HomeMy WebLinkAboutReports - 2019.09.19 - 32245<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="1" EffectiveDate="06/30/2019" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending June 30, 2019
August 2, 2019
Oakland County ERS
Superseding Trust
Executive Summary Page 1
Asset Allocation Vs. Policy Targets Page 11
Asset Allocation Pie Charts Page 12
Historical Asset Allocation Page 14
Performance Review Trailing Periods Page 16
Total Fund Analysis Page 18
SSgA S&P 500 Page 20
CS McKee Page 22
Historical Hybrid Composition Page 24
Definitions & Disclosure Pages Page 25
Table Of Contents
EXECUTIVE SUMMARY: 2Q 2019
Market Summary:
Broad asset class returns were positive during the 2nd quarter of 2019 with equity and fixed income markets building upon their 1st quarter gains.
Equity indices rose during April as trade negotiations appeared to be improving; however, discussions between the US and China deteriorated in
May, provoking additional tariffs and a sharp decline in equities. Softening economic data, stubbornly low inflation, and fear of a trade war induced
global slowdown drove the Federal Reserve (Fed) to communicate a shift in their position, favoring more accommodative policies. This change in
central bank posture caused the equity markets to rebound strongly, ending the quarter in positive territory. Fixed income returns were also
positive during the quarter as the prospect of more accommodative monetary policies pushed interest rates lower and bond prices higher. Within
the domestic equity markets, large caps out performed small caps during the quarter; the developed markets bested the emerging markets over
this period. Fixed income also provided attractive returns as a more dovish stance from the Fed and other global central banks pushed interest
rates lower across the yield curve. Over the past year all of the major asset classes generated positive returns with the exception of the US small
caps, down 3.3% (Russell 2000).
Conclusions/Recommendations:
1. The Total Fund returned 3.79% during the quarter, ranking in the top decile of the public fund universe, but trailing the Policy Index by 0.17%.
The large allocation to the S&P 500 has helped the Fund perform well versus the peer group.
2. The Total Fund posted a return of 9.40% over the past year, trailing the Policy Index by 47 basis points and ranking near the top of the peer
group.
3. CS McKee performed in line with the BB US Aggregate Index this quarter. The manager ranked in the bottom quartile of the peer group, but
trailed the median manager by only 13 basis points; the dispersion of returns among core fixed income managers was very narrow this
quarter. Longer-term, the manager exceeds performance expectations.
4. At quarter end both allocations were within policy ranges and near target allocations.
5. AndCo does not have any recommendations at this time.
Page 1
2nd Quarter 2019 Market Environment
Page 2
Broad asset class returns were positive during the 2nd quarter of 2019 with
both equity and fixed income indices extending their year-to-date gains.US
stocks outperformed international stocks during a very volatile quarter.Equity
indices rose to start the period as progress in global trade negotiations
outweighed signs of weakness in macroeconomic data.However,trade
discussions between the US and China fell apart in May prompting increased
tariffs and sharp declines in equity markets.The softening in economic data,
stubbornly low inflation and the threat of slower future growth caused by
ongoing disruption in trade led the Federal Reserve (Fed)to communicate a
shift toward a more accommodative policy stance.This change in central bank
posture caused markets to rebound strongly,ending the quarter higher for the
period.Fixed income returns were also positive during the quarter as the
prospect of more accommodative monetary policy pushed interest rates lower,
increasing bond prices.Within domestic equity markets,large cap stocks
outperformed small cap equities during the quarter with the S&P 500 Index
returning 4.3%versus a 2.1%return on the small cap Russell 2000 Index.US
equity returns over the 1-year period were positive within large and mid cap
stocks,returning 10.4%and 7.8%respectively,but small cap stocks posted a
loss,falling -3.3%.
Similar to US markets,international markets were volatile during the 2nd
quarter as investors reacted to mixed economic data,heightened geopolitical
uncertainly,particularly around the outlook for global trade and Brexit,and
increased accommodation in central bank policy with the European Central
Bank (ECB)and People’s Bank of China (PBoC)pledging additional stimulus if
needed.Developed markets outperformed emerging markets during the period
with the MSCI EAFE Index returning 3.7%versus a 0.6%return on the MSCI
Emerging Markets Index.Both developing and emerging markets posted
modest gains over the 1-year period,returning 1.1%and 1.2%respectively.
Fixed income returns were in line with equities during the 2nd quarter.The
broad market Bloomberg Barclays Aggregate Index returned 3.1%as a more
dovish stance from the Fed and other global central banks pushed interest
rates lower across the US Treasury Yield Curve.The curve steepened but
remained inverted with shorter-term maturities paying higher interest rates
than those in the middle of the curve.Investment grade corporate issues were
the best performing securities for the second quarter in a row,outperforming
Treasury and securitized issues.The Bloomberg Barclays Corporate IG Index
returned 4.5%for the period,as corporate credit had tailwinds due to greater
interest rate sensitivity,higher yields and tightening credit spreads.Corporate
issues also outperformed the other major fixed income sectors over the 1-year
period,returning 10.7%versus a 7.9%return for the Bloomberg Barclays
Aggregate Index.
Source: Investment Metrics
The Market Environment
Major Market Index Performance
As of June 30, 2019
0.6%
4.5%
2.0%
2.9%
3.0%
3.1%
2.1%
4.1%
4.2%
4.1%
4.3%
0.6%
3.7%
3.0%
0.0%1.0%2.0%3.0%4.0%5.0%
3-Month T-Bill
Bbg Barclays Corp IG
Bbg Barclays MBS
Bbg Barclays US TIPS
Bbg Barclays US Govt
Bbg Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Quarter Performance
2.3%
10.7%
6.2%
4.8%
7.2%
7.9%
-3.3%
7.8%
10.0%
9.0%
10.4%
1.2%
1.1%
1.3%
-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%10.0%12.0%
3-Month T-Bill
Bbg Barclays Corp IG
Bbg Barclays MBS
Bbg Barclays US TIPS
Bbg Barclays US Govt
Bbg Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
1-Year Performance
Page 3
Source: Investment Metrics
The Market Environment
Domestic Equity Style Index Performance
As of June 30, 2019
US equity index returns were modestly positive across the style and
capitalization spectrum for the 2nd quarter.Corporate earnings reported during
the quarter surprised to the upside,but economic data released during the
period showed signs of slowing growth.Developments around global trade were
particularly prominent during the period,heavily influencing market sentiment.
Positive developments in trade negotiations with China came to an abrupt halt in
May leading the US to increase tariffs on $200 billion of Chinese imports from
10%to 25%and announce that the US would consider tariffs on the remaining
$300 billion in goods imported from China.China retaliated by increasing the
tariff range on $60 billion of US goods from 5-10%to 5-25%.Additionally,the
US instituted a ban on sales of technology equipment to Chinese
telecommunications firm Huawei citing national security risks.China is expected
to take similar action in retaliation although nothing has been announced.Trade
talks are ready to resume and both sides have agreed to cease escalations
following a meeting between President Trump and President Jinping at the G20
summit held at the end of the quarter.In addition,President Trump threatened a
5%tariff on all Mexican imports as a tact to reduce the level of illegal
immigration at the US border with Mexico,and US waivers on sanctions for
Iranian oil ended leading to increased tensions in the region that were further
escalated after Iran downed a US drone.Despite these headwinds,markets
rose following comments from an increasingly accommodative Fed as investors
priced in greater odds of easy monetary policy going forward.
During the quarter,higher market cap stocks outperformed lower market cap
stocks across the style spectrum with the only exception being the
outperformance of mid cap growth stocks relative to large cap growth stocks.
The large cap Russell 1000 Index gained 4.2%during the period versus a 4.1%
return for the Russell MidCap Index and a 2.1%gain on the small cap Russell
2000 Index as market participants may be moving toward the relative safety of
large cap names as the economy continues to show growing signs of weakness.
When viewed over the most recent 1-year period,large cap stocks outperformed
relative to small cap stocks.The Russell 1000 returned 10.0%for the year while
the Russell 2000 fell -3.3%.
Growth indices outperformed value indices across the market cap spectrum
during the 2nd quarter.Growth stocks have outperformed value in nine of the
last ten quarters.The Russell MidCap Growth Index was the best performing
style index for the period,returning 5.4%for the quarter with the small cap value
index posting the lowest relative return,a gain of 1.4%.The trend of growth
outperformance is also visible over the 1-year period as growth indices have
benefitted from larger exposures to technology which has been a large driver of
index performance over the last year,as well as a meaningful underweight to
energy which has been a relative detractor.
2.7%
2.1%
1.4%
5.4%
4.1%
3.2%
4.6%
4.2%
3.8%
4.5%
4.1%
3.7%
0.0%2.0%4.0%6.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
Quarter Performance -Russell Style Series
-0.5%
-3.3%
-6.2%
13.9%7.8%
3.7%
11.6%
10.0%
8.5%
10.6%
9.0%
7.3%
-10.0%-5.0%0.0%5.0%10.0%15.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
1-Year Performance -Russell Style Series
Page 4
Sector performance was broadly positive across large cap sectors for the 2nd
quarter.There were gains for ten out of eleven sectors within the Russell 1000
Index during the period with four sectors outpacing the return of the index.
Cyclical sectors such as technology,industrials and consumer discretionary
were some of the best performers through the quarter returning 5.8%,4.2%
and 5.1%respectively.Financials also outperformed,returning 7.9%,as
investors weighed the benefits of continued economic expansion due to easing
monetary policy against the effects of lower interest rates on bank earnings.
More defensive higher yielding sectors such as consumer staples,real estate
and utilities underperformed for the quarter returning 3.5%,1.8%and 3.4%
respectively.The energy sector was the only large cap sector to post a
negative return during the quarter,falling -3.6%,as headwinds from
weakening economic data and low oil and natural gas prices weighed on 1st
quarter earnings.Health care stocks also lagged as continued discussions in
Washington around the potential for increased regulation on drug pricing acted
as a headwind.Returns over the 1-year period were positive with nine out of
eleven sectors posting gains,six of which were over 10%.Defensive sectors
such as utilities,REITs and consumer staples performed well returning 19.5%,
13.9%and 15.5%respectively.Technology returns were also strong gaining
18.6%.Energy and materials were the only sectors to post negative results
over the 1-year period with energy falling -14.9%and materials returning -
0.1%.
Quarterly results for small cap sectors were generally worse than their large
capitalization counterparts with only two of eleven sectors (industrials and
utilities)outperforming their corresponding large cap equivalents.Five of
eleven sectors produced gains during the period with four of eleven economic
sectors outpacing the Russell 2000 Index return for the quarter.Similar to
large caps,cyclical sectors performed well on hopes that any Fed policy
easing would counteract the recent weakness in economic growth.The
industrials sector performed particularly well returning 8.2%,financials posted
a 5.1%gain and technology returned 3.1%.Utilities also outperformed
returning 5.2%.The largest detractors over the period were energy and
communication services which returned -8.7%and -6.0%respectively.Over
the trailing 1-year period,returns were broadly negative.Utilities and
technology were relative bright spots returning 18.2%and 11.1%.The energy
sector was an outlier in terms of negative returns losing -37.6%during the
period.There were also notable losses in materials and consumer staples with
materials losing -13.0%and consumer staples falling -11.1%.
The Market Environment
GICS Sector Performance & (Sector Weight)
As of June 30, 2019
Source: Morningstar Direct
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication
Services sector.
19.5%
13.9%
-0.1%
18.6%
10.1%
12.9%
6.1%
-14.9%
15.5%
8.9%
5.0%
3.4%
1.8%
4.1%
5.8%
4.2%
1.6%
7.9%
-3.6%
3.5%
5.1%
4.6%
-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%
Utilities (3.2%)
Real Estate (3.8%)
Materials (2.9%)
Info Technology (21.7%)
Industrials (9.8%)
Health Care (13.8%)
Financials (13.2%)
Energy (4.9%)
Consumer Staples (6.8%)
Consumer Disc (10.3%)
Comm Services (9.7%)
Russell 1000 Quarter 1-Year
18.2%
1.7%
-13.0%
11.1%
-0.8%
-6.7%
-3.8%
-37.6%
-11.1%
-6.8%
-1.3%
5.2%
1.1%
-0.4%
3.1%
8.2%
-0.2%
5.1%
-8.7%
-3.2%
-0.6%
-6.0%
-40.0%-30.0%-20.0%-10.0%0.0%10.0%20.0%
Utilities (3.8%)
Real Estate (7.6%)
Materials (3.8%)
Info Technology (15.5%)
Industrials (14.6%)
Health Care (15.6%)
Financials (17.6%)
Energy (3.5%)
Consumer Staples (2.8%)
Consumer Disc (12.0%)
Comm Services (3.3%)
Russell 2000 Quarter 1-Year
Page 5
The Market Environment
Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000
As of June 30, 2019
Source: Morningstar Direct
Top 10 Weighted Stocks Top 10 Weighted Stocks
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
Microsoft Corp 3.71%14.0%37.5%Information Technology Array BioPharma Inc 0.48%90.0%176.1%Health Care
Apple Inc 3.44%4.6%8.6%Information Technology The Trade Desk Inc A 0.37%15.1%142.8%Information Technology
Amazon.com Inc 2.85%6.3%11.4%Consumer Discretionary Etsy Inc 0.36%-8.7%45.5%Consumer Discretionary
Facebook Inc A 1.68%15.8%-0.7%Communication Services Coupa Software Inc 0.35%39.2%103.4%Information Technology
Berkshire Hathaway Inc B 1.51%6.1%14.2%Financials Five Below Inc 0.32%-3.4%22.8%Consumer Discretionary
Johnson & Johnson 1.37%0.3%17.9%Health Care Planet Fitness Inc A 0.31%5.4%64.9%Consumer Discretionary
JPMorgan Chase & Co 1.35%11.3%10.3%Financials HubSpot Inc 0.31%2.6%36.0%Information Technology
Alphabet Inc Class C 1.20%-7.9%-3.1%Communication Services Haemonetics Corp 0.30%37.6%34.2%Health Care
Exxon Mobil Corp 1.19%-4.1%-3.3%Energy Woodward Inc 0.30%19.4%48.0%Industrials
Alphabet Inc A 1.18%-8.0%-4.1%Communication Services Ciena Corp 0.29%10.1%55.1%Information Technology
Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
Adient PLC 0.01%87.3%-50.0%Consumer Discretionary Iovance Biotherapeutics Inc 0.13%157.8%91.6%Health Care
Anadarko Petroleum Corp 0.13%55.8%-1.6%Energy Arqule Inc 0.06%129.9%99.1%Health Care
Cypress Semiconductor Corp 0.03%49.8%46.9%Information Technology Adverum Biotechnologies Inc 0.03%126.9%124.3%Health Care
Okta Inc A 0.04%49.3%145.2%Information Technology Chimerix Inc 0.01%105.7%-9.2%Health Care
Erie Indemnity Co Class A 0.02%43.2%122.5%Financials Enphase Energy Inc 0.08%97.5%170.9%Information Technology
Heico Corp 0.02%41.1%83.9%Industrials Maxar Technologies Inc 0.02%94.8%-84.0%Industrials
Legg Mason Inc-LeggMason RETAIL 0.01%39.9%14.4%Financials Array BioPharma Inc 0.48%90.0%176.1%Health Care
Exact Sciences Corp 0.05%36.3%97.4%Health Care Melinta Therapeutics Inc 0.00%87.3%-79.1%Health Care
Caesars Entertainment Corp 0.02%36.0%10.5%Consumer Discretionary G1 Therapeutics Inc 0.03%84.7%-29.5%Health Care
Ardagh Group SA 0.00%35.9%9.6%Materials Foundation Building Materials Inc 0.01%80.7%15.6%Industrials
Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)
Russell 1000 Weight 1-Qtr
Return
1-Year
Return Sector Russell 2000 Weight 1-Qtr
Return
1-Year
Return Sector
2U Inc 0.01%-46.9%-55.0%Information Technology FuelCell Energy Inc 0.00%-94.0%-98.9%Industrials
Alkermes PLC 0.01%-38.2%-45.2%Health Care Halcon Resources Corp 0.00%-86.9%-96.0%Energy
Range Resources Corp 0.01%-37.7%-58.0%Energy Pioneer Energy Services Corp 0.00%-85.7%-95.7%Energy
Antero Resources Corp 0.00%-37.4%-74.1%Energy Eros International PLC 0.00%-85.2%-89.6%Communication Services
Chesapeake Energy Corp 0.01%-37.1%-62.8%Energy Superior Energy Services Inc 0.01%-72.2%-86.7%Energy
RPC Inc 0.00%-36.5%-48.8%Energy electroCore Inc 0.00%-71.4%-87.9%Health Care
Realogy Holdings Corp 0.00%-35.8%-67.4%Real Estate Ultra Petroleum Corp 0.00%-70.5%-92.2%Energy
The Chemours Co 0.02%-34.7%-44.2%Materials Nuvectra Corp 0.00%-69.6%-83.7%Health Care
United Therapeutics Corp 0.01%-33.5%-31.0%Health Care Dean Foods Co 0.00%-69.5%-91.1%Consumer Staples
Mylan NV 0.04%-32.8%-47.3%Health Care Kirkland's Inc 0.00%-67.9%-80.6%Consumer Discretionary
Page 6
Source: MSCI Global Index Monitor (Returns are Net)
Broad international equity returns were positive for the quarter in both local
currency and USD terms.The MSCI ACWI ex US Index gained 2.1%in local
currency terms and 3.0%in US dollar (USD)terms during the 2nd quarter.
Similar to US markets,international equity investors balanced difficulties
around global trade with central bank shifts toward more accommodative
policies as a response to slowing global growth.Notably the ECB President
Mario Draghi stated that further monetary policy action may need to be taken if
inflation remains below target and the PBoC launched stimulus measures
designed to encourage growth following the deterioration of trade negotiations
with the US.Returns in USD largely outperformed those in local currency
during the quarter as the USD depreciated against most major developed
currencies following dovish Fed comments in June.However,the recent USD
strength can still be seen over the 1-year period with USD returns trailing most
local currency returns.Returns for the MSCI ACWI ex US Index were 2.2%in
local currency terms and 1.3%in USD terms for the trailing year.
Results for developed market international indices were positive in both local
currency and USD terms during the 2nd quarter,with the MSCI EAFE Index
returning 2.8%and 3.7%respectively.Outside of central bank policy and
trade,there was notable news out of the UK with Prime Minister Theresa May
resigning from her post after her Brexit withdrawal plan failed to gain
parliamentary approval and a new vote for the office is currently underway.UK
markets were pressured by continued uncertainty around Brexit with the UK
having until October to strike an agreement with the European Union (EU)or
withdraw with no agreement in place.Despite the growing uncertainty,the
Bank of England (BoE)left monetary policy unchanged.Japan also
underperformed as the yen appreciated due to its perceived safe haven status
and trade headwinds were expected to affect its export driven economy.The
MSCI EAFE Index returned 2.2%and 1.1%for the last twelve months in local
currency and USD terms respectively.
Emerging markets underperformed relative to developed markets for the 2nd
quarter,slightly appreciating in both local currency and USD terms.The MSCI
Emerging Markets Index gained 0.2%and 0.6%respectively.As expected,
geopolitical tensions around trade put pressure on emerging market stocks,
with Chinese equities underperforming relative to most countries.Latin
American stocks performed well with Brazil and Argentina posting strong
returns as commodity prices appreciated from recent lows at the end of 2018
and interest rates fell.Russian equities also performed well,benefiting from
increasing commodity prices,but also had a tailwind from a decrease in the
likelihood of future US sanctions.One year returns for the MSCI Emerging
Market Index were 1.8%in local currency terms and 1.2%in USD terms.
The Market Environment
International and Regional Market Index Performance (Country Count)
As June 30, 2019
3.2%
-1.2%
5.1%
0.2%
0.8%
4.0%
2.8%
2.8%
2.1%
4.4%
-1.3%
7.2%
0.6%
2.4%
4.4%
3.7%
3.8%
3.0%
-2.0%0.0%2.0%4.0%6.0%8.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
Quarter Performance USD Local Currency
18.1%
-1.7%
9.3%
1.8%
-1.1%
4.2%
2.2%
2.2%
2.2%
18.5%
-2.3%
6.7%
1.2%
-0.2%
1.8%
1.1%
1.3%
1.3%
-5.0%0.0%5.0%10.0%15.0%20.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
1-Year Performance USD Local Currency
Page 7
The Market Environment
US Dollar International Index Attribution & Country Detail
As of June 30, 2019
Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication
Services sector.
MSCI -EAFE Sector Weight Quarter Return 1-Year Return
Communication Services 5.4%4.0%4.3%
Consumer Discretionary 11.1%5.9%-2.6%
Consumer Staples 11.7%1.9%4.8%
Energy 5.6%0.4%-5.5%
Financials 18.9%4.3%-2.9%
Health Care 11.2%2.0%7.5%
Industrials 14.8%5.9%2.4%
Information Technology 6.7%6.6%2.7%
Materials 7.4%3.9%0.2%
Real Estate 3.6%-2.2%2.3%
Utilities 3.6%1.5%9.8%
Total 100.0%3.7%1.1%
MSCI -ACWIxUS Sector Weight Quarter Return 1-Year Return
Communication Services 6.9%1.0%5.6%
Consumer Discretionary 11.3%3.8%-3.6%
Consumer Staples 9.8%2.2%4.6%
Energy 7.2%0.5%-1.4%
Financials 21.9%4.4%2.0%
Health Care 8.3%1.2%4.2%
Industrials 11.9%5.2%2.9%
Information Technology 8.5%4.0%-0.7%
Materials 7.6%2.9%-0.5%
Real Estate 3.3%-1.6%4.3%
Utilities 3.3%2.2%10.1%
Total 100.0%3.0%1.3%
MSCI -Emerging Mkt Sector Weight Quarter Return 1-Year Return
Communication Services 11.7%-2.4%4.5%
Consumer Discretionary 13.5%-1.2%-7.6%
Consumer Staples 6.6%3.3%0.9%
Energy 7.9%1.2%16.3%
Financials 25.2%4.0%11.9%
Health Care 2.6%-6.6%-24.7%
Industrials 5.3%0.0%4.1%
Information Technology 13.9%-0.1%-6.1%
Materials 7.6%-1.2%-1.9%
Real Estate 3.0%-0.2%10.1%
Utilities 2.7%2.9%9.0%
Total 100.0%0.6%1.2%
MSCI-EAFE MSCI-ACWIxUS Quarter 1-Year
Country Weight Weight Return Return
Japan 23.7%15.8%1.0%-4.2%
United Kingdom 16.8%11.2%0.9%-2.1%
France 11.4%7.6%6.5%3.0%
Switzerland 9.3%6.2%8.4%19.8%
Germany 8.8%5.9%7.1%-3.8%
Australia 7.1%4.8%7.3%6.6%
Hong Kong 4.0%2.7%1.0%10.4%
Netherlands 3.6%2.4%5.8%5.3%
Spain 3.0%2.0%2.6%-2.1%
Sweden 2.7%1.8%4.9%3.4%
Italy 2.3%1.6%2.9%-0.7%
Denmark 1.7%1.1%1.6%5.8%
Singapore 1.4%0.9%7.0%8.3%
Finland 1.0%0.7%0.2%-4.7%
Belgium 1.0%0.7%1.2%-9.1%
Norway 0.7%0.5%2.4%-4.3%
Israel 0.6%0.4%-3.6%-4.5%
Ireland 0.5%0.4%4.7%-9.2%
New Zealand 0.3%0.2%3.9%16.0%
Austria 0.2%0.2%0.8%-13.1%
Portugal 0.2%0.1%1.6%-4.6%
Total EAFE Countries 100.0%66.8%3.7%1.1%
Canada 6.8%4.9%3.3%
Total Developed Countries 73.6%3.8%1.3%
China 8.3%-4.0%-6.7%
Korea 3.3%-1.0%-9.1%
Taiwan 2.9%0.9%1.1%
India 2.4%0.5%7.9%
Brazil 2.0%7.2%39.4%
South Africa 1.6%6.6%-0.8%
Russia 1.1%16.9%27.1%
Thailand 0.8%9.3%19.8%
Saudi Arabia 0.8%0.6%11.0%
Mexico 0.7%1.1%-7.4%
Indonesia 0.6%3.2%20.3%
Malaysia 0.6%1.2%-0.8%
Philippines 0.3%4.4%19.7%
Poland 0.3%3.5%10.5%
Qatar 0.3%0.6%18.8%
Chile 0.2%-5.6%-12.1%
United Arab Emirates 0.2%-2.7%3.0%
Turkey 0.1%2.8%-17.1%
Colombia 0.1%-2.4%-3.7%
Peru 0.1%-1.9%3.5%
Argentina 0.1%31.7%15.8%
Greece 0.1%16.2%-9.2%
Hungary 0.1%-4.1%12.7%
Czech Republic 0.0%2.6%1.1%
Egypt 0.0%7.8%5.4%
Pakistan 0.0%-20.8%-36.7%
Total Emerging Countries 26.4%0.6%1.2%
Total ACWIxUS Countries 100.0%3.0%1.3%
Page 8
Source: Bloomberg
The Market Environment
Domestic Bond Sector & Broad/Global Bond Market Performance (Duration)
As of June 30, 2019
Broad fixed income benchmarks built on their early 2019 gains during the 2nd
quarter.During the 1st quarter,the Federal Open Market Committee (FOMC)
reacted to a difficult end to 2018 by issuing guidance that the FOMC is no
longer projecting any further interest rate increases through 2019.Federal
Reserve Chair Jerome Powell also stated that the Fed would begin tapering
the roll off from the planned balance sheet reduction program in May with a
plan to halt the program entirely in September.The stoppage of the balance
sheet reduction program represents an easing of monetary policy.The Fed
took an increasingly dovish stance during the 2nd quarter reacting to softening
economic data,tepid inflation and increased risks around global trade.While
the committee left interest rates unchanged,the minutes from the June FOMC
meeting indicate that the committee felt “downside risks to the outlook for
economic activity had risen materially”during the quarter with several
participants noting that a “near-term cut in the target range for the Federal
Funds Rate could help cushion the effects of possible future adverse shocks to
the economy”.These comments led market participants to forecast greater
odds of an interest rate cut this year,pushing markets higher.Interest rates
fell across all maturities on the US Treasury Yield Curve with the greatest
declines occurring in the mid-and long-term issues.The curve remains
inverted with short-term maturities paying higher interest rates than issues in
the mid-to long-end of the curve.The bellwether Bloomberg Barclays US
Aggregate Index posted positive returns for both the 1st quarter and the 1-year
period,returning 3.1%and 7.9%respectively.
Within investment grade credit,lower quality issues outperformed higher
quality issues as investors gravitated toward higher risk securities during the
quarter.Lower quality issues also benefitted from their higher durations.On an
absolute basis,without negating the duration differences in the sub-indices,
Baa rated credit was the best performing investment grade credit quality
segment returning 4.8%for the quarter,while AAA was the worst performing,
returning 2.6%.High yield issues returned 2.5%for the quarter as these issues
did not commensurately benefit from the drop in interest rates due to their
lower durations.Returns over the 1-year period generally show lower quality
securities outperforming higher quality issues.
Investment grade corporates outperformed the more defensive Treasury and
mortgage backed sectors of the Bloomberg Barclays US Aggregate Index’s
three broad sectors during the 2nd quarter.Investment grade corporate credit
returned 4.5%,as falling interest rates benefitted these securities to a greater
degree and credit spreads have continued to tighten since the end of 2018.
When viewed over the 1-year period,corporate credit outperformed both
Treasuries and mortgage backed securities.Corporate issues returned 10.7%
versus a 6.2%return for mortgages and 7.2%gain on Treasury securities.
3.3%
3.4%
2.4%
3.1%
2.9%
4.5%
2.0%
3.0%
2.5%
4.8%4.2%
3.3%
2.6%
0.0%1.0%2.0%3.0%4.0%5.0%
Multiverse (6.9)
Global Agg x US (8.2)
Intermediate Agg (3.7)
Aggregate (5.7)
U.S. TIPS (1.1)
U.S. Corporate IG (7.6)
U.S. Mortgage (3.2)
U.S. Treasury (6.4)
U.S. High Yield (3.2)
Baa (7.7)
A (7.6)
AA (6.4)
AAA (5.0)
Quarter Performance
6.0%
4.1%
6.7%
7.9%
4.8%
10.7%
6.2%
7.2%
7.5%
11.4%10.1%
8.5%
6.9%
0.0%2.0%4.0%6.0%8.0%10.0%12.0%
Multiverse (6.9)
Global Agg x US (8.2)
Intermediate Agg (3.7)
Aggregate (5.7)
U.S. TIPS (1.1)
U.S. Corporate IG (7.6)
U.S. Mortgage (3.2)
U.S. Treasury (6.4)
U.S. High Yield (3.2)
Baa (7.7)
A (7.6)
AA (6.4)
AAA (5.0)
1-Year Performance
Page 9
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)
The Market Environment
Market Rate & Yield Curve Comparison
As of June 30, 2019
Global fixed income returns were in line with their domestic counterparts,
slightly outperforming during the 2nd quarter.These indices have lower,or in
some cases (Germany,Japan),negative yields,but have higher durations.
The returns of these indices are also significantly influenced by fluctuations in
their currency denomination relative to the USD.The USD depreciated against
most other developed currencies,acting as a tailwind to global bond indices.
The return on global bonds,as represented by the Bloomberg Barclays Global
Aggregate ex US Index,was 3.4%.Global bonds still trail over the 1-year
period with the Global Aggregate ex US Index returning 4.1%versus a 7.9%
return on the domestically focused Barclays Aggregate Index.As global growth
has shown signs of stalling,several international central banks have started to
step back from more restrictive postures.The ECB and the PBoC have moved
toward an easing of monetary policy and implemented various stimulus
programs designed to support their respective economies.The Bank of
England and the Bank of Japan made no major policy changes during the
quarter as they continue to review macroeconomic data within their respective
countries.
Much of the index performance detailed in the bar graphs on the previous
page is visible on a time series basis by reviewing the line graphs to the right.
The ‘1-Year Trailing Market Rates’chart illustrates that the 10-year Treasury
yield (green line)fell from recent high’s greater than 3.0%,to 2.0%to end the
quarter.The blue line illustrates changes in the BAA OAS (Option Adjusted
Spread).This measure quantifies the additional yield premium that investors
require to purchase and hold non-Treasury issues.This line illustrates an
abrupt increase in credit spreads during the 4th quarter of 2018 as investors
moved to higher quality assets during the quarter’s risk-off environment.
Subsequently,spreads dropped steadily until they rose again in May and then
later declined in June.This spread tightening is equivalent to an interest rate
decrease on corporate bonds,which produces an additional tailwind for
corporate bond index returns.These credit spreads have tightened by about 6
basis points over the last three months.The green band across the graph
illustrates the gradual increase in the Federal Funds Rate due to the tightening
of US monetary policy during 2018.There have been no changes to the
Federal Funds Rate in 2019.
The lower graph provides a snapshot of the US Treasury yield curve at the end
of each of the last four calendar quarters.The downward shift in interest rates
as well as a general steepening of the yield curve are clearly visible over the
last quarter.As mentioned,the yield curve continues to invert as yields on
shorter-term maturities fell less than interest rates in the middle-to long-end of
the curve.
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19
1-Year Trailing Market Rates
Fed Funds Rate TED Spread 3-Month Libor
BAA OAS 10yr Treasury 10yr TIPS
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
Treasury Yield Curve
9/30/2018 12/31/2018 3/31/2019 6/30/2019
Page 10
Executive Summary
Policy Target In Policy
0.0%15.0%30.0%45.0%60.0%75.0%90.0%100.0%
Total Fixed Income Composite (38.5%)
Total Equity Composite (61.5%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 14,629,763 100.0 100.0 -
Total Equity Composite 8,998,722 61.5 60.0 -220,864
Total Fixed Income Composite 5,631,041 38.5 40.0 220,864
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2019
Page 11
Asset Allocation By Segment as of
March 31, 2019 : $14,095,284
Asset Allocation By Segment as of
June 30, 2019 : $14,629,763
Allocation
Segments Market Value Allocation
Domestic Equity 8,628,542 61.2¢
Domestic Fixed Income 5,360,389 38.0¢
Cash Equivalent 106,353 0.8¢
Allocation
Segments Market Value Allocation
Domestic Equity 8,998,722 61.5¢
Domestic Fixed Income 5,513,033 37.7¢
Cash Equivalent 118,008 0.8¢
Asset Allocation Summary
Total Fund Composite
As of June 30, 2019
NONE
Page 12
Asset Allocation By Manager as of
March 31, 2019 : $14,095,284
Asset Allocation By Manager as of
June 30, 2019 : $14,629,763
Allocation
Market Value Allocation
SSgA S&P 500 8,628,542 61.2¢
CS McKee 5,466,742 38.8¢
Allocation
Market Value Allocation
SSgA S&P 500 8,998,722 61.5¢
CS McKee 5,631,041 38.5¢
Asset Allocation Summary
Total Fund Composite
As of June 30, 2019
NONE
Page 13
Asset Allocation Attributes
Jun-2019 Mar-2019 Dec-2018 Sep-2018 Jun-2018
($)%($)%($)%($)%($)%
Total Fund Composite 14,629,763 -14,095,284 -12,893,018 -14,008,441 -13,373,466 -
Total Equity Composite 8,998,722 -8,628,542 -7,592,913 -8,779,602 -8,152,194 -
SSgA S&P 500 8,998,722 -8,628,542 -7,592,913 -8,779,602 -8,152,194 -
Total Fixed Income Composite 5,631,041 -5,466,742 -5,300,105 -5,228,839 -5,221,272 -
CS McKee 5,631,041 -5,466,742 -5,300,105 -5,228,839 -5,221,272 -
Historical Asset Allocation
Total Fund
As of June 30, 2019
Page 14
Financial Reconciliation
Market Value
04/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
06/30/2019
Total Fund Composite 14,095,284 -2,351 --2,767 -45,023 489,872 14,629,763
Total Equity Composite 8,628,542 ----416 --370,596 8,998,722
SSgA S&P 500 8,628,542 ----416 --370,596 8,998,722
Total Fixed Income Composite 5,466,742 -2,351 --2,351 -45,023 119,276 5,631,041
CS McKee 5,466,742 -2,351 --2,351 -45,023 119,276 5,631,041
Financial Reconciliation
Total Fund
1 Quarter Ending June 30, 2019
Page 15
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite (Gross)14,629,763 100.0 3.79 (7)4.44 (24)13.48 (19)9.40 (2)9.70 (22)N/A N/A N/A 7.46 (7)04/01/2015
Total Fund Policy Index 3.96 (4)5.04 (12)13.64 (15)9.87 (1)9.51 (30)N/A N/A N/A 7.73 (5)
Difference -0.17 -0.60 -0.16 -0.47 0.19 N/A N/A N/A -0.27
All Public Plans-Total Fund Median 3.29 3.47 12.41 6.32 9.05 5.95 8.35 9.31 6.34
Total Fund Composite (Net)14,629,763 100.0 3.78 4.40 13.43 9.34 9.63 N/A N/A N/A 7.40 04/01/2015
Total Fund Policy Index 3.96 5.04 13.64 9.87 9.51 N/A N/A N/A 7.73
Difference -0.18 -0.64 -0.21 -0.53 0.12 N/A N/A N/A -0.33
Total Equity Composite 8,998,722 61.5 4.30 (50)2.51 (40)18.53 (44)10.40 (37)14.18 (41)N/A N/A N/A 10.77 (26)06/01/2015
S&P 500 Index 4.30 (50)2.51 (40)18.54 (43)10.42 (36)14.19 (40)10.71 (36)13.98 (47)14.70 (45)10.77 (26)
Difference 0.00 0.00 -0.01 -0.02 -0.01 N/A N/A N/A 0.00
IM U.S. Large Cap Core Equity (SA+CF) Median 4.28 2.01 18.03 9.03 13.60 10.25 13.89 14.50 9.87
SSgA S&P 500 8,998,722 61.5 4.30 (50)2.51 (40)18.53 (44)10.40 (37)14.18 (41)N/A N/A N/A 10.77 (26)06/01/2015
S&P 500 Index 4.30 (50)2.51 (40)18.54 (43)10.42 (36)14.19 (40)10.71 (36)13.98 (47)14.70 (45)10.77 (26)
Difference 0.00 0.00 -0.01 -0.02 -0.01 N/A N/A N/A 0.00
IM U.S. Large Cap Core Equity (SA+CF) Median 4.28 2.01 18.03 9.03 13.60 10.25 13.89 14.50 9.87
Total Fixed Income Composite 5,631,041 38.5 3.01 (80)7.69 (78)6.24 (63)7.85 (81)2.70 (56)N/A N/A N/A 3.00 (54)04/01/2015
Blmbg. Barc. U.S. Aggregate Index 3.08 (68)7.85 (64)6.11 (79)7.87 (79)2.31 (87)2.95 (88)2.62 (93)3.90 (94)2.62 (89)
Difference -0.07 -0.16 0.13 -0.02 0.39 N/A N/A N/A 0.38
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.14 7.93 6.44 8.12 2.80 3.29 3.11 4.60 3.03
CS McKee 5,631,041 38.5 3.01 (80)7.69 (78)6.24 (63)7.85 (81)2.70 (56)N/A N/A N/A 3.00 (54)04/01/2015
Blmbg. Barc. U.S. Aggregate Index 3.08 (68)7.85 (64)6.11 (79)7.87 (79)2.31 (87)2.95 (88)2.62 (93)3.90 (94)2.62 (89)
Difference -0.07 -0.16 0.13 -0.02 0.39 N/A N/A N/A 0.38
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.14 7.93 6.44 8.12 2.80 3.29 3.11 4.60 3.03
Asset Allocation & Performance
Total Fund Composite (Gross)
As of June 30, 2019
Page 16
Page Intentionally Left Blank Page 17
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Total Fund Composite 3.79 (7)4.44 (24)9.40 (2)9.19 (3)9.70 (22)8.42 (2)N/A
Total Fund Policy Index 3.96 (4)5.04 (12)9.87 (1)9.10 (3)9.51 (30)8.37 (2)N/A
Median 3.29 3.47 6.32 7.35 9.05 6.79 5.95
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Return2018 2017 2016 2015 2014
Total Fund Composite -2.49 (20)14.82 (57)8.30 (29)N/A N/A
Total Fund Policy Index -2.35 (18)14.21 (68)8.31 (29)N/A N/A
Median -4.16 15.21 7.60 -0.06 6.51
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
1 Qtr
Ending
Mar-2018
1 Qtr
Ending
Dec-2017
Total Fund Composite 9.33 (22)-7.96 (60)4.75 (3)2.08 (15)-0.91 (86)4.45 (7)
Total Fund Policy Index 9.31 (22)-7.56 (51)4.59 (3)1.99 (17)-0.97 (87)4.12 (17)
All Public Plans-Total Fund Median 8.38 -7.54 2.71 1.19 -0.28 3.64
As of June 30, 2019
Performance Review
Total Fund Composite
NONE
Page 18
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
4.0
6.0
8.0
10.0
12.0
Total Fund Composite (%)4.0 6.0 8.0 10.0 12.0
Total Fund Policy Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 6/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Total Fund Composite 6 5 (83%)1 (17%)0 (0%)0 (0%)
Total Fund Policy Index 6 4 (67%)2 (33%)0 (0%)0 (0%)
8.70
9.00
9.30
9.60
9.90
Return (%)7.04 7.12 7.20 7.28 7.36 7.44 7.52 7.60
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite 9.70 7.49
Total Fund Policy Index 9.51 7.21
Median 9.05 7.07¾
5.40
5.60
5.80
6.00
6.20
6.40
Return (%)6.6 6.8 7.0 7.2 7.4 7.6 7.8
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite N/A N/A
Total Fund Policy Index N/A N/A
Median 5.97 7.24¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite 0.46 103.37 105.38 -0.16 0.43 1.10 1.04 4.77
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.11 1.00 4.52
90 Day U.S. Treasury Bill 7.21 6.75 -5.71 1.36 -1.11 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite N/A N/A N/A N/A N/A N/A N/A N/A
Total Fund Policy Index N/A N/A N/A N/A N/A N/A N/A N/A
90 Day U.S. Treasury Bill N/A N/A N/A N/A N/A N/A N/A 0.01
As of June 30, 2019
Performance Review
Total Fund Composite
NONE
Page 19
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 4.30 (50)2.51 (40)10.40 (37)12.36 (39)14.18 (41)11.55 (25)N/A
S&P 500 Index 4.30 (50)2.51 (40)10.42 (36)12.38 (39)14.19 (40)11.55 (25)10.71 (36)
Median 4.28 2.01 9.03 11.61 13.60 10.43 10.25
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
Return2018 2017 2016 2015 2014
SSgA S&P 500 -4.40 (38)21.81 (51)11.98 (33)N/A N/A
S&P 500 Index -4.38 (37)21.83 (50)11.96 (34)1.38 (52)13.69 (44)
Median -5.23 21.83 10.52 1.43 13.42
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
1 Qtr
Ending
Mar-2018
1 Qtr
Ending
Dec-2017
SSgA S&P 500 13.65 (39)-13.52 (44)7.70 (36)3.43 (34)-0.76 (63)6.64 (52)
S&P 500 Index 13.65 (39)-13.52 (44)7.71 (34)3.43 (33)-0.76 (64)6.64 (51)
IM U.S. Large Cap Core Equity (SA+CF) Median 13.23 -13.84 7.15 2.90 -0.44 6.66
Performance Review
As of June 30, 2019
SSgA S&P 500
NONE
Page 20
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
Under Performance Earliest Date Latest Date
6.0
9.0
12.0
15.0
18.0
21.0
SSgA S&P 500 (%)6.0 9.0 12.0 15.0 18.0 21.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 6/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 5 0 (0%)5 (100%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)14 (70%)6 (30%)0 (0%)
13.40
13.60
13.80
14.00
14.20
14.40
Return (%)12.15 12.20 12.25 12.30 12.35 12.40 12.45
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 14.18 12.20
S&P 500 Index 14.19 12.21
Median 13.60 12.38¾
10.00
10.20
10.40
10.60
10.80
Return (%)10.64 10.71 10.78 10.85 10.92 10.99 11.06 11.13
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 N/A N/A
S&P 500 Index 10.71 10.74
Median 10.25 11.02¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.02 99.97 100.03 -0.01 -0.61 1.06 1.00 8.00
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.06 1.00 8.00
90 Day U.S. Treasury Bill 12.04 4.48 -2.76 1.38 -1.06 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 N/A N/A N/A N/A N/A N/A N/A N/A
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.85 1.00 7.49
90 Day U.S. Treasury Bill 11.93 3.03 -1.67 0.84 -0.85 N/A 0.00 0.01
Performance Review
As of June 30, 2019
SSgA S&P 500
NONE
Page 21
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
CS McKee 3.01 (79)7.69 (78)7.85 (81)3.96 (53)2.70 (56)3.43 (69)N/A
Bl. Barclays U.S. Aggregate 3.08 (68)7.85 (64)7.87 (79)3.65 (84)2.31 (87)3.22 (89)2.95 (89)
Median 3.14 7.93 8.12 3.98 2.79 3.62 3.29
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Return2018 2017 2016 2015 2014
CS McKee 0.32 (30)3.54 (84)2.85 (65)N/A N/A
Bl. Barclays U.S. Aggregate 0.01 (61)3.54 (85)2.65 (77)0.55 (74)5.97 (67)
Median 0.07 4.06 3.11 0.82 6.16
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
1 Qtr
Ending
Mar-2018
1 Qtr
Ending
Dec-2017
CS McKee 3.14 (57)1.36 (54)0.15 (59)0.03 (23)-1.20 (27)0.52 (45)
Blmbg. Barc. U.S. Aggregate Index 2.94 (83)1.64 (23)0.02 (83)-0.16 (73)-1.46 (68)0.39 (80)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.22 1.40 0.18 -0.09 -1.37 0.51
Performance Review
As of June 30, 2019
CS McKee
NONE
Page 22
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
0.6
1.2
1.8
2.4
3.0
CS McKee (%)0.6 1.2 1.8 2.4 3.0
Blmbg. Barc. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 6/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
CS McKee 6 0 (0%)1 (17%)5 (83%)0 (0%)
Bl. Barclays U.S. Aggregate 20 0 (0%)0 (0%)0 (0%)20 (100%)
2.20
2.40
2.60
2.80
3.00
Return (%)2.48 2.56 2.64 2.72 2.80 2.88 2.96 3.04 3.12
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 2.70 2.59
Bl. Barclays U.S. Aggregate 2.31 2.99
Median 2.79 2.94¾
2.80
3.00
3.20
3.40
Return (%)2.86 2.87 2.88 2.89 2.90 2.91 2.92
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee N/A N/A
Bl. Barclays U.S. Aggregate 2.95 2.91
Median 3.29 2.87¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 0.52 94.20 76.50 0.70 0.71 0.54 0.86 1.46
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.34 1.00 1.85
90 Day U.S. Treasury Bill 2.89 17.50 -16.03 1.29 -0.34 N/A 0.03 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.73 1.00 1.63
90 Day U.S. Treasury Bill 2.87 10.30 -10.95 0.79 -0.73 N/A 0.02 0.01
Performance Review
As of June 30, 2019
CS McKee
NONE
Page 23
Total Policy Historical Hybrid Composition
Allocation Mandate Weight (%)
Apr-2015
S&P 500 Index 60.00
Blmbg. Barc. U.S. Aggregate Index 40.00
Historical Hybrid Composition
Total Fund Policy Index
As of June 30, 2019
Page 24
Report Statistics Definitions and Descriptions Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Page 25
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 26