HomeMy WebLinkAboutReports - 2019.10.17 - 32348<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="09/30/2019" Interval="1" />
Investment Performance Review Period
Ending September 30, 2019
October 17, 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 1.87 1.70 20.55 4.25 13.39 10.84
Russell Midcap Index 1.97 0.48 21.93 3.19 10.69 9.10
Russell 2000 Index 2.08 (2.40)14.18 (8.89)8.23 8.19
Russell 1000 Growth Indx 0.01 1.49 23.30 3.71 16.89 13.39
Russell 1000 Value Index 3.57 1.36 17.81 4.00 9.43 7.79
Russell 3000 Index 1.76 1.16 20.09 2.92 12.83 10.44
MSCI EAFE NR 2.87 (1.07)12.80 (1.34)6.48 3.27
MSCI EM NR 1.91 (4.25)5.90 (2.02)5.97 2.33
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 09/30/19 12/31/18 12/31/17
U.S. Aggregate (0.53)2.27 8.52 10.30 5.78 2.26 Euro Spot 1.09 1.15 1.20
U.S. Corporate Investment Grade (0.65)3.05 13.20 13.00 7.83 2.91 British Pound Spot 1.23 1.28 1.35
U.S. Corporate High Yield 0.36 1.33 11.41 6.36 3.07 5.65 Japanese Yen Spot 108.08 109.69 112.69
Global Aggregate (1.02)0.71 6.32 7.60 7.18 1.30 Swiss Franc Spot 1.00 0.98 0.97
Key Rates 09/30/19 12/31/18 12/31/17 12/31/16 12/31/15 Commodities 09/30/19 12/31/18 12/31/17
3 Month 1.81 2.35 1.38 0.50 0.16 Oil 54.07 48.22 55.10
US 2 Year 1.62 2.49 1.88 1.19 1.05 Gasoline 2.66 2.26 2.49
US 10 Year 1.66 2.68 2.41 2.44 2.27 Natural Gas 2.33 2.80 2.78
US 30 Year 2.11 3.01 2.74 3.07 3.02 Gold 1,472.90 1,312.50 1,187.30
ICE LIBOR USD 3M 2.09 2.81 1.69 1.00 0.61 Silver 17.00 15.92 16.50
Euribor 3 Month ACT/360 (0.42)(0.31)(0.33)(0.32)(0.13)Copper 257.85 264.60 337.75
Bankrate 30Y Mortgage Rates Na 3.72 4.51 3.85 4.06 3.90 Corn 388.00 397.50 404.25
Prime 5.00 5.50 4.50 3.75 3.50 BBG Commodity TR Idx 164.72 159.72 179.96
Source: Bloomberg & Investment Metrics. For informational purposes only and should not be regarded as investment advice. Information is based on sources and data believed to be reliable, but
AndCo Consulting cannot guarantee the accuracy, adequacy or completeness of the information. The material provided herein is valid only as of the date of distribution and not as of any future date.
-12.9
-12.3 -9.1 -4.8
Levels (%)Levels
-11.0 -9.3
YTD 2018
Index Returns (%)Levels
S 12.8 14.2 15.3 S
M 19.5 21.9 25.2 M
September 30, 2019
Index Returns (%)
L 17.8 20.5 23.3 L -8.3 -4.8 -1.5
31.4
29.7
25.4
23.3 22.6 22.5 21.7
20.6 19.6
17.1
6.0 5.6
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
Page 1
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.4%)
Total Real Assets (8.9%)
Total Fixed Income Composite (34.8%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (14.6%)
Total Domestic Equity (37.1%)
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 1,309,724,862 100.0 N/A N/A 100.0 ---
Total Domestic Equity 485,616,532 37.1 10.0 50.0 37.5 -354,644,046 169,245,899 5,530,291
Total International Equity 191,384,527 14.6 5.0 20.0 12.5 -125,898,283 70,560,446 -27,668,919
Total Long/Short Equity Composite 55,513,136 4.2 0.0 7.5 5.0 -55,513,136 42,716,229 9,973,108
Total Fixed Income Composite 455,416,516 34.8 10.0 55.0 35.0 -324,444,030 264,932,158 2,987,185
Total Real Assets 117,094,250 8.9 0.0 15.0 10.0 -117,094,250 79,364,479 13,878,236
Total Cash Composite 4,699,901 0.4 0.0 5.0 0.0 -4,699,901 60,786,342 -4,699,901
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 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 (34.8%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (14.6%)
Total Small Cap Equity Composite (7.9%)
Total Mid Cap Equity Composite (8.2%)
Total Large Cap Equity Composite (21.0%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,309,724,862 100.0 100.0 -
Total Large Cap Equity Composite 275,149,588 21.0 20.0 -13,204,616
Total Mid Cap Equity Composite 107,244,073 8.2 7.5 -9,014,708
Total Small Cap Equity Composite 103,222,871 7.9 7.5 -4,993,507
Total International Equity 191,384,527 14.6 15.0 5,074,203
Total Long/Short Equity Composite 55,513,136 4.2 5.0 9,973,108
Total Fixed Income Composite 455,416,516 34.8 35.0 2,987,185
Total Real Assets 117,094,250 8.9 10.0 13,878,236
Total Cash Composite 4,699,901 0.4 0.0 -4,699,901
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 2019
Page 3
August 31, 2019 : $1,301,808,984 September 30, 2019 : $1,309,724,862
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 55,513,136 4.3¢
CS McKee 248,010,749 19.1¢
Loomis Fixed Income 112,697,208 8.7¢
Franklin Templeton 75,923,197 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¢
Dune Real Estate IV 875,219 0.1¢
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¢
Allocation
Market Value Allocation
SSgA S&P 500 73,895,185 5.6¢
SSgA S&P 500 Equal Weighted Index 67,995,904 5.2¢
T. Rowe Price 133,258,500 10.2¢
Wedge Capital Partners 26,320,097 2.0¢
TimesSquare 29,097,632 2.2¢
Great Lakes SmidCap 25,769,123 2.0¢
Reinhart Partners 26,057,221 2.0¢
Lee Munder (LMCG)47,794,976 3.6¢
Loomis Small Cap 55,427,895 4.2¢
Lazard 81,257,088 6.2¢
Pictet 76,016,420 5.8¢
Berkeley Street 34,111,019 2.6¢
ABS Global 55,513,136 4.2¢
CS McKee 246,503,355 18.8¢
Loomis Fixed Income 111,780,023 8.5¢
Franklin Templeton 76,620,015 5.9¢
Churchill Senior Loan Fund 20,513,123 1.6¢
Morgan Stanley 64,716,623 4.9¢
Prudential PRISA II 27,004,317 2.1¢
Alidade Capital Fund IV 2,027,875 0.2¢
Walton Street Real Estate 6,913,585 0.5¢
AEW Real Estate 4,949,351 0.4¢
Dune Real Estate IV 875,219 0.1¢
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 115,403 0.0¢
Private Markets Cash 4,584,498 0.4¢
Asset Allocation By Manager
Total Fund Composite
As of September 30, 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
09/30/2019
Total Fund Composite 1,311,412,620 -931,575 -9,000,000 -396,439 -2,645 5,293,925 1,485,826 1,309,724,862
Total Equity Composite 741,999,016 -9,000,000 76,575 --177,445 -437 2,049,596 -2,433,110 732,514,194
Total Domestic Equity 492,832,045 -9,000,000 ---5,688 -1,367,352 422,823 485,616,532
Total Large Cap Equity Composite 274,097,450 -3,000,000 ---5,688 -621,540 3,436,286 275,149,588
SSgA S&P 500 75,680,247 -3,000,000 -----1,214,938 73,895,185
SSgA S&P 500 Equal Weighted Index 67,273,590 ----5,688 --728,002 67,995,904
T. Rowe Price 131,143,613 -----621,540 1,493,346 133,258,500
Total Mid Cap Equity Composite 109,579,159 -3,000,000 ----488,322 176,591 107,244,073
Seizert Capital Partners ---------
Wedge Capital Partners 26,090,018 -----231,046 -968 26,320,097
TimesSquare 31,829,368 -3,000,000 ----62,317 205,948 29,097,632
Munder Capital ---------
Great Lakes SmidCap 25,591,338 -----101,561 76,223 25,769,123
Reinhart Partners 26,068,434 -----93,398 -104,612 26,057,221
Total Small Cap Equity Composite 109,155,436 -3,000,000 ----257,490 -3,190,055 103,222,871
Lee Munder (LMCG)47,586,002 -----207,611 1,363 47,794,976
Loomis Small Cap 61,569,434 -3,000,000 ----49,879 -3,191,418 55,427,895
Total International Equity 193,972,311 -76,575 --171,757 -437 682,243 -3,174,409 191,384,527
Lazard 83,169,090 -----437 682,242 -2,593,807 81,257,088
Pictet 76,449,068 ----95,182 ---337,466 76,016,420
Berkeley Street 34,354,153 -76,575 --76,575 -2 -243,136 34,111,019
Total Long/Short Equity Composite 55,194,660 ------318,476 55,513,136
ABS Global 55,194,660 ------318,476 55,513,136
Total Fixed Income Composite 450,342,670 -495,922 ----967 2,615,755 2,954,979 455,416,516
Total Domestic Fixed Income 350,728,267 -----967 2,615,755 4,940,323 358,283,378
CS McKee 241,023,277 -----1,916,726 3,563,352 246,503,355
Loomis Fixed Income 109,704,990 -----967 699,029 1,376,971 111,780,023
Total Global Fixed 78,605,358 -------1,985,344 76,620,015
Franklin Templeton 78,605,358 -------1,985,344 76,620,015
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 September 30, 2019
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending September 30, 2019
Market Value
07/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2019
Total Real Assets 114,458,079 1,304,667 ---218,994 -629,335 921,164 117,094,250
Total Real Estate (Composite)103,850,798 1,304,667 ---218,994 -629,335 921,164 106,486,970
Morgan Stanley 63,815,629 ----195,494 -629,335 467,154 64,716,623
Prudential PRISA II 26,550,307 ------454,010 27,004,317
Alidade Capital Fund IV 2,077,724 -49,849 ------2,027,875
Walton Street Real Estate 6,805,330 131,755 ---23,500 ---6,913,585
AEW Real Estate 2,300,906 173,770 ------2,474,676
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 8,191,255 855,000 -9,000,000 --1,242 -761 42,793 4,699,901
Cash and Equivalents Account -738,779 9,000,000 855,000 -9,000,000 --1,242 391 33 115,403
Private Markets Cash 5,351,634 -808,745 -----1,152 42,760 4,584,498
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 1,309,724,862 100.0 0.85 0.52 4.02 12.60 4.02 7.80 6.65 8.40 8.95 5.40 06/01/1998
Total Fund Policy Index 0.91 0.79 4.91 12.74 4.91 7.50 6.69 8.12 8.82 5.86
Total Equity Composite 732,514,194 55.9 1.55 -0.04 0.85 17.43 0.85 9.93 8.16 10.55 10.83 5.19 04/01/1998
Total Equity Index 2.12 0.03 0.92 17.51 0.92 10.70 8.86 11.70 11.84 6.48
Total Fixed Income Composite 455,416,516 34.8 -0.38 1.24 8.25 7.07 8.25 3.68 3.18 3.05 4.35 5.24 04/01/1998
Total Fixed Income Index -0.61 2.05 9.87 8.38 9.87 2.69 3.20 2.44 3.50 4.90
Total Real Assets 117,094,250 8.9 1.34 1.34 8.84 6.47 8.84 9.88 10.43 11.44 11.09 7.41 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 4.23 2.43 4.23 6.84 9.06 10.09 10.72 5.27
Total Cash Composite 2,997,078 0.2
Asset Allocation & Performance
Total Fund Composite
As of September 30, 2019
Page 7
Asset Allocation & Performance
Total Fund Composite
As of September 30, 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 485,616,532 37.1 1.33 0.38 1.32 19.75 1.32 11.80 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 275,149,588 21.0 2.19 1.50 4.54 21.12 4.54 13.16 10.92 13.31 13.24 10.13 07/01/2008
SSgA S&P 500 (1.5 bps)73,895,185 5.6 1.87 1.67 4.22 20.51 4.22 13.38 10.83 13.25 13.24 13.24 10/01/2009
S&P 500 Index 1.87 1.70 4.25 20.55 4.25 13.39 10.84 13.26 13.24 13.24
SSgA S&P 500 Equal Weighted Index (4 bps)67,995,904 5.2 3.39 1.08 3.75 20.77 3.75 N/A N/A N/A N/A 3.92 02/01/2018
S&P 500 Equal Weighted 3.11 0.77 3.40 20.10 3.40 11.05 9.46 13.14 13.41 3.67
T. Rowe Price (25 bps)133,258,500 10.2 1.77 1.61 5.09 21.62 5.09 14.40 11.85 14.02 13.70 13.70 10/01/2009
S&P 500 Index 1.87 1.70 4.25 20.55 4.25 13.39 10.84 13.26 13.24 13.24
Total Mid Cap Equity Composite 107,244,073 8.2 0.90 0.61 0.41 19.57 0.41 10.17 8.11 11.47 12.07 9.20 07/01/2008
Wedge Capital Partners (75 bps)26,320,097 2.0 2.87 0.88 -4.51 15.97 -4.51 7.15 7.20 11.50 12.79 7.70 05/01/2007
Russell Midcap Value Index 4.06 1.22 1.60 19.47 1.60 7.82 7.55 11.63 12.29 6.87
TimesSquare (80 bps)29,097,632 2.2 -0.75 0.84 8.75 27.97 8.75 15.51 11.85 14.43 14.23 14.72 09/01/2009
Russell Midcap Growth Index -1.14 -0.67 5.20 25.23 5.20 14.50 11.12 13.80 14.08 14.59
Great Lakes SmidCap (55 bps)25,769,123 2.0 0.40 0.69 N/A N/A N/A N/A N/A N/A N/A -1.70 05/01/2019
Russell 2500 Index 1.77 -1.28 -4.04 17.72 -4.04 9.51 8.57 11.43 12.22 -1.80
Reinhart Partners (65 bps)26,057,221 2.0 1.49 -0.04 N/A N/A N/A N/A N/A N/A N/A 2.79 05/01/2019
Russell 2500 Index 1.77 -1.28 -4.04 17.72 -4.04 9.51 8.57 11.43 12.22 -1.80
Total Small Cap Equity Composite 103,222,871 7.9 -0.47 -2.71 -5.61 16.44 -5.61 10.05 8.89 10.55 11.22 9.58 07/01/2008
Lee Munder (LMCG) (70 bps)47,794,976 3.6 3.67 0.44 -5.13 17.03 -5.13 7.01 8.50 10.61 10.96 8.87 09/01/2005
Russell 2000 Value Index 5.13 -0.57 -8.24 12.82 -8.24 6.54 7.17 9.35 10.06 6.46
Loomis Small Cap (90 bps)55,427,895 4.2 -3.79 -5.30 -6.14 15.78 -6.14 15.37 12.14 13.62 N/A 14.09 09/01/2012
Russell 2000 Growth Index -0.82 -4.17 -9.63 15.34 -9.63 9.79 9.08 11.43 12.25 11.75
Page 8
Asset Allocation & Performance
Total Fund Composite
As of September 30, 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 191,384,527 14.6 2.58 -1.28 -0.02 14.33 -0.02 6.70 4.76 6.51 6.12 3.70 07/01/2008
Total International Equity Index 2.62 -1.70 -0.72 12.06 -0.72 6.85 3.39 5.50 4.62 2.33
Lazard (75 bps)81,257,088 6.2 2.25 -2.30 0.64 11.93 0.64 7.22 4.72 7.45 7.31 5.49 09/01/2006
MSCI AC World ex USA 2.62 -1.70 -0.72 12.06 -0.72 6.85 3.39 5.50 4.93 3.57
Pictet (65 bps)76,016,420 5.8 3.26 -0.44 -3.29 16.66 -3.29 5.76 4.73 6.59 5.61 1.38 01/01/2008
MSCI EAFE Index 2.92 -1.00 -0.82 13.35 -0.82 7.01 3.77 6.62 5.39 1.90
Berkeley Street (95 bps)34,111,019 2.6 1.87 -0.71 6.43 15.09 6.43 8.02 5.11 N/A N/A 4.68 11/01/2012
MSCI Emerging Markets Index 1.94 -4.11 -1.63 6.23 -1.63 6.37 2.71 2.79 3.73 2.91
Total Long/Short Equity Composite 55,513,136 4.2 0.00 0.58 -0.24 8.47 -0.24 N/A N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)55,513,136 4.2 0.00 0.58 -0.24 8.47 -0.24 4.67 3.61 5.70 N/A 4.89 10/01/2010
HFRI FOF: Strategic Index -0.70 -2.14 -1.52 5.29 -1.52 3.09 1.86 3.32 2.76 2.64
Total Domestic Fixed Income 358,283,378 27.4 -0.67 2.15 9.74 8.68 9.74 3.47 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)246,503,355 18.8 -0.61 2.27 10.01 8.57 10.01 3.23 3.67 2.94 N/A 3.97 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.53 2.27 10.30 8.52 10.30 2.92 3.38 2.72 3.75 3.70
Loomis Fixed Income (30 bps)111,780,023 8.5 -0.81 1.89 9.13 8.92 9.13 4.09 3.72 3.90 N/A 5.67 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.53 2.27 10.30 8.52 10.30 2.92 3.38 2.72 3.75 3.73
Total Global Fixed 76,620,015 5.9 0.92 -2.53 2.18 0.75 2.18 N/A N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)76,620,015 5.9 0.92 -2.53 2.18 0.75 2.18 3.96 0.89 1.91 N/A 2.75 04/01/2010
JPM Global Government Bond Index -1.33 1.14 8.72 6.58 8.72 1.23 2.08 0.78 2.01 2.44
Page 9
Asset Allocation & Performance
Total Fund Composite
As of September 30, 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)106,486,970 8.1 1.48 1.48 8.06 5.58 8.06 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 4.23 6.84 9.06 10.09 10.72 7.36
Morgan Stanley (84 bps)64,716,623 4.9 1.72 1.72 7.85 5.50 7.85 9.08 11.04 12.16 12.58 6.63 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 4.23 2.43 4.23 6.84 9.06 10.09 10.72 5.19
Prudential PRISA II (85 bps)27,004,317 2.1 1.71 1.71 7.10 5.38 7.10 8.87 10.93 11.85 N/A 12.24 10/01/2011
NCREIF Property Index 0.00 0.00 4.76 3.34 4.76 6.26 8.26 9.07 9.62 9.31
Total Cash Composite 4,699,901 0.4
Cash and Equivalents Account (No fee)115,403 0.0
Private Markets Cash 4,584,498 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 6.13 4.49 7.63 N/A N/A 7.31 08/27/2014
Macquarie II U.S.0.00 0.00 7.28 5.68 7.28 6.48 4.91 6.78 8.72 7.98 10/09/2008
Macquarie Fund III Europe 0.00 0.00 38.76 41.52 38.76 21.34 10.79 9.38 7.96 8.33 10/17/2008
Alidade Capital Fund IV 0.00 0.00 3.98 3.76 3.98 N/A N/A N/A N/A 3.74 04/20/2017
Walton Street Real Estate -0.34 -0.35 7.14 4.16 7.14 N/A N/A N/A N/A 10.92 05/25/2017
AEW Real Estate 0.00 0.00 19.27 9.49 19.27 N/A N/A N/A N/A 7.76 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 5.35 3.82 5.35 N/A N/A N/A N/A 6.46 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 September 30, 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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