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View Attachment A

Special Rules and Legislation Committee
March 28, 2024

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March 28, 2024
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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 December 31, 2023

Oakland Police and Fire Retirement System
February 28, 2024

Oakland Police and Fire
Retirement System

Table of Contents

Agenda

1. Executive Summary

2. Economic and Market Update

as of
December

3 1
, 202
3 3.

Quarterly
Performance as of
December

3 1
,
2 02
3 4.

Manager Monitoring / Probation
Status

5. Appendix

6. Disclaimer, Glossary, and Notes

Page 2 of 65 ends

Executive Summary

Page 3 of 65 ends

Oakland Police and Fire Retirement System

Executive Summary | As of
December 31
, 202
3 Total Portfolio

Review

The
Oakland Police and Fire
Retirement

System (OPFRS)
finished the
quarter

with

$
435.9

million in assets after net
cash flows including monthly benefit payments.

All

asset classes
in their

acceptable target allocation ranges

except
for Fixed Income which is marginally underweight at the end of the year .

Cash Flow Summary
($
Millions)

Quarter

1 Year

Beginning Market Value

4 05.1

398.5

Net Cash Flows (including Benefit Payments)

-

2.6 -

15.6 Net Investment Change (Gain/Loss)

33.4 53.0

Ending Market Value

435.9

435.9

Investment
Performance
1 QTD

F
YTD

1 Year

3 Year

5 Year

Total
Plan

(Gross)

8.4 5.3

13.8 3.6

8.1 Total
Plan
(Net)

8.3 5.2

13.5 3.3

7.8 Policy Benchmark

8.7 5.4

15.1 3.6

8.0 Excess Return

-

0.4 -

0.2 -

1.6 -

0.3 -

0.2 Public DB ($250M
-
$
1B) Median Fund

7.7 4.7

12.4 3.5

8.6 Total
Plan

(Net) vs. Peer Median Fund

0.6 0.5

1.0 -

0.2 -

0.8 Peer Group Percentile Rank

33 29

32 62

66 1

Fiscal year beings on July 1. Peer group is Investment Metrics Public Defined Benefit plans with $250 million to $1 billion i n assets. The number of peers is about 80
-
90 portfolios in each time period.

Please see
the
Benchmark History section for
the
Polic
y Benchmark’s current and historical compositions.

Page 4 of 65 ends

Oakland Police and Fire Retirement System

Executive Summary | As of
December 31
, 202
3 Asset

Class
and

Manager
Highlights

→

Total
Plan

underperformed its Policy Benchmark

across all time periods on net of fees basis. The under performance
during the quarter
was
attributable to the Crisis Risk Offset segment’s underperformance .

•

T
he 1
-
year period
’s underperformance was primarily due to Domestic Equity’s lag behind its broad market Russell

3000 Index.

International Equity, along with Fixed Income and Covered Calls, were positive contributors to the Total

Plan’s relative performance in 2023, partially offsetting Domestic Equity’s underperformance.

→

Domestic
E
quity

under
performed the Russell 3000 Index

ov
er
all trailing periods
.

•

Rice Hall James
outperformed
its
benchmark

while all other active managers
under
performed their

respective
benchmarks for
the quarter
.

•

All active Domestic Equity managers across different styles trailed the broad market Russell 3 000 Index over the
1 -
year period as a
handful of companies (“Magnificent Seven”) drove returns in 2023.

→

International
E
quity

outperformed the MSCI ACWI ex US
(Net)
for all periods
except for the most recent quarter
.

→

Fixed
I
ncome

slightly
underperformed

or matched

its
custom
benchmark

over the quarter
,
1 -
year
, and since inception

time periods
.

The underlying managers outperformed their respective benchmarks across almost all
time periods
.

→

The
Credit
segment, with Polen Capital as its only m
anager,
underperformed

the asset class’s

benchmark,
Bloomberg

US

High Yield Index,
for all time periods

except over the 3
-
year and since inception 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
under
performed

its
custom
benchmark
over

all time periods measured
.

•

Kepos
Alternative Risk Premia
outperformed its benchmark
during the quarter and
over
the
1 -
year
period
while
Versor

Trend Following and Vanguard Long
-
term Treasury
ETF
underperformed their respective benchmarks for the
same periods.

Page 5 of 65 ends

Economic

and Market Update

Data as of
December

3 1
, 2023

Page 6 of 65 ends

Economic and Market Update

Commentary

→

M
ost markets rallied in
the fourth quarter in anticipation that policy rates cuts were ahead in 2024.

•

Major central ban
ks have largely paused interest rates hikes. M
arkets are now largely expecting the FOMC
t
o
maintain
interest
rates at th
e current

levels and

begin cutting rates as soon as Q1 2024
.

•

Inflation
rose

in
December

in the US

and
Europe,

but both finished the year much lower than where they
started.

China
remained in

d
eflationary

territory

(
-

0. 3
%)

at year
-
end
.

•

US equity markets
(Russell 3000

index
)
posted strong gains
for the quarter

(

12.1 %)
,

raising
full year results

to
+

26.0 %
.

Most sectors
rallied,

with
more
defensive sectors lagging
.

•

Non
-
US d
eveloped equity markets
also
rallied in
the fourth quarter

(
MSCI
EAFE

10.4 %
)
,

with the
weakening

of
the
US
dollar

contributing meaningfully
(10.4% versus 5.0%

ex
.
-
US dollar
influence)
.

Th
e performance

difference

between US and international developed equities for the year

remain
ed

wide
(

26.0 % versus
1 8.2
%).

•

Emerging market equitie
s

were up
7 .9
% in
the fourth quarter

and 9.8% for
calendar
2023 but

trailed developed
markets due to
lagging

returns in China

(
-

4.2% Q4/
-

11.2%
one
-
year
)
.

Emerging market equities ex
.
-
China
returned 20% in 2023.

•

I
nterest

r
ates
generally
fell

in
the fourth

quarter
, particularly for

longer
-
dated maturities
.

T
he broad US
bond

market

rallied (
6 .8
%)

for the quarter
,

lifting
2023

returns
in
to positive territory
(

5.5 %)
.

→

Looking to

2024
, the path
s

of inflation and

monetary policy
,
China’s economic
disorder

and slowing economic
growth
,

and
t
he
war
s

in
Ukraine

and Israel
,

will be

key.

Page 7 of 65 ends

Economic and Market Update

Index Returns
1 →

After a tough start to the quarter on lingering fears that the Federal Reserve might keep interest rates “higher

for

longer
”
,

markets rallied in November and December.

Economic data generally coming in below
expectations
sparked

expectations that the Federal Reserve might really be done raising policy
rates

for this cycle
.

→

S
trong results for the
quarter built on gains for the year with

all asset classes
finishing

in posi
tive territory
in
2023
, except commodities.

1 Source:

Bloomberg
.

Data is as of

December 31
, 2023
.

2023

Q4

26.3%

26.0%

22.2%

18.2%

16.9%

13.7%

13.4%

12.7%

9.8%

5.5%

4.6%

3.9%
-

7.9%
S&P 500
Russell 3000

MSCI ACWI

MSCI EAFE
Russell 2000
FTSE NAREIT Equity
Bloomberg High Yield
JPM GBI-EM Global Diversified
MSCI Emerging Markets
Bloomberg Aggregate
Bloomberg Short-Term TIPS
Bloomberg US TIPS
Bloomberg Commodity Index

16.2%

14.0%

12.1%

11.7%

11.0%

10.4%

8.1%

7.9%

7.2%

6.8%

4.7%

2.6%
-

4.6%
FTSE NAREIT Equity
Russell 2000
Russell 3000
S&P 500

MSCI ACWI

MSCI EAFE
JPM GBI-EM Global Diversified
MSCI Emerging Markets
Bloomberg High Yield
Bloomberg Aggregate
Bloomberg US TIPS
Bloomberg Short-Term TIPS
Bloomberg Commodity Index

Page 8 of 65 ends

Economic and Market Update

Domestic Equity

Returns
1 Domestic Equity

December

(%)

Q
4 (%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

S&P 500

4.5 11.7

26.3 10.0

15.7 12.0

Russell 3000

5.3 12.1

26.0 8.6

15.2 11.5

Russell 1000

4.9 12.0

26.5 9.0

15.5 11.8

Russell 1000 Growth

4.4 14.2

42.7 8.9

19.5 14.9

Russell 1000 Value

5.5 9.5

11.5 8.9

10.9 8.4

Russell MidCap

7.7 12.8

17.2 5.9

12.7 9.4

Russell MidCap Growth

7.6 14.5

25.9 1.3

13.8 10.6

Russell MidCap Value

7.8 12.1

12.7 8.4

11.2 8.3

Russell 2000

12.2 14.0

16.9 2.2

10.0 7.2

Russell 2000 Growth

12.0 12.7

18.7 -

3.5 9.2

7.2 Russell 2000 Value

12.4 15.3

14.6 8.0

10.0 6.8

US Equit
ies
:

The
Russell 3000
rallied

5 .
3 %

in

December
,

bringing fourth quarter results to
+

12.1%. US stocks were
up

26.0 %
in 2023
.

→

US equities
had a strong final quarter of the year
,

driven by expectations that rate cuts may be ahead in 202 4 .

→

Small cap stocks outperformed their large cap peers
for the quarter

while growth outpaced value with the
exception
of

small cap
. Large cap stocks outperformed small cap stocks by a wide margin for the calendar year

and growth outpaced value across market c
aps
.

→

C
alendar
year

results were clearly

driven by large cap technology stocks. Within the S&P 500 index, the “Magnificent 7” stocks
generated

more than 50% of the total gains.

1 Source: Bloomberg. Data is as of

December 31
, 2023
.

Magnificent Seven stocks include: Apple, Microsoft, Alphabet, Amazon, Nvidia, Tesla, and Meta.

Page 9 of 65 ends

Economic and Market Update

Russell 3000

Sector Returns
1 →

All sectors
posted gains

for the fourth quarter
,

except for

energy

(
-

7.2%)

given oil’s recent declines.

Technology
(+16.2%) led the way for the quarter followed by financials (+14.6%).

→

I
n 2023,
technology (+

64.7 %) and
consumer discretionary

(+

35.0 %) sectors ha
d the best results
,

helped
respectively
by

artificial intelligence optimi
sm

and a healthy US consumer
.

T
raditionally
defensive sectors
like
utilities

(
-

7.8 %)

and

consumer staples (
-

5.0 %)

trailed.

1 Source:

Bloomberg
.

Data is as of
December 31
, 2023.

Page 10 of 65 ends

Economic and Market Update

Foreign Equity
Returns
1 Foreign Equity

December

(%)

Q4

(%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

MSCI ACWI ex. US

5.0 9.8

15.6 1.5

7.1 3.8

MSCI EAFE

5.3 10.4

18.2 4.0

8.2 4.3

MSCI EAFE (Local Currency)

2.9 5.0

16.2 8.7

9.5 6.6

MSCI EAFE Small Cap

7.3 11.1

13.2 -

0.7 6.6

4.8 MSCI Emerging Markets

3.9 7.9

9.8 -

5.1 3.7

2.7 MSCI Emerging Markets (Local Currency)

3.1 5.6

9.9 -

2.5 5.4

5.2 MSCI China

-

2.4 -

4.2 -

11.2 -

18.5 -

2.8 0.9

Foreign Equity: Developed international equities (MSCI EAFE)

gained

5 .3
% in

December

and

10.4% in the fourth
quarter
bringing calendar year
results to

18.2 %. Emerging market equities (MSCI EM)
rose

3.9 % in

December
, 7.9%
for the quarter, and 9.8%
for the
year.

→

Optimism around lower inflation
and potentially peaking
and declining
policy rates
drove

gains
in
the
UK and
Europe
.

Japan
had
weaker results for the quarter as concerns over a strengthening yen weighed on returns in December.

Overall w
eakness in the US dollar also contributed to
quarterly and full year

results across developed
markets.

→

Emerging markets
also
experienced
strong
performance
in
the fourth
quarter but

trailed developed markets.

China
weighed on relative results

for the quarter and year
,

declining 4.2% and 11.2%, respectively. Slowing growth, issues in the property sector, and on
-
going tensions with the US all weighe
d on results.

1 Source: Bloomberg. Data is as of

December 31
, 2023
.

Page 11 of 65 ends

Economic and Market Update

E
quity Cyclically Adjusted P/E Ratios
1 →

Given the strong technology
-
driven rally
last

year, the US equity price
-
to
-
earnings ratio increased above its 21st
century average.

Fourth quarter gains brought valuations to their highest level for the year.

→

International market valuations
also increased in the fourth quarter, but remain below the U S. In the case of
developed markets, valuations finished the year close to the their long -
term average, while emerging markets
remained well below their 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: Bloomberg. Earnings
figures represent the average of monthly “as reported” earnings

over the previous ten years. Data is as of

December 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.

Page 12 of 65 ends

Economic and Market Update

Fixed Income
Returns
1 Fixed Income

December

(%)

Q4

(%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

Current

Yield

(%)

Duration

(Years)

Bloomberg Universal

3.8 6.8

6.2 -

3.0 1.4

2.1 4.8

6.1 Bloomberg Aggregate

3.8 6.8

5.5 -

3.3 1.1

1.8 4.5

6.3 Bloomberg US TIPS

2.7 4.7

3.9 -

1.0 3.2

2.4 4.2

6.7 Bloomberg Short
-
term TIPS

1.1 2.6

4.6 2.3

3.4 2.0

4.5 2.4

Bloomberg High Yield

3.7 7.2

13.4 2.0

5.4 4.6

7.6 3.8

JPM GBI
-
EM Global Diversified (USD)

3.2 8.1

12.7 -

3.2 1.1

0.1 6.5

5.0 Fixed Income
:

The
Bloomberg

Universal

index

rose

3.8 % in

December
, 6.8% for the quarter,

and

6.2 %
for the year
.

→

Policy
rate expectations swung from pessimism to optimism in November

and December
. S
igns of
the
labor
market cooling and improving inflation led
investors

to
bring forward expectations for
interest rate cuts
to

early
2024
,

leading to one of the best quarterly re
sults in over twenty years
.

→

The broad US bond market (Bloomberg Aggregate)
rallied

6 .8
%
for the quarter
,
lifting

full
-
year
performance

into
positive territory (+

5.5 %
)
. The broader TIPS index
rose

4 .7
%

for the quarter and 3.9% for the year
, while the less
interest
-
rate
-
sensitive short
-
term TIPS index
rose

2.6 %

and 4.6% over the same periods
.

→

High yield bonds
rallied on better risk sentiment

(+

7.2 %
)
,
as did emerging market bonds
(+

8.1 %
)
.

Both asset class
es
produced double
-
digit results last year.

1 Source: Bloomberg. JPM GBI
-
EM

data

is from
InvestorForce
. Data

i
s as

of
December 31
,

2023
.

The yield and duration data from Bloomberg is defined as the index’s yield to worst and modified duration

respectively
.

Page 13 of 65 ends

Economic and Market Update

US Yield Curve
1 →

The more policy sensitive short
-
term maturities were higher this year while longer
-
term maturities finished
the year where they started.

→

Still, r
ates
declined sharply

over the quarter
, particularly at the longer

end of the yield curve on
continued
easing of inflation
-
related risks
and speculation that the Federal Reserve is done with their policy
rate
increases

for this cycle
.

→

For the quarter
, two
-
year Treasur
y yield
s

fell from

5.05%

to 4.
24 % while ten
-
year Treasur
y yields

declined
from 4
.
56 % to

3. 88
%.

→

The yield curve remained inverted at year
-
end despite a recent flattening trend. The spread between the 2
-
year
and
10 -
year Treasury was
-

0.37% at the end of December.

1 Source: Bloomberg. Data is as of
December 3
1 , 2023.

0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2022
12/31/2023

Page 14 of 65 ends

Economic and Market Update

Credit Spreads vs. US Treasury Bonds
1 →

Expectations of peaking policy rates and the corresponding increase in risk appetite benefited credit in the fourth
quarter

with

spreads (the added yield above a comparable maturity Treasury) narrowing. All spreads remain
below their respective long run averages.

→

High yield spreads continue to be the furthest below their long -
term average given the overall risk appetite
last

year and lower duration. Investment
-
grade
corporate
and emerging market spreads are also below their
respective long
-
term averages, but by smaller margins.

1 Sources: Bloomberg. Data is as of
December 31
, 2023. Average lines denote the average of the investment grade, high yield, and emerging market spread values from Septembe r 2002 to the recent month
-
end, respectively.

Page 15 of 65 ends

Economic and Market Update

Equity

and Fixed Income

Volatility
1 →

Volatility in equit
ies

(VIX)

finished the year close to
its lows
,

remain
ing

well

below

the long
-
term average

as the
focus shifted to peaking policy rates and the potential for a soft landing .

→

V
olatility in t
he
bond market
(MOVE)
remained elevated
to close out 2023

and

is
well above its long
-
run average
(8
9 .1
)
.

The bond market remain
ed

on edge
for most of 2024 largely driven by

u
ncertainty

about the ultimate path
of monetary policy.

1 Equity

Volatility
–

Source: FRED.

Fix
ed Income Volatility
–

Source: Bloomberg. Implied volatility as measured using VIX Index for equity markets and the MOVE Index to measure interest r ate volatility for fixed income markets. Data is as
of
December

2023.

The average line indicated is the aver
age of the VIX and MOVE values between January 2000 and December

2023.

Page 16 of 65 ends

Economic and Market Update

US
Ten
-
Year Breakeven Inflation

and CPI
1 →

Year
-
over
-
year h
eadline i
nflation
rose

from 3.1% to 3.4%
in December
,

coming in
above expectations of 3.2%
.

An
increase in shelter (+6.2%) drove results
,

with food also increasing from a year prior (+2.7%) and energy
prices

falling
(
-

2.0 %)
.

Month
-
over
-
month inflation
came in at 0.3%
,

above expectations of 0.2% and the prior
reading of

0.1%.

→

Core inflation
-

excluding food and energy

–

declined
in
December (3.9% versus 4.0%)

year
-
over
-
year
,

w
ith

shelter
costs
again driving

the total core index increase
.

→

Inflation expectations (breakevens)
have remained relatively stable
despite the recent significant volatility in
inflation.

1 Source
: FRED
. Data is as
December

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.

Page 17 of 65 ends

Economic and Market Update

Global Inflation (CPI Trailing Twelve Months)
1 →

Outside the US
,

i
nflation
is

also

falling
across major economies

with China slipping into
deflation
.

→

In the eurozone
,

inflation experienced a dramatic decline
last year. Despite a small increase in December
(2.9%

versus 2.4%)
i
t finished the year below the 3.4% year
-
over
-
year reading in the US.

→

Inflation in Japan

remains near
levels not seen in almost a decade, driven b
y food and home related items.

1 Source:

FRED for
United States CPI and Eurozone CPI.

Source:

Bloomberg for
Japan CPI
,

China CPI
, and Eurozone December flash estimate
.

Data
is as
December

3 1
,
2023,

except Japan which is as of
November

30,

2023.

Page 18 of 65 ends

Economic and Market Update

US
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.

→

In
December
, US unemployment
remained unchanged (3.7%) and came in slightly below expectations of an increase to 3.8%. The
number

of jobs added did come in
above

expectations (216k versus 175k)
though with the
most jobs added in the government, leisure and hospitality, and health care sectors.

→

The labor force participation remained
relatively
stable at 62.
5 %, well off the lows of the pandemic (60.1%) but not
back to pre
-
pandemic levels (63.3%).

→

The pace of hour
ly wage growth has declined from its peak of close to 6.0% finishing 2023 at 4.1% yoy. Wage growth remains positive in real terms though.

Source: FRED. Data is as
December 31,

2023
.

Page 19 of 65 ends

Economic and Market Update

US Consumer

Under 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 a

key

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.

This
might be partially
mitigated

by recently initiated repayment and forgiveness programs.

→

As we look ahead
,

the strength
of
the US consumer will remain key as
this sector
make
s

up
most

of
the
domestic
economy
(GDP).

1 Source: FRED.

Data

is as of September 30,

2023
. Revolving Consumer Credit data is seasonally adjusted to remove distortions during the holiday season.

Page 20 of 65 ends

Economic and Market Update

Policy Rates
1 →

Slowing inflation

and growth

have led to expectations
for
a reduction in the pace of aggressive

policy tightening
.

→

The

Fed

has been on hold since July 2023 when
it
raised

rates

to
a range of 5.25%
-

5. 50
%
.

Markets are pricing in
six rate cuts next year
given the track of economic data and recent comments from the Fed ,

while the Fed itself
is only predicting
thre
e
.

How this discrepancy is resolved will be key this year.

→

The European
and UK c
entral
b
ank
s also recently
paused
their rate increases on slowin
g inflation
.

In Japan
,

the
BoJ has further relaxed its yield curve control on the 10 -
year bond
,

and expectations for further policy
normalization are rising
.

→

T
he central bank
in China
has
maintained
interest rates
at record low levels
and
continues to
inje
ct liquidity into
the banking system
,

as weaker than expected economic data appear
s

to indicate a
widespread

slowdown.

1 Source: Bloomberg
. Data is

as of December 2023.

Page 21 of 65 ends

Economic and Market Update

US Dollar vs
.

Broad Currencies
1 →

T
he US dollar declined
around 5%
in the fourth quarter

as
generally

weaker economic data
led
investors
to
anticipat
e

the end of
FOMC
tightening

and interest
rate
cuts in 2024
.

→

Overall,
the dollar
finished the year only slightly below where it started
but it was a volatile year for the US
currency as expectations related to monetary policy evolved.

1 Source: Bloomberg
.

Data as of

December 3
1 , 2023
.

Page 22 of 65 ends

Economic and Market Update

Summary

Key
T
rends
:

→

The impact of
inflation still above policy targets

will
remain
important
,

with
bond

market
volatility likely to
stay

high.

→

Global m
one
tary polic
ies

could diverge
going forward
. T
he risk of policy errors
remains elevated
as central banks
try to
further
reduce
inflation
toward targets
while not tipping their econom
ies

into recession.

In the case of the
US the resolution of the disparity between market expectations for the path of interest rates versus the Fed’s dot plot will be key.

→

G
lobal g
rowth
is expected to
slow
next

year
,

with
some

economies
forecast
ed

to tip

into

recession
.

Howe
ver,
o
ptimism has been building that
certain

economies could experience soft landing
s
.

Inflation, monetary policy,
and
geopolitical
issues will

remain

key

in 2024
.

→

US
consumers could feel pressure as certain
components
of inflation

(e.g., shelter),

remain high
,

borrowing cost
s

are elevated, and the job market
may

weaken.

→

A focus

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 com
panies that have driven market gains will be important.

→

E
quity valuations remain lower in emerging and developed markets, but risks remain ,

including
the
potential
for
China
’s
economic slowdown and on
-
going

weakness in
the

real estate sector

could spill over into key trading
partners’ economi
e
s
.

Japan’s recent hint at potentially tightening monetary policy along with changes in corporate governance in the country could influence relative results.

→

Recent
, heightened tensions in Israel
could add

to overall

uncertainty and drive safe haven flows.

Page 23 of 65 ends

Quarterly

Performance

as of December 31, 202
3

Page 24 of 65 ends

Summary of Cash Flows
QTD
1 Year
OPFRS Total Plan
Beginning Market Value
405,143,449
398,501,201
Net Cash Flow
-2,587,879
-15,572,778
Net Investment Change
33,399,952
53,027,098
Ending Market Value
435,955,522
435,955,522
Return Summary Ending December 31, 2023
OPFRS Total Plan
OPFRS Policy Benchmark

0.0 4.0

8.0 12.0

16.0 20.0
R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
1 Year
3 Years
5 Years

8.7 15.1

3.6 8.0

8.3 13.5

3.3 7.8
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of December 31, 2023
Total Plan performance shown is net of fees.

Page 25 of 65 ends

Risk-Return Summary
QTD Ending December 31, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark

4.0 6.0

8.0 10.0

12.0 T
o
t
a
l

R
e
t
u
r
n

2.0 2.5

3.0 3.5

4.0 4.5

5.0 Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending December 31, 2023
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark

6.0 9.0

12.0 15.0

18.0 T
o
t
a
l

R
e
t
u
r
n

6.0 8.0

10.0 12.0

14.0 Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan

8.3 3.7
OPFRS Policy Benchmark

8.7 3.7
Median

7.7 3.5
Return
Standard
Deviation
OPFRS Total Plan

13.5 10.9
OPFRS Policy Benchmark

15.1 10.7
Median

12.4 10.3
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of December 31, 2023 Performance shown is net of fees. Calculation is based on monthly periodicity. Parentheses contain percentile rankings.

Fiscal year begins on July 1. Plan Sponser Peer Group shown is net of fees.

Page 26 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
435,955,522
100.0

8.4 5.3

13.8 3.6

8.1 6.8

6.7 Dec-88
OPFRS Policy Benchmark

8.7 5.4

15.1 3.6

8.0 6.8

7.9 Excess Return
-0.3
-0.1
-1.3

0.0 0.1

0.0 -1.2
Domestic Equity (Gross)
183,174,978

42.0 12.1

7.9 20.3

7.8 14.1

10.9 9.0
Jun-97
Russell 3000 (Blend)

12.1 8.4

26.0 8.5

15.2 11.5

9.3 Excess Return

0.0 -0.5
-5.7
-0.7
-1.1
-0.6
-0.3
International Equity (Gross)
56,347,608

12.9 9.6

7.2 20.2

4.2 9.1

5.3 5.5
Jan-98
MSCI ACWI ex US (Blend)

9.8 5.6

15.6 1.5

7.1 3.8

5.1 Excess Return
-0.2

1.6 4.6

2.7 2.0

1.5 0.4
Fixed Income (Gross)
107,983,596

24.8 6.8

3.4 6.3
-2.6

1.7 2.4

4.8 Jan-94
Bloomberg Universal (Blend)

6.8 3.8

6.2 -3.0

1.4 2.1

4.6 Excess Return

0.0 -0.4

0.1 0.4

0.3 0.3

0.2 Credit (Gross)
9,697,822

2.2 4.1

5.7 13.3

4.7 5.4
--

5.6 Feb-15
Blmbg. U.S. Corp: High Yield Index

7.2 7.7

13.4 2.0

5.4 4.6

4.8 Excess Return
-3.1
-2.0
-0.1

2.7 0.0
--

0.8 Covered Calls (Gross)
23,783,695

5.5 7.3

5.5 20.3

9.5 12.3
--

9.3 Apr-14
CBOE S&P 500 Buy Write Index

4.2 1.2

11.8 6.1

6.2 5.7

5.5 Excess Return

3.1 4.3

8.5 3.4

6.1 --

3.8 Crisis Risk Offset (Gross)
39,468,172

9.1 0.4
-0.9

1.0 -6.3
-6.7
--
-7.4
Aug-18
Crisis Risk Offset Benchmark

2.1 -0.3

2.4 4.9

0.4 --

0.0 Excess Return
-1.7
-0.6
-1.4
-11.2
-7.1
--
-7.4
Cash (Gross)
15,499,650

3.6 0.0

0.0 0.0

0.0 0.7

0.7 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of December 31, 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.

Page 27 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
435,955,522
100.0

8.3 5.2

13.5 3.3

7.8 6.5

6.6 Dec-88
OPFRS Policy Benchmark

8.7 5.4

15.1 3.6

8.0 6.8

7.9 Excess Return
-0.4
-0.2
-1.6
-0.3
-0.2
-0.3
-1.3
IM Public DB $250M-$1B Median (Net)

7.7 4.7

12.4 3.5

8.6 6.3
--
IM Public DB $250M-$1B Median (Net) Rank
33 29
32 62
66 45
--
Domestic Equity (Net)
183,174,978

42.0 12.0

7.7 19.9

7.4 13.8

10.6 8.9
Jun-97
Russell 3000 (Blend)

12.1 8.4

26.0 8.5

15.2 11.5

9.3 Excess Return
-0.1
-0.7
-6.1
-1.1
-1.4
-0.9
-0.4
International Equity (Net)
56,347,608

12.9 9.4

6.9 19.5

3.6 8.5

4.9 5.4
Jan-98
MSCI ACWI ex US (Blend)

9.8 5.6

15.6 1.5

7.1 3.8

5.1 Excess Return
-0.4

1.3 3.9

2.1 1.4

1.1 0.3
Fixed Income (Net)
107,983,596

24.8 6.7

3.3 6.1
-2.8

1.5 2.2

4.5 Jan-94
Bloomberg Universal (Blend)

6.8 3.8

6.2 -3.0

1.4 2.1

4.6 Excess Return
-0.1
-0.5
-0.1

0.2 0.1

0.1 -0.1
Credit (Net)
9,697,822

2.2 3.9

5.4 12.7

4.1 4.8
--

4.9 Feb-15
Blmbg. U.S. Corp: High Yield Index

7.2 7.7

13.4 2.0

5.4 4.6

4.8 Excess Return
-3.3
-2.3
-0.7

2.1 -0.6
--

0.1 Covered Calls (Net)
23,783,695

5.5 7.3

5.4 20.0

9.2 12.1
--

9.0 Apr-14
CBOE S&P 500 Buy Write Index

4.2 1.2

11.8 6.1

6.2 5.7

5.5 Excess Return

3.1 4.2

8.2 3.1

5.9 --

3.5 Crisis Risk Offset (Net)
39,468,172

9.1 0.4
-1.0

0.8 -6.4
-6.9
--
-7.6
Aug-18
Crisis Risk Offset Benchmark

2.1 -0.3

2.4 4.9

0.4 --

0.0 Excess Return
-1.7
-0.7
-1.6
-11.3
-7.3
--
-7.6
Cash (Net)
15,499,650

3.6 0.0

0.0 0.0

0.0 0.7

0.7 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of December 31, 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.

Page 28 of 65 ends

Trailing Period Performance
Ending December 31, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median

0.0 5.0

10.0 15.0

20.0 R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
FYTD
1 Yr
3 Yrs
5 Yrs

7.7 4.7

12.4 3.5

8.6 8.7

5.4 15.1

3.6 8.0

8.3 5.2

13.5 3.3

7.8 Calendar Year Performance
Ending December 31, 2023
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

%
2023
2022
2021
2020
2019
2018

12.4 -13.3

14.1 12.7

18.7 -4.6

15.1 -14.0

12.2 11.1

19.3 -5.0

13.5 -14.7

13.8 9.4

20.8 -5.1
Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of December 31, 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.

Page 29 of 65 ends

Current
Balance ($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
183,174,978

42.0 40.0

2.0 30.0 - 50.0
Yes
International Equity
56,347,608

12.9 12.0

0.9 8.0 - 14.0
Yes
Fixed Income
107,983,596

24.8 31.0
-6.2

25.0 - 40.0
No
Credit
9,697,822

2.2 2.0

0.2 1.0 - 3.0
Yes
Covered Calls
23,783,695

5.5 5.0

0.5 5.0 - 10.0
Yes
Crisis Risk Offset
39,468,172

9.1 10.0
-0.9

5.0 - 15.0
Yes
Cash
15,499,650

3.6 0.0

3.6 0.0 - 5.0
Yes
Total
435,955,522
100.0
100.0

0.0 December 31, 2023: $435,955,521.5
Cash

3.6%
Covered Calls

5.5%
Credit

2.2%
Crisis Risk Offset

9.1%
Fixed Income

24.8%
Domestic Equity

42.0%
December 31, 2022: $406,308,110.42
Cash

2.9%
Covered Calls

6.9%
Credit

2.2%
Crisis Risk Offset

9.9%
Fixed Income

25.5%
Domestic Equity

40.1%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of December 31, 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).

Page 30 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
183,174,978
100.0

12.0 7.7

19.9 7.4

13.8 10.6

8.9 Jun-97
Russell 3000 (Blend)

12.1 8.4

26.0 8.5

15.2 11.5

9.3 Excess Return
-0.1
-0.7
-6.1
-1.1
-1.4
-0.9
-0.4
Northern Trust Russell 1000
88,252,834

48.2 12.0

8.5 26.5

8.8 15.4

11.7 13.5
Jun-10
Russell 1000 Index

12.0 8.4

26.5 9.0

15.5 11.8

13.6 Excess Return

0.0 0.1

0.0 -0.2
-0.1
-0.1
-0.1
EARNEST Partners
42,300,855

23.1 12.7

7.6 16.8

7.0 15.1

11.1 9.4
Apr-06
Russell Midcap Index

12.8 7.5

17.2 5.9

12.7 9.4

8.8 Excess Return
-0.1

0.1 -0.4

1.1 2.4

1.7 0.6
eV US Mid Cap Core Equity Rank
29 42
52 64
20 14
28 Wellington Select Quality Equity
24,458,953

13.4 9.8

4.6 10.2
--
--
--

6.5 May-22
Russell 1000 Index

12.0 8.4

26.5 9.0

15.5 11.8

10.7 Excess Return
-2.2
-3.8
-16.3
--
--
--
-4.2
eV US Large Cap Core Equity Rank
80 90
94 --
--
--
82 Brown Fundamental Small Cap Value
12,835,326

7.0 12.9

13.8 17.5
--
--
--

6.7 Apr-21
Russell 2000 Value Index

15.3 11.8

14.6 7.9

10.0 6.8

1.4 Excess Return
-2.4

2.0 2.9
--
--
--

5.3 eV US Small Cap Value Equity Rank
45 14
39 --
--
--
21 Rice Hall James
15,327,009

8.4 13.4

4.0 14.1
-0.3

7.5 --

6.6 Aug-17
Russell 2000 Growth Index

12.7 4.5

18.7 -3.5

9.2 7.2

7.1 Excess Return

0.7 -0.5
-4.6

3.2 -1.7
--
-0.5
eV US Small Cap Growth Equity Rank
13 45
68 35
95 --
90 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 31 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
56,347,608
100.0

9.4 6.9

19.5 3.6

8.5 4.9

5.4 Jan-98
MSCI ACWI ex US (Blend)

9.8 5.6

15.6 1.5

7.1 3.8

5.1 Excess Return
-0.4

1.3 3.9

2.1 1.4

1.1 0.3
Vanguard Developed Markets ETF
16,040,034

28.5 11.0

5.8 17.9

3.7 --
--

7.5 Sep-19
FTSE Developed All Cap ex-U.S. Index

10.9 6.5

18.3 3.9

8.7 4.8

7.8 Excess Return

0.1 -0.7
-0.4
-0.2
--
--
-0.3
SGA ACWI ex-U.S. Equity
40,307,575

71.5 8.8

7.3 20.5

3.5 --
--

4.4 Dec-19
MSCI AC World ex USA (Net)

9.8 5.6

15.6 1.5

7.1 3.8

4.8 Excess Return
-1.0

1.7 4.9

2.0 --
--
-0.4
eV ACWI ex-US All Cap Core Eq Rank
77 18
7 29
--
--
71 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 32 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
107,983,596
100.0

6.7 3.3

6.1 -2.8

1.5 2.2

4.5 Jan-94
Bloomberg Universal (Blend)

6.8 3.8

6.2 -3.0

1.4 2.1

4.6 Excess Return
-0.1
-0.5
-0.1

0.2 0.1

0.1 -0.1
Ramirez
73,247,942

67.8 6.6

3.2 5.9
-2.8

1.4 --

1.7 Jan-17
Blmbg. U.S. Aggregate Index

6.8 3.4

5.5 -3.3

1.1 1.8

1.3 Excess Return
-0.2
-0.2

0.4 0.5

0.3 --

0.4 eV US Core Fixed Inc Rank
70 78
48 22
53 --
29 Wellington Core Bond
6,993,592

6.5 7.3

4.0 7.1
--
--
--
-2.5
Apr-21
Blmbg. U.S. Aggregate Index

6.8 3.4

5.5 -3.3

1.1 1.8
-2.4
Excess Return

0.5 0.6

1.6 --
--
--
-0.1
eV US Core Fixed Inc Rank
11 13
5 --
--
--
78 Reams
27,742,062

25.7 7.0

3.2 6.5
-2.7

3.6 3.1

4.9 Feb-98
Bloomberg Universal (Blend)

6.8 3.8

6.2 -3.0

1.4 2.1

4.2 Excess Return

0.2 -0.6

0.3 0.3

2.2 1.0

0.7 eV US Core Plus Fixed Inc Rank
49 86
52 40
2 7
24 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 33 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
9,697,822
100.0

3.9 5.4

12.7 4.1

4.8 --

4.9 Feb-15
Blmbg. U.S. Corp: High Yield Index

7.2 7.7

13.4 2.0

5.4 4.6

4.8 Excess Return
-3.3
-2.3
-0.7

2.1 -0.6
--

0.1 Polen Capital
9,697,822
100.0

3.9 5.4

12.7 4.1

4.8 --

4.9 Feb-15
ICE BofA High Yield Master II

7.1 7.6

13.5 2.0

5.2 4.5

4.7 Excess Return
-3.2
-2.2
-0.8

2.1 -0.4
--

0.2 eV US High Yield Fixed Inc Rank
94 90
39 9
64 --
21 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 34 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
23,783,695
100.0

7.3 5.4

20.0 9.2

12.1 --

9.0 Apr-14
CBOE S&P 500 Buy Write Index

4.2 1.2

11.8 6.1

6.2 5.7

5.5 Excess Return

3.1 4.2

8.2 3.1

5.9 --

3.5 Parametric BXM
11,662,453

49.0 5.0

4.0 15.8

7.5 8.9
--

7.1 Apr-14
CBOE S&P 500 Buy Write Index

4.2 1.2

11.8 6.1

6.2 5.7

5.5 Excess Return

0.8 2.8

4.0 1.4

2.7 --

1.6 Parametric DeltaShift
12,121,242

51.0 9.6

6.8 24.3

10.7 15.0
--

11.1 Apr-14
CBOE S&P 500 Buy Write Index

4.2 1.2

11.8 6.1

6.2 5.7

5.5 Excess Return

5.4 5.6

12.5 4.6

8.8 --

5.6 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 35 of 65 ends

Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Inception
(%)
Inception
Date
Crisis Risk Offset
39,468,172
100.0

0.4 -1.0

0.8 -6.4
-6.9
--
-7.6
Aug-18
Crisis Risk Offset Benchmark

2.1 -0.3

2.4 4.9

0.4 --

0.0 Over/Under
-1.7
-0.7
-1.6
-11.3
-7.3
--
-7.6
Kepos Alternative Risk Premia
10,884,494

27.6 -0.8

3.9 10.6
--
--
--

4.5 Feb-22
SG Multi Alternative Risk Premia Index
-1.4

2.8 6.4

6.3 1.2
--

5.4 Over/Under

0.6 1.1

4.2 --
--
--
-0.9
Versor Trend Following
14,897,129

37.7 -7.9
-4.2
-6.7
--
--
--
-0.4
Apr-22
SG Trend Index
-5.1
-4.3
-4.2

10.0 9.1

5.0 2.1
Over/Under
-2.8

0.1 -2.5
--
--
--
-2.5
Vanguard Long-Term Treasury ETF
13,686,549

34.7 12.3
-1.1

2.8 -11.6
--
--
-3.9
Jul-19
Blmbg. U.S. Government: Long Term Bond Index

12.7 -0.6

3.1 -11.3
-1.2

2.3 -3.6
Over/Under
-0.4
-0.5
-0.3
-0.3
--
--
-0.3
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 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.

Page 36 of 65 ends

Cash Flow Summary
Quarter To Date
Beginning
Market Value
Net Cash Flow
Net Investment
Change
Ending
Market Value
Northern Trust Russell 1000
78,815,151
-
9,437,683
88,252,834
EARNEST Partners
39,440,769
-2,000,000
4,860,086
42,300,855
Wellington Select Quality Equity
22,275,787
-
2,183,166
24,458,953
Brown Fundamental Small Cap Value
11,370,103
-
1,465,223
12,835,326
Rice Hall James
13,489,312
-
1,837,698
15,327,009
Vanguard Developed Markets ETF
14,640,298
-204,167
1,603,903
16,040,034
SGA ACWI ex-U.S. Equity
36,967,020
-
3,340,554
40,307,575
Ramirez
68,697,575
-
4,550,367
73,247,942
Wellington Core Bond
6,517,141
-
476,451
6,993,592
Reams
25,907,515
-
1,834,547
27,742,062
Polen Capital
9,329,974
-
367,848
9,697,822
Parametric BXM
11,106,210
-
556,243
11,662,453
Parametric DeltaShift
11,051,591
-
1,069,650
12,121,242
Kepos Alternative Risk Premia
10,968,295
-
-83,801
10,884,494
Versor Trend Following
16,170,216
-
-1,273,086
14,897,129
Vanguard Long-Term Treasury ETF
12,347,478
-58,772
1,397,843
13,686,549
Cash - Money Market
5,644,014
-551,364
-
5,092,650
Cash - Treasury
10,405,000
2,000
-
10,407,000
Securities Lending Northern Trust
-
-38,516
38,516
-
OPFRS Total Plan
405,143,449
-2,850,819
33,662,891
435,955,522
Oakland Police and Fire Retirement System
Financial Reconciliation | December 31, 2023

Page 37 of 65 ends

Growth of a Dollar
5 Years ending December 31, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$1.04
$1.12
$1.20
$1.28
$1.36
$1.44
$1.52
$1.60
2018
2019
2019
2020
2020
2021
2021
2022
2022
2023
2023
OPFRS Policy Benchmark: $1.47
OPFRS Total Plan: $1.45
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of December 31, 2023 The actuarial expected rate of return was 8% through 6/30/2009, 7.5% through 6/30/2010, 7% through 6/30/2011, 6.75% through 6/30/2014, 6.5% through 2/31/2017 and 6.0% currently.

Actuarial Rate: $1.34

Page 38 of 65 ends

Plan Sponsor Peer Group Performance Comparison
vs. InvMetrics Public DB $250M-$1B Net

0.0 5.0

10.0 15.0

20.0 R
e
t
u
r
n
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
OPFRS Total Plan

8.3 (33)

5.2 (29)

13.5 (32)

3.3 (62)

7.8 (66)

6.5 (45)
¢
£
OPFRS Policy Benchmark

8.7 (27)

5.4 (24)

15.1 (21)

3.6 (49)

8.0 (63)

6.8 (35)
˜

5th Percentile

10.1 6.4

16.7 5.3

9.8 7.5
1st Quartile

8.7 5.4

14.6 4.3

9.1 7.0
Median

7.7 4.7

12.4 3.5

8.6 6.3
3rd Quartile

7.0 4.1

10.9 2.5

7.4 5.9
95th Percentile

5.4 3.0

7.2 1.0

6.7 5.4
Population
93 90
85 78
78 67
Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of December 31, 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.

Page 39 of 65 ends

Portfolio Characteristics & Manager Profiles
Oakland Police and Fire Retirement System

Page 40 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000

0.00 1.00

0.28 0.72

0.01 1.00
100.03

99.99 Russell 1000 Index

0.00 1.00
-

0.72 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

40.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

12.0 26.5

9.0 15.5

13.2 11.8

12.0 26.5

8.8 15.4

13.1 11.7
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
12/23
$5.6
$5.6
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

11.97 4.85
Russell 1000 Index

11.96 4.85
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of December 31, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 41 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
EARNEST Partners

0.55 0.85
-0.08

0.66 1.01

1.00 91.86

75.68 Russell Midcap Index

0.00 1.00
-

0.58 0.00

1.00 100.00
100.00
Trailing Performance
EARNEST Partners
Russell Midcap Index

0.0 6.0

12.0 18.0

24.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

12.8 17.2

5.9 12.7

10.1 9.4

12.7 16.8

7.0 15.1

12.4 11.1
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
3/22
12/23
$4.5
$4.9
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

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

12.74 5.70
Russell Midcap Index

12.82 6.67
Oakland Police and Fire Retirement System
EARNEST Partners | As of December 31, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 42 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Wellington Select Quality Equity

1.29 0.48
-0.26

1.01 2.87

0.74 61.29
-35.29
Russell 1000 Index

0.00 1.00
-

0.72 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

40.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
10 Years

12.0 26.5

9.0 15.5

11.8 9.8

10.2 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
7/23
10/23
12/23
$1.2
$1.1
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
-5.0

0.0 5.0

10.0 15.0

20.0 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

9.80 2.72
Russell 1000 Index

11.96 4.85
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of December 31, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 43 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Brown Fundamental Small Cap Value

0.37 0.76
-0.45

0.63 1.90

1.00 79.94

70.84 Russell 2000 Value Index

0.00 1.00
-

0.59 0.00

1.00 100.00
100.00
Trailing Performance
Brown Fundamental Small Cap Value
Russell 2000 Value Index

0.0 6.0

12.0 18.0

24.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

15.3 14.6

7.9 10.0

6.1 6.8

12.9 17.5
Growth of $1 - Since Inception
Brown Fundamental Small Cap Value
Russell 2000 Value Index

0.6 0.8

1.0 1.2

1.4 3/21
9/21
3/22
9/22
3/23
12/23
$1.0
$1.2
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
-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

12.89 6.10
Russell 2000 Value Index

15.26 7.99
Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of December 31, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 44 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Rice Hall James

0.54 0.91

0.09 0.52

1.33 0.98

94.78 81.06
Russell 2000 Growth Index

0.00 1.00
-

0.46 0.00

1.00 100.00
100.00
Trailing Performance
Rice Hall James
Russell 2000 Growth Index

0.0 10.0

20.0 30.0
-10.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

12.7 18.7
-3.5

9.2 8.1

7.2 13.4

14.1 -0.3

7.5 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
12/23
$1.6
$1.5
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

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

13.35 7.94
Russell 2000 Growth Index

12.75 8.68
Oakland Police and Fire Retirement System
Rice Hall James | As of December 31, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 45 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Vanguard Developed Markets ETF

0.50 0.86
-0.01

0.62 0.84

1.00 92.79

75.72 FTSE Developed All Cap ex-U.S. Index

0.00 1.00
-

0.54 0.00

1.00 100.00
100.00
Trailing Performance
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

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

10.9 18.3

3.9 8.7

7.3 4.8

11.0 17.9

3.7 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
12/23
$1.4
$1.4
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

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
QTD Return
QTD Risk
Vanguard Developed Markets ETF

10.98 5.16
FTSE Developed All Cap ex-U.S. Index

10.87 5.99
Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of December 31, 2023 Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 46 of 65 ends

Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
SGA ACWI ex-U.S. Equity
-0.27

0.99 -1.94

0.47 0.15

1.00 95.67
106.99
MSCI AC World ex USA (Net)

0.00 1.00
-

0.52 0.00

1.00 100.00
100.00
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)

0.0 8.0

16.0 24.0

32.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q4-2023
1 Year
3 Years
5 Years
7 Years
10 Years

9.8 15.6

1.5 7.1

6.3 3.8

8.8 20.5

3.5 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
5/23
12/23
$1.2
$1.2
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)
-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
QTD Return
QTD Risk
SGA ACWI ex-U.S. Equity

8.81 5.45
MSCI AC World ex USA (Net)

9.75 5.50
Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of December 31, 2023
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 47 of 65 ends

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

3.6 72.2

11.7 12.5

0.0 0.0

0.0 0.0

9.0 63.9

9.0 12.4

3.2 1.6

0.0 1.0
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez

6.6 5.9
-2.8

1.4 Blmbg. U.S. Aggregate Index

6.8 5.5
-3.3

1.1 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
M
u
n
i
C
a
s
h

42.6 28.7

28.3 0.5

0.0 0.0

23.3 21.7

31.4 3.1

19.6 1.0
Portfolio Fixed Income Characteristics
Q4-23
Portfolio
Q3-23
Portfolio
Yield To Maturity

4.9 5.7
Average Duration

5.8 6.2
Average Quality
AA
AA
Weighted Average Maturity

8.6 9.1
Oakland Police and Fire Retirement System
Ramirez | As of December 31, 2023
Performance shown is net of fees.

Page 48 of 65 ends

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

3.6 72.2

11.7 12.5

0.0 0.0

0.0 0.0

69.9 5.3

13.2 14.4

0.1 0.1

2.2 -5.2
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond

7.3 7.1
-
-
Blmbg. U.S. Aggregate Index

6.8 5.5
-3.3

1.1 Sector Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index

0.0 20.0

40.0 60.0
-20.0
U
S
T
/
A
g
e
n
c
y
C
o
r
p
o
r
a
t
e
M
B
S
A
B
S
R
e
p
u
r
c
h
a
s
e

A
g
r
e
e
m
e
n
t
s
C
a
s
h

42.6 28.7

28.3 0.5

0.0 0.0

18.6 0.0

48.5 9.4

28.6 -5.2
Portfolio Fixed Income Characteristics
Q4-23
Portfolio
Q3-23
Portfolio
Yield To Maturity

4.9 5.3
Average Duration

6.5 6.7
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of December 31, 2023
Performance shown is net of fees.

Page 49 of 65 ends

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
C
a
s
h

3.3 63.6

11.9 15.0

3.3 2.2

0.7 0.0

0.0 0.0

0.0 0.0

15.4 59.1

16.9 6.9

0.0 0.0

0.0 0.0

0.0 0.0

0.4 1.3
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams

7.0 6.5
-2.7

3.6 Blmbg. U.S. Universal Index

6.8 6.2
-3.0

1.4 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

36.4 32.3

24.2 0.5

6.1 0.5

0.0 25.9

28.8 42.1

1.9 0.0

0.0 1.3
Portfolio Fixed Income Characteristics
Q4-23
Portfolio
Q3-23
Portfolio
Yield To Maturity

5.1 6.4
Average Duration

6.2 6.9
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Reams | As of December 31, 2023
Performance shown is net of fees.

Page 50 of 65 ends

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

1.1 51.0

37.1 10.6

0.1 0.0

0.1 0.0

0.0 0.6

1.8 37.5

50.8 0.5

0.0 0.0

5.2 3.6
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital

3.9 12.7

4.1 4.8
ICE BofA High Yield Master II

7.1 13.5

2.0 5.2
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
Q4-23
Portfolio
Q3-23
Portfolio
Yield To Maturity

9.7 10.8
Average Duration

1.5 1.8
Average Quality
CCC
BBB
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Polen Capital | As of December 31, 2023
Performance shown is net of fees.

Page 51 of 65 ends

Return
Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls

9.0 11.5

3.2 1.0

0.8 4.0
124.2
105.0
04/01/2014
CBOE S&P 500 Buy Write Index

5.5 10.5

0.0 1.0
-

0.0 100.0
100.0
Parametric BXM

7.1 9.4

2.2 0.9

0.4 3.2

99.3 85.4
04/01/2014
CBOE S&P 500 Buy Write Index

5.5 10.5

0.0 1.0
-

0.0 100.0
100.0
Parametric DeltaShift

11.1 13.9

4.5 1.2

0.9 6.3
148.3
121.8
04/01/2014
CBOE S&P 500 Buy Write Index

5.5 10.5

0.0 1.0
-

0.0 100.0
100.0
Trailing Period Performance
Covered Calls
CBOE S&P 500 Buy Write Index

0.0 6.0

12.0 18.0

24.0 R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
1 Year
3 Years
5 Years

4.2 11.8

6.1 6.2

7.3 20.0

9.2 12.1
Growth of a Dollar
Covered Calls
CBOE S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
$2.10
2018
2019
2020
2021
2021
2022
2023
$1.35
$1.77
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 December 31, 2023
Performance shown is net of fees.

Page 52 of 65 ends

Return
Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-7.6

11.1 -7.2

0.8 -0.7

10.3 28.1
129.9
08/01/2018
Crisis Risk Offset Benchmark

0.0 5.4

0.0 1.0
-

0.0 100.0
100.0
Kepos Alternative Risk Premia

4.5 6.1

0.8 0.7
-0.2

5.1 74.3

62.3 02/01/2022
SG Multi Alternative Risk Premia Index

5.4 5.1

0.0 1.0
-

0.0 100.0
100.0
Versor Trend Following
-0.4

15.8 -2.4

1.1 -0.3

6.8 98.8
111.6
04/01/2022
SG Trend Index

2.1 12.8

0.0 1.0
-

0.0 100.0
100.0
Vanguard Long-Term Treasury ETF
-3.9

15.6 -0.2

1.0 -0.2

1.1 101.1
102.0
07/01/2019
Blmbg. U.S. Government: Long Term Bond Index
-3.6

15.4 0.0

1.0 -

0.0 100.0
100.0
Correlation Matrix
3 Months Ending December 31, 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

0.98 0.97

1.00 Blmbg. Global Aggregate

0.99 1.00

0.96 1.00
Trailing Period Performance
Crisis Risk Offset
Crisis Risk Offset Benchmark

0.0 4.0

8.0 -4.0
-8.0
R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
1 Year
3 Years
5 Years

2.1 2.4

4.9 0.4

0.4 0.8
-6.4
-6.9
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of December 31, 2023
Performance shown is net of fees.

Page 53 of 65 ends

Additional Information
Oakland Police and Fire Retirement System

Page 54 of 65 ends

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 December 31, 2023

Page 55 of 65 ends

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
04/01/2014
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 December 31, 2023

Page 56 of 65 ends

Manager Monitoring / Probation Status

Page 57 of 65 ends

Oakland Police and Fire Retirement System

Manager Monitoring / Probation
Status

| As of

December

3 1
,
202
3 Managers on Watch

/

Probation Status

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

(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
4 < 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 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 manager 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

3 -

7.9 N/A

Benchmark: SG Trend In
d
ex

--

--

--

-

4.6 --

Page 58 of 65 ends

Appendix

Page 59 of 65 ends

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
:

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
A
ppendix
Additional Information

Page 60 of 65 ends

Disclaimer, Glossary, and Notes

Page 61 of 65 ends

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.

Page 62 of 65 ends

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.

Page 63 of 65 ends

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.

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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.

Page 65 of 65 ends
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