HomeMy WebLinkAboutReports - 2022.04.28 - 35549<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="03/31/2022" Interval="1" />
Investment Performance Review
Period Ending March 31, 2022
Oakland County ERS
Defined Benefit 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 (1.9%)
Total Real Asset (13.9%)
Total Fixed Income Composite (32.0%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (12.5%)
Total Domestic Equity (35.5%)
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 716,567,233 100.0 N/A N/A 100.0 ---
Total Domestic Equity 254,481,928 35.5 10.0 50.0 35.0 -182,825,205 103,801,688 -3,683,397
Total International Equity 89,816,379 12.5 5.0 20.0 15.0 -53,988,017 53,497,068 17,668,706
Total Long/Short Equity Composite 30,326,710 4.2 0.0 7.5 5.0 -30,326,710 23,415,833 5,501,652
Total Fixed Income Composite 229,386,367 32.0 10.0 55.0 35.0 -157,729,644 164,725,611 21,412,165
Total Real Asset 99,282,181 13.9 0.0 15.0 10.0 -99,282,181 8,202,904 -27,625,458
Total Cash Composite 13,273,668 1.9 0.0 5.0 0.0 -13,273,668 22,554,693 -13,273,668
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2022
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 (1.9%)
Total Real Asset (13.9%)
Total Fixed Income Composite (32.0%)
Total Long/Short Equity Composite (4.2%)
Total International Equity (12.5%)
Total Small Cap Equity Composite (8.4%)
Total Mid Cap Equity Composite (8.8%)
Total Large Cap Equity Composite (18.3%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 716,567,233 100.0 100.0 -
Total Large Cap Equity Composite 131,172,882 18.3 20.0 12,140,565
Total Mid Cap Equity Composite 63,061,237 8.8 7.5 -9,318,695
Total Small Cap Equity Composite 60,247,809 8.4 7.5 -6,505,267
Total International Equity 89,816,379 12.5 15.0 17,668,706
Total Long/Short Equity Composite 30,326,710 4.2 5.0 5,501,652
Total Fixed Income Composite 229,386,367 32.0 35.0 21,412,165
Total Real Asset 99,282,181 13.9 10.0 -27,625,458
Total Cash Composite 13,273,668 1.9 0.0 -13,273,668
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of March 31, 2022
Page 3
March 31, 2022 : $716,567,233 Allocation
Market Value Allocation
SSgA S&P 500 38,125,460 5.3¢
SSgA S&P 500 Equal Weighted Index 24,515,265 3.4¢
T. Rowe Price 68,532,156 9.6¢
Vanguard Mid Cap Value (VOE)14,900,550 2.1¢
TimesSquare 16,763,464 2.3¢
Vanguard Mid Cap (VO)15,491,902 2.2¢
Reinhart Partners 15,905,322 2.2¢
Leeward 31,422,826 4.4¢
Loomis Small Cap 28,824,983 4.0¢
Lazard 33,991,427 4.7¢
Pictet 39,139,868 5.5¢
Allspring EM 16,685,083 2.3¢
ABS Global 30,326,710 4.2¢
CS McKee 121,522,663 17.0¢
Loomis Fixed Income 44,604,376 6.2¢
Pimco Diversified Income (PDIIX)32,203,837 4.5¢
Churchill Senior Loan Fund 3,689,591 0.5¢
Marathon Distressed Credit Fund LP 9,727,882 1.4¢
H.I.G. Bayside Loan Opportunity VI 4,865,241 0.7¢
BlackRock Direct Lending Feeder IX 9,273,292 1.3¢
Bloomfield Capital Fund V - Series B 3,499,486 0.5¢
ValStone Opportunity Fund V 2,079,432 0.3¢
Morgan Stanley 46,154,483 6.4¢
JPM Euro Property 39,375 0.0¢
Prudential PRISA II 23,896,621 3.3¢
Alidade Capital Fund IV 5,722,356 0.8¢
Walton Street Real Estate 3,313,500 0.5¢
AEW Real Estate 1,218,754 0.2¢
Dune Real Estate IV 2,354,673 0.3¢
Hamilton Lane Secondary Fund V LP 7,165,961 1.0¢
Portfolio Adv Secondary Agg IV 7,337,026 1.0¢
Liquidity Account 12,595,816 1.8¢
Private Markets Cash 677,852 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 800,333,510 -2,990,902 -48,694,721 -196,698 -3,312 3,149,590 -41,012,038 716,567,233
Total Equity Composite 434,267,512 -35,125,907 38,667 --96,329 -1,309 1,009,074 -25,466,690 374,625,017
Total Domestic Equity 305,059,554 -35,125,907 ---5,123 -730 731,394 -16,177,258 254,481,928
Total Large Cap Equity Composite 168,905,500 -30,000,000 ---5,123 -104 269,385 -7,996,776 131,172,882
SSgA S&P 500 18,475,354 20,000,000 ---1,064 ---348,830 38,125,460
SSgA S&P 500 Equal Weighted Index 57,102,014 -30,000,000 ---4,059 ---2,582,690 24,515,265
T. Rowe Price 93,328,133 -20,000,000 ----104 269,385 -5,065,257 68,532,156
Total Mid Cap Equity Composite 70,544,892 -5,125,907 ----328 244,332 -2,601,751 63,061,237
Nuance Mid Cap Value 14,637,252 -14,574,700 ----60 2,823 -65,315 -
Vanguard Mid Cap Value (VOE)-14,495,592 ----87 80,510 324,534 14,900,550
TimesSquare 18,512,270 -----31 25,675 -1,774,450 16,763,464
Great Lakes SmidCap 16,268,071 -15,281,876 ----12 5,710 -991,893 -
Vanguard Mid Cap (VO)-15,235,076 ----18 52,301 204,543 15,491,902
Reinhart Partners 21,127,299 -5,000,000 ----120 77,312 -299,169 15,905,322
Total Small Cap Equity Composite 65,609,162 -----298 217,677 -5,578,731 60,247,809
Leeward 32,475,554 -----113 123,925 -1,176,539 31,422,826
Loomis Small Cap 33,133,608 -----184 93,751 -4,402,192 28,824,983
Total International Equity 97,476,217 -38,667 --91,206 -578 277,680 -7,884,401 89,816,379
Lazard 36,426,319 -----578 92,461 -2,526,774 33,991,427
Pictet 42,932,011 ----52,539 -185,219 -3,924,823 39,139,868
Allspring EM 18,117,887 -38,667 --38,667 ---1,432,804 16,685,083
Total Long/Short Equity Composite 31,731,741 -------1,405,031 30,326,710
ABS Global 31,731,741 -------1,405,031 30,326,710
Total Fixed Income Composite 260,528,188 -17,634,076 ---63,590 -1,174 1,506,263 -14,949,244 229,386,367
Total Domestic Fixed Income 202,172,075 -25,000,000 ----1,126 1,203,832 -12,247,742 166,127,039
CS McKee 128,984,636 -----505 797,726 -8,259,194 121,522,663
Loomis Fixed Income 73,187,439 -25,000,000 ----622 406,106 -3,988,548 44,604,376
Total Global Fixed 34,882,957 -216,412 ---63,590 -48 302,431 -2,701,502 32,203,837
Pimco Diversified Income 34,882,957 -216,412 ---63,590 -48 302,431 -2,701,502 32,203,837
Private Fixed Income 23,473,156 7,582,336 ------31,055,492
Churchill Senior Loan Fund 3,777,444 -87,853 ------3,689,591
Marathon Distressed Credit Fund LP 8,467,882 1,260,000 ------9,727,882
H.I.G. Bayside Loan Opportunity VI 3,951,364 913,877 ------4,865,241
BlackRock Direct Lending Feeder IX 7,276,466 1,996,826 ------9,273,292
Bloomfield Capital Fund V - Series B -3,499,486 ------3,499,486
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 Asset 98,617,045 665,136 ---36,779 -713 633,653 -596,161 99,282,181
Total Real Estate 85,203,148 -423,954 ---11,779 -633,653 -621,874 84,779,194
ValStone Opportunity Fund V 2,079,432 -------2,079,432
Morgan Stanley 46,154,483 -----454,874 -454,874 46,154,483
JPM Euro Property 39,375 -------39,375
Prudential PRISA II 23,896,621 -----178,779 -178,779 23,896,621
Alidade Capital Fund IV 5,722,356 -------5,722,356
Walton Street Real Estate 3,313,500 ----11,779 --11,779 3,313,500
AEW Real Estate 2,022,438 -803,684 ------1,218,754
Dune Real Estate IV 1,974,943 379,730 ------2,354,673
Private Investments 13,413,897 1,089,090 ---25,000 -713 -25,713 14,502,987
Hamilton Lane Secondary Fund V LP 6,631,240 534,721 ---25,000 -713 -25,713 7,165,961
Portfolio Adv Secondary Agg IV 6,782,657 554,369 ------7,337,026
Total Cash Composite 6,920,766 52,094,847 2,952,235 -48,694,721 --116 600 57 13,273,668
Liquidity Account 725,526 57,077,532 2,952,235 -48,160,000 --116 600 38 12,595,816
Private Markets Cash 6,195,240 -4,982,685 --534,721 ---19 677,852
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 716,567,233 100.0 -0.07 -4.79 -1.20 -4.79 3.81 9.03 8.08 7.38 8.14 8.40 10/01/1986
Total Fund Policy Index 0.15 -4.98 -0.96 -4.98 3.72 9.37 8.39 7.45 8.32 8.84
Total Equity Composite 374,625,017 52.3 1.21 -5.67 -0.80 -5.67 3.80 12.35 10.68 9.42 10.71 9.78 10/01/1986
Total Equity Index 2.26 -5.32 0.95 -5.32 6.70 14.44 12.26 10.96 12.38 10.30
Total Fixed Income Composite 229,386,367 32.0 -2.11 -5.26 -5.18 -5.26 -2.31 2.31 2.60 2.49 2.93 6.00 10/01/1986
Total Fixed Income Index -2.80 -5.92 -6.00 -5.92 -4.45 1.59 2.15 1.87 2.05 5.73
Total Real Asset 99,282,181 13.9 0.00 0.04 8.19 0.04 22.49 11.15 10.37 10.93 10.85 6.19 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 1.9
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 254,481,928 35.5 2.27 -5.01 2.73 -5.01 9.49 16.06 13.49 N/A N/A N/A 10/01/1986
Total Large Cap Equity Composite 131,172,882 18.3 3.30 -4.52 5.45 -4.52 14.58 18.75 15.84 14.05 14.70 12.02 07/01/2008
SSgA S&P 500 (1.5 bps)38,125,460 5.3 3.71 -2.24 8.53 -2.24 18.44 19.87 16.55 14.44 14.96 14.88 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)24,515,265 3.4 2.75 -3.95 4.92 -3.95 11.79 16.33 N/A N/A N/A 11.91 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)68,532,156 9.6 3.27 -5.09 5.21 -5.09 15.37 19.48 16.92 14.90 15.32 15.15 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 63,061,237 8.8 3.00 -3.30 0.91 -3.30 5.32 11.20 9.17 8.13 10.85 9.57 07/01/2008
Vanguard Mid Cap Value (7 bps)14,900,550 2.1 3.40 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)16,763,464 2.3 2.68 -9.45 -4.63 -9.45 5.94 19.08 17.12 13.54 14.85 15.53 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)15,491,902 2.2 2.65 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)15,905,322 2.2 3.25 -0.90 3.72 -0.90 8.37 N/A N/A N/A N/A 12.81 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 60,247,809 8.4 -0.80 -8.17 -2.24 -8.17 0.95 13.59 11.36 9.98 11.17 10.66 07/01/2008
Leeward (70 bps)31,422,826 4.4 -1.33 -3.24 3.93 -3.24 9.16 14.17 9.11 9.88 11.10 9.91 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)28,824,983 4.0 -0.22 -13.00 -8.18 -13.00 -6.65 13.08 14.71 11.96 N/A 14.56 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 89,816,379 12.5 -1.42 -7.80 -9.44 -7.80 -8.77 4.84 5.58 5.12 5.97 3.97 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)33,991,427 4.7 -1.35 -6.68 -6.26 -6.68 -3.37 6.13 7.28 5.39 7.08 5.68 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)39,139,868 5.5 -1.53 -8.71 -10.59 -8.71 -8.02 4.00 4.00 4.71 5.66 1.83 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)16,685,083 2.3 -1.33 -7.91 -12.82 -7.91 -20.39 5.12 6.54 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 30,326,710 4.2 0.00 -4.43 -4.38 -4.43 -2.99 7.04 5.60 4.10 4.93 4.78 10/01/2010
ABS Global (100 bps)30,326,710 4.2 0.00 -4.43 -4.38 -4.43 -2.99 7.04 5.60 4.11 5.75 5.44 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 166,127,039 23.2 -2.55 -5.66 -5.77 -5.66 -3.60 2.63 2.88 N/A N/A N/A 07/01/2008
CS McKee (35 bps)121,522,663 17.0 -2.64 -5.78 -5.94 -5.78 -3.82 2.03 2.47 2.25 2.55 3.25 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)44,604,376 6.2 -2.37 -5.40 -5.44 -5.40 -3.18 3.49 3.50 3.25 3.99 4.95 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 32,203,837 4.5 -1.35 -6.88 -6.67 -6.88 -3.45 -4.04 -2.15 N/A N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)32,203,837 4.5 -1.35 -6.88 -6.67 -6.88 -3.74 N/A N/A N/A N/A -4.00 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 84,779,194 11.8 0.00 0.01 8.62 0.01 21.47 10.39 9.91 N/A N/A 10.07 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)46,154,483 6.4 0.00 0.00 9.81 0.00 20.25 9.80 9.53 10.32 11.65 7.22 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)23,896,621 3.3 0.00 0.00 6.75 0.00 20.68 9.46 9.33 10.23 11.40 11.63 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
JPM Euro Property 39,375 0.0 0.00 0.00 3.42 0.00 15.46 -18.55 -10.51 -5.62 -5.83 -5.40 04/01/2009
NCREIF Property Index 0.00 0.00 6.15 0.00 15.71 7.72 7.42 8.02 9.04 8.32
Total Cash Composite 13,273,668 1.9
Liquidity Account (No fee)12,595,816 1.8
Private Markets Cash 677,852 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 7.33 N/A 7.26 08/27/2014
Alidade Capital Fund IV 0.00 0.00 5.71 0.00 17.78 14.53 11.05 N/A N/A 11.05 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 12.83 05/24/2017
AEW Real Estate 0.00 0.00 12.45 0.00 56.87 22.84 N/A N/A N/A 19.44 09/28/2017
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 2.92 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 25.67 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
Alternative Investments
As of March 31, 2022
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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. 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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 - April 28, 2022
Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce
SSgA S&P 5001 $38,125 5.4%$31,858 4.5%($6,267)
SSgA S&P 500 EW 1 $24,515 3.5%$31,858 4.5%$7,343 MV as of 3/31
T. Rowe Price Enhanced 500 $66,352 9.4%$63,716 9.0%($2,636)
TimesSquare Mid Growth $16,327 2.3%$12,389 1.8%($3,938)
Vanguard Mid Cap Index ETF $15,172 2.1%$13,274 1.9%($1,898)
Reinhart Small/Mid Core $15,745 2.2%$13,274 1.9%($2,471)
Vanguard Mid Cap Value Index ETF $14,867 2.1%$12,389 1.8%($2,478)
Loomis, Sayles Small Growth $27,692 3.9%$26,548 3.8%($1,144)
Leeward Small Value $30,713 4.3%$26,548 3.8%($4,165)$5MM to Cash
ABS Global L/S Equity1 $30,328 4.3%$31,858 4.5%$1,530
Total US Equity $279,836 39.5%$263,714 37.3%($16,122)2.5% added to allocation (unallocated other assets)
Lazard Intl Equity $33,269 4.7%$35,398 5.0%$2,129 Use for liquidity needs
Pictet Intl Equity1 $39,142 5.5%$35,398 5.0%($3,744)
AllSpring Emerging Mkts.1 $16,114 2.3%$17,699 2.5%$1,585
Total Intl Equity $88,525 12.5%$88,495 12.5%($30)
CS McKee Core Fixed $118,213 16.7%$134,512 19.0%$16,299
Loomis, Sayles Core Plus $43,449 6.1%$37,574 5.3%($5,875)
PIMCO Diversifed Income $31,286 4.4%$35,398 5.0%$4,112
Churcill Direct Lending1 $3,777 0.5%$3,777 0.5%$0
BlackRock Direct Lending1 $9,466 1.3%$9,466 1.3%$0 $12MM Commitment; 1st CC in March 2021
Bloomfield Direct Lending1 $3,499 0.5%$3,499 0.5%$0 $8MM Commitment
HIG/Marathon Distressed1 $14,710 2.1%$14,710 2.1%$0 $7MM Commitment Each
Total Fixed Income $224,400 31.7%$238,936 33.8%$14,536 1.5% added to allocation (unallocated other assets)
MS Prime Property RE1 $48,935 6.9%$41,353 5.8%($7,582)
Prudential PRISA II VA RE1 $23,897 3.4%$14,159 2.0%($9,738)
Private VA Real Estate Funds1,2 $15,284 2.2%$15,284 2.2%$0
Total Real Estate $88,116 12.4%$70,796 10.0%($17,320)
Hamilton Lane1 $7,140 1.0%$8,849 1.3%$1,709 $10MM Commitment
Portfolio Advisors1 $7,344 1.0%$8,849 1.3%$1,505 $10MM Commitment
Total Private Equity $14,484 2.0%$17,699 2.5%$3,215
Cash/Liquidity Account (VTHRX)$12,597 1.8%$28,318 4.0%$15,721
Total Fund $707,958 100.0%$707,958 100.0%$0
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, JPM European Property Fund, Valstone and Walton Street.
Other Assets / Basket Clause $63,299 8.9% $68,044 9.6% 15% Target
Current Allocation Target Allocation
Comments
$10MM to Cash Account (6/30)
Included in Other Assets allocation
$5MM to Cash
$5MM to Cash
MV as of 3/31
Target Allocation = 10% target less Alt FI funds
Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL,
and PA
Target Value: $30MM
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