BOSTON CHICAGO LONDON MIAMI NEW YORK PORTLAND SAN DIEGO MEKETA.COM Quarterly Performance Report
as of March 31, 2023
Oakland Police and Fire Retirement System
Oakland Police and Fire Retirement System
Table of Contents
Agenda
1. Executive Summary
2. Economic and Market Update
as of
March
31, 202
3 3.
Quarterly
Performance as of
March
31 , 202
3 4.
Manager Monitoring / Probation
Status
5. Disclaimer, Glossary, and Notes
Executive
Summary
Oakland Police and Fire Retirement System
Executive
Summary | As of
March
31, 202
3 Total Portfolio
Review
The
Oakland Police and Fire Retirement System (OPFRS)
finished
the
quarter
with a market
value of
$
411.2
million
.
→
This represents a $
18. 1
million
capital ap
preciation
after $
5. 4
million in net outflows over the quarter.
→
Over the past 12
-
months
, the OPFRS Total Portfolio faced a $
24. 8
million depreciation, after withdrawals totaling
$
13. 4
million for
net outflows including
benefit payments.
→
As of
03 /31/202
3 , all the asset
classes were within acceptable allocation ranges r
elative to policy targets
.
1 Investment Performance
→
During the most recent quarter, the OPFRS portfolio generated an absolute
return
of
4 .
5 %, gross of fees,
underperforming its policy benchmark
2 by (
-
0. 6
%).
→
The portfolio
underperformed
the benchmark
slightly
over the trailing 1
-
year period while outperforming
it
over
the 3
-
year period
.
Over the longer 5
-
year trailing period, the portfolio matched with the Policy Benchmark.
Quarter
F
YTD
1 Year
3 Year
5 Year
Total Portfolio (Gross)
4. 5
5. 3
(
-
5 .5
)
9.9 5
.3
Policy Benchmark
5 .
1 6
.
3 (
-
5 .
4 )
8 .
6 5
.
3 Excess Return
(
-
0. 6
)
(
-
1. 0
)
(
-
0 .1)
1.3 0.
0 Reference: Total Portfolio (Net)
3 4.5
5.1 (
-
5 .
7 )
9 .
6 5
.0
1 A
sset allocation as of
03 /
31 /
202
3 . Target weightings reflect the interim phase (where Crisis Risk Offset component is set to 10%) of the Plan’s previously app roved asset allocation (effective 5/31/2017).
2 Evolving Policy Benchmark consists of 40% Russell 3
000, 12% MSCI ACWI ex U.S., 33% Bloomberg Universal, 5% CBOE BXM, 6.7% SG Multi Asset Risk Premia, 3.3% Bloomberg Long Treasu ry from 1/1/2019 through 5/31/2022; and 40%
Russell
3000 / 12% MSCI ACWI ex USA / 31% Bloomberg US Universal TR / 5% CBOE BXM / 10%
SG Multi Alternative Risk Premia Index / 2% Bloomberg US High Yield thereafter.
3 Longer
-
term (>1 year) Net of fee returns include estimates based on OPFRS manager fee schedule (approximately 34 bps).
Fiscal year beings on July 01.
Peer
Comparison
→
In comparison to its
peer group
1 , the portfolio has
outperformed
the median fund’s return over the quarter
while
lagging in the trailing
1 -
, 3
-
, and 5
-
year periods.
→
Similarly, in the most recent quarter, OPFRS ranks in the 25 th
percentile; over the longer periods, it falls in the
third quartile in the universe of Public Defined Benefit Plans with $250 million to $1 billion in assets.
Quarter
F
YTD
1 Year
3 Year
5 Year
Total Portfolio (Gross)
4. 5
5. 3
(
-
5.5)
9.9 5.3
Peer
Group
Median Fund
Return
4.1 5.5
(
-
4.9 )
11.0 6.0
OPFRS
v
s. Peer Median Fund
0. 4
(
-
0. 2
)
(
-
0.6 )
(
-
1. 1
)
(
-
0. 7
)
Percentile Rank
25 63
71 73
67 Reference: Total Portfolio (Net)
2 4.5
5.1 (
-
5.7)
9.6 5.0
1 Source: Investment Metrics peer universe
, Public Defined Benefit plans with $250 million to $1 billion in assets as of
03 /3
1 /202
3 .
2 Longer
-
term (>1 year) Net of fee returns include estimates based on OPFRS manager fee schedule (approximately 34 bps).
Oakland Police and Fire Retirement System
Executive
Summary | As of
March
31, 2023
Total Portfolio Review (
c
ontinued)
Oakland Police and Fire Retirement System
Executive
Summary | As of
March
31, 202
3 Asset Class &
Manager
Highlights
→
Domestic
equity
under
performed the Russell 3000 Index
over the quarter and in the 5
-
year period
.
All the
active
managers,
except
Wellington Select Quality
, outperformed their respective benchmarks in the quarter as well as almost all other available time periods
.
1 →
International equity
outperformed the MSCI ACWI ex US Index for all time periods measured.
The Plan’s active
international equity manager,
SGA MSCI ACWI ex US
, outperformed its benchmark
over the quarter and the
1 -
year period, while slightly underperformi
ng in the 3
-
year trailing period
.
1 The passive
Vanguard
posted
small
variation
1 from the tracked benchmark
over the
periods measured
.
→
Fixed income
outperformed
the Bloomberg Universal Index across all time periods
measured
.
The underlying
managers also outp
erformed their respective benchmarks in all time periods, except for Wellington
Core
Bond’s
underperformance over the 1
-
year trailing period.
→
The
Credit
segment, w
ith
Polen Capital
as
its only
manager,
outperformed
the asset class’s
benchmark,
Bloomberg US
High Yield Index,
in Q1, and over
the 1
-
and
3 -
year periods
,
while matching it over the 5
-
year period.
→
Covered Calls
and the active DeltaShift strategy out
performed
the
CBOE S&P 500 Buy
-
Write Index
across all
periods measured
.
The passive BXM strategy outperformed the Index in all periods except over the quarter.
→
The
Crisis Risk Offset
segment trailed its benchmark SG Multi Alternative Risk Premia Index across all
time
periods measured
. Please note that the segment’s current be
nchmark does not accurately reflect its
components; a recommendation for suitable modification is presented along with this report.
1 W
ellington Select Quality has less than 1
-
year of performance history and Brown Fundamental Small Cap Value has less than 3 -
year of performance history. SGA MSCI ACWI ex US and Vanguard Developed Markets ETF have less than 5 -
year of
performance history.
D
ue
to Vanguard’s fair
-
value pricing methodology
and timing of the international markets, the strategy’s returns may
deviate
from its tracked index
in the short
-
term
that are expected to equalize over the longer term.
Economic and Market Update
Data as of
March 31, 2023
Economic and Market Update
Commentary
→
It
was
a volatile quarter for most asset classes
driven by evolving monetary policy expectations and high -
profile
bank failures. Ultimately
,
investors remained focused on slowing inflation and potentially peaking rate hikes leading to positive results across mos
t asset classes for the quarter.
•
The Fed
’s
, and others
’
, quick response
s
to
pressures in
the banking sector brought confidence back to the
markets in March with the crisis
driving
the terminal policy rate
expectations lower.
•
US
equity
markets
(Russell 30
00)
rallied in March
(+2.7%)
finishing the first quarter in
strongly
positive
territory
(+7.2%). Growth significantly outperformed value for the quarter ,
driven by the technology sector.
•
Non
-
US d
eveloped equity markets (
MSCI
EAFE
+
2.5%)
also
posted
positive returns in Marc
h
.
They
returned
8.5% for the
quarter
,
finishing
ahead of US equities.
•
Emerging
market
equitie
s had positive returns for the month
(
+
3.0 %)
supported by
Chinese equities (
+
4.5%)
and a weaker US dollar
.
They trailed developed market e
quities for the quarter partly due to
higher
US
-
China
tensions.
•
On expectations for
lower inflation
and concerns over the banking sector
, b
onds
rallied in March
,
with the
broad US
bond
market (Bloomberg Aggregate)
r
i
s
ing
2. 5
%
.
For the quarter
,
the broad US bond market was
up
3.0%.
→
This year
, the path of inflation and
monetary policy
,
slowing
global
growth
, and
t
he
war
in
Ukraine
, as well as
recent pressures in
small
-
and medium
-
sized regional banks in the US
,
will
all
be key.
Economic and Market Update
Index Returns
1 Q
1 2023
→
Despite volatility during the quarter, p
ublic markets
,
except
commodities,
finished the first quarter of 2023 in
positive territory
adding to the
strong
gains from the
fourth quarter
of last year.
1 Source: Bloomberg and
FactSet.
Data is as of
March 31
, 2023
.
8.5%
7.5%
7.3%
7.2%
5.2%
4.0%
3.6%
3.3%
3.0%
2.7%
2.7%
2.2%
-
5.4%
MSCI EAFE
S&P 500
MSCI ACWI
Russell 3000
JPM GBI-EM Global Diversified
MSCI Emerging Markets
Bloomberg High Yield
Bloomberg US TIPS
Bloomberg Aggregate
Russell 2000
FTSE NAREIT Equity
Bloomberg Short-Term TIPS
Bloomberg Commodity Index
Economic and Market Update
Domestic Equity
Returns
1 Domestic
Equity
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
3.7 7.5
-
7.7 18.6
11.2 12.2
Russell 3000
2.7 7.2
-
8.6 18.5
10.4 11.7
Russell 1000
3.2 7.5
-
8.4 18.6
10.9 12.0
Russell 1000 Growth
6.8 14.4
-
10.9 18.6
13.6 14.6
Russell 1000
Value
-
0.5 1.0
-
5.9 17.9
7.5 9.1
Russell MidCap
-
1.5 4.1
-
8.8 19.2
8.0 10.0
Russell MidCap Growth
1.4 9.1
-
8.5 15.2
9.1 11.2
Russell MidCap Value
-
3.1 1.3
-
9.2 20.7
6.5 8.8
Russell 2000
-
4.8 2.7
-
11.6 17.5
4.7 8.0
Russell 2000 Growth
-
2.5 6.1
-
10.6 13.4
4.3 8.5
Russell 2000 Value
-
7.2 -
0.7 -
13.0 21.0
4.5 7.2
US Equit
ies
:
Russell 3000 Index
rose 2.7
% in
March
and 7.2% in Q1
.
→
US stocks rose in aggregate
for the month and quarter
as investors were optimistic that the Federal Reserve
may
end
its policy tightening earlier than expected. However, turmoil in the regional banking industry weighed on segments of the market.
→
The small cap and value indices were more exposed to the bankin g turmoil and underperformed their
broad
market
indices
by
significant margins.
→
Large cap stocks were driven higher by the continued strength of the technology and communication services sectors. This same dynamic
contributed
to the continued outperforman
ce of growth stocks against their value
counterparts
across the capitalization spectrum.
1 Source: Bloomberg. Data is as of
March 31
, 2023
.
Economic and Market Update
Foreign Equity
Returns
1 Foreign Equity
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
2.4 6.9
-
5.1 11.8
2.5 4.2
MSCI EAFE
2.5 8.5
-
1.4 13.0
3.6 5.0
MSCI EAFE (Local Currency)
0.5 7.5
3.8 14.6
6.3 7.3
MSCI EAFE Small Cap
-
0.2 4.9
-
9.8 12.1
0.9 5.8
MSCI Emerging Markets
3.0 4.0
-
10.7 7.8
-
0.9 2.0
MSCI Emerging Markets (Local Currency)
2.2 3.8
-
6.6 8.8
1.9 5.0
MSCI China
4.5 4.7
-
4.7 -
2.6 -
4.0 3.4
Foreign Equity:
Developed
i
nternational
equities
(
MSCI EAFE
)
rose
2. 5
%
in
March
and
8.5% for the quarter. E
m
erging
market
equitie
s
(MSCI EM)
rose
3.0 %
.
for the month and 4.0% in the first quarter.
→
Non
-
US equities also recovered in March with developed markets (MSCI EAFE) outpacing US equities (8.5%
versus 7.2%) for the quarter and emerging markets (MSCI Emerging Markets) trailing (4.0% versus 7.2%).
→
Dev
eloped market equities
also benefited from expectations that
monetary
policy may be peaking on declining
inflation.
The continued
weakness
in the US dollar also added to the quarterly results (+1%) for US investors.
→
Emerging market equities started t
he
yea
r with optimism over the reopening of China’s
economy,
but
the
escalation of US
-
China tensions
and the broader banking crisis led to weaker relative results compared to developed markets.
1 Source: Bloomberg. Data is as of
March 31
, 2023
.
Economic and Market Update
Fixed Income
Returns
1 Fixed Income
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Barclays Universal
2.3 2.9
-
4.6 -
2.0 1.0
1.6 4.8
6.3 Bloomberg Barclays Aggregate
2.5 3.0
-
4.8 -
2.8 0.9
1.4 4.4
6.5 Bloomberg Barclays US TIPS
2.9 3.3
-
6.1 1.8
2.9 1.5
4.1 7.0
Bloomberg Short
-
term T
IPS
1.9 2.2
-
0.3 3.5
3.0 1.5
4.6 2.5
Bloomberg Barclays High Yield
1.1 3.6
-
3.3 5.9
3.2 4.1
8.5 4.2
JPM GBI
-
EM Global Diversified (USD)
4.1 5.2
-
0.7 0.9
-
2.4 -
1.5 7.1
5.1 Fixed Income
:
The
Bloomberg
Universal
rose
2. 3
% in
March
and 2.9% in Q1
as global sovereign debt yields
fell
on
monetary policy expectations
.
→
Anecdotal reports
suggest
bouts of flight
-
to
-
quality flows during the peak of interest rate volatility connected to
the banking
sector
pushed
sovereign debt yield
s lower
. These concerns largely outweighed
continued inflation
concerns and caused investors to adjust their policy expectations.
→
The broad TIPS index outperformed the broad US bond market (Bloomberg Aggregate) in March and for the quarter
.
→
High yield
bonds had the weakest results in March
driven by
banking sector
weakness but
outperformed the
broad US bond market for the quarter.
1 Source: Bloomberg. JPM GBI
-
EM
data
is from
InvestorForce
. Data
is as
of
March 31
, 2023
.
The yield and duration data from Bloomberg is defined as the index’s yield to worst and modified duration
respectively
.
Economic and Market Update
Equity
and Fixed Income
Volatility
1 →
Volatility in equit
ies
(VIX)
remained subdued through the end of
March
as investors
continue
d
to anticipate the
end of the Fed’s policy tightening.
→
In comparison
,
t
he
bond market remains on edge with
the more policy sensitive MOVE (fixed
income
volatility)
remain
ing
well
above its
long
-
run average
.
During the quarter it hit the highest level since the Global
Financial
Crisis as the banking sector issues created uncertainty over how the Fed would balance fighting inflation and maintaining financial stability
.
1 Equity and Fixed Income Volatility
–
Source: Bloomberg. Implied volatility as measured using VIX Index for equity markets and the MOV E Index to measure interest rate volatility for fixed income markets. Data is as of
March
2023.
The average line
indicated is the average of the VIX and MOVE values between January 2000 and March
2023.
Economic and Market Update
E
quity Cyclic
ally Adjusted P/E
Ratios
1 →
After its dramatic decline last year t
he
US equity price
-
to
-
earning
s
ratio
remains
above its long
-
run
(21
st
century)
average
.
→
I
nternational
dev
e
loped
market
valuations
are slightly
below
their
own
long
-
term average
,
with
those for
emerging
markets
the lowest and
well
under
the
long
-
term average.
1 US Equity Cyclically Adjusted P/E on S&P 500 Index
.
Source: Robert Shiller, Yale University, and Meketa Investment Group. Developed and Emerging Market Equity (MSCI EAFE and EM Index) Cyclically Adjusted P/E
–
Source: MSCI and
Bloomberg
.
Earnings figures represent the average of monthly “as reported” earn ings over the previous ten years. Data is as of
March
2023
.
The average line is the
long
-
term
average of the US, EM, and EAFE PE values from
December 1999
to
the recent
month
-
end respectively.
Economic and Market Update
US Yield Curve
1 →
It was a volatile quarter for interest rates, particularly shorter -
dated maturities.
Except for
the shortest maturities
,
rates largely declined across the yield curve in the first quarter on
expectations of peaking policy.
→
After hitting
-
1.07% in early Ma
rch, t
he yield spread between two
-
year and ten
-
year Treasuries
finished the
quarter at
-
0.5 5
%
as policy
-
sensitive rates at the front
-
end of the curve declined faster than longer maturities.
The more closely watched measure by the Fed of three
-
month and ten
-
year Treasuries also remained inverted.
Inversions in the yield curve have often preceded recessions.
→
The Fed remain
ed
committed to fighting inflation
,
despite pressures in the banking sector,
raising
rates
another
25 basis points to a range of
4.75 %
to
5 .0
%
at its
March
meeting
.
1 Source: Bloomberg
.
Data is as of
March 31
, 2023
.
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2021
12/30/2022
3/31/2023
Economic and Market Update
Ten
-
Year Breakeven Inflation
and CPI
1 →
Inflation continued to decline in
March
with the year
-
over
-
year reading falling from 6.
0 % to
5.0%
and
coming in
slightly below
the 5.1%
expectations
.
The rate of price increases
also
slowed
on a month
-
over
-
month
basis
(0.1%
versus
0.4%)
, with
food prices only slightly higher and energy prices
declining
.
→
Core inflation
–
excluding food and energy
-
rose
(
5. 6
% versus
5. 5
%)
mostly
driven by
transportation and
housing
.
→
Inflation expectations (
breakevens
)
were volatile over the month and declined
on net, but nonetheless ended the
month
at
2.3%
(
roughly where it started the quarter
)
.
1 Source: Bloomberg. Data is as of
March 31
,
2023
.
The CPI and 10
Year Breakeven average lines denote the average values from August 1998 to the present month -
end
,
respectively
.
Breakeven values
represent
month
-
end values for comparative
purposes.
Economic and Market Update
Credit Spreads vs. US Treasury Bonds
1 →
Spreads
(the added yield above a comparable maturity Treasury)
experience
d
a
significant spike in March
during the banking crisis but subsequently declined as the Fed and others stepped in to provide support.
→
High yield
spreads
rose
from 4.
1 %
to
a peak of 5.2% in March before finishing the quarter at
4. 5
%
(lower than the
start of the quarter by 0.2%). I
nvestment grade spreads
also spiked in March (1.2% to 1.6%) but also fell from their peak
to
1.4%.
Emerging market spreads
finished the quarter at
3.6% experiencing the largest decline (
-
0.9%
)
.
1 Sources: Bloomberg.
Data is as
of
March 31
, 2023
.
Average lines denote the average of the investment grade, high yield, and emerging market spread values from August 2000 to t he
recent
month
-
end
,
respectively
.
Economic and Market Update
Global
Real
Gross Domestic Product (GDP)
Growth
1 →
Global economies are expected to
slow in 202
3 compared to
202
2 ,
with
risks
of recession increasing given
persistently high inflation and related
tighter monetary policy
.
→
T
he
delicate balancing act of central banks trying to reduce inflation without dramatically impacting growth will remain key.
1 Source:
Oxford Economics (World GDP, US$ p
rices & PPP exchange rate,
real
, % change YoY). Updated
March
2023
.
-10%
-5%
0%
5%
10%
15%
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020
2022
2024
Projected
Global
Growth
Economic and Market Update
Central Bank
Response
1 Policy Rates
Balance Sheet as % of GDP
→
In 2022
,
many
central banks
aggressively
reduc
ed pandemic
-
era policy
support
in the face of high
inflation
with
the US tak
ing
the most
aggressive approach.
Slowing inflation and
recent
signs of instability in the banking sector
have led to expectations
for the slowing of policy tightening going forward.
→
In March
,
the Fed, FDIC, and Treasury provided deposit guarantees after high profile bank failures revealed bank capital losses on US T
reasurys related to higher interest rates and
lax
risk management.
→
Chin
a
’s
central bank is
one notable exception. They are
expected to maintain
an
accommodative monetary
stance
to support the economy. They
cut
bank reserves
requirements to
improve bank liq
uidity
and banks have
also
securitized over $390 billion
in
non
-
performing
loans to
improve loan quality ratios.
→
Looking ahead the risk remains for a policy error as central banks attempt
to balance
bringing down inflation,
maintaining financial stability
, and growth.
1 Source: Bloomberg
.
Policy rate data
is as of
March 31
, 2023
.
China policy rate is defined as the
medium
-
term lending facility 1 year interest rate.
Balance sheet as % of GDP is
based on quarterly data
and
is
as of
December 31
, 202
2 .
Economic and Market Update
Inflation (CPI Trailing Twelve
Months
)
1 →
I
nflation
increased dramatically
from the lows of the pandemic
, particularly in the US
and Eurozone
where it
reached
levels not seen in
many
decades
.
→
Inflation pressures
are slowly declining
i
n the
US
as supply issues ease
,
but they remain elevated, while in Europe
they have
also started to fall
as energy prices have eased
.
→
Lingering s
upply
issues related to the pandemic
,
record monetary and fiscal stimulus,
strict COVID
-
1 9 restrictions
in
China,
and higher
commodit
y
prices driven by the
war in
Ukraine
have been key
global
drivers of
inflation.
1 Source:
Bloomberg
.
Data is as
March 31,
2023
.
The most recent Japanese inflation data
is as of
February
2023
.
Economic and Market Update
Unemployment
1 →
Labor markets have significantly improved from the pandemic as economies have largely reopened.
→
Despite
slowing growth and high inflation
,
the US labor market remains a
particular
bright spot
.
U
nemployment
in the
US
,
which
experienced
the steepest
rise,
recently
has returned to pre
-
pandemic levels
.
Broader measures
of unemployment (U
-
6) remain higher at
6. 7
% but have also declined dramatically from their peak.
→
The strong labor market and higher wages, although beneficial for workers, motivates
the Fed’s efforts to fight
inflation
,
likely leading to h
igher unemployment.
1 Source: Bloomberg
. Data is
as
March 31
,
2023
, for the US
.
The most recent data for
Eurozone
and Japanese unemployment is as
of
February
202
3 .
Economic and Market Update
US Dollar versus Broad Currencies
1 →
The dollar finished 2022 much higher than it started, due to the increased pace of policy tightening, stronger relative growth, and safe
-
haven flows. Late last year and into early this year, the d ollar experienced some
weakness though as investors anticipated the end of Fed tightening.
→
Overall, t
he US dollar
depreciated
in
March
and finished the quarter slightly lower than where it started as
weaker
economic data and bank
turmoil dr
ove
interest rates
lower
in the US.
→
This year
, the track of inflation across economies and the corresponding monetary polic ies
will likely be key
drivers of currency moves.
1 Source: Bloomberg
.
Data as of
March 31
,
2023
.
Economic and Market Update
Summary
Key
T
rends
:
→
The impacts of record high inflation will remain key
,
with
market
volatility likely to
stay
high.
→
Recent issues related to the banking sector have created a delicate balance for central b anks to continue to fight
inflation
but also try to maintain financial stability.
→
Global m
onetary polic
ies
could diverge in 2023 with the Fed pausing and others continuing to tighten. The risk of policy errors
remains elevated given
persistent inflation pr
essures and a strong US labor market
.
→
G
rowth
is expected to
slow globally
this
year
,
with many economies
forecast
to tip
into
recession
. Inflation,
monetary policy, and the war will all be
key.
→
In the US
,
the
end of many fiscal programs is expected to put the burden of continued growth on consumers.
Costs for shelter, medical care, and education could continue to rise ,
keeping ‘sticky price’ inflation at elevated
levels.
→
The key
for US equities
going forward w
ill be whether earnings can remain resilient if growth continues to slow.
→
Outside the US, equity valuations remain lower in both emerging and developed markets, but risks remain ,
including
potential
continued strength in the US dollar, higher inflation par ticularly weighing on Europe, and
China
’s rushed exit from
COVID
-
19 restrictions
and
on
-
going
weakness in
the
real estate sector.
1 Q 202
3 Performance
as of
March 31, 2023
Oakland Police and Fire Retirement System Total Plan
OPFRS Total Plan | As of March 31, 2023
YTD Ending March 31, 2023
Total Return
Anlzd
Standard
Deviation
_
OPFRS Total Plan
4.5%
13.3%
OPFRS Policy Benchmark
5.1%
12.2%
1 Year Ending March 31, 2023
Anlzd Return
Anlzd
Standard
Deviation
_
OPFRS Total Plan
-5.5%
15.1%
OPFRS Policy Benchmark
-5.4%
15.4%
Summary of Cash Flows
Quarter-To-Date
One Year
_
Beginning Market Value
$398,501,201
$449,373,445
Net Cash Flow
-$5,442,419
-$13,425,368
Capital Appreciation
$18,123,266
-$24,766,028
Ending Market Value
$411,182,049
$411,182,049
_
Performance shown is Gross-of-Fees.
Market Value
($)
QTD
(%)
Fiscal YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
7 Yrs
(%)
10 Yrs
(%)
_
OPFRS Total Plan
411,182,049
4.5 5.3
-5.5
9.9 5.3
7.5 7.0
OPFRS Policy Benchmark
5.1 6.3
-5.4
8.6 5.3
7.1 6.7
Excess Return
-0.6
-1.0
-0.1
1.3 0.0
0.4 0.3
InvMetrics Public DB $250mm-$1B
Gross Median
4.1 5.5
-4.9
11.0 6.0
7.6 7.1
Domestic Equity
168,069,634
5.2 8.4
-7.2
18.6 9.5
11.7 11.5
Russell 3000 (Blend)
7.2 9.7
-8.6
18.5 10.4
12.0 11.7
Excess Return
-2.0
-1.3
1.4 0.1
-0.9
-0.3
-0.2
International Equity
54,140,952
8.7 13.2
-3.9
12.2 3.6
7.2 5.7
MSCI ACWI ex US (Blend)
6.9 10.0
-5.1
11.8 2.5
5.9 4.2
Excess Return
1.8 3.2
1.2 0.4
1.1 1.3
1.5 Fixed Income
105,026,387
3.4 0.7
-4.2
-0.6
1.4 1.8
1.9 Bloomberg Universal (Blend)
2.9 0.5
-4.6
-2.0
1.0 1.2
1.6 Excess Return
0.5 0.2
0.4 1.4
0.4 0.6
0.3 Credit
8,909,576
3.7 5.2
-3.1
10.4 3.2
6.3 --
Bloomberg US High Yield TR
3.6 7.2
-3.3
5.9 3.2
5.1 --
Excess Return
0.1 -2.0
0.2 4.5
0.0 1.2
Covered Calls
22,993,243
6.2 8.5
-4.7
16.6 9.1
9.7 --
CBOE S&P 500 BuyWrite USD
6.0 4.6
-6.9
12.3 4.4
5.9 --
Excess Return
0.2 3.9
2.2 4.3
4.7 3.8
Crisis Risk Offset
39,437,113
0.0 -4.7
-6.5
-8.7
-8.2
--
--
SG Multi Alternative Risk Premia
Index
1.1 3.6
6.4 2.1
--
--
--
Excess Return
-1.1
-8.3
-12.9
-10.8
Cash
12,605,144
0.0 0.0
0.0 0.0
1.0 1.0
0.7 FTSE T-Bill 3 Months TR
1.1 2.5
2.6 1.0
1.4 1.2
0.9 Excess Return
-1.1
-2.5
-2.6
-1.0
-0.4
-0.2
-0.2
XXXXX
Oakland Police and Fire Retirement System Total Plan
Asset Class Performance (gross of fees) | As of March 31, 2023 Performance shown is gross-of-fees. Fiscal year begins on July 1.
QTD
(%)
Fiscal
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
2018
(%)
2019
(%)
2020
(%)
2021
(%)
2022
(%)
_
OPFRS Total Plan
4.5 5.3
-5.5
9.9 5.3
-4.8
21.1 9.7
14.1 -14.5
OPFRS Policy Benchmark
5.1 6.3
-5.4
8.6 5.3
-5.0
19.6 12.1
11.8 -14.5
InvMetrics Public DB $250mm-$1B Gross Median
4.1 5.5
-4.9
11.0 6.0
-4.1
18.6 13.1
13.6 -13.4
XXXXX
Oakland Police and Fire Retirement System Total Plan
Portfolio Relative Performance Results | As of March 31, 2023 Fiscal year begins on July 1.
Asset Allocation vs. Target
As Of March 31, 2023
Current
%
Policy
Difference*
_
Domestic Equity
$168,069,634
40.9%
40.0%
0.9%
International Equity
$54,140,952
13.2%
12.0%
1.2%
Fixed Income
$105,026,387
25.5%
31.0%
-5.5%
Covered Calls
$22,993,243
5.6%
5.0%
0.6%
Credit
$8,909,576
2.2%
2.0%
0.2%
Crisis Risk Offset
$39,437,113
9.6%
10.0%
-0.4%
Cash
$12,605,144
3.1%
0.0%
3.1%
Total
$411,182,049
100.0%
100.0%
Oakland Police and Fire Retirement System Total Plan
Asset Allocation | As of March 31, 2023
Target weightings reflect the Plan's evolving asset allocation (effective 5/31/2017.) Cash account market value includes cash balances held in ETF accounts at the custodian and risiduals from terminated managers.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Domestic Equity
168,069,634
100.0
5.2 -7.2
18.6 9.5
8.7 Jun-97
Russell 3000 (Blend)
7.2 -8.6
18.5 10.4
8.9 Jun-97
Excess Return
-2.0
1.4 0.1
-0.9
-0.2
Northern Trust Russell 1000
74,942,881
44.6 7.5
-8.7
18.4 10.8
12.9 Jun-10
Russell 1000
7.5 -8.4
18.6 10.9
13.0 Jun-10
Excess Return
0.0 -0.3
-0.2
-0.1
-0.1
EARNEST Partners
45,658,799
27.2 4.7
-6.0
20.9 11.0
10.1 Apr-06
Russell MidCap
4.1 -8.8
19.2 8.1
8.4 Apr-06
Excess Return
0.6 2.8
1.7 2.9
1.7 eV US Mid Cap Core Equity Gross Rank
50 62
39 17
34 Apr-06
Wellington Select Quality Equity
22,362,811
13.3 0.7
--
--
--
1.6 May-22
Russell 1000
7.5 --
--
--
0.6 May-22
Excess Return
-6.8
1.0 eV US Large Cap Core Equity Gross Rank
94 --
--
--
46 May-22
Brown Fundamental Small Cap Value
10,865,239
6.5 -0.3
-2.3
--
--
1.4 Apr-21
Russell 2000 Value
-0.7
-13.0
--
--
-5.2
Apr-21
Excess Return
0.4 10.7
6.6 eV US Small Cap Value Equity Gross Rank
86 24
--
--
32 Apr-21
Rice Hall James
14,239,905
8.5 7.1
-7.7
18.6 4.2
7.1 Jul-17
Russell 2000 Growth
6.1 -10.6
13.4 4.3
6.0 Jul-17
Excess Return
1.0 2.9
5.2 -0.1
1.1 eV US Small Cap Growth Equity Gross Rank
51 28
38 95
90 Jul-17
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
International Equity
54,140,952
100.0
8.7 -3.9
12.2 3.6
5.3 Jan-98
MSCI ACWI ex US (Blend)
6.9 -5.1
11.8 2.5
5.0 Jan-98
Excess Return
1.8 1.2
0.4 1.1
0.3 Vanguard Developed Markets ETF
15,125,852
27.9 8.0
-3.0
13.8 --
6.5 Sep-19
FTSE Developed All Cap Ex US TR USD
7.7 -3.8
13.9 --
6.6 Sep-19
Excess Return
0.3 0.8
-0.1
-0.1
SGA ACWI ex-U.S. Equity
39,015,100
72.1 9.0
-4.3
11.7 --
3.0 Dec-19
MSCI ACWI ex USA
6.9 -5.1
11.8 --
3.4 Dec-19
Excess Return
2.1 0.8
-0.1
-0.4
eV ACWI ex-US All Cap Core Eq Gross Rank
22 57
80 --
92 Dec-19
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Fixed Income
105,026,387
100.0
3.4 -4.2
-0.6
1.4 4.8
Dec-93
Bloomberg Universal (Blend)
2.9 -4.6
-2.0
1.0 4.6
Dec-93
Excess Return
0.5 0.4
1.4 0.4
0.2 Ramirez
71,307,125
67.9 3.3
-4.3
-0.6
1.3 1.7
Jan-17
Bloomberg US Aggregate TR
3.0 -4.8
-2.8
0.9 1.0
Jan-17
Excess Return
0.3 0.5
2.2 0.4
0.7 eV US Core Fixed Inc Gross Rank
24 36
12 67
34 Jan-17
Wellington Core Bond
6,763,874
6.4 3.6
-5.3
--
--
-4.9
Apr-21
Bloomberg US Aggregate TR
3.0 -4.8
--
--
-4.5
Apr-21
Excess Return
0.6 -0.5
-0.4
eV US Core Fixed Inc Gross Rank
5 89
--
--
98 Apr-21
Reams
26,955,387
25.7 3.7
-3.5
0.6 3.7
5.2 Feb-98
Bloomberg Universal (Blend)
2.9 -4.6
-2.0
1.0 4.2
Feb-98
Excess Return
0.8 1.1
2.6 2.7
1.0 eV US Core Plus Fixed Inc Gross Rank
15 15
25 2
39 Feb-98
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Credit
8,909,576
100.0
3.7 -3.1
10.4 3.2
5.0 Feb-15
Bloomberg US High Yield TR
3.6 -3.3
5.9 3.2
4.1 Feb-15
Excess Return
0.1 0.2
4.5 0.0
0.9 Polen Capital
8,909,576
100.0
3.7 -3.1
10.4 3.2
5.0 Feb-15
ICE BofA High Yield Master TR
3.7 -3.6
5.8 3.1
4.0 Feb-15
Excess Return
0.0 0.5
4.6 0.1
1.0 eV US High Yield Fixed Inc Gross Rank
32 65
4 75
14 Feb-15
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Performance shown is gross-of-fees.
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Covered Calls
22,993,243
100.0
6.2 -4.7
16.6 9.1
8.6 Apr-14
CBOE S&P 500 BuyWrite USD
6.0 -6.9
12.3 4.4
5.4 Apr-14
Excess Return
0.2 2.2
4.3 4.7
3.2 Parametric BXM
11,572,026
50.3 5.2
-3.4
13.4 6.8
6.8 Apr-14
CBOE S&P 500 BuyWrite USD
6.0 -6.9
12.3 4.4
5.4 Apr-14
Excess Return
-0.8
3.5 1.1
2.4 1.4
Parametric DeltaShift
11,421,217
49.7 7.2
-5.9
19.3 11.1
10.6 Apr-14
CBOE S&P 500 BuyWrite USD
6.0 -6.9
12.3 4.4
5.4 Apr-14
Excess Return
1.2 1.0
7.0 6.7
5.2 eV US Large Cap Core Equity Gross Rank
28 44
29 40
61 Apr-14
XXXXX
Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Crisis Risk Offset
39,437,113
100.0
0.0 -6.5
-8.7
-8.2
-8.8
Aug-18
SG Multi Alternative Risk Premia Index
1.1 6.4
2.1 --
-0.2
Aug-18
Excess Return
-1.1
-12.9
-10.8
-8.6
Versor Trend Following
14,592,261
37.0 -8.7
-2.7
--
--
-2.7
Apr-22
SG Trend Index
-7.3
7.2 --
--
7.2 Apr-22
Excess Return
-1.4
-9.9
-9.9
Vanguard Long-Term Treasury ETF
14,571,848
36.9 6.8
-16.3
-11.5
--
-3.6
Jul-19
Bloomberg US Govt Long TR
6.2 -15.9
-11.3
--
-3.6
Jul-19
Excess Return
0.6 -0.4
-0.2
0.0 Kepos Alternative Risk Premia
10,273,004
26.0 4.6
5.8 --
--
3.1 Feb-22
SG Multi Alternative Risk Premia Index
1.1 6.4
--
--
4.3 Feb-22
Excess Return
3.5 -0.6
-1.2
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of March 31, 2023 Performance shown is gross-of-fees.
Oakland Police and Fire Retirement System Total Plan
Total Portfolio 5-Year Performance | As of March 31, 2023 The actuarial expected rate of return was 8% through 6/30/2009, 7.5% through 6/30/2010, 7% through 6/30/2011, 6.75% through 6/30/2014, 6.5% through 2/31/2017 and 6.0% currently Performance shown is gross-of-fees.
Oakland Police and Fire Retirement System Total Plan
Plan Sponsor Peer Group Analysis | As of March 31, 2023 Fiscal year begins on July 1.
Oakland Police and Fire Retirement System Total Plan
Domestic Equity | As of March 31, 2023
Oakland Police and Fire Retirement System Total Plan
Northern Trust Russell 1000 | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Northern Trust Russell 1000
12.9%
15.0%
0.0%
1.0 -0.6
0.2%
98.5%
100.0%
Russell 1000
13.0%
15.0%
0.0%
1.0 --
0.0%
100.0%
100.0%
XXXXX
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
EARNEST Partners | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
EARNEST Partners
9.1%
17.9%
0.1%
1.0 0.2
3.6%
94.2%
99.3%
Russell MidCap
8.4%
18.0%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Rice Hall James | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Rice Hall James
6.3%
22.3%
0.1%
0.9 0.0
7.8%
83.3%
94.8%
Russell 2000 Growth
6.0%
23.0%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Brown Fundamental Small Cap Value | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Brown Fundamental Small Cap Value
0.5%
20.0%
0.4%
0.9 1.2
4.8%
104.3%
88.6%
Russell 2000 Value
-5.2%
21.0%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Wellington Select Quality Equity | As of March 31, 2023 Performance shown is net-of-fees and since inception. Annualized Return is not available for managers without a history longer than one year.
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Wellington Select Quality Equity
1.6%
18.0%
0.1%
0.7 0.1
10.2%
69.7%
72.4%
Russell 1000
0.6%
23.1%
0.0%
1.0 --
0.0%
100.0%
100.0%
Oakland Police and Fire Retirement System Total Plan
International Equity | As of March 31, 2023
Oakland Police and Fire Retirement System Total Plan
Vanguard Developed Markets ETF | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Vanguard Developed Markets ETF
6.5%
20.0%
0.0%
1.0 -0.1
2.6%
104.2%
102.3%
FTSE Developed All Cap Ex US TR USD
6.6%
19.7%
0.0%
1.0 --
0.0%
100.0%
100.0%
XXXXX
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
SGA ACWI ex-U.S. Equity | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
SGA ACWI ex-U.S. Equity
2.3%
18.8%
-0.1%
1.0 -0.3
3.5%
92.2%
99.1%
MSCI ACWI ex USA
3.4%
19.3%
0.0%
1.0 --
0.0%
100.0%
100.0%
XXXXX
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Fixed Income | As of March 31, 2023
Fixed Income Fixed Income Characteristics
vs. Bloomberg US Universal TR
Portfolio
Index
Q1-23
Q1-23
Fixed Income Characteristics
Yield to Maturity
4.94 5.10
Average Duration
6.18 6.25
Average Quality
AA
AA
Weighted Average Maturity
9.19 12.25
Oakland Police and Fire Retirement System Total Plan
Ramirez | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Ramirez
1.4%
5.6%
0.0%
1.0 0.1
2.6%
113.1%
105.1%
Bloomberg US Aggregate TR
1.0%
5.0%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Reams | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Reams
5.0%
5.6%
0.0%
1.1 0.2
3.8%
124.9%
100.1%
Bloomberg Universal (Blend)
4.2%
3.9%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Wellington Core Bond | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Wellington Core Bond
-5.0%
7.9%
0.0%
1.1 -0.6
0.9%
105.7%
107.1%
Bloomberg US Aggregate TR
-4.5%
7.3%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Polen Capital | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Polen Capital
4.3%
7.9%
0.1%
0.8 0.1
4.3%
76.0%
77.1%
ICE BofA High Yield Master TR
4.0%
8.1%
0.0%
1.0 --
0.0%
100.0%
100.0%
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
Covered Calls | As of March 31, 2023
Performance shown is net-of-fees and since inception.
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Covered Calls
8.3%
11.8%
0.2%
1.0 0.7
4.1%
145.8%
103.0%
CBOE S&P 500 BuyWrite USD
5.4%
10.8%
0.0%
1.0 --
0.0%
100.0%
100.0%
Parametric BXM
6.6%
9.7%
0.2%
0.9 0.4
3.3%
96.3%
91.6%
CBOE S&P 500 BuyWrite USD
5.4%
10.8%
0.0%
1.0 --
0.0%
100.0%
100.0%
Parametric DeltaShift
10.2%
14.1%
0.3%
1.2 0.8
6.2%
210.3%
111.4%
CBOE S&P 500 BuyWrite USD
5.4%
10.8%
0.0%
1.0 --
0.0%
100.0%
100.0%
Oakland Police and Fire Retirement System Total Plan
Crisis Risk Offset | As of March 31, 2023
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Crisis Risk Offset
-10.20%
11.26%
-0.82%
0.56 -0.88
11.07%
-30.22%
98.01%
SG Multi Alternative Risk Premia Index
-0.49%
5.93%
0.00%
1.00 --
0.00%
100.00%
100.00%
Kepos Alternative Risk Premia
--
--
--
--
--
--
--
--
SG Multi Alternative Risk Premia Index
-0.49%
5.93%
0.00%
1.00 --
0.00%
100.00%
100.00%
Versor Trend Following
--
--
--
--
--
--
--
--
SG Trend Index
11.16%
13.27%
0.00%
1.00 --
0.00%
100.00%
100.00%
Vanguard Long-Term Treasury ETF
-3.63%
15.13%
0.00%
1.02 -0.04
1.19%
102.56%
101.12%
Bloomberg US Govt Long TR
-3.58%
14.86%
0.00%
1.00 --
0.00%
100.00%
100.00%
XXXXX
Performance shown is net-of-fees and since inception.
Oakland Police and Fire Retirement System Total Plan
OPFRS Total Plan | As of March 31, 2023
Benchmark History
As of March 31, 2023
_
OPFRS Total Plan
6/1/2022
Present
40% Russell 3000 / 12% MSCI ACWI ex USA / 31% Bloomberg US Universal TR / 5% CBOE BXM / 10% SG Multi Alternative Risk Premia Index / 2% Bloomberg US High Yield TR
1/1/2019
5/31/2022
40% Russell 3000 / 12% MSCI ACWI ex USA Gross / 33% Bloomberg US Universal TR / 5% CBOE BXM / 6.7% SG Multi Alternative Risk Premia Index / 3.3% Bloomberg US Treasury Long TR
5/1/2016
12/31/2018
48% Russell 3000 / 12% MSCI ACWI ex USA Gross / 20% Bloomberg US Universal TR / 20% CBOE BXM 10/1/2015
4/30/2016
43% Russell 3000 / 12% MSCI ACWI ex USA Gross / 20% Bloomberg US Universal TR / 15% CBOE BXM / 10% CPI - All Urban Consumers (unadjusted) +3%
1/1/2014
9/30/2015
48% Russell 3000 / 12% MSCI ACWI ex USA Gross / 20% Bloomberg US Universal TR / 10% CBOE BXM / 10% CPI - All Urban Consumers (unadjusted) +3%
3/1/2013
12/31/2013
40% Russell 3000 / 10% MSCI ACWI ex USA Gross / 17% Bloomberg US Universal TR / 33% ICE BofA 3M US Treasury TR USD 8/1/2012
2/28/2013
20% Russell 3000 / 7% MSCI ACWI ex USA Gross / 18% Bloomberg US Universal TR / 55% ICE BofA 3M US Treasury TR USD 10/1/2007
7/31/2012
53% Russell 3000 / 17% MSCI ACWI ex USA Gross / 30% Bloomberg US Universal TR 4/1/2006
9/30/2007
35% Russell 3000 / 15% MSCI ACWI ex USA Gross / 50% Bloomberg US Universal TR 1/1/2005
3/31/2006
35% Russell 3000 / 15% MSCI ACWI ex USA Gross / 50% Bloomberg US Aggregate TR 4/1/1998
12/31/2004
50% Bloomberg US Aggregate TR / 10% Russell 1000 / 20% Russell 1000 Value / 5% Russell MidCap / 15% MSCI EAFE 12/1/1988
3/31/1998
40% S&P 500 / 55% Bloomberg US Aggregate TR / 5% FTSE T-Bill 3 Months TR XXXXX
Oakland Police and Fire Retirement System Total Plan
OPFRS Total Plan | As of March 31, 2023
Benchmark History
As of March 31, 2023
_
Domestic Equity
1/1/2005
Present
Russell 3000
4/1/1998
12/31/2004
28.57% Russell 1000 / 57.14% Russell 1000 Value / 14.29% Russell MidCap 6/1/1997
3/31/1998
S&P 500
International Equity
1/1/2005
Present
MSCI ACWI ex USA
1/1/1998
12/31/2004
MSCI EAFE Gross
Fixed Income
4/1/2006
Present
Bloomberg US Universal TR
12/31/1993
3/31/2006
Bloomberg US Aggregate TR
Covered Calls
4/1/2014
Present
CBOE S&P 500 BuyWrite USD
Crisis Risk Offset
8/1/2018
Present
SG Multi Alternative Risk Premia Index
Cash
3/1/2011
Present
FTSE T-Bill 3 Months TR
XXXXX
Manager Monitoring / Probation Status
Oakland Police and Fire Retirement System
Manager Monitoring / Probation Lis
t
| As of
March
3 1
,
202
3 Manager
Monitoring/
Probation
Status
Return vs. Be
nchmark since Corrective Action
Investment
Performance Criteria
for
Manager Monitoring/Probation Status
Asset Class
Short
-
term
(R
olling 12 m
onths
)
Medium
-
term
(R
olling 36 m
on
th
s
)
Long
-
term
(60 + m
on
ths)
Active Domestic Equity
F
un
d return < bench
mark
return
by
3.5%
Annualized
F
un
d return < bench
mark
return by
1.75% for 6 consecutive months
VRR
3 < 0.97 for 6 consecutive months
Active International Equity
F
un
d return < bench
mark
return
by
4.5%
Annualized Fund
return < bench
mark
return by
2.0% for 6 consecutive months
VRR < 0.97 for 6 consecutive months
Passive International Equity
Tracking Error > 0.50%
Tracking Error > 0.45% for 6 consecutive
months
Annualized Fund
return < bench
mark
return by
0.4% for 6 consecutive months
Fixed Income
F
un
d return < bench
mark
return
by
1.5%
Annualized Fund
return < bench
mark
return by
1.0% for 6 consecutive months
VRR < 0.98 for 6 consecutive months
1 Annualized performance if over one year
. Performance shown is gross
-
of
-
fees.
2 Approximate date based on when the Board voted to either monitor a manager at a heightened level or place it on probation.
3 VRR (Value Relative Ratio) is calculated as manager
cumulative return/ benchmark return
.
Portfolio
Status
Concern
Triggering
the Watch Status
Months Since
Corrective Action
Performance
1 Since
Corrective Action
Peer Group
Percentile
Rank
Date of
Corrective Action
2 Rice Hall James
On Watch
Performance
/
Organization
4 5
7.6 7
0 5/29/2019
Russell 2000 Growth
5.9
Disclaimer, Glossary, and Notes
Disclaimer, Glossary, and Notes
WE HAVE PREPARED THIS REPORT (THIS “REPORT”) FOR THE SOLE BENEFIT OF THE INTENDED RECIPIENT (THE
“RECIPIENT”).
SIGNIFICANT EVENTS MAY OCCUR (OR HAVE OCCURRED) AFTER THE DATE OF
THIS REPORT AND THAT IT IS NOT OUR FUNCTION OR
RESPONSIBILITY TO UPDATE THIS REPORT. ANY OPINIONS OR RECOMMENDATIONS PRESENTED HEREIN REPRESENT OUR GOOD FAITH VIEWS AS OF THE DATE OF THIS REPORT AND ARE SUBJECT TO CHANGE AT ANY TIME. ALL INVESTMENTS INVO LVE RISK. THERE CAN BE NO
GUARANTEE THAT THE STRATEGIES, TACTICS, AND METHODS DISCUSSED HERE WILL BE SUCCESSFUL.
INFORMATION USED TO PREPARE THIS REPORT WAS OBTAINED FROM INVESTMENT MANAGERS, CUSTODIANS, AND OTHER EXTERNAL SOURCES. WHILE WE HAVE EXERCISE
D REASONABLE CARE IN PREPARING THIS REPORT, WE CANNOT GUARANTEE THE ACCURACY OF ALL SOURCE INFORMATION CONTAINED HEREIN.
CERTAIN INFORMATION CONTAINED IN THIS REPORT MAY CONSTITUTE “FORWARD -
LOOKING STATEMENTS,” WHICH CAN BE IDENTIFIED BY THE
USE OF TE
RMINOLOGY SUCH AS “MAY,” “WILL,” “SHOULD,” “EXPECT,” “AIM”, “ANTICIPATE,” “TARGET,” “PROJECT,” “ESTIMATE,” “INTEND,” “CONTINUE” OR “BELIEVE,” OR THE NEGATIVES THEREOF OR OTHER VARIATIONS THEREON OR COMPARA BLE TERMINOLOGY. ANY
FORWARD
-
LOOKING STATEMENTS, F
ORECASTS, PROJECTIONS, VALUATIONS, OR RESULTS IN THIS PRESENTATION ARE BASED UPON CURRENT ASSUMPTIONS. CHANGES TO ANY ASSUMPTIONS MAY HAVE A MATERIAL IMPACT ON FORWARD
-
LOOKING STATEMENTS, FORECASTS,
PROJECTIONS, VALUATIONS, OR RESULTS. ACTUAL RESULTS M
AY THEREFORE BE MATERIALLY DIFFERENT FROM ANY FORECASTS, PROJECTIONS, VALUATIONS, OR RESULTS IN THIS PRESENTATION.
PERFORMANCE DATA CONTAINED HEREIN REPRESENT PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Disclaimer, Glossary, and Notes
Credit Risk:
Refers to the risk that the issuer of a fixed income security may default (i.e., the issuer will be unable to make timely pri ncipal and/or interest payments on the
security.)
Duration:
Measure of the sensitivity of the price of a bond to a change in its yield to maturity. Duration summarizes, in a single num ber, the characteristics that cause bond prices to
change in response to a change in interest rates. For exa mple, the price of a bond with a duration of three years will rise by approximately 3% for each 1% decrease in its yield to m aturity.
Conversely, the price will decrease 3% for each 1% increase in the bond’s yield. Price changes for two different bonds c an be compared using duration. A bond with a duration of six years will exhibit twice the percentage price change of a bond with a three -
year duration. The actual calculation of a bond’s duration is somewhat complicated, but the idea behind the calculati on
is straightforward. The first step is to measure the time interval until receipt for each cash flow (coupon and principal pa yments) from a bond. The second step is to compute a weighted average of these time intervals. Each time interval is measured by the present value of that cash flow. This weighted average is the duration of the bond measured in years.
Information Ratio:
This statistic is a measure of the consistency of a portfolio’s performance relative to a benchmark. It is calculated by sub t
racting the benchmark return from the
portfolio return (excess return), and dividing the resulting excess return by the standard deviation (volatility) of this exc ess return. A positive information ratio indicates outperformance versus the benchmark, and
the higher the information ratio, the more consistent the outperformance.
Jensen’s Alpha:
A measure of the average return of a portfolio or investment in excess of what is predicted by its beta or “market” risk. Po rtfolio Return
-
[Risk Free Rate+Beta*(ma
rket
return
-
Risk Free Rate)].
Market Capitalization:
For a firm, market capitalization is the total market value of outstanding common stock. For a portfolio, market capitalizat ion is the sum of the capitalization of
each company weighted by the ratio of
holdings in that company to total portfolio holdings; thus it is a weighted -
average capitalization. Meketa
Investment Group considers the largest
65% of the broad domestic equity market as large capitalization, the next 25% of the market as medium capita lization, and the smallest 10% of stocks as small capitalization.
Market Weighted:
Stocks in many indices are weighted based on the total market capitalization of the issue. Thus, the individual returns of h igher market
-
capitalization issues will more
he
avily influence an index’s return than the returns of the smaller market -
capitalization issues in the index.
Maturity:
The date on which a loan, bond, mortgage, or other debt/security becomes due and is to be paid off.
Prepayment Risk:
The risk that prep
ayments will increase (homeowners will prepay all or part of their mortgage) when mortgage interest rates decline; hence, inv estors’ monies will be
returned to them in a lower interest rate environment. Also, the risk that prepayments will slow down when mortgage interest rates rise; hence, investors will not have as much money as previously anticipated in a higher interest rate environment. A prepayment is any payment in excess of the scheduled mortgag e payment.
Price
-
Book Value (P/B) Ratio:
The current
market price of a stock divided by its book value per share. Meketa Investment Group calculates P/B as the current price div ided by Compustat's
quarterly common equity. Common equity includes common stock, capital surplus, retained earnings, and treasur y stock adjusted for both common and nonredeemable preferred stock.
Similar to high P/E stocks, stocks with high P/B’s tend to be riskier investments.
Disclaimer, Glossary, and Notes
Price
-
Earnings (P/E) Ratio:
A stock’s market price divided by its current or estimated future earning s. Lower P/E ratios often characterize stocks in low growth or mature industries, stocks in groups that have fallen out of favor, or stocks of established blue chip companies with long records of stable earn ings and regular dividends. Sometimes a company
that has
good fundamentals may be viewed unfavorably by the market if it is an industry that is temporarily out of favor. Or a busine ss may have experienced financial problems causing investors to be skeptical about is future. Either of these situations
would result in lower relative P/E ratios. Some stocks exhibit above -
average sales and earnings growth or expectations for above average growth. Consequently, investors are willing to pay more for these companies’ earnings, which results in elevated P/E
ratios. In other words, investors will pay more for shares of companies whose profits, in their opinion, are expected to increase faster than average. Because future events are in no way
assured, high P/E stocks tend to be riskier and more volatile inve
stments. Meketa Investment Group calculates P/E as the current price divided by the I/B/E/S consensus of twelve -
month forecast earnings per share.
Quality Rating:
The rank assigned a security by such rating services as Fitch, Moody’s, and Standard & Poor’s. The rating may be determined by such factors as (1) the likelihood of
fulfillment of dividend, income, and principal payment of obligations; (2) the nature and provisions of the issue; and (3) the security’s relative position in the event of liquidation of the company. Bonds assigned the top four grades (AAA, AA, A, BBB) are considered investment grade because they are eligible bank
investments as determined by
the controller of the
currency.
Sharpe Ratio:
A commonly used measure of risk
-
adjusted return. It is calculated by subtracting the risk free return (usually three -
month Treasury bill) from the portfolio return and
dividing the resulting excess return by
the portfolio’s total risk level (standard deviation). The result is a measure of return per unit of total risk taken. The higher the Sharpe ratio, the
better the fund’s historical risk adjusted performance.
STIF Account:
Short
-
term investment fund at a
custodian bank that invests in cash
-
equivalent instruments. It is generally used to safely invest the excess cash held by portfolio managers.
Standard Deviation:
A measure of the total risk of an asset or a portfolio. Standard deviation measures the di spersion of a set of numbers around a central point (e.g., the average return).
If the standard deviation is small, the distribution is concentrated within a narrow range of values. For a normal distribut ion, about two thirds of the observations will fal
l within one standard
deviation of the mean, and 95% of the observations will fall within two standard deviations of the mean.
Style:
The description of the type of approach and strategy utilized by an investment manager to manage funds. For example, the
style for equities is determined by portfolio
characteristics such as price
-
to
-
book value, price
-
to
-
earnings ratio, and dividend yield. Equity styles include growth, value, and core.
Tracking Error:
A divergence between the price behavior of a position
or a portfolio and the price behavior of a benchmark, as defined by the difference in standard deviation.
Disclaimer, Glossary, and Notes
Yield to Maturity:
The yield, or return, provided by a bond to its maturity date; determined by a mathematical process, usually requiring the us e
of a “basis book.” For example, a 5% bond
pays $5 a year interest on each $100 par value. To figure its current yield, divide $5 by $95 —
the market price of the bond
—
and you get 5.26%. Assume that the same bond is due to mature in five years. On the mat
urity date, the issuer is pledged to pay $100 for the bond that can be bought now for $95. In other words, the bond is selli ng at a discount of 5% below par
value. To figure yield to maturity, a simple and approximate method is to divide 5% by the five y ears to maturity, which equals 1% pro rata yearly. Add that 1% to the 5.26% current yield, and the yield to maturity is roughly 6.26%.
5% (discount)
=
1% pro rata, plus
5.26% (current yield)
=
6.26% (yield to maturity)
5 (yrs. to maturity)
Yield to Worst:
The lowest potential yield that can be received
on a bond without the issuer actually defaulting. The yield to worst is calculated by making worst -
case scenario assumptions
on the issue by calculating the returns that would be received if provisions, including prepayment, call, or sinking fund, ar e us
ed by the issuer.
NCREIF
Property Index (NPI):
Measures unleveraged investment performance of a very large pool of individual commercial real estate properties acquir ed in the private market by
tax
-
exempt institutional investors for investment purposes on ly.
The NPI index is capitalization
-
weighted for a quarterly time series composite total rate of return.
NCREIF
Fund Index
-
Open End Diversified Core Equity (NFI
-
ODCE):
Measures the investment performance of 28 open
-
end commingled funds pursuing a core
investment strategy that
reflects funds' leverage and cash positions.
The NFI
-
ODCE index is equal
-
weighted and is reported gross and net of fees for a quarterly time series composite total rate of return.
Sources:
Investment Terminology
, International Fo
undation of Employee Benefit Plans, 1999.
The Handbook of Fixed Income Securities
, Fabozzi, Frank J., 1991
The Russell Indices
®
, TM, SM are trademarks/service marks of the Frank Russell Company.
Throughout this report, numbers may not sum due to rounding.
Returns for periods greater than one year are annualized throughout this report.
Values shown are in millions of dollars, unless noted otherwise.