HomeMy WebLinkAboutReports - 2024.06.30 - 42219<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="06/30/2024" Interval="3"
Description="Quarterly Report" />
Investment Performance Review
Period Ending June 30, 2024
Oakland County Employees' Retirement System
Defined Benefit Plan
2Q 2024 EXECUTIVE SUMMARY
Market Summary:
The US economy continued to expand during the 2nd quarter despite approaching two years with an inverted yield curve. However,
signs of a weakening consumer are emerging –rising levels of debt, increasing delinquencies, and declining consumer sentiment.
The Federal Reserve appears to be slowly winning their battle against inflation with the higher for longer approach. Expectations for
interest rate cuts were reduced and delayed for a second time this year in April, driving interest rates higher and leading to a selloff in
stocks and bonds. Rates drifted lower in the final two months of the quarter and the markets recovered some of the losses. The
S&P 500 rose 4.3% in the 2nd quarter, led by large cap growth equities. Small and mid-cap stocks declined in April and June, ending
the quarter in negative territory (Russell Mid Cap = -3.4%; Russell 2000 = -3.3%). International stocks struggled during the quarter,
due in part to political uncertainty (MSCI EAFE = -0.4%); the emerging markets fared much better (MSCI EM = 5.0%). Fixed income
was flat for the quarter as late gains offset early losses (Bloomberg US Aggregate = 0.1%). High yield was again a top performer in
fixed income (Bloomberg US High Yield = 1.1%). Real estate appears to be improving –lower rates should generate more
transactions and better visibility to values.
Conclusions/Recommendations:
1.The Total Fund returned 0.29% during the quarter, trailing the Policy Index by 0.43% and ranking in the bottom half of the public
fund universe. The Fund’s results were hindered by relatively weak results from the domestic and international equity allocations.
2.The Total Fund gained 9.74% over the past year, out performing the Policy Index by 17 basis points and ranking in the third
quartile of the peer group. Longer-term, the Fund has performed well, ranking in the top half of the universe and exceeding the
Policy Index.
3.Kennedy struggled this quarter, trailing the Russell Mid Cap Value Index by -5.52% and ranking at the bottom of the Mid Cap
Value universe. The manager’s results were hindered by poor stock selection within the Industrials, Consumer Discretionary, and
Health Care sectors. Kennedy trails performance expectations after three quarters.
4.Allspring EM trailed the MSCI EM Index and ranked in the bottom half of their peer group. The under performance is partially
attributed to poor stock selection within Industrials, Financials, and Health Care. Longer-term, Allspring meets performance
expectations.
5.Morgan Stanley Prime Property posted a small gain and ranked in the top quartile of their universe this quarter. The manager
benefited from and underweight to the Office sector. Longer-term, Morgan Stanley exceeds performance expectations.
6.At quarter end the Fund was overweight to domestic equities and underweight to fixed income; all allocations were within policy
ranges.
7.Mariner has no recommendations at this time. See the Asset/Manager Summary for additional comments and recommendations.
Page 1
2nd Quarter 2024 Market Environment
Page 2
The Market Environment
Executive Summary
As of June 30, 2024
The Economy
The US Federal Reserve (the Fed)continued on its stable trajectory,holding rates
steady during the second quarter.Capital markets have struggled to accurately
predict the pace and timing of future Fed actions,resulting in an up and down
quarter.In its press release for the June meeting,the Fed continued to assert that
“In considering any adjustments to the target range for the federal funds rate,the
Committee will carefully assess incoming data,the evolving outlook,and the
balance of risks.”
The Fed’s prolonged pause in its rate-hiking cycle and the insertion of the word
“any”in its December press release provided capital markets hope that the Fed
may pivot in its stance and begin reducing rates to a less restrictive level in 2024.
The Fed’s published June “Dot Plot”revised expectations from three quarter-point
rate cuts during the year to just one quarter-point rate cut.If this projection were to
materialize,it would result in the first rate cut since the COVID pandemic in 2020.
Growth in the US labor market continued in June,as nonfarm payrolls increased
by 206,000 while unemployment rose slightly from 3.8%at the end of the first
quarter to 4.1%at the end of the second quarter.Federal Reserve Chair Jerome
Powell has maintained that “an unexpected weakening in the labor market could
also warrant a policy response,”later defining unexpected weakening as
something that would occur outside of their general forecasts.
Equity (Domestic and International)
US equity results were mixed for the quarter,with large-capitalization (cap)stocks
strongly outpacing small-cap stocks.As market participants continue to revise
projections of future Fed actions,they sought safety among large-cap stocks due
to these companies lessened dependence on external financing.The S&P 500
Index rose a solid 4.3%for the quarter,but ended a two-quarter streak of double-
digit gains.
Large-cap equity benchmarks continue to experience top-heavy concentration
among a limited number of stocks.The top 10 stocks in the S&P 500 Index make
up nearly 36%of the index’s weight as of June 2024.Year-to-date,these 10
stocks have contributed to more than 60%of the benchmark's total return.
International stocks also continued to experience growth during the second
quarter,but results were muted by a strengthening US Dollar (USD).USD
performance of international stocks lagged local currency (LCL)returns in most
regions for the quarter,albeit to varying degrees.
Fixed Income
Fixed-income markets remained largely steady during the quarter.While sticky
inflation numbers and a robust job market prompted the Fed to keep the fed funds
rate unchanged during the quarter,this lack of action also tempered expectations
for the number of potential rate cuts in 2024.
High-yield bonds outperformed investment-grade issues for the quarter,largely
due to higher coupons.The high-yield index edged out the Bloomberg US
Aggregate Bond Index,the bellwether bond benchmark,due to relative stability in
both the yield curve and economic conditions.
Global bonds continue to lag the domestic bond market,with the Bloomberg US
Aggregate Bond Index outpacing the Global Aggregate ex-US Index by 2.2%for
the quarter.The return gap between the two benchmarks continues to widen as
the domestic index has outperformed the global index by 3.3%year-to-date.
Market Themes
Domestic and international equity markets posted strong results in the second
quarter.Continuing their robust 2023 run,large-cap growth sectors continued to
outpace their value counterparts in 2024,and by a wider margin than the prior
year.The brief increased breadth markets experienced during of the first quarter
did not continue during the second quarter,and so once again,large-cap growth
stocks were the best-performing US asset category.
Central banks remained vigilant in their stances to bring inflation under control.
While inflation readings remain stubbornly elevated,signs of stable-to-cooling
price pressures have shown up in most regions around the world.Domestically,
job growth has slowed from a pace of 300,000+month-over-month growth to just
over 200,000 net new jobs.
Policy rates were stable across most developed markets as central banks
continued their tight monetary stances.Expectations of looser monetary policy
have been frustrated by mixed economic data and central banks’inaction so far
this year.
Ongoing military conflicts coupled with global economic uncertainty continue to act
as headwinds to international market results.While global disruptions from the
Russia-Ukraine conflict seemed to subside during the quarter,the proxy war in the
Middle East has spread to other countries in the region and unsettled shipping
channels globally.
Page 3
The Market Environment
Major Market Index Performance
As of June 30, 2024
Performance in the domestic equity markets was disparate during the second
quarter.After a more encouraging showing last quarter,where markets
broadened out in terms of strength,large-cap stocks once again surged ahead
while smaller-cap stocks weakened slightly.For the period,the large-cap S&P
500 and Russell 1000 indexes posted returns of 4.3%and 3.6%,respectively.
The broad-cap Russell 3000 index lagged slightly,returning a more modest
3.2%.Outside of large-cap issues,the Russell Mid Cap and Russell 2000
indexes both experienced equivalent pullbacks during the quarter,with each
benchmark returning -3.3%.
International developed market equities were muted during the quarter.The
MSCI ACWI ex US Index posted a modest 1.0%gain for the quarter,while the
MSCI EAFE Index fell slightly,posting a return of -0.4%in USD terms.
International emerging market (EM)equities posting a 5.0%return for the
quarter,outpacing the performance of their developed market counterparts.
Much of the solid performance in the EM region was attributed to a bounce
back in China,Taiwan,and Singapore,each posting strong USD results during
the quarter.
Most broad fixed-income indexes rose slightly during the second quarter of
2024.The Bloomberg US Aggregate Index returned 0.1%for the quarter,while
investment-grade corporate bonds slid -0.1%.The TIPS market was the best-
performing sector during the quarter,outpacing the rest of the domestic fixed-
income categories with a return of 0.8%.
Large-cap US equity indexes have been a performance juggernaut over the
trailing 12 months.The S&P 500 Index has gained 24.6%while the Russell
1000 Index was nearly as strong with a return of 23.9%.The weakest
performing class of domestic equities for the year was the small-cap Russell
2000 Index,which still posted a double-digit return of 10.1%over the last 12
months.
International markets also showcased healthy performance for the one-year
trailing period.The MSCI EM Index was the best international performer,
returning 12.5%,while the MSCI EAFE and MSCI ACWI ex US indexes posted
returns of 11.5%and 11.6%,respectively.
Bond markets posted positive but muted results for the trailing one-year period
which substantially lagged equity benchmark results.Investment-grade
corporate bonds led the way,up by 4.6%for the year.Meanwhile,Treasuries
lagged,returning just 1.6%over the period.The bellwether fixed-income
benchmark,the Bloomberg US Aggregate Bond Index,returned a mild 2.6%
for the year.
Source: Investment Metrics
1.3%
-0.1%
0.1%
0.8%
0.1%
0.1%
5.0%
-0.4%
1.0%
-3.3%
-3.3%
3.6%
3.2%
4.3%
-4.0%-2.0%0.0%2.0%4.0%6.0%
3-Month T-Bill
Bloomberg Corp IG
Bloomberg MBS
Bloomberg US TIPS
Bloomberg US Govt
Bloomberg US Agg
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
Quarter Performance
5.5%
4.6%
2.1%
2.7%
1.6%
2.6%
12.5%
11.5%
11.6%
10.1%
12.9%
23.9%
23.1%
24.6%
-1.0%4.0%9.0%14.0%19.0%24.0%
3-Month T-Bill
Bloomberg Corp IG
Bloomberg MBS
Bloomberg US TIPS
Bloomberg US Govt
Bloomberg US Agg
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
1-Year Performance
Page 4
Source: Investment Metrics
The Market Environment
Domestic Equity Style Index Performance
As of June 30, 2024
Domestic equity benchmarks posted mixed absolute results for the second
quarter,but growth stocks outpaced their value counterparts at each
capitalization level.The best-performing area of the equity market continues to
be large-cap growth with the Russell 1000 Growth Index returning 8.3%for the
quarter.The worst-performing segment of the domestic equity market for the
second consecutive quarter was small-cap value with the Russell 2000 Value
index falling -3.6%for the quarter.From a capitalization perspective,large-cap
stocks once again led their small-cap counterparts,with the Russell 1000
Index returning 3.2%and the Russell 2000 Index falling by -3.3%.
The market’s growth-led rally continued during the quarter,and this disparity
was most visible in large-cap style performance,with the Russell 1000 Growth
Index outpacing the Russell 1000 Value Index by double digits (10.1%).While
mid-cap and small-cap growth fell in absolute terms for the quarter,the mid-
and small-cap growth indexes held up slightly better than their value
counterparts.This quarter’s results followed the theme of large-cap growth
stocks being the best-performing segment of the domestic equity market over
the past several years.
For the year the Russell 1000 Growth Index returned an impressive 33.5%,
leading the way among style and market capitalization classifications.Much of
this strong performance has been attributable to the emergence of the
“Magnificent 7”stocks,which have dominated the large-cap indexes over the
past several years.The seven biggest stocks in the Russell 1000 Index
contributed more than 70%of the index’s total performance in the trailing 12-
month period.
The weakest performing index for the year was the Russell 2000 Growth,
which still posted a solid return of 9.1%.
The dominance of growth sectors is evident in the chart with the broad-cap,
large-cap,and mid-cap benchmarks handily outperforming the core and value
indexes for the trailing one-year period.The performance gap between the
Russell 1000 Growth Index and the Russell 1000 Value Index was a
staggering 20.4%for the year while the mid-cap growth index edged past the
mid-cap value index by just 3.1%.Small-cap stocks bucked the growth-
dominance trend with the Russell 2000 Value Index posting a return of 10.9%
versus a return of 9.1%for the Russell 2000 Growth Index.
-2.9%
-3.3%
-3.6%
-3.2%
-3.3%
-3.4%
8.3%
3.6%
-2.2%
7.8%
3.2%
-2.3%
-4.6%-2.6%-0.6%1.4%3.4%5.4%7.4%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
Quarter Performance -Russell Style Series
9.1%
10.1%
10.9%
15.1%
12.9%
12.0%
33.5%
23.9%
13.1%
32.2%
23.1%
12.9%
-1.0%4.0%9.0%14.0%19.0%24.0%29.0%34.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
1-Year Performance -Russell Style Series
Page 5
The Market Environment
GICS Sector Performance & (Sector Weight)
As of June 30, 2024
Source: Morningstar Direct
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking
performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
Economic sector performance was choppy during the second quarter.
This quarter broke the preceding trend of broader participation in the
equity market’s rally.Only five of the 11 economic sectors posted positive
absolute returns for the quarter,with information technology (11.9%),
communication services (9.0%),and utilities (5.1%)leading the way.
In contrast,full-year results were more consistent as all 11 economic
sectors finished the year in positive territory.Of the 11 sectors,three
(communication services,up 43.0%;information technology,up 39.7%;
and financials,up 25.8%)were up by more than 25.0%for the past year.
With their more than 40%combined weight in the benchmark,these three
sectors were also the only ones to outpace the Russell 1000 Index’s
return of 23.9%.Despite solid positive performance,utilities (up 9.1%),
consumer staples (8.4%),materials (8.1%),consumer staples (8.4%),and
real estate (4.9%)were all relative detractors for the year with their single-
digit returns.
Nine of the 11 small-cap economic sectors lost value during the quarter.
Consumer staples (up 1.7%),and utilities (0.2%)were the only two
sectors to post gains for the quarter.Materials was the worst-performing
sector posting a loss of -8.1%for the quarter.While not always the case,
small-cap stocks generally have greater dependence on liquidity and
access to capital which can lead to lagging performance relative to large-
cap stocks during periods of restrictive monetary policy.
Similar to large-cap sector performance,eight of the 11 small-cap sectors
were positive over the trailing one-year period.Energy posted the
strongest sector performance with a return of 21.4%,followed closely by
the financials sector return of 19.1%.Consumer staples (up 17.1%),
information technology (13.6%),and industrials (11.9%)each produced
double-digit results for the period.Three sectors (communication services,
health care,and utilities)posted negative results during the period.
9.1%
4.9%
8.1%
39.7%
16.7%
11.2%
25.8%
16.5%
8.4%
13.6%
43.0%
5.1%
-1.6%
-5.6%
11.9%
-3.3%
-1.2%
-1.7%
-2.1%
1.3%
0.0%
9.0%
-10.0%0.0%10.0%20.0%30.0%40.0%
Utilities (2.3%)
Real Estate (2.5%)
Materials (2.3%)
Info Technology (29.7%)
Industrials (9.1%)
Health Care (12.1%)
Financials (13.1%)
Energy (4.0%)
Consumer Staples (5.8%)
Consumer Disc (10.4%)
Comm Services (8.9%)
Russell 1000 Quarter 1-Year
-8.2%
5.0%
6.9%
13.6%
11.9%
-0.9%
19.1%
21.4%
17.1%
9.7%
-3.5%
0.2%
-3.1%
-8.1%
-4.3%
-1.8%
-4.3%
-1.0%
-2.6%
1.7%
-6.1%
-4.9%
-10.0%0.0%10.0%20.0%
Utilities (2.6%)
Real Estate (6.6%)
Materials (4.9%)
Info Technology (17.1%)
Industrials (16.0%)
Health Care (15.1%)
Financials (14.1%)
Energy (7.2%)
Consumer Staples (4.1%)
Consumer Disc (10.2%)
Comm Services (1.8%)
Russell 2000 Quarter 1-Year
Page 6
The Market Environment
Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000
As of June 30, 2024
Source: Morningstar Direct
Top 10 Weighted StocksTop 10 Weighted Stocks
Sector1-Year
Return
1-Qtr
ReturnWeightRussell 2000Sector1-Year
Return
1-Qtr
ReturnWeightRussell 1000
Information Technology228.7%-18.9%1.6% Super Micro Computer IncInformation Technology32.3%6.4%6.7%Microsoft Corp
Information Technology302.3%-19.2%0.8%MicroStrategy Inc Class AInformation Technology9.2%23.0%6.2%Apple Inc
Consumer Discretionary396.6%46.4%0.5% Carvana Co Class AInformation Technology192.1%36.7%5.9%NVIDIA Corp
Consumer Staples84.5%7.5%0.4%e.l.f. Beauty IncConsumer Discretionary48.2%7.1%3.5%Amazon.com Inc
Industrials86.0%-4.2%0.4% Comfort Systems USA IncCommunication Services76.1%3.9%2.2%Meta Platforms Inc Class A
Information Technology88.5%21.3%0.4%Onto Innovation IncCommunication Services52.3%20.8%2.2%Alphabet Inc Class A
Industrials234.2%54.0%0.4% FTAI Aviation LtdCommunication Services51.8%20.6%1.9%Alphabet Inc Class C
Consumer Discretionary52.5%2.7%0.4%Light & Wonder Inc Ordinary SharesHealth Care94.5%16.6%1.5%Eli Lilly and Co
Health Care217.5%147.0%0.4% Insmed IncFinancials88.4%21.5%1.5%Berkshire Hathaway Inc Class B
Information Technology88.5%29.5%0.4%FabrinetInformation Technology19.3%-3.3%1.4%Broadcom Inc
Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)
Sector1-Year
Return
1-Qtr
ReturnWeightRussell 2000Sector1-Year
Return
1-Qtr
ReturnWeightRussell 1000
Communication Services147.0%300.3%0.1% AST SpaceMobile Inc Ordinary SharesConsumer Discretionary1.8%97.2%0.0%GameStop Corp Class A
Health Care-7.2%169.6%0.0%Emergent BioSolutions IncConsumer Discretionary-57.5%65.8%0.0%Petco Health and Wellness Co
Health Care70.4%164.9%0.1% Novavax IncHealth Care27.9%62.6%0.1%Alnylam Pharmaceuticals Inc
Consumer Discretionary-55.6%154.3%0.0%Rent the Runway Inc Class AHealth Care44.3%38.7%0.0%United Therapeutics Corp
Health Care217.5%147.0%0.4% Insmed IncInformation Technology57.6%37.9%0.0%Cirrus Logic Inc
Industrials30.9%124.7%0.0%Innodata IncFinancialsN/A36.8%0.0%NCR Atleos Corp
Industrials71.9%120.2%0.0% NuScale Power Corp Class AInformation Technology192.1%36.7%5.9%NVIDIA Corp
Health Care79.4%103.7%0.2%TransMedics Group IncCommunication Services-87.2%33.9%0.0%AMC Entertainment
Consumer Staples290.1%101.2%0.1% Vital Farms Inc Ordinary SharesInformation Technology18.6%33.6%0.0%First Solar Inc
Information Technology41.9%97.8%0.0%Matterport Inc Ordinary SharesConsumer Discretionary126.5%32.4%0.0%Cava Group Inc
Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter)
Sector1-Year
Return
1-Qtr
ReturnWeightRussell 2000Sector1-Year
Return
1-Qtr
ReturnWeightRussell 1000
Health Care-90.3%-94.4%0.0%Aerovate Therapeutics IncMaterials-82.0%-71.2%0.0%Ginkgo Bioworks Holdings Inc
Health Care-89.2%-87.1%0.0%Marinus Pharmaceuticals IncIndustrials-80.8%-54.9%0.0%Hertz Global Holdings Inc
Information Technology-90.3%-82.0%0.0%Cerence Inc Ordinary SharesHealth Care-65.2%-48.2%0.0%10x Genomics Inc
Industrials-95.6%-79.2%0.0%Velo3D IncInformation Technology-50.0%-44.6%0.0%DoubleVerify Holdings Inc
Information Technology-95.9%-77.7%0.0%Akoustis Technologies IncInformation Technology-23.5%-44.1%0.0%UiPath Inc Class A
Health Care-68.3%-76.0%0.0%Gritstone Bio IncConsumer Staples-54.6%-43.5%0.0%Walgreens Boots Alliance Inc
Health Care-76.5%-74.8%0.0%Ovid Therapeutics IncHealth Care-31.4%-41.9%0.0%Fortrea Holdings Inc
Information Technology-97.0%-74.4%0.0%Maxeon Solar Technologies LtdConsumer Discretionary-44.6%-39.9%0.0%Five Below Inc
Health Care-85.5%-74.0%0.0%Zentalis Pharmaceuticals IncConsumer Discretionary-58.8%-39.9%0.0%Leggett & Platt Inc
Industrials-80.2%-73.8%0.0%Nikola CorpInformation Technology-62.6%-39.1%0.0%Unity Software Inc Ordinary Shares
Page 7
Source: MSCI Global Index Monitor (Returns are Net)
The Market Environment
International and Regional Market Index Performance (Country Count)
As of June 30, 2024
Results among the broad international equity indexes were mixed during the
quarter,echoing the performance of major domestic indexes.The
strengthening USD relative to many major currencies during the quarter was
a detractor to the USD performance of regional benchmark returns across
most regions.The developed-market MSCI EAFE Index returned a muted
1.0%in LCL terms but fell -0.4%in USD terms.The MSCI Emerging Markets
Index was the best-performing broad index and rose by 5.0%in USD and
6.2%in LCL terms for the quarter.
Latin America continued to struggle during the quarter in both USD and LCL
terms.The cyclical demand for commodity exports in the region has resulted
in greater volatility due to ongoing uncertainty over central bank policies and
future global demand.
The heaviest-weighted country in the emerging market index (China)
rebounded 7.1%during the quarter.The Chinese economy grew at a rate of
5.2%in 2023,lower than its pre-pandemic rate of 6.0%and has been a
headwind for performance.Troubles in the commercial property and banking
sectors have also created challenges for growth in the region.Despite the
additive performance in the region,the Chinese banking sector underwent
heavy consolidation during the second quarter amid regional bank failures
across the country.
Much like domestic markets,trailing one-year results for international
developed and emerging markets benchmarks were strong.Higher LCL
versus USD returns for most international benchmarks demonstrate the
USD’s strength over the trailing one-year period.
Most broad and regional indexes were positive for the trailing 12 months in
both USD and LCL terms.The sole exception was EM Latin America,where
USD strength turned the region’s positive LCL performance negative in USD
terms.In LCL terms,the MSCI Pacific Index led the way with a return of
19.3%for the trailing year.USD returns for the region were still strong but
returned a more muted 11.0%.The EM Asia regional index posted the
strongest relative USD performance,returning 15.1%over the trailing 12
months.
-4.1%
8.2%
0.9%
6.2%
1.4%
0.8%
1.0%
0.8%
2.3%
-12.2%
7.4%
1.6%
5.0%
-2.2%
0.5%
-0.4%
-0.6%
1.0%
-15.0%-10.0%-5.0%0.0%5.0%10.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
Quarter Performance USD LOCAL
5.4%
17.5%
10.2%
15.5%
19.3%
13.0%
15.1%
14.8%
15.0%
-5.6%
15.1%
9.3%
12.5%
11.0%
11.8%
11.5%
11.2%
11.6%
-10.0%0.0%10.0%20.0%
EM Latin Amer (6)
EM Asia (9)
EM EMEA (11)
Emerging Mkt (26)
Pacific (5)
Europe & ME (16)
EAFE (21)
WORLD x US (22)
AC World x US (48)
1-Year Performance USD Local Currency
Page 8
The Market Environment
US Dollar International Index Attribution & Country Detail
As of June 30, 2024
Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)
As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents
backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.
1-Year ReturnQuarter ReturnSector WeightMSCI -EAFE
10.1%0.5%4.1%Communication Services
0.1%-9.0%11.5%Consumer Discretionary
-6.8%-1.6%8.5%Consumer Staples
15.9%1.3%4.1%Energy
24.2%3.3%20.0%Financials
11.5%4.7%13.5%Health Care
15.0%-0.8%16.9%Industrials
24.1%0.2%9.5%Information Technology
8.5%-3.2%6.7%Materials
7.6%-6.7%2.0%Real Estate
-0.6%0.8%3.1%Utilities
11.5%-0.4%100.0%Total
1-Year ReturnQuarter ReturnSector WeightMSCI -ACWIxUS
5.7%4.0%5.3%Communication Services
1.9%-4.8%11.1%Consumer Discretionary
-5.9%-1.7%7.2%Consumer Staples
18.9%1.3%5.5%Energy
18.7%2.6%21.7%Financials
10.0%3.8%9.5%Health Care
13.1%-0.5%13.7%Industrials
28.3%5.2%14.0%Information Technology
5.1%-1.9%7.1%Materials
4.5%-4.7%1.8%Real Estate
3.7%2.2%3.1%Utilities
11.6%1.0%100.0%Total
1-Year ReturnQuarter ReturnSector WeightMSCI -Emerging Mkt
2.7%8.2%8.9%Communication Services
6.3%5.1%12.3%Consumer Discretionary
-5.7%-3.0%5.2%Consumer Staples
25.2%3.3%5.2%Energy
12.6%3.5%21.9%Financials
-2.8%-4.3%3.2%Health Care
6.9%4.0%6.9%Industrials
34.2%11.3%25.1%Information Technology
-3.1%-1.8%6.9%Materials
-4.1%2.8%1.5%Real Estate
20.3%6.2%3.0%Utilities
12.5%5.0%100.0%Total
1-YearQuarterMSCI-ACWIxUSMSCI-EAFE
ReturnReturnWeightWeightCountry
13.2%-4.3%14.4%22.7%Japan
12.5%3.7%9.5%14.9%United Kingdom
0.5%-7.5%7.1%11.2%France
6.1%3.1%6.2%9.7%Switzerland
10.1%-1.4%5.5%8.7%Germany
14.1%1.6%4.8%7.5%Australia
25.6%5.0%3.4%5.4%Netherlands
42.1%7.5%2.5%4.0%Denmark
18.2%2.2%2.1%3.2%Sweden
21.3%-3.4%1.7%2.7%Italy
15.0%-1.6%1.7%2.7%Spain
-18.0%1.0%1.1%1.8%Hong Kong
13.5%8.9%0.9%1.4%Singapore
1.7%3.0%0.6%1.0%Finland
9.0%0.9%0.6%1.0%Belgium
23.6%-4.2%0.5%0.7%Israel
14.2%6.6%0.4%0.6%Norway
12.5%-0.8%0.2%0.3%Ireland
-6.4%8.5%0.1%0.2%Portugal
17.9%7.1%0.1%0.2%Austria
3.7%3.2%0.1%0.2%New Zealand
11.5%-0.4%63.6%100.0%Total EAFE Countries
8.6%-2.1%7.4%Canada
11.2%-0.6%71.0%Total Developed Countries
-1.6%7.1%7.3%China
40.7%15.1%5.6%Taiwan
34.4%10.2%5.6%India
8.1%-1.2%3.5%Korea
-7.7%-12.2%1.2%Brazil
0.9%-7.4%1.1%Saudi Arabia
12.3%12.3%0.9%South Africa
-6.5%-16.1%0.6%Mexico
-11.8%-12.4%0.5%Indonesia
17.5%4.4%0.4%Malaysia
-13.3%-4.8%0.4%Thailand
0.8%-2.3%0.3%United Arab Emirates
32.4%6.1%0.3%Poland
62.1%21.4%0.2%Turkey
0.7%-0.3%0.2%Qatar
2.2%-2.8%0.2%Kuwait
-3.1%-10.7%0.1%Philippines
9.6%-1.2%0.1%Greece
-9.3%-1.3%0.1%Chile
40.0%2.0%0.1%Peru
29.0%9.2%0.1%Hungary
3.5%6.3%0.0%Czech Republic
26.7%-4.6%0.0%Colombia
-4.8%-4.2%0.0%Egypt
12.5%5.0%29.0%Total Emerging Countries
11.6%1.0%100.0%Total ACWIxUS Countries
Page 9
Source: Bloomberg
The Market Environment
Domestic Bond Sector & Broad/Global Bond Market Performance (Duration)
As of June 30, 2024
Fixed-income markets fell in a relativity tight range for the quarter with many
domestic sectors returning less than 0.5%.Yields remained at elevated levels
as the Federal Reserve maintained its restrictive policy stance.If market
expectations hold and the Fed begins to cut rates in 2024,to the extent any
cuts lower yields across the curve,it will provide a jolt to bondholder
performance since bond prices move in the opposite direction of yields.
The Bloomberg US Aggregate Bond Index had a mixed quarter of
performance made up of a large drawdown in April follow by smaller
recoveries in May and June that combined for an index return of 0.1%.
Performance across the investment-grade index’s segments for the quarter
was similarly muted with the Bloomberg US Corporate Investment Grade
Index returning -0.1%and the US Mortgage Index gaining 0.1%.
Outside of the Aggregate index's sub-components,high-yield bonds
continued to rise,posting a return of 1.1%,boosted by the higher coupon
income,and US TIPS climbed 0.8%for the quarter.The Bloomberg Global
Aggregate ex-US Index returned -2.1%for the quarter with USD strength
exerting downward pressure on performance.This global performance
lagged domestic fixed-income indexes as well as the multiverse benchmark’s
return of -1.0%.
Over the trailing one-year period,the Bloomberg US Aggregate Bond Index
managed a 2.6%return.The benchmark's sub-components also posted
positive performance over the trailing 12 months with the Bloomberg US
Corporate Investment Grade Index rising 4.6%and the US Mortgage Index
posting a more modest 2.1%return.US TIPS and high-yield corporate
bonds,which are excluded from the aggregate index,each posted gains in
the trailing year with returns of 2.7%and 10.4%,respectively.In addition to
their higher coupons,high-yield bonds benefited from generally shorter
duration than investment-grade corporate debt.This lower duration acted as
a tailwind for high-yield bonds as interest rates rose during the trailing year.
Among credit qualities,lower-quality bonds (both investment grade and non-
investment grade)have outperformed higher-quality bonds due to both their
higher yields,which contribute to higher interest payments,and narrowing
credit spreads over the last year.
Performance for non-US bonds was negative for the trailing year with the
Bloomberg Global Aggregate ex-US Index falling -0.7%.With foreign central
banks largely tracking the Fed’s tight monetary stance,the negative
performance of global bonds is largely attributable to USD strength over the
last year.
-1.0%
-2.1%
0.5%
0.1%
0.0%
-0.1%
0.1%
0.5%
0.8%
1.1%
-0.1%
0.1%
0.1%
-2.5%-1.5%-0.5%0.5%1.5%
Multiverse (6.4)
Global Agg x US (7.0)
Intermediate Agg (4.5)
Aggregate (6.1)
Baa (6.8)
A (6.9)
AA (6.0)
AAA (4.3)
U.S. TIPS (4.9)
U.S. High Yield (3.1)
U.S. Corporate IG (6.9)
U.S. Mortgage (6.1)
U.S. Treasury (5.9)
Quarter Performance
1.3%
-0.7%
3.5%
2.6%
5.5%
4.0%
2.1%
3.2%
2.7%
10.4%
4.6%
2.1%
1.5%
-1.8%0.2%2.2%4.2%6.2%8.2%10.2%
Multiverse (6.4)
Global Agg x US (7.0)
Intermediate Agg (4.5)
Aggregate (6.1)
Baa (6.8)
A (6.9)
AA (6.0)
AAA (4.3)
U.S. TIPS (4.9)
U.S. High Yield (3.1)
U.S. Corporate IG (6.9)
U.S. Mortgage (6.1)
U.S. Treasury (5.9)
1-Year Performance
Page 10
Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)
The Market Environment
Market Rate & Yield Curve Comparison
As of June 30, 2024
The gray band across the graph illustrates the current fed funds target rate
range over the last 12 months.During the second quarter,the Federal Open
Market Committee (FOMC)continued to hold fed funds rates steady in the
5.25%-5.50%target range.The last rate increase in the current cycle
occurred at the FOMC’s July 2023 meeting.While the FOMC’s press releases
have continued to push economic data-dependent outcomes,the language
used to describe economic conditions in these releases has also softened,
resulting in market expectations that the next rate action by the FOMC will
likely be a cut.The CME FedWatch tool,which forecasts rates based on Fed
Fund futures pricing,currently shows a greater than 90%probability of a
0.25%rate decrease at the FOMC September meeting.Fed officials and
market participants continue to express concern that leaving rates at their
current levels for an extended period could tip the US economy into a
recession.However,inflation remains above the FOMC’s long-term 2.0%
target level.Additionally,the FOMC continues to remove liquidity from the
market by allowing bonds held on its balance sheet to mature without
reinvesting principal payments.
The yield on the US 10-year Treasury (blue line of the top chart)remained
stable,opening the quarter at 4.33%and finishing June at a yield of 4.36%.
The stability of the benchmark rate reflects the stability of the Federal
Reserve’s policy stance and the persistently high level of inflation throughout
the economy.The 10-year Treasury benchmark's rate peaked in October
2023,cresting at a yield of just under 5.00%before pulling back in the
remainder of the year.
The red line in the top chart shows the Option Adjusted Spread (OAS)for
BAA-rated corporate bonds.This measure quantifies the additional yield
premium that investors require to purchase and hold non-US Treasury issues
with the lowest investment grade rating.During the quarter,the yield spread
was relatively unchanged,beginning the quarter at 1.18%and finishing June
at 1.17%.The spread measure narrowed over the trailing 12-month period
after concerns about the regional banking sector during March 2023 caused
credit spreads to spike.High-yield OAS spreads (represented by the orange
line in the top chart)have also remained relatively unchanged,rising by just
0.07%.The spread measures’stability results from steady economic growth,
stable monetary policy,and falling inflation readings.
The lower graph provides a snapshot of the US Treasury yield curve at the
end of each of the last four quarters.The yield curve has been inverted for
each of the last four quarter-end readings on the graph and for most of last
two years.Historically,a persistent yield curve inversion has been a precursor
of an economic recession within six to 24 months.
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23 Jan-24 Feb-24 Mar-24 Apr-24 May-24 Jun-24
1-Year Trailing Market Rates
Fed Funds Rate BAA OAS
10yr Treasury High Yield OAS
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
Treasury Yield Curve
9/30/2023 12/31/2023 3/31/2024 6/30/2024
Page 11
The Market Environment
References
As of June 30, 2024
CME FedWatch Tool -CME Group
Effective Federal Funds Rate -FEDERAL RESERVE BANK of NEW YORK (newyorkfed.org)
ICE BofA US High Yield Index Option-Adjusted Spread (BAMLH0A0HYM2) | FRED | St. Louis Fed (stlouisfed.org)
When will the Federal Reserve start cutting interest rates? | J.P. Morgan Asset Management (jpmorgan.com)
Resource Center | U.S. Department of the Treasury
China’s Economy Limps Into 2024 –WSJ
Support Site -Global Index Lens: Index Returns –MSCI
Federal Reserve issues FOMC statement
Transcript of Chair Powell's Press Conference --June 12, 2024 (federalreserve.gov)
U.S. Treasurys: investors look to inflation data due in week ahead (cnbc.com)
Yen drops to 38-year low, U.S. dollar slumps after weak data (cnbc.com)
Jobs report June 2024: (cnbc.com)
The Fed -June 12, 2024: FOMC Projections materials, accessible version (federalreserve.gov)
The Federal Reserve’s latest dot plot, explained –and what it says about interest rates | Bankrate
Top 25 Stocks in the S&P 500 By Index Weight for July 2024 (investopedia.com)
Will Small-Cap Stocks Ever Catch Up? | Morningstar
Why Chinese banks are now vanishing (economist.com)
Page 12
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 (0.9%)
Total Private Equity Composite (3.3%)
Total Real Asset (9.9%)
Total Fixed Income Composite (31.2%)
Total International Equity (15.8%)
Total Domestic Equity (38.9%)
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 676,403,184 100.0 N/A N/A 100.0 ---
Total Domestic Equity 262,970,170 38.9 10.0 50.0 37.0 -195,329,851 75,231,422 -12,700,991
Total International Equity 107,042,512 15.8 5.0 20.0 15.0 -73,222,353 28,238,125 -5,582,034
Total Fixed Income Composite 210,728,485 31.2 10.0 45.0 33.0 -143,088,166 93,652,948 12,484,566
Total Real Asset 67,045,784 9.9 0.0 15.0 10.0 -67,045,784 34,414,694 594,534
Total Private Equity Composite 22,305,979 3.3 0.0 20.0 5.0 -22,305,979 112,974,658 11,514,180
Total Cash Composite 5,980,464 0.9 0.0 10.0 0.0 -5,980,464 61,659,854 -5,980,464
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2024
Page 13
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 (0.9%)
Total Private Equity Composite (3.3%)
Total Real Asset (9.9%)
Total Fixed Income Composite (31.2%)
Total International Equity (15.8%)
Total Small Cap Equity Composite (8.8%)
Total Mid Cap Equity Composite (9.1%)
Total Large Cap Equity Composite (21.0%)
Asset Allocation Compliance
Asset
Allocation
$
Current
Allocation (%)
Target
Allocation (%)
Target Rebal.
($000)
Total Fund Composite 676,403,184 100.0 100.0 -
Total Large Cap Equity Composite 142,090,707 21.0 20.0 -6,810,070
Total Mid Cap Equity Composite 61,333,368 9.1 9.0 -457,082
Total Small Cap Equity Composite 59,546,094 8.8 8.0 -5,433,840
Total International Equity 107,042,512 15.8 15.0 -5,582,034
Total Fixed Income Composite 210,728,485 31.2 33.0 12,484,566
Total Real Asset 67,045,784 9.9 10.0 594,534
Total Private Equity Composite 22,305,979 3.3 5.0 11,514,180
Total Cash Composite 5,980,464 0.9 0.0 -5,980,464
Asset Allocation Compliance
Oakland County Employees' Retirement System Total Fund Composite
As of June 30, 2024
Page 14
Mar-2024 : $690,876,197.4 Jun-2024 : $676,073,393.3
March 31, 2024
Market Value
Domestic Equity 277,218,006¢
International Equity 110,502,005¢
Fixed Income 210,588,609¢
Real Estate 67,873,908¢
Private Equity 22,408,082¢
Cash 2,285,587¢
June 30, 2024
Market Value
Domestic Equity 262,970,170¢
International Equity 107,042,512¢
Fixed Income 210,728,485¢
Real Estate 67,045,784¢
Private Equity 22,305,979¢
Cash 5,980,464¢
Asset Allocation by Asset Class
Oakland County Employees' Retirement System
As of June 30, 2024
Page 15
Jun-2024 : $676,403,183.9 Allocation
Market Value Allocation
SSgA S&P 500 41,287,191 6.1¢
SSgA S&P 500 Equal Weighted Index 26,881,442 4.0¢
T. Rowe Price 73,922,074 10.9¢
Kennedy Mid Cap Value 16,480,514 2.4¢
TimesSquare 21,335,897 3.2¢
Reinhart Partners 23,516,956 3.5¢
Leeward 28,415,202 4.2¢
Loomis Small Cap 31,130,892 4.6¢
Lazard 28,931,702 4.3¢
Hudson Edge HGK International 27,737,301 4.1¢
Fidelity Intl Index (FSPSX)13,011,185 1.9¢
Allspring EM 16,753,801 2.5¢
ABS Emerging Markets Strat Port 20,608,522 3.0¢
ABS Offshore Global 329,791 0.0¢
CS McKee 119,763,796 17.7¢
Loomis Fixed Income 43,680,185 6.5¢
Pimco Diversified Income (PDIIX)2,072,800 0.3¢
Churchill Senior Loan Fund 3,836,180 0.6¢
Marathon Distressed Credit Fund LP 10,931,855 1.6¢
H.I.G. Bayside Loan Opportunity VI 9,270,660 1.4¢
BlackRock Direct Lending Feeder IX 10,473,259 1.5¢
Bloomfield Capital Fund V - Series B 6,916,957 1.0¢
Bloomfield Capital Fund V - Series C 1,142,457 0.2¢
Marathon Distressed Credit Fund II LP 2,640,336 0.4¢
ValStone Opportunity Fund V 1,598,518 0.2¢
Morgan Stanley 40,507,498 6.0¢
Prudential PRISA II 12,936,089 1.9¢
Alidade Capital Fund IV 4,166,571 0.6¢
Walton Street Real Estate 2,075,678 0.3¢
AEW Real Estate 1,094,841 0.2¢
Dune Real Estate IV 4,666,589 0.7¢
Hamilton Lane Secondary Fund V LP 7,839,574 1.2¢
Portfolio Adv Secondary Agg IV 10,125,998 1.5¢
Sturbridge Diversified III 2,781,331 0.4¢
Capital Dynamics Global Secondaries VI 1,559,076 0.2¢
Liquidity Account 5,980,464 0.9¢
Asset Allocation by Asset Class
Oakland County Employees' Retirement System
As of June 30, 2024
Page 16
Asset Allocation Attributes
Jun-2024 Mar-2024 Dec-2023 Sep-2023 Jun-2023
($)%($)%($)%($)%($)%
Total Fund Composite 676,403,184 100.00 691,205,988 100.00 673,547,668 100.00 641,018,916 100.00 671,056,629 100.00
Total Equity Composite 370,342,472 54.75 388,049,802 56.14 359,717,950 53.41 336,894,401 52.56 350,197,784 52.19
Total Domestic Equity 262,970,170 38.88 277,218,006 40.11 253,574,450 37.65 234,189,885 36.53 242,929,734 36.20
Total Large Cap Equity Composite 142,090,707 21.01 152,643,349 22.08 137,848,465 20.47 127,906,339 19.95 132,090,273 19.68
SSgA S&P 500 41,287,191 6.10 39,592,459 5.73 35,816,490 5.32 36,986,657 5.77 38,235,990 5.70
SSgA S&P 500 Equal Weighted Index 26,881,442 3.97 27,613,868 4.00 25,575,936 3.80 22,793,033 3.56 23,952,527 3.57
T. Rowe Price 73,922,074 10.93 85,437,021 12.36 76,456,039 11.35 68,126,649 10.63 69,901,756 10.42
Total Mid Cap Equity Composite 61,333,368 9.07 63,877,858 9.24 58,467,060 8.68 54,072,570 8.44 56,516,774 8.42
Kennedy Mid Cap Value 16,480,514 2.44 18,094,348 2.62 16,412,484 2.44 -0.00 -0.00
TimesSquare 21,335,897 3.15 21,987,454 3.18 19,965,827 2.96 16,100,655 2.51 16,741,592 2.49
Reinhart Partners 23,516,956 3.48 23,796,056 3.44 22,088,749 3.28 11,472,548 1.79 11,766,515 1.75
Total Small Cap Equity Composite 59,546,094 8.80 60,696,800 8.78 57,258,924 8.50 52,210,976 8.14 54,322,687 8.10
Leeward 28,415,202 4.20 29,515,547 4.27 28,104,623 4.17 25,314,002 3.95 26,028,645 3.88
Loomis Small Cap 31,130,892 4.60 31,181,253 4.51 29,154,301 4.33 26,896,974 4.20 28,294,042 4.22
Total International Equity 107,042,512 15.83 110,502,005 15.99 105,813,709 15.71 96,108,703 14.99 100,626,158 15.00
Lazard 28,931,702 4.28 29,299,921 4.24 27,645,750 4.10 25,144,259 3.92 26,343,070 3.93
Hudson Edge HGK International 27,737,301 4.10 32,212,792 4.66 30,462,266 4.52 26,945,463 4.20 28,529,394 4.25
Allspring EM 16,753,801 2.48 16,270,203 2.35 16,088,683 2.39 14,775,349 2.30 15,666,289 2.33
ABS Emerging Markets Strat Port 20,608,522 3.05 19,672,240 2.85 19,283,843 2.86 18,107,799 2.82 18,404,904 2.74
Total Long/Short Equity Composite 329,791 0.05 329,791 0.05 329,791 0.05 6,595,813 1.03 6,641,891 0.99
ABS Offshore Global 329,791 0.05 329,791 0.05 329,791 0.05 6,595,813 1.03 6,641,891 0.99
Total Fixed Income Composite 210,728,485 31.15 210,588,609 30.47 216,048,467 32.08 207,277,548 32.34 211,806,098 31.56
Total Core Fixed Income 163,443,981 24.16 163,299,358 23.63 163,746,321 24.31 152,288,022 23.76 157,581,844 23.48
CS McKee 119,763,796 17.71 119,555,151 17.30 119,975,828 17.81 111,544,779 17.40 115,221,123 17.17
Loomis Fixed Income 43,680,185 6.46 43,744,206 6.33 43,770,493 6.50 40,743,243 6.36 42,360,720 6.31
Total Global Fixed 2,072,800 0.31 2,061,368 0.30 7,770,423 1.15 10,466,274 1.63 10,581,796 1.58
Pimco Diversified Income (PDIIX)2,072,800 0.31 2,061,368 0.30 7,770,423 1.15 10,466,274 1.63 10,581,796 1.58
Historical Asset Allocation
Total Fund
As of June 30, 2024
Page 17
Historical Asset Allocation
Total Fund
As of June 30, 2024
Jun-2024 Mar-2024 Dec-2023 Sep-2023 Jun-2023
($)%($)%($)%($)%($)%
Private Fixed Income 45,211,704 6.68 45,227,883 6.54 44,531,723 6.61 44,523,252 6.95 43,642,458 6.50
Churchill Senior Loan Fund 3,836,180 0.57 3,838,845 0.56 4,084,449 0.61 4,004,155 0.62 3,872,896 0.58
Marathon Distressed Credit Fund LP 10,931,855 1.62 11,966,525 1.73 12,283,880 1.82 12,971,705 2.02 12,806,025 1.91
H.I.G. Bayside Loan Opportunity VI 9,270,660 1.37 9,291,205 1.34 9,388,238 1.39 8,397,864 1.31 8,417,945 1.25
BlackRock Direct Lending Feeder IX 10,473,259 1.55 10,651,110 1.54 10,559,296 1.57 10,977,003 1.71 10,519,305 1.57
Bloomfield Capital Fund V - Series B 6,916,957 1.02 7,758,138 1.12 8,215,860 1.22 8,172,525 1.27 8,026,287 1.20
Bloomfield Capital Fund V - Series C 1,142,457 0.17 426,942 0.06 -0.00 -0.00 -0.00
Marathon Distressed Credit Fund II LP 2,640,336 0.39 1,295,119 0.19 -0.00 -0.00 -0.00
Total Real Estate 67,045,784 9.91 67,873,908 9.82 68,645,445 10.19 70,426,047 10.99 71,210,737 10.61
ValStone Opportunity Fund V 1,598,518 0.24 1,589,518 0.23 1,589,565 0.24 1,648,880 0.26 1,642,278 0.24
Morgan Stanley 40,507,498 5.99 40,984,462 5.93 41,543,013 6.17 42,479,679 6.63 42,572,666 6.34
Prudential PRISA II 12,936,089 1.91 13,407,814 1.94 13,738,340 2.04 14,518,679 2.26 15,090,463 2.25
Alidade Capital Fund IV 4,166,571 0.62 4,088,740 0.59 3,993,925 0.59 4,048,322 0.63 4,262,829 0.64
Walton Street Real Estate 2,075,678 0.31 2,075,678 0.30 2,212,288 0.33 2,257,614 0.35 2,311,471 0.34
AEW Real Estate 1,094,841 0.16 1,148,933 0.17 1,072,675 0.16 1,229,333 0.19 1,250,631 0.19
Dune Real Estate IV 4,666,589 0.69 4,578,763 0.66 4,495,639 0.67 4,175,885 0.65 4,012,640 0.60
Total Private Equity Composite 22,305,979 3.30 22,408,082 3.24 22,347,473 3.32 23,245,643 3.63 22,502,581 3.35
Hamilton Lane Secondary Fund V LP 7,839,574 1.16 7,839,574 1.13 7,882,607 1.17 8,551,599 1.33 8,650,105 1.29
Portfolio Adv Secondary Agg IV 10,125,998 1.50 10,100,778 1.46 9,714,022 1.44 10,193,004 1.59 9,568,679 1.43
Sturbridge Diversified III 2,781,331 0.41 2,781,331 0.40 2,956,179 0.44 3,046,678 0.48 2,937,505 0.44
Total Cash Composite 5,980,464 0.88 2,285,587 0.33 6,788,333 1.01 3,175,277 0.50 15,339,429 2.29
Liquidity Account 5,980,464 0.88 2,285,587 0.33 6,788,333 1.01 3,175,277 0.50 15,339,429 2.29
Page 18
Financial Reconciliation
Market Value
04/01/2024
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
06/30/2024
Total Fund Composite 691,205,988 -37,064 -16,172,140 -373,160 -5,192 3,097,996 -1,387,373 676,403,184
Total Equity Composite 388,049,802 -19,000,000 37,064 --99,464 -1,739 816,183 540,626 370,342,472
Total Domestic Equity 277,218,006 -15,000,000 ---4,141 -1,349 583,510 174,142 262,970,170
Total Large Cap Equity Composite 152,643,349 -15,000,000 ---4,141 -102 221,034 4,230,567 142,090,707
SSgA S&P 500 39,592,459 ----1,906 --1,696,638 41,287,191
SSgA S&P 500 Equal Weighted Index 27,613,868 ----2,235 ---730,192 26,881,442
T. Rowe Price 85,437,021 -15,000,000 ----102 221,034 3,264,121 73,922,074
Total Mid Cap Equity Composite 63,877,858 -----788 181,660 -2,725,362 61,333,368
Kennedy Mid Cap Value 18,094,348 -----178 66,169 -1,679,824 16,480,514
TimesSquare 21,987,454 -----409 39,348 -690,496 21,335,897
Reinhart Partners 23,796,056 -----201 76,143 -355,042 23,516,956
Total Small Cap Equity Composite 60,696,800 -----458 180,815 -1,331,063 59,546,094
Leeward 29,515,547 -----193 138,507 -1,238,658 28,415,202
Loomis Small Cap 31,181,253 -----264 42,309 -92,405 31,130,892
Total International Equity 110,502,005 -4,000,000 37,064 --95,323 -390 232,673 366,483 107,042,512
Lazard 29,299,921 -----390 186,310 -554,139 28,931,702
Hudson Edge HGK International 32,212,792 -4,000,000 ---58,259 ---417,232 27,737,301
Fidelity Intl Index (FSPSX)13,046,849 -----46,363 -82,028 13,011,185
Allspring EM 16,270,203 -37,064 --37,064 --483,599 16,753,801
ABS Emerging Markets 19,672,240 ------936,282 20,608,522
Total Long/Short Equity Composite 329,791 -------329,791
ABS Offshore Global 329,791 -------329,791
Total Fixed Income Composite 210,588,609 -117,196 ---105,369 -639 1,695,000 -1,331,921 210,728,485
Total Core Fixed Income 163,299,358 -----639 1,527,847 -1,382,586 163,443,981
CS McKee 119,555,151 -----470 1,213,225 -1,004,111 119,763,796
Loomis Fixed Income 43,744,206 -----169 314,622 -378,474 43,680,185
Total Global Fixed 2,061,368 ----3,841 -18,139 -2,865 2,072,800
Pimco Diversified Income (PDIIX)2,061,368 ----3,841 -18,139 -2,865 2,072,800
Financial Reconciliation
Total Fund
1 Quarter Ending June 30, 2024
Page 19
Financial Reconciliation
Total Fund
1 Quarter Ending June 30, 2024
Market Value
04/01/2024
Net
Transfers Contributions Distributions Management
Fees
Other
Expenses Income Apprec./
Deprec.
Market Value
06/30/2024
Private Fixed Income 45,227,883 -117,196 ---101,528 -149,014 53,530 45,211,704
Churchill Senior Loan Fund 3,838,845 -107,761 -----105,096 3,836,180
Marathon Distressed Credit Fund LP 11,966,525 -1,034,669 ------10,931,855
H.I.G. Bayside Loan Opportunity VI 9,291,205 -226,161 ---68,204 --273,820 9,270,660
BlackRock Direct Lending Feeder IX 10,651,110 55,473 ---33,324 ---200,000 10,473,259
Bloomfield Capital Fund V - Series B 7,758,138 -862,129 ----137,053 -116,104 6,916,957
Bloomfield Capital Fund V - Series C 426,942 712,837 ----11,959 -9,281 1,142,457
Marathon Distressed Credit Fund II LP 1,295,119 1,345,214 ----3 -2,640,336
Total Real Asset 67,873,908 -323,017 ---168,327 -474,218 -810,998 67,045,784
Total Real Estate 67,873,908 -323,017 ---168,327 -474,218 -810,998 67,045,784
ValStone Opportunity Fund V 1,589,518 ------9,000 1,598,518
Morgan Stanley 40,984,462 -404,242 ---119,605 -404,242 -357,358 40,507,498
Prudential PRISA II 13,407,814 -69,976 ---38,436 -69,976 -433,289 12,936,089
Alidade Capital Fund IV 4,088,740 ------77,831 4,166,571
Walton Street Real Estate 2,075,678 ----10,286 --10,286 2,075,678
AEW Real Estate 1,148,933 -83,135 -----29,043 1,094,841
Dune Real Estate IV 4,578,763 234,336 ------146,510 4,666,589
Total Private Equity Composite 22,408,082 -300,738 -----198,635 22,305,979
Hamilton Lane Secondary Fund V LP 7,839,574 -------7,839,574
Portfolio Adv Secondary Agg IV 10,100,778 -173,415 -----198,635 10,125,998
Sturbridge Diversified III 2,781,331 -------2,781,331
Total Cash Composite 2,285,587 19,740,951 --16,172,140 --2,815 112,595 16,285 5,980,464
Liquidity Account 2,285,587 19,740,951 --16,172,140 --2,815 112,595 16,285 5,980,464
Page 20
-10.0
-4.0
2.0
8.0
14.0
20.0
26.0
32.0
38.0
44.0
50.0
56.0
62.0
Allocation
(%)
US Equity Global ex-US Equity Global Fixed Income US Fixed Alternatives Total Real Estate Cash & Equivalents
Total Fund Composite 38.88 (35)15.83 (49)0.31 (100)24.16 (90)8.84 (54)11.10 (10)0.88 (64)
5th Percentile 50.40 25.07 29.76 43.64 21.10 13.21 10.94
1st Quartile 41.27 19.87 12.31 37.95 13.75 8.15 3.52
Median 34.61 15.55 6.60 32.35 9.29 5.27 1.45
3rd Quartile 28.99 11.06 3.80 27.50 4.89 3.98 0.55
95th Percentile 18.89 5.27 1.84 19.47 1.44 2.19 0.06
Plan Sponsor TF Asset Allocation
Total Fund Composite Vs. All Master Trust - Eq 40-60% FI 25-45%
As of June 30, 2024
Page 21
Asset Allocation & Performance
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Fund Composite (Gross)676,403,184 100.0 0.29 (86)12.80 (78)4.63 (73)9.74 (72)3.07 (26)6.75 (44)6.74 (46)6.54 (33)8.16 (52)10/01/1986
Total Fund Policy Index 0.72 (70)13.34 (69)4.59 (74)9.57 (75)1.98 (59)6.28 (60)6.55 (52)6.28 (44)8.48 (27)
Difference -0.43 -0.54 0.04 0.17 1.09 0.47 0.19 0.26 -0.32
All Master Trust - Eq 40-60% FI 25-45% Median 1.05 14.26 5.32 10.80 2.28 6.54 6.58 6.10 8.21
Total Fund Composite (Net)676,403,184 100.0 0.23 12.61 4.53 9.51 2.87 6.56 6.48 6.29 8.09 10/01/1986
Total Fund Policy Index 0.72 13.34 4.59 9.57 1.98 6.28 6.55 6.28 8.48
Difference -0.49 -0.73 -0.06 -0.06 0.89 0.28 -0.07 0.01 -0.39
Total Equity Composite 370,342,472 54.8 0.42 20.88 8.35 16.35 4.75 9.84 9.28 8.61 9.62 10/01/1986
Total Equity Index 1.32 21.88 9.22 17.24 4.75 10.76 10.32 9.73 10.07
Difference -0.90 -1.00 -0.87 -0.89 0.00 -0.92 -1.04 -1.12 -0.45
Total Fixed Income Composite 210,728,485 31.2 0.18 7.10 0.69 5.06 -0.88 1.25 2.02 2.19 5.69 10/01/1986
Total Fixed Income Index -0.02 6.11 -0.77 2.92 -3.17 -0.34 0.81 1.18 5.29
Difference 0.20 0.99 1.46 2.14 2.29 1.59 1.21 1.01 0.40
Total Real Asset 67,045,784 9.9 -0.50 -3.52 -1.15 -4.56 4.88 5.54 6.48 8.21 5.12 07/01/2008
NCREIF Fund Index-ODCE (VW)-0.45 -7.50 -2.81 -9.26 1.90 3.16 4.36 6.41 4.69
Difference -0.05 3.98 1.66 4.70 2.98 2.38 2.12 1.80 0.43
Total Private Equity Composite 22,305,979 3.3 0.90 0.68 0.03 1.59 13.53 N/A N/A N/A 26.18 04/01/2020
Russell Microcap Index -5.27 15.09 -0.84 5.96 -7.84 5.55 5.04 5.53 14.77
Difference 6.17 -14.41 0.87 -4.37 21.37 N/A N/A N/A 11.41
Total Cash Composite 5,980,464 0.9
Asset Allocation & Performance
Total Fund Composite (Gross)
As of June 30, 2024
Page 22
Asset Allocation & Performance
Total Fund Composite (Gross)
As of June 30, 2024
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Domestic Equity 262,970,170 38.9
Total Large Cap Equity Composite 142,090,707 21.0 3.25 (45)28.24 (46)14.34 (46)24.18 (46)9.82 (34)14.94 (41)14.08 (46)12.91 (38)11.80 (42)07/01/2008
IM U.S. Large Cap Equity (SA+CF) Median 2.80 27.42 13.58 23.37 8.73 14.20 13.75 12.46 11.65
SSgA S&P 500 (1.5 bps)41,287,191 6.1 4.29 (34)28.75 (50)15.28 (48)24.55 (53)10.01 (39)15.03 (38)14.27 (40)12.88 (39)14.00 (42)10/01/2009
S&P 500 Index 4.28 (35)28.77 (48)15.29 (47)24.56 (53)10.01 (39)15.05 (37)14.28 (40)12.86 (41)13.96 (49)
Difference 0.01 -0.02 -0.01 -0.01 0.00 -0.02 -0.01 0.02 0.04
IM U.S. Large Cap Core Equity (SA+CF) Median 3.44 28.71 15.15 24.63 9.44 14.68 13.80 12.65 13.93
SSgA S&P 500 Equal Weighted Index (4bps)26,881,442 4.0 -2.64 (97)17.97 (87)5.12 (96)12.27 (95)4.69 (98)10.70 (87)N/A N/A 9.15 (88)02/01/2018
S&P 500 Equal Weighted -2.63 (97)17.55 (88)5.08 (97)11.79 (97)4.84 (97)10.94 (87)10.69 (87)10.04 (91)9.31 (87)
Difference -0.01 0.42 0.04 0.48 -0.15 -0.24 N/A N/A -0.16
IM U.S. Large Cap Core Equity (SA+CF) Median 3.44 28.71 15.15 24.63 9.44 14.68 13.80 12.65 12.17
T. Rowe Price (25 bps)73,922,074 10.9 4.98 (16)31.65 (24)17.31 (25)28.31 (22)11.54 (15)16.39 (19)15.50 (14)14.01 (8)14.78 (15)10/01/2009
S&P 500 Index 4.28 (35)28.77 (48)15.29 (47)24.56 (53)10.01 (39)15.05 (37)14.28 (40)12.86 (41)13.96 (49)
Difference 0.70 2.88 2.02 3.75 1.53 1.34 1.22 1.15 0.82
IM U.S. Large Cap Core Equity (SA+CF) Median 3.44 28.71 15.15 24.63 9.44 14.68 13.80 12.65 13.93
Total Mid Cap Equity Composite 61,333,368 9.1 -3.98 (52)19.96 (25)4.90 (51)15.03 (24)4.64 (36)8.56 (75)8.02 (85)7.96 (83)9.07 (89)07/01/2008
IM U.S. Mid Cap Equity (SA+CF) Median -3.94 17.08 4.94 12.79 3.98 10.25 10.28 9.46 10.37
Kennedy Mid Cap Value (50 bps)16,480,514 2.4 -8.92 (100)N/A 0.42 (85)N/A N/A N/A N/A N/A 0.42 (85)01/01/2024
Russell Midcap Value Index -3.40 (31)17.20 (23)4.54 (50)11.98 (38)3.65 (72)8.49 (68)7.67 (66)7.60 (54)4.54 (50)
Difference -5.52 N/A -4.12 N/A N/A N/A N/A N/A -4.12
IM U.S. Mid Cap Value Equity (SA+CF) Median -4.20 15.81 4.45 10.95 5.70 10.25 8.24 7.72 4.45
TimesSquare (80 bps)21,335,897 3.2 -2.96 (31)21.53 (25)6.87 (33)16.88 (20)4.06 (10)12.66 (6)13.77 (13)11.94 (16)14.21 (26)09/01/2009
Russell Midcap Growth Index -3.21 (36)21.39 (27)5.98 (42)15.05 (26)-0.08 (41)9.93 (46)11.69 (43)10.51 (62)13.31 (61)
Difference 0.25 0.14 0.89 1.83 4.14 2.73 2.08 1.43 0.90
IM U.S. Mid Cap Growth Equity (SA+CF) Median -3.72 17.88 4.97 11.83 -0.82 9.70 11.55 10.78 13.46
Reinhart Partners (65 bps)23,516,956 3.5 -1.17 (10)23.67 (5)6.47 (16)20.58 (3)11.48 (2)12.64 (4)N/A N/A 12.82 (3)05/01/2019
Russell 2500 Index -4.27 (67)16.02 (54)2.35 (69)10.47 (56)-0.29 (86)8.31 (55)8.44 (34)7.99 (26)7.92 (53)
Difference 3.10 7.65 4.12 10.11 11.77 4.33 N/A N/A 4.90
IM U.S. SMID Cap Core Equity (MF) Median -3.68 16.44 3.98 11.49 2.63 8.57 7.62 7.20 8.00
Page 23
Asset Allocation & Performance
Total Fund Composite (Gross)
As of June 30, 2024
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Small Cap Equity Composite 59,546,094 8.8 -1.90 (30)14.05 (72)4.00 (39)9.62 (66)1.62 (48)8.86 (57)8.92 (54)8.29 (64)9.66 (72)07/01/2008
IM U.S. Small Cap Equity (SA+CF) Median -3.10 16.03 2.95 11.19 1.39 9.17 9.12 8.80 10.40
Leeward (70 bps)28,415,202 4.2 -3.73 (56)12.25 (79)1.11 (61)9.17 (80)4.00 (51)9.48 (54)7.58 (70)8.18 (48)9.13 (40)09/01/2005
Russell 2000 Value Index -3.64 (54)14.28 (66)-0.85 (83)10.90 (65)-0.53 (88)7.07 (93)5.89 (94)6.23 (95)6.74 (99)
Difference -0.09 -2.03 1.96 -1.73 4.53 2.41 1.69 1.95 2.39
IM U.S. Small Cap Value Equity (SA+CF) Median -3.48 15.37 1.97 12.96 4.12 9.92 8.22 8.09 8.89
Loomis Small Cap (90 bps)31,130,892 4.6 -0.16 (25)15.75 (58)6.78 (38)10.03 (49)-1.02 (38)8.05 (59)10.63 (61)10.13 (53)12.37 (52)09/01/2012
Russell 2000 Growth Index -2.92 (56)17.75 (49)4.44 (56)9.14 (53)-4.86 (64)6.17 (88)7.28 (95)7.39 (97)10.01 (97)
Difference 2.76 -2.00 2.34 0.89 3.84 1.88 3.35 2.74 2.36
IM U.S. Small Cap Growth Equity (SA+CF) Median -2.59 17.25 5.02 9.47 -2.78 8.73 11.09 10.22 12.40
Total International Equity 107,042,512 15.8 0.63 (44)15.85 (54)5.16 (54)10.71 (56)-1.13 (74)4.35 (88)4.35 (87)4.00 (88)4.04 (88)07/01/2008
Total International Equity Index 1.17 (32)16.45 (46)6.04 (41)12.17 (43)0.97 (57)6.05 (66)5.68 (62)4.34 (79)3.63 (94)
Difference -0.54 -0.60 -0.88 -1.46 -2.10 -1.70 -1.33 -0.34 0.41
IM International Equity (SA+CF) Median 0.35 16.11 5.34 11.44 1.83 6.99 6.27 5.27 5.45
Lazard (75 bps)28,931,702 4.3 -1.26 (79)15.42 (60)4.97 (57)10.17 (60)1.18 (55)5.34 (78)5.83 (59)4.67 (68)5.63 (48)09/01/2006
MSCI AC World ex USA 1.17 (32)16.45 (46)6.04 (41)12.17 (43)0.97 (57)6.05 (66)5.68 (62)4.34 (79)4.41 (86)
Difference -2.43 -1.03 -1.07 -2.00 0.21 -0.71 0.15 0.33 1.22
IM International Equity (SA+CF) Median 0.35 16.11 5.34 11.44 1.83 6.99 6.27 5.27 5.53
HGK International (100 bps)27,737,301 4.1 -1.19 (67)18.62 (41)4.70 (51)12.25 (23)N/A N/A N/A N/A 17.29 (18)09/01/2022
MSCI EAFE (Net) Index -0.42 (51)16.32 (65)5.34 (42)11.54 (26)2.89 (13)6.46 (63)5.73 (83)4.33 (93)16.58 (23)
Difference -0.77 2.30 -0.64 0.71 N/A N/A N/A N/A 0.71
IM International LCG Equity (SA+CF)-0.40 17.55 4.72 8.19 -0.02 7.27 7.47 6.25 14.19
Fidelity Intl Index (3.5 bps)13,011,185 1.9 -0.26 (67)16.87 (45)5.52 (53)11.41 (51)N/A N/A N/A N/A 21.94 (47)11/01/2022
MSCI EAFE (Net) Index -0.42 (75)16.32 (52)5.34 (58)11.54 (48)2.89 (44)6.46 (64)5.73 (60)4.33 (79)21.68 (51)
Difference 0.16 0.55 0.18 -0.13 N/A N/A N/A N/A 0.26
IM International Core Equity (MF) Median 0.19 16.44 5.55 11.41 2.50 6.70 5.90 4.74 21.82
Allspring EM (95 bps)16,753,801 2.5 2.97 (69)13.39 (73)4.13 (79)6.94 (80)-8.86 (87)2.79 (78)3.79 (71)3.67 (66)4.03 (75)11/01/2012
MSCI Emerging Markets Index 5.12 (43)16.22 (54)7.68 (51)12.97 (55)-4.68 (59)3.49 (67)3.93 (69)3.18 (75)3.59 (83)
Difference -2.15 -2.83 -3.55 -6.03 -4.18 -0.70 -0.14 0.49 0.44
IM Emerging Markets Equity (SA+CF) Median 4.71 16.74 7.69 13.69 -2.89 4.65 4.95 4.31 4.78
ABS Emerging Markets (75 bps)20,608,522 3.0 4.76 (50)13.81 (70)6.87 (58)11.97 (61)N/A N/A N/A N/A 8.54 (62)07/01/2022
MSCI Emerging Markets Index 5.12 (43)16.22 (54)7.68 (51)12.97 (55)-4.68 (59)3.49 (67)3.93 (69)3.18 (75)7.46 (70)
Difference -0.36 -2.41 -0.81 -1.00 N/A N/A N/A N/A 1.08
IM Emerging Markets Equity (SA+CF) Median 4.71 16.74 7.69 13.69 -2.89 4.65 4.95 4.31 10.32
Page 24
Asset Allocation & Performance
Total Fund Composite (Gross)
As of June 30, 2024
Allocation
Market
Value
$
%
Performance(%)
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
Total Core Fixed Income 163,443,981 24.2 0.09 (87)7.33 (13)-0.18 (50)3.72 (31)-2.47 (31)0.63 (23)1.61 (25)N/A 1.46 (25)08/01/2016
IM U.S. Broad Market Core Fixed Inc (SA+CF)0.26 6.66 -0.19 3.21 -2.63 0.31 1.38 1.82 1.20
CS McKee (17 bps)119,763,796 17.7 0.17 (67)7.37 (11)-0.18 (50)3.94 (24)-2.48 (33)0.32 (50)1.34 (57)1.81 (52)2.63 (67)02/01/2010
Blmbg. U.S. Aggregate Index 0.07 (94)6.06 (91)-0.71 (95)2.63 (91)-3.02 (90)-0.23 (98)0.86 (99)1.35 (99)2.22 (95)
Difference 0.10 1.31 0.53 1.31 0.54 0.55 0.48 0.46 0.41
IM U.S. Broad Market Core Fixed Inc (SA+CF)0.26 6.66 -0.19 3.21 -2.63 0.31 1.38 1.82 2.82
Loomis Fixed Income (30 bps)43,680,185 6.5 -0.15 (100)7.21 (17)-0.21 (52)3.12 (57)-2.49 (33)1.04 (12)1.98 (9)2.17 (16)4.00 (4)04/01/2010
Blmbg. U.S. Aggregate Index 0.07 (94)6.06 (91)-0.71 (95)2.63 (91)-3.02 (90)-0.23 (98)0.86 (99)1.35 (99)2.23 (95)
Difference -0.22 1.15 0.50 0.49 0.53 1.27 1.12 0.82 1.77
IM U.S. Broad Market Core Fixed Inc (SA+CF)0.26 6.66 -0.19 3.21 -2.63 0.31 1.38 1.82 2.82
Total Global Fixed 2,072,800 0.3 0.74 (45)10.15 (21)1.97 (40)9.15 (31)-0.28 (41)-1.57 (87)-0.50 (91)N/A 0.76 (71)08/01/2016
IM Global Fixed Income (SA+CF) Median 0.55 7.63 1.16 7.08 -0.93 1.85 2.51 2.55 2.67
Pimco Diversified Income (PDIIX)2,072,800 0.3 0.74 (9)10.46 (1)2.27 (9)9.46 (2)-0.18 (14)N/A N/A N/A 0.49 (8)03/01/2021
Blmbg. Global Credit (Hedged)0.32 (24)8.09 (9)0.72 (21)6.66 (15)-1.68 (28)1.00 (19)2.13 (12)2.66 (9)-1.10 (25)
Difference 0.42 2.37 1.55 2.80 1.50 N/A N/A N/A 1.59
IM Global Fixed Income (MF) Median -0.30 5.96 -0.67 4.07 -2.79 -0.32 0.74 0.68 -2.51
Total Real Estate 67,045,784 9.9 -0.50 (39)-3.52 (22)-1.15 (25)-4.56 (15)4.88 (14)5.53 (16)6.47 (14)N/A 6.98 (N/A)09/01/2016
IM U.S. Open End Private RE (SA+CF)-0.72 -5.70 -2.55 -8.39 1.47 3.21 4.70 6.94 N/A
Morgan Stanley (84 bps)40,507,498 6.0 0.11 (23)-2.83 (13)-0.95 (24)-2.81 (13)5.23 (12)5.34 (17)6.35 (15)8.37 (18)6.21 (14)01/01/2008
NCREIF Fund Index-ODCE (VW)-0.45 (39)-7.50 (61)-2.81 (53)-9.26 (61)1.90 (40)3.16 (52)4.36 (70)6.41 (66)4.65 (58)
Difference 0.56 4.67 1.86 6.45 3.33 2.18 1.99 1.96 1.56
IM U.S. Open End Private RE (SA+CF)-0.72 -5.70 -2.55 -8.39 1.47 3.21 4.70 6.94 5.06
Prudential PRISA II (85 bps)12,936,089 1.9 -2.71 (96)-9.62 (84)-4.78 (96)-12.79 (88)0.88 (61)2.93 (70)4.55 (68)6.94 (51)8.52 (39)10/01/2011
NCREIF Property Index -0.26 (31)-4.22 (27)-1.24 (25)-5.53 (21)2.33 (26)3.39 (43)4.37 (69)6.07 (77)7.14 (79)
Difference -2.45 -5.40 -3.54 -7.26 -1.45 -0.46 0.18 0.87 1.38
IM U.S. Open End Private RE (SA+CF)-0.72 -5.70 -2.55 -8.39 1.47 3.21 4.70 6.94 8.20
Total Liquidity Account 5,980,464 0.9
Page 25
Comparative Performance - IRR
QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception
Date
ValStone Opportunity Fund V 0.57 -3.05 0.56 -2.66 1.22 3.86 4.67 N/A 5.92 08/27/2014
Alidade Capital Fund IV 1.90 2.92 4.32 -0.39 6.44 10.45 8.81 N/A 8.80 04/20/2017
Walton Street Real Estate 0.00 2.47 1.04 -0.05 6.75 8.67 9.39 N/A 10.02 05/24/2017
AEW Real Estate 2.57 9.41 9.89 7.12 42.11 22.11 N/A N/A 19.24 09/28/2017
Churchill Senior Loan Fund 2.78 12.30 6.71 18.76 14.07 8.93 N/A N/A 8.53 12/07/2017
Dune Real Estate IV -3.13 -3.04 -1.39 -4.26 8.35 N/A N/A N/A 2.86 08/22/2019
Hamilton Lane Secondary Fund V LP 0.00 2.30 -0.55 1.03 9.36 N/A N/A N/A 16.80 04/28/2020
Marathon Distressed Credit Fund LP 0.00 4.77 6.12 6.09 3.61 N/A N/A N/A 8.58 09/10/2020
H.I.G. Bayside Loan Opportunity VI 2.23 8.59 6.37 11.18 9.34 N/A N/A N/A 11.79 09/29/2020
Portfolio Adv Secondary Agg IV 1.98 2.02 2.26 4.49 8.13 N/A N/A N/A 9.99 11/02/2020
BlackRock Direct Lending Feeder IX -2.26 1.83 -1.36 6.45 9.60 N/A N/A N/A 7.23 01/05/2021
Bloomfield Capital Fund V - Series B 0.28 4.33 1.79 8.34 N/A N/A N/A N/A 7.11 03/25/2022
Bloomfield Capital Fund V - Series C 0.37 N/A N/A N/A N/A N/A N/A N/A 0.72 03/13/2024
Sturbridge Diversified III 0.00 -8.71 -5.91 -5.30 N/A N/A N/A N/A 31.86 12/27/2022
Capital Dynamics Global Secondaries VI 0.00 -0.42 0.01 -2.98 N/A N/A N/A N/A 39.52 02/10/2023
Marathon Distressed Credit Fund II LP 0.00 N/A N/A N/A N/A N/A N/A N/A -0.33 02/06/2024
Comparative Performance - IRR
Alternative Investments
As of June 30, 2024
Page 26
Plan Sponsor Peer Group Analysis - All Master Trust - Eq 40-60% FI 25-45%
Comparative Performance
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
R
etu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Composite 0.29 (86)12.80 (78)9.74 (72)9.15 (63)3.07 (26)8.06 (33)6.75 (44)
Policy Index 0.72 (70)13.34 (69)9.57 (75)8.66 (73)1.98 (59)6.82 (67)6.28 (60)
Median 1.05 14.26 10.80 9.67 2.28 7.42 6.54
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
R
etu
r
n
Oct-2022
To
Sep-2023
Oct-2021
To
Sep-2022
Oct-2020
To
Sep-2021
Oct-2019
To
Sep-2020
Oct-2018
To
Sep-2019
Oct-2017
To
Sep-2018
Composite 9.50 (70)-11.81 (10)20.04 (27)5.10 (86)4.30 (49)6.85 (35)
Policy Index 9.28 (73)-14.36 (35)17.55 (64)7.77 (52)5.04 (29)7.00 (32)
Median 10.56 -15.65 18.54 7.82 4.27 6.24
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Composite 4.34 (45)7.80 (66)-2.71 (42)2.86 (52)3.80 (83)5.42 (70)
Total Fund Policy Index 3.85 (69)8.36 (48)-3.32 (72)2.80 (55)4.21 (65)5.52 (67)
All Master Trust - Eq 40-60% FI 25-45% Median 4.25 8.29 -2.86 2.88 4.52 6.05
As of June 30, 2024
Performance Review
Composite
NONE
Page 27
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
5.0
10.0
15.0
20.0
C
o
m
p
o
s
i
te
(%
)
0.0 5.0 10.0 15.0 20.0
Total Fund Policy Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Composite 20 3 (15%)7 (35%)10 (50%)0 (0%)
Policy Index 20 0 (0%)11 (55%)9 (45%)0 (0%)
1.48
1.85
2.22
2.59
2.96
3.33
R
etu
r
n
(%
)
9.52 9.80 10.08 10.36 10.64 10.92 11.20 11.48 11.76
Risk (Standard Deviation %)
Return Standard
Deviation
Composite 3.07 9.97
Policy Index 1.98 11.32
Median 2.28 11.35¾
6.20
6.40
6.60
6.80
7.00
R
etu
r
n
(%
)
10.2 10.5 10.8 11.1 11.4 11.7
Risk (Standard Deviation %)
Return Standard
Deviation
Composite 6.75 10.62
Policy Index 6.28 11.11
Median 6.54 11.55¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Composite 1.80 92.49 85.26 1.25 0.51 0.05 0.88 6.47
Policy Index 0.00 100.00 100.00 0.00 N/A -0.03 1.00 7.70
90 Day U.S. Treasury Bill 11.22 9.66 -8.14 3.01 0.03 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Composite 1.73 97.13 92.40 0.76 0.23 0.47 0.94 6.97
Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.41 1.00 7.30
90 Day U.S. Treasury Bill 11.16 6.43 -7.43 2.18 -0.41 N/A 0.00 0.00
As of June 30, 2024
Performance Review
Composite
NONE
Page 28
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
38.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 4.29 (34)28.75 (50)24.55 (53)22.03 (46)10.01 (39)17.00 (40)15.03 (38)
S&P 500 Index 4.28 (35)28.77 (48)24.56 (53)22.05 (45)10.01 (39)17.01 (38)15.05 (37)
Median 3.44 28.71 24.63 21.82 9.44 16.50 14.68
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
SSgA S&P 500 26.26 (38)-18.09 (65)28.65 (39)18.36 (46)31.49 (34)
S&P 500 Index 26.29 (37)-18.11 (67)28.71 (37)18.40 (45)31.49 (34)
Median 24.67 -16.49 27.71 17.65 30.11
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
SSgA S&P 500 10.55 (55)11.68 (47)-3.26 (72)8.74 (30)7.47 (28)7.56 (61)
S&P 500 Index 10.56 (54)11.69 (46)-3.27 (74)8.74 (30)7.50 (26)7.56 (62)
IM U.S. Large Cap Core Equity (SA+CF) Median 10.84 11.61 -2.80 7.88 6.40 7.94
Performance Review
As of June 30, 2024
SSgA S&P 500
NONE
Page 29
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
8.0
16.0
24.0
32.0
S
S
g
A
S
&
P
50
0
(%
)
0.0 8.0 16.0 24.0 32.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 20 0 (0%)20 (100%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)
9.20
9.40
9.60
9.80
10.00
10.20
R
etu
r
n
(%
)
17.22 17.29 17.36 17.43 17.50 17.57 17.64 17.71
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 10.01 17.61
S&P 500 Index 10.01 17.61
Median 9.44 17.34¾
14.60
14.80
15.00
15.20
R
etu
r
n
(%
)
17.91 17.92 17.93
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 15.03 17.93
S&P 500 Index 15.05 17.93
Median 14.68 17.92¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.03 99.99 99.99 0.00 -0.10 0.47 1.00 11.39
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.47 1.00 11.39
90 Day U.S. Treasury Bill 17.50 6.16 -4.56 2.95 -0.47 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 0.03 99.97 100.02 -0.02 -0.45 0.75 1.00 11.27
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.76 1.00 11.26
90 Day U.S. Treasury Bill 17.96 4.02 -3.98 2.18 -0.76 N/A 0.00 0.00
Performance Review
As of June 30, 2024
SSgA S&P 500
NONE
Page 30
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
52.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
SSgA S&P 500 EW Idx -2.64 (97)17.97 (87)12.27 (95)13.07 (93)4.69 (98)14.68 (73)10.70 (87)
S&P 500 Equal Weighted -2.63 (97)17.55 (88)11.79 (97)12.77 (93)4.84 (97)14.80 (73)10.94 (87)
Median 3.44 28.71 24.63 21.82 9.44 16.50 14.68
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
SSgA S&P 500 EW Idx 14.37 (87)-12.33 (28)29.66 (29)11.74 (76)30.10 (51)
S&P 500 Equal Weighted 13.87 (89)-11.45 (24)29.63 (29)12.83 (73)29.24 (60)
Median 24.67 -16.49 27.71 17.65 30.11
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
SSgA S&P 500 EW Idx 7.98 (84)12.22 (32)-4.83 (93)3.82 (89)3.15 (83)11.58 (10)
S&P 500 Equal Weighted 7.91 (84)11.87 (39)-4.90 (94)3.99 (87)2.93 (84)11.64 (9)
IM U.S. Large Cap Core Equity (SA+CF) Median 10.84 11.61 -2.80 7.88 6.40 7.94
Performance Review
As of June 30, 2024
SSgA S&P 500 EW Idx
NONE
Page 31
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Under Performance Earliest Date Latest Date
0.0
8.0
16.0
24.0
32.0
S
S
g
A
S
&
P
5
0
0
E
W
I
d
x
(
%
)
0.0 8.0 16.0 24.0 32.0
S&P 500 Equal Weighted (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
SSgA S&P 500 EW Idx 14 1 (7%)3 (21%)8 (57%)2 (14%)
S&P 500 Equal Weighted 20 3 (15%)1 (5%)8 (40%)8 (40%)
2.00
4.00
6.00
8.00
10.00
12.00
R
etu
r
n
(%
)
17.02 17.25 17.48 17.71 17.94 18.17 18.40 18.63
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 EW Idx 4.69 18.35
S&P 500 Equal Weighted 4.84 18.10
Median 9.44 17.34¾
10.00
12.00
14.00
16.00
R
etu
r
n
(%
)
17.16 17.68 18.20 18.72 19.24 19.76 20.28 20.80
Risk (Standard Deviation %)
Return Standard
Deviation
SSgA S&P 500 EW Idx 10.70 20.19
S&P 500 Equal Weighted 10.94 19.91
Median 14.68 17.92¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 EW Idx 0.76 101.06 101.78 -0.19 -0.14 0.18 1.01 11.62
S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 0.19 1.00 11.44
90 Day U.S. Treasury Bill 18.05 4.85 -6.46 3.01 -0.19 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
SSgA S&P 500 EW Idx 0.70 100.64 101.73 -0.32 -0.22 0.50 1.01 13.05
S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 0.51 1.00 12.78
90 Day U.S. Treasury Bill 20.00 3.12 -5.05 2.21 -0.51 N/A 0.00 0.00
Performance Review
As of June 30, 2024
SSgA S&P 500 EW Idx
NONE
Page 32
Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
38.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
T. Rowe Price 4.98 (16)31.65 (24)28.31 (22)25.05 (14)11.54 (15)18.64 (16)16.39 (19)
S&P 500 Index 4.28 (35)28.77 (48)24.56 (53)22.05 (45)10.01 (39)17.01 (38)15.05 (37)
Median 3.44 28.71 24.63 21.82 9.44 16.50 14.68
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
T. Rowe Price 30.30 (12)-18.74 (73)28.39 (43)20.51 (34)33.09 (16)
S&P 500 Index 26.29 (37)-18.11 (67)28.71 (37)18.40 (45)31.49 (34)
Median 24.67 -16.49 27.71 17.65 30.11
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
T. Rowe Price 11.75 (37)12.23 (32)-2.54 (44)10.03 (12)8.27 (14)7.14 (72)
S&P 500 Index 10.56 (54)11.69 (46)-3.27 (74)8.74 (30)7.50 (26)7.56 (62)
IM U.S. Large Cap Core Equity (SA+CF) Median 10.84 11.61 -2.80 7.88 6.40 7.94
Performance Review
As of June 30, 2024
T. Rowe Price
NONE
Page 33
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
0.0
8.0
16.0
24.0
32.0
T.
R
o
w
e
P
r
i
c
e
(%
)
0.0 8.0 16.0 24.0 32.0
S&P 500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
T. Rowe Price 20 10 (50%)10 (50%)0 (0%)0 (0%)
S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)
8.97
9.66
10.35
11.04
11.73
12.42
R
etu
r
n
(%
)
17.28 17.37 17.46 17.55 17.64 17.73 17.82
Risk (Standard Deviation %)
Return Standard
Deviation
T. Rowe Price 11.54 17.68
S&P 500 Index 10.01 17.61
Median 9.44 17.34¾
14.00
14.56
15.12
15.68
16.24
16.80
R
etu
r
n
(%
)
17.92 17.99 18.06 18.13 18.20 18.27
Risk (Standard Deviation %)
Return Standard
Deviation
T. Rowe Price 16.39 18.18
S&P 500 Index 15.05 17.93
Median 14.68 17.92¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
T. Rowe Price 0.99 103.18 98.31 1.38 1.41 0.54 1.00 11.29
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.47 1.00 11.39
90 Day U.S. Treasury Bill 17.50 6.16 -4.56 2.95 -0.47 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
T. Rowe Price 1.06 103.25 99.46 1.03 1.15 0.81 1.01 11.33
S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.76 1.00 11.26
90 Day U.S. Treasury Bill 17.96 4.02 -3.98 2.18 -0.76 N/A 0.00 0.00
Performance Review
As of June 30, 2024
T. Rowe Price
NONE
Page 34
Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF)
Comparative Performance
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Kennedy MCV -8.92 (100)N/A N/A N/A N/A N/A N/A
Russell MCV -3.40 (31)17.20 (23)11.98 (38)11.24 (66)3.65 (72)14.26 (66)8.49 (68)
Median -4.20 15.81 10.95 12.32 5.70 15.92 10.25
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Kennedy MCV N/A N/A N/A N/A N/A
Russell MCV 12.71 (51)-12.03 (75)28.34 (57)4.96 (43)27.06 (66)
Median 12.72 -8.12 28.93 4.61 28.60
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Kennedy MCV 10.25 (11)N/A N/A N/A N/A N/A
Russell Midcap Value Index 8.23 (62)12.11 (29)-4.46 (68)3.86 (63)1.32 (54)10.45 (77)
IM U.S. Mid Cap Value Equity (SA+CF) Median 9.00 11.33 -4.06 4.24 1.37 12.15
Performance Review
As of June 30, 2024
Kennedy MCV
NONE
Page 35
Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF)
Comparative Performance
-16.00
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
38.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
TimesSquare -2.96 (31)21.53 (25)16.88 (20)18.55 (22)4.06 (10)12.45 (10)12.66 (6)
Russell MCG Idx -3.21 (36)21.39 (27)15.05 (26)19.02 (20)-0.08 (41)9.44 (43)9.93 (46)
Median -3.72 17.88 11.83 15.83 -0.82 8.56 9.70
-60.00
-40.00
-20.00
0.00
20.00
40.00
60.00
80.00
100.00
R
e
tu
r
n
2023 2022 2021 2020 2019
TimesSquare 26.09 (20)-21.55 (13)17.10 (30)34.37 (62)38.50 (38)
Russell MCG Idx 25.87 (21)-26.72 (42)12.73 (62)35.59 (54)35.47 (59)
Median 23.41 -27.43 13.70 38.03 36.20
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
TimesSquare 10.13 (40)13.72 (36)-3.83 (13)7.13 (29)7.61 (65)4.24 (72)
Russell Midcap Growth Index 9.50 (45)14.55 (17)-5.22 (50)6.23 (56)9.14 (37)6.90 (38)
IM U.S. Mid Cap Growth Equity (SA+CF) Median 8.85 13.21 -5.33 6.45 8.53 6.25
Performance Review
As of June 30, 2024
TimesSquare
NONE
Page 36
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
-15.0
0.0
15.0
30.0
45.0
Ti
m
es
S
q
u
ar
e
(%
)
-15.0 0.0 15.0 30.0 45.0
Russell Midcap Growth Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
TimesSquare 20 10 (50%)5 (25%)5 (25%)0 (0%)
Russell MCG Idx 20 0 (0%)4 (20%)15 (75%)1 (5%)
-2.00
0.00
2.00
4.00
6.00
R
etu
r
n
(%
)
17.52 18.25 18.98 19.71 20.44 21.17 21.90
Risk (Standard Deviation %)
Return Standard
Deviation
TimesSquare 4.06 18.03
Russell MCG Idx -0.08 21.18
Median -0.82 20.77¾
8.73
9.70
10.67
11.64
12.61
13.58
R
etu
r
n
(%
)
18.24 18.81 19.38 19.95 20.52 21.09 21.66 22.23
Risk (Standard Deviation %)
Return Standard
Deviation
TimesSquare 12.66 19.15
Russell MCG Idx 9.93 21.52
Median 9.70 21.23¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
TimesSquare 4.54 95.29 82.84 3.87 0.76 0.15 0.84 12.04
Russell MCG Idx 0.00 100.00 100.00 0.00 N/A -0.04 1.00 14.42
90 Day U.S. Treasury Bill 21.04 5.67 -4.38 3.02 0.04 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
TimesSquare 4.41 96.01 85.27 3.54 0.46 0.61 0.88 12.01
Russell MCG Idx 0.00 100.00 100.00 0.00 N/A 0.45 1.00 13.46
90 Day U.S. Treasury Bill 21.55 3.49 -3.98 2.18 -0.45 N/A 0.00 0.00
Performance Review
As of June 30, 2024
TimesSquare
NONE
Page 37
Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF)
Comparative Performance
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Reinhart Partners -1.17 (10)23.67 (5)20.58 (3)21.73 (3)11.48 (2)20.44 (2)12.64 (4)
Russell 2500 Index -4.27 (67)16.02 (54)10.47 (56)12.01 (58)-0.29 (86)11.83 (79)8.31 (55)
Median -3.68 16.44 11.49 12.61 2.63 13.78 8.57
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Reinhart Partners 25.52 (1)-2.71 (4)25.04 (56)5.93 (65)N/A
Russell 2500 Index 17.42 (20)-18.37 (85)18.18 (94)19.99 (8)27.77 (20)
Median 15.31 -14.65 26.01 8.64 24.76
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Reinhart Partners 7.73 (50)16.16 (1)-2.50 (11)4.85 (37)5.71 (11)16.14 (1)
Russell 2500 Index 6.92 (65)13.35 (19)-4.78 (64)5.22 (20)3.39 (41)7.43 (93)
IM U.S. SMID Cap Core Equity (MF) Median 7.58 11.54 -4.36 4.53 3.02 9.87
Performance Review
As of June 30, 2024
Reinhart Partners
NONE
Page 38
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-10.0
0.0
10.0
20.0
30.0
40.0
R
ei
n
h
ar
t
P
ar
tn
e
r
s
(%
)
-10.0 0.0 10.0 20.0 30.0 40.0
Russell 2500 Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Reinhart Partners 9 7 (78%)2 (22%)0 (0%)0 (0%)
Russell 2500 Index 20 10 (50%)2 (10%)3 (15%)5 (25%)
-4.00
0.00
4.00
8.00
12.00
16.00
R
etu
r
n
(%
)
17.94 18.40 18.86 19.32 19.78 20.24 20.70 21.16
Risk (Standard Deviation %)
Return Standard
Deviation
Reinhart Partners 11.48 18.74
Russell 2500 Index -0.29 20.62
Median 2.63 19.83¾
6.00
8.00
10.00
12.00
14.00
R
etu
r
n
(%
)
22.14 22.23 22.32 22.41 22.50 22.59
Risk (Standard Deviation %)
Return Standard
Deviation
Reinhart Partners 12.64 22.19
Russell 2500 Index 8.31 22.52
Median 8.57 22.14¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Reinhart Partners 6.83 102.21 65.94 11.66 1.58 0.52 0.86 10.33
Russell 2500 Index 0.00 100.00 100.00 0.00 N/A -0.06 1.00 13.64
90 Day U.S. Treasury Bill 20.54 4.31 -5.50 3.03 0.06 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Reinhart Partners 6.79 96.82 80.29 4.62 0.57 0.55 0.94 14.31
Russell 2500 Index 0.00 100.00 100.00 0.00 N/A 0.37 1.00 15.01
90 Day U.S. Treasury Bill 22.60 2.76 -4.46 2.20 -0.37 N/A 0.00 0.00
Performance Review
As of June 30, 2024
Reinhart Partners
NONE
Page 39
Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF)
Comparative Performance
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Leeward -3.73 (56)12.25 (79)9.17 (80)10.09 (75)4.00 (51)16.28 (57)9.48 (54)
Russell 2000 Value -3.64 (54)14.28 (66)10.90 (65)8.42 (89)-0.53 (88)14.28 (81)7.07 (93)
Median -3.48 15.37 12.96 12.85 4.12 16.80 9.92
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Leeward 11.28 (89)-6.86 (24)31.53 (44)4.35 (53)27.42 (24)
Russell 2000 Value 14.65 (73)-14.48 (80)28.27 (58)4.63 (52)22.39 (73)
Median 17.24 -10.59 30.09 5.18 24.99
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Leeward 5.02 (56)11.03 (81)-2.74 (55)2.57 (78)0.47 (79)10.50 (58)
Russell 2000 Value Index 2.90 (91)15.26 (14)-2.96 (59)3.18 (69)-0.66 (90)8.42 (86)
IM U.S. Small Cap Value Equity (SA+CF) Median 5.19 12.95 -2.18 4.08 2.32 11.05
Performance Review
As of June 30, 2024
Leeward
NONE
Page 40
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-30.0
-15.0
0.0
15.0
30.0
45.0
L
ee
w
a
r
d
(%
)
-30.0 -15.0 0.0 15.0 30.0 45.0
Russell 2000 Value Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Leeward 20 0 (0%)14 (70%)6 (30%)0 (0%)
Russell 2000 Value 20 0 (0%)1 (5%)10 (50%)9 (45%)
-2.00
0.00
2.00
4.00
6.00
R
etu
r
n
(%
)
17.68 18.36 19.04 19.72 20.40 21.08 21.76 22.44
Risk (Standard Deviation %)
Return Standard
Deviation
Leeward 4.00 18.77
Russell 2000 Value -0.53 21.62
Median 4.12 20.47¾
6.51
7.44
8.37
9.30
10.23
11.16
R
etu
r
n
(%
)
21.24 21.83 22.42 23.01 23.60 24.19 24.78 25.37
Risk (Standard Deviation %)
Return Standard
Deviation
Leeward 9.48 22.05
Russell 2000 Value 7.07 24.51
Median 9.92 23.95¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Leeward 5.54 90.04 77.20 4.24 0.70 0.14 0.84 11.39
Russell 2000 Value 0.00 100.00 100.00 0.00 N/A -0.06 1.00 14.07
90 Day U.S. Treasury Bill 21.57 4.06 -5.17 3.03 0.06 N/A 0.00 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Leeward 5.83 91.06 82.36 2.91 0.28 0.43 0.88 14.48
Russell 2000 Value 0.00 100.00 100.00 0.00 N/A 0.32 1.00 16.61
90 Day U.S. Treasury Bill 24.62 2.56 -3.91 2.20 -0.32 N/A 0.00 0.00
Performance Review
As of June 30, 2024
Leeward
NONE
Page 41
Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF)
Comparative Performance
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Loomis Small Cap -0.16 (25)15.75 (58)10.03 (49)14.61 (40)-1.02 (38)9.11 (52)8.05 (59)
Russell 2000 Growth -2.92 (56)17.75 (49)9.14 (53)13.74 (45)-4.86 (64)6.85 (66)6.17 (88)
Median -2.59 17.25 9.47 13.34 -2.78 9.37 8.73
-80.00
-60.00
-40.00
-20.00
0.00
20.00
40.00
60.00
80.00
100.00
120.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Loomis Small Cap 13.05 (78)-22.16 (17)10.65 (57)35.64 (66)27.80 (58)
Russell 2000 Growth 18.66 (51)-26.36 (43)2.83 (85)34.63 (67)28.48 (53)
Median 18.84 -27.32 12.12 43.32 29.54
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Loomis Small Cap 6.95 (56)8.39 (87)-4.94 (23)4.79 (71)4.69 (80)8.06 (15)
Russell 2000 Growth Index 7.58 (46)12.75 (26)-7.32 (67)7.05 (29)6.07 (67)4.13 (57)
IM U.S. Small Cap Growth Equity (SA+CF) Median 7.26 11.03 -6.45 5.73 7.28 4.56
Performance Review
As of June 30, 2024
Loomis Small Cap
NONE
Page 42
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Earliest Date Latest Date
-10.0
0.0
10.0
20.0
30.0
L
o
o
m
i
s
S
m
al
l
C
ap
(%
)
-10.0 0.0 10.0 20.0 30.0
Russell 2000 Growth Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Loomis Small Cap 20 0 (0%)9 (45%)8 (40%)3 (15%)
Russell 2000 Growth 20 0 (0%)0 (0%)5 (25%)15 (75%)
-6.00
-4.50
-3.00
-1.50
0.00
1.50
R
etu
r
n
(%
)
19.14 19.80 20.46 21.12 21.78 22.44 23.10
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Small Cap -1.02 19.64
Russell 2000 Growth -4.86 22.48
Median -2.78 21.73¾
5.04
5.88
6.72
7.56
8.40
9.24
R
etu
r
n
(%
)
20.80 21.32 21.84 22.36 22.88 23.40 23.92 24.44
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Small Cap 8.05 21.58
Russell 2000 Growth 6.17 23.77
Median 8.73 23.03¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Small Cap 6.68 87.64 78.29 2.99 0.50 -0.11 0.84 13.27
Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A -0.24 1.00 15.87
90 Day U.S. Treasury Bill 22.35 4.86 -4.69 3.05 0.24 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Small Cap 6.54 91.81 84.56 2.42 0.20 0.37 0.87 14.09
Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A 0.28 1.00 15.59
90 Day U.S. Treasury Bill 23.83 2.81 -4.01 2.18 -0.28 N/A 0.00 0.00
Performance Review
As of June 30, 2024
Loomis Small Cap
NONE
Page 43
Peer Group Analysis - IM International Equity (SA+CF)
Comparative Performance
-16.00
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
32.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Lazard -1.26 (79)15.42 (60)10.17 (60)13.32 (56)1.18 (55)8.81 (59)5.34 (78)
MSCI ACW x USA (Net)0.96 (38)16.00 (52)11.62 (48)12.17 (70)0.46 (64)8.31 (66)5.55 (76)
Median 0.35 16.11 11.44 14.00 1.83 9.58 6.99
-55.00
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Lazard 18.72 (42)-16.00 (48)6.57 (81)9.71 (60)21.23 (70)
MSCI ACW x USA (Net)15.62 (68)-16.00 (48)7.82 (75)10.65 (56)21.51 (68)
Median 17.72 -16.31 11.76 11.61 23.56
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Lazard 6.31 (31)9.95 (56)-4.55 (59)3.98 (26)8.80 (35)13.96 (71)
MSCI AC World ex USA (Net)4.69 (57)9.75 (62)-3.77 (49)2.44 (62)6.87 (66)14.28 (68)
IM International Equity (SA+CF) Median 5.10 10.21 -3.85 2.93 7.87 15.52
Performance Review
As of June 30, 2024
Lazard
NONE
Page 44
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-6.0
0.0
6.0
12.0
18.0
L
az
a
r
d
(%
)
-6.0 0.0 6.0 12.0 18.0
MSCI AC World ex USA (Net) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Lazard 20 0 (0%)6 (30%)9 (45%)5 (25%)
MSCI ACW x USA (Net)20 0 (0%)0 (0%)20 (100%)0 (0%)
0.00
0.50
1.00
1.50
2.00
2.50
R
etu
r
n
(%
)
15.64 15.98 16.32 16.66 17.00 17.34 17.68
Risk (Standard Deviation %)
Return Standard
Deviation
Lazard 1.18 15.89
MSCI ACW x USA (Net)0.46 16.13
Median 1.83 17.37¾
4.95
5.50
6.05
6.60
7.15
7.70
R
etu
r
n
(%
)
17.11 17.40 17.69 17.98 18.27 18.56 18.85
Risk (Standard Deviation %)
Return Standard
Deviation
Lazard 5.34 17.76
MSCI ACW x USA (Net)5.55 17.10
Median 6.99 18.36¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lazard 3.83 101.24 98.21 0.76 0.18 -0.04 0.96 10.72
MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A -0.08 1.00 10.83
90 Day U.S. Treasury Bill 15.97 6.77 -6.35 3.01 0.08 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Lazard 3.86 101.88 102.91 -0.17 -0.02 0.26 1.01 11.98
MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A 0.28 1.00 11.43
90 Day U.S. Treasury Bill 17.12 4.11 -5.14 2.16 -0.28 N/A 0.00 0.00
Performance Review
As of June 30, 2024
Lazard
NONE
Page 45
Peer Group Analysis - IM International Large Cap Growth Equity (SA+CF)
Comparative Performance
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Hudson HGK Intl -1.19 (67)18.62 (41)12.25 (23)N/A N/A N/A N/A
MSCI EAFE (N) Idx -0.42 (51)16.32 (65)11.54 (26)15.10 (27)2.89 (13)9.58 (22)6.46 (63)
Median -0.40 17.55 8.19 13.23 -0.02 7.32 7.27
-55.00
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Hudson HGK Intl 19.82 (25)N/A N/A N/A N/A
MSCI EAFE (N) Idx 18.24 (41)-14.45 (12)11.26 (47)7.82 (99)22.01 (92)
Median 17.08 -22.09 10.93 22.83 29.59
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Hudson HGK Intl 5.97 (43)13.29 (29)-5.37 (26)1.58 (80)10.02 (46)14.69 (38)
MSCI EAFE (Net) Index 5.78 (44)10.42 (75)-4.11 (14)2.95 (49)8.47 (76)17.34 (9)
IM International Large Cap Growth Equity (SA+CF) Median 5.29 12.18 -7.40 2.93 9.67 14.02
Performance Review
As of June 30, 2024
Hudson HGK Intl
NONE
Page 46
Peer Group Analysis - IM International Core Equity (MF)
Comparative Performance
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Fidelity Intl Idx -0.26 (67)16.87 (45)11.41 (51)N/A N/A N/A N/A
MSCI EAFE (N) Idx -0.42 (75)16.32 (52)11.54 (48)15.10 (39)2.89 (44)9.58 (63)6.46 (64)
Median 0.19 16.44 11.41 14.89 2.50 9.87 6.70
-36.00
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Fidelity Intl Idx 18.13 (48)N/A N/A N/A N/A
MSCI EAFE (N) Idx 18.24 (46)-14.45 (50)11.26 (58)7.82 (69)22.01 (54)
Median 17.95 -14.46 11.39 9.05 22.19
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Fidelity Intl Idx 5.80 (45)10.76 (40)-4.67 (65)3.21 (50)8.40 (43)17.46 (42)
MSCI EAFE (Net) Index 5.78 (45)10.42 (51)-4.11 (51)2.95 (61)8.47 (42)17.34 (47)
IM International Core Equity (MF) Median 5.36 10.43 -4.10 3.20 8.18 17.18
Performance Review
As of June 30, 2024
Fidelity Intl Idx
NONE
Page 47
Peer Group Analysis - IM Emerging Markets Equity (SA+CF)
Comparative Performance
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Allspring EM 2.97 (69)13.39 (72)6.94 (81)6.55 (78)-8.86 (87)1.66 (88)2.79 (78)
MSCI EM 5.12 (43)16.22 (54)12.97 (55)7.46 (70)-4.68 (60)5.19 (63)3.49 (67)
Median 4.71 16.73 13.59 10.32 -2.85 6.97 4.70
-55.00
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Allspring EM 9.04 (72)-18.56 (44)-11.83 (96)25.55 (30)29.92 (12)
MSCI EM 10.26 (64)-19.74 (51)-2.22 (64)18.69 (49)18.90 (59)
Median 12.87 -19.69 0.94 18.29 20.15
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Allspring EM 1.13 (79)8.89 (36)-5.69 (91)1.21 (67)4.91 (53)11.03 (43)
MSCI Emerging Markets Index 2.44 (58)7.93 (55)-2.79 (47)1.04 (69)4.02 (70)9.79 (61)
IM Emerging Markets Equity (SA+CF) Median 3.16 8.15 -3.01 2.28 4.97 10.59
Performance Review
As of June 30, 2024
Allspring EM
NONE
Page 48
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-20.0
-10.0
0.0
10.0
20.0
30.0
Al
l
s
p
r
i
n
g
E
M
(%
)
-20.0 -10.0 0.0 10.0 20.0 30.0
MSCI Emerging Markets Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Allspring EM 20 7 (35%)2 (10%)3 (15%)8 (40%)
MSCI EM 20 0 (0%)5 (25%)15 (75%)0 (0%)
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
R
etu
r
n
(%
)
17.55 17.64 17.73 17.82 17.91 18.00
Risk (Standard Deviation %)
Return Standard
Deviation
Allspring EM -8.86 17.93
MSCI EM -4.68 17.55
Median -2.85 17.56¾
1.89
2.52
3.15
3.78
4.41
5.04
R
etu
r
n
(%
)
18.18 18.36 18.54 18.72 18.90 19.08 19.26 19.44
Risk (Standard Deviation %)
Return Standard
Deviation
Allspring EM 2.79 19.13
MSCI EM 3.49 18.45
Median 4.70 19.22¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Allspring EM 3.92 91.77 109.99 -4.31 -1.12 -0.60 1.00 13.40
MSCI EM 0.00 100.00 100.00 0.00 N/A -0.36 1.00 12.14
90 Day U.S. Treasury Bill 17.36 7.85 -4.87 3.07 0.36 N/A 0.01 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Allspring EM 4.28 101.36 104.14 -0.60 -0.13 0.13 1.01 12.94
MSCI EM 0.00 100.00 100.00 0.00 N/A 0.16 1.00 12.31
90 Day U.S. Treasury Bill 18.47 4.28 -4.35 2.16 -0.16 N/A 0.00 0.00
Performance Review
As of June 30, 2024
Allspring EM
NONE
Page 49
Peer Group Analysis - IM Emerging Markets Equity (SA+CF)
Comparative Performance
-28.00
-20.00
-12.00
-4.00
4.00
12.00
20.00
28.00
36.00
44.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
ABS EM 4.76 (50)13.81 (70)11.97 (61)8.54 (62)N/A N/A N/A
MSCI EM Idx 5.12 (43)16.22 (54)12.97 (55)7.46 (70)-4.68 (60)5.19 (63)3.49 (67)
Median 4.71 16.73 13.59 10.32 -2.85 6.97 4.70
-55.00
-40.00
-25.00
-10.00
5.00
20.00
35.00
50.00
65.00
80.00
R
e
tu
r
n
2023 2022 2021 2020 2019
ABS EM 12.65 (52)N/A N/A N/A N/A
MSCI EM Idx 10.26 (64)-19.74 (51)-2.22 (64)18.69 (49)18.90 (59)
Median 12.87 -19.69 0.94 18.29 20.15
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
ABS EM 2.01 (66)6.49 (79)-1.61 (36)3.61 (36)3.77 (75)6.97 (81)
MSCI Emerging Markets Index 2.44 (58)7.93 (55)-2.79 (47)1.04 (69)4.02 (70)9.79 (61)
IM Emerging Markets Equity (SA+CF) Median 3.16 8.15 -3.01 2.28 4.97 10.59
Performance Review
As of June 30, 2024
ABS EM
NONE
Page 50
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
CS McKee 0.17 (67)7.37 (11)3.94 (24)1.78 (27)-2.48 (33)-1.75 (52)0.32 (50)
Bl. Barclays US Agg 0.07 (94)6.06 (91)2.63 (91)0.83 (91)-3.02 (90)-2.36 (96)-0.23 (98)
Median 0.26 6.66 3.21 1.42 -2.63 -1.72 0.31
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
R
e
tu
r
n
2023 2022 2021 2020 2019
CS McKee 6.51 (24)-12.67 (35)-1.47 (63)8.19 (55)9.16 (52)
Bl. Barclays US Agg 5.53 (84)-13.01 (54)-1.55 (66)7.51 (86)8.72 (79)
Median 5.99 -12.95 -1.24 8.34 9.17
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
CS McKee -0.35 (37)7.56 (4)-3.19 (56)-0.31 (9)2.61 (97)2.18 (17)
Blmbg. U.S. Aggregate Index -0.78 (92)6.82 (53)-3.23 (71)-0.84 (80)2.96 (78)1.87 (43)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median -0.48 6.82 -3.13 -0.72 3.15 1.82
Performance Review
As of June 30, 2024
CS McKee
NONE
Page 51
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-8.0
-4.0
0.0
4.0
8.0
C
S
Mc
K
e
e
(%
)
-8.0 -4.0 0.0 4.0 8.0
Blmbg. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
CS McKee 20 1 (5%)5 (25%)14 (70%)0 (0%)
Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)
-3.20
-3.00
-2.80
-2.60
-2.40
-2.20
-2.00
R
etu
r
n
(%
)
7.21 7.28 7.35 7.42 7.49 7.56 7.63 7.70 7.77
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee -2.48 7.67
Bl. Barclays US Agg -3.02 7.33
Median -2.63 7.32¾
-0.40
-0.20
0.00
0.20
0.40
0.60
R
etu
r
n
(%
)
6.00 6.10 6.20 6.30 6.40 6.50 6.60 6.70 6.80
Risk (Standard Deviation %)
Return Standard
Deviation
CS McKee 0.32 6.69
Bl. Barclays US Agg -0.23 6.17
Median 0.31 6.30¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 0.78 104.54 98.41 0.70 0.75 -0.69 1.04 5.50
Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A -0.81 1.00 5.34
90 Day U.S. Treasury Bill 7.19 14.30 -15.02 3.10 0.81 N/A 0.02 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
CS McKee 1.39 109.06 101.88 0.58 0.42 -0.24 1.06 4.48
Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A -0.36 1.00 4.27
90 Day U.S. Treasury Bill 6.13 11.58 -14.76 2.16 0.36 N/A 0.01 0.00
Performance Review
As of June 30, 2024
CS McKee
NONE
Page 52
Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)
Comparative Performance
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Loomis Fixed Income -0.15 (100)7.21 (17)3.12 (57)2.00 (21)-2.49 (33)-1.02 (18)1.04 (12)
Bl. Barclays US Agg 0.07 (94)6.06 (91)2.63 (91)0.83 (91)-3.02 (90)-2.36 (96)-0.23 (98)
Median 0.26 6.66 3.21 1.42 -2.63 -1.72 0.31
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Loomis Fixed Income 6.48 (25)-12.81 (42)-0.69 (29)11.49 (2)9.55 (29)
Bl. Barclays US Agg 5.53 (84)-13.01 (54)-1.55 (66)7.51 (86)8.72 (79)
Median 5.99 -12.95 -1.24 8.34 9.17
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Loomis Fixed Income -0.06 (14)7.43 (6)-3.82 (96)-0.68 (47)3.75 (5)2.11 (22)
Blmbg. U.S. Aggregate Index -0.78 (92)6.82 (53)-3.23 (71)-0.84 (80)2.96 (78)1.87 (43)
IM U.S. Broad Market Core Fixed Income (SA+CF) Median -0.48 6.82 -3.13 -0.72 3.15 1.82
Performance Review
As of June 30, 2024
Loomis Fixed Income
NONE
Page 53
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-10.0
-5.0
0.0
5.0
10.0
L
o
o
m
i
s
F
i
xe
d
I
n
c
o
m
e
(%
)
-10.0 -5.0 0.0 5.0 10.0
Blmbg. U.S. Aggregate Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Loomis Fixed Income 20 18 (90%)1 (5%)1 (5%)0 (0%)
Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)
-3.20
-3.00
-2.80
-2.60
-2.40
-2.20
-2.00
R
etu
r
n
(%
)
7.00 7.20 7.40 7.60 7.80 8.00 8.20
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Fixed Income -2.49 7.99
Bl. Barclays US Agg -3.02 7.33
Median -2.63 7.32¾
-0.50
0.00
0.50
1.00
1.50
R
etu
r
n
(%
)
6.00 6.20 6.40 6.60 6.80 7.00
Risk (Standard Deviation %)
Return Standard
Deviation
Loomis Fixed Income 1.04 6.86
Bl. Barclays US Agg -0.23 6.17
Median 0.31 6.30¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Fixed Income 1.33 109.21 101.82 0.82 0.45 -0.66 1.08 5.61
Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A -0.81 1.00 5.34
90 Day U.S. Treasury Bill 7.19 14.30 -15.02 3.10 0.81 N/A 0.02 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Loomis Fixed Income 1.57 118.58 102.41 1.32 0.83 -0.13 1.09 4.55
Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A -0.36 1.00 4.27
90 Day U.S. Treasury Bill 6.13 11.58 -14.76 2.16 0.36 N/A 0.01 0.00
Performance Review
As of June 30, 2024
Loomis Fixed Income
NONE
Page 54
Peer Group Analysis - IM Global Fixed Income (MF)
Comparative Performance
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Pimco Div Inc (PDIIX)0.55 (12)9.85 (3)8.65 (3)7.17 (4)-0.94 (20)N/A N/A
Blmbg. Glbl Cred (Hedged)0.32 (24)8.09 (9)6.66 (15)4.61 (13)-1.68 (28)-0.13 (28)1.00 (19)
Median -0.30 5.96 4.07 2.48 -2.79 -1.58 -0.32
-28.00
-22.00
-16.00
-10.00
-4.00
2.00
8.00
14.00
20.00
26.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Pimco Div Inc (PDIIX)10.28 (4)-13.64 (49)N/A N/A N/A
Blmbg. Glbl Cred (Hedged)9.36 (9)-13.75 (50)-0.41 (10)7.53 (64)12.08 (8)
Median 6.74 -14.66 -2.73 8.29 8.08
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Pimco Div Inc (PDIIX)1.32 (7)7.81 (41)-1.09 (23)0.85 (8)2.54 (65)4.86 (30)
Blmbg. Global Credit (Hedged)0.40 (25)7.32 (51)-1.32 (29)0.28 (16)2.97 (35)3.31 (53)
IM Global Fixed Income (MF) Median -0.35 7.37 -2.42 -0.58 2.76 3.53
Performance Review
As of June 30, 2024
Pimco Div Inc (PDIIX)
NONE
Page 55
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Earliest Date Latest Date
-2.0
-1.5
-1.0
-0.5
0.0
P
i
m
c
o
D
i
v
I
n
c
(P
D
I
I
X
)
(%
)
-2.0 -1.5 -1.0 -0.5 0.0
Blmbg. Global Credit (Hedged) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Pimco Div Inc (PDIIX)2 2 (100%)0 (0%)0 (0%)0 (0%)
Blmbg. Glbl Cred (Hedged)20 11 (55%)9 (45%)0 (0%)0 (0%)
-3.20
-2.40
-1.60
-0.80
0.00
0.80
R
etu
r
n
(%
)
7.20 7.40 7.60 7.80 8.00 8.20 8.40 8.60
Risk (Standard Deviation %)
Return Standard
Deviation
Pimco Div Inc (PDIIX)-0.94 8.38
Blmbg. Glbl Cred (Hedged)-1.68 7.39
Median -2.79 7.65¾
-1.00
-0.50
0.00
0.50
1.00
1.50
R
etu
r
n
(%
)
7.08 7.11 7.14 7.17 7.20 7.23 7.26
Risk (Standard Deviation %)
Return Standard
Deviation
Pimco Div Inc (PDIIX)N/A N/A
Blmbg. Glbl Cred (Hedged)1.00 7.22
Median -0.32 7.12¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Pimco Div Inc (PDIIX)1.96 114.95 105.08 0.98 0.42 -0.44 1.11 5.90
Blmbg. Glbl Cred (Hedged)0.00 100.00 100.00 0.00 N/A -0.61 1.00 5.22
90 Day U.S. Treasury Bill 7.19 17.02 -13.88 3.08 0.61 N/A 0.03 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Pimco Div Inc (PDIIX)N/A N/A N/A N/A N/A N/A N/A N/A
Blmbg. Glbl Cred (Hedged)0.00 100.00 100.00 0.00 N/A -0.12 1.00 5.20
90 Day U.S. Treasury Bill 7.20 12.02 -11.56 2.15 0.12 N/A 0.01 0.00
Performance Review
As of June 30, 2024
Pimco Div Inc (PDIIX)
NONE
Page 56
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-24.00
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Morgan Stanley 0.11 (23)-2.83 (13)-2.81 (13)-4.84 (18)5.23 (12)6.02 (15)5.34 (17)
NCREIF ODCE -0.45 (39)-7.50 (61)-9.25 (61)-9.61 (58)1.90 (40)3.40 (49)3.16 (52)
Median -0.72 -5.70 -8.39 -9.25 1.47 3.34 3.21
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Morgan Stanley -5.01 (13)6.35 (56)22.89 (53)1.90 (41)7.38 (38)
NCREIF ODCE -12.02 (55)7.47 (47)22.17 (56)1.19 (61)5.34 (73)
Median -10.76 7.14 23.30 1.57 7.01
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Morgan Stanley -1.07 (25)-1.90 (28)0.02 (10)-1.98 (50)-1.24 (20)-3.69 (28)
NCREIF Fund Index-ODCE (VW)-2.37 (61)-4.83 (64)-1.90 (37)-2.68 (69)-3.17 (62)-4.97 (49)
IM U.S. Open End Private Real Estate (SA+CF) Median -2.11 -4.10 -2.66 -1.98 -2.91 -4.97
Performance Review
As of June 30, 2024
Morgan Stanley
NONE
Page 57
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
0.0
5.0
10.0
15.0
Mo
r
g
an
S
ta
n
l
e
y
(%
)
0.0 5.0 10.0 15.0
NCREIF Fund Index-ODCE (VW) (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Morgan Stanley 20 6 (30%)10 (50%)4 (20%)0 (0%)
NCREIF ODCE 20 0 (0%)3 (15%)17 (85%)0 (0%)
0.00
1.50
3.00
4.50
6.00
R
etu
r
n
(%
)
7.75 8.06 8.37 8.68 8.99 9.30 9.61 9.92 10.23
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 5.23 8.04
NCREIF ODCE 1.90 9.23
Median 1.47 9.68¾
2.25
3.00
3.75
4.50
5.25
6.00
R
etu
r
n
(%
)
6.16 6.44 6.72 7.00 7.28 7.56 7.84 8.12 8.40
Risk (Standard Deviation %)
Return Standard
Deviation
Morgan Stanley 5.34 6.46
NCREIF ODCE 3.16 7.41
Median 3.21 7.93¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 2.53 95.56 47.83 3.55 1.24 0.27 0.84 2.82
NCREIF ODCE 0.00 100.00 100.00 0.00 N/A -0.07 1.00 4.99
90 Day U.S. Treasury Bill 10.23 2.32 -41.18 3.29 0.07 N/A -0.11 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Morgan Stanley 2.13 99.51 52.38 2.62 0.96 0.46 0.84 2.32
NCREIF ODCE 0.00 100.00 100.00 0.00 N/A 0.15 1.00 3.92
90 Day U.S. Treasury Bill 8.23 5.97 -38.35 2.53 -0.15 N/A -0.11 0.00
Performance Review
As of June 30, 2024
Morgan Stanley
NONE
Page 58
Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-24.00
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
R
e
tu
r
n
QTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR
Prudential PRISA II -2.71 (96)-9.62 (84)-12.79 (88)-10.91 (69)0.88 (61)2.98 (67)2.93 (70)
NCREIF Property Idx -0.26 (31)-4.22 (27)-5.53 (21)-6.06 (23)2.33 (26)3.57 (47)3.39 (43)
Median -0.72 -5.70 -8.39 -9.25 1.47 3.34 3.21
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
R
e
tu
r
n
2023 2022 2021 2020 2019
Prudential PRISA II -12.28 (59)7.04 (53)23.18 (51)0.98 (64)7.52 (36)
NCREIF Property Idx -7.94 (24)5.52 (61)17.70 (85)1.60 (47)6.42 (64)
Median -10.76 7.14 23.30 1.57 7.01
1 Qtr
Ending
Mar-2024
1 Qtr
Ending
Dec-2023
1 Qtr
Ending
Sep-2023
1 Qtr
Ending
Jun-2023
1 Qtr
Ending
Mar-2023
1 Qtr
Ending
Dec-2022
Prudential PRISA II -2.12 (51)-5.09 (68)-3.51 (68)-2.18 (64)-2.08 (34)-6.14 (91)
NCREIF Property Index -0.98 (23)-3.02 (43)-1.37 (19)-1.98 (50)-1.81 (25)-3.50 (25)
IM U.S. Open End Private Real Estate (SA+CF) Median -2.11 -4.10 -2.66 -1.98 -2.91 -4.97
Performance Review
As of June 30, 2024
Prudential PRISA II
NONE
Page 59
Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statistics - 5 Years
Over Performance Under Performance
Earliest Date Latest Date
-5.0
0.0
5.0
10.0
15.0
20.0
P
r
u
d
e
n
ti
a
l
P
R
I
S
A
I
I
(%
)
-5.0 0.0 5.0 10.0 15.0 20.0
NCREIF Property Index (%)
Over
Performance
Under
Performance
0.0
25.0
50.0
75.0
100.0R
e
tu
r
n
P
e
r
c
e
n
ti
l
e
R
a
n
k
9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 6/24
Total Period 5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
Prudential PRISA II 20 1 (5%)14 (70%)5 (25%)0 (0%)
NCREIF Property Idx 20 0 (0%)2 (10%)11 (55%)7 (35%)
0.00
0.60
1.20
1.80
2.40
3.00
R
etu
r
n
(%
)
5.76 6.40 7.04 7.68 8.32 8.96 9.60 10.24
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 0.88 9.66
NCREIF Property Idx 2.33 6.61
Median 1.47 9.68¾
2.80
3.00
3.20
3.40
3.60
R
etu
r
n
(%
)
4.59 5.10 5.61 6.12 6.63 7.14 7.65 8.16 8.67
Risk (Standard Deviation %)
Return Standard
Deviation
Prudential PRISA II 2.93 7.96
NCREIF Property Idx 3.39 5.37
Median 3.21 7.93¾
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 3.46 135.75 184.46 -2.27 -0.35 -0.16 1.43 5.68
NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A -0.06 1.00 3.24
90 Day U.S. Treasury Bill 7.61 3.08 -64.87 3.42 0.06 N/A -0.15 0.00
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha Information
Ratio
Sharpe
Ratio Beta Downside
Risk
Prudential PRISA II 2.92 134.91 188.68 -1.84 -0.10 0.12 1.45 4.53
NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A 0.22 1.00 2.55
90 Day U.S. Treasury Bill 6.20 7.40 -60.40 2.68 -0.22 N/A -0.15 0.00
Performance Review
As of June 30, 2024
Prudential PRISA II
NONE
Page 60
Total Policy Historical Hybrid Composition
Allocation Mandate Weight (%)
Oct-1986
Oakland County Historical Policy Data 100.00
Oct-2013
S&P 500 Index 25.00
Russell Midcap Index 7.50
Russell 2000 Index 7.50
MSCI AC World ex USA 15.00
Blmbg. U.S. Aggregate Index 30.00
JPM Global Government Bond Index 5.00
NCREIF Fund Index-ODCE (VW) (Net)10.00
Jul-2017
S&P 500 Index 23.00
Russell Midcap Index 7.50
Russell 2000 Index 7.50
MSCI AC World ex USA 15.00
Blmbg. U.S. Aggregate Index 30.00
JPM Global Government Bond Index 5.00
Blmbg. U.S. Corp High Yield 2.00
NCREIF Fund Index-ODCE (VW)10.00
Oct-2022
S&P 500 Index 25.00
Russell Midcap Index 7.50
Russell 2000 Index 7.50
MSCI AC World ex USA 15.00
Blmbg. U.S. Aggregate Index 30.00
JPM Global Government Bond Index 2.50
Blmbg. U.S. Corp High Yield 2.50
NCREIF Fund Index-ODCE (VW)10.00
Total Equity Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1979
Russell 3000 Index 90.00
MSCI EAFE Index 10.00
Jul-2017
S&P 500 Index 45.00
Russell Midcap Index 13.75
Russell 2000 Index 13.75
MSCI AC World ex USA 27.50
Oct-2022
S&P 500 Index 42.50
Russell Midcap Index 13.00
Russell 2000 Index 13.00
MSCI AC World ex USA 31.50
Total International Equity Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1970
MSCI EAFE Index 100.00
Oct-2012
MSCI AC World ex USA 100.00
Benchmark History
Investment Policy Benchmarks
As of June 30, 2024
Page 61
Total Fixed Income Historical Hybrid Composition
Allocation Mandate Weight (%)
Jan-1986
Blmbg. U.S. Aggregate Index 85.00
JPM Global Government Bond Index 15.00
Jul-2017
Blmbg. U.S. Aggregate Index 80.00
JPM Global Government Bond Index 15.00
Blmbg. U.S. Corp High Yield 5.00
Oct-2022
Blmbg. U.S. Aggregate Index 83.00
JPM Global Government Bond Index 8.50
Blmbg. U.S. Corp High Yield 8.50
Benchmark History
Investment Policy Benchmarks
As of June 30, 2024
Page 62
Estimated
Annual Fee
(%)
Market Value
($)
Estimated
Annual Fee
($)
Fee Schedule
Total Fund Composite 0.46 676,403,184 3,118,808
SSgA S&P 500 0.02 41,287,191 8,257 0.02 % of First $50 M
0.01 % Thereafter
SSgA S&P 500 Equal Weighted Index 0.04 26,881,442 10,753 0.04 % of First $75 M
0.02 % Thereafter
T. Rowe Price 0.25 73,922,074 184,805 0.25 % of Assets
Kennedy Mid Cap Value 0.50 16,480,514 82,403 0.50 % of Assets
TimesSquare 0.80 21,335,897 170,687 0.80 % of First $50 M
0.70 % of Next $50 M
0.60 % Thereafter
Reinhart Partners 0.75 23,516,956 176,377 0.75 % of First $25 M
0.65 % of Next $25 M
0.50 % Thereafter
Leeward 0.70 28,415,202 198,906 0.70 % of Assets
Loomis Small Cap 0.90 31,130,892 280,178 0.90 % of First $50 M
0.75 % of Next $50 M
0.70 % Thereafter
Lazard 0.75 28,931,702 216,988 0.75 % of First $40 M
0.65 % of Next $60 M
0.50 % Thereafter
Hudson Edge HGK International 1.00 27,737,301 277,373 1.00 % of Assets
Fidelity Intl Index (FSPSX)0.04 13,011,185 4,554 0.04 % of Assets
Allspring EM 0.95 16,753,801 159,161 0.95 % of Assets
ABS Emerging Markets 0.75 20,608,522 154,564 0.75 % of Assets
CS McKee 0.20 119,763,796 235,575 0.22 % of First $50 M
0.18 % of Next $100 M
0.15 % Thereafter
Loomis Fixed Income 0.30 43,680,185 131,041 0.30 % of First $100 M
0.25 % of Next $100 M
0.20 % of Next $100 M
0.15 % Thereafter
Pimco Diversified Income (PDIIX)0.75 2,072,800 15,546 0.75 % of Assets
Morgan Stanley 0.84 40,507,498 340,263 0.84 % of Assets
Prudential PRISA II 1.20 12,936,089 155,233 1.20 % of First $25 M
1.15 % of Next $25 M
1.05 % of Next $50 M
0.95 % of Next $100 M
0.90 % of Next $100 M
0.85 % Thereafter
Oakland County Employees' Retirement System
Fee Analysis
As of June 30, 2024
Does not include incentive fees.
Fee information on this page is an illustrative estimate of management fees based on current reported portfolio values. Fee estimates do not reflect actual calculation methodologies or applicable carried interest.
Page 63
Report Statistics
Definitions and Descriptions
Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period.
Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's
non-systemic return, or its historical performance not explained by movements of the market.
Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk.
Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the
product’s performance.
Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple
shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against.
Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance
Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative
quarterly set of returns. A higher factor is indicative of a riskier product.
Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period.
Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return.
Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the
Information Ratio, the more the manager has added value to the portfolio.
Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index.
R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has
historically moved in the same direction as the appropriate benchmark.
Return - Compounded rate of return for the period.
Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A
higher value demonstrates better historical risk-adjusted performance.
Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period.
Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund
to date. It is a good measure of performance before the end of a fund’s life
Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark.
Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free
rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance.
Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance.
Page 64
Disclosures
Mariner Institutional compiled this report for the sole use of the client for which it was prepared. Mariner Institutional 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. Mariner Institutional uses the results from this evaluation to make observations and
recommendations to the client.
Mariner Institutional 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. Mariner Institutional analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides Mariner Institutional with a
reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides Mariner Institutional with a practical foundation
for our observations and recommendations. Nothing came to our attention that would cause Mariner Institutional 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 index databases, public economic sources, and the managers themselves.
This document may contain data provided by Bloomberg.
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
disseminated 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.
*IMPORTANT DISCLOSURE INFORMATION RE GREENWICH QUALITY LEADER AWARD
These ratings are not indicative of Mariner Institutional’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 Mariner Institutional, nor should it be construed as a current or past endorsement by any of our clients. Mariner
Institutional 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.
Page 65
Access to a wealth of knowledge and solutions.