HomeMy WebLinkAboutReports - 2021.01.21 - 34059<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="12/31/2020" Interval="1" />
Investment Performance Review
Period Ending December 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 3.84 12.15 18.40 18.40 14.18 15.22Russell Midcap Index 4.69 19.91 17.10 17.10 11.61 13.40Russell 2000 Index 8.65 31.37 19.96 19.96 10.25 13.26Russell 1000 Growth Index 4.60 11.39 38.49 38.49 22.99 21.00Russell 1000 Value Index 3.83 16.25 2.80 2.80 6.07 9.74Russell 3000 Index 4.50 14.68 20.89 20.89 14.49 15.43MSCI EAFE NR 4.65 16.05 7.82 7.82 4.28 7.45MSCI EM NR 7.35 19.70 18.31 18.31 6.17 12.81Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies12/31/2012/31/1912/31/18U.S. Aggregate 0.14 0.67 7.51 7.51 6.22 1.12 Euro Spot 1.22 1.12 1.15U.S. Corporate Investment Grade 0.44 3.05 9.89 9.89 8.84 1.74 British Pound Spot 1.37 1.33 1.28U.S. Corporate High Yield 1.88 6.45 7.11 7.11 3.58 4.18 Japanese Yen Spot 103.25 108.61 109.69Global Aggregate 1.34 3.28 9.20 9.20 7.43 0.83 Swiss Franc Spot 0.89 0.97 0.98Key Rates12/31/2012/31/1912/31/1812/31/1712/31/16Commodities12/31/2012/31/1912/31/18US Generic Govt 3 Mth 0.06 1.54 2.35 1.38 0.50 Oil 48.52 55.66 49.98US Generic Govt 2 Yr 0.12 1.57 2.49 1.88 1.19 Gasoline 2.25 2.59 2.26US Generic Govt 10 Yr 0.91 1.92 2.68 2.41 2.44 Natural Gas 2.54 2.67 2.85US Generic Govt 30 Yr 1.64 2.39 3.01 2.74 3.07 Gold 1,895.10 1,555.20 1,187.30ICE LIBOR USD 3M 0.24 1.91 2.81 1.69 1.00 Silver 26.41 18.35 16.50Euribor 3 Month ACT/360 (0.55) (0.38) (0.31) (0.33) (0.32) Copper 351.90 283.05 267.40Bankrate 30Y Mortgage Rates Na 2.87 3.86 4.51 3.85 4.06 Corn 484.00 411.25 419.25Prime 3.25 4.75 5.50 4.50 3.75 BBG Commodity TR Idx 166.63 172.00 159.72Source: 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 4.6 19.9 34.6 S22.436.4M 5.0 17.1 35.6 M27.0 30.5 35.5December 31, 2020Index Returns (%)L 2.8 21.0 38.5 L26.5 31.443.8933.3023.6120.7318.4013.4511.0510.750.52-1.76-2.17-33.68-40.0-30.0-20.0-10.00.010.020.030.040.050.0YTD 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 (0.3%)
Total Real Asset (9.5%)
Total Fixed Income Composite (31.0%)
Total Long/Short Equity Composite (5.8%)
Total International Equity (15.8%)
Total Domestic Equity (37.6%)
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 780,489,146 100.0 N/A N/A 100.0 ---
Total Domestic Equity 293,323,940 37.6 10.0 50.0 35.0 -215,275,025 96,920,633 -20,152,739
Total International Equity 122,983,257 15.8 5.0 20.0 15.0 -83,958,799 33,114,573 -5,909,885
Total Long/Short Equity Composite 45,259,975 5.8 0.0 7.5 5.0 -45,259,975 13,276,711 -6,235,518
Total Fixed Income Composite 242,038,995 31.0 10.0 55.0 35.0 -163,990,080 187,230,036 31,132,206
Total Real Asset 74,236,496 9.5 0.0 15.0 10.0 -74,236,496 42,836,876 3,812,419
Total Cash Composite 2,646,484 0.3 0.0 5.0 0.0 -2,646,484 36,377,974 -2,646,484
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 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 (0.3%)
Total Real Asset (9.5%)
Total Fixed Income Composite (31.0%)
Total Long/Short Equity Composite (5.8%)
Total International Equity (15.8%)
Total Small Cap Equity Composite (8.0%)
Total Mid Cap Equity Composite (8.7%)
Total Large Cap Equity Composite (20.8%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 780,489,146 100.0 100.0 -
Total Large Cap Equity Composite 162,582,908 20.8 20.0 -6,485,078
Total Mid Cap Equity Composite 68,249,120 8.7 7.5 -9,712,434
Total Small Cap Equity Composite 62,491,912 8.0 7.5 -3,955,226
Total International Equity 122,983,257 15.8 15.0 -5,909,885
Total Long/Short Equity Composite 45,259,975 5.8 5.0 -6,235,518
Total Fixed Income Composite 242,038,995 31.0 35.0 31,132,206
Total Real Asset 74,236,496 9.5 10.0 3,812,419
Total Cash Composite 2,646,484 0.3 0.0 -2,646,484
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2020
Page 3
November 30, 2020 : $756,834,280 December 31, 2020 : $780,489,146
Allocation
Market Value Allocation
SSgA S&P 500 35,970,019 4.8¢
T. Rowe Price 77,996,715 10.3¢
TimesSquare 19,430,413 2.6¢
Lee Munder (LMCG)26,825,211 3.5¢
Loomis Small Cap 30,986,492 4.1¢
Lazard 42,162,068 5.6¢
Pictet 48,626,810 6.4¢
Berkeley Street 25,334,239 3.3¢
ABS Global 45,259,975 6.0¢
CS McKee 111,811,888 14.8¢
Loomis Fixed Income 83,146,505 11.0¢
Franklin Templeton 34,172,908 4.5¢
Morgan Stanley 37,440,076 4.9¢
JPM Euro Property 65,529 0.0¢
Prudential PRISA II 19,343,114 2.6¢
ValStone Opportunity Fund V 2,193,415 0.3¢
Cash and Equivalents Account 175,158 0.0¢
Private Markets Cash 1,825,616 0.2¢
Walton Street Real Estate 3,100,241 0.4¢
Alidade Capital Fund IV 4,987,308 0.7¢
AEW Real Estate 3,147,875 0.4¢
Churchill Senior Loan Fund 12,114,750 1.6¢
SSgA S&P 500 Equal Weighted Index 42,287,970 5.6¢
Great Lakes SmidCap 16,212,727 2.1¢
Reinhart Partners 15,550,923 2.1¢
Dune Real Estate IV 1,299,851 0.2¢
Hamilton Lane Secondary Fund V LP 1,767,532 0.2¢
Nuance Mid Cap Value 12,587,091 1.7¢
Marathon Distressed Credit Fund LP 590,379 0.1¢
H.I.G. Bayside Loan Opportunity VI -7,232 0.0¢
Portfolio Adv Seconary Agg VI 428,711 0.1¢
Allocation
Market Value Allocation
SSgA S&P 500 37,348,946 4.8¢
T. Rowe Price 81,182,660 10.4¢
TimesSquare 20,635,112 2.6¢
Lee Munder (LMCG)28,751,533 3.7¢
Loomis Small Cap 33,740,379 4.3¢
Lazard 44,712,302 5.7¢
Pictet 50,866,184 6.5¢
Berkeley Street 27,404,771 3.5¢
ABS Global 45,259,975 5.8¢
CS McKee 111,870,411 14.3¢
Loomis Fixed Income 83,690,062 10.7¢
Franklin Templeton 34,363,772 4.4¢
Morgan Stanley 37,992,130 4.9¢
JPM Euro Property 65,529 0.0¢
Prudential PRISA II 19,343,114 2.5¢
ValStone Opportunity Fund V 2,193,415 0.3¢
Cash and Equivalents Account 21,879 0.0¢
Private Markets Cash 2,624,604 0.3¢
Walton Street Real Estate 2,915,546 0.4¢
Alidade Capital Fund IV 4,919,815 0.6¢
AEW Real Estate 2,828,362 0.4¢
Churchill Senior Loan Fund 12,114,750 1.6¢
SSgA S&P 500 Equal Weighted Index 44,051,301 5.6¢
Great Lakes SmidCap 17,689,518 2.3¢
Reinhart Partners 16,896,269 2.2¢
Dune Real Estate IV 1,299,851 0.2¢
Hamilton Lane Secondary Fund V LP 2,017,532 0.3¢
Nuance Mid Cap Value 13,028,221 1.7¢
Marathon Distressed Credit Fund LP -0.0¢
H.I.G. Bayside Loan Opportunity VI -161,081 0.0¢
Portfolio Adv Seconary Agg VI 822,282 0.1¢
Asset Allocation By Manager
Total Fund Composite
As of December 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
12/31/2020
Total Fund Composite 721,474,601 -1,300,301 -16,153,849 -123,922 -4,971 2,883,136 71,113,849 780,489,146
Total Equity Composite 400,546,565 -10,000,000 56,730 --123,922 -3,156 1,151,741 69,939,214 461,567,172
Total Domestic Equity 257,185,254 -10,000,000 ---5,339 -1,579 867,344 45,278,260 293,323,940
Total Large Cap Equity Composite 151,952,674 -10,000,000 ---5,339 -272 319,628 20,316,215 162,582,908
SSgA S&P 500 43,309,403 -10,000,000 ---2,172 --4,041,716 37,348,946
SSgA S&P 500 Equal Weighted Index 37,138,531 ----3,166 --6,915,937 44,051,301
T. Rowe Price 71,504,741 -----272 319,628 9,358,562 81,182,660
Total Mid Cap Equity Composite 56,137,408 -----590 181,034 11,931,269 68,249,120
Nuance Mid Cap Value 11,249,111 -----303 60,601 1,718,812 13,028,221
TimesSquare 17,496,772 -----195 29,717 3,108,818 20,635,112
Great Lakes SmidCap 14,415,082 -----38 37,484 3,236,990 17,689,518
Reinhart Partners 12,976,442 -----55 53,232 3,866,650 16,896,269
Total Small Cap Equity Composite 49,095,172 -----717 366,682 13,030,775 62,491,912
Lee Munder (LMCG)22,171,453 -----222 139,610 6,440,692 28,751,533
Loomis Small Cap 26,923,719 -----495 227,071 6,590,083 33,740,379
Total International Equity 101,523,203 -56,730 --118,583 -1,577 284,397 21,239,087 122,983,257
Lazard 37,701,340 -----1,577 273,371 6,739,168 44,712,302
Pictet 41,413,457 ----61,853 -11,026 9,503,553 50,866,184
Berkeley Street 22,408,405 -56,730 --56,731 --4,996,367 27,404,771
Total Long/Short Equity Composite 41,838,108 ------3,421,867 45,259,975
ABS Global 41,838,108 ------3,421,867 45,259,975
Total Fixed Income Composite 239,461,252 -320,445 ----1,718 1,361,991 1,537,914 242,038,995
Total Domestic Fixed Income 192,963,602 -50,000 ----1,718 1,157,468 1,491,120 195,560,473
CS McKee 111,182,007 -50,000 ----1,161 661,089 78,476 111,870,411
Loomis Fixed Income 81,781,595 -----557 496,379 1,412,644 83,690,062
Total Global Fixed 34,112,455 -----204,523 46,794 34,363,772
Franklin Templeton 34,112,455 -----204,523 46,794 34,363,772
Private Fixed Income 12,385,195 -270,445 ------12,114,750
Churchill Senior Loan Fund 12,385,195 -270,445 ------12,114,750
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2020
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2020
Market Value
10/01/2020
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2020
Total Real Asset 74,176,929 251,741 --153,849 --369,496 -407,821 74,236,496
Total Real Estate 70,215,982 -820,541 --153,849 --369,496 -407,821 69,203,267
Morgan Stanley 37,440,076 -----369,496 182,558 37,992,130
JPM Euro Property 65,529 -------65,529
Prudential PRISA II 19,343,114 -------19,343,114
Alidade Capital Fund IV 5,064,781 -144,966 ------4,919,815
Walton Street Real Estate 3,271,608 -356,062 ------2,915,546
AEW Real Estate 3,147,875 -319,513 ------2,828,362
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 -13,431 ---285,719 -----299,150
Private Investments 3,960,947 1,072,282 ------5,033,229
ValStone Opportunity Fund V 2,193,415 -------2,193,415
Hamilton Lane Secondary Fund V LP 1,767,532 250,000 ------2,017,532
Portfolio Adv Seconary Agg VI -1,438,994 ------1,438,994
Total Cash Composite 7,289,856 10,068,704 1,243,571 -16,000,000 --98 -92 44,543 2,646,484
Cash and Equivalents Account 3,867 14,774,416 1,243,571 -16,000,000 --98 121 1 21,879
Private Markets Cash 7,285,989 -4,705,712 -----214 44,542 2,624,604
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 780,489,146 100.0 3.06 10.42 10.42 10.62 10.62 7.84 9.14 7.60 8.38 8.49 10/01/1986
Total Fund Policy Index 2.84 9.49 9.49 12.49 12.49 8.66 9.56 7.92 8.89 8.98
Total Equity Composite 461,567,172 59.1 5.09 18.20 18.20 14.49 14.49 9.51 11.79 9.24 10.65 9.83 10/01/1986
Total Equity Index 5.06 17.11 17.11 16.63 16.63 10.95 13.11 10.87 12.24 10.28
Total Fixed Income Composite 242,038,995 31.0 0.35 1.21 1.21 6.77 6.77 5.12 4.86 4.18 4.30 6.37 10/01/1986
Total Fixed Income Index 0.38 1.19 1.19 7.86 7.86 5.35 4.52 3.97 3.66 6.20
Total Real Asset 74,236,496 9.5 -0.05 -0.05 -0.05 0.47 0.47 5.88 7.31 9.37 9.59 4.71 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 -0.11 4.46 5.94 8.11 9.73 4.96
Total Cash Composite 2,646,484 0.3
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2020
Page 7
Asset Allocation & Performance
Total Fund Composite
As of December 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 293,323,940 37.6 5.57 18.67 18.67 16.77 16.77 12.01 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 162,582,908 20.8 4.05 14.54 14.54 18.01 18.01 13.59 15.04 12.93 13.97 11.44 07/01/2008
SSgA S&P 500 (1.5 bps)37,348,946 4.8 3.84 12.14 12.14 18.36 18.36 14.18 15.25 12.96 13.93 14.31 10/01/2009
S&P 500 Index 3.84 12.15 12.15 18.40 18.40 14.18 15.22 12.92 13.88 14.25
SSgA S&P 500 Equal Weighted Index (4 bps)44,051,301 5.6 4.17 18.62 18.62 11.74 11.74 N/A N/A N/A N/A 8.93 02/01/2018
S&P 500 Equal Weighted 4.27 18.46 18.46 12.83 12.83 10.44 12.95 10.86 12.66 9.10
T. Rowe Price (25 bps)81,182,660 10.4 4.08 13.54 13.54 20.51 20.51 15.49 16.28 13.90 14.74 14.94 10/01/2009
S&P 500 Index 3.84 12.15 12.15 18.40 18.40 14.18 15.22 12.92 13.88 14.25
Total Mid Cap Equity Composite 68,249,120 8.7 7.01 21.58 21.58 10.18 10.18 7.37 10.92 8.55 10.70 9.53 07/01/2008
Nuance Mid Cap Value (75 bps)13,028,221 1.7 3.51 15.82 15.82 N/A N/A N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index 4.63 20.43 20.43 4.96 4.96 5.37 9.73 8.22 10.49 28.14
TimesSquare (80 bps)20,635,112 2.6 6.20 17.94 17.94 34.37 34.37 21.52 19.25 14.68 15.72 16.77 09/01/2009
Russell Midcap Growth Index 4.80 19.02 19.02 35.59 35.59 20.50 18.66 14.79 15.04 16.76
Great Lakes SmidCap (55 bps)17,689,518 2.3 9.11 22.72 22.72 12.64 12.64 N/A N/A N/A N/A 10.09 05/01/2019
Russell 2500 Index 7.61 27.41 27.41 19.99 19.99 11.33 13.64 10.17 11.97 15.91
Reinhart Partners (65 bps)16,896,269 2.2 8.65 30.21 30.21 5.93 5.93 N/A N/A N/A N/A 8.57 05/01/2019
Russell 2500 Index 7.61 27.41 27.41 19.99 19.99 11.33 13.64 10.17 11.97 15.91
Total Small Cap Equity Composite 62,491,912 8.0 8.10 27.29 27.29 19.20 19.20 12.03 13.25 9.45 11.15 10.91 07/01/2008
Lee Munder (70 bps)28,751,533 3.7 7.18 29.68 29.68 4.35 4.35 4.32 9.54 7.57 9.13 9.03 09/01/2005
Russell 2000 Value Index 7.92 33.36 33.36 4.63 4.63 3.72 9.65 6.25 8.66 6.80
Loomis Small Cap (90 bps)33,740,379 4.3 8.89 25.32 25.32 35.64 35.64 20.47 19.02 13.97 N/A 17.46 09/01/2012
Russell 2000 Growth Index 9.35 29.61 29.61 34.63 34.63 16.20 16.36 12.08 13.48 15.38
Page 8
Asset Allocation & Performance
Total Fund Composite
As of December 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 122,983,257 15.8 5.93 21.21 21.21 10.87 10.87 5.24 9.42 5.83 6.62 4.89 07/01/2008
Total International Equity Index 5.43 17.08 17.08 11.13 11.13 5.38 9.44 5.31 5.57 3.67
Lazard (75 bps)44,712,302 5.7 6.05 18.60 18.60 9.71 9.71 5.78 8.78 5.99 7.39 6.23 09/01/2006
MSCI AC World ex USA 5.43 17.08 17.08 11.13 11.13 5.38 9.44 5.31 5.40 4.64
Pictet (65 bps)50,866,184 6.5 4.65 22.99 22.99 5.70 5.70 2.18 7.35 4.32 5.73 2.24 01/01/2008
MSCI EAFE Index 4.67 16.09 16.09 8.28 8.28 4.79 7.97 4.88 6.00 2.96
Berkeley Street (95 bps)27,404,771 3.5 8.17 22.30 22.30 25.55 25.55 11.79 16.77 9.15 N/A 8.49 11/01/2012
MSCI Emerging Markets Index 7.40 19.77 19.77 18.69 18.69 6.56 13.22 6.56 4.00 6.08
Total Long/Short Equity Composite 45,259,975 5.8 0.00 8.18 8.18 9.24 9.24 5.61 5.13 4.57 4.99 5.08 10/01/2010
ABS Global (100 bps)45,259,975 5.8 0.00 8.18 8.18 9.24 9.24 5.61 5.13 4.93 5.55 5.83 10/01/2010
HFRI FOF: Strategic Index 3.93 10.42 10.42 14.24 14.24 5.63 5.55 4.30 3.83 4.15
Total Domestic Fixed Income 195,560,473 25.1 0.33 1.37 1.37 9.59 9.59 6.20 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)111,870,411 14.3 0.10 0.67 0.67 8.19 8.19 5.73 4.77 4.47 4.24 4.33 02/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.14 0.67 0.67 7.51 7.51 5.34 4.44 4.09 3.84 3.97
Loomis Fixed Income (30 bps)83,690,062 10.7 0.65 2.33 2.33 11.49 11.49 6.84 6.75 5.39 5.77 6.15 04/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.14 0.67 0.67 7.51 7.51 5.34 4.44 4.09 3.84 4.01
Total Global Fixed 34,363,772 4.4 0.56 0.74 0.74 -6.17 -6.17 -0.94 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)34,363,772 4.4 0.56 0.74 0.74 -6.17 -6.17 -0.94 1.08 0.33 1.62 1.92 04/01/2010
JPM Global Government Bond Index 1.19 2.26 2.26 9.68 9.68 4.93 4.62 2.99 2.46 2.98
Page 9
Asset Allocation & Performance
Total Fund Composite
As of December 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 69,203,267 8.9 -0.05 -0.05 -0.05 0.50 0.50 5.70 N/A N/A N/A 7.19 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 -0.11 4.46 5.94 8.11 9.73 5.84
Morgan Stanley (84 bps)37,992,130 4.9 1.47 1.47 1.47 1.90 1.90 6.07 7.59 9.85 11.49 6.25 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -0.11 -0.11 4.46 5.94 8.11 9.73 4.90
Prudential PRISA II (85 bps)19,343,114 2.5 0.00 0.00 0.00 -0.71 -0.71 5.32 6.86 9.33 N/A 10.57 10/01/2011
NCREIF Property Index 0.00 0.00 0.00 0.45 0.45 4.49 5.67 7.60 8.88 8.40
JPM Euro Property 65,529 0.0 0.00 0.00 0.00 -5.14 -5.14 -9.38 -1.54 0.76 -1.11 -1.79 04/01/2009
NCREIF Property Index 0.00 0.00 0.00 0.45 0.45 4.49 5.67 7.60 8.88 7.64
Total Cash Composite 2,646,484 0.3
Cash and Equivalents Account (No fee)21,879 0.0
Private Markets Cash 2,624,604 0.3
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 -10.24 -10.24 7.40 7.55 N/A N/A 7.77 08/27/2014
Alidade Capital Fund IV 0.00 0.00 0.00 4.25 4.25 5.21 N/A N/A N/A 5.06 04/20/2017
Walton Street Real Estate 0.00 0.00 0.00 1.84 1.84 6.98 N/A N/A N/A 8.75 05/24/2017
AEW Real Estate 0.00 0.00 0.00 3.67 3.67 11.19 N/A N/A N/A 8.59 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 0.00 1.21 1.21 4.85 N/A N/A N/A 5.26 12/07/2017
Dune Real Estate IV 0.00 0.00 0.00 -10.67 -10.67 N/A N/A N/A N/A -17.18 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 0.00 N/A N/A N/A N/A N/A N/A 18.89 04/28/2020
Marathon Distressed Credit Fund LP N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 0.00 N/A N/A N/A N/A N/A N/A 0.00 09/29/2020
Portfolio Adv Seconary Agg VI 0.00 N/A N/A N/A N/A N/A N/A N/A N/A 0.00 11/02/2020
Comparative Performance - IRR
Alternative Investments
As of December 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. 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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
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
Oakland County Employees' Retirement System
Asset / Manager Summary - January 21, 2021
Asset Class / Manager MV ($000)%MV ($000)%Add/Reduce
SSgA S&P 5001 $37,349 4.7%$39,516 5.0%$2,167
SSgA S&P 500 EW 1 $44,051 5.6%$39,516 5.0%($4,535)12/31 MV
T. Rowe Price Enhanced 500 $81,783 10.3%$79,031 10.0%($2,752)
TimesSquare Mid Growth $21,051 2.7%$14,818 1.9%($6,233)
Great Lakes Small/Mid Core $18,999 2.4%$14,818 1.9%($4,181)
Reinhart Small/Mid Core $17,916 2.3%$14,818 1.9%($3,098)
Nuance Mid Value $13,233 1.7%$14,818 1.9%$1,585
Loomis, Sayles Small Growth $35,812 4.5%$29,637 3.8%($6,175)
LMCG Small Value $30,432 3.9%$29,637 3.8%($795)
ABS Global L/S Equity1 $45,260 5.7%$39,516 5.0%($5,744)
Total US Equity $345,886 43.8%$316,124 40.0%($29,762)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $46,035 5.8%$39,516 5.0%($6,519)
Pictet Intl Equity1 $50,862 6.4%$39,516 5.0%($11,346)
Berkley Street Emerging Mkts.1 $28,772 3.6%$19,758 2.5%($9,014)
Total Intl Equity $125,669 15.9%$98,789 12.5%($26,880)
CS McKee Core Fixed $110,820 14.0%$129,062 16.3%$18,242
Loomis, Sayles Core Plus $82,996 10.5%$79,031 10.0%($3,965)
Templeton Global Fixed1 $34,174 4.3%$39,516 5.0%$5,342 Pending Transfer to PIMCO
Churcill Direct Lending1 $12,385 1.6%$15,000 1.9%$2,615 $15MM Commitment
BlackRock Direct Lending1 $0 0.0%$0 0.0%$0 $12MM Commitment
HIG/Marathon Distressed1 $1,633 0.2%$14,000 1.8%$12,367 $7MM Commitment Each
Total Fixed Income $242,008 30.6%$276,609 35.0%$34,601 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $38,028 4.8%$46,710 5.9%$8,682
Prudential PRISA II VA RE1 $19,343 2.4%$15,806 2.0%($3,537)
Private VA Real Estate Funds1,2 $16,515 2.1%$16,515 2.1%$0
Total Real Estate $73,886 9.3%$79,031 10.0%$5,145
Hamilton Lane $2,018 0.3%$9,879 1.3%$7,861 $10MM Commitment
Portfolio Advisors $822 0.1%$9,879 1.3%$9,057 $10MM Commitment
Total Private Equity $2,840 0.4%$19,758 2.5%$16,918
Cash Account $22 0.0%$0 0.0%($22)
Total Fund $790,311 100.0%$790,311 100.0%$0
Market values from Northern Trust as of 12/31/20.
1. Market values not updated daily by Northern Trust.
2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, JPM European Property Fund, Valstone and Walton Street.
Other Assets / Basket Clause $62,118 7.9%$88,273 11.2%15% Target / Includes ABS, Churchill, HIG, Marathon, HL, and PA
12/31 MV
Current Allocation Target Allocation
Comments
Included in Other Assets allocation
Target Allocation = 20% target less Churchill.
Target Allocation = 10% RE target less VA mgrs.