Investment Performance

Cook County Fund Summary

Asset Allocation

The portfolio value at the end of December 2018 was $9.6 billion, a net decrease of $835.9 million from the prior quarter end. Investment losses totaled $794.4 million for the quarter and the Fund experienced net withdrawals of $41.4 million.   

CCAllocation18q4

Currently, over 35% of fund assets are passively managed and less than 65% of fund assets are actively managed.

Performance

In the fourth quarter of 2018 the portfolio generated a -7.63% net return, underperforming its custom benchmark. International equity modestly led its benchmark whereas domestic equity, fixed income, and REITs trailed their respective benchmarks. Private equity and private real estate had the largest absolute returns, returning 6.32% and 3.60% respectively. At the Fund level, both active management and asset allocation decisions detracted for the quarter.

The portfolio underperformed the benchmark in the last year and five-year period, with net annualized returns of -3.79% and 4.69%, respectively. However the Fund outperformed in the three-year period with a 6.11% annualized net return. CCPerformance18q4

The following table shows asset class performance over trailing periods:

 

Performance By Asset Class—Cook County

 

1 Year

3 Year

5 Year

Domestic Equity

-7%

+9%

+7%

International Equity

-14%

+5%

+2%

Fixed Income

-1%

+3%

+3%

Real Estate

+9%

+8%

+10%

Private Equity

+30%

+18%

+8%

Hedge Funds

+2%

+4%

+4%

 
 

Domestic Equity - The portfolio’s domestic equity allocation underperformed the benchmark in the quarter due to detracting active management.  

International Equity – The portfolio’s international equity allocation outperformed its benchmark for the quarter and has outperformed the benchmark on a trailing one-, three-, and five-year basis.

Fixed Income - The fixed income allocation returned 1.04% in the quarter, trailing the return of the Bloomberg Barclays Aggregate Index by 0.60%. However, the allocation has exceeded its benchmark over the trailing three-year period by an annualized 0.50%. For longer periods, active management and an underweight to fixed income has been additive.

Real Estate - Real estate has been one of the strongest performing asset classes over the last three and five years with returns of 7.94% and 9.83%, respectively. The REIT allocation returned -6.15% for the quarter, leading its benchmark. However the REIT portfolio has trailed its benchmark on both a three- and five-year basis. Private real estate posted a 3.60% return, outperforming its benchmark by 2.08%. In the last year this allocation returned 8.68% and led its benchmark by 1.32%.

Private Equity - Presently, the private equity program is pursuing a fund-of-funds approach. Private equity received an additional investment in the fourth quarter and the weight is in line with its strategic allocation target. This allocation posted a strong absolute return of 6.32% for the quarter, and has performed well on both a short- and long-term basis.

Hedge Fund-of-Funds - The portfolio’s hedge fund allocation trailed its absolute return benchmark for the quarter by 3.09%. In the last year it has returned approximately 1.75%, trailing its benchmark return of 6.35%. However, the allocation has consistently outperformed industry peers as measured by the HFRI Fund-of-Funds Index.

CCCashflow18q4

 

 

 

_Investment losses totaled $794.4 million from the previous quarter end.

_There were net withdrawals of $41.4 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 2018 was $186.6 million, a net decrease of $21.6 million from the prior quarter end.  Investment losses amounted to $16.4 million for the quarter.  Net cash outflows to fund benefit payments were $5.1 million. 

FPAllocation18q4 

Performance

The portfolio posted a loss of -7.98% in the fourth quarter, underperforming its benchmark by 0.85%. During the last year, the Fund generated a return of -4.31%, trailing its benchmark by 0.14%. In the trailing five-year period the Fund outperformed its custom benchmark by 15 basis points, returning 5.04%.

FPPerformance18q4

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

-6%

+8%

+8%

International Equity

-12%

+5%

+3%

Fixed Income

+0%

+2%

+2%

Real Estate

+6%

+7%

+8%

Hedge Funds

+3%

+4%

+5%

 
 

Domestic Equity - The portfolio’s domestic equity allocation trailed its benchmark in the fourth quarter and has trailed its benchmark on a long-term basis as well. 

International Equity – The Fund’s international allocation outperformed the benchmark during the quarter by 93 basis points, returning -10.53%. Strong active management has led the International Equity allocation to beat its benchmark for the trailing one-, three-, and five-year periods.

Fixed Income –The fixed income allocation is invested in a Bloomberg Barclays Aggregate Index Fund.

Real Estate - The real estate allocation is comprised of investments in public real estate securities (REITS) and private real estate. The real estate allocation trailed the benchmark in the fourth 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.

Hedge Fund of-Funds - The portfolio’s hedge fund allocation underperformed its absolute return benchmark for the fourth quarter. 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.

 FPCashFlow18q4

 

 

_Investment losses totaled $16.4 million from the previous quarter end.

_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.