HomeMy WebLinkAboutReports - 2020.03.31 - 33112<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="03/31/2020" Interval="1" />
Investment Performance Review
Period Ending March 31, 2020
Oakland County ERS
VEBA Plan
Monthly Flash Report
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return (12.35) (19.60) (19.60) (6.98) 5.10 6.73Russell Midcap Index (19.49) (27.07) (27.07) (18.31) (0.81) 1.85Russell 2000 Index (21.73) (30.61) (30.61) (23.99) (4.64) (0.25)Russell 1000 Growth Index (9.84) (14.10) (14.10) 0.91 11.32 10.36Russell 1000 Value Index (17.09) (26.73) (26.73) (17.17) (2.18) 1.90Russell 3000 Index (13.75) (20.90) (20.90) (9.13) 4.00 5.77MSCI EAFE NR (13.35) (22.83) (22.83) (14.38) (1.82) (0.62)MSCI EM NR (15.40) (23.60) (23.60) (17.69) (1.62) (0.37)Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies03/31/2012/31/1912/31/18U.S. Aggregate (0.59) 3.15 3.15 8.93 5.69 1.59 Euro Spot 1.10 1.12 1.15U.S. Corporate Investment Grade (7.09) (3.63) (3.63) 4.98 7.98 3.43 British Pound Spot 1.24 1.33 1.28U.S. Corporate High Yield (11.46) (12.68) (12.68) (6.94) 4.06 9.44 Japanese Yen Spot 107.54 108.61 109.69Global Aggregate (2.24) (0.33) (0.33) 4.20 7.03 1.22 Swiss Franc Spot 0.96 0.97 0.98Key Rates03/31/2012/31/1912/31/1812/31/1712/31/16Commodities03/31/2012/31/1912/31/18US Generic Govt 3 Mth 0.06 1.54 2.35 1.38 0.50 Oil 20.48 59.97 48.99US Generic Govt 2 Yr 0.25 1.57 2.49 1.88 1.19 Gasoline 1.98 2.59 2.26US Generic Govt 10 Yr 0.67 1.92 2.68 2.41 2.44 Natural Gas 1.64 2.19 2.49US Generic Govt 30 Yr 1.32 2.39 3.01 2.74 3.07 Gold 1,596.60 1,535.10 1,187.30ICE LIBOR USD 3M 1.45 1.91 2.81 1.69 1.00 Silver 14.16 18.01 16.50Euribor 3 Month ACT/360 (0.36) (0.38) (0.31) (0.33) (0.32) Copper 222.80 280.75 265.75Bankrate 30Y Mortgage Rates Na 3.86 3.86 4.51 3.85 4.06 Corn 340.75 394.75 412.75Prime 3.25 4.75 5.50 4.50 3.75 BBG Commodity TR Idx 131.94 172.00 159.72Source: 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.22.427.0 30.5 35.5Levels (%)Levels25.5 28.4YTD 2019Index Returns (%)LevelsS -35.7 -30.6 -25.8 SM -31.7 -27.1 -20.0 MMarch 31, 2020Index Returns (%)L -26.7 -20.2 -14.1 L26.5 31.4 36.4-11.93-12.67-12.74-13.50-16.95-19.21-19.29-19.60-26.13-27.05-31.95-50.45-60.0-50.0-40.0-30.0-20.0-10.00.0YTD 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 (1.3%)
Total Real Assets (9.9%)
Total Fixed Income Composite (38.4%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (13.1%)
Total Domestic Equity (32.9%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Min. Rebal.
($000)
Max. Rebal.
($000)
Target Rebal.
($000)
Total Fund Composite 1,182,363,330 100.0 N/A N/A 100.0 ---
Total Domestic Equity 389,222,328 32.9 10.0 50.0 35.0 -270,985,994 201,959,338 24,604,838
Total International Equity 154,720,697 13.1 5.0 20.0 15.0 -95,602,531 81,751,969 22,633,802
Total Long/Short Equity Composite 51,905,103 4.4 0.0 7.5 5.0 -51,905,103 36,772,147 7,213,064
Total Fixed Income Composite 454,323,356 38.4 10.0 55.0 35.0 -336,087,023 195,976,476 -40,496,190
Total Real Assets 116,772,570 9.9 0.0 15.0 10.0 -116,772,570 60,581,929 1,463,763
Total Cash Composite 15,419,277 1.3 0.0 5.0 0.0 -15,419,277 43,698,890 -15,419,277
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2020
Page 2
Executive Summary
Policy Target In Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (1.3%)
Total Real Assets (9.9%)
Total Fixed Income Composite (38.4%)
Total Long/Short Equity Composite (4.4%)
Total International Equity (13.1%)
Total Small Cap Equity Composite (6.6%)
Total Mid Cap Equity Composite (6.7%)
Total Large Cap Equity Composite (19.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,182,363,330 100.0 100.0 -
Total Large Cap Equity Composite 232,578,389 19.7 20.0 3,894,277
Total Mid Cap Equity Composite 78,824,623 6.7 7.5 9,852,626
Total Small Cap Equity Composite 77,819,315 6.6 7.5 10,857,934
Total International Equity 154,720,697 13.1 15.0 22,633,802
Total Long/Short Equity Composite 51,905,103 4.4 5.0 7,213,064
Total Fixed Income Composite 454,323,356 38.4 35.0 -40,496,190
Total Real Assets 116,772,570 9.9 10.0 1,463,763
Total Cash Composite 15,419,277 1.3 0.0 -15,419,277
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2020
Page 3
February 29, 2020 : $1,307,610,706 March 31, 2020 : $1,182,363,330
Allocation
Market Value Allocation
SSgA S&P 500 70,981,072 5.4¢
SSgA S&P 500 Equal Weighted Index 65,437,811 5.0¢
T. Rowe Price 134,567,362 10.3¢
Wedge Capital Partners 23,586,918 1.8¢
TimesSquare 30,132,352 2.3¢
Great Lakes SmidCap 24,428,045 1.9¢
Reinhart Partners 23,725,247 1.8¢
Lee Munder (LMCG)44,742,242 3.4¢
Loomis Small Cap 53,778,868 4.1¢
Lazard 79,832,703 6.1¢
Pictet 71,269,169 5.5¢
Berkeley Street 35,263,584 2.7¢
ABS Global 51,905,103 4.0¢
CS McKee 255,630,334 19.5¢
Loomis Fixed Income 116,575,658 8.9¢
Franklin Templeton 76,585,282 5.9¢
Churchill Senior Loan Fund 20,182,193 1.5¢
Morgan Stanley 65,705,331 5.0¢
Prudential PRISA II 27,415,510 2.1¢
Alidade Capital Fund IV 2,862,779 0.2¢
Walton Street Real Estate 6,546,440 0.5¢
AEW Real Estate 5,530,854 0.4¢
Dune Real Estate IV 1,728,545 0.1¢
Macquarie II U.S.2,209,731 0.2¢
Macquarie Fund III Europe 250,455 0.0¢
ValStone Opportunity Fund V 3,668,150 0.3¢
Cash and Equivalents Account 116,491 0.0¢
Private Markets Cash 12,952,479 1.0¢
Allocation
Market Value Allocation
SSgA S&P 500 62,192,732 5.3¢
SSgA S&P 500 Equal Weighted Index 53,276,418 4.5¢
T. Rowe Price 117,109,238 9.9¢
Wedge Capital Partners 16,669,507 1.4¢
TimesSquare 25,558,309 2.2¢
Great Lakes SmidCap 18,416,133 1.6¢
Reinhart Partners 18,180,674 1.5¢
Lee Munder (LMCG)34,599,869 2.9¢
Loomis Small Cap 43,219,446 3.7¢
Lazard 66,624,226 5.6¢
Pictet 58,347,139 4.9¢
Berkeley Street 29,749,333 2.5¢
ABS Global 51,905,103 4.4¢
CS McKee 243,410,320 20.6¢
Loomis Fixed Income 114,145,561 9.7¢
Franklin Templeton 76,585,282 6.5¢
Churchill Senior Loan Fund 20,182,193 1.7¢
Morgan Stanley 66,103,118 5.6¢
Prudential PRISA II 27,673,542 2.3¢
Alidade Capital Fund IV 3,012,345 0.3¢
Walton Street Real Estate 6,425,942 0.5¢
AEW Real Estate 5,276,622 0.4¢
Dune Real Estate IV 2,152,665 0.2¢
Macquarie II U.S.2,209,731 0.2¢
Macquarie Fund III Europe 250,455 0.0¢
ValStone Opportunity Fund V 3,668,150 0.3¢
Cash and Equivalents Account 1,267,323 0.1¢
Private Markets Cash 14,151,954 1.2¢
Asset Allocation By Manager
Total Fund Composite
As of March 31, 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
03/31/2020
Total Fund Composite 1,370,133,659 -471,480 -9,000,000 -346,898 -1,587 6,691,598 -185,584,923 1,182,363,330
Total Equity Composite 790,294,563 -10,309,120 76,480 --173,421 -1,587 2,505,414 -186,544,202 595,848,127
Total Domestic Equity 523,073,213 -4,309,120 ---9,697 -88 2,093,858 -131,625,839 389,222,328
Total Large Cap Equity Composite 296,376,121 ----9,697 -1,365,861 -65,153,896 232,578,389
SSgA S&P 500 77,388,392 ----3,717 ---15,191,943 62,192,732
SSgA S&P 500 Equal Weighted Index 73,240,880 ----5,980 ---19,958,481 53,276,418
T. Rowe Price 145,746,850 -----1,365,861 -30,003,472 117,109,238
Total Mid Cap Equity Composite 113,568,351 -----454,292 -35,198,019 78,824,623
Wedge Capital Partners 27,276,127 -----163,442 -10,770,063 16,669,507
TimesSquare 31,522,148 -----87,946 -6,051,785 25,558,309
Great Lakes SmidCap 27,302,486 -----95,117 -8,981,471 18,416,133
Reinhart Partners 27,467,589 -----107,786 -9,394,701 18,180,674
Total Small Cap Equity Composite 113,128,741 -4,309,120 ----88 273,706 -31,273,923 77,819,315
Lee Munder (LMCG)52,063,794 -----221,412 -17,685,337 34,599,869
Loomis Small Cap 61,064,947 -4,309,120 ----88 52,293 -13,588,586 43,219,446
Total International Equity 208,208,147 -76,480 --163,725 -1,499 411,556 -53,810,262 154,720,697
Lazard 88,141,973 -----1,499 386,131 -21,902,380 66,624,226
Pictet 81,557,360 ----87,244 -25,425 -23,148,402 58,347,139
Berkeley Street 38,508,813 -76,480 --76,480 ---8,759,481 29,749,333
Total Long/Short Equity Composite 59,013,204 -6,000,000 ------1,108,101 51,905,103
ABS Global 59,013,204 -6,000,000 ------1,108,101 51,905,103
Total Fixed Income Composite 457,645,548 -7,493,148 ----3,537,514 633,442 454,323,356
Total Domestic Fixed Income 359,515,853 -7,000,000 ----3,537,514 1,502,515 357,555,881
CS McKee 247,157,352 -7,000,000 ----2,241,246 1,011,723 243,410,320
Loomis Fixed Income 112,358,501 -----1,296,268 490,791 114,145,561
Total Global Fixed 77,454,354 -------869,073 76,585,282
Franklin Templeton 77,454,354 -------869,073 76,585,282
Private Fixed Income 20,675,341 -493,148 ------20,182,193
Churchill Senior Loan Fund 20,675,341 -493,148 ------20,182,193
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2020
Market Value
01/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2020
Total Real Assets 115,706,508 410,243 ---173,477 -648,582 180,714 116,772,570
Total Real Estate (Composite)109,234,459 753,956 ---173,477 -648,582 180,714 110,644,234
Morgan Stanley 65,705,331 ----65,950 -648,582 -184,846 66,103,118
Prudential PRISA II 27,415,510 ----80,640 --338,672 27,673,542
Alidade Capital Fund IV 2,307,779 704,565 ------3,012,345
Walton Street Real Estate 6,546,440 -120,498 ---26,887 --26,887 6,425,942
AEW Real Estate 2,765,427 -127,116 ------2,638,311
Dune Real Estate IV 1,728,545 424,120 ------2,152,665
Private Investments 6,472,049 -343,713 ------6,128,336
Macquarie II U.S.2,209,731 -------2,209,731
Macquarie Fund III Europe 250,455 -------250,455
ValStone Opportunity Fund V 4,011,863 -343,713 ------3,668,150
Total Cash Composite 6,487,040 17,392,025 395,000 -9,000,000 --88 145,124 15,419,277
Cash and Equivalents Account 116,210 9,755,755 395,000 -9,000,000 --370 -12 1,267,323
Private Markets Cash 6,370,830 7,636,270 -----283 145,136 14,151,954
Page 6
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite 1,182,363,330 100.0 -9.18 -13.09 -8.54 -13.09 -5.00 2.63 3.73 5.66 7.17 4.85 06/01/1998
Total Fund Policy Index -8.40 -11.90 -7.60 -11.90 -3.65 3.30 4.08 5.80 7.13 5.35
Total Equity Composite 595,848,127 50.4 -15.99 -23.58 -17.25 -23.58 -14.14 0.26 2.75 5.78 7.59 4.18 04/01/1998
Total Equity Index -15.19 -23.18 -16.34 -23.18 -13.23 1.09 3.72 7.22 8.70 5.47
Total Fixed Income Composite 454,323,356 38.4 -1.63 0.91 1.43 0.91 5.52 3.75 3.10 2.94 4.17 5.19 04/01/1998
Total Fixed Income Index -1.03 2.32 2.52 2.32 7.89 4.57 3.20 2.90 3.63 4.91
Total Real Assets 116,772,570 9.9 0.72 0.72 5.07 0.72 9.11 9.89 10.42 11.22 11.81 7.55 07/01/2008
NCREIF Fund Index-ODCE (VW)0.97 0.97 2.49 0.97 4.87 6.81 8.46 9.90 11.45 5.38
Total Cash Composite 4,700,423 0.4
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of March 31, 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 389,222,328 32.9 -17.37 -24.95 -18.67 -24.95 -14.81 0.82 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 232,578,389 19.7 -14.17 -21.52 -14.55 -21.52 -9.56 3.96 6.19 9.28 10.24 8.22 07/01/2008
SSgA S&P 500 (1.5 bps)62,192,732 5.3 -12.38 -19.63 -12.34 -19.63 -7.05 5.07 6.71 9.61 10.52 11.17 10/01/2009
S&P 500 Index -12.35 -19.60 -12.31 -19.60 -6.98 5.10 6.73 9.62 10.53 11.17
SSgA S&P 500 Equal Weighted Index (4 bps)53,276,418 4.5 -18.58 -27.25 -21.63 -27.25 -17.70 N/A N/A N/A N/A -7.96 02/01/2018
S&P 500 Equal Weighted -17.97 -26.70 -21.12 -26.70 -17.56 -0.44 2.79 7.12 9.21 -7.85
T. Rowe Price (25 bps)117,109,238 9.9 -12.97 -19.65 -12.12 -19.65 -6.73 6.07 7.63 10.40 10.99 11.63 10/01/2009
S&P 500 Index -12.35 -19.60 -12.31 -19.60 -6.98 5.10 6.73 9.62 10.53 11.17
Total Mid Cap Equity Composite 78,824,623 6.7 -22.62 -30.59 -26.50 -30.59 -22.79 -4.20 -0.41 4.25 7.27 5.98 07/01/2008
Wedge Capital Partners (75 bps)16,669,507 1.4 -29.33 -38.89 -36.67 -38.89 -34.90 -11.23 -4.70 1.58 6.40 3.66 05/01/2007
Russell Midcap Value Index -22.70 -31.71 -27.37 -31.71 -24.13 -5.97 -0.76 4.06 7.22 3.99
TimesSquare (80 bps)25,558,309 2.2 -15.18 -18.92 -12.16 -18.92 -3.82 7.93 6.76 9.74 11.30 12.59 09/01/2009
Russell Midcap Growth Index -14.91 -20.04 -13.50 -20.04 -9.45 6.53 5.61 9.49 10.89 12.31
Great Lakes SmidCap (55 bps)18,416,133 1.6 -24.61 -32.55 -28.53 -32.55 N/A N/A N/A N/A N/A -29.75 05/01/2019
Russell 2500 Index -21.70 -29.72 -23.72 -29.72 -22.47 -3.10 0.49 4.91 7.73 -25.10
Reinhart Partners (65 bps)18,180,674 1.5 -23.37 -33.81 -30.23 -33.81 N/A N/A N/A N/A N/A -28.28 05/01/2019
Russell 2500 Index -21.70 -29.72 -23.72 -29.72 -22.47 -3.10 0.49 4.91 7.73 -25.10
Total Small Cap Equity Composite 77,819,315 6.6 -20.73 -28.37 -21.49 -28.37 -20.23 -2.13 1.36 4.77 7.36 6.93 07/01/2008
Lee Munder (LMCG) (70 bps)34,599,869 2.9 -22.67 -33.54 -27.61 -33.54 -25.49 -8.18 -0.64 3.22 5.82 6.17 09/01/2005
Russell 2000 Value Index -24.67 -35.66 -30.20 -35.66 -29.64 -9.51 -2.42 1.80 4.79 3.64
Loomis Small Cap (90 bps)43,219,446 3.7 -19.11 -23.79 -16.03 -23.79 -15.71 5.06 5.20 8.98 N/A 10.52 09/01/2012
Russell 2000 Growth Index -19.10 -25.76 -17.31 -25.76 -18.58 0.10 1.70 6.47 8.89 8.19
Page 8
Asset Allocation & Performance
Total Fund Composite
As of March 31, 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 154,720,697 13.1 -16.97 -25.65 -19.08 -25.65 -17.90 -2.08 0.26 1.90 3.50 1.69 07/01/2008
Total International Equity Index -14.40 -23.26 -16.37 -23.26 -15.14 -1.48 -0.17 1.53 2.44 0.69
Lazard (75 bps)66,624,226 5.6 -16.55 -24.41 -18.01 -24.41 -17.12 -0.32 0.11 2.82 4.75 3.76 09/01/2006
MSCI AC World ex USA -14.40 -23.26 -16.37 -23.26 -15.14 -1.48 -0.17 1.53 2.52 2.08
Pictet (65 bps)58,347,139 4.9 -18.10 -28.37 -23.05 -28.37 -21.45 -5.29 -0.74 1.01 2.52 -0.83 01/01/2008
MSCI EAFE Index -13.25 -22.72 -16.37 -22.72 -13.92 -1.33 -0.13 2.24 3.20 0.35
Berkeley Street (95 bps)29,749,333 2.5 -15.64 -22.75 -12.79 -22.75 -11.97 1.32 3.25 1.86 N/A 2.45 11/01/2012
MSCI Emerging Markets Index -15.38 -23.57 -14.45 -23.57 -17.36 -1.25 0.01 -0.04 1.04 0.57
Total Long/Short Equity Composite 51,905,103 4.4 0.00 -2.09 3.49 -2.09 6.81 4.58 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)51,905,103 4.4 0.00 -2.09 3.49 -2.09 6.81 4.58 2.88 5.27 N/A 5.07 10/01/2010
HFRI FOF: Strategic Index -9.70 -11.89 -7.90 -11.89 -8.31 -0.88 -0.42 1.40 1.65 1.66
Total Domestic Fixed Income 357,555,881 30.2 -2.06 1.40 1.75 1.40 7.11 4.49 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)243,410,320 20.6 -2.04 1.31 1.58 1.31 6.95 4.37 3.29 3.12 3.95 3.94 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.59 3.15 3.33 3.15 8.93 4.82 3.36 3.19 3.88 3.85
Loomis Fixed Income (30 bps)114,145,561 9.7 -2.08 1.59 2.12 1.59 7.46 4.80 3.96 3.84 5.60 5.60 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.59 3.15 3.33 3.15 8.93 4.82 3.36 3.19 3.88 3.88
Total Global Fixed 76,585,282 6.5 0.00 -1.12 -0.05 -1.12 -1.31 0.06 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)76,585,282 6.5 0.00 -1.12 -0.05 -1.12 -1.31 0.06 1.09 1.13 2.60 2.60 04/01/2010
JPM Global Government Bond Index 0.09 3.10 2.56 3.10 7.35 4.57 3.16 1.83 2.57 2.57
Page 9
Asset Allocation & Performance
Total Fund Composite
As of March 31, 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 (Composite)110,644,234 9.4 0.76 0.76 2.82 0.76 6.70 8.52 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.97 0.97 2.49 0.97 4.87 6.81 8.46 9.90 11.45 7.42
Morgan Stanley (84 bps)66,103,118 5.6 0.71 0.71 2.51 0.71 6.47 8.23 9.90 11.68 12.93 6.57 01/01/2008
NCREIF Fund Index-ODCE (VW)0.97 0.97 2.49 0.97 4.87 6.81 8.46 9.90 11.45 5.30
Prudential PRISA II (85 bps)27,673,542 2.3 1.24 1.24 3.43 1.24 6.71 8.65 10.17 11.66 N/A 11.91 10/01/2011
NCREIF Property Index 0.00 0.00 1.55 0.00 4.54 6.15 7.49 8.75 10.09 9.12
Total Cash Composite 15,419,277 1.3
Cash and Equivalents Account (No fee)1,267,323 0.1
Private Markets Cash 14,151,954 1.2
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 21.44 0.00 22.97 12.40 11.22 N/A N/A 10.86 08/27/2014
Macquarie II U.S.0.00 0.00 2.14 0.00 9.85 8.06 7.30 5.18 9.23 8.07 10/09/2008
Macquarie Fund III Europe 0.00 0.00 19.78 0.00 18.66 29.81 17.24 10.10 10.31 8.51 10/17/2008
Alidade Capital Fund IV 0.00 0.00 2.51 0.00 6.67 4.87 N/A N/A N/A 4.87 04/20/2017
Walton Street Real Estate 0.00 0.00 2.85 0.00 7.33 N/A N/A N/A N/A 10.67 05/25/2017
AEW Real Estate 0.00 0.00 4.60 0.00 13.08 N/A N/A N/A N/A 10.42 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 1.44 0.00 5.09 N/A N/A N/A N/A 6.52 12/07/2017
Dune Real Estate IV 0.00 0.00 -5.13 0.00 N/A N/A N/A N/A N/A -16.89 08/22/2019
Comparative Performance - IRR
Private Investments
As of March 31, 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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