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Arapahoe County Retirement PlanStrategic Asset Allocation and Investment Structure2021This document is intended to supplement the Statement of Investment Policy (“IPS”) of the Arapahoe County Retirement Plan. The IPS is long term in nature while this Strategic Asset Allocation and Investment Structure (“Investment Strategy”) document is designed to be reviewed, and if necessary revised, annually by the Board of the Arapahoe County Retirement Plan (“Board”).The Investment Strategy includes the following:Actuarial assumed rate of return,Strategic asset class targets and ranges, refined within the IPS allowable ranges,Liquidity policy, Investment structure and performance benchmarks for the Total Plan and subcomponents, andContact information for vendors involved with the investments of the Plan.Actuarial Assumed Rate of ReturnThe current actuarial assumed rate of return is 7.25%Strategic Asset Class Targets and RangesAsset ClassSub-Asset ClassCurrent TargetAllowable RangeEquity55%40% - 60%Public Equity50%35% - 55%Private Equity5%0% - 10%Debt25%15% - 30%Fixed Rate15%5% - 25%Floating Rate10%0% - 15%Alternatives20%15% - 35%Low Volatility5%0% -15%Equity Real Estate15%10% - 20%Liquidity PolicyThe IPS states that the Plan Administrator of the Plan will determine the appropriate level of cash reserves depending on the anticipated liquidity needs. The Plan Administrator has determined that the current liquidity requirements is $3 million. When the balance exceeds $4 million, excess reserve cash will be transferred into the invested assets. When the balance falls below $500,000, the cash reserves will be replenished to $3 million by liquidation of invested assets. The Plan Administrator, with the assistance of the investment consultant, will coordinate all investment manager cash inflows and outflows with the effected products and with the Plan’s custodial bank.Investment Structure and Performance BenchmarksThe Plan’s investments, in total, by asset class and by individual manager, will be measured against appropriate benchmarks. Unless otherwise stated, performance will be compared on a net-of-investment management fees basis.Total Plan Benchmarks:Absolute Return:7.25%Relative Return:Public Defined Benefit Pension PlansBenchmark Index:50%MSCI All Country World(Equity –Public)5%Russell 3000(Equity – Private)15%BBgBarc US Aggregate(Debt – Fixed Rate)10%Credit Suisse Leverage Loan(Debt – Floating Rate)5%HFRI Fund of Funds(Low Volatility – Hedge FOF)10%NFI ODCE Net of Fees(Equity Real Estate – Private Core)5%NCREIF Property(Equity Real Estate – Private Value-add)Investment management structure and benchmarks are on the following pages.Investment ManagerInvestment Product/TickerFee StructureInvestment Style/UniverseBenchmarkIndexTarget AllocationVanguard GroupVanguard Institutional Index fund: VINIX0.04% Expense RatioU.S. Equity S&P 500 IndexS&P 50025%Vanguard GroupVanguard Total International Stock Market Index, VTSNX0.09% Expense RatioNon-U.S. Equity IndexFTSE Global All Cap ex-US10%Fidelity Institutional Asset ManagementSmid Cap Core fund: IRS 81-100 commingled fund0.65% of AssetsU.S. Equity Smid Cap CoreRussell 25005%Capital Group/American FundsNew Perspective fund – R6 shares, RNPGX0.45% Expense RatioGlobal Equity – GrowthMSCI All Country World5%Dodge & CoxDodge & Cox Global Stock fund, DODWX0.63% Expense RatioGlobal Equity – ValueMSCI All Country World5%Private Equity ProgramMultiple Managers/ProductsVariesPrivate EquityRussell 30005%JPMorgan Asset ManagementJPMorgan Core Bond: IRS 81-100 commingled fund0.30% of AssetsCore Fixed IncomeBBgBarc US Aggregate7.5%Western Asset ManagementWestern Asset Core Plus Bond fund: WACPX0.45% Expense RatioCore Plus Fixed IncomeBBgBarc US Aggregate7.5%Principal Real Estate InvestorsPrincipal Real Estate Debt Fund, L.P.: Commingled fund0.65% of Assets15% incentive over 8% Preferred ReturnPrivate Real Estate DebtCredit Suisse Leveraged Loan10%Principal Real Estate InvestorsPrincipal Real Estate Debt Fund II, L.P.: Commingled fund0.85% of Assets15% incentive over 7% Preferred ReturnPrivate Real Estate DebtCredit Suisse Leveraged LoanOak Hill AdvisorsOHA Tactical Investment Fund, L.P.: Commingled Fund1.5% of Assets20% incentive over 7% Preferred ReturnPrivate CreditCredit Suisse Leveraged LoanVarde PartnersVarde Dislocation Fund, L.P.: Commingled Fund1.5% of Assets20% incentive over 8% Preferred ReturnPrivate CreditCredit Suisse Leveraged LoanInvestment ManagerInvestment Product/TickerFee StructureInvestment Style/UniverseBenchmarkIndexTarget AllocationBlackstone Alternative Asset ManagementBPIF Non-Taxable Delaware LP: Commingled fund1.25% of AssetsHedge Fund of Funds Multi-StrategyHFR Fund of Funds5%CBRE Global InvestorsCBRE U.S. Core Partners1.0% on first $10 mil0.9% on next $15 mil0.8% on next $25 milPrivate Real Estate EquityNFI ODCE Net of Fees10%Harbert Management CorporationHarbert United States Real Estate Fund V: Commingled fund1.5% of Assets20% incentive over 9% Preferred ReturnValue-add Private Equity Real estateNCREIF Property5%Harbert Management CorporationHarbert United States Real Estate Fund VI: Commingled fund1.25% of Assets20% incentive over 9% Preferred ReturnValue-add Private Equity Real estateNCREIF PropertyPrivate Equity Program Structure:Investment ManagerInvestment ProductCommitment AmountVintageFee StructureInvestment StyleAberdeen Standard Investment ManagementU.S. Private Equity VI$4.3 million2015 – 20171.0% of Committed Capital5% Carry over 8% PreferredSmall BuyoutHorsley BridgeXI Venture$3.0 million2015 – 20171.0% of Committed CapitalVenture Capital Fund-of-FundsSiguler GuffSmall Buyout Opportunity Fund III$2.5 million2016 – 2018Yrs 1-5: 1.0% of Committed CapitalThereafter: 80% of prior annual fee5% Carry over 8% PreferredSmall Buyout Fund-of-FundsInvestment ManagerInvestment ProductCommitment AmountVintageFee StructureInvestment StyleWeathergageVenture Capital IV$1.0 million2016 – 2018Yrs 1-7: 1.0% of Committed CapitalThereafter: 90% of prior annual fee2.5% to 7.5% tiered Carry based on multiples achievedVenture CapitalHorsley Bridge XIII VenturesVenture Capital XIII$3 million2019 – 20211.0% of Committed Capital during original term0.50% during extensions0% thereafterVenture CapitalSiguler GuffSmall Buyout Opportunity Fund IV$4 million2019 – 2021Yrs 1-5: 1.0% of Committed CapitalThereafter: 80% of prior annual fee5% Carry over 8% Preferred: Fund15% Carry over 8%: DirectSmall Buyout Fund-of-FundsWarburg PincusGlobal Growth, LP$3.75 million2019 – 2021Yrs 1-6: 1.4% of Committed CapitalThereafter: 80% of prior annual fee20% Carry, No PreferredGrowth EquityVendor InformationInvestment ConsultantEllwoodLead Consultant5299 DTC Boulevard, Suite 810Dale A. Connors, CFA, Senior ConsultantGreenwood Village, CO 80111Dale.Connors@303-738-0300ConsultantBusiness AnalystAndy Fiegel, CFA, CAIA, ConsultantKellie McAdamis303-389-2068303-389-2061Andy.Fiegel@Kellie.McAdamis@Trustee BankUS Bank Denver, NARelationship ManagerUS Bank Institutional Trust & CustodyChristina (Tina) M. Seberg, Vice PresidentDN-CO-T5T303-585-4571950 17th Street, 5th Floortina.seberg@Denver, CO 80202Account Manager: Sherry E. Glanville, Vice PresidentP.O. Box 3168T699041Portland, OR 97208503-275-4637sherry.glanville@Investment Management FirmsVanguard GroupS&P 500 Index FundNon-U.S. Index FundClient Contact: Sean Hull100 Vanguard Boulevard480-713-0351Malvern, PA 19355sean_hull@Fidelity Institutional Asset ManagementSmall/Midcap Core US StocksClient Contact: Christine Thorpe900 Salem Street401-292-6573Smithfield, RI 02917christine.thorpe@Capital Group (American Funds)Global (US and Non-US) StocksClient Contact: Vince Ortega333 South Hope Street213-486-9969Los Angeles, LA 90071vao@Dodge & CoxGlobal (US and Non-US) StocksClient Contact: Matt Beck555 California Street, 40th Floor415-274-9357San Francisco, CA 94104mb@Aberdeen Standard InvestmentsPrivate Equity – Small BuyoutClient Contact: Ryan Hultman1735 Market Street, 32nd Floor215-405-5636Philadelphia, PA 19103ryan.hultman@Horsley Bridge PartnersPrivate Equity – Venture CapitalClient Contact: Mark Moore505 Montgomery Street415-986-7733San Francisco, CA 94111Mark@Siguler Guff & Company, LPPrivate Equity – Small BuyoutClient Contact: Matthew Brewer825 Third Avenue, 10th Floor212-634-5972New York, NY 10022mbrewer@Warburg PincusPrivate Equity – Growth EquityClient Contact: Jim Wilson450 Lexington Avenue212-878-6126New York, NY 10017James.Wilson@Weathergage CapitalPrivate Equity – Venture CapitalClient Contact: Sandy Wallis820 Ramona Street, Suite 100650-440-3661Palo Alto, CA 94301sandy.wallis@Crestview PartnersPrivate Equity – Middle Market BuyoutClient Contact: Randall Sigwarth1111 Polaris Parkway, Floor 1H614-213-1137Columbus, OH 43240randall.j.sigwarth@JPMorgan Asset ManagementUS Core BondsClient Contact: Randall Sigwarth1111 Polaris Parkway, Floor 1H614-213-1137Columbus, OH 43240randall.j.sigwarth@Western Asset ManagementUS Core Plus BondsClient Contact: Mike Komori, CFA385 East Colorado Boulevard626-584-7513Pasadena, CA 91101michael.komori@Principal Global InvestorsMezzanine Real Estate LoansClient Contact: Michelle Fang801 Grand Avenue203-858-9649Des Moines, IA 80392fang.michelle@Oak Hill AdvisorsPrivate Credit – Stressed/DistressedClient Contact: John Fiscella, CFA, CAIA1114 Avenue of the Americas, 27 Floor212-326-1547New York, NY 10036jfiscella@Varde PartnersPrivate Credit – Stressed/DistressedClient Contact: Robyn Churchill901 Marquette Avenue South, Suite 3300952-646-2758Minneapolis, MN 55402rchurchill@Blackstone Alternative Asset ManagementHedge Fund-of-FundsClient Contact: Liam Rogers345 Park Avenue212-390-2827New York, NY 10154Liam.Rogers@CBRE Global InvestorsCore Private Equity Real EstateNick Rittenhouse515 South Flower Street, 31st Floor213-683-4191Los Angeles, CA 90071nicholas.rittenhouse@Harbert Management CorporationValue Add Real EstateClient Contact: Rich Brereton2100 Third Avenue North, Suite 600212-521-6979Birmingham, AL 35203rbrereton@UBS Realty Investors, LLCCore Private Equity Real EstateDavid Lawson2515 McKinney Avenue, Suite 800972-458-3337Dallas, TX 75201david.lawson@ ................
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