HomeMy WebLinkAboutReports - 2019.06.20 - 31859<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="05/31/2019" Interval="1" />
Investment Performance Review
Period Ending May 31, 2019
June 20, 2019
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 (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 Assets (8.9%)
Total Fixed Income Composite (35.3%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (14.6%)
Total Domestic Equity (36.5%)
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 1,260,604,466 100.0 N/A N/A 100.0 ---
Total Domestic Equity 460,232,506 36.5 10.0 50.0 37.5 -334,172,060 170,069,727 12,494,168
Total International Equity 183,429,404 14.6 5.0 20.0 12.5 -120,399,181 68,691,489 -25,853,846
Total Long/Short Equity Composite 55,514,238 4.4 0.0 7.5 5.0 -55,514,238 39,031,097 7,515,986
Total Fixed Income Composite 444,649,177 35.3 10.0 55.0 35.0 -318,588,731 248,683,279 -3,437,614
Total Real Assets 111,882,296 8.9 0.0 15.0 10.0 -111,882,296 77,208,374 14,178,150
Total Cash Composite 4,896,844 0.4 0.0 5.0 0.0 -4,896,844 58,133,380 -4,896,844
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of May 31, 2019
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 (0.4%)
Total Real Assets (8.9%)
Total Fixed Income Composite (35.3%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (14.6%)
Total Small Cap Equity Composite (8.1%)
Total Mid Cap Equity Composite (8.2%)
Total Large Cap Equity Composite (20.3%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,260,604,466 100.0 100.0 -
Total Large Cap Equity Composite 255,860,652 20.3 25.0 59,290,465
Total Mid Cap Equity Composite 102,815,635 8.2 6.3 -24,027,855
Total Small Cap Equity Composite 101,556,220 8.1 6.3 -22,768,441
Total International Equity 183,429,404 14.6 12.5 -25,853,846
Total Long/Short Equity Composite 55,514,238 4.4 5.0 7,515,986
Total Fixed Income Composite 444,649,177 35.3 35.0 -3,437,614
Total Real Assets 111,882,296 8.9 10.0 14,178,150
Total Cash Composite 4,896,844 0.4 0.0 -4,896,844
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of May 31, 2019
Page 3
April 30, 2019 : $1,297,817,060 May 31, 2019 : $1,260,604,466
Allocation
Market Value Allocation
SSgA S&P 500 75,507,329 5.8¢
SSgA S&P 500 Equal Weighted Index 67,101,775 5.2¢
T. Rowe Price 130,741,781 10.1¢
Seizert Capital Partners 10 0.0¢
Wedge Capital Partners 26,478,741 2.0¢
TimesSquare 30,889,616 2.4¢
Munder Capital 3,319 0.0¢
Great Lakes SmidCap 26,215,823 2.0¢
Reinhart Partners 25,350,362 2.0¢
Lee Munder (LMCG)48,168,253 3.7¢
Loomis Small Cap 60,184,477 4.6¢
Lazard 82,619,016 6.4¢
Pictet 77,152,195 5.9¢
Berkeley Street 34,879,142 2.7¢
ABS Global 55,514,238 4.3¢
CS McKee 234,334,097 18.1¢
Loomis Fixed Income 106,638,043 8.2¢
Franklin Templeton 78,628,434 6.1¢
Churchill Senior Loan Fund 21,185,470 1.6¢
Morgan Stanley 62,675,003 4.8¢
Prudential PRISA II 26,235,807 2.0¢
Alidade Capital Fund IV 2,064,717 0.2¢
Walton Street Real Estate 6,686,540 0.5¢
AEW Real Estate 3,934,690 0.3¢
Macquarie II U.S.3,175,478 0.2¢
Macquarie Fund III Europe 3,790,487 0.3¢
ValStone Opportunity Fund V 3,294,511 0.3¢
Cash and Equivalents Account 284,631 0.0¢
Private Markets Cash 4,083,076 0.3¢
Allocation
Market Value Allocation
SSgA S&P 500 70,704,877 5.6¢
SSgA S&P 500 Equal Weighted Index 62,533,225 5.0¢
T. Rowe Price 122,622,550 9.7¢
Seizert Capital Partners -0.0¢
Wedge Capital Partners 24,693,795 2.0¢
TimesSquare 29,795,625 2.4¢
Munder Capital -0.0¢
Great Lakes SmidCap 23,973,926 1.9¢
Reinhart Partners 24,352,289 1.9¢
Lee Munder (LMCG)44,332,474 3.5¢
Loomis Small Cap 57,223,746 4.5¢
Lazard 79,125,570 6.3¢
Pictet 72,261,736 5.7¢
Berkeley Street 32,042,099 2.5¢
ABS Global 55,514,238 4.4¢
CS McKee 238,119,756 18.9¢
Loomis Fixed Income 108,387,223 8.6¢
Franklin Templeton 77,499,624 6.1¢
Churchill Senior Loan Fund 20,642,574 1.6¢
Morgan Stanley 62,675,003 5.0¢
Prudential PRISA II 26,235,807 2.1¢
Alidade Capital Fund IV 2,038,153 0.2¢
Walton Street Real Estate 6,738,167 0.5¢
AEW Real Estate 3,934,690 0.3¢
Macquarie II U.S.3,175,478 0.3¢
Macquarie Fund III Europe 3,790,487 0.3¢
ValStone Opportunity Fund V 3,294,511 0.3¢
Cash and Equivalents Account 236,853 0.0¢
Private Markets Cash 4,659,991 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 1,280,251,636 -50,191 -10,000,000 -139,468 -1,264 3,485,239 -13,041,868 1,260,604,466
Total Equity Composite 725,384,192 -10,468,675 50,191 --112,635 -468 1,287,455 -16,963,911 699,176,148
Total Domestic Equity 482,425,589 -10,468,675 ----93 821,048 -12,545,363 460,232,506
Total Large Cap Equity Composite 272,496,834 -10,000,000 ----429,515 -7,065,697 255,860,652
SSgA S&P 500 72,566,990 -------1,862,113 70,704,877
SSgA S&P 500 Equal Weighted Index 64,757,101 -------2,223,876 62,533,225
T. Rowe Price 135,172,743 -10,000,000 ----429,515 -2,979,708 122,622,550
Total Mid Cap Equity Composite 105,008,789 -62,072 ----93 237,378 -2,368,368 102,815,635
Seizert Capital Partners 20,344 -20,354 ----10 --
Wedge Capital Partners 25,605,273 -----91,915 -1,003,393 24,693,795
TimesSquare 29,313,514 -----93 30,541 451,662 29,795,625
Munder Capital 50,069,658 -50,407,948 ----7,687 330,603 -
Great Lakes SmidCap -25,364,597 ----56,411 -1,447,083 23,973,926
Reinhart Partners -25,001,632 ----50,814 -700,157 24,352,289
Total Small Cap Equity Composite 104,919,966 -406,603 ----154,155 -3,111,298 101,556,220
Lee Munder (LMCG)46,840,658 -406,603 ----123,979 -2,225,560 44,332,474
Loomis Small Cap 58,079,308 -----30,176 -885,738 57,223,746
Total International Equity 188,863,783 -50,191 --112,635 -376 466,407 -5,837,966 183,429,404
Lazard 80,389,478 -----376 466,407 -1,729,939 79,125,570
Pictet 74,679,356 ----62,444 ---2,355,176 72,261,736
Berkeley Street 33,794,949 -50,191 --50,191 ---1,752,851 32,042,099
Total Long/Short Equity Composite 54,094,820 ------1,419,417 55,514,238
ABS Global 54,094,820 ------1,419,417 55,514,238
Total Fixed Income Composite 439,147,609 -542,896 ----796 2,191,513 3,853,748 444,649,177
Total Domestic Fixed Income 340,363,699 -----796 2,191,513 3,952,564 346,506,980
CS McKee 234,138,220 -----1,317,697 2,663,839 238,119,756
Loomis Fixed Income 106,225,479 -----796 873,815 1,288,725 108,387,223
Total Global Fixed 77,598,440 -------98,816 77,499,624
Franklin Templeton 77,598,440 -------98,816 77,499,624
Private Fixed Income 21,185,470 -542,896 ------20,642,574
Churchill Senior Loan Fund 21,185,470 -542,896 ------20,642,574
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 Assets 114,062,568 -2,153,439 ---26,833 ---111,882,296
Total Real Estate (Composite)101,190,154 458,499 ---26,833 ---101,621,821
Morgan Stanley 62,675,003 -------62,675,003
Prudential PRISA II 26,235,807 -------26,235,807
Alidade Capital Fund IV 2,064,717 -26,564 ------2,038,153
Walton Street Real Estate 6,686,540 78,460 ---26,833 ---6,738,167
AEW Real Estate 1,764,044 203,302 ------1,967,346
Private Investments 12,872,413 -2,611,938 ------10,260,475
Macquarie II U.S.5,787,416 -2,611,938 ------3,175,478
Macquarie Fund III Europe 3,790,487 -------3,790,487
ValStone Opportunity Fund V 3,294,511 -------3,294,511
Total Cash Composite 1,657,268 13,165,010 --10,000,000 --6,271 68,295 4,896,844
Cash and Equivalents Account 225,401 10,010,445 --10,000,000 --1,010 -3 236,853
Private Markets Cash 1,431,867 3,154,565 ----5,261 68,298 4,659,991
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 1,260,604,466 100.0 -2.86 -0.77 -0.56 7.64 2.08 7.47 5.77 8.91 9.65 5.27 06/01/1998
Total Fund Policy Index -2.75 -0.85 -0.06 7.44 3.13 7.46 5.94 8.63 9.64 5.74
Total Equity Composite 699,176,148 55.5 -5.61 -2.24 -4.94 10.68 -1.28 9.44 6.84 11.10 11.91 4.98 04/01/1998
Total Equity Index -6.22 -2.88 -5.50 10.03 -0.93 9.88 7.82 12.29 12.86 6.26
Total Fixed Income Composite 444,649,177 35.3 1.00 1.38 5.56 4.41 5.89 3.52 2.71 3.33 4.71 5.20 04/01/1998
Total Fixed Income Index 1.64 1.65 6.13 4.69 5.87 2.35 2.44 2.19 3.61 4.81
Total Real Assets 111,882,296 8.9 0.00 0.00 5.03 2.75 9.49 9.77 10.82 11.49 9.68 7.29 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 0.2
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 460,232,506 36.5 -6.20 -2.56 -5.74 11.41 0.82 N/A N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 255,860,652 20.3 -6.40 -2.67 -3.86 11.39 3.69 11.56 9.72 13.60 13.73 9.62 07/01/2008
SSgA S&P 500 (1.5 bps)70,704,877 5.6 -6.36 -2.57 -4.24 10.73 3.76 11.71 9.66 13.52 N/A 12.73 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)62,533,225 5.0 -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)122,622,550 9.7 -6.21 -2.34 -3.30 11.92 4.70 12.84 10.62 14.31 N/A 13.23 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 102,815,635 8.2 -5.62 -2.03 -6.35 11.51 -1.40 9.31 6.87 11.69 13.25 8.80 07/01/2008
Wedge Capital Partners (75 bps)24,693,795 2.0 -6.74 -3.56 -10.41 8.80 -7.02 6.44 6.19 11.80 14.35 7.35 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)29,795,625 2.4 -3.54 1.64 0.95 18.79 8.87 13.85 10.23 14.64 N/A 14.38 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 23,973,926 1.9 -8.55 -5.48 N/A N/A N/A N/A N/A N/A N/A -8.55 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 24,352,289 1.9 -3.94 -2.60 N/A N/A N/A N/A N/A N/A N/A -3.94 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 101,556,220 8.1 -6.27 -2.83 -9.73 11.35 -3.90 10.41 7.34 11.12 12.89 9.43 07/01/2008
Lee Munder (LMCG) (70 bps)44,332,474 3.5 -7.96 -4.54 -12.01 8.55 -9.20 5.93 6.25 10.57 12.38 8.50 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)57,223,746 4.5 -4.92 -1.47 -7.89 13.63 0.67 16.89 12.18 N/A N/A 14.51 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 183,429,404 14.6 -5.75 -2.85 -4.25 9.49 -6.48 7.19 2.74 8.03 7.57 3.41 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)79,125,570 6.3 -4.23 -1.57 -2.00 8.99 -3.43 7.39 3.38 9.27 8.88 5.42 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)72,261,736 5.7 -6.30 -3.16 -8.25 10.67 -9.68 5.93 1.84 7.95 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)32,042,099 2.5 -8.13 -5.19 -0.03 8.11 -6.25 10.77 3.65 N/A N/A 3.93 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 55,514,238 4.4 0.00 2.62 -0.24 8.47 -0.64 N/A N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)55,514,238 4.4 0.00 2.62 -0.24 8.47 -0.64 5.27 3.62 6.15 N/A 5.08 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 346,506,980 27.5 1.62 1.81 6.13 5.10 6.34 N/A N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)238,119,756 18.9 1.62 1.70 6.27 4.88 6.28 2.69 2.99 2.71 N/A 3.73 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)108,387,223 8.6 1.64 2.04 5.82 5.61 6.47 4.48 3.23 4.19 N/A 5.53 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 77,499,624 6.1 -1.44 -0.13 3.35 1.90 3.64 N/A N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)77,499,624 6.1 -1.44 -0.13 3.35 1.90 3.64 4.37 1.19 3.35 N/A 2.97 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 (Composite)101,621,821 8.1 0.00 0.00 4.26 1.87 8.90 N/A N/A N/A N/A N/A 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)62,675,003 5.0 0.00 0.00 3.84 1.57 8.32 9.52 11.78 12.49 9.59 6.48 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)26,235,807 2.1 0.00 0.00 3.75 2.08 8.83 9.42 11.73 12.38 N/A 12.34 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
Total Cash Composite 4,896,844 0.4
Cash and Equivalents Account (No fee)236,853 0.0
Private Markets Cash 4,659,991 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 8.33 N/A N/A N/A 7.94 08/27/2014
Macquarie II U.S.0.00 0.00 3.97 2.33 7.25 6.36 4.19 7.53 8.35 7.93 10/09/2008
Macquarie Fund III Europe 0.00 0.00 30.50 33.11 28.33 23.56 8.33 9.22 9.25 8.20 10/17/2008
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 11.34 05/25/2017
AEW Real Estate 0.00 0.00 14.99 4.78 17.03 N/A N/A N/A N/A 5.47 09/26/2017
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
Private Investments
As of May 31, 2019
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