HomeMy WebLinkAboutReports - 2021.04.22 - 34332<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="03/31/2021" Interval="1" />
Investment Performance Review
Period Ending March 31, 2021
Oakland County ERS
VEBA 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 (0.6%)
Total Real Assets (8.1%)
Total Fixed Income Composite (31.2%)
Total Long/Short Equity Composite (4.1%)
Total International Equity (14.4%)
Total Domestic Equity (41.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Minimum
Allocation (%)
Maximum
Allocation (%)
Target
Allocation (%)
Min. Rebal.
($000)
Max. Rebal.
($000)
Target Rebal.
($000)
Total Fund Composite 1,509,463,295 100.0 N/A N/A 100.0 ---
Total Domestic Equity 628,381,432 41.6 10.0 50.0 35.0 -477,435,103 126,350,215 -100,069,279
Total International Equity 217,582,684 14.4 5.0 20.0 15.0 -142,109,520 84,309,975 8,836,810
Total Long/Short Equity Composite 61,398,409 4.1 0.0 7.5 5.0 -61,398,409 51,811,338 14,074,755
Total Fixed Income Composite 470,828,516 31.2 10.0 55.0 35.0 -319,882,187 359,376,296 57,483,637
Total Real Assets 122,756,745 8.1 0.0 15.0 10.0 -122,756,745 103,662,749 28,189,584
Total Cash Composite 8,515,508 0.6 0.0 5.0 0.0 -8,515,508 66,957,657 -8,515,508
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2021
Page 2
Executive Summary
Policy Target In Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.6%)
Total Real Assets (8.1%)
Total Fixed Income Composite (31.2%)
Total Long/Short Equity Composite (4.1%)
Total International Equity (14.4%)
Total Small Cap Equity Composite (9.4%)
Total Mid Cap Equity Composite (8.8%)
Total Large Cap Equity Composite (23.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,509,463,295 100.0 100.0 -
Total Large Cap Equity Composite 353,378,710 23.4 20.0 -51,486,051
Total Mid Cap Equity Composite 133,342,783 8.8 7.5 -20,133,036
Total Small Cap Equity Composite 141,659,939 9.4 7.5 -28,450,192
Total International Equity 217,582,684 14.4 15.0 8,836,810
Total Long/Short Equity Composite 61,398,409 4.1 5.0 14,074,755
Total Fixed Income Composite 470,828,516 31.2 35.0 57,483,637
Total Real Assets 122,756,745 8.1 10.0 28,189,584
Total Cash Composite 8,515,508 0.6 0.0 -8,515,508
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2021
Page 3
February 28, 2021 : $1,494,700,128 March 31, 2021 : $1,509,463,295
Allocation
Market Value Allocation
SSgA S&P 500 93,136,340 6.2¢
SSgA S&P 500 Equal Weighted Index 86,181,880 5.8¢
T. Rowe Price 158,189,179 10.6¢
Nuance Mid Cap Value 24,064,869 1.6¢
TimesSquare 42,763,233 2.9¢
Great Lakes SmidCap 32,657,345 2.2¢
Reinhart Partners 32,210,541 2.2¢
Lee Munder (LMCG)60,060,134 4.0¢
Loomis Small Cap 81,142,210 5.4¢
Lazard 82,527,408 5.5¢
Pictet 89,214,071 6.0¢
Berkeley Street 43,817,261 2.9¢
ABS Global 61,398,409 4.1¢
CS McKee 241,661,115 16.2¢
Loomis Fixed Income 142,398,439 9.5¢
Pimco Diversified Income (PDIIX)61,749,809 4.1¢
Churchill Senior Loan Fund 20,094,743 1.3¢
Marathon Distressed Credit Fund LP 4,645,160 0.3¢
H.I.G. Bayside Loan Opportunity VI 384,918 0.0¢
BlackRock Direct Lending Feeder IX 4,366,397 0.3¢
Morgan Stanley 66,534,082 4.5¢
Prudential PRISA II 27,433,412 1.8¢
Alidade Capital Fund IV 3,184,583 0.2¢
Walton Street Real Estate 5,677,924 0.4¢
AEW Real Estate 6,159,088 0.4¢
Dune Real Estate IV 2,919,411 0.2¢
Macquarie II U.S.76,533 0.0¢
Macquarie Fund III Europe 167,129 0.0¢
ValStone Opportunity Fund V 3,260,997 0.2¢
Hamilton Lane Secondary Fund V LP 4,080,836 0.3¢
Portfolio Adv Seconary Agg VI 1,567,851 0.1¢
Cash and Equivalents Account 3,934,077 0.3¢
Private Markets Cash 7,040,742 0.5¢
Allocation
Market Value Allocation
SSgA S&P 500 97,217,996 6.4¢
SSgA S&P 500 Equal Weighted Index 91,127,310 6.0¢
T. Rowe Price 165,033,404 10.9¢
Nuance Mid Cap Value 25,104,942 1.7¢
TimesSquare 42,448,739 2.8¢
Great Lakes SmidCap 32,639,659 2.2¢
Reinhart Partners 33,149,442 2.2¢
Lee Munder (LMCG)63,292,337 4.2¢
Loomis Small Cap 78,367,603 5.2¢
Lazard 84,235,210 5.6¢
Pictet 90,671,706 6.0¢
Berkeley Street 42,675,768 2.8¢
ABS Global 61,398,409 4.1¢
CS McKee 239,304,444 15.9¢
Loomis Fixed Income 141,262,143 9.4¢
Pimco Diversified Income (PDIIX)61,226,133 4.1¢
Churchill Senior Loan Fund 16,172,724 1.1¢
Marathon Distressed Credit Fund LP 6,985,160 0.5¢
H.I.G. Bayside Loan Opportunity VI 384,918 0.0¢
BlackRock Direct Lending Feeder IX 5,492,995 0.4¢
Morgan Stanley 67,802,178 4.5¢
Prudential PRISA II 27,937,401 1.9¢
Alidade Capital Fund IV 3,184,583 0.2¢
Walton Street Real Estate 5,677,924 0.4¢
AEW Real Estate 6,159,088 0.4¢
Dune Real Estate IV 2,919,411 0.2¢
Macquarie II U.S.76,533 0.0¢
Macquarie Fund III Europe 89,944 0.0¢
ValStone Opportunity Fund V 3,260,997 0.2¢
Hamilton Lane Secondary Fund V LP 4,080,836 0.3¢
Portfolio Adv Seconary Agg VI 1,567,851 0.1¢
Cash and Equivalents Account 4,610,240 0.3¢
Private Markets Cash 3,905,269 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 1,482,563,046 -7,496,862 -20,000,000 -491,540 -1,500 5,049,287 34,847,141 1,509,463,295
Total Equity Composite 892,564,538 -30,000,317 96,980 -7,000,000 -219,504 -1,300 2,151,225 49,770,905 907,362,526
Total Domestic Equity 605,703,991 -20,000,000 ---10,473 -101 1,349,424 41,338,592 628,381,432
Total Large Cap Equity Composite 349,202,015 -20,000,000 ---10,473 -555,295 23,631,873 353,378,710
SSgA S&P 500 91,563,769 ----4,287 --5,658,514 97,217,996
SSgA S&P 500 Equal Weighted Index 81,809,559 ----6,186 --9,323,937 91,127,310
T. Rowe Price 175,828,687 -20,000,000 ----555,295 8,649,422 165,033,404
Total Mid Cap Equity Composite 126,019,652 -----525,177 6,797,954 133,342,783
Nuance Mid Cap Value 23,803,142 -----111,515 1,190,285 25,104,942
TimesSquare 42,430,893 -----81,645 -63,798 42,448,739
Great Lakes SmidCap 30,778,291 -----86,525 1,774,843 32,639,659
Reinhart Partners 29,007,326 -----245,491 3,896,625 33,149,442
Total Small Cap Equity Composite 130,482,324 -----101 268,952 10,908,764 141,659,939
Lee Munder (LMCG)54,282,319 -----81 234,058 8,776,041 63,292,337
Loomis Small Cap 76,200,006 -----21 34,895 2,132,723 78,367,603
Total International Equity 226,145,567 -10,000,317 96,980 -7,000,000 -209,031 -1,199 801,801 7,748,884 217,582,684
Lazard 91,626,747 -10,000,000 ----1,199 577,232 2,032,430 84,235,210
Pictet 86,170,314 ----112,052 -224,569 4,388,875 90,671,706
Berkeley Street 48,348,506 -317 96,980 -7,000,000 -96,980 --1,327,579 42,675,768
Total Long/Short Equity Composite 60,714,980 ------683,429 61,398,409
ABS Global 60,714,980 ------683,429 61,398,409
Total Fixed Income Composite 458,375,835 26,467,979 ----200 2,087,244 -16,102,342 470,828,516
Total Domestic Fixed Income 373,147,742 20,000,000 ----200 2,056,319 -14,637,275 380,566,587
CS McKee 247,612,904 -----1,308,644 -9,617,104 239,304,444
Loomis Fixed Income 125,534,838 20,000,000 ----200 747,676 -5,020,171 141,262,143
Total Global Fixed 62,657,329 2,946 ----30,925 -1,465,067 61,226,133
Pimco Diversified Income -62,193,238 ----30,925 -998,030 61,226,133
Franklin Templeton 62,657,329 -62,190,292 ------467,037 -
Private Fixed Income 22,570,763 6,465,033 ------29,035,796
Churchill Senior Loan Fund 20,574,170 -4,401,446 ------16,172,724
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 Assets 121,489,841 -505,180 ---272,036 -810,672 1,233,449 122,756,745
Total Real Estate (Composite)111,535,058 373,442 ---272,036 -810,672 1,233,449 113,680,584
Morgan Stanley 66,534,082 ----191,342 -656,990 802,448 67,802,178
Prudential PRISA II 27,433,412 ----80,693 -153,682 431,000 27,937,401
Alidade Capital Fund IV 3,184,583 -------3,184,583
Walton Street Real Estate 6,073,971 -396,047 ------5,677,924
AEW Real Estate 2,876,244 203,302 ------3,079,546
Dune Real Estate IV 2,556,527 362,884 ------2,919,411
Private Investments 9,954,783 -878,622 ------9,076,161
Macquarie II U.S.877,910 -801,377 ------76,533
Macquarie Fund III Europe 167,189 -77,246 ------89,944
ValStone Opportunity Fund V 3,260,997 -------3,260,997
Hamilton Lane Secondary Fund V LP 4,080,836 -------4,080,836
Portfolio Adv Seconary Agg VI 1,567,851 -------1,567,851
Total Cash Composite 10,132,833 4,037,518 7,399,882 -13,000,000 --146 -54,871 8,515,508
Cash and Equivalents Account 249,513 14,327,084 3,033,484 -13,000,000 --151 6 4,610,240
Private Markets Cash 9,883,320 -10,289,566 4,366,397 ----6 -54,877 3,905,269
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 1,509,463,295 100.0 1.21 2.70 14.26 2.70 32.92 9.15 9.67 7.83 8.65 5.90 06/01/1998
Total Fund Policy Index 1.22 2.39 12.25 2.39 30.91 9.73 9.71 8.03 8.56 6.35
Total Equity Composite 907,362,526 60.1 2.26 6.10 25.88 6.10 61.26 12.29 13.50 10.28 11.00 6.14 04/01/1998
Total Equity Index 2.85 6.64 24.89 6.64 61.89 13.62 14.47 11.62 12.31 7.46
Total Fixed Income Composite 470,828,516 31.2 -0.84 -2.90 -1.47 -2.90 3.59 4.08 3.51 3.19 3.70 5.07 04/01/1998
Total Fixed Income Index -1.29 -3.51 -2.36 -3.51 1.72 4.41 3.04 3.14 3.24 4.77
Total Real Assets 122,756,745 8.1 1.69 1.69 3.99 1.69 5.12 7.61 8.46 9.63 10.87 7.29 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 0.2
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 628,381,432 41.6 2.94 7.30 26.95 7.30 67.29 15.05 N/A N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 353,378,710 23.4 4.70 7.40 22.76 7.40 61.27 16.79 16.34 13.71 14.02 11.66 07/01/2008
SSgA S&P 500 (1.5 bps)97,217,996 6.4 4.38 6.18 19.09 6.18 56.35 16.74 16.27 13.58 13.90 14.51 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)91,127,310 6.0 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)165,033,404 10.9 4.33 5.64 19.90 5.64 58.60 17.65 17.46 14.56 14.66 15.09 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 133,342,783 8.8 1.25 5.81 28.37 5.81 69.16 9.98 12.38 9.38 10.75 9.94 07/01/2008
Nuance Mid Cap Value (75 bps)25,104,942 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)42,448,739 2.8 -0.74 0.04 18.11 0.04 66.09 20.55 19.30 14.46 14.96 16.43 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)32,639,659 2.2 -0.05 6.05 30.12 6.05 77.23 N/A N/A N/A N/A 12.11 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)33,149,442 2.2 2.91 14.28 48.70 14.28 82.33 N/A N/A N/A N/A 15.02 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 141,659,939 9.4 0.32 8.57 38.06 8.57 83.58 15.83 15.92 10.93 11.52 11.56 07/01/2008
Lee Munder (LMCG) (70 bps)63,292,337 4.2 5.38 16.60 51.29 16.60 82.93 11.20 12.05 9.72 10.28 9.95 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)78,367,603 5.2 -3.42 2.84 28.98 2.84 83.97 19.84 20.94 14.14 N/A 17.28 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 217,582,684 14.4 0.96 4.15 26.04 4.15 56.02 6.94 10.36 6.52 6.82 5.17 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)84,235,210 5.6 2.07 2.92 22.19 2.92 49.74 6.38 9.54 6.42 7.57 6.40 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)90,671,706 6.0 1.68 5.36 29.58 5.36 56.19 4.76 8.73 5.13 5.94 2.63 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)42,675,768 2.8 -2.61 2.01 24.75 2.01 65.78 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 61,398,409 4.1 0.00 1.13 14.69 1.13 28.68 7.48 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)61,398,409 4.1 0.00 1.13 14.69 1.13 28.68 7.48 7.62 5.68 6.01 6.26 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 380,566,587 25.2 -0.91 -3.26 -2.04 -3.26 4.03 5.19 N/A N/A N/A N/A 07/01/2008
CS McKee (35 bps)239,304,444 15.9 -0.98 -3.36 -2.63 -3.36 2.79 4.79 3.28 3.53 3.75 3.83 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)141,262,143 9.4 -0.80 -3.09 -0.87 -3.09 6.58 5.99 5.35 4.39 5.22 5.69 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 61,226,133 4.1 -0.85 -2.18 -1.46 -2.18 -2.23 -2.18 N/A N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)61,226,133 4.1 -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 (Composite)113,680,584 7.5 1.83 1.83 3.65 1.83 3.61 6.24 N/A N/A N/A N/A 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)67,802,178 4.5 2.19 2.19 3.70 2.19 3.19 5.97 7.61 9.75 11.31 6.31 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)27,937,401 1.9 2.13 2.13 3.92 2.13 2.15 5.86 7.39 9.58 N/A 10.84 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
Total Cash Composite 8,515,508 0.6
Cash and Equivalents Account (No fee)4,610,240 0.3
Private Markets Cash 3,905,269 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
Macquarie II U.S.0.00 0.00 7.40 0.00 68.36 14.55 9.92 6.79 9.18 8.95 10/09/2008
Macquarie Fund III Europe 0.00 0.00 5.95 0.00 -4.76 23.66 18.97 8.67 9.00 8.50 10/17/2008
Alidade Capital Fund IV 0.00 0.00 7.81 0.00 30.86 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 7.53 N/A N/A N/A 9.34 05/25/2017
AEW Real Estate 0.00 0.00 1.61 0.00 4.98 11.15 N/A N/A N/A 8.44 09/26/2017
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 -12.00 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
Private Investments
As of March 31, 2021
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Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. 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Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
Oakland County Employees' Retirement System - VEBA
Asset / Manager Summary - April 22, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $97,218 6.4%$76,067 5.0%($21,152)
SSgA S&P 500 EW 1 $91,127 6.0%$76,067 5.0%($15,061)3/31 MV
T. Rowe Price Enhanced 500 $169,473 11.1%$152,133 10.0%($17,340)
TimesSquare Mid Growth $43,584 2.9%$28,525 1.9%($15,059)
Great Lakes Small/Mid Core $33,027 2.2%$28,525 1.9%($4,502)
Reinhart Small/Mid Core $33,472 2.2%$28,525 1.9%($4,947)
Nuance Mid Value $25,505 1.7%$28,525 1.9%$3,020
Loomis, Sayles Small Growth $71,102 4.7%$57,050 3.8%($14,052)Transfer $10MM to PIMCO
LMCG Small Value $64,180 4.2%$57,050 3.8%($7,130)
ABS Global L/S Equity1 $61,399 4.0%$76,067 5.0%$14,668
Total US Equity $690,087 45.4%$608,532 40.0%($81,555)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $85,769 5.6%$76,067 5.0%($9,703)
Pictet Intl Equity1 $90,680 6.0%$76,067 5.0%($14,614)
Berkley Street Emerging Mkts.1 $50,633 3.3%$38,033 2.5%($12,600)
Total Intl Equity $227,082 14.9%$190,166 12.5%($36,916)
CS McKee Core Fixed $240,733 15.8%$253,266 16.6%$12,533
Loomis, Sayles Core Plus $142,055 9.3%$152,133 10.0%$10,078
PIMCO Diversifed Income $61,737 4.1%$76,067 5.0%$14,330 Funded 2/26
Churcill Direct Lending1 $16,173 1.1%$25,000 1.6%$8,827 $25MM Commitment
BlackRock Direct Lending1 $3,296 0.2%$0 0.0%($3,296)$20MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $15MM Commitment
HIG/Marathon Distressed1 $7,370 0.5%$26,000 1.7%$18,630 $13MM Commitment Each
Total Fixed Income $471,364 31.0%$532,466 35.0%$61,102 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $67,802 4.5%$100,754 6.6%$32,952
Prudential PRISA II VA RE1 $27,937 1.8%$30,427 2.0%$2,490
Private VA Real Estate Funds1,2 $20,952 1.4%$20,952 1.4%$0
Total Real Estate $116,691 7.7%$152,133 10.0%$35,442
Hamilton Lane $4,081 0.3%$19,017 1.3%$14,936 $17.5MM Commitment
Portfolio Advisors $1,568 0.1%$19,017 1.3%$17,449 $17.5MM Commitment
Total Private Equity $5,649 0.4%$38,033 2.5%$32,384
Cash Account $10,457 0.7%$0 0.0%($10,457)
Total Fund $1,521,330 100.0%$1,521,330 100.0%$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, Macquire (US and Euro), Valstone and Walton Street.
Other Assets / Basket Clause $90,591 6.0% $165,100 10.9% 15% Target / Includes ABS, Churchill, HIG, Marathon, HL, and PA
Current Allocation Target Allocation
Comments
3/31 MV - Use for benefits
Included in Other Assets allocation
Target Allocation = 20% target less Churchill.
Target Allocation = 10% RE target less VA mgrs.