Investment Performance

Cook County Fund Summary

Asset Allocation

The Cook County Fund ended March with a market value of $13.2 billion, a $482 million increase from the prior quarter ending value of $12.8 billion. Investment gains totaled $567 million for the quarter and the Fund experienced net withdrawals of $84.7 million.

 

Performance

In the first quarter of 2024, the portfolio returned 4.45% net of fees, outperforming its benchmark return of 3.97% and ranking slightly median of peers. Domestic equity and international equity both had strong absolute returns with domestic equity exceeding its benchmark. Fixed income had a negative absolute return but outperformed its benchmark. REITS outperformed its benchmark and has led the benchmark return over the last three, five, and ten-year periods. Private real estate declined for the quarter, but outperformed its benchmark, whereas hedge funds returned 2.04% for the quarter, but underperformed the benchmark. Private equity has continued to advance during the quarter and has generated significant double-digit returns over longer periods.

The portfolio exceeded its custom benchmark in the last year with a net return of 12.37%. Additionally, the portfolio led its custom benchmark over the last five-year period with an annualized net of fee return of 8.25%. Over this longer period, active management in private real estate and hedge funds added value. The Fund also led its benchmark over the trailing ten-year period with a net return of 7.08%

The following table shows asset class performance over trailing periods:

 

Domestic Equity – Domestic Equity returned 10.08% for the quarter versus the benchmark return of 10.02%.  Over the last year, Domestic Equity (27.97%) underperformed the benchmark return (29.29%).Domestic Equity has modestly underperformed the benchmark over longer periods.  

International Equity – International Equity gained 3.65% for the quarter and trailed the benchmark return of 4.33%.  Over the last year, International Equity (11.57%) lagged the benchmark return (13.20%).  The International Equity composite has outperformed the benchmark over the last ten years.

Fixed Income – Fixed Income declined 0.40% for the quarter and outperformed the benchmark return of -0.66%. Over the last year, Fixed Income (2.70%) outperformed the benchmark (1.89%). The composite modestly trailed the benchmark over the last five and ten years.

REITS – REITS returned 0.63% during the quarter and outperformed the benchmark return of -0.20%. Over the last year, REITS (12.94%) outperformed the benchmark return (10.54%). REITS led the benchmark return over the last three-, five-, and ten-year periods. 

Private Real Estate – Private Real Estate declined 0.49% for the quarter and outperformed the benchmark return of -2.58%. Over the last year, Private Real Estate (-10.12%) outperformed the benchmark return (-12.00%). Over longer periods, the allocation has added considerable value over the benchmark net of investment management fees.

Hedge Funds – Hedge Funds returned 2.04% for the quarter, lagging the benchmark return of 2.31%. Over the last year, Hedge Funds (7.95%) underperformed the benchmark (9.32%). The allocation trails its benchmark across long-term periods.  

Private Equity – Private Equity advanced 1.26% for the quarter and finished with a 4.99% return for the past year. Over longer periods, the allocation generated significant double-digit returns.
 

  • Investment gains totaled $567 million from the previous quarter end.
     
  • There were net withdrawals of $84.7 million for the second quarter.

 

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

 

Forest Preserve Fund Summary

Asset Allocation

The Forest Preserve Fund ended March 2024 with a market value of $204.2 million, a $6.7 million increase from the prior quarter ending value of $197.5 million.  Investment gains amounted to $9.7 million for the quarter.  Net cash outflows were $3.0 million. 

Performance

In the first quarter of 2024, the portfolio returned 5.01% net of fees (NOF), outperforming its benchmark return of 4.30% and ranking below the median return among peers.  Domestic equity had a strong absolute return but trailed its benchmark.  International equity had a strong return for the quarter and outperformed its benchmark return.  Fixed income declined in the quarter, and was behind the benchmark return.  Real estate outperformed its benchmark and was flat relative to the prior quarter.  Hedge funds underperformed the benchmark (HFRI FoF Index).

The following table shows asset class performance over trailing periods:

Domestic Equity – Domestic Equity returned 9.99% for the quarter and underperformed the benchmark return of 10.02%. Over the last year, Domestic Equity returned 28.18% and trailed the benchmark (29.29%). Domestic Equity has modestly underperformed over longer periods. 

International Equity – International Equity returned 5.50% for the quarter and outperformed the benchmark return of 4.69%. Over the last year, International Equity finished with a return of 15.13% and outperformed the benchmark (13.26%) Over longer periods, International Equity outperformed the benchmark with positive contributions from active managers.

Fixed Income – Fixed Income declined 0.75% in the quarter, narrowly behind the benchmark return of 0.68%. Over the last year, Fixed Income returned 1.65% and lagged the benchmark return (1.85%). The allocation has outperformed the benchmark over longer periods. 

Real Estate – Real Estate returned 0.00% for the quarter, ahead of the benchmark return of -2.58%. Over the last year, Real Estate declined 11.97% but fared slightly better than the benchmark, which was down 12.00%. Real Estate outperformed the benchmark over the trailing three- and five-year periods. 

Hedge Funds – Hedge Funds returned 2.36% in the quarter and led the absolute return benchmark of 2.31%. Over the last year, Hedge Funds returned 8.01% and trailed the target return (9.32%). The allocation trails its benchmark across long-term periods.

 

 

  • Investment gains totaled $9.7 million from the previous quarter end.
     
  • There were net withdrawals of $3.0 million in the quarter to fund benefit payments. 

 

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