HomeMy WebLinkAboutReports - 2019.12.31 - 33079<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="1" EffectiveDate="12/31/2019" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending December 31, 2019
Oakland County ERS
Superseding Trust
Executive Summary Page 1
Asset Allocation Vs. Policy Targets Page 13
Asset Allocation Pie Charts Page 14
Historical Asset Allocation Page 16
Performance Review Trailing Periods Page 18
Total Fund Analysis Page 20
SSgA S&P 500 Page 22
CS McKee Page 24
Historical Hybrid Composition Page 26
Definitions & Disclosure Pages Page 27
Table Of Contents
EXECUTIVE SUMMARY: 4Q 2019 Market Summary: The dual inspiration of a possible resolution to the trade war and stimulus from central banks drove the equity markets into full rally mode during the fourth quarter. The encouraging tone on US-China trade negotiations boosted the prospects of stronger global economic growth across the developed and emerging markets. Equities were further aided by a rate cut from the US Federal Reserve and continued stimulus from other major central banks. Domestically, small caps and growth led the way this quarter, as is often the case during strong “risk on” periods. The S&P 500 returned 9.1% during the quarter, lagging the Russell 2000’s 9.9% gain (Russell 2000 Growth returned 11.4%). International markets benefited from a declining dollar with the Emerging Markets generating the biggest gains; the MSCI EAFE index rose 8.2% and the MSCI EM Index posted an 11.8%. After three quarters of strong performance to start 2019, the fixed income markets took a breather this quarter. Interest rates trended modestly higher as additional rate cuts were not anticipated. The BB US Aggregate Index returned 0.2% for the quarter; treasuries were the weakest segment (-0.8%) and investment grade corporates the strongest (1.2%). 2019 was a great year for investors – fixed income was up over 8% and equities return 20 – 30%. Conclusions/Recommendations: 1. The Total Fund returned 5.62% during the quarter, outperforming the Policy Index by 0.16% and ranking in the top third of the public fund universe. 2. The Total Fund posted a return of 22.27% over the past year, ranking near the top of the peer group and performing in line with the Policy Index. The Fund benefited from the allocations to large cap equities and core fixed income, two of the better performing asset classes in 2019. 3. Both managers performed in line with their benchmark this quarter and meet longer-term performance expectations. 4. At quarter-end, both allocations were within policy ranges and near target allocations. 5. AndCo does not have any recommendations at this time. Page 1
AndCoFirm UpdateFirst and foremost, “Thank you” for giving AndCo the opportunity to serve you.On behalf of our entire organization, we are extremely grateful and appreciativeof our client partnerships and will continue working hard to maintain yourtrustand confidence. Our mission statement reads “To represent the sole interest ofour clients by redefining independence.” We’re happy to report that we remainsteadfast in this core belief and continue to build an organization with a servicemodel that is independent, singularly focused, customized and passionatelydelivered.2020 is a big year for AndCo. We are celebrating our 20-year anniversary ofserving our valuable clients. As we start 2020, we are 89 people strongadvising approximately $92 billion in client assets – a record high. In 2019wehired 9 new team members. All departments within AndCo have grown overthe years as we thoughtfully invest in our firm to provide the services youexpect. We have included our organizational chart in this report which yourconsultant will review to provide you a visualization of our continuedcommitment to service and quality.2020 will also represent another year of significant investment in theorganization. As a result, your feedback is invaluable as we continue to focusour reinvestment in areas that will enhance our services to clients. We wouldlike to thank everyone for their participation in our client survey last year. Yourhonesty and candor allowed us to accurately assess where we are strong andwhere there are opportunities for improvement. The areas where our clientsindicate potential room for improvement drive much of our investment andfocus.Thisisaprimaryreasonwhywehired7newteammembersinourresearch group last year to help promote investment ideas and support ourconsultants. Today, we have 19 dedicated research analysts. As 2020progresses, we are targeting additional investments within our finance,compliance, human resources, information technology, marketing and researchdepartments.Moreover, each January we have our annual firmwide retreat. This retreat isagreat time for all of our employees to spend time together and for us toreinforce everyone’s understanding of AndCo’s primary purpose, share resultshighlighted by our strategic goals, and review areas of focus for the upcomingyear. Since the inception of AndCo, the idea has been to make the firm amultigenerational organization owned and operated by its employees. As aresult, since 2015, along with the strategic elements of our annual retreat, wealso announce new partners of the firm to support our succession plan and thelong-term sustainability of the organization. Today we have a total of 10partners controlling 100% of the company. This year we added two newpartners Kim Spurlin and Evan Scussel. Kim has been on our ExecutiveLeadership team for the past 7 years and currently serves as our CFO. Evanhas been on our research team for 7 years and was recently promoted to aResearch Director. We couldn’t be happier for both Kim and Evan.The evolution of our firm would not be possible without great client partners likeyou. Our name reminds us who we work for every day “Our Client” &Co. Youwill always be our first priority. As we continue to discuss strategic decisionsregarding our firm, please know every decision is filtered through the followingquestion “How does this benefit our clients?” and if it doesn’t benefit you,wedon’t do it, it’s that simple. We said this last year and we’ll say it again nextyear. If this commitment ever falters, you need to find a new consultant.We know each of our clients is facing many challenges and we want to bethere to help support you through all environments. We are honored andhumbled that you have chosen AndCo as your partner. We do not take thatrelationship and responsibility for granted and will continue to work tirelessly toexceed your expectations.On behalf of AndCo, thank you for your valued partnership and the opportunityto serve you.Mike Welker, CFA®CEOPage 2
Organizational ChartPARTNERSHIPAustin Brewer, CFAPublic Fixed IncomeBen Baldridge, CFA, CAIAPrivate & Hedged Fixed IncomeDavid JulierReal Estate & Real AssetsElizabeth WolfeCapital Markets & Asset AllocationEvan Scussel, CFA, CAIAPrivate & Public EquityJeffrey KaranskyPublic EquityJeremy FischPublic Multi Assets & Fixed IncomeJoseph Ivaszuk Operational Due DiligenceJosue Christiansen, CIPMPublic EquityJulie Baker, CFAPrivate & Hedged EquityJustin Ellsesser, CFA, CAIAPrivate EquityKadmiel Onodje, CAIAHedged & Public Multi AssetsKai Petersen, CFAAsset Liability & Capital MarketsKevin Laake, CFAPrivate EquityMatthew OgrenPublic Fixed IncomePhilip Schmitt, CIMAFixed Income & Capital MarketsRob Mills, CAIAReal Estate & Real AssetsTim Kominiarek, CAIAPrivate Equity & InfrastructureZac Chichinski, CFA, CIPMPublic EquityRESEARCHDonna SullivanAlbert SauerlandAmy FosterAnnie LopezBrooke Wilson, CIPMDavid Gough, CPFADonnell LehrerGrace NiebrzydowskiJeff PruniskiJohn Rodak, CIPMJunyan PengKim HummelMary Ann JohnsonMeghan HainesMisha BellRosemarie KieskowskiYoon Lee-ChoiCLIENT SOLUTIONS Annette BidartBrad Hess, CFABrendon Vavrica, CFPBrian GreenBrian KingChris Kuhn, CFA, CAIAChristiaan Brokaw, CFADave West, CFADoug AndersonGwelda SwilleyIan JonesCONSULTINGJames RossJeff Kuchta, CFAJennifer BrozstekJennifer Gainfort, CFAJoe Carter, CPFAJohn McCann, CIMAJohn MellingerJohn Thinnes, CFA, CAIAJon Breth, CFPJustin Lauver, Esq.Kerry Richardville, CFAMary NyeMichael FleinerMichael Holycross, CIMAMike BostlerPaul Murray, CPFAPeter BrownTim NashTim WaltersTony KayTrevor JacksonTyler Grumbles, CFA, CIPM21 CFA5 CIPM8 CAIA33ADVANCEDDEGREES89EMPLOYEESOPERATIONSFINANCEBrandie RiveraOPERATIONSDan Osika, CFAJerry CamelI.T.Jamie UttMARKETINGBonnie BurgessKim GoodearlTala ChinMike Welker, CFABryan Bakardjiev, CFADavid RaySara SearleTroy Brown, CFAINVESTMENT POLICY COMMITTEEUpdated as of 01/13/20Mike Welker, CFABryan Bakardjiev, CFADan JohnsonDavid RayDonna SullivanEvan Scussel, CFA, CAIAJason PurdyKim Spurlin, CPA Steve GordonTroy Brown, CFALEADERSHIP & MANAGEMENTMike Welker, CFACEOBryan Bakardjiev, CFACOOKim Spurlin, CPA CFOSara SearleCCORachel Brignoni, MHRCHROSteve GordonPartnerTroy Brown, CFAExecutive DirectorDavid Ray Executive DirectorDan JohnsonConsulting DirectorDerek Tangeman, CFP, CIMAMarketing DirectorEvan Scussel, CFA, CAIAResearch DirectorJack EvattConsulting DirectorJacob PeacockConsulting DirectorJason PurdyI.T. DirectorPhilip Schmitt, CIMAResearch DirectorPage 3
4th Quarter 2019 Market EnvironmentPage 4
Broad asset class returns were positive during the 4thquarter of 2019 with theexception of the US Gov’t bond index. Both US and international equitymarkets benefited from positive developments concerning trade disruptions.Generally, the dispersion between US and international developed equitieswas muted during the quarter. Emergingmarkets significantly outperformed aspreviously noted trade tensions between the US and China eased. Monetarypolicy remained supportive with the Federal Reserve (Fed) cutting rates onceduring the period in addition to providing liquidity to the market throughsecurity purchases which acted as a catalyst to risk assets. Within domesticequity markets, the performance dispersion between large cap and small capstocks reversed during the quarter with the S&P 500 Index returning 9.1%versus a return of 9.9% for the small cap Russell 2000 Index. 2019performance of US equity markets was the highest since 2013 with large andmid-cap stocks returning 31.5% and 30.5%, respectively, while small capstocks posted a return of 25.5%.International equity market returns were strong during the 4thquarter. Similarto US markets, international performance was impacted by continuedmonetary policy relief from the Bank of Japan and the European Central Bank,positive developments around global trade, and likely resolution on Brexit.International returns were also buoyed by a weakening US dollar (USD) whichdeclined against most major currencies during the period. Emerging marketsoutperformed relative to developed markets during the period with the MSCIEmerging Markets Index posting a gain of 11.8% compared to a return of 8.2%for the MSCI EAFE Index. Both developed and emerging markets postedstrong returns over the 1-year period, returning 22.0% and 18.4% respectively.Fixed income index performance was muted during the 4thquarter. The broadmarket Bloomberg Barclays Aggregate Index managed to gain 0.2% asinvestors favored equities and interest rates were generally flat duringthequarter as concerns over an immanent US recession eased. Investment gradecorporate bonds delivered solid performance for the 4thquarter returning 1.2%,which outperformed Treasury andsecuritized issues. Corporate bondsbenefitted from the same increased investor risk appetite that fueled equityreturns during the quarter. Overall, the bond market delivered strong trailing 1-year returns with the Bloomberg Barclays Aggregate posting a return of 8.7%.Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of December 31, 20190.5%1.2%0.7%0.8%-0.8%0.2%9.9%7.1%9.0%9.1%9.1%11.8%8.2%8.9%-2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUSQuarter Performance2.3%14.5%6.4%8.4%6.8%8.7%25.5%30.5%31.4%31.0%31.5%18.4%22.0%21.5%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUS1-Year PerformancePage 5
Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of December 31, 2019Against the largely positive global economic backdrop detailed on the previouspage, the US equity market delivered strong gains across the capitalizationand style spectrum for the 4thquarter of 2019. Growth stocks outperformedvalue stocks for the full capitalization range during the period. Further,asisoften the case during periods of strong “risk-on” performance, small cap growthstocks outpaced large cap growth stocks due primarily to an expectation thatsmaller companies have accelerated earnings growth relative to largecompanies.The Russell 2000 Growth Index was the best performing style index for theperiod, returning 11.4%, while large cap and mid-cap growth returned a solid10.6% and 8.2% respectively. The outperformance of small cap stocks acrossthe style spectrum for the period represented a reversal from previousquarters. The small cap Russell 2000 Index gained 9.9% during the periodversus a 9.0% return for the large cap Russell 1000 Index.When viewed over the most recent 1-year period, large cap stocks significantlyoutperformed small cap stocks with the Russell 1000 posting a strong 31.4%gain while the Russell 2000 delivered a solid 25.5% return. Unsurprisingly,given the recent strong market environment, value stocks also trailed theirgrowth counterparts over the trailing 1-year period. The technology-heavyRussell 1000 Growth Index was the best performing index over the 1-yearperiod delivering a stellar 36.5% return compared to a return of 26.5% for theRussell 1000 Value Index11.4%9.9%8.5%8.2%7.1%6.4%10.6%9.0%7.4%10.7%9.1%7.5%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series28.5%25.5%22.4%35.5%30.5%27.1%36.4%31.4%26.5%35.8%31.0%26.3%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 6
Performance was positive across alleleven large cap economic sectors forthe 4th quarter but four outpaced the return of the broader Russell 1000Index. The more economically sensitive sectors, such as technology,financials and communication services posted returns of 14.1%, 9.9% and9.2%, respectively, as investors’ expectations of future economic growthimproved. Health care stocks ralliedas the cost and drug pricing rhetoricfromDemocratic Presidential candidates softened. Technology was also a leaderwith stocks such as Apple experiencing strong holiday sales and Microsoftmaking a strong earnings announcement. Not surprisingly, defensive sectorssuch as consumer staples, industrials and energy underperformed thebroader market during the period. All eleven economic sectors were alsopositive over the 1-year trailing period with each sector posting a returninexcess of 20% for the year. Similar to the quarter’s results, economicallysensitive sectors outpaced defensive ones by a considerable margin. Thetechnology sector was 2019’s standout performer, posting an impressive49.6% for the year. The sector was buoyed by Apple’s 89.0% return andMicrosoft’s 57.6% return for the year. The financial sector, which returned31.8% for the year, also experienced strong earnings as recessionary fearssubsided and the US yield curve moved toward a more normal, positivelyslope. The only other economic sector to outperform the broader Russell1000 index return of 31.4% for the 1-year period was the communicationservices sector, which posted a return of 32.9% for the year.Quarterly results for small cap sectors were mixed compared to their largecap counterparts with seven of the eleven economic sectors outpacing theircorresponding large cap equivalents. Ten of the eleven small cap sectorsproduced positive absolute returnsduring the quarter, but similar to large capperformance, only three sectors managed to outpace the broad Russell 2000Index. Economically sensitive sectors were also the strongest performersinthe small cap space as investors expressed an appetite for risk. The healthcare sector was the quarter’s standout, posting a return of 22.4% for thequarter. The technology and materials sectors also posted double-digitperformance for the period with returns of 11.7% and 11.5% respectively.While not a significant weight in the index, the utilities, which are considereddefensive, was the only negative sector, posting a loss of -1.6%. Over thetrailing 1-year period, returns were broadly positive with only the highlycyclical energy sector, largely tied to oil prices, producing negativeperformance with a return of -6.3%. Similar to large cap performance,technology led the way with the sector returning a stellar 42.7% for the year.Returns were also impressive in the industrials, health care and real estatesectors, which posted gains of 29.9%, 29.4% and 29.1%, respectively, andfinished ahead of the Russell 2000 index return of 25.5% for the year.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of December 31, 2019Source: Morningstar DirectAs a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. 25.6%29.1%22.9%49.6%30.0%21.4%31.8%10.6%26.9%27.9%32.9%0.5%0.3%6.4%14.1%5.7%14.4%9.9%5.8%3.5%5.5%9.2%0.0% 10.0% 20.0% 30.0% 40.0% 50.0%Utilities (3.3%)Real Estate (3.9%)Materials (2.8%)Info Technology (22.4%)Industrials (9.7%)Health Care (13.5%)Financials (13.2%)Energy (4.1%)Consumer Staples (6.9%)Consumer Disc (10.1%)Comm Services (9.9%)Russell 1000Quarter1-Year20.5%29.1%23.0%42.7%29.9%29.4%21.8%-6.3%15.9%21.5%9.4%-1.6%3.4%11.5%11.7%7.8%22.4%7.3%7.6%7.1%8.6%5.3%-10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0%Utilities (3.9%)Real Estate (8.2%)Materials (3.9%)Info Technology (13.6%)Industrials (16.2%)Health Care (16.7%)Financials (18.1%)Energy (3.1%)Consumer Staples (3.0%)Consumer Disc (11.0%)Comm Services (2.4%)Russell 2000Quarter1-YearPage 7
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of December 31, 2019Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 4.40% 31.5% 89.0% Information Technology NovoCure Ltd 0.35%12.7% 151.7% Health CareMicrosoft Corp 4.02% 13.8% 57.6% Information Technology The Medicines Co 0.30% 69.9% 343.8% Health CareAmazon.com Inc 2.57% 6.4% 23.0% Consumer Discretionary Generac Holdings Inc 0.29% 28.4% 102.4% IndustrialsFacebook Inc A 1.65% 15.3% 56.6% Communication Services Lumentum Holdings Inc 0.29% 48.1% 88.8%Information TechnologyBerkshire Hathaway Inc B 1.49% 8.9% 10.9% Financials Teladoc Health Inc 0.29% 23.6% 68.9% Health CareJPMorgan Chase & Co 1.46% 19.4% 47.3% Financials Arrowhead Pharmaceuticals Inc 0.28% 125.1% 410.7% Health CareAlphabet Inc A 1.35% 9.7% 28.2% Communication Services Haemonetics Corp 0.28% -8.9% 14.8% Health CareAlphabet Inc Class C 1.35% 9.7% 29.1% Communication Services Marriott Vacations Worldwide Corp 0.25%24.8% 85.9% Consumer DiscretionaryJohnson & Johnson1.31% 13.5% 16.2% Health Care Performance Food Group Co 0.25% 11.9% 59.5%Consumer StaplesVisa Inc Class A 1.08% 9.4% 43.3% Information Technology Trex Co Inc0.25% -1.2% 51.4% IndustrialsTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorTesla Inc 0.20% 73.7% 25.7% Consumer Discretionary Constellation Pharmaceuticals Inc 0.03% 629.3% 1074.8% Health CareSarepta Therapeutics Inc 0.03% 71.3% 18.2% Health Care Forty Seven Inc 0.04% 513.2% 150.4% Health CareUbiquiti Inc 0.01% 60.1% 91.6% Information Technology ChemoCentryx Inc 0.08% 483.3% 262.5% Health CareAdvanced Micro Devices Inc 0.16%58.2% 148.4% Information Technology Axsome Therapeutics Inc 0.12% 410.7% 3565.2% Health CareQorvo Inc 0.05% 56.8% 91.4% Information Technology Kodiak Sciences Inc 0.08% 400.3% 913.4% Health CareZillow Group Inc A 0.01% 54.8% 45.5% Communication Services Karuna Therapeutics Inc 0.02% 361.6% N/A Health CareAlign Technology Inc 0.07% 54.2% 33.2%Health Care Intra-Cellular Therapies Inc 0.07% 359.3% 201.2% Health CareZillow Group Inc C 0.02% 54.1% 45.5%Communication Services Synthorx Inc 0.03% 329.6% 302.1% Health CareTransocean Ltd 0.01% 53.9% -0.9% Energy Mersana Therapeutics Inc 0.01% 262.7% 40.4% Health CareSkyworks Solutions Inc 0.07% 53.2%84.1% Information Technology VBI Vaccines Inc 0.01% 192.9% -13.8% Health CareBottom 10 Performing Stocks (by Quarter) Bottom 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorBeyond Meat Inc 0.01% -49.1% N/A Consumer Staples resTORbio Inc 0.00%-83.1% -82.7% Health CareSage Therapeutics Inc 0.01% -48.5% -24.6% Health Care TransEnterix Inc 0.00% -81.8% -95.0% Health CareChesapeake Energy Corp 0.00% -41.4%-60.7% Energy Unit Corp 0.00% -79.4% -95.1% EnergyServiceMaster Global Holdings Inc 0.02% -30.8% 5.2% Consumer Discretionary Cyclerion Therapeutics Inc Ord Shrs 0.00% -77.6% N/A Health CareTwitter Inc 0.08% -22.2% 11.5% Communication Services Waitr Holdings Inc Class A 0.00% -74.9% -97.1% Consumer DiscretionaryTaubman Centers Inc 0.01% -22.1% -27.0% Real Estate Intelsat SA 0.02%-69.2% -67.1% Communication ServicesElastic NV 0.01% -21.9% -10.0% Information Technology Contura Energy Inc 0.01% -67.6% -86.2% EnergyEtsy Inc 0.02% -21.6% -6.9% Consumer Discretionary McDermott International Inc 0.01% -66.5% -89.7% EnergySinclair Broadcast Group Inc 0.01%-21.5% 29.0% Communication Services Pareteum Corp 0.00% -66.1%-74.1% Communication ServicesVentas Inc 0.07% -19.9%3.4% Real Estate Exela Technologies Inc 0.00%-65.4% -89.5% Information TechnologyPage 8
Source: MSCI Global Index Monitor (Returns are Net)Broad international equity returns were positive in both local currency and USDterms for the 4th quarter as investors benefited from a broad “risk-on”environment. US investors also benefited as the USD weakened relative tomost major developed and emerging market currencies during the period.Within the broader currency moves that boosted USD return, the British poundand the Euro appreciated relative to the USD during the quarter which actedasa headwind to holdings in those sub-markets. However, the macro impact ofthe USD weakness for the period was positive for US investors for the broadmarket international indexes. The MSCI EAFE and ACWI ex US Indexesreturned 8.2% and 7.9% respectively for the quarter. Similar to US markets,international equity markets were buoyed by loose central bank monetarypolicies which supplied the markets with liquidity. Christine Lagarde assumedthe presidency of the European Central Bank (ECB) and announced thatinterest rates would remain negative at -0.5% while the Bank of Japan’s keyrate also remains in negative territory at -0.1%. The People’s Bank of Chinaannounced during the quarter that it would continue with its prudent monetarypolicy with the goal of providing stimulus measures as needed.As previously noted, results for developed market indexes were stronglypositive for the 4th quarter. European stocks moved higher on expectationsofa trade resolution between China and the US. In the UK, Prime Minster BorisJohnson received a resounding mandate in recent elections resulting in a largemajority in Parliament. The results make it highly likely that the UK will leavethe European Union. The decrease in Brexit uncertainty led the British poundto rally against most major currencies. In contrast, the economy in Hong Kongfell into recession as continued political protests and the Chinese government’sresponse detracted from growth. While not as strong as US equity marketreturns, each of the broad, developed market benchmarks posted returns inexcess of 20% for the trailing 1-year period.For the 4th quarter, emerging markets reversed the recent trend and managedto outperform developed international markets. The MSCI Emerging MarketsIndex returned a strong USD return of 11.8%. As previously noted, theprospect of reduced trade tensions between the US and China stoked returnsin emerging markets. As a result, countries with greater sensitivities tocommodity prices and global trade activity performed well during the period. Asevidence, Russia and Brazil, both large energy exporters, returned 16.6%and15.6%, respectively, during the quarter. For the full year, emerging marketsdelivered strong returns in both local currency and USD terms. The MSCIEmerging Markets Index climbed 18.4%in local currency and 18.1% in USDterms. The narrow performance differential between local currency and USDemerging market returns is also observable across each of the internationalbenchmarks for the 1-year period as the year’s currency volatility largelybalanced out.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As December 31, 20197.0%10.8%5.7%9.5%6.4%4.5%5.2%5.0%8.0%10.5%12.5%9.9%11.8%7.0%8.8%8.2%7.9%8.9%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)Quarter PerformanceUSDLocal Currency19.7%19.1%12.7%18.1%18.5%23.6%21.7%21.6%26.8%17.5%19.2%15.5%18.4%19.3%23.6%22.0%22.5%26.9%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)1-Year PerformanceUSDLocal CurrencyPage 9
The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of December 31, 2019Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. MSCI - EAFE Sector Weight Quarter Return 1-Year ReturnCommunication Services 5.2% 4.8% 12.7%Consumer Discretionary 11.6% 9.4% 24.8%Consumer Staples 11.3% 1.9% 18.9%Energy 4.9% 3.8% 7.6%Financials 18.6% 8.4% 17.7%Health Care 12.2% 12.4% 30.7%Industrials 15.0% 10.0% 26.2%Information Technology 7.1% 12.6% 37.7%Materials 7.1% 10.5% 22.9%Real Estate 3.5% 4.2% 14.8%Utilities 3.7% 5.3% 19.2%Total 100.0% 8.2% 22.0%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 6.7% 7.0% 12.1%Consumer Discretionary 11.8% 11.4% 27.7%Consumer Staples 9.4% 1.9% 17.5%Energy 6.5% 6.5% 14.8%Financials 21.4% 8.1% 17.2%Health Care 8.9% 12.5% 27.7%Industrials 11.9% 9.6% 24.0%Information Technology 9.4% 15.5% 40.7%Materials 7.4% 10.8% 18.6%Real Estate 3.2% 7.3% 17.1%Utilities 3.4% 4.8% 17.4%Total 100.0% 8.9% 26.9%MSCI - Emerging Mkt Sector WeightQuarter Return 1-Year ReturnCommunication Services 11.0% 9.8% 11.2%Consumer Discretionary 14.2% 16.7% 35.1%Consumer Staples 6.3% 2.6% 10.7%Energy 7.4% 9.8% 19.8%Financials 24.2% 9.8% 12.6%Health Care 2.8% 14.7% 3.7%Industrials 5.3% 7.8% 7.1%Information Technology 15.7% 18.9% 41.6%Materials 7.4% 12.3% 5.9%Real Estate 3.0% 17.6% 23.9%Utilities 2.6% 4.3% 7.9%Total 100.0% 11.8% 18.4%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 24.5% 16.1% 7.6% 19.6%United Kingdom 16.5%10.8% 10.0% 21.1%France 11.4% 7.5% 8.5% 25.7%Switzerland 9.3% 6.1% 7.6% 32.3%Germany 8.7% 5.7% 9.9% 20.8%Australia 6.8% 4.5% 4.3% 22.9%Netherlands 4.0%2.6% 7.4% 32.1%Hong Kong 3.5% 2.3% 7.3% 10.3%Spain 2.8% 1.9% 6.0% 12.0%Sweden 2.7% 1.8% 13.1% 21.2%Italy 2.3% 1.5% 8.1% 27.3%Denmark 1.8% 1.2% 13.1% 28.2%Singapore 1.3% 0.8% 7.4% 15.0%Belgium 1.0% 0.7% -1.1% 20.3%Finland 0.9% 0.6% 3.0% 9.5%Norway 0.6% 0.4% 4.3% 10.4%Ireland 0.6% 0.4% 18.5% 37.5%Israel 0.6% 0.4% 7.2% 9.6%New Zealand 0.3% 0.2% 17.4% 38.2%Austria 0.2% 0.2% 8.0% 14.5%Portugal 0.2% 0.1% 8.7% 23.7%Total EAFE Countries 100.0% 65.8% 8.2% 22.0%Canada 6.7% 4.9% 27.5%Total Developed Countries 72.5% 7.9% 22.5%China 9.4% 14.7% 23.5%Korea 3.2% 13.4% 12.5%Taiwan 3.2% 17.9% 36.4%India 2.4% 5.3% 7.6%Brazil 2.1% 14.2% 26.3%South Africa 1.3% 13.1% 10.0%Russia 1.1% 16.8% 50.9%Saudi Arabia 0.7% 2.7% 7.2%Thailand 0.7% -0.9% 9.5%Mexico 0.6% 6.2% 11.4%Indonesia 0.5% 7.0% 9.1%Malaysia 0.5% 3.1% -2.0%Philippines 0.3% 2.9% 10.5%Qatar 0.3% 2.2% -1.0%Poland 0.2% 4.1% -5.9%Chile 0.2% -8.8% -16.9%United Arab Emirates 0.2% -1.5% 4.0%Turkey 0.1% -0.1% 11.1%Colombia 0.1% 14.4% 30.8%Peru 0.1% 6.0% 4.8%Greece 0.1% 12.7% 43.2%Hungary 0.1% 22.2% 19.4%Argentina 0.0% 15.4% -20.8%Czech Republic0.0% 8.9% 4.2%Egypt 0.0% 5.6% 41.8%Pakistan 0.0% 26.5% 9.7%Total Emerging Countries 27.5% 11.8% 18.4%Total ACWIxUS Countries 100.0% 8.9% 26.9%Page 10
Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of December 31, 2019Fixed income markets extended their gains in the 4th quarter, except for USTreasury bonds which declined during the period. Interest rates rose modestlyacross the US Treasury Yield Curve through the quarter as investors’confidence generally improved which resulted in bond prices falling. TheFedcontinued to provide liquidity by cutting short-term interest rates by 25basispoints to between 1.50% and 1.75% in October. The Fed began expanding itsbalance sheet by purchasing securities to provide the market with liquiditywhich is another form of monetary easing. The Fed made no changes tomonetary policy at their December meeting and signaled that they wouldremain on hold but would continue to monitor the economy closely for anyfurther deterioration. Importantly, the US Treasury Yield Curve normalizedbetween the 2-year and 10-year issues which suggests that the threat of animminent recession has been reduced. An inverted yield curve has historicallypreceded a recession within the next 6-24 months. The bellwether BloombergBarclays US Aggregate Index added0.2% during the 4th quarter whilereturning 8.7% for the 1-year period ending in December.Within investment grade credit, lower quality issues resumed theiroutperformance over higher quality issues as investors’ appetites for riskincreased during the quarter. Bonds rated Baa were the best performinginvestment grade credit quality segment returning 1.7% for the quarter, whileAAA was the worst performing, returning -0.2%. High yield corporate bondsoutpaced all other credit sectors during the quarter returning 2.6%. For the fullyear both investment grade and high yield bonds delivered strong performancereturning 14.5% and 14.3% respectively.Performance across defensive sectorssuch as US Treasury bonds, mortgagebacked securities and TIPS were mixed during the quarter mostly due to theirduration profiles. Rising interest rates during the quarter acted as a headwindto performance. As a result, US Treasury bonds, mortgage bonds and TIPSreturned -0.8%, 0.7% and 0.8% respectively. Overall, fears of rising inflationremain relatively low while expectations for a positive economic environmentremain strong. As a result, for the full 1-year period, US Treasury, mortgagesand TIPS returned 6.9%, 6.4% and 8.4% respectively, trailing all corporatecredit sectors significantly over the full year.0.6%0.7%0.5%0.2%0.8%1.2%0.7%-0.8%2.6%1.7%0.7%0.0%-0.2%-1.0% 0.0% 1.0% 2.0% 3.0%Multiverse (7.0)Global Agg x US (8.2)Intermediate Agg (3.7)Aggregate (5.9)U.S. TIPS (4.7)U.S. Corporate IG (7.9)U.S. Mortgage (3.2)U.S. Treasury (6.5)U.S. High Yield (3.0)Baa (8.0)A (7.8)AA (6.8)AAA (5.1)Quarter Performance 7.1%5.1%6.7%8.7%8.4%14.5%6.4%6.9%14.3%16.4%13.0%9.5%6.7%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0%Multiverse (7.0)Global Agg x US (8.2)Intermediate Agg (3.7)Aggregate (5.9)U.S. TIPS (4.7)U.S. Corporate IG (7.9)U.S. Mortgage (3.2)U.S. Treasury (6.5)U.S. High Yield (3.0)Baa (8.0)A (7.8)AA (6.8)AAA (5.1)1-Year PerformancePage 11
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of December 31, 2019Global fixed income returns were positive during the 4th quarter. Generally,global central bank monetary policy remains supportive as low economicgrowth persists in much of the world outside of the US. As a result, negativeinterest rates persist in much of Europe and Japan. However, the number ofbonds with negative yields declined in recent months as future expectations foreconomic growth improved. As mentioned previously, we saw currencyvolatility increase during the quarter with the USD moving lower against mostmajor developed and emerging market currencies. The depreciation of theUSD acted as a catalyst for US investors compared to local investors. Globalbonds, as represented by the Bloomberg Barclays Global Aggregate ex USIndex, returned was 0.7% during the quarter which outperformed US bondsrepresented by the Bloomberg Barclays Aggregate Index. For the full 1-yearperiod, global bonds underperformed domestic bonds 5.1% versus 8.7%respectively.Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the line graphs to the right.The ‘1-Year Trailing Market Rates’ chart illustrates that over the last year, the10-year Treasury yield (green line) fell from highs near 2.8%, to yields below1.5% before ending the quarter at 1.92%. The blue line illustrates changesinthe BAA OAS (Option Adjusted Spread). This measure quantifies theadditional yield premium that investors require to purchase and hold non-Treasury issues. This line illustrates the continued decline from nearly2.5% inthe 1st quarter of 2019 to less than 1.6% in 4th quarter as investors sought outhigher yielding assets and concerns regarding trade and the potential forarecession in the US declined. Spreads tightened by about 24 basis pointsduring the quarter. Spread tightening is equivalent to an interest rate decreaseon corporate bonds, which produces an additional tailwind for corporate bondindex returns. The green band across the graph illustrates the decrease intheFederal Funds Rate due to the recent easing in US monetary policy. The Fedcut the Fed Funds Rate three times during the year on fears that economicgrowth was decelerating.The lower graph provides a snapshot of the US Treasury Yield Curve at theend of each of the last four calendar quarters. Interest rates were broadlylower over the full year as the Fed cut interest rates and expectations of futureeconomic growth declined. During the year, the US Treasury curve wasinverted between 2-year and 10-year rates. After multiple rate cuts, the curvefinished the year with a more normalized shape with the long end of the curvehigher than the short end.0.000.501.001.502.002.503.003.501 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve3/31/20196/30/20199/30/201912/31/20190.000.501.001.502.002.503.003.504.00Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-191-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 12
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 (36.7%)
Total Equity Composite (63.3%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 15,761,945 100.0 100.0 -
Total Equity Composite 9,979,422 63.3 60.0 -522,255
Total Fixed Income Composite 5,782,522 36.7 40.0 522,255
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2019
Page 13
Asset Allocation By Segment as of
September 30, 2019 : $14,923,320
Asset Allocation By Segment as of
December 31, 2019 : $15,761,945
Allocation
Segments Market Value Allocation
Domestic Equity 9,150,287 61.3¢
Domestic Fixed Income 5,583,162 37.4¢
Cash Equivalent 189,871 1.3¢
Allocation
Segments Market Value Allocation
Domestic Equity 9,979,422 63.3¢
Domestic Fixed Income 5,657,817 35.9¢
Cash Equivalent 124,706 0.8¢
Asset Allocation Summary
Total Fund Composite
As of December 31, 2019
NONE
Page 14
Asset Allocation By Manager as of
September 30, 2019 : $14,923,320
Asset Allocation By Manager as of
December 31, 2019 : $15,761,945
Allocation
Market Value Allocation
SSgA S&P 500 9,150,287 61.3¢
CS McKee 5,773,033 38.7¢
Allocation
Market Value Allocation
SSgA S&P 500 9,979,422 63.3¢
CS McKee 5,782,522 36.7¢
Asset Allocation Summary
Total Fund Composite
As of December 31, 2019
NONE
Page 15
Asset Allocation Attributes
Dec-2019 Sep-2019 Jun-2019 Mar-2019 Dec-2018
($)%($)%($)%($)%($)%
Total Fund Composite 15,761,945 100.00 14,923,320 100.00 14,629,763 100.00 14,095,284 100.00 12,893,018 100.00
Total Equity Composite 9,979,422 63.31 9,150,287 61.32 8,998,722 61.51 8,628,542 61.22 7,592,913 58.89
SSgA S&P 500 9,979,422 63.31 9,150,287 61.32 8,998,722 61.51 8,628,542 61.22 7,592,913 58.89
Total Fixed Income Composite 5,782,522 36.69 5,773,033 38.68 5,631,041 38.49 5,466,742 38.78 5,300,105 41.11
CS McKee 5,782,522 36.69 5,773,033 38.68 5,631,041 38.49 5,466,742 38.78 5,300,105 41.11
Historical Asset Allocation
Total Fund
As of December 31, 2019
Page 16
Financial Reconciliation
Market Value
10/01/2019
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2019
Total Fund Composite 14,923,320 -----450 44,303 794,771 15,761,945
Total Equity Composite 9,150,287 -----450 -829,585 9,979,422
SSgA S&P 500 9,150,287 -----450 -829,585 9,979,422
Total Fixed Income Composite 5,773,033 -----44,303 -34,814 5,782,522
CS McKee 5,773,033 -----44,303 -34,814 5,782,522
Financial Reconciliation
Total Fund
1 Quarter Ending December 31, 2019
Page 17
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite (Gross)15,761,945 100.0 5.62 (32)5.62 (32)22.27 (5)22.27 (5)11.03 (5)N/A N/A N/A 8.33 (4)04/01/2015
Total Fund Policy Index 5.46 (41)5.46 (41)22.18 (5)22.18 (5)10.87 (7)N/A N/A N/A 8.54 (3)
Difference 0.16 0.16 0.09 0.09 0.16 N/A N/A N/A -0.21
All Public Plans-Total Fund Median 5.19 5.19 18.52 18.52 9.37 7.04 8.07 8.26 6.91
Total Fund Composite (Net)15,761,945 100.0 5.62 5.62 22.22 22.22 10.97 N/A N/A N/A 8.28 04/01/2015
Total Fund Policy Index 5.46 5.46 22.18 22.18 10.87 N/A N/A N/A 8.54
Difference 0.16 0.16 0.04 0.04 0.10 N/A N/A N/A -0.26
Total Equity Composite 9,979,422 63.3 9.07 (32)9.07 (32)31.46 (36)31.46 (36)15.25 (34)N/A N/A N/A 12.04 (28)06/01/2015
S&P 500 Index 9.07 (31)9.07 (31)31.49 (35)31.49 (35)15.27 (33)11.70 (36)14.73 (47)13.56 (44)12.05 (28)
Difference 0.00 0.00 -0.03 -0.03 -0.02 N/A N/A N/A -0.01
IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 8.20 29.96 29.96 14.43 11.21 14.65 13.45 11.20
SSgA S&P 500 9,979,422 63.3 9.07 (32)9.07 (32)31.46 (36)31.46 (36)15.25 (34)N/A N/A N/A 12.04 (28)06/01/2015
S&P 500 Index 9.07 (31)9.07 (31)31.49 (35)31.49 (35)15.27 (33)11.70 (36)14.73 (47)13.56 (44)12.05 (28)
Difference 0.00 0.00 -0.03 -0.03 -0.02 N/A N/A N/A -0.01
IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 8.20 29.96 29.96 14.43 11.21 14.65 13.45 11.20
Total Fixed Income Composite 5,782,522 36.7 0.16 (63)0.16 (63)9.10 (56)9.10 (56)4.26 (63)N/A N/A N/A 3.26 (53)04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.18 (57)0.18 (57)8.72 (77)8.72 (77)4.03 (85)3.05 (89)2.72 (88)3.75 (91)2.86 (87)
Difference -0.02 -0.02 0.38 0.38 0.23 N/A N/A N/A 0.40
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.21 0.21 9.19 9.19 4.39 3.45 3.06 4.26 3.26
CS McKee 5,782,522 36.7 0.16 (63)0.16 (63)9.10 (56)9.10 (56)4.26 (63)N/A N/A N/A 3.26 (53)04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.18 (57)0.18 (57)8.72 (77)8.72 (77)4.03 (85)3.05 (89)2.72 (88)3.75 (91)2.86 (87)
Difference -0.02 -0.02 0.38 0.38 0.23 N/A N/A N/A 0.40
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.21 0.21 9.19 9.19 4.39 3.45 3.06 4.26 3.26
Asset Allocation & Performance
Total Fund Composite (Gross)
As of December 31, 2019
Page 18
Page Intentionally Left Blank Page 19
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Total Fund Composite 5.62 (32)5.62 (32)22.27 (5)9.19 (1)11.03 (5)10.34 (4)N/A
Total Fund Policy Index 5.46 (41)5.46 (41)22.18 (5)9.23 (1)10.87 (7)10.22 (5)N/A
Median 5.19 5.19 18.52 6.59 9.37 8.93 7.04
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Return2018 2017 2016 2015 2014
Total Fund Composite -2.49 (19)14.82 (57)8.30 (30)N/A N/A
Total Fund Policy Index -2.35 (17)14.21 (66)8.31 (30)N/A N/A
Median -4.15 15.21 7.45 -0.15 6.62
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
Total Fund Composite 2.01 (4)3.79 (7)9.33 (22)-7.96 (61)4.75 (3)2.08 (11)
Total Fund Policy Index 1.96 (5)3.96 (5)9.31 (22)-7.56 (51)4.59 (3)1.99 (13)
All Public Plans-Total Fund Median 0.83 3.27 8.41 -7.54 2.59 1.03
As of December 31, 2019
Performance Review
Total Fund Composite
NONE
Page 20
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
4.0
6.0
8.0
10.0
12.0
Total Fund Composite (%)4.0 6.0 8.0 10.0 12.0
Total Fund Policy Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Total Fund Composite 8 7 (88%)1 (13%)0 (0%)0 (0%)
Total Fund Policy Index 8 7 (88%)1 (13%)0 (0%)0 (0%)
8.80
9.35
9.90
10.45
11.00
11.55
Return (%)6.60 6.80 7.00 7.20 7.40 7.60
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite 11.03 7.38
Total Fund Policy Index 10.87 7.07
Median 9.37 6.72¾
6.30
6.60
6.90
7.20
7.50
Return (%)6.4 6.6 6.8 7.0 7.2 7.4
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite N/A N/A
Total Fund Policy Index N/A N/A
Median 7.04 6.86¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite 0.45 103.24 106.36 -0.27 0.39 1.24 1.04 4.71
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.27 1.00 4.45
90 Day U.S. Treasury Bill 7.08 8.37 -5.90 1.67 -1.27 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite N/A N/A N/A N/A N/A N/A N/A N/A
Total Fund Policy Index N/A N/A N/A N/A N/A N/A N/A N/A
90 Day U.S. Treasury Bill N/A N/A N/A N/A N/A N/A N/A 0.01
As of December 31, 2019
Performance Review
Total Fund Composite
NONE
Page 21
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 9.07 (32)9.07 (32)31.46 (36)12.11 (30)15.25 (34)14.42 (30)N/A
S&P 500 Index 9.07 (31)9.07 (31)31.49 (35)12.13 (29)15.27 (33)14.43 (30)11.70 (36)
Median 8.20 8.20 29.96 10.87 14.43 13.59 11.21
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
Return 2019 2018 2017 2016 2015
SSgA S&P 500 31.46 (36)-4.40 (38)21.81 (52)11.98 (33)N/A
S&P 500 Index 31.49 (35)-4.38 (37)21.83 (51)11.96 (34)1.38 (52)
Median 29.96 -5.17 21.83 10.52 1.43
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
SSgA S&P 500 1.69 (44)4.30 (49)13.65 (38)-13.52 (46)7.70 (36)3.43 (34)
S&P 500 Index 1.70 (42)4.30 (49)13.65 (38)-13.52 (46)7.71 (34)3.43 (33)
IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 4.23 13.19 -13.79 7.13 2.90
Performance Review
As of December 31, 2019
SSgA S&P 500
NONE
Page 22
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Under Performance Earliest Date Latest Date
6.0
9.0
12.0
15.0
18.0
21.0
SSgA S&P 500 (%)6.0 9.0 12.0 15.0 18.0 21.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 7 0 (0%)7 (100%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)16 (80%)4 (20%)0 (0%)
14.28
14.56
14.84
15.12
15.40
Return (%)12.60 12.63 12.66 12.69 12.72 12.75 12.78 12.81
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 15.25 12.64
S&P 500 Index 15.27 12.65
Median 14.43 12.76¾
11.00
11.20
11.40
11.60
11.80
Return (%)10.98 11.04 11.10 11.16 11.22 11.28 11.34
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 N/A N/A
S&P 500 Index 11.70 11.04
Median 11.21 11.27¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.02 99.96 100.08 -0.02 -1.09 1.12 1.00 7.99
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.12 1.00 7.98
90 Day U.S. Treasury Bill 11.95 5.25 -3.41 1.68 -1.12 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 N/A N/A N/A N/A N/A N/A N/A N/A
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.91 1.00 7.48
90 Day U.S. Treasury Bill 11.87 3.67 -2.08 1.04 -0.91 N/A 0.00 0.01
Performance Review
As of December 31, 2019
SSgA S&P 500
NONE
Page 23
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
CS McKee 0.16 (63)0.16 (63)9.10 (56)4.62 (44)4.26 (63)3.91 (64)N/A
Bl. Barclays U.S. Aggregate 0.18 (57)0.18 (57)8.72 (77)4.27 (83)4.03 (85)3.68 (86)3.05 (89)
Median 0.21 0.21 9.19 4.52 4.39 4.10 3.45
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return 2019 2018 2017 2016 2015
CS McKee 9.10 (56)0.32 (29)3.54 (83)2.85 (64)N/A
Bl. Barclays U.S. Aggregate 8.72 (77)0.01 (61)3.54 (83)2.65 (75)0.55 (76)
Median 9.19 0.07 4.04 3.10 0.82
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
1 Qtr
Ending
Mar-2019
1 Qtr
Ending
Dec-2018
1 Qtr
Ending
Sep-2018
1 Qtr
Ending
Jun-2018
CS McKee 2.52 (12)3.01 (80)3.14 (55)1.36 (54)0.15 (58)0.03 (22)
Blmbg. Barc. U.S. Aggregate Index 2.27 (70)3.08 (70)2.94 (83)1.64 (25)0.02 (84)-0.16 (72)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.33 3.13 3.21 1.40 0.18 -0.09
Performance Review
As of December 31, 2019
CS McKee
NONE
Page 24
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
1.5
3.0
4.5
6.0
CS McKee (%)0.0 1.5 3.0 4.5 6.0
Blmbg. Barc. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
CS McKee 8 0 (0%)2 (25%)6 (75%)0 (0%)
Bl. Barclays U.S. Aggregate 20 0 (0%)0 (0%)0 (0%)20 (100%)
3.80
4.00
4.20
4.40
4.60
Return (%)2.60 2.65 2.70 2.75 2.80 2.85 2.90 2.95
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 4.26 2.65
Bl. Barclays U.S. Aggregate 4.03 2.87
Median 4.39 2.84¾
2.80
3.00
3.20
3.40
3.60
Return (%)3.00 3.01 3.02 3.03 3.04
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee N/A N/A
Bl. Barclays U.S. Aggregate 3.05 3.04
Median 3.45 3.01¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 0.42 96.99 79.74 0.56 0.51 0.99 0.91 1.02
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.83 1.00 1.21
90 Day U.S. Treasury Bill 2.81 18.12 -29.49 1.57 -0.83 N/A 0.03 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.67 1.00 1.61
90 Day U.S. Treasury Bill 2.98 12.28 -14.66 0.99 -0.67 N/A 0.02 0.01
Performance Review
As of December 31, 2019
CS McKee
NONE
Page 25
Total Policy Historical Hybrid Composition
Allocation Mandate Weight (%)
Apr-2015
S&P 500 Index 60.00
Blmbg. Barc. U.S. Aggregate Index 40.00
Historical Hybrid Composition
Total Fund Policy Index
As of December 31, 2019
Page 26
Report Statistics Definitions and Descriptions Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Page 27
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 28
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