HomeMy WebLinkAboutReports - 2018.12.31 - 32043<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="1" EffectiveDate="12/31/2018" Interval="3" Description="Private Equity
Report" />
Investment Performance Review
Period Ending December 31, 2018
June 20, 2019
Oakland County ERS
VEBA Plan
Alternative Investments
Oakland County
Alternative Investments
As of December 31, 2018
Page 1
Oakland County ERS VEBA
Alternative Investments Summary
As of December 31, 2018
Real Estate
Morgan Stanley Real Estate 8/1/2008 35,000,000 0 61,889,515
Prudential Prisa II Real Estate 7/1/2014 16,286,643 0 25,775,399
Valstone Opportunity Fund V Value-Add Real Estate 8/27/2014 3,000,000 0 3,183,627
Alidade Capital Fund IV Value-Add Real Estate 4/20/2017 3,000,000 750,000 2,200,176
Walton Street Real Estate Value-Add Real Estate 5/24/2017 10,000,000 4,308,690 6,561,626
AEW Real Estate Value-Add Real Estate 9/28/2017 10,000,000 7,153,777 2,882,660
Dune RE Value-Add Real Estate Pending 10,000,000 10,000,000 0
Total Real Estate $87,286,643 22,212,467 102,493,003
Total Real Estate %1.9%8.6%
Private Investments
Macquarie II U.S.Infrastrusture 10/9/2008 6,000,000 303,900 5,672,910
Macquarie Fund III Europe Infrastrusture 8/27/2014 3,900,000*0 2,954,340
Churchill Senior Loan Fund Direct Lending 12/7/2017 25,000,000 3,622,342 21,290,319
Total Private Investments $31,000,000 3,926,242 29,917,569
Total Private Investments % 0.3%2.5%
Total Alternative Investment $118,286,643 26,138,709 132,410,572
Total Alternative Investment %2.2%11.1%
* In Euros
(1) All dollar values are represented in millions.
(2) Percentages are relative to the average market value for each “fiscal year” period for the “remaining commitment” and “market value” columns.
(3) Total Assets Committed excludes Euros allocation.
Remaining
Commitment
$
Market
Value
$
Private Investment
Summary Investment Inception
Assets
Committed
$
Investment Strategy
Closed-End
Closed-End
Closed-End
Fund
Structure
Open-End
Open-End
Closed-End
Closed-End
Closed-End
Closed-End
Closed-End
Page 2
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR Inception Inception
Date
Morgan Stanley (84 bps)61,889,515 2.23 (14)2.23 (14)9.05 (41)9.05 (41)9.71 (29)12.06 (25)12.70 (36)6.58 (10)01/01/2008
NCREIF Fund Index-ODCE (VW)1.76 (53)1.76 (53)8.35 (55)8.35 (55)8.24 (60)10.41 (60)10.99 (64)5.33 (65)
Difference 0.47 0.47 0.70 0.70 1.47 1.65 1.71 1.25
IM U.S. Open End Private Real Estate (SA+CF) Median 1.76 1.76 8.55 8.55 8.32 10.68 11.27 5.54
Prudential PRISA II (85 bps)25,775,399 1.64 (64)1.64 (64)10.29 (21)10.29 (21)9.57 (29)11.99 (28)12.76 (35)12.77 (35)10/01/2011
NCREIF Property Index 1.37 (78)1.37 (78)6.72 (84)6.72 (84)7.21 (80)9.33 (94)9.74 (94)9.83 (90)
Difference 0.27 0.27 3.57 3.57 2.36 2.66 3.02 2.94
IM U.S. Open End Private Real Estate (SA+CF) Median 1.76 1.76 8.55 8.55 8.32 10.68 11.27 11.59
Asset Allocation & Performance
Open - End Real Estate Funds
As of December 31, 2018
Page 3
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Morgan Stanley 2.23 (14)2.23 (14)9.05 (41)9.46 (27)9.71 (29)11.23 (31)12.06 (25)
NCREIF Fund Index-ODCE 1.76 (53)1.76 (53)8.35 (55)7.98 (51)8.24 (60)9.90 (58)10.41 (60)
Median 1.76 1.76 8.55 8.00 8.32 10.16 10.68
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return2017 2016 2015 2014 2013
Morgan Stanley 9.86 (13)10.21 (41)15.93 (37)15.47 (26)16.22 (25)
NCREIF Fund Index-ODCE 7.62 (63)8.77 (81)15.02 (52)12.50 (76)13.94 (57)
Median 8.08 9.63 15.23 13.59 14.47
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
1 Qtr
Ending
Mar-2018
1 Qtr
Ending
Dec-2017
1 Qtr
Ending
Sep-2017
1 Qtr
Ending
Jun-2017
Morgan Stanley 2.22 (46)2.06 (67)2.25 (45)2.32 (44)2.48 (19)2.52 (13)
NCREIF Fund Index-ODCE (VW)2.09 (54)2.05 (67)2.20 (52)2.07 (68)1.87 (43)1.70 (67)
IM U.S. Open End Private Real Estate (SA+CF) Median 2.10 2.22 2.21 2.25 1.75 1.89
Performance Review
As of December 31, 2018
Morgan Stanley
NONE
Page 4
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
6.0
9.0
12.0
15.0
18.0
Morgan Stanley (%)6.0 9.0 12.0 15.0 18.0
NCREIF Fund Index-ODCE (VW) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 12/18
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Morgan Stanley 20 3 (15%)17 (85%)0 (0%)0 (0%)
NCREIF Fund Index-ODCE 20 0 (0%)0 (0%)20 (100%)0 (0%)
7.95
8.48
9.01
9.54
10.07
Return (%)0.20 0.40 0.60 0.80 1.00 1.20
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 9.71 0.39
NCREIF Fund Index-ODCE 8.24 0.34
Median 8.32 1.05¾
10.08
10.64
11.20
11.76
12.32
12.88
Return (%)1.26 1.35 1.44 1.53 1.62 1.71 1.80 1.89
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 12.06 1.56
NCREIF Fund Index-ODCE 10.41 1.36
Median 10.68 1.81¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 0.53 117.15 N/A 10.26 2.60 13.12 -0.06 0.00
NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 13.15 1.00 0.00
90 Day U.S. Treasury Bill 0.53 12.37 N/A 2.60 -13.15 N/A -0.20 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 0.67 115.21 N/A 1.24 2.27 6.07 1.03 0.00
NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 5.85 1.00 0.00
90 Day U.S. Treasury Bill 1.61 6.05 N/A 2.28 -5.85 N/A -0.16 0.00
Performance Review
As of December 31, 2018
Morgan Stanley
NONE
Page 5
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Prudential PRISA II 1.64 (64)1.64 (64)10.29 (21)9.17 (32)9.57 (29)11.44 (29)11.99 (28)
NCREIF Property Index 1.37 (78)1.37 (78)6.72 (84)6.84 (77)7.21 (80)8.71 (80)9.33 (94)
Median 1.76 1.76 8.55 8.00 8.32 10.16 10.68
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return2017 2016 2015 2014 2013
Prudential PRISA II 8.05 (54)10.37 (40)17.27 (29)14.22 (30)15.06 (35)
NCREIF Property Index 6.96 (82)7.97 (88)13.33 (75)11.82 (82)10.98 (86)
Median 8.08 9.63 15.23 13.59 14.47
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
1 Qtr
Ending
Mar-2018
1 Qtr
Ending
Dec-2017
1 Qtr
Ending
Sep-2017
1 Qtr
Ending
Jun-2017
Prudential PRISA II 2.36 (40)2.48 (35)3.45 (4)2.53 (24)1.75 (51)2.32 (17)
NCREIF Property Index 1.67 (81)1.81 (87)1.70 (87)1.80 (81)1.70 (59)1.75 (66)
IM U.S. Open End Private Real Estate (SA+CF) Median 2.10 2.22 2.21 2.25 1.75 1.89
Performance Review
As of December 31, 2018
Prudential PRISA II
NONE
Page 6
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
3.0
6.0
9.0
12.0
15.0
18.0
Prudential PRISA II (%)3.0 6.0 9.0 12.0 15.0 18.0
NCREIF Property Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 12/18
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Prudential PRISA II 18 3 (17%)15 (83%)0 (0%)0 (0%)
NCREIF Property Index 20 0 (0%)0 (0%)1 (5%)19 (95%)
6.32
7.11
7.90
8.69
9.48
10.27
Return (%)0.20 0.40 0.60 0.80 1.00 1.20 1.40
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 9.57 1.12
NCREIF Property Index 7.21 0.41
Median 8.32 1.05¾
8.80
9.68
10.56
11.44
12.32
13.20
Return (%)1.20 1.30 1.40 1.50 1.60 1.70 1.80 1.90
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 11.99 1.75
NCREIF Property Index 9.33 1.31
Median 10.68 1.81¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 0.99 131.59 N/A 0.17 2.24 7.01 1.29 0.00
NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 9.01 1.00 0.00
90 Day U.S. Treasury Bill 0.67 14.08 N/A 4.49 -9.01 N/A -0.49 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 1.05 127.47 N/A 1.78 2.37 5.54 1.08 0.00
NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 5.32 1.00 0.00
90 Day U.S. Treasury Bill 1.58 6.73 N/A 2.39 -5.32 N/A -0.20 0.00
Performance Review
As of December 31, 2018
Prudential PRISA II
NONE
Page 7
Private Equity Summary of Partnership
Partnerships Valuation
Date
Vintage
Year
Investment
Strategy
Capital
Commitment
$
Drawn
Down
$
Market
Value
$
Distributed
$
Recallable
Capital
Capital Returned
Ex-Recallable
Remaining
Commitment
IRR
(%)
TVPI
Multiple
ValStone Opportunity Fund V 12/31/2018 2013 Value-Add Real Estate 3,000,000 3,861,015 3,183,627 1,518,033 860,937 657,096 0 7.9 1.2
Alidade Capital Fund IV 12/31/2018 2017 Value-Add Real Estate 3,000,000 3,360,000 2,200,176 1,238,310 1,110,000 99,288 750,000 3.0 1.0
Walton Street Real Estate 12/31/2018 2015 Value-Add Real Estate 10,000,000 6,338,695 6,561,626 647,385 647,385 - 4,308,690 14.9 1.1
AEW Real Estate 12/31/2018 2017 Value-Add Real Estate 10,000,000 3,276,847 2,882,660 429,644 415,480 - 7,153,777 1.7 1.0
Macquarie II U.S.12/31/2018 2008 Infrastructure 6,000,000 6,706,466 5,672,910 4,645,838 1,010,366 3,635,472 303,900 8.0 1.5
Macquarie Fund III Europe 12/31/2018 2008 Infrastructure 3,900,000 6,025,916 2,954,340 7,444,924 - 7,444,924 7.3 1.7
Churchill Senior Loan Fund 12/31/2018 2016 Other 25,000,000 21,377,658 21,290,319 1,259,470 - 1,259,470
0
3,622,342 7.7 1.1
Private Equity Summary of Partnership
Alternative Investments -Closed-End Funds
As of December 31, 2018
* In Euros
** Historical data received from prior consultant
Page 8
Comparative Performance - IRR
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR Inception Inception
Date
ValStone Opportunity Fund V 2.82 2.82 7.06 7.06 7.53 N/A N/A 7.87 08/27/2014
Alidade Capital Fund IV 0.11 0.11 2.62 2.62 N/A N/A N/A 3.02 04/20/2017
Walton Street Real Estate 2.92 2.92 10.74 10.74 N/A N/A N/A 14.91 05/25/2017
AEW Real Estate 11.01 11.01 15.08 15.08 N/A N/A N/A 1.65 09/26/2017
Macquarie II U.S.1.59 1.59 6.57 6.57 5.90 4.13 7.15 8.00 10/09/2008
Macquarie Fund III Europe -1.63 -1.63 4.99 4.99 16.37 5.85 9.28 7.26 10/17/2008
Churchill Senior Loan Fund 1.48 1.48 6.39 6.39 N/A N/A N/A 7.72 12/07/2017
Comparative Performance - IRR
Private Investments
As of December 31, 2018
* Historical data provided by prior consultants and managers.
Page 9
Comparative Performance: Trailing Returns: IRR
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR 6 YR 7 YR 8 YR 9 YR 10 YR Inception Date
Real Estate
Valstone Opportunity Fund V 2.82 2.82 7.06 6.77 7.53 7.95 #N/A #N/A #N/A #N/A #N/A #N/A 7.89 8/27/2014
FTSE NAREIT All REIT Index PME -6.11 -6.11 -4.02 2.46 4.28 3.95 #N/A #N/A #N/A #N/A #N/A #N/A 4.69
Direct Alpha (NAREIT Index)9.52 9.52 11.55 5.88 3.75 3.88 #N/A #N/A #N/A #N/A #N/A #N/A 3.04
KS-PME (NAREIT Index)1.08
Alidade Capital Fund IV 0.11 0.11 2.62 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 3.01 4/20/2017
FTSE NAREIT All REIT Index PME -6.55 -6.55 -4.34 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A -1.08
Direct Alpha (NAREIT Index)7.11 7.11 7.24 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 4.12
KS-PME (NAREIT Index)1.03
Walton Street Real Estate 2.92 2.92 10.75 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 14.91 5/25/2017
FTSE NAREIT All REIT Index PME -6.22 -6.22 -4.84 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A -1.79
Direct Alpha (NAREIT Index)9.73 9.73 16.27 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 16.73
KS-PME (NAREIT Index)1.16
AEW Real Estate 11.01 11.01 15.07 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 1.65 9/26/2017
FTSE NAREIT All REIT Index PME -6.01 -6.01 -4.87 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A -2.78
Direct Alpha (NAREIT Index)18.13 18.13 20.79 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 4.50
KS-PME (NAREIT Index)1.03
Private Investments
Macquarie II U.S.1.59 1.59 6.57 8.31 5.90 6.63 4.13 5.01 7.15 8.03 9.10 8.06 8.00 10/9/2008
MSCI USA Infrastructure NR USD -3.78 -3.78 -2.13 0.79 6.74 2.65 5.23 7.49 7.66 8.50 8.79 9.08 9.69
Direct Alpha (MSCI USA Infrastructure)5.58 5.58 8.90 7.46 -0.79 3.88 -1.04 -2.33 -0.49 -0.44 0.29 -0.97 -1.62
KS-PME (MSCI USA Infrastructure)0.91
Macquarie Fund III Europe -1.63 -1.63 4.99 23.39 16.37 9.19 5.85 7.29 9.28 8.20 7.68 7.47 7.26 10/17/2008
MSCI EUROPE Infrastructure NR USD
0.64 0.64 -8.86 14.23 1.75 -0.26 -0.15 5.59 5.08 2.73 1.96 3.34 3.55
Direct Alpha (MSCI EUROPE Infrastructure)-2.26 -2.26 15.21 9.05 15.44 9.99 6.33 1.78 4.44 5.87 6.10 4.87 3.93
KS-PME (MSCI EUROPE Infrastructure)1.35
Alternative Investments
Public Market Equivalent Performance
As of December 31, 2018
Page 10
Fixed Income
Churchill Senior Loan Fund 1.48 1.48 6.39 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 7.72 12/7/2017
Bloomberg Barclays Aggregate 1.99 1.99 1.08 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 1.13
Direct Alpha (BBAGG)-0.50 -0.50 5.29 #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 6.56
KS-PME (BBAGG)1.05
Public Market Equivalent Performance
Alternative Investments
As of December 31, 2018
Page 11
Oakland County ERS VEBA
Alternative Investments Pacing Summary - Closed-End Funds
As of December 31, 2018
Investment Name Final Close Close of Investment Period Divesture Period Optional Extention(s)
Macquarie II U.S.3/31/2010 03/31/2014(4 years from final
close)
There is no defined divesture
period for the fund. The term of the
Fund is ten years from the Final
Closing Date
A possible extension of up to two
years at the discretion of the
General Partner and a further
extension of up to two years with
the consent of the Investor
Advisory Committee, subject to
early termination as described in
the LPAs.
Macquarie Fund III Europe 3/31/2010
The period from First Closing Date
to the earlier of: Three years from
the Final Closing Date subject to a
1 year extension, the date when all
funds have been committed or
determined by the Manager, or the
date the Manager is removed as
manager of the Partnership.
N/A N/A
Valstone Opportunity Fund V 9/30/2014 2/28/2018 2/28/2021 Board would vote to extend.
Walton Street Real Estate 4/23/2017 4 years from final close 10 years from final close
The term of the Fund may be
extended by the General Partner
with the consent of the Advisory
Board or a Majority in Interest of
the Fund Partners, for up to two
additional one-year periods.
Page 12
Oakland County ERS VEBA
Alternative Investments Pacing Summary - Closed-End Funds
As of December 31, 2018
Investment Name Final Close Close of Investment Period Divesture Period Optional Extention(s)
Alidade Capital Fund IV 6/30/2018
Investment Period ends on
4/10/2022 (four years from the
original, final closing date as
provided in the LPA)
The Partnership will end on
4/10/2025
The Partnership will end on
4/10/2025, subject to three one-
year extensions, subject to the
consent of the Limited Partner
Majority, making the outside
termination date 4/10/2028.
AEW Real Estate Fund VIII
TBD - due to
managers
request for
extension to April
2018.
3 years from final close 8 years from final close
May be extended 2 years with
more than 50% limited partner
approval.
Churchill Senior Loan Fund 11/20/2017 11/20/2020 (3 Years from the Final
Closing Date)
11/20/2023 (6 Years from the Final
Closing Date)
11/20/2025 (2 Years from the
Divesture Period)
Page 13
Fund Information
Type of Fund:Partnership Vintage Year:2013
Strategy Type:Value-Add Real Estate Management Fee:2.00% Incentive Fee 20%
Target IRR:8.00%Inception:03/23/2013
General Partner:
Investment Strategy:The Fund’s strategy is based on the firms value-orientated investment philosophy, with a focus on making direct or indirect investments in real estate related assets including: performing,
non-performing and subperforming commercial real estate loans, and origination of loans. Additionally, it will target debt of asset backed financially-troubled or bankrupt companies, non-
investment grade publicly-traded bonds, interests in real estate and/or financial services related operating companies, and undermanaged or distressed direct real estate. The target
investment size is $5 million to $40 million in gross value, with a focus on properties in the $5 million to $25 million range.
Cash Flow Summary
Capital Committed:$3,000,000
Capital Invested:$3,860,938
Management Fees:-
Expenses:$77
Interest:-
Total Contributions:$3,861,015
Remaining Capital Commitment: $0
Total Distributions:$1,518,033
Market Value:$3,183,627
Inception Date:08/27/2014
Inception IRR:7.9
TVPI:1.2
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$1,040,000.0
$2,080,000.0
$3,120,000.0
$4,160,000.0
$5,200,000.0
($1,040,000.0)
9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 12/18
Private Equity Fund Overview
ValStone Opportunity Fund V
As of December 31, 2018
Page 14
Fund Information
Type of Fund:Direct Vintage Year:2017
Strategy Type:Value-Add Real Estate Management Fee:1.5% (20% Carried Interest, 60%/40% GP/LP Catch Up)
Target IRR:8.0%Inception:04/10/2017
General Partner:
Investment Strategy:Alidade Capital Fund IV, LP is a multi-strategy, value-add fund seeking attractive risk-adjusted returns by investing both directly an indirectly in commercial real estate located in select
secondary markets. Target deal sizes range between $5 and $35 million, with a focus on constructing a portfolio with a balance of in-place cash flow and value-add enhancement potential.
Cash Flow Summary
Capital Committed:$3,000,000
Capital Invested:$3,360,000
Management Fees:$17,016
Expenses:-
Interest:-
Total Contributions:$3,360,000
Remaining Capital Commitment:$750,000
Total Distributions:$1,238,310
Market Value:$2,200,176
Inception Date:04/20/2017
Inception IRR:3.0
TVPI:1.0
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$884,000.0
$1,768,000.0
$2,652,000.0
$3,536,000.0
$4,420,000.0
($884,000.0)
6/17 9/17 12/17 3/18 6/18 9/18 12/18
Private Equity Fund Overview
Alidade Capital Fund IV
As of December 31, 2018
Page 15
Fund Information
Type of Fund:Partnership Vintage Year:2015
Strategy Type:Value-Add Real Estate Management Fee:1.5% of Net Invested Capital
Target IRR:9.00%Inception:10/23/2015
General Partner:Walton Street Managers VIII, L.P.
Investment Strategy:The team will employ both a value-add and opportunistic approach to investing the capital commitments of WREF VIII. Value-add acquisitions will be assets in major markets and
highgrowth secondary markets that require repositioning, leasing and redevelopment to stabilize as a core asset.
Cash Flow Summary
Capital Committed:$10,000,000
Capital Invested:$6,261,629
Management Fees:$77,066
Expenses:-
Interest:-
Total Contributions:$6,338,695
Remaining Capital Commitment:$4,308,690
Total Distributions:$647,385
Market Value:$6,561,626
Inception Date:05/25/2017
Inception IRR:14.9
TVPI:1.1
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$1,820,000.0
$3,640,000.0
$5,460,000.0
$7,280,000.0
$9,100,000.0
($1,820,000.0)
6/17 9/17 12/17 3/18 6/18 9/18 12/18
Private Equity Fund Overview
Walton Street Real Estate
As of December 31, 2018
Page 16
Fund Information
Type of Fund:Partnership Vintage Year:2017
Strategy Type:Value-Add Real Estate Management Fee:1.25%
Target IRR:9.00%Inception:08/04/2016
General Partner:AEW VIII, L.P.
Investment Strategy:AEW’s investment strategy is to mitigate risk while producing opportunistic levels of returns. AEW will look to take advantage of re-pricing, capital dislocations; to acquire/recapitalize
attractive properties from inexperienced and undercapitalized owners/investors and acquire well-located real estate that needs to be repositioned or repurposed. AEW will seek assets in
transforming markets, looking to capitalize on demand shifts and special situations that arise from time to time as markets and property types progress through cycles.
Cash Flow Summary
Capital Committed:$10,000,000
Capital Invested:$3,053,842
Management Fees:$156,250
Expenses:-
Interest:$15,144
Total Contributions:$3,276,847
Remaining Capital Commitment:$7,153,777
Total Distributions:$429,644
Market Value:$2,882,660
Inception Date:09/26/2017
Inception IRR:1.7
TVPI:1.0
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$858,000.0
$1,716,000.0
$2,574,000.0
$3,432,000.0
$4,290,000.0
($858,000.0)
9/17 12/17 3/18 6/18 9/18 12/18
Private Equity Fund Overview
AEW Real Estate
As of December 31, 2018
Page 17
Fund Information
Type of Fund:Partnership Vintage Year:2008
Strategy Type:Infrastructure Management Fee:1.5% per annum of total capital commitments
Target IRR:8.00%Inception:03/01/2018
General Partner:80% / 20%
Investment Strategy:Diversified portfolio of core and core plus North American infrastructure assets.
Cash Flow Summary
Capital Committed:$6,000,000
Capital Invested:$6,706,466
Management Fees:-
Expenses:-
Interest:-
Total Contributions:$6,706,466
Remaining Capital Commitment:$303,900
Total Distributions:$4,645,838
Market Value:$5,672,910
Inception Date:10/09/2008
Inception IRR:8.0
TVPI:1.5
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$2,080,000.0
$4,160,000.0
$6,240,000.0
$8,320,000.0
$10,400,000.0
($2,080,000.0)
10/08 7/09 4/10 1/11 10/11 7/12 4/13 1/14 10/14 7/15 4/16 1/17 10/17 12/18
Private Equity Fund Overview
Macquarie II U.S.
As of December 31, 2018
Page 18
Fund Information
Type of Fund:Direct Vintage Year:2008
Strategy Type:Infrastructure Management Fee:1.5% of invested commitments (Gross), 1.25% of invested commitments (Net of
rebates) 20.00% (Incentive Fee)
Target IRR:8.00%Inception:02/11/2008
General Partner:
Investment Strategy:The fund invest in European infrastructure.
Cash Flow Summary
Capital Committed:$3,900,000
Capital Invested:$5,120,193
Management Fees:-
Expenses:-
Interest:-
Total Contributions:$6,025,916
Remaining Capital Commitment: $0
Total Distributions:$7,444,924
Market Value:$2,954,340
Inception Date:10/17/2008
Inception IRR:7.3
TVPI:1.7
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$2,080,000.0
$4,160,000.0
$6,240,000.0
$8,320,000.0
$10,400,000.0
($2,080,000.0)
10/08 7/09 4/10 1/11 10/11 7/12 4/13 1/14 10/14 7/15 4/16 1/17 10/17 12/18
Private Equity Fund Overview
Macquarie Fund III Europe
As of December 31, 2018
* in Euros.
Page 19
Fund Information
Type of Fund:Partnership Vintage Year:2016
Strategy Type:Other Management Fee:
Target IRR:Inception:06/30/2016
General Partner:
Investment Strategy:Closed-end fund investing in senior secured loans to middle market companies with EBITDA of up to $100 million that are owned or controlled by leading private equity sponsors.
Cash Flow Summary
Capital Committed:$25,000,000
Capital Invested:$21,377,658
Management Fees:$229,001
Expenses:-
Interest:-
Total Contributions:$21,377,658
Remaining Capital Commitment:$3,622,342
Total Distributions:$1,259,470
Market Value:$21,290,319
Inception Date:12/07/2017
Inception IRR:7.7
TVPI:1.1
Cash Flow Analysis
Net Asset Value Distribution Contributions
$0.0
$5,720,000.0
$11,440,000.0
$17,160,000.0
$22,880,000.0
$28,600,000.0
($5,720,000.0)
12/17 3/18 6/18 9/18 12/18
Private Equity Fund Overview
Churchill Senior Loan Fund
As of December 31, 2018
Page 20
Oakland County Employees Retirement System
Understanding Public Market Equivalent Methodologies
Alternative Methods to the Effectiveness Evaluate Private Investments
Public Market Equivalent Calculations: Answering the Question “Was it Worth All the Trouble?”
▪One of the largest challenges for clients,consultants,and fund managers is creating effective comparisons of private investment
returns against public market benchmarks.Despite this seemingly simple premise,it is easy to get overwhelmed in a jumble of
alternative approaches,each of which is trying to overcome perceived shortcomings of other methods and provide a better
representation of the private investment’s return relative to a public benchmark.Common approaches to this problem include ICM
(Long and Nickels,1995),PME+(Rouvinez,2003),and mPME (Cambridge Associates,2013).Although each calculation varies in its
methodology,each approach attempts to create an effective comparison using an appropriate daily-valued market benchmark and
creating a hypothetical public market portfolio based on the private investment’s cash flow stream.The resulting IRR from this public
market portfolio is then compared to the private investment’s actual IRR.The “IRR spread”between the two numbers is a
representation of the approximate value created by the private investment.
▪Beyond the heuristic approaches in the first bullet that involve the creation of a hypothetical public market portfolio,the Direct Alpha
(Griffiths,2009,2010)and KS-PME (Kaplan and Schoar,2005)measures attempt to create more direct representations of “value-
added”from private investments by removing the impact of public market returns from the private investment return calculation.
▪For the purposes of this presentation,we will focus on an analysis of ICM/PME,Direct Alpha,and KS-PME methods and describe how
they can be used to gauge the effectiveness of a private investment.
Page 21
Oakland County Employees Retirement System
Understanding Public Market Equivalent Methodologies
ICM/PME Definition
Index Comparison Method / Public Market Equivalent (ICM/PME)
▪Of the various “market portfolio”methodologies,ICM/PME is the most intuitive.ICM/PME builds a hypothetical public market portfolio
by “purchasing”the private fund’s contributions into a daily-valued public benchmark index and “selling”the private fund’s distributions
from the same daily-valued public benchmark index.While the public market portfolio is created with identical cash flows to that of the
private investment,the final reported net asset value (NAV)of the private investment and the public market portfolio will be different
due to the underlying performance of the benchmark index.The basic process and application of ICM/PME is as follows:
1.Find the future value of the contributions and distributions purchased and sold from the benchmark index at the time of their
occurrence to arrive at the final NAV of the hypothetical public market portfolio.
2.Find the IRR of the hypothetical public market portfolio.This portfolio has the private investment’s actual contributions and
distributions along with the resulting final NAV (sum of benchmark index purchases,sales,and growth)which corresponds with
the private investment’s final valuation date.
3.Compare the spread between the private investment’s actual IRR and the hypothetical public market portfolio’s IRR.
4.Assuming the benchmark index is an appropriate proxy of the private investment opportunity,if the private investment’s actual
IRR is higher than the ICM/PME calculated IRR,it can be interpreted that the client was better off in the private investment than
allocating the private investment’s contributions and distributions to the benchmark index.However,it is important to note the
IRR spread between the private investment’s IRR and the ICM/PME’s IRR only represents an indirect estimate of relative alpha
due to the non-additive nature of compound returns.
5.In summary,the ICM/PME process takes the traditional TWR of a market benchmark and converts it into an IRR based on the
cash flows of the underlying private investment for the purpose of creating an estimated “apples-to-apples”comparison with the
private investment’s IRR.
▪While extremely intuitive and easy to calculate,the largest shortcoming of the ICM/PMC methodology is the potential of the calculation
to result in a “net short”position in the benchmark index (negative NAV).This occurs if the realized performance of the benchmark
index during the evaluation period,coupled with the associated pattern of contributions to and distributions from,the benchmark index
results in a negative NAV.This condition effectively prevents the calculation of the ICM/PME.
Page 22
Oakland County Employees Retirement System
Understanding Public Market Equivalent Methodologies
Direct Alpha and KS-PME Definitions
Direct Alpha
▪Unlike the various PME approaches involving the creation of a public market portfolio for comparison to a private investment’s IRR,the
Direct Alpha methodology attempts to define the true “alpha”added by a private investment over a public market benchmark by
removing the impact of the benchmark index’s performance (beta)from the performance of the private investment (beta +alpha).In
removing the impact of the benchmark index’s performance,the Direct Alpha methodology produces a “rate of return of
outperformance”rather than the IRR spread comparisons common to the traditional PME measures.The basic process and
application of Direct Alpha is as follows:
1.Find the present value (PV)or future value (FV)of the contributions and distributions at the time of their occurrence along with
the PV of the private investment’s final NAV,or simply the actual NAV if capitalizing FV,according to the reference benchmark
index.
2.It is important to note that capitalizing the PV of all cash flows and the final NAV or capitalizing the FV of all cash flows combined
with the actual final NAV to the same point in time will yield identical results for the Direct Alpha calculation.This is because the
PV and FV calculations differ by a single constant factor -the final level of the market benchmark.
3.Find the IRR for the resulting sequence of PV cash flows and PV NAV (or FV cash flows and final NAV).
4.Assuming the benchmark index is an appropriate proxy of the private investment opportunity,the Direct Alpha IRR represents the
annualized return of return,over and above the designated benchmark index,that is solely attributable to the private investment.
5.In summary,the Direct Alpha process removes the impact of the market benchmark from the private investment IRR.What
remains is a measure of absolute outperformance (or underperformance)of the private investment rather than a relative spread
comparison to the private investment’s IRR.
KS-PME
▪The KS-PME multiple is a close relative of the traditional TVPI investment multiple of a private investment.In fact,the basic calculation
methodologies are identical with only the factors used in the numerator and denominator being different.Whereas the TVPI ([total
distributions +NAV]/total contributions)measures the total value created by a private investment in an absolute sense,the KS-PME
measures the wealth multiple above and beyond what would have been achieved in the market benchmark.Put another way,KS-PME
is an “outperformance multiple”rather than a total value multiple.To calculate the KS-PME,the TVPI formula is simply applied to the
capitalized contributions,distributions,and final NAV resulting from the Direct Alpha methodology.
Page 23