Investment Performance

Cook County Fund Summary

Asset Allocation

The portfolio value at the end of December 2016 was $8.9 billion, representing a net increase of $36.0 million from the prior quarter end. Investments returned $99.1 million for the quarter.   Net flows to fund benefit payments were $63.1 million in the fourth quarter. 
 

 

2016-12-31-CCF_Asset_Allocation

 

Currently, over 30% of fund assets are passively managed and less than 70% of fund assets are actively managed.

Performance

For the fourth quarter of 2016, the portfolio exceeded its custom benchmark over the last year as well as the three and five-year periods.  Over these periods the portfolio generated annualized returns of 8.04%, 4.73% and 8.34%, respectively.  Active management in international equity and fixed income coupled with an overweight to domestic equities provided the largest contributions to outperformance over the trailing periods.
 

2016-12-31-CCF_Fund_Perf-02

 

During the quarter, the portfolio returned 1.13%.  The portfolio exceeded its benchmark and peers during the most recent quarter with strong contributions from equities.  Relative outperformance over the last 12 months has been driven in part by domestic equities and fixed income.  The following table shows asset class performance over trailing periods:
 

Performance By Asset Class – Cook County

 

1 Year

3 Year

5 Year

Domestic Equity

+15%

+8%

+14%

International Equity

+3%

-1%

+7%

Fixed Income

+4%

+3%

+3%

Real Estate

+7%

+11%

+10%

Private Equity

+8%

+8%

+7%

Hedge Funds

+3%

+4%

N/A

 

Domestic Equity - The portfolio’s domestic equity allocation generated positive absolute returns for the 1Yr, 3Yr and 5Yr periods.  An overweight to this asset class versus the target was additive to the fund’s performance. 

International Equity – The portfolio’s international equity allocation generated positive absolute returns for the 1Yr and 5Yr periods.  Though it trailed its composite benchmark for the quarter, it posted the strongest absolute return among asset classes. Active management in emerging market equities was additive for the year with a 13.99% return. 

Fixed Income - The fixed income allocation exceeded the return of the Bloomberg Barclays Aggregate Index for the quarter by 1.35%. Core Plus strategies were additive as this group added approximately 0.70% over the index. Portfolios with an overweight to asset-backed securities, higher-yield securities and shorter-duration portfolios outperformed.

Real Estate - Real estate has been the best performing asset class over the last three and five years with returns in excess of 11% annualized for each respective period.

Private Equity - Presently, the private equity program is pursuing a fund-of-funds approach. The current investment of 3% is below its target allocation of 6%.

Hedge Fund of-Funds - The portfolio’s hedge fund allocation outperformed its absolute return benchmark for the quarter. Although trailing for the last year, it has performed in line with the benchmark over the last three years.

2016-12-31-CCF_Key_Cash_Flow_Drivers-02

 

-Investment gains totaled $36 million from the previous quarter end

-Liquidations for benefit payments totaled $63.1 million for the fourth quarter.

 

 

 

 

 

For additional discussion, click here to view Callan’s fourth quarter summary.

Forest Preserve Fund Summary

Asset Allocation

The portfolio value at the end of December was $188.3 million, representing a net decrease of $4.0 million from the prior quarter end.  Investments returned $0.6 million for the quarter.  Net cash outflows to fund benefit payments were $4.6 million. 

 

2016-12-31-FP_Asset_Allocation

 

Performance

The portfolio has finished ahead of its benchmark return and placed near the top quartile of its peer universe over the last three- and five-year periods according to Callan’s Public Fund Sponsor Database ($100M - $1B). Over these periods, the portfolio has generated annualized returns of 4.89% and 9.14%, respectively. These returns exceed those of its custom benchmark by 0.24% and 1.31%, respectively.  Active management in the domestic equity and fixed income asset classes has provided the largest contribution to outperformance.

 

2016-12-31-FP_Fund_Perf-02

 

During the fourth quarter, the portfolio generated a return of 0.32% and trailed its benchmark by 0.37%.  In the last year, the Fund trailed its benchmark by 1.85%. In the last three- and five-year periods, the Fund exceeded its benchmark and appeared near the top quartile of its peers.

Performance By Asset Class – Forest Preserve

 

1 Year

3 Year

5 Year

Domestic Equity

+12%

+9%

+15%

International Equity

1%

+0%

+9%

Fixed Income

+3%

+3%

+2%

Real Estate

+8%

+9%

+10%

Hedge Funds

+3%

+5%

N/A

 

Domestic Equity - The portfolio’s domestic equity allocation exceeded its benchmark in the last quarter but trailed for the 12 month period due to the performance of its small cap allocation.  However, for longer periods, active management in small cap equities had a positive influence on the relative outperformance.

International Equity - The Fund’s international allocation trailed during the quarter. However, in the last three-year and five-year periods, the international equity allocation exceeded the passive benchmark index by 2.2% and 4.2% annualized. In addition, the allocation has ranked near or above the top quartile of its peer universe in those periods.

Fixed Income - For the quarter and other periods, the fixed income allocation posted a similar return to the Bloomberg Barclays Aggregate Index which is comprised of U.S. investment grade securities.

Real Estate - Real estate has been one of the better performing asset classes over the last three and five years with annual returns in excess of 9.3%. The real estate allocation is comprised of investments in public real estate securities (REITS) and private real estate. Though the REIT allocation posted a negative return in the quarter, over the longer term this investment has been additive.

Hedge Fund of-Funds - The portfolio’s hedge fund allocation outperformed its absolute return benchmark for the last quarter, and finished ahead of the benchmark for the last three years. 

2016-12-31-FP_Key_Cash_Flow_Drivers-02

 

-Investment income did not offset liquidations to service benefit payments.

-The primary sources of benefit payments were from equity and fixed income passive strategies.

 

 

 

 

 

For additional discussion, click here to view Callan’s fourth quarter summary.