HomeMy WebLinkAboutReports - 2019.09.19 - 32236<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="08/31/2019" Interval="1" />
Investment Performance Review
Period Ending August 31, 2019
September 19, 2019
Preliminary
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 (1.58) 6.87 18.34 2.92 12.70 10.11
Russell Midcap Index (2.85) 5.31 19.57 0.54 10.05 7.94
Russell 2000 Index (4.94) 2.37 11.85 (12.89) 7.89 6.41
Russell 1000 Growth Indx (0.77) 8.44 23.28 4.27 17.03 13.06
Russell 1000 Value Index (2.94) 4.89 13.76 0.62 8.08 6.59
Russell 3000 Index (2.04) 6.40 18.02 1.31 12.24 9.60
MSCI EAFE NR (2.59) 1.88 9.66 (3.26) 5.91 1.89
MSCI EM NR (4.88) (0.17) 3.92 (4.36) 5.76 0.38
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 08/31/19 12/31/18 12/31/17
U.S. Aggregate 2.59 4.11 9.10 10.17 5.75 2.13 Euro Spot 1.10 1.15 1.20
U.S. Corporate Investment Grade 3.14 6.26 13.94 13.33 7.89 2.81 British Pound Spot 1.22 1.28 1.35
U.S. Corporate High Yield 0.40 3.27 11.00 6.56 3.07 5.72 Japanese Yen Spot 106.28 109.69 112.69
Global Aggregate 2.03 4.01 7.42 7.77 7.19 1.18 Swiss Franc Spot 0.99 0.98 0.97
Key Rates 08/31/19 12/31/18 12/31/17 12/31/16 12/31/15 Commodities 08/31/19 12/31/18 12/31/17
3 Month 1.98 2.35 1.38 0.50 0.16 Oil 55.10 47.84 55.48
US 2 Year 1.50 2.49 1.88 1.19 1.05 Gasoline 2.58 2.26 2.49
US 10 Year 1.50 2.68 2.41 2.44 2.27 Natural Gas 2.29 2.73 2.70
US 30 Year 1.96 3.01 2.74 3.07 3.02 Gold 1,529.40 1,312.50 1,187.30
ICE LIBOR USD 3M 2.14 2.81 1.69 1.00 0.61 Silver 18.34 15.80 16.50
Euribor 3 Month ACT/360 (0.43) (0.31) (0.33) (0.32) (0.13)Copper 255.15 264.45 337.15
Bankrate 30Y Mortgage Rates Na 3.69 4.51 3.85 4.06 3.90 Corn 369.75 397.50 404.25
Prime 5.25 5.50 4.50 3.75 3.50 BBG Commodity TR Idx 162.81 159.72 179.96
Levels (%)Levels
-11.0 -9.3
YTD 2018
Index Returns (%)Levels
S 7.3 11.8 16.3 S -12.9
-1.5
M 14.8 19.6 26.7 M -12.3 -9.1 -4.8
August 31, 2019
Index Returns (%)
L 13.8 18.5 23.3 L -8.3 -4.8
29.4 28.5
21.4 21.2 21.2 20.3 19.0 18.3
14.3 13.5
5.8
2.1
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
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
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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 (10.2%)
Total Fixed Income Composite (35.7%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (13.9%)
Total Domestic Equity (33.7%)
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 738,874,578 100.0 N/A N/A 100.0 ---
Total Domestic Equity 249,043,536 33.7 10.0 50.0 37.5 -175,156,079 120,393,753 28,034,430
Total International Equity 102,517,034 13.9 5.0 20.0 12.5 -65,573,305 45,257,882 -10,157,712
Total Long/Short Equity Composite 44,939,770 6.1 0.0 7.5 5.0 -44,939,770 10,475,823 -7,996,041
Total Fixed Income Composite 264,085,065 35.7 10.0 55.0 35.0 -190,197,607 142,295,953 -5,478,963
Total Real Asset 75,075,321 10.2 0.0 15.0 10.0 -75,075,321 35,755,865 -1,187,863
Total Cash Composite 3,213,851 0.4 0.0 5.0 0.0 -3,213,851 33,729,878 -3,213,851
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of August 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 (10.2%)
Total Fixed Income Composite (35.7%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (13.9%)
Total Small Cap Equity Composite (6.5%)
Total Mid Cap Equity Composite (7.8%)
Total Large Cap Equity Composite (19.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 738,874,578 100.0 100.0 -
Total Large Cap Equity Composite 143,182,921 19.4 20.0 4,591,995
Total Mid Cap Equity Composite 57,985,942 7.8 7.5 -2,570,349
Total Small Cap Equity Composite 47,874,674 6.5 7.5 7,540,920
Total International Equity 102,517,034 13.9 15.0 8,314,153
Total Long/Short Equity Composite 44,939,770 6.1 5.0 -7,996,041
Total Fixed Income Composite 264,085,065 35.7 35.0 -5,478,963
Total Real Asset 75,075,321 10.2 10.0 -1,187,863
Total Cash Composite 3,213,851 0.4 0.0 -3,213,851
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of August 31, 2019
Page 3
July 31, 2019 : $754,899,107 August 31, 2019 : $738,874,578
Allocation
Market Value Allocation
SSgA S&P 500 37,534,436 5.0¢
SSgA S&P 500 Equal Weighted Index 36,541,975 4.8¢
T. Rowe Price 71,949,387 9.5¢
Wedge Capital Partners 14,671,596 1.9¢
TimesSquare 14,476,982 1.9¢
Great Lakes SmidCap 14,968,545 2.0¢
Reinhart Partners 15,142,949 2.0¢
Lee Munder (LMCG)25,469,742 3.4¢
Loomis Small Cap 24,145,760 3.2¢
Lazard 37,962,688 5.0¢
Pictet 48,902,252 6.5¢
Berkeley Street 19,395,735 2.6¢
ABS Global 44,939,770 6.0¢
CS McKee 137,112,198 18.2¢
Loomis Fixed Income 83,281,302 11.0¢
Franklin Templeton 37,805,095 5.0¢
Churchill Senior Loan Fund 12,605,427 1.7¢
Morgan Stanley 44,209,752 5.9¢
JPM Euro Property 117,592 0.0¢
Prudential PRISA II 19,025,075 2.5¢
Alidade Capital Fund IV 3,462,874 0.5¢
Walton Street Real Estate 3,402,665 0.5¢
AEW Real Estate 2,422,886 0.3¢
ValStone Opportunity Fund V 2,190,812 0.3¢
Cash and Equivalents Account 178 0.0¢
Private Markets Cash 3,161,433 0.4¢
Dune Real Estate IV -0.0¢
Allocation
Market Value Allocation
SSgA S&P 500 36,937,259 5.0¢
SSgA S&P 500 Equal Weighted Index 35,416,043 4.8¢
T. Rowe Price 70,829,618 9.6¢
Wedge Capital Partners 14,006,198 1.9¢
TimesSquare 14,297,705 1.9¢
Great Lakes SmidCap 14,764,294 2.0¢
Reinhart Partners 14,917,744 2.0¢
Lee Munder (LMCG)24,412,657 3.3¢
Loomis Small Cap 23,462,017 3.2¢
Lazard 36,764,213 5.0¢
Pictet 46,773,862 6.3¢
Berkeley Street 18,978,959 2.6¢
ABS Global 44,939,770 6.1¢
CS McKee 140,727,789 19.0¢
Loomis Fixed Income 75,146,431 10.2¢
Franklin Templeton 35,902,972 4.9¢
Churchill Senior Loan Fund 12,307,874 1.7¢
Morgan Stanley 44,209,752 6.0¢
JPM Euro Property 117,592 0.0¢
Prudential PRISA II 19,025,075 2.6¢
Alidade Capital Fund IV 3,379,791 0.5¢
Walton Street Real Estate 3,402,655 0.5¢
AEW Real Estate 2,312,034 0.3¢
ValStone Opportunity Fund V 2,190,812 0.3¢
Cash and Equivalents Account 5,525 0.0¢
Private Markets Cash 3,208,326 0.4¢
Dune Real Estate IV 437,610 0.1¢
Asset Allocation By Manager
Total Fund Composite
As of August 31, 2019
Page 4
Financial Reconciliation Month to Date
Market Value
07/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
08/31/2019
Total Fund Composite 749,027,934 -396,993 -10,000,000 -71,766 -2,240 1,882,605 -2,358,947 738,874,578
Total Equity Composite 402,208,014 -5,000 28,993 --71,766 -1,252 687,409 -6,346,058 396,500,341
Total Domestic Equity 251,399,273 -5,000 ----815 509,245 -2,859,166 249,043,536
Total Large Cap Equity Composite 144,157,488 -----74 230,240 -1,204,732 143,182,921
SSgA S&P 500 37,000,840 -------63,581 36,937,259
SSgA S&P 500 Equal Weighted Index 36,224,241 -------808,198 35,416,043
T. Rowe Price 70,932,407 -----74 230,240 -332,954 70,829,618
Total Mid Cap Equity Composite 58,230,007 -5,000 ----410 205,012 -443,667 57,985,942
Seizert Capital Partners ---------
Wedge Capital Partners 14,289,184 -5,000 ----144 87,779 -365,622 14,006,198
TimesSquare 14,072,313 ----1 71,104 154,287 14,297,705
Munder Capital ---------
Great Lakes SmidCap 14,719,327 -----34 14,489 30,512 14,764,294
Reinhart Partners 15,149,183 -----233 31,640 -262,845 14,917,744
Total Small Cap Equity Composite 49,011,778 -----331 73,994 -1,210,767 47,874,674
Lee Munder (LMCG)25,191,156 -----119 62,301 -840,680 24,412,657
Loomis Small Cap 23,820,622 -----212 11,693 -370,087 23,462,017
Total International Equity 106,501,431 -28,993 --71,766 -437 178,164 -4,119,351 102,517,034
Lazard 38,473,964 -----437 157,419 -1,866,733 36,764,213
Pictet 48,554,976 ----42,773 -20,745 -1,759,086 46,773,862
Berkeley Street 19,472,491 -28,993 --28,993 ---493,532 18,978,959
Total Long/Short Equity Composite 44,307,310 ------632,460 44,939,770
ABS Global 44,307,310 ------632,460 44,939,770
Total Fixed Income Composite 269,176,115 -10,297,553 ----979 1,194,379 4,013,103 264,085,065
Total Domestic Fixed Income 219,404,190 -10,000,000 ----979 1,194,379 5,276,629 215,874,219
CS McKee 136,516,563 -----745 748,802 3,463,168 140,727,789
Loomis Fixed Income 82,887,627 -10,000,000 ----234 445,576 1,813,461 75,146,431
Total Global Fixed 37,166,498 -------1,263,526 35,902,972
Franklin Templeton 37,166,498 -------1,263,526 35,902,972
Private Fixed Income 12,605,427 -297,553 ------12,307,874
Churchill Senior Loan Fund 12,605,427 -297,553 ------12,307,874
Financial Reconciliation
Total Fund
Quarter To Date Ending August 31, 2019
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending August 31, 2019
Market Value
07/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
08/31/2019
Total Real Asset 74,709,676 365,655 ------10 75,075,321
Total Real Estate 72,518,864 365,655 ------10 72,884,509
Morgan Stanley 44,209,752 -------44,209,752
JPM Euro Property 117,592 -------117,592
Prudential PRISA II 19,025,075 -------19,025,075
Alidade Capital Fund IV 3,462,874 -83,083 ------3,379,791
Walton Street Real Estate 3,402,665 -------10 3,402,655
AEW Real Estate 2,300,906 11,128 ------2,312,034
Dune Real Estate IV -437,610 ------437,610
Private Investments 2,190,812 -------2,190,812
ValStone Opportunity Fund V 2,190,812 -------2,190,812
Total Cash Composite 2,934,129 9,936,898 368,000 -10,000,000 --10 816 -25,982 3,213,851
Cash and Equivalents Account -367,378 10,005,000 368,000 -10,000,000 --10 708 -796 5,525
Private Markets Cash 3,301,507 -68,102 ----108 -25,186 3,208,326
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 738,874,578 100.0 -0.80 -0.06 3.35 11.37 3.42 7.67 6.18 8.09 8.66 8.33 10/01/1986
Total Fund Policy Index -0.48 -0.12 3.96 11.72 3.91 7.36 6.07 8.22 9.04 8.77
Total Equity Composite 396,500,341 53.7 -2.36 -1.41 -0.69 15.43 -1.02 9.42 6.96 10.53 10.93 9.49 10/01/1986
Total Equity Index -2.63 -2.04 -1.17 15.07 -1.20 9.99 7.89 11.77 12.05 9.84
Total Fixed Income Composite 264,085,065 35.7 1.33 1.94 9.16 8.05 9.15 3.76 3.34 3.31 4.63 6.42 10/01/1986
Total Fixed Income Index 2.54 2.68 10.54 9.04 9.82 2.93 3.12 2.58 3.70 6.23
Total Real Asset 75,075,321 10.2 0.00 0.00 6.11 3.85 8.48 8.97 10.95 11.10 8.87 4.85 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 4.23 2.43 6.41 7.57 9.76 10.52 9.88 5.31
Total Cash Composite 3,213,851 0.4
Asset Allocation & Performance
Total Fund Composite
As of August 31, 2019
Page 7
Asset Allocation & Performance
Total Fund Composite
As of August 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 249,043,536 33.7 -2.30 -0.93 0.04 18.14 -0.24 11.42 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 143,182,921 19.4 -1.95 -0.68 2.47 18.72 2.87 12.60 10.23 13.49 13.52 10.17 07/01/2008
SSgA S&P 500 (1.5 bps)36,937,259 5.0 -1.59 -0.17 2.35 18.34 2.94 12.75 10.18 13.44 N/A 13.22 10/01/2009
S&P 500 Index -1.58 -0.17 2.34 18.34 2.92 12.70 10.11 13.37 13.45 13.15
SSgA S&P 500 Equal Weighted Index (4 bps)35,416,043 4.8 -3.08 -2.23 0.35 16.82 0.48 N/A N/A N/A N/A 1.97 02/01/2018
S&P 500 Equal Weighted -3.11 -2.28 0.28 16.47 0.42 9.96 8.24 13.05 13.66 1.87
T. Rowe Price (25 bps)70,829,618 9.6 -1.56 -0.14 3.33 19.58 3.76 13.95 11.15 14.20 N/A 13.69 10/01/2009
S&P 500 Index -1.58 -0.17 2.34 18.34 2.92 12.70 10.11 13.37 13.45 13.15
Total Mid Cap Equity Composite 57,985,942 7.8 -2.14 -0.41 -1.16 17.67 -1.54 9.66 6.81 11.46 12.42 9.12 07/01/2008
Wedge Capital Partners (75 bps)14,006,198 1.9 -4.50 -1.95 -7.18 12.70 -7.57 6.48 5.62 11.25 12.92 7.43 05/01/2007
Russell Midcap Value Index -3.53 -2.72 -2.36 14.81 -3.13 6.54 5.88 11.35 12.46 6.57
TimesSquare (80 bps)14,297,705 1.9 -1.24 1.60 9.52 28.94 9.92 15.64 11.18 14.80 14.92 14.92 09/01/2009
Russell Midcap Growth Index -1.82 0.47 6.42 26.68 5.96 14.92 10.72 14.31 14.85 14.85
Great Lakes SmidCap (55 bps)14,764,294 2.0 -1.36 0.31 N/A N/A N/A N/A N/A N/A N/A -2.04 05/01/2019
Russell 2500 Index -4.00 -3.00 -5.72 15.67 -7.14 9.04 7.06 11.56 12.65 -3.51
Reinhart Partners (65 bps)14,917,744 2.0 -1.49 -1.53 N/A N/A N/A N/A N/A N/A N/A 1.26 05/01/2019
Russell 2500 Index -4.00 -3.00 -5.72 15.67 -7.14 9.04 7.06 11.56 12.65 -3.51
Total Small Cap Equity Composite 47,874,674 6.5 -3.51 -2.32 -5.60 16.52 -7.43 9.87 7.68 11.08 11.82 9.64 07/01/2008
Lee Munder (70 bps)24,412,657 3.3 -4.15 -3.09 -8.46 12.90 -10.81 5.60 6.40 10.51 11.26 8.65 09/01/2005
Russell 2000 Value Index -5.58 -5.43 -12.73 7.31 -14.89 5.05 4.63 9.12 10.05 6.12
Loomis Small Cap (90 bps)23,462,017 3.2 -2.83 -1.50 -2.42 20.54 -3.80 17.09 12.28 14.98 N/A 14.98 09/01/2012
Russell 2000 Growth Index -4.32 -3.38 -8.89 16.30 -11.02 10.62 8.06 12.03 13.06 12.03
Page 8
Asset Allocation & Performance
Total Fund Composite
As of August 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 102,517,034 13.9 -3.50 -3.70 -2.86 11.65 -3.17 6.25 3.16 6.67 6.43 3.49 07/01/2008
Total International Equity Index -3.07 -4.21 -3.26 9.20 -2.78 6.38 1.85 5.55 4.74 2.11
Lazard (75 bps)36,764,213 5.0 -3.16 -4.44 -1.76 9.34 -0.90 6.83 3.38 7.53 7.59 5.30 09/01/2006
MSCI AC World ex USA -3.07 -4.21 -3.26 9.20 -2.78 6.38 1.85 5.66 5.19 3.39
Pictet (65 bps)46,773,862 6.3 -4.31 -3.58 -6.34 12.98 -7.52 5.19 3.10 6.76 5.87 1.11 01/01/2008
MSCI EAFE Index -2.58 -3.80 -3.63 10.14 -2.75 6.44 2.38 6.63 5.49 1.66
Berkeley Street (95 bps)18,978,959 2.6 -2.15 -2.53 4.47 12.97 4.37 8.08 3.07 N/A N/A 4.46 11/01/2012
MSCI Emerging Markets Index -4.85 -5.93 -3.51 4.21 -3.99 6.15 0.75 3.37 4.43 2.65
Total Long/Short Equity Composite 44,939,770 6.1 0.00 1.43 0.60 9.39 -0.13 5.21 3.44 4.61 N/A 4.20 10/01/2010
ABS Global (100 bps)44,939,770 6.1 0.00 1.43 0.60 9.39 -0.13 5.21 3.55 6.07 N/A 5.06 10/01/2010
HFRI FOF: Strategic Index -1.16 -1.13 -0.51 6.37 -1.29 3.66 1.90 3.68 3.07 2.79
Total Domestic Fixed Income 215,874,219 29.2 2.50 2.96 10.65 9.65 10.17 3.74 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)140,727,789 19.0 2.64 3.09 11.11 9.65 10.47 3.50 3.77 3.15 N/A 4.14 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 2.59 2.82 10.89 9.10 10.17 3.09 3.35 2.82 3.91 3.79
Loomis Fixed Income (30 bps)75,146,431 10.2 2.27 2.75 9.88 9.67 9.67 4.21 3.69 4.23 N/A 5.83 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 2.59 2.82 10.89 9.10 10.17 3.09 3.35 2.82 3.91 3.83
Total Global Fixed 35,902,972 4.9 -5.03 -3.40 1.26 -0.15 2.90 3.20 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)35,902,972 4.9 -5.03 -3.40 1.26 -0.15 2.90 3.25 0.54 2.09 N/A 2.67 04/01/2010
JPM Global Government Bond Index 2.95 2.50 10.18 8.01 8.95 1.86 1.73 1.13 2.37 2.60
Page 9
Asset Allocation & Performance
Total Fund Composite
As of August 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 72,884,509 9.9 0.00 0.00 6.10 3.87 8.50 9.04 N/A N/A N/A 9.04 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 4.23 2.43 6.41 7.57 9.76 10.52 9.88 7.57
Morgan Stanley (84 bps)44,209,752 6.0 0.00 0.00 6.03 3.71 8.38 9.27 11.48 12.35 11.35 6.50 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 4.23 2.43 6.41 7.57 9.76 10.52 9.88 5.23
Prudential PRISA II (85 bps)19,025,075 2.6 0.00 0.00 4.99 3.48 7.39 8.67 11.11 11.91 N/A 12.02 10/01/2011
NCREIF Property Index 0.00 0.00 4.76 3.34 6.51 6.89 8.83 9.44 9.25 9.42
JPM Euro Property 117,592 0.0 0.00 0.00 -22.05 -21.90 -18.48 -0.64 1.68 1.42 -1.48 -1.20 04/01/2009
NCREIF Property Index 0.00 0.00 4.76 3.34 6.51 6.89 8.83 9.44 9.25 8.31
Total Cash Composite 3,213,851 0.4
Cash and Equivalents Account (No fee)5,525 0.0
Private Markets Cash 3,208,326 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 6.13 3.22 7.64 4.24 7.44 N/A N/A 7.43 08/27/2014
Alidade Capital Fund IV 0.00 0.00 3.98 3.75 5.38 N/A N/A N/A N/A 3.89 04/20/2017
Walton Street Real Estate 0.00 0.00 7.52 4.52 9.70 N/A N/A N/A N/A 11.69 05/24/2017
AEW Real Estate 0.00 0.00 19.88 9.74 21.42 N/A N/A N/A N/A 8.41 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 5.34 3.80 7.08 N/A N/A N/A N/A 6.82 12/07/2017
Dune Real Estate IV 0.00 N/A N/A N/A N/A N/A N/A N/A N/A 0.00 08/22/2019
Comparative Performance - IRR
Alternative Investments
As of August 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
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