HomeMy WebLinkAboutReports - 2020.06.18 - 33506<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="06/30/2020" Interval="1" />
Investment Performance Review
Period Ending June 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 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 (0.2%)
Total Real Asset (10.2%)
Total Fixed Income Composite (33.5%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (14.0%)
Total Domestic Equity (35.6%)
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 704,563,978 100.0 N/A N/A 100.0 ---
Total Domestic Equity 250,876,894 35.6 10.0 50.0 35.0 -180,420,496 101,405,095 -4,279,501
Total International Equity 98,971,903 14.0 5.0 20.0 15.0 -63,743,704 41,940,893 6,712,694
Total Long/Short Equity Composite 45,739,670 6.5 0.0 7.5 5.0 -45,739,670 7,102,628 -10,511,471
Total Fixed Income Composite 236,123,614 33.5 10.0 55.0 35.0 -165,667,216 151,386,574 10,473,778
Total Real Asset 71,767,266 10.2 0.0 15.0 10.0 -71,767,266 33,917,331 -1,310,868
Total Cash Composite 1,084,631 0.2 0.0 5.0 0.0 -1,084,631 34,143,568 -1,084,631
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 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 (0.2%)
Total Real Asset (10.2%)
Total Fixed Income Composite (33.5%)
Total Long/Short Equity Composite (6.5%)
Total International Equity (14.0%)
Total Small Cap Equity Composite (6.6%)
Total Mid Cap Equity Composite (7.6%)
Total Large Cap Equity Composite (21.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 704,563,978 100.0 100.0 -
Total Large Cap Equity Composite 151,056,820 21.4 20.0 -10,144,025
Total Mid Cap Equity Composite 53,393,388 7.6 7.5 -551,089
Total Small Cap Equity Composite 46,426,686 6.6 7.5 6,415,613
Total International Equity 98,971,903 14.0 15.0 6,712,694
Total Long/Short Equity Composite 45,739,670 6.5 5.0 -10,511,471
Total Fixed Income Composite 236,123,614 33.5 35.0 10,473,778
Total Real Asset 71,767,266 10.2 10.0 -1,310,868
Total Cash Composite 1,084,631 0.2 0.0 -1,084,631
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2020
Page 3
May 31, 2020 : $697,963,750 June 30, 2020 : $704,563,978
Allocation
Market Value Allocation
SSgA S&P 500 38,988,415 5.6¢
SSgA S&P 500 Equal Weighted Index 34,339,773 4.9¢
T. Rowe Price 74,953,164 10.7¢
iShares Russell Mid Cap Value (IWS)10,814,825 1.5¢
TimesSquare 15,646,593 2.2¢
Great Lakes SmidCap 13,226,721 1.9¢
Reinhart Partners 12,826,441 1.8¢
Lee Munder (LMCG)21,497,395 3.1¢
Loomis Small Cap 23,901,128 3.4¢
Lazard 34,585,458 5.0¢
Pictet 41,484,237 5.9¢
Berkeley Street 18,954,541 2.7¢
ABS Global 45,739,670 6.6¢
CS McKee 109,862,149 15.7¢
Loomis Fixed Income 79,191,928 11.3¢
Franklin Templeton 34,360,165 4.9¢
Churchill Senior Loan Fund 11,420,798 1.6¢
Morgan Stanley 37,746,029 5.4¢
JPM Euro Property 66,576 0.0¢
Prudential PRISA II 19,855,338 2.8¢
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¢
Hamilton Lane Scondary Fund V LP 1,504,972 0.2¢
Cash and Equivalents Account 62,739 0.0¢
Private Markets Cash 3,640,202 0.5¢
Allocation
Market Value Allocation
SSgA S&P 500 39,759,874 5.6¢
SSgA S&P 500 Equal Weighted Index 34,812,293 4.9¢
T. Rowe Price 76,484,653 10.9¢
iShares Russell Mid Cap Value (IWS)10,935,248 1.6¢
TimesSquare 15,975,763 2.3¢
Great Lakes SmidCap 13,428,454 1.9¢
Reinhart Partners 13,053,923 1.9¢
Lee Munder (LMCG)21,673,792 3.1¢
Loomis Small Cap 24,752,893 3.5¢
Lazard 35,592,856 5.1¢
Pictet 42,457,883 6.0¢
Berkeley Street 20,921,163 3.0¢
ABS Global 45,739,670 6.5¢
CS McKee 110,211,308 15.6¢
Loomis Fixed Income 80,236,136 11.4¢
Franklin Templeton 34,255,372 4.9¢
Churchill Senior Loan Fund 11,420,798 1.6¢
Morgan Stanley 37,045,887 5.3¢
JPM Euro Property 66,576 0.0¢
Prudential PRISA II 19,855,338 2.8¢
Alidade Capital Fund IV 4,323,805 0.6¢
Walton Street Real Estate 3,157,731 0.4¢
AEW Real Estate 2,649,728 0.4¢
Dune Real Estate IV 1,048,929 0.1¢
ValStone Opportunity Fund V 2,114,300 0.3¢
Hamilton Lane Scondary Fund V LP 1,504,972 0.2¢
Cash and Equivalents Account 1,169 0.0¢
Private Markets Cash 1,083,462 0.2¢
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 647,981,995 -248,771 -15,552,000 -144,991 -4,690 2,499,249 69,535,644 704,563,978
Total Equity Composite 332,451,250 -43,799 --103,026 -2,583 944,430 62,254,596 395,588,466
Total Domestic Equity 205,070,848 ----4,881 -782 643,359 45,168,349 250,876,894
Total Large Cap Equity Composite 125,049,513 ----4,881 247 350,629 25,661,311 151,056,820
SSgA S&P 500 32,988,836 ----1,861 --6,772,899 39,759,874
SSgA S&P 500 Equal Weighted Index 28,687,302 ----3,020 --6,128,011 34,812,293
T. Rowe Price 63,373,375 ----247 350,629 12,760,402 76,484,653
Total Mid Cap Equity Composite 42,758,792 -----533 169,268 10,465,860 53,393,388
iShares Russell Mid Cap Value (IWS)-10,332,328 ----7 51,742 551,184 10,935,248
Wedge Capital Partners 9,125,522 -10,332,328 ----52 11,636 1,195,223 -
TimesSquare 12,446,528 -----213 26,690 3,502,758 15,975,763
Great Lakes SmidCap 10,600,944 -----22 44,959 2,782,572 13,428,454
Reinhart Partners 10,585,798 -----239 34,242 2,434,122 13,053,923
Total Small Cap Equity Composite 37,262,543 -----497 123,462 9,041,177 46,426,686
Lee Munder (LMCG)18,348,518 -----167 103,526 3,221,915 21,673,792
Loomis Small Cap 18,914,025 -----330 19,936 5,819,262 24,752,893
Total International Equity 84,744,525 -43,799 --98,145 -1,801 301,070 13,982,454 98,971,903
Lazard 30,831,403 -----1,801 117,523 4,645,731 35,592,856
Pictet 37,050,738 ----54,346 -183,548 5,277,944 42,457,883
Berkeley Street 16,862,384 -43,799 --43,799 --4,058,780 20,921,163
Total Long/Short Equity Composite 42,635,877 ------3,103,793 45,739,670
ABS Global 42,635,877 ------3,103,793 45,739,670
Total Fixed Income Composite 239,867,886 -13,156,991 ----1,891 1,183,978 8,230,632 236,123,614
Total Domestic Fixed Income 193,786,985 -12,876,000 ----1,891 1,183,978 8,354,372 190,447,444
CS McKee 117,678,129 -12,876,000 ----1,310 718,030 4,692,459 110,211,308
Loomis Fixed Income 76,108,856 -----581 465,948 3,661,913 80,236,136
Total Global Fixed 34,379,112 -------123,740 34,255,372
Franklin Templeton 34,379,112 -------123,740 34,255,372
Private Fixed Income 11,701,789 -280,991 ------11,420,798
Churchill Senior Loan Fund 11,701,789 -280,991 ------11,420,798
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 Asset 70,962,436 1,300,000 204,972 --41,965 -372,053 -1,030,230 71,767,266
Total Real Estate 68,848,136 ----41,965 -372,053 -1,030,230 68,147,994
Morgan Stanley 37,746,029 ----41,965 -372,053 -1,030,230 37,045,887
JPM Euro Property 66,576 -------66,576
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 -1,300,000 204,972 -----1,504,972
Private Investments 2,114,300 1,300,000 204,972 -----3,619,272
ValStone Opportunity Fund V 2,114,300 -------2,114,300
Total Cash Composite 4,700,423 11,856,991 --15,552,000 --217 -1,212 80,646 1,084,631
Cash and Equivalents Account 756,786 14,795,232 --15,552,000 --217 991 377 1,169
Private Markets Cash 3,943,637 -2,938,241 -----2,203 80,269 1,083,462
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 704,563,978 100.0 1.46 11.17 0.67 -4.05 1.53 4.96 5.77 6.90 8.39 8.17 10/01/1986
Total Fund Policy Index 1.77 11.86 3.36 -1.46 4.31 6.24 6.41 7.37 9.02 8.69
Total Equity Composite 395,588,466 56.1 2.24 19.01 -1.73 -9.12 -1.58 4.63 6.02 7.97 10.40 9.24 10/01/1986
Total Equity Index 2.88 20.61 0.90 -7.34 0.94 6.39 7.61 9.74 12.11 9.69
Total Fixed Income Composite 236,123,614 33.5 0.92 3.98 4.53 4.05 6.26 4.72 4.16 4.01 4.43 6.39 10/01/1986
Total Fixed Income Index 0.63 3.04 5.63 5.43 7.81 5.08 4.19 3.71 3.62 6.22
Total Real Asset 71,767,266 10.2 -0.91 -0.91 0.77 -1.74 2.45 6.69 8.45 10.25 10.39 4.72 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 0.2
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 250,876,894 35.6 1.90 22.34 -0.73 -8.33 -0.20 6.65 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 151,056,820 21.4 1.87 20.80 3.24 -5.18 4.80 9.53 10.29 11.92 13.85 9.92 07/01/2008
SSgA S&P 500 (1.5 bps)39,759,874 5.6 1.98 20.53 5.68 -3.11 7.47 10.74 10.78 12.18 14.04 12.90 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)34,812,293 4.9 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)76,484,653 10.9 2.04 20.69 6.10 -2.98 7.83 11.45 11.63 12.97 14.63 13.37 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 53,393,388 7.6 1.67 24.87 -8.80 -13.80 -8.29 1.43 3.87 7.13 10.38 7.72 07/01/2008
iShares Russell Mid Cap Value (24 bps)10,935,248 1.6 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)15,975,763 2.3 2.10 28.36 12.68 4.03 13.53 15.56 12.30 13.43 15.12 14.87 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)13,428,454 1.9 1.53 26.67 -9.41 -14.50 -8.77 N/A N/A N/A N/A -9.42 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)13,053,923 1.9 1.77 23.32 -13.76 -18.16 -13.82 N/A N/A N/A N/A -9.85 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 46,426,686 6.6 2.27 24.59 -3.01 -11.45 -5.27 4.07 5.44 7.49 10.63 8.66 07/01/2008
Lee Munder (70 bps)21,673,792 3.1 0.82 18.12 -14.34 -21.34 -13.96 -3.02 2.61 5.45 8.79 7.28 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)24,752,893 3.5 3.56 30.87 9.69 -0.49 3.92 12.69 9.98 12.01 N/A 14.07 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 98,971,903 14.0 4.17 16.86 -5.75 -13.37 -6.84 0.47 2.77 4.31 6.41 2.96 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)35,592,856 5.1 2.91 15.45 -5.30 -12.67 -7.47 1.98 2.45 5.02 7.37 4.72 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)42,457,883 6.0 2.39 14.75 -11.70 -17.81 -12.09 -3.34 1.37 2.98 5.47 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)20,921,163 3.0 10.38 24.07 8.21 -4.15 7.44 6.71 7.43 5.90 N/A 5.30 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 45,739,670 6.5 0.00 7.28 2.05 -3.45 3.23 3.17 2.51 3.88 N/A 4.02 10/01/2010
ABS Global (100 bps)45,739,670 6.5 0.00 7.28 2.05 -3.45 3.23 3.17 2.51 4.75 N/A 4.80 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 190,447,444 27.0 1.20 5.01 6.81 6.51 9.31 5.81 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)110,211,308 15.6 1.12 4.69 6.34 6.21 9.00 5.62 4.61 4.26 4.20 4.36 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)80,236,136 11.4 1.32 5.42 7.47 6.89 9.71 6.12 5.27 5.17 5.88 6.02 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 34,255,372 4.9 -0.31 -0.36 -5.44 -6.46 -7.83 -1.25 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)34,255,372 4.9 -0.31 -0.36 -5.44 -6.46 -7.83 -1.25 0.09 0.77 2.49 1.99 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 68,147,994 9.7 -0.96 -0.96 0.64 -1.35 2.32 6.65 N/A N/A N/A 7.65 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)37,045,887 5.3 -1.74 -1.74 0.93 -0.84 2.67 6.78 8.55 10.55 12.33 6.27 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)19,855,338 2.8 0.00 0.00 3.50 1.32 5.27 7.54 9.25 10.99 N/A 11.47 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
JPM Euro Property 66,576 0.0 0.00 0.00 -7.21 -3.62 -6.83 -2.72 0.22 2.42 0.17 -1.73 04/01/2009
NCREIF Property Index 0.00 0.00 2.27 0.71 3.72 5.79 6.98 8.42 9.81 8.02
Total Cash Composite 1,084,631 0.2
Cash and Equivalents Account (No fee)1,169 0.0
Private Markets Cash 1,083,462 0.2
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 7.93 N/A N/A 7.79 08/27/2014
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 8.97 05/24/2017
AEW Real Estate 0.00 0.00 5.12 0.42 8.59 N/A N/A N/A N/A 9.26 09/28/2017
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
Alternative Investments
As of June 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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