HomeMy WebLinkAboutReports - 2021.10.21 - 34945<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="09/30/2021" Interval="1" />
Investment Performance Review
Period Ending September 30, 2021
Oakland County ERS
VEBA Plan
Monthly Flash Report
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 (4.65)0.58 15.92 30.00 15.99 16.90
Russell Midcap Index (4.12)(0.93)15.17 38.11 14.22 14.39
Russell 2000 Index (2.95)(4.36)12.41 47.68 10.54 13.45
Russell 1000 Growth Index (5.60)1.16 14.30 27.32 22.00 22.84
Russell 1000 Value Index (3.48)(0.78)16.14 35.01 10.07 10.94
Russell 3000 Index (4.49)(0.10)14.99 31.88 16.00 16.85
MSCI EAFE NR (2.90)(0.45)8.35 25.73 7.62 8.81
MSCI EM NR (3.97)(8.09)(1.25)18.20 8.58 9.23
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 09/30/21 12/31/20 12/31/19
U.S. Aggregate (0.87)0.05 (1.56)(0.90)6.71 1.56 Euro Spot 1.16 1.22 1.12
U.S. Corporate Investment Grade (1.05)(0.00)(1.27)1.74 8.71 2.13 British Pound Spot 1.35 1.37 1.33
U.S. Corporate High Yield (0.01)0.89 4.53 11.28 3.97 4.04 Japanese Yen Spot 111.29 103.25 108.61
Global Aggregate (1.78)(0.88)(4.06)(0.91)7.53 1.17 Swiss Franc Spot 0.93 0.89 0.97
Key Rates 09/30/21 12/31/20 12/31/19 12/31/18 12/31/17 Commodities 09/30/21 12/31/20 12/31/19
US Generic Govt 3 Mth 0.03 0.06 1.54 2.35 1.38 Oil 75.03 47.85 53.24
US Generic Govt 2 Yr 0.28 0.12 1.57 2.49 1.88 Gasoline 3.19 2.25 2.59
US Generic Govt 10 Yr 1.49 0.91 1.92 2.68 2.41 Natural Gas 5.87 2.80 2.41
US Generic Govt 30 Yr 2.04 1.64 2.39 3.01 2.74 Gold 1,757.00 1,911.20 1,187.30
ICE LIBOR USD 3M 0.13 0.24 1.91 2.81 1.69 Silver 22.05 26.66 16.50
Euribor 3 Month ACT/360 (0.55)(0.55)(0.38)(0.31)(0.33)Copper 408.90 352.40 284.55
Bankrate 30Y Mortgage Rates Na 3.18 2.87 3.86 4.51 3.85 Corn 536.75 434.75 410.50
Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 215.17 166.63 172.00
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.
September 30, 2021
Index Returns (%)
L 16.1 15.2 14.3 L 2.8 20.9 38.4
M 18.2 15.2 9.6 M 4.9 17.0 35.5
Levels (%)Levels
19.9 34.5
YTD 2020
Index Returns (%)Levels
S 22.9 12.4 2.8 S 4.6
43.10
29.04
24.38
21.59
15.92 15.28
13.45
11.48 10.49 10.28
4.69 4.20
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
45.0
50.0
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
Executive Summary
Policy Target In Policy Outside Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.4%)
Total Real Assets (10.9%)
Total Fixed Income Composite (33.0%)
Total Long/Short Equity Composite (4.1%)
Total International Equity (12.7%)
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 1,531,705,029 100.0 N/A N/A 100.0 ---
Total Domestic Equity 597,183,338 39.0 10.0 50.0 35.0 -444,012,835 168,669,176 -61,086,578
Total International Equity 194,226,811 12.7 5.0 20.0 15.0 -117,641,560 112,114,195 35,528,943
Total Long/Short Equity Composite 62,994,770 4.1 0.0 7.5 5.0 -62,994,770 51,883,107 13,590,481
Total Fixed Income Composite 505,447,283 33.0 10.0 55.0 35.0 -352,276,781 336,990,482 30,649,477
Total Real Assets 166,442,170 10.9 0.0 15.0 10.0 -166,442,170 63,313,585 -13,271,667
Total Cash Composite 5,410,657 0.4 0.0 5.0 0.0 -5,410,657 71,174,595 -5,410,657
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 2021
Page 2
Executive Summary
Policy Target In Policy
0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0%
Total Cash Composite (0.4%)
Total Real Assets (10.9%)
Total Fixed Income Composite (33.0%)
Total Long/Short Equity Composite (4.1%)
Total International Equity (12.7%)
Total Small Cap Equity Composite (8.4%)
Total Mid Cap Equity Composite (8.5%)
Total Large Cap Equity Composite (22.1%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,531,705,029 100.0 100.0 -
Total Large Cap Equity Composite 338,782,210 22.1 20.0 -32,441,204
Total Mid Cap Equity Composite 129,890,486 8.5 7.5 -15,012,608
Total Small Cap Equity Composite 128,510,642 8.4 7.5 -13,632,765
Total International Equity 194,226,811 12.7 15.0 35,528,943
Total Long/Short Equity Composite 62,994,770 4.1 5.0 13,590,481
Total Fixed Income Composite 505,447,283 33.0 35.0 30,649,477
Total Real Assets 166,442,170 10.9 10.0 -13,271,667
Total Cash Composite 5,410,657 0.4 0.0 -5,410,657
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 2021
Page 3
September 30, 2021 : $1,531,705,029 Allocation
Market Value Allocation
SSgA S&P 500 74,711,457 4.9¢
SSgA S&P 500 Equal Weighted Index 97,090,700 6.3¢
T. Rowe Price 166,980,052 10.9¢
Nuance Mid Cap Value 25,623,107 1.7¢
TimesSquare 37,103,309 2.4¢
Great Lakes SmidCap 32,537,568 2.1¢
Reinhart Partners 34,626,502 2.3¢
Lee Munder (LMCG)66,459,610 4.3¢
Loomis Small Cap 62,051,032 4.1¢
Lazard 81,842,478 5.3¢
Pictet 73,401,630 4.8¢
Berkeley Street 38,982,703 2.5¢
ABS Global 62,994,770 4.1¢
CS McKee 244,076,236 15.9¢
Loomis Fixed Income 144,701,554 9.4¢
Pimco Diversified Income (PDIIX)73,183,244 4.8¢
Churchill Senior Loan Fund 16,519,847 1.1¢
Marathon Distressed Credit Fund LP 13,135,502 0.9¢
H.I.G. Bayside Loan Opportunity VI 4,915,801 0.3¢
BlackRock Direct Lending Feeder IX 8,915,100 0.6¢
ValStone Opportunity Fund V 3,010,548 0.2¢
Morgan Stanley 73,748,493 4.8¢
Macquarie II U.S.31,460 0.0¢
Macquarie Fund III Europe 39,418 0.0¢
Prudential PRISA II 53,057,668 3.5¢
Alidade Capital Fund IV 3,460,398 0.2¢
Walton Street Real Estate 6,373,804 0.4¢
AEW Real Estate 4,367,675 0.3¢
Dune Real Estate IV 3,032,111 0.2¢
Hamilton Lane Secondary Fund V LP 10,041,037 0.7¢
Portfolio Adv Secondary Agg VI 9,279,558 0.6¢
Cash and Equivalents Account 1,479,173 0.1¢
Private Markets Cash 3,931,484 0.3¢
Asset Allocation By Manager
Total Fund
As of September 30, 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
09/30/2021
Total Fund Composite 1,565,978,839 -814,149 -36,600,000 -694,942 -1,251 6,769,291 -4,561,058 1,531,705,029
Total Equity Composite 908,953,309 -48,000,000 90,737 --210,655 -709 3,031,743 -9,459,506 854,404,919
Total Domestic Equity 625,394,273 -28,000,000 ---11,839 -222 1,351,643 -1,550,517 597,183,338
Total Large Cap Equity Composite 354,681,773 -18,000,000 ---11,839 -63 554,762 1,557,577 338,782,210
SSgA S&P 500 82,960,810 -9,000,000 ---4,576 --755,223 74,711,457
SSgA S&P 500 Equal Weighted Index 97,433,472 ----7,263 ---335,509 97,090,700
T. Rowe Price 174,287,491 -9,000,000 ----63 554,762 1,137,863 166,980,052
Total Mid Cap Equity Composite 130,781,847 -----154 469,315 -1,360,522 129,890,486
Nuance Mid Cap Value 25,943,466 -----145 129,353 -449,566 25,623,107
TimesSquare 36,643,697 -----9 129,355 330,265 37,103,309
Great Lakes SmidCap 34,177,181 -----118,561 -1,758,174 32,537,568
Reinhart Partners 34,017,503 -----92,046 516,953 34,626,502
Total Small Cap Equity Composite 139,930,652 -10,000,000 ----5 327,566 -1,747,571 128,510,642
Lee Munder (LMCG)66,489,133 -----286,326 -315,849 66,459,610
Loomis Small Cap 73,441,520 -10,000,000 ----5 41,240 -1,431,722 62,051,032
Total International Equity 221,212,085 -20,000,000 90,737 --198,816 -487 1,680,100 -8,556,808 194,226,811
Lazard 83,112,724 -----487 609,184 -1,878,944 81,842,478
Pictet 93,022,406 -20,000,000 ---108,079 -1,070,915 -583,612 73,401,630
Berkeley Street 45,076,955 -90,737 --90,737 ---6,094,252 38,982,703
Total Long/Short Equity Composite 62,346,951 ------647,819 62,994,770
ABS Global 62,346,951 ------647,819 62,994,770
Total Fixed Income Composite 487,818,810 17,252,057 ---125,263 -2,704,352 -2,202,672 505,447,283
Total Domestic Fixed Income 388,478,486 -----2,174,414 -1,875,110 388,777,790
CS McKee 244,020,286 -----1,373,656 -1,317,706 244,076,236
Loomis Fixed Income 144,458,200 -----800,758 -557,404 144,701,554
Total Global Fixed 63,106,131 10,000,000 ---125,263 -529,939 -327,562 73,183,244
Pimco Diversified Income 63,106,131 10,000,000 ---125,263 -529,939 -327,562 73,183,244
Private Fixed Income 36,234,193 7,252,057 ------43,486,250
Churchill Senior Loan Fund 17,011,420 -491,573 ------16,519,847
Marathon Distressed Credit Fund LP 11,575,502 1,560,000 ------13,135,502
H.I.G. Bayside Loan Opportunity VI 1,239,084 3,676,717 ------4,915,801
BlackRock Direct Lending Feeder IX 6,408,187 2,506,913 ------8,915,100
Financial Reconciliation
Total Fund
Quarter To Date Ending September 30, 2021
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending September 30, 2021
Market Value
07/01/2021
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
09/30/2021
Total Real Assets 152,727,283 5,937,402 ---359,024 -542 1,032,970 7,104,081 166,442,170
Total Real Estate (Composite)140,960,170 -1,616,080 ---315,274 -1,032,970 7,059,789 147,121,575
ValStone Opportunity Fund V 3,354,261 -343,713 ------3,010,548
Morgan Stanley 69,688,752 ----146,346 -687,933 3,518,154 73,748,493
Macquarie II U.S.31,460 -------31,460
Macquarie Fund III Europe 39,418 -------39,418
Prudential PRISA II 49,339,923 ----140,164 -345,037 3,512,871 53,057,668
Alidade Capital Fund IV 3,512,667 -52,269 ------3,460,398
Walton Street Real Estate 6,373,804 ----28,764 --28,764 6,373,804
AEW Real Estate 5,926,629 -1,558,954 ------4,367,675
Dune Real Estate IV 2,693,255 338,856 ------3,032,111
Private Investments 11,767,113 7,553,482 ---43,750 -542 -44,292 19,320,595
Hamilton Lane Secondary Fund V LP 8,170,678 1,870,359 ---43,750 -542 -44,292 10,041,037
Portfolio Adv Secondary Agg VI 3,596,435 5,683,123 ------9,279,558
Total Cash Composite 16,479,438 24,810,542 723,412 -36,600,000 --226 -2,961 5,410,657
Cash and Equivalents Account 262,276 37,093,277 723,412 -36,600,000 --212 -4 1,479,173
Private Markets Cash 16,217,162 -12,282,735 ----14 -2,957 3,931,484
Page 6
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite 1,531,705,029 100.0 -1.54 0.12 19.90 7.72 19.90 9.60 9.66 8.29 10.37 5.99 06/01/1998
Total Fund Policy Index -1.78 -0.02 17.55 7.22 17.55 9.99 9.52 8.35 10.13 6.42
Total Equity Composite 854,404,919 55.8 -3.22 -0.83 32.03 11.28 32.03 11.93 13.06 10.87 13.49 6.22 04/01/1998
Total Equity Index -3.93 -1.25 32.00 12.72 32.00 13.05 14.19 11.84 14.85 7.55
Total Fixed Income Composite 505,447,283 33.0 -0.72 0.12 1.26 -0.22 1.26 5.02 3.59 3.26 3.75 5.09 04/01/1998
Total Fixed Income Index -1.01 -0.08 -0.75 -1.92 -0.75 5.21 2.80 3.13 2.79 4.74
Total Real Assets 166,442,170 10.9 5.23 5.25 16.23 12.99 16.23 10.14 10.25 10.53 11.19 7.91 07/01/2008
NCREIF Fund Index-ODCE (VW)6.59 6.59 14.59 13.11 14.59 7.05 7.50 8.90 9.92 5.75
Total Cash Composite 2,273,523 0.1
Asset Allocation & Performance
Total Fund Composite
As of September 30, 2021
Page 7
Asset Allocation & Performance
Total Fund Composite
As of September 30, 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 597,183,338 39.0 -3.46 -0.13 35.42 14.46 35.42 13.72 15.19 N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 338,782,210 22.1 -4.28 0.46 33.32 16.64 33.32 16.09 16.74 14.06 16.69 11.89 07/01/2008
SSgA S&P 500 (1.5 bps)74,711,457 4.9 -4.64 0.57 30.01 15.92 30.01 15.96 16.87 14.00 16.62 14.70 10/01/2009
S&P 500 Index -4.65 0.58 30.00 15.92 30.00 15.99 16.90 14.01 16.63 14.71
SSgA S&P 500 Equal Weighted Index (4 bps)97,090,700 6.3 -3.76 -0.34 40.80 18.70 40.80 14.02 N/A N/A N/A 12.16 02/01/2018
S&P 500 Equal Weighted -3.79 -0.22 40.87 18.92 40.87 14.29 14.61 12.41 15.99 12.36
T. Rowe Price (25 bps)166,980,052 10.9 -4.41 0.84 31.55 15.90 31.55 17.13 18.02 15.10 17.46 15.30 10/01/2009
S&P 500 Index -4.65 0.58 30.00 15.92 30.00 15.99 16.90 14.01 16.63 14.71
Total Mid Cap Equity Composite 129,890,486 8.5 -2.63 -0.68 34.61 10.95 34.61 9.40 11.76 9.81 13.67 9.94 07/01/2008
Nuance Mid Cap Value (75 bps)25,623,107 1.7 -3.10 -1.23 24.67 7.65 24.67 N/A N/A N/A N/A N/A 07/01/2020
Russell Midcap Value Index -3.68 -1.01 42.40 18.24 42.40 10.28 10.59 9.60 13.93 39.43
TimesSquare (80 bps)37,103,309 2.4 -4.31 1.25 31.41 11.31 31.41 20.86 20.12 16.09 18.57 16.73 09/01/2009
Russell Midcap Growth Index -4.84 -0.76 30.45 9.61 30.45 19.14 19.27 15.39 17.54 16.53
Great Lakes SmidCap (55 bps)32,537,568 2.1 -2.49 -4.80 29.71 5.72 29.71 N/A N/A N/A N/A 9.35 05/01/2019
Russell 2500 Index -3.15 -2.68 45.03 13.83 45.03 12.47 14.25 12.19 15.27 16.81
Reinhart Partners (65 bps)34,626,502 2.3 -0.54 1.79 55.32 19.37 55.32 N/A N/A N/A N/A 13.77 05/01/2019
Russell 2500 Index -3.15 -2.68 45.03 13.83 45.03 12.47 14.25 12.19 15.27 16.81
Total Small Cap Equity Composite 128,510,642 8.4 -2.09 -1.12 42.90 12.38 42.90 12.09 14.74 12.52 14.61 11.39 07/01/2008
Lee Munder (LMCG) (70 bps)66,459,610 4.3 -0.57 -0.04 58.86 22.43 58.86 9.67 11.25 11.11 13.76 9.96 09/01/2005
Russell 2000 Value Index -2.00 -2.98 63.92 22.92 63.92 8.58 11.03 10.19 13.22 7.84
Loomis Small Cap (90 bps)62,051,032 4.1 -3.66 -2.42 31.34 4.72 31.34 13.87 19.29 15.78 N/A 16.49 09/01/2012
Russell 2000 Growth Index -3.83 -5.65 33.27 2.82 33.27 11.70 15.34 13.19 15.74 14.37
Page 8
Asset Allocation & Performance
Total Fund Composite
As of September 30, 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 194,226,811 12.7 -3.47 -3.41 26.63 4.63 26.63 8.24 9.03 6.95 8.94 5.00 07/01/2008
Total International Equity Index -3.14 -2.88 24.45 6.29 24.45 8.52 9.44 6.17 7.91 3.94
Lazard (75 bps)81,842,478 5.3 -3.82 -1.53 25.78 5.94 25.78 8.35 9.27 6.87 9.73 6.39 09/01/2006
MSCI AC World ex USA -3.14 -2.88 24.45 6.29 24.45 8.52 9.44 6.17 7.97 4.83
Pictet (65 bps)73,401,630 4.8 -1.73 0.16 33.32 8.40 33.32 6.14 7.90 6.54 8.56 2.75 01/01/2008
MSCI EAFE Index -2.83 -0.35 26.29 8.79 26.29 8.13 9.33 6.30 8.60 3.43
Berkeley Street (95 bps)38,982,703 2.5 -5.90 -13.52 13.95 -6.82 13.95 12.02 10.73 7.83 N/A 6.90 11/01/2012
MSCI Emerging Markets Index -3.94 -7.97 18.58 -0.99 18.58 8.96 9.62 6.00 6.46 5.44
Total Long/Short Equity Composite 62,994,770 4.1 0.00 1.04 17.67 3.75 17.67 8.01 N/A N/A N/A N/A 10/01/2010
ABS Global (100 bps)62,994,770 4.1 0.00 1.04 17.67 3.75 17.67 8.01 7.69 6.05 6.94 6.21 10/01/2010
HFRI FOF: Strategic Index 0.00 0.46 17.51 6.07 17.51 7.92 6.93 4.92 5.23 4.45
Total Domestic Fixed Income 388,777,790 25.4 -0.78 0.08 0.07 -1.17 0.07 5.87 3.68 N/A N/A N/A 07/01/2008
CS McKee (35 bps)244,076,236 15.9 -0.81 0.02 -0.69 -1.43 -0.69 5.42 3.22 3.53 3.34 3.84 02/01/2010
Blmbg. U.S. Aggregate Index -0.87 0.05 -0.90 -1.56 -0.90 5.35 2.94 3.26 3.01 3.57
Loomis Fixed Income (30 bps)144,701,554 9.4 -0.73 0.17 1.54 -0.73 1.54 6.76 4.68 4.25 5.16 5.66 04/01/2010
Blmbg. U.S. Aggregate Index -0.87 0.05 -0.90 -1.56 -0.90 5.35 2.94 3.26 3.01 3.60
Total Global Fixed 73,183,244 4.8 -0.77 0.39 2.02 1.27 2.02 -0.62 N/A N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)73,183,244 4.8 -0.77 0.39 N/A N/A N/A N/A N/A N/A N/A 2.65 03/01/2021
Blmbg. Global Credit (Hedged)-0.93 0.08 2.72 -0.38 2.72 6.21 4.39 4.55 5.14 1.49
Page 9
Asset Allocation & Performance
Total Fund Composite
As of September 30, 2021
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate (Composite)147,121,575 9.6 5.76 5.78 14.76 12.74 14.76 8.32 N/A N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)6.59 6.59 14.59 13.11 14.59 7.05 7.50 8.90 9.92 7.80
Morgan Stanley (84 bps)73,748,493 4.8 6.04 6.04 13.56 11.91 13.56 7.70 8.50 10.05 11.30 6.78 01/01/2008
NCREIF Fund Index-ODCE (VW)6.59 6.59 14.59 13.11 14.59 7.05 7.50 8.90 9.92 5.67
Prudential PRISA II (85 bps)53,057,668 3.5 7.83 7.83 18.01 15.98 18.01 8.70 9.12 10.52 11.69 11.69 10/01/2011
NCREIF Property Index 0.00 0.00 6.58 5.37 6.58 4.92 5.76 7.32 8.44 8.44
Total Cash Composite 5,410,657 0.4
Cash and Equivalents Account (No fee)1,479,173 0.1
Private Markets Cash 3,931,484 0.3
Page 10
Comparative Performance - IRR
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
ValStone Opportunity Fund V 0.00 0.00 1.97 2.91 1.97 6.77 5.46 7.49 N/A 7.26 08/27/2014
Macquarie II U.S.0.00 0.00 15.04 0.98 15.04 18.06 10.60 7.59 8.76 8.95 10/09/2008
Macquarie Fund III Europe 0.00 0.00 -38.95 -49.57 -38.95 35.87 21.43 11.05 10.37 8.45 10/17/2008
Alidade Capital Fund IV 0.00 0.00 21.02 12.24 21.02 11.68 N/A N/A N/A 9.64 04/20/2017
Walton Street Real Estate 0.00 0.00 16.55 12.12 16.55 9.65 N/A N/A N/A 11.02 05/25/2017
AEW Real Estate 0.00 0.00 17.72 16.21 17.72 15.99 N/A N/A N/A 12.26 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 9.73 7.82 9.73 6.36 N/A N/A N/A 6.72 12/07/2017
Dune Real Estate IV 0.00 0.00 -9.39 -7.76 -9.39 N/A N/A N/A N/A -12.90 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 47.58 18.78 47.58 N/A N/A N/A N/A 48.99 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 48.08 26.74 48.08 N/A N/A N/A N/A 54.30 09/10/2020
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 287.60 1.69 287.60 N/A N/A N/A N/A 287.74 09/29/2020
Portfolio Adv Secondary Agg VI 0.00 0.00 N/A 9.95 N/A N/A N/A N/A N/A 36.46 11/02/2020
BlackRock Direct Lending Feeder IX 0.00 0.00 N/A -11.30 N/A N/A N/A N/A N/A -11.30 01/05/2021
Comparative Performance - IRR
Private Investments
As of September 30, 2021
Page 11
Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. 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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
Oakland County Employees' Retirement System - VEBA
Asset / Manager Summary - October 21, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $74,711 4.9%$76,959 5.0%$2,248
SSgA S&P 500 EW 1 $97,091 6.3%$76,959 5.0%($20,132)9/30 MV; Use for liquidity needs
T. Rowe Price Enhanced 500 $173,533 11.3%$153,917 10.0%($19,616)
TimesSquare Mid Growth $38,472 2.5%$28,859 1.9%($9,613)
Great Lakes Small/Mid Core $33,519 2.2%$28,859 1.9%($4,660)
Reinhart Small/Mid Core $35,452 2.3%$28,859 1.9%($6,593)
Nuance Mid Value $26,239 1.7%$28,859 1.9%$2,620
Loomis, Sayles Small Growth $63,905 4.2%$57,719 3.8%($6,186)
LMCG Small Value $68,831 4.5%$57,719 3.8%($11,112)
ABS Global L/S Equity1 $62,995 4.1%$76,959 5.0%$13,964
Total US Equity $674,748 43.8%$615,668 40.0%($59,080)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $83,881 5.4%$76,959 5.0%($6,922)
Pictet Intl Equity1 $73,422 4.8%$76,959 5.0%$3,537
Berkley Street Emerging Mkts.1 $38,983 2.5%$38,479 2.5%($504)
Total Intl Equity $196,286 12.8% $192,396 12.5%($3,890)
CS McKee Core Fixed $243,645 15.8%$307,834 20.0%$64,189
Loomis, Sayles Core Plus $144,309 9.4%$118,609 7.7%($25,700)
PIMCO Diversifed Income $72,957 4.7%$76,959 5.0%$4,002
Churcill Direct Lending1 $17,012 1.1%$17,012 1.1%$0
BlackRock Direct Lending1 $5,248 0.3%$5,248 0.0%$0 $20MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $15MM Commitment
HIG/Marathon Distressed1 $18,296 1.2%$18,296 1.2%$0 $13MM Commitment Each
Total Fixed Income $501,467 32.6%$543,958 35.0%$42,491 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $73,748 4.8%$100,667 6.5%$26,919
Prudential PRISA II VA RE1 $49,340 3.2%$30,783 2.0%($18,557)
Private VA Real Estate Funds1,2 $22,467 1.5%$22,467 1.5%$0
Total Real Estate $145,555 9.5%$153,917 10.0%$8,362
Hamilton Lane1 $10,620 0.7%$19,240 1.3%$8,620 $17.5MM Commitment
Portfolio Advisors1 $9,016 0.6%$19,240 1.3%$10,224 $17.5MM Commitment
Total Private Equity $19,636 1.3%$38,479 2.5%$18,843
Cash Account $1,479 0.1%$0 0.0%($1,479)
Total Fund $1,539,171 100.0%$1,544,419 100.0%$5,248
Market values from Northern Trust as of 10/15/21.
1. Market values not updated daily by Northern Trust.
2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, Macquire (US and Euro), Valstone and Walton Street.
Other Assets / Basket Clause $117,939 7.7% $150,746 9.8% 15% Target
Current Allocation Target Allocation
Comments
9/30 MV
Included in Other Assets allocation
Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL,
and PA
Target Allocation = 10% target less Direct Lending
and Distressed Debt strategies
Target Allocation = 10% RE target less VA mgrs.
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