ATTACHMENT A:
Oakland Police and Fire System Quarterly
Investment Performance Report
BOSTON CHICAGO LONDON MIAMI NEW YORK PORTLAND SAN DIEGO MEKETA.COM Quarterly Performance Report
as of September 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
September
30 , 202
3 3.
Quarterly
Performance as of
September
30 ,
2 02
3 4.
Manager Monitoring / Probation
Status
5. Appendix
6. Disclaimer, Glossary, and Notes
Executive Summary
Oakland Police and Fire Retirement System
Executive Summary | As of
September
3 0
, 202
3 Total Portfolio
Review
The
Oakland Police and Fire
Retirement
System (OPFRS)
finished the
quarter
with
$405.1 million in assets after net
cash flows including monthly benefit
payments. A
ll asset classes
in their
acceptable target allocation ranges
.
Cash Flow Summary
($ Millions)
Quarter
1 Year
Beginning Market Value
420.2
382.5
Net Cash Flows (including Benefit Payments)
-
3.0 -
17.6 Net Investment Change
(Gain/Loss)
-
12.0 40.3
Ending Market Value
405.1
405.1
Investment
Performance
1 QTD
/ FYTD
YTD
1 Year
3 Year
5 Year
Total
Plan
(Gross)
-
2.8 5.0
10.9 3.9
4.2 Total
Plan
(Net)
-
2.9 4.8
10.5 3.5
3.9 Policy Benchmark
-
3.0 5.9
12.2 3.5
4.0 Excess Return
0.1 -
1.1 -
1.7 0.0
-
0.1 Public DB ($250M
-
$
1B) Median Fund
-
2.8 4.5
10.2 4.4
5.0 OPFRS
Total
Plan
(Net) vs. Peer Median Fund
-
0.1 0.3
0.4 -
0.8 -
1.1 Peer Group Percentile Rank
57 42
41 80
88 1
Fiscal year beings on July 01. Peer group is Investment Metrics Public Defined Benefit plans with $250 million to $1 billion in assets. The number of
peers is about 80 portfolios in each time period.
Please see
the
Benchmark History section for
the
Policy Benchmark’s current and historical compositions.
Oakland Police and Fire Retirement System
Executive Summary | As of
September
3 0
, 202
3 Asset
Class
and
Manager
Highlights
1 →
Total
Plan’s
marginal
quarterly
outperformance was
the result of domestic equity’s underperformance and international equity’s outperformance. For the 1
-
year period, domestic equity was the primary factor for Total
Portfolio’s
underperformance.
→
Domestic equity
under
performed the Russell 3000 Index
over
all trailing periods
.
•
EARNEST Partners and
Brown Fundamental
outperformed
their respective
benchmark
s
while all other active
managers
under
performed their
respective benchmarks for
the quarter.
→
International equity
outperformed the MSCI ACWI ex US
(Net)
for all periods
except for the most recent quarter
.
•
The active SGA MSCI ACWI ex US outperformed its benchmark over
all time periods except since inception
.
•
The passive Vanguard posted
some
variation
2 from the tracked benchmark
over the
periods measured
.
→
Fixed income
slightly underperformed
or matched
its
custom
benchmark
over the quarter, year
-
to
-
date, and 1
-
year time
periods
.
The underlying managers outper
formed their respective benchmarks
across almost all
time periods
measured.
→
The
Credit
segment, with Polen Capital as its only manager, outperformed the asset class’s
benchmark, Bloomberg
US
High Yield Index,
for all time periods
.
→
Covered Calls
, as well as
both
the
passive BXM and the
active DeltaShift strateg
ies
outperformed the CBOE S&P 500 Buy
Write Index across all periods measured.
→
The
Crisis Risk Offset
segment
outperformed
its
custom
benchmark
over the quarter and year
-
to
-
date while
underperforming over the longer time periods.
•
Among its underlying managers,
Vanguard Long
-
Term Treasury ETF
had double
-
digit negative returns over the
quarter impacted by the rising rate environment. Its relative performance was within expectations.
1 Please see
the
Benchmark History section for
the custom benchmark compositions.
2 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 September 30, 2023
Economic and Market Update
Commentary
→
After a strong July, g
lobal assets turned negative in
August and
September
as expectations
shifted to the
Fed
keeping interest rates higher for longer
.
W
eakening economic data from Europe
and China
, as well as further
instability
in the Chinese real estate sector
and a strong US dollar
, weighed on results.
•
T
he
Federal Open Market
s Committee (FOMC)
increased
policy
rates in July by 0.25% to a range of
5.25%
-
5.5% and
ke
pt
rates at that level at their September meeting.
Markets are now largely expecting the
FOMC
t
o maintain
interest
rates at this level
through the first half of nex
t year.
•
US equity markets
(Russell 3000
index
)
fell in
the third quarter
(
-
3.3 %)
,
bringing the
year
-
to
-
date
gains
to
12.4 %
.
The technology sector remains the key driver of results this year , helped by
artificial intelligence
optimism.
•
Non
-
US d
eveloped equity markets
declined
more than the US
in
the third quarter
(
MSCI
EAFE
-
4.1 %
)
with the
strength of the
US
dollar adding
2.8 % to the
quarterly
declines
. This widened the gap between US and
international
developed equities for the year (
12.4 % versus
7.1 %).
•
Emerging market equitie
s
experienced the
smallest
declines
in the third quarter
(
-
2.9 %
)
. Negative results were
driven by China and
again
the strong US dollar.
Emerging markets
continue to
significantly
trail developed
market equities
year
-
to
-
date
,
returning
just
1.8 %
,
again driven by China.
•
I
nterest
r
ates
generally rose
over the quarter
, particularly for
longer
-
dated maturities
.
T
he broad US
bond
market
fell
(
-
3.2 %)
for the quarter and
turned negative
(
-
1.2 %) year
-
to
-
date
,
as higher income has offset capital
losses from rising rates.
→
For the rest of t
his year
, the path
s
of inflation and
monetary policy
,
slowing
global
growth
,
and
t
he
war
s
in
Ukraine
and Israel
will
all
be key.
Economic and Market Update
Index Returns
1 →
After a particularly difficult 2022, most public market assets are up thus far
in 2023
,
led by developed market
equities.
→
While hopes for a soft landing remain in place, the prospect of higher interest rates for longer weighed on market sentiment
in
August and
September
.
1 Source:
Bloomberg
.
Data is as of
September 30
, 2023
.
2022
YTD
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
13.1%
12.4%
10.1%
7.1%
5.9%
4.3%
2.5%
1.9%
1.8%
-
0.8%
-
1.2%
-
2.1%
-
3.4%
S&P 500
Russell 3000
MSCI ACWI
MSCI EAFE
Bloomberg High Yield
JPM GBI-EM Global Diversified
Russell 2000
Bloomberg Short-Term TIPS
MSCI Emerging Markets
Bloomberg US TIPS
Bloomberg Aggregate
FTSE NAREIT Equity
Bloomberg Commodity Index
Economic and Market Update
Domestic Equity
Returns
1 Domestic Equity
September
(%)
Q
3 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
-
4.8 -
3.3 13.1
21.6 10.2
9.9 11.9
Russell 3000
-
4.8 -
3.3 12.4
20.5 9.4
9.1 11.3
Russell 1000
-
4.7 -
3.1 13.0
21.2 9.5
9.6 11.6
Russell 1000 Growth
-
5.4 -
3.1 25.0
27.7 8.0
12.4 14.5
Russell 1000 Value
-
3.9 -
3.2 1.8
14.4 11.1
6.2 8.4
Russell MidCap
-
5.0 -
4.7 3.9
13.4 8.1
6.4 9.0
Russell MidCap Growth
-
4.9 -
5.2 9.9
17.5 2.6
7.0 9.9
Russell MidCap Value
-
5.1 -
4.5 0.5
11.0 11.0
5.2 7.9
Russell 2000
-
5.9 -
5.1 2.5
8.9 7.2
2.4 6.6
Russell 2000 Growth
-
6.6 -
7.3 5.2
9.6 1.1
1.6 6.7
Russell 2000 Value
-
5.2 -
3.0 -
0.5 7.8
13.3 2.6
6.2 US Equit
ies
:
The
Russell 3000 Index
fell
3.3 %
in the third quarter
but
is
up
12.4 %
YTD
.
→
US stocks fell 3.3% in
the third quarter
as h
ealthy economic data
and comments from the Fed
caused investors
to expect interest rates to remain higher for longer.
→
Large cap stocks outperformed small cap stocks during
the quarter
, bring
ing
their year
-
to
-
date outperformance
to over 10%. The
so called
“
M
agnificent
Seven
” within the large cap
market drove
most of
this outperformance
despite a weak third quarter.
→
Energy
strongly led the way during the quarter posting double
-
digit gains while m
ost other sectors declined.
Oil
prices rose after Sa
u
di Arabia and Russia extended output cuts.
1 Source: Bloomberg. Data is as of
September 30
, 2023
.
Economic and Market Update
S&P 1500 Sector Returns
1 →
Except for
energy, which benefited from rising oil prices, all sectors were down in the third quarter.
→
So far in 2023, the communication services (+38.1%) and technology (+33.0%) sectors ha d the best results
on
artificial intelligence optimism. Given the continued s trength in the US consumer the consumer discretionary
sector followed (+23.3%), while more defensive sectors like utilities ( -
16.9%) and consumer staples (
-
6.0%) have
trailed.
1 Source:
Bloomberg
.
Data is as of September 30, 2023.
Economic and Market Update
Foreign Equity
Returns
1 Foreign Equity
September
(%)
Q3
(%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
-
3.2 -
3.8 5.3
20.4 3.7
2.6 3.3
MSCI EAFE
-
3.4 -
4.1 7.1
25.6 5.8
3.2 3.8
MSCI EAFE (Local Currency)
-
1.1 -
1.3 10.7
20.3 10.8
5.7 6.8
MSCI EAFE Small Cap
-
4.4 -
3.5 1.8
17.9 1.1
0.8 4.3
MSCI
Emerging Markets
-
2.6 -
2.9 1.8
11.7 -
1.7 0.6
2.1 MSCI Emerging Markets (Local Currency)
-
1.8 -
1.4 4.0
10.9 0.6
2.7 4.9
MSCI China
-
2.8 -
1.9 -
7.3 5.2
-
14.3 -
4.2 1.7
Foreign Equity: Developed international equities (MSCI EAFE) fell
4.1 % in
the third quarter
bringing the YTD gain to
7.1 %. Emerging market equities (MSCI EM) fell
2.9 % in
the period
, rising
1.8 % YTD.
→
Outside of the US
,
equities were
also
weak
during the t
hird quarter with the continued strength of the US dollar being a key driver.
→
Eurozone s
hares
felt pressure
from slowing GDP
growth
and an interest rate hike by the ECB, although inflation continue
d
to ease.
By contrast, t
he UK saw modest gains amid promis
ing economic data
including slowing
inflation
and
GDP
back around
pre
-
pandemic
levels. Japan outperformed regional peers
for the quarter due in
part to strong earnings
.
→
Emerging
m
arket performance, while negative, outpaced developed peers .
Chinese markets
saw losses in
-
line
with other
emerging market
countries, driven largely by unease surrounding
property company
Evergrande
and
a continued lackluster reopening of the economy.
1 Source: Bloomberg. Data is as of
September 30
, 2023
.
Economic and Market Update
Fixed Income
Returns
1 Fixed Income
September
(%)
Q
3 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
-
2.4 -
2.9 -
0.6 1.6
-
4.7 0.3
1.4 5.7
6.0 Bloomberg Aggregate
-
2.5 -
3.2 -
1.2 0.6
-
5.2 0.1
1.1 5.4
6.2 Bloomberg US TIPS
-
1.8 -
2.6 -
0.8 1.2
-
2.0 2.1
1.7 5.0
6.6 Bloomberg Short
-
term TIPS
-
0.2 0.4
1.9 3.2
1.9 2.8
1.7 5.4
2.5 Bloomberg High Yield
-
1.2 0.5
5.9 10.3
1.8 3.0
4.2 8.9
4.0 JPM GBI
-
EM Global Diversified (USD)
-
3.4 -
3.3 4.3
1 3.1
-
2. 7
0.0 -
0. 8
6.9 4.9
Fixed Income
:
The
Bloomberg
Universal
index
declined 2.9
% in
the third quarter
and
-
0.6%
YTD
.
→
The downgrade of US government debt from AAA to AA+
by
Fitch combined with expectations for higher
borrowing put upward pressure on longer
-
term rates
for the quarter
and weighed on overall results.
Expectations for
policy
rates to remain
higher
for longer than previously expected also contributed to the declin e
in bonds.
→
The broad US bond market (Bloomberg Aggregate)
fell
3.2% for the quarter bringing Y
T
D results into negative
territory.
T
he
broader
TIPS index
fell
by
2.6 %
,
while
the
less
interest
-
rate
-
sensitive
short
-
term TIPS index
outperformed
most sectors
,
up 0.4%.
→
H
igh yield bond
s
were the strongest quarterly performers, up 0.5%
, while e
merging market bonds
were the
weakest
performer
,
falling
3. 3
%
.
The two asset classes remain the top performers for the year
as risk appetite in
credit markets
remains robust
.
1 Source: Bloomberg. JPM GBI
-
EM
data
is from
InvestorForce
. Data
is as
of
September 30
, 2023
.
The yield and duration da
ta 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)
increased over the quarter but finished at a level below the long -
term average. The
recent increase in equity volatility has largely been driven by investors coming to
terms that interest rates might
remain higher for a longer
period
.
→
In comparison, volatility in t
he
bond market
(MOVE) remains well above its long
-
run average (88.7)
after last
year’s historic los
s
es and
due to
continued
policy uncertainty
.
Over the quarter, fixed income volatility finished
slightly higher compared to where it started, like equities, driven by expectations for rates to stay higher f
or
longer.
1 Equity
Volatility
–
Source: FRED.
Fixed Income Volatility
–
Source:
Bloomberg.
Implied volatility as measured using VIX Index for equity markets and the MOVE Index to measure interest rate volatility for fixed income markets. Data is as
of
September
2023.
The average line indicated is the average of the VIX and MOVE values between J anuary 2000 and
September
2023.
Economic and Market Update
E
quity Cyclically Adjusted P/E
Ratios
1 →
Given the strong
technology
-
driven
rally this year
,
t
he
US equity price
-
to
-
earning
s
ratio
increased above
its
long
-
run
(21st century)
average
.
With the equity market decline in
August and September
the P/E ratio
fell
from
its recent peak.
→
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
(close to one standard deviation
below
)
.
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: Bloomberg
.
Earnings
figures represent the average of monthly “as reported” earnings over the previous ten years. Data is as of
September
2023
.
The average line is the
long
-
term
average of the US, EM, and EAFE PE values from
April 1998
to
the recent
month
-
end
respectively.
Economic and Market Update
US Yield Curve
1 →
Overall rates have continued to increase this year,
particularly at the policy sensitive front
-
end of the yield
curve, but at much slower pace compared to last year.
→
Over the quarter
,
very short
-
term interest rates (
two
years
or less)
increased only slightly
as monetary
policy has likely reached
close to its
terminal rate for this cycle
.
By contrast, longer
-
term rates rose
dramatically as US debt was downgraded and investors came to terms with rates remaining higher for longer.
The ten
-
year
Treasury
yield
inc
reased from 3.8% to 4.6% over the quarter.
→
Because of the dynamic above
,
t
he yield curve
’s
inver
sion decreased
with t
he spread between two
-
year and
ten
-
year Treasuries
finish
ing
the
quarter
at
-
0. 4
7 %
(it started the quarter at
-
1.05%).
1 Source: Bloomberg
.
Data is as of
September 30
, 2023
.
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2021
12/30/2022
9/30/2023
Economic and Market Update
Ten
-
Year Breakeven
Inflation
and CPI
1 →
After the steady decline in inflation from the June 2022 peak, consumer
prices recently increased
driven by
energy prices.
→
Year
-
over
-
year h
eadline i
nflation
was flat
at
3.7%
coming in slightly higher than expectations
as
improvements
in energy prices were offset by
higher shelter
costs.
→
Core inflation
–
excluding food and energy
–
continued its decline (4.
3 % to 4.
1 %)
year
-
over
-
year
. It
remain
s
stubbornly high
,
though
,
driven by
shelter
costs
(+7.
2 %)
, particularly
owners’
equivalent
rent, and
transportation
services
(+
9.1 %)
.
→
Inflation
expectations (breakevens) remain well below current inflation as investors continue to expect inflation to track back toward the Fed’s 2% average target.
1 Source
: FRED
. Data is as
September 30
,
2023
.
The
CPI and 10
Year Breakeven average lines denote the average values from February 1997
to the present month
-
end
,
respectively
.
Breakeven values
represent
month
-
end values for comparative
purposes.
Economic and Market Update
US Consumer
Un
der Stress
1 Revolving Consumer Credit
& Student Loans
($B)
Consumer Credit Card Interest Rates (%)
→
Despite the strong labor market and higher wages, pressures have started to build on the US consumer. This is an
important consideration as
consumer spending has been an important driver of economic growth .
→
Revolving
consumer
credit
surged to new highs in 2023 even as
credit
card interest rates hit levels not seen
before (the prior peak was around 19% in the 1980s).
→
The return of student loan repayment
s
after a three
-
year
pandemic
-
related reprieve could a
dd to pressures
on
consumer
s’ budgets.
T
his
might be partially balanced by recently initiated repayment and forgiveness programs.
→
As we look ahead
,
the strength
of
the US consumer
s
will remain key as the
y
make up
most
of
domestic growth
(GDP).
1 Source
: FRED
.
The most recent d
ata is as
June
30 , 2023.
Revolving Consumer Credit data is seasonally adjusted to remove distortions during the holiday season.
Economic and Market Update
Credit Spreads vs. US Treasury Bonds
1 →
Credit spreads
(the added yield above a comparable maturity Treasury)
largely remained unchanged
over the
quarter
.
→
High yield
spreads
remain
well
below the
long
-
term average
given the overall risk appetite this year
. I
nvestment
grade
a
nd
e
merging mar
ket spreads
are
also below their respective long
-
term averages
,
but by smaller margins.
1 Sources: Bloomberg.
Data is as
of
September 30
, 2023
.
Average lines denote the average of the investment grade, high yield, and emerging market spread values from September
200
2 to the
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 . The r
isk
of recession
remains
elevated
given
policymakers’ aggressive
tightening,
but optimism has started to grow over some central banks potentially navigating a
soft landing
.
→
T
he
delicate bala
n
cing act of central banks trying to reduce inflation without dramatically disrupting labor
markets and
depressing
economic
growth
,
will remain key.
1 Source:
Oxford Economics (World GDP, US$ prices & PPP exchange rate,
real
, % change YoY).
Updated
September
2023
.
-10%
-5%
0%
5%
10%
15%
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020
2022
2024
Projected
Global
Economic and Market Update
Central Bank Response
1 Policy Rates
Balance Sheet as % of GDP
→
Slowing inflation
and growth
have led to expectations
for
a reduction in the pace of aggressive
policy
tightening
.
→
In
July
the Fed
raised
rates another 25 basis points to a range of 5.
25 %
to 5.
50 %
and then kept rates at this level
at their
September
meeting. Markets are expecting at most
one more hike later this year.
→
The European Central Bank also increa
sed rates in July
,
with an additional hike
in September
, but
rates
remain
lower than in the US. In Japan
,
expectations have increased that the BOJ will end its negative interest rate policy due to
rising inflation.
→
T
he central bank
in China
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.
→
R
isk
s
remain for a policy error as central banks
attempt
to balance
bringing down inflation, mai
ntaining financial
stability, and
supporting
growth.
1 Source: Bloomberg
.
Policy rate data
is as of
September
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
June
30 ,
2023
.
Economic and Market Update
Inflation (CPI Trailing Twelve
Months
)
1 →
The inflation picture remains mixed across the major economies.
→
I
n the
US
,
inflation
was flat at
3.7%
, influenced by
r
ising
shelter costs
, while eurozone inflation
remained higher
than the US at
4.3 %
, a level
well off its peak
, however
. Despite
2023’s
significant
declines in the US and Europe,
inflation levels
remain elevated
compared to central bank targets
.
→
Inflation
in Japan
has increase
d to levels
not seen in almost a decade largely driven by food and home related items. I
n
China,
deflationary pressures
eased
but prices were flat from a year prior.
1 United States CPI and Eurozone CPI
–
Source: FRED. Japan CPI and China CPI
-
Source
: Bloomberg
.
Data is as
September 30
,
2023
. The most recent
data for
Japanese
and Eurozone
inflation
is as of
August
2023
.
Economic and Market Update
Unemployment
1 →
Overall
,
the US labor market remains healthy
with the unemployment rate relatively low, wage growth now positive in real terms, and init
ial claims for unemployment
staying subdued. The pace of wage growth has slowed
though
,
and despite remaining elevated, the number of job openings has declined
from recent highs
.
→
In
September
, unemployment
remained at
3.8%
, a level only 0.2% higher than th
e start of the quarter.
T
he
labor
force
participation rate
remained at 62.8%
well off the lows of the pandemic (60.1%) but not back to pre -
pandemic
levels (63.3%)
. Broader measures of unemployment (U
-
6)
finished the quarter at 7.0% up
only
slightly from th
e
end of June (6.9%).
→
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 Eurozone Unemployment
-
Source: Bloomberg.
Japan, United States, United States U
-
6 Unemployment
–
Source:
FRED
.
Data is
as
September 30
, 2023
, for the US
.
The most recent data for
Eurozone
unemployment is as of August 2023
and
Japanese unemployment is as
of
August
202
3 .
Economic and Market Update
US Dollar versus Broad Currencies
1 →
After a strong 2022,
the US dollar
declined l
ate last year and into
early this
year
as
weaker economic data and
lower
inflation led to
investors anticipat
ing
the end of
FOMC
tightening.
→
Recently though
, the dollar
reversed
course
and
appreciat
ed
against major currencies as
relative growth
remains strong and investors anticipate the
FOMC
keeping interest rates higher for longer
.
→
For the rest of 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
September 30
, 2023
.
Economic and Market Update
Summary
Key
T
rends
:
→
The impact of
inflation still above policy targets
will
remain key
,
with
bond
market
volatility likely to
stay
high.
→
Global m
onetary polic
ies
could diverge
going forward
. T
he risk of policy errors
remain
s 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
ed
to tip
into
recession
.
However,
o
ptimism has been building that some economies could experience a soft landing.
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
s
are elevated, and the job market
may
weaken.
→
The key
for US equities
going forward will be whether earnings can remain resilient if growth continues to slow.
Also, the future path
s
of the large technology companies that have driven market gains will be im portant.
→
E
quity valuations remain lower in emerging and developed markets, but risks remain ,
including
the
potential
for
recent
strength in the US dollar
to persist
, higher inflation weighing
particularly
on Europe, and
China
’s
sluggish
economic reopening and
on
-
going
weakness in
the
real estate sector.
Japan’s recent hint at potentially tightening
monetary policy along with changes in corporate governance in the country could influence relative results.
→
After month
-
end, heightened tensi
ons in Israel
could add
to overall
uncertainty and drive safe haven flows.
Quarterly
Performance
as of September 30, 2023
Summary of Cash Flows
QTD
1 Year
OPFRS Total Plan
Beginning Market Value
420,170,089
382,458,040
Net Cash Flow
-3,020,018
-17,640,430
Net Investment Change
-12,006,623
40,325,838
Ending Market Value
405,143,449
405,143,449
Return Summary Ending September 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
0.0 5.0
10.0 15.0
20.0 -5.0
-10.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
-3.0
5.9 12.2
3.5 4.0
-2.9
4.8 10.5
3.5 3.9
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of September 30, 2023
Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter.
Risk-Return Summary
QTD Ending September 30, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
-3.5
-2.8
-2.1
-1.4
T
o
t
a
l
R
e
t
u
r
n
1.5 1.8
2.1 2.4
2.7 3.0
Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending September 30, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
6.0 8.0
10.0 12.0
14.0 16.0
T
o
t
a
l
R
e
t
u
r
n
7.0 8.0
9.0 10.0
11.0 12.0
13.0 14.0
Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan
-2.9 2.1
OPFRS Policy Benchmark -3.0 2.2
Median
-2.8 2.2
Return
Standard
Deviation
OPFRS Total Plan
10.5 10.0
OPFRS Policy Benchmark 12.2 9.9
Median
10.2 10.0
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of September 30, 2023 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter. Parentheses contain percentile rankings. Calculation based on monthly periodicity.
Fiscal year begins on July 1. Plan Sponser Peer Group shown is net of fees.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
405,143,449
100.0
-2.8
5.0 10.9
3.9 4.2
6.5 6.5
Dec-88
OPFRS Policy Benchmark
-3.0 5.9 12.2 3.5 4.0 6.4 7.7
Excess Return
0.2 -0.9 -1.3
0.4 0.2 0.1
-1.2
Domestic Equity (Gross)
165,391,122
40.8 -3.8
7.3 16.2
8.8 7.8
10.6 8.6
Jun-97
Russell 3000 (Blend)
-3.3 12.4 20.5 9.4 9.1 11.3 8.9
Excess Return
-0.5 -5.1 -4.3 -0.6 -1.3 -0.7 -0.3
International Equity (Gross)
51,607,318
12.7 -2.2
9.7 26.2
5.8 4.1
4.9 5.2
Jan-98
MSCI ACWI ex US (Blend)
-3.8 5.3 20.4 3.7 2.6 3.3 4.8
Excess Return
1.6 4.4 5.8 2.1 1.5 1.6 0.4
Fixed Income (Gross)
101,122,231
25.0 -3.2
-0.4
1.7 -4.3
0.6 1.8
4.6 Jan-94
Bloomberg Universal (Blend)
-2.9 -0.6 1.6 -4.7 0.3 1.4 4.4
Excess Return
-0.3
0.2 0.1 0.4 0.3 0.4 0.2
Credit (Gross)
9,329,974
2.3 1.5
8.9 11.0
5.8 3.9
--
5.3 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.5 5.9 10.3 1.8 3.0 4.2 4.1
Excess Return
1.0 3.0 0.7 4.0 0.9
--
1.2 Covered Calls (Gross)
22,157,801
5.5 -1.7
12.0 20.6
10.4 8.2
--
8.8 Apr-14
CBOE S&P 500 Buy Write Index
-2.8 7.3 14.6 7.2 3.0 6.0 5.2
Excess Return
1.1 4.7 6.0 3.2 5.2
--
3.6 Crisis Risk Offset (Gross)
39,485,989
9.7 -1.4
0.6 -4.2
-7.3
-8.7
--
-7.8
Aug-18
Crisis Risk Offset Benchmark
-2.4 0.3 1.8 3.5 -0.3 -- -0.4
Excess Return
1.0 0.3
-6.0 -10.8 -8.4
--
-7.4
Cash (Gross)
16,049,014
4.0 0.0
0.0 0.0
0.0 0.8
0.7 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of September 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)
405,143,449
100.0
-2.9
4.8 10.5
3.5 3.9
6.3 6.4
Dec-88
OPFRS Policy Benchmark
-3.0 5.9 12.2 3.5 4.0 6.4 7.7
Excess Return
0.1 -1.1 -1.7
0.0 -0.1 -0.1 -1.3
IM Public DB $250M-$1B Median (Net)
-2.8 4.5 10.2 4.4 5.0 6.1 --
IM Public DB $250M-$1B Median (Net) Rank
57 42 41 80 88 43 --
Domestic Equity (Net)
165,391,122
40.8 -3.9
7.0 15.8
8.4 7.5
10.4 8.6
Jun-97
Russell 3000 (Blend)
-3.3 12.4 20.5 9.4 9.1 11.3 8.9
Excess Return
-0.6 -5.4 -4.7 -1.0 -1.6 -0.9 -0.3
International Equity (Net)
51,607,318
12.7 -2.3
9.2 25.5
5.2 3.6
4.5 5.0
Jan-98
MSCI ACWI ex US (Blend)
-3.8 5.3 20.4 3.7 2.6 3.3 4.8
Excess Return
1.5 3.9 5.1 1.5 1.0 1.2 0.2
Fixed Income (Net)
101,122,231
25.0 -3.2
-0.6
1.5 -4.5
0.4 1.5
4.3 Jan-94
Bloomberg Universal (Blend)
-2.9 -0.6 1.6 -4.7 0.3 1.4 4.4
Excess Return
-0.3
0.0 -0.1
0.2 0.1 0.1
-0.1
Credit (Net)
9,329,974
2.3 1.4
8.4 10.4
5.1 3.2
--
4.6 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.5 5.9 10.3 1.8 3.0 4.2 4.1
Excess Return
0.9 2.5 0.1 3.3 0.2
--
0.5 Covered Calls (Net)
22,157,801
5.5 -1.8
11.9 20.4
10.2 7.9
--
8.5 Apr-14
CBOE S&P 500 Buy Write Index
-2.8 7.3 14.6 7.2 3.0 6.0 5.2
Excess Return
1.0 4.6 5.8 3.0 4.9
--
3.3 Crisis Risk Offset (Net)
39,485,989
9.7 -1.4
0.5 -4.3
-7.4
-8.9
--
-8.1
Aug-18
Crisis Risk Offset Benchmark
-2.4 0.3 1.8 3.5 -0.3 -- -0.4
Excess Return
1.0 0.2
-6.1 -10.9 -8.6
--
-7.7
Cash (Net)
16,049,014
4.0 0.0
0.0 0.0
0.0 0.8
0.7 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of September 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 September 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 6.0
12.0 18.0
-6.0
-12.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
FYTD
YTD
1 Yr
3 Yrs
5 Yrs
-2.8
-2.8
4.5 10.2
4.4 5.0
-3.0
-3.0
5.9 12.2
3.5 4.0
-2.9
-2.9
4.8 10.5
3.5 3.9
Calendar Year Performance
Ending December 31, 2022
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 15.0
30.0 -15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2022
2021
2020
2019
2018
-13.1
14.1 12.7
18.6 -4.6
-14.0
12.2 11.1
19.3 -5.0
-14.7
13.8 9.4
20.8 -5.1
Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of September 30, 2023 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter. Fiscal year begins on July 1.
Current
Balance ($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
165,391,122
40.8 40.0
0.8 30.0 - 50.0
Yes
International Equity
51,607,318
12.7 12.0
0.7 8.0 - 14.0
Yes
Fixed Income
101,122,231
25.0 31.0
-6.0
25.0 - 40.0
Credit
9,329,974
2.3 2.0
0.3 1.0 - 3.0
Yes
Covered Calls
22,157,801
5.5 5.0
0.5 5.0 - 10.0
Yes
Crisis Risk Offset
39,485,989
9.7 10.0
-0.3
5.0 - 15.0
Yes
Cash
16,049,014
4.0 0.0
4.0 0.0 - 5.0
Yes
Total
405,143,449
100.0
100.0
0.0 September 30, 2023: $405,143,448.6
Cash
4.0%
Covered Calls
5.5%
Credit
2.3%
Crisis Risk Offset
9.7%
Fixed Income
25.0%
Domestic Equity
40.8%
September 30, 2022: $406,308,110.42
Cash
2.8%
Covered Calls
7.6%
Credit
2.2%
Crisis Risk Offset
10.9%
Fixed Income
26.0%
Domestic Equity
39.1%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of September 30, 2023
Cash account market value includes cash balances held in ETF accounts at the custodian and residuals from terminated managers.
Target weights reflect the Plan's evolving asset allocation (effective 05/31/2017).
Yes
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
165,391,122
100.0
-3.9
7.0 15.8
8.4 7.5
10.4 8.6
Jun-97
Russell 3000 (Blend)
-3.3 12.4 20.5 9.4 9.1 11.3 8.9
Excess Return
-0.6 -5.4 -4.7 -1.0 -1.6 -0.9 -0.3
Northern Trust Russell 1000
78,815,151
47.7 -3.1
13.0 21.2
9.4 9.5
11.5 12.8
Jun-10
Russell 1000 Index
-3.1 13.0 21.2 9.5 9.6 11.6 12.9
Excess Return
0.0 0.0 0.0
-0.1 -0.1 -0.1 -0.1
EARNEST Partners
39,440,769
23.8 -4.5
3.6 11.4
8.6 8.3
10.8 8.8
Apr-06
Russell Midcap Index
-4.7 3.9 13.4 8.1 6.4 9.0 8.2
Excess Return
0.2 -0.3 -2.0
0.5 1.9 1.8 0.6
eV US Mid Cap Core Equity Rank
57 60 76 66 31 17 33
Wellington Select Quality Equity
22,275,787
13.5 -4.7
0.3 14.1
--
--
--
0.8 May-22
Russell 1000 Index
-3.1 13.0 21.2 9.5 9.6 11.6 4.0
Excess Return
-1.6 -12.7 -7.1
-- -- --
-3.2
eV US Large Cap Core Equity Rank
88 94 80 -- -- -- 77
Brown Fundamental Small Cap Value
11,370,103
6.9 0.8
4.1 16.8
--
--
--
2.3 Apr-21
Russell 2000 Value Index
-3.0 -0.5 7.8 13.3 2.6 6.2 -4.1
Excess Return
3.8 4.6 9.0
-- -- --
6.4 eV US Small Cap Value Equity Rank
12 41 33 -- -- -- 23
Rice Hall James
13,489,312
8.2 -8.3
0.7 3.7
1.8 -0.3
--
4.8 Aug-17
Russell 2000 Growth Index
-7.3 5.2 9.6 1.1 1.6 6.7 5.3
Excess Return
-1.0 -4.5 -5.9
0.7 -1.9
--
-0.5
eV US Small Cap Growth Equity Rank
73 77 80 55 95 -- 91
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
51,607,318
100.0
-2.3
9.2 25.5
5.2 3.6
4.5 5.0
Jan-98
MSCI ACWI ex US (Blend)
-3.8 5.3 20.4 3.7 2.6 3.3 4.8
Excess Return
1.5 3.9 5.1 1.5 1.0 1.2 0.2
Vanguard Developed Markets ETF
14,640,298
28.4 -4.7
5.3 22.9
5.0 --
--
5.0 Sep-19
FTSE Developed All Cap ex-U.S. Index
-3.9 6.7 24.2 5.8 3.5 4.3 5.6
Excess Return
-0.8 -1.4 -1.3 -0.8
-- --
-0.6
SGA ACWI ex-U.S. Equity
36,967,020
71.6 -1.4
10.8 26.5
5.1 --
--
2.5 Dec-19
MSCI AC World ex USA (Net)
-3.8 5.3 20.4 3.7 2.6 3.3 2.6
Excess Return
2.4 5.5 6.1 1.4
-- --
-0.1
eV ACWI ex-US All Cap Core Eq Rank
12 3 11 37 -- -- 68
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 30, 2023 Performance shown is net of fees, except for the International Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
101,122,231
100.0
-3.2
-0.6
1.5 -4.5
0.4 1.5
4.3 Jan-94
Bloomberg Universal (Blend)
-2.9 -0.6 1.6 -4.7 0.3 1.4 4.4
Excess Return
-0.3
0.0 -0.1
0.2 0.1 0.1
-0.1
Ramirez
68,697,575
67.9 -3.1
-0.6
1.0 -4.5
0.3 --
0.7 Feb-17
Blmbg. U.S. Aggregate Index
-3.2 -1.2 0.6 -5.2 0.1 1.1 0.3
Excess Return
0.1 0.6 0.4 0.7 0.2
--
0.4 eV US Core Fixed Inc Rank
54 35 41 22 54 -- 32
Wellington Core Bond
6,517,141
6.4 -3.1
-0.2
1.6 --
--
--
-5.5
Apr-21
Blmbg. U.S. Aggregate Index
-3.2 -1.2 0.6 -5.2 0.1 1.1 -5.2
Excess Return
0.1 1.0 1.0
-- -- --
-0.3
eV US Core Fixed Inc Rank
50 16 18 -- -- -- 86
Reams
25,907,515
25.6 -3.5
-0.5
2.6 -4.3
2.7 2.4
4.7 Feb-98
Bloomberg Universal (Blend)
-2.9 -0.6 1.6 -4.7 0.3 1.4 3.9
Excess Return
-0.6
0.1 1.0 0.4 2.4 1.0 0.8
eV US Core Plus Fixed Inc Rank
89 58 17 44 1 10 21
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
9,329,974
100.0
1.4 8.4
10.4 5.1
3.2 --
4.6 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.5 5.9 10.3 1.8 3.0 4.2 4.1
Excess Return
0.9 2.5 0.1 3.3 0.2
--
0.5 Polen Capital
9,329,974
100.0
1.4 8.4
10.4 5.1
3.2 --
4.6 Feb-15
ICE BofA High Yield Master II
0.5 6.0 10.2 1.8 2.8 4.2 4.0
Excess Return
0.9 2.4 0.2 3.3 0.4
--
0.6 eV US High Yield Fixed Inc Rank
13 4 30 3 31 -- 14
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 30, 2023 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
22,157,801
100.0
-1.8
11.9 20.4
10.2 7.9
--
8.5 Apr-14
CBOE S&P 500 Buy Write Index
-2.8 7.3 14.6 7.2 3.0 6.0 5.2
Excess Return
1.0 4.6 5.8 3.0 4.9
--
3.3 Parametric BXM
11,106,210
50.1 -1.0
10.3 18.1
8.5 5.8
--
6.8 Apr-14
CBOE S&P 500 Buy Write Index
-2.8 7.3 14.6 7.2 3.0 6.0 5.2
Excess Return
1.8 3.0 3.5 1.3 2.8
--
1.6 Parametric DeltaShift
11,051,591
49.9 -2.6
13.4 22.8
11.5 9.8
--
10.3 Apr-14
CBOE S&P 500 Buy Write Index
-2.8 7.3 14.6 7.2 3.0 6.0 5.2
Excess Return
0.2 6.1 8.2 4.3 6.8
--
5.1 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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
39,485,989
100.0
-1.4
0.5 -4.3
-7.4
-8.9
--
-8.1
Aug-18
Crisis Risk Offset Benchmark
-2.4 0.3 1.8 3.5 -0.3 -- -0.4
Over/Under
1.0 0.2
-6.1 -10.9 -8.6
--
-7.7
Kepos Alternative Risk Premia
10,968,295
27.8 4.7
11.5 12.6
--
--
--
5.7 Feb-22
SG Multi Alternative Risk Premia Index
4.2 7.9 9.5 6.0 1.2 -- 7.1
Over/Under
0.5 3.6 3.1
-- -- --
-1.4
Versor Trend Following
16,170,216
41.0 4.0
1.2 -9.7
--
--
--
5.1 Apr-22
SG Trend Index
0.8 0.9 -5.2 15.0 9.1 6.2 6.1
Over/Under
3.2 0.3
-4.5
-- -- --
-1.0
Vanguard Long-Term Treasury ETF
12,347,478
31.3 -11.9
-8.5
-9.5
-15.8
--
--
-6.7
Jul-19
Blmbg. U.S. Government: Long Term Bond Index
-11.8 -8.5 -9.0 -15.7 -2.8 0.8 -6.5
Over/Under
-0.1
0.0 -0.5 -0.1
-- --
-0.2
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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.
Cash Flow Summary
Quarter To Date
Beginning
Market Value
Net Cash Flow
Net Investment
Change
Ending
Market Value
Northern Trust Russell 1000
81,367,541
-
-2,552,390
78,815,151
EARNEST Partners
43,238,606
-2,000,000
-1,797,837
39,440,769
Wellington Select Quality Equity
23,373,498
-
-1,097,711
22,275,787
Brown Fundamental Small Cap Value
11,278,982
-
91,121
11,370,103
Rice Hall James
14,666,153
-
-1,176,841
13,489,312
Vanguard Developed Markets ETF
15,464,066
-
-823,768
14,640,298
SGA ACWI ex-U.S. Equity
40,377,022
-3,000,000
-410,002
36,967,020
Ramirez
70,891,932
-
-2,194,358
68,697,575
Wellington Core Bond
6,726,320
-
-209,180
6,517,141
Reams
26,844,017
-
-936,502
25,907,515
Polen Capital
9,200,988
-
128,986
9,329,974
Parametric BXM
11,207,891
-
-101,681
11,106,210
Parametric DeltaShift
11,340,209
-
-288,618
11,051,591
Kepos Alternative Risk Premia
10,476,679
-
491,617
10,968,295
Versor Trend Following
15,551,785
-
618,430
16,170,216
Vanguard Long-Term Treasury ETF
14,131,423
-
-1,783,945
12,347,478
Cash - Money Market
4,357,977
1,286,037
-
5,644,014
Cash - Treasury
9,675,000
730,000
-
10,405,000
Securities Lending Northern Trust
-
-36,055
36,055
-
OPFRS Total Plan
420,170,089
-3,020,018
-12,006,623
405,143,449
Oakland Police and Fire Retirement System
Financial Reconciliation | As of September 30, 2023
Growth of a Dollar
5 Years ending September 30, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.84
$0.91
$0.98
$1.05
$1.12
$1.19
$1.26
$1.33
$1.40
2018
2019
2020
2021
2022
2023
Actuarial Rate: $1.34
OPFRS Policy Benchmark: $1.22
OPFRS Total Plan: $1.21
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of September 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 Net
-5.0
0.0 5.0
10.0 15.0
R
e
t
u
r
n
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
OPFRS Total Plan
-2.9
(57)
4.8 (42)
10.5 (41)
3.5 (80)
3.9 (88)
6.3 (43)
¢
£
OPFRS Policy Benchmark
-3.0
(63)
5.9 (14)
12.2 (20)
3.5 (80)
4.0 (88)
6.4 (42)
5th Percentile
-1.6
6.8 13.8
6.5 6.0
7.3 1st Quartile
-2.3
5.3 11.9
5.7 5.4
6.8 Median
-2.8
4.5 10.2
4.4 5.0
6.1 3rd Quartile
-3.3
3.7 8.7
3.7 4.3
5.7 95th Percentile
-3.7
2.0 6.6
2.2 3.4
5.1 Population
86 82
81 79
78 67
Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of September 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
0.23 -0.42
0.01 1.00
99.78 99.81
Russell 1000 Index
0.00 1.00
-
-0.42
0.00 1.00
100.00
100.00
Trailing Performance
Northern Trust Russell 1000
Russell 1000 Index
0.0 10.0
20.0 30.0
-10.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-3.1
21.2 9.5
9.6 12.0
11.6 -3.1
21.2 9.4
9.5 11.9
11.5 Growth of $1 - Since Inception
Northern Trust Russell 1000
Russell 1000 Index
-2.0
0.0 2.0
4.0 6.0
8.0 5/10
11/11
5/13
11/14
5/16
11/17
5/19
11/20
5/22
9/23
$5.0
$5.0
Calendar Year Returns
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
6.0 8.0
10.0 12.0
14.0 16.0
18.0 20.0
Standard Deviation
QTD Return QTD Risk
Northern Trust Russell 1000
-3.14
3.36 Russell 1000 Index
-3.15
3.36 Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of September 30, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
EARNEST Partners
-0.22 0.84
0.03 -0.57
0.80 0.98
75.43 87.61
Russell Midcap Index
0.00 1.00
-
-0.49
0.00 1.00
100.00
100.00
Trailing Performance
EARNEST Partners
Russell Midcap Index
0.0 8.0
16.0 24.0
-8.0
-16.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-4.7
13.4 8.1
6.4 8.7
9.0 -4.5
11.4 8.6
8.3 11.3
10.8 Growth of $1 - Since Inception
EARNEST Partners
Russell Midcap Index
-2.0
0.0 2.0
4.0 6.0
8.0 3/06
3/08
3/10
3/12
3/14
3/16
3/18
3/20
9/23
$4.0
$4.4
Calendar Year Returns
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
4.0 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
QTD Return
QTD Risk
EARNEST Partners
-4.54
3.32 Russell Midcap Index
-4.68
3.92 Oakland Police and Fire Retirement System
EARNEST Partners | As of September 30, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Wellington Select Quality Equity -1.08 0.50 -0.34
-1.18
1.70 1.00
16.61 82.19
Russell 1000 Index
0.00 1.00
-
-0.42
0.00 1.00
100.00
100.00
Trailing Performance
Wellington Select Quality Equity
Russell 1000 Index
0.0 10.0
20.0 30.0
-10.0
-20.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
10 Years
-3.1
21.2 9.5
9.6 11.6
-4.7
14.1 Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index
0.8 0.9
1.0 1.1
1.2 4/22
7/22
10/22
1/23
4/23
7/23
9/23
$1.1
$1.0
Calendar Year Returns
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
-10.0
-5.0
0.0 5.0
10.0 15.0
R
e
t
u
r
n
6.0 9.0
12.0 15.0
18.0 21.0
24.0 27.0
Standard Deviation
QTD Return QTD Risk
Wellington Select Quality Equity
-4.70
1.67 Russell 1000 Index
-3.15
3.36 Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of September 30, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Brown Fundamental Small Cap Value 0.96 0.72 0.68
-0.02
1.73 0.98 84.86
53.12 Russell 2000 Value Index
0.00 1.00
-
-0.21
0.00 1.00
100.00
100.00
Trailing Performance
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 8.0
16.0 24.0
-8.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-3.0
7.8 13.3
2.6 5.9
6.2 0.8
16.8 Growth of $1 - Since Inception
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.6 0.8
1.0 1.2
3/21
9/21
3/22
9/22
3/23
9/23
$0.9
$1.1
Calendar Year Returns
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
QTD Return QTD Risk
Brown Fundamental Small Cap Value
0.81 4.33
Russell 2000 Value Index
-2.96
5.92 Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of September 30, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Rice Hall James
-0.77 0.83
-0.43
-0.76
0.86 1.00
67.45 96.50
Russell 2000 Growth Index
0.00 1.00
-
-0.56
0.00 1.00
100.00
100.00
Trailing Performance
Rice Hall James
Russell 2000 Growth Index
0.0 8.0
16.0 -8.0
-16.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-7.3
9.6 1.1
1.6 6.8
6.7 -8.3
3.7 1.8
-0.3
Growth of $1 - Since Inception
Rice Hall James
Russell 2000 Growth Index
0.5 1.0
1.5 2.0
2.5 7/17
4/18
1/19
10/19
7/20
4/21
1/22
10/22
9/23
$1.4
$1.3
Calendar Year Returns
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
-5.0
0.0 5.0
10.0 15.0
20.0 R
e
t
u
r
n
16.0 20.0
24.0 28.0
32.0 36.0
40.0 Standard Deviation
QTD Return QTD Risk
Rice Hall James
-8.26
4.18 Russell 2000 Growth Index
-7.32
5.02 Oakland Police and Fire Retirement System
Rice Hall James | As of September 30, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Vanguard Developed Markets ETF
-0.32 0.95 -1.49
-0.59
0.18 1.00
86.72 104.23
FTSE Developed All Cap ex-U.S. Index
0.00 1.00
-
-0.49
0.00 1.00
100.00
100.00
Trailing Performance
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 15.0
30.0 45.0
-15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-3.9
24.2 5.8
3.5 5.6
4.3 -4.7
22.9 5.0
Growth of $1 - Since Inception
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.6 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
9/23
$1.2
$1.2
Calendar Year Returns
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
-4.0
0.0 4.0
8.0 12.0
16.0 R
e
t
u
r
n
12.0 14.0
16.0 18.0
20.0 22.0
24.0 26.0
Standard Deviation
QTD Return QTD Risk
Vanguard Developed Markets ETF
-4.68
3.30 FTSE Developed All Cap ex-U.S. Index
-3.92
3.46 Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of September 30, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
SGA ACWI ex-U.S. Equity
0.63 0.86
1.44 -0.26
0.55 1.00
100.66
69.43 MSCI AC World ex USA (Net)
0.00 1.00
-
-0.43
0.00 1.00
100.00
100.00
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 15.0
30.0 45.0
-15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2023
1 Year
3 Years
5 Years
7 Years
10 Years
-3.8
20.4 3.7
2.6 4.7
3.3 -1.4
26.5 5.1
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
9/23
$1.1
$1.1
Calendar Year Returns
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)
-4.0
0.0 4.0
8.0 12.0
R
e
t
u
r
n
12.0 14.0
16.0 18.0
20.0 22.0
24.0 26.0
Standard Deviation
QTD Return QTD Risk
SGA ACWI ex-U.S. Equity
-1.39
3.25 MSCI AC World ex USA (Net)
-3.77
3.77 Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of September 30, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.
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
3.3 72.6
10.6 13.3
0.0 0.2
0.0 0.0
10.2 62.1
9.5 4.8
10.8 1.6
0.0 0.9
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez -3.1 -0.6 1.0 -4.5
0.3 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
C
a
s
h
42.5 24.7
28.3 0.6
3.3 0.6
0.0 23.1
23.6 28.6
3.2 0.0
20.6 0.9
Portfolio Fixed Income Characteristics
Q3-23
Portfolio
Q2-23
Portfolio
Yield To Maturity
5.7 5.1
Average Duration
6.2 6.1
Average Quality
AA
AA
Weighted Average Maturity
9.1 9.2
Oakland Police and Fire Retirement System
Ramirez | As of September 30, 2023
Performance shown is net of fees.
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
-25.0
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
C
C
C
/
C
a
a
N
o
t
R
a
t
e
d
C
a
s
h
3.3 72.6
10.6 13.3
0.2 0.0
0.0 0.0
75.7 5.7
11.8 15.2
0.1 0.2
2.7 -11.4
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond -3.1 -0.2 1.6 - -
Sector Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index
0.0 25.0
50.0 75.0
-25.0
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
R
e
p
u
r
c
h
a
s
e
A
g
r
e
e
m
e
n
t
s
C
a
s
h
42.5 24.7
28.3 0.6
3.3 0.6
0.0 0.0
20.9 0.0
51.4 10.9
0.0 0.0
28.1 -11.4
Portfolio Fixed Income Characteristics
Q3-23
Portfolio
Q2-23
Portfolio
Yield To Maturity
5.3 5.3
Average Duration
6.7 6.8
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of September 30, 2023
Performance shown is net of fees.
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
N
o
t
R
a
t
e
d
62.9 3.8
12.8 14.0
6.4 0.1
15.4 57.5
17.9 6.5
0.0 2.7
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams -3.5 -0.5 2.6 -4.3
2.7 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
C
a
s
h
39.1 35.9
24.5 0.5
0.0 22.4
30.0 42.8
3.0 1.8
Portfolio Fixed Income Characteristics
Q3-23
Portfolio
Q2-23
Portfolio
Yield To Maturity
6.4 5.5
Average Duration
6.9 6.7
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Reams | As of September 30, 2023
Performance shown is net of fees.
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
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
C
a
s
h
0.9 52.3
36.7 9.8
0.1 0.1
0.1 0.0
0.0 0.7
5.3 40.6
46.3 0.6
0.0 0.0
5.7 0.8
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital 1.4 8.4 10.4 5.1 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
Q3-23
Portfolio
Q2-23
Portfolio
Yield To Maturity
10.8 11.0
Average Duration
1.8 1.8
Average Quality
BBB
BBB
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Polen Capital | As of September 30, 2023
Performance shown is net of fees.
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls
8.5 11.5 3.1 1.0 0.8
4.0 122.7 104.5 04/01/2014
CBOE S&P 500 Buy Write Index 5.2 10.6 0.0 1.0
-
0.0 100.0 100.0
Parametric BXM
6.8 9.5 2.2 0.9 0.4
3.2 99.0 85.7 04/01/2014
CBOE S&P 500 Buy Write Index 5.2 10.6 0.0 1.0
-
0.0 100.0 100.0
Parametric DeltaShift
10.3 13.9 4.2 1.2 0.8
6.2 145.4 120.6 04/01/2014
CBOE S&P 500 Buy Write Index 5.2 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 8.0
16.0 24.0
-8.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
-2.8
7.3 14.6
7.2 3.0
-1.8
11.9 20.4
10.2 7.9
Growth of a Dollar
Covered Calls
CBOE S&P 500 Buy Write Index
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
2018
2019
2020
2020
2021
2022
2023
$1.16
$1.47
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 September 30, 2023
Performance shown is net of fees.
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-8.1 11.3 -7.3 0.8 -0.7 10.5 24.4 129.8 08/01/2018
Crisis Risk Offset Benchmark
-0.4 5.3 0.0 1.0
-
0.0 100.0 100.0
Kepos Alternative Risk Premia
5.7 5.9 1.2 0.6 -0.2
5.2 68.7 49.7 02/01/2022
SG Multi Alternative Risk Premia Index
7.1 5.2 0.0 1.0
-
0.0 100.0 100.0
Versor Trend Following
5.1 16.5 -1.5 1.2 -0.1
6.8 105.3 110.3 04/01/2022
SG Trend Index
6.1 13.1 0.0 1.0
-
0.0 100.0 100.0
Vanguard Long-Term Treasury ETF
-6.7 14.6 -0.1 1.0 -0.1
1.1 101.9 102.1 07/01/2019
Blmbg. U.S. Government: Long Term Bond Index -6.5 14.3 0.0 1.0 -
0.0 100.0 100.0
Correlation Matrix
3 Months Ending September 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
0.34 1.00
S&P 500 Index
-0.11
0.89 1.00
Blmbg. Global Aggregate
-0.15
0.88 1.00
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
-2.4
0.3 1.8
3.5 -0.3
-1.4
0.5 -4.3
-7.4
-8.9
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of September 30, 2023
Performance shown is net of fees.
Additional Information
Oakland Police and Fire Retirement System
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 September 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 September 30, 2023
Manager Monitoring / Probation Status
Oakland Police and Fire Retirement System
Manager Monitoring / Probation
Status
| As of
September
30 ,
202
3 Managers on Watch/Probation Status
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
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 Date when the Board voted to either monitor a manager at a heightened level or place it on probation.
2 Annualized performance if over one year. Performance shown is net of fees.
3 Per Investment Policy Statement and Manager Guidelines, Revised 5/31/2023, section H.
4 VRR (Value Relative Ratio) is calculated as m
anager cumulative return/ benchmark
cumulative
return
.
Manager & Strategy
Concern Triggering
Watch Status
Date of
Corrective Action
1 Months
Since
Placement
Performance
2 Since Placement
Peer Group Rank
Since Placement
Versor Trend Following
Organization
/
Performance
9/27/2023
0 --
--
Benchmark: SG Trend Index
--
--
--
--
--
Investment
Manager Monitoring
Criteria
3 Investment
managers
are
evaluated
on
ongoing
and
periodic
basis
using
both
quantitative
performance
criteria
and
qualitative
aspects of the managers. The quantitative criteria for different asset classes are as follows.
Asset Class
Short-term
(Rolling 12 months)
Medium-term
(Rolling 36 months)
Long-term
(60 + months)
VRR
4 < 0.97 for 6 consecutive months
Appendix
Oakland Police and Fire Retirement System
Appendix: 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 begin in the month following an investments initial funding.
Fiscal Year:
Fiscal year begins on July 1.
Fair Value Pricing Methodology:
T
hough 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 m
ay arise from time
-
zone differences among global securities markets. The resulting temporary divergence is expected to correct itself when the foreign markets reope
n.
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.