BOSTON CHICAGO LONDON MIAMI NEW YORK PORTLAND SAN DIEGO MEKETA.COM Quarterly Performance Report
as of June 30, 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
June 30
, 202
3 3.
Quarterly
Performance as of
June 30
, 202
3 4.
Manager Monitoring / Probation
Status
5. Disclaimer, Glossary, and Notes
Executive
Summary
Oakland Police and Fire Retirement System
Executive
Summary | As of
June
3 0
, 202
3 Total Portfolio
Review
The
Oakland Police and Fire Retirement System (OPFRS)
finished the
quarter
with a market
value of $
420.2
million.
→
This represents a $
13.6 million
in
investment
gains
after
$
4.6 million
in net outflows over the quarter.
→
Over the past 12
months
, the Total Portfolio
appreciated by
$
33.9 million, after withdrawals totaling
$
20.0 million
for
net outflows including
benefit payments.
→
As of
0 6
/3
0 /202
3 ,
most
asset classes were within
acceptable allocation ranges r
elative to policy targets
except
for Fixed Income,
which was marginally
out of
the policy range
.
1 Investment Performance
→
During the quarter, the
OPFRS portfolio generated an absolute return of
3.3 %,
net
of fees,
underperformi
ng
its
policy benchmark
2 by
-
0. 7
%.
The portfolio
underperformed
the benchmark over the trailing 1
-
and 5
-
year period
s
while outperforming the latter over the 3
-
year period
.
•
The quarter
ly underperformance
was primarily driven by the Domestic Equity segment
’s performance
.
QTD
YTD
FYTD
3 /
1 Year
3 Year
5 Year
Total Portfolio (
Gross
)
3.4 8.0
8.8 6.6
5.6 Total Portfolio (
Net
)
3.3 7.9
8.5 6.3
5.3 Policy Benchmark
4.0 9.1
10.4 6.2
5.5 Excess Return
(Net)
-
0.7 -
1.3 -
1.9 0.1
-
0.2 Peer Group Median Fund
3 3.1
7. 3
8.5 7.
5 6.
3 vs. Peer Median
0.1 0.
6 0.0
-
1. 2
-
1.0 1
Target weightings reflect the
interim phase (where Crisis Risk Offset component is set to 10%) of the Plan’s previously approved asset allocation (effectiv e 5/31/2017).
2 Evolving Policy Benchmark consists of 40% Russell 3000, 12% MSCI ACWI ex U.S., 33% Bloomberg Universal, 5% CBOE BXM , 6.7% SG Multi Asset Risk Premia, 3.3% Bloomberg Long Treasury 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% Crisis Risk Offset Benchmark
/ 2% Bloomberg US High Yield there
after.
3 Fiscal year beings on July 01.
Peer group is
Investment Metrics peer universe
of Public Defined Benefit plans with $250 million to $1 billion in assets. The number of peers is about 80 portfolios in each
time period.
Oakland Police and Fire Retirement System
Executive
Summary | As of
June
3 0
, 202
3 Asset Class &
Manager
Highlights
→
Domestic equity
under
performed the Russell 3000 Index
over
all trailing periods
.
•
All the
active managers,
except
Brown Fundamental Small Cap Value
,
under
performed their respective
benchmarks in the quarter
, year
-
to
-
date, and 1
-
year
time periods.
→
International equity
outperformed the MSCI ACWI ex US Index for all time periods measured.
•
The act
ive
SGA MSCI ACWI ex US
outperformed its benchmark
over
all time periods except since inception
.
•
The passive
Vanguard
posted
some
variation
1 from the tracked benchmark
over the
periods measured
.
→
Fixed income
outperformed
or matched
its benchmark
across all time periods.
The underlying managers also
outperformed their respective
benchmarks
across almost all
time periods
measured.
→
The
Credit
segment, w
ith
Polen Capital
as
its only
manager,
outperformed
the asset class’s
benchmark,
Bloo
mberg US High Yield Index,
for all time periods except in the 1
-
and 5
-
year trailing period
s
.
→
Covered Calls
, as well as both
the
passive BXM and the
active DeltaShift strateg
ies
out
performed
the
CBOE S&P
500 Buy
-
Write Index
across all periods
measured
.
→
The
Crisis Risk Offset
segment trailed its
custom
benchmark
across all
time periods measured
.
•
With the Committee’s approval in the May meeting, this
segment’s
benchmark has been updated effective
01/01/2023 to better reflect its underlying components and their respective targets.
1 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
June 30
, 2023
Economic and Market Update
Commentary
→
Asset returns were
positive
in
June
with US
and Non
-
US
equities
posting
gains
,
while most fixed income sectors
sold
-
off on expectations for further interest rate hikes later this year.
Except for commodities, most public
market
asset classes remain up for the year.
•
Although the Fed skipped a rate
-
hike in June, Fed comments signaled
further rate hikes in the 2H
2 0
23 ;
the
US economy appears to be resilient supporting domestic demand and low unemployment.
•
US equity markets
(Russell 3000)
rose
in
June
(+
6.8 %)
adding to YTD gains
(
+
16.2 %
).
Some of the largest
technology names drove positi
ve results.
Growth stocks continued to outpace value stocks, particularly in the large cap space.
•
Non
-
US d
eveloped equity markets
rose in June
(
MSCI
EAFE
4.6 %)
falling behind
US equities
in 2023
(
+
16.2 %
versus +
11.7 %).
A strengthening
US
dollar
weighed on re
turns.
•
Emerging market equitie
s
rose
in
June
(
+3.8
%)
supported by positive returns
in
Chin
a
(
+4.0
%)
.
They
significantly
trail developed market equities
YTD
returning +
4.9 %
,
due
partly
to
higher
US
-
China tensions.
•
Rates
generally
rose
in
June
leading to
bond markets declining
,
with the broad US bond market
(Bloomberg
Aggregate)
falling
0.4 % for the month.
It remains positive (+2.
1 %) year
-
to
-
date
,
though
,
on
declining inflation and expectations for
the Fed to end their rate hikes soon.
→
This
year
, the path
s
of inflation and
monetary policy
,
slowing
global
growth
and
t
he
war
in
Ukraine
will
all
be key.
Economic and Market Update
16.1%
-
2.7%
-
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
Bloomberg Short-Term TIPS
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
16.9%
16.2%
13.9%
11.7%
8.1%
7.8%
5.4%
5.4%
4.9%
2.1%
1.9%
1.5%
-
7.8%
S&P 500
Russell 3000
MSCI ACWI
MSCI EAFE
Russell 2000
JPM GBI-EM Global Diversified
Bloomberg High Yield
FTSE NAREIT Equity
MSCI Emerging Markets
Bloomberg Aggregate
Bloomberg US TIPS
Bloomberg Short-Term TIPS
Bloomberg Commodity Index
Index Returns
1 →
After a particularly difficult 2022, most public market assets are up thus far
in 2023
,
building on gains from the
fourth
quarter of last
year
.
→
Risk sentiment has been supported by expectations that policy tightening could be ending soon ,
as inflation
continues to
fall,
and growth has slowed.
1 Source: Bloomberg and
FactSet.
Data is as of
June 30
, 2023
.
2022
YTD
Economic and Market Update
Domestic Equity
Returns
1 Domestic Equity
June
(%)
Q
2 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
6.6 8.7
16.9 19.6
14.6 12.3
12.8 Russell 3000
6.8 8.4
16.2 19.0
13.9 11.4
12.3 Russell 1000
6.8 8.6
16.7 19.4
14.1 11.9
12.6 Russell 1000 Growth
6.8 12.8
29.0 27.1
13.7 15.1
15.7 Russell 1000 Value
6.6 4.1
5.1 11.5
14.3 8.1
9.2 Russell MidCap
8.3 4.8
9.0 14.9
12.5 8.4
10.3 Russell MidCap Growth
7.7 6.2
15.9 23.1
7.6 9.7
11.5 Russell MidCap Value
8.7 3.9
5.2 10.5
15.0 6.8
9.0 Russell 2000
8.1 5.2
8.1 12.3
10.8 4.2
8.2 Russell 2000 Growth
8.3 7.1
13.6 18.5
6.1 4.2
8.8 Russell 2000 Value
7.9 3.2
2.5 6.0
15.4 3.5
7.3 US Equit
ies
:
Russell 3000 Index
rose
8.4 % in
the
second quarter
and
16.2 %
YTD
.
→
US stocks rose sharply in the second quarter of 2023. Most of the gains came in the month of June when the Fed kept its target rate unchanged for the first time since early 2022. Investors are expressing optimism
that the Fed
can tame inflation without wid
espread disruptions to the equity markets.
→
With the exception of
e
nergy and
u
tilities, each sector of the Russell 3000 index appreciated during the second quarter. Technology led all sectors and was
driven by enthusiasm for growth stocks, particularly tho se with
exposure to artificial intelligence (e.g., NVIDIA).
→
Large cap stocks continue to outperform small cap stocks, driven by t
echnology and the underperformance of
small cap biotechnology stocks. Growth stocks continue to broadly outperform value stocks .
1 Source: Bloomberg. Data is as of
June 30
, 2023
.
Economic and Market Update
Foreign Equity
Returns
1 Foreign Equity
June
(%)
Q
2 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
4.5 2.4
9.5 12.7
7.2 3.5
4.7 MSCI EAFE
4.6 3.0
11.7 18.8
8.9 4.4
5.4 MSCI EAFE (Local Currency)
3.6 4.3
12.1 17.5
11.7 6.4
7.7 MSCI EAFE Small Cap
2.9 0.6
5.5 10.2
5.7 1.3
6.2 MSCI Emerging Markets
3.8 0.9
4.9 1.8
2.3 0.9
2.9 MSCI Emerging Markets (Local Currency)
3.4 1.7
5.6 3.3
3.9 3.0
5.7 MSCI China
4.0 -
9.7 -
5.5 -
16.8 -
10.3 -
5.3 3.0
Foreign Equity:
Developed
i
nternational
equities
(
MSCI EAFE
)
rose
3.0 %
in
the second quarter
bringing the YTD
results to
+
11.7 %.
Emerging market equities (MSCI EM)
rose
0.9 %.
in the
quarter,
rising
4.9%
YTD
.
→
Eurozone and Japan markets continued their strength in June, wrapping up a strong second quarter. In Europe, financials and IT led returns whereas energy and communication services lagged. Enthusiasm for AI helped company fundamentals and prices for semico
nductor stocks. Headline inflation was down in June, although core inflation was up slightly month over month. Energy and materials were the main drivers for falling UK equities, along with Bank of England rate hikes. Optimism continues to build for Japane se investors, while the Yen remains
weak and Bank of Japan remains dovish.
→
Emerging markets were laggards as China equities struggled from weak export demands and rising negative sentiments. Brazil, India and Taiwan are bright spots in EM, the former due to good earnings and macro, the latter
from AI and IT strength.
1 Source: Bloomberg. Data is as of
June 30
, 2023
.
Economic and Market Update
Fixed Income
Returns
1 Fixed Income
June
(%)
Q
2 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
-
0.2 -
0.6 2.3
0.0 -
3.4 1.0
1.8 5.2
6.3 Bloomberg Aggregate
-
0.4 -
0.8 2.1
-
0.9 -
4.0 0.8
1.5 4.8
6.5 Bloomberg US TIPS
-
0.3 -
1.4 1.9
-
1.4 -
0.1 2.5
2.1 4.6
6.8 Bloomberg Short
-
term T
IPS
-
0.2 -
0.7 1.5
0.1 2.3
2.7 1.7
5.3 2.5
Bloomberg High Yield
1.7 1.7
5.4 9.1
3.1 3.4
4.4 8.5
4.1 JPM
GBI
-
EM Global Diversified (USD)
3.3 2.5
7.8 11.4
-
1.4 0.3
-
0.6 6.
6 5.0
Fixed Income
:
The
Bloomberg
Universal
declined
0.6 % in
the second quarter
as global sovereign debt yields
generally ros
e
.
Bonds
retained a positive start to the year
(+
2. 3
%
YTD
)
though as inflation continues to decline.
→
US Treasury yields generally rose over the month, with 1 -
year to 10
-
year maturity sector rising the most
due to
higher
policy expectations
.
→
The TIPS index and the short
-
term TIPS index posted negative returns for the month
as inflation concerns
continued to ease
.
→
Continued risk appetite drove h
igh yield bond
performance
(
1.7 %)
and outperformance versus
the broad US
b
ond
market (Bloomberg
Aggre
gate).
Emerging market bonds (
3.3 %)
also performed well on investor risk sentiment
.
1 Source: Bloomberg. JPM GBI
-
EM
data
is from
InvestorForce
. Data
is as
of
June 30
, 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)
declined in
June
and
remains low
as investors
continue to
anticipate the end of the
Fed’s
policy tightening.
→
In comparison
,
t
he
bond market remains on edge
after last year’s historic los
s
es and continued volatility
in
interest rates this year
due to
policy uncertainty and issues in the banking sector. The
MOVE (fixed
income
volatility) remain
s
well
above
(
110
.
6 )
its
long
-
run average
(88.4)
, but off its recent peak during the heart of the
banking
crisis
.
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
June
2023.
The average line
indicated i
s the average of the VIX and MOVE values between January 2000 and June
2023.
Economic and Market Update
E
quity Cyclically 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
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” earnings over the previous ten years. Data is as of
June
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 →
Interest rates have
started rising again across the curve
given
policy maker guidance that policy rates are
likely to rise further and potentially stay longer at the terminal rate than market participants expect.
The
rise in rates was
particularly
acute
at
the
very
front
-
end (
<
1 year
). M
aturities
from
two
year
s out also drifted
higher as market participants considered the possibility of additional policy rate increase s
as economic data
(mainly inflation and labor markets)
remains
strong
.
→
The yield curve remains inverted with t
he spread between two
-
year and ten
-
year Treasuries
finish
ing
the
month
at
-
1.06 %
.
The more closely watched measure
(
by the Fed
)
of
the
three
-
month and ten
-
year Treasuries
spread
also
remained inverted
at
-
1. 62
%
. Inversions in the yield curve have often preceded recessions.
1 Source: Bloomberg
.
Data is as of
June 30
, 2023
.
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2021
12/30/2022
6/30/2023
Economic and Market Update
Ten
-
Year Breakeven Inflation
and CPI
1 →
Headline i
nflation continued to decline
in
June
,
with the year
-
over
-
year reading falling from
4. 0
% to
3 .
0 %
and
coming in slightly below estimates
.
The month
-
over
-
month rate of price increase
s
rose slightly
(
0. 2
%
versus 0.
1 %),
with food prices
ticking up slightly (0.
1 %)
and
energy prices
rose
(
0.6 %)
.
→
Core inflation
–
excluding food and energy
-
fell (
5. 3
%
to
4.9 %)
,
coming in slightly above forecasts. It
remain
s
stubbornly high
driven by
shelter
costs
.
→
Inflation expectations (
br
eakevens
)
remain well below current inflation as
investors continue to expect inflation
to track back toward the Fed’s 2%
average
target.
1 Source: Bloomberg
. Data is as
June 30
,
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)
declined
in
June
as
risk appetite remained
robust for respective credit exposures
.
→
High yield
spreads
remain
below
th
eir
long
-
term average
. I
nvestment grade spreads
a
nd
e
merging market
spreads
are
narrower
than high yield
spreads
and close to their
respective long
-
term averages.
1 Sources: Bloomberg.
Data is as
of
June 30
, 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
this year
compared to
202
2 ,
with
risks
of recession
as the impacts of
policymakers’ aggressive tightening to fight inflation flow through economies.
→
T
he
delicate balancing act of central banks trying to reduce inflation without dramatically depressing
growth will
remain key.
1 Source:
Oxford Economics (World GDP, US$ prices & PPP exchange rate,
real
, % change YoY). Up
dated
June
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 growth
have led to expectations
for
reductions
in
policy tightening going forward.
→
In
May the Fed
raised
rates another 25 basis points to a range of 5.0%
to 5.25%
.
After month
-
end
,
the
FOMC
paused its tightening campaign
but hinted
that
one or two additional rate hikes could come later this year.
→
In
China,
the central bank has continued to cut interest rates and inject liquidity into the banking system ,
as
weaker than expected economic data appear
s
to indicate a
widespread
slowdown.
→
Looking ahead
,
risk
s
remain for a policy error as central banks
attempt
to
balance
multiple goals,
bringing down
inflation, maintaining financial stability, and
supporting
growth.
1 Source: Bloomberg
.
Policy rate data
is as of
June 30
, 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
March 31
, 2023
.
Economic and Market Update
Inflation (CPI Trailing Twelve
Months
)
1 →
Inflation pressures
continue
d
to decline globally due to the easing of supply chain issues from the pandemic ,
declining energy prices,
and tighter monetary policy.
→
I
n the
US
,
inflation fell to
3 .
0 % at month
-
end, while eurozone inflation
also fell
(
6.1 %
from
7.0 %) a level well off its
peak. Despite
2023’s
significant
declines in the US and Europe, inflation levels
remain elevated
compared to
central bank targets
.
→
Inflation
remains
lower
in
China and Japan
.
In
China, inflation
levels
were only slightly above
0 % at
month
-
end
as
the reopening of their economy
h
as led to an uneven economic recovery.
1 Source: Bloomberg
.
Data is as
June 30
,
2023
. The most recent Japanese inflation data
is as of
May
2023
.
Economic and Market Update
Unemployment
1 →
Despite slowing growth and high
inflation
,
the US labor marke
t still shows signs of resiliency
.
U
nemployment
in
the
US, which
experienced
the steepest
rise,
recently
returned to pre
-
pandemic levels
.
Broader measures of
unemployment (U
-
6) remain higher at 6.
9 % but 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
,
leading
to higher unemployment.
→
Unemployment
in Europe has also declined but remains higher than the US , while
levels in Japan
have been
flat
through the pandemic
given
less layoffs.
1 Source:
Bloomberg. Data is
as
June 30
, 2023
, for the US
.
The most recent data for
Eurozone
and Japanese unemployment is as
of
May
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 this year, the dollar
declined
,
as
weaker economic data and
lower
inflation led to
investors
anticipat
ing
the end of Fed tightening.
In
June
, we did see a slight
decline
in the dollar though
.
→
This year
, the track of
inflation across economies and the corresponding monetary polic ies
will
be
key
drivers of
currency moves.
1 Source: Bloomberg
.
Data as of
June 30
, 2023
.
Economic and Market Update
Summary
Key
T
rends
:
→
The impacts of
still relatively
high inflation will remain key
,
with
bond
market
volatility likely to
stay
high.
→
Recent issues re
lated to the banking sector
seem to
have
subsided for now
but are a reminder that there is a
delicate balance for central banks to continue to fight inflation
but also
to
try to maintain financial stability.
→
Global m
onetary polic
ies
could diverge in 2023
. T
he risk of policy errors
remains elevated
as central banks try
to reduce
persistent inflation
while not tipping their econom
ies
into recession.
→
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
,
consumers could feel pressure as certain
components
of inflation remain high (e.g., shelter), borrowing
cost are elevated, and the job market
may
weaken.
→
The key
for US equitie
s
going forward will be whether earnings can remain resilient if growth continues to slow.
→
E
quity valuations remain lower in both emerging and developed markets, but risks remain ,
including
potential
continued strength in the US dollar, higher inflation weighing particularly
on Europe, and
China
’s
sluggish
economic reopening and
on
-
going
weakness in
the
real estate sector.
2 Q 202
3 Performance
as of
June 30, 2023
Summary of Cash Flows
QTD
1 Year
OPFRS Total Plan
Beginning Market Value
411,182,049
406,308,110
Net Cash Flow
-4,603,292
-20,012,998
Net Investment Change
13,591,332
33,874,977
Ending Market Value
420,170,089
420,170,089
Return Summary Ending June 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
0.0 3.0
6.0 9.0
12.0 15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
4.0 9.1
10.4 6.2
5.5 3.3
7.9 8.5
6.3 5.3
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of June 30, 2023
Performance shown is net of fees.
Risk-Return Summary
QTD Ending June 30, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
0.9 1.8
2.7 3.6
4.5 5.4
T
o
t
a
l
R
e
t
u
r
n
0.9 1.2
1.5 1.8
2.1 2.4
2.7 Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending June 30, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
4.0 6.0
8.0 10.0
12.0 14.0
T
o
t
a
l
R
e
t
u
r
n
8.0 10.0
12.0 14.0
16.0 18.0
Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan
3.3 2.1
OPFRS Policy Benchmark 4.0 1.7
Median
3.1 1.9
Return
Standard
Deviation
OPFRS Total Plan
8.5 12.7
OPFRS Policy Benchmark 10.4 12.7
Median
8.5 12.6
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of June 30, 2023
Performance shown is net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. Fiscal year begins on July 1.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
420,170,089
100.0
3.4 8.0
8.8 6.6
5.6 7.3
6.6 Dec-88
OPFRS Policy Benchmark
4.0 9.1 10.4 6.2 5.5 7.1 7.9
Excess Return
-0.6 -1.1 -1.6
0.4 0.1 0.2
-1.3
Domestic Equity (Gross)
173,924,779
41.4 6.0
11.5 14.9
13.1 10.0
11.8 8.9
Jun-97
Russell 3000 (Blend)
8.4 16.2 19.0 13.9 11.4 12.3 9.1
Excess Return
-2.4 -4.7 -4.1 -0.8 -1.4 -0.5 -0.2
International Equity (Gross)
55,841,087
13.3 3.1
12.1 16.7
8.5 4.8
6.2 5.4
Jan-98
MSCI ACWI ex US (Blend)
2.4 9.5 12.7 7.2 3.5 4.7 5.0
Excess Return
0.7 2.6 4.0 1.3 1.3 1.5 0.4
Fixed Income (Gross)
104,462,270
24.9 -0.5
2.9 0.2
-2.7
1.3 2.1
4.7 Jan-94
Bloomberg Universal (Blend)
-0.6 2.3 0.0 -3.4 1.0 1.8 4.5
Excess Return
0.1 0.6 0.2 0.7 0.3 0.3 0.2
Credit (Gross)
9,200,988
2.2 3.4
7.2 8.8
7.9 4.0
--
5.2 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.7 5.4 9.1 3.1 3.4 4.4 4.2
Excess Return
1.7 1.8
-0.3
4.8 0.6
--
1.0 Covered Calls (Gross)
22,548,100
5.4 7.4
14.0 16.6
13.7 9.9
--
9.2 Apr-14
CBOE S&P 500 Buy Write Index
4.3 10.5 9.0 10.6 4.6 6.3 5.7
Excess Return
3.1 3.5 7.6 3.1 5.3
--
3.5 Crisis Risk Offset (Gross)
40,159,887
9.6 2.0
2.0 -2.8
-7.3
--
--
-8.0
Aug-18
Crisis Risk Offset Benchmark
2.7 2.7 5.2 4.1 -- -- 0.1
Excess Return
-0.7 -0.7 -8.0 -11.4
-- --
-8.1
Cash (Gross)
14,032,977
3.3 0.0
0.0 0.0
0.0 0.9
0.7 0.6
Mar-11
FTSE 3 Month T-Bill
1.3 2.4 3.7 1.3 1.6 1.0 0.8
Excess Return
-1.3 -2.4 -3.7 -1.3 -0.7 -0.3 -0.2
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of June 30, 2023 Performance shown is gross of fees. Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
420,170,089
100.0
3.3 7.9
8.5 6.3
5.3 7.1
6.6 Dec-88
OPFRS Policy Benchmark
4.0 9.1 10.4 6.2 5.5 7.1 7.9
Excess Return
-0.7 -1.2 -1.9
0.1 -0.2
0.0 -1.3
IM Public DB $250M-$1B Median (Net)
3.1 7.4 8.5 7.5 6.3 7.0 8.2
Domestic Equity (Net)
173,924,779
41.4 5.9
11.4 14.5
12.8 9.7
11.6 8.8
Jun-97
Russell 3000 (Blend)
8.4 16.2 19.0 13.9 11.4 12.3 9.1
Excess Return
-2.5 -4.8 -4.5 -1.1 -1.7 -0.7 -0.3
International Equity (Net)
55,841,087
13.3 3.0
11.8 16.0
7.9 4.2
5.8 5.2
Jan-98
MSCI ACWI ex US (Blend)
2.4 9.5 12.7 7.2 3.5 4.7 5.0
Excess Return
0.6 2.3 3.3 0.7 0.7 1.1 0.2
Fixed Income (Net)
104,462,270
24.9 -0.6
2.8 0.0
-2.8
1.1 1.9
4.5 Jan-94
Bloomberg Universal (Blend)
-0.6 2.3 0.0 -3.4 1.0 1.8 4.5
Excess Return
0.0 0.5
0.0 0.6 0.1 0.1
0.0 Credit (Net)
9,200,988
2.2 3.3
6.9 8.2
7.2 3.3
--
4.6 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.7 5.4 9.1 3.1 3.4 4.4 4.2
Excess Return
1.6 1.5
-0.9
4.1 -0.1
--
0.4 Covered Calls (Net)
22,548,100
5.4 7.3
13.9 16.3
13.4 9.6
--
8.9 Apr-14
CBOE S&P 500 Buy Write Index
4.3 10.5 9.0 10.6 4.6 6.3 5.7
Excess Return
3.0 3.4 7.3 2.8 5.0
--
3.2 Crisis Risk Offset (Net)
40,159,887
9.6 1.9
1.9 -3.0
-7.4
--
--
-8.2
Aug-18
Crisis Risk Offset Benchmark
2.7 2.7 5.2 4.1 -- -- 0.1
Excess Return
-0.8 -0.8 -8.2 -11.5
-- --
-8.3
Cash (Net)
14,032,977
3.3 0.0
0.0 0.0
0.0 0.9
0.7 0.6
Mar-11
FTSE 3 Month T-Bill
1.3 2.4 3.7 1.3 1.6 1.0 0.8
Excess Return
-1.3 -2.4 -3.7 -1.3 -0.7 -0.3 -0.2
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of June 30, 2023 Performance shown is net of fees, except for Total Plan, Domestic Equity, and International Equity composites which have a mix of gross and net of fees performance. Please see the Addendum for more details. Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Trailing Period Performance
Ending June 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 4.0
8.0 12.0
16.0 R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
FYTD
1 Yr
3 Yrs
5 Yrs
3.1 7.3
8.5 8.5
7.5 6.3
4.0 9.1
10.4 10.4
6.2 5.5
3.3 7.9
8.5 8.5
6.3 5.3
Calendar Year Performance
Ending December 31, 2022
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 15.0
30.0 -15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
-13.1
14.1 12.7
18.7 -4.6
-14.0
12.2 11.1
19.3 -5.0
-14.7
13.8 9.4
20.8 -5.1
Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of June 30, 2023 Performance shown is net of fees. Fiscal year begins on July 1.
Current
Balance ($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
173,924,779
41.4 40.0
1.4 30.0 - 50.0
Yes
International Equity
55,841,087
13.3 12.0
1.3 8.0 - 14.0
Yes
Fixed Income
104,462,270
24.9 31.0
-6.1
25.0 - 40.0
No
Credit
9,200,988
2.2 2.0
0.2 1.0 - 3.0
Yes
Covered Calls
22,548,100
5.4 5.0
0.4 5.0 - 10.0
Yes
Crisis Risk Offset
40,159,887
9.6 10.0
-0.4
5.0 - 15.0
Yes
Cash
14,032,977
3.3 0.0
3.3 0.0 - 5.0
Yes
Total
420,170,089
100.0
100.0
0.0 June 30, 2023: $420,170,089.1
Cash
3.3%
Covered Calls
5.4%
Credit
2.2%
Crisis Risk Offset
9.6%
Fixed Income
24.9%
Domestic Equity
41.4%
June 30, 2022: $406,308,110.42
Cash
2.7%
Covered Calls
7.6%
Credit
2.1%
Crisis Risk Offset
10.3%
Fixed Income
25.7%
Domestic Equity
39.9%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of June 30, 2023
Cash account market value includes cash balances held in ETF accounts at the custodian and residuals from terminated managers.
Target weights reflect the Plan's evolving asset allocation (effective 05/31/2017).
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
173,924,779
100.0
5.9 11.4
14.5 12.8
9.7 11.6
8.8 Jun-97
Russell 3000 (Blend)
8.4 16.2 19.0 13.9 11.4 12.3 9.1
Excess Return
-2.5 -4.8 -4.5 -1.1 -1.7 -0.7 -0.3
Northern Trust Russell 1000
81,367,541
46.8 8.6
16.7 19.3
13.9 11.8
12.5 13.3
Jun-10
Russell 1000 Index
8.6 16.7 19.4 14.1 11.9 12.6 13.4
Excess Return
0.0 0.0
-0.1 -0.2 -0.1 -0.1 -0.1
EARNEST Partners
43,238,606
24.9 3.8
8.5 9.9
13.3 10.5
12.2 9.2
Apr-06
Russell Midcap Index
4.8 9.0 14.9 12.5 8.5 10.3 8.6
Excess Return
-1.0 -0.5 -5.0
0.8 2.0 1.9 0.6
eV US Mid Cap Core Equity Rank
84 72 88 61 20 18 28
Wellington Select Quality Equity
23,373,498
13.4 4.5
5.3 12.7
--
--
--
5.3 May-22
Russell 1000 Index
8.6 16.7 19.4 14.1 11.9 12.6 7.8
Excess Return
-4.1 -11.4 -6.7
-- -- --
-2.5
eV US Large Cap Core Equity Rank
82 91 76 -- -- -- 67
Brown Fundamental Small Cap Value
11,278,982
6.5 3.8
3.2 13.8
--
--
--
2.2 Apr-21
Russell 2000 Value Index
3.2 2.5 6.0 15.4 3.5 7.3 -3.3
Excess Return
0.6 0.7 7.8
-- -- --
5.5 eV US Small Cap Value Equity Rank
48 76 37 -- -- -- 34
Rice Hall James
14,666,153
8.4 2.7
9.7 8.0
6.7 2.4
--
6.5 Aug-17
Russell 2000 Growth Index
7.1 13.6 18.5 6.1 4.2 8.8 6.9
Excess Return
-4.4 -3.9 -10.5
0.6 -1.8
--
-0.4
eV US Small Cap Growth Equity Rank
87 76 94 59 96 -- 91
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees, except for the Domestic Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
55,841,087
100.0
3.0 11.8
16.0 7.9
4.2 5.8
5.2 Jan-98
MSCI ACWI ex US (Blend)
2.4 9.5 12.7 7.2 3.5 4.7 5.0
Excess Return
0.6 2.3 3.3 0.7 0.7 1.1 0.2
Vanguard Developed Markets ETF
15,464,066
27.7 2.2
10.4 15.3
8.8 --
--
6.7 Sep-19
FTSE Developed All Cap ex-U.S. Index
3.1 11.1 16.9 9.3 4.6 5.9 7.1
Excess Return
-0.9 -0.7 -1.6 -0.5
-- --
-0.4
SGA ACWI ex-U.S. Equity
40,377,022
72.3 3.3
12.3 16.3
7.5 --
--
3.0 Dec-19
MSCI AC World ex USA (Net)
2.4 9.5 12.7 7.2 3.5 4.7 3.8
Excess Return
0.9 2.8 3.6 0.3
-- --
-0.8
eV ACWI ex-US All Cap Core Eq Rank
36 24 33 62 -- -- 90
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees, except for the International Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
104,462,270
100.0
-0.6
2.8 0.0
-2.8
1.1 1.9
4.5 Jan-94
Bloomberg Universal (Blend)
-0.6 2.3 0.0 -3.4 1.0 1.8 4.5
Excess Return
0.0 0.5
0.0 0.6 0.1 0.1
0.0 Ramirez
70,891,932
67.9 -0.6
2.6 -0.4
-2.8
1.0 --
1.2 Feb-17
Blmbg. U.S. Aggregate Index
-0.8 2.1 -0.9 -4.0 0.8 1.5 0.9
Excess Return
0.2 0.5 0.5 1.2 0.2
--
0.3 eV US Core Fixed Inc Rank
37 22 40 14 51 -- 30
Wellington Core Bond
6,726,320
6.4 -0.6
3.0 -0.2
--
--
--
-4.7
Apr-21
Blmbg. U.S. Aggregate Index
-0.8 2.1 -0.9 -4.0 0.8 1.5 -4.3
Excess Return
0.2 0.9 0.7
-- -- --
-0.4
eV US Core Fixed Inc Rank
28 4 33 -- -- -- 90
Reams
26,844,017
25.7 -0.5
3.1 1.1
-2.5
3.4 2.8
4.9 Feb-98
Bloomberg Universal (Blend)
-0.6 2.3 0.0 -3.4 1.0 1.8 4.1
Excess Return
0.1 0.8 1.1 0.9 2.4 1.0 0.8
eV US Core Plus Fixed Inc Rank
41 11 21 35 1 8 19
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
9,200,988
100.0
3.3 6.9
8.2 7.2
3.3 --
4.6 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.7 5.4 9.1 3.1 3.4 4.4 4.2
Excess Return
1.6 1.5
-0.9
4.1 -0.1
--
0.4 Polen Capital
9,200,988
100.0
3.3 6.9
8.2 7.2
3.3 --
4.6 Feb-15
ICE BofA High Yield Master II
1.6 5.4 8.9 3.2 3.2 4.3 4.1
Excess Return
1.7 1.5
-0.7
4.0 0.1
--
0.5 eV US High Yield Fixed Inc Rank
3 4 52 4 45 -- 17
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
22,548,100
100.0
7.3 13.9
16.3 13.4
9.6 --
8.9 Apr-14
CBOE S&P 500 Buy Write Index
4.3 10.5 9.0 10.6 4.6 6.3 5.7
Excess Return
3.0 3.4 7.3 2.8 5.0
--
3.2 Parametric BXM
11,207,891
49.7 6.0
11.4 12.6
11.1 7.1
--
7.1 Apr-14
CBOE S&P 500 Buy Write Index
4.3 10.5 9.0 10.6 4.6 6.3 5.7
Excess Return
1.7 0.9 3.6 0.5 2.5
--
1.4 Parametric DeltaShift
11,340,209
50.3 8.7
16.5 20.2
15.4 11.9
--
10.9 Apr-14
CBOE S&P 500 Buy Write Index
4.3 10.5 9.0 10.6 4.6 6.3 5.7
Excess Return
4.4 6.0 11.2 4.8 7.3
--
5.2 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Inception
(%)
Inception
Date
Crisis Risk Offset
40,159,887
100.0
1.9 1.9
-3.0
-7.4
--
--
-8.2
Aug-18
Crisis Risk Offset Benchmark
2.7 2.8 5.3 4.1 -- -- 0.1
Over/Under
-0.8 -0.9 -8.3 -11.5
-- --
-8.3
Kepos Alternative Risk Premia
10,476,679
26.1 2.0
6.5 9.8
--
--
--
3.3 Feb-22
SG Multi Alternative Risk Premia Index
2.5 3.6 6.1 4.4 -- -- 5.3
Over/Under
-0.5
2.9 3.7
-- -- --
-2.0
Versor Trend Following
15,551,785
38.7 6.6
-2.6
-6.4
--
--
--
2.9 Apr-22
SG Trend Index
8.0 0.1 -1.1 14.3 9.4 5.7 6.6
Over/Under
-1.4 -2.7 -5.3
-- -- --
-3.7
Vanguard Long-Term Treasury ETF
14,131,423
35.2 -2.8
3.9 -7.3
-12.2
--
--
-4.1
Jul-19
Blmbg. U.S. Government: Long Term Bond Index
-2.3 3.7 -6.8 -12.0 -0.9 1.8 -3.9
Over/Under
-0.5
0.2 -0.5 -0.2
-- --
-0.2
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 2023 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Growth of a Dollar
5 Years ending June 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.96
$1.04
$1.12
$1.20
$1.28
$1.36
$1.44
2018
2018
2019
2019
2020
2020
2021
2021
2022
2022
2023
Actuarial Rate: $1.34
OPFRS Policy Benchmark: $1.31
OPFRS Total Plan: $1.30
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of June 30, 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.
Plan Sponsor Peer Group Performance Comparison
vs. InvMetrics Public DB $250M-$1B
0.0 4.0
8.0 12.0
16.0 R
e
t
u
r
n
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
OPFRS Total Plan
3.3 (44)
7.9 (39)
8.5 (49)
6.3 (73)
5.3 (78)
7.1 (49)
¢
£
OPFRS Policy Benchmark
4.0 (18)
9.1 (21)
10.4 (27)
6.2 (77)
5.5 (73)
7.1 (49)
5th Percentile
4.7 10.5
12.4 9.4
7.5 8.2
1st Quartile
3.7 8.8
10.5 8.4
6.7 7.6
Median
3.1 7.3
8.5 7.5
6.3 7.0
3rd Quartile
2.5 6.3
7.0 6.3
5.4 6.5
95th Percentile
1.3 3.6
4.8 5.0
4.7 5.9
Population
82 82
82 82
80 71
Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of June 30, 2023
Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and net of fees thereafter. Parentheses contain percentile rankings. Calculation based on monthly periodicity. Fiscal year begins on July 1.
Portfolio Characteristics & Manager Profiles
Oakland Police and Fire Retirement System
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000 0.00 1.00
-0.65
0.88 0.01
1.00 99.85
-
Russell 1000 Index
0.00 1.00
-
0.88 0.00
1.00 100.00
-
Trailing Performance (Net of Fees)
Northern Trust Russell 1000
Russell 1000 Index
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
8.6 19.4
14.1 11.9
13.1 12.6
8.6 19.3
13.9 11.8
13.0 12.5
Growth of $1 - Since Inception
Northern Trust Russell 1000
Russell 1000 Index
0.0 1.5
3.0 4.5
6.0 5/10
8/11
11/12
2/14
5/15
8/16
11/17
2/19
5/20
8/21
6/23
$5.2
$5.1
Calendar Year Returns (Net of Fees)
Northern Trust Russell 1000
Russell 1000 Index
0.0 20.0
40.0 60.0
-20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-19.1
26.5 21.0
31.4 -4.8
21.7 -19.4
26.5 20.8
31.4 -4.8
21.6 Risk/Return - Since Inception
eV US Large Cap Core Equity
Northern Trust Russell 1000
Russell 1000 Index
4.0 8.0
12.0 16.0
20.0 R
e
t
u
r
n
4.0 6.0
8.0 10.0
12.0 14.0
16.0 18.0
20.0 Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
Northern Trust Russell 1000
8.57 2.79
Russell 1000 Index
8.58 2.80
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
EARNEST Partners
-0.15 0.90
-0.39
0.22 0.81
0.98 90.12
103.92
Russell Midcap Index
0.00 1.00
-
0.27 0.00
1.00 100.00
100.00
Trailing Performance (Net of Fees)
EARNEST Partners
Russell Midcap Index
0.0 5.0
10.0 15.0
20.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
4.8 14.9
12.5 8.5
10.1 10.3
3.8 9.9
13.3 10.5
12.8 12.2
Growth of $1 - Since Inception
EARNEST Partners
Russell Midcap Index
0.0 1.5
3.0 4.5
6.0 3/06
12/07
9/09
6/11
3/13
12/14
9/16
6/18
3/20
12/21
6/23
$4.2
$4.6
Calendar Year Returns (Net of Fees)
EARNEST Partners
Russell Midcap Index
0.0 25.0
50.0 75.0
-25.0
-50.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-17.3
22.6 17.1
30.5 -9.1
18.5 -15.9
24.8 20.2
37.3 -10.4
25.1 Risk/Return - Since Inception
eV US Mid Cap Core Equity
EARNEST Partners
Russell Midcap Index
6.0 8.0
10.0 12.0
R
e
t
u
r
n
14.0 16.0
18.0 20.0
22.0 24.0
Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
EARNEST Partners
3.84 4.36
Russell Midcap Index
4.76 4.81
Oakland Police and Fire Retirement System
EARNEST Parrtners | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Wellington Select Quality Equity -1.78 1.19 -0.52
0.29 2.41
0.67 55.57
-
Russell 1000 Index
0.00 1.00
-
0.88 0.00
1.00 100.00
-
Trailing Performance (Net of Fees)
Wellington Select Quality Equity
Russell 1000 Index
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
8.6 19.4
14.1 11.9
13.1 12.6
4.5 12.7
Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index
0.8 1.0
1.2 1.4
4/22
7/22
10/22
1/23
4/23
6/23
$1.1
$1.1
Calendar Year Returns (Net of Fees)
Wellington Select Quality Equity
Russell 1000 Index
0.0 20.0
40.0 60.0
-20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-19.1
26.5 21.0
31.4 -4.8
21.7 Risk/Return - Since Inception
eV US Large Cap Core Equity
Wellington Select Quality Equity
Russell 1000 Index
-6.0
0.0 6.0
12.0 18.0
24.0 R
e
t
u
r
n
6.0 9.0
12.0 15.0
18.0 21.0
24.0 27.0
Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
Wellington Select Quality Equity
4.52 4.07
Russell 1000 Index
8.58 2.80
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Brown Fundamental Small Cap Value 0.15 1.06 0.36
0.20 0.61
0.99 108.19
99.89 Russell 2000 Value Index
0.00 1.00
-
0.16 0.00
1.00 100.00
100.00
Trailing Performance (Net of Fees)
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 5.0
10.0 15.0
20.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
3.2 6.0
15.4 3.5
7.7 7.3
3.8 13.8
Growth of $1 - Since Inception
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.8 1.0
1.2 1.4
3/21
6/21
9/21
12/21
3/22
6/22
9/22
12/22
3/23
6/23
$0.9
$1.0
Calendar Year Returns (Net of Fees)
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 20.0
40.0 -20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-14.5
28.3 4.6
22.4 -12.9
7.8 -7.7
Risk/Return - Since Inception
eV US Small Cap Value Equity
Brown Fundamental Small Cap Value
Russell 2000 Value Index
-20.0
-10.0
0.0 10.0
20.0 30.0
R
e
t
u
r
n
12.0 15.0
18.0 21.0
24.0 27.0
30.0 Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
Brown Fundamental Small Cap Value 3.81
5.11 Russell 2000 Value Index
3.18 4.80
Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Rice Hall James
-1.19 0.92 -0.54
0.14 2.53
0.71 29.38 -50.63
Russell 2000 Growth Index
0.00 1.00
-
0.48 0.00
1.00 100.00
100.00
Trailing Performance (Net of Fees)
Rice Hall James
Russell 2000 Growth Index
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
7.1 18.5
6.1 4.2
9.3 8.8
2.7 8.0
6.7 2.4
Growth of $1 - Since Inception
Rice Hall James
Russell 2000 Growth Index
0.4 0.8
1.2 1.6
2.0 7/17
1/18
7/18
1/19
7/19
1/20
7/20
1/21
7/21
1/22
7/22
6/23
$1.5
$1.5
Calendar Year Returns (Net of Fees)
Rice Hall James
Russell 2000 Growth Index
0.0 25.0
50.0 -25.0
-50.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-26.4
2.8 34.6
28.5 -9.3
22.2 -24.5
15.1 23.4
17.5 -7.2
Risk/Return - Since Inception
eV US Small Cap Growth Equity
Rice Hall James
Russell 2000 Growth Index
0.0 5.0
10.0 15.0
20.0 25.0
R
e
t
u
r
n
16.0 20.0
24.0 28.0
32.0 36.0
40.0 Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
Rice Hall James
2.74 4.63
Russell 2000 Growth Index
7.05 4.21
Oakland Police and Fire Retirement System
Rice Hall James | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Vanguard Developed Markets ETF
-0.21 0.91 -0.66
0.13 0.47
0.99 86.29 98.79
FTSE Developed All Cap ex-U.S. Index
0.00 1.00
-
0.20 0.00
1.00 100.00
100.00
Trailing Performance (Net of Fees)
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
3.1 16.9
9.3 4.6
7.2 5.9
2.2 15.3
8.8 Growth of $1 - Since Inception
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.8 1.0
1.2 1.4
1.6 8/19
2/20
8/20
2/21
8/21
2/22
8/22
2/23
6/23
$1.3
$1.3
Calendar Year Returns (Net of Fees)
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 20.0
40.0 -20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-15.3
11.9 10.3
22.7 -14.5
26.7 -15.4
11.7 10.0
Risk/Return - Since Inception
eV ACWI ex-US All Cap Core Eq
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
-5.0
0.0 5.0
10.0 15.0
R
e
t
u
r
n
12.0 14.0
16.0 18.0
20.0 22.0
24.0 26.0
Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
Vanguard Developed Markets ETF
2.24 3.22
FTSE Developed All Cap ex-U.S. Index
3.15 3.53
Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of June 30, 2023
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
SGA ACWI ex-U.S. Equity
0.24 1.05
0.29 0.21
0.96 0.93
105.81
86.58 MSCI AC World ex USA (Net)
0.00 1.00
-
0.14 0.00
1.00 100.00
100.00
Trailing Performance (Net of Fees)
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q2-23
1 Year
3 Years
5 Years
7 Years
10 Years
2.4 12.7
7.2 3.5
6.3 4.7
3.3 16.3
7.5 Growth of $1 - Since Inception
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.6 0.8
1.0 1.2
1.4 11/19
5/20
11/20
5/21
11/21
5/22
11/22
6/23
$1.1
$1.1
Calendar Year Returns (Net of Fees)
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 20.0
40.0 -20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
2017
-16.0
7.8 10.7
21.5 -14.2
27.2 -16.3
9.9 7.0
Risk/Return - Since Inception
eV ACWI ex-US All Cap Core Eq
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
-5.0
0.0 5.0
10.0 15.0
R
e
t
u
r
n
14.0 16.0
18.0 20.0
22.0 24.0
26.0 Standard Deviation
Anlzd
Return
Anlzd Standard
Deviation
SGA ACWI ex-U.S. Equity
3.27 3.68
MSCI AC World ex USA (Net)
2.44 3.37
Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of June 30, 2023
Account Information
Account Name Ramirez
Account Structure
Separate Account
Inception Date 01/30/2017
Asset Class
US Fixed Income
Benchmark Blmbg. U.S. Aggregate Index
Peer Group
eV US Core Fixed Inc
Credit Quality Allocation
Ramirez
Blmbg. U.S. Aggregate Index
0.0 20.0
40.0 60.0
80.0 A
A
A
/
A
a
a
A
A
/
A
a
A
B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2 B
B
B
-
/
B
a
a
3 B
B
/
B
a
B
C
a
s
h
30.2 45.6
10.8 13.2
0.0 0.2
0.0 0.0
8.4 63.2
10.5 13.3
3.3 0.9
0.0 0.4
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez
-0.6 2.6 -0.4 -2.8
1.0 Blmbg. U.S. Aggregate Index -0.8 2.1 -0.9 -4.0
0.8 Sector Allocation
Ramirez
Blmbg. U.S. Aggregate Index
0.0 15.0
30.0 45.0
60.0 U
S
T
/
A
g
e
n
c
y
C
o
r
p
o
r
a
t
e
M
B
S
A
B
S
F
o
r
e
i
g
n
M
u
n
i
O
t
h
e
r
C
a
s
h
42.2 24.6
28.9 0.5
3.2 0.0
0.6 0.0
23.0 23.3
25.6 3.1
0.0 24.6
0.0 0.4
Portfolio Fixed Income Characteristics
Q2-23
Portfolio
Q1-23
Portfolio
Yield To Maturity
5.1 4.8
Average Duration
6.1 6.0
Average Quality
AA
AA/Aa
Weighted Average Maturity
9.2 9.2
Oakland Police and Fire Retirement System
Ramirez | As of June 30, 2023
Account Information
Account Name Wellington Core Bond
Account Structure
Commingled Fund
Inception Date 04/01/2021
Asset Class
US Fixed Income
Benchmark Blmbg. U.S. Aggregate Index
Peer Group
eV US Core Fixed Inc
Credit Quality Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index
0.0 25.0
50.0 75.0
100.0
A
A
A
/
A
a
a
A
A
/
A
a
A
B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2 B
B
/
B
a
30.2 45.6
10.8 13.2
0.2 76.2
4.9 11.2
7.8 0.0
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond
-0.6 3.0 -0.2 -
-
Blmbg. U.S. Aggregate Index -0.8 2.1 -0.9 -4.0
0.8 Sector Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index
0.0 15.0
30.0 45.0
60.0 U
S
T
/
A
g
e
n
c
y
C
o
r
p
o
r
a
t
e
M
B
S
A
B
S
F
o
r
e
i
g
n
R
e
p
u
r
c
h
a
s
e
A
g
r
e
e
m
e
n
t
s
O
t
h
e
r
42.2 24.6
28.9 0.5
3.2 0.0
0.6 18.8
0.0 48.2
10.3 0.0
22.6 0.0
Portfolio Fixed Income Characteristics
Q2-23
Portfolio
Q1-23
Portfolio
Yield To Maturity
5.3 4.8
Average Duration
6.8 6.9
Average Quality
AA
AA/Aa
Weighted Average Maturity
7.1 -
Oakland Police and Fire Retirement System
Ramirez | As of June 30, 2023
Account Information
Account Name Reams
Account Structure
Separate Account
Inception Date 01/01/1998
Asset Class
US Fixed Income
Benchmark Bloomberg Universal (Blend)
Peer Group
eV US Core Plus Fixed Inc
Credit Quality Allocation
Reams
Blmbg. U.S. Universal Index
0.0 20.0
40.0 60.0
80.0 A
A
A
/
A
a
a
A
A
/
A
a
A
B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2 B
B
/
B
a
B
C
C
C
/
C
a
a
C
C
/
C
a
C
D
N
o
t
R
a
t
e
d
26.3 40.4
12.1 14.8
3.5 2.3
0.6 0.0
0.0 0.0
0.0 69.0
0.4 18.0
6.1 0.0
0.0 0.0
0.0 0.0
0.0 6.5
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams
-0.5 3.1 1.1 -2.5 3.4
Blmbg. U.S. Universal Index -0.6 2.3 0.0 -3.4 1.0
Sector Allocation
Reams
Blmbg. U.S. Universal Index
0.0 15.0
30.0 45.0
60.0 U
S
T
/
A
g
e
n
c
y
C
o
r
p
o
r
a
t
e
M
B
S
A
B
S
F
o
r
e
i
g
n
M
u
n
i
C
a
s
h
35.9 32.4
24.5 0.5
6.2 0.5
0.0 22.4
31.2 41.3
4.3 0.0
0.0 0.8
Portfolio Fixed Income Characteristics
Q2-23
Portfolio
Q1-23
Portfolio
Yield To Maturity
5.5 5.4
Average Duration
6.7 6.4
Average Quality
AA
AA/Aa
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Reams | As of June 30, 2023
Account Information
Account Name Polen Capital
Account Structure
Commingled Fund
Inception Date 02/01/2015
Asset Class
US Fixed Income
Benchmark ICE BofA High Yield Master II
Peer Group
eV US High Yield Fixed Inc
Credit Quality Allocation
Polen Capital
ICE BofA High Yield Master II
0.0 15.0
30.0 45.0
60.0 B
B
B
B
/
B
a
B
C
C
C
/
C
a
a
C
C
/
C
a
C
D
N
o
t
R
a
t
e
d
C
a
s
h
0.5 52.7
36.6 10.0
0.1 0.0
0.1 0.0
0.0 0.7
5.5 36.1
49.1 0.0
0.0 0.0
5.6 3.0
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital
3.3 6.9 8.2 7.2
3.3 ICE BofA High Yield Master II 1.6 5.4 8.9 3.2
3.2 Sector Allocation
Polen Capital
ICE BofA High Yield Master II
0.0 50.0
100.0
150.0
C
o
r
p
o
r
a
t
e
O
t
h
e
r
100.0
0.0 100.0
0.0 Portfolio Fixed Income Characteristics
Q2-23
Portfolio
Q1-23
Portfolio
Yield To Maturity
11.0 11.8
Average Duration
1.8 1.8
Average Quality
BBB
CCC/Caa
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Polen Capital | As of June 30, 2023
B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls
8.9 11.6 3.0 1.0 0.8
4.0 122.6 105.4 04/01/2014
CBOE S&P 500 Buy Write Index 5.7 10.6 0.0 1.0
-
0.0 100.0 100.0
Parametric BXM
7.1 9.5 2.1 0.9 0.4
3.2 99.0 87.0 04/01/2014
CBOE S&P 500 Buy Write Index 5.7 10.6 0.0 1.0
-
0.0 100.0 100.0
Parametric DeltaShift
10.9 13.9 4.2 1.2 0.8
6.2 145.3 121.0 04/01/2014
CBOE S&P 500 Buy Write Index 5.7 10.6 0.0 1.0
-
0.0 100.0 100.0
Trailing Period Performance
Covered Calls
CBOE S&P 500 Buy Write Index
0.0 5.0
10.0 15.0
20.0 R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
4.3 10.5
9.0 10.6
4.6 7.3
13.9 16.3
13.4 9.6
Growth of a Dollar
Covered Calls
CBOE S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
2018
2019
2019
2020
2021
2022
2023
$1.25
$1.58
Calendar Year Performance
Covered Calls
CBOE S&P 500 Buy Write Index
0.0 15.0
30.0 -15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
-11.4
20.5 -2.8
16.6 -4.8
-12.7
24.4 11.1
22.1 -5.2
Oakland Police and Fire Retirement System
Covered Calls | As of June 30, 2023
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-8.2 11.5 -7.7 0.8 -0.8 10.7 24.3 134.5 08/01/2018
Crisis Risk Offset Benchmark
0.1 5.4 0.0 1.0
-
0.0 100.0 100.0
Kepos Alternative Risk Premia
3.3 6.0 -0.3 0.7 -0.4
5.0 73.9 82.6 02/01/2022
SG Multi Alternative Risk Premia Index
5.3 5.2 0.0 1.0
-
0.0 100.0 100.0
Versor Trend Following
2.9 17.4 -4.1 1.2 -0.4
7.0 98.3 116.4 04/01/2022
SG Trend Index
6.6 13.9 0.0 1.0
-
0.0 100.0 100.0
Vanguard Long-Term Treasury ETF
-4.1 14.6 -0.1 1.0 -0.1
1.2 101.9 102.3 07/01/2019
Blmbg. U.S. Government: Long Term Bond Index -3.9 14.3 0.0 1.0 -
0.0 100.0 100.0
Correlation Matrix
3 Months Ending June 30, 2023
Crisis Risk Offset MSCI AC World Index Value S&P 500 Index Blmbg. Global Aggregate Crisis Risk Offset
1.00 MSCI AC World Index Value
1.00 1.00
S&P 500 Index
0.93 0.89
1.00 Blmbg. Global Aggregate
0.78 0.83
0.50 1.00
Trailing Period Performance
Crisis Risk Offset
Crisis Risk Offset Benchmark
0.0 4.0
8.0 -4.0
-8.0
-12.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
2.7 2.8
5.3 4.1
1.9 1.9
-3.0
-7.4
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of June 30, 2023
Benchmark History
From Date To Date
Benchmark
OPFRS Total Plan
06/01/2022 Present
40.0% Russell 3000 Index, 12.0% MSCI AC World ex USA (Net), 31.0% Blmbg. U.S. Universal Index, 2.0% Blmbg. U.S. Corp: High Yield Index, 5.0% CBOE S&P 500 Buy Write Index, 10.0% Crisis Risk Offset Benchmark 01/01/2019 06/01/2022
40.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 31.0% Blmbg. U.S. Universal Index, 5.0% CBOE S&P 500 Buy Write Index, 2.0% Blmbg. U.S. Treasury: Long, 10.0% Crisis Risk Offset Benchmark 05/01/2016 01/01/2019
48.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. U.S. Universal Index, 20.0% CBOE BXM 10/01/2015 05/01/2016
43.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. U.S. Universal Index, 15.0% CBOE BXM, 10.0% CPI - All Urban Consumers (unadjusted) +3%
01/01/2014 10/01/2015
48.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. U.S. Universal Index, 10.0% CBOE BXM, 10.0% CPI - All Urban Consumers (unadjusted) +3%
03/01/2013 01/01/2014
40.0% Russell 3000 Index, 10.0% MSCI AC World ex USA index, 17.0% Blmbg. U.S. Universal Index, 33.0% ICE BofA 3 Month U.S. T- Bill
08/01/2012 03/01/2013
20.0% Russell 3000 Index, 7.0% MSCI AC World ex USA index, 18.0% Blmbg. U.S. Universal Index, 55.0% ICE BofA 3 Month U.S. T- Bill
10/01/2007 08/01/2012
53.0% Russell 3000 Index, 17.0% MSCI AC World ex USA index, 30.0% Blmbg. U.S. Universal Index 04/01/2006 10/01/2007
35.0% Russell 3000 Index, 15.0% MSCI AC World ex USA index, 50.0% Blmbg. U.S. Universal Index 01/01/2005 04/01/2006
35.0% Russell 3000 Index, 50.0% Blmbg. U.S. Aggregate Index, 15.0% MSCI AC World ex USA index 04/01/1998 01/01/2005
20.0% Russell 1000 Value Index, 10.0% Russell 1000 Index, 5.0% Russell Midcap Index, 50.0% Blmbg. U.S. Aggregate Index, 15.0% MSCI EAFE (Net)
09/01/1988 04/01/1998
40.0% S&P 500 Index, 55.0% Blmbg. U.S. Aggregate Index, 5.0% FTSE 3 Month T-Bill Oakland Police and Fire Retirement System
Benchmark History | As of June 30, 2023
Benchmark History
From Date To Date
Benchmark
Domestic Equity
01/01/2005 Present
100.0% Russell 3000 Index
04/01/1998 01/01/2005
57.1% Russell 1000 Value Index, 28.6% Russell 1000 Index, 14.3% Russell Midcap Index 09/01/1988 04/01/1998
100.0% S&P 500 Index
International Equity
01/01/2005 Present
100.0% MSCI AC World ex USA (Net)
01/01/1998 01/01/2005
100.0% MSCI EAFE Index
Fixed Income
04/01/2006 Present
100.0% Blmbg. U.S. Universal Index
01/01/1976 04/01/2006
100.0% Blmbg. U.S. Aggregate Index
Covered Calls
03/01/2014 Present
CBOE S&P 500 Buy Write Index
Crisis Risk Offset
01/01/2023 Present
33.3% SG Trend Index, 33.3% SG Multi Alternative Risk Premia Index, 33.3% Blmbg. U.S. Government: Long Term Bond Index 08/01/2018 01/01/2023
100.0% SG Multi Alternative Risk Premia Index
Cash
03/01/2011 Present
FTSE 3 Month T-Bill
Oakland Police and Fire Retirement System
Benchmark History | As of June 30, 2023
Manager Monitoring / Probation Status
Manager Monitoring / Probation Lis
t
| As of
June 30
,
202
3 Manager
Monitoring
/
Probation
Status
Managers on Watch
•
The following managers have
breached the short
-
term investment performance criteria as of June 30, 2023 .
Manager
Asset Class
Short
-
term Criteria
Medium
-
term Criteria
Long
-
term Criteria
Recommend
Probation?
EARNEST Partners
Active Domestic Equity
Breached
Passed
Passed
No
Wellington Select Quality Equity
Active Domestic Equity
Breached
Not enough history
Not enough history
No
Rice Hall James
Active Domestic
Equity
Breached
Passed
Passed
No
Managers on Probation Status
There are no managers currently on probation.
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
1 < 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 VRR (Value Relative Ratio) is calculated as manager cumulative return/ benchmark
cumulative
return
.
Oakland Police and Fire Retirement System
Additional Information
Oakland Police and Fire Retirement System
Addendum: Additional Information
Additional Information
Performance Return Types:
Performance shown is net of fees, except for OPFRS Total Plan, Domestic Equity, and International Equity Composites, which have a mix of gross and net of fees performance.
Performance shown for OPFRS Total Plan and International Equity composite is gross of fees prior to January 2016.
Performance shown for Domestic Equity composite is gross of fees prior to January 2017.
Inception Date:
Since inception date and performance b
egin in the month following an investments initial funding.
Fiscal Year:
Fiscal year begins on July 1.
Fair Value Pricing Methodology:
Though Vanguard Developed Markets ETF is a passive strategy, short -
term performance may appear to diverge
from the index it tracks more
than
would be expected. This is due to Fair Value Pricing (FVP) adjustments that address
the pricing discrepancies
that may arise from time
-
zone differences among global securities markets. The resulting temporary divergence is expected to correct itself when the foreign markets reopen
.
Oakland Police and Fire Retirement System
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.