HomeMy WebLinkAboutReports - 2021.06.29 - 34744<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="1" EffectiveDate="03/31/2021" Interval="3" Description="Quarterly Report" />
Investment Performance Review
Period Ending March 31, 2021
Oakland County ERS
Superseding Trust
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Executive Summary Page 1
Asset Allocation Vs. Policy Targets Page 11
Asset Allocation Pie Charts Page 12
Historical Asset Allocation Page 14
Performance Review Trailing Periods Page 16
Total Fund Analysis Page 18
SSgA S&P 500 Page 20
CS McKee Page 22
Historical Hybrid Composition Page 24
Definitions & Disclosure Pages Page 26
Table Of Contents
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EXECUTIVE SUMMARY: 1Q 2021 Market Summary: The positive trend for US stocks remained intact during the first quarter. The rotation in leadership that started during the 4th quarter continued into the 1st quarter with small cap and value stocks leading the way. The Russell 2000 Index (proxy for small companies) rose by 12.7% and the Russell 1000 Value increased by 11.3% during the quarter compared to 6.2% for the S&P 500. International equities also gained during the quarter, but their returns were not as strong (MSCI ACWI ex US +3.5%). The primary driver of stock prices has been the re-opening of the global economy and additional fiscal and monetary stimulus. This quarter-end marks, almost to the day, the one-year anniversary of the rally in the equity markets – US equity indices have appreciated by over 50% in the past year. While the momentum in stocks was decidedly positive during the quarter, that was not the case in fixed income. The yield on the US 10-Year Treasury bond increased 83 basis points during the quarter as investors anticipated rising inflation rates in the near future. Core fixed income suffered losses in all three months to start 2021; the BB US Aggregate declined 3.4% during the quarter. The lone bright spot in the bond market was high yield, benefiting from their stronger relationship to the equity markets than interest rates. Conclusions/Recommendations: 1. The Total Fund gained 2.86% during the quarter, out performing the Policy Index by 0.55% and ranking near the middle of the public fund universe. The Fund’s excess return is attributed to an overweight to equities during the quarter. 2. The Total Fund posted a return of 33.61% over the past year, ranking near the median fund in the peer group and exceeding the Policy Index. Longer-term, the Fund has performed well, performing in line with the Policy Index and ranking near the top of the peer group. 3. CS McKee suffered a loss this quarter as interest rates rose; the manager narrowly under performed the BB US Aggregate. Longer-term CS McKee exceeds performance expectations. 4. At quarter-end, both allocations were within policy ranges and near target allocations. 5. See the Asset/Manager Summary for additional comments and recommendations. Page 13
1st Quarter 2021 Market EnvironmentPage 24
Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of March 31, 2021Broad US equity markets produced positive returns for the 1stquarter of 2021.Performance during the period was largely driven by the effects of theAmerican Rescue Plan (the 3rdround of US fiscal stimulus) and the growingdeployment of COVID-19 vaccines. In March, President Biden signed the Planinto law providing an additional $1.9 trillion of economic stimulus to the USwhich only served to bolster investors’ optimism. As a result, for the 1stquarter,higher beta, small company stocks outperformed, returning 12.7% comparedto 8.1% for mid-caps and 5.9% for large company stocks. The FDA alsoapproved a third COVID-19 vaccine, a single dose treatment from Johnson &Johnson, for use. This approval created a better alignment of vaccine supplywith countywide demand. The equity market has grown immensely over thepast year as evidenced by the trailing 1-year chart which details the stellarrebound following a dramatic selloff in the 1stquarter of last year. Despite thesharp downturn at the onset of the pandemic, all broad US equity marketindexes have rebounded and are trading at near-record levels. Most notably,domestic small cap stocks have returned 94.9% while US large caps returned56.4% over the trailing 1-year period.Broad international equity markets also posted positive returns for the 1stquarter. Similar to US markets, a theme of optimism surrounding the outlookfor global growth and demand drove performance. In the 1stquarter, the MSCIEAFE Index (3.5%) modestly outperformed the MSCI Emerging Markets Index(2.3%) as a strengthening US dollar created headwinds for emerging markets.This trend is reversed over the trailing 1-year period with the MSCI EAFEIndex’s return of 44.6%, underperforming the MSCI Emerging Markets Indexreturn of 58.4%. While the European Union (EU) passed its largest-ever reliefbill at the end of 2020, unlike the relief bills passed in the US, the EU benefitswill take months to be dispersed through the economy. This delay most likelyplayed a part in why the MSCI EAFE Index underperformed US markets in the1stquarter.In contrast to equities, fixed income returns were negative during the 1stquarter as long-term interest rates rose and the yield curve noticeablysteepened. However, despite this, the Fed reiterated its intent to keep short-term rates low based on the expectation that inflation will not exceed theaverage 2% target. For the quarter, the Bloomberg Barclays (BB) USAggregate Index returned -3.4% driven by the underperformance in USGovernment (-4.1%) and Corporate Investment grade (-4.6%) bonds. For the1-year period, while not comparable to equity market advances, CorporateInvestment Grade credit proved to bean area of strength returning 8.7% andwas closely followed by US TIPS returning 7.5%.0.0%-4.6%-1.1%-1.5%-4.1%-3.4%12.7%8.1%5.9%6.3%6.2%2.3%3.5%3.5%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0%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 Performance0.1%8.7%-0.1%7.5%-4.3%0.7%94.8%73.6%60.6%62.5%56.4%58.4%44.6%49.4%-15.0% 0.0% 15.0% 30.0% 45.0% 60.0% 75.0% 90.0%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 PerformancePage 35
Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of March 31, 2021Continuing their recent trend, the majority of US equities posted their 4thstraight quarter of positive returns across both the style and marketcapitalization spectrums, with mid cap growth being the modestly negativeoutlier. During the quarter, small cap stocks outpaced both mid cap and largecap stocks as momentum related to vaccines and fiscal stimulus drove themarket. The Russell 2000 Index returned a strong 12.7% compared to 8.1% forthe Russell Mid Cap Index and 5.9% for the Russell 1000 Index.Value stocks outpaced growth stocks for the second consecutive quarter.Similar to the 4thquarter, the Russell 2000 Value Index was the bestperforming style index for the quarter with a return of 21.2%. While not asrobust as small cap value, both the mid cap (13.1%) and large cap (11.3%)value benchmarks posted double-digit gains. In contrast, growth-orientedcompanies lagged value-oriented companies at each capitalization level. Thewidest performance dispersion occurred in small cap with a span of 16.3%separating the growth and value index returns. Beneath the headline indexperformance, the growth and value differentials are also observable acrosseconomic sector returns since the value benchmarks are more heavilyweighted to sectors such as energy and financials, which led sector results,while growth indexes are dominated by their weights to technology andhealthcare, which lagged.Following one of the sharpest drawdowns in history, stock returns werestrongly positive over the trailing 1-year period across all styles and marketcapitalizations. Not surprisingly, higher beta, small cap stocks represented bythe Russell 2000 produced an outsized return of 94.8%. While not as strong assmall cap, performance in mid cap (73.6%) and large cap (60.6%) benchmarkswas also extremely impressive over the trailing year. Despite more than a 30%dispersion between market capitalization performance over the trailing 1-yearperiod, the difference between value and growth index results within eachcapitalization segment was much narrower. However, these style-basedresults do show how much value stockshave recovered relative to growthstocks in the recent quarter after lagging significantly following the onset of thepandemic.4.9%12.7%21.2%-0.6%8.1%13.1%0.9%5.9%11.3%1.2%6.3%11.9%-5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series90.2%94.8%97.1%68.6%73.6%73.8%62.7%60.6%56.1%64.3%62.5%58.4%0.0% 20.0% 40.0% 60.0% 80.0% 100.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 46
Sector performance was positive across all eleven large cap economic sectorsfor the 1stquarter. Six sectors outpaced the return of the broad index duringthe period. The pro-cyclical rotation that began during the latter part of 2020continued through the 1stquarter of 2021. Value-oriented sectors like energyand financials were some of the best performers for the quarter returning30.9% and 16.2%, respectively. The energy sector experienced strong returnsprimarily due to rising energy prices resulting from increased expectations ofeconomic growth and reduced supply. Financial stocks benefited from risinginterest rates which acted as a tailwind to earnings. While all sectorsexperienced positive returns, consumer staples (1.6%) and informationtechnology (1.3%) were significant laggards relative to their sector peers andthe broad index results.Over the trailing 1-year period, large cap consumer discretionary (91.1%),energy (79.6%), and materials (78.5%) were the best performing economicsectors. For the full year, seven sectors exceeded the return of the broadbenchmark: communication services, consumer discretionary, energy,financials, industrials, information technology, and materials. In contrast,sectors that were less impacted by COVID-19 such as consumer staples andutilities posted solid, but lower, returns for the trailing 1-year period. It isastonishing to observe that the weakest economic sector in the Russell 1000for the trailing year, utilities, still managed to produce a strong return of 19.8%.Similar to large cap stocks, all eleven small cap sectors posted positiveperformance for the recent quarter and seven of them posted returns greaterthan the Russell 2000 Index. The index was led higher by strength in theenergy sector, which returned 41.8% for the quarter. Consumer discretionarystocks also performed well during the period, returning 26.7%. Some of thesector’s absolute performance for the quarter can be partially attributed to the“Reddit-fueled” individual investor trading frenzy that took place in stocks likeGameStop (+907.5%) and AMC Entertainment (+223.1%) which experiencedsignificant positive performance and volatility.Small cap stocks significantly outperformed large cap across the majority ofeconomic sectors for the trailing 1-year period. While large cap sector returnswere impressive, small cap performance within the consumer discretionary(200.0%) and energy (150.0%) sectors were simply amazing. Consumerdiscretionary’s outsized performance is mainly attributable to the economicrecovery seen throughout 2020- multiple stimulus injections into the economyand investor confidence in the progress on vaccines. Like the large cap index,the bottom performing sector in the small cap benchmark was utilities (16.1%).This sector performance produced a staggering dispersion of more than 180%from the best to the worst-performing sector in the Russell 2000.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of March 31, 2021Source: 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. 19.8%34.4%78.5%69.8%70.2%36.7%69.1%79.6%29.7%91.1%63.6%2.9%8.5%9.2%1.3%10.8%2.7%16.2%30.9%1.6%3.6%7.4%0.0% 20.0% 40.0% 60.0% 80.0% 100.0%Utilities (2.6%)Real Estate (3.0%)Materials (2.7%)Info Technology (27.8%)Industrials (8.9%)Health Care (13.5%)Financials (10.7%)Energy (2.3%)Consumer Staples (5.8%)Consumer Disc (12.3%)Comm Services (10.5%)Russell 1000Quarter1-Year16.1%55.8%130.5%88.0%110.7%82.7%74.5%150.0%84.2%200.0%70.6%3.3%10.0%20.2%5.3%16.0%0.7%18.3%41.8%15.5%26.7%11.3%0.0% 50.0% 100.0% 150.0% 200.0%Utilities (2.8%)Real Estate (6.0%)Materials (4.1%)Info Technology (13.7%)Industrials (15.7%)Health Care (20.9%)Financials (15.0%)Energy (2.3%)Consumer Staples (3.2%)Consumer Disc (13.9%)Comm Services (2.4%)Russell 2000Quarter1-YearPage 57
The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of March 31, 2021Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 5.15% -7.8% 93.6% Information Technology Penn National Gaming Inc 0.58% 21.4% 728.8% Consumer DiscretionaryMicrosoft Corp 4.70% 6.2% 51.0% Information Technology Caesars Entertainment Inc 0.56% 17.7% 507.3% Consumer DiscretionaryAmazon.com Inc 3.49% -5.0% 58.7% Consumer Discretionary Plug Power Inc 0.52% 5.7% 912.4% IndustrialsFacebook Inc A 1.88% 7.8% 76.6% Communication Services Darling Ingredients Inc 0.42% 27.6% 283.8% Consumer StaplesAlphabet Inc A 1.65% 17.7% 77.5% Communication Services Novavax Inc 0.39% 62.6% 1235.1% Health CareAlphabet Inc Class C 1.60% 18.1% 77.9% Communication Services GameStop Corp Class A 0.38% 907.5% 5323.4% Consumer DiscretionaryTesla Inc 1.36% -5.3% 537.3% Consumer Discretionary Lithia Motors Inc Class A 0.36% 33.4%379.8% Consumer DiscretionaryBerkshire Hathaway Inc Class B 1.28% 10.2% 39.7%Financials Sunrun Inc 0.34%-12.8% 498.8% IndustrialsJPMorgan Chase & Co 1.23% 20.7% 75.4% Financials Builders FirstSource Inc 0.33% 13.6% 279.1% IndustrialsJohnson & Johnson 1.15% 5.1% 28.7% Health Care RH 0.33% 33.3%493.8% Consumer DiscretionaryTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorUpstart Holdings Inc Ordinary Shares 0.00% 216.2% N/A FinancialsGameStop Corp Class A 0.38% 907.5% 5323.4% Consumer DiscretionaryTripAdvisor Inc 0.01% 86.9% 209.3% Communication ServicesCassava Sciences Inc 0.05% 559.1% 993.7% Health CareWilliams-Sonoma Inc 0.04% 76.7% 331.6% Consumer Discretionary AMC Entmt Holdings Inc Class A 0.14% 381.6% 223.1%Communication ServicesTeradata Corp 0.01% 71.5% 88.1% Information Technology Express, Inc. 0.01%341.8% 169.8% Consumer DiscretionaryCoherent Inc 0.02% 68.6% 137.7% Information Technology Pandion Therapeutics Inc Ord Shrs 0.03% 304.4% N/A Health CareSignature Bank 0.03% 67.7% 187.3%Financials Evolus Inc 0.01% 286.6% 213.0% Health CareL Brands Inc 0.04% 66.3% 435.1%Consumer Discretionary Immunome Inc Ordinary Shares 0.00% 250.0% N/A Health CareMarathon Oil Corp 0.02% 60.6% 227.4% Energy Rubius Therapeutics Inc 0.03%249.1% 495.5% Health CareCimarex Energy Co 0.02% 59.0% 263.0% EnergyThe ExOne Co 0.02% 230.5% 390.8% IndustrialsContinental Resources Inc 0.01% 58.7% 238.6% Energy Amyris Inc 0.07% 209.3% 646.1% MaterialsBottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorSarepta Therapeutics Inc 0.01%-56.3% -23.8% Health Care Odonate Therapeutics Inc 0.00% -82.2% -87.6% Health CareC3.ai Inc Ordinary Shares - Class A 0.00% -52.5% N/A Information Technology Graybug Vision Inc Ordinary Shares 0.00% -80.9% N/A Health CareACADIA Pharmaceuticals Inc 0.01% -51.7% -38.9% Health Care Frequency Therapeutics Inc 0.01% -73.1% -46.7% Health CareBerkeley Lights Inc Ordinary Shares 0.00% -43.8% N/A Health Care Immunovant Inc 0.02% -65.3% 3.1% Health CareUnity Software Inc Ordinary Shares 0.01% -34.6% N/A Information Technology Imara Inc Ordinary Shares 0.00% -61.7% -47.3% Health CareAdaptive Biotechnologies Corp 0.01%-31.9% 44.9% Health Care Athenex Inc 0.01% -61.1% -44.4% Health CareAlteryx Inc Class A 0.01% -31.9% -12.8% Information Technology Concert Pharmaceuticals Inc 0.01% -60.5% -43.6% Health CareIovance Biotherapeutics Inc 0.01% -31.8% 5.8% Health Care Amicus Therapeutics Inc 0.09% -57.2% 6.9% Health CareAmerican Well Corp Ord Shrs - Class A 0.00% -31.4% N/A Health Care Oncorus Inc Ordinary Shares 0.00% -56.9% N/A Health CareArray Technologies Inc Ord Shares 0.01% -30.9% N/A Industrials Acutus Medical Inc Ordinary Shares 0.01% -53.6% N/A Health CarePage 68
Source: MSCI Global Index Monitor (Returns are Net)Nearly all broad international equity indexes the chart tracks posted positivereturns in both US dollar (USD) and local currency terms for the 1stquarter.Much like the trend seen in the US equity markets, international benchmarksbenefited from the optimism surrounding the continued roll-out of COVID-19vaccines. Fiscal and monetary stimulus also remained supportive throughoutthe Eurozone, UK, and Japan in the 1stquarter and benefited from the reboundin demand for global goods. For the period, developed markets outperformedemerging markets in both USD and local currency. The MSCI EAFE Indexreturned 3.5% in USD and 7.6% in local currency terms for the period whilethe MSCI Emerging Markets Index returned a lower 2.2% in USD and 3.5% inlocal currency terms. The performance of both broad international benchmarksfaced headwinds from currency conversion as the USD strengthened relativeto most major developed currencies and thus led to lower USD results. Duringthe 1stquarter, the only regional index component that had negativeperformance was EM Latin American. Thisregion’s -5.3% return was largelydriven by the negative performance of Columbia (-17.2%) and Brazil (-10.0%)during the period.The trailing 1-year results for international developed and emerging marketswere positive across all regions and currencies. The MSCI EAFE Indexreturned 44.6% in USD and 36.6% in local currency terms, while the MSCIEmerging Markets Index returned 58.4%in USD and 53.0% in local currencyterms. Like last quarter, performance within the emerging markets was led byAsian countries with the EM Asia Index region returning 60.1% in USD.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As of March 31, 20210.5%3.5%9.4%4.0%7.8%7.5%7.6%7.6%6.5%-5.3%2.2%8.1%2.3%2.5%4.0%3.5%4.0%3.5%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%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 Currency50.8%55.0%42.3%53.0%40.3%34.5%36.6%36.9%41.4%50.1%60.1%52.2%58.4%44.0%44.9%44.6%45.9%49.4%0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0%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 79
The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of March 31, 2021Source: 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% 3.9% 42.6%Consumer Discretionary 12.8% 5.8% 67.3%Consumer Staples 10.3% -2.6% 19.0%Energy 3.3% 10.6% 25.6%Financials 17.3% 9.7% 54.1%Health Care 12.0% -3.9% 17.4%Industrials 15.5% 5.4% 58.9%Information Technology 9.0% 2.4% 59.8%Materials 8.0% 5.2% 73.3%Real Estate 3.1% 2.5% 31.8%Utilities 3.7% -2.6% 28.2%Total 100.0% 3.5% 44.6%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.1% 4.9% 45.2%Consumer Discretionary 13.7% 2.2% 65.5%Consumer Staples 8.4% -2.5% 22.0%Energy 4.5% 9.6% 36.3%Financials 18.9% 8.4% 50.0%Health Care 8.9% -3.8% 22.2%Industrials 11.8% 5.2% 57.9%Information Technology 12.8% 3.5% 82.3%Materials 8.2% 5.4% 76.2%Real Estate 2.6% 3.5% 28.9%Utilities 3.2% -1.3% 28.4%Total 100.0% 3.5% 49.4%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 11.7% 5.6% 48.9%Consumer Discretionary 17.7% -3.1% 61.5%Consumer Staples 5.6% -2.8% 34.1%Energy 4.8% 2.8% 44.6%Financials 18.2% 3.2% 37.4%Health Care 4.5% -4.6% 59.4%Industrials 4.3% 2.7% 49.9%Information Technology 20.9% 4.7% 103.9%Materials 8.1% 9.1% 96.5%Real Estate 2.2% 5.9% 20.2%Utilities 2.0% 1.8% 30.4%Total 100.0% 2.3% 58.4%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 24.8% 15.5% 1.6% 39.7%United Kingdom 14.3% 8.9% 6.2% 33.5%France 11.1% 7.0% 4.4% 50.0%Germany 9.5% 5.9% 4.2% 59.3%Switzerland 9.2% 5.7% -2.0% 23.7%Australia 7.0% 4.4% 3.4% 68.4%Netherlands 4.2% 2.6% 11.2% 74.0%Sweden 3.6% 2.3% 11.3% 75.2%Hong Kong 3.4% 2.1% 7.3% 37.3%Italy 2.5% 1.6% 6.3% 53.0%Spain 2.4% 1.5% 1.0% 36.9%Denmark 2.4% 1.5% -3.0% 51.6%Singapore 1.1% 0.7% 8.9% 40.3%Finland 1.0% 0.6% -1.4% 46.8%Belgium 0.9% 0.6% -2.6% 32.8%Ireland 0.7% 0.5% 5.3% 63.1%Norway 0.6% 0.4% 11.0% 63.5%Israel 0.6% 0.4% -0.3% 40.0%New Zealand 0.3% 0.2% -10.6% 28.2%Austria 0.2% 0.1% 9.3% 85.1%Portugal 0.2% 0.1% -4.3% 26.1%Total EAFE Countries 100.0% 62.4% 3.5% 44.6%Canada 6.7% 9.6% 59.3%Total Developed Countries 68.8% 15.9% 7.6%China 11.7% -0.4% 43.6%Taiwan 4.3% 10.9% 93.2%Korea 4.1% 1.6% 89.5%India 3.0% 5.1% 76.4%Brazil 1.4% -10.0% 46.5%South Africa 1.2% 12.1% 80.5%Russia 1.0% 4.9% 44.3%Saudi Arabia 0.9% 16.5% 54.4%Thailand 0.6% 4.3% 39.1%Mexico 0.5% 4.2% 58.5%Malaysia 0.4% -5.8% 20.8%Indonesia 0.4% -7.6% 40.6%Qatar 0.2% 2.4% 20.8%Philippines 0.2% -10.6% 27.2%Poland 0.2% -7.5% 29.0%Chile 0.2% 16.9% 66.2%United Arab Emirates 0.2% 15.1% 56.5%Turkey 0.1% -20.4% 3.8%Peru 0.1% -10.6% 32.6%Hungary 0.1% 0.4% 45.4%Colombia 0.1% -17.2% 33.4%Argentina 0.0% -6.0% 74.7%Czech Republic 0.0% 5.5% 64.8%Greece 0.0% 1.5% 35.3%Egypt 0.0% -4.0% 2.1%Pakistan 0.0% 0.1% 37.8%Total Emerging Countries 30.7% 2.3% 58.4%Total ACWIxUS Countries 100.0% 3.5% 49.4%Page 810
Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of March 31, 2021Fixed income markets declined sharply during the 1stquarter primarily due torising interest rates which acted as a drag on bond benchmark performance.The Bloomberg Barclays (BB) US Aggregate Bond Index returned -3.4% forthe period. Digging deeper into the investment grade index’s segments,while each component was negative, the US Treasury (-4.3%) and USCorporate Investment Grade (-4.6%) segments drove the results. Althoughyields on issues of less than 2-years declined during the quarter, yields onlonger-dated issues rose substantially as the term to maturity increased.Notably, US High Yield (non-investment grade) was the only benchmarktracked on the chart to produce a positive result, adding 0.9% for thequarter. High yield bonds generally have a shorter duration compared toeither US Treasury or US investmentgrade corporate bonds, and as such,are less affected by rising interest rates. Importantly, credit spreads alsocontinued to decline during the period which acted as an additional tailwindfor high yield issues. Outside of domestic markets, the BB Global Aggregateex US Index posted a -5.3% return for the quarter. Like international stocks,global bonds were negatively impacted by the strengthening USD. Alsonotable was the revision in quality’s performance in the 1stquarter relative tothe previous three quarters. BBB rated credit (-4.3%) underperformed AAA(-2.9%) issues by 1.4%. In contrast, over the trailing 1-year period, BBBissues (13.1%) outpaced AAA issues (-2.3%) by a sizable margin.Over the trailing 1-year period, domestic bonds performance was small butpositive while global bonds posted solid results. The BB Global Aggregateex US Index return of 7.2% easilyoutpaced the domestic BB US AggregateIndex’s return of 0.7%. A steepening yield curve, combined with a fallingUSD, were the primary contributors to the relative outperformance of globalbonds. Results for the year were split beneath the headline performance ofthe BB US Aggregate Index with theUS Corporate Investment Gradesegment returning 8.7% and the US Treasury segment returning -4.4%. TheUS High Yield Index’s return of 23.7% was a positive outlier in fixed incomefor the 1-year period. High Yield issues likely benefited both from narrowingof credit spreads as well as capital appreciation following the pandemic’seconomic shock during the 1stquarter of 2020.-4.3%-5.3%-1.6%-3.4%-1.5%-4.6%-1.1%-4.3%0.9%-4.3%-4.9%-4.3%-2.9%-6.0% -4.0% -2.0% 0.0% 2.0%Multiverse (7.2)Global Agg x US (8.1)Intermediate Agg (4.2)Aggregate (6.4)U.S. TIPS (8.1)U.S. Corporate IG (8.5)U.S. Mortgage (4.1)U.S. Treasury (6.8)U.S. High Yield (3.9)Baa (8.5)A (8.2)AA (8.0)AAA (5.6)Quarter Performance 5.5%7.2%1.4%0.7%7.5%8.7%-0.1%-4.4%23.7%13.1%5.2%2.3%-2.3%-5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0%Multiverse (7.2)Global Agg x US (8.1)Intermediate Agg (4.2)Aggregate (6.4)U.S. TIPS (8.1)U.S. Corporate IG (8.5)U.S. Mortgage (4.1)U.S. Treasury (6.8)U.S. High Yield (3.9)Baa (8.5)A (8.2)AA (8.0)AAA (5.6)1-Year PerformancePage 911
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of March 31, 2021Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis in the yield graph to the right. The “1-Year Trailing Market Rates” chart illustrates that throughout 2020 the US 10-year Treasury (green line) stayed between 0.5% and 1.0% but beganincreasing rapidly at the beginning of 2021, reaching a high of 1.74% duringthe 1stquarter of 2021. At the start of 2020, US interest rates declinedsignificantly following the onset of the pandemic and the response from theUS Federal Reserve Bank (Fed) to lower rates back near zero. 2021’sacceleration in longer-term rates is due to an increase in investorexpectations of stronger economic growth and inflation concerns over thecontinued issuance of new Treasury bonds by the government to fundstimulus. The blue line illustrates changes in the BAA OAS (Option AdjustedSpread). This measure quantifies the additional yield premium that investorsrequire to purchase and hold non-Treasury investment grade issues. Theline illustrates the normalization in credit spreads following the substantialwidening at the onset of the pandemic. Credit spreads continued their steadydecline through the 1stquarter as concerns over corporate defaultssubsided. The green band across the graph illustrates the Fed Funds Rate.Over the past year, the Fed’s target rate range has remained unchanged at0.00% - 0.25%. During its March meeting, the Federal Open MarketCommittee (FOMC) upgraded its projections for the US economy in 2021 butvowed to keep interest rates near zero while also maintaining its assetpurchasing measures aimed at supplying the market with liquidity.The lower graph provides a snapshot of the US Treasury yield curve at theend of each of the last four quarters. Beginning in the 4thquarter of 2020,longer-term interest rates began tomove higher as investors’ optimismimproved. This trend continued through the 1stquarter. Short term interestrates, primarily those under two years, fell modestly while all long-term ratesincreased. The combination of additional fiscal stimulus, higher expectedeconomic growth, and inflation concerns all contributed to higher long-termrates. The 10-year Treasury ended the quarter at 1.74%, more in line withpre-pandemic levels, compared to 0.52% at its lowest point in 2020 and0.93% at the beginning of 2021.0.000.501.001.502.002.501 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve6/30/20209/30/202012/31/20203/31/2021-2.00-1.000.001.002.003.004.005.00Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-211-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 1012
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 (33.6%)
Total Equity Composite (66.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 17,942,154 100.0 100.0 -
Total Equity Composite 11,916,325 66.4 60.0 -1,151,033
Total Fixed Income Composite 6,025,829 33.6 40.0 1,151,033
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2021
Page 11 13
Asset Allocation By Segment as of
December 31, 2020 : $18,047,797
Asset Allocation By Segment as of
March 31, 2021 : $17,942,154
Allocation
Segments Market Value Allocation
Domestic Equity 11,807,372 65.4¢
Domestic Fixed Income 6,138,789 34.0¢
Cash Equivalent 101,635 0.6¢
Allocation
Segments Market Value Allocation
Domestic Equity 11,916,325 66.4¢
Domestic Fixed Income 5,838,236 32.5¢
Cash Equivalent 187,593 1.0¢
Asset Allocation Summary
Total Fund Composite
As of March 31, 2021
NONE
Page 12 14
Asset Allocation By Manager as of
December 31, 2020 : $18,047,797
Asset Allocation By Manager as of
March 31, 2021 : $17,942,154
Allocation
Market Value Allocation
SSgA S&P 500 11,807,372 65.4¢
CS McKee 6,240,425 34.6¢
Allocation
Market Value Allocation
SSgA S&P 500 11,916,325 66.4¢
CS McKee 6,025,829 33.6¢
Asset Allocation Summary
Total Fund Composite
As of March 31, 2021
NONE
Page 13 15
Asset Allocation Attributes
Mar-2021 Dec-2020 Sep-2020 Jun-2020 Mar-2020
($)%($)%($)%($)%($)%
Total Fund Composite 17,942,154 100.00 18,047,797 100.00 16,730,982 100.00 15,801,870 100.00 13,895,854 100.00
Total Equity Composite 11,916,325 66.42 11,807,372 65.42 10,527,920 62.92 9,665,811 61.17 8,019,905 57.71
SSgA S&P 500 11,916,325 66.42 11,807,372 65.42 10,527,920 62.92 9,665,811 61.17 8,019,905 57.71
Total Fixed Income Composite 6,025,829 33.58 6,240,425 34.58 6,203,062 37.08 6,136,059 38.83 5,875,949 42.29
CS McKee 6,025,829 33.58 6,240,425 34.58 6,203,062 37.08 6,136,059 38.83 5,875,949 42.29
Historical Asset Allocation
Total Fund
As of March 31, 2021
Page 14 16
Financial Reconciliation
Market Value
01/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2021
Total Fund Composite 18,047,797 ---600,000 -553 -34,847 460,063 17,942,154
Total Equity Composite 11,807,372 ---600,000 -553 --709,506 11,916,325
SSgA S&P 500 11,807,372 ---600,000 -553 --709,506 11,916,325
Total Fixed Income Composite 6,240,425 -----34,847 -249,443 6,025,829
CS McKee 6,240,425 -----34,847 -249,443 6,025,829
Financial Reconciliation
Total Fund
1 Quarter Ending March 31, 2021
Page 15 17
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)17,942,154 100.0 2.86 (60)10.96 (84)2.86 (60)33.61 (53)12.33 (5)11.34 (16)N/A N/A 9.49 (9)04/01/2015
Total Fund Policy Index 2.31 (78)10.02 (88)2.31 (78)31.71 (67)12.24 (6)11.15 (21)N/A N/A 9.59 (8)
Difference 0.55 0.94 0.55 1.90 0.09 0.19 N/A N/A -0.10
All Public Plans-Total Fund Median 3.13 13.87 3.13 33.90 9.83 10.21 7.99 8.24 8.14
Total Fund Composite (Net)17,942,154 100.0 2.86 10.95 2.86 33.59 12.29 11.29 N/A N/A 9.45 04/01/2015
Total Fund Policy Index 2.31 10.02 2.31 31.71 12.24 11.15 N/A N/A 9.59
Difference 0.55 0.93 0.55 1.88 0.05 0.14 N/A N/A -0.14
Total Equity Composite 11,916,325 66.4 6.37 (61)19.30 (62)6.37 (61)56.63 (53)16.82 (38)16.31 (44)N/A N/A 13.74 (38)06/01/2015
S&P 500 Index 6.17 (63)19.07 (66)6.17 (63)56.35 (54)16.78 (39)16.29 (45)13.59 (40)13.91 (42)13.72 (39)
Difference 0.20 0.23 0.20 0.28 0.04 0.02 N/A N/A 0.02
IM U.S. Large Cap Core Equity (SA+CF) Median 6.75 20.35 6.75 57.08 15.94 16.10 13.25 13.76 13.25
SSgA S&P 500 11,916,325 66.4 6.22 (62)19.13 (65)6.22 (62)56.40 (54)16.76 (41)16.28 (46)N/A N/A 13.72 (39)06/01/2015
S&P 500 Index 6.17 (63)19.07 (66)6.17 (63)56.35 (54)16.78 (39)16.29 (45)13.59 (40)13.91 (42)13.72 (39)
Difference 0.05 0.06 0.05 0.05 -0.02 -0.01 N/A N/A 0.00
IM U.S. Large Cap Core Equity (SA+CF) Median 6.75 20.35 6.75 57.08 15.94 16.10 13.25 13.76 13.25
Total Fixed Income Composite 6,025,829 33.6 -3.44 (80)-2.86 (91)-3.44 (80)2.55 (67)4.90 (75)3.34 (74)N/A N/A 3.28 (67)04/01/2015
Blmbg. Barc. U.S. Aggregate Index -3.38 (68)-2.73 (81)-3.38 (68)0.71 (90)4.65 (92)3.10 (91)3.31 (93)3.44 (92)2.91 (92)
Difference -0.06 -0.13 -0.06 1.84 0.25 0.24 N/A N/A 0.37
IM U.S. Broad Market Core Fixed Income (SA+CF) Median -3.18 -2.11 -3.18 3.33 5.26 3.74 3.81 3.97 3.46
CS McKee 6,025,829 33.6 -3.44 (80)-2.86 (91)-3.44 (80)2.55 (67)4.90 (75)3.34 (74)N/A N/A 3.28 (67)04/01/2015
Blmbg. Barc. U.S. Aggregate Index -3.38 (68)-2.73 (81)-3.38 (68)0.71 (90)4.65 (92)3.10 (91)3.31 (93)3.44 (92)2.91 (92)
Difference -0.06 -0.13 -0.06 1.84 0.25 0.24 N/A N/A 0.37
IM U.S. Broad Market Core Fixed Income (SA+CF) Median -3.18 -2.11 -3.18 3.33 5.26 3.74 3.81 3.97 3.46
Asset Allocation & Performance
Total Fund Composite (Gross)
As of March 31, 2021
Page 16 18
Page Intentionally Left Blank Page 1719
Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
-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
Composite 2.86 (60)10.96 (84)33.61 (53)14.77 (18)12.33 (5)11.58 (12)11.34 (16)
Policy Index 2.31 (78)10.02 (88)31.71 (67)14.54 (22)12.24 (6)11.37 (14)11.15 (21)
Median 3.13 13.87 33.90 12.88 9.83 9.94 10.21
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Return2020 2019 2018 2017 2016
Composite 14.52 (27)22.27 (6)-2.49 (19)14.82 (58)8.30 (29)
Policy Index 14.73 (26)22.18 (6)-2.35 (17)14.21 (68)8.31 (29)
Median 12.56 18.59 -4.15 15.23 7.59
1 Qtr
Ending
Dec-2020
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
Composite 7.87 (90)5.88 (21)13.72 (27)-11.84 (28)5.62 (33)2.01 (5)
Total Fund Policy Index 7.54 (91)5.64 (30)13.32 (33)-10.88 (19)5.46 (41)1.96 (5)
All Public Plans-Total Fund Median 10.21 5.24 12.25 -13.23 5.23 0.84
As of March 31, 2021
Performance Review
Composite
NONE
Page 18 20
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
6.0
9.0
12.0
15.0
Composite (%)3.0 6.0 9.0 12.0 15.0
Total Fund Policy Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0Return Percentile Rank6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 3/21
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Composite 13 12 (92%)1 (8%)0 (0%)0 (0%)
Policy Index 13 12 (92%)1 (8%)0 (0%)0 (0%)
9.02
9.84
10.66
11.48
12.30
13.12
Return (%)10.80 11.00 11.20 11.40 11.60
Risk (Standard Deviation %)
Return Standard
Deviation
Composite 12.33 11.48
Policy Index 12.24 11.00
Median 9.82 11.14¾
9.88
10.26
10.64
11.02
11.40
11.78
Return (%)8.8 9.0 9.2 9.4 9.6
Risk (Standard Deviation %)
Return Standard
Deviation
Composite 11.34 9.36
Policy Index 11.15 8.95
Median 10.20 9.01¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Composite 0.61 103.26 106.00 -0.39 0.22 0.94 1.04 7.19
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.97 1.00 6.75
90 Day U.S. Treasury Bill 11.11 4.97 -4.08 1.61 -0.97 N/A -0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Composite 0.56 103.51 106.01 -0.28 0.38 1.07 1.04 5.78
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.09 1.00 5.42
90 Day U.S. Treasury Bill 9.03 4.90 -4.28 1.27 -1.09 N/A -0.01 0.00
As of March 31, 2021
Performance Review
Composite
NONE
Page 19 21
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
95.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 6.22 (62)19.13 (65)56.40 (54)20.58 (46)16.76 (41)16.06 (46)16.28 (46)
S&P 500 Index 6.17 (63)19.07 (66)56.35 (54)20.60 (44)16.78 (39)16.08 (45)16.29 (45)
Median 6.75 20.35 57.08 20.27 15.94 15.85 16.10
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
Return2020 2019 2018 2017 2016
SSgA S&P 500 18.34 (44)31.46 (36)-4.40 (38)21.81 (52)11.98 (34)
S&P 500 Index 18.40 (43)31.49 (35)-4.38 (37)21.83 (51)11.96 (35)
Median 17.19 30.10 -5.20 21.84 10.63
1 Qtr
Ending
Dec-2020
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
SSgA S&P 500 12.16 (53)8.92 (36)20.53 (48)-19.63 (45)9.07 (33)1.69 (43)
S&P 500 Index 12.15 (54)8.93 (35)20.54 (47)-19.60 (44)9.07 (32)1.70 (42)
IM U.S. Large Cap Core Equity (SA+CF) Median 12.32 8.01 20.42 -20.04 8.22 1.51
Performance Review
As of March 31, 2021
SSgA S&P 500
NONE
Page 20 22
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
Under 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 Rank6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 3/21
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 12 0 (0%)12 (100%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)
15.68
15.96
16.24
16.52
16.80
17.08
Return (%)21.32 21.36 21.40 21.44 21.48 21.52
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 16.76 21.36
S&P 500 Index 16.78 21.35
Median 15.94 21.48¾
16.03
16.10
16.17
16.24
16.31
16.38
Return (%)16.68 16.74 16.80 16.86 16.92 16.98 17.04
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 16.28 16.79
S&P 500 Index 16.29 16.78
Median 16.10 16.99¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.03 99.98 100.04 -0.02 -0.51 0.86 1.00 11.76
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.86 1.00 11.75
90 Day U.S. Treasury Bill 18.26 2.95 -2.69 1.61 -0.86 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 0.02 99.97 100.03 -0.02 -0.47 1.02 1.00 9.36
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.02 1.00 9.35
90 Day U.S. Treasury Bill 14.85 2.98 -2.74 1.27 -1.02 N/A -0.01 0.00
Performance Review
As of March 31, 2021
SSgA S&P 500
NONE
Page 21 23
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
CS McKee -3.44 (80)-2.86 (91)2.55 (67)4.99 (76)4.90 (75)4.06 (72)3.34 (74)
Bar US Agg -3.38 (68)-2.73 (81)0.71 (90)4.74 (88)4.65 (92)3.78 (94)3.10 (91)
Median -3.18 -2.11 3.33 5.48 5.26 4.40 3.74
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return2020 2019 2018 2017 2016
CS McKee 7.92 (67)9.10 (55)0.32 (29)3.54 (83)2.85 (65)
Bar US Agg 7.51 (88)8.72 (78)0.01 (62)3.54 (84)2.65 (76)
Median 8.52 9.19 0.07 4.03 3.10
1 Qtr
Ending
Dec-2020
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
CS McKee 0.60 (89)1.09 (51)4.43 (48)1.62 (56)0.16 (64)2.52 (14)
Blmbg. Barc. U.S. Aggregate Index 0.67 (84)0.62 (85)2.90 (89)3.15 (24)0.18 (58)2.27 (70)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.11 1.10 4.36 1.95 0.22 2.32
Performance Review
As of March 31, 2021
CS McKee
NONE
Page 22 24
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 Rank6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 3/21
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
CS McKee 13 0 (0%)4 (31%)9 (69%)0 (0%)
Bar US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)
4.50
4.80
5.10
5.40
Return (%)3.42 3.48 3.54 3.60 3.66 3.72 3.78 3.84
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 4.90 3.78
Bar US Agg 4.65 3.51
Median 5.26 3.75¾
3.00
3.30
3.60
3.90
Return (%)3.24 3.27 3.30 3.33 3.36 3.39 3.42 3.45 3.48
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 3.34 3.30
Bar US Agg 3.10 3.29
Median 3.74 3.43¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 1.02 106.94 109.46 0.08 0.25 0.90 1.04 1.81
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.91 1.00 1.56
90 Day U.S. Treasury Bill 3.44 12.89 -19.14 1.39 -0.91 N/A 0.02 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 0.88 101.41 94.86 0.34 0.26 0.67 0.97 1.74
Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.60 1.00 1.79
90 Day U.S. Treasury Bill 3.22 12.30 -14.88 1.11 -0.60 N/A 0.02 0.00
Performance Review
As of March 31, 2021
CS McKee
NONE
Page 23 25
Total Policy Historical Hybrid Composition
Allocation Mandate Weight (%)
Apr-2015
S&P 500 Index 60.00
Blmbg. Barc. U.S. Aggregate Index 40.00
Historical Hybrid Composition
Total Fund Policy Index
As of March 31, 2021
Page 24 26
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Total Fund Composite 0.13 17,942,154 23,474
SSgA S&P 500 0.02 11,916,325 2,383 0.02 % of First $50 M
0.01 % Thereafter
CS McKee 0.35 6,025,829 21,090 0.35 % of First $25 M
0.30 % of Next $25 M
0.25 % of Next $50 M
0.20 % Thereafter
Oakland County Employees' Retirement System
Fee Analysis
As of March 31, 2021
Page 25 27
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 2628
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 2729
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.30
<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="2" EffectiveDate="04/30/2021" Interval="1" />
Investment Performance Review
Period Ending April 30, 2021
Oakland County ERS
Superseding Trust
Monthly Flash Report
31
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return 5.34 12.98 11.84 45.98 18.67 17.42Russell Midcap Index 5.10 13.95 13.65 59.57 16.71 15.58Russell 2000 Index 2.10 9.55 15.07 74.91 15.23 16.48Russell 1000 Growth Index 6.80 8.61 7.81 51.41 25.37 22.88Russell 1000 Value Index 4.00 16.77 15.70 45.92 12.30 12.15Russell 3000 Index 5.15 12.33 11.83 50.92 18.95 17.67MSCI EAFE NR 3.01 7.74 6.59 39.88 6.27 8.87MSCI EM NR 2.49 1.71 4.83 48.71 7.51 12.50Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies04/30/2112/31/2012/31/19U.S. Aggregate 0.79 (1.91) (2.61) (0.27) 6.39 1.51 Euro Spot 1.20 1.22 1.12U.S. Corporate Investment Grade 1.11 (2.34) (3.59) 4.46 8.54 2.18 British Pound Spot 1.38 1.37 1.33U.S. Corporate High Yield 1.09 1.61 1.95 19.67 3.85 3.99 Japanese Yen Spot 109.31 103.25 108.61Global Aggregate 1.26 (2.39) (3.25) 3.95 7.40 1.13 Swiss Franc Spot 0.91 0.89 0.97Key Rates04/30/2112/31/2012/31/1912/31/1812/31/17Commodities04/30/2112/31/2012/31/19US Generic Govt 3 Mth 0.00 0.06 1.54 2.35 1.38 Oil 63.58 48.63 54.44US Generic Govt 2 Yr 0.16 0.12 1.57 2.49 1.88 Gasoline 2.90 2.25 2.59US Generic Govt 10 Yr 1.63 0.91 1.92 2.68 2.41 Natural Gas 2.93 2.61 2.29US Generic Govt 30 Yr 2.30 1.64 2.39 3.01 2.74 Gold 1,767.70 1,902.80 1,187.30ICE LIBOR USD 3M 0.18 0.24 1.91 2.81 1.69 Silver 25.87 26.53 16.50Euribor 3 Month ACT/360 (0.54) (0.55) (0.38) (0.31) (0.33) Copper 446.80 352.65 283.85Bankrate 30Y Mortgage Rates Na 3.11 2.87 3.86 4.51 3.85 Corn 673.25 480.25 418.50Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 192.93 166.63 172.00Source: 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 23.6 15.1 7.2 S4.638.4M 18.5 13.6 5.0 M4.9 17.0 35.5April 30, 2021Index Returns (%)L 15.7 11.6 7.8 L2.8 20.931.6123.5218.0616.5715.4214.9111.8410.437.347.277.243.380.05.010.015.020.025.030.035.0YTD 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 Returns32
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 (32.6%)
Total Equity Composite (67.4%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 18,634,398 100.0 100.0 -
Total Equity Composite 12,552,514 67.4 60.0 -1,371,875
Total Fixed Income Composite 6,081,884 32.6 40.0 1,371,875
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of April 30, 2021
Page 2 33
March 31, 2021 : $17,942,154 April 30, 2021 : $18,634,398
Allocation
Market Value Allocation
SSgA S&P 500 11,916,325 66.4¢
CS McKee 6,025,829 33.6¢
Allocation
Market Value Allocation
SSgA S&P 500 12,552,514 67.4¢
CS McKee 6,081,884 32.6¢
Asset Allocation By Manager
Total Fund Composite
As of April 30, 2021
Page 3 34
Financial Reconciliation Month to Date
Market Value
04/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
04/30/2021
Total Fund Composite 17,942,154 -----10,976 681,269 18,634,398
Total Equity Composite 11,916,325 ------636,189 12,552,514
SSgA S&P 500 11,916,325 ------636,189 12,552,514
Total Fixed Income Composite 6,025,829 -----10,976 45,080 6,081,884
CS McKee 6,025,829 -----10,976 45,080 6,081,884
Financial Reconciliation
Total Fund
Quarter To Date Ending April 30, 2021
Page 4 35
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 18,634,398 100.0 3.86 3.86 15.24 6.83 27.89 13.76 12.11 N/A 10.04 04/01/2015
Total Fund Policy Index 3.52 3.52 13.89 5.90 25.77 13.57 11.84 N/A 10.07
Total Equity Composite 12,552,514 67.4 5.34 5.34 25.67 12.05 46.26 18.71 17.44 N/A 14.54 06/01/2015
S&P 500 Index 5.34 5.34 25.43 11.84 45.98 18.67 17.42 14.32 14.52
SSgA S&P 500 (1.5 bps)12,552,514 67.4 5.34 5.34 25.49 11.89 46.04 18.65 17.41 N/A 14.51 06/01/2015
S&P 500 Index 5.34 5.34 25.43 11.84 45.98 18.67 17.42 14.32 14.52
Total Fixed Income Composite 6,081,884 32.6 0.93 0.93 -1.95 -2.54 0.87 5.45 3.46 N/A 3.39 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.79 0.79 -1.96 -2.61 -0.27 5.19 3.19 3.30 3.00
CS McKee (35 bps)6,081,884 32.6 0.93 0.93 -1.95 -2.54 0.87 5.45 3.46 N/A 3.39 04/01/2015
Blmbg. Barc. U.S. Aggregate Index 0.79 0.79 -1.96 -2.61 -0.27 5.19 3.19 3.30 3.00
Asset Allocation & Performance
Total Fund Composite
As of April 30, 2021
Page 5 36
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 637
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.38
Market UpdateRussell Indices Style Returns *Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return 0.70 10.72 12.62 40.32 18.00 17.16Russell Midcap Index 0.80 8.81 14.56 50.29 16.15 15.39Russell 2000 Index 0.21 3.34 15.30 64.56 13.06 16.01Russell 1000 Growth Index (1.38) 7.14 6.32 39.92 23.02 22.07Russell 1000 Value Index 2.33 12.69 18.41 44.38 12.94 12.33Russell 3000 Index 0.46 9.42 12.34 43.91 18.03 17.36MSCI EAFE NR 3.26 8.81 10.07 38.41 8.23 9.77MSCI EM NR 2.32 3.28 7.26 51.00 9.65 13.88Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies05/31/2112/31/2012/31/19U.S. Aggregate 0.33 (0.14) (2.29) (0.41) 6.49 1.50 Euro Spot 1.22 1.22 1.12U.S. Corporate Investment Grade 0.77 0.14 (2.85) 3.64 8.59 2.11 British Pound Spot 1.42 1.37 1.33U.S. Corporate High Yield 0.30 1.54 2.25 14.96 3.89 4.03 Japanese Yen Spot 109.58 103.25 108.61Global Aggregate 0.74 0.05 (2.54) 4.26 7.44 1.12 Swiss Franc Spot 0.90 0.89 0.97Key Rates05/31/2112/31/2012/31/1912/31/1812/31/17Commodities05/31/2112/31/2012/31/19US Generic Govt 3 Mth 0.00 0.06 1.54 2.35 1.38 Oil 66.32 48.52 54.15US Generic Govt 2 Yr 0.14 0.12 1.57 2.49 1.88 Gasoline 3.05 2.25 2.59US Generic Govt 10 Yr 1.59 0.91 1.92 2.68 2.41 Natural Gas 2.99 2.69 2.33US Generic Govt 30 Yr 2.28 1.64 2.39 3.01 2.74 Gold 1,905.30 1,905.80 1,187.30ICE LIBOR USD 3M 0.13 0.24 1.91 2.81 1.69 Silver 28.01 26.53 16.50Euribor 3 Month ACT/360 (0.54) (0.55) (0.38) (0.31) (0.33) Copper 467.75 352.65 283.85Bankrate 30Y Mortgage Rates Na 3.10 2.87 3.86 4.51 3.85 Corn 656.75 480.25 418.50Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 198.20 166.63 172.00Source: 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.*Heat maps are displayed utilizing a 9-color scale, with green as the highest return for the time period noted and red as the lowest return for the time period noted. Color scales within each time period are mutually exclusive.Levels (%)Levels19.9 34.5YTD 2020Index Returns (%)LevelsS 27.5 15.3 4.1 S 4.638.4M 20.9 14.6 3.4 M 4.9 17.0 35.5May 31, 2021Index Returns (%)L 18.4 12.1 6.3 L 2.8 20.939.2029.4320.9119.4819.0316.5012.629.296.366.225.214.730.05.010.015.020.025.030.035.040.045.0YTD 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 Returns39
Oakland County Employees' Retirement System - Superseding Trust
Asset / Manager Summary - June 17, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $12,641 65.2%$11,628 60.0%($1,013)
Total US Equity $12,641 65.2% $11,628 60.0%($1,013)
CS McKee Core Fixed $6,138 31.7%$7,752 40.0%$1,614
Total Fixed Income $6,138 31.7% $7,752 40.0% $1,614
Cash Account $601 3.1% $0 0.0%($601)
Total Fund $19,380 100.0% $19,380 100.0% $0
Market values from Northern Trust as of 6/10/21.
1. Market values not updated daily by Northern Trust.
Transfer to CS McKee
5/31 MV; Transfer $600k to CS McKee
Current Allocation Target Allocation
Comments
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