Investment Performance

Cook County Fund Summary

Asset Allocation

The portfolio value at the end of December 2017 was $10.1 billion, representing a net increase of $299.9 million from the prior quarter end. Investments returned $369.1 million for the quarter and the Fund experienced net withdrawals of $69.2 million.   

q4ccallocation

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

Performance

In the fourth quarter of 2017 the portfolio generated a 3.77% return, exceeding its custom benchmark. The portfolio also outperformed the benchmark in the last year and the three- and five-year periods, generating annualized returns of 15.76%, 7.81% and 8.93%, respectively.  Active management in international equity and fixed income provided the strongest absolute return while an underweight to fixed income also contributed to positive relative performance.

q4ccperformance

The portfolio exceeded its benchmark and peers during the most recent quarter with strong absolute returns from domestic equity, which gained 5.79%.  Over longer periods, active management in the international equity allocation has been a key contributor to outperformance.  The following table shows asset class performance over trailing periods:

 

Performance By Asset Class—Cook County

 

1 Year

3 Year

5 Year

Domestic Equity

+20%

+11%

+15%

International Equity

+29%

+10%

+8%

Fixed Income

+4%

+3%

+2%

Real Estate

+6%

+11%

+11%

Private Equity

+14%

+10%

+10%

Hedge Funds

+8%

+5%

+6%

 
 

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, 3Yr and 5Yr periods.  It exceeded its composite benchmark for the quarter, posting a strong absolute return among asset classes. 

Fixed Income - The fixed income allocation returned 0.24% in the quarter, trailing the return of the Bloomberg Barclays Aggregate Index by 0.15%. However, for longer periods active management in fixed income has been additive. The fixed income allocation has exceeded the benchmark over the trailing three- and five-year periods by an annualized 0.47% and 0.27%, respectively.

Real Estate - Real estate has been one of the strongest performing asset classes over the last three and five years with returns in excess of 10.6% annualized for each respective period. The REIT allocation contributed 0.73% of value-added during the fourth quarter as its 2.24% return beat the 1.51% return of the NAREIT Equity Index. Private real estate posted a 3.33% return, outperforming its benchmark by 1.48%. In the last year this allocation returned 6.31% and trailed its benchmark by 0.35%.

Private Equity - Presently, the private equity program is pursuing a fund-of-funds approach. Private equity received an additional investment during the quarter as it approached it strategic target.

Hedge Fund-of-Funds - The portfolio’s hedge fund allocation outperformed its absolute return benchmark for the quarter by 0.17%. In the last year it has returned approximately 8.06%, well ahead of its benchmark. The allocation also outperformed the benchmark and industry peers as measured by the HFRI Fund-of-Funds Index in the last one- and three- and five-year periods.

q4cccashdrivers

 

 

 

  • Investment gains totaled $369.1 million from the previous quarter end.
     
  • There were net withdrawals of $69.2 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 2017 was $207.2 million, a net increase of $3.7 million from the prior quarter end.  Investments returned $8.6 million for the quarter.  Net cash outflows to fund benefit payments were $4.9 million.  

q4fpallocations 

Performance

The portfolio posted a return of 4.28%, exceeding its benchmark by 0.53%, and ranked in the top quartile of its peer universe. It returned 16.96% in 2017 and outperformed its benchmark by 1.33%. In the three- and five-year periods the Fund outperformed its custom benchmark and ranked in the top third of funds in its peer universe, according to Callan’s Public Fund Sponsor Database ($100M - $1B). 

q4fpperformance

During the fourth quarter the portfolio generated a return of 4.28%, beating its benchmark by 0.53% and ranking in the top quartile of its peer universe. The following table shows asset class performance over trailing periods:
 

Performance By Asset Class—Forest Preserve

 

1 Year

3 Year

5 Year

Domestic Equity

+21%

+12%

+16%

International Equity

+28%

+9%

+10%

Fixed Income

+3%

+2%

+2%

Real Estate

+7%

+7%

+8%

Hedge Funds

+8%

+5%

+7%

 
 

Domestic Equity - The portfolio’s domestic equity allocation trailed its benchmark in the fourth quarter, yet exceeded its benchmark for the longer-term periods. 

International Equity – The Fund’s international allocation posted the strongest absolute return during the quarter, gaining 6.82% and exceeding the benchmark by 1.82%. In the last three-year and five-year periods the international equity allocation exceeded the passive benchmark index by 1.23% and 3.18% annualized, respectively. In addition, the allocation has ranked in the top quartile of its peer universe in the last five years.

Fixed Income – For the quarter and other periods, the fixed income allocation has closely tracked the Bloomberg Barclays Aggregate Index which is comprised of U.S. investment grade securities. 

Real Estate - The real estate allocation is comprised of investments in public real estate securities (REITS) and private real estate. The real estate allocation returned 1.67%, trailing the benchmark by 0.18% in the quarter. The allocation has posted strong absolute returns over the trailing three- and five-year periods, but has also trailed its benchmark in those periods due to its REIT exposure. 

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 one-, three- and five-year periods. The hedge fund allocation has also outperformed hedge fund peers as measured by the HFRI Fund-of-Funds Index for the last one-, three-, and five-year periods.

 q4fpcashdrivers

 

 

  • Investment income offset liquidations to service benefit payments by approximately $3.7 million.
     
  • 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.