HomeMy WebLinkAboutReports - 2019.09.19 - 32247<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="08/31/2019" Interval="1" />
Investment Performance Review Period
Ending August 31, 2019
September 19, 2019
Preliminary
Oakland County ERS
VEBA Plan
Monthly Flash Report
Market Update
Russell Indices Style Returns
Equities Month 3 M YTD 1 Year 3 Yr
Ann
5 Yr
Ann V B G V B G
S&P 500 Total Return (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 Assets (8.9%)
Total Fixed Income Composite (35.1%)
Total Long/Short Equity Composite (4.3%)
Total International Equity (14.3%)
Total Domestic Equity (37.0%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Min. Rebal.
($000)
Max. Rebal.
($000)
Target Rebal.
($000)
Total Fund Composite 1,302,288,242 100.0 N/A N/A 100.0 ---
Total Domestic Equity 482,232,434 37.0 10.0 50.0 37.5 -352,003,610 168,911,687 6,125,657
Total International Equity 186,602,681 14.3 5.0 20.0 12.5 -121,488,269 73,854,967 -23,816,651
Total Long/Short Equity Composite 55,982,530 4.3 0.0 7.5 5.0 -55,982,530 41,689,088 9,131,882
Total Fixed Income Composite 457,154,141 35.1 10.0 55.0 35.0 -326,925,317 259,104,392 -1,353,257
Total Real Assets 115,305,707 8.9 0.0 15.0 10.0 -115,305,707 80,037,529 14,923,117
Total Cash Composite 5,010,748 0.4 0.0 5.0 0.0 -5,010,748 60,103,664 -5,010,748
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of August 31, 2019
Page 2
Executive Summary
Policy Target In Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.4%)
Total Real Assets (8.9%)
Total Fixed Income Composite (35.1%)
Total Long/Short Equity Composite (4.3%)
Total International Equity (14.3%)
Total Small Cap Equity Composite (8.0%)
Total Mid Cap Equity Composite (8.4%)
Total Large Cap Equity Composite (20.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,302,288,242 100.0 100.0 -
Total Large Cap Equity Composite 269,251,704 20.7 20.0 -8,794,055
Total Mid Cap Equity Composite 109,265,646 8.4 7.5 -11,594,028
Total Small Cap Equity Composite 103,715,085 8.0 7.5 -6,043,466
Total International Equity 186,602,681 14.3 15.0 8,740,555
Total Long/Short Equity Composite 55,982,530 4.3 5.0 9,131,882
Total Fixed Income Composite 457,154,141 35.1 35.0 -1,353,257
Total Real Assets 115,305,707 8.9 10.0 14,923,117
Total Cash Composite 5,010,748 0.4 0.0 -5,010,748
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of August 31, 2019
Page 3
July 31, 2019 : $1,321,895,737 August 31, 2019 : $1,302,288,242
Allocation
Market Value Allocation
SSgA S&P 500 76,767,574 5.8¢
SSgA S&P 500 Equal Weighted Index 67,863,668 5.1¢
T. Rowe Price 133,021,542 10.1¢
Wedge Capital Partners 26,789,359 2.0¢
TimesSquare 32,729,749 2.5¢
Great Lakes SmidCap 26,023,000 2.0¢
Reinhart Partners 26,061,690 2.0¢
Lee Munder (LMCG)48,114,453 3.6¢
Loomis Small Cap 62,409,876 4.7¢
Lazard 82,057,318 6.2¢
Pictet 76,997,607 5.8¢
Berkeley Street 34,218,740 2.6¢
ABS Global 55,982,530 4.2¢
CS McKee 241,860,945 18.3¢
Loomis Fixed Income 110,219,440 8.3¢
Franklin Templeton 79,955,961 6.0¢
Churchill Senior Loan Fund 21,009,045 1.6¢
Morgan Stanley 63,815,629 4.8¢
Prudential PRISA II 26,550,307 2.0¢
Alidade Capital Fund IV 2,077,724 0.2¢
Walton Street Real Estate 6,805,330 0.5¢
AEW Real Estate 4,845,771 0.4¢
Macquarie II U.S.3,294,076 0.2¢
Macquarie Fund III Europe 4,026,985 0.3¢
ValStone Opportunity Fund V 3,286,219 0.2¢
Cash and Equivalents Account 5,386 0.0¢
Private Markets Cash 5,105,814 0.4¢
Dune Real Estate IV -0.0¢
Allocation
Market Value Allocation
SSgA S&P 500 72,538,271 5.6¢
SSgA S&P 500 Equal Weighted Index 65,772,651 5.1¢
T. Rowe Price 130,940,781 10.1¢
Wedge Capital Partners 25,585,542 2.0¢
TimesSquare 32,340,373 2.5¢
Great Lakes SmidCap 25,665,494 2.0¢
Reinhart Partners 25,674,237 2.0¢
Lee Munder (LMCG)46,103,483 3.5¢
Loomis Small Cap 57,611,601 4.4¢
Lazard 79,471,202 6.1¢
Pictet 73,648,028 5.7¢
Berkeley Street 33,483,451 2.6¢
ABS Global 55,982,530 4.3¢
CS McKee 248,010,749 19.0¢
Loomis Fixed Income 112,697,208 8.7¢
Franklin Templeton 75,933,061 5.8¢
Churchill Senior Loan Fund 20,513,123 1.6¢
Morgan Stanley 63,815,629 4.9¢
Prudential PRISA II 26,550,307 2.0¢
Alidade Capital Fund IV 2,027,875 0.2¢
Walton Street Real Estate 6,805,330 0.5¢
AEW Real Estate 4,624,068 0.4¢
Macquarie II U.S.3,294,076 0.3¢
Macquarie Fund III Europe 4,026,985 0.3¢
ValStone Opportunity Fund V 3,286,219 0.3¢
Cash and Equivalents Account 5,377 0.0¢
Private Markets Cash 5,005,371 0.4¢
Dune Real Estate IV 875,219 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 1,311,412,620 -795,992 -6,000,000 -114,964 -2,645 3,388,409 -7,191,169 1,302,288,242
Total Equity Composite 741,999,016 -6,000,000 50,992 --114,964 -437 1,433,458 -12,550,419 724,817,645
Total Domestic Equity 492,832,045 -6,000,000 ----890,760 -5,490,371 482,232,434
Total Large Cap Equity Composite 274,097,450 -3,000,000 ----425,058 -2,270,804 269,251,704
SSgA S&P 500 75,680,247 -3,000,000 ------141,976 72,538,271
SSgA S&P 500 Equal Weighted Index 67,273,590 -------1,500,939 65,772,651
T. Rowe Price 131,143,613 -----425,058 -627,889 130,940,781
Total Mid Cap Equity Composite 109,579,159 -----318,007 -631,521 109,265,646
Seizert Capital Partners ---------
Wedge Capital Partners 26,090,018 -----159,929 -664,406 25,585,542
TimesSquare 31,829,368 -----49,298 461,707 32,340,373
Munder Capital ---------
Great Lakes SmidCap 25,591,338 -----54,900 19,256 25,665,494
Reinhart Partners 26,068,434 -----53,880 -448,077 25,674,237
Total Small Cap Equity Composite 109,155,436 -3,000,000 ----147,695 -2,588,047 103,715,085
Lee Munder (LMCG)47,586,002 -----117,103 -1,599,621 46,103,483
Loomis Small Cap 61,569,434 -3,000,000 ----30,593 -988,426 57,611,601
Total International Equity 193,972,311 -50,992 --114,964 -437 542,697 -7,847,917 186,602,681
Lazard 83,169,090 -----437 542,696 -4,240,147 79,471,202
Pictet 76,449,068 ----63,973 ---2,737,067 73,648,028
Berkeley Street 34,354,153 -50,992 --50,992 -1 -870,703 33,483,451
Total Long/Short Equity Composite 55,194,660 ------787,870 55,982,530
ABS Global 55,194,660 ------787,870 55,982,530
Total Fixed Income Composite 450,342,670 -495,922 ----967 1,954,658 5,353,702 457,154,141
Total Domestic Fixed Income 350,728,267 -----967 1,954,658 8,025,999 360,707,957
CS McKee 241,023,277 -----1,320,762 5,666,710 248,010,749
Loomis Fixed Income 109,704,990 -----967 633,896 2,359,289 112,697,208
Total Global Fixed 78,605,358 -------2,672,298 75,933,061
Franklin Templeton 78,605,358 -------2,672,298 75,933,061
Private Fixed Income 21,009,045 -495,922 ------20,513,123
Churchill Senior Loan Fund 21,009,045 -495,922 ------20,513,123
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 Assets 114,458,079 847,629 ------115,305,707
Total Real Estate (Composite)103,850,798 847,629 ------104,698,427
Morgan Stanley 63,815,629 -------63,815,629
Prudential PRISA II 26,550,307 -------26,550,307
Alidade Capital Fund IV 2,077,724 -49,849 ------2,027,875
Walton Street Real Estate 6,805,330 -------6,805,330
AEW Real Estate 2,300,906 11,128 ------2,312,034
Dune Real Estate IV -437,610 ------437,610
Private Investments 10,607,280 -------10,607,280
Macquarie II U.S.3,294,076 -------3,294,076
Macquarie Fund III Europe 4,026,985 -------4,026,985
ValStone Opportunity Fund V 3,286,219 -------3,286,219
Total Cash Composite 4,612,855 5,648,293 745,000 -6,000,000 --1,242 293 5,548 5,010,748
Cash and Equivalents Account -738,779 6,000,000 745,000 -6,000,000 --1,242 354 44 5,377
Private Markets Cash 5,351,634 -351,707 -----61 5,504 5,005,371
Page 6
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite 1,302,288,242 100.0 -1.03 -0.29 3.18 11.69 3.21 7.61 6.07 8.61 9.19 5.38 06/01/1998
Total Fund Policy Index -0.48 -0.12 3.96 11.72 3.91 7.36 6.09 8.28 9.05 5.84
Total Equity Composite 724,817,645 55.7 -2.43 -1.50 -0.62 15.71 -0.92 9.61 7.17 10.74 11.18 5.14 04/01/1998
Total Equity Index -2.63 -2.04 -1.17 15.07 -1.20 10.02 7.91 11.79 12.07 6.41
Total Fixed Income Composite 457,154,141 35.1 1.02 1.62 8.66 7.48 8.71 3.71 3.09 3.24 4.52 5.28 04/01/1998
Total Fixed Income Index 2.54 2.68 10.54 9.04 9.82 2.91 3.11 2.57 3.69 4.95
Total Real Assets 115,305,707 8.9 0.00 0.00 7.40 5.06 9.81 9.56 10.74 11.50 10.48 7.34 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 0.2
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 482,232,434 37.0 -2.31 -0.94 0.00 18.19 -0.32 11.42 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 269,251,704 20.7 -1.95 -0.68 2.30 18.52 2.69 12.41 10.11 13.38 13.42 10.00 07/01/2008
SSgA S&P 500 (1.5 bps)72,538,271 5.6 -1.61 -0.19 2.31 18.30 2.88 12.68 10.11 13.36 N/A 13.14 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)65,772,651 5.1 -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)130,940,781 10.1 -1.56 -0.15 3.26 19.51 3.70 13.88 11.11 14.15 N/A 13.62 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 109,265,646 8.4 -2.10 -0.29 -0.48 18.50 -0.84 10.17 7.10 11.64 12.56 9.18 07/01/2008
Wedge Capital Partners (75 bps)25,585,542 2.0 -4.49 -1.93 -7.18 12.73 -7.56 6.59 5.86 11.41 13.07 7.50 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)32,340,373 2.5 -1.19 1.61 9.58 28.93 9.98 15.69 11.20 14.82 14.93 14.93 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)25,665,494 2.0 -1.37 0.29 N/A N/A N/A N/A N/A N/A N/A -2.10 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)25,674,237 2.0 -1.49 -1.51 N/A N/A N/A N/A N/A N/A N/A 1.28 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 103,715,085 8.0 -3.46 -2.24 -5.16 16.99 -6.99 10.20 7.88 11.20 11.91 9.70 07/01/2008
Lee Munder (LMCG) (70 bps)46,103,483 3.5 -4.18 -3.12 -8.49 12.88 -10.84 5.59 6.41 10.45 11.25 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)57,611,601 4.4 -2.89 -1.57 -2.45 20.34 -3.82 17.07 12.19 14.90 N/A 14.90 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 186,602,681 14.3 -3.44 -3.77 -2.53 11.46 -2.69 6.40 3.23 6.71 6.45 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)79,471,202 6.1 -3.15 -4.45 -1.58 9.47 -0.69 7.04 3.46 7.66 7.65 5.35 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)73,648,028 5.7 -4.31 -3.58 -6.34 12.98 -7.53 5.19 3.09 6.74 5.88 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)33,483,451 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 55,982,530 4.3 0.00 1.43 0.60 9.39 -0.13 N/A N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)55,982,530 4.3 0.00 1.43 0.60 9.39 -0.13 5.15 3.52 6.04 N/A 5.03 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 360,707,957 27.7 2.45 2.85 10.48 9.41 9.99 3.67 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)248,010,749 19.0 2.54 2.90 10.68 9.23 10.07 3.41 3.65 3.06 N/A 4.08 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)112,697,208 8.7 2.25 2.73 10.03 9.81 9.80 4.33 3.73 4.20 N/A 5.81 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 75,933,061 5.8 -5.03 -3.40 1.26 -0.16 2.90 N/A N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)75,933,061 5.8 -5.03 -3.40 1.26 -0.16 2.90 3.25 0.54 2.08 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 (Composite)104,698,427 8.0 0.00 0.00 6.49 4.05 8.93 N/A N/A N/A N/A N/A 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)63,815,629 4.9 0.00 0.00 6.03 3.71 8.38 9.35 11.53 12.39 11.39 6.52 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)26,550,307 2.0 0.00 0.00 5.30 3.61 7.79 9.00 11.29 12.04 N/A 12.13 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
Total Cash Composite 5,010,748 0.4
Cash and Equivalents Account (No fee)5,377 0.0
Private Markets Cash 5,005,371 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 4.25 7.45 N/A N/A 7.44 08/27/2014
Macquarie II U.S.0.00 0.00 7.08 5.51 9.30 6.40 5.13 7.38 8.71 8.01 10/09/2008
Macquarie Fund III Europe 0.00 0.00 38.71 41.49 41.69 25.99 9.04 10.03 8.71 8.36 10/17/2008
Alidade Capital Fund IV 0.00 0.00 3.98 3.75 5.38 N/A N/A N/A N/A 3.90 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 11.70 05/25/2017
AEW Real Estate 0.00 0.00 19.88 9.74 21.51 N/A N/A N/A N/A 8.40 09/26/2017
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
Private Investments
As of August 31, 2019
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Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENO
