HomeMy WebLinkAboutReports - 2021.07.29 - 34743<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="2" EffectiveDate="06/30/2021" Interval="1" />
Investment Performance Review
Period Ending June 30, 2021
Oakland County ERS
Superseding Trust
Monthly Flash Report
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return 2.33 8.55 15.25 40.79 18.67 17.65Russell Midcap Index 1.47 7.50 16.25 49.80 16.45 15.62Russell 2000 Index 1.94 4.29 17.54 62.03 13.52 16.47Russell 1000 Growth Index 6.27 11.93 12.99 42.50 25.14 23.66Russell 1000 Value Index (1.15) 5.21 17.05 43.68 12.42 11.87Russell 3000 Index 2.47 8.24 15.11 44.16 18.73 17.89MSCI EAFE NR (1.13) 5.17 8.83 32.35 8.27 10.28MSCI EM NR 0.17 5.05 7.45 40.90 11.27 13.03Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies06/30/2112/31/2012/31/19U.S. Aggregate 0.70 1.83 (1.61) (0.34) 6.58 1.50 Euro Spot 1.19 1.22 1.12U.S. Corporate Investment Grade 1.63 3.55 (1.27) 3.30 8.72 2.04 British Pound Spot 1.38 1.37 1.33U.S. Corporate High Yield 1.34 2.74 3.62 15.37 3.84 3.75 Japanese Yen Spot 111.11 103.25 108.61Global Aggregate (0.88) 1.31 (3.21) 2.63 7.49 1.12 Swiss Franc Spot 0.93 0.89 0.97Key Rates06/30/2112/31/2012/31/1912/31/1812/31/17Commodities06/30/2112/31/2012/31/19US Generic Govt 3 Mth 0.04 0.06 1.54 2.35 1.38 Oil 73.47 48.37 53.88US Generic Govt 2 Yr 0.25 0.12 1.57 2.49 1.88 Gasoline 3.12 2.25 2.59US Generic Govt 10 Yr 1.47 0.91 1.92 2.68 2.41 Natural Gas 3.65 2.72 2.33US Generic Govt 30 Yr 2.09 1.64 2.39 3.01 2.74 Gold 1,771.60 1,905.80 1,187.30ICE LIBOR USD 3M 0.15 0.24 1.91 2.81 1.69 Silver 26.19 26.59 16.50Euribor 3 Month ACT/360 (0.54) (0.55) (0.38) (0.31) (0.33) Copper 428.90 352.70 284.15Bankrate 30Y Mortgage Rates Na 3.13 2.87 3.86 4.51 3.85 Corn 588.50 434.75 410.50Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 201.87 166.63 172.00Source: 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 26.7 17.5 9.0 S4.638.4M 19.4 16.2 10.4 M4.9 17.0 35.5June 30, 2021Index Returns (%)L 17.0 14.9 13.0 L2.8 20.945.6125.6023.3019.6716.4015.2514.5013.7611.8510.275.022.380.05.010.015.020.025.030.035.040.045.050.0YTD Sector Returns43.7433.1923.5420.6718.3313.4111.0210.710.52-1.75-2.16-33.60-40.0-30.0-20.0-10.00.010.020.030.040.050.02020 Sector Returns
Executive Summary
Policy Target In Policy
0.0%15.0%30.0%45.0%60.0%75.0%90.0%100.0%
Total Fixed Income Composite (32.2%)
Total Equity Composite (67.8%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 19,088,530 100.0 100.0 -
Total Equity Composite 12,934,382 67.8 60.0 -1,481,264
Total Fixed Income Composite 6,154,148 32.2 40.0 1,481,264
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2021
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May 31, 2021 : $18,736,189 June 30, 2021 : $19,088,530
Allocation
Market Value Allocation
SSgA S&P 500 12,640,502 67.5¢
CS McKee 6,095,687 32.5¢
Allocation
Market Value Allocation
SSgA S&P 500 12,934,382 67.8¢
CS McKee 6,154,148 32.2¢
Asset Allocation By Manager
Total Fund Composite
As of June 30, 2021
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Financial Reconciliation Month to Date
Market Value
04/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
06/30/2021
Total Fund Composite 17,942,154 ----570 -31,737 1,115,208 19,088,530
Total Equity Composite 11,916,325 ----570 --1,018,627 12,934,382
SSgA S&P 500 11,916,325 ----570 --1,018,627 12,934,382
Total Fixed Income Composite 6,025,829 -----31,737 96,582 6,154,148
CS McKee 6,025,829 -----31,737 96,582 6,154,148
Financial Reconciliation
Total Fund
Quarter To Date Ending June 30, 2021
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Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR Inception Inception
Date
Total Fund Composite 19,088,530 100.0 1.88 6.39 18.05 9.44 25.00 13.89 12.26 N/A 10.18 04/01/2015
Total Fund Policy Index 1.68 5.84 16.45 8.28 23.01 13.64 11.89 N/A 10.18
Total Equity Composite 12,934,382 67.8 2.33 8.55 29.50 15.46 41.06 18.71 17.67 N/A 14.68 06/01/2015
S&P 500 Index 2.33 8.55 29.25 15.25 40.79 18.67 17.65 14.10 14.66
SSgA S&P 500 (1.5 bps)12,934,382 67.8 2.33 8.55 29.31 15.29 40.85 18.66 17.63 N/A 14.65 06/01/2015
S&P 500 Index 2.33 8.55 29.25 15.25 40.79 18.67 17.65 14.10 14.66
Total Fixed Income Composite 6,154,148 32.2 0.96 2.13 -0.79 -1.38 0.29 5.63 3.43 N/A 3.49 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.70 1.83 -0.95 -1.61 -0.34 5.34 3.03 3.28 3.09
CS McKee (35 bps)6,154,148 32.2 0.96 2.13 -0.79 -1.38 0.29 5.63 3.43 N/A 3.49 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.70 1.83 -0.95 -1.61 -0.34 5.34 3.03 3.28 3.09
Asset Allocation & Performance
Total Fund Composite
As of June 30, 2021
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Oakland County Employees' Retirement System - Superseding Trust
Asset / Manager Summary - July 29, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $12,934 65.6%$11,839 60.0%($1,095)
Total US Equity $12,934 65.6% $11,839 60.0%($1,095)
CS McKee Core Fixed $6,196 31.4%$7,892 40.0%$1,696
Total Fixed Income $6,196 31.4% $7,892 40.0% $1,696
Cash Account $601 3.0% $0 0.0%($601)
Total Fund $19,731 100.0% $19,731 100.0% $0
Market values from Northern Trust as of 7/16/21.
1. Market values not updated daily by Northern Trust.
Transfer to CS McKee
6/30 MV; Transfer $600k to CS McKee
Current Allocation Target Allocation
Comments
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 6
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