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HomeMy WebLinkAboutReports - 2020.03.31 - 33318<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="1" EffectiveDate="03/31/2020" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending March 31, 2020 Oakland County ERS Superseding Trust Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 11 Asset Allocation Pie Charts Page 12 Historical Asset Allocation Page 14 Performance Review Trailing Periods Page 16 Total Fund Analysis Page 18 SSgA S&P 500 Page 20 CS McKee Page 22 Historical Hybrid Composition Page 24 Definitions & Disclosure Pages Page 25 Table Of Contents EXECUTIVE SUMMARY: 1Q 2020 Market Summary: A global pandemic circulated around the world during the quarter, wreaking havoc on economies and the capital markets. The S&P 500 peaked on February 20th before falling 33.8% to its low on March 23. For the quarter, the S&P 500 fell -19.60%. Mid cap stocks (-27.1%) and small cap stocks (-30.6%) were punished more severely as investors shunned the riskier segments of the markets. International markets also collapsed with the developed markets falling -22.8% (MSCI EAFE) and the emerging markets declining -23.6% (MSCI Emerging Markets). Treasuries provided a refuge during the equity market chaos, rising 8.2% as rates dropped. Corporate bonds traded in concert with the equity markets and generated negative returns, as Investment Grade Corporates fell -3.6% and High Yield fell -12.7%. The Federal Reserve responded swiftly to support the markets, using their GFC playbook and quickly deploying programs that took months to design back in 2008. The response has been enormous with five times more liquidity being deployed now than in 2008. Additionally, a unified political response resulted in a $2 trillion stimulus package for US consumers and businesses. These actions seem to have stabilized market functions and allowed stocks to reverse some losses from earlier in the month. Much of the commentary around individual manager performance seeks to provide context, not consolation. Conclusions/Recommendations: 1. The Total Fund suffered a loss of 11.84% during the quarter, underperforming the Policy Index by 0.96% but ranking in the top third of the public fund universe. 2. The Total Fund posted a return of -1.40% over the past year, ranking near the top of the peer group but lagging the Policy Index. The Fund was hindered by poor results from CS McKee. 3. CS McKee trailed the BB Aggregate Index this quarter, as did many of the domestic fixed income managers. The underperformance is partially attributed to an underweight to Treasuries, the best performing segment within the fixed income market. Longer-term, the manager meets 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 1st Quarter 2020 Market EnvironmentPage 2 Global risk asset class returns declined significantly during the 1st quarter of2020 due primarily to the COVID-19 (Coronavirus) pandemic. Both domesticand international equities experienced significant drawdowns as investorsmoved into perceived haven assets such as US Treasury bonds. Equitymarket volatility, as measured by the VIXIndex, reached its highest level sincethe Financial Crisis in 2008. Through the quarter, global economic growthturned negative as countries responded to the pandemic by shuttering theireconomies. In the US, as a result of the decision to institute social distancingand shelter-in-place orders, labor markets suffered significant losses asbusinesses closed or furloughed employees. Rising economic concernsresulted in swift action by the Federal Reserve (Fed) which cut its overnightlending rate to between 0% to 0.25%. Importantly, the US governmentresponded with a stimulus package consisting of forgivable loans and othershort-term benefits, that is designed to act as a bridge for the economy untilbusinesses can reopen. Within domestic equity markets, large cap stocksoutperformed small cap equities during the quarter with the S&P 500 Indexreturning -19.6% versus a -30.6% return for the small cap Russell 2000 Index.US equity returns over the 1-year period turned negative as a result of thedrawdown with large and mid-cap stocks returning -7.0% and -18.3%respectively, while small cap stocks fell -24.0%.International markets also posted negative returns for the 1st quarter. Similarto US markets, international returns were impacted by the Coronavirus anddeteriorating economic fundamentals. International returns also facedheadwinds from a strengthening US dollar (USD) which appreciated againstmost major currencies during the period. Developed markets outpacedemerging markets during the period with the MSCI EAFE Index falling -22.8%versus a -23.6% decline for the MSCI Emerging Markets Index. Bothdeveloping and emerging markets posted losses over the 1-year period,returning -14.4% and -17.7% respectively.As expected during periods of risingvolatility, high quality fixed incomeoutperformed equities during the 1st quarter as investors looked for relativesafety amid the equity market drawdown. The broad market BloombergBarclays Aggregate Index gained 3.1% as interest rates fell following risingconcerns related to the Coronavirus and central bank stimulus from the Fedand other global central banks. US Government bonds were the bestperforming securities for the 1st quarter returning 8.1%. Investment gradecorporate bonds suffered negative returns on concerns about economicgrowth prospects in the future. The bond market has meaningfullyoutperformed the equity market overthe trailing 1-year period with theBloomberg Barclays Aggregate posting a solid 8.9% return.Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of March 31, 20200.6%-3.6%2.8%1.7%8.1%3.1%-30.6%-27.1%-20.2%-20.9%-19.6%-23.6%-22.8%-23.4%-35.0% -25.0% -15.0% -5.0% 5.0%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%5.0%7.0%6.8%13.1%8.9%-24.0%-18.3%-8.0%-9.1%-7.0%-17.7%-14.4%-15.6%-30.0% -20.0% -10.0% 0.0% 10.0% 20.0%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 3 Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of March 31, 2020US equity returns were significantly lower during the 1st quarter with variedresults across both style and market capitalization. Concerns related to theCoronavirus, in combination with signs that the US economy could be enteringinto recession weighed on equities. Labor markets came under significantpressure during the quarter as companies began laying off employees inresponse to the government’s decision to mandate a shelter-in-place approachto dealing with the pandemic. In response to the deteriorating economicconditions, the Fed took unprecedented action on March 15th and lowered theFed Fund’s rate to between 0% to 0.25%. The Fed also announced that itwould be purchasing up to $500 billion in US Treasury bonds and $200 billionin mortgage-backed bonds. Subsequently, the Fed announced on March 23rdthat it would begin purchasing unlimited amounts of US Treasury andmortgage-backed bonds. This announcement was well received by investorsand marked the recent low in equity markets.During the quarter, higher market capitalization stocks were down less thanlower market capitalization stocks across the style spectrum. The large capRussell 1000 Index lost -20.2% during the period versus a -30.6% return forthe small cap Russell 2000 Index. Investors preferred large cap stocks relativeto small cap stocks as they are typically viewed as less risky during periods ofrising market volatility given the size of their balance sheets and ability togenerate cash flow. When viewed over the most recent 1-year period, largecap stocks significantly outpaced small cap stocks with the Russell 1000posting a -8.0% loss compared to the -24.0% drawdown in the Russell 2000.In general, value stocks underperformed growth stocks across marketcapitalizations during the 1st quarter despite value stocks trading near all-timelows based on valuation metrics. Importantly, value indexes contain largeexposures to such sectors as energy, consumer durables and financials, all ofwhich came under pressure during the quarter. Large cap growth stocks heldup better than large cap value stocks due to larger weightings in thetechnology and industrials sectors as well as a smaller exposure to theunderperforming energy sector. The Russell 1000 Growth Index was the leastnegative style index for the period, returning -14.1%. The small cap valueindex posted the weakest relative return for the quarter with a loss of -35.7%.Results over the 1-year period were mixed with value stocks underperformingacross market capitalizations while large cap stocks outpaced both mid andsmall cap stocks due in large part to the exposure to technology stocks andrelative underweights to both energy and financial stocks.-25.8%-30.6%-35.7%-20.0%-27.1%-31.7%-14.1%-20.2%-26.7%-14.9%-20.9%-27.3%-40.0% -30.0% -20.0% -10.0% 0.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series-18.6%-24.0%-29.6%-9.4%-18.3%-24.1%0.9%-8.0%-17.2%-0.4%-9.1%-18.0%-35.0% -25.0% -15.0% -5.0% 5.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 4 Generally, sector performance was negative across large cap sectors for the1st quarter. The outlier during the period was the energy sector which sawsignificant losses due primarily to the drop in oil prices as a result of demanddestruction related to the Coronavirus and the inability of OPEC to agree onproduction cuts. Health care and technology were the two of the leastnegative during the quarter returning -12.4% and -12.5%. Energy stocks fell astaggering -51.3% during the quarter as crude oil prices fell as globaleconomic growth receded during the period. Financial stocks also lagged,declining -32.6%, as interest rates fell and a flat yield curve, in combinationwith fewer borrowers, increased pressure on financial stocks. Returns overthe 1-year period were also generally negative with only the technologysector showing a positive return (+8.5%). Similar to the quarter’s results,energy stocks underperformed by a considerable margin relative to othersectors. Industrials, materials, and financials also lagged for the yearreturning -19.3%, -19.2% and -18.4% respectively.Quarterly results for small capitalization sectors were generally worse thantheir large capitalization counterparts with only utilities outperforming duringthe period. All eleven economic sectors saw substantial losses during theperiod with only three of eleven sectors outpacing the Russell 2000 Indexreturn for the quarter. Similar to large capitalization sectors, defensive sectorswere less negative as investors gravitated toward their relative safety andhigher yields. Utilities was the least negative sector, returning -12.8%, whilehealthcare and consumer staples returned -19.2% and -21.5%, respectively.The cyclically oriented energy sector was the largest detractor for the period,posting a disconcerting loss of --62.4% as global energy prices collapsed.Consumer discretionary stocks also fell substantially during the quarterreturning -44.3% as consumer activity fell sharply following the decision toimpose shelter-in-place orders. Financial stocks, which were down -34.7% forthe quarter, were negatively impacted by the Fed’s decision to lower interestrates and the significant decline in lending activity. Similar to quarterlyperformance, the trailing 1-year period returns were broadly negative.Utilities, technology and health care sectors were the down the least,returning -4.9%, -9.7% and -10.5%, respectively.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of March 31, 2020Source: 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. -3.4%-15.2%-19.2%8.5%-19.3%-1.1%-18.4%-53.8%-1.5%-10.6%-3.8%-14.2%-22.9%-26.9%-12.5%-27.3%-12.4%-32.6%-51.3%-13.2%-19.8%-17.4%-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0%Utilities (3.3%)Real Estate (3.8%)Materials (2.7%)Info Technology (23.8%)Industrials (9.4%)Health Care (13.7%)Financials (12.8%)Energy (3.7%)Consumer Staples (6.7%)Consumer Disc (10.1%)Comm Services (10.0%)Russell 1000Quarter1-Year-4.9%-26.4%-36.1%-9.7%-21.9%-10.5%-26.7%-70.7%-15.1%-40.0%-35.7%-12.8%-33.0%-39.1%-22.2%-32.7%-19.2%-34.7%-62.4%-21.5%-44.3%-31.2%-75.0% -65.0% -55.0% -45.0% -35.0% -25.0% -15.0% -5.0%Utilities (3.8%)Real Estate (8.0%)Materials (3.7%)Info Technology (13.9%)Industrials (15.9%)Health Care (18.1%)Financials (17.7%)Energy (2.7%)Consumer Staples (2.9%)Consumer Disc (11.0%)Comm Services (2.3%)Russell 2000Quarter1-YearPage 5 The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of March 31, 2020Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorMicrosoft Corp 5.09% 0.3% 35.5% Information Technology Teladoc Health Inc 0.77% 85.2% 178.8% Health CareApple Inc 4.47% -13.2% 35.6% Information Technology NovoCure Ltd 0.40% -20.1% 39.8% Health CareAmazon.com Inc 3.48% 5.5% 9.5% Consumer Discretionary Amedisys Inc 0.40% 10.0% 48.9% Health CareFacebook Inc A 1.70% -18.7% 0.1% Communication Services Generac Holdings Inc 0.39% -7.4% 81.9% IndustrialsBerkshire Hathaway Inc B 1.53% -19.3% -9.0% Financials Lumentum Holdings Inc 0.38% -7.1% 30.4% Information TechnologyAlphabet Inc Class C 1.49% -13.0% -0.9% Communication Services Repligen Corp 0.35% 4.4% 63.4% Health CareJohnson & Johnson 1.49% -9.5% -3.6% Health Care Haemonetics Corp 0.35% -13.3% 13.9% Health CareAlphabet Inc A 1.48% -13.2% -1.3% Communication Services ACADIA Pharmaceuticals Inc 0.33% -1.2% 57.4% Health CareJPMorgan Chase & Co 1.20% -35.0% -8.4% Financials Trex Co Inc 0.32% -10.8% 30.3% IndustrialsVisa Inc Class A 1.18% -14.1% 3.8% Information Technology Rexford Industrial Realty Inc 0.32% -9.7% 16.6% Real EstateTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorModerna Inc 0.03% 53.1% 47.2% Health Care Waitr Holdings Inc Class A 0.00% 282.0% -90.0% Consumer DiscretionaryLegg Mason Inc 0.02% 37.2% 86.1% Financials Novavax Inc 0.03% 241.2% 23.3% Health CareTaubman Centers Inc 0.01% 36.6% -15.3% Real Estate Vir Biotechnology Inc 0.02% 172.5% N/A Health CareVirtu Financial Inc A 0.00% 31.9% -7.8% Financials Athersys Inc 0.03% 143.9% 100.0% Health CareZscaler Inc 0.02% 30.9% -14.2% Information Technology Forty Seven Inc 0.17% 142.4% 490.5% Health CareRegeneron Pharmaceuticals Inc 0.17% 30.0% 18.9% Health CareKala Pharmaceuticals Inc 0.01% 138.2% 6.3% Health CareCitrix Systems Inc 0.07% 28.0% 44.0% Information Technology Aduro Biotech Inc 0.01% 132.2% -31.2% Health CareRingCentral Inc Class A 0.07% 25.6% 96.6% Information Technology Tocagen Inc 0.00% 128.8% -88.8% Health CareNortonLifeLock Inc 0.04% 25.4% 40.9% Information Technology Inovio Pharmaceuticals Inc 0.05% 125.5% 99.5% Health CareTesla Inc 0.32% 25.3% 87.2% Consumer Discretionary Neon Therapeutics Inc 0.00% 123.7% -59.1% 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 ReturnSectorCentennial Resource Dev. Inc A 0.00% -94.3% -97.0% Energy Independence Contract Drilling Inc 0.00% -93.0% -97.5% EnergyKosmos Energy Ltd 0.00% -84.0% -85.0% EnergyQEP Resources Inc 0.01% -92.5% -95.6% EnergyApache Corp 0.01% -83.5% -87.5% Energy Whiting Petroleum Corp 0.00% -90.9% -97.4% EnergyTransocean Ltd 0.00% -83.1% -86.7% Energy Amplify Energy Corp 0.00% -90.4% -93.0% EnergyApergy Corp 0.00% -83.0% -86.0% Energy Penn Virginia Corp 0.00% -89.8% -93.0% EnergyTarga Resources Corp 0.01% -82.7% -81.7% Energy Pacific Drilling SA 0.00% -89.8% -97.1% EnergyNorwegian Cruise Line Holdings Ltd 0.01% -81.2% -80.1% Consumer Discretionary Nine Energy Service Inc 0.00% -89.7% -96.4% EnergyMFA Financial Inc 0.00% -79.7% -76.9% Financials Forum Energy Technologies Inc 0.00% -89.4% -96.5% EnergyChesapeake Energy Corp 0.00% -79.1% -94.4% EnergyOasis Petroleum Inc 0.01% -89.3% -94.2% EnergyMacerich Co 0.00% -78.4% -85.6% Real Estate SM Energy Co 0.01% -89.1% -93.0% EnergyPage 6 Source: MSCI Global Index Monitor (Returns are Net)International equity returns were negative in USD terms for the 1st quarter asmarkets were negatively impacted by the Coronavirus. In local currency terms,developed and emerging markets performed slightly better due to US dollar(USD) strength against most major currencies which created a significantheadwind for US investors. The MSCI ACWI ex US Index lost -20.1% in localcurrency terms while a USD investor experienced a loss of -23.4% due to theaforementioned currency effect. Similar to US markets, international equitymarkets were severely impacted by concerns regarding headwinds fromslowing economic data. Global central banks reacted by providing additionalstimulus measures which are designed to provide the market with liquidity andrestore confidence. The European Central Bank (ECB) and the JapaneseCentral Bank (JCB) announced new programs to purchase securities in aneffort to boost markets while the Bank of England (BOE) cut its policy rate to0.1% and announced additional quantitative easing in an effort to counteract adeterioration in the economy.Results for developed market international indices were negative in both localcurrency terms and USD terms for the 1st quarter. Prior to the onset of theCoronavirus, there were notable developments within the political sphere. TheUK formally withdrew from the EU in January. While there remains muchuncertainty surrounding what the relationship between the UK and the EU willlook like, both sides are continuing to negotiate for a final withdrawal later thisyear. In Europe, Italy and Spain were hard hit by the Coronavirus. Alreadybeset by relatively low GDP growth in historical terms, the region is expectedto experience recession. In Japan, the economy was already under pressureas a result of declining trade with China prior to the onset of the Coronavirus.The Olympics were also rescheduled to 2021 in an effort to reduce the numberof potential infections.Emerging markets continued their trend from 2019, underperforming relative todeveloped markets during the 1st quarter. The MSCI Emerging Markets Indexfell -23.6% and -19.1% in USD and local currency terms, respectively. The USand China made headway in resolving their trade war by signing the PhaseOne trade deal in January. Countries with greater sensitivities to commodityprices or a strong USD tended to underperform during the period. Regionally,Asian countries outperformed both EMEAand Latin America, primarily due totheir aggressive response to the Coronavirus. Within Latin America, Brazil andMexico were hard hit as a result of the selloff in oil prices. Argentinaunderperformed as the country considered delaying the payment of interest onits sovereign debt.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As March 31, 2020-24.0%-10.4%-18.5%-13.0%-11.3%-13.3%-12.6%-12.8%-12.8%-40.8%-12.1%-27.7%-17.7%-12.4%-15.5%-14.4%-14.9%-15.6%-50.0% -40.0% -30.0% -20.0% -10.0% 0.0%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 Currency-31.8%-16.2%-24.1%-19.1%-18.4%-21.8%-20.6%-20.5%-20.1%-45.6%-18.1%-33.9%-23.6%-20.3%-24.3%-22.8%-23.3%-23.4%-50.0% -40.0% -30.0% -20.0% -10.0% 0.0%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 CurrencyPage 7 The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of March 31, 2020Source: 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 5.5% -18.0% -11.5%Consumer Discretionary 11.1% -26.8% -15.0%Consumer Staples 12.6% -13.5% -8.5%Energy 4.0% -36.2% -37.9%Financials 16.5% -31.6% -24.7%Health Care 14.3% -8.9% 7.1%Industrials 14.2% -26.4% -16.0%Information Technology 7.6% -17.7% -1.7%Materials 6.7% -26.8% -20.5%Real Estate 3.3% -27.6% -27.1%Utilities 4.2% -13.2% -5.1%Total 100.0% -22.8% -14.4%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.5% -14.1% -9.9%Consumer Discretionary 11.8% -24.1% -12.9%Consumer Staples 10.5% -14.7% -9.9%Energy 5.2% -38.5% -37.1%Financials 19.2% -31.0% -24.9%Health Care 10.5% -9.2% 4.6%Industrials 11.4% -26.2% -17.1%Information Technology 10.2% -17.5% 1.3%Materials 7.0% -27.5% -22.8%Real Estate 3.0% -27.6% -25.9%Utilities 3.7% -15.9% -8.7%Total 100.0% -23.4% -15.6%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 13.1% -9.6% -8.2%Consumer Discretionary 15.4% -18.1% -8.3%Consumer Staples 6.6% -19.8% -15.7%Energy 5.9% -39.9% -35.8%Financials 21.6% -31.1% -27.6%Health Care 3.6% -8.5% -8.5%Industrials 4.9% -28.0% -26.5%Information Technology 16.9% -17.8% 3.2%Materials 6.7% -30.7% -31.3%Real Estate 2.9% -26.7% -21.5%Utilities 2.5% -26.0% -23.4%Total 100.0% -23.6% -17.7%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 26.3% 17.4% -16.8% -6.7%United Kingdom 15.1% 10.0% -28.8% -23.0%France 10.8% 7.1% -27.6% -17.7%Switzerland 10.7% 7.1% -11.5% 3.5%Germany 8.3% 5.5% -27.0% -17.5%Australia 5.9% 3.9% -33.3% -26.3%Netherlands 4.2% 2.7% -20.7% -7.7%Hong Kong 3.8% 2.5% -17.3% -21.1%Sweden 2.8% 1.8% -21.4% -11.2%Spain 2.6% 1.7% -29.8% -26.5%Denmark 2.2% 1.4% -8.0% 4.5%Italy 2.2% 1.4% -29.3% -21.4%Singapore 1.2% 0.8% -28.2% -22.3%Finland 1.0% 0.7% -19.1% -18.0%Belgium 0.9% 0.6% -32.6% -30.2%Israel 0.6% 0.4% -18.1% -18.4%Ireland 0.6% 0.4% -25.7% -8.3%Norway 0.5% 0.4% -33.4% -31.3%New Zealand 0.3% 0.2% -16.4% -1.0%Portugal 0.2% 0.1% -13.1% -2.5%Austria 0.2% 0.1% -42.9% -39.7%Total EAFE Countries 100.0% 66.0% -22.8% -14.4%Canada 6.3% -27.5% -19.9%Total Developed Countries 72.3% -23.3% -14.9%China 11.3% -10.2% -5.8%Taiwan 3.4% -19.1% 1.3%Korea 3.3% -22.5% -16.8%India 2.1% -31.1% -30.9%Brazil 1.4% -50.2% -41.9%South Africa 1.0% -40.3% -37.1%Russia 0.9% -36.4% -14.4%Saudi Arabia 0.7% -24.0% -28.9%Thailand 0.6% -33.8% -32.5%Mexico 0.5% -35.5% -31.9%Malaysia 0.5% -19.2% -21.1%Indonesia 0.4% -39.6% -36.8%Qatar 0.3% -17.3% -15.1%Philippines 0.2% -32.2% -30.5%Poland 0.2% -36.5% -39.9%Chile 0.2% -33.6% -47.1%United Arab Emirates 0.2% -27.1% -30.3%Turkey 0.1% -30.1% -19.8%Peru 0.1% -35.8% -39.4%Colombia 0.1% -49.7% -47.3%Hungary 0.1% -39.0% -31.3%Greece 0.1% -45.2% -30.4%Argentina 0.0% -39.3% -51.0%Egypt 0.0% -27.1% -10.8%Czech Republic 0.0% -38.5% -38.3%Pakistan 0.0% -39.7% -39.0%Total Emerging Countries 27.7% -23.6% -17.7%Total ACWIxUS Countries 100.0% -23.4% -15.6%Page 8 Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of March 31, 2020Fixed income market returns during the 1st quarter were bifurcated betweenhigh- and low-quality bonds. Interest rates fell across the US Treasury YieldCurve through the quarter as investors sought safety and lower volatilityassets. As a result of the deterioration of the US economy, the Fed tookunprecedented action and lowered interest rates to between 0% to 0.25%. Asa result, short term interest rates fell dramatically. The benchmark USTreasury 10-Year bond yield fell by more than 120 basis points during thequarter ending the period at a yield of 0.70%. In addition to lowering interestrates, the Fed committed to purchasing near unlimited US Treasury bonds andAgency mortgage bonds while implementing additional programs that allow forthe purchase of corporate bonds. The bellwether Bloomberg Barclays USAggregate Index posted positive returns for both the 1st quarter and the 1-yearperiod, returning 3.1% and 8.9%, respectively.Within investment grade credit, higher quality issues outperformed lowerquality issues during the quarter. More specifically, investors rotated out oflower quality issues due to the expectation for deterioration in the economy asa result of shelter-in-place protection measures. On an absolute basis, withoutnegating the duration differences in the sub-indices, high yield credit was theworst performing sector returning -12.7% for the quarter, while AAA was thebest performing, returning 5.8%. High yield spreads relative to comparable USTreasury issues widened to their highest levels since the 2008 Financial Crisisat nearly 1,100 basis points. Within investment grade bonds, Baa alsounderperformed, returning -7.4%. Much has been made in recent years aboutthe growth of Baa bond issues outstanding and the potential for downgradesshould a recession ensue. Returns over the 1-year period show generallypositive returns with only high yield bonds posting a negative result. Withininvestment grade bonds, AAA bonds outperformed returning 10.5% comparedto 7.5%, 7.4% and 1.9%, respectively, for AA, A and Baa rated issues.Within the Bloomberg Barclays US Aggregate Bond Index, defensive USTreasury, government agency and mortgage backed sectors outperformedinvestment grade corporate issues over the 1-year period. The defensivesectors benefited from the flight to quality as investors preferred lower volatilityissues despite their lower relative yields. Over the 1-year period, US Treasurybonds returned 13.2% while US mortgage backed and investment gradecorporate issues returned 7.0% versus a 5.0%, respectively. High yield bondswere the only negative performer for the year in the chart primarily due to thequarter’s dramatic spread widening and resulting weak performance.Additionally, commodity-related lower quality issues were negatively impactedwith the significant decline in oil prices.-1.1%-2.7%2.5%3.1%1.7%-3.6%2.8%8.2%-12.7%-7.4%-0.6%1.5%5.8%-15.0% -10.0% -5.0% 0.0% 5.0% 10.0%Multiverse (6.9)Global Agg x US (8.1)Intermediate Agg (3.2)Aggregate (5.7)U.S. TIPS (6.7)U.S. Corporate IG (8.0)U.S. Mortgage (1.7)U.S. Treasury (7.0)U.S. High Yield (4.1)Baa (7.9)A (8.0)AA (7.2)AAA (4.9)Quarter Performance 3.5%0.7%6.9%8.9%6.8%5.0%7.0%13.2%-6.9%1.9%7.4%7.5%10.5%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%Multiverse (6.9)Global Agg x US (8.1)Intermediate Agg (3.2)Aggregate (5.7)U.S. TIPS (6.7)U.S. Corporate IG (8.0)U.S. Mortgage (1.7)U.S. Treasury (7.0)U.S. High Yield (4.1)Baa (7.9)A (8.0)AA (7.2)AAA (4.9)1-Year PerformancePage 9 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of March 31, 2020Global fixed income returns continuedtheir relative underperformance whencompared to their domestic counterparts during the 1st quarter. Yields acrossdeveloped markets fell in the first quarter following the onset of theCoronavirus. While the number of negative yielding bonds has recentlysubsided, countries such as Germany, Sweden and Switzerland continue tohave lower, or in some cases negative yields. As mentioned, the USDappreciated against most developed currencies during the quarter, acting as aheadwind to global bond index performance. The return on global bonds, asrepresented by the Bloomberg Barclays Global Aggregate ex US Index, was -2.7% for the period. Global bonds also trailed over the 1-year period with theGlobal Aggregate ex US Index returning 0.7% versus 8.9% return for thedomestic Bloomberg Barclays Aggregate Index. Global growth is expected toslow considerably in the 1st and 2nd quarters as countries continue to managethrough the Coronavirus pandemic. Importantly, global central banks areacting in coordination to provide sufficient liquidity in an effort to calm markets.As a result, interest rates, and bond returns, are expected to remain low untileconomic activity resumes.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) has fallen from roughly 2.5% to roughly0.7%. The blue line illustrates changes in the BAA OAS (Option AdjustedSpread). This measure quantifies the additional yield premium that investorsrequire to purchase and hold non-Treasury issues. This line illustrates anabrupt increase in credit spreads during the 1st quarter of 2020 as investorsmoved to higher quality assets during the quarter’s risk-off environment. Priorto that, spreads had remained relatively range bound over the previous threequarters as investors sought out higher relative yields in corporate bonds. Theorange line illustrates US Treasury TIPS which reflect investor expectations offuture inflation. Over the trailing year, TIPS yields had already been trendinggenerally lower due to concerns about the sustainability of global economicgrowth. Following the drawdown in the 1st quarter, TIPS yields were negativeas investors believed that the US economy would enter a recession.The lower graph provides a snapshot of the US Treasury yield curve at the endof each of the last four calendar quarters. The downward shift in US interestrates is clearly visible over the last quarter. The primary driver of this change inthe curve was due to the supportive actions taken by the Fed, which reversedrecent interest rate increases, and a broad flight to the perceived safety of USTreasury securities.-1.00-0.500.000.501.001.502.002.503.003.504.004.505.00Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-201-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPS0.000.501.001.502.002.503.003.504.001 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve6/30/20199/30/201912/31/20193/31/2020Page 10 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 (42.3%) Total Equity Composite (57.7%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 13,895,854 100.0 100.0 - Total Equity Composite 8,019,905 57.7 60.0 317,608 Total Fixed Income Composite 5,875,949 42.3 40.0 -317,608 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of March 31, 2020 Page 11 Asset Allocation By Segment as of December 31, 2019 : $15,761,945 Asset Allocation By Segment as of March 31, 2020 : $13,895,854 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¢ Allocation Segments Market Value Allocation Domestic Equity 8,019,905 57.7¢ Domestic Fixed Income 5,753,377 41.4¢ Cash Equivalent 122,572 0.9¢ Asset Allocation Summary Total Fund Composite As of March 31, 2020 NONE Page 12 Asset Allocation By Manager as of December 31, 2019 : $15,761,945 Asset Allocation By Manager as of March 31, 2020 : $13,895,854 Allocation Market Value Allocation SSgA S&P 500 9,979,422 63.3¢ CS McKee 5,782,522 36.7¢ Allocation Market Value Allocation SSgA S&P 500 8,019,905 57.7¢ CS McKee 5,875,949 42.3¢ Asset Allocation Summary Total Fund Composite As of March 31, 2020 NONE Page 13 Asset Allocation Attributes Mar-2020 Dec-2019 Sep-2019 Jun-2019 Mar-2019 ($)%($)%($)%($)%($)% Total Fund Composite 13,895,854 100.00 15,761,945 100.00 14,923,320 100.00 14,629,763 100.00 14,095,284 100.00 Total Equity Composite 8,019,905 57.71 9,979,422 63.31 9,150,287 61.32 8,998,722 61.51 8,628,542 61.22 SSgA S&P 500 8,019,905 57.71 9,979,422 63.31 9,150,287 61.32 8,998,722 61.51 8,628,542 61.22 Total Fixed Income Composite 5,875,949 42.29 5,782,522 36.69 5,773,033 38.68 5,631,041 38.49 5,466,742 38.78 CS McKee 5,875,949 42.29 5,782,522 36.69 5,773,033 38.68 5,631,041 38.49 5,466,742 38.78 Historical Asset Allocation Total Fund As of March 31, 2020 Page 14 Financial Reconciliation Market Value 01/01/2020 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 03/31/2020 Total Fund Composite 15,761,945 ----479 -46,050 -1,911,661 13,895,854 Total Equity Composite 9,979,422 ----479 ---1,959,038 8,019,905 SSgA S&P 500 9,979,422 ----479 ---1,959,038 8,019,905 Total Fixed Income Composite 5,782,522 -----46,050 47,377 5,875,949 CS McKee 5,782,522 -----46,050 47,377 5,875,949 Financial Reconciliation Total Fund 1 Quarter Ending March 31, 2020 Page 15 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)13,895,854 100.0 -11.84 (29)-6.88 (21)-11.84 (29)-1.40 (13)5.08 (4)5.22 (4)N/A N/A 5.22 (4)04/01/2015 Total Fund Policy Index -10.88 (20)-6.02 (16)-10.88 (20)-0.39 (9)5.32 (3)5.63 (2)N/A N/A 5.63 (2) Difference -0.96 -0.86 -0.96 -1.01 -0.24 -0.41 N/A N/A -0.41 All Public Plans-Total Fund Median -13.10 -8.52 -13.10 -4.73 2.84 3.54 5.20 6.33 3.54 Total Fund Composite (Net)13,895,854 100.0 -11.84 -6.88 -11.84 -1.43 5.03 5.17 N/A N/A 5.17 04/01/2015 Total Fund Policy Index -10.88 -6.02 -10.88 -0.39 5.32 5.63 N/A N/A 5.63 Difference -0.96 -0.86 -0.96 -1.04 -0.29 -0.46 N/A N/A -0.46 Total Equity Composite 8,019,905 57.7 -19.63 (45)-12.34 (36)-19.63 (45)-7.04 (38)5.08 (34)N/A N/A N/A 6.46 (29)06/01/2015 S&P 500 Index -19.60 (43)-12.31 (35)-19.60 (43)-6.98 (37)5.10 (33)6.73 (27)9.62 (39)10.53 (42)6.47 (29) Difference -0.03 -0.03 -0.03 -0.06 -0.02 N/A N/A N/A -0.01 IM U.S. Large Cap Core Equity (SA+CF) Median -20.03 -13.74 -20.03 -8.37 4.10 5.75 9.26 10.30 5.48 SSgA S&P 500 8,019,905 57.7 -19.63 (45)-12.34 (36)-19.63 (45)-7.04 (38)5.08 (34)N/A N/A N/A 6.46 (29)06/01/2015 S&P 500 Index -19.60 (43)-12.31 (35)-19.60 (43)-6.98 (37)5.10 (33)6.73 (27)9.62 (39)10.53 (42)6.47 (29) Difference -0.03 -0.03 -0.03 -0.06 -0.02 N/A N/A N/A -0.01 IM U.S. Large Cap Core Equity (SA+CF) Median -20.03 -13.74 -20.03 -8.37 4.10 5.75 9.26 10.30 5.48 Total Fixed Income Composite 5,875,949 42.3 1.62 (55)1.78 (57)1.62 (55)7.49 (59)4.57 (62)3.42 (60)N/A N/A 3.42 (60)04/01/2015 Blmbg. Barc. U.S. Aggregate Index 3.15 (24)3.33 (24)3.15 (24)8.93 (26)4.82 (47)3.36 (71)3.19 (83)3.88 (90)3.36 (71) Difference -1.53 -1.55 -1.53 -1.44 -0.25 0.06 N/A N/A 0.06 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.83 2.02 1.83 7.84 4.76 3.46 3.34 4.25 3.46 CS McKee 5,875,949 42.3 1.62 (55)1.78 (57)1.62 (55)7.49 (59)4.57 (62)3.42 (60)N/A N/A 3.42 (60)04/01/2015 Blmbg. Barc. U.S. Aggregate Index 3.15 (24)3.33 (24)3.15 (24)8.93 (26)4.82 (47)3.36 (71)3.19 (83)3.88 (90)3.36 (71) Difference -1.53 -1.55 -1.53 -1.44 -0.25 0.06 N/A N/A 0.06 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.83 2.02 1.83 7.84 4.76 3.46 3.34 4.25 3.46 Asset Allocation & Performance Total Fund Composite (Gross) As of March 31, 2020 Page 16 Page Intentionally Left Blank Page 17 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -24.00 -20.00 -16.00 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Composite -11.84 (29)-6.88 (21)-1.40 (13)3.00 (7)5.08 (4)6.38 (5)5.22 (4)˜ Policy Index -10.88 (20)-6.02 (16)-0.39 (9)3.62 (6)5.32 (3)6.53 (5)5.63 (2)˜ Median -13.10 -8.52 -4.73 -0.43 2.84 4.84 3.54 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 Return2019 2018 2017 2016 2015 Composite 22.27 (5)-2.49 (19)14.82 (57)8.30 (30)N/A˜ Policy Index 22.18 (6)-2.35 (17)14.21 (66)8.31 (30)N/A˜ Median 18.59 -4.15 15.21 7.46 -0.15 1 Qtr Ending Dec-2019 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 Composite 5.62 (34)2.01 (4)3.79 (7)9.33 (22)-7.96 (61)4.75 (3) Total Fund Policy Index 5.46 (42)1.96 (5)3.96 (5)9.31 (22)-7.56 (51)4.59 (3) All Public Plans-Total Fund Median 5.23 0.84 3.26 8.45 -7.55 2.58 As of March 31, 2020 Performance Review Composite NONE Page 18 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 3.0 6.0 9.0 12.0 15.0 Composite (%)3.0 6.0 9.0 12.0 15.0 Total Fund Policy Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Composite 9 8 (89%)1 (11%)0 (0%)0 (0%)˜ Policy Index 9 8 (89%)1 (11%)0 (0%)0 (0%)˜ 2.43 3.24 4.05 4.86 5.67 6.48 Return (%)8.80 8.90 9.00 9.10 9.20 9.30 9.40 9.50 Risk (Standard Deviation %) Return Standard Deviation Composite 5.08 9.40˜ Policy Index 5.32 8.92˜ Median 2.84 9.10¾ 2.76 3.45 4.14 4.83 5.52 6.21 Return (%)8.0 8.1 8.2 8.3 8.4 8.5 Risk (Standard Deviation %) Return Standard Deviation Composite 5.22 8.40˜ Policy Index 5.63 8.09˜ Median 3.54 8.23¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Composite 0.60 103.19 107.05 -0.48 -0.30 0.38 1.05 7.19 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.42 1.00 6.72 90 Day U.S. Treasury Bill 8.96 9.04 -4.97 1.85 -0.42 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Composite 0.68 99.98 104.62 -0.57 -0.54 0.51 1.04 6.02 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.57 1.00 5.70 90 Day U.S. Treasury Bill 8.12 6.32 -3.77 1.19 -0.57 N/A 0.00 0.01 As of March 31, 2020 Performance Review Composite NONE Page 19 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -40.00 -34.00 -28.00 -22.00 -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 -19.63 (45)-12.34 (36)-7.04 (38)0.89 (31)5.08 (34)7.98 (36)N/A˜ S&P 500 Index -19.60 (43)-12.31 (35)-6.98 (37)0.92 (30)5.10 (33)8.00 (35)6.73 (27)˜ Median -20.03 -13.74 -8.37 -0.68 4.10 7.09 5.75 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2019 2018 2017 2016 2015 SSgA S&P 500 31.46 (36)-4.40 (38)21.81 (52)11.98 (34)N/A˜ S&P 500 Index 31.49 (35)-4.38 (37)21.83 (51)11.96 (34)1.38 (52)˜ Median 29.97 -5.16 21.84 10.54 1.43 1 Qtr Ending Dec-2019 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 SSgA S&P 500 9.07 (33)1.69 (44)4.30 (50)13.65 (38)-13.52 (46)7.70 (36) S&P 500 Index 9.07 (32)1.70 (43)4.30 (50)13.65 (38)-13.52 (47)7.71 (35) IM U.S. Large Cap Core Equity (SA+CF) Median 8.22 1.53 4.29 13.19 -13.75 7.15 Performance Review As of March 31, 2020 SSgA S&P 500 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 Under Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 20.0 SSgA S&P 500 (%)0.0 5.0 10.0 15.0 20.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 8 0 (0%)8 (100%)0 (0%)0 (0%)˜ S&P 500 Index 20 0 (0%)17 (85%)3 (15%)0 (0%)˜ 3.63 3.96 4.29 4.62 4.95 5.28 Return (%)17.96 17.97 17.98 17.99 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 5.08 17.97˜ S&P 500 Index 5.10 17.97˜ Median 4.10 17.99¾ 5.44 5.76 6.08 6.40 6.72 7.04 Return (%)14.75 14.80 14.85 14.90 14.95 15.00 15.05 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 N/A N/A˜ S&P 500 Index 6.73 14.79˜ Median 5.75 14.98¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.02 99.97 100.12 -0.03 -1.22 0.29 1.00 11.72 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.29 1.00 11.71 90 Day U.S. Treasury Bill 15.05 5.56 -3.16 1.85 -0.29 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 0.46 1.00 9.88 90 Day U.S. Treasury Bill 13.58 3.87 -2.42 1.19 -0.46 N/A 0.00 0.01 Performance Review As of March 31, 2020 SSgA S&P 500 NONE Page 21 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR CS McKee 1.62 (55)1.78 (57)7.49 (59)6.10 (60)4.57 (62)3.54 (82)3.42 (60)˜ Bar US Agg 3.15 (24)3.33 (24)8.93 (26)6.68 (36)4.82 (47)3.71 (69)3.36 (71)˜ Median 1.83 2.02 7.84 6.32 4.76 3.80 3.46 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2019 2018 2017 2016 2015 CS McKee 9.10 (55)0.32 (29)3.54 (83)2.85 (64)N/A˜ Bar US Agg 8.72 (77)0.01 (61)3.54 (83)2.65 (75)0.55 (76)˜ Median 9.18 0.06 4.04 3.10 0.82 1 Qtr Ending Dec-2019 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 CS McKee 0.16 (64)2.52 (13)3.01 (79)3.14 (55)1.36 (53)0.15 (58) Blmbg. Barc. U.S. Aggregate Index 0.18 (58)2.27 (70)3.08 (70)2.94 (82)1.64 (24)0.02 (84) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.22 2.33 3.12 3.22 1.39 0.18 Performance Review As of March 31, 2020 CS McKee 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 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 Rank6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 9 0 (0%)2 (22%)7 (78%)0 (0%)˜ Bar US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)˜ 4.50 4.60 4.70 4.80 4.90 Return (%)3.05 3.10 3.15 3.20 3.25 3.30 3.35 3.40 Risk (Standard Deviation %) Return Standard Deviation CS McKee 4.57 3.10˜ Bar US Agg 4.82 3.15˜ Median 4.76 3.33¾ 3.32 3.36 3.40 3.44 3.48 Return (%)2.73 2.80 2.87 2.94 3.01 3.08 3.15 3.22 3.29 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.42 2.81˜ Bar US Agg 3.36 3.07˜ Median 3.46 3.17¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.81 96.25 99.44 0.00 -0.31 0.88 0.95 1.43 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.95 1.00 1.26 90 Day U.S. Treasury Bill 3.11 16.57 -31.32 1.76 -0.95 N/A 0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.80 94.15 83.87 0.44 0.07 0.81 0.89 1.44 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.73 1.00 1.58 90 Day U.S. Treasury Bill 3.01 12.74 -17.46 1.09 -0.73 N/A 0.02 0.01 Performance Review As of March 31, 2020 CS McKee NONE Page 23 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 March 31, 2020 Page 24 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 25 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. 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Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 26 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.