HomeMy WebLinkAboutReports - 2021.04.22 - 34330<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="03/31/2021" Interval="1" />
Investment Performance Review
Period Ending March 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 VBG VBGS&P 500 Total Return 4.38 6.17 6.17 56.35 16.78 16.29Russell Midcap Index 2.71 8.14 8.14 73.64 14.73 14.67Russell 2000 Index 1.00 12.70 12.70 94.85 14.76 16.35Russell 1000 Growth Index 1.72 0.94 0.94 62.74 22.80 21.05Russell 1000 Value Index 5.88 11.26 11.26 56.09 10.96 11.74Russell 3000 Index 3.58 6.35 6.35 62.53 17.12 16.64MSCI EAFE NR 2.30 3.48 3.48 44.57 6.02 8.85MSCI EM NR (1.51) 2.29 2.29 58.39 6.48 12.07Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies03/31/2112/31/2012/31/19U.S. Aggregate (1.25) (3.38) (3.38) 0.71 6.40 1.61 Euro Spot 1.17 1.22 1.12U.S. Corporate Investment Grade (1.72) (4.65) (4.65) 8.73 8.48 2.28 British Pound Spot 1.38 1.37 1.33U.S. Corporate High Yield 0.15 0.85 0.85 23.72 3.87 4.23 Japanese Yen Spot 110.72 103.25 108.61Global Aggregate (1.92) (4.46) (4.46) 4.67 7.39 1.16 Swiss Franc Spot 0.94 0.89 0.97Key Rates03/31/2112/31/2012/31/1912/31/1812/31/17Commodities03/31/2112/31/2012/31/19US Generic Govt 3 Mth 0.02 0.06 1.54 2.35 1.38 Oil 59.16 48.69 54.70US Generic Govt 2 Yr 0.16 0.12 1.57 2.49 1.88 Gasoline 2.88 2.25 2.59US Generic Govt 10 Yr 1.74 0.91 1.92 2.68 2.41 Natural Gas 2.61 2.56 2.26US Generic Govt 30 Yr 2.41 1.64 2.39 3.01 2.74 Gold 1,715.60 1,902.80 1,187.30ICE LIBOR USD 3M 0.19 0.24 1.91 2.81 1.69 Silver 24.53 26.47 16.50Euribor 3 Month ACT/360 (0.54) (0.55) (0.38) (0.31) (0.33) Copper 399.55 352.40 283.50Bankrate 30Y Mortgage Rates Na 3.27 2.87 3.86 4.51 3.85 Corn 564.25 483.25 415.50Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 178.16 166.63 172.00Source: 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 34.5YTD 2020Index Returns (%)LevelsS 21.2 12.7 4.9 S4.638.4M 13.0 8.1 -0.6 M4.9 17.0 35.5March 31, 2021Index Returns (%)L 11.2 5.9 0.9 L2.8 20.930.8415.9011.419.089.028.086.173.183.112.841.971.150.05.010.015.020.025.030.035.0YTD 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 (0.3%)
Total Real Asset (9.7%)
Total Fixed Income Composite (30.1%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (14.6%)
Total Domestic Equity (39.2%)
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 792,064,488 100.0 N/A N/A 100.0 ---
Total Domestic Equity 310,425,521 39.2 10.0 50.0 35.0 -231,219,072 85,606,723 -33,202,950
Total International Equity 115,645,103 14.6 5.0 20.0 15.0 -76,041,879 42,767,795 3,164,570
Total Long/Short Equity Composite 47,984,240 6.1 0.0 7.5 5.0 -47,984,240 11,420,596 -8,381,016
Total Fixed Income Composite 238,721,124 30.1 10.0 55.0 35.0 -159,514,675 196,914,345 38,501,447
Total Real Asset 76,837,461 9.7 0.0 15.0 10.0 -76,837,461 41,972,212 2,368,988
Total Cash Composite 2,451,039 0.3 0.0 5.0 0.0 -2,451,039 37,152,185 -2,451,039
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 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 (0.3%)
Total Real Asset (9.7%)
Total Fixed Income Composite (30.1%)
Total Long/Short Equity Composite (6.1%)
Total International Equity (14.6%)
Total Small Cap Equity Composite (8.6%)
Total Mid Cap Equity Composite (8.5%)
Total Large Cap Equity Composite (22.0%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 792,064,488 100.0 100.0 -
Total Large Cap Equity Composite 174,472,157 22.0 20.0 -16,059,259
Total Mid Cap Equity Composite 67,641,984 8.5 7.5 -8,237,147
Total Small Cap Equity Composite 68,311,380 8.6 7.5 -8,906,544
Total International Equity 115,645,103 14.6 15.0 3,164,570
Total Long/Short Equity Composite 47,984,240 6.1 5.0 -8,381,016
Total Fixed Income Composite 238,721,124 30.1 35.0 38,501,447
Total Real Asset 76,837,461 9.7 10.0 2,368,988
Total Cash Composite 2,451,039 0.3 0.0 -2,451,039
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2021
Page 3
February 28, 2021 : $789,677,213 March 31, 2021 : $792,064,488
Allocation
Market Value Allocation
SSgA S&P 500 37,993,075 4.8¢
SSgA S&P 500 Equal Weighted Index 46,405,628 5.9¢
T. Rowe Price 82,185,560 10.4¢
Nuance Mid Cap Value 13,171,349 1.7¢
TimesSquare 15,939,972 2.0¢
Great Lakes SmidCap 18,783,718 2.4¢
Reinhart Partners 18,775,037 2.4¢
Lee Munder (LMCG)31,807,570 4.0¢
Loomis Small Cap 35,928,829 4.5¢
Lazard 45,089,328 5.7¢
Pictet 42,039,661 5.3¢
Berkeley Street 28,699,468 3.6¢
ABS Global 47,984,240 6.1¢
CS McKee 109,076,507 13.8¢
Loomis Fixed Income 81,847,926 10.4¢
Pimco Diversified Income (PDIIX)33,865,332 4.3¢
Churchill Senior Loan Fund 12,056,846 1.5¢
Marathon Distressed Credit Fund LP 2,501,240 0.3¢
H.I.G. Bayside Loan Opportunity VI 207,263 0.0¢
BlackRock Direct Lending Feeder IX 2,619,838 0.3¢
Morgan Stanley 37,992,130 4.8¢
JPM Euro Property 70,524 0.0¢
Prudential PRISA II 19,614,725 2.5¢
Alidade Capital Fund IV 5,307,639 0.7¢
Walton Street Real Estate 2,838,962 0.4¢
AEW Real Estate 3,079,546 0.4¢
Dune Real Estate IV 1,459,702 0.2¢
ValStone Opportunity Fund V 2,173,998 0.3¢
Hamilton Lane Secondary Fund V LP 2,331,907 0.3¢
Portfolio Adv Seconary Agg VI 895,915 0.1¢
Cash and Equivalents Account 5,316,921 0.7¢
Private Markets Cash 1,616,856 0.2¢
Allocation
Market Value Allocation
SSgA S&P 500 39,657,317 5.0¢
SSgA S&P 500 Equal Weighted Index 49,068,552 6.2¢
T. Rowe Price 85,746,288 10.8¢
Nuance Mid Cap Value 13,740,679 1.7¢
TimesSquare 15,823,512 2.0¢
Great Lakes SmidCap 18,757,592 2.4¢
Reinhart Partners 19,320,200 2.4¢
Lee Munder (LMCG)33,518,324 4.2¢
Loomis Small Cap 34,793,056 4.4¢
Lazard 44,913,254 5.7¢
Pictet 42,780,037 5.4¢
Berkeley Street 27,951,812 3.5¢
ABS Global 47,984,240 6.1¢
CS McKee 106,972,305 13.5¢
Loomis Fixed Income 81,202,752 10.3¢
Pimco Diversified Income (PDIIX)33,578,133 4.2¢
Churchill Senior Loan Fund 9,703,634 1.2¢
Marathon Distressed Credit Fund LP 3,761,240 0.5¢
H.I.G. Bayside Loan Opportunity VI 207,263 0.0¢
BlackRock Direct Lending Feeder IX 3,295,797 0.4¢
Morgan Stanley 38,716,240 4.9¢
JPM Euro Property 70,524 0.0¢
Prudential PRISA II 19,963,027 2.5¢
Alidade Capital Fund IV 5,307,639 0.7¢
Walton Street Real Estate 2,838,962 0.4¢
AEW Real Estate 3,079,546 0.4¢
Dune Real Estate IV 1,459,702 0.2¢
ValStone Opportunity Fund V 2,173,998 0.3¢
Hamilton Lane Secondary Fund V LP 2,331,907 0.3¢
Portfolio Adv Seconary Agg VI 895,915 0.1¢
Cash and Equivalents Account 91,497 0.0¢
Private Markets Cash 2,359,542 0.3¢
Asset Allocation By Manager
Total Fund Composite
As of March 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
03/31/2021
Total Fund Composite 785,325,968 -11,311,523 -24,800,000 -288,901 -4,187 2,638,212 17,881,874 792,064,488
Total Equity Composite 463,757,321 -16,100,040 58,270 --121,946 -2,306 1,154,443 25,309,122 474,054,864
Total Domestic Equity 293,323,940 -5,000,000 ---5,093 -1,002 718,424 21,389,253 310,425,521
Total Large Cap Equity Composite 162,582,908 ----5,093 -142 281,904 11,612,581 174,472,157
SSgA S&P 500 37,348,946 ----1,762 --2,310,133 39,657,317
SSgA S&P 500 Equal Weighted Index 44,051,301 ----3,331 --5,020,582 49,068,552
T. Rowe Price 81,182,660 -----142 281,904 4,281,866 85,746,288
Total Mid Cap Equity Composite 68,249,120 -5,000,000 ----362 299,017 4,094,208 67,641,984
Nuance Mid Cap Value 13,028,221 -----20 71,411 641,067 13,740,679
TimesSquare 20,635,112 -5,000,000 ----150 34,133 154,416 15,823,512
Great Lakes SmidCap 17,689,518 -----29 50,145 1,017,958 18,757,592
Reinhart Partners 16,896,269 -----163 143,327 2,280,767 19,320,200
Total Small Cap Equity Composite 62,491,912 -----499 137,503 5,682,464 68,311,380
Lee Munder (LMCG)28,751,533 -----230 123,879 4,643,143 33,518,324
Loomis Small Cap 33,740,379 -----269 13,625 1,039,321 34,793,056
Total International Equity 122,983,257 -11,100,040 58,270 --116,852 -1,304 436,019 3,385,754 115,645,103
Lazard 44,712,302 -1,100,000 ----1,304 312,204 990,053 44,913,254
Pictet 50,866,184 -10,000,000 ---58,583 -123,815 1,848,621 42,780,037
Berkeley Street 27,404,771 -40 58,270 --58,270 --547,080 27,951,812
Total Long/Short Equity Composite 47,450,125 ------534,115 47,984,240
ABS Global 47,450,125 ------534,115 47,984,240
Total Fixed Income Composite 243,343,835 2,549,243 ----1,223 1,107,201 -8,277,932 238,721,124
Total Domestic Fixed Income 195,560,473 -1,000,000 ----1,146 1,090,173 -7,474,442 188,175,057
CS McKee 111,870,411 -1,000,000 ----515 613,665 -4,511,255 106,972,305
Loomis Fixed Income 83,690,062 -----631 476,508 -2,963,187 81,202,752
Total Global Fixed 34,363,772 899 ----77 17,028 -803,489 33,578,133
Pimco Diversified Income -34,108,530 ----77 17,028 -547,348 33,578,133
Franklin Templeton 34,363,772 -34,107,630 ------256,142 -
Private Fixed Income 13,419,590 3,548,344 ------16,967,934
Churchill Senior Loan Fund 12,344,502 -2,640,868 ------9,703,634
Marathon Distressed Credit Fund LP 1,611,675 5,373,484 ------6,985,160
H.I.G. Bayside Loan Opportunity VI 384,918 -------384,918
BlackRock Direct Lending Feeder IX -3,295,797 ------3,295,797
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2021
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2021
Market Value
01/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2021
Total Real Asset 75,578,328 186,720 ---166,955 -375,153 864,214 76,837,461
Total Real Estate 70,176,508 186,720 ---166,955 -375,153 864,214 71,435,641
Morgan Stanley 37,992,130 ----109,260 -375,153 458,217 38,716,240
JPM Euro Property 70,524 -------70,524
Prudential PRISA II 19,614,725 ----57,695 --405,997 19,963,027
Alidade Capital Fund IV 5,307,639 -------5,307,639
Walton Street Real Estate 3,036,986 -198,024 ------2,838,962
AEW Real Estate 2,876,244 203,302 ------3,079,546
Dune Real Estate IV 1,278,260 181,442 ------1,459,702
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 13,364,076 11,253,253 -24,800,000 --658 1,415 -13,530 2,451,039
Cash and Equivalents Account 21,879 16,236,203 8,633,415 -24,800,000 --658 658 -91,497
Private Markets Cash 2,624,604 -2,872,127 2,619,838 ---757 -13,530 2,359,542
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 792,064,488 100.0 1.21 2.61 14.01 2.61 32.30 8.96 9.58 7.83 8.32 8.53 10/01/1986
Total Fund Policy Index 1.22 2.39 12.25 2.39 30.91 9.73 9.70 8.02 8.76 8.99
Total Equity Composite 474,054,864 59.9 2.23 5.83 25.68 5.83 59.43 11.92 13.20 10.03 10.73 9.96 10/01/1986
Total Equity Index 2.85 6.64 24.89 6.64 61.89 13.62 14.44 11.60 12.30 10.40
Total Fixed Income Composite 238,721,124 30.1 -0.84 -2.90 -1.37 -2.90 4.03 4.43 3.73 3.46 3.92 6.24 10/01/1986
Total Fixed Income Index -1.29 -3.51 -2.36 -3.51 1.72 4.41 3.05 3.15 3.25 6.04
Total Real Asset 76,837,461 9.7 1.64 1.64 4.10 1.64 5.20 6.44 7.62 9.55 9.52 4.94 07/01/2008
NCREIF Fund Index-ODCE (VW)2.09 2.09 3.42 2.09 2.30 4.88 6.19 8.25 9.67 5.14
Total Cash Composite 2,451,039 0.3
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2021
Page 7
Asset Allocation & Performance
Total Fund Composite
As of March 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 310,425,521 39.2 3.13 7.68 27.78 7.68 67.80 15.13 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 174,472,157 22.0 4.74 7.32 22.92 7.32 61.33 16.90 16.47 13.82 14.13 11.82 07/01/2008
SSgA S&P 500 (1.5 bps)39,657,317 5.0 4.38 6.19 19.08 6.19 56.34 16.78 16.32 13.64 13.96 14.58 10/01/2009
S&P 500 Index 4.38 6.17 19.07 6.17 56.35 16.78 16.29 13.59 13.91 14.52
SSgA S&P 500 Equal Weighted Index (4 bps)49,068,552 6.2 5.74 11.40 32.14 11.40 71.10 14.70 N/A N/A N/A 11.95 02/01/2018
S&P 500 Equal Weighted 5.96 11.49 32.06 11.49 71.61 14.90 14.74 12.13 13.09 12.14
T. Rowe Price (25 bps)85,746,288 10.8 4.33 5.62 19.92 5.62 58.34 17.63 17.47 14.57 14.72 15.14 10/01/2009
S&P 500 Index 4.38 6.17 19.07 6.17 56.35 16.78 16.29 13.59 13.91 14.52
Total Mid Cap Equity Composite 67,641,984 8.5 1.46 6.94 30.01 6.94 70.70 9.76 12.14 9.21 10.68 9.91 07/01/2008
Nuance Mid Cap Value (75 bps)13,740,679 1.7 4.32 5.47 22.15 5.47 N/A N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index 5.16 13.05 36.15 13.05 73.76 10.70 11.60 9.34 11.05 44.86
TimesSquare (80 bps)15,823,512 2.0 -0.73 0.09 18.04 0.09 65.94 20.44 19.21 14.42 14.92 16.39 09/01/2009
Russell Midcap Growth Index -1.91 -0.57 18.35 -0.57 68.61 19.41 18.39 14.37 14.11 16.32
Great Lakes SmidCap (55 bps)18,757,592 2.4 -0.14 6.04 30.13 6.04 76.94 N/A N/A N/A N/A 12.09 05/01/2019
Russell 2500 Index 1.64 10.93 41.33 10.93 89.40 15.34 15.93 11.46 12.20 20.02
Reinhart Partners (65 bps)19,320,200 2.4 2.90 14.35 48.89 14.35 82.52 N/A N/A N/A N/A 15.20 05/01/2019
Russell 2500 Index 1.64 10.93 41.33 10.93 89.40 15.34 15.93 11.46 12.20 20.02
Total Small Cap Equity Composite 68,311,380 8.6 0.85 9.31 39.14 9.31 83.33 15.44 15.60 10.69 11.33 11.46 07/01/2008
Lee Munder (70 bps)33,518,324 4.2 5.38 16.58 51.18 16.58 82.68 11.22 12.06 9.72 10.29 9.96 09/01/2005
Russell 2000 Value Index 5.23 21.17 61.59 21.17 97.05 11.57 13.56 8.93 10.06 8.01
Loomis Small Cap (90 bps)34,793,056 4.4 -3.16 3.12 29.23 3.12 83.96 19.77 20.90 14.18 N/A 17.33 09/01/2012
Russell 2000 Growth Index -3.15 4.88 35.92 4.88 90.20 17.16 18.61 12.77 13.02 15.54
Page 8
Asset Allocation & Performance
Total Fund Composite
As of March 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 115,645,103 14.6 0.81 3.17 25.05 3.17 54.30 6.28 9.98 6.27 6.65 5.05 07/01/2008
Total International Equity Index 1.34 3.60 21.29 3.60 50.03 7.02 10.28 5.75 5.58 3.89
Lazard (75 bps)44,913,254 5.7 2.05 2.91 22.05 2.91 49.26 6.12 9.37 6.33 7.46 6.33 09/01/2006
MSCI AC World ex USA 1.34 3.60 21.29 3.60 50.03 7.02 10.28 5.75 5.41 4.81
Pictet (65 bps)42,780,037 5.4 1.81 5.51 29.77 5.51 55.69 4.65 8.67 5.09 5.92 2.61 01/01/2008
MSCI EAFE Index 2.40 3.60 20.27 3.60 45.15 6.54 9.37 5.30 6.02 3.18
Berkeley Street (95 bps)27,951,812 3.5 -2.61 2.00 24.74 2.00 65.76 11.84 15.84 9.63 N/A 8.48 11/01/2012
MSCI Emerging Markets Index -1.49 2.34 22.58 2.34 58.92 6.87 12.48 6.97 4.02 6.19
Total Long/Short Equity Composite 47,984,240 6.1 0.00 1.13 14.69 1.13 28.68 7.48 7.66 5.59 5.49 5.54 10/01/2010
ABS Global (100 bps)47,984,240 6.1 0.00 1.13 14.69 1.13 28.68 7.48 7.66 5.71 6.03 6.28 10/01/2010
HFRI FOF: Strategic Index -1.87 0.85 11.73 0.85 31.16 5.90 6.73 4.38 3.88 4.16
Total Domestic Fixed Income 188,175,057 23.8 -0.92 -3.26 -1.94 -3.26 4.52 5.42 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)106,972,305 13.5 -1.01 -3.48 -2.84 -3.48 2.93 4.96 3.38 3.65 3.81 3.90 02/01/2010
Blmbg. Barc. U.S. Aggregate Index -1.25 -3.38 -2.73 -3.38 0.71 4.65 3.10 3.31 3.44 3.56
Loomis Fixed Income (30 bps)81,202,752 10.3 -0.79 -2.97 -0.71 -2.97 6.70 6.00 5.32 4.39 5.25 5.72 04/01/2010
Blmbg. Barc. U.S. Aggregate Index -1.25 -3.38 -2.73 -3.38 0.71 4.65 3.10 3.31 3.44 3.59
Total Global Fixed 33,578,133 4.2 -0.85 -2.29 -1.57 -2.29 -2.33 -2.21 N/A N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)33,578,133 4.2 -0.61 N/A N/A N/A N/A N/A N/A N/A N/A -0.61 03/01/2021
Blmbg. Barc. Global Credit (Hedged)-0.81 -2.64 0.39 -2.64 10.14 5.59 5.06 4.63 5.10 -0.81
Page 9
Asset Allocation & Performance
Total Fund Composite
As of March 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 71,435,641 9.0 1.76 1.76 3.85 1.76 4.49 6.16 N/A N/A N/A 7.65 09/01/2016
NCREIF Fund Index-ODCE (VW)2.09 2.09 3.42 2.09 2.30 4.88 6.19 8.25 9.67 6.29
Morgan Stanley (84 bps)38,716,240 4.9 2.19 2.19 3.70 2.19 3.19 6.05 7.61 9.75 11.29 6.30 01/01/2008
NCREIF Fund Index-ODCE (VW)2.09 2.09 3.42 2.09 2.30 4.88 6.19 8.25 9.67 5.07
Prudential PRISA II (85 bps)19,963,027 2.5 2.07 2.07 3.80 2.07 1.73 5.55 7.13 9.41 N/A 10.71 10/01/2011
NCREIF Property Index 0.00 0.00 1.15 0.00 0.88 4.30 5.45 7.36 8.64 8.30
JPM Euro Property 70,524 0.0 0.00 0.00 7.62 0.00 5.93 -7.19 -1.68 1.57 -0.97 -1.15 04/01/2009
NCREIF Property Index 0.00 0.00 1.15 0.00 0.88 4.30 5.45 7.36 8.64 7.58
Total Cash Composite 2,451,039 0.3
Cash and Equivalents Account (No fee)91,497 0.0
Private Markets Cash 2,359,542 0.3
Page 10
Comparative Performance - IRR
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
ValStone Opportunity Fund V 0.00 0.00 -0.89 0.00 2.82 6.77 7.17 N/A N/A 7.35 08/27/2014
Alidade Capital Fund IV 0.00 0.00 7.81 0.00 30.84 7.81 N/A N/A N/A 7.24 04/20/2017
Walton Street Real Estate 0.00 0.00 4.12 0.00 7.85 7.52 N/A N/A N/A 9.33 05/24/2017
AEW Real Estate 0.00 0.00 1.58 0.00 4.93 11.09 N/A N/A N/A 8.41 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 1.91 0.00 6.82 4.83 N/A N/A N/A 5.47 12/07/2017
Dune Real Estate IV 0.00 0.00 -1.58 0.00 -9.09 N/A N/A N/A N/A -14.69 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 16.46 0.00 39.18 N/A N/A N/A N/A 39.18 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 19.79 0.00 N/A N/A N/A N/A N/A 33.59 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 11.00 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 March 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. 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Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
Oakland County Employees' Retirement System
Asset / Manager Summary - April 22, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $32,657 4.1%$39,775 5.0%$7,118
SSgA S&P 500 EW 1 $49,069 6.2%$39,775 5.0%($9,294)3/31 MV
T. Rowe Price Enhanced 500 $88,052 11.1%$79,549 10.0%($8,503)
TimesSquare Mid Growth $16,246 2.0%$14,916 1.9%($1,330)
Great Lakes Small/Mid Core $18,979 2.4%$14,916 1.9%($4,063)
Reinhart Small/Mid Core $19,509 2.5%$14,916 1.9%($4,593)
Nuance Mid Value $13,959 1.8%$14,916 1.9%$957
Loomis, Sayles Small Growth $35,156 4.4%$29,831 3.8%($5,325)
LMCG Small Value $33,988 4.3%$29,831 3.8%($4,157)
ABS Global L/S Equity1 $47,984 6.0%$39,775 5.0%($8,209)
Total US Equity $355,599 44.7%$318,198 40.0%($37,401)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $45,749 5.8%$39,775 5.0%($5,974)
Pictet Intl Equity1 $42,778 5.4%$39,775 5.0%($3,003)
Berkley Street Emerging Mkts.1 $21,323 2.7%$19,887 2.5%($1,436)
Total Intl Equity $109,850 13.8%$99,437 12.5%($10,413)
CS McKee Core Fixed $107,640 13.5%$130,099 16.4%$22,459
Loomis, Sayles Core Plus $81,647 10.3%$79,549 10.0%($2,098)
PIMCO Diversifed Income $33,858 4.3%$39,775 5.0%$5,917 Funded 2/26
Churcill Direct Lending1 $9,704 1.2%$15,000 1.9%$5,296 $15MM / $8MM Commitment
BlackRock Direct Lending1 $3,296 0.4%$0 0.0%($3,296)$12MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment
HIG/Marathon Distressed1 $7,370 0.9%$14,000 1.8%$6,630 $7MM Commitment Each
Total Fixed Income $243,515 30.6%$278,423 35.0%$34,908 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $38,716 4.9%$49,139 6.2%$10,423
Prudential PRISA II VA RE1 $19,963 2.5%$15,910 2.0%($4,053)
Private VA Real Estate Funds1,2 $14,501 1.8%$14,501 1.8%$0
Total Real Estate $73,180 9.2%$79,549 10.0%$6,369
Hamilton Lane $2,332 0.3%$9,944 1.3%$7,612 $10MM Commitment
Portfolio Advisors $1,568 0.2%$9,944 1.3%$8,376 $10MM Commitment
Total Private Equity $3,900 0.5%$19,887 2.5%$15,987
Cash Account $9,450 1.2%$0 0.0%($9,450)
Total Fund $795,494 100.0%$795,494 100.0%$0
Market values from Northern Trust as of 4/7/21.
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 $68,958 8.7% $88,662 11.1% 15% Target / Includes ABS, Churchill, HIG, Marathon, HL, and PA
Use for benefits
3/31 MV
Current Allocation Target Allocation
Comments
Included in Other Assets allocation
Use for benefits
Target Allocation = 20% target less Churchill.
Target Allocation = 10% RE target less VA mgrs.