 11.4 1.67 2.11 5.92 5.72 6.61 4.45 3.24 4.24 N/A 5.57 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.78 1.80 6.51 4.80 6.40 2.50 2.70 2.45 3.83 3.48
Total Global Fixed 36,643,680 5.1 -1.44 -0.13 3.35 1.91 3.65 N/A N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)36,643,680 5.1 -1.44 -0.13 3.35 1.91 3.65 4.37 1.20 3.35 N/A 2.98 04/01/2010
JPM Global Government Bond Index 1.86 1.32 5.23 3.16 3.14 1.38 0.89 0.68 2.27 2.16
Page 9
Asset Allocation & Performance
Total Fund Composite
As of May 31, 2019
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate 71,107,686 9.8 0.00 0.00 4.01 1.82 8.47 N/A N/A N/A N/A 9.10 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 3.20 1.42 7.52 7.97 10.18 10.77 8.74 7.90
Morgan Stanley (84 bps)43,419,565 6.0 0.00 0.00 3.84 1.57 8.32 9.44 11.74 12.45 9.56 6.45 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 3.20 1.42 7.52 7.97 10.18 10.77 8.74 5.26
Prudential PRISA II (85 bps)18,804,197 2.6 0.00 0.00 3.46 1.98 8.22 9.10 11.55 12.25 N/A 12.22 10/01/2011
NCREIF Property Index 0.00 0.00 3.20 1.80 6.83 7.07 9.13 9.62 8.51 9.52
JPM Euro Property 150,572 0.0 0.00 0.00 -0.19 0.00 3.73 7.08 7.67 3.53 1.19 1.20 04/01/2009
NCREIF Property Index 0.00 0.00 3.20 1.80 6.83 7.07 9.13 9.62 8.51 8.36
Total Cash Composite 3,066,054 0.4
Cash and Equivalents Account (No fee)126,738 0.0
Private Markets Cash 2,939,316 0.4
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 6.40 3.48 9.61 8.32 N/A N/A N/A 7.93 08/27/2014
Alidade Capital Fund IV 0.00 0.00 1.97 1.78 3.15 N/A N/A N/A N/A 3.33 04/20/2017
Walton Street Real Estate -0.40 -0.40 4.05 1.17 8.58 N/A N/A N/A N/A 11.32 05/24/2017
AEW Real Estate 0.00 0.00 14.99 4.78 16.95 N/A N/A N/A N/A 5.49 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 3.49 2.00 5.90 N/A N/A N/A N/A 6.73 12/07/2017
Comparative Performance - IRR
Alternative Investments
As of May 31, 2019
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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