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HomeMy WebLinkAboutReports - 2022.01.20 - 35189<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2905" DocumentTypeId="2" EffectiveDate="12/31/2021" Interval="1" /> Investment Performance Review Period Ending December 31, 2021 Oakland County ERS Superseding Trust Monthly Flash Report Market Update Russell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr An n 5 Yr Ann V B G V B G S&P 500 Total Return 4.48 11.03 28.71 28.71 26.07 18.47 Russell Midcap Index 4.08 6.44 22.58 22.58 23.29 15.10 Russell 2000 Index 2.23 2.14 14.82 14.82 20.02 12.02 Russell 1000 Growth Index 2.11 11.64 27.60 27.60 34.08 25.32 Russell 1000 Value Index 6.31 7.77 25.16 25.16 17.64 11.16 Russell 3000 Index 3.94 9.28 25.66 25.66 25.79 17.97 MSCI EAFE NR 5.12 2.69 11.26 11.26 13.54 9.55 MSCI EM NR 1.88 (1.31)(2.54)(2.54)10.94 9.87 Fixed Income Month 3 M YTD 1 Year Mod. Adj. Duration Yield to Worst Currencies 12/31/21 12/31/20 12/31/19 U.S. Aggregate (0.26)0.01 (1.55)(1.55)6.78 1.75 Euro Spot 1.14 1.22 1.12 U.S. Corporate Investment Grade (0.08)0.23 (1.04)(1.04)8.70 2.33 British Pound Spot 1.35 1.37 1.33 U.S. Corporate High Yield 1.87 0.71 5.28 5.28 3.83 4.21 Japanese Yen Spot 115.08 103.25 108.61 Global Aggregate (0.14)(0.67)(4.71)(4.71)7.54 1.31 Swiss Franc Spot 0.91 0.89 0.97 Key Rates 12/31/21 12/31/20 12/31/19 12/31/18 12/31/17 Commodities 12/31/21 12/31/20 12/31/19 US Generic Govt 3 Mth 0.03 0.06 1.54 2.35 1.38 Oil 75.21 47.32 52.65 US Generic Govt 2 Yr 0.73 0.12 1.57 2.49 1.88 Gasoline 3.29 2.25 2.59 US Generic Govt 10 Yr 1.51 0.91 1.92 2.68 2.41 Natural Gas 3.73 2.94 2.65 US Generic Govt 30 Yr 1.90 1.64 2.39 3.01 2.74 Gold 1,828.60 1,914.00 1,187.30 ICE LIBOR USD 3M 0.21 0.24 1.91 2.81 1.69 Silver 23.35 26.74 16.50 Euribor 3 Month ACT/360 (0.57)(0.55)(0.38)(0.31)(0.33)Copper 446.35 352.05 284.85 Bankrate 30Y Mortgage Rates Na 3.27 2.87 3.86 4.51 3.85 Corn 593.25 440.25 417.75 Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 211.80 166.63 172.00 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. December 31, 2021 Index Returns (%) L 25.1 26.4 27.6 L 2.8 20.9 38.4 M 28.3 22.6 12.7 M 4.9 17.0 35.5 Levels (%)Levels 19.9 34.5 YTD 2020 Index Returns (%)Levels S 28.2 14.8 2.8 S 4.6 54.39 46.14 34.87 34.52 28.71 27.28 26.13 24.43 21.57 21.10 18.63 17.67 0.0 10.0 20.0 30.0 40.0 50.0 60.0 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 0.0%15.0%30.0%45.0%60.0%75.0%90.0%100.0% Total Fixed Income Composite (34.7%) Total Equity Composite (65.3%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 21,122,832 100.0 100.0 - Total Equity Composite 13,790,797 65.3 60.0 -1,117,098 Total Fixed Income Composite 7,332,035 34.7 40.0 1,117,098 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of December 31, 2021 Page 2 November 30, 2021 : $20,535,946 December 31, 2021 : $21,122,832 Allocation Market Value Allocation SSgA S&P 500 13,198,810 64.3¢ CS McKee 7,337,135 35.7¢ Allocation Market Value Allocation SSgA S&P 500 13,790,797 65.3¢ CS McKee 7,332,035 34.7¢ Asset Allocation By Manager Total Fund Composite As of December 31, 2021 Page 3 Financial Reconciliation Month to Date Market Value 10/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 12/31/2021 Total Fund Composite 19,767,723 ----641 -39,898 1,315,852 21,122,832 Total Equity Composite 12,421,398 ----641 --1,370,041 13,790,797 SSgA S&P 500 12,421,398 ----641 --1,370,041 13,790,797 Total Fixed Income Composite 7,346,326 -----39,898 -54,189 7,332,035 CS McKee 7,346,326 -----39,898 -54,189 7,332,035 Financial Reconciliation Total Fund Quarter To Date Ending December 31, 2021 Page 4 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 21,122,832 100.0 2.86 6.86 6.86 17.48 17.48 18.05 12.99 N/A 10.55 04/01/2015 Total Fund Policy Index 2.59 6.57 6.57 15.86 15.86 17.54 12.61 N/A 10.49 Total Equity Composite 13,790,797 65.3 4.49 11.03 11.03 28.95 28.95 26.12 18.49 N/A 15.41 06/01/2015 S&P 500 Index 4.48 11.03 11.03 28.71 28.71 26.07 18.47 14.93 15.39 SSgA S&P 500 (1.5 bps)13,790,797 65.3 4.49 11.03 11.03 28.76 28.76 26.06 18.46 N/A 15.39 06/01/2015 S&P 500 Index 4.48 11.03 11.03 28.71 28.71 26.07 18.47 14.93 15.39 Total Fixed Income Composite 7,332,035 34.7 -0.07 -0.19 -0.19 -1.53 -1.53 5.05 3.79 N/A 3.21 04/01/2015 Blmbg. U.S. Aggregate Index -0.26 0.01 0.01 -1.55 -1.55 4.79 3.57 3.00 2.87 CS McKee (35 bps)7,332,035 34.7 -0.07 -0.19 -0.19 -1.53 -1.53 5.05 3.79 N/A 3.21 04/01/2015 Blmbg. U.S. Aggregate Index -0.26 0.01 0.01 -1.55 -1.55 4.79 3.57 3.00 2.87 Asset Allocation & Performance Total Fund Composite As of December 31, 2021 Page 5 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. 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Page 6 Oakland County Employees' Retirement System - Superseding Trust Asset / Manager Summary - January 20, 2021 Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce SSgA S&P 5001 $13,792 65.3%$12,674 60.0%($1,118) Total US Equity $13,792 65.3% $12,674 60.0%($1,118) CS McKee Core Fixed $7,332 34.7%$8,450 40.0%$1,118 Total Fixed Income $7,332 34.7% $8,450 40.0% $1,118 Cash Account $0 0.0% $0 0.0% $0 Total Fund $21,124 100.0% $21,124 100.0% $0 Market values from Northern Trust as of 12/31/21. 1. Market values not updated daily by Northern Trust. Transfer $500k to CSM; 12/31 MV Current Allocation Target Allocation Comments CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.