HomeMy WebLinkAboutReports - 2020.02.29 - 33096<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="02/29/2020" Interval="1" />
Investment Performance Review
Period Ending February 29, 2020
Oakland County ERS
Defined Benefit Plan
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 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 Asset (9.8%)
Total Fixed Income Composite (34.8%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (14.1%)
Total Domestic Equity (34.2%)
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 725,298,633 100.0 N/A N/A 100.0 ---
Total Domestic Equity 248,186,676 34.2 10.0 50.0 35.0 -175,656,812 114,462,641 5,667,846
Total International Equity 102,146,501 14.1 5.0 20.0 15.0 -65,881,570 42,913,225 6,648,294
Total Long/Short Equity Composite 47,361,131 6.5 0.0 7.5 5.0 -47,361,131 7,036,267 -11,096,199
Total Fixed Income Composite 252,507,860 34.8 10.0 55.0 35.0 -179,977,997 146,406,388 1,346,662
Total Real Asset 71,186,407 9.8 0.0 15.0 10.0 -71,186,407 37,608,388 1,343,456
Total Cash Composite 3,910,058 0.5 0.0 5.0 0.0 -3,910,058 32,354,874 -3,910,058
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of February 29, 2020
Page 2
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.5%)
Total Real Asset (9.8%)
Total Fixed Income Composite (34.8%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (14.1%)
Total Small Cap Equity Composite (6.5%)
Total Mid Cap Equity Composite (7.6%)
Total Large Cap Equity Composite (20.1%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 725,298,633 100.0 100.0 -
Total Large Cap Equity Composite 145,671,749 20.1 20.0 -612,023
Total Mid Cap Equity Composite 55,425,076 7.6 7.5 -1,027,679
Total Small Cap Equity Composite 47,089,850 6.5 7.5 7,307,548
Total International Equity 102,146,501 14.1 15.0 6,648,294
Total Long/Short Equity Composite 47,361,131 6.5 5.0 -11,096,199
Total Fixed Income Composite 252,507,860 34.8 35.0 1,346,662
Total Real Asset 71,186,407 9.8 10.0 1,343,456
Total Cash Composite 3,910,058 0.5 0.0 -3,910,058
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of February 29, 2020
Page 3
January 31, 2020 : $754,833,591 February 29, 2020 : $725,298,633
Allocation
Market Value Allocation
SSgA S&P 500 41,025,478 5.4¢
SSgA S&P 500 Equal Weighted Index 38,735,226 5.1¢
T. Rowe Price 79,142,186 10.5¢
Wedge Capital Partners 14,648,792 1.9¢
TimesSquare 15,735,393 2.1¢
Great Lakes SmidCap 15,433,690 2.0¢
Reinhart Partners 15,539,748 2.1¢
Lee Munder (LMCG)26,256,266 3.5¢
Loomis Small Cap 25,145,441 3.3¢
Lazard 39,963,559 5.3¢
Pictet 50,378,608 6.7¢
Berkeley Street 20,949,950 2.8¢
ABS Global 47,361,131 6.3¢
CS McKee 124,527,825 16.5¢
Loomis Fixed Income 76,685,365 10.2¢
Franklin Templeton 36,545,396 4.8¢
Churchill Senior Loan Fund 12,405,204 1.6¢
Morgan Stanley 37,518,879 5.0¢
JPM Euro Property 118,075 0.0¢
Prudential PRISA II 19,653,114 2.6¢
Alidade Capital Fund IV 4,220,756 0.6¢
Walton Street Real Estate 3,273,220 0.4¢
AEW Real Estate 2,642,658 0.4¢
Dune Real Estate IV 864,272 0.1¢
ValStone Opportunity Fund V 2,445,434 0.3¢
Cash and Equivalents Account 31,615 0.0¢
Private Markets Cash 3,586,309 0.5¢
Allocation
Market Value Allocation
SSgA S&P 500 37,650,078 5.2¢
SSgA S&P 500 Equal Weighted Index 35,235,745 4.9¢
T. Rowe Price 72,785,927 10.0¢
Wedge Capital Partners 12,912,294 1.8¢
TimesSquare 14,680,071 2.0¢
Great Lakes SmidCap 14,049,456 1.9¢
Reinhart Partners 13,783,256 1.9¢
Lee Munder (LMCG)23,694,023 3.3¢
Loomis Small Cap 23,395,827 3.2¢
Lazard 36,901,487 5.1¢
Pictet 45,257,041 6.2¢
Berkeley Street 19,987,973 2.8¢
ABS Global 47,361,131 6.5¢
CS McKee 126,337,894 17.4¢
Loomis Fixed Income 77,854,051 10.7¢
Franklin Templeton 36,206,600 5.0¢
Churchill Senior Loan Fund 12,109,315 1.7¢
Morgan Stanley 37,518,879 5.2¢
JPM Euro Property 118,075 0.0¢
Prudential PRISA II 19,653,114 2.7¢
Alidade Capital Fund IV 4,670,756 0.6¢
Walton Street Real Estate 3,273,220 0.5¢
AEW Real Estate 2,642,658 0.4¢
Dune Real Estate IV 864,272 0.1¢
ValStone Opportunity Fund V 2,445,434 0.3¢
Cash and Equivalents Account 31,672 0.0¢
Private Markets Cash 3,878,385 0.5¢
Asset Allocation By Manager
Total Fund Composite
As of February 29, 2020
Page 4
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 763,716,054 -480,703 -7,700,000 -72,018 -3,546 2,210,747 -33,333,308 725,298,633
Total Equity Composite 435,442,945 -30,703 --72,018 -2,750 886,102 -38,590,675 397,694,308
Total Domestic Equity 273,689,503 -----747 841,510 -26,343,589 248,186,676
Total Large Cap Equity Composite 159,314,955 -----99 618,449 -14,261,555 145,671,749
SSgA S&P 500 41,040,977 -------3,390,899 37,650,078
SSgA S&P 500 Equal Weighted Index 39,437,397 -------4,201,652 35,235,745
T. Rowe Price 78,836,581 -----99 618,449 -6,669,004 72,785,927
Total Mid Cap Equity Composite 61,944,948 -----526 151,456 -6,670,801 55,425,076
Wedge Capital Partners 14,931,908 -----158 51,937 -2,071,393 12,912,294
TimesSquare 15,357,065 -----108 32,737 -709,624 14,680,071
Great Lakes SmidCap 15,705,181 -----40 42,303 -1,697,988 14,049,456
Reinhart Partners 15,950,793 -----220 24,479 -2,191,796 13,783,256
Total Small Cap Equity Composite 52,429,600 -----122 71,605 -5,411,233 47,089,850
Lee Munder (LMCG)27,553,773 ----134 60,920 -3,920,804 23,694,023
Loomis Small Cap 24,875,827 -----256 10,685 -1,490,429 23,395,827
Total International Equity 114,380,810 -30,703 --72,018 -2,002 44,592 -12,235,584 102,146,501
Lazard 40,760,952 -----2,002 39,706 -3,897,169 36,901,487
Pictet 51,792,423 ----41,314 -4,886 -6,498,954 45,257,041
Berkeley Street 21,827,435 -30,703 --30,703 ---1,839,462 19,987,973
Total Long/Short Equity Composite 47,372,632 -------11,501 47,361,131
ABS Global 47,372,632 -------11,501 47,361,131
Total Fixed Income Composite 246,209,275 -295,889 ----792 1,324,199 5,271,067 252,507,860
Total Domestic Fixed Income 197,181,795 -----792 1,324,199 5,686,743 204,191,945
CS McKee 122,116,111 -----403 908,609 3,313,577 126,337,894
Loomis Fixed Income 75,065,684 -----389 415,590 2,373,166 77,854,051
Total Global Fixed 36,622,276 -------415,676 36,206,600
Franklin Templeton 36,622,276 -------415,676 36,206,600
Private Fixed Income 12,405,204 -295,889 ------12,109,315
Churchill Senior Loan Fund 12,405,204 -295,889 ------12,109,315
Financial Reconciliation
Total Fund
Quarter To Date Ending February 29, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending February 29, 2020
Market Value
01/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
02/29/2020
Total Real Asset 78,490,849 -7,304,142 ------300 71,186,407
Total Real Estate 75,816,273 -7,075,000 ------300 68,740,973
Morgan Stanley 45,518,879 -8,000,000 ------37,518,879
JPM Euro Property 118,075 -------118,075
Prudential PRISA II 19,653,114 -------19,653,114
Alidade Capital Fund IV 3,745,756 925,000 ------4,670,756
Walton Street Real Estate 3,273,220 -------3,273,220
AEW Real Estate 2,642,958 -------300 2,642,658
Dune Real Estate IV 864,272 -------864,272
Private Investments 2,674,576 -229,142 ------2,445,434
ValStone Opportunity Fund V 2,674,576 -229,142 ------2,445,434
Total Cash Composite 3,572,986 7,600,031 450,000 -7,700,000 --4 447 -13,401 3,910,058
Cash and Equivalents Account 5,587 7,276,000 450,000 -7,700,000 --4 89 -31,672
Private Markets Cash 3,567,398 324,031 ----357 -13,401 3,878,385
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 725,298,633 100.0 -3.97 -4.11 0.57 -4.11 5.71 6.27 5.83 7.20 8.10 8.25 10/01/1986
Total Fund Policy Index -3.79 -3.83 0.87 -3.83 6.51 6.55 5.85 7.45 8.52 8.70
Total Equity Composite 397,694,308 54.8 -7.58 -8.66 -1.23 -8.66 3.30 6.61 6.21 8.83 9.96 9.35 10/01/1986
Total Equity Index -8.23 -9.42 -1.36 -9.42 3.22 6.88 6.95 10.31 11.17 9.71
Total Fixed Income Composite 252,507,860 34.8 1.06 2.68 3.15 2.68 9.22 4.72 3.64 3.43 4.47 6.41 10/01/1986
Total Fixed Income Index 1.55 3.39 3.59 3.39 10.96 4.94 3.49 3.06 3.70 6.23
Total Real Asset 71,186,407 9.8 0.00 0.00 2.27 0.00 7.99 8.88 10.30 11.02 10.52 4.99 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.51 0.00 5.34 7.09 8.97 10.17 11.42 5.33
Total Cash Composite 3,910,058 0.5
Asset Allocation & Performance
Total Fund Composite
As of February 29, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of February 29, 2020
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 248,186,676 34.2 -8.64 -9.32 -1.80 -9.32 3.75 7.44 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 145,671,749 20.1 -8.33 -8.56 -0.45 -8.56 7.50 9.65 9.26 12.37 12.70 9.87 07/01/2008
SSgA S&P 500 (1.5 bps)37,650,078 5.2 -8.23 -8.26 0.06 -8.26 8.21 9.89 9.29 12.37 12.72 12.75 10/01/2009
S&P 500 Index -8.23 -8.27 0.05 -8.27 8.19 9.87 9.23 12.29 12.65 12.68
SSgA S&P 500 Equal Weighted Index (4 bps)35,235,745 4.9 -9.03 -10.65 -3.75 -10.65 2.04 N/A N/A N/A N/A 1.25 02/01/2018
S&P 500 Equal Weighted -8.98 -10.64 -3.84 -10.64 1.40 6.37 6.75 10.87 12.15 1.00
T. Rowe Price (25 bps)72,785,927 10.0 -8.03 -7.67 0.97 -7.67 9.63 11.31 10.36 13.22 13.29 13.29 10/01/2009
S&P 500 Index -8.23 -8.27 0.05 -8.27 8.19 9.87 9.23 12.29 12.65 12.68
Total Mid Cap Equity Composite 55,425,076 7.6 -9.67 -10.52 -5.33 -10.52 -1.10 3.69 4.54 8.63 10.51 8.29 07/01/2008
Wedge Capital Partners (75 bps)12,912,294 1.8 -11.85 -13.52 -10.38 -13.52 -7.46 -0.42 1.93 7.40 10.53 6.45 05/01/2007
Russell Midcap Value Index -9.90 -11.66 -6.04 -11.66 -1.36 2.21 4.44 8.64 10.79 6.12
TimesSquare (80 bps)14,680,071 2.0 -6.71 -4.41 3.54 -4.41 13.80 13.99 10.44 12.98 13.79 14.45 09/01/2009
Russell Midcap Growth Index -6.90 -6.02 1.66 -6.02 7.86 12.63 9.14 12.67 13.44 14.15
Great Lakes SmidCap (55 bps)14,049,456 1.9 -8.97 -10.54 -5.23 -10.54 N/A N/A N/A N/A N/A -6.78 05/01/2019
Russell 2500 Index -8.39 -10.25 -2.58 -10.25 -1.80 5.10 5.81 9.32 11.21 -4.34
Reinhart Partners (65 bps)13,783,256 1.9 -11.30 -13.59 -8.95 -13.59 N/A N/A N/A N/A N/A -6.44 05/01/2019
Russell 2500 Index -8.39 -10.25 -2.58 -10.25 -1.80 5.10 5.81 9.32 11.21 -4.34
Total Small Cap Equity Composite 47,089,850 6.5 -8.39 -10.18 -1.63 -10.18 -1.58 5.25 6.12 8.98 10.55 9.06 07/01/2008
Lee Munder (70 bps)23,694,023 3.3 -9.76 -14.01 -6.36 -14.01 -5.85 -0.24 5.00 7.86 9.36 8.12 09/01/2005
Russell 2000 Value Index -9.72 -14.59 -7.34 -14.59 -9.29 -0.83 3.61 6.62 8.67 5.71
Loomis Small Cap (90 bps)23,395,827 3.2 -6.96 -5.95 3.67 -5.95 3.16 13.30 10.07 13.32 N/A 13.88 09/01/2012
Russell 2000 Growth Index -7.22 -8.24 2.21 -8.24 -0.72 7.85 6.48 10.52 12.07 11.39
Page 8
Asset Allocation & Performance
Total Fund Composite
As of February 29, 2020
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 102,146,501 14.1 -8.20 -10.66 -2.81 -10.66 -0.27 5.07 3.72 4.65 6.20 3.32 07/01/2008
Total International Equity Index -7.89 -10.35 -2.30 -10.35 -0.19 4.66 2.67 3.85 4.68 2.04
Lazard (75 bps)36,901,487 5.1 -7.66 -9.46 -1.82 -9.46 -0.18 6.46 3.51 5.67 7.43 5.12 09/01/2006
MSCI AC World ex USA -7.89 -10.35 -2.30 -10.35 -0.19 4.66 2.67 3.85 4.82 3.28
Pictet (65 bps)45,257,041 6.2 -10.13 -12.54 -6.05 -12.54 -2.48 2.52 3.08 3.94 5.34 0.81 01/01/2008
MSCI EAFE Index -9.03 -10.92 -3.60 -10.92 -0.05 4.44 2.45 4.46 5.32 1.53
Berkeley Street (95 bps)19,987,973 2.8 -4.59 -8.43 3.38 -8.43 4.95 8.72 6.40 4.21 N/A 4.89 11/01/2012
MSCI Emerging Markets Index -5.27 -9.68 1.09 -9.68 -1.51 5.28 3.11 2.13 3.54 2.89
Total Long/Short Equity Composite 47,361,131 6.5 0.00 -0.02 5.67 -0.02 9.32 5.78 3.84 4.84 N/A 4.55 10/01/2010
ABS Global (100 bps)47,361,131 6.5 0.00 -0.02 5.67 -0.02 9.32 5.78 3.87 5.89 N/A 5.37 10/01/2010
HFRI FOF: Strategic Index -2.04 -2.06 2.38 -2.06 3.36 2.97 1.86 3.08 2.95 2.83
Total Domestic Fixed Income 204,191,945 28.2 1.48 3.56 3.85 3.56 11.48 5.33 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)126,337,894 17.4 1.45 3.46 3.59 3.46 11.45 5.16 3.89 3.53 4.21 4.24 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.80 3.76 3.95 3.76 11.68 5.01 3.58 3.29 3.93 3.94
Loomis Fixed Income (30 bps)77,854,051 10.7 1.52 3.72 4.28 3.72 11.52 5.66 4.28 4.25 N/A 5.91 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.80 3.76 3.95 3.76 11.68 5.01 3.58 3.29 3.93 3.98
Total Global Fixed 36,206,600 5.0 -0.93 -1.14 -0.06 -1.14 -2.60 0.77 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)36,206,600 5.0 -0.93 -1.14 -0.06 -1.14 -2.60 0.77 0.93 1.19 N/A 2.63 04/01/2010
JPM Global Government Bond Index 1.22 3.01 2.47 3.01 8.74 4.58 2.98 1.78 2.37 2.58
Page 9
Asset Allocation & Performance
Total Fund Composite
As of February 29, 2020
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate 68,740,973 9.5 0.00 0.00 1.72 0.00 7.42 8.69 N/A N/A N/A 8.74 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.51 0.00 5.34 7.09 8.97 10.17 11.42 7.31
Morgan Stanley (84 bps)37,518,879 5.2 0.00 0.00 1.79 0.00 7.38 8.76 10.40 11.93 12.97 6.53 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.51 0.00 5.34 7.09 8.97 10.17 11.42 5.25
Prudential PRISA II (85 bps)19,653,114 2.7 0.00 0.00 2.15 0.00 7.52 8.33 10.49 11.66 N/A 11.77 10/01/2011
NCREIF Property Index 0.00 0.00 1.55 0.00 6.42 6.70 8.25 9.14 10.18 9.21
JPM Euro Property 118,075 0.0 0.00 0.00 0.00 0.00 -21.58 2.50 2.34 1.65 -0.25 -1.11 04/01/2009
NCREIF Property Index 0.00 0.00 1.55 0.00 6.42 6.70 8.25 9.14 10.18 8.20
Total Cash Composite 3,910,058 0.5
Cash and Equivalents Account (No fee)31,672 0.0
Private Markets Cash 3,878,385 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 21.16 0.00 27.08 13.01 11.44 N/A N/A 11.02 08/27/2014
Alidade Capital Fund IV 0.00 0.00 0.00 0.00 5.81 N/A N/A N/A N/A 3.94 04/20/2017
Walton Street Real Estate 0.00 0.00 2.83 0.00 9.00 N/A N/A N/A N/A 11.06 05/24/2017
AEW Real Estate 0.00 -0.01 -0.01 -0.01 11.87 N/A N/A N/A N/A 7.72 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 1.43 0.00 7.24 N/A N/A N/A N/A 6.79 12/07/2017
Dune Real Estate IV 0.00 0.00 -5.66 0.00 N/A N/A N/A N/A N/A -18.45 08/22/2019
Comparative Performance - IRR
Alternative Investments
As of February 29, 2020
Page 11
Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
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