HomeMy WebLinkAboutReports - 2023.12.31 - 42217<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="12/31/2023" Interval="1" />
Investment Performance Review
Period Ending December 31, 2023
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 4.54 11.69 26.29 26.29 10.00 15.69
Russell Midcap Index 7.73 12.82 17.23 17.23 5.92 12.68
Russell 2000 Index 12.22 14.03 16.93 16.93 2.22 9.97
Russell 1000 Growth Index 4.43 14.16 42.68 42.68 8.86 19.50
Russell 1000 Value Index 5.54 9.50 11.46 11.46 8.86 10.91
Russell 3000 Index 5.30 12.07 25.96 25.96 8.54 15.16
MSCI EAFE NR 5.31 10.42 18.24 18.24 4.02 8.16
MSCI EM NR 3.91 7.86 9.83 9.83 (5.08) 3.68
Fixed Income Month 3 M YTD 1 Year Mod. Adj.
Duration
Yield to
Worst Currencies 12/31/23 12/31/22 12/31/21
U.S. Aggregate 3.83 6.82 5.53 5.53 6.24 4.53 Euro Spot 1.10 1.07 1.14
U.S. Corporate Investment Grade 4.34 8.50 8.52 8.52 7.09 5.06 British Pound Spot 1.27 1.21 1.35
U.S. Corporate High Yield 3.73 7.16 13.45 13.45 3.15 7.59 Japanese Yen Spot 141.04 131.12 115.08
Global Aggregate 4.16 8.10 5.72 5.72 6.70 3.51 Swiss Franc Spot 0.84 0.92 0.91
Key Rates 12/31/23 12/31/22 12/31/21 12/31/20 12/31/19 Commodities 12/31/23 12/31/22 12/31/21
US Generic Govt 3 Mth 5.33 4.34 0.03 0.06 1.54 Oil 71.65 80.45 67.42
US Generic Govt 2 Yr 4.25 4.43 0.73 0.12 1.57 Gasoline 3.11 3.21 3.29
US Generic Govt 10 Yr 3.88 3.87 1.51 0.91 1.92 Natural Gas 2.51 3.93 3.04
US Generic Govt 30 Yr 4.03 3.96 1.90 1.64 2.39 Gold 2,071.80 1,857.70 1,187.30
ICE LIBOR USD 3M 5.59 4.77 0.21 0.24 1.91 Silver 24.09 24.21 16.50
Euribor 3 Month ACT/360 3.91 2.13 (0.57) (0.55) (0.38) Copper 389.05 381.45 437.85
Bankrate 30Y Mortgage Rates Na 6.99 6.66 3.27 2.87 3.86 Corn 471.25 678.00 556.50
Prime 8.50 7.50 3.25 3.25 4.75 BBG Commodity TR Idx 226.43 245.89 211.80
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, 2023
Index Returns (%)
L 11.4 26.5 42.7 L -7.6 -19.1 -29.1
S
M 12.7 17.2 25.9 M
-14.5
-12.1 -17.3 -26.7
Levels (%)Levels
-20.5 -26.4
YTD 2022
Index Returns (%)Levels
S 14.6 16.9 18.6
57.84 55.80
42.30
26.29
18.08
12.55 12.27 12.10
2.06 0.52
-1.42
-7.08
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
YTD Sector Returns
65.43
1.56
-0.62 -1.95 -5.51 -10.57 -12.28 -18.13
-26.21 -28.19
-37.03 -39.89
-60.0
-40.0
-20.0
0.0
20.0
40.0
60.0
80.0
2022 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 (1.0%)
Total Private Equity Composite (3.3%)
Total Real Asset (10.3%)
Total Fixed Income Composite (32.0%)
Total Long/Short Equity Composite (0.0%)
Total International Equity (15.6%)
Total Domestic Equity (37.7%)
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 673,314,491 100.0 N/A N/A 100.0 ---
Total Domestic Equity 253,574,450 37.7 10.0 50.0 35.0 -186,243,001 83,082,796 -17,914,378
Total International Equity 105,116,984 15.6 5.0 20.0 15.0 -71,451,259 29,545,915 -4,119,810
Total Long/Short Equity Composite 329,791 0.0 0.0 7.5 0.0 -329,791 50,168,796 -329,791
Total Fixed Income Composite 215,588,910 32.0 10.0 45.0 30.0 -148,257,461 87,402,611 -13,594,563
Total Real Asset 69,571,964 10.3 0.0 15.0 10.0 -69,571,964 31,425,210 -2,240,515
Total Private Equity Composite 22,344,060 3.3 0.0 20.0 10.0 -22,344,060 112,318,838 44,987,389
Total Cash Composite 6,788,333 1.0 0.0 10.0 0.0 -6,788,333 60,543,116 -6,788,333
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2023
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 (1.0%)
Total Real Asset (10.3%)
Total Fixed Income Composite (32.0%)
Total Long/Short Equity Composite (0.0%)
Total International Equity (15.6%)
Total Small Cap Equity Composite (8.5%)
Total Mid Cap Equity Composite (8.7%)
Total Large Cap Equity Composite (20.5%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 673,314,491 100.0 100.0 -
Total Large Cap Equity Composite 137,848,465 20.5 20.0 -3,185,567
Total Mid Cap Equity Composite 58,467,060 8.7 7.5 -7,968,473
Total Small Cap Equity Composite 57,258,924 8.5 7.5 -6,760,338
Total International Equity 105,116,984 15.6 15.0 -4,119,810
Total Long/Short Equity Composite 329,791 0.0 5.0 33,335,934
Total Fixed Income Composite 215,588,910 32.0 35.0 20,071,162
Total Real Asset 69,571,964 10.3 10.0 -2,240,515
Total Cash Composite 6,788,333 1.0 0.0 -6,788,333
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of December 31, 2023
Page 3
Dec-2023 : $673,314,490.8 Allocation
Market Value Allocation
SSgA S&P 500 35,816,490 5.3¢
SSgA S&P 500 Equal Weighted Index 25,575,936 3.8¢
T. Rowe Price 76,456,039 11.4¢
Kennedy Mid Cap Value 16,412,484 2.4¢
TimesSquare 19,965,827 3.0¢
Reinhart Partners 22,088,749 3.3¢
Leeward 28,104,623 4.2¢
Loomis Small Cap 29,154,301 4.3¢
Lazard 27,645,750 4.1¢
Hudson Edge HGK International 30,462,266 4.5¢
Fidelity Intl Index (FSPSX)12,333,166 1.8¢
Allspring EM 16,088,683 2.4¢
ABS Emerging Markets Strat Port 18,587,118 2.8¢
ABS Offshore Global 329,791 0.0¢
CS McKee 119,975,828 17.8¢
Loomis Fixed Income 43,770,493 6.5¢
Pimco Diversified Income (PDIIX)7,770,423 1.2¢
Churchill Senior Loan Fund 3,881,944 0.6¢
Marathon Distressed Credit Fund LP 12,410,327 1.8¢
H.I.G. Bayside Loan Opportunity VI 9,214,006 1.4¢
BlackRock Direct Lending Feeder IX 10,544,595 1.6¢
Bloomfield Capital Fund V - Series B 8,021,292 1.2¢
ValStone Opportunity Fund V 1,647,880 0.2¢
Morgan Stanley 41,543,013 6.2¢
Prudential PRISA II 14,518,679 2.2¢
Alidade Capital Fund IV 4,048,322 0.6¢
Walton Street Real Estate 2,170,806 0.3¢
AEW Real Estate 1,074,046 0.2¢
Dune Real Estate IV 4,569,218 0.7¢
Hamilton Lane Secondary Fund V LP 7,613,750 1.1¢
Portfolio Adv Secondary Agg IV 9,737,181 1.4¢
Sturbridge Diversified III 3,191,614 0.5¢
Capital Dynamics Global Secondaries VI 1,801,515 0.3¢
Liquidity Account 6,788,333 1.0¢
Asset Allocation by Asset Class
Oakland County Employees' Retirement System
As of December 31, 2023
Page 4
Financial Reconciliation Month to Date
Market Value
10/01/2023
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2023
Total Fund Composite 641,163,852 -34,302 -16,189,388 -367,147 -4,261 3,657,475 45,019,660 673,314,491
Total Equity Composite 336,894,401 -14,342,861 34,302 --95,348 -1,642 1,397,722 35,134,651 359,021,224
Total Domestic Equity 234,189,885 -8,076,839 ----1,227 683,667 26,778,963 253,574,450
Total Large Cap Equity Composite 127,906,339 -5,000,000 ----63 329,492 14,612,697 137,848,465
SSgA S&P 500 36,986,657 -5,000,000 -----3,829,833 35,816,490
SSgA S&P 500 Equal Weighted Index 22,793,033 ------2,782,903 25,575,936
T. Rowe Price 68,126,649 -----63 329,492 7,999,961 76,456,039
Total Mid Cap Equity Composite 54,072,570 -3,076,839 ----430 188,534 7,283,225 58,467,060
Kennedy Mid Cap Value -15,344,115 ----22,315 1,046,055 16,412,484
Vanguard Mid Cap Value (VOE)12,978,136 -13,789,765 -----811,629 -
TimesSquare 16,100,655 1,655,939 ----225 43,874 2,165,585 19,965,827
Vanguard Mid Cap (VO)13,521,231 -15,049,928 ----76,839 1,451,857 -
Reinhart Partners 11,472,548 8,762,800 ----205 45,507 1,808,100 22,088,749
Total Small Cap Equity Composite 52,210,976 -----734 165,641 4,883,042 57,258,924
Leeward 25,314,002 -----363 127,178 2,663,807 28,104,623
Loomis Small Cap 26,896,974 -----370 38,463 2,219,235 29,154,301
Total International Equity 96,108,703 -34,302 --95,348 -415 714,055 8,355,687 105,116,984
Lazard 25,144,259 -----415 315,686 2,186,220 27,645,750
Hudson Edge HGK International 26,945,463 ----61,046 -63,787 3,514,062 30,462,266
Fidelity Intl Index (FSPSX)11,135,834 -----334,581 862,752 12,333,166
Allspring EM 14,775,349 -34,302 --34,302 --1,313,335 16,088,683
ABS Emerging Markets 18,107,799 ------479,319 18,587,118
Total Long/Short Equity Composite 6,595,813 -6,266,022 ------329,791
ABS Offshore Global 6,595,813 -6,266,022 ------329,791
Total Fixed Income Composite 207,277,548 -4,265,323 ---85,777 -871 1,608,296 11,055,037 215,588,910
Total Core Fixed Income 152,288,022 -----871 1,476,336 9,982,835 163,746,321
CS McKee 111,544,779 -----771 1,161,841 7,269,979 119,975,828
Loomis Fixed Income 40,743,243 -----101 314,495 2,712,856 43,770,493
Total Global Fixed 10,466,274 -3,500,000 ---19,788 -131,960 691,977 7,770,423
Pimco Diversified Income 10,466,274 -3,500,000 ---19,788 -131,960 691,977 7,770,423
Private Fixed Income 44,523,252 -765,323 ---65,989 --380,225 44,072,165
Churchill Senior Loan Fund 4,004,155 -122,211 ------3,881,944
Marathon Distressed Credit Fund LP 12,971,705 -561,378 ------12,410,327
H.I.G. Bayside Loan Opportunity VI 8,397,864 816,385 ---242 ---9,214,006
BlackRock Direct Lending Feeder IX 10,977,003 -746,887 ---65,746 --380,225 10,544,595
Bloomfield Capital Fund V - Series B 8,172,525 -151,233 ------8,021,292
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2023
Page 5
Financial Reconciliation
Total Fund
Quarter To Date Ending December 31, 2023
Market Value
10/01/2023
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
12/31/2023
Total Real Asset 70,426,047 96,188 ---143,273 -515,137 -1,322,136 69,571,964
Total Real Estate 70,426,047 96,188 ---143,273 -515,137 -1,322,136 69,571,964
ValStone Opportunity Fund V 1,648,880 -------1,000 1,647,880
Morgan Stanley 42,479,679 ----132,628 -418,509 -1,222,547 41,543,013
Prudential PRISA II 14,518,679 -----96,513 -96,513 14,518,679
Alidade Capital Fund IV 4,048,322 -------4,048,322
Walton Street Real Estate 2,257,614 -76,163 ---10,645 ---2,170,806
AEW Real Estate 1,229,333 -155,287 ------1,074,046
Dune Real Estate IV 4,175,885 393,333 ------4,569,218
Total Private Equity Composite 23,390,579 -1,003,769 ---42,750 ---22,344,060
Hamilton Lane Secondary Fund V LP 8,551,599 -895,099 ---42,750 ---7,613,750
Portfolio Adv Secondary Agg IV 10,193,004 -455,823 ------9,737,181
Sturbridge Diversified III 3,191,614 -------3,191,614
Capital Dynamics Global Secondaries VI 4,363,081 1,041,459 ------5,404,540
Total Cash Composite 3,175,277 19,515,765 --16,189,388 --1,747 136,319 152,108 6,788,333
Liquidity Account 3,175,277 19,515,765 --16,189,388 --1,747 136,319 152,108 6,788,333
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 673,314,491 100.0 4.16 7.71 7.71 11.91 11.91 3.96 8.09 7.12 6.57 8.14 10/01/1986
Total Fund Policy Index 4.74 8.86 8.86 12.75 12.75 2.99 7.82 6.91 6.43 8.49
Total Equity Composite 359,021,224 53.3 5.97 11.30 11.30 19.37 19.37 5.72 11.50 9.58 8.22 9.51 10/01/1986
Total Equity Index 6.12 11.59 11.59 20.80 20.80 6.30 12.38 10.35 9.48 9.95
Total Fixed Income Composite 215,588,910 32.0 3.51 6.15 6.15 7.86 7.86 -1.24 2.25 2.27 2.57 5.75 10/01/1986
Total Fixed Income Index 3.86 6.93 6.93 6.06 6.06 -3.52 1.02 1.28 1.66 5.38
Total Real Asset 69,571,964 10.3 -1.14 -1.15 -1.15 -4.81 -4.81 8.06 6.86 7.56 9.14 5.45 07/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -7.55 -7.55 6.67 5.28 6.05 7.82 5.37
Total Cash Composite 6,788,333 1.0
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2023
Page 7
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2023
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 253,574,450 37.7 6.65 12.01 12.01 21.17 21.17 8.41 14.08 11.53 N/A N/A 10/01/1986
Total Large Cap Equity Composite 137,848,465 20.5 5.06 12.16 12.16 26.11 26.11 10.39 15.96 13.53 12.16 11.23 07/01/2008
SSgA S&P 500 (1.5 bps)35,816,490 5.3 4.54 11.67 11.67 26.25 26.25 9.99 15.67 13.41 12.06 13.39 10/01/2009
S&P 500 Index 4.54 11.69 11.69 26.29 26.29 10.00 15.69 13.42 12.03 13.35
SSgA S&P 500 Equal Weighted Index (4 bps)25,575,936 3.8 7.06 12.21 12.21 14.36 14.36 9.14 13.57 N/A N/A 9.04 02/01/2018
S&P 500 Equal Weighted 6.86 11.87 11.87 13.87 13.87 9.34 13.77 11.13 10.40 9.22
T. Rowe Price (25 bps)76,456,039 11.4 4.65 12.23 12.23 30.30 30.30 10.78 16.87 14.65 12.95 14.05 10/01/2009
S&P 500 Index 4.54 11.69 11.69 26.29 26.29 10.00 15.69 13.42 12.03 13.35
Total Mid Cap Equity Composite 58,467,060 8.7 8.08 13.95 13.95 19.38 19.38 6.91 11.10 8.70 8.06 9.02 07/01/2008
Kennedy Mid Cap Value (50 bps)16,412,484 2.4 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 01/01/2024
Russell Midcap Value Index 7.79 12.11 12.11 12.71 12.71 8.36 11.16 7.76 8.26 N/A
TimesSquare (80 bps)19,965,827 3.0 7.20 13.72 13.72 26.09 26.09 5.02 16.61 14.44 11.69 14.21 09/01/2009
Russell Midcap Growth Index 7.58 14.55 14.55 25.87 25.87 1.31 13.81 12.49 10.57 13.34
Reinhart Partners (65 bps)22,088,749 3.3 7.84 14.42 14.42 23.64 23.64 14.58 N/A N/A N/A 12.40 05/01/2019
Russell 2500 Index 10.72 13.35 13.35 17.42 17.42 4.24 11.67 8.98 8.36 8.27
Total Small Cap Equity Composite 57,258,924 8.5 9.09 9.67 9.67 12.17 12.17 4.86 11.89 8.98 8.05 9.71 07/01/2008
Leeward (70 bps)28,104,623 4.2 9.69 11.03 11.03 11.28 11.28 10.88 12.63 7.72 8.55 9.33 09/01/2005
Russell 2000 Value Index 12.45 15.26 15.26 14.65 14.65 7.94 10.00 6.10 6.76 6.98
Loomis Small Cap (90 bps)29,154,301 4.3 8.51 8.39 8.39 13.05 13.05 -0.89 11.04 11.75 9.29 12.29 09/01/2012
Russell 2000 Growth Index 11.98 12.75 12.75 18.66 18.66 -3.50 9.22 8.08 7.16 10.05
Page 8
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2023
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total International Equity 105,116,984 15.6 4.37 9.44 9.44 15.54 15.54 -0.65 6.27 5.83 3.84 3.79 07/01/2008
Total International Equity Index 5.05 9.82 9.82 16.21 16.21 2.04 7.60 6.84 4.32 3.35
Lazard (75 bps)27,645,750 4.1 4.92 9.95 9.95 18.72 18.72 2.05 7.17 7.07 4.80 5.50 09/01/2006
MSCI AC World ex USA 5.05 9.82 9.82 16.21 16.21 2.04 7.60 6.84 4.32 4.19
HGK International (100 bps)30,462,266 4.5 6.02 13.29 13.29 19.82 19.82 N/A N/A N/A N/A 20.30 09/01/2022
MSCI EAFE (Net) Index 5.31 10.42 10.42 18.24 18.24 4.02 8.16 6.91 4.28 18.76
Fidelity Intl Index (3.5 bps)12,333,166 1.8 5.43 10.75 10.75 18.09 18.09 N/A N/A N/A N/A 29.91 10/01/2022
MSCI EAFE (Net) Index 5.31 10.42 10.42 18.24 18.24 4.02 8.16 6.91 4.28 29.95
Allspring EM (95 bps)16,088,683 2.4 4.81 8.89 8.89 9.04 9.04 -7.83 5.02 5.95 3.75 3.84 11/01/2012
MSCI Emerging Markets Index 3.95 7.93 7.93 10.26 10.26 -4.71 4.08 5.37 3.05 3.07
ABS Emerging Markets (75 bps)18,587,118 2.8 0.00 2.65 2.65 8.58 8.58 N/A N/A N/A N/A 4.12 07/01/2022
MSCI Emerging Markets (Net) Index 3.91 7.86 7.86 9.83 9.83 -5.08 3.68 4.98 2.66 4.31
Total Long/Short Equity Composite 329,791 0.0 0.00 0.00 0.00 3.00 3.00 -1.10 5.02 4.36 3.33 4.02 10/01/2010
ABS Global (100 bps)329,791 0.0 0.00 0.00 0.00 3.00 3.00 -1.10 5.02 4.36 3.57 4.59 10/01/2010
HFRI FOF: Strategic Index 3.59 5.40 5.40 8.56 8.56 0.61 5.23 4.26 3.22 3.36
Total Core Fixed Income 163,746,321 24.3 4.21 7.52 7.52 6.50 6.50 -2.77 1.94 2.02 N/A N/A 07/01/2008
CS McKee (17 bps)119,975,828 17.8 4.17 7.56 7.56 6.51 6.51 -2.86 1.60 1.69 2.21 2.74 02/01/2010
Blmbg. U.S. Aggregate Index 3.83 6.82 6.82 5.53 5.53 -3.31 1.10 1.29 1.81 2.35
Loomis Fixed Income (30 bps)43,770,493 6.5 4.32 7.43 7.43 6.48 6.48 -2.67 2.40 2.51 2.90 4.16 04/01/2010
Blmbg. U.S. Aggregate Index 3.83 6.82 6.82 5.53 5.53 -3.31 1.10 1.29 1.81 2.36
Total Global Fixed 7,770,423 1.2 4.08 8.01 8.01 11.15 11.15 -0.67 -1.30 -0.38 N/A N/A 04/01/2010
Pimco Diversified Income (75 bps)7,770,423 1.2 4.08 8.01 8.01 11.15 11.15 N/A N/A N/A N/A -0.22 03/01/2021
Blmbg. Global Credit (Hedged)3.74 7.32 7.32 9.36 9.36 -2.06 2.51 2.51 3.11 -1.54
Page 9
Asset Allocation & Performance
Total Fund Composite
As of December 31, 2023
Allocation
Market
Value
$
%
Performance(%)
MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Real Estate 69,571,964 10.3 -1.14 -1.15 -1.15 -4.81 -4.81 8.06 6.85 7.55 N/A 7.83 09/01/2016
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -7.55 -7.55 6.67 5.28 6.05 7.82 6.36
Morgan Stanley (84 bps)41,543,013 6.2 -1.90 -1.90 -1.90 -5.01 -5.01 7.48 6.32 7.21 9.13 6.48 01/01/2008
NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 -7.55 -7.55 6.67 5.28 6.05 7.82 5.31
Prudential PRISA II (85 bps)14,518,679 2.2 0.00 0.00 0.00 -7.57 -7.57 6.81 5.76 6.60 8.75 9.79 10/01/2011
NCREIF Property Index 0.00 0.00 0.00 -5.07 -5.07 5.64 4.98 5.50 7.13 7.82
Total Cash Composite 6,788,333 1.0
Liquidity Account (No fee)6,788,333 1.0
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 -0.06 -0.06 -0.06 -2.85 -2.85 3.13 4.94 5.55 N/A 6.38 08/27/2014
Alidade Capital Fund IV 0.00 0.00 0.00 -4.25 -4.25 10.24 10.49 N/A N/A 8.95 04/20/2017
Walton Street Real Estate 0.00 -0.47 -0.47 -1.96 -1.96 10.52 8.89 N/A N/A 10.18 05/24/2017
AEW Real Estate 0.00 0.00 0.00 2.24 2.24 39.43 22.15 N/A N/A 19.21 09/28/2017
Churchill Senior Loan Fund 0.00 0.00 0.00 16.33 16.33 13.58 8.18 N/A N/A 8.08 12/07/2017
Dune Real Estate IV 0.00 0.00 0.00 1.53 1.53 9.70 N/A N/A N/A 4.94 08/22/2019
Hamilton Lane Secondary Fund V LP -0.50 -0.50 -0.50 1.51 1.51 13.29 N/A N/A N/A 18.61 04/28/2020
Marathon Distressed Credit Fund LP 0.00 0.00 0.00 7.83 7.83 6.46 N/A N/A N/A 8.27 09/10/2020
H.I.G. Bayside Loan Opportunity VI 0.00 0.00 0.00 11.83 11.83 7.22 N/A N/A N/A 10.27 09/29/2020
Portfolio Adv Secondary Agg IV 0.00 0.00 0.00 2.99 2.99 9.76 N/A N/A N/A 11.44 11/02/2020
BlackRock Direct Lending Feeder IX 3.31 2.97 2.97 16.33 16.33 9.10 N/A N/A N/A 9.10 01/05/2021
Bloomfield Capital Fund V - Series B 0.00 0.00 0.00 6.82 6.82 N/A N/A N/A N/A 6.45 03/25/2022
Sturbridge Diversified III 0.00 0.00 0.00 18.10 18.10 N/A N/A N/A N/A 73.17 12/27/2022
Capital Dynamics Global Secondaries VI 0.00 0.00 0.00 72.83 72.83 N/A N/A N/A N/A 72.83 02/10/2023
Comparative Performance - IRR
Alternative Investments
As of December 31, 2023
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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 Barclays. 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
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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
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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.
*IMPORTANT DISCLOSURE INFORMATION RE GREENWICH QUALITY LEADER AWARD
These ratings are not indicative of AndCo’s future performance. These awards or any other rankings and/or recognition by unaffiliated rating services and/or publications should not be construed as a guarantee that
a client will experience a certain level of results or satisfaction if they invest with AndCo, nor should it be construed as a current or past endorsement by any of our clients. AndCo did not pay a fee to participate in
this award survey.
Methodology for this Award: For the 2022 Greenwich Quality Award for Overall U.S. Investment Consulting – Midsize Consultants – Between February and November 2022, Coalition Greenwich conducted
interviews with 727 individuals from 590 of the largest tax-exempt funds in the United States. These U.S.-based institutional investors are corporate and union funds, public funds, and endowment and foundation
funds, with either pension or investment pool assets greater than $150 million. Study participants were asked to provide quantitative and qualitative evaluations of their asset management and investment consulting
providers, including qualitative assessments of those firms soliciting their business and detailed information on important market trends.
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