HomeMy WebLinkAboutReports - 2020.06.18 - 33501<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="06/30/2020" Interval="1" />
Investment Performance Review
Period Ending June 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 VBGVBGS&P 500 Total Return1.99 20.54 (3.08) 7.51 10.73 10.73Russell Midcap Index1.80 24.61 (9.13) (2.24) 5.79 6.76Russell 2000 Index3.53 25.42 (12.98) (6.63) 2.01 4.29Russell 1000 Growth Index4.35 27.84 9.81 23.28 18.99 15.89Russell 1000 Value Index(0.66) 14.29 (16.26) (8.84) 1.82 4.64Russell 3000 Index2.29 22.03 (3.48) 6.53 10.04 10.03MSCI EAFE NR3.41 14.88 (11.34) (5.13) 0.81 2.05MSCI EM NR7.35 18.08 (9.78) (3.39) 1.90 2.86Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies06/30/2012/31/1912/31/18U.S. Aggregate0.63 2.90 6.14 8.74 6.04 1.25Euro Spot1.12 1.12 1.15U.S. Corporate Investment Grade 1.96 8.98 5.02 9.50 8.54 2.15British Pound Spot1.24 1.33 1.28U.S. Corporate High Yield0.98 10.18 (3.80) 0.03 3.90 6.87Japanese Yen Spot107.93 108.61 109.69Global Aggregate0.89 3.32 2.98 4.22 7.31 0.95Swiss Franc Spot0.95 0.97 0.98Key Rates06/30/2012/31/1912/31/1812/31/1712/31/16Commodities06/30/2012/31/1912/31/18US Generic Govt 3 Mth0.13 1.54 2.35 1.38 0.50Oil39.27 58.31 49.28US Generic Govt 2 Yr0.15 1.57 2.49 1.88 1.19Gasoline2.18 2.59 2.26US Generic Govt 10 Yr0.66 1.92 2.68 2.41 2.44Natural Gas1.75 2.32 2.55US Generic Govt 30 Yr1.41 2.39 3.01 2.74 3.07Gold1,800.50 1,540.60 1,187.30ICE LIBOR USD 3M0.30 1.91 2.81 1.69 1.00Silver18.64 18.16 16.50Euribor 3 Month ACT/360(0.42) (0.38) (0.31) (0.33) (0.32)Copper272.85 282.00 266.60Bankrate 30Y Mortgage Rates Na 3.27 3.86 4.51 3.85 4.06Corn341.50 401.00 409.50Prime3.25 4.75 5.50 4.50 3.75BBG Commodity TR Idx138.64 172.00 159.72Source: 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 -23.5 -13.0 -3.1 S22.436.4M -18.1 -9.1 4.2 M27.0 30.5 35.5June 30, 2020Index Returns (%)L -16.3 -2.8 9.8 L26.5 31.414.957.23-0.31-0.81-3.08-5.66-6.92-8.53-11.14-14.64-23.65-35.34-40.0-30.0-20.0-10.00.010.020.0YTD 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 (1.6%)
Total Real Assets (9.0%)
Total Fixed Income Composite (34.6%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (14.0%)
Total Domestic Equity (36.8%)
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 1,295,606,422 100.0 N/A N/A 100.0 ---
Total Domestic Equity 477,043,593 36.8 10.0 50.0 35.0 -347,482,951 170,759,617 -23,581,346
Total International Equity 180,822,355 14.0 5.0 20.0 15.0 -116,042,034 78,298,930 13,518,608
Total Long/Short Equity Composite 51,185,808 4.0 0.0 7.5 5.0 -51,185,808 45,984,674 13,594,513
Total Fixed Income Composite 448,005,979 34.6 10.0 55.0 35.0 -318,445,337 264,577,553 5,456,268
Total Real Assets 117,172,620 9.0 0.0 15.0 10.0 -117,172,620 77,168,343 12,388,022
Total Cash Composite 21,376,066 1.6 0.0 5.0 0.0 -21,376,066 43,404,255 -21,376,066
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 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 (1.6%)
Total Real Assets (9.0%)
Total Fixed Income Composite (34.6%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (14.0%)
Total Small Cap Equity Composite (7.5%)
Total Mid Cap Equity Composite (7.6%)
Total Large Cap Equity Composite (21.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,295,606,422 100.0 100.0 -
Total Large Cap Equity Composite 280,930,463 21.7 20.0 -21,809,178
Total Mid Cap Equity Composite 98,566,625 7.6 7.5 -1,396,144
Total Small Cap Equity Composite 97,546,506 7.5 7.5 -376,024
Total International Equity 180,822,355 14.0 15.0 13,518,608
Total Long/Short Equity Composite 51,185,808 4.0 5.0 13,594,513
Total Fixed Income Composite 448,005,979 34.6 35.0 5,456,268
Total Real Assets 117,172,620 9.0 10.0 12,388,022
Total Cash Composite 21,376,066 1.6 0.0 -21,376,066
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2020
Page 3
May 31, 2020 : $1,276,306,463 June 30, 2020 : $1,295,606,422
Allocation
Market Value Allocation
SSgA S&P 500 73,493,815 5.8¢
SSgA S&P 500 Equal Weighted Index 63,773,864 5.0¢
T. Rowe Price 138,502,718 10.9¢
iShares Russell Mid Cap Value (IWS)19,759,096 1.5¢
TimesSquare 32,147,032 2.5¢
Great Lakes SmidCap 22,982,397 1.8¢
Reinhart Partners 22,046,184 1.7¢
Lee Munder (LMCG)40,558,738 3.2¢
Loomis Small Cap 54,693,038 4.3¢
Lazard 74,840,164 5.9¢
Pictet 65,331,380 5.1¢
Berkeley Street 33,440,374 2.6¢
ABS Global 51,185,808 4.0¢
CS McKee 243,341,596 19.1¢
Loomis Fixed Income 118,792,579 9.3¢
Franklin Templeton 62,650,752 4.9¢
Churchill Senior Loan Fund 19,034,663 1.5¢
Morgan Stanley 66,103,118 5.2¢
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 266,056 0.0¢
ValStone Opportunity Fund V 3,171,450 0.2¢
Hamilton Lane Scondary Fund V LP 2,633,702 0.2¢
Cash and Equivalents Account 14,277 0.0¢
Private Markets Cash 21,319,229 1.7¢
Allocation
Market Value Allocation
SSgA S&P 500 74,956,400 5.8¢
SSgA S&P 500 Equal Weighted Index 64,651,401 5.0¢
T. Rowe Price 141,322,662 10.9¢
iShares Russell Mid Cap Value (IWS)19,979,131 1.5¢
TimesSquare 32,822,513 2.5¢
Great Lakes SmidCap 23,333,908 1.8¢
Reinhart Partners 22,431,073 1.7¢
Lee Munder (LMCG)40,893,981 3.2¢
Loomis Small Cap 56,652,524 4.4¢
Lazard 77,046,404 5.9¢
Pictet 66,866,006 5.2¢
Berkeley Street 36,909,944 2.8¢
ABS Global 51,185,808 4.0¢
CS McKee 246,138,909 19.0¢
Loomis Fixed Income 120,372,730 9.3¢
Franklin Templeton 62,459,677 4.8¢
Churchill Senior Loan Fund 19,034,663 1.5¢
Morgan Stanley 64,876,979 5.0¢
Prudential PRISA II 27,673,542 2.1¢
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 266,056 0.0¢
ValStone Opportunity Fund V 3,171,450 0.2¢
Hamilton Lane Scondary Fund V LP 2,633,702 0.2¢
Cash and Equivalents Account 6,592,567 0.5¢
Private Markets Cash 14,783,499 1.1¢
Asset Allocation By Manager
Total Fund Composite
As of June 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
06/30/2020
Total Fund Composite 1,172,072,451 -435,974 -9,820,000 -241,785 -1,423 4,609,534 128,551,671 1,295,606,422
Total Equity Composite 591,655,477 -77,272 --168,293 -1,308 1,766,614 115,721,995 709,051,756
Total Domestic Equity 389,222,328 ----9,075 -64 1,192,712 86,637,693 477,043,593
Total Large Cap Equity Composite 232,578,389 ----9,075 -14 646,479 47,714,684 280,930,463
SSgA S&P 500 62,192,732 ----3,467 --12,767,135 74,956,400
SSgA S&P 500 Equal Weighted Index 53,276,418 ----5,608 --11,380,591 64,651,401
T. Rowe Price 117,109,238 -----14 646,479 23,566,958 141,322,662
Total Mid Cap Equity Composite 78,824,623 -----45 306,285 19,435,762 98,566,625
iShares Russell Mid Cap Value (IWS)-18,877,457 ----94,514 1,007,160 19,979,131
Wedge Capital Partners 16,669,507 -18,877,457 ----21,161 2,186,790 -
TimesSquare 25,558,309 -----45 54,208 7,210,041 32,822,513
Great Lakes SmidCap 18,416,133 -----78,091 4,839,684 23,333,908
Reinhart Partners 18,180,674 -----58,311 4,192,088 22,431,073
Total Small Cap Equity Composite 77,819,315 -----5 239,948 19,487,247 97,546,506
Lee Munder (LMCG)34,599,869 -----195,690 6,098,423 40,893,981
Loomis Small Cap 43,219,446 -----5 44,258 13,388,825 56,652,524
Total International Equity 154,720,697 -77,272 --159,218 -1,244 573,901 25,610,946 180,822,355
Lazard 66,624,226 -----1,244 284,847 10,138,575 77,046,404
Pictet 58,347,139 ----81,946 -289,054 8,311,759 66,866,006
Berkeley Street 29,749,333 -77,272 --77,272 --7,160,612 36,909,944
Total Long/Short Equity Composite 47,712,452 ------3,473,356 51,185,808
ABS Global 47,712,452 ------3,473,356 51,185,808
Total Fixed Income Composite 449,769,032 -18,468,318 ----50 2,192,666 14,512,649 448,005,979
Total Domestic Fixed Income 357,555,881 -8,000,000 ----50 2,192,666 14,763,143 366,511,640
CS McKee 243,410,320 -8,000,000 ----1,501,007 9,227,581 246,138,909
Loomis Fixed Income 114,145,561 -----50 691,658 5,535,561 120,372,730
Total Global Fixed 72,710,170 -10,000,000 ------250,493 62,459,677
Franklin Templeton 72,710,170 -10,000,000 ------250,493 62,459,677
Private Fixed Income 19,502,981 -468,318 ------19,034,663
Churchill Senior Loan Fund 19,502,981 -468,318 ------19,034,663
Financial Reconciliation
Total Fund
Quarter To Date Ending June 30, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending June 30, 2020
Market Value
04/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
06/30/2020
Total Real Assets 115,765,057 2,275,000 358,702 --73,492 -651,562 -1,804,208 117,172,620
Total Real Estate (Composite)110,083,722 ----73,492 -651,562 -1,804,208 108,857,583
Morgan Stanley 66,103,118 ----73,492 -651,562 -1,804,208 64,876,979
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 -2,275,000 358,702 -----2,633,702
Private Investments 5,681,335 2,275,000 358,702 -----8,315,037
Macquarie II U.S.2,243,829 -------2,243,829
Macquarie Fund III Europe 266,056 -------266,056
ValStone Opportunity Fund V 3,171,450 -------3,171,450
Total Cash Composite 14,882,886 16,193,318 --9,820,000 --65 -1,307 121,235 21,376,066
Cash and Equivalents Account 1,267,323 15,145,194 --9,820,000 --65 257 -141 6,592,567
Private Markets Cash 13,615,563 1,048,124 -----1,565 121,376 14,783,499
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 1,295,606,422 100.0 1.52 11.39 0.99 -4.03 1.58 5.07 5.73 7.06 8.89 5.26 06/01/1998
Total Fund Policy Index 1.77 11.86 3.36 -1.46 4.31 6.24 6.45 7.41 9.03 5.82
Total Equity Composite 709,051,756 54.7 2.36 19.86 -1.51 -9.05 -1.51 4.85 6.24 8.14 10.66 4.95 04/01/1998
Total Equity Index 2.88 20.61 0.90 -7.34 0.94 6.43 7.64 9.76 12.12 6.30
Total Fixed Income Composite 448,005,979 34.6 0.94 3.78 4.23 3.69 5.60 4.43 3.90 3.76 4.31 5.26 04/01/1998
Total Fixed Income Index 0.63 3.04 5.63 5.43 7.81 5.05 4.18 3.70 3.61 4.99
Total Real Assets 117,172,620 9.0 -0.97 -0.97 3.15 -1.13 4.76 8.16 9.11 10.41 11.58 7.22 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 3.84 6.21 7.65 9.31 10.98 5.26
Total Cash Composite 1,084,631 0.1
Asset Allocation & Performance
Total Fund Composite
As of June 30, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of June 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 477,043,593 36.8 1.94 22.57 -0.31 -8.01 0.06 6.74 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 280,930,463 21.7 1.87 20.79 3.22 -5.20 4.77 9.38 10.16 11.80 13.75 9.76 07/01/2008
SSgA S&P 500 (1.5 bps)74,956,400 5.8 1.99 20.53 5.65 -3.13 7.42 10.69 10.71 12.11 13.97 12.84 10/01/2009
S&P 500 Index 1.99 20.54 5.71 -3.08 7.51 10.73 10.73 12.13 13.99 12.84
SSgA S&P 500 Equal Weighted Index (4 bps)64,651,401 5.0 1.38 21.36 -4.89 -11.71 -3.86 N/A N/A N/A N/A 0.58 02/01/2018
S&P 500 Equal Weighted 1.58 21.73 -3.98 -10.77 -3.25 5.43 7.14 9.67 12.64 0.80
T. Rowe Price (25 bps)141,322,662 10.9 2.04 20.68 6.05 -3.04 7.76 11.37 11.57 12.93 14.55 13.30 10/01/2009
S&P 500 Index 1.99 20.54 5.71 -3.08 7.51 10.73 10.73 12.13 13.99 12.84
Total Mid Cap Equity Composite 98,566,625 7.6 1.68 25.05 -8.09 -13.21 -7.53 2.15 4.31 7.39 10.57 7.84 07/01/2008
iShares Russell Mid Cap Value (24 bps)19,979,131 1.5 1.11 19.95 N/A N/A N/A N/A N/A N/A N/A 19.95 04/01/2020
Russell Midcap Value Index 1.13 19.95 -12.88 -18.09 -11.81 -0.54 3.32 6.55 10.29 19.95
TimesSquare (80 bps)32,822,513 2.5 2.10 28.42 12.80 4.13 13.75 15.69 12.37 13.47 15.16 14.90 09/01/2009
Russell Midcap Growth Index 2.34 30.26 12.67 4.16 11.91 14.76 11.60 13.24 15.09 14.77
Great Lakes SmidCap (55 bps)23,333,908 1.8 1.53 26.70 -9.45 -14.54 -8.82 N/A N/A N/A N/A -9.50 05/01/2019
Russell 2500 Index 2.89 26.56 -3.46 -11.05 -4.70 4.08 5.41 8.15 11.46 -4.47
Reinhart Partners (65 bps)22,431,073 1.7 1.75 23.38 -13.92 -18.34 -13.95 N/A N/A N/A N/A -9.96 05/01/2019
Russell 2500 Index 2.89 26.56 -3.46 -11.05 -4.70 4.08 5.41 8.15 11.46 -4.47
Total Small Cap Equity Composite 97,546,506 7.5 2.41 25.35 -1.59 -10.21 -4.26 4.64 5.97 7.75 10.83 8.81 07/01/2008
Lee Munder (LMCG) (70 bps)40,893,981 3.2 0.83 18.19 -14.44 -21.45 -14.06 -3.07 2.58 5.37 8.74 7.27 09/01/2005
Russell 2000 Value Index 2.90 18.91 -17.00 -23.50 -17.48 -4.35 1.26 3.98 7.82 4.80
Loomis Small Cap (90 bps)56,652,524 4.4 3.58 31.08 10.06 -0.10 4.23 12.85 10.08 11.99 N/A 14.04 09/01/2012
Russell 2000 Growth Index 3.84 30.58 7.98 -3.06 3.48 7.86 6.86 10.03 12.92 11.66
Page 8
Asset Allocation & Performance
Total Fund Composite
As of June 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 180,822,355 14.0 4.17 16.93 -5.38 -13.07 -6.60 0.74 2.91 4.40 6.47 2.99 07/01/2008
Total International Equity Index 4.56 16.30 -2.74 -10.76 -4.39 1.61 2.74 4.18 5.55 1.95
Lazard (75 bps)77,046,404 5.9 2.95 15.65 -5.18 -12.59 -7.36 2.22 2.57 5.17 7.47 4.78 09/01/2006
MSCI AC World ex USA 4.56 16.30 -2.74 -10.76 -4.39 1.61 2.74 4.18 5.45 3.16
Pictet (65 bps)66,866,006 5.2 2.39 14.75 -11.71 -17.81 -12.09 -3.34 1.36 2.97 5.46 0.29 01/01/2008
MSCI EAFE Index 3.44 15.08 -3.76 -11.07 -4.73 1.30 2.54 4.42 6.22 1.47
Berkeley Street (95 bps)36,909,944 2.8 10.38 24.07 8.21 -4.15 7.44 6.71 7.43 5.90 N/A 5.29 11/01/2012
MSCI Emerging Markets Index 7.40 18.18 1.10 -9.67 -3.05 2.27 3.24 3.60 3.63 2.77
Total Long/Short Equity Composite 51,185,808 4.0 0.00 7.28 2.05 -3.45 3.23 3.17 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)51,185,808 4.0 0.00 7.28 2.05 -3.45 3.23 3.17 2.48 4.72 N/A 4.78 10/01/2010
HFRI FOF: Strategic Index 2.21 10.55 1.85 -2.57 0.09 1.92 1.35 2.89 3.03 2.67
Total Domestic Fixed Income 366,511,640 28.3 1.21 4.78 6.61 6.25 8.91 5.65 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)246,138,909 19.0 1.15 4.46 6.11 5.83 8.53 5.42 4.47 4.12 4.12 4.28 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.63 2.90 6.33 6.14 8.74 5.32 4.30 3.96 3.82 4.04
Loomis Fixed Income (30 bps)120,372,730 9.3 1.33 5.46 7.69 7.13 9.73 6.17 5.33 5.16 5.86 6.01 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.63 2.90 6.33 6.14 8.74 5.32 4.30 3.96 3.82 4.08
Total Global Fixed 62,459,677 4.8 -0.31 -0.36 -5.45 -6.46 -7.83 -1.25 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)62,459,677 4.8 -0.31 -0.36 -5.45 -6.46 -7.83 -1.25 0.09 0.76 2.49 1.98 04/01/2010
JPM Global Government Bond Index 0.49 1.46 4.05 4.60 5.24 4.19 3.81 2.49 2.57 2.65
Page 9
Asset Allocation & Performance
Total Fund Composite
As of June 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)108,857,583 8.4 -1.05 -1.05 1.22 -0.80 2.85 7.05 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 3.84 6.21 7.65 9.31 10.98 6.92
Morgan Stanley (84 bps)64,876,979 5.0 -1.74 -1.74 0.72 -1.05 2.45 6.71 8.55 10.55 12.36 6.28 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 2.50 0.98 3.84 6.21 7.65 9.31 10.98 5.19
Prudential PRISA II (85 bps)27,673,542 2.1 0.00 0.00 3.43 1.24 5.14 7.82 9.40 11.11 N/A 11.56 10/01/2011
NCREIF Property Index 0.00 0.00 2.27 0.71 3.72 5.79 6.98 8.42 9.81 8.94
Total Cash Composite 21,376,066 1.6
Cash and Equivalents Account (No fee)6,592,567 0.5
Private Markets Cash 14,783,499 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 6.05 -13.43 8.11 6.84 7.94 N/A N/A 7.79 08/27/2014
Macquarie II U.S.0.00 0.00 3.70 1.54 7.69 8.00 7.50 5.37 9.02 8.06 10/09/2008
Macquarie Fund III Europe 0.00 0.00 30.33 6.23 14.47 27.35 16.60 9.90 10.70 8.52 10/17/2008
Alidade Capital Fund IV 0.00 0.00 -13.77 -14.66 -12.82 -2.88 N/A N/A N/A -2.78 04/20/2017
Walton Street Real Estate 0.00 0.00 1.19 -1.70 2.66 7.72 N/A N/A N/A 8.98 05/25/2017
AEW Real Estate 0.00 0.00 5.12 0.42 8.59 N/A N/A N/A N/A 9.25 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 -1.91 -3.36 -0.08 N/A N/A N/A N/A 4.37 12/07/2017
Dune Real Estate IV 0.00 0.00 -7.53 -2.77 N/A N/A N/A N/A N/A -17.25 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 June 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
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