Cook County Fund Summary

Asset Allocation

The portfolio value at the end of June 2021 was $13.4 billion, a net decrease of $731 million from the prior quarter end. Investment gains totaled $815 million for the quarter and the Fund experienced net withdrawals of $84 million.   

 

Performance

In the second quarter of 2021 the portfolio generated a net return of 6.46%, outperforming its custom benchmark and ranking in the top quartile of peers. Domestic equity and international equity both had strong absolute returns, but trailed their respective benchmarks. Fixed income had the lowest absolute return, but outperformed its benchmark. REITS posted a strong 13.32% absolute return for the quarter and led its benchmark. Private equity returned 23.32%, the highest absolute return for the quarter. Private real estate trailed its benchmark, whereas hedge funds outperformed. At the Fund level, active management in fixed income and hedge funds added value and an overweight to private equity also added value for the period.

The portfolio exceeded its custom benchmark in the last year with a net return of 25.15%. Additionally, the portfolio led its custom benchmark over the last five-year period with an annualized net of fee return of 11.55%. Over this longer period, active management in international equity and private real estate added value. An underweight to fixed income and an overweight to private equity was also additive. The Fund also led its benchmark over the trailing ten-year period with a net return of 8.52%. 

The following table shows asset class performance over trailing periods:

 

Performance By Asset Class—Cook County
	1 Year	3 Year	5 Year
Domestic Equity	+44%	+17%	+17%
International Equity	+36%	+9%	+11%
Fixed Income	+3%	+5%	+3%
Real Estate	+5%	+6%	+6%
Private Equity	+78%	+37%	+29%
Hedge Funds	+13%	+4%	+5%

 

 

Domestic Equity - The portfolio’s domestic equity allocation trailed the benchmark in the second quarter and trails over longer periods.  

International Equity – The portfolio’s international equity allocation trailed its benchmark, but has enjoyed success over longer periods, outperforming the benchmark on a trailing five-, and ten-year basis.

Fixed Income - The fixed income allocation returned 2.29% in the quarter compared to the Bloomberg Barclays Aggregate Index, which returned 1.65%. Active management, as well as an underweight to the asset class, added value in the second quarter.  The allocation leads its benchmark over the trailing one-, five-, and ten-year periods.

Real Estate - The real estate allocation is comprised of investments in public real estate securities (REITS) and private real estate. Private real estate contains primarily core investments (income producing real estate) and a small allocation to non-core, closed-end funds. In the second quarter, private real estate underperformed its benchmark, returning 3.35% compared to the 3.68% benchmark return. Despite underperforming in the quarter, private real estate has consistently bested its benchmark over longer periods. REITs returned 13.32% in the quarter, leading its benchmark by one 1.30%. REITS have performed favorably versus its benchmark over longer periods, leading its benchmark over the trailing one-, three- and five-year periods.

Private Equity - Presently, the private equity program is pursuing a fund-of-funds approach. Private equity experienced net withdrawals for the quarter and the weight is currently above its strategic allocation target. This allocation posted a return of 23.32% for the quarter and 77.75% for the trailing year. It has performed very well over longer periods, enjoying double-digit annualized returns over the trailing one-, three-, five-, and ten-year periods.

Hedge Fund-of-Funds - The portfolio’s hedge fund allocation trailed its absolute return benchmark for the quarter. In the last year it returned 4.50%, leading its absolute benchmark return.

• Investment gains totaled $815 million from the previous quarter end.
   
• There were net withdrawals of $84 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 2021 was $227.7 million, an increase of $7.1 million from the prior quarter end.  Investment gains amounted to $10.7 million for the quarter.  Net cash outflows to fund benefit payments were $3.6 million. 

 

Performance

The portfolio posted a net return of 4.90% in the second quarter, narrowly leading its benchmark by 0.01%. For the second quarter, asset allocation decisions added value, whereas active management detracted. During the last year, the Fund generated a return of 25.68%, leading its benchmark median of peers. On a long-term basis, the Fund has outperformed its benchmark over the trailing ten-year period.

The following table shows asset class performance over trailing periods:
 

Performance By Asset Class—Forest Preserve
	1 Year	3 Year	5 Year
Domestic Equity	+44%	+17%	+17%
International Equity	+36%	+10%	+11%
Fixed Income	+0%	+5%	+3%
Real Estate	+3%	+5%	+5%
Hedge Funds	+11%	+4%	+5%

 

 

Domestic Equity - The portfolio’s domestic equity allocation underperformed its benchmark in the second quarter and trailing year. An overweight to domestic equity added value, but was offset by adverse active management. 

International Equity – The Fund’s international allocation narrowly trailed its benchmark during the quarter, returning 5.45% compared to the 5.48% benchmark return. Strong active management has led the International Equity allocation to beat its benchmark for the trailing three-, five-, and ten-year periods.

Fixed Income – The fixed income allocation returned 1.36% in the second quarter, trailing the benchmark return by 0.29%. Longer term, the allocation has consistently underperformed its benchmark due to its previous fully passive allocation to the Bloomberg Barclays Aggregate Index. 

Real Estate - The real estate allocation is comprised of investments in private real estate. The real estate allocation trailed the benchmark in the second quarter, returning 3.20% compared to the 3.68% benchmark return. Active management was a detractor in the second quarter. Over longer periods, the real estate allocation leads its benchmark over the trailing three years. 

Hedge Fund of-Funds - The portfolio’s hedge fund allocation outperformed its absolute return benchmark for the second quarter, returning 2.76% compared to 1.02% for the benchmark. The hedge fund allocation has struggled versus hedge fund peers as measured by the HFRI Fund-of-Funds Index.

 

• Investment gains totaled $10.7 million from the previous quarter end.
   
• There were net withdrawals of $3.6 million in the quarter to fund benefit payments. 

 

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