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
March
31, 202
4 Oakland Police and Fire Retirement System
Oakland Police and Fire
Retirement System
Table of Contents
Agenda
1. Executive Summary
2. Economic and Market Update
as of
March
3 1
, 202
4 3.
Quarterly
Performance as of
March
3 1
,
2 02
4 4.
Manager Monitoring / Probation
Status
5. Appendix
6. Disclaimer, Glossary, and Notes
Executive Summary
Oakland Police and F
ire Retirement System
Executive Summary | As of
March
31 , 202
4 Total Portfolio
Review
The
Oakland Police and Fire
Retirement
System (OPFRS)
finished the
quarter
with
$
454.5
million in assets after net
cash flows including monthly benefit
payments
.
All
asset classes
were with
in their acceptable target allocation
ranges
1 except for Fixed
Income,
which
was
slightly outside of its lower
target limit
at the end of the
quarter
.
Cash Flow Summary
($ Millions)
Quarter
1 Year
Beginning Market Value
436.0
411.2
Net Cash Flows (including Benefit Payments)
-
3.0 -
13. 7
Net Investment Change (Gain/Loss)
21. 5
5 7.0
Ending Market Value
454.5
454.5
Investment
Performance
2 QTD
F
YTD
1 Year
3 Year
5 Year
Total
Plan
(Gross)
5.0 10.6
14.3 4.3
7.2 Total
Plan
(Net)
4.9 10.3
13.9 4.0
6.9 Policy Benchmark
5.2 11.0
15.4 4.5
7.3 Excess Return
-
0.3 -
0.7 -
1.5 -
0.5 -
0.4 Public DB
($250M
-
$
1B) Median Fund
4.8 10.0
13.9 4.1
7.8 Total
Plan
(Net) vs. Peer Median Fund
0.1 0.3
0.1 -
0.2 -
1.0 Peer Group Percentile Rank
48 40
46 55
80 1
The allocation targets are those adopted by the board in 2017 Q4.
A
new asset
-
liability study
was completed and
new
long
-
term and interim
targets and ranges
were adopted in 2024 Q1; these are expected to commence starting July 2024.
2 Fiscal year beg
in
s on July 1. Peer group is Investment Metrics Public Defined Benefit plans with $250 million to $1 billion in assets. The num ber of peers is about 80
-
90 portfol
ios in each time period.
Please see
the
Benchmark History section for
the
Policy Benchmark’s current and historical compositions.
Oakland Police and F
ire Retirement System
Executive Summary | As of
March
31 , 202
4 Asset Class
and
Manager
Highlights
1 →
Total
Plan
underperformed its Policy Benchmark
across all time periods on
a
net of fee basis.
•
The under
performance
during the quarter
and
over the trailing 1
-
year period
was
driven primarily by the Domestic Equity
segment as most managers
performance lagged
the
broad market Russell
3000 Index
.
International Equity
and
Fixed Income
were positive contributors to the Total
Plan’s
relative performance
for the quarter and over the
trailing 1
-
year period
, partially
offsetting Domestic Equity’s
underperformance.
→
Domestic
E
quity
under
performed the Russell 3000 Index
over
all trailing periods
.
Most active Domestic Equity managers across
different styles trailed the broad market Russell 3000 Index over the 1 -
year period as a
select group
of companies (“Magnificent
Seven”) drove returns in 2023.
For the quarter,
Brown Small Cap Value
outperformed
its
benchmark
while all other active managers
under
performed their
respective benchmarks
.
→
International
E
quity
and its only active manager, SGA,
outperformed the MSCI ACWI ex US
(Net)
for all periods
.
→
Fixed
I
ncome
slightly
out
performed
or matched
its
custom
benchmark
over
most
time periods
except for the F
iscal
YTD and
the
1 -
year period.
Among its managers, Ramirez and Wellington
outperformed their respective benchmarks
across all
periods
, while
Reams underperformed its benchmark
over shorter time
horizons.
→
The
Credit
segment, with Polen Capital as its
sole
manager,
out
performed
its underlying
benchmark,
the
B
loomberg
US
Corp
orate
High Yield Index,
for all time periods
with the
excep
t
ion of
the F
iscal
YTD period
.
→
Covered Calls
, as well as both
the
passive BXM and the
active DeltaShift strateg
ies
,
outperformed the CBOE S&P 500 Buy
WriteIndex
across
almost
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.
1 Fiscal year begins on July 1.
Please see the Benchmark History section for the
custom benchmarks’
current and historical com
positions.
Economic and Market Update
Data as of March 31, 2024
Economic and Marke
t Update
Commentary
→
Resilient economic data drove global equities higher and pushed out the timing of the
expected first
Fed
rate cut,
weighing on bonds.
•
Major central ban
ks have largely paused interest rate hikes
with expectations
that many will
still
cut rates
, but
the uneven pace of falling inflation and economic growth could desynchronize the pace of
rate cuts
.
•
In general
,
inflation pressures have
eased
in most countries
from their pandemic peaks
, but some uncertainty
remains
and levels
are still
above
most
c
entral ban
k
targets.
Headline
i
nflation
in the US rose
in
March
(3.
2 %
to
3. 5
%)
by more than expected
,
while
core inflation
was unchanged
(3.8%)
when it was predicted to decline to
3.7%
.
Notably,
prices in
China
were up only slightly in March
,
as the impacts of the recent holiday
faded
.
•
US equity markets
(Russell 3000
index
)
rose
10.0 %
in
the first quarter
after a very strong 2023 (
+
26.0%).
The
technology sector continue
d
to perform well
,
with energy gaining on geopolitical tensions
.
•
Non
-
US d
eveloped equity markets
increased
5.8 % in
the quarter
,
helped by Japanese equities which hit
mult
i
-
decade highs.
A strengthening US dollar
drove
the weaker relative results
for US investors
with return
s
in local currency terms 4.2% higher (10
.0
% versus 5.8%).
•
Emerging market equities (
+
2.4%) had the weakest equity returns
, depressed
by China
(
-
2.2%)
.
While p
olicy
efforts to support mainland stock prices
helped to
stabilize
Chinese
equities
, recent
efforts by the US to
discourage investments in China weighed on results.
The stronger dollar also
hurt performance
in emerging
markets
for US investors with
returns in local currency terms
2.1 % higher.
•
Rising interest rates weighed on bonds with the broad
US bond market declining
0.8 % for the
quarter
.
→
Looking to
the rest of this year
, the path
s
of inflation and
monetary policy
,
China’s economic
disorder
and slowing
economic growth
,
the many looming elections,
and
t
he
war
s
in
Ukraine
and Israel
will be
key.
Economic and Marke
t Update
Index Returns
1 →
In
the first quarter
,
global equity markets
continued their strong performance from 2023
with the US leading the
way.
→
Resilient economic data
weighed on bond markets
domestically and dashed
hopes of a near
-
term cut in interest
rates.
1 Source:
Bloomberg
.
Data is as of
March 31
, 202
4 .
2023
Q1 2024
10.6%
10.0%
8.2%
5.8%
5.2%
2.4%
2.2%
1.5%
0.8%
-
0.1%
-
0.2%
-
0.8%
-
2.1%
S&P 500
Russell 3000
MSCI ACWI
MSCI EAFE
Russell 2000
MSCI Emerging Markets
Bloomberg Commodity Index
Bloomberg High Yield
Bloomberg Short-Term TIPS
Bloomberg US TIPS
FTSE NAREIT Equity
Bloomberg Aggregate
JPM GBI-EM Global Diversified
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
Economic and Marke
t Update
Domestic Equity
Returns
1 Domestic Equity
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
3.2 10.6
29.9 11.5
15.1 13.0
Russell 3000
3.2 10.0
29.3 9.8
14.3 12.3
Russell 1000
3.2 10.3
29.9 10.5
14.8 12.7
Russell 1000 Growth
1.8 11.4
39.0 12.5
18.5 16.0
Russell 1000 Value
5.0 9.0
20.3 8.1
10.3 9.0
Russell MidCap
4.3 8.6
22.3 6.1
11.1 9.9
Russell MidCap Growth
2.4 9.5
26.3 4.6
11.8 11.4
Russell MidCap Value
5.2 8.2
20.4 6.8
9.9 8.6
Russell 2000
3.6 5.2
19.7 -
0.1 8.1
7.6 Russell 2000 Growth
2.8 7.6
20.3 -
2.7 7.4
7.9 Russell 2000 Value
4.4 2.9
18.8 2.2
8.2 6.9
US Equit
ies
:
The
Russell 3000
increased
an
impressive
10.0 %
in
the first quarter
of the year.
→
US equities continued their ascent after a strong finish to 2023. The gains were driven by strong economic data and
corporate earnings,
despite
signs
of interest rates remaining higher for longer.
→
Growth stocks outperformed value stocks across the market cap spectrum. Technology stocks continue
d
to
be
a key
drive
r of results
, with NVIDIA and Microsoft alone contributing nearly 30% of the quarter’s gains.
→
Large cap stocks
produced almost double the return of
their small cap peers during the first quarter.
The
underperformance of small cap
f
inancials
contributed to
this dynamic as fear of further turmoil for regional banks resurfaced.
1 Source: Bloomberg. Data is as of
March 31
,
2024.
Economic and Marke
t Update
Russell 3000
Sector Returns
1 →
All sectors posted positive returns in the first quarter. The technology sector (13.1%) continue
d
to
lead the way
due to
the
influence of the
so
-
called “Magnificent Seven”
.
→
Technology was followed by energy (11.6%) and financials (11.1%) ,
driven respectively by increased geopolitical
tensions and
the strong economic environment.
Trad
itionally defensive
sectors like
consumer staples (5.4%) and
utilities (
5.2 %)
joined the rally
but trailed other sectors
.
1 Source:
Bloomberg
.
Data is as of
March 31
, 202
4 .
Economic and Marke
t Update
Foreign Equity
Returns
1 Foreign Equity
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
3.1 4.7
13.3 1.9
6.0 4.3
MSCI EAFE
3.3 5.8
15.3 4.8
7.3 4.8
MSCI EAFE (Local Currency)
4.0 10.0
18.8 9.4
9.4 7.7
MSCI EAFE Small Cap
3.7 2.4
10.4 -
1.4 4.9
4.7 MSCI Emerging Markets
2.5 2.4
8.2 -
5.1 2.2
2.9 MSCI Emerging Markets (Local
Currency)
3.0 4.5
10.6 -
2.4 4.4
5.7 MSCI
EM ex
.
China
3.0 4.0
20.5 2.2
6.4 4.2
MSCI China
0.9 -
2.2 -
17.1 -
18.9 -
6.3 1.2
Foreign Equity: Developed international equities (MSCI EAFE)
gained
5.8 %
during the quarter
and
e
merging market
equities (MSCI EM)
rose
2.4 %
.
→
Developed international equity markets matched the US for the quarter in local terms but the appreciation of the dollar
decreased returns for US investors by over 4.0% (5.8% versus 10.0%).
Eurozone and UK equit
ies
had
gains for the quarter, but Japan was the real standout performer ,
with the TOPIX
returning
18.1% in local terms
and the Nikkei breaking the 40,000 level for the first time .
→
Emerging market equities again trailed d
eveloped markets
largely due to Ch
ina falling 2.2%. Slowing
growth,
issues in the property sector, and recent efforts by the US to discourage investments into China all weighed on
results. Outside of China, interest rate sensitive markets like Brazil were particularly impacted by expectati
ons
of delayed interest rate cuts by the Fed. Stripping out China, emerging markets returned 4.0% in the quarter.
1 Source: Bloomberg. Data is as of
March 31
, 202
4 .
Economic and Marke
t Update
E
quity Cyclically Adjusted P/E Ratios
1 →
At the end of the first quarter
, the US equity price
-
to
-
earnings ratio increased
further
above its 21st century
average
, a
s
price appreciation
exceeded earnings growth
.
→
International market valuations
also
rose in
the quarter
and
remain
well
below the US. In the case of developed
market
s, valuations
are now
slightly above
t
he long
-
term average, while emerging market
valuation
s remain well
below
its
long
-
term
average.
1 US Equity
Cyclically Adjusted P/E on S&P 500 Index. Source: Robert Shiller, Yale University, and Meketa Investment Group. Developed and
Emerging Market Equity (MSCI EAFE and EM Index) Cyclically Adjusted P/E –
Source: Bloomberg. Earnings
figures represent the averag
e of monthly “as reported” earnings over the previous ten years. Data is as of
March
2024
. 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 Marke
t Update
Fixed Income
Returns
1 Fixed Income
March
(%)
Q1
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
1.0 -
0.5 2.7
-
2.1 0.7
1.8 5.1
6.0 Bloomberg Aggregate
0.9 -
0.8 1.7
-
2.5 0.4
1.5 4.8
6.2 Bloomberg US TIPS
0.8 -
0.1 0.5
-
0.5 2.5
2.2 4.6
6.8 Bloomberg Short
-
term TIPS
0.6 0.8
3.2 2.3
3.2 2.1
4.8 2.4
Bloomberg High Yield
1.2 1.5
11.2 2.2
4.2 4.4
7.7 3.7
JPM GBI
-
EM Global Diversified (USD)
0. 0
-
2.1 4.9
-
1 .6
0.1 -
0. 3
6. 4
5.0 Fixed Income
:
The
Bloomberg
Universal
index
fell
0.5 % in
the
first
quarter
.
→
S
trong economic growth and inflation readings
above forecasts
shifted interest rate expectations pushing back
the anticipated start date of rate cuts as well as the number of cuts for 2024 .
→
In this environment t
he broad US bond market (Bloomberg Aggregate)
fell 0.8% with TIPS declining only slightly
(
0.1%).
→
High yield bonds
(1.5%) led the way for the quarter
as risk appetite
continues to be
robust
and overall yield
s
remain attractive despite
the
recent
tightening of
spreads to Treasury equivalents
.
1 Source: Bloomberg. JPM
GBI
-
EM
data
is from
InvestorForce
. Data
is as
of
March 31
,
202
4 .
The yield and duration data from Bloomberg is defined as the index’s yield to worst and modified duration
respectively
.
Economic and Marke
t Update
US Yield Curve
1 →
Overall interest rates moved higher over the quarter due to the strong economic data and
the related
shifts
in monetary policy expectations.
→
T
he more policy sensitive
two
-
year Treasur
y yield
rose from 4.3% to
4. 6
%
in the first quarter
while
the
ten
-
year Treasur
y yield
increased from
3.9% to 4.2%.
→
The yield curve remained inverted at
quarter
-
end despite a recent flattening trend. The
yield
spread between
the
two
-
year and
ten
-
year Treasury was
-
0. 4
% at the end of
the quarter
.
1 Source: Bloomberg. Data is as of
March 31
, 202
4 .
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2023
3/31/2024
Economic and Marke
t Update
Credit Spreads vs. US
Treasury Bonds
1 →
A positive economic outlook along with e
xpectations of
lower interest rates has led to an
increase
d
risk appetite
.
This has
benefited credit
,
with spreads (the added yield above a comparable maturity Treasury) narrowing.
→
This trend continued in the
first quarter
particularly
for
riskier bonds. H
igh yield
spreads fell from
3. 2
% to
3.0 %
and
emerging market
spreads
dropped from
3.0 % to 2.
6 %
. S
pre
ads for investment grade corporate
bonds
fell only
slightly over the quarter (1.0% to 0.9%).
→
All spreads remain below their respective
long
-
run averages
,
particularly
within
high yield
.
1 Source: Bloomberg. Data is as of
March 31
, 202
4 . Average lines denote the average of the investment grade, high yield, and emerging market spread values from September 2002
to the recent month
-
end, respectively.
Economic and Marke
t Update
Equity
and Fixed Income
Volatility
1 →
Volatility in equit
ies
(VIX)
finished the quarter
close to one standard deviation
below
the long
-
term average
as
the focus shifted
late last year
to
peaking policy rates and the potential for a soft landing .
→
Volatility in the bond market (MOVE)
fell
significantly over the quar
ter to a level below the long run average
(86.4
versus 89.2).
Declining volatility surrounding policy expectations and the more positive
growth
outlook both
contributed to lower volatility in the bond market.
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 r ate volatility for fixed income markets. Data is as
of
March
202
4 .
The averag
e line indicated is the average of the VIX and MOVE values between January 2000 and March
202
4 .
Economic and Marke
t Update
US
Ten
-
Year Breakeven Inflation
and CPI
1 →
Year
-
over
-
year h
eadline i
nflation
rose
in
March
(
3. 2
% to 3.
5 %
) and
c
ame in
slightly above expectations
.
Prices
in
s
ervice sectors, particularly s
helter
, remain a key
driver of inflation
staying
above the Fed’s 2% average target
,
with a recent rise in energy prices
con
tributing too.
→
Month
-
over
-
month inflation rose 0.4%
which
was the same as
February
, but above expectations of a 0.3% reading
.
→
Core inflation
(
excluding food and energy
)
remained at
3 .
8 %
but also came in above expectations.
Core goods
prices
dropped
, while core services including shelter and transportation prices continue d
to show persistence.
→
Inflation expectations (breakevens)
have remained relatively stable despite the
significant volatility in inflation.
1 Source
: FRED
. Data is
as
March
202
4 .
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 Marke
t Update
Global Inflation (CPI Trailing Twelve Months)
1 →
Outside the US
,
i
nflation
is
also
easing
across major economies
from the recent peaks.
→
In the eurozone
,
prices
experienced a dramatic decline
last year
but remain above the central bank’s 2%
target
.
In
March
,
inflation
fell
further (
2. 6
%
to 2.
4 %
)
,
a level
below the 3.
5 %
year
-
over
-
year
reading
in the US.
→
Inflation in Japan
has slowly declined from the early 2023 p
eak
of 4.3%
, but it
remains near
levels not seen in
a
decade
. In the most recent reading
,
inflation rose from 2.4% to 2.8% largely due to the falling impact of government energy subsidies introduced at the same time last year.
→
The impacts from
spending
during the Lunar New Year holiday
in China waned in March with inflation falling to
just abo
ut 0%
.
1 Source:
Bloomberg
.
Data
is
March 31
,
202
4 ,
except Japan
which is as
of
February 28
, 202
4 .
Economic and Marke
t Update
US
Unemployment
1 →
Overall, the US labor market remains healthy
,
with the unemployment rate low, wage growth now positive in real terms, and initial claims for unemployment staying subdued.
→
Each of the payroll readings over the quarter
exceeded
expectations
. I
n
March
,
the number of jobs
added in the
US
was
303,000
compared to a 2
14 ,000
forecast
. The healthcare
(72,000)
,
government
(71,000), and
construction
(39,000)
sectors added the most jobs.
→
T
he unemployment
rate
fell
from 3.
9 %
to
3. 8
%
, while wage growth
dropped
slightly from
4.3%
to
4.1%
compared to
a year prior
,
a level well o
f
f the 6.0% peak but above inflation lev
els.
→
Quit rates have declined, and layoffs are stable,
with
1.4 job openings per unemployed worker.
1 Source: FRED. Data is
as
March 31
, 2024
.
Economic and Marke
t 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).
Recently
,
we have
also
seen payment delinquencies on credit
cards
and auto loans
start to increase
, particularly for yo
unger people
.
→
The return of student loan repayment
s
after a three
-
year
pandemic
-
related reprieve could a
dd to pressures
on
consumers’ 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
December 31
,
2023
.
Revolving Consumer Credit data is seasonally adjusted to remove distortions during the holiday season.
Economic and Marke
t Update
Policy Rates
1 →
The
Fed
has been on hold since July 2023 when
it
raised
rates
to
a range of 5.25%
-
5. 50
%
.
Markets are
now
pricing
in
fewer
than
two
rate cuts
this year
down from close to seven late last
year
,
as economic data has come in
better
than
expectations
and inflation persists
.
Market pricing
for the first rate cut ha
s
also
dramatically changed from
an
original
expect
ation of a
March
cut
to the
probability priced below 50% for
a rate cut at
all remaining Fed
meetings
in 2024.
→
The European
and UK c
entral
b
ank
s also recently
paused
their rate increases on slowing inflation
. It appears that
the ECB could be one of the
first central banks to cut rates with expectations close to 90% for a June cut.
→
Given the return of inflation driven by wage growth the Bank of Japan (BOJ) recently ended the final negative interest rate polic
y
, stopped purchasing ETFs, and moved away fro
m its yield curve control.
→
T
he central bank
in China
has
maintained
interest rates
at record low levels
and
continues to
inject 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
March 31
,
202
4 .
Economic and Marke
t Update
US Dollar
vs
.
Broad Currencies
1 →
T
he dollar
increased by close to 3% over the quarter versus a basket of major trading partners.
→
Strong economic data in the US may delay policy rate cuts this year ,
which
could
contribute to
continued
upward
pressure on the dollar as other countries pivot to rate cuts.
1 Source: Bloomberg
.
Data as of
March 31
, 202
4 .
Economic and Marke
t Update
Summary
Key
T
rends
:
→
According to the IMF
,
global growth this year is expected to match
the 2023 estimate at around 3.1% with most
major economies predicted to avoid a recession. Contin
ued strong economic growth does run the risk of inflation and interest rates staying higher for longer.
→
Key economic data in the US
is still coming in
above forecasts with expectations dramatically evolving for the timing and pace of interest
rate
cuts. If data remains strong the Federal Reserve
may
keep
rates elevated
increasing the risk of an economic slowdown.
→
Outside the US we could see other centra
l banks start cutting rates ahead of the Fed
,
with the ECB particularly in
focus.
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.
→
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 slow s
.
Also, the
future path
s
of the large technology companies that have driven market gains will be important.
→
E
quity valuations remain lower in emerging and developed markets, but risks remain ,
including
China
’s
economic
uncertainty
and on
-
going
weakness in
the
real estate sector
which
could spill over into key trading partners’
economi
e
s
.
Japan’s recent
tightening of monetary policy
along with changes in corporate governance in the
country could influence relative results.
Quarterly
Performance
as of
March 31, 2024
Summary of Cash Flows
QTD ($)
1 Year ($)
OPFRS Total Plan
Beginning Market Value
435,955,522
411,182,049
Net Cash Flow
-2,977,698
-13,700,230
Net Investment Change
21,477,865
56,973,870
Ending Market Value
454,455,689
454,455,689
Return Summary Ending March 31, 2024
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
5.2 15.4
4.5 7.3
4.9 13.9
4.0 6.9
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of March 31, 2024
Total Plan performance shown is net of fees.
Risk-Return Summary
QTD Ending March 31, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
2.0 4.0
6.0 8.0
T
o
t
a
l
R
e
t
u
r
n
0.6 0.8
1.0 1.2
1.4 1.6
Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending March 31, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
6.0 9.0
12.0 15.0
18.0 21.0
T
o
t
a
l
R
e
t
u
r
n
6.3 7.2
8.1 9.0
9.9 10.8
11.7 Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan
4.9 0.9
OPFRS Policy Benchmark 5.2 0.9
Median
4.7 1.0
Return
Standard
Deviation
OPFRS Total Plan
13.9 9.6
OPFRS Policy Benchmark 15.4 9.5
Median
13.3 9.3
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of March 31, 2024
Performance shown is net of fees. Calculation is based on monthly periodicity.
Fiscal year begins on July 1. Plan Sponser Peer Group shown is net of fees.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
454,455,689
100.0
5.0 10.6
14.3 4.3
7.2 7.1
6.8 Dec-88
OPFRS Policy Benchmark
5.2 11.0 15.4 4.5 7.3 7.1 8.0
Excess Return
-0.2 -0.4 -1.1 -0.2 -0.1
0.0 -1.2
Domestic Equity (Gross)
195,208,695
43.0 8.3
16.8 23.9
8.1 12.8
11.5 9.3
Jun-97
Russell 3000 (Blend)
10.0 19.3 29.3 9.8 14.3 12.3 9.6
Excess Return
-1.7 -2.5 -5.4 -1.7 -1.5 -0.8 -0.3
International Equity (Gross)
59,984,511
13.2 6.6
14.3 17.9
5.0 8.1
6.0 5.7
Jan-98
MSCI ACWI ex US (Blend)
4.7 10.6 13.3 1.9 6.0 4.3 5.3
Excess Return
1.9 3.7 4.6 3.1 2.1 1.7 0.4
Fixed Income (Gross)
107,560,917
23.7 -0.4
3.0 2.4
-1.8
0.9 2.2
4.7 Jan-94
Bloomberg Universal (Blend)
-0.5 3.3 2.7 -2.1 0.7 1.8 4.5
Excess Return
0.1 -0.3 -0.3
0.3 0.2 0.4 0.2
Credit (Gross)
9,984,458
2.2 3.1
9.0 12.7
4.5 5.2
--
5.8 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.5 9.2 11.2 2.2 4.2 4.4 4.8
Excess Return
1.6 -0.2
1.5 2.3 1.0
--
1.0 Covered Calls (Gross)
25,275,663
5.6 6.3
12.1 20.4
9.5 11.7
9.7 9.7
Apr-14
Cboe S&P 500 Buy Write Index
6.0 7.3 11.9 6.2 5.9 5.9 5.9
Excess Return
0.3 4.8 8.5 3.3 5.8 3.8 3.8
Crisis Risk Offset (Gross)
40,716,178
9.0 3.4
2.4 4.5
-0.6
-7.1
--
-6.5
Aug-18
Crisis Risk Offset Benchmark
5.4 5.1 7.8 5.5 0.8 -- 1.0
Excess Return
-2.0 -2.7 -3.3 -6.1 -7.9
--
-7.5
Cash (Gross)
15,725,267
3.5 0.0
0.0 0.0
0.0 0.6
0.7 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of March 31, 2024 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
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
454,455,689
100.0
4.9 10.3
13.9 4.0
6.9 6.9
6.7 Dec-88
OPFRS Policy Benchmark
5.2 11.0 15.4 4.5 7.3 7.1 8.0
Excess Return
-0.3 -0.7 -1.5 -0.5 -0.4 -0.2 -1.3
IM Public DB $250M-$1B Median (Net)
4.7 9.7 13.3 4.2 7.9 6.8 --
Peer Group Rank
43 32 40 57 80 48 --
Domestic Equity (Net)
195,208,695
43.0 8.2
16.6 23.5
7.8 12.5
11.2 9.2
Jun-97
Russell 3000 (Blend)
10.0 19.3 29.3 9.8 14.3 12.3 9.6
Excess Return
-1.8 -2.7 -5.8 -2.0 -1.8 -1.1 -0.4
International Equity (Net)
59,984,511
13.2 6.5
13.8 17.2
4.3 7.5
5.6 5.6
Jan-98
MSCI ACWI ex US (Blend)
4.7 10.6 13.3 1.9 6.0 4.3 5.3
Excess Return
1.8 3.2 3.9 2.4 1.5 1.3 0.3
Fixed Income (Net)
107,560,917
23.7 -0.4
2.8 2.2
-2.0
0.7 2.0
4.5 Jan-94
Bloomberg Universal (Blend)
-0.5 3.3 2.7 -2.1 0.7 1.8 4.5
Excess Return
0.1 -0.5 -0.5
0.1 0.0
0.2 0.0
Credit (Net)
9,984,458
2.2 3.0
8.5 12.1
3.9 4.6
--
5.1 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.5 9.2 11.2 2.2 4.2 4.4 4.8
Excess Return
1.5 -0.7
0.9 1.7 0.4
--
0.3 Covered Calls (Net)
25,275,663
5.6 6.2
11.9 20.1
9.3 11.4
9.5 9.5
Apr-14
Cboe S&P 500 Buy Write Index
6.0 7.3 11.9 6.2 5.9 5.9 5.9
Excess Return
0.2 4.6 8.2 3.1 5.5 3.6 3.6
Crisis Risk Offset (Net)
40,716,178
9.0 3.4
2.3 4.3
-0.8
-7.3
--
-6.8
Aug-18
Crisis Risk Offset Benchmark
5.4 5.1 7.8 5.5 0.8 -- 1.0
Excess Return
-2.0 -2.8 -3.5 -6.3 -8.1
--
-7.8
Cash (Net)
15,725,267
3.5 0.0
0.0 0.0
0.0 0.6
0.7 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of March 31, 2024 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 March 31, 2024
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
4.7 9.7
13.3 4.2
7.9 5.2
11.0 15.4
4.5 7.3
4.9 10.3
13.9 4.0
6.9 Calendar Year Performance
Ending December 31, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 15.0
30.0 -15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2023
2022
2021
2020
2019
12.3 -13.1
14.2 12.7
19.1 15.1
-14.0
12.2 11.1
19.3 13.5
-14.7
13.8 9.4
20.8 Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of March 31, 2024 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter. Fiscal year begins on July 1.
Current
Balance ($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
195,208,695
43.0 40.0
3.0 30.0 - 50.0
Yes
International Equity
59,984,511
13.2 12.0
1.2 8.0 - 14.0
Yes
Fixed Income
107,560,917
23.7 31.0
-7.3
25.0 - 40.0
No
Credit
9,984,458
2.2 2.0
0.2 1.0 - 3.0
Yes
Covered Calls
25,275,663
5.6 5.0
0.6 5.0 - 10.0
Yes
Crisis Risk Offset
40,716,178
9.0 10.0
-1.0
5.0 - 15.0
Yes
Cash
15,725,267
3.5 0.0
3.5 0.0 - 5.0
Yes
Total
454,455,689
100.0
100.0
0.0 March 31, 2024: $454,455,688.7
Cash
3.5%
Covered Calls
5.6%
Credit
2.2%
Crisis Risk Offset
9.0%
Fixed Income
23.7%
Domestic Equity
43.0%
March 31, 2023: $406,308,110.42
Cash
3.1%
Covered Calls
5.6%
Credit
2.2%
Crisis Risk Offset
9.6%
Fixed Income
25.5%
Domestic Equity
40.9%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of March 31, 2024
Cash account market value includes cash balances held in ETF accounts at the custodian and residuals from terminated managers.
Target weights reflect the Plan's evolving asset allocation (effective 05/31/2017).
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
195,208,695
100.0
8.2 16.6
23.5 7.8
12.5 11.2
9.2 Jun-97
Russell 3000 (Blend)
10.0 19.3 29.3 9.8 14.3 12.3 9.6
Excess Return
-1.8 -2.7 -5.8 -2.0 -1.8 -1.1 -0.4
Northern Trust Russell 1000
97,326,458
49.9 10.3
19.6 29.8
10.3 14.6
12.6 14.0
Jun-10
Russell 1000 Index
10.3 19.6 29.9 10.5 14.8 12.7 14.1
Excess Return
0.0 0.0
-0.1 -0.2 -0.2 -0.1 -0.1
EARNEST Partners
42,502,989
21.8 7.9
16.1 20.6
6.5 12.7
11.6 9.7
Apr-06
Russell Midcap Index
8.6 16.8 22.3 6.1 11.1 9.9 9.2
Excess Return
-0.7 -0.7 -1.7
0.4 1.6 1.7 0.5
eV US Mid Cap Core Equity Rank
81 62 69 70 37 28 36
Wellington Select Quality Equity
25,703,596
13.2 5.1
10.0 14.9
--
--
--
8.4 May-22
Russell 1000 Index
10.3 19.6 29.9 10.5 14.8 12.7 14.9
Excess Return
-5.2 -9.6 -15.0
-- -- --
-6.5
eV US Large Cap Core Equity Rank
97 97 96 -- -- -- 93
Brown Fundamental Small Cap Value
13,481,386
6.9 5.0
19.5 24.1
7.8 --
--
7.8 Apr-21
Russell 2000 Value Index
2.9 15.1 18.8 2.2 8.2 6.9 2.2
Excess Return
2.1 4.4 5.3 5.6
-- --
5.6 eV US Small Cap Value Equity Rank
48 17 22 22 -- -- 22
Rice Hall James
16,194,267
8.3 5.4
9.6 12.6
-1.1
6.7 --
7.2 Aug-17
Russell 2000 Growth Index
7.6 12.4 20.3 -2.7 7.4 7.9 8.0
Excess Return
-2.2 -2.8 -7.7
1.6 -0.7
--
-0.8
eV US Small Cap Growth Equity Rank
74 71 78 50 87 -- 92
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 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
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
59,984,511
100.0
6.5 13.8
17.2 4.3
7.5 5.6
5.6 Jan-98
MSCI ACWI ex US (Blend)
4.7 10.6 13.3 1.9 6.0 4.3 5.3
Excess Return
1.8 3.2 3.9 2.4 1.5 1.3 0.3
Vanguard Developed Markets ETF
16,800,177
28.0 5.3
11.5 15.0
4.0 7.4
5.0 8.3
Sep-19
FTSE Developed All Cap ex-U.S. Index
5.2 12.1 15.6 4.2 7.7 5.2 8.5
Excess Return
0.1 -0.6 -0.6 -0.2 -0.3 -0.2 -0.2
SGA ACWI ex-U.S. Equity
43,184,334
72.0 6.9
14.7 18.5
4.5 --
--
5.8 Dec-19
MSCI AC World ex USA (Net)
4.7 10.6 13.3 1.9 6.0 4.3 5.6
Excess Return
2.2 4.1 5.2 2.6
-- --
0.2 eV ACWI ex-US All Cap Core Eq Rank
17 11 14 18 -- -- 61
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 Performance shown is net of fees, except for the International Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
107,560,917
100.0
-0.4
2.8 2.2
-2.0
0.7 2.0
4.5 Jan-94
Bloomberg Universal (Blend)
-0.5 3.3 2.7 -2.1 0.7 1.8 4.5
Excess Return
0.1 -0.5 -0.5
0.1 0.0
0.2 0.0
Ramirez
72,950,679
67.8 -0.5
2.8 2.1
-2.1
0.6 --
1.6 Jan-17
Blmbg. U.S. Aggregate Index
-0.8 2.6 1.7 -2.5 0.4 1.5 1.1
Excess Return
0.3 0.2 0.4 0.4 0.2
--
0.5 eV US Core Fixed Inc Rank
48 67 63 33 66 -- 31
Wellington Core Bond
6,980,801
6.5 -0.2
3.8 3.2
-2.4
--
--
-2.4
Apr-21
Blmbg. U.S. Aggregate Index
-0.8 2.6 1.7 -2.5 0.4 1.5 -2.5
Excess Return
0.6 1.2 1.5 0.1
-- --
0.1 eV US Core Fixed Inc Rank
20 14 16 64 -- -- 65
Reams
27,629,437
25.7 -0.5
2.8 2.3
-1.6
3.0 2.9
4.9 Feb-98
Bloomberg Universal (Blend)
-0.5 3.3 2.7 -2.1 0.7 1.8 4.1
Excess Return
0.0 -0.5 -0.4
0.5 2.3 1.1 0.8
eV US Core Plus Fixed Inc Rank
74 82 76 30 2 8 24
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 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
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
9,984,458
100.0
3.0 8.5
12.1 3.9
4.6 --
5.1 Feb-15
Blmbg. U.S. Corp: High Yield Index
1.5 9.2 11.2 2.2 4.2 4.4 4.8
Excess Return
1.5 -0.7
0.9 1.7 0.4
--
0.3 Polen Capital
9,984,458
100.0
3.0 8.5
12.1 3.9
4.6 --
5.1 Feb-15
ICE BofA U.S. High Yield Index
1.5 9.3 11.0 2.2 4.0 4.4 4.7
Excess Return
1.5 -0.8
1.1 1.7 0.6
--
0.4 eV US High Yield Fixed Inc Rank
7 58 15 11 25 -- 18
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
25,275,663
100.0
6.2 11.9
20.1 9.3
11.4 9.5
9.5 Apr-14
Cboe S&P 500 Buy Write Index
6.0 7.3 11.9 6.2 5.9 5.9 5.9
Excess Return
0.2 4.6 8.2 3.1 5.5 3.6 3.6
Parametric BXM
12,339,462
48.8 5.8
10.0 16.5
7.6 8.5
7.5 7.5
Apr-14
Cboe S&P 500 Buy Write Index
6.0 7.3 11.9 6.2 5.9 5.9 5.9
Excess Return
-0.2
2.7 4.6 1.4 2.6 1.6 1.6
Parametric DeltaShift
12,936,202
51.2 6.7
13.9 23.8
10.7 14.0
11.5 11.5
Apr-14
Cboe S&P 500 Buy Write Index
6.0 7.3 11.9 6.2 5.9 5.9 5.9
Excess Return
0.7 6.6 11.9 4.5 8.1 5.6 5.6
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 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
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Inception
(%)
Inception
Date
Crisis Risk Offset
40,716,178
100.0
3.4 2.3
4.3 -0.8
-7.3
--
-6.8
Aug-18
Crisis Risk Offset Benchmark
5.4 5.1 7.8 5.5 0.8 -- 1.0
Over/Under
-2.0 -2.8 -3.5 -6.3 -8.1
--
-7.8
Kepos Alternative Risk Premia
12,080,647
29.7 11.0
15.3 17.6
--
--
--
9.1 Feb-22
SG Multi Alternative Risk Premia Index
7.4 10.4 13.0 7.5 2.0 -- 8.2
Over/Under
3.6 4.9 4.6
-- -- --
0.9 Versor Trend Following
15,458,363
38.0 3.8
-0.6
5.9 --
--
--
1.5 Apr-22
SG Trend Index
12.3 7.5 16.1 12.9 11.0 6.9 7.9
Over/Under
-8.5 -8.1 -10.2
-- -- --
-6.4
Vanguard Long-Term Treasury ETF
13,177,168
32.4 -3.1
-4.2
-6.4
-8.1
-2.9
1.2 -4.2
Jul-19
Blmbg. U.S. Government: Long Term Bond Index
-3.2 -3.8 -6.0 -8.0 -2.8 1.2 -4.1
Over/Under
0.1 -0.4 -0.4 -0.1 -0.1
0.0 -0.1
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of March 31, 2024 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
88,252,834
-
9,073,623
97,326,458
EARNEST Partners
42,300,855
-3,000,000
3,202,134
42,502,989
Wellington Select Quality Equity
24,458,953
-
1,244,643
25,703,596
Brown Fundamental Small Cap Value
12,835,326
-
646,060
13,481,386
Rice Hall James
15,327,009
-
867,257
16,194,267
Vanguard Developed Markets ETF
16,040,034
-95,939
856,082
16,800,177
SGA ACWI ex-U.S. Equity
40,307,575
-
2,876,760
43,184,334
Ramirez
73,247,942
-
-297,263
72,950,679
Wellington Core Bond
6,993,592
-
-12,791
6,980,801
Reams
27,742,062
-
-112,625
27,629,437
Polen Capital
9,697,822
-
286,635
9,984,458
Parametric BXM
11,662,453
-
677,009
12,339,462
Parametric DeltaShift
12,121,242
-
814,960
12,936,202
Kepos Alternative Risk Premia
10,884,494
-
1,196,153
12,080,647
Versor Trend Following
14,897,129
-
561,234
15,458,363
Vanguard Long-Term Treasury ETF
13,686,549
-64,778
-444,603
13,177,168
Cash - Money Market
5,092,650
309,616
-
5,402,267
Cash - Treasury
10,407,000
-84,000
-
10,323,000
Securities Lending Northern Trust
-
-42,598
42,598
-
OPFRS Total Plan
435,955,522
-2,977,698
21,477,865
454,455,689
Oakland Police and Fire Retirement System
Financial Reconciliation | March 31, 2024
Growth of a Dollar
5 Years ending March 31, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
2019
2019
2020
2020
2021
2021
2022
2022
2023
2023
2024
Actuarial Rate: $1.34
OPFRS Policy Benchmark: $1.43
OPFRS Total Plan: $1.39
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of March 31, 2024 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
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
4.9 (43)
10.3 (32)
13.9 (40)
4.0 (57)
6.9 (80)
6.9 (48)
¢
£
OPFRS Policy Benchmark
5.2 (26)
11.0 (22)
15.4 (20)
4.5 (42)
7.3 (71)
7.1 (35)
5th Percentile
6.5 12.4
17.6 5.6
9.5 8.0
1st Quartile
5.3 10.8
14.7 4.9
8.5 7.3
Median
4.7 9.7
13.3 4.2
7.9 6.8
3rd Quartile
4.0 8.6
11.5 3.3
7.3 6.4
95th Percentile
2.6 6.0
7.6 2.2
6.1 5.9
Population
97 86
84 75
75 64
Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of March 31, 2024 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
Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000 0.00 1.00 -2.66
1.76 0.00
1.00 99.81
-
Russell 1000 Index
0.00 1.00
-
1.77 0.00
1.00 100.00
-
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
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
10.3 29.9
10.5 14.8
13.9 12.7
10.3 29.8
10.3 14.6
13.8 12.6
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
3/24
$6.2
$6.1
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
%
2023
2022
2021
2020
2019
2018
26.5 -19.1
26.5 21.0
31.4 -4.8
26.5 -19.4
26.5 20.8
31.4 -4.8
Risk/Return - Since Inception
eV US Large Cap Core Equity
Northern Trust Russell 1000
Russell 1000 Index
3.0 6.0
9.0 12.0
15.0 18.0
R
e
t
u
r
n
4.0 6.0
8.0 10.0
12.0 14.0
16.0 18.0
20.0 Standard Deviation
QTD Return QTD Risk
Northern Trust Russell 1000
10.28 1.64
Russell 1000 Index
10.30 1.64
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of March 31, 2024
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
0.42 0.77
-0.24
0.89 1.00
0.92 86.71
58.61 Russell Midcap Index
0.00 1.00
-
0.79 0.00
1.00 100.00
100.00
Trailing Performance
EARNEST Partners
Russell Midcap Index
0.0 8.0
16.0 24.0
32.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
8.6 22.3
6.1 11.1
10.6 9.9
7.9 20.6
6.5 12.7
12.5 11.6
Growth of $1 - Since Inception
EARNEST Partners
Russell Midcap Index
-2.0
0.0 2.0
4.0 6.0
8.0 3/06
6/08
9/10
12/12
3/15
6/17
9/19
12/21
3/24
$4.9
$5.3
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
%
2023
2022
2021
2020
2019
2018
17.2 -17.3
22.6 17.1
30.5 -9.1
16.8 -15.9
24.8 20.2
37.3 -10.4
Risk/Return - Since Inception
eV US Mid Cap Core Equity
EARNEST Partners
Russell Midcap Index
6.0 8.0
10.0 12.0
14.0 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
7.88 2.44
Russell Midcap Index
8.60 3.05
Oakland Police and Fire Retirement System
EARNEST Partners | As of March 31, 2024
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 0.29 0.41
-1.65
1.64 1.01
0.83 50.13
-
Russell 1000 Index
0.00 1.00
-
1.77 0.00
1.00 100.00
-
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
%
Q1-2024
1 Year
3 Years
5 Years
10 Years
10.3 29.9
10.5 14.8
12.7 5.1
14.9 Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index
0.6 0.8
1.0 1.2
1.4 4/22
7/22
10/22
1/23
4/23
7/23
10/23
3/24
$1.3
$1.2
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
%
2023
2022
2021
2020
2019
2018
26.5 -19.1
26.5 21.0
31.4 -4.8
10.2 Risk/Return - Since Inception
eV US Large Cap Core Equity
Wellington Select Quality Equity
Russell 1000 Index
0.0 6.0
12.0 18.0
24.0 30.0
R
e
t
u
r
n
3.0 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
5.09 0.74
Russell 1000 Index
10.30 1.64
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of March 31, 2024 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
1.11 0.54 0.35
0.58 1.82
1.00 83.34
29.90 Russell 2000 Value Index
0.00 1.00
-
0.15 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
32.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
2.9 18.8
2.2 8.2
6.6 6.9
5.0 24.1
7.8 Growth of $1 - Since Inception
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.6 0.8
1.0 1.2
1.4 1.6
3/21
9/21
3/22
9/22
3/23
9/23
3/24
$1.1
$1.3
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
%
2023
2022
2021
2020
2019
2018
14.6 -14.5
28.3 4.6
22.4 -12.9
17.5 -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
5.03 2.15
Russell 2000 Value Index
2.90 3.97
Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of March 31, 2024 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
-0.06 0.74
-0.41
0.38 1.78
0.87 64.62
48.57 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
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
7.6 20.3
-2.7
7.4 8.4
7.9 5.4
12.6 -1.1
6.7 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
7/23
3/24
$1.7
$1.6
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
%
2023
2022
2021
2020
2019
2018
18.7 -26.4
2.8 34.6
28.5 -9.3
14.1 -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
5.40 3.65
Russell 2000 Growth Index
7.58 4.63
Oakland Police and Fire Retirement System
Rice Hall James | As of March 31, 2024
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
-0.26 1.19 0.08
0.66 0.68
0.91 116.42 305.54
FTSE Developed All Cap ex-U.S. Index
0.00 1.00
-
0.78 0.00
1.00 100.00
100.00
Trailing Performance
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 5.0
10.0 15.0
20.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
5.2 15.6
4.2 7.7
7.0 5.2
5.3 15.0
4.0 7.4
6.7 5.0
Growth of $1 - Since Inception
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.6 0.9
1.2 1.5
1.8 8/19
2/20
8/20
2/21
8/21
2/22
8/22
2/23
8/23
3/24
$1.5
$1.4
Calendar Year Returns
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 15.0
30.0 45.0
-15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2023
2022
2021
2020
2019
2018
18.3 -15.3
11.9 10.3
22.7 -14.5
17.9 -15.4
11.7 9.7
22.6 -14.8
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 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
5.35 2.05
FTSE Developed All Cap ex-U.S. Index
5.19 1.65
Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of March 31, 2024
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
1.11 0.74
1.04 1.27
0.68 0.88
115.14
-27.96
MSCI AC World ex USA (Net)
0.00 1.00
-
0.62 0.00
1.00 100.00
100.00
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q1-2024
1 Year
3 Years
5 Years
7 Years
10 Years
4.7 13.3
1.9 6.0
5.9 4.3
6.9 18.5
4.5 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
3/24
$1.3
$1.3
Calendar Year Returns
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
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
15.6 -16.0
7.8 10.7
21.5 -14.2
20.5 -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)
0.0 3.0
6.0 9.0
12.0 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
6.91 1.44
MSCI AC World ex USA (Net)
4.69 1.82
Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of March 31, 2024
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
3.2 72.4
10.8 13.5
0.0 0.2
0.0 0.0
7.8 65.2
9.5 11.7
3.1 2.1
0.0 0.5
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez
-0.5 2.1 -2.1
0.6 Blmbg. U.S. Aggregate Index
-0.8
1.7 -2.5
0.4 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
43.0 25.1
27.6 0.5
3.3 0.6
0.0 30.1
22.0 25.0
3.2 0.0
19.1 0.5
Portfolio Fixed Income Characteristics
Q1-24
Portfolio
Q4-23
Portfolio
Yield To Maturity
5.0 4.9
Average Duration
6.1 5.8
Average Quality
AA
AA
Weighted Average Maturity
8.9 8.6
Oakland Police and Fire Retirement System
Ramirez | As of March 31, 2024
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 50.0
100.0
-50.0
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
3.2 72.4
10.8 13.5
0.2 0.0
0.0 0.0
78.4 6.5
13.2 14.3
0.1 0.1
2.3 -14.9
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond
-0.2 3.2 -2.4
-
Blmbg. U.S. Aggregate Index
-0.8
1.7 -2.5
0.4 Sector Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index
0.0 25.0
50.0 75.0
-25.0
-50.0
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
43.0 25.1
27.6 0.5
3.3 0.6
0.0 0.0
21.5 0.0
53.6 10.6
0.0 0.0
29.2 -14.9
Portfolio Fixed Income Characteristics
Q1-24
Portfolio
Q4-23
Portfolio
Yield To Maturity
5.3 4.9
Average Duration
6.5 6.5
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of March 31, 2024
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
B
C
C
C
/
C
a
a
C
C
/
C
a
C
D
C
a
s
h
3.3 63.4
11.9 15.0
3.4 2.2
0.7 0.0
0.0 0.0
0.0 23.8
51.4 16.9
6.8 0.0
0.0 0.0
0.0 0.0
0.0 1.0
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams
-0.5 2.3 -1.6
3.0 Blmbg. U.S. Universal Index
-0.5
2.7 -2.1
0.7 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
F
o
r
e
i
g
n
M
u
n
i
C
a
s
h
36.8 32.5
23.6 0.5
6.3 0.5
0.0 26.4
23.7 38.2
10.7 0.0
0.0 1.0
Portfolio Fixed Income Characteristics
Q1-24
Portfolio
Q4-23
Portfolio
Yield To Maturity
5.1 5.1
Average Duration
6.5 6.2
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Reams | As of March 31, 2024
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 U.S. High Yield Index
Peer Group
eV US High Yield Fixed Inc
Credit Quality Allocation
Polen Capital
ICE BofA U.S. High Yield Index
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
D
N
o
t
R
a
t
e
d
C
a
s
h
1.0 51.4
36.0 11.3
0.0 0.2
0.0 0.0
0.2 5.2
27.5 37.0
0.8 0.0
4.9 24.4
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital
3.0 12.1 3.9 4.6
ICE BofA U.S. High Yield Index
1.5 11.0
2.2 4.0
Sector Allocation
Polen Capital
ICE BofA U.S. High Yield Index
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
Q1-24
Portfolio
Q4-23
Portfolio
Yield To Maturity
9.2 9.7
Average Duration
2.2 1.5
Average Quality
B
CCC
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Polen Capital | As of March 31, 2024
Performance shown is net of fees.
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls
9.5 11.4 3.2 1.0 0.9
4.0 124.0 105.0
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.4 0.0 1.0
-
0.0 100.0 100.0
Parametric BXM
7.5 9.3 2.3 0.9 0.4
3.1 99.7 85.4
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.4 0.0 1.0
-
0.0 100.0 100.0
Parametric DeltaShift
11.5 13.8 4.4 1.2 0.9
6.3 147.7 121.8
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.4 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
6.0 11.9
6.2 5.9
6.2 20.1
9.3 11.4
Growth of a Dollar
Covered Calls
Cboe S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
2019
2019
2020
2021
2022
2022
2024
$1.33
$1.71
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
%
2023
2022
2021
2020
2019
11.8 -11.4
20.5 -2.8
15.7 20.0
-12.7
24.4 11.1
22.1 Oakland Police and Fire Retirement System
Covered Calls | As of March 31, 2024
Performance shown is net of fees.
Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-6.8 10.9 -7.0 0.8 -0.7
10.1 32.2 129.9 08/01/2018
Crisis Risk Offset Benchmark
1.0 5.4 0.0 1.0
- 0.0 100.0 100.0
Kepos Alternative Risk Premia
9.1 6.8 2.2 0.8 0.2
5.1 93.5 62.3 02/01/2022
SG Multi Alternative Risk Premia Index
8.2 5.4 0.0 1.0
- 0.0 100.0 100.0
Versor Trend Following
1.5 15.0 -5.8 1.0 -0.8
7.1 80.8 111.6 04/01/2022
SG Trend Index
7.9 13.0 0.0 1.0
- 0.0 100.0 100.0
Vanguard Long-Term Treasury ETF
-4.2 15.2 0.0 1.0 -0.1
1.1 101.1 101.2 07/01/2019
Blmbg. U.S. Government: Long Term Bond Index -4.1 15.0 0.0 1.0 - 0.0 100.0 100.0
Correlation Matrix
3 Months Ending March 31, 2024
Crisis Risk Offset MSCI AC World Index Value S&P 500 Index Blmbg. Global Aggregate Index Crisis Risk Offset
1.00 MSCI AC World Index Value
1.00 1.00
S&P 500 Index
0.59 0.53
1.00 Blmbg. Global Aggregate Index
0.78 0.83
-0.04
1.00 Trailing Period Performance
Crisis Risk Offset
Crisis Risk Offset Benchmark
0.0 5.0
10.0 -5.0
-10.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
1 Year
3 Years
5 Years
5.4 7.8
5.5 0.8
3.4 4.3
-0.8
-7.3
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of March 31, 2024
Performance shown is net of fees.
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 March 31, 2024
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 March 31, 2024
Manager Monitoring / Probation Status
Oakland Police and Fire Retirement System
Manager Monitoring / Probation
Status
| As of
March
3 1
,
202
4 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 Performance Since Placement starts at the beginning of the full month following the date of corrective action.
Performance shown is net of fees
and a
nnualize
d after
one year
mark
.
3 Per Investment Policy
Statement and Manager Guidelines
(“IPS”)
, Revised 5/31/2023, section H
. Currently, only Domestic
Equity
, International Equity,
and Fixed Income
have
stated
quantitative monitoring
criteria in the IPS
.
4 VRR (Value Relative Ratio) is calculated as manager c umulative 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
6 -
4.4 N/A
Benchmark: SG Trend In
d
ex
--
--
--
6.6 --
Appendix
Oakland Police and Fire Retirement System
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
:
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
.
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.