Investment Performance

Cook County Fund Summary

Asset Allocation

The portfolio value at the end of June 2017 was $9.52 billion, representing a net increase of $230.0 million from the prior quarter end. Investments returned $311.7 million for the quarter and the Fund experienced net withdrawals of $75.1 Million.

2Q_CC_Allocation

 

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


Performance

In the second quarter of 2017 the portfolio generated a 3.38% 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 13.39%, 5.44% and 8.74%, respectively.  Active management in international equity provided the strongest absolute return while an underweight to fixed income also contributed to positive relative performance.

2Q_CC_Fund_Performance

The portfolio exceeded its benchmark and peers during the most recent quarter with strong absolute returns from international equity, which gained 6.78% and outperformed by 1.00%.  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

+21%

+8%

+14%

International Equity

+20%

+3%

+9%

Fixed Income

+2%

+3%

+3%

Real Estate

+8%

+13%

+12%

Private Equity

+17%

+9%

+9%

Hedge Funds

+10%

+5%

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 (+191 bps net of fees over the last twelve months). 

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 (+91 bps and +155 bps net of fees in the recent quarter and last 3 years).

Fixed Income - The fixed income allocation returned 1.32% in the quarter, trailing the return of the Bloomberg Barclays Aggregate Index by 0.13%. However, over the trailing year fixed income is outpacing the benchmark by 2.58%. Performance has been additive over the longer term as the allocation has exceeded the benchmark over the trailing three- and five-year periods by an annualized 0.11% and 0.47%, 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 7.2% annualized for each respective period. The REIT allocation contributed 0.98% of value-added during the second quarter as its 2.50% return beat the 1.52% return of the NAREIT Equity Index. Private real estate posted a 2.47% return, outperforming its benchmark by 1.00%. In the last year this allocation returned 8.28%, exceeding its benchmark by 1.38%.

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 1.16%. In the last year it has returned approximately 9.54%, 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-year periods.

2Q_CC_Key_CashFlow_Drivers

 

 

 

  • Investment gains totaled $312 million from the previous quarter end.
     
  • There were net withdrawals of $75.1 million for the second quarter.

 

 

 

 

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

 

Forest Preserve Fund Summary

Asset Allocation

The portfolio value at the end of June 2017 was $198.7 million, a net increase of $4.0 million from the prior quarter end.  Investments returned $7.7 million for the quarter.  Net cash outflows to fund benefit payments were $3.6 million.
 

2Q_FP_Allocation 

Performance

The portfolio posted a return of 3.99%, exceeding its benchmark by 0.90%. It returned 12.19% in the last year, yet modestly trailed its benchmark. However, in the three- and five-year periods the Fund outperformed its custom benchmark and almost 80% of the funds in its peer universe, according to Callan’s Public Fund Sponsor Database ($100M - $1B). 

2Q_FP_Fund_Performancev2

During the second quarter the portfolio generated a return of 3.99%, beating its benchmark by 0.90% and outperforming 95% of the funds in 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

+20%

+10%

+11%

International Equity

+15%

+23

+11%

Fixed Income

-1%

+3%

+2%

Real Estate

+6%

+9%

+9%

Hedge Funds

+10%

+5%

+8%

 
 

Domestic Equity - The portfolio’s domestic equity allocation exceeded its benchmark in the second quarter and the longer-term periods (+51 bps and +148 bps in the most recent quarter and last twelve months). 

International Equity – The Fund’s international allocation posted the strongest absolute and relative returns during the quarter, gaining 7.22% and beating the benchmark by 1.44%. In the last three-year and five-year periods the international equity allocation exceeded the passive benchmark index by 1.90% and 3.32% annualized, respectively. 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 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 outpaced the 1.47% return of the benchmark, adding 2.45% during the quarter. The allocation has also posted strong absolute returns over the trailing three- and five-year periods, as well.

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- 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.

 2Q_FP_Key_CashFlowDrivers

 

 

  • Investment income offset liquidations to service benefit payments by approximately $4.1 million.
     
  • The primary sources of benefit payments were from equity and fixed income passive strategies.

 

 

 

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