HomeMy WebLinkAboutReports - 2021.03.18 - 34202<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="12/31/2020" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending December 31, 2020
Oakland County ERS
Defined Benefit Plan
Executive Summary Page 1
Asset Allocation Vs. Policy Targets Page 14
Asset Allocation Pie Charts Page 16
Historical Asset Allocation Page 18
Financial Reconciliation Page 20
Performance Review Trailing Periods Page 23
Comparative Performance IRR Page 27
Total Fund Analysis Page 29
SSgA S&P 500 Page 31
SSgA S&P 500 Equal Weighted Page 33
T. Rowe Price Page 35
TimesSquare Page 39
Lee Munder -LMCGl Page 43
Loomis Small Cap Page 45
Lazard Page 47
Pictet Page 49
Berkeley Street Page 51
ABS Global Page 53
CS McKee Page 55
Loomis Fixed Income Page 57
Franklin Templeton Page 59
Morgan Stanley Page 61
Prudential PRISA II Page 63
Benchmark History Page 65
Definitions & Disclosure Pages Page 69
Table Of Contents
EXECUTIVE SUMMARY: 4Q 2020
Market Summary:
Global equity markets pulled back in October, generated some amazing results in November, and performed nicely in December, closing out 2020
at new record highs. The performance of the capital markets during the fourth quarter was astonishing, capping a year many are happy to put in
the past. The markets were driven by positive economic data, additional stimulus package negotiations, and positive news on multiple COVID
vaccines. The S&P 500 rose 12.1% for the quarter and 18.4% for the year. Small cap stocks (Russell 2000 Index) gained an astonishing 31.4%
for the quarter, ending the year up 20.0%. International markets participated as well, with the MSCI EAFE gaining 16.0% for the quarter and
7.8% for the year.Emerging markets fared even better, gaining 19.7% in the fourth quarter and 18.3% in 2020.
The fixed income market also provided impressive returns, though notably lower than the equity markets.Core fixed income, as measured by the
Bloomberg Barclays Aggregate Bond Index, appreciated 0.7% for the quarter and 7.5% for the year.High yield had an impressive recovery after
suffering large losses in the first quarter, gaining 6.5% in the fourth quarter and 7.1% in 2020. However, forecasted returns for the asset class are
muted; a shining example would be the 10-year Treasury ending the year with a yield of 91 basis points.Looking back at 2020 we can breathe a
collective sigh of relief from an INVESTMENT standpoint, 2020 was a solid year for investors.
Conclusions/Recommendations:
1.The Total Fund gained 11.00%during the quarter,exceeding the Policy Index and ranking in the top third of the public fund universe. The
Fund benefited from strong results from the equity and real asset allocations.
2.The Total Fund was up 11.20%over the past year, trailing the Policy Index and ranking in the bottom half of the peer group. Longer-term, the
Fund narrowly trails the Policy Index and ranks near the median fund in the universe.
3.SSgA S&P 500 Equal Weighted enjoyed a relatively strong quarter, out performing the traditional index by over 6% and ranking near the top of
the peer group. The strategy was aided by an underweight to mega cap stocks. Longer term, the strategy has lagged expectations.
4.Nuanced struggled this quarter, under performing their benchmark and ranking in the bottom quartile of the Mid Cap Value universe. The
manager’s poor results are partially attributed to an overweight to Consumer Staples and poor stock selection with Real Estate. Nuance trails
performance expectation after 2 quarters.
5.Pictet rebounded this quarter, out performing the MSCI EAFE Index and ranking near the top of their universe. The manager benefited from
strong stock selection, particularly within Europe and the Industrials and Communication Services sectors. Longer-term, Pictet trails
performance expectations, but has narrowed the gap with this quarter’s strong results.
6.Several of the newer alternative managers have strong performance during their first year; Hamilton Lane, Marathon, and Portfolio Advisors
(PA) have posted double digit returns in their first couple of quarters.
7.At quarter end all allocations were within policy ranges and near target allocations. Alidade, AEW, Dune, and HIG have not reported 4Q
results in time for this report.
8.See the Asset/Manager Summary for additional comments and recommendations.
Page 1
AndCo
Firm Update
As we start this new year,and on behalf of our entire AndCo family,Thank You for
the opportunity to continue to serve you!I’m sure most of us are ready to turn the
page on 2020 and all of the unique “firsts”we had to deal with –social distancing,
masks,quarantining,and virtual meetings just to name a few.While 2020 definitely
introduced new features into our daily routines,one constant remained the same at
AndCo,our unwavering commitment to serve you within a model that is independent,
singularly focused,customized,and passionately delivered.We take our role as your
consultant and trusted advisor earnestly and will continue to work hard to maintain
your trust and confidence in this unique and dynamic time.We are honored and
privileged you have chosen AndCo as your consultant and we wanted to provide a
brief update on the firm.
As we start 2021,we are 91 team members strong advising approximately $100
billion in client assets –both around record highs.All departments within AndCo have
grown over the years as we thoughtfully invest in our firm to provide the services you
expect and we demand from our team.
Looking back at 2020,it represented another year of significant investment in the
organization.We made personnel and technology investments within consulting,
research,client solutions,compliance,finance,IT and marketing.We created an
intranet for our team members to efficiently and effectively stay connected within the
organization to collectively serve you,our valued clients,and our team members
better.We continued enhancing our research team with two new hires in the
department who have significant experience and tailored skillsets in certain asset
classes.We added additional management within our client solutions department to
provide more support and structure to the team.We also restructured our marketing
department to enhance the quality of our deliverables and further promote the AndCo
brand.While 2020 was a busy year for AndCo in terms of reinvesting and enhancing
our structure,please know we are not done.We are strong believers that if you are
not evolving,adapting and moving forward,you will get left behind.In the service
business,that would mean our clients would not get the service they expect or
deserve and that does not work for AndCo.As we budget for 2021 and continue to
reinvest in our organization,you’ll likely see additional hires made firmwide along
with continued investments in technologies.All of these efforts are to better serve
you!
Every January our firm hosts our firmwide retreat in Central Florida.It is a great time
for everyone in the firm to spend time with one another.Along with this valuable time
together we also review how the firm did strategically the previous year,renew our
goals and initiatives for the upcoming year,and conduct activities and discussions to
strengthen our culture.Due to the pandemic,we did not hold our firmwide retreat in
person this year.
However,we did utilize our new intranet to provide a series of virtual firm updates
where we covered many of the topics we normally present in person.While we
cannot replace being physically together for several days,we were thrilled to have a
virtual venue to provide this valuable information to our team and demonstrate new
ways for us to stay connected during this unique time.
At the beginning of each year we also discuss the AndCo partnership,and when
earned,announce new partners.This year I am happy to report two new team
members made partner at AndCo -Jacob Peacock and Dan Osika.Jacob has been
with the firm for almost 9 years and is currently a Consulting Director.Dan has been
with AndCo for 6 years and has held multiple roles at the firm.Today Dan serves as
a Marketing Consultant in our marketing department.We are extremely happy for
both Jacob and Dan and are very lucky to have them as valuable team members.
With the additions of Jacob and Dan,we now have 11 partners at AndCo with the
majority of departments represented.We are looking to create a multigeneration
employee-owned and employee-managed organization with our equity program.
This will allow us to protect our mission,vision and values going forward as well as
our commitment to serve you the best we possibly can.
In closing,our name,AndCo,reminds us who we work for every day -“Our Client”
&Co.You,our clients,will always be our first priority.As we continue to discuss
strategic decisions and reinvestments regarding our firm,please know that our
decisions are filtered through the following question:“How does this benefit our
clients?”If it doesn’t benefit you,we don’t do it,it’s that simple.We said this last year
and we’ll say it again next year.If this commitment ever falters,you need to find a
new consultant.
We know that each of our clients is facing many challenges and we will be there to
help support you through all environments.We are honored and humbled that you
have chosen AndCo as your partner.We do not take that relationship for granted and
will continue to work tirelessly to exceed your expectations.
Thank you again for your valued partnership and the opportunity to serve you.Happy
New Year!
Mike Welker,CFA
CEO
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4th Quarter 2020 Market EnvironmentPage 4
Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of December 31, 2020Investment market index returnswere broadly positive during the 4thquarter of2020 except for the US Government bond benchmark. Performance during theperiod was largely driven by expectations related to the rollout of vaccines totreat the pandemic, the resolution of the US Presidential election, and thepotential for additional government stimulus. Within domestic equity markets,there was a reversal in a recent trend with small cap stocks outperforminglarge cap issues. The Russell 2000 returned 31.4% compared to a 12.1%return for the S&P 500. This was the small cap benchmark’s single strongestquarterly return since its inception in 1979. US equity markets ended 2020 withrobust positive performance despite continued uncertainty associated withpandemic and slower than expected vaccine rollouts. For the full year,performance for domestic equities was strong across the capitalizationspectrum with large cap stocks returning 18.4%, mid-caps 17.1%, and smallcaps 20.0%.Similar to domestic stocks, international equity returns were strong during the4thquarter of 2020. International markets also benefited from the release ofvaccines in addition to monetary policy relief from the European Central Bank.International returns were also amplified by a weakening US dollar whichcontinued its decline against most major currencies. Emerging marketsoutperformed developed markets for the period with the MSCI EmergingMarkets Index returning 19.7% compared to a return of 16.0% for the MSCIEAFE Index. Developed markets posted a modest return of 7.8% over the 1-year period while emerging markets returned a stronger 18.3%.Fixed income index performance was disparate during the 4thquarter.Corporate bonds performed well during the period as evidenced by the 3.0%return of the Bloomberg Barclays Corporate Investment Grade Index. Incontrast, the Bloomberg Barclays US Government Bond Index returned -0.8%and was negatively affected by rising US interest rates. TIPS continued tooutpace nominal bonds over concerns about rising US inflation and posted areturn of 1.6% for the period. For the year, bonds posted solid returns acrossmost sectors led by TIPS and Corporate bonds which returned 11.0% and9.9%, respectively. For the year, the benchmark Bloomberg Barclays USAggregate Bond Index returned a solid 7.5%.0.7%9.9%3.9%11.0%7.9%7.5%20.0%17.1%21.0%20.9%18.4%18.3%7.8%10.7%0.0% 5.0% 10.0% 15.0% 20.0% 25.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUS1-Year Performance0.0%3.0%0.2%1.6%-0.8%0.7%31.4%19.9%13.7%14.7%12.1%19.7%16.0%17.0%-5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUSQuarter PerformancePage 5
Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of December 31, 2020Despite 2020 experiencing one of the most dramatic drawdowns in history, USequities managed to recover all of their losses and closed the year deliveringthree straight quarters of strong gains across the capitalization and stylespectrum. During the 4thquarter, value stocks reversed the recent trend andoutperformed growth stocks across the full capitalization spectrum. It isimportant to note, value indexes contain large exposures to sectors like energyand financials which performed well during the 4thquarter. For the period, theRussell 2000 Value Index was the best performing style index with a return of33.4% (also a record for the index). This performance was followed by midand large cap value index returns of 20.4% and 16.3%, respectively. Whileslightly lower relative to their value counterparts, growth style benchmarkswere also strong for the quarter with the small cap growth index returning29.6% while mid and large cap growth stocks posted returns of 19.0% and11.4%, respectively.Despite the 4thquarter’s trend reversal, for the full year, growth-oriented stockssignificantly outperformed value stocks across all market capitalizations witheach growth benchmark posting returns in excess of 30.0%. The widestperformance dispersion between growth and value for the year was in thelarge cap space with the Russell 1000 Growth Index returning 38.5%, whichoutpaced the large cap value benchmark by more than 35.0%. A combinationof factors drove the performance of growth stocks during the year includinginvestors seeking companies with the ability to growth revenues, structuralshifts in the economy related to technologies, and momentum.29.6%31.4%33.4%19.0%19.9%20.4%11.4%13.7%16.3%12.4%14.7%17.2%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series34.6%20.0%4.6%35.6%17.1%5.0%38.5%21.0%2.8%38.3%20.9%2.9%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 6
Sector performance was positive across all eleven large cap economic sectorsfor the 4thquarter. However, only five sectors outpaced the return of thebroader Russell 1000 Index. The positive news surrounding the release ofCOVID-19 vaccines provided the catalyst for cyclical sectors to rebound asexpectations for economic growth improved. The best performing sectors forthe quarter were energy, financials, and industrials with returns of 28.1%,23.8%, and 16.9%, respectively.Over the trailing 1-year period, seven of the eleven large cap sectors producedpositive results. Performance was led by the consumer discretionary andtechnology sectors which delivered returns of 47.9% and 46.5%, respectively.In a sign of narrow leadership, only three of the eleven sectors exceeded thereturn of the broad benchmark over the full year. In contrast to the strongpositive performance in some sectors, four sectors that disappointed for theyear were energy (-33.3%), real estate (-4.6%), financials (-2.1%), and utilities(-0.1%). The significant drawdown in energy prices earlier in the yearcombined with declining commercial real estate prices put downward pressureon these sectors. Finally, the staggering dispersion between the bestperforming (consumer discretionary) and worst-performing (energy) sectors inthe large cap benchmark was in excess of 81.0% for the year.Quarterly results for small cap sectors were higher than their respective largecapitalization counterparts. All eleven sectors posted positive returns for theperiod with six of eleven outpacing the Russell 2000 Index return. Similar tolarge caps, economically sensitive sectors such as energy (45.6%), materials(39.7%), technology (37.6%), and financials (34.7%) drove results. Sectorperformance was largely attributable to rising commodity prices, a continueddecline in the US dollar, and expectations that global economic growth wouldaccelerate following the rollout of vaccines.Over the trailing 1-year period, despite the strong broad market results, sectorreturns were more mixed. Negative sector performance was realized in energy(-34.4%), real estate (-5.8%), financials (-4.0%), and utilities (-2.1%). Much ofthe year’s negative results were seen following the drawdown experiencedduring the 1stquarter in the initial reaction to the pandemic. In contrast, thehealthcare sector delivered strong results (47.1%) for the period as investorslooked for opportunities to invest in companies with the potential to developtherapeutics and treatments for COVID-19.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of December 31, 2020Source: Morningstar DirectAs a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. -0.1%-4.6%19.4%46.5%12.0%16.5%-2.1%-33.3%10.8%47.9%25.9%7.0%7.6%15.4%13.2%16.9%8.5%23.8%28.1%6.6%13.5%15.2%-40.0% -20.0% 0.0% 20.0% 40.0%Utilities (2.9%)Real Estate (3.1%)Materials (2.7%)Info Technology (27.7%)Industrials (8.8%)Health Care (13.9%)Financials (9.9%)Energy (2.0%)Consumer Staples (6.4%)Consumer Disc (12.2%)Comm Services (10.4%)Russell 1000Quarter1-Year-2.1%-5.8%16.4%37.6%23.8%47.1%-4.0%-34.4%25.2%32.4%5.4%21.3%22.5%39.7%37.6%32.3%31.1%34.7%45.6%23.0%26.7%31.8%-40.0% -20.0% 0.0% 20.0% 40.0% 60.0%Utilities (3.3%)Real Estate (6.5%)Materials (4.1%)Info Technology (13.6%)Industrials (15.3%)Health Care (20.8%)Financials (15.6%)Energy (1.9%)Consumer Staples (3.4%)Consumer Disc (13.3%)Comm Services (2.3%)Russell 2000Quarter1-YearPage 7
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of December 31, 2020Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 6.03% 14.8% 82.3% Information Technology Penn National Gaming Inc 0.54% 18.8% 237.9% Consumer DiscretionaryMicrosoft Corp 4.69% 6.0% 42.5% Information Technology Caesars Entertainment Inc 0.54% 32.5% 24.5% Consumer DiscretionaryAmazon.com Inc 3.89% 3.4%76.3% Consumer Discretionary Plug Power Inc 0.51% 152.9% 973.1% IndustrialsFacebook Inc A 1.85% 4.3% 33.1% Communication Services Sunrun Inc 0.42%-10.0% 402.4% IndustrialsTesla Inc 1.50% 64.5% 743.4% Consumer Discretionary Mirati Therapeutics Inc 0.38% 32.3% 70.4% Health CareAlphabet Inc A 1.48% 19.6% 30.9% Communication Services Darling Ingredients Inc 0.37% 60.1% 105.4% Consumer StaplesAlphabet Inc Class C 1.43% 19.2% 31.0% Communication Services Ultragenyx Pharmaceutical Inc 0.35% 68.4% 224.1% Health CareBerkshire Hathaway Inc Class B 1.23% 8.9% 2.4% Financials Deckers Outdoor Corp 0.32% 30.3%69.8% Consumer DiscretionaryJohnson & Johnson 1.17%6.5% 10.9% Health Care II-VI Inc 0.31% 87.3% 125.6% Information TechnologyJPMorgan Chase & Co 1.08% 33.2% -5.5% Financials Arrowhead Pharmaceuticals Inc 0.31% 78.2% 21.0% Health CareTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorNordstrom Inc 0.01% 161.8% -22.7% Consumer Discretionary FuelCell Energy Inc 0.13% 422.0% 345.0% IndustrialsCoty Inc Class A 0.01% 160.0% -36.9% Consumer Staples Silvergate Capital Corp Class A 0.05%416.0% 367.1% FinancialsLemonade Inc Ordinary Shares 0.00% 146.4% N/A Financials Magnite Inc 0.13% 342.2% 276.3%Consumer DiscretionaryCapri Holdings Ltd 0.02% 133.3% 10.1% Consumer Discretionary SM Energy Co 0.03% 287.3% -44.9% EnergyKohl's Corp 0.02% 119.6% -16.8% Consumer Discretionary Solid Biosciences Inc 0.01% 273.4% 70.3% Health CareEnphase Energy Inc 0.05% 112.5% 571.5% Information Technology Five Prime Therapeutics Inc 0.02% 261.9% 270.6% Health CareSpirit AeroSystems Hldgs Inc Class A 0.01% 106.8% -46.3% Industrials Arvinas Inc 0.12% 259.7% 106.7% Health CareOlin Corp 0.01% 100.3% 50.6% Materials Beam Therapeutics Inc 0.13% 231.6% N/A Health CareTapestry Inc 0.02% 98.8% 17.0% Consumer Discretionary Veru Inc 0.02% 230.2% 158.2% Consumer StaplesEaton Vance Corp 0.02% 90.9% 60.5% Financials Clean Energy Fuels Corp 0.04% 216.9% 235.9% EnergyBottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorZoom Video Communications Inc 0.16% -28.2% 395.8% Information Technology Aprea Therapeutics Inc 0.00% -79.6% -89.3% Health CareSolarWinds Corp Ordinary Shares 0.00% -26.5% -19.4% Information Technology Brainstorm Cell Therapeutics Inc 0.00% -73.3% 5.7% Health CareBeyond Meat Inc 0.02% -24.7%65.3% Consumer Staples Catabasis Pharmaceuticals Inc 0.00% -65.4% -63.8% Health CareBigCommerce Hldgs Inc Ord. Series 1 0.00%-23.0% N/A Information Technology Assembly Biosciences Inc 0.01% -63.2% -70.4% Health CareWayfair Inc Class A 0.04% -22.4% 149.9% Consumer Discretionary Ovid Therapeutics Inc 0.00% -59.8% -44.3% Health CareGlobal Blood Therapeutics Inc 0.01% -21.5% -45.5% Health Care AMC Entertainment Hldgs Inc Class A 0.01% -55.0% -70.5% Communication ServicesVroom Inc Ordinary Shares 0.00% -20.9% N/A Consumer Discretionary Aytu BioScience Inc 0.00% -49.7% -38.5% Health CareJamf Holding Corp Ordinary Shares 0.00% -20.4% N/A Information Technology Cyclerion Therapeutics Inc Ord. Shrs. 0.00% -49.7% 12.5% Health Carebluebird bio Inc 0.01% -19.8% -50.7% Health Care iBio Inc 0.01% -48.3% 321.7% Health CareQuidel Corp 0.02% -18.1% 139.4% Health Care Vaxcyte Inc Ordinary Shares 0.02% -46.2% N/A Health CarePage 8
Source: MSCI Global Index Monitor (Returns are Net)Broad international equity returns were positive in both local currency andUSD terms for the 4thquarter. Much like US equity markets, the internationalmarkets were positively impacted by the announcement and release ofCOVID-19 vaccines and benefited fromadditional monetary stimulus. The USdollar continued its year-to-date decline against most major currencies throughthe period which acted as a tailwind for US investor returns.For the 4thquarter, developed market equities were positive in both USD andlocal currency terms with the MSCI EAFE Index returning 16.1% and 11.4%,respectively. Despite several European countries reporting rising infectionrates, expectations for continued economic growth and continued coordinatedcentral bank policies, drove markets higher. In particular, the European Unionapproved a 1.8 trillion-euro financial package while the European Central Bankincreased its asset purchases from 500 billion euros to 1.85 trillion euros withthe goal of providing support to the markets and stimulating growth.Relative to developed markets, emerging markets significantly outperformedduring the quarter as investors anticipated future economic growth wouldbenefit companies in these markets. The MSCI Emerging Market Indexreturned 19.7% in USD and 16.0% in local currency terms. The relativeoutperformance in emerging markets was largely driven by Latin Americancountries, specifically Colombia, which posted an outsized return of 48.7%during the quarter. The recovery in oil prices also contributed to the region’soutperformance as several Latin American countries (Brazil, Mexico, andColumbia) are highly sensitive to commodity price fluctuations.The trailing 1-year returns for international developed market equities werebroadly positive across regions and currencies. Returns were higher in USdollar terms as the currency weakened against most major developed marketcurrencies on concerns surrounding monetary stimulus, growth in the US debt,and uncertainty regarding the contested US election. For the period, the MSCIEAFE Index returned 7.8% in US dollar terms and 0.8% in local currencyterms.During the trailing 1-year period, emerging markets posted strong returns inboth US dollar and local currency terms. The MSCI Emerging Markets Indexrose 18.3% in US dollar and 19.1% in local currency terms. Within the index,Asian countries outperformed as evidenced by the EM Asia component, whichrose 28.4% US dollar terms. These countries have excelled in containing thepandemic which has led to faster local recoveries.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As December 31, 202023.9%16.2%10.3%16.0%13.2%10.3%11.4%11.1%12.6%34.8%18.9%16.3%19.7%16.7%15.7%16.1%15.9%17.0%0.0% 10.0% 20.0% 30.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)Quarter PerformanceUSDLocal Currency2.3%25.5%-1.3%19.1%6.2%-2.1%0.8%1.1%6.0%-13.8%28.4%-6.9%18.3%11.9%5.5%7.8%7.6%10.7%-20.0% -10.0% 0.0% 10.0% 20.0% 30.0%EM Latin Amer (6)EM Asia (9)EM EMEA (11)Emerging Mkt (26)Pacific (5)Europe & ME (16)EAFE (21)WORLD x US (22)AC World x US (48)1-Year PerformanceUSDLocal CurrencyPage 9
The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of December 31, 2020Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. MSCI - EAFE Sector Weight Quarter Return 1-Year ReturnCommunication Services 5.2% 16.4% 12.6%Consumer Discretionary 12.5% 22.4% 15.8%Consumer Staples 10.9% 6.9% 5.7%Energy 3.1% 31.2% -27.5%Financials 16.3% 25.4% -3.9%Health Care 12.9% 4.0% 11.4%Industrials 15.2% 15.8% 10.9%Information Technology 8.9% 16.9% 28.4%Materials 7.9% 20.1% 20.6%Real Estate 3.1% 14.9% -6.9%Utilities 3.9% 13.6% 14.2%Total 100.0% 16.1% 7.8%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.1% 13.7% 18.9%Consumer Discretionary 13.8% 15.9% 22.9%Consumer Staples 8.9% 8.5% 6.7%Energy 4.3% 22.5% -23.5%Financials 18.0% 24.7% -4.5%Health Care 9.6% 6.2% 15.4%Industrials 11.6% 16.2% 10.8%Information Technology 12.7% 24.7% 45.4%Materials 8.1% 20.0% 21.2%Real Estate 2.6% 12.6% -9.8%Utilities 3.3% 14.4% 9.4%Total 100.0% 17.0% 10.7%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 11.6% 11.6% 27.5%Consumer Discretionary 18.3% 7.6% 36.7%Consumer Staples 5.9% 16.7% 10.7%Energy 5.0% 14.9% -15.4%Financials 18.0% 24.4% -8.2%Health Care 4.7% 19.2% 52.8%Industrials 4.3% 21.3% 5.0%Information Technology 20.5% 34.2% 60.1%Materials 7.6% 29.8% 24.8%Real Estate 2.1% 6.1% -16.9%Utilities 2.0% 21.1% -5.2%Total 100.0% 19.7% 18.3%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 25.3% 15.8% 15.3% 14.5%United Kingdom 14.0% 8.8% 16.9% -10.5%France 11.1% 6.9% 20.4% 4.1%Switzerland 9.7% 6.0% 8.2% 11.6%Germany 9.4% 5.9% 11.5% 11.6%Australia 7.1% 4.4% 22.9% 8.7%Netherlands 3.9% 2.4% 18.4% 24.2%Sweden 3.4% 2.1% 14.4% 23.9%Hong Kong 3.3% 2.0% 15.5% 5.8%Denmark 2.5% 1.6% 14.0% 43.7%Spain 2.4% 1.5% 27.7% -4.8%Italy 2.4% 1.5% 22.4% 1.8%Finland 1.1% 0.7% 10.1% 20.4%Singapore 1.1% 0.7% 18.8% -7.5%Belgium 1.0% 0.6% 18.3% -8.1%Ireland 0.7% 0.4% 13.0% 15.1%Israel 0.6% 0.4% 19.3% 15.0%Norway 0.6% 0.4% 18.8% -1.8%New Zealand 0.3% 0.2% 13.2% 19.9%Austria 0.2% 0.1% 47.3% -3.3%Portugal 0.2% 0.1% 21.6% 14.4%Total EAFE Countries 100.0% 62.5% 16.1% 7.8%Canada 6.3% 13.9% 5.3%Total Developed Countries 68.8% 15.9% 7.6%China 12.2% 11.2% 29.5%Korea 4.2% 38.3% 44.6%Taiwan 4.0% 23.2% 41.0%India 2.9% 21.0% 15.6%Brazil 1.6% 37.0% -19.0%South Africa 1.1% 22.1% -4.0%Russia 0.9% 21.6% -12.5%Saudi Arabia 0.8% 6.5% 0.7%Thailand 0.6% 25.5% -11.7%Mexico 0.5% 31.0% -1.9%Malaysia 0.5% 10.1% 3.7%Indonesia 0.4% 31.8% -8.1%Philippines 0.2% 22.2% -3.4%Qatar 0.2% 2.4% -2.4%Poland 0.2% 16.5% -11.4%Chile 0.2% 28.5% -5.6%United Arab Emirates 0.2% 10.6% -0.9%Turkey 0.1% 30.3% -8.8%Peru 0.1% 29.9% -4.7%Hungary 0.1% 39.2% -11.7%Colombia 0.1% 48.7% -19.0%Argentina 0.0% 21.2% 12.7%Czech Republic 0.0% 34.1% -4.0%Greece 0.0% 16.4% -26.9%Egypt 0.0% -5.0% -22.5%Pakistan 0.0% 7.7% -17.1%Total Emerging Countries 31.0% 19.7% 18.3%Total ACWIxUS Countries 100.0% 17.0% 10.7%Page 10
Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of December 31, 2020During the 4thquarter, lower-quality bonds significantly outpaced higher-quality issues as investors continued to search for higher-yielding assetsand became more comfortable accepting higher risk. For the quarter, thebest performing category was high yield bonds which returned 6.5% and thelaggard was US Treasury bonds which declined -0.8%. Returns of both USHigh Yield and Investment Grade Corporate bonds were driven by risingexpectations of future US economic growth. Global bonds delivered a solidquarter returning 5.1% with results primarily attributable to a weakening USdollar. Finally, US TIPS increased 1.6% as inflation expectations rose duringthe period. During the quarter, the broad Blomberg Barclays US AggregateIndex returned a slim 0.7%. While the return of the index was positive for theperiod, the performance of both US Treasury and mortgage bonds were adrag on results. US interest rates also began to rise during the period whichacted as a general headwind to bond performance. With the duration of thebroad index now over six years, any meaningful rise in interest rates willlikely have a negative impact on future performance.Similar to stocks, over the trailing 1-year period bond markets experiencedstrong results despite some indices suffering significant drawdowns duringthe 1stquarter. Generally, lower-quality bonds outperformed higher-qualityissues for the period, US Corporate Investment Grade bonds still deliveredan equity-like 9.9% return for the year and US Treasury bonds managed asolid return of 8.0%. While High Yield bonds also delivered positive results,the benchmark lagged higher-quality issues due to the 1stquarter’s selloff.For the year, both Investment Grade and High Yield spreads relative to USTreasury bonds narrowed, which provided a boost to non-Treasury results.Finally, US TIPS were the best performing segment of the market rising11.0% for the year on expectations of future inflation resulting fromaccelerating economic growth.For the year, global bonds also performed well. The Bloomberg BarclaysGlobal Aggregate Bond Index returned 10.1%, outpacing the domesticBloomberg Barclays US Aggregate Index’s return of 7.5%. Some of therelative outperformance of global bonds can be attributed to the decline inthe US dollar relative to other currencies. Additionally, US interest ratesbegan to rise later in the year which negatively contributed to performancewhile global Treasury bond rates remained largely steady.3.5%5.1%0.4%0.7%1.6%3.0%0.2%-0.8%6.5%4.0%2.1%1.4%-0.3%-2.0% 0.0% 2.0% 4.0% 6.0% 8.0%Multiverse (7.3)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.2)U.S. TIPS (3.4)U.S. Corporate IG (8.8)U.S. Mortgage (2.3)U.S. Treasury (7.2)U.S. High Yield (3.6)Baa (8.9)A (8.6)AA (8.5)AAA (5.1)Quarter Performance 9.0%10.1%5.6%7.5%11.0%9.9%3.9%8.0%7.1%9.4%9.9%8.5%6.4%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%Multiverse (7.3)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.2)U.S. TIPS (3.4)U.S. Corporate IG (8.8)U.S. Mortgage (2.3)U.S. Treasury (7.2)U.S. High Yield (3.6)Baa (8.9)A (8.6)AA (8.5)AAA (5.1)1-Year PerformancePage 11
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of December 31, 2020Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the yield graph to theright. The “1-Year Trailing Market Rates” chart illustrates that over the lastyear, the US 10-year Treasury (green line) fell from yields of greater than1.5% to a low of roughly 0.5%, before ending the year slightly higher than0.9%. During the year, US interest rates declined significantly following theonset of the pandemic and the response from the US Federal Reserve Bank(Fed) to lower rates back near zero. During the 4thquarter, US interest ratesbegan to rise in anticipation of higher US economic growth. The blue lineillustrates changes in the BAA OAS (Option Adjusted Spread). This measurequantifies the additional yield premium that investors require to purchaseand hold non-Treasury investment grade issues. The line illustrates thedramatic increase in credit spreads during the 1stquarter as global economicgrowth collapsed. Since that time, credit spreads have steadily declined asconcerns over potential widespreaddefaults have subsided. The green bandacross the graph illustrates the Fed Fund Rate. At the beginning of 2020 therate range was 1.50%-1.75% however, as a result of the pandemic, the Fedcut the range to 0.00%-0.25%, where it remained at the end of the 4thquarter. The Fed has indicated a willingness to keep US interest rates lowerin an effort to supply the market with liquidity and help stimulate growth.The lower graph provides a snapshot of the US Treasury yield curve at theend of each of the last four quarters. While short-term US interest rates haveremained largely unchanged throughout the year, longer-term interest ratesbegan moving higher during the 4th quarter. The combination of additionalfiscal stimulus, increased US Treasury issuance, and expectations forincreasing inflation, all contributed tohigher long-term rates. Importantly, theFed has stated that it is comfortable allowing US inflation to exceed its 2%target in the near-term in an effort to achieve a long-term average of 2%inflation. This approach, combined with the need to dramatically increasedebt issuance to supply fiscal stimulus, could result in higher US interestrates as markets normalize.0.000.501.001.502.001 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve3/31/20206/30/20209/30/202012/31/2020-1.50-0.500.501.502.503.504.505.506.50Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-201-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 12
Page Intentionally Left Blank Page 13
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 (9.6%)
Total Fixed Income Composite (31.0%)
Total Long/Short Equity Composite (6.0%)
Total International Equity (15.7%)
Total Domestic Equity (37.4%)
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 784,538,514 100.0 N/A N/A 100.0 ---
Total Domestic Equity 293,323,940 37.4 10.0 50.0 35.0 -214,870,088 98,945,317 -18,735,460
Total International Equity 122,983,257 15.7 5.0 20.0 15.0 -83,756,331 33,924,446 -5,302,479
Total Long/Short Equity Composite 47,450,125 6.0 0.0 7.5 5.0 -47,450,125 11,390,264 -8,223,199
Total Fixed Income Composite 242,975,491 31.0 10.0 55.0 35.0 -164,521,640 188,520,692 31,612,989
Total Real Asset 75,159,218 9.6 0.0 15.0 10.0 -75,159,218 42,521,559 3,294,633
Total Cash Composite 2,646,484 0.3 0.0 5.0 0.0 -2,646,484 36,580,442 -2,646,484
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2020
Page 14
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 (9.6%)
Total Fixed Income Composite (31.0%)
Total Long/Short Equity Composite (6.0%)
Total International Equity (15.7%)
Total Small Cap Equity Composite (8.0%)
Total Mid Cap Equity Composite (8.7%)
Total Large Cap Equity Composite (20.7%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 784,538,514 100.0 100.0 -
Total Large Cap Equity Composite 162,582,908 20.7 20.0 -5,675,205
Total Mid Cap Equity Composite 68,249,120 8.7 7.5 -9,408,732
Total Small Cap Equity Composite 62,491,912 8.0 7.5 -3,651,523
Total International Equity 122,983,257 15.7 15.0 -5,302,479
Total Long/Short Equity Composite 47,450,125 6.0 5.0 -8,223,199
Total Fixed Income Composite 242,975,491 31.0 35.0 31,612,989
Total Real Asset 75,159,218 9.6 10.0 3,294,633
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 15
Asset Allocation By Segment as of
September 30, 2020 : $721,474,601
Asset Allocation By Segment as of
December 31, 2020 : $784,538,514
Allocation
Segments Market Value Allocation
Domestic Equity 253,338,622 35.1¢
International Equity 99,277,485 13.8¢
Domestic Fixed Income 189,442,833 26.3¢
Global Fixed Income 34,112,455 4.7¢
Real Estate 69,632,835 9.7¢
Hedge Fund 41,838,108 5.8¢
Private Equity 16,936,521 2.3¢
Cash Equivalent 16,895,742 2.3¢
Allocation
Segments Market Value Allocation
Domestic Equity 288,772,788 36.8¢
International Equity 120,819,983 15.4¢
Domestic Fixed Income 187,763,838 23.9¢
Global Fixed Income 34,363,772 4.4¢
Real Estate 69,757,398 8.9¢
Hedge Fund 47,450,125 6.0¢
Private Equity 18,614,147 2.4¢
Cash Equivalent 16,996,463 2.2¢
Asset Allocation Summary
Total Fund Composite
As of December 31, 2020
NONE
Page 16
Asset Allocation By Manager as of
September 30, 2020 : $721,474,601
Asset Allocation By Manager as of
December 31, 2020 : $784,538,514
Allocation
Market Value Allocation
CS McKee 111,182,007 15.4¢
Loomis Fixed Income 81,781,595 11.3¢
T. Rowe Price 71,504,741 9.9¢
SSgA S&P 500 43,309,403 6.0¢
ABS Global 41,838,108 5.8¢
Pictet 41,413,457 5.7¢
Lazard 37,701,340 5.2¢
Morgan Stanley 37,440,076 5.2¢
SSgA S&P 500 Equal Weighted Index 37,138,531 5.1¢
Franklin Templeton 34,112,455 4.7¢
Loomis Small Cap 26,923,719 3.7¢
Berkeley Street 22,408,405 3.1¢
Lee Munder (LMCG)22,171,453 3.1¢
Prudential PRISA II 19,343,114 2.7¢
TimesSquare 17,496,772 2.4¢
Great Lakes SmidCap 14,415,082 2.0¢
Reinhart Partners 12,976,442 1.8¢
Churchill Senior Loan Fund 12,385,195 1.7¢
Nuance Mid Cap Value 11,249,111 1.6¢
Private Markets Cash 7,285,989 1.0¢
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¢
ValStone Opportunity Fund V 2,193,415 0.3¢
Hamilton Lane Secondary Fund V LP 1,767,532 0.2¢
Dune Real Estate IV 1,299,851 0.2¢
Marathon Distressed Credit Fund LP 590,379 0.1¢
JPM Euro Property 65,529 0.0¢
Cash and Equivalents Account 3,867 0.0¢
H.I.G. Bayside Loan Opportunity VI -7,232 0.0¢
Portfolio Adv Seconary Agg VI -0.0¢£
Allocation
Market Value Allocation
CS McKee 111,870,411 14.3¢
Loomis Fixed Income 83,690,062 10.7¢
T. Rowe Price 81,182,660 10.3¢
Pictet 50,866,184 6.5¢
ABS Global 47,450,125 6.0¢
Lazard 44,712,302 5.7¢
SSgA S&P 500 Equal Weighted Index 44,051,301 5.6¢
Morgan Stanley 37,992,130 4.8¢
SSgA S&P 500 37,348,946 4.8¢
Franklin Templeton 34,363,772 4.4¢
Loomis Small Cap 33,740,379 4.3¢
Lee Munder (LMCG)28,751,533 3.7¢
Berkeley Street 27,404,771 3.5¢
TimesSquare 20,635,112 2.6¢
Prudential PRISA II 19,614,725 2.5¢
Great Lakes SmidCap 17,689,518 2.3¢
Reinhart Partners 16,896,269 2.2¢
Nuance Mid Cap Value 13,028,221 1.7¢
Churchill Senior Loan Fund 12,344,502 1.6¢
Alidade Capital Fund IV 4,919,815 0.6¢
Walton Street Real Estate 3,036,986 0.4¢
AEW Real Estate 2,828,362 0.4¢
Private Markets Cash 2,624,604 0.3¢
Hamilton Lane Secondary Fund V LP 2,331,907 0.3¢
ValStone Opportunity Fund V 2,173,998 0.3¢
Dune Real Estate IV 1,299,851 0.2¢
Portfolio Adv Seconary Agg VI 895,915 0.1¢£
Marathon Distressed Credit Fund LP 867,825 0.1¢
JPM Euro Property 65,529 0.0¢
Cash and Equivalents Account 21,879 0.0¢
H.I.G. Bayside Loan Opportunity VI -161,081 0.0¢
Asset Allocation Summary
Total Fund Composite
As of December 31, 2020
NONE
Page 17
Asset Allocation Attributes
Dec-2020 Sep-2020 Jun-2020 Mar-2020 Dec-2019
($)%($)%($)%($)%($)%
Total Fund Composite 784,538,514 100.00 721,474,601 100.00 705,251,546 100.00 647,981,995 100.00 763,934,666 100.00
Total Equity Composite 463,757,321 59.11 400,546,565 55.52 396,368,103 56.20 332,451,250 51.31 435,442,945 57.00
Total Domestic Equity 293,323,940 37.39 257,185,254 35.65 250,876,894 35.57 205,070,848 31.65 273,689,503 35.83
Total Large Cap Equity Composite 162,582,908 20.72 151,952,674 21.06 151,056,820 21.42 125,049,513 19.30 159,314,955 20.85
SSgA S&P 500 37,348,946 4.76 43,309,403 6.00 39,759,874 5.64 32,988,836 5.09 41,040,977 5.37
SSgA S&P 500 Equal Weighted Index 44,051,301 5.61 37,138,531 5.15 34,812,293 4.94 28,687,302 4.43 39,437,397 5.16
T. Rowe Price 81,182,660 10.35 71,504,741 9.91 76,484,653 10.85 63,373,375 9.78 78,836,581 10.32
Total Mid Cap Equity Composite 68,249,120 8.70 56,137,408 7.78 53,393,388 7.57 42,758,792 6.60 61,944,948 8.11
iShares Russell Mid Cap Value (IWS)-0.00 -0.00 10,935,248 1.55 -0.00 -0.00
Wedge Capital Partners -0.00 -0.00 -0.00 9,125,522 1.41 14,931,908 1.95
Nuance Mid Cap Value 13,028,221 1.66 11,249,111 1.56 -0.00 -0.00 -0.00
TimesSquare 20,635,112 2.63 17,496,772 2.43 15,975,763 2.27 12,446,528 1.92 15,357,065 2.01
Great Lakes SmidCap 17,689,518 2.25 14,415,082 2.00 13,428,454 1.90 10,600,944 1.64 15,705,181 2.06
Reinhart Partners 16,896,269 2.15 12,976,442 1.80 13,053,923 1.85 10,585,798 1.63 15,950,793 2.09
Total Small Cap Equity Composite 62,491,912 7.97 49,095,172 6.80 46,426,686 6.58 37,262,543 5.75 52,429,600 6.86
Lee Munder (LMCG)28,751,533 3.66 22,171,453 3.07 21,673,792 3.07 18,348,518 2.83 27,553,773 3.61
Loomis Small Cap 33,740,379 4.30 26,923,719 3.73 24,752,893 3.51 18,914,025 2.92 24,875,827 3.26
Total International Equity 122,983,257 15.68 101,523,203 14.07 98,971,903 14.03 84,744,525 13.08 114,380,810 14.97
Lazard 44,712,302 5.70 37,701,340 5.23 35,592,856 5.05 30,831,403 4.76 40,760,952 5.34
Pictet 50,866,184 6.48 41,413,457 5.74 42,457,883 6.02 37,050,738 5.72 51,792,423 6.78
Berkeley Street 27,404,771 3.49 22,408,405 3.11 20,921,163 2.97 16,862,384 2.60 21,827,435 2.86
Total Long/Short Equity Composite 47,450,125 6.05 41,838,108 5.80 46,519,307 6.60 42,635,877 6.58 47,372,632 6.20
ABS Global 47,450,125 6.05 41,838,108 5.80 46,519,307 6.60 42,635,877 6.58 47,372,632 6.20
Total Fixed Income Composite 242,975,491 30.97 240,044,399 33.27 235,915,098 33.45 239,867,886 37.02 246,209,275 32.23
Total Domestic Fixed Income 195,560,473 24.93 192,963,602 26.75 190,447,444 27.00 193,786,985 29.91 197,181,795 25.81
CS McKee 111,870,411 14.26 111,182,007 15.41 110,211,308 15.63 117,678,129 18.16 122,116,111 15.99
Loomis Fixed Income 83,690,062 10.67 81,781,595 11.34 80,236,136 11.38 76,108,856 11.75 75,065,684 9.83
Total Global Fixed 34,363,772 4.38 34,112,455 4.73 34,226,625 4.85 34,379,112 5.31 36,622,276 4.79
Franklin Templeton 34,363,772 4.38 34,112,455 4.73 34,226,625 4.85 34,379,112 5.31 36,622,276 4.79
Historical Asset Allocation
Total Fund
As of December 31, 2020
Page 18
Historical Asset Allocation
Total Fund
As of December 31, 2020
Dec-2020 Sep-2020 Jun-2020 Mar-2020 Dec-2019
($)%($)%($)%($)%($)%
Private Fixed Income 13,051,246 1.66 12,968,342 1.80 11,241,029 1.59 11,701,789 1.81 12,405,204 1.62
Churchill Senior Loan Fund 12,344,502 1.57 12,385,195 1.72 11,241,029 1.59 11,701,789 1.81 12,405,204 1.62
Marathon Distressed Credit Fund LP 867,825 0.11 590,379 0.08 -0.00 -0.00 -0.00
H.I.G. Bayside Loan Opportunity VI -161,081 -0.02 -7,232 0.00 -0.00 -0.00 -0.00
Total Real Asset 75,159,218 9.58 73,593,782 10.20 71,884,091 10.19 70,962,436 10.95 78,709,461 10.30
Total Real Estate 69,757,398 8.89 69,632,835 9.65 68,133,455 9.66 68,848,136 10.63 76,034,885 9.95
Morgan Stanley 37,992,130 4.84 37,440,076 5.19 37,045,887 5.25 37,746,029 5.83 45,518,879 5.96
JPM Euro Property 65,529 0.01 65,529 0.01 61,917 0.01 66,576 0.01 113,676 0.01
Prudential PRISA II 19,614,725 2.50 19,343,114 2.68 19,316,971 2.74 19,855,338 3.06 19,653,114 2.57
Alidade Capital Fund IV 4,919,815 0.63 5,064,781 0.70 4,955,634 0.70 4,323,805 0.67 3,846,298 0.50
Walton Street Real Estate 3,036,986 0.39 3,271,608 0.45 3,180,562 0.45 3,157,731 0.49 3,273,220 0.43
AEW Real Estate 2,828,362 0.36 3,147,875 0.44 2,670,137 0.38 2,649,728 0.41 2,765,427 0.36
Dune Real Estate IV 1,299,851 0.17 1,299,851 0.18 902,348 0.13 1,048,929 0.16 864,272 0.11
Private Investments 5,401,820 0.69 3,960,947 0.55 3,750,636 0.53 2,114,300 0.33 2,674,576 0.35
ValStone Opportunity Fund V 2,173,998 0.28 2,193,415 0.30 2,155,744 0.31 2,114,300 0.33 2,674,576 0.35
Hamilton Lane Secondary Fund V LP 2,331,907 0.30 1,767,532 0.24 1,594,892 0.23 -0.00 -0.00
Portfolio Adv Seconary Agg VI 895,915 0.11 -0.00 -0.00 -0.00 -0.00
Total Cash Composite 2,646,484 0.34 7,289,856 1.01 1,084,254 0.15 4,700,423 0.73 3,572,986 0.47
Cash and Equivalents Account 21,879 0.00 3,867 0.00 792 0.00 756,786 0.12 5,587 0.00
Private Markets Cash 2,624,604 0.33 7,285,989 1.01 1,083,462 0.15 3,943,637 0.61 3,567,398 0.47
Page 19
Financial Reconciliation
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 -180,836 -4,971 2,883,136 75,220,133 784,538,514
Total Equity Composite 400,546,565 -10,000,000 56,730 --123,922 -3,156 1,151,741 72,129,364 463,757,321
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 ------5,612,017 47,450,125
ABS Global 41,838,108 ------5,612,017 47,450,125
Total Fixed Income Composite 240,044,399 -320,445 --153,849 --1,718 1,361,991 2,045,112 242,975,491
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
Financial Reconciliation
Total Fund
1 Quarter Ending December 31, 2020
Page 20
Financial Reconciliation
Total Fund
1 Quarter 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
Private Fixed Income 12,968,342 -270,445 --153,849 ---507,198 13,051,246
Churchill Senior Loan Fund 12,385,195 -270,445 -----229,752 12,344,502
Marathon Distressed Credit Fund LP 590,379 ------277,446 867,825
H.I.G. Bayside Loan Opportunity VI -7,232 ---153,849 -----161,081
Total Real Asset 73,593,782 251,741 ---56,915 -369,496 1,001,114 75,159,218
Total Real Estate 69,632,835 -820,541 ---56,915 -369,496 632,523 69,757,398
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 ----56,915 --328,526 19,614,725
Alidade Capital Fund IV 5,064,781 -144,966 ------4,919,815
Walton Street Real Estate 3,271,608 -356,062 -----121,440 3,036,986
AEW Real Estate 3,147,875 -319,513 ------2,828,362
Dune Real Estate IV 1,299,851 -------1,299,851
Private Investments 3,960,947 1,072,282 -----368,591 5,401,820
ValStone Opportunity Fund V 2,193,415 -------19,417 2,173,998
Hamilton Lane Secondary Fund V LP 1,767,532 250,000 -----314,375 2,331,907
Portfolio Adv Seconary Agg VI -822,282 -----73,633 895,915
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 21
-12.0
-4.0
4.0
12.0
20.0
28.0
36.0
44.0
52.0
60.0
68.0
76.0
Allocation (%)US Equity Global ex-US Equity US Fixed Global ex-US Fixed Alternatives Total Real Estate Cash & Equivalents
Total Fund Composite 37.39 (63)15.68 (49)24.93 (51)4.38 (25)8.40 (54)8.89 (29)0.34 (89)
5th Percentile 62.02 26.25 54.34 7.01 40.43 12.99 7.35
1st Quartile 50.78 19.16 32.21 4.33 18.18 9.12 2.45
Median 42.13 15.60 24.98 2.20 9.25 7.69 1.33
3rd Quartile 31.85 12.01 18.89 0.71 4.62 5.34 0.67
95th Percentile 16.76 6.36 12.04 0.08 1.47 2.35 0.10
Plan Sponsor TF Asset Allocation
Total Fund Composite Vs. All Public Plans-Total Fund
As of December 31, 2020
Page 22
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite (Gross)784,538,514 100.0 11.00 (30)11.00 (30)11.20 (68)11.20 (68)8.03 (69)9.25 (69)7.68 (55)8.44 (48)8.51 (35)10/01/1986
Total Fund Policy Index 9.63 (62)9.63 (62)12.63 (48)12.63 (48)8.71 (49)9.59 (56)7.94 (45)8.90 (28)8.98 (9)
Difference 1.37 1.37 -1.43 -1.43 -0.68 -0.34 -0.26 -0.46 -0.47
All Public Plans-Total Fund Median 10.15 10.15 12.48 12.48 8.61 9.73 7.78 8.32 8.36
Total Fund Composite (Net)784,538,514 100.0 10.97 10.97 11.06 11.06 7.72 8.88 7.42 8.25 8.46 10/01/1986
Total Fund Policy Index 9.63 9.63 12.63 12.63 8.71 9.59 7.94 8.90 8.98
Difference 1.34 1.34 -1.57 -1.57 -0.99 -0.71 -0.52 -0.65 -0.52
Total Equity Composite 463,757,321 59.1 18.77 18.77 15.04 15.04 9.69 11.90 9.32 10.70 9.85 10/01/1986
Total Equity Index 17.11 17.11 16.63 16.63 10.95 13.11 10.87 12.24 10.28
Difference 1.66 1.66 -1.59 -1.59 -1.26 -1.21 -1.55 -1.54 -0.43
Total Fixed Income Composite 242,975,491 31.0 1.42 1.42 7.04 7.04 5.21 4.91 4.22 4.33 6.38 10/01/1986
Total Fixed Income Index 1.19 1.19 7.86 7.86 5.35 4.52 3.97 3.66 6.20
Difference 0.23 0.23 -0.82 -0.82 -0.14 0.39 0.25 0.67 0.18
Total Real Asset 75,159,218 9.6 1.86 1.86 2.23 2.23 6.50 7.68 9.64 9.78 4.86 07/01/2008
NCREIF Fund Index-ODCE (VW)1.30 1.30 1.19 1.19 4.92 6.21 8.32 9.88 5.07
Difference 0.56 0.56 1.04 1.04 1.58 1.47 1.32 -0.10 -0.21
Total Cash Composite 2,646,484 0.3
Asset Allocation & Performance
Total Fund Composite (Gross)
As of December 31, 2020
Page 23
Asset Allocation & Performance
Total Fund Composite (Gross)
As of December 31, 2020
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 293,323,940 37.4
Total Large Cap Equity Composite 162,582,908 20.7 14.54 (36)14.54 (36)18.01 (50)18.01 (50)13.59 (50)15.04 (47)12.93 (41)13.97 (41)11.44 (47)07/01/2008
IM U.S. Large Cap Equity (SA+CF) Median 12.87 12.87 17.78 17.78 13.50 14.64 12.42 13.70 11.34
SSgA S&P 500 (1.5 bps)37,348,946 4.8 12.14 (54)12.14 (54)18.36 (45)18.36 (45)14.18 (40)15.25 (36)12.96 (35)13.93 (39)14.31 (42)10/01/2009
S&P 500 Index 12.15 (52)12.15 (52)18.40 (43)18.40 (43)14.18 (40)15.22 (38)12.92 (37)13.88 (42)14.25 (46)
Difference -0.01 -0.01 -0.04 -0.04 0.00 0.03 0.04 0.05 0.06
IM U.S. Large Cap Core Equity (SA+CF) Median 12.20 12.20 17.25 17.25 13.11 14.46 12.46 13.62 14.04
SSgA S&P 500 Equal Weighted Index (4bps)44,051,301 5.6 18.62 (7)18.62 (7)11.74 (74)11.74 (74)N/A N/A N/A N/A 8.93 (75)02/01/2018
S&P 500 Equal Weighted 18.46 (7)18.46 (7)12.83 (71)12.83 (71)10.44 (75)12.95 (69)10.86 (79)12.66 (77)9.10 (73)
Difference 0.16 0.16 -1.09 -1.09 N/A N/A N/A N/A -0.17
IM U.S. Large Cap Core Equity (SA+CF) Median 12.20 12.20 17.25 17.25 13.11 14.46 12.46 13.62 11.58
T. Rowe Price (25 bps)81,182,660 10.3 13.54 (32)13.54 (32)20.51 (32)20.51 (32)15.49 (19)16.28 (17)13.90 (17)14.74 (22)14.94 (26)10/01/2009
S&P 500 Index 12.15 (52)12.15 (52)18.40 (43)18.40 (43)14.18 (40)15.22 (38)12.92 (37)13.88 (42)14.25 (46)
Difference 1.39 1.39 2.11 2.11 1.31 1.06 0.98 0.86 0.69
IM U.S. Large Cap Core Equity (SA+CF) Median 12.20 12.20 17.25 17.25 13.11 14.46 12.46 13.62 14.04
Total Mid Cap Equity Composite 68,249,120 8.7 21.58 (40)21.58 (40)10.18 (65)10.18 (65)7.37 (72)10.92 (71)8.55 (76)10.70 (83)9.53 (87)07/01/2008
IM U.S. Mid Cap Equity (SA+CF) Median 20.36 20.36 16.00 16.00 10.89 13.51 10.47 12.43 11.29
Nuance Mid Cap Value (75 bps)13,028,221 1.7 15.82 (88)15.82 (88)N/A N/A N/A N/A N/A N/A 13.92 (98)08/01/2020
Russell Midcap Value Index 20.43 (67)20.43 (67)4.96 (55)4.96 (55)5.37 (60)9.73 (67)8.22 (62)10.49 (71)22.36 (66)
Difference -4.61 -4.61 N/A N/A N/A N/A N/A N/A -8.44
IM U.S. Mid Cap Value Equity (SA+CF) Median 21.98 21.98 6.55 6.55 6.19 10.35 8.53 11.13 23.89
TimesSquare (80 bps)20,635,112 2.6 17.94 (68)17.94 (68)34.37 (53)34.37 (53)21.52 (51)19.25 (47)14.68 (54)15.72 (44)16.77 (60)09/01/2009
Russell Midcap Growth Index 19.02 (52)19.02 (52)35.59 (48)35.59 (48)20.50 (57)18.66 (53)14.79 (50)15.04 (54)16.76 (60)
Difference -1.08 -1.08 -1.22 -1.22 1.02 0.59 -0.11 0.68 0.01
IM U.S. Mid Cap Growth Equity (SA+CF) Median 19.23 19.23 35.04 35.04 21.52 18.97 14.76 15.28 17.21
Great Lakes SmidCap (55 bps)17,689,518 2.3 22.72 (86)22.72 (86)12.64 (52)12.64 (52)N/A N/A N/A N/A 10.09 (55)05/01/2019
Russell 2500 Index 27.41 (18)27.41 (18)19.99 (13)19.99 (13)11.33 (15)13.64 (14)10.17 (14)11.97 (15)15.91 (13)
Difference -4.69 -4.69 -7.35 -7.35 N/A N/A N/A N/A -5.82
IM U.S. SMID Cap Core Equity (MF) Median 24.94 24.94 12.76 12.76 7.16 10.53 7.74 9.69 10.79
Reinhart Partners (65 bps)16,896,269 2.2 30.21 (7)30.21 (7)5.93 (78)5.93 (78)N/A N/A N/A N/A 8.57 (66)05/01/2019
Russell 2500 Index 27.41 (18)27.41 (18)19.99 (13)19.99 (13)11.33 (15)13.64 (14)10.17 (14)11.97 (15)15.91 (13)
Difference 2.80 2.80 -14.06 -14.06 N/A N/A N/A N/A -7.34
IM U.S. SMID Cap Core Equity (MF) Median 24.94 24.94 12.76 12.76 7.16 10.53 7.74 9.69 10.79
Page 24
Asset Allocation & Performance
Total Fund Composite (Gross)
As of December 31, 2020
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Small Cap Equity Composite 62,491,912 8.0 27.29 (66)27.29 (66)19.20 (46)19.20 (46)12.03 (40)13.25 (50)9.45 (52)11.15 (63)10.91 (54)07/01/2008
IM U.S. Small Cap Equity (SA+CF) Median 28.89 28.89 16.83 16.83 9.54 13.18 9.66 11.85 11.22
Lee Munder (70 bps)28,751,533 3.7 29.68 (54)29.68 (54)4.35 (54)4.35 (54)4.32 (52)9.54 (54)7.57 (36)9.13 (76)9.03 (38)09/01/2005
Russell 2000 Value Index 33.36 (26)33.36 (26)4.63 (52)4.63 (52)3.72 (58)9.65 (51)6.25 (67)8.66 (85)6.80 (93)
Difference -3.68 -3.68 -0.28 -0.28 0.60 -0.11 1.32 0.47 2.23
IM U.S. Small Cap Value Equity (SA+CF) Median 29.96 29.96 5.34 5.34 4.45 9.67 6.98 9.97 8.68
Loomis Small Cap (90 bps)33,740,379 4.3 25.32 (70)25.32 (70)35.64 (59)35.64 (59)20.47 (52)19.02 (57)13.97 (55)N/A 17.46 (55)09/01/2012
Russell 2000 Growth Index 29.61 (29)29.61 (29)34.63 (60)34.63 (60)16.20 (71)16.36 (68)12.08 (72)13.48 (81)15.38 (76)
Difference -4.29 -4.29 1.01 1.01 4.27 2.66 1.89 N/A 2.08
IM U.S. Small Cap Growth Equity (SA+CF) Median 27.45 27.45 40.18 40.18 21.63 19.46 14.25 15.71 17.77
Total International Equity 122,983,257 15.7 21.21 (21)21.21 (21)10.87 (60)10.87 (60)5.24 (54)9.42 (56)5.83 (59)6.62 (51)4.89 (64)07/01/2008
Total International Equity Index 17.08 (52)17.08 (52)11.13 (59)11.13 (59)5.38 (53)9.44 (56)5.31 (65)5.57 (73)3.67 (86)
Difference 4.13 4.13 -0.26 -0.26 -0.14 -0.02 0.52 1.05 1.22
IM International Equity (SA+CF) Median 17.22 17.22 13.86 13.86 5.60 10.01 6.38 6.67 5.62
Lazard (75 bps)44,712,302 5.7 18.60 (39)18.60 (39)9.71 (64)9.71 (64)5.78 (49)8.78 (64)5.99 (57)7.39 (40)6.23 (50)09/01/2006
MSCI AC World ex USA 17.08 (52)17.08 (52)11.13 (59)11.13 (59)5.38 (53)9.44 (56)5.31 (65)5.40 (75)4.64 (78)
Difference 1.52 1.52 -1.42 -1.42 0.40 -0.66 0.68 1.99 1.59
IM International Equity (SA+CF) Median 17.22 17.22 13.86 13.86 5.60 10.01 6.38 6.67 6.21
Pictet (65 bps)50,866,184 6.5 22.99 (2)22.99 (2)5.70 (83)5.70 (83)2.18 (89)7.35 (71)4.32 (85)5.73 (87)2.24 (94)01/01/2008
MSCI EAFE Index 16.09 (37)16.09 (37)8.28 (65)8.28 (65)4.79 (59)7.97 (59)4.88 (65)6.00 (78)2.96 (79)
Difference 6.90 6.90 -2.58 -2.58 -2.61 -0.62 -0.56 -0.27 -0.72
IM International Large Cap Core Equity (SA+CF) Median 15.57 15.57 10.66 10.66 5.59 8.55 5.75 7.00 3.88
Berkeley Street (95 bps)27,404,771 3.5 22.30 (27)22.30 (27)25.55 (28)25.55 (28)11.79 (16)16.77 (14)9.15 (21)N/A 8.49 (29)11/01/2012
MSCI Emerging Markets Index 19.77 (50)19.77 (50)18.69 (47)18.69 (47)6.56 (48)13.22 (44)6.56 (52)4.00 (69)6.08 (65)
Difference 2.53 2.53 6.86 6.86 5.23 3.55 2.59 N/A 2.41
IM Emerging Markets Equity (SA+CF) Median 19.70 19.70 18.18 18.18 6.21 12.78 6.67 5.10 7.09
Total Long/Short Equity Composite 47,450,125 6.0 13.41 (16)13.41 (16)14.53 (21)14.53 (21)7.28 (30)6.13 (43)5.28 (39)5.48 (55)5.56 (66)10/01/2010
IM Long/Short Equity (MF) Median 7.67 7.67 4.45 4.45 4.58 5.74 4.79 5.60 6.45
ABS Global (100 bps)47,450,125 6.0 13.41 (16)13.41 (16)14.53 (21)14.53 (21)7.28 (30)6.13 (43)5.64 (33)6.05 (38)6.32 (52)10/01/2010
HFRI FOF: Strategic Index 10.78 (24)10.78 (24)14.61 (21)14.61 (21)5.74 (40)5.62 (53)4.35 (54)3.86 (72)4.18 (76)
Difference 2.63 2.63 -0.08 -0.08 1.54 0.51 1.29 2.19 2.14
IM Long/Short Equity (MF) Median 7.67 7.67 4.45 4.45 4.58 5.74 4.79 5.60 6.45
Page 25
Asset Allocation & Performance
Total Fund Composite (Gross)
As of December 31, 2020
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Fixed Income 195,560,473 24.9 1.37 (35)1.37 (35)9.59 (18)9.59 (18)6.20 (27)N/A N/A N/A 4.66 (20)08/01/2016
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.12 1.12 8.56 8.56 5.88 5.04 4.58 4.39 4.27
CS McKee (35 bps)111,870,411 14.3 0.67 (86)0.67 (86)8.19 (61)8.19 (61)5.73 (64)4.77 (69)4.47 (60)4.24 (63)4.33 (69)02/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.67 (84)0.67 (84)7.51 (88)7.51 (88)5.34 (93)4.44 (93)4.09 (94)3.84 (93)3.97 (93)
Difference 0.00 0.00 0.68 0.68 0.39 0.33 0.38 0.40 0.36
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.12 1.12 8.56 8.56 5.88 5.04 4.58 4.39 4.54
Loomis Fixed Income (30 bps)83,690,062 10.7 2.33 (8)2.33 (8)11.49 (3)11.49 (3)6.84 (5)6.75 (3)5.39 (6)5.77 (4)6.15 (2)04/01/2010
Blmbg. Barc. U.S. Aggregate Index 0.67 (84)0.67 (84)7.51 (88)7.51 (88)5.34 (93)4.44 (93)4.09 (94)3.84 (93)4.01 (94)
Difference 1.66 1.66 3.98 3.98 1.50 2.31 1.30 1.93 2.14
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.12 1.12 8.56 8.56 5.88 5.04 4.58 4.39 4.55
Total Global Fixed 34,363,772 4.4 0.74 (98)0.74 (98)-6.17 (100)-6.17 (100)-0.94 (99)N/A N/A N/A 1.37 (99)08/01/2016
IM Global Fixed Income (SA+CF) Median 4.79 4.79 8.42 8.42 5.53 6.16 4.46 4.41 4.96
Franklin Templeton (60 bps)34,363,772 4.4 0.74 (98)0.74 (98)-6.17 (100)-6.17 (100)-0.94 (99)1.08 (100)0.33 (98)1.62 (98)1.92 (99)04/01/2010
JPM Global Government Bond Index 2.26 (87)2.26 (87)9.68 (43)9.68 (43)4.93 (72)4.62 (88)2.99 (89)2.46 (97)2.98 (96)
Difference -1.52 -1.52 -15.85 -15.85 -5.87 -3.54 -2.66 -0.84 -1.06
IM Global Fixed Income (SA+CF) Median 4.79 4.79 8.42 8.42 5.53 6.16 4.46 4.41 4.65
Total Real Estate 69,757,398 8.9 1.45 (58)1.45 (58)1.84 (51)1.84 (51)6.17 (36)N/A N/A N/A 7.52 (N/A)09/01/2016
IM U.S. Open End Private Real Estate (SA+CF) Median 1.63 1.63 1.86 1.86 5.80 6.78 8.96 10.49 N/A
Morgan Stanley (84 bps)37,992,130 4.8 1.47 (57)1.47 (57)1.90 (49)1.90 (49)6.07 (37)7.59 (30)9.85 (29)11.49 (38)6.25 (15)01/01/2008
NCREIF Fund Index-ODCE (VW)1.30 (61)1.30 (61)1.19 (69)1.19 (69)4.92 (68)6.21 (71)8.32 (73)9.88 (73)5.00 (74)
Difference 0.17 0.17 0.71 0.71 1.15 1.38 1.53 1.61 1.25
IM U.S. Open End Private Real Estate (SA+CF) Median 1.63 1.63 1.86 1.86 5.80 6.78 8.96 10.49 5.47
Prudential PRISA II (85 bps)19,614,725 2.5 1.70 (47)1.70 (47)0.98 (72)0.98 (72)5.92 (40)7.22 (45)9.60 (32)N/A 10.77 (37)10/01/2011
NCREIF Property Index 1.15 (69)1.15 (69)1.60 (57)1.60 (57)4.89 (69)5.91 (76)7.77 (88)9.00 (89)8.54 (89)
Difference 0.55 0.55 -0.62 -0.62 1.03 1.31 1.83 N/A 2.23
IM U.S. Open End Private Real Estate (SA+CF) Median 1.63 1.63 1.86 1.86 5.80 6.78 8.96 10.49 9.97
JPM Euro Property 65,529 0.0 0.00 (93)0.00 (93)-5.14 (97)-5.14 (97)-9.38 (100)-1.54 (100)0.76 (100)-1.11 (100)-1.79 (100)04/01/2009
NCREIF Property Index 1.15 (69)1.15 (69)1.60 (57)1.60 (57)4.89 (69)5.91 (76)7.77 (88)9.00 (89)7.75 (76)
Difference -1.15 -1.15 -6.74 -6.74 -14.27 -7.45 -7.01 -10.11 -9.54
IM U.S. Open End Private Real Estate (SA+CF) Median 1.63 1.63 1.86 1.86 5.80 6.78 8.96 10.49 8.65
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 26
Comparative Performance - IRR
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
ValStone Opportunity Fund V -0.89 -0.89 -11.03 -11.03 7.11 7.37 N/A N/A 7.63 08/27/2014
Alidade Capital Fund IV 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 3.95 3.95 5.65 5.65 8.31 N/A N/A N/A 9.97 05/24/2017
AEW Real Estate 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 1.88 1.88 3.11 3.11 5.52 N/A N/A N/A 5.92 12/07/2017
Dune Real Estate IV 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 17.36 17.36 N/A N/A N/A N/A N/A N/A 41.86 04/28/2020
Marathon Distressed Credit Fund LP 46.99 46.99 N/A N/A N/A N/A N/A N/A 83.54 09/10/2020
H.I.G. Bayside Loan Opportunity VI 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 N/A N/A N/A N/A N/A N/A N/A N/A 16.46 11/02/2020
Comparative Performance - IRR
Alternative Investments
As of December 31, 2020
Page 27
Page Intentionally Left Blank Page 28
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Total Fund Composite 11.00 (30)11.00 (30)11.20 (68)14.51 (68)8.03 (69)9.51 (73)9.25 (69)
Total Fund Policy Index 9.63 (62)9.63 (62)12.63 (48)15.48 (54)8.71 (49)9.95 (60)9.59 (56)
Median 10.15 10.15 12.48 15.66 8.61 10.24 9.73
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Return2019 2018 2017 2016 2015
Total Fund Composite 17.92 (59)-3.86 (44)14.09 (70)8.21 (32)1.40 (14)
Total Fund Policy Index 18.40 (53)-3.67 (41)13.76 (75)8.17 (34)0.67 (31)
Median 18.59 -4.15 15.21 7.63 -0.10
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Total Fund Composite 4.28 (81)11.29 (64)-13.67 (59)4.91 (66)0.86 (49)3.10 (65)
Total Fund Policy Index 4.42 (79)11.69 (59)-11.90 (29)4.89 (66)0.92 (43)3.32 (42)
All Public Plans-Total Fund Median 5.20 12.24 -13.21 5.23 0.84 3.24
As of December 31, 2020
Performance Review
Total Fund Composite
NONE
Page 29
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
5.0
10.0
15.0
Total Fund Composite (%)0.0 5.0 10.0 15.0
Total Fund Policy Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Total Fund Composite 20 4 (20%)6 (30%)8 (40%)2 (10%)
Total Fund Policy Index 20 4 (20%)8 (40%)8 (40%)0 (0%)
7.80
8.10
8.40
8.70
9.00
Return (%)10.20 10.40 10.60 10.80 11.00 11.20 11.40 11.60
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite 8.03 10.87
Total Fund Policy Index 8.71 10.46
Median 8.61 11.37¾
9.00
9.20
9.40
9.60
9.80
Return (%)8.2 8.4 8.6 8.8 9.0 9.2 9.4 9.6
Risk (Standard Deviation %)
Return Standard
Deviation
Total Fund Composite 9.25 8.87
Total Fund Policy Index 9.59 8.62
Median 9.73 9.36¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite 1.17 99.02 104.20 -0.89 -0.50 0.61 1.03 7.39
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.69 1.00 6.72
90 Day U.S. Treasury Bill 10.58 5.41 -6.16 1.71 -0.69 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Total Fund Composite 1.16 98.25 100.06 -0.48 -0.25 0.90 1.02 5.89
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.96 1.00 5.42
90 Day U.S. Treasury Bill 8.70 5.06 -5.32 1.28 -0.96 N/A -0.01 0.01
As of December 31, 2020
Performance Review
Total Fund Composite
NONE
Page 30
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 12.14 (54)12.14 (54)18.36 (45)24.75 (43)14.18 (40)16.05 (41)15.25 (36)
S&P 500 Index 12.15 (52)12.15 (52)18.40 (43)24.77 (42)14.18 (40)16.05 (42)15.22 (38)
Median 12.20 12.20 17.25 23.29 13.11 15.62 14.46
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
Return 2020 2019 2018 2017 2016
SSgA S&P 500 18.36 (45)31.49 (34)-4.35 (37)21.86 (50)12.07 (31)
S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (51)11.96 (34)
Median 17.25 30.03 -5.15 21.84 10.54
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
SSgA S&P 500 8.93 (36)20.53 (47)-19.61 (45)9.07 (31)1.70 (42)4.31 (49)
S&P 500 Index 8.93 (36)20.54 (46)-19.60 (44)9.07 (32)1.70 (42)4.30 (51)
IM U.S. Large Cap Core Equity (SA+CF) Median 8.01 20.38 -20.01 8.20 1.51 4.30
Performance Review
As of December 31, 2020
SSgA S&P 500
NONE
Page 31
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
5.0
10.0
15.0
20.0
SSgA S&P 500 (%)0.0 5.0 10.0 15.0 20.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 20 0 (0%)20 (100%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)
12.60
12.96
13.32
13.68
14.04
14.40
Return (%)21.50 21.52 21.54 21.56 21.58 21.60
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 14.18 21.52
S&P 500 Index 14.18 21.52
Median 13.11 21.57¾
14.30
14.56
14.82
15.08
15.34
15.60
Return (%)16.73 16.80 16.87 16.94 17.01 17.08 17.15
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 15.25 16.80
S&P 500 Index 15.22 16.80
Median 14.46 17.06¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.02 100.03 100.04 0.00 0.11 0.72 1.00 12.02
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.72 1.00 12.01
90 Day U.S. Treasury Bill 18.64 3.09 -2.84 1.70 -0.72 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.03 100.08 99.96 0.02 0.84 0.94 1.00 9.61
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.94 1.00 9.60
90 Day U.S. Treasury Bill 15.21 3.01 -2.57 1.26 -0.94 N/A 0.00 0.01
Performance Review
As of December 31, 2020
SSgA S&P 500
NONE
Page 32
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 EW Idx 18.62 (7)18.62 (7)11.74 (74)20.57 (72)N/A N/A N/A
S&P 500 Equal Weighted 18.46 (7)18.46 (7)12.83 (71)20.76 (71)10.44 (75)12.49 (78)12.95 (69)
Median 12.20 12.20 17.25 23.29 13.11 15.62 14.46
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
Return 2020 2019 2018 2017 2016
SSgA S&P 500 EW Idx 11.74 (74)30.10 (50)N/A N/A N/A
S&P 500 Equal Weighted 12.83 (71)29.24 (59)-7.64 (82)18.90 (80)14.80 (13)
Median 17.25 30.03 -5.15 21.84 10.54
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
SSgA S&P 500 EW Idx 6.69 (72)21.36 (33)-27.25 (98)7.72 (67)1.08 (65)3.89 (64)
S&P 500 Equal Weighted 6.75 (72)21.73 (30)-26.70 (96)7.61 (70)0.77 (75)3.72 (68)
IM U.S. Large Cap Core Equity (SA+CF) Median 8.01 20.38 -20.01 8.20 1.51 4.30
Performance Review
As of December 31, 2020
SSgA S&P 500 EW Idx
NONE
Page 33
Page Intentionally Left Blank Page 34
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
T. Rowe Price 13.54 (32)13.54 (32)20.51 (32)26.64 (25)15.49 (19)17.65 (15)16.28 (17)
S&P 500 Index 12.15 (52)12.15 (52)18.40 (43)24.77 (42)14.18 (40)16.05 (42)15.22 (38)
Median 12.20 12.20 17.25 23.29 13.11 15.62 14.46
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
Return 2020 2019 2018 2017 2016
T. Rowe Price 20.51 (32)33.09 (15)-3.96 (30)24.38 (23)10.94 (47)
S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (51)11.96 (34)
Median 17.25 30.03 -5.15 21.84 10.54
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
T. Rowe Price 9.40 (25)20.69 (42)-19.61 (45)9.36 (25)1.63 (45)4.50 (41)
S&P 500 Index 8.93 (36)20.54 (46)-19.60 (44)9.07 (32)1.70 (42)4.30 (51)
IM U.S. Large Cap Core Equity (SA+CF) Median 8.01 20.38 -20.01 8.20 1.51 4.30
Performance Review
As of December 31, 2020
T. Rowe Price
NONE
Page 35
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
5.0
10.0
15.0
20.0
25.0
T. Rowe Price (%)0.0 5.0 10.0 15.0 20.0 25.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
T. Rowe Price 20 16 (80%)4 (20%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)
12.48
13.26
14.04
14.82
15.60
16.38
Return (%)21.51 21.60 21.69 21.78 21.87 21.96 22.05
Risk (Standard Deviation %)
Return Standard
Deviation
T. Rowe Price 15.49 21.89
S&P 500 Index 14.18 21.52
Median 13.11 21.57¾
14.03
14.64
15.25
15.86
16.47
17.08
Return (%)16.65 16.74 16.83 16.92 17.01 17.10 17.19 17.28
Risk (Standard Deviation %)
Return Standard
Deviation
T. Rowe Price 16.28 17.14
S&P 500 Index 15.22 16.80
Median 14.46 17.06¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
T. Rowe Price 1.01 103.18 99.25 0.93 1.21 0.77 1.02 12.17
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.72 1.00 12.01
90 Day U.S. Treasury Bill 18.64 3.09 -2.84 1.70 -0.72 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
T. Rowe Price 1.17 103.43 99.88 0.67 0.84 0.98 1.02 9.79
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.94 1.00 9.60
90 Day U.S. Treasury Bill 15.21 3.01 -2.57 1.26 -0.94 N/A 0.00 0.01
Performance Review
As of December 31, 2020
T. Rowe Price
NONE
Page 36
Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF)
Comparative Performance
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Nuance MCV 15.82 (88)15.82 (88)N/A N/A N/A N/A N/A
Russell MCV Idx 20.43 (67)20.43 (67)4.96 (55)15.49 (61)5.37 (60)7.31 (65)9.73 (67)
Median 21.98 21.98 6.55 16.73 6.19 8.40 10.35
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Return 2020 2019 2018 2017 2016
Nuance MCV N/A N/A N/A N/A N/A
Russell MCV Idx 4.96 (55)27.06 (62)-12.29 (46)13.34 (76)20.00 (45)
Median 6.55 28.88 -12.68 15.64 18.23
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Nuance MCV N/A N/A N/A N/A N/A N/A
Russell Midcap Value Index 6.40 (36)19.95 (52)-31.71 (55)6.36 (67)1.22 (58)3.19 (62)
IM U.S. Mid Cap Value Equity (SA+CF) Median 5.73 20.03 -31.18 7.04 1.39 3.38
Performance Review
As of December 31, 2020
Nuance MCV
NONE
Page 37
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Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF)
Comparative Performance
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
TimesSquare 17.94 (68)17.94 (68)34.37 (53)36.42 (45)21.52 (51)22.06 (54)19.25 (47)
Russell MCG Idx 19.02 (52)19.02 (52)35.59 (48)35.53 (52)20.50 (57)21.67 (55)18.66 (53)
Median 19.23 19.23 35.04 35.79 21.52 22.74 18.97
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
95.00
Return 2020 2019 2018 2017 2016
TimesSquare 34.37 (53)38.50 (35)-3.59 (46)23.71 (63)8.62 (24)
Russell MCG Idx 35.59 (48)35.47 (55)-4.75 (53)25.27 (53)7.33 (36)
Median 35.04 35.79 -4.30 25.42 5.64
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
TimesSquare 9.52 (44)28.36 (61)-18.95 (47)8.32 (35)0.75 (20)8.59 (17)
Russell Midcap Growth Index 9.37 (47)30.26 (49)-20.04 (62)8.17 (39)-0.67 (46)5.40 (70)
IM U.S. Mid Cap Growth Equity (SA+CF) Median 9.17 29.98 -19.21 7.53 -0.83 6.39
Performance Review
As of December 31, 2020
TimesSquare
NONE
Page 39
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
6.0
12.0
18.0
24.0
30.0
TimesSquare (%)0.0 6.0 12.0 18.0 24.0 30.0
Russell Midcap Growth Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
TimesSquare 20 0 (0%)14 (70%)6 (30%)0 (0%)
Russell MCG Idx 20 0 (0%)9 (45%)11 (55%)0 (0%)
20.06
20.40
20.74
21.08
21.42
21.76
Return (%)19.50 19.89 20.28 20.67 21.06 21.45 21.84
Risk (Standard Deviation %)
Return Standard
Deviation
TimesSquare 21.52 19.82
Russell MCG Idx 20.50 21.45
Median 21.52 21.48¾
18.40
18.60
18.80
19.00
19.20
19.40
Return (%)15.98 16.32 16.66 17.00 17.34 17.68 18.02 18.36
Risk (Standard Deviation %)
Return Standard
Deviation
TimesSquare 19.25 16.51
Russell MCG Idx 18.66 17.75
Median 18.97 17.98¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
TimesSquare 3.69 93.69 83.61 2.42 0.15 1.00 0.91 12.19
Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.90 1.00 12.92
90 Day U.S. Treasury Bill 21.58 2.39 -3.49 1.73 -0.90 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
TimesSquare 3.32 94.36 84.31 1.91 0.09 1.08 0.92 10.04
Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.99 1.00 10.72
90 Day U.S. Treasury Bill 17.83 2.38 -3.03 1.27 -0.99 N/A 0.00 0.01
Performance Review
As of December 31, 2020
TimesSquare
NONE
Page 40
Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF)
Comparative Performance
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
38.00
44.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Great Lakes SmidCap 22.72 (86)22.72 (86)12.64 (52)N/A N/A N/A N/A
Russell 2500 Index 27.41 (18)27.41 (18)19.99 (13)23.82 (11)11.33 (15)12.67 (15)13.64 (14)
Median 24.94 24.94 12.76 18.90 7.16 8.80 10.53
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Return 2020 2019 2018 2017 2016
Great Lakes SmidCap 12.64 (52)N/A N/A N/A N/A
Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55)
Median 12.76 25.74 -12.15 15.42 17.94
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Great Lakes SmidCap 7.35 (18)26.67 (22)-32.50 (73)5.94 (91)0.71 (12)N/A
Russell 2500 Index 5.88 (28)26.56 (24)-29.72 (33)8.54 (19)-1.28 (67)2.96 (41)
IM U.S. SMID Cap Core Equity (MF) Median 4.75 23.86 -30.32 7.09 -0.50 2.88
Performance Review
As of December 31, 2020
Great Lakes SmidCap
NONE
Page 41
Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF)
Comparative Performance
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
38.00
44.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Reinhart Partners 30.21 (7)30.21 (7)5.93 (78)N/A N/A N/A N/A
Russell 2500 Index 27.41 (18)27.41 (18)19.99 (13)23.82 (11)11.33 (15)12.67 (15)13.64 (14)
Median 24.94 24.94 12.76 18.90 7.16 8.80 10.53
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Return 2020 2019 2018 2017 2016
Reinhart Partners 5.93 (78)N/A N/A N/A N/A
Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55)
Median 12.76 25.74 -12.15 15.42 17.94
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Reinhart Partners -0.59 (98)23.32 (56)-33.63 (77)5.37 (92)-0.07 (23)N/A
Russell 2500 Index 5.88 (28)26.56 (24)-29.72 (33)8.54 (19)-1.28 (67)2.96 (41)
IM U.S. SMID Cap Core Equity (MF) Median 4.75 23.86 -30.32 7.09 -0.50 2.88
Performance Review
As of December 31, 2020
Reinhart Partners
NONE
Page 42
Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF)
Comparative Performance
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Lee Munder (LMCG)29.68 (54)29.68 (54)4.35 (54)15.31 (50)4.32 (52)5.40 (55)9.54 (54)
Russell 2000 Value 33.36 (26)33.36 (26)4.63 (52)13.17 (66)3.72 (58)4.74 (66)9.65 (51)
Median 29.96 29.96 5.34 15.29 4.45 5.66 9.67
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Return 2020 2019 2018 2017 2016
Lee Munder (LMCG)4.35 (54)27.42 (24)-14.62 (54)8.71 (68)27.80 (41)
Russell 2000 Value 4.63 (52)22.39 (75)-12.86 (37)7.84 (75)31.74 (17)
Median 5.34 25.07 -14.16 11.61 26.80
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Lee Munder (LMCG)2.30 (56)18.12 (75)-33.41 (35)8.90 (30)0.44 (38)2.46 (46)
Russell 2000 Value Index 2.56 (50)18.91 (70)-35.66 (59)8.49 (39)-0.57 (59)1.38 (71)
IM U.S. Small Cap Value Equity (SA+CF) Median 2.55 20.93 -34.92 8.02 -0.23 2.29
Performance Review
As of December 31, 2020
Lee Munder (LMCG)
NONE
Page 43
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-20.0
-10.0
0.0
10.0
20.0
30.0
Lee Munder (LMCG) (%)-20.0 -10.0 0.0 10.0 20.0 30.0
Russell 2000 Value Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Lee Munder (LMCG)20 3 (15%)10 (50%)7 (35%)0 (0%)
Russell 2000 Value 20 0 (0%)4 (20%)14 (70%)2 (10%)
3.60
3.90
4.20
4.50
4.80
Return (%)24.32 24.64 24.96 25.28 25.60 25.92 26.24 26.56
Risk (Standard Deviation %)
Return Standard
Deviation
Lee Munder (LMCG)4.32 24.77
Russell 2000 Value 3.72 26.12
Median 4.45 26.20¾
9.50
9.55
9.60
9.65
9.70
Return (%)20.48 20.80 21.12 21.44 21.76 22.08 22.40 22.72
Risk (Standard Deviation %)
Return Standard
Deviation
Lee Munder (LMCG)9.54 20.83
Russell 2000 Value 9.65 22.16
Median 9.67 22.15¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lee Munder (LMCG)4.04 95.98 94.32 0.66 0.05 0.23 0.94 18.28
Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.21 1.00 19.30
90 Day U.S. Treasury Bill 26.25 2.64 -2.06 1.64 -0.21 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lee Munder (LMCG)3.70 92.52 90.30 0.44 -0.11 0.49 0.93 14.47
Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.48 1.00 15.44
90 Day U.S. Treasury Bill 22.26 2.23 -2.01 1.24 -0.48 N/A 0.00 0.01
Performance Review
As of December 31, 2020
Lee Munder (LMCG)
NONE
Page 44
Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF)
Comparative Performance
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
95.00
110.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Loomis Small Cap 25.32 (70)25.32 (70)35.64 (59)31.66 (60)20.47 (52)22.27 (48)19.02 (57)
Russell 2000 Growth 29.61 (29)29.61 (29)34.63 (60)31.52 (61)16.20 (71)17.66 (71)16.36 (68)
Median 27.45 27.45 40.18 34.80 21.63 21.47 19.46
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
95.00
110.00
Return 2020 2019 2018 2017 2016
Loomis Small Cap 35.64 (59)27.80 (59)0.85 (23)27.83 (33)6.87 (79)
Russell 2000 Growth 34.63 (60)28.48 (51)-9.31 (78)22.17 (57)11.32 (52)
Median 40.18 28.50 -4.27 23.71 11.40
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Loomis Small Cap 8.77 (57)30.87 (61)-23.96 (54)10.23 (40)-5.26 (67)6.04 (33)
Russell 2000 Growth Index 7.16 (67)30.58 (62)-25.76 (67)11.39 (27)-4.17 (51)2.75 (80)
IM U.S. Small Cap Growth Equity (SA+CF) Median 9.08 32.76 -23.60 9.43 -4.14 4.57
Performance Review
As of December 31, 2020
Loomis Small Cap
NONE
Page 45
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-8.0
0.0
8.0
16.0
24.0
32.0
Loomis Small Cap (%)-8.0 0.0 8.0 16.0 24.0 32.0
Russell 2000 Growth Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Loomis Small Cap 20 0 (0%)14 (70%)6 (30%)0 (0%)
Russell 2000 Growth 20 0 (0%)1 (5%)17 (85%)2 (10%)
14.00
16.00
18.00
20.00
22.00
24.00
Return (%)23.12 23.46 23.80 24.14 24.48 24.82 25.16 25.50
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Small Cap 20.47 23.67
Russell 2000 Growth 16.20 25.10
Median 21.63 25.15¾
14.00
16.00
18.00
20.00
Return (%)19.52 19.84 20.16 20.48 20.80 21.12 21.44 21.76
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Small Cap 19.02 19.93
Russell 2000 Growth 16.36 21.28
Median 19.46 21.26¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Small Cap 5.11 101.91 89.64 4.83 0.65 0.84 0.92 15.55
Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.66 1.00 16.42
90 Day U.S. Treasury Bill 25.24 2.16 -2.77 1.71 -0.66 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Small Cap 4.62 99.55 88.19 3.57 0.44 0.92 0.92 12.93
Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.77 1.00 13.90
90 Day U.S. Treasury Bill 21.37 2.03 -2.42 1.26 -0.77 N/A 0.00 0.01
Performance Review
As of December 31, 2020
Loomis Small Cap
NONE
Page 46
Peer Group Analysis - IM International Equity (SA+CF)
Comparative Performance
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Lazard 18.60 (39)18.60 (39)9.71 (64)15.33 (64)5.78 (49)10.99 (56)8.78 (64)
MSCI ACW x USA (Net)17.01 (54)17.01 (54)10.65 (61)15.96 (61)4.88 (58)10.06 (64)8.93 (63)
Median 17.26 17.26 13.95 18.03 5.59 11.57 10.04
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
Return 2020 2019 2018 2017 2016
Lazard 9.71 (64)21.23 (61)-11.01 (18)28.22 (62)0.35 (75)
MSCI ACW x USA (Net)10.65 (61)21.51 (59)-14.20 (44)27.19 (68)4.50 (49)
Median 13.95 22.56 -14.82 30.76 4.19
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Lazard 5.93 (73)15.45 (75)-24.36 (55)8.44 (77)-2.29 (61)3.40 (37)
MSCI AC World ex USA (Net)6.25 (70)16.12 (70)-23.36 (46)8.92 (69)-1.80 (49)2.98 (44)
IM International Equity (SA+CF) Median 8.50 18.28 -23.79 10.07 -1.87 2.59
Performance Review
As of December 31, 2020
Lazard
NONE
Page 47
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-5.0
0.0
5.0
10.0
15.0
Lazard (%)-5.0 0.0 5.0 10.0 15.0
MSCI AC World ex USA (Net) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Lazard 20 0 (0%)8 (40%)12 (60%)0 (0%)
MSCI ACW x USA (Net)20 0 (0%)0 (0%)14 (70%)6 (30%)
4.50
4.80
5.10
5.40
5.70
6.00
Return (%)17.55 17.94 18.33 18.72 19.11 19.50 19.89 20.28
Risk (Standard Deviation %)
Return Standard
Deviation
Lazard 5.78 18.49
MSCI ACW x USA (Net)4.88 17.94
Median 5.59 19.65¾
8.40
8.82
9.24
9.66
10.08
10.50
Return (%)14.82 15.20 15.58 15.96 16.34 16.72 17.10 17.48
Risk (Standard Deviation %)
Return Standard
Deviation
Lazard 8.78 15.46
MSCI ACW x USA (Net)8.93 15.26
Median 10.04 16.92¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lazard 3.05 99.61 95.01 0.86 0.32 0.31 1.02 12.66
MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.27 1.00 12.32
90 Day U.S. Treasury Bill 18.06 2.95 -3.56 1.65 -0.27 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lazard 2.97 96.96 95.74 -0.05 -0.03 0.55 0.99 10.32
MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.56 1.00 10.15
90 Day U.S. Treasury Bill 15.36 2.73 -2.99 1.24 -0.56 N/A -0.01 0.01
Performance Review
As of December 31, 2020
Lazard
NONE
Page 48
Peer Group Analysis - IM International Large Cap Core Equity (SA+CF)
Comparative Performance
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Pictet 22.99 (2)22.99 (2)5.70 (83)15.09 (64)2.18 (89)8.34 (76)7.35 (71)
MSCI EAFE Index 16.09 (37)16.09 (37)8.28 (65)15.24 (62)4.79 (59)9.65 (61)7.97 (59)
Median 15.57 15.57 10.66 16.87 5.59 10.59 8.55
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Return 2020 2019 2018 2017 2016
Pictet 5.70 (83)25.32 (35)-19.45 (96)29.12 (30)3.50 (25)
MSCI EAFE Index 8.28 (65)22.66 (57)-13.36 (38)25.62 (60)1.51 (51)
Median 10.66 23.49 -14.36 26.34 1.60
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Pictet 4.56 (85)14.75 (78)-28.37 (100)7.42 (87)-0.44 (28)2.54 (78)
MSCI EAFE Index 4.88 (83)15.08 (73)-22.72 (54)8.21 (73)-1.00 (38)3.97 (34)
IM International Large Cap Core Equity (SA+CF) Median 6.62 16.81 -22.55 8.97 -1.44 3.60
Performance Review
As of December 31, 2020
Pictet
NONE
Page 49
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-16.0
-8.0
0.0
8.0
16.0
Pictet (%)-16.0 -8.0 0.0 8.0 16.0
MSCI EAFE Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Pictet 20 6 (30%)2 (10%)8 (40%)4 (20%)
MSCI EAFE Index 20 0 (0%)6 (30%)14 (70%)0 (0%)
0.00
2.00
4.00
6.00
8.00
Return (%)16.80 17.60 18.40 19.20 20.00 20.80 21.60 22.40
Risk (Standard Deviation %)
Return Standard
Deviation
Pictet 2.18 21.30
MSCI EAFE Index 4.79 17.87
Median 5.59 18.12¾
6.80
7.20
7.60
8.00
8.40
8.80
Return (%)14.40 15.00 15.60 16.20 16.80 17.40 18.00 18.60
Risk (Standard Deviation %)
Return Standard
Deviation
Pictet 7.35 17.89
MSCI EAFE Index 7.97 15.25
Median 8.55 15.46¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Pictet 5.37 102.88 112.38 -2.84 -0.34 0.13 1.17 14.87
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.26 1.00 12.01
90 Day U.S. Treasury Bill 17.98 2.75 -3.94 1.65 -0.26 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Pictet 4.61 106.85 111.36 -1.38 -0.03 0.42 1.14 12.18
MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.50 1.00 10.08
90 Day U.S. Treasury Bill 15.33 2.49 -3.42 1.23 -0.50 N/A -0.01 0.01
Performance Review
As of December 31, 2020
Pictet
NONE
Page 50
Peer Group Analysis - IM Emerging Markets Equity (SA+CF)
Comparative Performance
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
60.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Berkeley Street 22.30 (27)22.30 (27)25.55 (29)27.72 (20)11.79 (16)17.62 (20)16.77 (15)
MSCI Emerging Mkts 19.77 (50)19.77 (50)18.69 (47)18.79 (51)6.56 (48)13.63 (46)13.22 (44)
Median 19.72 19.72 18.18 19.05 6.21 13.24 12.78
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
Return 2020 2019 2018 2017 2016
Berkeley Street 25.55 (29)29.92 (9)-14.36 (39)37.00 (48)13.42 (27)
MSCI Emerging Mkts 18.69 (47)18.90 (57)-14.25 (37)37.75 (42)11.60 (40)
Median 18.18 19.53 -15.23 36.81 10.38
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Berkeley Street 7.11 (77)24.07 (27)-22.75 (25)12.89 (21)-0.71 (8)1.65 (48)
MSCI Emerging Markets Index 9.70 (53)18.18 (63)-23.57 (38)11.93 (38)-4.11 (61)0.74 (74)
IM Emerging Markets Equity (SA+CF) Median 9.88 19.39 -24.88 11.39 -3.63 1.54
Performance Review
As of December 31, 2020
Berkeley Street
NONE
Page 51
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
-16.0
-8.0
0.0
8.0
16.0
24.0
Berkeley Street (%)-16.0 -8.0 0.0 8.0 16.0 24.0
MSCI Emerging Markets Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Berkeley Street 20 10 (50%)9 (45%)1 (5%)0 (0%)
MSCI Emerging Mkts 20 0 (0%)10 (50%)10 (50%)0 (0%)
4.00
6.00
8.00
10.00
12.00
14.00
Return (%)19.38 19.57 19.76 19.95 20.14 20.33 20.52 20.71
Risk (Standard Deviation %)
Return Standard
Deviation
Berkeley Street 11.79 20.05
MSCI Emerging Mkts 6.56 19.62
Median 6.21 20.43¾
12.00
14.00
16.00
18.00
Return (%)17.46 17.55 17.64 17.73 17.82 17.91
Risk (Standard Deviation %)
Return Standard
Deviation
Berkeley Street 16.77 17.63
MSCI Emerging Mkts 13.22 17.45
Median 12.78 17.85¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Berkeley Street 3.95 109.80 92.06 5.00 1.24 0.58 1.00 12.64
MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.34 1.00 13.03
90 Day U.S. Treasury Bill 19.76 2.21 -3.91 1.66 -0.34 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Berkeley Street 5.33 101.21 83.54 3.73 0.59 0.90 0.96 10.57
MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.73 1.00 10.83
90 Day U.S. Treasury Bill 17.55 1.99 -3.33 1.26 -0.73 N/A -0.01 0.01
Performance Review
As of December 31, 2020
Berkeley Street
NONE
Page 52
Peer Group Analysis - IM Long/Short Equity (MF)
Comparative Performance
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
ABS Global 13.41 (16)13.41 (16)14.53 (21)14.92 (22)7.28 (30)8.65 (28)6.13 (43)
HFRI FOF: Strategic Idx 10.78 (24)10.78 (24)14.61 (21)12.55 (35)5.74 (40)7.08 (36)5.62 (53)
Median 7.67 7.67 4.45 9.94 4.58 5.60 5.74
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
Return 2020 2019 2018 2017 2016
ABS Global 14.53 (21)15.31 (38)-6.49 (56)12.86 (37)-3.38 (87)
HFRI FOF: Strategic Idx 14.61 (21)10.52 (67)-6.67 (57)11.22 (51)-0.05 (75)
Median 4.45 13.04 -5.80 11.25 4.58
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
ABS Global 2.84 (62)9.11 (51)-10.00 (29)5.70 (24)1.16 (35)2.03 (47)
HFRI FOF: Strategic Index 5.86 (33)10.90 (38)-11.87 (36)4.53 (40)-1.73 (83)1.30 (61)
IM Long/Short Equity (MF) Median 4.56 9.11 -15.37 4.03 0.54 1.87
Performance Review
As of December 31, 2020
ABS Global
NONE
Page 53
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-3.0
0.0
3.0
6.0
9.0
ABS Global (%)-3.0 0.0 3.0 6.0 9.0
HFRI FOF: Strategic Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
ABS Global 20 0 (0%)10 (50%)9 (45%)1 (5%)
HFRI FOF: Strategic Idx 20 0 (0%)2 (10%)14 (70%)4 (20%)
3.56
4.45
5.34
6.23
7.12
8.01
Return (%)8.74 9.20 9.66 10.12 10.58 11.04 11.50 11.96 12.42
Risk (Standard Deviation %)
Return Standard
Deviation
ABS Global 7.28 9.81
HFRI FOF: Strategic Idx 5.74 9.46
Median 4.58 11.76¾
5.40
5.60
5.80
6.00
6.20
6.40
Return (%)7.56 7.84 8.12 8.40 8.68 8.96 9.24 9.52 9.80
Risk (Standard Deviation %)
Return Standard
Deviation
ABS Global 6.13 8.43
HFRI FOF: Strategic Idx 5.62 7.87
Median 5.74 9.35¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
ABS Global 3.14 108.84 98.19 1.61 0.47 0.60 0.98 6.34
HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.46 1.00 6.63
90 Day U.S. Treasury Bill 9.63 5.55 -8.54 1.71 -0.46 N/A -0.02 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
ABS Global 2.91 108.31 107.59 0.50 0.18 0.60 1.00 5.64
HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.58 1.00 5.58
90 Day U.S. Treasury Bill 7.98 5.58 -6.95 1.26 -0.58 N/A -0.01 0.01
Performance Review
As of December 31, 2020
ABS Global
NONE
Page 54
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
CS McKee 0.67 (86)0.67 (86)8.19 (61)8.67 (60)5.73 (64)5.24 (65)4.77 (69)
Bl. Barclays US Agg 0.67 (84)0.67 (84)7.51 (88)8.11 (91)5.34 (93)4.89 (93)4.44 (93)
Median 1.12 1.12 8.56 8.91 5.88 5.48 5.04
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return 2020 2019 2018 2017 2016
CS McKee 8.19 (61)9.16 (52)0.09 (46)3.77 (65)2.90 (62)
Bl. Barclays US Agg 7.51 (88)8.72 (77)0.01 (62)3.54 (84)2.65 (76)
Median 8.56 9.18 0.07 4.03 3.10
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
CS McKee 1.19 (38)4.69 (39)1.45 (61)0.12 (68)2.50 (16)3.04 (76)
Blmbg. Barc. U.S. Aggregate Index 0.62 (84)2.90 (89)3.15 (24)0.18 (57)2.27 (69)3.08 (70)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.10 4.36 1.95 0.22 2.32 3.12
Performance Review
As of December 31, 2020
CS McKee
NONE
Page 55
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
2.0
4.0
6.0
8.0
CS McKee (%)0.0 2.0 4.0 6.0 8.0
Blmbg. Barc. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
CS McKee 20 0 (0%)11 (55%)9 (45%)0 (0%)
Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)
5.20
5.40
5.60
5.80
6.00
Return (%)3.20 3.40 3.60 3.80 4.00 4.20
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 5.73 4.00
Bl. Barclays US Agg 5.34 3.36
Median 5.88 3.64¾
4.50
4.80
5.10
5.40
Return (%)3.01 3.08 3.15 3.22 3.29 3.36 3.43 3.50 3.57
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 4.77 3.48
Bl. Barclays US Agg 4.44 3.13
Median 5.04 3.30¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 1.62 108.36 110.16 -0.10 0.25 1.01 1.09 1.65
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.10 1.00 1.33
90 Day U.S. Treasury Bill 3.33 13.14 -25.44 1.55 -1.10 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 1.29 105.35 101.08 0.18 0.26 1.02 1.03 1.61
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.04 1.00 1.53
90 Day U.S. Treasury Bill 3.10 11.36 -19.25 1.13 -1.04 N/A 0.01 0.01
Performance Review
As of December 31, 2020
CS McKee
NONE
Page 56
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Loomis Fixed Income 2.33 (8)2.33 (8)11.49 (3)10.52 (5)6.84 (5)6.57 (4)6.75 (3)
Bl. Barclays US Agg 0.67 (84)0.67 (84)7.51 (88)8.11 (91)5.34 (93)4.89 (93)4.44 (93)
Median 1.12 1.12 8.56 8.91 5.88 5.48 5.04
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return 2020 2019 2018 2017 2016
Loomis Fixed Income 11.49 (3)9.55 (30)-0.15 (76)5.76 (4)7.45 (2)
Bl. Barclays US Agg 7.51 (88)8.72 (77)0.01 (62)3.54 (84)2.65 (76)
Median 8.56 9.18 0.07 4.03 3.10
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Loomis Fixed Income 1.93 (9)5.42 (20)1.39 (62)0.55 (14)2.08 (90)3.09 (65)
Blmbg. Barc. U.S. Aggregate Index 0.62 (84)2.90 (89)3.15 (24)0.18 (57)2.27 (69)3.08 (70)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.10 4.36 1.95 0.22 2.32 3.12
Performance Review
As of December 31, 2020
Loomis Fixed Income
NONE
Page 57
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
2.0
4.0
6.0
8.0
Loomis Fixed Income (%)0.0 2.0 4.0 6.0 8.0
Blmbg. Barc. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Loomis Fixed Income 20 15 (75%)1 (5%)3 (15%)1 (5%)
Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)
4.77
5.30
5.83
6.36
6.89
7.42
Return (%)3.28 3.36 3.44 3.52 3.60 3.68 3.76 3.84
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Fixed Income 6.84 3.72
Bl. Barclays US Agg 5.34 3.36
Median 5.88 3.64¾
3.95
4.74
5.53
6.32
7.11
7.90
Return (%)3.04 3.12 3.20 3.28 3.36 3.44 3.52 3.60
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Fixed Income 6.75 3.52
Bl. Barclays US Agg 4.44 3.13
Median 5.04 3.30¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Fixed Income 1.87 115.03 87.49 1.66 0.77 1.35 0.96 1.69
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.10 1.00 1.33
90 Day U.S. Treasury Bill 3.33 13.14 -25.44 1.55 -1.10 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Fixed Income 1.91 122.96 68.66 2.48 1.16 1.52 0.95 1.66
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.04 1.00 1.53
90 Day U.S. Treasury Bill 3.10 11.36 -19.25 1.13 -1.04 N/A 0.01 0.01
Performance Review
As of December 31, 2020
Loomis Fixed Income
NONE
Page 58
Peer Group Analysis - IM Global Fixed Income (SA+CF)
Comparative Performance
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Franklin Templeton 0.74 (98)0.74 (98)-6.17 (100)-2.24 (100)-0.94 (99)-0.16 (99)1.08 (100)
JPM Global Govt Bond 2.26 (88)2.26 (88)9.68 (45)7.83 (75)4.93 (72)5.40 (75)4.62 (88)
Median 4.85 4.85 8.93 9.52 5.53 6.25 6.20
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Return 2020 2019 2018 2017 2016
Franklin Templeton -6.17 (100)1.85 (99)1.72 (7)2.22 (97)6.19 (49)
JPM Global Govt Bond 9.68 (45)6.02 (89)-0.65 (30)6.83 (61)1.57 (90)
Median 8.93 9.46 -1.81 7.67 6.13
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Franklin Templeton -0.33 (100)-0.44 (100)-6.13 (44)1.09 (67)-2.53 (95)1.30 (92)
JPM Global Government Bond Index 2.54 (71)1.46 (98)3.10 (1)-0.52 (98)1.14 (53)3.49 (33)
IM Global Fixed Income (SA+CF) Median 3.47 7.97 -6.93 1.65 1.23 3.11
Performance Review
As of December 31, 2020
Franklin Templeton
NONE
Page 59
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-3.0
0.0
3.0
6.0
9.0
Franklin Templeton (%)-3.0 0.0 3.0 6.0 9.0
JPM Global Government Bond Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Franklin Templeton 20 0 (0%)3 (15%)5 (25%)12 (60%)
JPM Global Govt Bond 20 1 (5%)3 (15%)5 (25%)11 (55%)
-3.00
0.00
3.00
6.00
9.00
Return (%)3.64 4.16 4.68 5.20 5.72 6.24 6.76 7.28 7.80
Risk (Standard Deviation %)
Return Standard
Deviation
Franklin Templeton -0.94 6.08
JPM Global Govt Bond 4.93 4.37
Median 5.53 7.08¾
0.00
2.00
4.00
6.00
8.00
Return (%)4.80 5.04 5.28 5.52 5.76 6.00 6.24 6.48 6.72
Risk (Standard Deviation %)
Return Standard
Deviation
Franklin Templeton 1.08 5.99
JPM Global Govt Bond 4.62 5.12
Median 6.20 6.36¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Franklin Templeton 8.25 -24.76 -36.46 0.79 -0.69 -0.38 -0.31 5.03
JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.76 1.00 2.00
90 Day U.S. Treasury Bill 4.37 10.14 -17.71 1.60 -0.76 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Franklin Templeton 8.85 -14.21 -53.86 2.73 -0.38 0.01 -0.31 4.30
JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.68 1.00 3.08
90 Day U.S. Treasury Bill 5.11 7.29 -10.04 1.17 -0.68 N/A 0.00 0.01
Performance Review
As of December 31, 2020
Franklin Templeton
NONE
Page 60
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Morgan Stanley 1.47 (57)1.47 (57)1.90 (49)4.60 (47)6.07 (37)7.00 (30)7.59 (30)
NCREIF Fund Idx-ODCE 1.30 (61)1.30 (61)1.19 (69)3.24 (80)4.92 (68)5.58 (67)6.21 (71)
Median 1.63 1.63 1.86 4.39 5.80 6.27 6.78
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
Return 2020 2019 2018 2017 2016
Morgan Stanley 1.90 (49)7.38 (41)9.05 (40)9.86 (16)9.98 (44)
NCREIF Fund Idx-ODCE 1.19 (69)5.34 (79)8.35 (52)7.62 (62)8.77 (76)
Median 1.86 7.02 8.42 8.08 9.35
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Morgan Stanley 1.27 (20)-1.74 (66)0.92 (67)1.79 (38)1.72 (52)2.11 (6)
NCREIF Fund Index-ODCE (VW)0.48 (52)-1.56 (64)0.98 (67)1.51 (61)1.31 (77)1.00 (88)
IM U.S. Open End Private Real Estate (SA+CF) Median 0.49 -1.22 1.31 1.61 1.75 1.44
Performance Review
As of December 31, 2020
Morgan Stanley
NONE
Page 61
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
4.0
8.0
12.0
16.0
20.0
Morgan Stanley (%)0.0 4.0 8.0 12.0 16.0 20.0
NCREIF Fund Index-ODCE (VW) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Morgan Stanley 20 2 (10%)18 (90%)0 (0%)0 (0%)
NCREIF Fund Idx-ODCE 20 0 (0%)0 (0%)19 (95%)1 (5%)
4.40
4.80
5.20
5.60
6.00
6.40
Return (%)1.82 1.89 1.96 2.03 2.10 2.17 2.24 2.31
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 6.07 2.11
NCREIF Fund Idx-ODCE 4.92 1.93
Median 5.80 2.25¾
5.98
6.44
6.90
7.36
7.82
Return (%)1.62 1.68 1.74 1.80 1.86 1.92 1.98 2.04
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 7.59 1.87
NCREIF Fund Idx-ODCE 6.21 1.69
Median 6.78 1.98¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 0.71 121.82 111.93 0.98 1.55 2.30 1.03 1.01
NCREIF Fund Index-ODCE (VW)0.00 100.00 100.00 0.00 N/A 1.88 1.00 0.90
90 Day U.S. Treasury Bill 1.73 29.61 -1.48 0.98 -1.88 N/A 0.13 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 0.65 121.10 111.93 1.09 2.01 3.32 1.04 0.78
NCREIF Fund Index-ODCE (VW)0.00 100.00 100.00 0.00 N/A 2.88 1.00 0.70
90 Day U.S. Treasury Bill 1.71 18.35 -1.48 1.01 -2.88 N/A 0.03 0.00
Performance Review
As of December 31, 2020
Morgan Stanley
NONE
Page 62
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Prudential PRISA II 1.70 (47)1.70 (47)0.98 (72)4.20 (64)5.92 (40)6.45 (44)7.22 (45)
NCREIF Property Idx 1.15 (69)1.15 (69)1.60 (57)3.98 (68)4.89 (69)5.40 (72)5.91 (76)
Median 1.63 1.63 1.86 4.39 5.80 6.27 6.78
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
Return 2020 2019 2018 2017 2016
Prudential PRISA II 0.98 (72)7.52 (39)9.43 (30)8.05 (54)10.37 (38)
NCREIF Property Idx 1.60 (57)6.42 (68)6.72 (82)6.96 (80)7.97 (83)
Median 1.86 7.02 8.42 8.08 9.35
1 Qtr
Ending
Sep-2020
1 Qtr
Ending
Jun-2020
1 Qtr
Ending
Mar-2020
1 Qtr
Ending
Dec-2019
1 Qtr
Ending
Sep-2019
1 Qtr
Ending
Jun-2019
Prudential PRISA II 0.43 (56)-2.42 (82)1.32 (50)2.15 (27)1.71 (52)1.47 (40)
NCREIF Property Index 0.74 (33)-0.99 (44)0.71 (69)1.55 (57)1.41 (73)1.51 (33)
IM U.S. Open End Private Real Estate (SA+CF) Median 0.49 -1.22 1.31 1.61 1.75 1.44
Performance Review
As of December 31, 2020
Prudential PRISA II
NONE
Page 63
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
4.0
8.0
12.0
16.0
20.0
Prudential PRISA II (%)0.0 4.0 8.0 12.0 16.0 20.0
NCREIF Property Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 12/20
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Prudential PRISA II 20 2 (10%)18 (90%)0 (0%)0 (0%)
NCREIF Property Idx 20 0 (0%)0 (0%)3 (15%)17 (85%)
4.55
4.90
5.25
5.60
5.95
6.30
Return (%)1.15 1.38 1.61 1.84 2.07 2.30 2.53 2.76 2.99
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 5.92 2.65
NCREIF Property Idx 4.89 1.50
Median 5.80 2.25¾
5.52
5.98
6.44
6.90
7.36
7.82
Return (%)1.33 1.52 1.71 1.90 2.09 2.28 2.47
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 7.22 2.27
NCREIF Property Idx 5.91 1.33
Median 6.78 1.98¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 1.31 128.93 243.59 -2.24 0.77 1.74 1.68 1.40
NCREIF Property Index 0.00 100.00 100.00 0.00 N/A 2.53 1.00 0.57
90 Day U.S. Treasury Bill 1.27 30.90 -2.31 0.70 -2.53 N/A 0.19 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 1.14 125.90 243.59 -2.14 1.11 2.63 1.59 1.08
NCREIF Property Index 0.00 100.00 100.00 0.00 N/A 3.44 1.00 0.44
90 Day U.S. Treasury Bill 1.34 19.61 -2.31 0.90 -3.44 N/A 0.05 0.00
Performance Review
As of December 31, 2020
Prudential PRISA II
NONE
Page 64
Total Policy Historical Hybrid Composition
Allocation Mandate Weight (%)
Oct-1986
Oakland County Historical Policy Data 100.00
Oct-2013
S&P 500 Index 25.00
Russell Midcap Index 7.50
Russell 2000 Index 7.50
MSCI AC World ex USA 15.00
Blmbg. Barc. U.S. Aggregate Index 30.00
JPM Global Government Bond Index 5.00
NCREIF Fund Index-ODCE (VW) (Net)10.00
Jul-2017
S&P 500 Index 23.00
Russell Midcap Index 7.50
Russell 2000 Index 7.50
MSCI AC World ex USA 15.00
Blmbg. Barc. U.S. Aggregate Index 30.00
JPM Global Government Bond Index 5.00
Blmbg. Barc. U.S. Corp High Yield 2.00
NCREIF Fund Index-ODCE (VW)10.00
Total Equity Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1979
Russell 3000 Index 90.00
MSCI EAFE Index 10.00
Jul-2017
S&P 500 Index 45.00
Russell Midcap Index 13.75
Russell 2000 Index 13.75
MSCI AC World ex USA 27.50
Total International Equity Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1970
MSCI EAFE Index 100.00
Oct-2012
MSCI AC World ex USA 100.00
Benchmark History
Investment Policy Benchmarks
As of December 31, 2020
Page 65
Total Fixed Income Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1986
Blmbg. Barc. U.S. Aggregate Index 85.00
JPM Global Government Bond Index 15.00
Jul-2017
Blmbg. Barc. U.S. Aggregate Index 80.00
JPM Global Government Bond Index 15.00
Blmbg. Barc. U.S. Corp High Yield 5.00
Benchmark History
Investment Policy Benchmarks
As of December 31, 2020
Page 66
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Total Fund Composite 0.50 784,538,514 3,938,889
SSgA S&P 500 0.02 37,348,946 7,470 0.02 % of First $50 M
0.01 % Thereafter
SSgA S&P 500 Equal Weighted Index 0.04 44,051,301 17,621 0.04 % of First $75 M
0.02 % Thereafter
T. Rowe Price 0.25 81,182,660 202,957 0.25 % of Assets
Nuance Mid Cap Value 0.75 13,028,221 97,712 0.75 % of First $25 M
0.70 % of Next $25 M
0.65 % of Next $25 M
0.60 % of Next $25 M
0.55 % of Next $50 M
0.50 % Thereafter
TimesSquare 0.80 20,635,112 165,081 0.80 % of First $50 M
0.70 % of Next $50 M
0.60 % Thereafter
Great Lakes SmidCap 0.55 17,689,518 97,292 0.55 % of First $50 M
0.45 % of Next $50 M
0.35 % Thereafter
Reinhart Partners 0.75 16,896,269 126,722 0.75 % of First $25 M
0.65 % of Next $25 M
0.50 % Thereafter
Lee Munder (LMCG)0.70 28,751,533 201,261 0.70 % of Assets
Loomis Small Cap 0.90 33,740,379 303,663 0.90 % of First $50 M
0.75 % of Next $50 M
0.70 % Thereafter
Lazard 0.74 44,712,302 330,630 0.75 % of First $40 M
0.65 % of Next $60 M
0.50 % Thereafter
Pictet 0.65 50,866,184 330,630 0.65 % of Assets
Berkeley Street 0.95 27,404,771 260,345 0.95 % of Assets
ABS Global 1.00 47,450,125 474,501 1.00 % of Assets
CS McKee 0.28 111,870,411 311,241 0.35 % of First $25 M
0.30 % of Next $25 M
0.25 % of Next $50 M
0.20 % Thereafter
Loomis Fixed Income 0.30 83,690,062 251,070 0.30 % of First $100 M
0.25 % of Next $100 M
0.20 % of Next $100 M
0.15 % Thereafter
Franklin Templeton 0.60 34,363,772 206,183 0.60 % of First $50 M
0.50 % of Next $50 M
0.45 % Thereafter
Morgan Stanley 0.84 37,992,130 319,134 0.84 % of Assets
Oakland County Employees' Retirement System
Fee Analysis
As of December 31, 2020
Does not include incentive fees.
Page 67
Oakland County Employees' Retirement System
Fee Analysis
As of December 31, 2020
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Prudential PRISA II 1.20 19,614,725 235,377 1.20 % of First $25 M
1.15 % of Next $25 M
1.05 % of Next $50 M
0.95 % of Next $100 M
0.90 % of Next $100 M
0.85 % Thereafter
Does not include incentive fees.
Page 68
Report Statistics Definitions and Descriptions Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Page 69
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 70
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="01/31/2021" Interval="1" />
Investment Performance Review
Period Ending January 31, 2021
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 Return(1.01) 14.05 (1.01) 17.25 11.70 16.16Russell Midcap Index(0.26) 18.84 (0.26) 17.73 10.14 14.88Russell 2000 Index5.03 35.15 5.03 30.17 11.11 16.50Russell 1000 Growth Index(0.74) 14.46 (0.74) 34.46 19.92 22.22Russell 1000 Value Index(0.92) 16.72 (0.92) 4.09 4.41 10.71Russell 3000 Index(0.44) 16.69 (0.44) 20.48 12.38 16.68MSCI EAFE NR(1.07) 19.58 (1.07) 8.94 2.23 8.84MSCI EM NR3.07 20.88 3.07 27.89 4.42 15.03Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies01/31/2112/31/2012/31/19U.S. Aggregate(0.72) 0.39 (0.72) 4.72 6.09 1.17Euro Spot1.21 1.22 1.12U.S. Corporate Investment Grade (1.28) 1.91 (1.28) 5.99 8.70 1.86British Pound Spot1.37 1.37 1.33U.S. Corporate High Yield0.33 6.26 0.33 7.44 3.68 4.31Japanese Yen Spot104.68 103.25 108.61Global Aggregate(0.88) 2.28 (0.88) 6.87 7.36 0.88Swiss Franc Spot0.89 0.89 0.97Key Rates01/31/2112/31/2012/31/1912/31/1812/31/17Commodities01/31/2112/31/2012/31/19US Generic Govt 3 Mth0.05 0.06 1.54 2.35 1.38Oil52.20 48.63 55.32US Generic Govt 2 Yr0.11 0.12 1.57 2.49 1.88Gasoline2.42 2.25 2.59US Generic Govt 10 Yr1.07 0.91 1.92 2.68 2.41Natural Gas2.56 2.53 2.55US Generic Govt 30 Yr1.83 1.64 2.39 3.01 2.74Gold1,850.30 1,899.60 1,187.30ICE LIBOR USD 3M0.20 0.24 1.91 2.81 1.69Silver26.91 26.41 16.50Euribor 3 Month ACT/360(0.55) (0.55) (0.38) (0.31) (0.33)Copper355.60 351.90 283.05Bankrate 30Y Mortgage Rates Na 2.88 2.87 3.86 4.51 3.85Corn547.00 484.00 411.25Prime3.25 3.25 4.75 5.50 4.50BBG Commodity TR Idx171.01 166.63 172.00Source: 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 (%)Levels19.9 34.5YTD2020Index Returns (%)LevelsS 5.3 5.0 4.8S4.638.4M -0.2 -0.3 -0.3M4.9 17.0 35.5January 31, 2021Index Returns (%)L -0.9 -0.8 -0.7L2.8 20.93.791.420.530.41-0.91-0.92-1.01-1.30-1.75-2.38-4.30-5.17-6.0-5.0-4.0-3.0-2.0-1.00.01.02.03.04.05.0YTD Sector Returns43.7533.1923.5420.6718.3313.4111.0210.710.52-1.75-2.16-33.60-40.0-30.0-20.0-10.00.010.020.030.040.050.02020 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 (0.5%)
Total Real Asset (9.6%)
Total Fixed Income Composite (31.4%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (15.6%)
Total Domestic Equity (36.7%)
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 780,779,876 100.0 N/A N/A 100.0 ---
Total Domestic Equity 286,918,769 36.7 10.0 50.0 35.0 -208,840,782 103,471,168 -13,645,813
Total International Equity 121,471,533 15.6 5.0 20.0 15.0 -82,432,539 34,684,442 -4,354,552
Total Long/Short Equity Composite 47,450,125 6.1 0.0 7.5 5.0 -47,450,125 11,108,366 -8,411,131
Total Fixed Income Composite 245,441,523 31.4 10.0 55.0 35.0 -167,363,535 183,987,409 27,831,433
Total Real Asset 75,340,660 9.6 0.0 15.0 10.0 -75,340,660 41,776,321 2,737,327
Total Cash Composite 4,157,265 0.5 0.0 5.0 0.0 -4,157,265 34,881,729 -4,157,265
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of January 31, 2021
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 (0.5%)
Total Real Asset (9.6%)
Total Fixed Income Composite (31.4%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (15.6%)
Total Small Cap Equity Composite (8.1%)
Total Mid Cap Equity Composite (8.1%)
Total Large Cap Equity Composite (20.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 780,779,876 100.0 100.0 -
Total Large Cap Equity Composite 160,553,057 20.6 20.0 -4,397,082
Total Mid Cap Equity Composite 63,305,486 8.1 7.5 -4,746,995
Total Small Cap Equity Composite 63,060,226 8.1 7.5 -4,501,736
Total International Equity 121,471,533 15.6 15.0 -4,354,552
Total Long/Short Equity Composite 47,450,125 6.1 5.0 -8,411,131
Total Fixed Income Composite 245,441,523 31.4 35.0 27,831,433
Total Real Asset 75,340,660 9.6 10.0 2,737,327
Total Cash Composite 4,157,265 0.5 0.0 -4,157,265
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of January 31, 2021
Page 3
December 31, 2020 : $784,538,514 January 31, 2021 : $780,779,876
Allocation
Market Value Allocation
SSgA S&P 500 37,348,946 4.8¢
T. Rowe Price 81,182,660 10.3¢
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 47,450,125 6.0¢
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 4.8¢
JPM Euro Property 65,529 0.0¢
Prudential PRISA II 19,614,725 2.5¢
ValStone Opportunity Fund V 2,173,998 0.3¢
Cash and Equivalents Account 21,879 0.0¢
Private Markets Cash 2,624,604 0.3¢
Walton Street Real Estate 3,036,986 0.4¢
Alidade Capital Fund IV 4,919,815 0.6¢
AEW Real Estate 2,828,362 0.4¢
Churchill Senior Loan Fund 12,344,502 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 2,331,907 0.3¢
Nuance Mid Cap Value 13,028,221 1.7¢
Marathon Distressed Credit Fund LP 867,825 0.1¢
H.I.G. Bayside Loan Opportunity VI -161,081 0.0¢
Portfolio Adv Seconary Agg VI 895,915 0.1¢
BlackRock Direct Lending Feeder IX -0.0¢
Allocation
Market Value Allocation
SSgA S&P 500 36,973,034 4.7¢
T. Rowe Price 79,869,026 10.2¢
TimesSquare 15,443,989 2.0¢
Lee Munder (LMCG)28,773,122 3.7¢
Loomis Small Cap 34,287,105 4.4¢
Lazard 43,592,412 5.6¢
Pictet 49,837,458 6.4¢
Berkeley Street 28,041,663 3.6¢
ABS Global 47,450,125 6.1¢
CS McKee 110,910,226 14.2¢
Loomis Fixed Income 83,119,168 10.6¢
Franklin Templeton 34,107,630 4.4¢
Morgan Stanley 37,992,130 4.9¢
JPM Euro Property 65,529 0.0¢
Prudential PRISA II 19,614,725 2.5¢
ValStone Opportunity Fund V 2,173,998 0.3¢
Cash and Equivalents Account 3,020,223 0.4¢
Private Markets Cash 1,137,042 0.1¢
Walton Street Real Estate 3,036,986 0.4¢
Alidade Capital Fund IV 4,919,815 0.6¢
AEW Real Estate 2,828,362 0.4¢
Churchill Senior Loan Fund 12,344,502 1.6¢
SSgA S&P 500 Equal Weighted Index 43,710,997 5.6¢
Great Lakes SmidCap 17,930,038 2.3¢
Reinhart Partners 17,025,087 2.2¢
Dune Real Estate IV 1,481,293 0.2¢
Hamilton Lane Secondary Fund V LP 2,331,907 0.3¢
Nuance Mid Cap Value 12,906,372 1.7¢
Marathon Distressed Credit Fund LP 2,501,240 0.3¢
H.I.G. Bayside Loan Opportunity VI -161,081 0.0¢
Portfolio Adv Seconary Agg VI 895,915 0.1¢
BlackRock Direct Lending Feeder IX 2,619,838 0.3¢
Asset Allocation By Manager
Total Fund Composite
As of January 31, 2021
Page 4
Financial Reconciliation Month to Date
Market Value
01/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
01/31/2021
Total Fund Composite 784,538,514 -11,274,284 -10,300,000 -43,266 -1,149 562,771 -5,251,278 780,779,876
Total Equity Composite 463,757,321 -5,000,000 21,031 --43,266 -1,179 177,408 -3,070,889 455,840,427
Total Domestic Equity 293,323,940 -5,000,000 ----491 139,986 -1,544,665 286,918,769
Total Large Cap Equity Composite 162,582,908 -----51 65,980 -2,095,780 160,553,057
SSgA S&P 500 37,348,946 -------375,912 36,973,034
SSgA S&P 500 Equal Weighted Index 44,051,301 -------340,304 43,710,997
T. Rowe Price 81,182,660 -----51 65,980 -1,379,563 79,869,026
Total Mid Cap Equity Composite 68,249,120 -5,000,000 ----222 60,089 -3,501 63,305,486
Nuance Mid Cap Value 13,028,221 -----105 19,654 -141,397 12,906,372
TimesSquare 20,635,112 -5,000,000 ----47 15,593 -206,669 15,443,989
Great Lakes SmidCap 17,689,518 -----16 5,089 235,447 17,930,038
Reinhart Partners 16,896,269 -----54 19,754 109,118 17,025,087
Total Small Cap Equity Composite 62,491,912 -----218 13,917 554,616 63,060,226
Lee Munder (LMCG)28,751,533 -----62 11,961 9,689 28,773,122
Loomis Small Cap 33,740,379 -----157 1,955 544,927 34,287,105
Total International Equity 122,983,257 -21,031 --43,266 -687 37,422 -1,526,224 121,471,533
Lazard 44,712,302 -----687 19,567 -1,138,769 43,592,412
Pictet 50,866,184 ----22,235 -17,856 -1,024,347 49,837,458
Berkeley Street 27,404,771 -21,031 --21,031 --636,892 28,041,663
Total Long/Short Equity Composite 47,450,125 -------47,450,125
ABS Global 47,450,125 -------47,450,125
Total Fixed Income Composite 242,975,491 4,253,253 ---38 384,596 -2,171,855 245,441,523
Total Domestic Fixed Income 195,560,473 ----38 384,596 -1,915,713 194,029,393
CS McKee 111,870,411 ----282 223,796 -1,184,263 110,910,226
Loomis Fixed Income 83,690,062 -----244 160,800 -731,450 83,119,168
Total Global Fixed 34,363,772 -------256,142 34,107,630
Franklin Templeton 34,363,772 -------256,142 34,107,630
Private Fixed Income 13,051,246 4,253,253 ------17,304,500
Churchill Senior Loan Fund 12,344,502 -------12,344,502
Marathon Distressed Credit Fund LP 1,611,675 3,033,484 ------4,645,160
H.I.G. Bayside Loan Opportunity VI -299,150 --------299,150
BlackRock Direct Lending Feeder IX -2,619,838 ------2,619,838
Financial Reconciliation
Total Fund
Quarter To Date Ending January 31, 2021
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending January 31, 2021
Market Value
01/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
01/31/2021
Total Real Asset 75,159,218 181,442 ------75,340,660
Total Real Estate 69,757,398 181,442 ------69,938,840
Morgan Stanley 37,992,130 -------37,992,130
JPM Euro Property 65,529 -------65,529
Prudential PRISA II 19,614,725 -------19,614,725
Alidade Capital Fund IV 4,919,815 -------4,919,815
Walton Street Real Estate 3,036,986 -------3,036,986
AEW Real Estate 2,828,362 -------2,828,362
Dune Real Estate IV 1,299,851 181,442 ------1,481,293
Private Investments 5,401,820 -------5,401,820
ValStone Opportunity Fund V 2,173,998 -------2,173,998
Hamilton Lane Secondary Fund V LP 2,331,907 -------2,331,907
Portfolio Adv Seconary Agg VI 1,567,851 -------1,567,851
Total Cash Composite 2,646,484 565,305 11,253,253 -10,300,000 --8 767 -8,535 4,157,265
Cash and Equivalents Account 21,879 4,664,929 8,633,415 -10,300,000 --8 8 -3,020,223
Private Markets Cash 2,624,604 -4,099,624 2,619,838 ---758 -8,535 1,137,042
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 780,779,876 100.0 -0.60 -0.60 10.34 -0.60 10.70 6.93 9.81 7.85 8.27 8.47 10/01/1986
Total Fund Policy Index -0.12 -0.12 9.50 -0.12 12.55 7.82 10.22 8.13 8.77 8.95
Total Equity Composite 455,840,427 58.4 -0.63 -0.63 18.02 -0.63 15.67 7.91 13.17 9.78 10.47 9.80 10/01/1986
Total Equity Index 0.27 0.27 17.42 0.27 18.48 9.27 14.53 11.44 12.02 10.26
Total Fixed Income Composite 245,441,523 31.4 -0.72 -0.72 0.69 -0.72 4.58 5.10 4.62 3.98 4.24 6.34 10/01/1986
Total Fixed Income Index -0.76 -0.76 0.42 -0.76 5.14 5.33 4.07 3.63 3.58 6.16
Total Real Asset 75,340,660 9.6 0.00 0.00 1.86 0.00 2.23 6.50 7.72 9.64 9.78 4.82 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.30 0.00 1.19 4.92 6.21 8.32 9.88 5.03
Total Cash Composite 4,157,265 0.5
Asset Allocation & Performance
Total Fund Composite
As of January 31, 2021
Page 7
Asset Allocation & Performance
Total Fund Composite
As of January 31, 2021
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 286,918,769 36.7 -0.48 -0.48 18.10 -0.48 17.08 10.31 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 160,553,057 20.6 -1.25 -1.25 13.11 -1.25 16.84 11.46 16.03 13.29 13.56 11.25 07/01/2008
SSgA S&P 500 (1.5 bps)36,973,034 4.7 -1.01 -1.01 11.01 -1.01 17.21 11.70 16.19 13.36 13.55 14.10 10/01/2009
S&P 500 Index -1.01 -1.01 11.02 -1.01 17.25 11.70 16.16 13.32 13.50 14.04
SSgA S&P 500 Equal Weighted Index (4 bps)43,710,997 5.6 -0.77 -0.77 17.71 -0.77 12.89 8.39 N/A N/A N/A 8.39 02/01/2018
S&P 500 Equal Weighted -0.81 -0.81 17.50 -0.81 13.99 8.54 14.08 11.21 12.32 8.54
T. Rowe Price (25 bps)79,869,026 10.2 -1.62 -1.62 11.70 -1.62 18.10 12.63 17.29 14.18 14.27 14.65 10/01/2009
S&P 500 Index -1.01 -1.01 11.02 -1.01 17.25 11.70 16.16 13.32 13.50 14.04
Total Mid Cap Equity Composite 63,305,486 8.1 0.08 0.08 21.68 0.08 11.33 5.85 12.63 9.03 10.56 9.47 07/01/2008
Nuance Mid Cap Value (75 bps)12,906,372 1.7 -0.93 -0.93 14.74 -0.93 N/A N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index -0.23 -0.23 20.15 -0.23 6.80 4.49 10.94 8.45 10.22 27.85
TimesSquare (80 bps)15,443,989 2.0 -2.31 -2.31 15.21 -2.31 28.11 18.36 20.40 14.88 15.27 16.40 09/01/2009
Russell Midcap Growth Index -0.33 -0.33 18.62 -0.33 33.88 18.17 20.46 15.10 14.78 16.60
Great Lakes SmidCap (55 bps)17,930,038 2.3 1.36 1.36 24.38 1.36 16.18 N/A N/A N/A N/A 10.44 05/01/2019
Russell 2500 Index 2.45 2.45 30.53 2.45 25.48 11.11 16.10 10.92 12.09 16.70
Reinhart Partners (65 bps)17,025,087 2.2 0.76 0.76 31.20 0.76 9.57 N/A N/A N/A N/A 8.62 05/01/2019
Russell 2500 Index 2.45 2.45 30.53 2.45 25.48 11.11 16.10 10.92 12.09 16.70
Total Small Cap Equity Composite 63,060,226 8.1 0.91 0.91 28.45 0.91 22.69 11.38 15.21 10.04 11.20 10.91 07/01/2008
Lee Munder (70 bps)28,773,122 3.7 0.08 0.08 29.78 0.08 9.59 3.88 10.72 8.22 9.14 8.98 09/01/2005
Russell 2000 Value Index 5.26 5.26 40.38 5.26 16.42 5.08 12.34 7.64 9.21 7.11
Loomis Small Cap (90 bps)34,287,105 4.4 1.62 1.62 27.35 1.62 36.36 19.07 21.60 14.30 N/A 17.49 09/01/2012
Russell 2000 Growth Index 4.82 4.82 35.85 4.82 42.69 16.54 20.19 13.12 14.08 15.86
Page 8
Asset Allocation & Performance
Total Fund Composite
As of January 31, 2021
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 121,471,533 15.6 -1.21 -1.21 19.74 -1.21 12.54 3.04 10.51 6.42 6.36 4.75 07/01/2008
Total International Equity Index 0.23 0.23 17.35 0.23 14.45 3.57 11.05 6.05 5.35 3.67
Lazard (75 bps)43,592,412 5.6 -2.50 -2.50 15.63 -2.50 9.10 2.92 9.44 6.38 7.17 6.01 09/01/2006
MSCI AC World ex USA 0.23 0.23 17.35 0.23 14.45 3.57 11.05 6.05 5.32 4.63
Pictet (65 bps)49,837,458 6.4 -1.98 -1.98 20.55 -1.98 6.46 0.14 8.46 4.63 5.21 2.07 01/01/2008
MSCI EAFE Index -1.06 -1.06 14.86 -1.06 9.41 2.73 9.37 5.34 5.64 2.86
Berkeley Street (95 bps)28,041,663 3.6 2.32 2.32 25.14 2.32 33.85 9.95 18.52 10.77 N/A 8.70 11/01/2012
MSCI Emerging Markets Index 3.09 3.09 23.48 3.09 28.33 4.81 15.45 8.05 4.60 6.41
Total Long/Short Equity Composite 47,450,125 6.1 0.00 0.00 13.41 0.00 14.56 6.35 7.28 5.64 5.52 5.52 10/01/2010
ABS Global (100 bps)47,450,125 6.1 0.00 0.00 13.41 0.00 14.56 6.35 7.28 5.74 6.10 6.27 10/01/2010
HFRI FOF: Strategic Index -0.56 -0.56 10.16 -0.56 14.14 4.59 6.47 4.34 3.82 4.09
Total Domestic Fixed Income 194,029,393 24.9 -0.78 -0.78 0.58 -0.78 6.56 6.19 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)110,910,226 14.2 -0.86 -0.86 -0.20 -0.86 5.19 5.79 4.34 4.11 4.15 4.22 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.72 -0.72 -0.06 -0.72 4.72 5.49 4.00 3.76 3.75 3.87
Loomis Fixed Income (30 bps)83,119,168 10.6 -0.68 -0.68 1.64 -0.68 8.39 6.69 6.58 5.11 5.60 6.04 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -0.72 -0.72 -0.06 -0.72 4.72 5.49 4.00 3.76 3.75 3.91
Total Global Fixed 34,107,630 4.4 -0.75 -0.75 -0.01 -0.75 -6.67 -1.61 N/A N/A N/A N/A 04/01/2010
Franklin Templeton (60 bps)34,107,630 4.4 -0.75 -0.75 -0.01 -0.75 -6.67 -1.61 1.06 0.58 1.60 1.84 04/01/2010
JPM Global Government Bond Index -1.35 -1.35 0.88 -1.35 6.32 4.00 4.03 2.55 2.33 2.83
Page 9
Asset Allocation & Performance
Total Fund Composite
As of January 31, 2021
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate 69,938,840 9.0 0.00 0.00 1.45 0.00 1.84 6.17 N/A N/A N/A 7.37 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.30 0.00 1.19 4.92 6.21 8.32 9.88 6.03
Morgan Stanley (84 bps)37,992,130 4.9 0.00 0.00 1.47 0.00 1.90 6.07 7.59 9.85 11.49 6.21 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 1.30 0.00 1.19 4.92 6.21 8.32 9.88 4.97
Prudential PRISA II (85 bps)19,614,725 2.5 0.00 0.00 1.70 0.00 0.98 5.92 7.22 9.60 N/A 10.67 10/01/2011
NCREIF Property Index 0.00 0.00 1.15 0.00 1.60 4.89 5.91 7.77 9.00 8.46
JPM Euro Property 65,529 0.0 0.00 0.00 0.00 0.00 -5.14 -9.38 -0.81 0.76 -1.11 -1.78 04/01/2009
NCREIF Property Index 0.00 0.00 1.15 0.00 1.60 4.89 5.91 7.77 9.00 7.69
Total Cash Composite 4,157,265 0.5
Cash and Equivalents Account (No fee)3,020,223 0.4
Private Markets Cash 1,137,042 0.1
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 -0.89 0.00 -11.07 7.14 7.40 N/A N/A 7.53 08/27/2014
Alidade Capital Fund IV 0.00 0.00 0.00 0.00 4.19 5.17 N/A N/A N/A 4.91 04/20/2017
Walton Street Real Estate 0.00 0.00 4.00 0.00 5.71 8.25 N/A N/A N/A 9.73 05/24/2017
AEW Real Estate 0.00 0.00 0.00 0.00 3.67 10.88 N/A N/A N/A 8.28 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 1.88 0.00 3.12 5.48 N/A N/A N/A 5.75 12/07/2017
Dune Real Estate IV 0.00 0.00 0.00 0.00 -10.20 N/A N/A N/A N/A -15.76 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 16.90 0.00 N/A N/A N/A N/A N/A 40.71 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 30.40 0.00 N/A N/A N/A N/A N/A 54.13 09/10/2020
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 0.00 0.00 N/A N/A N/A N/A N/A 0.00 09/29/2020
Portfolio Adv Seconary Agg VI 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A 12.88 11/02/2020
BlackRock Direct Lending Feeder IX 0.00 0.00 N/A 0.00 N/A N/A N/A N/A N/A 0.00 01/05/2021
Comparative Performance - IRR
Alternative Investments
As of January 31, 2021
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
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
Oakland County Employees' Retirement System
Asset / Manager Summary - March 18, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $37,993 4.8%$39,263 5.0%$1,270
SSgA S&P 500 EW 1 $46,406 5.9%$39,263 5.0%($7,143)2/28 MV
T. Rowe Price Enhanced 500 $83,865 10.7%$78,525 10.0%($5,340)
TimesSquare Mid Growth $15,594 2.0%$14,724 1.9%($870)
Great Lakes Small/Mid Core $18,703 2.4%$14,724 1.9%($3,979)
Reinhart Small/Mid Core $19,307 2.5%$14,724 1.9%($4,583)
Nuance Mid Value $13,577 1.7%$14,724 1.9%$1,147
Loomis, Sayles Small Growth $34,960 4.5%$29,447 3.8%($5,513)
LMCG Small Value $33,255 4.2%$29,447 3.8%($3,808)
ABS Global L/S Equity1 $46,280 5.9%$39,263 5.0%($7,017)
Total US Equity $349,940 44.6%$314,102 40.0%($35,838)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $45,654 5.8%$39,263 5.0%($6,391)
Pictet Intl Equity1 $42,105 5.4%$39,263 5.0%($2,842)
Berkley Street Emerging Mkts.1 $28,140 3.6%$19,631 2.5%($8,509)
Total Intl Equity $115,899 14.8%$98,157 12.5%($17,742)
CS McKee Core Fixed $108,472 13.8%$128,051 16.3%$19,579
Loomis, Sayles Core Plus $81,291 10.4%$78,525 10.0%($2,766)
PIMCO Diversifed Income $33,781 4.3%$39,263 5.0%$5,482 Funded 2/26
Churcill Direct Lending1 $12,345 1.6%$15,000 1.9%$2,655 $15MM / $8MM Commitment
BlackRock Direct Lending1 $0 0.0%$0 0.0%$0 $12MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment
HIG/Marathon Distressed1 $1,633 0.2%$14,000 1.8%$12,367 $7MM Commitment Each
Total Fixed Income $237,522 30.2%$274,839 35.0%$37,317 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $38,028 4.8%$47,041 6.0%$9,013
Prudential PRISA II VA RE1 $19,615 2.5%$15,705 2.0%($3,910)
Private VA Real Estate Funds1,2 $15,779 2.0%$15,779 2.0%$0
Total Real Estate $73,422 9.4%$78,525 10.0%$5,103
Hamilton Lane $2,332 0.3%$9,816 1.3%$7,484 $10MM Commitment
Portfolio Advisors $822 0.1%$9,816 1.3%$8,994 $10MM Commitment
Total Private Equity $3,154 0.4%$19,631 2.5%$16,477
Cash Account $5,317 0.7%$0 0.0%($5,317)
Total Fund $785,254 100.0%$785,254 100.0%$0
Market values from Northern Trust as of 3/10/21.
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 $63,412 8.1% $87,894 11.2% 15% Target / Includes ABS, Churchill, HIG, Marathon, HL, and PA
2/28 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.
AndCo Consulting AndCoConsulting.com
AndCo Consulting recommends the Oakland County Retirement and Deferred Compensation Board and
the Oakland County Voluntary Employees’ Beneficiary Association (VEBA) Board commit $8MM and
$15MM, respectively, to the Bloomfield Capital Income Fund V-B. AndCo has diligently reviewed the
Bloomfield Capital strategy from an investment and operational perspective and believes it is a prudent
investment for the Funds.
The recommendation of Bloomfield Capital Income Fund V-B is based upon several factors. The firm has
extensive experience managing real estate-oriented debt strategies. The investment team has
demonstrated the ability to source, underwrite, and close attractive private mortgages and related types
of debt instruments. Bloomfield’s strategy focuses on first-lien loans to real estate investors and other
types real estate collateralized investments. The firm has experienced low default rates and the expertise
to restructure assets to minimize losses. The manager has a lengthy track record of generating attractive
returns for investors in their direct lending strategy. Lastly, the fund’s terms are also competitive with
their peers.
The Bloomfield Capital Income Fund V-B is recommended for Oakland County’s Defined Benefit and VEBA
Funds as part of the Private Fixed Income allocation.
Please feel free to contact your AndCo team with any questions about this recommendation.
To: Board of Trustees / Oakland County Employees’ Retirement System
From: Chris Kuhn and Peter Brown
Date: March 18, 2021
Re: Bloomfield Capital BCIF V-B