Marquette Associates, Inc. 1

Pension Plan

Employees' Retirement System of Milwaukee County Monthly Update October 31, 2019

Total Fund Composite

Manager Status

Market Value: $1,689.5 Million and 100.0% of Fund

Marquette Associates, Inc. 1

Total Fund Composite

Total Fund Composite Fixed Income Composite NTGI Agg Bond Index Galliard TCW Emerging Markets Debt U.S. Equity Composite Boston Partners NTGI S&P 500 (Index) NTGI S&P 400 Mid-Cap (Index) Silvercrest Asset Management International Equity Composite NTGI ACWI Ex-US IMI (Index) Segall Bryant & Hamill Intl Sm Cap QMA Emerging Markets Small Cap Hedged Equity Composite ABS Parametric Defensive Equity Real Estate Composite American Realty Advisors Morgan Stanley UBS Infrastructure Composite IFM J.P. Morgan Infrastructure

Asset Class

Core Fixed Income Core Fixed Income EM Fixed Income

Large-Cap Value Large-Cap Core Mid-Cap Core Small-Cap Value

Non-U.S. All-Cap Core Non-U.S. Small-Cap Value Emerging Markets

Hedged Equity Hedge FoF Long/Short Hedge Fund

Core Real Estate Core Real Estate Core Real Estate

Core Infrastructure Core Infrastructure

Market Value: $1,689.5 Million and 100.0% of Fund

Ending October 31, 2019

Market Value ($)

3 Mo Net Cash Flows ($)

% of

Portfolio

_

1,689,498,138

-28,579,857

100.0

361,928,100

-18,000,663

21.4

103,390,201

-8,000,000

6.1

208,382,099

-10,000,663

12.3

50,146,932

0

3.0

381,221,603

-730

22.6

97,737,448

-552

5.8

134,394,254

0

8.0

111,435,390

0

6.6

37,654,512

-179

2.2

232,303,742

-44,929

13.7

175,055,667

-17,169

10.4

43,259,578

0

2.6

13,988,498

-27,760

0.8

140,275,429

0

8.3

74,321,943

0

4.4

65,953,486

0

3.9

179,235,582

-5,459,104

10.6

42,206,763

-633,482

2.5

99,660,279

-1,282,668

5.9

37,368,540

-3,542,954

2.2

160,151,219

-186,210

9.5

83,764,733

0

5.0

76,386,487

-186,210

4.5

Policy % 100.0 23.0 6.0 14.0 3.0 23.0 5.5 8.0 7.0 2.5 15.5 12.0 2.5 1.0 8.5 4.0 4.5 10.0

10.0

Policy Difference ($) 0

-26,656,471 2,020,312

-28,147,640 -538,012

-7,362,968 4,815,050 -765,598 -6,829,480 -4,582,941 -29,568,469 -27,684,110 1,022,125 -2,906,484 -3,331,913 6,742,018 -10,073,930 10,285,768

-8,798,594

2 Marquette Associates, Inc.

Total Fund Composite

Private Equity Composite Brinson 1998 Brinson 1999 Brinson 2000 Brinson 2001 Brinson 2002 Brinson 2003 Brinson 2004 Adams Street 2005 Adams Street 2009 Adams Street 2012

Adams Street Co-Investment III Siguler Guff II Siguler Guff III Mesirow VI Mesirow Private Equity Fund VII-A Total Cash Equivalents

Asset Class

U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF Global Divers. Private Equity FoF Private Equity CoInvestment U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF U.S. Private Equity FoF

Market Value: $1,689.5 Million and 100.0% of Fund

Ending October 31, 2019

Market Value ($)

3 Mo Net Cash Flows ($)

% of

Portfolio

_

196,916,826

-312,638

11.7

8,059

0

0.0

35,648

0

0.0

98,225

0

0.0

272,495

0

0.0

119,708

0

0.0

218,155

-16,342

0.0

244,598

-76,727

0.0

1,978,696

-270,911

0.1

23,513,049

-841,419

1.4

Policy % 10.0

Policy Difference ($)

27,967,012

36,007,464

-1,779,132

2.1

34,248,709

-631,982

2.0

28,895,102

195,239

1.7

28,958,557

758,636

1.7

29,232,879

-1,050,000

1.7

13,085,084

3,400,000

0.8

37,465,635

-4,575,583

2.2

0.0

XXXXX

37,465,635

Marquette Associates, Inc. 3

Total Fund Composite

Market Value History

Market Value: $1,689.5 Million and 100.0% of Fund

Beginning Market Value Net Cash Flow Net Investment Change Ending Market Value

Last Month

$1,687,563,904 -$16,297,360 $18,231,593

$1,689,498,138

Summary of Cash Flows

Year-To-Date

_

$1,621,888,253

One Year $1,675,587,308

-$119,317,547

-$143,031,362

$186,927,431

$156,942,191

$1,689,498,138

_

$1,689,498,138

Three Years

$1,658,530,895 -$424,619,590 $455,586,833 $1,689,498,138

Five Years

$1,816,390,539 -$719,728,671 $592,836,270 $1,689,498,138

4 Marquette Associates, Inc.

Total Fund Composite

Total Fund Composite Total Fund Benchmark Fixed Income Composite BBgBarc US Aggregate TR U.S. Equity Composite Wilshire 5000 Total Market International Equity Composite MSCI ACWI ex USA Hedged Equity Composite HFRX Equity Hedge Index Russell 3000 MSCI ACWI Real Estate Composite Custom Real Estate Benchmark NFI Infrastructure Composite CPI +4% Private Equity Composite Cambridge Associates All PE

Annualized Performance (Net of Fees)

Market Value: $1,689.5 Million and 100.0% of Fund

1 Mo 1.1% 1.1%

0.3% 0.3%

1.8% 2.2%

3.8% 3.5%

0.8% 0.5% 2.2% 2.7%

0.0% 0.0% 0.0%

0.0% 0.0%

0.0% 0.0%

3 Mo 1.8% 1.6%

1.9% 2.4%

1.5% 1.9%

3.8% 2.9%

1.0% 1.2% 1.8% 2.4%

1.2% 0.7% 0.7%

3.0% 0.7%

-0.1% 0.0%

YTD

_

11.6% 11.7%

9.2% 8.8%

20.0% 22.7%

14.3% 15.5%

10.9% 8.4% 22.7% 19.4%

2.7% 3.1% 3.1%

8.6% 5.2%

6.8% 8.9%

Ending October 31, 2019 1 Yr 2 Yrs 3 Yrs 4 Yrs

9.6% 5.9% 9.0% 7.6% 8.8% 4.9% 7.9% 7.0%

11.4% 4.6% 3.1% 3.3% 11.5% 4.5% 3.3% 3.6%

10.8% 6.7% 12.3% 9.4% 13.5% 10.0% 14.5% 12.0%

9.8% -1.0% 6.9% 5.7% 11.3% 1.0% 8.1% 6.1%

7.4% 3.2% 13.5% 12.6%

3.6% 0.0% 10.0% 5.8%

6.5% 3.2% 14.5% 11.3%

4.9% 1.7% 11.8% 8.9%

4.6% 6.1% 6.5% 7.1% 4.1% 5.8% 6.1% 6.8% 4.1% 5.8% 6.1% 6.8%

11.8% 13.0% 13.1% 10.6% 5.2% 5.9% 6.0% 5.9%

10.6% 14.8% 14.5% 12.6% 8.1% 11.5% 13.5% 12.4%

5 Yrs 6.9% 6.1%

3.2% 3.2%

8.3% 10.5%

4.1% 3.8%

4.8% 1.2% 10.3% 7.1%

8.6% 8.1% 8.1%

8.7% 5.6%

11.7% 11.5%

7 Yrs

8.1% 7.5%

10 Yrs

8.2% 7.8%

2.8% 3.8% 2.7% 3.7%

12.0% 12.3% 13.7% 13.6%

5.9% 5.4% 5.5% 4.9%

6.7% 2.7% 13.6% 9.4%

-1.2% 13.6% 8.8%

9.9% 11.1% 9.2% 11.1% 9.2% 10.0%

7.8%

--

5.5% 5.8%

11.4% 12.0% 12.8% 13.2%

Marquette Associates, Inc. 5

Investment Manager

Total Fund Composite Total Fund Benchmark Fixed Income Composite BBgBarc US Aggregate TR NTGI Agg Bond Index BBgBarc US Aggregate TR Galliard BBgBarc US Aggregate TR TCW Emerging Markets Debt JP Morgan EMBI Global TR U.S. Equity Composite Wilshire 5000 Total Market Boston Partners Russell 1000 Value NTGI S&P 500 (Index) S&P 500 NTGI S&P 400 Mid-Cap (Index) S&P 400 MidCap Silvercrest Asset Management Russell 2000 Value International Equity Composite MSCI ACWI ex USA NTGI ACWI Ex-US IMI (Index) MSCI ACWI ex USA IMI Segall Bryant & Hamill Intl Sm Cap MSCI EAFE Small Cap QMA Emerging Markets Small Cap MSCI Emerging Markets Small Cap

Annualized Performance (Net of Fees)

Market Value: $1,689.5 Million and 100.0% of Fund

Ending October 31, 2019

1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs 7 Yrs 10 Yrs

_

1.1% 1.8% 11.6% 9.6% 5.9% 9.0% 7.6% 6.9% 8.1% 8.2% 1.1% 1.6% 11.7% 8.8% 4.9% 7.9% 7.0% 6.1% 7.5% 7.8%

0.3% 1.9% 9.2% 11.4% 4.6% 3.1% 3.3% 3.2% 2.8% 3.8% 0.3% 2.4% 8.8% 11.5% 4.5% 3.3% 3.6% 3.2% 2.7% 3.7%

0.3% 2.3% 8.9%

--

--

--

--

--

--

--

0.3% 2.4% 8.8% 11.5% 4.5% 3.3% 3.6% 3.2% 2.7% 3.7%

0.3% 2.3% 9.8% 11.9% 4.9%

--

--

--

--

--

0.3% 2.4% 8.8% 11.5% 4.5% 3.3% 3.6% 3.2% 2.7% 3.7%

0.6% -0.4%

--

--

--

--

--

--

--

--

0.4% 0.6% 12.5% 13.7% 3.8% 4.5% 6.2% 4.8% 4.1% 6.5%

1.8% 1.5% 20.0% 10.8% 6.7% 12.3% 9.4% 8.3% 12.0% 12.3% 2.2% 1.9% 22.7% 13.5% 10.0% 14.5% 12.0% 10.5% 13.7% 13.6%

1.6% 1.9% 16.5% 7.0% 5.6% 11.8% 9.1% 7.5% 11.8% 12.2% 1.4% 1.9% 19.5% 11.2% 7.0% 10.5% 9.5% 7.6% 11.6% 12.0%

2.2% 2.4% 23.2%

--

--

--

--

--

--

--

2.2% 2.4% 23.2% 14.3% 10.8% 14.9% 12.2% 10.8% 13.9% 13.7%

1.1% -0.1% 19.3% 9.1% 5.0%

--

--

--

--

--

1.1% -0.1% 19.2% 9.0% 4.9% 10.8% 9.6% 8.4% 12.1% 13.2%

2.6% 2.1% 19.7% 8.7% 1.6% 9.5% 8.8% 7.6%

--

--

2.4% 1.7% 15.5% 3.2% 1.3% 8.6% 8.6% 6.2% 9.9% 11.1%

3.8% 3.8% 14.3% 9.8% -1.0% 6.9% 5.7% 4.1% 5.9% 5.4% 3.5% 2.9% 15.5% 11.3% 1.0% 8.1% 6.1% 3.8% 5.5% 4.9%

3.6% 3.8% 15.8% 11.4% 1.1% 8.2% 6.4% 4.3% 5.9%

--

3.6% 3.0% 15.4% 10.9% 0.8% 7.9% 6.1% 4.0% 5.6% 5.2%

4.7% 5.1% 10.2% 0.2% -7.7% 2.4%

--

--

--

--

4.5% 4.8% 17.1% 8.8% 0.2% 8.6% 7.1% 7.4% 9.2% 8.1%

3.7% 0.0% 6.0% 8.5%

--

--

--

--

--

--

3.8% 0.6% 5.7% 9.7% -4.7% 3.1% 3.5% 1.0% 2.6% 3.5%

*Certain values have been lagged including: ABS, American Realty, MS Prime, UBS Real Estate, JPM Infra, Siguler Guff II and Siguler Guff III are valued as of September 30, 2019. Mesirow VI & VII-A and AdamsStreet Private Equity are valued as of June 30, 2019. All lagged values have been updated for corresponding cash flows.

6 Marquette Associates, Inc.

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download