HomeMy WebLinkAboutReports - 2021.09.23 - 34826<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="07/31/2021" Interval="1" />
Investment Performance Review
Period Ending July 31, 2021
Oakland County ERS
Defined Benefit Plan
Monthly Flash Report
Market UpdateRussell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann VBG VBGS&P 500 Total Return 2.38 5.50 17.99 36.45 18.16 17.35Russell Midcap Index 0.77 3.07 17.14 42.58 15.79 14.77Russell 2000 Index (3.61) (1.54) 13.29 51.97 11.49 14.28Russell 1000 Growth Index 3.30 8.26 16.71 36.68 25.29 23.32Russell 1000 Value Index 0.80 1.97 17.98 39.32 11.27 11.41Russell 3000 Index 1.69 4.67 17.06 38.73 18.10 17.36MSCI EAFE NR 0.75 2.87 9.65 30.31 7.66 9.35MSCI EM NR (6.73) (4.40) 0.22 20.64 7.93 10.37Fixed IncomeMonth3 MYTD1 YearMod. Adj. DurationYield to WorstCurrencies07/31/2112/31/2012/31/19U.S. Aggregate 1.12 2.16 (0.51) (0.70) 6.57 1.36 Euro Spot 1.19 1.22 1.12U.S. Corporate Investment Grade 1.37 3.81 0.08 1.42 8.80 1.93 British Pound Spot 1.39 1.37 1.33U.S. Corporate High Yield 0.38 2.03 4.01 10.62 3.86 3.88 Japanese Yen Spot 109.72 103.25 108.61Global Aggregate 1.33 1.38 (1.92) 0.79 7.56 0.99 Swiss Franc Spot 0.91 0.89 0.97Key Rates07/31/2112/31/2012/31/1912/31/1812/31/17Commodities07/31/2112/31/2012/31/19US Generic Govt 3 Mth 0.04 0.06 1.54 2.35 1.38 Oil 73.95 48.19 53.64US Generic Govt 2 Yr 0.18 0.12 1.57 2.49 1.88 Gasoline 3.17 2.25 2.59US Generic Govt 10 Yr 1.22 0.91 1.92 2.68 2.41 Natural Gas 3.91 2.71 2.32US Generic Govt 30 Yr 1.89 1.64 2.39 3.01 2.74 Gold 1,817.20 1,911.20 1,187.30ICE LIBOR USD 3M 0.12 0.24 1.91 2.81 1.69 Silver 25.55 26.59 16.50Euribor 3 Month ACT/360 (0.54) (0.55) (0.38) (0.31) (0.33) Copper 448.25 352.70 284.15Bankrate 30Y Mortgage Rates Na 2.98 2.87 3.86 4.51 3.85 Corn 545.25 434.75 410.50Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 205.58 166.63 172.00Source: 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 22.1 13.3 5.0 S4.638.4M 20.2 17.1 11.6 M4.9 17.0 35.5July 31, 2021Index Returns (%)L 18.0 17.3 16.7 L2.8 20.933.5729.0125.0423.9518.1517.9917.4417.3316.8310.827.706.820.05.010.015.020.025.030.035.040.0YTD 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 Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (1.4%)
Total Real Asset (10.1%)
Total Fixed Income Composite (30.8%)
Total Long/Short Equity Composite (5.1%)
Total International Equity (13.6%)
Total Domestic Equity (39.0%)
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 811,970,179 100.0 N/A N/A 100.0 ---
Total Domestic Equity 316,621,226 39.0 10.0 50.0 35.0 -235,424,208 89,363,864 -32,431,663
Total International Equity 110,331,157 13.6 5.0 20.0 15.0 -69,732,648 52,062,879 11,464,370
Total Long/Short Equity Composite 41,616,733 5.1 0.0 7.5 5.0 -41,616,733 19,281,031 -1,018,224
Total Fixed Income Composite 250,370,952 30.8 10.0 55.0 35.0 -169,173,934 196,212,647 33,818,611
Total Real Asset 81,893,149 10.1 0.0 15.0 10.0 -81,893,149 39,902,378 -696,131
Total Cash Composite 11,136,964 1.4 0.0 5.0 0.0 -11,136,964 29,461,545 -11,136,964
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of July 31, 2021
Page 2
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (1.4%)
Total Real Asset (10.1%)
Total Fixed Income Composite (30.8%)
Total Long/Short Equity Composite (5.1%)
Total International Equity (13.6%)
Total Small Cap Equity Composite (7.8%)
Total Mid Cap Equity Composite (8.4%)
Total Large Cap Equity Composite (22.8%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 811,970,179 100.0 100.0 -
Total Large Cap Equity Composite 184,889,471 22.8 20.0 -22,495,435
Total Mid Cap Equity Composite 68,215,774 8.4 7.5 -7,318,010
Total Small Cap Equity Composite 63,515,981 7.8 7.5 -2,618,218
Total International Equity 110,331,157 13.6 15.0 11,464,370
Total Long/Short Equity Composite 41,616,733 5.1 5.0 -1,018,224
Total Fixed Income Composite 250,370,952 30.8 35.0 33,818,611
Total Real Asset 81,893,149 10.1 10.0 -696,131
Total Cash Composite 11,136,964 1.4 0.0 -11,136,964
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of July 31, 2021
Page 3
June 30, 2021 : $808,308,516 July 31, 2021 : $811,970,179
Allocation
Market Value Allocation
SSgA S&P 500 35,442,675 4.4¢
SSgA S&P 500 Equal Weighted Index 52,464,178 6.5¢
T. Rowe Price 93,299,535 11.5¢
Nuance Mid Cap Value 14,199,636 1.8¢
TimesSquare 17,364,670 2.1¢
Great Lakes SmidCap 16,613,445 2.1¢
Reinhart Partners 19,828,729 2.5¢
Lee Munder (LMCG)30,253,756 3.7¢
Loomis Small Cap 33,128,415 4.1¢
Lazard 47,001,726 5.8¢
Pictet 43,884,940 5.4¢
Berkeley Street 22,130,683 2.7¢
ABS Global 48,725,548 6.0¢
CS McKee 109,338,324 13.5¢
Loomis Fixed Income 83,043,039 10.3¢
Pimco Diversified Income (PDIIX)34,609,177 4.3¢
Churchill Senior Loan Fund 10,206,852 1.3¢
Marathon Distressed Credit Fund LP 6,232,963 0.8¢
H.I.G. Bayside Loan Opportunity VI 667,199 0.1¢
BlackRock Direct Lending Feeder IX 3,844,912 0.5¢
Morgan Stanley 39,793,507 4.9¢
JPM Euro Property 34,103 0.0¢
Prudential PRISA II 20,923,457 2.6¢
Alidade Capital Fund IV 5,854,445 0.7¢
Walton Street Real Estate 3,004,539 0.4¢
AEW Real Estate 2,963,316 0.4¢
Dune Real Estate IV 1,346,622 0.2¢
ValStone Opportunity Fund V 2,236,175 0.3¢
Hamilton Lane Secondary Fund V LP 3,999,051 0.5¢
Portfolio Adv Secondary Agg VI 1,892,443 0.2¢
Cash and Equivalents Account 348,659 0.0¢
Private Markets Cash 3,631,798 0.4¢
Allocation
Market Value Allocation
SSgA S&P 500 36,278,913 4.5¢
SSgA S&P 500 Equal Weighted Index 53,096,032 6.5¢
T. Rowe Price 95,514,526 11.8¢
Nuance Mid Cap Value 14,363,306 1.8¢
TimesSquare 17,771,378 2.2¢
Great Lakes SmidCap 16,154,030 2.0¢
Reinhart Partners 19,927,059 2.5¢
Lee Munder (LMCG)29,874,311 3.7¢
Loomis Small Cap 33,641,671 4.1¢
Lazard 46,926,376 5.8¢
Pictet 43,486,551 5.4¢
Berkeley Street 19,918,230 2.5¢
ABS Global 41,616,733 5.1¢
CS McKee 110,438,441 13.6¢
Loomis Fixed Income 83,712,105 10.3¢
Pimco Diversified Income (PDIIX)34,834,432 4.3¢
Churchill Senior Loan Fund 10,206,852 1.3¢
Marathon Distressed Credit Fund LP 6,232,963 0.8¢
H.I.G. Bayside Loan Opportunity VI 667,199 0.1¢
BlackRock Direct Lending Feeder IX 4,278,960 0.5¢
Morgan Stanley 39,793,507 4.9¢
JPM Euro Property 34,103 0.0¢
Prudential PRISA II 20,923,457 2.6¢
Alidade Capital Fund IV 5,854,445 0.7¢
Walton Street Real Estate 3,004,539 0.4¢
AEW Real Estate 2,808,807 0.3¢
Dune Real Estate IV 1,346,622 0.2¢
ValStone Opportunity Fund V 2,236,175 0.3¢
Hamilton Lane Secondary Fund V LP 3,999,051 0.5¢
Portfolio Adv Secondary Agg VI 1,892,443 0.2¢
Cash and Equivalents Account 3,569,075 0.4¢
Private Markets Cash 7,567,889 0.9¢
Asset Allocation By Manager
Total Fund Composite
As of July 31, 2021
Page 4
Financial Reconciliation Month to Date
Market Value
07/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
07/31/2021
Total Fund Composite 808,308,516 -448,986 --56,106 -815 685,525 2,584,073 811,970,179
Total Equity Composite 474,337,935 -7,000,000 14,939 --34,476 -564 227,363 1,023,918 468,569,116
Total Domestic Equity 312,595,039 -----328 165,442 3,861,073 316,621,226
Total Large Cap Equity Composite 181,206,388 -----49 101,349 3,581,784 184,889,471
SSgA S&P 500 35,442,675 ------836,238 36,278,913
SSgA S&P 500 Equal Weighted Index 52,464,178 ------631,855 53,096,032
T. Rowe Price 93,299,535 -----49 101,349 2,113,692 95,514,526
Total Mid Cap Equity Composite 68,006,480 -----204 46,967 162,531 68,215,774
Nuance Mid Cap Value 14,199,636 -----126 21,138 142,657 14,363,306
TimesSquare 17,364,670 -----22 3,666 403,064 17,771,378
Great Lakes SmidCap 16,613,445 -----6 14,850 -474,258 16,154,030
Reinhart Partners 19,828,729 -----51 7,312 91,069 19,927,059
Total Small Cap Equity Composite 63,382,171 -----74 17,127 116,758 63,515,981
Lee Munder (LMCG)30,253,756 -----11 12,828 -392,263 29,874,311
Loomis Small Cap 33,128,415 -----63 4,299 509,020 33,641,671
Total International Equity 113,017,349 -14,939 --34,476 -236 61,921 -2,728,340 110,331,157
Lazard 47,001,726 -----236 60,475 -135,589 46,926,376
Pictet 43,884,940 ----19,537 -1,446 -380,299 43,486,551
Berkeley Street 22,130,683 -14,939 --14,939 ---2,212,453 19,918,230
Total Long/Short Equity Composite 48,725,548 -7,000,000 ------108,815 41,616,733
ABS Global 48,725,548 -7,000,000 ------108,815 41,616,733
Total Fixed Income Composite 247,942,466 434,047 ---21,631 -234 458,123 1,558,180 250,370,952
Total Domestic Fixed Income 192,381,363 -----234 355,922 1,413,495 194,150,546
CS McKee 109,338,324 -----144 192,056 908,205 110,438,441
Loomis Fixed Income 83,043,039 -----90 163,866 505,289 83,712,105
Total Global Fixed 34,609,177 ----21,631 -102,201 144,686 34,834,432
Pimco Diversified Income 34,609,177 ----21,631 -102,201 144,686 34,834,432
Private Fixed Income 20,951,926 434,047 ------21,385,973
Churchill Senior Loan Fund 10,206,852 -------10,206,852
Marathon Distressed Credit Fund LP 6,232,963 -------6,232,963
H.I.G. Bayside Loan Opportunity VI 667,199 -------667,199
BlackRock Direct Lending Feeder IX 3,844,912 434,047 ------4,278,960
Financial Reconciliation
Total Fund
Quarter To Date Ending July 31, 2021
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending July 31, 2021
Market Value
07/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
07/31/2021
Total Real Asset 82,047,658 -154,509 ------81,893,149
Total Real Estate 73,919,989 -154,509 ------73,765,480
Morgan Stanley 39,793,507 -------39,793,507
JPM Euro Property 34,103 -------34,103
Prudential PRISA II 20,923,457 -------20,923,457
Alidade Capital Fund IV 5,854,445 -------5,854,445
Walton Street Real Estate 3,004,539 -------3,004,539
AEW Real Estate 2,963,316 -154,509 ------2,808,807
Dune Real Estate IV 1,346,622 -------1,346,622
Private Investments 8,127,669 -------8,127,669
ValStone Opportunity Fund V 2,236,175 -------2,236,175
Hamilton Lane Secondary Fund V LP 3,999,051 -------3,999,051
Portfolio Adv Secondary Agg VI 1,892,443 -------1,892,443
Total Cash Composite 3,980,458 6,720,462 434,047 ---17 39 1,975 11,136,964
Cash and Equivalents Account 348,659 2,786,368 434,047 ---17 17 -3,569,075
Private Markets Cash 3,631,798 3,934,094 ----22 1,975 7,567,889
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 811,970,179 100.0 0.40 0.40 19.77 7.73 21.13 9.81 9.75 8.33 8.77 8.60 10/01/1986
Total Fund Policy Index 0.51 0.51 18.17 7.79 19.42 10.60 9.78 8.46 9.26 9.06
Total Equity Composite 468,569,116 57.7 0.27 0.27 32.99 11.97 35.36 12.46 13.26 10.72 11.53 10.03 10/01/1986
Total Equity Index 0.23 0.23 33.98 14.40 37.19 14.32 14.63 12.29 13.32 10.52
Total Fixed Income Composite 250,370,952 30.8 0.81 0.81 2.22 0.63 2.06 5.61 3.91 3.68 3.88 6.29 10/01/1986
Total Fixed Income Index 1.15 1.15 0.47 -0.72 -0.34 5.60 3.02 3.32 3.12 6.07
Total Real Asset 81,893,149 10.1 0.00 0.00 9.30 6.13 11.20 7.46 8.18 9.79 9.68 5.20 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.50 6.12 8.02 5.52 6.57 8.40 9.60 5.31
Total Cash Composite 11,136,964 1.4
Asset Allocation & Performance
Total Fund Composite
As of July 31, 2021
Page 7
Asset Allocation & Performance
Total Fund Composite
As of July 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 316,621,226 39.0 1.29 1.29 38.09 16.36 40.52 15.46 15.71 N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 184,889,471 22.8 2.03 2.03 35.70 18.47 39.31 18.07 17.32 14.82 15.47 12.35 07/01/2008
SSgA S&P 500 (1.5 bps)36,278,913 4.5 2.36 2.36 32.25 17.93 36.37 18.13 17.36 14.74 15.39 15.15 10/01/2009
S&P 500 Index 2.38 2.38 32.32 17.99 36.45 18.16 17.35 14.71 15.35 15.10
SSgA S&P 500 Equal Weighted Index (4 bps)53,096,032 6.5 1.20 1.20 42.99 20.55 45.66 15.40 N/A N/A N/A 13.28 02/01/2018
S&P 500 Equal Weighted 1.29 1.29 43.00 20.72 45.60 15.68 15.02 12.92 14.32 13.47
T. Rowe Price (25 bps)95,514,526 11.8 2.37 2.37 33.58 17.65 37.30 19.04 18.48 15.73 16.15 15.73 10/01/2009
S&P 500 Index 2.38 2.38 32.32 17.99 36.45 18.16 17.35 14.71 15.35 15.10
Total Mid Cap Equity Composite 68,215,774 8.4 0.31 0.31 36.92 12.62 37.58 10.12 12.00 9.81 11.65 10.08 07/01/2008
Nuance Mid Cap Value (75 bps)14,363,306 1.8 1.15 1.15 27.69 10.25 25.60 N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index 0.62 0.62 44.74 20.19 47.07 11.09 11.00 9.90 12.21 48.98
TimesSquare (80 bps)17,771,378 2.2 2.34 2.34 32.58 12.41 35.60 22.92 20.08 16.37 16.78 17.04 09/01/2009
Russell Midcap Growth Index 1.03 1.03 32.80 11.58 34.51 21.94 19.61 16.06 15.69 16.95
Great Lakes SmidCap (55 bps)16,154,030 2.0 -2.77 -2.77 32.44 7.92 35.34 N/A N/A N/A N/A 11.08 05/01/2019
Russell 2500 Index -1.75 -1.75 46.41 14.92 49.09 13.83 14.76 12.27 13.10 18.66
Reinhart Partners (65 bps)19,927,059 2.5 0.50 0.50 53.57 17.94 50.74 N/A N/A N/A N/A 14.37 05/01/2019
Russell 2500 Index -1.75 -1.75 46.41 14.92 49.09 13.83 14.76 12.27 13.10 18.66
Total Small Cap Equity Composite 63,515,981 7.8 0.21 0.21 45.71 14.48 46.33 13.47 14.89 12.25 12.17 11.55 07/01/2008
Lee Munder (70 bps)29,874,311 3.7 -1.25 -1.25 56.90 20.99 54.86 9.23 11.09 10.65 11.21 9.99 09/01/2005
Russell 2000 Value Index -3.58 -3.58 62.91 22.16 63.70 8.30 11.61 9.67 10.82 7.89
Loomis Small Cap (90 bps)33,641,671 4.1 1.55 1.55 36.44 8.87 39.01 17.75 20.38 16.48 N/A 17.34 09/01/2012
Russell 2000 Growth Index -3.64 -3.64 36.10 5.01 41.00 13.87 16.40 13.52 13.56 14.93
Page 8
Asset Allocation & Performance
Total Fund Composite
As of July 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 110,331,157 13.6 -2.36 -2.36 27.08 4.85 30.05 7.13 9.42 6.20 6.69 5.04 07/01/2008
Total International Equity Index -1.62 -1.62 26.06 7.67 28.30 8.41 10.15 5.71 5.97 4.09
Lazard (75 bps)46,926,376 5.8 -0.16 -0.16 27.53 7.53 30.59 8.37 9.64 6.56 7.73 6.50 09/01/2006
MSCI AC World ex USA -1.62 -1.62 26.06 7.67 28.30 8.41 10.15 5.71 5.90 4.98
Pictet (65 bps)43,486,551 5.4 -0.86 -0.86 32.15 7.45 37.26 4.59 8.31 5.46 6.07 2.69 01/01/2008
MSCI EAFE Index 0.76 0.76 27.71 10.01 30.86 8.16 9.87 5.86 6.63 3.56
Berkeley Street (95 bps)19,918,230 2.5 -10.00 -10.00 18.55 -3.06 17.78 11.96 12.59 7.72 N/A 7.52 11/01/2012
MSCI Emerging Markets Index -6.67 -6.67 20.26 0.41 21.00 8.31 10.77 5.39 3.97 5.72
Total Long/Short Equity Composite 41,616,733 5.1 -0.26 -0.26 16.16 2.42 16.99 7.30 7.76 5.72 5.50 5.49 10/01/2010
ABS Global (100 bps)41,616,733 5.1 -0.26 -0.26 16.16 2.42 16.99 7.30 7.76 5.82 6.00 6.21 10/01/2010
HFRI FOF: Strategic Index -0.75 -0.75 16.07 4.77 19.20 7.16 6.96 4.76 4.34 4.40
Total Domestic Fixed Income 194,150,546 23.9 0.92 0.92 1.18 -0.19 0.64 6.48 4.06 N/A N/A N/A 07/01/2008
CS McKee (35 bps)110,438,441 13.6 1.01 1.01 0.31 -0.36 -0.33 6.07 3.53 3.87 3.74 4.08 02/01/2010
Blmbg. U.S. Aggregate Index 1.12 1.12 0.16 -0.51 -0.70 5.73 3.12 3.48 3.35 3.72
Loomis Fixed Income (30 bps)83,712,105 10.3 0.81 0.81 2.36 0.03 1.97 6.99 4.91 4.42 5.13 5.83 04/01/2010
Blmbg. U.S. Aggregate Index 1.12 1.12 0.16 -0.51 -0.70 5.73 3.12 3.48 3.35 3.75
Total Global Fixed 34,834,432 4.3 0.71 0.71 2.24 1.49 1.69 -1.14 1.51 N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)34,834,432 4.3 0.71 0.71 N/A N/A N/A N/A N/A N/A N/A 2.92 03/01/2021
Blmbg. Global Credit (Hedged)1.03 1.03 3.69 0.56 3.07 6.63 4.73 4.74 5.09 2.45
Page 9
Asset Allocation & Performance
Total Fund Composite
As of July 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 73,765,480 9.1 0.00 0.00 8.80 6.61 10.46 7.12 N/A N/A N/A 8.13 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.50 6.12 8.02 5.52 6.57 8.40 9.60 6.68
Morgan Stanley (84 bps)39,793,507 4.9 0.00 0.00 7.09 5.54 8.46 6.47 7.76 9.75 11.24 6.39 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.50 6.12 8.02 5.52 6.57 8.40 9.60 5.24
Prudential PRISA II (85 bps)20,923,457 2.6 0.00 0.00 9.10 7.28 9.57 6.53 7.63 9.65 N/A 10.89 10/01/2011
NCREIF Property Index 0.00 0.00 6.58 5.37 7.37 5.50 6.13 7.72 8.79 8.59
JPM Euro Property 34,103 0.0 0.00 0.00 -47.96 -51.64 -44.92 -27.00 -13.78 -8.95 -8.16 -6.78 04/01/2009
NCREIF Property Index 0.00 0.00 6.58 5.37 7.37 5.50 6.13 7.72 8.79 7.82
Total Cash Composite 11,136,964 1.4
Cash and Equivalents Account (No fee)3,569,075 0.4
Private Markets Cash 7,567,889 0.9
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 1.95 2.86 3.73 7.23 5.27 7.41 N/A 7.41 08/27/2014
Alidade Capital Fund IV 0.00 0.00 20.90 12.17 27.72 12.35 N/A N/A N/A 10.11 04/20/2017
Walton Street Real Estate 0.00 0.00 10.05 5.75 13.32 8.57 N/A N/A N/A 9.99 05/24/2017
AEW Real Estate 0.00 0.00 16.86 15.46 19.73 16.54 N/A N/A N/A 12.81 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 9.44 7.59 16.95 6.91 N/A N/A N/A 6.97 12/07/2017
Dune Real Estate IV 0.00 0.00 -9.51 -7.84 -6.32 N/A N/A N/A N/A -15.39 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 23.46 -0.96 35.30 N/A N/A N/A N/A 34.98 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 56.11 29.12 N/A N/A N/A N/A N/A 69.00 09/10/2020
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 0.00 2.55 N/A N/A N/A N/A N/A 0.00 09/29/2020
Portfolio Adv Secondary Agg VI 0.00 0.00 N/A -1.21 N/A N/A N/A N/A N/A 25.44 11/02/2020
BlackRock Direct Lending Feeder IX 0.00 0.00 N/A -12.50 N/A N/A N/A N/A N/A -12.50 01/05/2021
Comparative Performance - IRR
Alternative Investments
As of July 31, 2021
Page 11
Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 12
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.
Market Update
Russell Indices Style Returns *
Equities Month 3 M YTD 1 Year 3 Yr
Ann
5 Yr
Ann V B G V B G
S&P 500 Total Return 3.04 7.95 21.58 31.17 18.07 18.02
Russell Midcap Index 2.54 4.85 20.12 41.24 15.58 15.40
Russell 2000 Index 2.24 0.45 15.83 47.08 10.75 14.38
Russell 1000 Growth Index 3.74 13.88 21.08 28.53 24.60 24.35
Russell 1000 Value Index 1.98 1.62 20.32 36.44 11.45 11.68
Russell 3000 Index 2.85 7.17 20.39 33.04 17.85 17.97
MSCI EAFE NR 1.76 1.38 11.58 26.12 9.00 9.72
MSCI EM NR 2.62 (4.12)2.84 21.12 9.87 10.40
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 08/31/21 12/31/20 12/31/19
U.S. Aggregate (0.19)1.63 (0.70)(0.09)6.65 1.42 Euro Spot 1.18 1.22 1.12
U.S. Corporate Investment Grade (0.30)2.71 (0.22)2.53 8.78 1.99 British Pound Spot 1.38 1.37 1.33
U.S. Corporate High Yield 0.51 2.25 4.55 10.14 3.87 3.87 Japanese Yen Spot 110.02 103.25 108.61
Global Aggregate (0.42)0.02 (2.33)0.52 7.55 1.03 Swiss Franc Spot 0.92 0.89 0.97
Key Rates 08/31/21 12/31/20 12/31/19 12/31/18 12/31/17 Commodities 08/31/21 12/31/20 12/31/19
US Generic Govt 3 Mth 0.04 0.06 1.54 2.35 1.38 Oil 68.50 48.19 53.64
US Generic Govt 2 Yr 0.21 0.12 1.57 2.49 1.88 Gasoline 3.17 2.25 2.59
US Generic Govt 10 Yr 1.31 0.91 1.92 2.68 2.41 Natural Gas 4.38 2.71 2.32
US Generic Govt 30 Yr 1.93 1.64 2.39 3.01 2.74 Gold 1,818.10 1,911.20 1,187.30
ICE LIBOR USD 3M 0.12 0.24 1.91 2.81 1.69 Silver 24.01 26.59 16.50
Euribor 3 Month ACT/360 (0.55)(0.55)(0.38)(0.31)(0.33)Copper 437.50 352.70 284.15
Bankrate 30Y Mortgage Rates Na 3.03 2.87 3.86 4.51 3.85 Corn 534.25 434.75 410.50
Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 204.97 166.63 172.00
Source: 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, but
AndCo 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.
August 31, 2021
Index Returns (%)
L 20.3 20.7 21.1 L 2.8 20.9 38.4
M 22.8 20.1 15.2 M 4.9 17.0 35.5
Levels (%)Levels
19.9 34.5
YTD 2020
Index Returns (%)Levels
S 25.4 15.8 6.9 S 4.6
32.64
31.47 30.84 30.15
22.36 21.58
20.12 19.07 18.78
13.17
11.07
9.21
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
YTD Sector Returns
43.74
33.19
23.54
20.67 18.33
13.41 11.02 10.71
0.52
-1.75 -2.16
-33.60-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
50.0
2020 Sector Returns
Oakland County Employees' Retirement System
Asset / Manager Summary - September 23, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $27,141 3.3%$40,734 5.0%$13,593
SSgA S&P 500 EW 1 $54,328 6.7%$40,734 5.0%($13,594)8/31 MV; Use for liquidity needs
T. Rowe Price Enhanced 500 $87,218 10.7%$81,467 10.0%($5,751)
TimesSquare Mid Growth $18,247 2.2%$15,275 1.9%($2,972)
Great Lakes Small/Mid Core $16,020 2.0%$15,275 1.9%($745)
Reinhart Small/Mid Core $20,100 2.5%$15,275 1.9%($4,825)
Nuance Mid Value $14,415 1.8%$15,275 1.9%$860
Loomis, Sayles Small Growth $33,103 4.1%$30,550 3.8%($2,553)
LMCG Small Value $30,021 3.7%$30,550 3.8%$529
ABS Global L/S Equity1 $48,618 6.0%$40,734 5.0%($7,884)
Total US Equity $349,211 42.9%$325,870 40.0%($23,341)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $48,077 5.9%$40,734 5.0%($7,343)Use for liquidity needs
Pictet Intl Equity1 $44,697 5.5%$40,734 5.0%($3,963)
Berkley Street Emerging Mkts.1 $19,861 2.4%$20,367 2.5%$506
Total Intl Equity $112,635 13.8%$101,834 12.5%($10,801)
CS McKee Core Fixed $130,625 16.0%$162,935 20.0%$32,310
Loomis, Sayles Core Plus $73,949 9.1%$62,109 7.6%($11,840)
PIMCO Diversifed Income $35,050 4.3%$40,734 5.0%$5,684
Churcill Direct Lending1 $10,207 1.3%$10,207 1.3%$0
BlackRock Direct Lending1 $2,079 0.3%$2,079 0.3%$0 $12MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment
HIG/Marathon Distressed1 $7,072 0.9%$7,072 0.9%$0 $7MM Commitment Each
Total Fixed Income $258,982 31.8%$285,136 35.0%$26,154 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $39,829 4.9%$49,256 6.0%$9,427
Prudential PRISA II VA RE1 $20,924 2.6%$16,293 2.0%($4,631)
Private VA Real Estate Funds1,2 $15,918 2.0%$15,918 2.0%$0
Total Real Estate $76,671 9.4%$81,467 10.0%$4,796
Hamilton Lane $5,383 0.7%$10,183 1.3%$4,800 $10MM Commitment
Portfolio Advisors $2,380 0.3%$10,183 1.3%$7,803 $10MM Commitment
Total Private Equity $7,763 1.0%$20,367 2.5%$12,604
Cash Account $9,412 1.2%$0 0.0%($9,412)
Total Fund $814,674 100.0%$814,674 100.0%$0
Market values from Northern Trust as of 9/15/21.
1. Market values not updated daily by Northern Trust.
2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, JPM European Property Fund, Valstone and Walton Street.
Other Assets / Basket Clause $73,660 9.0% $78,380 9.6% 15% Target
8/31 MV
Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL,
and PA
Target Allocation = 10% target less Direct Lending
and Distressed Debt strategies
Current Allocation Target Allocation
Comments
Included in Other Assets allocation
Target Allocation = 10% RE target less VA mgrs.