HomeMy WebLinkAboutReports - 2022.03.31 - 35548<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="03/31/2022" Interval="1" />
Investment Performance Review
Period Ending March 31, 2022
Oakland County ERS
VEBA Plan
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 3.71 (4.60)(4.60)15.65 18.92 15.99
Russell Midcap Index 2.56 (5.68)(5.68)6.92 14.89 12.62
Russell 2000 Index 1.24 (7.53)(7.53)(5.79)11.74 9.74
Russell 1000 Growth Index 3.91 (9.04)(9.04)14.98 23.60 20.88
Russell 1000 Value Index 2.82 (0.74)(0.74)11.67 13.02 10.29
Russell 3000 Index 3.24 (5.28)(5.28)11.92 18.24 15.40
MSCI EAFE NR 0.64 (5.91)(5.91)1.16 7.78 6.72
MSCI EM NR (2.26)(6.97)(6.97)(11.37)4.94 5.98
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 03/31/22 12/31/21 12/31/20
U.S. Aggregate (2.78)(5.93)(5.93)(4.15)6.58 2.92 Euro Spot 1.11 1.14 1.22
U.S. Corporate Investment Grade (2.52)(7.69)(7.69)(4.20)8.15 3.60 British Pound Spot 1.31 1.35 1.37
U.S. Corporate High Yield (1.15)(4.84)(4.84)(0.66)3.94 6.01 Japanese Yen Spot 121.70 115.08 103.25
Global Aggregate (3.05)(6.16)(6.16)(6.40)7.28 2.15 Swiss Franc Spot 0.92 0.91 0.89
Key Rates 03/31/22 12/31/21 12/31/20 12/31/19 12/31/18 Commodities 03/31/22 12/31/21 12/31/20
US Generic Govt 3 Mth 0.48 0.03 0.06 1.54 2.35 Oil 100.28 73.94 46.87
US Generic Govt 2 Yr 2.33 0.73 0.12 1.57 2.49 Gasoline 4.22 3.29 2.25
US Generic Govt 10 Yr 2.34 1.51 0.91 1.92 2.68 Natural Gas 5.64 3.53 2.38
US Generic Govt 30 Yr 2.45 1.90 1.64 2.39 3.01 Gold 1,954.00 1,833.40 1,187.30
ICE LIBOR USD 3M 0.96 0.21 0.24 1.91 2.81 Silver 25.13 23.38 16.50
Euribor 3 Month ACT/360 (0.46)(0.57)(0.55)(0.38)(0.31)Copper 475.10 445.35 352.00
Bankrate 30Y Mortgage Rates Na 4.90 3.27 2.87 3.86 4.51 Corn 748.75 595.00 442.00
Prime 3.50 3.25 3.25 4.75 5.50 BBG Commodity TR Idx 265.91 211.80 166.63
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.
March 31, 2022
Index Returns (%)
L -0.7 -5.1 -9.0 L 25.1 26.4 27.6
M -1.8 -5.7 -12.6 M 28.3 22.6 12.7
Levels (%)Levels
14.8 2.8
YTD 2021
Index Returns (%)Levels
S -2.4 -7.5 -12.6 S 28.2
38.99
4.77
-1.01 -1.48 -2.36 -2.38 -2.58 -4.60 -6.32 -8.36 -9.03
-11.92
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
50.0
YTD Sector Returns
54.35
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
2021 Sector Returns
Page 1
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 (1.1%)
Total Real Assets (12.3%)
Total Fixed Income Composite (34.4%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (11.8%)
Total Domestic Equity (36.4%)
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 1,493,789,749 100.0 N/A N/A 100.0 ---
Total Domestic Equity 543,953,409 36.4 10.0 50.0 35.0 -394,574,434 202,941,466 -21,126,996
Total International Equity 175,939,757 11.8 5.0 20.0 15.0 -101,250,270 122,818,193 48,128,705
Total Long/Short Equity Composite 59,603,909 4.0 0.0 7.5 5.0 -59,603,909 52,430,322 15,085,579
Total Fixed Income Composite 514,214,170 34.4 10.0 55.0 35.0 -364,835,195 307,370,192 8,612,243
Total Real Assets 183,144,099 12.3 0.0 15.0 10.0 -183,144,099 40,924,364 -33,765,124
Total Cash Composite 16,934,406 1.1 0.0 5.0 0.0 -16,934,406 57,755,081 -16,934,406
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2022
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 (1.1%)
Total Real Assets (12.3%)
Total Fixed Income Composite (34.4%)
Total Long/Short Equity Composite (4.0%)
Total International Equity (11.8%)
Total Small Cap Equity Composite (8.1%)
Total Mid Cap Equity Composite (8.7%)
Total Large Cap Equity Composite (19.6%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 1,493,789,749 100.0 100.0 -
Total Large Cap Equity Composite 292,370,121 19.6 20.0 6,387,829
Total Mid Cap Equity Composite 130,535,271 8.7 7.5 -18,501,039
Total Small Cap Equity Composite 121,048,017 8.1 7.5 -9,013,786
Total International Equity 175,939,757 11.8 15.0 48,128,705
Total Long/Short Equity Composite 59,603,909 4.0 5.0 15,085,579
Total Fixed Income Composite 514,214,170 34.4 35.0 8,612,243
Total Real Assets 183,144,099 12.3 10.0 -33,765,124
Total Cash Composite 16,934,406 1.1 0.0 -16,934,406
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2022
Page 3
March 31, 2022 : $1,493,789,749 Allocation
Market Value Allocation
SSgA S&P 500 33,693,459 2.3¢
SSgA S&P 500 Equal Weighted Index 103,061,891 6.9¢
T. Rowe Price 155,614,771 10.4¢
Vanguard Mid Cap Value (VOE)27,268,756 1.8¢
TimesSquare 35,401,943 2.4¢
Vanguard Mid Cap (VO)31,867,542 2.1¢
Reinhart Partners 35,997,029 2.4¢
Leeward 64,083,886 4.3¢
Loomis Small Cap 56,964,131 3.8¢
Lazard 76,491,305 5.1¢
Pictet 65,463,384 4.4¢
Allspring EM 33,985,068 2.3¢
ABS Global 59,603,909 4.0¢
CS McKee 258,901,435 17.3¢
Loomis Fixed Income 131,976,957 8.8¢
Pimco Diversified Income (PDIIX)68,067,926 4.6¢
Churchill Senior Loan Fund 6,149,318 0.4¢
Marathon Distressed Credit Fund LP 18,066,066 1.2¢
H.I.G. Bayside Loan Opportunity VI 9,035,446 0.6¢
BlackRock Direct Lending Feeder IX 15,455,487 1.0¢
Bloomfield Capital Fund V - Series B 6,561,535 0.4¢
ValStone Opportunity Fund V 3,119,144 0.2¢
Morgan Stanley 80,828,485 5.4¢
Macquarie II U.S.30,663 0.0¢
Macquarie Fund III Europe 48,257 0.0¢
Prudential PRISA II 56,530,053 3.8¢
Alidade Capital Fund IV 3,433,414 0.2¢
Walton Street Real Estate 6,626,999 0.4¢
AEW Real Estate 2,437,500 0.2¢
Dune Real Estate IV 4,709,357 0.3¢
Hamilton Lane Secondary Fund V LP 12,540,433 0.8¢
Portfolio Adv Secondary Agg IV 12,839,794 0.9¢
Liquidity Account 15,561,406 1.0¢
Private Markets Cash 1,373,001 0.1¢
Asset Allocation By Manager
Total Fund
As of March 31, 2022
Page 4
Financial Reconciliation Month to Date
Market Value
01/01/2022
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2022
Total Fund Composite 1,593,299,259 -5,364,489 -27,175,762 -375,574 -1,593 6,240,201 -83,561,271 1,493,789,749
Total Equity Composite 899,507,071 -70,215,874 78,759 --174,005 -283 1,560,700 -51,259,293 779,497,074
Total Domestic Equity 646,495,535 -70,215,874 ---11,555 -28 999,510 -33,314,180 543,953,409
Total Large Cap Equity Composite 374,064,327 -65,000,000 ---11,555 -6 342,455 -17,025,099 292,370,121
SSgA S&P 500 82,947,795 -45,000,000 ---4,017 ---4,250,319 33,693,459
SSgA S&P 500 Equal Weighted Index 106,046,597 ----7,538 ---2,977,168 103,061,891
T. Rowe Price 185,069,935 -20,000,000 ----6 342,455 -9,797,613 155,614,771
Total Mid Cap Equity Composite 135,575,695 -215,874 ----22 411,140 -5,235,668 130,535,271
Nuance Mid Cap Value 26,742,862 -26,618,347 -----33,621 -90,895 -
Vanguard Mid Cap Value (VOE)-26,513,426 ----138,713 616,617 27,268,756
TimesSquare 39,096,358 -----22 53,826 -3,748,219 35,401,943
Great Lakes SmidCap 33,490,112 -31,450,532 ----11,721 -2,051,301 -
Vanguard Mid Cap (VO)-31,339,578 ----107,231 420,733 31,867,542
Reinhart Partners 36,246,363 -----133,270 -382,604 35,997,029
Total Small Cap Equity Composite 136,855,514 -5,000,000 ----245,915 -11,053,412 121,048,017
Leeward 71,362,367 -5,000,000 ----170,840 -2,449,321 64,083,886
Loomis Small Cap 65,493,147 -----75,075 -8,604,092 56,964,131
Total International Equity 190,646,188 -78,759 --162,450 -256 561,190 -15,183,675 175,939,757
Lazard 81,941,249 -----256 251,410 -5,701,099 76,491,305
Pictet 71,801,459 ----83,691 -309,781 -6,564,165 65,463,384
Allspring EM 36,903,480 -78,759 --78,759 ---2,918,412 33,985,068
Total Long/Short Equity Composite 62,365,347 -------2,761,438 59,603,909
ABS Global 62,365,347 -------2,761,438 59,603,909
Total Fixed Income Composite 503,633,827 38,401,389 ---134,260 -57 3,882,579 -31,569,308 514,214,170
Total Domestic Fixed Income 388,494,116 25,000,000 ----57 3,243,439 -25,859,107 390,878,392
CS McKee 243,878,857 30,000,000 ----2,376,230 -17,353,653 258,901,435
Loomis Fixed Income 144,615,259 -5,000,000 ----57 867,209 -8,505,454 131,976,957
Total Global Fixed 73,652,215 -378,967 ---134,260 -639,140 -5,710,201 68,067,926
Pimco Diversified Income 73,652,215 -378,967 ---134,260 -639,140 -5,710,201 68,067,926
Private Fixed Income 41,487,496 13,780,356 ------55,267,852
Churchill Senior Loan Fund 6,295,740 -146,422 ------6,149,318
Marathon Distressed Credit Fund LP 15,726,066 2,340,000 ------18,066,066
H.I.G. Bayside Loan Opportunity VI 7,338,246 1,697,200 ------9,035,446
BlackRock Direct Lending Feeder IX 12,127,444 3,328,043 ------15,455,487
Bloomfield Capital Fund V - Series B -6,561,535 ------6,561,535
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2022
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending March 31, 2022
Market Value
01/01/2022
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
03/31/2022
Total Real Assets 182,086,101 1,057,998 ---67,309 -1,248 796,603 -728,046 183,144,099
Total Real Estate (Composite)158,611,781 -847,909 ---23,559 -796,603 -773,044 157,763,872
ValStone Opportunity Fund V 3,119,144 -------3,119,144
Morgan Stanley 80,828,485 -----796,603 -796,603 80,828,485
Macquarie II U.S.30,663 -------30,663
Macquarie Fund III Europe 48,257 -------48,257
Prudential PRISA II 56,530,053 -------56,530,053
Alidade Capital Fund IV 3,433,414 -------3,433,414
Walton Street Real Estate 6,626,999 ----23,559 --23,559 6,626,999
AEW Real Estate 4,044,869 -1,607,369 ------2,437,500
Dune Real Estate IV 3,949,897 759,460 ------4,709,357
Private Investments 23,474,320 1,905,907 ---43,750 -1,248 -44,998 25,380,227
Hamilton Lane Secondary Fund V LP 11,604,671 935,762 ---43,750 -1,248 -44,998 12,540,433
Portfolio Adv Secondary Agg IV 11,869,649 970,145 ------12,839,794
Total Cash Composite 8,072,261 30,756,487 5,285,731 -27,175,762 --5 319 -4,624 16,934,406
Liquidity Account 288,597 36,227,842 5,285,731 -26,240,000 --5 129 -888 15,561,406
Private Markets Cash 7,783,664 -5,471,354 --935,762 --190 -3,736 1,373,001
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 1,493,789,749 100.0 -0.06 -4.85 -1.10 -4.85 3.97 9.24 8.21 7.40 8.53 5.83 06/01/1998
Total Fund Policy Index 0.15 -4.98 -0.96 -4.98 3.72 9.37 8.40 7.49 8.36 6.24
Total Equity Composite 779,497,074 52.2 1.28 -5.56 -0.49 -5.56 4.29 12.77 10.97 9.70 10.98 6.06 04/01/1998
Total Equity Index 2.26 -5.32 0.95 -5.32 6.70 14.44 12.28 10.98 12.39 7.43
Total Fixed Income Composite 514,214,170 34.4 -2.10 -5.26 -5.14 -5.26 -2.41 1.95 2.32 2.27 2.79 4.77 04/01/1998
Total Fixed Income Index -2.80 -5.92 -6.00 -5.92 -4.45 1.59 2.13 1.86 2.04 4.37
Total Real Assets 183,144,099 12.3 0.00 0.04 8.27 0.04 22.89 12.13 11.39 11.34 11.95 8.42 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 19.65 8.69 8.33 9.08 10.14 6.13
Total Cash Composite 13,273,668 0.9
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2022
Page 7
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2022
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 543,953,409 36.4 2.29 -4.94 2.91 -4.94 9.77 16.09 13.48 N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 292,370,121 19.6 3.23 -4.38 5.58 -4.38 14.66 18.70 15.75 13.97 14.61 11.88 07/01/2008
SSgA S&P 500 (1.5 bps)33,693,459 2.3 4.18 -4.76 5.75 -4.76 15.44 18.82 15.93 13.97 14.60 14.59 10/01/2009
S&P 500 Index 3.71 -4.60 5.92 -4.60 15.65 18.92 15.99 14.01 14.64 14.61
SSgA S&P 500 Equal Weighted Index (4 bps)103,061,891 6.9 2.75 -2.81 6.17 -2.81 13.12 16.79 N/A N/A N/A 12.23 02/01/2018
S&P 500 Equal Weighted 2.58 -2.72 6.05 -2.72 13.11 16.97 13.89 12.12 13.95 12.37
T. Rowe Price (25 bps)155,614,771 10.4 3.22 -5.13 5.14 -5.13 15.36 19.50 16.90 14.89 15.28 15.11 10/01/2009
S&P 500 Index 3.71 -4.60 5.92 -4.60 15.65 18.92 15.99 14.01 14.64 14.61
Total Mid Cap Equity Composite 130,535,271 8.7 3.04 -3.56 0.66 -3.56 5.56 11.30 9.44 8.31 10.98 9.61 07/01/2008
Vanguard Mid Cap Value (7 bps)27,268,756 1.8 3.41 N/A N/A N/A N/A N/A N/A N/A N/A N/A 01/01/2022
Vanguard Spliced Mid Cap Value Index 3.43 0.06 8.30 0.06 13.36 14.12 10.48 9.73 12.42 0.06
TimesSquare (80 bps)35,401,943 2.4 2.69 -9.45 -4.59 -9.45 6.16 19.25 17.26 13.63 14.91 15.58 09/01/2009
Russell Midcap Growth Index 1.61 -12.58 -10.09 -12.58 -0.89 14.81 15.10 11.89 13.52 14.84
Vanguard Mid Cap (4 bps)31,867,542 2.1 2.69 N/A N/A N/A N/A N/A N/A N/A N/A N/A 01/01/2022
Vanguard Spliced Mid Cap Index 2.69 -6.31 1.16 -6.31 8.85 15.69 13.02 10.89 12.97 -6.31
Reinhart Partners (65 bps)35,997,029 2.4 3.45 -0.69 3.96 -0.69 8.59 N/A N/A N/A N/A 12.77 05/01/2019
Russell 2500 Index 1.59 -5.82 -2.22 -5.82 0.34 13.79 11.57 9.99 12.09 12.87
Total Small Cap Equity Composite 121,048,017 8.1 -0.82 -7.92 -1.94 -7.92 1.50 14.13 11.80 10.36 11.39 10.79 07/01/2008
Leeward (70 bps)64,083,886 4.3 -1.35 -3.19 3.95 -3.19 9.16 14.16 9.10 9.88 11.06 9.90 09/01/2005
Russell 2000 Value Index 1.96 -2.40 1.85 -2.40 3.32 12.73 8.57 8.77 10.54 7.72
Loomis Small Cap (90 bps)56,964,131 3.8 -0.22 -13.02 -8.20 -13.02 -6.52 13.18 14.80 12.04 N/A 14.54 09/01/2012
Russell 2000 Growth Index 0.46 -12.63 -12.62 -12.63 -14.33 9.88 10.33 8.52 11.21 11.99
Page 8
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2022
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 175,939,757 11.8 -1.42 -7.67 -9.33 -7.67 -8.91 5.27 5.94 5.35 6.13 4.07 07/01/2008
Total International Equity Index 0.25 -5.33 -3.55 -5.33 -1.04 8.01 7.26 5.68 6.05 3.52
Lazard (75 bps)76,491,305 5.1 -1.37 -6.65 -6.54 -6.65 -3.79 6.09 7.37 5.43 7.14 5.72 09/01/2006
MSCI AC World ex USA 0.25 -5.33 -3.55 -5.33 -1.04 8.01 7.26 5.68 6.04 4.43
Pictet (65 bps)65,463,384 4.4 -1.53 -8.71 -10.59 -8.71 -8.01 4.12 4.07 4.75 5.69 1.85 01/01/2008
MSCI EAFE Index 0.76 -5.79 -3.21 -5.79 1.65 8.29 7.23 5.62 6.77 3.07
Allspring EM (95 bps)33,985,068 2.3 -1.33 -7.91 -12.82 -7.91 -20.36 5.14 6.55 6.45 N/A 4.98 11/01/2012
MSCI Emerging Markets Index -2.22 -6.92 -8.08 -6.92 -11.08 5.31 6.35 5.07 3.73 4.21
Total Long/Short Equity Composite 59,603,909 4.0 0.00 -4.43 -4.37 -4.43 -2.98 7.04 5.60 N/A N/A N/A 10/01/2010
ABS Global (100 bps)59,603,909 4.0 0.00 -4.43 -4.37 -4.43 -2.98 7.04 5.60 4.08 5.73 5.43 10/01/2010
HFRI FOF: Strategic Index 2.60 -3.66 -3.18 -3.66 0.70 6.88 5.34 3.86 4.44 3.93
Total Domestic Fixed Income 390,878,392 26.2 -2.47 -5.54 -5.61 -5.54 -3.58 2.42 2.74 N/A N/A N/A 07/01/2008
CS McKee (35 bps)258,901,435 17.3 -2.59 -5.68 -5.75 -5.68 -3.87 1.86 2.35 2.17 2.46 3.18 02/01/2010
Blmbg. U.S. Aggregate Index -2.78 -5.93 -5.92 -5.93 -4.15 1.69 2.14 1.87 2.24 2.90
Loomis Fixed Income (30 bps)131,976,957 8.8 -2.26 -5.30 -5.35 -5.30 -3.05 3.55 3.53 3.29 3.98 4.93 04/01/2010
Blmbg. U.S. Aggregate Index -2.78 -5.93 -5.92 -5.93 -4.15 1.69 2.14 1.87 2.24 2.92
Total Global Fixed 68,067,926 4.6 -1.35 -6.89 -6.60 -6.89 -3.30 -3.96 -2.10 N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)68,067,926 4.6 -1.35 -6.89 -6.60 -6.89 -3.54 N/A N/A N/A N/A -3.82 03/01/2021
Blmbg. Global Credit (Hedged)-2.08 -6.67 -6.70 -6.67 -4.53 2.27 2.99 3.03 3.85 -4.91
Page 9
Asset Allocation & Performance
Total Fund Composite
As of March 31, 2022
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)157,763,872 10.6 0.00 0.01 8.68 0.01 21.82 10.37 10.00 N/A N/A N/A 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 19.65 8.69 8.33 9.08 10.14 8.57
Morgan Stanley (84 bps)80,828,485 5.4 0.00 0.00 9.81 0.00 20.25 9.73 9.48 10.32 11.65 7.23 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 19.65 8.69 8.33 9.08 10.14 6.03
Prudential PRISA II (85 bps)56,530,053 3.8 0.00 0.00 6.83 0.00 21.31 9.76 9.71 10.50 11.59 11.80 10/01/2011
NCREIF Property Index 0.00 0.00 6.15 0.00 15.71 7.72 7.42 8.02 9.04 9.16
Total Cash Composite 16,934,406 1.1
Liquidity Account (No fee)15,561,406 1.0
Private Markets Cash 1,373,001 0.1
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 1.58 0.00 4.77 5.70 6.54 7.34 N/A 7.26 08/27/2014
Macquarie II U.S.0.00 0.00 -0.34 0.00 5.34 25.89 12.28 9.78 8.79 8.95 10/09/2008
Macquarie Fund III Europe 0.00 0.00 18.68 0.00 -71.60 16.22 29.25 17.06 9.32 8.46 10/17/2008
Alidade Capital Fund IV 0.00 0.00 5.71 0.00 17.78 14.53 11.06 N/A N/A 11.06 04/20/2017
Walton Street Real Estate 0.00 0.00 7.80 0.00 21.64 12.63 N/A N/A N/A 12.84 05/25/2017
AEW Real Estate 0.00 0.00 12.45 0.00 56.87 22.92 N/A N/A N/A 19.50 09/26/2017
Churchill Senior Loan Fund 0.00 0.00 5.01 0.00 11.16 6.88 N/A N/A N/A 7.18 12/07/2017
Dune Real Estate IV 0.00 0.00 18.90 0.00 53.13 N/A N/A N/A N/A 3.70 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 0.00 0.00 0.00 27.98 N/A N/A N/A N/A 36.95 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 3.81 0.00 21.36 N/A N/A N/A N/A 33.06 09/10/2020
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 -0.68 0.00 5.93 N/A N/A N/A N/A 25.64 09/29/2020
Portfolio Adv Secondary Agg IV 0.00 0.00 11.18 0.00 33.83 N/A N/A N/A N/A 39.33 11/02/2020
BlackRock Direct Lending Feeder IX 0.00 0.00 -1.46 0.00 1.10 N/A N/A N/A N/A 3.88 01/05/2021
Bloomfield Capital Fund V - Series B N/A N/A N/A N/A 0.00 N/A N/A N/A N/A 0.00 03/25/2022
Comparative Performance - IRR
Private Investments
As of March 31, 2022
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 - April 28, 2022
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $33,693 2.3%$66,356 4.5%$32,663
SSgA S&P 500 EW 1 $103,062 7.0%$66,356 4.5%($36,706)MV as of 3/31; Transfer $25MM to Cash
T. Rowe Price Enhanced 500 $150,644 10.2%$147,458 10.0%($3,187)
TimesSquare Mid Growth $34,480 2.3%$27,648 1.9%($6,832)
Vanguard Mid Cap Index ETF $31,209 2.1%$27,648 1.9%($3,561)
Reinhart Small/Mid Core $35,644 2.4%$27,648 1.9%($7,996)
Vanguard Mid Cap Value Index ETF $27,207 1.8%$27,648 1.9%$441
Loomis, Sayles Small Growth $54,723 3.7%$55,297 3.8%$574
Leeward Small Value $62,633 4.2%$55,297 3.8%($7,336)
ABS Global L/S Equity1 $59,604 4.0%$73,729 5.0%$14,125
Total US Equity $592,899 40.2%$575,084 39.0%($17,815)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $74,875 5.1%$73,729 5.0%($1,146)
Pictet Intl Equity1 $65,437 4.4%$73,729 5.0%$8,292
AllSpring Emerging Mkts.1 $33,985 2.3%$36,864 2.5%$2,879
Total Intl Equity $174,297 11.8% $184,322 12.5% $10,025
CS McKee Core Fixed $251,978 17.1%$280,169 19.0%$28,191
Loomis, Sayles Core Plus $128,608 8.7%$98,067 6.7%($30,542)
PIMCO Diversifed Income $66,129 4.5%$73,729 5.0%$7,600
Churcill Direct Lending1 $6,296 0.4%$6,296 0.4%$0
BlackRock Direct Lending1 $15,777 1.1%$15,777 1.1%$0 $20MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $6,562 0.4%$6,562 0.0%$0 $15MM Commitment
HIG/Marathon Distressed1 $27,318 1.9%$27,318 1.9%$0 $13MM Commitment Each
Total Fixed Income $502,668 34.1%$507,918 34.0%$5,250 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $85,697 5.8%$96,392 6.5%$10,695
Prudential PRISA II VA RE1 $56,530 3.8%$29,492 2.0%($27,039)
Private VA Real Estate Funds1,2 $21,574 1.5%$21,574 1.5%$0
Total Real Estate $163,801 11.1%$147,458 10.0%($16,344)
Hamilton Lane1 $12,495 0.8%$18,432 1.3%$5,937 $17.5MM Commitment
Portfolio Advisors1 $12,853 0.9%$18,432 1.3%$5,579 $17.5MM Commitment
Total Private Equity $25,348 1.7%$36,864 2.5%$11,516
Cash/Liquidity Account (VTHRX)$15,562 1.1%$29,492 2.0%$13,930
Total Fund $1,474,575 100.0%$1,481,137 100.0%$6,562
Market values from Northern Trust as of 4/14/22.
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 $118,566 8.0% $144,207 9.7% 15% Target
Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL,
and PA
Target Value: $25MM
Target Allocation = 10% RE target less VA mgrs.
Target Allocation = 10% target less Alt FI funds
Included in Other Assets allocation
Current Allocation Target Allocation
Comments
MV as of 3/31
CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.