Investment Performance

Cook County Fund Summary

Asset Allocation

The portfolio value at the end of March 2017 was $9.3 billion, representing a net increase of $370.0 million from the prior quarter end. Investments returned $362.0 million for the quarter and the Fund experienced net additions of $7.6 Million. The contribution from sales tax proceeds mitigated the need for cash from other funding sources to meet benefit obligations.  

CCPF_asset_allocation_3-31

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

Performance

In the first quarter of 2017, the portfolio generated a 4.07% 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 11.66%, 5.44% and 7.69%, respectively.  Active management in international equity provided the strongest absolute return while an overweight to domestic equities (underweight to fixed income) also contributed to outperformance in the last five years.

cc_benchmarking

The portfolio exceeded its benchmark and peers during the most recent quarter with strong relative contribution from fixed income.  Relative outperformance over the last 12 months has been driven in part by allocation and active management 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%

+9%

+13%

International Equity

+12%

+2%

+6%

Fixed Income

+3%

+3%

+3%

Real Estate

+10%

+12%

+12%

Private Equity

+11%

+7%

+8%

Hedge Funds

+10%

+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, 3Yr and 5Yr periods.  It exceeded its composite benchmark for the quarter, posting a strong absolute return among asset classes. During the longer term periods, active management in the international equity allocation has been a key contributor to outperformance. 

Fixed Income – The fixed income allocation exceeded the return of the Bloomberg Barclays Aggregate Index for the quarter by 0.81%. The Global allocation was additive with a 5.38% return for the quarter. Core Plus strategies were also additive as this group added approximately 0.80% over the index. 

Real Estate – Real estate has been one of the better performing asset classes over the last three and five years with returns in excess of 9.7% annualized for each respective period. The REIT allocation returned 1.96%, exceeding its benchmark by 0.80% in the quarter. Private real estate posted a 0.23% return, trailing its benchmark by 1.31%. However, in the last year this allocation returned 9.78%, exceeding its benchmark by 2.4%.

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 by 1.2%. In the last year it has returned approximately 9.7%, 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 three-year period.

cc_Q1_Cash_Flow_Drivers_v2

 

 

  • Investment gains totaled $362 million from the previous quarter end.
     
  • There were no liquidations for benefit payments, as the contribution from sales tax proceeds mitigated the need to utilize investments as a funding source.

 

 

 

 

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

 

Forest Preserve Fund Summary

Asset Allocation

The portfolio value at the end of March 2017 was $194.7 million, a net increase of $6.2 million from the prior quarter end. Investments returned $8.0 million for the quarter. Net cash outflows to fund benefit payments were $1.8 million.  

 

FP_Asset_Allocation

 

Performance

The portfolio posted a return of 4.29%, modestly trailing its benchmark by 0.09%. It returned 9.86% in the last year, yet trailed its benchmark. However, in the three- and five-year periods the Fund outperformed its custom benchmark by 0.17% and 1.27%, respectively. The longer term performance exceeds 70% of the funds in its peer universe, according to Callan’s Public Fund Sponsor Database ($100M - $1B).  International exposure has provided the largest contribution to outperformance. 

 

FP_Fund_Performance

 

During the first quarter the portfolio generated a return of 4.29% and trailed its benchmark by 0.09%.  In the last year, the Fund trailed its benchmark by 0.83%. 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

+19%

+10%

+14%

International Equity

+8%

+2%

+8%

Fixed Income

+1%

+3%

+2%

Real Estate

+7%

+8%

+9%

Hedge Funds

+10%

+5%

N/A

 
 

Domestic Equity – The portfolio’s domestic equity allocation exceeded its benchmark in the last quarter and the longer-term periods. 

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 1.6% and 3.3% 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 8.4%. The real estate allocation is comprised of investments in public real estate securities (REITS) and private real estate. The REIT allocation posted a positive return in the first quarter, however over the longer term this investment has trailed.

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. 

Fp_Q1_Cash_Flow_Driversv2

 

 

  • Investment income did offset liquidations to service benefit payments by approximately $6.2 million.
     
  • The primary sources of benefit payments were from equity and fixed income passive strategies.

 

 

 


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