HomeMy WebLinkAboutReports - 2020.12.17 - 33743Market UpdateRussell Indices Style Returns *Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBGVBGS&P 500 Total Return10.95 3.89 14.02 17.46 13.17 13.99Russell Midcap Index13.82 12.32 11.86 14.43 10.26 11.75Russell 2000 Index18.43 16.87 10.41 13.59 7.09 10.25Russell 1000 Growth Index10.24 1.48 32.40 36.40 21.47 19.56Russell 1000 Value Index13.45 9.21 (1.00) 1.72 5.25 8.44Russell 3000 Index12.17 5.75 15.68 19.02 13.20 13.95MSCI EAFE NR15.50 8.01 3.03 6.37 3.26 6.19MSCI EM NR9.25 9.71 10.20 18.43 4.92 10.72Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies11/30/2012/31/1912/31/18U.S. Aggregate0.98 0.48 7.36 7.28 6.23 1.15Euro Spot1.19 1.12 1.15U.S. Corporate Investment Grade 2.79 2.31 9.41 9.76 8.86 1.80British Pound Spot1.33 1.33 1.28U.S. Corporate High Yield3.96 3.41 5.13 7.24 3.65 4.70Japanese Yen Spot104.31 108.61 109.69Global Aggregate1.82 1.55 7.75 8.38 7.42 0.86Swiss Franc Spot0.91 0.97 0.98Key Rates11/30/2012/31/1912/31/1812/31/1712/31/16Commodities11/30/2012/31/1912/31/18US Generic Govt 3 Mth0.07 1.54 2.35 1.38 0.50Oil45.34 56.03 49.90US Generic Govt 2 Yr0.15 1.57 2.49 1.88 1.19Gasoline2.14 2.59 2.26US Generic Govt 10 Yr0.84 1.92 2.68 2.41 2.44Natural Gas2.88 2.72 2.90US Generic Govt 30 Yr1.57 2.39 3.01 2.74 3.07Gold1,780.90 1,555.20 1,187.30ICE LIBOR USD 3M0.23 1.91 2.81 1.69 1.00Silver22.59 18.35 16.50Euribor 3 Month ACT/360(0.53) (0.38) (0.31) (0.33) (0.32)Copper343.80 283.05 267.40Bankrate 30Y Mortgage Rates Na 2.94 3.86 4.51 3.85 4.06Corn426.00 411.25 419.25Prime3.25 4.75 5.50 4.50 3.75BBG Commodity TR Idx158.74 172.00 159.72Source: 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.*Heat maps are displayed utilizing a 9-color scale, with green as the highest return for the time period noted and red as the lowest return for the time period noted. Color scales within each time period are mutually exclusive.Levels (%)Levels25.5 28.4YTD 2019Index Returns (%)LevelsS -3.1 10.4 23.1 S 22.436.4M 0.3 11.9 29.4 M 27.0 30.5 35.5November 30, 2020Index Returns (%)L -1.0 16.1 32.4 L 26.5 31.436.0830.0119.9217.7314.029.759.188.81-0.18-3.61-7.53-36.47-50.0-40.0-30.0-20.0-10.00.010.020.030.040.0YTD Sector Returns50.2932.6932.0931.4829.3229.0027.9427.6126.3524.5820.8211.810.010.020.030.040.050.060.02019 Sector Returns
Oakland County Employees' Retirement System - VEBA
Asset / Manager Summary - December 17, 2020
Asset Class / Manager MV ($000)%MV ($000)%Add/Reduce
SSgA S&P 5001 $88,178 6.1%$71,898 5.0%($16,280)
SSgA S&P 500 EW 1 $78,535 5.5%$71,898 5.0%($6,637)11/30 MV
T. Rowe Price Enhanced 500 $171,942 12.0%$143,795 10.0%($28,147)
TimesSquare Mid Growth $40,667 2.8%$26,962 1.9%($13,705)
Great Lakes Small/Mid Core $29,539 2.1%$26,962 1.9%($2,577)
Reinhart Small/Mid Core $28,338 2.0%$26,962 1.9%($1,376)
Nuance Mid Value $23,580 1.6%$26,962 1.9%$3,382
Loomis, Sayles Small Growth $72,666 5.1%$53,923 3.8%($18,743)
LMCG Small Value $53,221 3.7%$53,923 3.8%$702
ABS Global L/S Equity1 $53,573 3.7%$71,898 5.0%$18,325
Total US Equity $640,239 44.5%$575,182 40.0%($65,057)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $88,989 6.2%$71,898 5.0%($17,091)Add $10MM to PIMCO
Pictet Intl Equity1 $82,376 5.7%$71,898 5.0%($10,478)
Berkley Street Emerging Mkts.1 $44,696 3.1%$35,949 2.5%($8,747)
Total Intl Equity $216,061 15.0%$179,744 12.5%($36,317)
CS McKee Core Fixed $246,853 17.2%$236,591 16.5%($10,262)
Loomis, Sayles Core Plus $124,752 8.7%$143,795 10.0%$19,043 Add $20MM from TRP
Templeton Global Fixed1 $62,337 4.3%$71,898 5.0%$9,561 Pending Transfer to PIMCO
Churcill Direct Lending1 $20,642 1.4%$25,000 1.7%$4,358 $25MM Commitment
BlackRock Direct Lending1 $0 0.0%$0 0.0%$0 $20MM Commitment
HIG/Marathon Distressed1 $0 0.0%$26,000 1.8%$26,000 $13MM Commitment Each
Total Fixed Income $454,584 31.6%$503,284 35.0%$48,700 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $65,651 4.6%$85,156 5.9%$19,505
Prudential PRISA II VA RE1 $27,040 1.9%$28,759 2.0%$1,719
Private VA Real Estate Funds1,2 $29,880 2.1%$29,880 2.1%$0
Total Real Estate $122,571 8.5%$143,795 10.0%$21,224
Hamilton Lane $3,093 0.2%$17,974 1.3%$14,881 $17.5MM Commitment
Portfolio Advisors $750 0.1%$17,974 1.3%$17,224 $17.5MM Commitment
Total Private Equity $3,843 0.3%$35,949 2.5%$32,106
Cash Account $656 0.0%$0 0.0%($656)
Total Fund $1,437,954 100.0%$1,437,954 100.0%$0
Market values from Northern Trust as of 12/10/20.
1. Market values not updated daily by Northern Trust.
2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, Macquire (US and Euro), Valstone and Walton Street.
Other Assets / Basket Clause $78,058 5.4%$158,847 11.0%15% Target / Includes ABS, Churchill, HIG, Marathon, HL, and PA
Included in Other Assets allocation
Target Allocation = 20% target less Churchill.
Target Allocation = 10% RE target less VA mgrs.
Transfer $20MM to LS Core Plus
Current Allocation Target Allocation
Comments
11/30 MV