HomeMy WebLinkAboutReports - 2020.02.20 - 32823<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="2" EffectiveDate="02/29/2020" Interval="1" />
Investment Performance Review
Period Ending February 29, 2020
Oakland County ERS
Superseding Trust
Monthly Flash Report
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBGVBGS&P 500 Total Return(8.23) (5.50) (8.27) 8.19 9.87 9.23Russell Midcap Index(8.69) (7.34) (9.42) 2.34 6.57 6.37Russell 2000 Index(8.42) (8.80) (11.36) (4.92) 3.52 5.12Russell 1000 Growth Index(6.81) (1.85) (4.73) 15.11 15.67 12.41Russell 1000 Value Index(9.68) (9.20) (11.63) 0.54 3.78 5.51Russell 3000 Index(8.19) (5.64) (8.29) 6.90 9.28 8.72MSCI EAFE NR(9.04) (8.05) (10.94) (0.57) 3.92 1.96MSCI EM NR(5.27) (2.95) (9.69) (1.88) 4.89 2.73Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies02/29/2012/31/1912/31/18U.S. Aggregate1.80 3.69 3.76 11.68 5.88 1.68Euro Spot1.10 1.12 1.15U.S. Corporate Investment Grade 1.34 4.05 3.71 15.81 8.15 2.40British Pound Spot1.28 1.33 1.28U.S. Corporate High Yield(1.41) 0.59 (1.38) 6.10 3.48 6.23Japanese Yen Spot107.89 108.61 109.69Global Aggregate0.67 2.55 1.96 7.92 7.23 1.07Swiss Franc Spot0.96 0.97 0.9802/29/2012/31/1912/31/1812/31/1712/31/16Commodities02/29/2012/31/1912/31/18Key Rates3 Month1.27 1.54 2.35 1.38 0.50Oil44.76 60.41 48.86US 2 Year0.91 1.57 2.49 1.88 1.19Gasoline2.44 2.59 2.26US 10 Year1.15 1.92 2.68 2.41 2.44Natural Gas1.68 2.15 2.53US 30 Year1.68 2.39 3.01 2.74 3.07Gold1,566.70 1,529.30 1,187.30ICE LIBOR USD 3M1.46 1.91 2.81 1.69 1.00Silver16.46 18.01 16.50Euribor 3 Month ACT/360(0.42) (0.38) (0.31) (0.33) (0.32)Copper254.00 280.75 265.75Bankrate 30Y Mortgage Rates Na 3.62 3.86 4.51 3.85 4.06Corn368.25 394.75 412.75Prime4.75 4.75 5.50 4.50 3.75BBG Commodity TR Idx151.32 172.00 159.72Source: 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.February 29, 2020Index Returns (%)L -11.6 -8.1 -4.7L26.5 31.4 36.4M -11.7 -9.4 -6.0M27.0 30.5 35.5Levels (%)Levels25.5 28.4YTD2019Index Returns (%)LevelsS -14.6 -11.4 -8.2S22.4-3.61-3.88-5.01-5.48-6.97-7.77-8.27-9.20-9.73-13.51-14.05-24.01-30.0-25.0-20.0-15.0-10.0-5.00.0YTD Sector Returns50.2932.6932.0931.4829.3229.0027.9427.6126.3524.5820.8211.810.010.020.030.040.050.060.02019 Sector Returns
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 (39.5%)
Total Equity Composite (60.5%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 15,132,608 100.0 100.0 -
Total Equity Composite 9,153,183 60.5 60.0 -73,618
Total Fixed Income Composite 5,979,426 39.5 40.0 73,618
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of February 29, 2020
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January 31, 2020 : $15,869,410 February 29, 2020 : $15,132,608
Allocation
Market Value Allocation
SSgA S&P 500 9,974,587 62.9¢
CS McKee 5,894,822 37.1¢
Allocation
Market Value Allocation
SSgA S&P 500 9,153,183 60.5¢
CS McKee 5,979,426 39.5¢
Asset Allocation By Manager
Total Fund Composite
As of February 29, 2020
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Financial Reconciliation Month to Date
Market Value
01/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
02/29/2020
Total Fund Composite 15,761,945 -----31,097 -660,433 15,132,608
Total Equity Composite 9,979,422 -------826,240 9,153,183
SSgA S&P 500 9,979,422 -------826,240 9,153,183
Total Fixed Income Composite 5,782,522 -----31,097 165,806 5,979,426
CS McKee 5,782,522 -----31,097 165,806 5,979,426
Financial Reconciliation
Total Fund
Quarter To Date Ending February 29, 2020
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Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR Inception Inception
Date
Total Fund Composite 15,132,608 100.0 -4.64 -3.99 1.41 -3.99 9.40 8.13 N/A N/A 7.15 04/01/2015
Total Fund Policy Index -4.22 -3.50 1.76 -3.50 9.94 8.17 N/A N/A 7.45
Total Equity Composite 9,153,183 60.5 -8.24 -8.28 0.04 -8.28 8.16 9.85 N/A N/A 9.58 06/01/2015
S&P 500 Index -8.23 -8.27 0.05 -8.27 8.19 9.87 9.23 12.29 9.59
SSgA S&P 500 (1.5 bps)9,153,183 60.5 -8.24 -8.28 0.04 -8.28 8.16 9.85 N/A N/A 9.58 06/01/2015
S&P 500 Index -8.23 -8.27 0.05 -8.27 8.19 9.87 9.23 12.29 9.59
Total Fixed Income Composite 5,979,426 39.5 1.44 3.41 3.58 3.41 11.36 5.16 N/A N/A 3.85 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 1.80 3.76 3.95 3.76 11.68 5.01 3.58 3.29 3.54
CS McKee (35 bps)5,979,426 39.5 1.44 3.41 3.58 3.41 11.36 5.16 N/A N/A 3.85 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 1.80 3.76 3.95 3.76 11.68 5.01 3.58 3.29 3.54
Asset Allocation & Performance
Total Fund Composite
As of February 29, 2020
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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. 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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 6
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