HomeMy WebLinkAboutReports - 2020.04.30 - 33325<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="04/30/2020" Interval="1" />
Investment Performance Review
Period Ending April 30, 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 12.82 (9.26) (9.29) 0.86 9.04 9.12Russell Midcap Index 14.36 (15.92) (16.60) (10.00) 3.46 4.81Russell 2000 Index 13.74 (18.47) (21.08) (16.39) (0.82) 2.88Russell 1000 Growth Index 14.80 (3.54) (1.39) 10.84 15.69 13.34Russell 1000 Value Index 11.24 (16.70) (18.49) (11.01) 1.42 3.90Russell 3000 Index 13.24 (10.33) (10.42) (1.04) 8.02 8.33MSCI EAFE NR 6.46 (16.09) (17.84) (11.34) (0.58) (0.17)MSCI EM NR 9.16 (12.52) (16.60) (12.00) 0.57 (0.10)Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies04/30/2012/31/1912/31/18U.S. Aggregate 1.78 3.00 4.98 10.84 5.72 1.31 Euro Spot 1.10 1.12 1.15U.S. Corporate Investment Grade 5.24 (0.91) 1.42 9.88 8.34 2.67 British Pound Spot 1.26 1.33 1.28U.S. Corporate High Yield 4.51 (8.78) (8.75) (4.11) 3.91 8.05 Japanese Yen Spot 107.18 108.61 109.69Global Aggregate 1.96 0.35 1.63 6.56 7.18 1.00 Swiss Franc Spot 0.97 0.97 0.98Key Rates04/30/2012/31/1912/31/1812/31/1712/31/16Commodities04/30/2012/31/1912/31/18US Generic Govt 3 Mth 0.08 1.54 2.35 1.38 0.50 Oil 18.84 59.44 49.11US Generic Govt 2 Yr 0.20 1.57 2.49 1.88 1.19 Gasoline 1.78 2.59 2.26US Generic Govt 10 Yr 0.64 1.92 2.68 2.41 2.44 Natural Gas 1.95 2.25 2.51US Generic Govt 30 Yr 1.28 2.39 3.01 2.74 3.07 Gold 1,694.20 1,535.10 1,187.30ICE LIBOR USD 3M 0.56 1.91 2.81 1.69 1.00 Silver 14.97 18.09 16.50Euribor 3 Month ACT/360 (0.27) (0.38) (0.31) (0.33) (0.32) Copper 234.40 281.45 266.20Bankrate 30Y Mortgage Rates Na 3.52 3.86 4.51 3.85 4.06 Corn 320.00 401.00 417.25Prime 3.25 4.75 5.50 4.50 3.75 BBG Commodity TR Idx 129.91 172.00 159.72Source: 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.Levels (%)Levels25.5 28.4YTD 2019Index Returns (%)LevelsS -27.7 -21.1 -14.7 S22.436.4M -22.6 -16.6 -7.5 M27.0 30.5 35.5April 30, 2020Index Returns (%)L -18.5 -9.7 -1.4 L26.5 31.40.22-1.63-2.71-5.47-6.76-9.30-10.72-11.56-14.83-20.68-25.43-35.70-40.0-35.0-30.0-25.0-20.0-15.0-10.0-5.00.05.0YTD 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 (1.1%)
Total Real Assets (9.3%)
Total Fixed Income Composite (36.6%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (13.4%)
Total Domestic Equity (35.5%)
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 1,242,687,868 100.0 N/A N/A 100.0 ---
Total Domestic Equity 441,672,323 35.5 10.0 50.0 35.0 -317,403,536 179,671,611 -6,731,569
Total International Equity 166,743,861 13.4 5.0 20.0 15.0 -104,609,468 81,793,712 19,659,319
Total Long/Short Equity Composite 49,726,874 4.0 0.0 7.5 5.0 -49,726,874 43,474,716 12,407,520
Total Fixed Income Composite 454,524,013 36.6 10.0 55.0 35.0 -330,255,226 228,954,314 -19,583,259
Total Real Assets 116,108,158 9.3 0.0 15.0 10.0 -116,108,158 70,295,023 8,160,629
Total Cash Composite 13,912,640 1.1 0.0 5.0 0.0 -13,912,640 48,221,754 -13,912,640
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of April 30, 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 (1.1%)
Total Real Assets (9.3%)
Total Fixed Income Composite (36.6%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (13.4%)
Total Small Cap Equity Composite (7.2%)
Total Mid Cap Equity Composite (7.2%)
Total Large Cap Equity Composite (21.2%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,242,687,868 100.0 100.0 -
Total Large Cap Equity Composite 262,956,981 21.2 20.0 -14,419,408
Total Mid Cap Equity Composite 89,673,570 7.2 7.5 3,528,020
Total Small Cap Equity Composite 89,041,772 7.2 7.5 4,159,818
Total International Equity 166,743,861 13.4 15.0 19,659,319
Total Long/Short Equity Composite 49,726,874 4.0 5.0 12,407,520
Total Fixed Income Composite 454,524,013 36.6 35.0 -19,583,259
Total Real Assets 116,108,158 9.3 10.0 8,160,629
Total Cash Composite 13,912,640 1.1 0.0 -13,912,640
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of April 30, 2020
Page 3
March 31, 2020 : $1,172,056,850 April 30, 2020 : $1,242,687,868
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 10.0¢
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 1.6¢
Lee Munder (LMCG)34,599,869 3.0¢
Loomis Small Cap 43,219,446 3.7¢
Lazard 66,624,226 5.7¢
Pictet 58,347,139 5.0¢
Berkeley Street 29,749,333 2.5¢
ABS Global 47,712,452 4.1¢
CS McKee 243,410,320 20.8¢
Loomis Fixed Income 114,145,561 9.7¢
Franklin Templeton 72,710,170 6.2¢
Churchill Senior Loan Fund 19,502,981 1.7¢
Morgan Stanley 66,103,118 5.6¢
Prudential PRISA II 27,673,542 2.4¢
Alidade Capital Fund IV 2,594,283 0.2¢
Walton Street Real Estate 6,315,462 0.5¢
AEW Real Estate 5,299,453 0.5¢
Dune Real Estate IV 2,097,864 0.2¢
Macquarie II U.S.2,243,829 0.2¢
Macquarie Fund III Europe 250,455 0.0¢
ValStone Opportunity Fund V 3,171,450 0.3¢
Cash and Equivalents Account 1,267,323 0.1¢
Private Markets Cash 13,615,563 1.2¢
iShares Russell Mid Cap Value (IWS)-0.0¢
Hamilton Lane Scondary Fund V LP -0.0¢
Allocation
Market Value Allocation
SSgA S&P 500 70,157,447 5.6¢
SSgA S&P 500 Equal Weighted Index 60,912,976 4.9¢
T. Rowe Price 131,886,558 10.6¢
Wedge Capital Partners 12 0.0¢
TimesSquare 28,985,899 2.3¢
Great Lakes SmidCap 21,043,852 1.7¢
Reinhart Partners 20,766,362 1.7¢
Lee Munder (LMCG)39,381,695 3.2¢
Loomis Small Cap 49,660,077 4.0¢
Lazard 71,636,690 5.8¢
Pictet 62,427,794 5.0¢
Berkeley Street 32,679,377 2.6¢
ABS Global 49,726,874 4.0¢
CS McKee 245,438,148 19.8¢
Loomis Fixed Income 117,053,106 9.4¢
Franklin Templeton 72,529,779 5.8¢
Churchill Senior Loan Fund 19,502,981 1.6¢
Morgan Stanley 66,103,118 5.3¢
Prudential PRISA II 27,673,542 2.2¢
Alidade Capital Fund IV 2,594,283 0.2¢
Walton Street Real Estate 6,315,462 0.5¢
AEW Real Estate 5,299,453 0.4¢
Dune Real Estate IV 2,097,864 0.2¢
Macquarie II U.S.2,243,829 0.2¢
Macquarie Fund III Europe 250,455 0.0¢
ValStone Opportunity Fund V 3,171,450 0.3¢
Cash and Equivalents Account 4,229 0.0¢
Private Markets Cash 13,908,411 1.1¢
iShares Russell Mid Cap Value (IWS)18,877,445 1.5¢
Hamilton Lane Scondary Fund V LP 358,702 0.0¢
Asset Allocation By Manager
Total Fund Composite
As of April 30, 2020
Page 4
Financial Reconciliation Month to Date
Market Value
04/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
04/30/2020
Total Fund Composite 1,172,056,850 -383,212 -4,960,000 -50,620 -1,001 1,197,563 74,061,864 1,242,687,868
Total Equity Composite 591,655,477 -24,510 --50,620 -886 490,038 66,024,540 658,143,058
Total Domestic Equity 389,222,328 -----64 259,468 52,190,591 441,672,323
Total Large Cap Equity Composite 232,578,389 -----14 174,771 30,203,835 262,956,981
SSgA S&P 500 62,192,732 ------7,964,715 70,157,447
SSgA S&P 500 Equal Weighted Index 53,276,418 ------7,636,557 60,912,976
T. Rowe Price 117,109,238 -----14 174,771 14,602,563 131,886,558
Total Mid Cap Equity Composite 78,824,623 -----45 64,292 10,784,700 89,673,570
iShares Russell Mid Cap Value (IWS)-18,877,457 ------12 18,877,445
Wedge Capital Partners 16,669,507 -18,877,457 ----21,173 2,186,790 12
TimesSquare 25,558,309 -----45 10,299 3,417,336 28,985,899
Great Lakes SmidCap 18,416,133 -----17,730 2,609,989 21,043,852
Reinhart Partners 18,180,674 -----15,090 2,570,597 20,766,362
Total Small Cap Equity Composite 77,819,315 -----5 20,405 11,202,057 89,041,772
Lee Munder (LMCG)34,599,869 -----16,662 4,765,164 39,381,695
Loomis Small Cap 43,219,446 -----5 3,743 6,436,893 49,660,077
Total International Equity 154,720,697 -24,510 --50,620 -822 230,570 11,819,526 166,743,861
Lazard 66,624,226 -----822 78,802 4,934,483 71,636,690
Pictet 58,347,139 ----26,110 -151,767 3,954,999 62,427,794
Berkeley Street 29,749,333 -24,510 --24,510 --2,930,044 32,679,377
Total Long/Short Equity Composite 47,712,452 ------2,014,422 49,726,874
ABS Global 47,712,452 ------2,014,422 49,726,874
Total Fixed Income Composite 449,769,032 -4,000,000 ----50 708,154 8,046,877 454,524,013
Total Domestic Fixed Income 357,555,881 -4,000,000 ----50 708,154 8,227,268 362,491,253
CS McKee 243,410,320 -4,000,000 ----487,509 5,540,318 245,438,148
Loomis Fixed Income 114,145,561 -----50 220,645 2,686,950 117,053,106
Total Global Fixed 72,710,170 -------180,391 72,529,779
Franklin Templeton 72,710,170 -------180,391 72,529,779
Private Fixed Income 19,502,981 -------19,502,981
Churchill Senior Loan Fund 19,502,981 -------19,502,981
Financial Reconciliation
Total Fund
Quarter To Date Ending April 30, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending April 30, 2020
Market Value
04/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
04/30/2020
Total Real Assets 115,749,456 -358,702 -----116,108,158
Total Real Estate (Composite)110,083,722 -------110,083,722
Morgan Stanley 66,103,118 -------66,103,118
Prudential PRISA II 27,673,542 -------27,673,542
Alidade Capital Fund IV 2,594,283 -------2,594,283
Walton Street Real Estate 6,315,462 -------6,315,462
AEW Real Estate 2,649,728 -------2,649,728
Dune Real Estate IV 2,097,864 -------2,097,864
Hamilton Lane Scondary Fund V LP --358,702 -----358,702
Private Investments 5,665,734 -358,702 -----6,024,436
Macquarie II U.S.2,243,829 -------2,243,829
Macquarie Fund III Europe 250,455 -------250,455
ValStone Opportunity Fund V 3,171,450 -------3,171,450
Total Cash Composite 14,882,886 4,000,000 --4,960,000 --65 -629 -9,552 13,912,640
Cash and Equivalents Account 1,267,323 3,697,000 --4,960,000 --65 115 -144 4,229
Private Markets Cash 13,615,563 303,000 -----744 -9,409 13,908,411
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 1,242,687,868 100.0 6.42 6.42 -3.52 -8.31 -1.90 4.13 4.75 6.29 7.53 5.09 06/01/1998
Total Fund Policy Index 6.88 6.88 -1.24 -5.85 1.06 5.26 5.32 6.61 7.64 5.65
Total Equity Composite 658,143,058 53.0 11.24 11.24 -8.59 -15.59 -8.43 3.13 4.66 7.10 8.39 4.63 04/01/1998
Total Equity Index 11.73 11.73 -6.52 -14.16 -6.38 4.47 5.87 8.62 9.72 5.98
Total Fixed Income Composite 454,524,013 36.6 1.95 1.95 2.39 1.86 6.12 3.93 3.28 2.87 4.12 5.21 04/01/1998
Total Fixed Income Index 1.80 1.80 4.37 4.16 9.82 4.90 3.61 3.01 3.72 4.97
Total Real Assets 116,108,158 9.3 0.00 0.00 4.15 -0.17 8.16 9.56 10.23 11.08 11.69 7.42 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 4.88 6.81 8.46 9.90 11.45 5.34
Total Cash Composite 4,698,998 0.4
Asset Allocation & Performance
Total Fund Composite
As of April 30, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of April 30, 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 441,672,323 35.5 13.48 13.48 -7.71 -14.84 -6.94 4.78 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 262,956,981 21.2 13.06 13.06 -3.39 -11.27 -1.67 7.83 8.60 10.89 11.42 9.29 07/01/2008
SSgA S&P 500 (1.5 bps)70,157,447 5.6 12.81 12.81 -1.12 -9.34 0.77 9.01 9.11 11.21 11.68 12.35 10/01/2009
S&P 500 Index 12.82 12.82 -1.06 -9.29 0.86 9.04 9.12 11.22 11.69 12.35
SSgA S&P 500 Equal Weighted Index (4 bps)60,912,976 4.9 14.33 14.33 -10.40 -16.82 -9.19 N/A N/A N/A N/A -2.01 02/01/2018
S&P 500 Equal Weighted 14.44 14.44 -9.73 -16.11 -8.92 3.91 5.52 8.96 10.38 -1.86
T. Rowe Price (25 bps)131,886,558 10.6 12.62 12.62 -1.03 -9.51 0.88 9.78 9.96 11.94 12.14 12.79 10/01/2009
S&P 500 Index 12.82 12.82 -1.06 -9.29 0.86 9.04 9.12 11.22 11.69 12.35
Total Mid Cap Equity Composite 89,673,570 7.2 13.76 13.76 -16.38 -21.04 -15.38 -0.26 2.31 6.10 8.27 7.10 07/01/2008
iShares Russell Mid Cap Value (24 bps)18,877,445 1.5 13.34 13.34 N/A N/A N/A N/A N/A N/A N/A 13.34 04/01/2020
Russell Midcap Value Index 13.36 13.36 -17.67 -22.59 -16.74 -2.02 1.99 5.78 8.09 13.36
TimesSquare (80 bps)28,985,899 2.3 13.41 13.41 -0.38 -8.05 3.51 11.94 9.52 11.72 12.42 13.82 09/01/2009
Russell Midcap Growth Index 15.66 15.66 0.04 -7.52 0.23 11.28 8.88 11.55 12.19 13.74
Great Lakes SmidCap (55 bps)21,043,852 1.7 14.27 14.27 -18.34 -22.92 -19.73 N/A N/A N/A N/A -19.73 05/01/2019
Russell 2500 Index 14.55 14.55 -12.62 -19.50 -14.20 1.13 3.62 6.92 8.70 -14.20
Reinhart Partners (65 bps)20,766,362 1.7 14.22 14.22 -20.30 -24.40 -18.08 N/A N/A N/A N/A -18.08 05/01/2019
Russell 2500 Index 14.55 14.55 -12.62 -19.50 -14.20 1.13 3.62 6.92 8.70 -14.20
Total Small Cap Equity Composite 89,041,772 7.2 14.42 14.42 -10.17 -18.04 -11.96 2.06 4.64 6.96 8.28 8.10 07/01/2008
Lee Munder (LMCG) (70 bps)39,381,695 3.2 13.82 13.82 -17.60 -24.36 -18.24 -4.22 2.29 5.21 6.57 7.08 09/01/2005
Russell 2000 Value Index 12.34 12.34 -21.59 -27.72 -23.84 -6.06 0.30 3.52 5.30 4.45
Loomis Small Cap (90 bps)49,660,077 4.0 14.90 14.90 -3.52 -12.43 -6.53 9.07 8.79 11.22 N/A 12.42 09/01/2012
Russell 2000 Growth Index 14.89 14.89 -4.99 -14.71 -9.22 4.21 5.19 8.70 9.96 10.07
Page 8
Asset Allocation & Performance
Total Fund Composite
As of April 30, 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 166,743,861 13.4 7.79 7.79 -12.77 -19.86 -14.15 -0.62 0.86 2.48 4.36 2.33 07/01/2008
Total International Equity Index 7.64 7.64 -9.97 -17.40 -11.07 0.24 0.31 2.06 3.38 1.31
Lazard (75 bps)71,636,690 5.8 7.52 7.52 -11.84 -18.72 -13.29 0.98 0.89 3.35 5.50 4.29 09/01/2006
MSCI AC World ex USA 7.64 7.64 -9.97 -17.40 -11.07 0.24 0.31 2.06 3.37 2.62
Pictet (65 bps)62,427,794 5.0 7.04 7.04 -17.64 -23.33 -18.65 -4.07 -0.47 1.41 3.41 -0.27 01/01/2008
MSCI EAFE Index 6.54 6.54 -10.90 -17.66 -10.89 -0.09 0.32 2.40 4.04 0.86
Berkeley Street (95 bps)32,679,377 2.6 9.85 9.85 -4.20 -15.14 -6.31 3.67 4.03 2.95 N/A 3.72 11/01/2012
MSCI Emerging Markets Index 9.18 9.18 -6.60 -16.55 -11.65 0.94 0.28 1.11 1.81 1.75
Total Long/Short Equity Composite 49,726,874 4.0 4.22 4.22 -0.86 -6.20 -0.29 2.71 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)49,726,874 4.0 4.22 4.22 -0.86 -6.20 -0.29 2.71 2.07 4.45 N/A 4.55 10/01/2010
HFRI FOF: Strategic Index 5.31 5.31 -2.98 -7.19 -4.33 0.61 0.44 2.03 2.09 2.20
Total Domestic Fixed Income 362,491,253 29.2 2.50 2.50 4.29 3.93 9.59 5.12 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)245,438,148 19.8 2.48 2.48 4.10 3.82 9.50 4.98 3.87 3.35 4.05 4.15 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.78 1.78 5.17 4.98 10.84 5.17 3.80 3.30 3.96 3.99
Loomis Fixed Income (30 bps)117,053,106 9.4 2.55 2.55 4.72 4.18 9.77 5.44 4.39 3.94 5.71 5.82 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 1.78 1.78 5.17 4.98 10.84 5.17 3.80 3.30 3.96 4.03
Total Global Fixed 72,529,779 5.8 -0.25 -0.25 -5.34 -6.36 -7.76 -1.52 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)72,529,779 5.8 -0.25 -0.25 -5.34 -6.36 -7.76 -1.52 -0.14 0.10 1.93 2.03 04/01/2010
JPM Global Government Bond Index 1.01 1.01 3.60 4.14 9.02 4.48 3.21 1.83 2.66 2.65
Page 9
Asset Allocation & Performance
Total Fund Composite
As of April 30, 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)110,083,722 8.9 0.00 0.00 2.29 0.24 6.16 8.34 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 4.88 6.81 8.46 9.90 11.45 7.25
Morgan Stanley (84 bps)66,103,118 5.3 0.00 0.00 2.51 0.71 6.47 8.23 9.90 11.68 12.93 6.52 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 4.88 6.81 8.46 9.90 11.45 5.26
Prudential PRISA II (85 bps)27,673,542 2.2 0.00 0.00 3.43 1.24 6.71 8.65 10.17 11.66 N/A 11.79 10/01/2011
NCREIF Property Index 0.00 0.00 2.27 0.71 5.28 6.41 7.65 8.86 10.17 9.12
Total Cash Composite 13,912,640 1.1
Cash and Equivalents Account (No fee)4,229 0.0
Private Markets Cash 13,908,411 1.1
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 5.97 -13.38 7.67 7.67 8.25 N/A N/A 8.02 08/27/2014
Macquarie II U.S.0.00 0.00 3.66 1.54 12.07 8.49 7.52 5.36 8.81 8.10 10/09/2008
Macquarie Fund III Europe 0.00 0.00 22.84 0.00 21.22 31.96 17.72 10.27 10.41 8.51 10/17/2008
Alidade Capital Fund IV 0.00 0.00 -14.36 -15.11 -12.10 -3.02 N/A N/A N/A -3.02 04/20/2017
Walton Street Real Estate 0.00 0.00 1.18 -1.70 5.68 9.58 N/A N/A N/A 9.58 05/25/2017
AEW Real Estate 0.00 0.00 5.07 0.42 13.35 N/A N/A N/A N/A 10.18 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 -1.90 -3.33 1.75 N/A N/A N/A N/A 4.69 12/07/2017
Dune Real Estate IV 0.00 0.00 -8.34 -2.90 N/A N/A N/A N/A N/A -19.05 08/22/2019
Hamilton Lane Scondary Fund V LP 0.00 0.00 N/A N/A N/A N/A N/A N/A N/A 0.00 04/28/2020
Comparative Performance - IRR
Private Investments
As of April 30, 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
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.