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HomeMy WebLinkAboutReports - 2019.12.17 - 32665<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="10/31/2019" Interval="1" /> Investment Performance Review Period Ending October 31, 2019 Oakland County ERS Defined Benefit Plan Monthly Flash Report 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 Asset (10.4%) Total Fixed Income Composite (33.4%) Total Long/Short Equity Composite (6.1%) Total International Equity (14.8%) Total Domestic Equity (35.0%) 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 736,500,461 100.0 N/A N/A 100.0 --- Total Domestic Equity 257,523,692 35.0 10.0 50.0 37.5 -183,873,645 110,726,539 18,663,981 Total International Equity 108,693,113 14.8 5.0 20.0 12.5 -71,868,089 38,606,980 -16,630,555 Total Long/Short Equity Composite 44,819,934 6.1 0.0 7.5 5.0 -44,819,934 10,417,601 -7,994,910 Total Fixed Income Composite 245,859,200 33.4 10.0 55.0 35.0 -172,209,154 159,216,054 11,915,961 Total Real Asset 76,420,667 10.4 0.0 15.0 10.0 -76,420,667 34,054,402 -2,770,621 Total Cash Composite 3,183,856 0.4 0.0 5.0 0.0 -3,183,856 33,641,167 -3,183,856 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2019 Page 2 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.4%) Total Real Asset (10.4%) Total Fixed Income Composite (33.4%) Total Long/Short Equity Composite (6.1%) Total International Equity (14.8%) Total Small Cap Equity Composite (6.7%) Total Mid Cap Equity Composite (8.0%) Total Large Cap Equity Composite (20.3%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 736,500,461 100.0 100.0 - Total Large Cap Equity Composite 149,285,569 20.3 20.0 -1,985,477 Total Mid Cap Equity Composite 59,211,198 8.0 7.5 -3,973,663 Total Small Cap Equity Composite 49,026,925 6.7 7.5 6,210,610 Total International Equity 108,693,113 14.8 15.0 1,781,957 Total Long/Short Equity Composite 44,819,934 6.1 5.0 -7,994,910 Total Fixed Income Composite 245,859,200 33.4 35.0 11,915,961 Total Real Asset 76,420,667 10.4 10.0 -2,770,621 Total Cash Composite 3,183,856 0.4 0.0 -3,183,856 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2019 Page 3 September 30, 2019 : $745,492,528 October 31, 2019 : $736,500,461 Allocation Market Value Allocation SSgA S&P 500 37,628,762 5.0¢ SSgA S&P 500 Equal Weighted Index 36,613,179 4.9¢ T. Rowe Price 72,086,314 9.7¢ Wedge Capital Partners 14,408,448 1.9¢ TimesSquare 14,177,972 1.9¢ Great Lakes SmidCap 14,824,135 2.0¢ Reinhart Partners 15,138,306 2.0¢ Lee Munder (LMCG)25,302,071 3.4¢ Loomis Small Cap 22,567,592 3.0¢ Lazard 37,590,425 5.0¢ Pictet 48,276,973 6.5¢ Berkeley Street 19,334,677 2.6¢ ABS Global 44,819,934 6.0¢ CS McKee 139,925,447 18.8¢ Loomis Fixed Income 74,658,060 10.0¢ Franklin Templeton 36,227,780 4.9¢ Churchill Senior Loan Fund 12,529,318 1.7¢ Morgan Stanley 44,833,926 6.0¢ JPM Euro Property 117,592 0.0¢ Prudential PRISA II 19,295,324 2.6¢ Alidade Capital Fund IV 3,455,383 0.5¢ Walton Street Real Estate 3,456,783 0.5¢ AEW Real Estate 2,555,642 0.3¢ Dune Real Estate IV 437,610 0.1¢ ValStone Opportunity Fund V 2,233,799 0.3¢ Cash and Equivalents Account 5,534 0.0¢ Private Markets Cash 2,991,544 0.4¢ Allocation Market Value Allocation SSgA S&P 500 38,444,464 5.2¢ SSgA S&P 500 Equal Weighted Index 37,090,096 5.0¢ T. Rowe Price 73,751,009 10.0¢ Wedge Capital Partners 14,391,027 2.0¢ TimesSquare 14,468,386 2.0¢ Great Lakes SmidCap 15,017,518 2.0¢ Reinhart Partners 15,334,267 2.1¢ Lee Munder (LMCG)25,888,528 3.5¢ Loomis Small Cap 23,138,397 3.1¢ Lazard 38,535,903 5.2¢ Pictet 49,771,879 6.8¢ Berkeley Street 20,385,330 2.8¢ ABS Global 44,819,934 6.1¢ CS McKee 122,227,784 16.6¢ Loomis Fixed Income 74,867,803 10.2¢ Franklin Templeton 36,234,295 4.9¢ Churchill Senior Loan Fund 12,529,318 1.7¢ Morgan Stanley 44,833,926 6.1¢ JPM Euro Property 117,592 0.0¢ Prudential PRISA II 19,295,324 2.6¢ Alidade Capital Fund IV 3,455,383 0.5¢ Walton Street Real Estate 3,304,457 0.4¢ AEW Real Estate 2,758,944 0.4¢ Dune Real Estate IV 437,610 0.1¢ ValStone Opportunity Fund V 2,217,432 0.3¢ Cash and Equivalents Account 5,573 0.0¢ Private Markets Cash 3,178,283 0.4¢ Asset Allocation By Manager Total Fund Composite As of October 31, 2019 Page 4 Financial Reconciliation Month to Date Market Value 10/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 10/31/2019 Total Fund Composite 745,492,528 -218,591 -18,000,000 -37,496 -1,612 782,039 8,046,411 736,500,461 Total Equity Composite 402,768,787 -15,289 --37,496 -991 176,516 8,114,634 411,036,738 Total Domestic Equity 252,746,779 -----343 158,448 4,618,808 257,523,692 Total Large Cap Equity Composite 146,328,255 -----26 92,813 2,864,528 149,285,569 SSgA S&P 500 37,628,762 ------815,702 38,444,464 SSgA S&P 500 Equal Weighted Index 36,613,179 ------476,917 37,090,096 T. Rowe Price 72,086,314 -----26 92,813 1,571,908 73,751,009 Total Mid Cap Equity Composite 58,548,861 -----187 51,157 611,367 59,211,198 Wedge Capital Partners 14,408,448 -----97 21,910 -39,234 14,391,027 TimesSquare 14,177,972 -----73 5,864 284,623 14,468,386 Great Lakes SmidCap 14,824,135 -----18 13,040 180,360 15,017,518 Reinhart Partners 15,138,306 -----10,343 185,618 15,334,267 Total Small Cap Equity Composite 47,869,663 -----130 14,478 1,142,913 49,026,925 Lee Munder (LMCG)25,302,071 -----40 10,238 576,258 25,888,528 Loomis Small Cap 22,567,592 -----90 4,239 566,655 23,138,397 Total International Equity 105,202,074 -15,289 --37,496 -648 18,068 3,495,825 108,693,113 Lazard 37,590,425 -----648 18,068 928,058 38,535,903 Pictet 48,276,973 ----22,207 --1,517,113 49,771,879 Berkeley Street 19,334,677 -15,289 --15,289 --1,050,654 20,385,330 Total Long/Short Equity Composite 44,819,934 -------44,819,934 ABS Global 44,819,934 -------44,819,934 Total Fixed Income Composite 263,340,605 -18,000,000 ----620 605,483 -86,268 245,859,200 Total Domestic Fixed Income 214,583,507 -18,000,000 ----620 598,968 -86,268 197,095,587 CS McKee 139,925,447 -18,000,000 ----481 399,217 -96,398 122,227,784 Loomis Fixed Income 74,658,060 -----139 199,751 10,130 74,867,803 Total Global Fixed 36,227,780 -----6,515 -36,234,295 Franklin Templeton 36,227,780 -----6,515 -36,234,295 Private Fixed Income 12,529,318 -------12,529,318 Churchill Senior Loan Fund 12,529,318 -------12,529,318 Financial Reconciliation Total Fund Quarter To Date Ending October 31, 2019 Page 5 Financial Reconciliation Total Fund Quarter To Date Ending October 31, 2019 Market Value 10/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 10/31/2019 Total Real Asset 76,386,058 34,609 ------76,420,667 Total Real Estate 74,152,259 50,976 ------74,203,236 Morgan Stanley 44,833,926 -------44,833,926 JPM Euro Property 117,592 -------117,592 Prudential PRISA II 19,295,324 -------19,295,324 Alidade Capital Fund IV 3,455,383 -------3,455,383 Walton Street Real Estate 3,456,783 -152,326 ------3,304,457 AEW Real Estate 2,555,642 203,302 ------2,758,944 Dune Real Estate IV 437,610 -------437,610 Private Investments 2,233,799 -16,367 ------2,217,432 ValStone Opportunity Fund V 2,233,799 -16,367 ------2,217,432 Total Cash Composite 2,997,078 17,965,391 203,302 -18,000,000 --1 40 18,046 3,183,856 Cash and Equivalents Account 5,534 17,796,698 203,302 -18,000,000 --1 40 -5,573 Private Markets Cash 2,991,544 168,693 -----18,046 3,178,283 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 736,500,461 100.0 1.18 1.18 1.18 13.73 10.51 8.43 6.68 8.16 8.73 8.36 10/01/1986 Total Fund Policy Index 1.42 1.42 1.42 14.48 11.60 8.67 6.67 8.44 9.20 8.81 Total Equity Composite 411,036,738 55.8 2.06 2.06 2.06 19.68 11.63 11.21 7.91 10.80 11.15 9.56 10/01/1986 Total Equity Index 2.44 2.44 2.44 20.38 12.31 12.37 8.87 12.31 12.38 9.94 Total Fixed Income Composite 245,859,200 33.4 0.20 0.20 0.20 7.95 9.63 3.80 3.31 3.12 4.39 6.38 10/01/1986 Total Fixed Income Index 0.32 0.32 0.32 8.73 11.18 3.22 3.11 2.49 3.50 6.19 Total Real Asset 76,420,667 10.4 0.00 0.00 0.00 5.63 7.92 8.82 10.65 11.06 9.80 4.93 07/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 3.77 5.60 7.31 9.35 10.30 10.86 5.35 Total Cash Composite 3,183,856 0.4 Asset Allocation & Performance Total Fund Composite As of October 31, 2019 Page 7 Asset Allocation & Performance Total Fund Composite As of October 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 257,523,692 35.0 1.89 1.89 1.89 22.17 12.34 13.34 N/A N/A N/A N/A 10/01/1986 Total Large Cap Equity Composite 149,285,569 20.3 2.02 2.02 2.02 23.78 14.78 14.71 10.96 14.06 13.79 10.42 07/01/2008 SSgA S&P 500 (1.5 bps)38,444,464 5.2 2.17 2.17 2.17 23.17 14.35 14.95 10.84 13.98 13.76 13.43 10/01/2009 S&P 500 Index 2.17 2.17 2.17 23.16 14.33 14.91 10.78 13.91 13.70 13.36 SSgA S&P 500 Equal Weighted Index (4 bps)37,090,096 5.0 1.30 1.30 1.30 22.35 13.19 N/A N/A N/A N/A 4.50 02/01/2018 S&P 500 Equal Weighted 1.27 1.27 1.27 21.63 12.84 12.43 9.08 13.47 13.95 4.24 T. Rowe Price (25 bps)73,751,009 10.0 2.31 2.31 2.31 24.51 15.50 15.91 11.88 14.76 14.26 13.91 10/01/2009 S&P 500 Index 2.17 2.17 2.17 23.16 14.33 14.91 10.78 13.91 13.70 13.36 Total Mid Cap Equity Composite 59,211,198 8.0 1.13 1.13 1.13 20.15 10.06 10.81 7.46 11.46 12.51 9.18 07/01/2008 Wedge Capital Partners (75 bps)14,391,027 2.0 -0.12 -0.12 -0.12 15.80 5.25 7.58 5.89 11.25 12.89 7.56 05/01/2007 Russell Midcap Value Index 0.54 0.54 0.54 20.11 10.08 8.90 6.95 11.70 12.90 6.87 TimesSquare (80 bps)14,468,386 2.0 2.05 2.05 2.05 30.49 20.09 17.40 11.73 14.79 14.85 14.79 09/01/2009 Russell Midcap Growth Index 1.85 1.85 1.85 27.56 18.93 16.81 10.92 14.48 14.76 14.67 Great Lakes SmidCap (55 bps)15,017,518 2.0 1.30 1.30 1.30 N/A N/A N/A N/A N/A N/A -0.36 05/01/2019 Russell 2500 Index 1.91 1.91 1.91 19.97 8.84 11.74 8.04 11.90 13.10 0.08 Reinhart Partners (65 bps)15,334,267 2.1 1.29 1.29 1.29 N/A N/A N/A N/A N/A N/A 4.08 05/01/2019 Russell 2500 Index 1.91 1.91 1.91 19.97 8.84 11.74 8.04 11.90 13.10 0.08 Total Small Cap Equity Composite 49,026,925 6.7 2.42 2.42 2.42 19.33 7.63 12.05 8.06 11.01 11.98 9.72 07/01/2008 Lee Munder (70 bps)25,888,528 3.5 2.32 2.32 2.32 19.72 8.06 8.61 7.88 11.12 11.61 9.00 09/01/2005 Russell 2000 Value Index 2.42 2.42 2.42 15.55 3.22 8.60 6.24 9.93 11.08 6.60 Loomis Small Cap (90 bps)23,138,397 3.1 2.53 2.53 2.53 18.87 7.15 18.40 11.42 14.71 N/A 14.39 09/01/2012 Russell 2000 Growth Index 2.85 2.85 2.85 18.62 6.40 13.22 8.38 12.38 13.38 12.04 Page 8 Asset Allocation & Performance Total Fund Composite As of October 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 108,693,113 14.8 3.34 3.34 3.34 18.42 12.47 8.59 5.38 6.90 6.74 3.98 07/01/2008 Total International Equity Index 3.50 3.50 3.50 15.99 11.84 8.60 4.31 5.96 5.11 2.62 Lazard (75 bps)38,535,903 5.2 2.52 2.52 2.52 14.61 11.76 8.94 4.88 7.68 7.80 5.60 09/01/2006 MSCI AC World ex USA 3.50 3.50 3.50 15.99 11.84 8.60 4.31 5.96 5.43 3.82 Pictet (65 bps)49,771,879 6.8 3.14 3.14 3.14 20.33 9.58 7.86 5.79 6.83 6.19 1.64 01/01/2008 MSCI EAFE Index 3.60 3.60 3.60 17.43 11.63 9.02 4.81 7.03 5.90 2.19 Berkeley Street (95 bps)20,385,330 2.8 5.43 5.43 5.43 21.34 21.83 9.86 5.89 5.42 N/A 5.42 11/01/2012 MSCI Emerging Markets Index 4.23 4.23 4.23 10.72 12.29 7.76 3.32 3.48 4.14 3.48 Total Long/Short Equity Composite 44,819,934 6.1 0.00 0.00 0.00 9.10 6.02 4.91 3.50 4.66 N/A 4.09 10/01/2010 ABS Global (100 bps)44,819,934 6.1 0.00 0.00 0.00 9.10 6.02 4.91 3.60 5.86 N/A 4.93 10/01/2010 HFRI FOF: Strategic Index 0.93 0.93 0.93 6.84 4.16 3.72 2.26 3.58 2.94 2.78 Total Domestic Fixed Income 197,095,587 26.8 0.24 0.24 0.24 9.26 11.28 3.84 N/A N/A N/A N/A 07/01/2008 CS McKee (35 bps)122,227,784 16.6 0.22 0.22 0.22 9.26 11.51 3.65 3.62 3.03 N/A 4.03 02/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.30 0.30 0.30 8.85 11.51 3.29 3.24 2.74 3.73 3.70 Loomis Fixed Income (30 bps)74,867,803 10.2 0.28 0.28 0.28 9.26 10.89 4.23 3.69 3.85 N/A 5.69 04/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.30 0.30 0.30 8.85 11.51 3.29 3.24 2.74 3.73 3.73 Total Global Fixed 36,234,295 4.9 0.02 0.02 0.02 0.77 0.76 2.70 N/A N/A N/A N/A 04/01/2010 Franklin Templeton (60 bps)36,234,295 4.9 0.02 0.02 0.02 0.77 0.76 2.71 0.74 1.77 N/A 2.73 04/01/2010 JPM Global Government Bond Index 0.45 0.45 0.45 7.06 10.25 2.57 2.20 0.94 2.05 2.46 Page 9 Asset Allocation & Performance Total Fund Composite As of October 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 74,203,236 10.1 0.00 0.00 0.00 5.64 7.91 8.86 N/A N/A N/A 9.12 09/01/2016 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 3.77 5.60 7.31 9.35 10.30 10.86 7.60 Morgan Stanley (84 bps)44,833,926 6.1 0.00 0.00 0.00 5.50 7.85 9.06 10.99 12.12 12.54 6.56 01/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 3.77 5.60 7.31 9.35 10.30 10.86 5.27 Prudential PRISA II (85 bps)19,295,324 2.6 0.00 0.00 0.00 5.26 6.79 8.55 10.74 11.72 N/A 11.99 10/01/2011 NCREIF Property Index 0.00 0.00 0.00 4.80 6.24 6.76 8.57 9.29 9.77 9.40 JPM Euro Property 117,592 0.0 0.00 0.00 0.00 -21.90 -22.05 -0.94 2.25 1.67 -0.72 -1.18 04/01/2009 NCREIF Property Index 0.00 0.00 0.00 4.80 6.24 6.76 8.57 9.29 9.77 8.31 Total Cash Composite 3,183,856 0.4 Cash and Equivalents Account (No fee)5,573 0.0 Private Markets Cash 3,178,283 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 0.00 5.25 8.22 5.16 8.01 N/A N/A 7.60 08/27/2014 Alidade Capital Fund IV 0.00 0.00 0.00 6.03 6.21 N/A N/A N/A N/A 4.63 04/20/2017 Walton Street Real Estate 0.00 0.00 0.00 4.16 7.11 N/A N/A N/A N/A 10.39 05/24/2017 AEW Real Estate 0.00 0.00 0.00 13.44 23.03 N/A N/A N/A N/A 10.07 09/28/2017 Churchill Senior Loan Fund 0.00 0.00 0.00 5.64 7.11 N/A N/A N/A N/A 7.25 12/07/2017 Dune Real Estate IV 0.00 0.00 0.00 N/A N/A N/A N/A N/A N/A 0.00 08/22/2019 Comparative Performance - IRR Alternative Investments As of October 31, 2019 Page 11 Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. 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