HomeMy WebLinkAboutReports - 2020.04.30 - 33328<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="04/30/2020" Interval="1" />
Investment Performance Review
Period Ending April 30, 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 12.82 (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 (0.7%)
Total Real Asset (10.4%)
Total Fixed Income Composite (35.1%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (13.3%)
Total Domestic Equity (34.0%)
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 684,570,355 100.0 N/A N/A 100.0 ---
Total Domestic Equity 232,619,037 34.0 10.0 50.0 35.0 -164,162,002 109,666,140 6,980,587
Total International Equity 91,297,126 13.3 5.0 20.0 15.0 -57,068,608 45,616,945 11,388,428
Total Long/Short Equity Composite 44,435,966 6.5 0.0 7.5 5.0 -44,435,966 6,906,811 -10,207,448
Total Fixed Income Composite 240,304,722 35.1 10.0 55.0 35.0 -171,847,686 136,208,974 -705,097
Total Real Asset 71,214,507 10.4 0.0 15.0 10.0 -71,214,507 31,471,046 -2,757,472
Total Cash Composite 4,698,998 0.7 0.0 5.0 0.0 -4,698,998 29,529,520 -4,698,998
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of April 30, 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 (10.4%)
Total Fixed Income Composite (35.1%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (13.3%)
Total Small Cap Equity Composite (6.2%)
Total Mid Cap Equity Composite (7.1%)
Total Large Cap Equity Composite (20.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 684,570,355 100.0 100.0 -
Total Large Cap Equity Composite 141,391,518 20.7 20.0 -4,477,447
Total Mid Cap Equity Composite 48,640,505 7.1 7.5 2,702,272
Total Small Cap Equity Composite 42,587,014 6.2 7.5 8,755,763
Total International Equity 91,297,126 13.3 15.0 11,388,428
Total Long/Short Equity Composite 44,435,966 6.5 5.0 -10,207,448
Total Fixed Income Composite 240,304,722 35.1 35.0 -705,097
Total Real Asset 71,214,507 10.4 10.0 -2,757,472
Total Cash Composite 4,698,998 0.7 0.0 -4,698,998
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of April 30, 2020
Page 3
March 31, 2020 : $648,029,095 April 30, 2020 : $684,570,355
Allocation
Market Value Allocation
SSgA S&P 500 32,988,836 5.1¢
SSgA S&P 500 Equal Weighted Index 28,687,302 4.4¢
T. Rowe Price 63,373,375 9.8¢
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 4.8¢
Pictet 37,050,738 5.7¢
Berkeley Street 16,862,384 2.6¢
ABS Global 42,635,877 6.6¢
CS McKee 117,678,129 18.2¢
Loomis Fixed Income 76,108,856 11.7¢
Franklin Templeton 34,379,112 5.3¢
Churchill Senior Loan Fund 11,701,789 1.8¢
Morgan Stanley 37,746,029 5.8¢
JPM Euro Property 113,676 0.0¢
Prudential PRISA II 19,855,338 3.1¢
Alidade Capital Fund IV 4,323,805 0.7¢
Walton Street Real Estate 3,157,731 0.5¢
AEW Real Estate 2,649,728 0.4¢
Dune Real Estate IV 1,048,929 0.2¢
ValStone Opportunity Fund V 2,114,300 0.3¢
Cash and Equivalents Account 756,786 0.1¢
Private Markets Cash 3,943,637 0.6¢
iShares Russell Mid Cap Value (IWS)-0.0¢
Hamilton Lane Scondary Fund V LP -0.0¢
Allocation
Market Value Allocation
SSgA S&P 500 37,218,381 5.4¢
SSgA S&P 500 Equal Weighted Index 32,799,295 4.8¢
T. Rowe Price 71,373,843 10.4¢
Wedge Capital Partners 10 0.0¢
TimesSquare 14,112,988 2.1¢
Great Lakes SmidCap 12,109,569 1.8¢
Reinhart Partners 12,085,620 1.8¢
Lee Munder (LMCG)20,873,886 3.0¢
Loomis Small Cap 21,713,128 3.2¢
Lazard 33,132,656 4.8¢
Pictet 39,641,277 5.8¢
Berkeley Street 18,523,192 2.7¢
ABS Global 44,435,966 6.5¢
CS McKee 116,288,956 17.0¢
Loomis Fixed Income 78,020,158 11.4¢
Franklin Templeton 34,293,819 5.0¢
Churchill Senior Loan Fund 11,701,789 1.7¢
Morgan Stanley 37,746,029 5.5¢
JPM Euro Property 113,676 0.0¢
Prudential PRISA II 19,855,338 2.9¢
Alidade Capital Fund IV 4,323,805 0.6¢
Walton Street Real Estate 3,157,731 0.5¢
AEW Real Estate 2,649,728 0.4¢
Dune Real Estate IV 1,048,929 0.2¢
ValStone Opportunity Fund V 2,114,300 0.3¢
Cash and Equivalents Account 757,043 0.1¢
Private Markets Cash 3,941,954 0.6¢
iShares Russell Mid Cap Value (IWS)10,332,319 1.5¢
Hamilton Lane Scondary Fund V LP 204,972 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 648,029,095 -218,864 -6,000,000 -31,170 -1,859 685,626 41,669,800 684,570,355
Total Equity Composite 332,451,250 -13,892 --31,170 -1,103 278,380 35,640,879 368,352,128
Total Domestic Equity 205,070,848 -----121 141,376 27,406,934 232,619,037
Total Large Cap Equity Composite 125,049,513 ----312 94,774 16,246,919 141,391,518
SSgA S&P 500 32,988,836 ------4,229,544 37,218,381
SSgA S&P 500 Equal Weighted Index 28,687,302 ------4,111,992 32,799,295
T. Rowe Price 63,373,375 ----312 94,774 7,905,383 71,373,843
Total Mid Cap Equity Composite 42,758,792 -----256 35,820 5,846,148 48,640,505
iShares Russell Mid Cap Value (IWS)-10,332,328 ------10 10,332,319
Wedge Capital Partners 9,125,522 -10,332,328 ----52 11,645 1,195,223 10
TimesSquare 12,446,528 -----84 5,118 1,661,426 14,112,988
Great Lakes SmidCap 10,600,944 -----14 10,147 1,498,492 12,109,569
Reinhart Partners 10,585,798 -----106 8,910 1,491,017 12,085,620
Total Small Cap Equity Composite 37,262,543 -----177 10,781 5,313,866 42,587,014
Lee Munder (LMCG)18,348,518 -----67 8,932 2,516,503 20,873,886
Loomis Small Cap 18,914,025 -----109 1,850 2,797,363 21,713,128
Total International Equity 84,744,525 -13,892 --31,170 -982 137,004 6,433,857 91,297,126
Lazard 30,831,403 -----982 40,631 2,261,604 33,132,656
Pictet 37,050,738 ----17,278 -96,373 2,511,445 39,641,277
Berkeley Street 16,862,384 -13,892 --13,892 --1,660,808 18,523,192
Total Long/Short Equity Composite 42,635,877 ------1,800,089 44,435,966
ABS Global 42,635,877 ------1,800,089 44,435,966
Total Fixed Income Composite 239,867,886 -6,000,000 ----725 408,680 6,028,881 240,304,722
Total Domestic Fixed Income 193,786,985 -6,000,000 ----725 408,680 6,114,175 194,309,114
CS McKee 117,678,129 -6,000,000 ----559 261,017 4,350,369 116,288,956
Loomis Fixed Income 76,108,856 -----166 147,663 1,763,805 78,020,158
Total Global Fixed 34,379,112 -------85,293 34,293,819
Franklin Templeton 34,379,112 -------85,293 34,293,819
Private Fixed Income 11,701,789 -------11,701,789
Churchill Senior Loan Fund 11,701,789 -------11,701,789
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 Asset 71,009,535 -204,972 -----71,214,507
Total Real Estate 68,895,235 -------68,895,235
Morgan Stanley 37,746,029 -------37,746,029
JPM Euro Property 113,676 -------113,676
Prudential PRISA II 19,855,338 -------19,855,338
Alidade Capital Fund IV 4,323,805 -------4,323,805
Walton Street Real Estate 3,157,731 -------3,157,731
AEW Real Estate 2,649,728 -------2,649,728
Dune Real Estate IV 1,048,929 -------1,048,929
Hamilton Lane Scondary Fund V LP --204,972 -----204,972
Private Investments 2,114,300 -204,972 -----2,319,272
ValStone Opportunity Fund V 2,114,300 -------2,114,300
Total Cash Composite 4,700,423 6,000,000 --6,000,000 --30 -1,434 39 4,698,998
Cash and Equivalents Account 756,786 6,000,000 --6,000,000 --30 288 -757,043
Private Markets Cash 3,943,637 ------1,722 39 3,941,954
Page 6
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite 684,570,355 100.0 6.54 6.54 -3.52 -8.04 -1.70 4.14 4.85 6.09 7.00 8.07 10/01/1986
Total Fund Policy Index 6.88 6.88 -1.24 -5.85 1.06 5.24 5.28 6.54 7.64 8.59
Total Equity Composite 368,352,128 53.8 10.80 10.80 -8.51 -15.39 -8.30 3.06 4.49 6.94 8.18 9.05 10/01/1986
Total Equity Index 11.73 11.73 -6.52 -14.16 -6.38 4.44 5.85 8.61 9.71 9.49
Total Fixed Income Composite 240,304,722 35.1 2.68 2.68 3.22 2.75 7.42 4.44 3.64 3.23 4.32 6.38 10/01/1986
Total Fixed Income Index 1.80 1.80 4.37 4.16 9.82 4.92 3.63 3.02 3.73 6.22
Total Real Asset 71,214,507 10.4 0.00 0.00 1.70 -0.84 5.46 7.95 9.68 11.08 10.51 4.87 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 0.7
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 232,619,037 34.0 13.43 13.43 -7.96 -15.00 -7.08 4.76 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 141,391,518 20.7 13.07 13.07 -3.37 -11.25 -1.53 7.99 8.73 11.00 11.52 9.45 07/01/2008
SSgA S&P 500 (1.5 bps)37,218,381 5.4 12.82 12.82 -1.08 -9.31 0.84 9.06 9.18 11.28 11.75 12.42 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)32,799,295 4.8 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)71,373,843 10.4 12.62 12.62 -0.99 -9.47 0.94 9.86 10.01 11.98 12.21 12.86 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 48,640,505 7.1 13.76 13.76 -16.92 -21.48 -16.07 -0.91 1.93 5.87 8.09 6.99 07/01/2008
iShares Russell Mid Cap Value (24 bps)10,332,319 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)14,112,988 2.1 13.39 13.39 -0.46 -8.10 3.34 11.83 9.46 11.69 12.39 13.79 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)12,109,569 1.8 14.23 14.23 -18.31 -22.89 -19.65 N/A N/A N/A N/A -19.65 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)12,085,620 1.8 14.17 14.17 -20.16 -24.23 -17.96 N/A N/A N/A N/A -17.96 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 42,587,014 6.2 14.29 14.29 -11.03 -18.77 -12.69 1.64 4.23 6.78 8.17 8.00 07/01/2008
Lee Munder (70 bps)20,873,886 3.0 13.76 13.76 -17.50 -24.24 -18.12 -4.17 2.32 5.29 6.59 7.09 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)21,713,128 3.2 14.80 14.80 -3.78 -12.71 -6.73 8.94 8.70 11.26 N/A 12.45 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 91,297,126 13.3 7.75 7.75 -13.09 -20.12 -14.46 -0.87 0.74 2.39 4.31 2.30 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)33,132,656 4.8 7.47 7.47 -11.85 -18.71 -13.35 0.79 0.80 3.24 5.42 4.24 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)39,641,277 5.8 7.04 7.04 -17.63 -23.33 -18.64 -4.07 -0.46 1.42 3.42 -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)18,523,192 2.7 9.85 9.85 -4.20 -15.14 -6.31 3.67 4.03 2.96 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 44,435,966 6.5 4.22 4.22 -0.86 -6.20 -0.29 2.71 2.10 3.70 N/A 3.78 10/01/2010
ABS Global (100 bps)44,435,966 6.5 4.22 4.22 -0.86 -6.20 -0.29 2.71 2.11 4.48 N/A 4.57 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 194,309,114 28.4 3.37 3.37 5.14 4.84 10.65 5.51 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)116,288,956 17.0 3.92 3.92 5.56 5.42 11.38 5.60 4.25 3.66 4.27 4.36 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)78,020,158 11.4 2.51 2.51 4.50 3.94 9.51 5.39 4.34 3.96 5.73 5.83 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 34,293,819 5.0 -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)34,293,819 5.0 -0.25 -0.25 -5.34 -6.36 -7.76 -1.52 -0.14 0.10 1.94 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 68,895,235 10.1 0.00 0.00 1.62 -0.39 5.44 7.93 N/A N/A N/A 8.29 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)37,746,029 5.5 0.00 0.00 2.40 0.61 6.37 8.19 9.83 11.62 12.86 6.49 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)19,855,338 2.9 0.00 0.00 3.50 1.32 6.83 8.37 10.01 11.54 N/A 11.70 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
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 -1.43 04/01/2009
NCREIF Property Index 0.00 0.00 2.27 0.71 5.28 6.41 7.65 8.86 10.17 8.14
Total Cash Composite 4,698,998 0.7
Cash and Equivalents Account (No fee)757,043 0.1
Private Markets Cash 3,941,954 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 5.97 -13.38 7.67 7.67 8.24 N/A N/A 8.01 08/27/2014
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 9.57 N/A N/A N/A 9.57 05/24/2017
AEW Real Estate 0.00 0.00 5.07 0.42 13.36 N/A N/A N/A N/A 10.18 09/28/2017
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
Alternative Investments
As of April 30, 2020
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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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