BOSTON CHICAGO LONDON MIAMI NEW YORK PORTLAND SAN DIEGO MEKETA.COM Quarterly Performance Report
as of December 31, 2022
Oakland Police and Fire Retirement System
February 22, 2023
Oakland Police and Fire Retirement
System
Table of Contents
Agenda
1. Executive Summary
2. Economic and Market Update
as of December 31, 2022
3. 4
Q 202
2 Performance as of
December 31
, 202
2 4.
Manager Monitoring / Probation
Status
5. Disclaimer, Glossary, and Notes
Executive
Summary
Oakland Police and Fire Retirement System
Executive
Summary | As of December 31, 2022
Total Portfolio
Review
The
Oakland Police and Fire Retirement System (OPFRS) portfolio
finished the 2022 calendar year with a market
value of $398.4 million. This represents a $
21 .
2 million
capital ap
preciation in investment value
after $
5.2 million in
net outflows over the quarter. In the calendar year 2022, the OPFRS Total Portfolio faced a $
69.1 million depreciation,
after withdrawals totaling $
15.7 million for
net outflows including
benefit payments.
→
As of 12/31/2022, all the a
sset 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
5.6 %, gross of fees,
underperforming its policy benchmark
2 by (
-
0.4 %). It
kept pace with
the benchmark over the trailing 1
-
and 3
-
year
periods, though it has maintained a slight outperformance over the 5 -
year period.
Quarter
F
YTD
1 Year
3 Year
5 Year
Total Portfolio (Gross)
5.6 0.7
(
-
1 4.5
)
2.3 4.3
Policy Benchmark
6.0 1.1
(
-
14.5 )
2.3 4.0
Excess Return
(
-
0.4 )
(
-
0.4 )
0 0
0.1 Reference: Total Portfolio (Net)
3 5.5
0.6 (
-
1 4.7
)
2.0 4.0
1 A
sset allocation as of
12/
31 /
2022. Target weightings reflect the interim phase (where Crisis Risk Offset component is set to 10%) of the Plan’s previously
approved 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).
Oakland Police and Fire Retirement System
Executive
Summary | As of December 31, 2022
Total Portfolio Review (Continued)
The primary factors of the Total Plan’s underperformance against the Policy Benchmark during the quarter were the underperformance within the Crisis Risk Offset
segment
, which surpassed the positive contributions made by
the Domestic and International Equi
ty segments.
Peer Comparison
→
In comparison to its
peer group
1 , the portfolio has lagged the median fund’s return over the quarter as well as the 1
-
, 3
-
, and 5
-
year periods.
Quarter
F
YTD
1 Year
3 Year
5 Year
Total Portfolio (Gross)
5.6 0.7
(
-
1 4.5
)
2.3 4.3
Peer Group
Median Fund
5.8 1.2
(
-
1 3.4
)
4. 0
5.2 v
s. Peer Median Fund
(
-
0.2 )
(
-
0.5 )
(
-
1. 1
)
(
-
1.7 )
(
-
0.9 )
Reference: Total Portfolio (Net)
2 5.5
0.6 (
-
14.7)
2.0 4.0
1 Source: Investment Metrics peer universe
, Public Def
ined Benefit plans with $250 million to $1 billion in assets as of
12 /3
1 /2022.
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 December 31, 2022
Asset Class &
Manager
Highlights
→
Domestic equity
outperformed the Russell 3000 Index for all periods measured except for the longer 5 -
year
trailing period.
•
Among the active managers,
Earnest
Partners
and
Rice Hall James
trailed their respective benchmarks for
the quarter while maintaining outperformanc
e over the 1
-
year and longer periods.
Wellington Select Quality
and
Brown Advisory
both outperformed their benchmarks for all the available time periods. 1 →
International equity
outperformed the MSCI ACWI ex US Index for all time periods measured. Reflectin g the
positive market conditions during the fourth quarter, both managers —
one active and one passive
—
generated
double
-
digit positive absolute returns for the quarter.
•
The Plan’s active international equity manager,
SGA MSCI ACWI ex US
, outperformed its ben
chmark for all
time periods available.
1 •
The passive
Vanguard
posted underperformance over the 1
-
and 3
-
year periods, due to a large deviation from
its tracked index in December.
This is due to Vanguard’s fair
-
value pricing methodology, that may cause
devi
ations from its tracked index
that
are expected to equalize over the longer term.
1 Due to their recent inception, Wellington Select Quali ty 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.
Oakland Police and Fire Retirement System
Executive
Summary | As of December 31, 2022
Asset Class & Manager
Highlights
(Continued)
→
Fixed income
trailed the Bloomberg Universal Index over the quarter, while it outperformed the benchmark across all other time
periods. The managers’ quarterly relative performance is mixed.
•
Ramirez
underperformed,
Reams
outperformed, and
Wellington Core Bond
tracked their respective
benchmarks for the quarter.
Ramirez
and
Reams
, which have longer 3
-
and 5
-
year
performance history, both
maintained their outperformance over their respective benchmarks for these periods.
→
The
Credit
segment, w
ith
Polen Capital
as
its only
manager, underperformed the asset class’s
benchmark,
Bloomberg US High Yield Index, during the
quarter though it has maintained their excess return above their respective benchmarks over the 1
-
, 3
-
, and 5
-
year periods.
→
Covered Calls
and both of its underlying strategies out
performed its CBOE S&P 500 Buy
-
Write Index over the
quarter
and
the longer 3
-
and 5
-
year periods,
while trailing in the 1
-
year period
.
→
The
Crisis Risk Offset
segment trailed its benchmark SG Multi Alternative Risk Premia Index over the quarter as well as other time periods measured
.
•
Even though the portfolio has trailed across al
l time periods, as a long
-
term
-
oriented segment of the Plan and
given the recency of funding for two
1 of the three underlying managers, the underperformance ought not to be overly scrutinized.
•
D
ue to the addition of Kepos and Versor as Alternative Risk Premia and Systematic Trend Following managers within this segment in 2022, the current benchmark does n ot accurately reflect its components
.
We will be
recommending an update to this benchmark for the Committee to consider in the following meetings.
1 Kepos Alternative Risk
Premia and Versor Trend Following were incepted within the first half of 2022 and therefore have less than 1 -
year of performance history.
Economic and Market Update
Data as of
December 31
, 2022
Economic and Market Update
Commentary
Ending
a very tough year
,
most asset classes posted gains in the fourth quarter
on signs that policy tightening
would slow given cooling inflatio
n.
Chairman Powell’s testimony in November reiterated previous messaging on persistent and high inflation and
the need for an extended period of monetary tightening
weighing on assets in December
. Markets remain
ed
focused though on s
igns
that inflation is
falling
and that the size of
future
Fed rate hikes could be lower.
US equity markets
sold
o
ff
(
-
5.9 %
)
in December
but returned 7.2% in the fourth quarter
as investors balanced
the Fed’s caution with improving inflation data
.
In developed
equity markets outside the US, sentiment deteriorated somewhat in December,
but
they
posted
a strong fourth
quarter return of 17.3%
driven by
a
falling US dollar and results in Europe where inflation started to slow.
Emerging market equities
declined in December too
(
-
1.4%) but
less than the US and also had a strong fourth
quarter (+
9.7%
)
.
A weaker US dollar, d
eclining inflation
globally, and
signs of China reopening its economy all
contributed to the results.
Bonds experienced one of the worst years on record given inflation levels and the rapid rise in interest rates.
Optimism over
declining
inflation and a
slower
pace of policy tightening benefited bonds
overall in the fourth
quarter
t
hough.
Looking to 2023,
the path of inflation and
monetary policy
,
slowing growth globally,
China reopening its economy,
and
t
he
war
in
Ukraine
will
all be key.
Economic and Market Update
Index Returns
1 Fourth
Quarter
2022
A
fter
broad declines in Q3
driven by expectations for
further policy tightening
,
most major asset classes
were
up
in the fourth quarter
on hopes of inflation and policy tightening peaking
.
Outside of commodities, all other public market asset classes declined in 2022. It was the first time since the
1960s
that both
stocks and bonds declined
together
in a calendar year
.
1 Source: Bloomberg and
FactSet.
Data is as of
December
31 , 2022.
17.3%
9.8%
9.7%
8.5%
7.6%
7.2%
6.2%
5.2%
4.2%
2.4%
2.2%
2.0%
1.9%
MSCI EAFE
MSCI ACWI
MSCI Emerging Markets
JPM GBI-EM Global Diversified
S&P 500
Russell 3000
Russell 2000
FTSE NAREIT Equity
Bloomberg High Yield
HFRI Fund of Funds
Bloomberg Commodity Index
Bloomberg US TIPS
Bloomberg Aggregate
16.1%
-
4.7%
-
11.2%
-
11.7%
-
11.8%
-
13.0%
-
14.5%
-
18.1%
-
18.4%
-
19.2%
-
20.1%
-
20.4%
-
24.4%
Bloomberg Commodity Index
HFRI Fund of Funds
Bloomberg High Yield
JPM GBI-EM Global Diversified
Bloomberg US TIPS
Bloomberg Aggregate
MSCI EAFE
S&P 500
MSCI ACWI
Russell 3000
MSCI Emerging Markets
Russell 2000
FTSE NAREIT Equity
Economic and Market Update
Domestic Equity
Returns
1 Domestic Equity
December
(%)
Q
4 (%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
-
5.8 7.6
-
18.1 7.7
9.4 12.6
Russell 3000
-
5.9 7.2
-
19.2 7.1
8.8 12.1
Russell 1000
-
5.8 7.2
-
19.1 7.3
9.1 12.4
Russell 1000 Growth
-
7.7 2.2
-
29.1 7.8
11.0 14.1
Russell 1000 Value
-
4.0 12.4
-
7.5 6.0
6.7 10.3
Russell MidCap
-
5.4 9.2
-
17.3 5.9
7.1 11.0
Russell MidCap Growth
-
6.0 6.9
-
26.7 3.9
7.6 11.4
Russell MidCap
Value
-
5.1 10.5
-
12.0 5.8
5.7 10.1
Russell 2000
-
6.5 6.2
-
20.4 3.1
4.1 9.0
Russell 2000 Growth
-
6.4 4.1
-
26.4 0.6
3.5 9.2
Russell 2000 Value
-
6.6 8.4
-
14.5 4.7
4.1 8.5
US Equit
ies
:
Russell 3000 Index
declined 5.9
%
for
December but gained 7.2% for
the quarter
.
Historic inflation and
rapidly rising interest rates led to significant declines ( -
19.2%) for the full year.
US stocks fell broadly in December
on
the Federal Reserve signaling it
s
contin
u
ed resolve
to raise rates
but
gained overall for the qu
arter
on
hopes that interest rates could be peaking
soon
given slowing inflation.
All sectors
declined
during December, led by
c
onsumer
d
iscretionary and
t
echnology
with defensive sectors
declining less. For the quarter though, most sectors were up led by e
nergy and
i
ndustrials.
In a continuation on the overall trend in 2022 value stocks outperformed growth stocks in the fourth quarter given higher
interest
rates and slowing growth.
1 Source: Bloomberg. Data is as of
December 31
,
2022
.
Economic and Market Update
Foreign Equity
Returns
1 Foreign Equity
December
(%)
Q4
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
-
0.7 14.3
-
16.0 0.1
0.9 3.8
MSCI EAFE
0.1 17.3
-
14.5 0.9
1.5 4.7
MSCI EAFE (Local Currency)
-
3.0 8.7
-
7.0 3.6
3.8 7.6
MSCI EAFE Small Cap
1.1 15.8
-
21.4 -
0.9 0.0
6.2 MSCI Emerging Markets
-
1.4 9.7
-
20.1 -
2.7 -
1.4 1.4
MSCI Emerging Markets (Local Currency)
-
2.0 6.6
-
15.5 0.1
1.3 4.6
MSCI China
5.2 13.5
-
21.9 -
7.5 -
4.5 2.4
Developed
i
nternational
e
quities
(
MSCI EAFE
)
rose
0.1 %
in December
and an impressive 17.3% in the fourth quarter.
E
merging
m
arkets
(MSCI EM)
fell
-
1.4 %
in
December
but gained 9.7% for the quarter
.
Inflation and rising rates also
weighed on international equities last year, as well as a strong US dollar for most of the year.
International
developed market
equities, specifically
Europe, held up better relative to the rest of the world in
December with the
MSCI EAFE up 0.1%
. In the fourth quarter, they returned a significant 17.3% due in part to the recent weakness in the US dollar (they returned only 8.7% in local terms) leading t o lower declines for the year.
In December e
merging markets outperformed the
US but
trailed
developed
market equities as
China’s rally
was
not enough to offset weakness elsewhere
(
e.g.,
India
-
5.5%)
. For the quarter, a weak
en
ing US dollar and China
reopen
ing led to strong results (+9.7%), but emerging markets remained the weakest for 2022 due to China.
Like the US, value outpaced growth globally
in
2022.
1 Source: Bloomberg. Data is as of
December 31
, 2022.
Economic and Market Update
Fixed Income
Returns
1 Fixed Income
December
(%)
Q4
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
-
0.3 2.2
-
13.0 -
2.5 0.2
1.3 5.1
6.2 Bloomberg Aggregate
-
0.5 1.9
-
13.0 -
2.7 0.0
1.1 4.7
6.4 Bloomberg US TIPS
-
1.0 2.0
-
11.8 1.2
2.1 1.1
4.4 6.7
Bloomberg High Yield
-
0.6 4.2
-
11.2 0.0
2.3 4.0
9.0 4.4
JPM GBI
-
EM Global Diversified (USD)
2.2 8.5
-
11.7 -
6.1 -
2.5 -
2.0 5.8
4.9 Fixed Income
:
The
Bloomberg
Universal
fell
-
0.3% in December
but rose 2.2% for the fourth quarter. Last year was
one of the worst on record
,
with the broad bond market declining 13%.
The Federal Reserve reconfirming its commitment to tighten policy in the face of high inflation weighed on US fixed income in Decembe
r. For the quarter though the broad
US
bond market (Bloomberg Aggregate) was up
1.9% on hopes that inflation
would continue to decline
and corresponding expectations for the
slowing of policy
rat
e hikes
.
TIPS produced similar results to the broad US bond
market for the quarter but outperformed for the
year
given
their
inflation adjustment.
Riskier bonds outperformed for the quarter
due to
improving risk sentiment
with emerging market bonds
performing particularly well
.
1 Source: Bloomberg. JPM GBI
-
EM
data
is from
InvestorForce
. Data
is as of
December 31
, 202
2 .
The yield and duration data from Bloomberg is defined as the index’s yield to worst and modified duration
respectively
.
Economic and Market Update
Fixed Income
Rolling
One
-
year Returns
1
Last year was
one of
the worst return period
s
for the US bond market given the historic inflation levels and the corresponding rapid rise in interest rates.
T
he broad bond market (Bloomberg US Aggregate)
declined 13% in 2022
making it one of the worst periods on
record
.
Short
-
term bond declines
were
far
smaller
(
-
3.7 %)
last
year, but also
were
one of
the worst on record.
1 Source
:
Bloomberg. Data is as of
December 31
, 2022
.
-20%
-10%
0%
10%
20%
30%
40%
1977
1982
1987
1992
1997
2002
2007
2012
2017
2022
Bloomberg US Aggregate
Bloomberg 1-3 Year Gov/Credit
-
9.2%
-
5.1 %
-
13.0%
-
3.7%
Economic and Market Update
Equity
and Fixed Income
Volatility
1
Volatility in equit
ies
(VIX)
finished the year down from its highs and near
its long run average
as investors
anticipate
d
the potential end of Fed
rate
hik
es
this
year.
F
ixed income (MOVE)
remained
elevated
and well
above its
long
-
run average
at year
-
end due
to
the uncertain
path
of
US interest rates as the Federal Reserve continue
s
its hawkish stance
on
inflation.
1 Equity and Fixed Income Volatility
–
Source: Bloomberg. Implied volatility as measured using VIX Index for equity markets and the MOVE Index to measure interest r ate volatility for fixed income markets. Data is as
of
December
2022
.
The average
line indicat
ed is the average of the VIX and MOVE values between January 2000 and the recent
month
-
end respectively.
Economic and Market Update
Equity
Cyclically Adjusted P/E
Ratios
1
After December’s sell
-
off, US equity price
-
to
-
earnings ratio finished the year near its long
-
term
(
21 st
century
)
average.
I
nternational
dev
e
loped
market
valuations
rose but
remain below
their
own
long
-
term average
,
with
those for
emerging
markets
the lowest and
well
under
the
long
-
term average.
Price declines have been the main driver of recent multiple compression as earnings have remained resilient.
C
oncerns remain over
whether
earnings
strength
will
continue in
the face of slowing growth.
1 US Equity Cyclically Adjusted P/E on S&P 500 Index
.
Source: Robert Shiller, Yale University, and Meketa Investment Group. Developed and Emerging Mark et Equity (MSCI EAFE and EM Index) Cyclically Adjusted P/E –
Source: MSCI and
Bloomberg
.
Earnings figures represent the average of monthly “as reported” earnings over the previous ten years. Data is as of
December
2022
.
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
In
December
,
policy
-
sensitive interest rates at
the front
-
end of the
curve
continued to rise with
the two
-
year
Treasury yield
increasing from 4.3% to 4.4%.
Longer dated
ten
-
year Treasury yields
also increased (
3.6 % to
3. 9
%
)
.
For the year, the yield curve
rose
dramatically across maturities and moved from steep to inverted.
The Fed remains strongly committed to fighting inflation , as it
increas
ed
rates another
50 basis points to a range
of
4.0 %
to
4. 5
%
at its
December
meeting
.
This
brought the total
number of
increases for 2022 to seven.
T
he
yield
spread between two
-
year and ten
-
year Treasuries
narrowed somewhat to
-
0.54%
after
finishing
November
at
-
0 .
70 %
.
The more closely watched measure by the Fed of three
-
month and ten
-
year Treasuries also
remained
inverted.
Historically, i
nversions in the yield curve have
often
preceded
recessions.
1 Source: Bloomberg
.
Data is as of
December 31
, 2022
.
0%
1%
2%
3%
4%
5%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2021
12/30/2022
Economic and Market Update
Ten
-
Year Breakeven Inflation
and CPI
1
In December i
nflation continued
to
decline (
6.5% versus
7.1%
) matching expectations and providing support for
the Fed to slow the pace of policy tightening
.
Energy prices fell
again
for the month but remain up
7.3%
from a
year prior, while food prices
fell slightly,
and
stickier service prices
continued to increase.
Core inflation
–
excluding food and energy
–
also
continued to decline
in
December
(
5.7% versus
6. 0
%) and
matched
estimates.
Inflation expectations (breakevens)
declined
slightly for the month
(2.3% versu
s 2.4%) and
remain well below
current inflation levels as
investors anticipate a significant moderation in
inflation.
1 Source: Bloomberg.
Data is as of
December
2022
.
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
High yield
spreads (the
added yield
above a comparable maturity
Treasury)
f
inished
December
at 4.7%
(the same
as the end of November)
remaining
below their long
-
run average
.
I
nvestment grade
spreads
also
held steady
at 1.3%
as attractive yields and strong balance sheets
continued to
attract investors
, while
e
merging market
spreads
rose
(
4.5 % versus
3.6 %)
due to
concerns regarding slower
growth and lower commodity prices
.
1 Sources: Bloomberg.
Data is as
of
December 31
, 2022
.
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$ prices & PPP exchange rate,
real
, % change YoY). Upd
ated
December
2022
.
-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
a
more aggressive approach.
In December, the Bank of Japan relaxed its target yield for the 10 -
year bond which may mark an incremental
step toward policy normalization after e
ight years of quantitative easing.
The one notable central bank outlier is China, where the central bank has lowered rates and reserve requirements in response to slowing growth.
The risk remains for a policy error, particularly overtightening, as record inflation
and aggressive tightening to
date
could
heavily weigh on
global growth
.
The Federal Reserve’s policy rate path could diverge from other s this
year given their
strong
earl
y start to tightening.
1 Source: Bloomberg
.
Policy rate data
is as of
December 31
, 202
2 .
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
has
reached
levels not seen in
many
decades
.
Inflation pressures
are slowly declining in the
US,
but they remain elevated, while in Europe they have reached
historic levels due to skyrocketing energy prices and a weak euro.
Supply
issues related to the pandemic
,
record monetary and fiscal stimulus,
s
trict COVID
-
19 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 of
December
2022
.
The most recent Japanese inflation data
is as of
November
2022.
Economic and Market Update
Unemployment
1
As economies have largely reopened
,
helped by
vaccines for the virus, improvements have been seen in the labor market
.
Despite slowing growth and high inflation
,
the US labor market remains a bright spot
.
U
nemployment
in the
US
,
which
experienced
the steepest
rise
from the pandemic
,
has remained in a
tight
3.5%
-
3.7%
range for most of the
year
.
The strong labor market and higher wages, although beneficial for workers, motivates
the Fed’s efforts to fight
inflation
,
likely leading to higher unemployment.
1 Source: Bloomberg.
Data is
as
December
31,
2022, for the US
.
The most recent data for
Eurozone
and Japanese unemployment is as
of
November 30
, 2022.
Economic and Market Update
US Dollar versus Broad Currencies
1
Overall, t
he US dollar
continued to weaken from its recent peak in December as declining inflation supported the case for the
Federal Reserve to
slow its tightening.
The dollar finished the year much higher than it started though due to the increased
pace
of policy tightening,
stronger relative growth, and
safe
-
haven flows
.
As we look to 2023, the track of inflation across economies and the corresponding monetary policy will likely be key drivers of currency moves.
1 Source: Bloomberg
.
Data as of
December 31
, 2022.
Economic and Market Update
Summary
Key
T
rends
:
The impacts of reco
rd high inflation will remain key
,
with
market
volatility likely to
stay
high.
Monetary policy could diverge in 2023 with the Fed pausing and others continuing to tighten. The risk of policy errors in both directions remain
s
.
G
rowth
will
continue to
slow g
lobally
next year
,
with many economies likely falling into recessions
. 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.
Higher energy and food prices
could weigh on
consumer
spend
ing
.
Valuations
have significantly declined
in the
US
to
around
long
-
term average
s
,
largely driven by pr
ice declines
.
The key going forward will 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 particularly weighing on Europe, and China
’s rushed exit from
COVID
-
19 restrictions
and
on
-
going
weakness in
the
real estate sector.
4Q 202
2 Performance
as of December 31, 202
2
Oakland Police and Fire Retirement System Total Plan
OPFRS Total Plan | As of December 31, 2022
YTD Ending December 31, 2022
Total Return
Anlzd
Standard
Deviation
_
OPFRS Total Plan
-14.5%
13.9%
OPFRS Policy Benchmark
-14.5%
14.3%
1 Year Ending December 31, 2022
Anlzd Return
Anlzd
Standard
Deviation
_
OPFRS Total Plan
-14.5%
13.9%
OPFRS Policy Benchmark
-14.5%
14.3%
Summary of Cash Flows
Quarter-To-Date
One Year
_
Beginning Market Value
$382,458,040
$483,220,978
Net Cash Flow
-$5,217,746
-$15,709,585
Capital Appreciation
$21,195,418
-$69,075,682
Ending Market Value
$398,435,711
$398,435,711
_
Performance shown is Gross-of-Fees.
Market Value
($)
QTD
(%)
Fiscal YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
7 Yrs
(%)
10 Yrs
(%)
_
OPFRS Total Plan
398,435,711
5.6 0.7
-14.5
2.3 4.3
6.8 7.0
OPFRS Policy Benchmark
6.0 1.1
-14.5
2.3 4.0
6.5 6.5
Excess Return
-0.4
-0.4
0.0 0.0
0.3 0.3
0.5 InvMetrics Public DB $250mm-$1B
Gross Median
5.8 1.2
-13.4
4.0 5.2
7.1 7.3
Domestic Equity
159,779,185
8.2 3.0
-16.7
7.2 8.5
11.0 12.0
Russell 3000 (Blend)
7.2 2.4
-19.2
7.1 8.8
11.0 12.1
Excess Return
1.0 0.6
2.5 0.1
-0.3
0.0 -0.1
International Equity
49,851,663
15.1 4.1
-15.7
0.3 1.7
5.6 5.2
MSCI ACWI ex US (Blend)
14.3 3.0
-16.0
0.1 0.9
4.8 3.8
Excess Return
0.8 1.1
0.3 0.2
0.8 0.8
1.4 Fixed Income
101,552,915
2.1 -2.6
-12.9
-2.1
0.5 1.8
1.6 Bloomberg Universal (Blend)
2.2 -2.3
-13.0
-2.5
0.2 1.3
1.3 Excess Return
-0.1
-0.3
0.1 0.4
0.3 0.5
0.3 Credit
8,603,832
1.9 1.5
-7.6
3.0 3.0
6.0 --
Bloomberg US High Yield TR
4.2 3.5
-11.2
0.0 2.3
5.0 --
Excess Return
-2.3
-2.0
3.6 3.0
0.7 1.0
Covered Calls
27,503,720
7.7 2.2
-12.5
6.7 7.2
8.8 --
CBOE S&P 500 BuyWrite USD
6.8 -1.3
-11.4
1.3 2.9
4.9 --
Excess Return
0.9 3.5
-1.1
5.4 4.3
3.9 Crisis Risk Offset
39,452,288
-4.9
-4.9
-14.5
-14.6
-8.2
--
--
SG Multi Alternative Risk Premia
Index
1.5 2.4
4.8 -1.3
--
--
--
Excess Return
-6.4
-7.3
-19.3
-13.3
Cash
11,692,108
0.0 0.0
0.0 0.4
1.1 1.0
0.7 FTSE T-Bill 3 Months TR
0.9 1.3
1.5 0.7
1.2 1.0
0.7 Excess Return
-0.9
-1.3
-1.5
-0.3
-0.1
0.0 0.0
XXXXX
Oakland Police and Fire Retirement System Total Plan
Asset Class Performance (gross of fees) | As of December 31, 2022 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
5.6 0.7
-14.5
2.3 4.3
-4.8
21.1 9.7
14.1 -14.5
OPFRS Policy Benchmark
6.0 1.1
-14.5
2.3 4.0
-5.0
19.6 12.1
11.8 -14.5
InvMetrics Public DB $250mm-$1B Gross Median
5.8 1.2
-13.4
4.0 5.2
-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 December 31, 2022 Fiscal year begins on July 1.
Asset Allocation vs. Target
As Of December 31, 2022
Current
%
Policy
Difference*
_
Domestic Equity
$159,779,185
40.1%
40.0%
0.1%
International Equity
$49,851,663
12.5%
12.0%
0.5%
Fixed Income
$101,552,915
25.5%
31.0%
-5.5%
Covered Calls
$27,503,720
6.9%
5.0%
1.9%
Credit
$8,603,832
2.2%
2.0%
0.2%
Crisis Risk Offset
$39,452,288
9.9%
10.0%
-0.1%
Cash
$11,692,108
2.9%
0.0%
2.9%
Total
$398,435,711
100.0%
100.0%
Oakland Police and Fire Retirement System Total Plan
Asset Allocation | As of December 31, 2022
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
159,779,185
100.0
8.2 -16.7
7.2 8.5
8.6 Jun-97
Russell 3000 (Blend)
7.2 -19.2
7.1 8.8
8.7 Jun-97
Excess Return
1.0 2.5
0.1 -0.3
-0.1
Northern Trust Russell 1000
69,741,287
43.6 7.2
-19.4
7.2 9.1
12.6 Jun-10
Russell 1000
7.2 -19.1
7.3 9.1
12.6 Jun-10
Excess Return
0.0 -0.3
-0.1
0.0 0.0
EARNEST Partners
43,615,104
27.3 7.8
-15.3
8.9 10.0
10.0 Apr-06
Russell MidCap
9.2 -17.3
5.9 7.1
8.3 Apr-06
Excess Return
-1.4
2.0 3.0
2.9 1.7
eV US Mid Cap Core Equity Gross Rank
80 60
17 21
32 Apr-06
Wellington Select Quality Equity
22,198,719
13.9 13.7
--
--
--
0.9 May-22
Russell 1000
7.2 --
--
--
-6.4
May-22
Excess Return
6.5 7.3
eV US Large Cap Core Equity Gross Rank
3 --
--
--
8 May-22
Brown Fundamental Small Cap Value
10,924,340
6.8 12.5
-6.9
--
--
1.8 Apr-21
Russell 2000 Value
8.4 -14.5
--
--
-5.5
Apr-21
Excess Return
4.1 7.6
7.3 eV US Small Cap Value Equity Gross Rank
29 22
--
--
22 Apr-21
Rice Hall James
13,299,736
8.3 3.3
-23.7
3.4 4.2
6.1 Jul-17
Russell 2000 Growth
4.1 -26.4
0.6 3.5
5.2 Jul-17
Excess Return
-0.8
2.7 2.8
0.7 0.9
eV US Small Cap Growth Equity Gross Rank
62 25
70 91
89 Jul-17
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
International Equity
49,851,663
100.0
15.1 -15.7
0.3 1.7
5.0 Jan-98
MSCI ACWI ex US (Blend)
14.3 -16.0
0.1 0.9
4.7 Jan-98
Excess Return
0.8 0.3
0.2 0.8
0.3 Vanguard Developed Markets ETF
14,054,284
28.2 16.8
-15.4
1.3 --
4.6 Sep-19
FTSE Developed All Cap Ex US TR USD
16.3 -15.3
1.5 --
4.8 Sep-19
Excess Return
0.5 -0.1
-0.2
-0.2
SGA ACWI ex-U.S. Equity
35,797,379
71.8 14.4
-15.6
0.2 --
0.4 Dec-19
MSCI ACWI ex USA
14.3 -16.0
0.1 --
1.5 Dec-19
Excess Return
0.1 0.4
0.1 -1.1
eV ACWI ex-US All Cap Core Eq Gross Rank
52 36
83 --
95 Dec-19
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Fixed Income
101,552,915
100.0
2.1 -12.9
-2.1
0.5 4.7
Dec-93
Bloomberg Universal (Blend)
2.2 -13.0
-2.5
0.2 4.5
Dec-93
Excess Return
-0.1
0.1 0.4
0.3 0.2
Ramirez
69,021,211
68.0 1.7
-13.0
-2.4
0.4 1.2
Jan-17
Bloomberg US Aggregate TR
1.9 -13.0
-2.7
0.0 0.6
Jan-17
Excess Return
-0.2
0.0 0.3
0.4 0.6
eV US Core Fixed Inc Gross Rank
66 67
78 64
37 Jan-17
Wellington Core Bond
6,531,106
6.4 1.9
-14.4
--
--
-7.5
Apr-21
Bloomberg US Aggregate TR
1.9 -13.0
--
--
-6.7
Apr-21
Excess Return
0.0 -1.4
-0.8
eV US Core Fixed Inc Gross Rank
50 96
--
--
98 Apr-21
Reams
26,000,599
25.6 3.2
-12.0
1.4 2.8
5.1 Feb-98
Bloomberg Universal (Blend)
2.2 -13.0
-2.5
0.2 4.1
Feb-98
Excess Return
1.0 1.0
3.9 2.6
1.0 eV US Core Plus Fixed Inc Gross Rank
10 21
1 2
40 Feb-98
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Performance shown is gross-of-fees.
Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Credit
8,603,832
100.0
1.9 -7.6
3.0 3.0
4.7 Feb-15
Bloomberg US High Yield TR
4.2 -11.2
0.0 2.3
3.8 Feb-15
Excess Return
-2.3
3.6 3.0
0.7 0.9
Polen Capital
8,603,832
100.0
1.9 -7.6
3.0 3.0
4.7 Feb-15
ICE BofA High Yield Master TR
4.0 -11.2
-0.2
2.1 3.7
Feb-15
Excess Return
-2.1
3.6 3.2
0.9 1.0
eV US High Yield Fixed Inc Gross Rank
93 26
6 36
14 Feb-15
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Performance shown is gross-of-fees.
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Market Value
% of
Portfolio
QTD
1 Yr
3 Yrs
5 Yrs
S.I.
S.I. Date
_
Covered Calls
27,503,720
100.0
7.7 -12.5
6.7 7.2
8.1 Apr-14
CBOE S&P 500 BuyWrite USD
6.8 -11.4
1.3 2.9
4.9 Apr-14
Excess Return
0.9 -1.1
5.4 4.3
3.2 Parametric BXM
13,942,810
50.7 7.1
-9.7
4.5 5.1
6.4 Apr-14
CBOE S&P 500 BuyWrite USD
6.8 -11.4
1.3 2.9
4.9 Apr-14
Excess Return
0.3 1.7
3.2 2.2
1.5 Parametric DeltaShift
13,560,909
49.3 8.3
-15.1
8.4 9.1
10.0 Apr-14
CBOE S&P 500 BuyWrite USD
6.8 -11.4
1.3 2.9
4.9 Apr-14
Excess Return
1.5 -3.7
7.1 6.2
5.1 eV US Large Cap Core Equity Gross Rank
56 42
38 58
65 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
39,452,288
100.0
-4.9
-14.5
-14.6
-8.2
-9.3
Aug-18
SG Multi Alternative Risk Premia Index
1.5 4.8
-1.3
--
-0.5
Aug-18
Excess Return
-6.4
-19.3
-13.3
-8.8
Versor Trend Following
15,908,714
40.3 -11.2
--
--
--
6.1 Apr-22
SG Trend Index
-6.1
--
--
--
15.6 Apr-22
Excess Return
-5.1
-9.5
Vanguard Long-Term Treasury ETF
13,706,568
34.7 -1.1
-29.4
-7.6
--
-5.7
Jul-19
Bloomberg US Govt Long TR
-0.6
-29.2
-7.4
--
-5.5
Jul-19
Excess Return
-0.5
-0.2
-0.2
-0.2
Kepos Alternative Risk Premia
9,837,006
24.9 1.1
--
--
--
-1.0
Feb-22
SG Multi Alternative Risk Premia Index
1.5 --
--
--
3.9 Feb-22
Excess Return
-0.4
-4.9
XXXXX
Oakland Police and Fire Retirement System Total Plan
Manager Performance - Gross of Fees | As of December 31, 2022 Performance shown is gross-of-fees.
Oakland Police and Fire Retirement System Total Plan
Total Portfolio 5-Year Performance | As of December 31, 2022 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 December 31, 2022 Fiscal year begins on July 1.
Manager Monitoring / Probation Status
Oakland Police and Fire Retirement System
Manager Monitoring / Probation
Status
| As of
December
3 1
,
2022
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
5 < 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 Ranking over most recent quarter if on watch for less than 1 year, or over 1 year if on watch for more than a year . Peer group comparison is gross
-
of
-
fees.
3 Approximate date b
ased on when the Board voted to either monitor a manager at a heightened level or place it on probation.
4 Polen Capital High Yield strategy was formerly known as DDJ High Yield prior to 2022.
5 VRR (Value Relative Ratio) is calculated as manager cumulativ e return/ benchmark return
.
Portfolio
Status
Concern
Triggering the
Watch Status
Months Since
Corrective Action
Performance
1 Since Corrective
Action
Peer Group
Percentile
Ranking
2 Date of
Corrective Action
3 Polen
Capital
4 On Watch
Performance
/Org
anization
42 2.
8 32
5/29/2019
I
CE
BofAML US High Yield
1.6 Rice Hall James
On Watch
Performance
/Organization
42 6.1
72 5/29/2019
Russell 2000
Growth
4.5
Oakland Police and Fire Retirement System Total Plan
Domestic Equity | As of December 31, 2022
Oakland Police and Fire Retirement System Total Plan
Northern Trust Russell 1000 | As of December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Northern Trust Russell 1000
12.5%
15.0%
0.0%
1.0 -0.6
0.2%
98.5%
100.0%
Russell 1000
12.6%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
EARNEST Partners
9.0%
17.9%
0.1%
1.0 0.2
3.6%
93.5%
99.2%
Russell MidCap
8.3%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Rice Hall James
5.3%
22.0%
0.1%
0.9 0.0
7.7%
79.5%
93.6%
Russell 2000 Growth
5.1%
23.1%
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
Brown Fundamental Small Cap Value | As of December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Brown Fundamental Small Cap Value
0.9%
19.8%
0.5%
0.9 1.3
4.9%
108.9%
88.0%
Russell 2000 Value
-5.5%
20.5%
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 December 31, 2022 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
0.9%
20.8%
0.7%
0.8 0.8
8.8%
87.8%
68.4%
Russell 1000
-6.4%
25.6%
0.0%
1.0 --
0.0%
100.0%
100.0%
Oakland Police and Fire Retirement System Total Plan
International Equity | As of December 31, 2022
Oakland Police and Fire Retirement System Total Plan
Vanguard Developed Markets ETF | As of December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Vanguard Developed Markets ETF
4.6%
20.1%
0.0%
1.0 -0.1
2.5%
102.4%
101.7%
FTSE Developed All Cap Ex US TR USD
4.8%
19.9%
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 December 31, 2022
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
-0.3%
18.8%
-0.1%
1.0 -0.5
3.6%
89.1%
99.2%
MSCI ACWI ex USA
1.5%
19.4%
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 December 31, 2022
Fixed Income Fixed Income Characteristics
vs. Bloomberg US Universal TR
Portfolio
Index
Q4-22
Q4-22
Fixed Income Characteristics
Yield to Maturity
5.25 5.11
Average Duration
6.22 6.00
Average Quality
AA
AA
Weighted Average Maturity
8.99 12.20
Oakland Police and Fire Retirement System Total Plan
Ramirez | As of December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Ramirez
0.9%
5.4%
0.0%
1.0 0.1
2.6%
115.3%
106.7%
Bloomberg US Aggregate TR
0.6%
4.7%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Reams
4.9%
5.6%
0.0%
1.1 0.2
3.8%
124.3%
100.2%
Bloomberg Universal (Blend)
4.1%
3.8%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Wellington Core Bond
-7.6%
7.3%
0.0%
1.1 -1.2
0.8%
103.2%
108.3%
Bloomberg US Aggregate TR
-6.7%
6.7%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Polen Capital
4.0%
7.9%
0.1%
0.8 0.1
4.3%
77.7%
78.6%
ICE BofA High Yield Master TR
3.7%
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 December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Covered Calls
7.9%
11.8%
0.2%
1.0 0.7
4.1%
144.2%
102.3%
CBOE S&P 500 BuyWrite USD
4.9%
10.9%
0.0%
1.0 --
0.0%
100.0%
100.0%
Parametric BXM
6.2%
9.7%
0.2%
0.9 0.4
3.3%
96.5%
91.1%
CBOE S&P 500 BuyWrite USD
4.9%
10.9%
0.0%
1.0 --
0.0%
100.0%
100.0%
Parametric DeltaShift
9.7%
14.1%
0.3%
1.2 0.8
6.3%
205.3%
110.5%
CBOE S&P 500 BuyWrite USD
4.9%
10.9%
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
Crisis Risk Offset | As of December 31, 2022
Anlzd Return
Anlzd Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking Error
Up Mkt Capture
Ratio
Down Mkt
Capture Ratio
_
Crisis Risk Offset
-10.92%
11.54%
-0.87%
0.57 -0.89
11.31%
-36.38%
98.57%
SG Multi Alternative Risk Premia Index
-0.84%
6.03%
0.00%
1.00 --
0.00%
100.00%
100.00%
Kepos Alternative Risk Premia
--
--
--
--
--
--
--
--
SG Multi Alternative Risk Premia Index
-0.84%
6.03%
0.00%
1.00 --
0.00%
100.00%
100.00%
Versor Trend Following
--
--
--
--
--
--
--
--
SG Trend Index
14.45%
12.82%
0.00%
1.00 --
0.00%
100.00%
100.00%
Vanguard Long-Term Treasury ETF
-5.68%
14.71%
-0.01%
1.01 -0.19
1.17%
101.45%
101.21%
Bloomberg US Govt Long TR
-5.46%
14.52%
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 December 31, 2022
Benchmark History
As of December 31, 2022
_
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 December 31, 2022
Benchmark History
As of December 31, 2022
_
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
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.