HomeMy WebLinkAboutReports - 2019.12.17 - 32687<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="12/31/2019" Interval="1" />
Investment Performance Review
Period Ending December 31, 2019
Oakland County ERS
VEBA Plan
Monthly Flash Report
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return 3.02 9.07 31.49 31.49 15.27 11.70Russell Midcap Index 2.29 7.06 30.54 30.54 12.06 9.33Russell 2000 Index 2.88 9.94 25.53 25.53 8.59 8.23Russell 1000 Growth Indx 3.02 10.62 36.39 36.39 20.49 14.63Russell 1000 Value Index 2.75 7.41 26.54 26.54 9.68 8.29Russell 3000 Index 2.89 9.10 31.02 31.02 14.57 11.24MSCI EAFE NR 3.25 8.17 22.01 22.01 9.56 5.67MSCI EM NR 7.46 11.84 18.44 18.44 11.57 5.61Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies12/31/1912/31/1812/31/17U.S. Aggregate (0.07) 0.18 8.72 8.72 5.87 2.31 Euro Spot 1.12 1.15 1.20U.S. Corporate Investment Grade 0.32 1.18 14.54 14.54 7.89 2.84 British Pound Spot 1.33 1.28 1.35U.S. Corporate High Yield 2.00 2.61 14.32 14.32 3.05 5.19 Japanese Yen Spot 108.61 109.69 112.69Global Aggregate 0.58 0.49 6.84 6.84 7.12 1.45 Swiss Franc Spot 0.97 0.98 0.97Key Rates12/31/1912/31/1812/31/1712/31/1612/31/15Commodities12/31/1912/31/1812/31/173 Month 1.54 2.35 1.38 0.50 0.16 Oil 61.06 48.62 54.55US 2 Year 1.57 2.49 1.88 1.19 1.05 Gasoline 2.59 2.26 2.49US 10 Year 1.92 2.68 2.41 2.44 2.27 Natural Gas 2.19 3.00 3.00US 30 Year 2.39 3.01 2.74 3.07 3.02 Gold 1,523.10 1,318.50 1,187.30ICE LIBOR USD 3M 1.91 2.81 1.69 1.00 0.61 Silver 17.92 16.05 16.50Euribor 3 Month ACT/360 (0.38) (0.31) (0.33) (0.32) (0.13) Copper 279.70 265.15 338.00Bankrate 30Y Mortgage Rates Na 3.86 4.51 3.85 4.06 3.90 Corn 387.75 407.00 408.25Prime 4.75 5.50 4.50 3.75 3.50 BBG Commodity TR Idx 172.00 159.72 179.96Source: 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, butAndCo 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.December 31, 2019Index Returns (%)L 26.5 31.4 36.4 L-8.3 -4.8 -1.5M 27.0 30.5 35.5 M-12.3 -9.1 -4.8Levels (%)Levels-11.0 -9.3YTD 2018Index Returns (%)LevelsS 22.4 25.5 28.4 S-12.950.332.732.131.529.329.027.927.626.424.620.811.80.010.020.030.040.050.060.0YTD Sector Returns6.54.10.8-0.3-2.2-4.4-8.4-12.5-13.0-13.3-14.7-18.1-20.0-15.0-10.0-5.00.05.010.02018 Sector Returns
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 (0.5%)
Total Real Assets (8.4%)
Total Fixed Income Composite (33.5%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (15.2%)
Total Domestic Equity (38.3%)
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 1,367,022,523 100.0 N/A N/A 100.0 ---
Total Domestic Equity 523,073,213 38.3 10.0 50.0 35.0 -386,370,960 160,438,049 -44,615,330
Total International Equity 208,208,147 15.2 5.0 20.0 15.0 -139,857,021 65,196,358 -3,154,768
Total Long/Short Equity Composite 57,629,623 4.2 0.0 7.5 5.0 -57,629,623 44,897,066 10,721,503
Total Fixed Income Composite 457,351,947 33.5 10.0 55.0 35.0 -320,649,695 294,510,441 21,105,936
Total Real Assets 114,272,554 8.4 0.0 15.0 10.0 -114,272,554 90,780,825 22,429,699
Total Cash Composite 6,487,040 0.5 0.0 5.0 0.0 -6,487,040 61,864,086 -6,487,040
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 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 (0.5%)
Total Real Assets (8.4%)
Total Fixed Income Composite (33.5%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (15.2%)
Total Small Cap Equity Composite (8.3%)
Total Mid Cap Equity Composite (8.3%)
Total Large Cap Equity Composite (21.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,367,022,523 100.0 100.0 -
Total Large Cap Equity Composite 296,376,121 21.7 20.0 -22,971,617
Total Mid Cap Equity Composite 113,568,351 8.3 7.5 -11,041,661
Total Small Cap Equity Composite 113,128,741 8.3 7.5 -10,602,052
Total International Equity 208,208,147 15.2 15.0 -3,154,768
Total Long/Short Equity Composite 57,629,623 4.2 5.0 10,721,503
Total Fixed Income Composite 457,351,947 33.5 35.0 21,105,936
Total Real Assets 114,272,554 8.4 10.0 22,429,699
Total Cash Composite 6,487,040 0.5 0.0 -6,487,040
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2019
Page 3
November 30, 2019 : $1,340,653,464 December 31, 2019 : $1,367,022,523
Allocation
Market Value Allocation
SSgA S&P 500 75,129,321 5.6¢
SSgA S&P 500 Equal Weighted Index 71,228,524 5.3¢
T. Rowe Price 141,587,238 10.6¢
Wedge Capital Partners 26,424,777 2.0¢
TimesSquare 31,166,699 2.3¢
Great Lakes SmidCap 26,808,311 2.0¢
Reinhart Partners 27,032,036 2.0¢
Lee Munder (LMCG)50,465,770 3.8¢
Loomis Small Cap 59,730,058 4.5¢
Lazard 84,571,738 6.3¢
Pictet 78,959,985 5.9¢
Berkeley Street 36,122,664 2.7¢
ABS Global 57,629,623 4.3¢
CS McKee 247,449,215 18.5¢
Loomis Fixed Income 112,150,810 8.4¢
Franklin Templeton 76,315,102 5.7¢
Churchill Senior Loan Fund 20,381,740 1.5¢
Morgan Stanley 64,716,623 4.8¢
Prudential PRISA II 26,910,501 2.0¢
Alidade Capital Fund IV 2,268,230 0.2¢
Walton Street Real Estate 6,811,980 0.5¢
AEW Real Estate 5,517,887 0.4¢
Dune Real Estate IV 699,876 0.1¢
Macquarie II U.S.2,160,759 0.2¢
Macquarie Fund III Europe 3,976,395 0.3¢
ValStone Opportunity Fund V 3,326,147 0.2¢
Cash and Equivalents Account 116,076 0.0¢
Private Markets Cash 995,379 0.1¢
Allocation
Market Value Allocation
SSgA S&P 500 77,388,392 5.7¢
SSgA S&P 500 Equal Weighted Index 73,240,880 5.4¢
T. Rowe Price 145,746,850 10.7¢
Wedge Capital Partners 27,276,127 2.0¢
TimesSquare 31,522,148 2.3¢
Great Lakes SmidCap 27,302,486 2.0¢
Reinhart Partners 27,467,589 2.0¢
Lee Munder (LMCG)52,063,794 3.8¢
Loomis Small Cap 61,064,947 4.5¢
Lazard 88,141,973 6.4¢
Pictet 81,557,360 6.0¢
Berkeley Street 38,508,813 2.8¢
ABS Global 57,629,623 4.2¢
CS McKee 247,157,352 18.1¢
Loomis Fixed Income 112,358,501 8.2¢
Franklin Templeton 77,454,354 5.7¢
Churchill Senior Loan Fund 20,381,740 1.5¢
Morgan Stanley 65,705,331 4.8¢
Prudential PRISA II 27,415,510 2.0¢
Alidade Capital Fund IV 2,247,454 0.2¢
Walton Street Real Estate 6,332,153 0.5¢
AEW Real Estate 5,285,915 0.4¢
Dune Real Estate IV 1,799,285 0.1¢
Macquarie II U.S.2,160,759 0.2¢
Macquarie Fund III Europe -0.0¢
ValStone Opportunity Fund V 3,326,147 0.2¢
Cash and Equivalents Account 116,210 0.0¢
Private Markets Cash 6,370,830 0.5¢
Asset Allocation By Manager
Total Fund Composite
As of December 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
12/31/2019
Total Fund Composite 1,310,590,295 -1,653,971 -8,400,000 -2,257,272 -10,132 5,970,555 59,475,107 1,367,022,523
Total Equity Composite 732,834,305 -3,000,000 82,947 --182,765 -10,132 2,421,730 56,764,897 788,910,982
Total Domestic Equity 485,616,532 -3,000,000 ----9,512 1,525,017 38,941,176 523,073,213
Total Large Cap Equity Composite 275,149,588 -3,000,000 ----9,473 688,706 23,547,300 296,376,121
SSgA S&P 500 73,895,185 -3,000,000 ----3,683 -6,496,890 77,388,392
SSgA S&P 500 Equal Weighted Index 67,995,904 -----5,790 -5,250,766 73,240,880
T. Rowe Price 133,258,500 -----688,706 11,799,644 145,746,850
Total Mid Cap Equity Composite 107,244,073 -----39 559,424 5,764,892 113,568,351
Wedge Capital Partners 26,320,097 -----268,383 687,646 27,276,127
TimesSquare 29,097,632 -----39 73,523 2,351,031 31,522,148
Great Lakes SmidCap 25,769,123 -----122,521 1,410,843 27,302,486
Reinhart Partners 26,057,221 -----94,997 1,315,372 27,467,589
Total Small Cap Equity Composite 103,222,871 -----276,887 9,628,983 113,128,741
Lee Munder (LMCG)47,794,976 -----216,531 4,052,286 52,063,794
Loomis Small Cap 55,427,895 -----60,355 5,576,697 61,064,947
Total International Equity 191,384,527 -82,947 --182,765 -621 896,713 16,027,346 208,208,147
Lazard 81,257,088 -----621 486,675 6,398,831 88,141,973
Pictet 76,016,420 ----99,818 -410,038 5,230,720 81,557,360
Berkeley Street 34,111,019 -82,947 --82,947 --4,397,794 38,508,813
Total Long/Short Equity Composite 55,833,247 ------1,796,376 57,629,623
ABS Global 55,833,247 ------1,796,376 57,629,623
Total Fixed Income Composite 455,785,590 -500,457 ----2,695,032 -628,218 457,351,947
Total Domestic Fixed Income 358,283,378 -----2,695,032 -1,462,558 359,515,853
CS McKee 246,503,355 -----1,828,312 -1,174,316 247,157,352
Loomis Fixed Income 111,780,023 -----866,720 -288,242 112,358,501
Total Global Fixed 76,620,015 ------834,340 77,454,354
Franklin Templeton 76,620,015 ------834,340 77,454,354
Private Fixed Income 20,882,197 -500,457 ------20,381,740
Churchill Senior Loan Fund 20,882,197 -500,457 ------20,381,740
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2019
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2019
Market Value
10/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2019
Total Real Assets 117,270,498 -4,952,880 ---2,074,507 -861,587 3,167,854 114,272,554
Total Real Estate (Composite)106,544,366 774,314 ---273,920 -861,587 879,300 108,785,648
Morgan Stanley 64,716,623 ----167,984 -638,895 517,796 65,705,331
Prudential PRISA II 26,910,501 ----79,188 -222,692 361,505 27,415,510
Alidade Capital Fund IV 2,073,230 174,224 ------2,247,454
Walton Street Real Estate 7,032,852 -673,950 ---26,749 ---6,332,153
AEW Real Estate 2,555,642 87,316 ------2,642,958
Dune Real Estate IV 699,876 1,099,409 ------1,799,285
Private Investments 10,726,132 -5,727,193 ---1,800,587 --2,288,554 5,486,906
Macquarie II U.S.3,399,039 -1,238,280 ------2,160,759
Macquarie Fund III Europe 3,976,395 -4,464,362 ---1,800,587 --2,288,554 -
ValStone Opportunity Fund V 3,350,698 -24,551 ------3,326,147
Total Cash Composite 4,699,901 8,453,336 1,571,024 -8,400,000 ---7,795 170,574 6,487,040
Cash and Equivalents Account 115,403 6,828,976 1,571,024 -8,400,000 --794 13 116,210
Private Markets Cash 4,584,498 1,624,360 -----8,589 170,561 6,370,830
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 1,367,022,523 100.0 2.04 5.01 5.01 18.32 18.32 8.98 7.14 8.88 9.14 5.58 06/01/1998
Total Fund Policy Index 1.92 4.89 4.89 18.40 18.40 9.10 7.20 8.71 8.99 6.03
Total Equity Composite 788,910,982 57.7 2.88 8.10 8.10 26.99 26.99 11.78 9.05 11.48 11.17 5.51 04/01/1998
Total Equity Index 3.27 8.90 8.90 27.97 27.97 12.51 9.80 12.93 12.20 6.83
Total Fixed Income Composite 457,351,947 33.5 0.23 0.45 0.45 7.65 7.65 4.04 3.16 2.90 4.30 5.20 04/01/1998
Total Fixed Income Index 0.07 0.20 0.20 8.59 8.59 4.09 2.96 2.48 3.53 4.85
Total Real Assets 114,272,554 8.4 3.61 3.61 3.61 10.55 10.55 10.18 10.57 11.59 11.60 7.59 07/01/2008
NCREIF Fund Index-ODCE (VW)1.52 1.52 1.52 5.35 5.35 7.10 8.97 10.17 11.42 5.41
Total Cash Composite 3,572,986 0.3
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2019
Page 7
Asset Allocation & Performance
Total Fund Composite
As of December 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 523,073,213 38.3 2.65 8.37 8.37 29.78 29.78 12.96 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 296,376,121 21.7 2.93 8.88 8.88 31.88 31.88 15.08 11.74 14.76 13.54 10.72 07/01/2008
SSgA S&P 500 (1.5 bps)77,388,392 5.7 3.01 9.07 9.07 31.44 31.44 15.25 11.69 14.72 13.56 13.86 10/01/2009
S&P 500 Index 3.02 9.07 9.07 31.49 31.49 15.27 11.70 14.73 13.56 13.86
SSgA S&P 500 Equal Weighted Index (4 bps)73,240,880 5.4 2.83 7.72 7.72 30.10 30.10 N/A N/A N/A N/A 7.50 02/01/2018
S&P 500 Equal Weighted 2.78 7.61 7.61 29.24 29.24 12.38 9.77 13.88 13.53 7.20
T. Rowe Price (25 bps)145,746,850 10.7 2.94 9.37 9.37 33.02 33.02 16.64 12.78 15.54 14.05 14.34 10/01/2009
S&P 500 Index 3.02 9.07 9.07 31.49 31.49 15.27 11.70 14.73 13.56 13.86
Total Mid Cap Equity Composite 113,568,351 8.3 1.92 5.90 5.90 26.62 26.62 10.53 8.07 12.03 12.08 9.54 07/01/2008
Wedge Capital Partners (75 bps)27,276,127 2.0 3.22 3.63 3.63 20.18 20.18 6.76 5.75 11.37 12.39 7.84 05/01/2007
Russell Midcap Value Index 3.04 6.36 6.36 27.06 27.06 8.10 7.62 12.00 12.41 7.25
TimesSquare (80 bps)31,522,148 2.3 1.14 8.33 8.33 38.63 38.63 18.31 12.82 15.23 14.38 15.23 09/01/2009
Russell Midcap Growth Index 1.17 8.17 8.17 35.47 35.47 17.36 11.60 14.81 14.24 15.09
Great Lakes SmidCap (55 bps)27,302,486 2.0 1.84 5.95 5.95 N/A N/A N/A N/A N/A N/A 4.14 05/01/2019
Russell 2500 Index 2.11 8.54 8.54 27.77 27.77 10.33 8.93 12.26 12.58 6.58
Reinhart Partners (65 bps)27,467,589 2.0 1.61 5.41 5.41 N/A N/A N/A N/A N/A N/A 8.35 05/01/2019
Russell 2500 Index 2.11 8.54 8.54 27.77 27.77 10.33 8.93 12.26 12.58 6.58
Total Small Cap Equity Composite 113,128,741 8.3 2.66 9.60 9.60 27.61 27.61 10.34 9.28 11.91 11.92 10.23 07/01/2008
Lee Munder (LMCG) (70 bps)52,063,794 3.8 3.17 8.93 8.93 27.48 27.48 5.77 8.71 11.33 11.26 9.36 09/01/2005
Russell 2000 Value Index 3.50 8.49 8.49 22.39 22.39 4.77 6.99 10.13 10.56 6.95
Loomis Small Cap (90 bps)61,064,947 4.5 2.23 10.17 10.17 27.55 27.55 18.12 12.50 15.43 N/A 15.09 09/01/2012
Russell 2000 Growth Index 2.29 11.39 11.39 28.48 28.48 12.49 9.34 13.08 13.01 12.98
Page 8
Asset Allocation & Performance
Total Fund Composite
As of December 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 208,208,147 15.2 4.30 8.84 8.84 24.44 24.44 11.15 7.33 6.91 6.86 4.39 07/01/2008
Total International Equity Index 4.36 8.99 8.99 22.13 22.13 10.40 6.01 5.93 5.29 3.05
Lazard (75 bps)88,141,973 6.4 4.22 8.47 8.47 21.41 21.41 11.65 6.69 7.80 7.99 6.03 09/01/2006
MSCI AC World ex USA 4.36 8.99 8.99 22.13 22.13 10.40 6.01 5.93 5.45 4.17
Pictet (65 bps)81,557,360 6.0 3.33 7.42 7.42 25.32 25.32 9.23 7.45 6.70 6.22 1.95 01/01/2008
MSCI EAFE Index 3.27 8.21 8.21 22.66 22.66 10.11 6.18 6.85 6.00 2.53
Berkeley Street (95 bps)38,508,813 2.8 6.61 12.89 12.89 29.92 29.92 15.09 8.85 5.56 N/A 6.30 11/01/2012
MSCI Emerging Markets Index 7.53 11.93 11.93 18.90 18.90 11.99 6.01 3.64 4.04 4.43
Total Long/Short Equity Composite 57,629,623 4.2 0.00 3.22 3.22 12.61 12.61 5.92 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)57,629,623 4.2 0.00 3.22 3.22 12.61 12.61 5.92 3.58 6.01 N/A 5.18 10/01/2010
HFRI FOF: Strategic Index 2.43 4.59 4.59 10.58 10.58 4.70 2.67 3.82 3.09 3.12
Total Domestic Fixed Income 359,515,853 26.3 -0.02 0.34 0.34 9.05 9.05 4.40 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)247,157,352 18.1 -0.12 0.27 0.27 8.86 8.86 4.18 3.36 2.93 N/A 3.90 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.07 0.18 0.18 8.72 8.72 4.03 3.05 2.72 3.75 3.62
Loomis Fixed Income (30 bps)112,358,501 8.2 0.19 0.52 0.52 9.48 9.48 4.94 3.86 3.72 N/A 5.58 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.07 0.18 0.18 8.72 8.72 4.03 3.05 2.72 3.75 3.66
Total Global Fixed 77,454,354 5.7 1.49 1.09 1.09 1.84 1.84 1.93 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)77,454,354 5.7 1.49 1.09 1.09 1.84 1.84 1.93 1.38 1.57 N/A 2.79 04/01/2010
JPM Global Government Bond Index 0.17 -0.52 -0.52 6.02 6.02 4.01 2.16 0.97 2.15 2.32
Page 9
Asset Allocation & Performance
Total Fund Composite
As of December 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)108,785,648 8.0 1.63 1.63 1.63 7.44 7.44 8.81 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)1.52 1.52 1.52 5.35 5.35 7.10 8.97 10.17 11.42 7.69
Morgan Stanley (84 bps)65,705,331 4.8 1.79 1.79 1.79 7.38 7.38 8.76 10.45 11.96 13.03 6.65 01/01/2008
NCREIF Fund Index-ODCE (VW)1.52 1.52 1.52 5.35 5.35 7.10 8.97 10.17 11.42 5.33
Prudential PRISA II (85 bps)27,415,510 2.0 2.17 2.17 2.17 7.60 7.60 8.64 10.66 11.79 N/A 12.13 10/01/2011
NCREIF Property Index 0.00 0.00 0.00 4.80 4.80 6.15 7.92 8.90 10.01 9.20
Total Cash Composite 6,487,040 0.5
Cash and Equivalents Account (No fee)116,210 0.0
Private Markets Cash 6,370,830 0.5
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 5.26 5.26 6.27 7.39 N/A N/A 7.34 08/27/2014
Macquarie II U.S.0.00 0.00 0.00 9.37 9.37 8.57 7.01 5.39 9.11 8.06 10/09/2008
Macquarie Fund III Europeº81.86 17.23 17.23 62.16 62.16 30.01 13.10 9.82 9.29 8.69 10/17/2008
Alidade Capital Fund IV 0.00 0.00 0.00 5.97 5.97 N/A N/A N/A N/A 4.27 04/20/2017
Walton Street Real Estate 0.00 -0.39 -0.39 5.61 5.61 N/A N/A N/A N/A 10.27 05/25/2017
AEW Real Estate 0.00 0.00 0.00 12.85 12.85 N/A N/A N/A N/A 8.72 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 0.00 5.69 5.69 N/A N/A N/A N/A 6.59 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 -17.33 08/22/2019
º As of periods ending 11/30/2019
Comparative Performance - IRR
Private Investments
As of December 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
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