HomeMy WebLinkAboutReports - 2020.03.31 - 33115<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="03/31/2020" Interval="1" />
Investment Performance Review
Period Ending March 31, 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 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 (0.7%)
Total Real Asset (11.0%)
Total Fixed Income Composite (37.0%)
Total Long/Short Equity Composite (7.1%)
Total International Equity (12.9%)
Total Domestic Equity (31.3%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Min. Rebal.
($000)
Max. Rebal.
($000)
Target Rebal.
($000)
Total Fund Composite 655,114,551 100.0 N/A N/A 100.0 ---
Total Domestic Equity 205,070,848 31.3 10.0 50.0 35.0 -139,559,393 122,486,427 24,219,244
Total International Equity 84,744,525 12.9 5.0 20.0 15.0 -51,988,797 46,278,385 13,522,658
Total Long/Short Equity Composite 46,382,432 7.1 0.0 7.5 5.0 -46,382,432 2,751,159 -13,626,705
Total Fixed Income Composite 242,107,657 37.0 10.0 55.0 35.0 -176,596,202 118,205,345 -12,817,565
Total Real Asset 72,108,664 11.0 0.0 15.0 10.0 -72,108,664 26,158,518 -6,597,209
Total Cash Composite 4,700,423 0.7 0.0 5.0 0.0 -4,700,423 28,055,304 -4,700,423
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 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 (0.7%)
Total Real Asset (11.0%)
Total Fixed Income Composite (37.0%)
Total Long/Short Equity Composite (7.1%)
Total International Equity (12.9%)
Total Small Cap Equity Composite (5.7%)
Total Mid Cap Equity Composite (6.5%)
Total Large Cap Equity Composite (19.1%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 655,114,551 100.0 100.0 -
Total Large Cap Equity Composite 125,049,513 19.1 20.0 5,973,397
Total Mid Cap Equity Composite 42,758,792 6.5 7.5 6,374,799
Total Small Cap Equity Composite 37,262,543 5.7 7.5 11,871,048
Total International Equity 84,744,525 12.9 15.0 13,522,658
Total Long/Short Equity Composite 46,382,432 7.1 5.0 -13,626,705
Total Fixed Income Composite 242,107,657 37.0 35.0 -12,817,565
Total Real Asset 72,108,664 11.0 10.0 -6,597,209
Total Cash Composite 4,700,423 0.7 0.0 -4,700,423
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2020
Page 3
February 29, 2020 : $724,543,604 March 31, 2020 : $655,114,551
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 46,382,432 6.4¢
CS McKee 126,337,894 17.4¢
Loomis Fixed Income 77,854,051 10.7¢
Franklin Templeton 36,211,357 5.0¢
Churchill Senior Loan Fund 12,109,315 1.7¢
Morgan Stanley 37,518,879 5.2¢
JPM Euro Property 113,676 0.0¢
Prudential PRISA II 19,653,114 2.7¢
Alidade Capital Fund IV 4,771,298 0.7¢
Walton Street Real Estate 3,273,220 0.5¢
AEW Real Estate 2,765,427 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¢
Allocation
Market Value Allocation
SSgA S&P 500 32,988,836 5.0¢
SSgA S&P 500 Equal Weighted Index 28,687,302 4.4¢
T. Rowe Price 63,373,375 9.7¢
Wedge Capital Partners 9,125,522 1.4¢
TimesSquare 12,446,528 1.9¢
Great Lakes SmidCap 10,600,944 1.6¢
Reinhart Partners 10,585,798 1.6¢
Lee Munder (LMCG)18,348,518 2.8¢
Loomis Small Cap 18,914,025 2.9¢
Lazard 30,831,403 4.7¢
Pictet 37,050,738 5.7¢
Berkeley Street 16,862,384 2.6¢
ABS Global 46,382,432 7.1¢
CS McKee 117,678,129 18.0¢
Loomis Fixed Income 76,108,856 11.6¢
Franklin Templeton 36,211,357 5.5¢
Churchill Senior Loan Fund 12,109,315 1.8¢
Morgan Stanley 37,746,029 5.8¢
JPM Euro Property 113,676 0.0¢
Prudential PRISA II 19,855,338 3.0¢
Alidade Capital Fund IV 5,020,574 0.8¢
Walton Street Real Estate 3,212,971 0.5¢
AEW Real Estate 2,638,311 0.4¢
Dune Real Estate IV 1,076,332 0.2¢
ValStone Opportunity Fund V 2,445,434 0.4¢
Cash and Equivalents Account 756,786 0.1¢
Private Markets Cash 3,943,637 0.6¢
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 763,934,666 -493,350 -12,700,000 -177,881 -4,442 3,555,702 -99,986,844 655,114,551
Total Equity Composite 435,442,945 -43,350 --106,630 -3,108 1,334,647 -100,513,398 336,197,806
Total Domestic Equity 273,689,503 ----5,209 -1,299 1,144,493 -69,756,640 205,070,848
Total Large Cap Equity Composite 159,314,955 ----5,209 -183 738,837 -34,998,886 125,049,513
SSgA S&P 500 41,040,977 ----1,989 ---8,050,152 32,988,836
SSgA S&P 500 Equal Weighted Index 39,437,397 ----3,220 ---10,746,875 28,687,302
T. Rowe Price 78,836,581 -----183 738,837 -16,201,859 63,373,375
Total Mid Cap Equity Composite 61,944,948 -----823 265,656 -19,450,989 42,758,792
Wedge Capital Partners 14,931,908 -----219 89,799 -5,895,966 9,125,522
TimesSquare 15,357,065 -----162 43,189 -2,953,564 12,446,528
Great Lakes SmidCap 15,705,181 -----58 70,833 -5,175,012 10,600,944
Reinhart Partners 15,950,793 -----384 61,835 -5,426,446 10,585,798
Total Small Cap Equity Composite 52,429,600 -----292 140,000 -15,306,765 37,262,543
Lee Munder (LMCG)27,553,773 ----95 117,238 -9,322,587 18,348,518
Loomis Small Cap 24,875,827 -----387 22,763 -5,984,178 18,914,025
Total International Equity 114,380,810 -43,350 --101,421 -1,810 190,153 -29,766,558 84,744,525
Lazard 40,760,952 -----1,810 185,268 -10,113,006 30,831,403
Pictet 51,792,423 ----58,071 -4,886 -14,688,500 37,050,738
Berkeley Street 21,827,435 -43,350 --43,350 ---4,965,051 16,862,384
Total Long/Short Equity Composite 47,372,632 -------990,200 46,382,432
ABS Global 47,372,632 -------990,200 46,382,432
Total Fixed Income Composite 246,209,275 -6,507,949 ----1,324 1,851,215 556,441 242,107,657
Total Domestic Fixed Income 197,181,795 -6,212,060 ----1,324 1,851,215 967,359 193,786,985
CS McKee 122,116,111 -6,212,060 ----819 1,223,062 551,835 117,678,129
Loomis Fixed Income 75,065,684 -----505 628,153 415,524 76,108,856
Total Global Fixed 36,622,276 -------410,918 36,211,357
Franklin Templeton 36,622,276 -------410,918 36,211,357
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 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 Asset 78,709,461 -7,030,171 ---71,251 -370,352 130,274 72,108,664
Total Real Estate 76,034,885 -6,801,029 ---71,251 -370,352 130,274 69,663,230
Morgan Stanley 45,518,879 -8,000,000 ----370,352 -143,202 37,746,029
JPM Euro Property 113,676 -------113,676
Prudential PRISA II 19,653,114 ----57,808 --260,032 19,855,338
Alidade Capital Fund IV 3,846,298 1,174,276 ------5,020,574
Walton Street Real Estate 3,273,220 -60,249 ---13,444 --13,444 3,212,971
AEW Real Estate 2,765,427 -127,116 ------2,638,311
Dune Real Estate IV 864,272 212,060 ------1,076,332
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 13,538,120 450,000 -12,700,000 --10 -512 -160,161 4,700,423
Cash and Equivalents Account 5,587 13,001,000 450,000 -12,700,000 --10 209 -756,786
Private Markets Cash 3,567,398 537,120 -----720 -160,161 3,943,637
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 655,114,551 100.0 -8.88 -12.74 -8.46 -12.74 -4.81 2.69 3.86 5.48 6.66 7.93 10/01/1986
Total Fund Policy Index -8.40 -11.90 -7.60 -11.90 -3.65 3.28 4.03 5.76 7.12 8.39
Total Equity Composite 336,197,806 51.3 -15.25 -22.78 -16.50 -22.78 -13.34 0.50 2.78 5.75 7.46 8.78 10/01/1986
Total Equity Index -15.19 -23.18 -16.34 -23.18 -13.23 1.05 3.70 7.20 8.69 9.15
Total Fixed Income Composite 242,107,657 37.0 -1.66 0.97 1.44 0.97 5.95 4.00 3.28 3.15 4.28 6.34 10/01/1986
Total Fixed Income Index -1.03 2.32 2.52 2.32 7.89 4.59 3.22 2.91 3.64 6.18
Total Real Asset 72,108,664 11.0 0.70 0.70 3.27 0.70 7.09 8.51 10.02 11.33 10.68 5.04 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 0.7
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 205,070,848 31.3 -17.37 -25.07 -18.86 -25.07 -14.90 0.81 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 125,049,513 19.1 -14.15 -21.50 -14.54 -21.50 -9.41 4.11 6.31 9.38 10.34 8.38 07/01/2008
SSgA S&P 500 (1.5 bps)32,988,836 5.0 -12.38 -19.61 -12.32 -19.61 -6.99 5.12 6.78 9.68 10.59 11.23 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)28,687,302 4.4 -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)63,373,375 9.7 -12.93 -19.61 -12.09 -19.61 -6.63 6.15 7.68 10.45 11.07 11.70 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 42,758,792 6.5 -22.85 -30.97 -26.97 -30.97 -23.50 -4.81 -0.78 4.02 7.09 5.87 07/01/2008
Wedge Capital Partners (75 bps)9,125,522 1.4 -29.33 -38.88 -36.66 -38.88 -34.91 -11.30 -4.78 1.45 6.26 3.59 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)12,446,528 1.9 -15.21 -18.95 -12.21 -18.95 -3.96 7.83 6.71 9.71 11.28 12.56 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)10,600,944 1.6 -24.55 -32.50 -28.49 -32.50 N/A N/A N/A N/A N/A -29.66 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)10,585,798 1.6 -23.20 -33.63 -30.07 -33.63 N/A N/A N/A N/A N/A -28.14 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 37,262,543 5.7 -20.87 -28.93 -22.16 -28.93 -20.80 -2.56 1.01 4.61 7.25 6.84 07/01/2008
Lee Munder (70 bps)18,348,518 2.8 -22.56 -33.41 -27.48 -33.41 -25.37 -8.13 -0.61 3.30 5.84 6.19 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)18,914,025 2.9 -19.16 -23.96 -16.19 -23.96 -15.80 4.97 5.13 9.02 N/A 10.57 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 84,744,525 12.9 -17.02 -25.87 -19.35 -25.87 -18.14 -2.32 0.15 1.82 3.45 1.66 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)30,831,403 4.7 -16.45 -24.36 -17.97 -24.36 -17.13 -0.50 0.03 2.72 4.68 3.71 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)37,050,738 5.7 -18.10 -28.37 -23.05 -28.37 -21.44 -5.28 -0.73 1.03 2.53 -0.82 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)16,862,384 2.6 -15.64 -22.75 -12.79 -22.75 -11.97 1.32 3.25 1.86 N/A 2.46 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 46,382,432 7.1 0.00 -2.09 3.49 -2.09 6.81 4.58 2.91 4.27 N/A 4.28 10/01/2010
ABS Global (100 bps)46,382,432 7.1 0.00 -2.09 3.49 -2.09 6.81 4.58 2.91 5.30 N/A 5.09 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 193,786,985 29.6 -2.06 1.43 1.71 1.43 7.28 4.59 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)117,678,129 18.0 -1.94 1.45 1.58 1.45 7.27 4.50 3.38 3.22 4.01 4.00 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)76,108,856 11.6 -2.24 1.39 1.94 1.39 7.29 4.77 3.91 3.87 5.62 5.62 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 36,211,357 5.5 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)36,211,357 5.5 0.00 -1.12 -0.05 -1.12 -1.31 0.06 1.10 1.14 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 69,663,230 10.6 0.73 0.73 2.76 0.73 6.62 8.33 N/A N/A N/A 8.83 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)37,746,029 5.8 0.61 0.61 2.40 0.61 6.37 8.19 9.83 11.62 12.86 6.53 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)19,855,338 3.0 1.32 1.32 3.50 1.32 6.83 8.37 10.01 11.54 N/A 11.82 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
JPM Euro Property 113,676 0.0 0.00 0.00 -3.73 0.00 -5.19 0.23 3.19 3.16 -0.12 -1.44 04/01/2009
NCREIF Property Index 0.00 0.00 1.55 0.00 4.54 6.15 7.49 8.75 10.09 8.14
Total Cash Composite 4,700,423 0.7
Cash and Equivalents Account (No fee)756,786 0.1
Private Markets Cash 3,943,637 0.6
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 10.85 08/27/2014
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 10.66 05/24/2017
AEW Real Estate 0.00 0.00 4.60 0.00 13.08 N/A N/A N/A N/A 10.42 09/28/2017
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
Alternative 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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