HomeMy WebLinkAboutReports - 2020.12.17 - 33745<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="10/31/2020" Interval="1" />
Investment Performance Review
Period Ending October 31, 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 (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 (1.1%)
Total Real Asset (10.4%)
Total Fixed Income Composite (33.7%)
Total Long/Short Equity Composite (5.9%)
Total International Equity (14.1%)
Total Domestic Equity (34.8%)
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 708,500,067 100.0 N/A N/A 100.0 ---
Total Domestic Equity 246,238,890 34.8 10.0 50.0 35.0 -175,388,884 108,011,143 1,736,133
Total International Equity 100,248,548 14.1 5.0 20.0 15.0 -64,823,545 41,451,465 6,026,462
Total Long/Short Equity Composite 41,838,108 5.9 0.0 7.5 5.0 -41,838,108 11,299,397 -6,413,105
Total Fixed Income Composite 238,710,873 33.7 10.0 55.0 35.0 -167,860,867 150,964,164 9,264,150
Total Real Asset 74,009,181 10.4 0.0 15.0 10.0 -74,009,181 32,265,829 -3,159,175
Total Cash Composite 7,454,466 1.1 0.0 5.0 0.0 -7,454,466 27,970,537 -7,454,466
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of October 31, 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 (1.1%)
Total Real Asset (10.4%)
Total Fixed Income Composite (33.7%)
Total Long/Short Equity Composite (5.9%)
Total International Equity (14.1%)
Total Small Cap Equity Composite (7.1%)
Total Mid Cap Equity Composite (8.0%)
Total Large Cap Equity Composite (19.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 708,500,067 100.0 100.0 -
Total Large Cap Equity Composite 139,137,689 19.6 20.0 2,562,324
Total Mid Cap Equity Composite 56,661,111 8.0 7.5 -3,523,606
Total Small Cap Equity Composite 50,440,090 7.1 7.5 2,697,415
Total International Equity 100,248,548 14.1 15.0 6,026,462
Total Long/Short Equity Composite 41,838,108 5.9 5.0 -6,413,105
Total Fixed Income Composite 238,710,873 33.7 35.0 9,264,150
Total Real Asset 74,009,181 10.4 10.0 -3,159,175
Total Cash Composite 7,454,466 1.1 0.0 -7,454,466
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of October 31, 2020
Page 3
September 30, 2020 : $721,478,221 October 31, 2020 : $708,500,067
Allocation
Market Value Allocation
SSgA S&P 500 43,309,403 6.0¢
SSgA S&P 500 Equal Weighted Index 37,138,531 5.1¢
T. Rowe Price 71,504,741 9.9¢
Nuance Mid Cap Value 11,249,111 1.6¢
TimesSquare 17,496,772 2.4¢
Great Lakes SmidCap 14,415,082 2.0¢
Reinhart Partners 12,976,442 1.8¢
Lee Munder (LMCG)22,171,453 3.1¢
Loomis Small Cap 26,923,719 3.7¢
Lazard 37,701,340 5.2¢
Pictet 41,413,457 5.7¢
Berkeley Street 22,408,405 3.1¢
ABS Global 41,838,108 5.8¢
CS McKee 111,182,007 15.4¢
Loomis Fixed Income 81,781,595 11.3¢
Franklin Templeton 34,112,455 4.7¢
Churchill Senior Loan Fund 12,385,195 1.7¢
Morgan Stanley 37,440,076 5.2¢
JPM Euro Property 61,917 0.0¢
Prudential PRISA II 19,343,114 2.7¢
Alidade Capital Fund IV 5,064,781 0.7¢
Walton Street Real Estate 3,271,608 0.5¢
AEW Real Estate 3,147,875 0.4¢
Dune Real Estate IV 1,299,851 0.2¢
Marathon Distressed Credit Fund LP 590,379 0.1¢
ValStone Opportunity Fund V 2,193,415 0.3¢
Hamilton Lane Scondary Fund V LP 1,767,532 0.2¢
Cash and Equivalents Account 3,867 0.0¢
Private Markets Cash 7,285,989 1.0¢
Allocation
Market Value Allocation
SSgA S&P 500 32,421,834 4.6¢
SSgA S&P 500 Equal Weighted Index 36,892,342 5.2¢
T. Rowe Price 69,823,512 9.9¢
Nuance Mid Cap Value 11,552,962 1.6¢
TimesSquare 17,398,246 2.5¢
Great Lakes SmidCap 14,346,310 2.0¢
Reinhart Partners 13,363,592 1.9¢
Lee Munder (LMCG)23,034,602 3.3¢
Loomis Small Cap 27,405,488 3.9¢
Lazard 36,610,984 5.2¢
Pictet 40,735,817 5.7¢
Berkeley Street 22,901,747 3.2¢
ABS Global 41,838,108 5.9¢
CS McKee 110,604,086 15.6¢
Loomis Fixed Income 81,535,025 11.5¢
Franklin Templeton 34,186,568 4.8¢
Churchill Senior Loan Fund 12,385,195 1.7¢
Morgan Stanley 37,440,076 5.3¢
JPM Euro Property 61,917 0.0¢
Prudential PRISA II 19,343,114 2.7¢
Alidade Capital Fund IV 5,064,781 0.7¢
Walton Street Real Estate 3,100,241 0.4¢
AEW Real Estate 3,147,875 0.4¢
Dune Real Estate IV 1,299,851 0.2¢
Marathon Distressed Credit Fund LP 590,379 0.1¢
ValStone Opportunity Fund V 2,193,415 0.3¢
Hamilton Lane Scondary Fund V LP 1,767,532 0.2¢
Cash and Equivalents Account 3,867 0.0¢
Private Markets Cash 7,450,599 1.1¢
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 721,478,221 ---10,000,000 -35,494 -1,674 571,098 -3,512,083 708,500,067
Total Equity Composite 400,546,565 -10,000,000 ---35,494 -1,000 173,332 -2,357,856 388,325,546
Total Domestic Equity 257,185,254 -10,000,000 ----559 140,334 -1,086,138 246,238,890
Total Large Cap Equity Composite 151,952,674 -10,000,000 ----87 87,352 -2,902,250 139,137,689
SSgA S&P 500 43,309,403 -10,000,000 ------887,568 32,421,834
SSgA S&P 500 Equal Weighted Index 37,138,531 -------246,188 36,892,342
T. Rowe Price 71,504,741 -----87 87,352 -1,768,494 69,823,512
Total Mid Cap Equity Composite 56,137,408 -----176 39,991 483,889 56,661,111
Nuance Mid Cap Value 11,249,111 -----89 13,842 290,098 11,552,962
iShares Russell Mid Cap Value (IWS)---------
TimesSquare 17,496,772 -----32 5,599 -104,093 17,398,246
Great Lakes SmidCap 14,415,082 -----10 12,861 -81,622 14,346,310
Reinhart Partners 12,976,442 -----45 7,690 379,506 13,363,592
Total Small Cap Equity Composite 49,095,172 -----296 12,991 1,332,223 50,440,090
Lee Munder (LMCG)22,171,453 -----63 10,685 852,527 23,034,602
Loomis Small Cap 26,923,719 -----233 2,306 479,696 27,405,488
Total International Equity 101,523,203 ----35,494 -441 32,998 -1,271,718 100,248,548
Lazard 37,701,340 -----441 21,972 -1,111,887 36,610,984
Pictet 41,413,457 ----18,318 -11,026 -670,349 40,735,817
Berkeley Street 22,408,405 ----17,176 --510,518 22,901,747
Total Long/Short Equity Composite 41,838,108 -------41,838,108
ABS Global 41,838,108 -------41,838,108
Total Fixed Income Composite 239,461,252 -----582 396,985 -1,146,782 238,710,873
Total Domestic Fixed Income 192,963,602 -----582 396,985 -1,220,895 192,139,111
CS McKee 111,182,007 -----423 226,536 -804,034 110,604,086
Loomis Fixed Income 81,781,595 -----158 170,449 -416,861 81,535,025
Total Global Fixed 34,112,455 ------74,113 34,186,568
Franklin Templeton 34,112,455 ------74,113 34,186,568
Private Fixed Income 12,385,195 -------12,385,195
Churchill Senior Loan Fund 12,385,195 -------12,385,195
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 Asset 74,180,548 -171,367 ------74,009,181
Total Real Estate 70,219,601 -171,367 ------70,048,234
Morgan Stanley 37,440,076 -------37,440,076
JPM Euro Property 61,917 -------61,917
Prudential PRISA II 19,343,114 -------19,343,114
Alidade Capital Fund IV 5,064,781 -------5,064,781
Walton Street Real Estate 3,271,608 -171,367 ------3,100,241
AEW Real Estate 3,147,875 -------3,147,875
Dune Real Estate IV 1,299,851 -------1,299,851
Marathon Distressed Credit Fund LP 1,096,418 -------1,096,418
H.I.G. Bayside Loan Opportunity VI ---------
Private Investments 3,960,947 -------3,960,947
ValStone Opportunity Fund V 2,193,415 -------2,193,415
Hamilton Lane Scondary Fund V LP 1,767,532 -------1,767,532
Portfolio Adv Seconary Agg VI ---------
Total Cash Composite 7,289,856 10,171,367 --10,000,000 --93 781 -7,445 7,454,466
Cash and Equivalents Account 3,867 10,000,000 --10,000,000 --93 93 -3,867
Private Markets Cash 7,285,989 171,367 ----688 -7,445 7,450,599
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 708,500,067 100.0 -0.41 -0.41 -0.41 -0.23 3.33 4.90 6.71 6.43 7.65 8.21 10/01/1986
Total Fund Policy Index -0.86 -0.86 -0.86 1.85 5.34 5.93 7.16 6.74 8.18 8.71
Total Equity Composite 388,325,546 54.8 -0.56 -0.56 -0.56 -3.68 1.84 4.49 7.66 7.28 9.46 9.33 10/01/1986
Total Equity Index -1.41 -1.41 -1.41 -1.82 4.37 6.04 8.92 8.98 11.07 9.77
Total Fixed Income Composite 238,710,873 33.7 -0.31 -0.31 -0.31 5.16 5.44 4.73 4.34 3.87 4.04 6.36 10/01/1986
Total Fixed Income Index -0.37 -0.37 -0.37 6.19 6.06 4.97 4.06 3.57 3.31 6.18
Total Real Asset 74,009,181 10.4 0.00 0.00 0.00 0.53 3.09 6.70 8.02 9.94 9.98 4.78 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 1.1
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 246,238,890 34.8 -0.38 -0.38 -0.38 -1.97 4.18 6.89 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 139,137,689 19.6 -1.98 -1.98 -1.98 0.99 7.77 9.25 11.28 11.35 12.95 10.20 07/01/2008
SSgA S&P 500 (1.5 bps)32,421,834 4.6 -2.66 -2.66 -2.66 2.74 9.68 10.43 11.75 11.57 13.06 13.09 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)36,892,342 5.2 -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)69,823,512 9.9 -2.35 -2.35 -2.35 3.64 10.79 11.18 12.65 12.40 13.79 13.62 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 56,661,111 8.0 0.93 0.93 0.93 -8.53 -4.30 2.12 6.13 6.69 9.56 8.02 07/01/2008
Nuance Mid Cap Value (75 bps)11,552,962 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)17,398,246 2.5 -0.56 -0.56 -0.56 13.30 20.26 16.42 14.67 13.11 14.43 15.27 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)14,346,310 2.0 -0.48 -0.48 -0.48 -8.65 -4.47 N/A N/A N/A N/A -3.23 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)13,363,592 1.9 2.98 2.98 2.98 -16.21 -12.84 N/A N/A N/A N/A -6.29 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 50,440,090 7.1 2.74 2.74 2.74 -3.79 2.89 5.02 8.33 6.86 9.95 9.15 07/01/2008
Lee Munder (70 bps)23,034,602 3.3 3.89 3.89 3.89 -16.40 -11.02 -2.25 4.70 4.90 7.85 7.55 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)27,405,488 3.9 1.79 1.79 1.79 10.18 18.45 12.96 14.11 11.26 N/A 14.88 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 100,248,548 14.1 -1.22 -1.22 -1.22 -9.64 -4.88 -0.59 4.49 2.99 4.70 3.23 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)36,610,984 5.2 -2.89 -2.89 -2.89 -10.17 -4.98 0.33 3.93 3.30 5.55 4.82 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)40,735,817 5.7 -1.59 -1.59 -1.59 -15.43 -11.92 -4.34 2.32 1.45 3.58 0.51 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)22,901,747 3.2 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 41,838,108 5.9 0.00 0.00 0.00 0.98 4.74 3.16 3.61 3.92 4.32 4.35 10/01/2010
ABS Global (100 bps)41,838,108 5.9 0.00 0.00 0.00 0.98 4.74 3.16 3.61 4.47 4.97 5.11 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 192,139,111 27.1 -0.43 -0.43 -0.43 7.65 7.69 5.76 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)110,604,086 15.6 -0.52 -0.52 -0.52 6.92 6.82 5.49 4.44 4.17 3.98 4.29 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)81,535,025 11.5 -0.30 -0.30 -0.30 8.62 8.91 6.14 5.74 4.93 5.36 5.99 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 34,186,568 4.8 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)34,186,568 4.8 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 70,048,234 9.9 0.00 0.00 0.00 0.56 2.59 6.52 N/A N/A N/A 7.51 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)37,440,076 5.3 0.00 0.00 0.00 0.42 2.21 6.36 8.00 10.15 11.89 6.21 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)19,343,114 2.7 0.00 0.00 0.00 -0.71 1.43 6.20 7.79 10.06 N/A 10.78 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
JPM Euro Property 61,917 0.0 0.00 0.00 0.00 -10.37 -13.71 -5.62 -2.65 0.50 -1.67 -2.30 04/01/2009
NCREIF Property Index 0.00 0.00 0.00 0.45 2.00 5.11 6.28 7.98 9.37 7.75
Total Cash Composite 7,454,466 1.1
Cash and Equivalents Account (No fee)3,867 0.0
Private Markets Cash 7,450,599 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 0.00 -10.25 10.03 7.87 8.25 N/A N/A 7.98 08/27/2014
Alidade Capital Fund IV 0.00 0.00 0.00 4.25 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 8.14 N/A N/A N/A 9.20 05/24/2017
AEW Real Estate 0.00 0.00 0.00 3.74 8.50 9.46 N/A N/A N/A 9.34 09/28/2017
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 -15.42 N/A N/A N/A N/A -20.69 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
Alternative 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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