HomeMy WebLinkAboutReports - 2020.12.17 - 33742<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="10/31/2020" Interval="1" />
Investment Performance Review
Period Ending October 31, 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 (2.66) 0.37 2.77 9.71 10.42 11.71Russell Midcap Index 0.64 2.15 (1.72) 4.12 6.77 8.95Russell 2000 Index 2.09 4.24 (6.77) (0.14) 2.19 7.27Russell 1000 Growth Index (3.40) 1.56 20.11 29.22 18.77 17.32Russell 1000 Value Index (1.31) 0.24 (12.74) (7.57) 1.94 5.82Russell 3000 Index (2.16) 1.11 3.14 10.15 10.04 11.48MSCI EAFE NR (3.99) (1.68) (10.80) (6.86) (1.24) 2.85MSCI EM NR 2.06 2.64 0.88 8.25 1.94 7.92Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies10/31/2012/31/1912/31/18U.S. Aggregate (0.45) (1.30) 6.32 6.19 6.12 1.24 Euro Spot 1.16 1.12 1.15U.S. Corporate Investment Grade (0.18) (1.84) 6.44 7.05 8.64 2.03 British Pound Spot 1.29 1.33 1.28U.S. Corporate High Yield 0.51 0.42 1.13 3.49 3.80 5.78 Japanese Yen Spot 104.66 108.61 109.69Global Aggregate 0.10 (0.42) 5.82 5.63 7.37 0.91 Swiss Franc Spot 0.92 0.97 0.98Key Rates10/31/2012/31/1912/31/1812/31/1712/31/16Commodities10/31/2012/31/1912/31/18US Generic Govt 3 Mth 0.09 1.54 2.35 1.38 0.50 Oil 35.79 56.44 49.82US Generic Govt 2 Yr 0.15 1.57 2.49 1.88 1.19 Gasoline 2.13 2.59 2.26US Generic Govt 10 Yr 0.87 1.92 2.68 2.41 2.44 Natural Gas 3.35 2.60 2.78US Generic Govt 30 Yr 1.66 2.39 3.01 2.74 3.07 Gold 1,879.90 1,550.60 1,187.30ICE LIBOR USD 3M 0.22 1.91 2.81 1.69 1.00 Silver 23.65 18.26 16.50Euribor 3 Month ACT/360 (0.52) (0.38) (0.31) (0.33) (0.32) Copper 304.75 282.55 267.10Bankrate 30Y Mortgage Rates Na 3.06 3.86 4.51 3.85 4.06 Corn 398.50 402.50 411.00Prime 3.25 4.75 5.50 4.50 3.75 BBG Commodity TR Idx 153.35 172.00 159.72Source: 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 -18.7 -6.8 4.7 S22.436.4M -12.0 -1.7 14.1 M27.0 30.5 35.5October 31, 2020Index Returns (%)L -12.7 3.8 20.1 L26.5 31.422.1319.769.464.652.771.201.15-0.93-5.36-9.88-20.90-50.38-60.0-50.0-40.0-30.0-20.0-10.00.010.020.030.0YTD 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 Assets (8.9%)
Total Fixed Income Composite (34.0%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (14.1%)
Total Domestic Equity (38.3%)
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 1,333,692,381 100.0 N/A N/A 100.0 ---
Total Domestic Equity 510,255,772 38.3 10.0 50.0 35.0 -376,886,534 156,590,418 -43,463,439
Total International Equity 188,627,151 14.1 5.0 20.0 15.0 -121,942,532 78,111,325 11,426,706
Total Long/Short Equity Composite 53,534,103 4.0 0.0 7.5 5.0 -53,534,103 46,492,825 13,150,516
Total Fixed Income Composite 452,962,487 34.0 10.0 55.0 35.0 -319,593,249 280,568,322 13,829,846
Total Real Assets 119,216,109 8.9 0.0 15.0 10.0 -119,216,109 80,837,748 14,153,129
Total Cash Composite 9,096,758 0.7 0.0 5.0 0.0 -9,096,758 57,587,861 -9,096,758
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of October 31, 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 (0.7%)
Total Real Assets (8.9%)
Total Fixed Income Composite (34.0%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (14.1%)
Total Small Cap Equity Composite (8.0%)
Total Mid Cap Equity Composite (7.9%)
Total Large Cap Equity Composite (22.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,333,692,381 100.0 100.0 -
Total Large Cap Equity Composite 299,258,929 22.4 20.0 -32,520,453
Total Mid Cap Equity Composite 104,774,096 7.9 7.5 -4,747,167
Total Small Cap Equity Composite 106,222,748 8.0 7.5 -6,195,819
Total International Equity 188,627,151 14.1 15.0 11,426,706
Total Long/Short Equity Composite 53,534,103 4.0 5.0 13,150,516
Total Fixed Income Composite 452,962,487 34.0 35.0 13,829,846
Total Real Assets 119,216,109 8.9 10.0 14,153,129
Total Cash Composite 9,096,758 0.7 0.0 -9,096,758
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of October 31, 2020
Page 3
September 30, 2020 : $1,340,416,794 October 31, 2020 : $1,333,692,381
Allocation
Market Value Allocation
SSgA S&P 500 81,641,878 6.1¢
SSgA S&P 500 Equal Weighted Index 68,971,556 5.1¢
T. Rowe Price 154,912,080 11.6¢
Nuance Mid Cap Value 20,552,446 1.5¢
TimesSquare 35,941,396 2.7¢
Great Lakes SmidCap 25,084,052 1.9¢
Reinhart Partners 22,293,568 1.7¢
Lee Munder (LMCG)41,835,791 3.1¢
Loomis Small Cap 61,646,006 4.6¢
Lazard 81,646,274 6.1¢
Pictet 70,151,740 5.2¢
Berkeley Street 39,533,778 2.9¢
ABS Global 53,534,103 4.0¢
CS McKee 248,758,061 18.6¢
Loomis Fixed Income 122,728,583 9.2¢
Franklin Templeton 62,199,089 4.6¢
Churchill Senior Loan Fund 20,641,991 1.5¢
Morgan Stanley 65,567,299 4.9¢
Prudential PRISA II 27,040,087 2.0¢
Alidade Capital Fund IV 3,038,868 0.2¢
Walton Street Real Estate 6,543,216 0.5¢
AEW Real Estate 6,295,744 0.5¢
Dune Real Estate IV 2,599,713 0.2¢
Marathon Distressed Credit Fund LP 1,096,418 0.1¢
Macquarie II U.S.3,016,887 0.2¢
Macquarie Fund III Europe 158,454 0.0¢
ValStone Opportunity Fund V 3,290,122 0.2¢
Hamilton Lane Scondary Fund V LP 3,093,180 0.2¢
Cash and Equivalents Account 1,406,295 0.1¢
Private Markets Cash 5,198,118 0.4¢
Allocation
Market Value Allocation
SSgA S&P 500 79,476,451 6.0¢
SSgA S&P 500 Equal Weighted Index 68,514,350 5.1¢
T. Rowe Price 151,268,128 11.3¢
Nuance Mid Cap Value 21,107,679 1.6¢
TimesSquare 35,745,117 2.7¢
Great Lakes SmidCap 24,963,601 1.9¢
Reinhart Partners 22,957,699 1.7¢
Lee Munder (LMCG)43,467,469 3.3¢
Loomis Small Cap 62,755,279 4.7¢
Lazard 79,217,605 5.9¢
Pictet 69,005,401 5.2¢
Berkeley Street 40,404,145 3.0¢
ABS Global 53,534,103 4.0¢
CS McKee 247,619,453 18.6¢
Loomis Fixed Income 122,366,820 9.2¢
Franklin Templeton 62,334,222 4.7¢
Churchill Senior Loan Fund 20,641,991 1.5¢
Morgan Stanley 65,567,299 4.9¢
Prudential PRISA II 27,040,087 2.0¢
Alidade Capital Fund IV 3,038,868 0.2¢
Walton Street Real Estate 6,200,483 0.5¢
AEW Real Estate 6,295,744 0.5¢
Dune Real Estate IV 2,599,713 0.2¢
Marathon Distressed Credit Fund LP 1,096,418 0.1¢
Macquarie II U.S.835,742 0.1¢
Macquarie Fund III Europe 158,454 0.0¢
ValStone Opportunity Fund V 3,290,122 0.2¢
Hamilton Lane Scondary Fund V LP 3,093,180 0.2¢
Cash and Equivalents Account 1,406,296 0.1¢
Private Markets Cash 7,690,462 0.6¢
Asset Allocation By Manager
Total Fund Composite
As of October 31, 2020
Page 4
Financial Reconciliation Month to Date
Market Value
10/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
10/31/2020
Total Fund Composite 1,340,416,794 ----59,792 -449 1,059,252 -7,723,423 1,333,692,381
Total Equity Composite 757,744,668 ----59,792 -449 344,593 -5,611,994 752,417,026
Total Domestic Equity 512,878,773 -----228 281,391 -2,904,163 510,255,772
Total Large Cap Equity Composite 305,525,514 -----25 185,296 -6,451,857 299,258,929
SSgA S&P 500 81,641,878 -------2,165,427 79,476,451
SSgA S&P 500 Equal Weighted Index 68,971,556 -------457,207 68,514,350
T. Rowe Price 154,912,080 -----25 185,296 -3,829,223 151,268,128
Total Mid Cap Equity Composite 103,871,461 -----71,202 831,433 104,774,096
Nuance Mid Cap Value 20,552,446 -----25,070 530,163 21,107,679
iShares Russell Mid Cap Value (IWS)---------
TimesSquare 35,941,396 -----11,436 -207,715 35,745,117
Great Lakes SmidCap 25,084,052 -----21,458 -141,908 24,963,601
Reinhart Partners 22,293,568 -----13,238 650,893 22,957,699
Total Small Cap Equity Composite 103,481,797 -----204 24,893 2,716,261 106,222,748
Lee Munder (LMCG)41,835,791 -----20,003 1,611,675 43,467,469
Loomis Small Cap 61,646,006 -----204 4,890 1,104,586 62,755,279
Total International Equity 191,331,792 ----59,792 -221 63,202 -2,707,831 188,627,151
Lazard 81,646,274 -----221 44,525 -2,472,974 79,217,605
Pictet 70,151,740 ----29,489 -18,678 -1,135,528 69,005,401
Berkeley Street 39,533,778 ----30,303 --900,671 40,404,145
Total Long/Short Equity Composite 53,534,103 -------53,534,103
ABS Global 53,534,103 -------53,534,103
Total Fixed Income Composite 454,327,725 -----711,371 -2,076,608 452,962,487
Total Domestic Fixed Income 371,486,645 -----711,371 -2,211,742 369,986,273
CS McKee 248,758,061 -----458,341 -1,596,949 247,619,453
Loomis Fixed Income 122,728,583 -----253,029 -614,793 122,366,820
Total Global Fixed 62,199,089 ------135,134 62,334,222
Franklin Templeton 62,199,089 ------135,134 62,334,222
Private Fixed Income 20,641,991 -------20,641,991
Churchill Senior Loan Fund 20,641,991 -------20,641,991
Financial Reconciliation
Total Fund
Quarter To Date Ending October 31, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending October 31, 2020
Market Value
10/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
10/31/2020
Total Real Assets 121,739,987 -2,523,878 ------119,216,109
Total Real Estate (Composite)112,181,345 -342,733 ------111,838,611
Morgan Stanley 65,567,299 -------65,567,299
Prudential PRISA II 27,040,087 -------27,040,087
Alidade Capital Fund IV 3,038,868 -------3,038,868
Walton Street Real Estate 6,543,216 -342,733 ------6,200,483
AEW Real Estate 3,147,875 -------3,147,875
Dune Real Estate IV 2,599,713 -------2,599,713
Marathon Distressed Credit Fund LP 1,096,418 -------1,096,418
H.I.G. Bayside Loan Opportunity VI ---------
Private Investments 9,558,643 -2,181,145 ------7,377,498
Macquarie II U.S.3,016,887 -2,181,145 ------835,742
Macquarie Fund III Europe 158,454 -------158,454
ValStone Opportunity Fund V 3,290,122 -------3,290,122
Hamilton Lane Scondary Fund V LP 3,093,180 -------3,093,180
Portfolio Adv Seconary Agg VI ---------
Total Cash Composite 6,604,413 2,523,878 ----3,288 -34,821 9,096,758
Cash and Equivalents Account 1,406,295 -------1,406,296
Private Markets Cash 5,198,118 2,523,878 ----3,288 -34,821 7,690,462
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 1,333,692,381 100.0 -0.50 -0.50 -0.50 -0.27 3.54 4.94 6.71 6.44 8.13 5.37 06/01/1998
Total Fund Policy Index -0.86 -0.86 -0.86 1.85 5.34 5.93 7.20 6.76 8.15 5.89
Total Equity Composite 752,417,026 56.4 -0.70 -0.70 -0.70 -3.47 2.21 4.78 7.91 7.49 9.73 5.15 04/01/1998
Total Equity Index -1.41 -1.41 -1.41 -1.82 4.37 6.12 8.94 8.99 11.08 6.48
Total Fixed Income Composite 452,962,487 34.0 -0.30 -0.30 -0.30 4.68 4.96 4.41 4.11 3.59 3.91 5.22 04/01/1998
Total Fixed Income Index -0.37 -0.37 -0.37 6.19 6.06 4.98 4.05 3.56 3.30 4.95
Total Real Assets 119,216,109 8.9 0.00 0.00 0.00 1.11 5.59 7.87 8.83 9.97 11.05 7.23 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 1.39 5.18 6.64 8.60 10.27 5.03
Total Cash Composite 7,454,466 0.6
Asset Allocation & Performance
Total Fund Composite
As of October 31, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of October 31, 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 510,255,772 38.3 -0.51 -0.51 -0.51 -1.61 4.62 7.00 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 299,258,929 22.4 -2.05 -2.05 -2.05 0.98 7.77 9.14 11.17 11.24 12.86 10.05 07/01/2008
SSgA S&P 500 (1.5 bps)79,476,451 6.0 -2.65 -2.65 -2.65 2.71 9.65 10.39 11.69 11.52 13.00 13.02 10/01/2009
S&P 500 Index -2.66 -2.66 -2.66 2.77 9.71 10.42 11.71 11.53 13.01 13.03
SSgA S&P 500 Equal Weighted Index (4 bps)68,514,350 5.1 -0.66 -0.66 -0.66 -6.43 -0.50 N/A N/A N/A N/A 2.66 02/01/2018
S&P 500 Equal Weighted -0.61 -0.61 -0.61 -5.33 0.59 5.89 8.60 8.92 11.57 2.90
T. Rowe Price (25 bps)151,268,128 11.3 -2.35 -2.35 -2.35 3.79 10.95 11.18 12.64 12.39 13.74 13.57 10/01/2009
S&P 500 Index -2.66 -2.66 -2.66 2.77 9.71 10.42 11.71 11.53 13.01 13.03
Total Mid Cap Equity Composite 104,774,096 7.9 0.87 0.87 0.87 -7.74 -3.42 2.84 6.60 6.99 9.76 8.15 07/01/2008
Nuance Mid Cap Value (75 bps)21,107,679 1.6 2.70 2.70 2.70 N/A N/A N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index 0.93 0.93 0.93 -12.03 -6.94 0.86 5.32 6.09 9.40 7.39
TimesSquare (80 bps)35,745,117 2.7 -0.55 -0.55 -0.55 13.40 20.37 16.55 14.76 13.13 14.47 15.30 09/01/2009
Russell Midcap Growth Index 0.12 0.12 0.12 14.06 21.14 15.21 14.15 12.85 14.13 15.23
Great Lakes SmidCap (55 bps)24,963,601 1.9 -0.48 -0.48 -0.48 -8.57 -4.37 N/A N/A N/A N/A -3.21 05/01/2019
Russell 2500 Index 1.81 1.81 1.81 -4.11 2.12 4.54 8.18 7.48 10.60 1.46
Reinhart Partners (65 bps)22,957,699 1.7 2.98 2.98 2.98 -16.42 -13.02 N/A N/A N/A N/A -6.40 05/01/2019
Russell 2500 Index 1.81 1.81 1.81 -4.11 2.12 4.54 8.18 7.48 10.60 1.46
Total Small Cap Equity Composite 106,222,748 8.0 2.65 2.65 2.65 -2.22 4.63 5.65 8.87 7.15 10.21 9.31 07/01/2008
Lee Munder (LMCG) (70 bps)43,467,469 3.3 3.90 3.90 3.90 -16.51 -11.12 -2.31 4.68 4.83 7.82 7.54 09/01/2005
Russell 2000 Value Index 3.58 3.58 3.58 -18.74 -13.92 -4.05 3.71 3.32 7.06 5.11
Loomis Small Cap (90 bps)62,755,279 4.7 1.80 1.80 1.80 10.66 18.93 13.14 14.23 11.25 N/A 14.86 09/01/2012
Russell 2000 Growth Index 0.76 0.76 0.76 4.67 13.37 7.90 10.36 9.06 11.95 12.20
Page 8
Asset Allocation & Performance
Total Fund Composite
As of October 31, 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 188,627,151 14.1 -1.38 -1.38 -1.38 -9.25 -4.36 -0.29 4.64 3.09 4.76 3.27 07/01/2008
Total International Equity Index -2.13 -2.13 -2.13 -7.11 -2.19 0.29 4.76 2.81 3.99 2.23
Lazard (75 bps)79,217,605 5.9 -2.97 -2.97 -2.97 -10.12 -4.89 0.55 4.04 3.39 5.63 4.88 09/01/2006
MSCI AC World ex USA -2.13 -2.13 -2.13 -7.11 -2.19 0.29 4.76 2.81 3.91 3.38
Pictet (65 bps)69,005,401 5.2 -1.59 -1.59 -1.59 -15.03 -11.51 -4.20 2.40 1.51 3.62 0.54 01/01/2008
MSCI EAFE Index -3.98 -3.98 -3.98 -10.44 -6.46 -0.76 3.35 2.41 4.31 1.49
Berkeley Street (95 bps)40,404,145 3.0 2.28 2.28 2.28 5.00 12.43 6.28 11.63 5.87 N/A 6.27 11/01/2012
MSCI Emerging Markets Index 2.08 2.08 2.08 1.15 8.62 2.32 8.31 3.72 2.78 4.11
Total Long/Short Equity Composite 53,534,103 4.0 0.00 0.00 0.00 0.98 4.74 3.16 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)53,534,103 4.0 0.00 0.00 0.00 0.98 4.74 3.16 3.58 4.45 4.95 5.09 10/01/2010
HFRI FOF: Strategic Index 0.71 0.71 0.71 4.23 7.78 2.91 3.62 3.29 3.12 3.27
Total Domestic Fixed Income 369,986,273 27.7 -0.40 -0.40 -0.40 7.26 7.29 5.56 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)247,619,453 18.6 -0.46 -0.46 -0.46 6.47 6.41 5.27 4.30 4.01 3.91 4.20 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.45 -0.45 -0.45 6.32 6.19 5.07 4.08 3.78 3.55 3.92
Loomis Fixed Income (30 bps)122,366,820 9.2 -0.29 -0.29 -0.29 8.91 9.15 6.19 5.81 4.93 5.36 5.98 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.45 -0.45 -0.45 6.32 6.19 5.07 4.08 3.78 3.55 3.96
Total Global Fixed 62,334,222 4.7 0.22 0.22 0.22 -6.65 -5.65 -1.39 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)62,334,222 4.7 0.22 0.22 0.22 -6.65 -5.65 -1.39 0.78 0.36 1.70 1.90 04/01/2010
JPM Global Government Bond Index -0.28 -0.28 -0.28 6.95 5.91 4.54 3.89 2.30 1.88 2.78
Page 9
Asset Allocation & Performance
Total Fund Composite
As of October 31, 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)111,838,611 8.4 0.00 0.00 0.00 0.40 2.56 6.70 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 1.39 5.18 6.64 8.60 10.27 6.08
Morgan Stanley (84 bps)65,567,299 4.9 0.00 0.00 0.00 0.21 2.00 6.29 8.00 10.14 11.92 6.22 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 1.39 5.18 6.64 8.60 10.27 4.96
Prudential PRISA II (85 bps)27,040,087 2.0 0.00 0.00 0.00 -0.49 1.67 6.59 8.02 10.22 N/A 10.90 10/01/2011
NCREIF Property Index 0.00 0.00 0.00 0.45 2.00 5.11 6.28 7.98 9.37 8.56
Total Cash Composite 9,096,758 0.7
Cash and Equivalents Account (No fee)1,406,296 0.1
Private Markets Cash 7,690,462 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 0.00 -10.25 10.03 7.87 8.26 N/A N/A 7.98 08/27/2014
Macquarie II U.S.0.00 0.00 0.00 39.36 42.04 13.56 10.08 6.64 9.12 8.92 10/09/2008
Macquarie Fund III Europe 0.00 0.00 0.00 -1.30 67.77 15.37 18.83 9.18 9.47 8.50 10/17/2008
Alidade Capital Fund IV 0.00 0.00 0.00 4.26 6.70 5.54 N/A N/A N/A 5.39 04/20/2017
Walton Street Real Estate 0.00 0.00 0.00 1.82 4.80 8.15 N/A N/A N/A 9.21 05/25/2017
AEW Real Estate 0.00 0.00 0.00 3.74 8.50 9.47 N/A N/A N/A 9.34 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 0.00 1.21 2.69 N/A N/A N/A N/A 5.58 12/07/2017
Dune Real Estate IV 0.00 0.00 0.00 -11.29 -10.41 N/A N/A N/A N/A -16.63 08/22/2019
Hamilton Lane Scondary Fund V LP 0.00 0.00 0.00 N/A N/A N/A N/A N/A N/A 19.72 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 0.00 N/A N/A N/A N/A N/A N/A 24.86 09/10/2020
H.I.G. Bayside Loan Opportunity VI N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Portfolio Adv Seconary Agg VI N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
Comparative Performance - IRR
Private Investments
As of October 31, 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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