HomeMy WebLinkAboutReports - 2021.10.21 - 34946<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="09/30/2021" Interval="1" />
Investment Performance Review
Period Ending September 30, 2021
Oakland County ERS
Defined Benefit 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 (0.3%)
Total Real Asset (11.5%)
Total Fixed Income Composite (33.3%)
Total Long/Short Equity Composite (5.4%)
Total International Equity (12.6%)
Total Domestic Equity (37.0%)
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 787,763,774 100.0 N/A N/A 100.0 ---
Total Domestic Equity 291,580,548 37.0 10.0 50.0 35.0 -212,804,170 102,301,339 -15,863,227
Total International Equity 99,405,403 12.6 5.0 20.0 15.0 -60,017,214 58,147,352 18,759,163
Total Long/Short Equity Composite 42,159,099 5.4 0.0 7.5 5.0 -42,159,099 16,923,184 -2,770,911
Total Fixed Income Composite 262,052,136 33.3 10.0 55.0 35.0 -183,275,759 171,217,939 13,665,184
Total Real Asset 90,293,065 11.5 0.0 15.0 10.0 -90,293,065 27,871,501 -11,516,687
Total Cash Composite 2,273,523 0.3 0.0 5.0 0.0 -2,273,523 37,114,666 -2,273,523
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 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 (0.3%)
Total Real Asset (11.5%)
Total Fixed Income Composite (33.3%)
Total Long/Short Equity Composite (5.4%)
Total International Equity (12.6%)
Total Small Cap Equity Composite (7.8%)
Total Mid Cap Equity Composite (8.6%)
Total Large Cap Equity Composite (20.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 787,763,774 100.0 100.0 -
Total Large Cap Equity Composite 162,351,037 20.6 20.0 -4,798,282
Total Mid Cap Equity Composite 67,600,176 8.6 7.5 -8,517,893
Total Small Cap Equity Composite 61,629,335 7.8 7.5 -2,547,052
Total International Equity 99,405,403 12.6 15.0 18,759,163
Total Long/Short Equity Composite 42,159,099 5.4 5.0 -2,770,911
Total Fixed Income Composite 262,052,136 33.3 35.0 13,665,184
Total Real Asset 90,293,065 11.5 10.0 -11,516,687
Total Cash Composite 2,273,523 0.3 0.0 -2,273,523
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of September 30, 2021
Page 3
September 30, 2021 : $787,763,774 Allocation
Market Value Allocation
SSgA S&P 500 25,877,454 3.3¢
SSgA S&P 500 Equal Weighted Index 52,279,608 6.6¢
T. Rowe Price 84,193,975 10.7¢
Nuance Mid Cap Value 14,024,393 1.8¢
TimesSquare 17,576,916 2.2¢
Great Lakes SmidCap 15,812,828 2.0¢
Reinhart Partners 20,186,039 2.6¢
Lee Munder (LMCG)30,236,224 3.8¢
Loomis Small Cap 31,393,111 4.0¢
Lazard 36,374,952 4.6¢
Pictet 43,891,762 5.6¢
Berkeley Street 19,138,689 2.4¢
ABS Global 42,159,099 5.4¢
CS McKee 129,203,335 16.4¢
Loomis Fixed Income 73,216,517 9.3¢
Pimco Diversified Income (PDIIX)34,651,384 4.4¢
Churchill Senior Loan Fund 9,911,908 1.3¢
Marathon Distressed Credit Fund LP 7,072,963 0.9¢
H.I.G. Bayside Loan Opportunity VI 2,646,970 0.3¢
BlackRock Direct Lending Feeder IX 5,349,060 0.7¢
ValStone Opportunity Fund V 2,007,033 0.3¢
Morgan Stanley 42,111,688 5.3¢
JPM Euro Property 35,065 0.0¢
Prudential PRISA II 22,444,818 2.8¢
Alidade Capital Fund IV 5,767,329 0.7¢
Walton Street Real Estate 3,186,902 0.4¢
AEW Real Estate 2,183,840 0.3¢
Dune Real Estate IV 1,516,050 0.2¢
Hamilton Lane Secondary Fund V LP 5,737,736 0.7¢
Portfolio Adv Secondary Agg VI 5,302,603 0.7¢
Cash and Equivalents Account 2 0.0¢
Private Markets Cash 2,273,521 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 809,324,412 -478,595 -22,729,055 -356,626 -3,047 3,689,171 -2,639,677 787,763,774
Total Equity Composite 474,337,935 -38,000,000 44,547 --108,858 -1,435 1,702,172 -4,829,313 433,145,050
Total Domestic Equity 312,595,039 -21,000,000 ---5,652 -882 717,967 -725,924 291,580,548
Total Large Cap Equity Composite 181,206,388 -20,000,000 ---5,652 -146 305,265 845,182 162,351,037
SSgA S&P 500 35,442,675 -10,000,000 ---1,741 --436,520 25,877,454
SSgA S&P 500 Equal Weighted Index 52,464,178 ----3,911 ---180,659 52,279,608
T. Rowe Price 93,299,535 -10,000,000 ----146 305,265 589,320 84,193,975
Total Mid Cap Equity Composite 68,006,480 -----453 259,857 -665,708 67,600,176
Nuance Mid Cap Value 14,199,636 -----244 79,310 -254,310 14,024,393
TimesSquare 17,364,670 -----70 64,307 148,009 17,576,916
Great Lakes SmidCap 16,613,445 -----19 60,398 -860,997 15,812,828
Reinhart Partners 19,828,729 -----120 55,841 301,589 20,186,039
Total Small Cap Equity Composite 63,382,171 -1,000,000 ----283 152,846 -905,399 61,629,335
Lee Munder (LMCG)30,253,756 -----65 131,696 -149,162 30,236,224
Loomis Small Cap 33,128,415 -1,000,000 ----218 21,150 -756,236 31,393,111
Total International Equity 113,017,349 -10,000,000 44,547 --103,205 -553 984,205 -4,536,940 99,405,403
Lazard 47,001,726 -10,000,000 ----553 358,307 -984,528 36,374,952
Pictet 43,884,940 ----58,658 -625,898 -560,418 43,891,762
Berkeley Street 22,130,683 -44,547 --44,547 ---2,991,993 19,138,689
Total Long/Short Equity Composite 48,725,548 -7,000,000 -----433,551 42,159,099
ABS Global 48,725,548 -7,000,000 -----433,551 42,159,099
Total Fixed Income Composite 247,942,466 14,028,975 ---65,270 -930 1,444,065 -1,297,168 262,052,136
Total Domestic Fixed Income 192,381,363 10,000,000 ----930 1,153,516 -1,114,096 202,419,852
CS McKee 109,338,324 20,000,000 ----382 696,477 -831,083 129,203,335
Loomis Fixed Income 83,043,039 -10,000,000 ----548 457,039 -283,013 73,216,517
Total Global Fixed 34,609,177 ----65,270 -290,549 -183,072 34,651,384
Pimco Diversified Income 34,609,177 ----65,270 -290,549 -183,072 34,651,384
Private Fixed Income 20,951,926 4,028,975 ------24,980,900
Churchill Senior Loan Fund 10,206,852 -294,944 ------9,911,908
Marathon Distressed Credit Fund LP 6,232,963 840,000 ------7,072,963
H.I.G. Bayside Loan Opportunity VI 667,199 1,979,771 ------2,646,970
BlackRock Direct Lending Feeder IX 3,844,912 1,504,148 ------5,349,060
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 Asset 83,063,554 3,389,969 ---182,498 -309 542,081 3,480,268 90,293,065
Total Real Estate 76,339,490 -926,306 ---157,498 -542,081 3,454,959 79,252,726
ValStone Opportunity Fund V 2,236,175 -229,142 ------2,007,033
Morgan Stanley 39,793,507 ----83,566 -392,822 2,008,925 42,111,688
JPM Euro Property 35,065 -------35,065
Prudential PRISA II 20,923,457 ----59,550 -149,259 1,431,652 22,444,818
Alidade Capital Fund IV 5,854,445 -87,116 ------5,767,329
Walton Street Real Estate 3,186,902 ----14,382 --14,382 3,186,902
AEW Real Estate 2,963,316 -779,476 ------2,183,840
Dune Real Estate IV 1,346,622 169,428 ------1,516,050
Private Investments 6,724,064 4,316,275 ---25,000 -309 -25,309 11,040,339
Hamilton Lane Secondary Fund V LP 4,668,960 1,068,776 ---25,000 -309 -25,309 5,737,736
Portfolio Adv Secondary Agg VI 2,055,104 3,247,499 ------5,302,603
Total Cash Composite 3,980,458 20,581,056 434,047 -22,729,055 --373 854 6,536 2,273,523
Cash and Equivalents Account 348,659 21,945,891 434,047 -22,729,055 --373 832 -2
Private Markets Cash 3,631,798 -1,364,835 ----22 6,536 2,273,521
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 787,763,774 100.0 -1.47 0.12 19.58 7.57 19.58 9.44 9.56 8.27 9.69 8.55 10/01/1986
Total Fund Policy Index -1.78 -0.02 17.55 7.22 17.55 9.99 9.52 8.33 10.06 9.00
Total Equity Composite 433,145,050 55.0 -3.08 -0.74 31.66 10.85 31.66 11.63 12.76 10.59 13.18 9.95 10/01/1986
Total Equity Index -3.93 -1.25 32.00 12.72 32.00 13.05 14.17 11.83 14.84 10.42
Total Fixed Income Composite 262,052,136 33.3 -0.75 0.10 1.49 -0.08 1.49 5.41 3.74 3.52 3.82 6.24 10/01/1986
Total Fixed Income Index -1.01 -0.08 -0.75 -1.92 -0.75 5.21 2.81 3.14 2.79 6.01
Total Real Asset 90,293,065 11.5 4.75 4.77 15.94 12.58 15.94 8.79 9.43 10.24 10.14 5.60 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 0.3
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 291,580,548 37.0 -3.41 -0.11 36.19 14.76 36.19 13.79 15.23 N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 162,351,037 20.6 -4.24 0.43 33.57 16.61 33.57 16.20 16.88 14.17 16.80 12.05 07/01/2008
SSgA S&P 500 (1.5 bps)25,877,454 3.3 -4.66 0.58 29.95 15.88 29.95 15.97 16.91 14.04 16.68 14.76 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)52,279,608 6.6 -3.76 -0.34 40.81 18.70 40.81 14.02 N/A N/A N/A 12.17 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)84,193,975 10.7 -4.40 0.78 31.50 15.82 31.50 17.09 18.02 15.10 17.51 15.34 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 67,600,176 8.6 -2.52 -0.60 35.69 11.61 35.69 9.10 11.41 9.56 13.52 9.87 07/01/2008
Nuance Mid Cap Value (75 bps)14,024,393 1.8 -3.10 -1.23 24.68 7.65 24.68 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)17,576,916 2.2 -4.33 1.22 31.13 11.18 31.13 20.68 20.00 16.00 18.52 16.68 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)15,812,828 2.0 -2.47 -4.82 29.64 5.64 29.64 N/A N/A N/A N/A 9.31 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)20,186,039 2.6 -0.52 1.80 55.56 19.47 55.56 N/A N/A N/A N/A 13.92 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 61,629,335 7.8 -2.19 -1.19 43.68 12.88 43.68 11.63 14.37 12.22 14.41 11.27 07/01/2008
Lee Munder (70 bps)30,236,224 3.8 -0.58 -0.06 58.80 22.46 58.80 9.70 11.26 11.12 13.77 9.97 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)31,393,111 4.0 -3.65 -2.22 31.38 4.83 31.38 13.73 19.21 15.78 N/A 16.51 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 99,405,403 12.6 -3.35 -3.20 25.98 3.94 25.98 7.72 8.69 6.73 8.79 4.91 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)36,374,952 4.6 -3.78 -1.49 25.83 6.09 25.83 8.23 9.11 6.78 9.63 6.33 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)43,891,762 5.6 -1.74 0.15 33.50 8.55 33.50 6.03 7.83 6.50 8.53 2.73 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)19,138,689 2.4 -5.90 -13.52 13.91 -6.86 13.91 12.00 10.72 7.82 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 42,159,099 5.4 0.00 1.04 17.67 3.76 17.67 8.01 7.73 5.98 5.88 5.53 10/01/2010
ABS Global (100 bps)42,159,099 5.4 0.00 1.04 17.67 3.76 17.67 8.01 7.73 6.07 6.96 6.23 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 202,419,852 25.7 -0.81 0.07 0.32 -1.04 0.32 6.16 3.86 N/A N/A N/A 07/01/2008
CS McKee (35 bps)129,203,335 16.4 -0.86 0.05 -0.65 -1.30 -0.65 5.71 3.36 3.67 3.44 3.93 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)73,216,517 9.3 -0.74 0.12 1.67 -0.65 1.67 6.73 4.62 4.23 5.17 5.68 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 34,651,384 4.4 -0.90 0.31 1.83 1.09 1.83 -0.68 1.48 N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)34,651,384 4.4 -0.90 0.31 N/A N/A N/A N/A N/A N/A N/A 2.51 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 79,252,726 10.1 5.26 5.28 14.70 12.39 14.70 8.21 9.12 N/A N/A 8.98 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)42,111,688 5.3 6.04 6.04 13.56 11.91 13.56 7.78 8.53 10.05 11.29 6.77 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)22,444,818 2.8 7.56 7.56 17.35 15.39 17.35 8.32 8.77 10.27 11.51 11.51 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
JPM Euro Property 35,065 0.0 0.00 0.00 -46.49 -50.28 -46.49 -27.41 -13.76 -8.22 -7.26 -6.48 04/01/2009
NCREIF Property Index 0.00 0.00 6.58 5.37 6.58 4.92 5.76 7.32 8.44 7.71
Total Cash Composite 2,273,523 0.3
Cash and Equivalents Account (No fee)2 0.0
Private Markets Cash 2,273,521 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 7.25 08/27/2014
Alidade Capital Fund IV 0.00 0.00 21.01 12.23 21.01 11.68 N/A N/A N/A 9.63 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 11.01 05/24/2017
AEW Real Estate 0.00 0.00 17.54 16.21 17.54 15.93 N/A N/A N/A 12.22 09/28/2017
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 -13.79 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
Alternative 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. 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
Oakland County Employees' Retirement System
Asset / Manager Summary - October 21, 2021
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $25,877 3.3%$39,582 5.0%$13,705
SSgA S&P 500 EW 1 $52,280 6.6%$39,582 5.0%($12,698)9/30 MV; Use for liquidity needs
T. Rowe Price Enhanced 500 $87,500 11.1%$79,165 10.0%($8,336)
TimesSquare Mid Growth $18,223 2.3%$14,843 1.9%($3,380)
Great Lakes Small/Mid Core $16,288 2.1%$14,843 1.9%($1,445)
Reinhart Small/Mid Core $20,670 2.6%$14,843 1.9%($5,827)
Nuance Mid Value $14,361 1.8%$14,843 1.9%$482
Loomis, Sayles Small Growth $32,330 4.1%$29,687 3.8%($2,643)
LMCG Small Value $31,320 4.0%$29,687 3.8%($1,633)
ABS Global L/S Equity1 $42,160 5.3%$39,582 5.0%($2,578)
Total US Equity $341,009 43.1%$316,658 40.0%($24,351)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $37,295 4.7%$39,582 5.0%$2,287 Use for liquidity needs
Pictet Intl Equity1 $43,889 5.5%$39,582 5.0%($4,307)
Berkley Street Emerging Mkts.1 $19,520 2.5%$19,791 2.5%$271
Total Intl Equity $100,704 12.7%$98,956 12.5%($1,748)
CS McKee Core Fixed $128,972 16.3%$158,329 20.0%$29,357
Loomis, Sayles Core Plus $73,015 9.2%$55,957 7.1%($17,059)
PIMCO Diversifed Income $34,527 4.4%$39,582 5.0%$5,055
Churcill Direct Lending1 $10,207 1.3%$10,207 1.3%$0
BlackRock Direct Lending1 $3,149 0.4%$3,149 0.4%$0 $12MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment
HIG/Marathon Distressed1 $9,852 1.2%$9,852 1.2%$0 $7MM Commitment Each
Total Fixed Income $259,722 32.8%$277,076 35.0%$17,354 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $42,147 5.3%$47,414 6.0%$5,267
Prudential PRISA II VA RE1 $20,924 2.6%$15,833 2.0%($5,091)
Private VA Real Estate Funds1,2 $15,918 2.0%$15,918 2.0%$0
Total Real Estate $78,989 10.0%$79,165 10.0%$176
Hamilton Lane1 $6,069 0.8%$9,896 1.3%$3,827 $10MM Commitment
Portfolio Advisors1 $5,152 0.7%$9,896 1.3%$4,744 $10MM Commitment
Total Private Equity $11,221 1.4%$19,791 2.5%$8,570
Cash Account $0 0.0%$0 0.0%$0
Total Fund $791,645 100.0%$791,645 100.0%$0
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, JPM European Property Fund, Valstone and Walton Street.
Other Assets / Basket Clause $73,440 9.3% $79,432 10.0% 15% Target
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.
9/30 MV
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.