Cities Index.
View Attachment A

Rules & Legislation Committee
October 10, 2024

Document
View Attachment A
Meeting
October 10, 2024
Body
Rules & Legislation Committee
Pages
64
Original file
2.0 MB
Text extracted from the city's file for reading and search. Open the original on oakland.legistar1.com. That file is the official record.

BOSTON CHICAGO LONDON MIAMI NEW YORK PORTLAND SAN DIEGO MEKETA.COM Quarterly Performance Report
as of June 30, 2024
Oakland Police and Fire Retirement System
August 28, 2024
Attachment A

Oakland Police and Fire
Retirement System

Table of Contents

Agenda

1. Executive Summary

2. Economic and Market Update

as of
June

3 0
, 202
4 3.

Quarterly
Performance as of
June
3 0
,
2 02
4 4.

Manager Monitoring / Probation
Status

5. Appendix

6. Disclaimer, Glossary, and Notes

Page 2 of 64 ends

Executive Summary

Page 3 of 64 ends

Oakland Police and Fire Retirement System

Executive Summary | As of
June

3 0
, 202
4 Total Portfolio

Review

The
Oakland Police and Fire
Retirement

System (OPFRS)
finished the
quarter

with

$
45 3.2

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

454.5

420.2

Net Cash Flows (including Benefit Payments)

-

2.7 -

11.6 Net Investment Change (Gain/Loss)

1.4 44.7

Ending Market Value

453.2

453.2

Investment

Performance
2 QTD

YTD

1 Year

3 Year

5 Year

Total Plan (Gross)

0.3 5.3

10.9 2.7

6.5 Total Plan (Net)

0.3 5.1

10.6 2.4

6.2 Policy Benchmark

1.4 6.8

12.6 3.3

6.9 Excess Return

-

1.1 -

1.7 -

2.0 -

0.9 -

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

0.9 5.6

10.5 2.7

7.2 Total Plan (Net) vs. Peer Median Fund

-

0.7 -

0.4 0.1

-

0.3 -

0.9 Peer Group Percentile Rank

82 66

50 57

77 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 portfolios in each time period.

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

Page 4 of 64 ends

Oakland Police and Fire Retirement System

Executive Summary | As of
June

3 0
, 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
, year
-
to
-
date,

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
year
-
to
-
date
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
.

A
ctive Domestic Equity managers across different
styles
, with the exception of Brown Small Cap Value,

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
and Rice Hall James
outperformed
their respective

benchmark
s

while all other active managers
under
performed their

respective benchmarks
.

→

International
E
quity

and its only active manager, SGA,
outperformed MSCI ACWI ex US
(Net)
for all periods

except over the quarter.

→

Fixed
I
ncome

slightly
out
performed

or matched

its
custom
benchmark

over
the quarter and 1
-
year trailing period. The underweight
allocation to Fixed Income has contributed to the Total Plan’s relative performance over the past 1
-
year trailing period. The
underlying managers outperformed their respective benchmarks for most time periods.

→

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

except for the quarter and 1
-
year trailing period.

→

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
almost
all periods measured.

→

The
Crisis Risk Offset

segment
under
performed

its
custom
benchmark
over

all time periods measured
.

Year
-
to
-
date
Kepos
Alternative Risk Premia
and Vanguard Long
-
term Treasury ETF
have outperformed their respective
benchmark
s

while
Versor

Trend Following
lagged its
benchmar
k, despite its outperformance over the quarter
.

1 Fiscal year begins on July 1.

Please see the Benchmark History section for the
custom benchmarks’

current and historical compositions.

Page 5 of 64 ends

Economic and Market Update

As of
June
30,

2024

Page 6 of 64 ends

Economic and Market
Update

Commentary

→

S
oftening economic data
,

increas
ed

hopes
of interest rate
cuts
, and ongoing AI optimism drove most asset
classes higher in the second quarter.

•

W
hile

the Fed

remain
s

data dependent, improvements in inflation

and a cooling labor market

may clear the
way for
several
rate cuts
this year
.

•

Inflation pressures have eased in most countries from their pandemic peaks, but some uncertainty remains and levels are still above most central bank targets.

In the second quarter
,

h
eadline

and core inflation
measures in the US both fell
,

with most readings coming

in below expectations.

•

T
he US equity markets (Russell 3000 index)
add
ed

to its gains in the second quarter
,

r
ising

3. 2
%
.

Technology
continued to drive results

in

the quarter

d
ue to

AI demand and investment.

•

Non
-
US developed equity markets
fell

in the second quarter

(
-

0.4 %)

on continued strength in the US dollar
and political uncertainty in Europe
.

•

Emerging market equities
rallied

(

5.0 %)
,

for the quarter.

Chinese stocks
were
up 7.1%
as coordinated buying of
Chinese exchange traded funds (ETFs) by state
-
backed financial services companies helped boost
stock
prices
.

•

US interest rates rose
over the quarter but finished off their highs.

Income offset capital losses though
,

leading
to

the broad US bond market rising

0.1%

in the second quarter
.

→

Looking to the rest of this year, the paths of inflation and monetary policy, China’s economic disorder and slowing economic growth, and the many looming elections will be key factors.

Page 7 of 64 ends

Economic and Market
Update

Index Returns
1 →

Declining inflation, resilient growth, and
strong corporate earnings

supported most asset classes in the second
quarter.

→

Mid
-
way through 2024, US stocks
have significantly
outperformed
other

asset classes on a year
-
to
-
date basis
.

1 Source: Bloomberg. Data is as of June 30, 2024.

YTD

Q2

15.3%

13.6%

11.3%

7.5%

5.3%

5.1%

2.6%

2.3%

1.7%

0.7%
-

0.1%
-

0.7%
-

3.7%
S&P 500
Russell 3000

MSCI ACWI
MSCI Emerging Markets

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

5.0%

4.3%

3.2%

2.9%

2.9%

1.4%

1.1%

0.8%

0.1%

0.1%
-

0.4%
-

1.6%
-

3.3%
MSCI Emerging Markets
S&P 500
Russell 3000
Bloomberg Commodity Index

MSCI ACWI
Bloomberg Short-Term TIPS
Bloomberg High Yield
Bloomberg US TIPS
Bloomberg Aggregate
FTSE NAREIT Equity

MSCI EAFE
JPM GBI-EM Global Diversified
Russell 2000

Page 8 of 64 ends

Economic and Market
Update

Domestic Equity Returns
1 Domestic Equity

June

(%)

Q2

(%)

YTD

(%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

S&P 500

3.6 4.3

15.3 24.6

10.0 15.1

12.9 Russell 3000

3.1 3.2

13.6 23.1

8.1 14.2

12.1 Russell 1000

3.3 3.6

14.2 23.9

8.8 14.6

12.5 Russell 1000 Growth

6.7 8.3

20.7 33.5

11.3 19.4

16.3 Russell 1000 Value

-

0.9 -

2.2 6.6

13.1 5.5

9.0 8.2

Russell MidCap

-

0.7 -

3.3 5.0

12.9 2.4

9.5 9.0

Russell MidCap Growth

1.7 -

3.2 6.0

15.1 -

0.1 9.9

10.5 Russell MidCap
Value

-

1.6 -

3.4 4.5

12.0 3.7

8.5 7.6

Russell 2000

-

0.9 -

3.3 1.7

10.1 -

2.6 6.9

7.0 Russell 2000 Growth

-

0.2 -

2.9 4.4

9.1 -

4.9 6.2

7.4 Russell 2000 Value

-

1.7 -

3.6 -

0.8 10.9

-

0.5 7.1

6.2 US Equities: The Russell 3000 rose

3.2% in the second quarter
,

bringing the year
-
to
-
date results to

13.6%
.

→

US stocks continued their rise in June

driven by
on
-
going

AI optimism
.

N
early
all

the quarterly market gains in
the S&P 500 were

driven by
large cap t
echnology stocks
,

w
ith

the S&P 500 equal weighted index
down

3.1% for
the quarter.

→

US large cap stocks continue to outperform small cap stocks. This dynamic is driven by the large technology stocks
like NVIDIA, Apple, and Alphabet

and the underperformance of small cap biopharma companies and banks.

→

Growth outperformed value for the quarter
,

with the most pronounced outperformance in the large cap space (8.3% versus
-

2.2%).

1 Source: Bloomberg. Data is as of June 30, 2024.

Page 9 of 64 ends

Economic and Market
Update

Russell 3000 Sector Returns
1 →

Unlike
first quarter
performance, where all sectors gained, the second quarter saw mixed results across the major sectors.

→

Technology (+12.9%) continued to drive results fueled by on -
going AI optimism. Utilities where a distant second

increasing 3.5%, on expectations of increased demand from AI -
related
companies
.

→

Many other sectors
fell
,

including financials (
-

1.3%), health care (
-

1.4%), consumer staples (
-

2.7%), energy (
-

2.9%),
materials (
-

4.7%), and industrials (
-

4.9%).

→

All sectors have positive returns for the year
-
to
-
date period. Technology stocks (+27.8%) continue to lead the broader market
,

followed by financials (9.7%).

1 Source: Bloomberg. Data is as of June 30, 2024.

-

4.7%

0.0%
-

2.7%
-

2.9%
-

1.3%
-

1.4%
-

4.9%

12.9%

0.8%

3.5%

3.2%

1.6%

7.7%

2.6%

8.4%

9.7%

6.6%

4.5%

27.8%

2.8%

8.9%

13.6%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
Q2
YTD

Page 10 of 64 ends

Economic and Market
Update

Foreign Equity Returns
1 Foreign Equity

June

(%)

Q2

(%)

YTD

(%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

MSCI ACWI ex. US

-

0.1 1.0

5.7 11.6

0.5 5.6

3.8 MSCI EAFE

-

1.6 -

0.4 5.3

11.5 2.9

6.5 4.3

MSCI EAFE (Local Currency)

-

0.6 1.0

11.1 15.1

8.1 9.0

7.4 MSCI EAFE Small Cap

-

3.0 -

1.8 0.5

7.8 -

3.4 4.2

4.3 MSCI Emerging Markets

3.9 5.0

7.5 12.5

-

5.1 3.1

2.8 MSCI Emerging Markets (Local Currency)

4.3 6.2

11.0 15.5

-

1.6 5.6

5.8 MSCI EM ex. China

6.1 4.2

8.4 18.5

1.4 6.7

3.9 MSCI China

-

1.9 7.1

4.7 -

1.6 -

17.7 -

4.3 1.4

Foreign Equity: Developed international equities (MSCI EAFE)

fell

0.4 % in

the second quarter
,

while emerging market
equities (MSCI

Emerging Markets) gained

5.0 %.

→

For the second quarter
,

developed market equities
declined

driven by continued strength in the US dollar and
regional political risks particularly in France.

UK and Japanese equities made new all
-
time highs during the
quarter,

but this was not enough to offset
losses

in Europe.

→

Emerging market equities
outpaced developed market equities during the quarter
given strong results in China
(7.1%). China equities moved into positive territory for the year (4.7%) due to government purchases of shares, improving economic data, and returning foreign investors.

1 Source:

Bloomberg. Data is as of June 30, 2024.

Page 11 of 64 ends

Economic and Market
Update

E
quity Cyclically Adjusted P/E Ratios
1 →

At the end of the second quarter, t
he US equity price
-
to
-
earnings ratio remained elevated and above its
21 st

century average.

→

International equity market valuations remain well below the US.

International developed market valuations have
increased to slightly above their long
-
term average, while

emerging market equities
remain below their
long
-
term average despite recent gains.

1 US Equity Cyclically Adjusted P/E on S&P 500 Index. Source: Robert Shiller, Yale University, and Meketa Investment Group. Dev eloped 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 June 2024. The average line is the l ong
-
term average of the US, EM, and EAFE PE values from April 1998 to the recent month -
end
respectively.

Page 12 of 64 ends

Economic and Market
Update

Fixed Income Returns
1 Fixed Income

June

(%)

Q2

(%)

YTD

(%)

1 YR

(%)

3 YR

(%)

5 YR

(%)

10 YR

(%)

Current

Yield

(%)

Duration

(Years)

Bloomberg Universal

0.9 0.2

-

0.3 3.5

-

2.7 0.1

1.6 5.3

6.0 Bloomberg Aggregate

0.9 0.1

-

0.7 2.6

-

3.0 -

0.2 1.3

5.0 6.2

Bloomberg US TIPS

0.8 0.8

0.7 2.7

-

1.3 2.1

1.9 4.8

6.6 Bloomberg Short
-
term TIPS

0.6 1.4

2.3 5.4

2.2 3.2

2.0 5.1

2.4 Bloomberg High Yield

0.9 1.1

2.6 10.4

1.6 3.9

4.3 7.9

3.7 JPM GBI
-
EM Global Diversified (USD)

-

1.1 -

1.6 -
3 .7

0.7 -

3.3 -

1.3 -

0.9 --

--

Fixed Income: The Bloomberg Universal index rose 0.
2 % in

the second quarter
,

reducing the year
-
to
-
date decline
to
-

0.3%
.

→

Bonds
finished the quarter slightly up as May and June gains offset the April declines.

→

The broad US bond market (Bloomberg Aggregate) rose

0. 1
%
in the second quarter
,

with the broad TIPS market
gaining 0.8%
. The less interest rate sensitive short
-
term TIPS index increased

1.4 % for the
quarter
,

leading to the
best results
.

→

High yield bonds (

1.1 %) also rose,
as risk appetite
remains strong.

1 Source: Bloomberg. Data is as of June 30, 2024. The yield and duration data from Bloomberg is defined as the index’s yield to

worst and modified duration respectively.

JPM GBI
-
EM data is from J.P. Morgan. Current yield and duration data is not available.

Page 13 of 64 ends

Economic and Market
Update

US Yield Curve
1 →

After rates

significantly increased in April on strong inflation data, they then

declined

in May and June.

Chair

Powell
confirming

that the
FOMC
would not raise rates again this year
as
economic data
appears to be
returning to long
-
run trends

led to rates declining from the April highs.

→

The more policy sensitive
2 -
year

Treasury yield
finished the quarter roughly 0.2% higher at 4.76% but well off its peak of over 5.0%. The
10 -
year

Treasury
rose by a similar amount during the quarter finishing at

4.39%
;

also,

off
its April peak of 4.68%.

→

The yield curve remained inverted at month
-
end, with the spread between the
2 -
year and
10 -
year

Treasury at
roughly
-
35 basis points.

1 Source: Bloomberg. Data is as of June 30, 2024.

0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2023
6/30/2024

Page 14 of 64 ends

Economic and Market
Update

Credit Spreads vs. US Treasury Bonds
1 →

Despite rising rates
,

investor demand for risk exposure in credit markets remained strong in Q2
given measured
weakness in the economic outlook and expectations of lower interest rates by year -
end.

→

Spreads
(the yield above a comparable maturity Treasury)
stayed

relatively steady over the quarter
,

near
post
-
pandemic lows. All spreads remained below their respective long -
run averages, particularly high yield
.

→

Although

spreads
are

relatively tight, yields remain at above
-
average levels compared to the last two decades,
particularly for short
-
term issues.

1 Source: Bloomberg. Data is as of June 30, 2024. Average lines denote the average of the investment grade, high yield, and eme rging market spread values from September 2002 to the
recent month
-
end, respectively.

Page 15 of 64 ends

Economic and Market
Update

Equity and Fixed Income Volatility
1 →

Volatility in equities was around one standard deviation below its long -
term average at the end of the quarter as
continued strength in technology stocks and
weakening economic data

has
moderated

fear in the markets.

→

Volatility in
bonds

(
MOVE
) ended June
higher than where it started the quarter (98.6 versus 86.4) and above its
long
-
run average
.

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 June

2024.

The a
verage line indicated is the average of the VIX and MOVE values between January 2000 and June 2024.

Page 16 of 64 ends

Economic and Market
Update

US Ten
-
Year Breakeven Inflation and CPI
1 →

Year
-
over
-
year headline inflation
continued to fall

in

June

(3.
3 % to 3.
0 %) and
again
came in below expectations.

Over the quarter, inflation fell by a total of 0.5%
.

→

Month
-
over
-
month inflation
was negative for the first time since March 2020, largely because of

price declines
in energy and core goods.

→

Core inflation (excluding food and energy) also
declined

in

June

(3.
4 % to 3.
3 %) and came in below expectations.

A drop

in used car prices, transportation services, and a slowing of the pace of shelter price increases all contributed to the

decline
.

→

Inflation expectations (breakevens)
have been
volatile,

but they finished the quarter largely where they started.

1 Source: FRED. Data is as
June

2024. 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 64 ends

Economic and Market
Update

Global Inflation (CPI Trailing Twelve Months)
1 →

Outside the US, inflation is also easing from the recent peaks.

→

In the eurozone, inflation experienced a dramatic decline last year but remains above the central bank’s
2%

target. In
June
, inflation
fell

slightly from 2.6%
to 2.5% year
-
over
-
year
.

→

Inflation in Japan has slowly d
ropped

from the early 2023 peak of 4.3%, but it remains near levels not seen in a decade. In the most recent reading

(May)
, inflation
rose modestly
from 2.
5 % to 2.
8 % as
fuel and utilit
y

prices
increased
.

→

China

appears t
o

have emerged from deflationary pressures, but
inflation levels remain well below other major
economies due to slowing economic growth. Annual inflation levels have been positive for the last five readings
signaling improvement in domestic demand. The June year -
over
-
year number came in at 0.2%, slightly lower
than the prior reading of 0.3%.

1 Source: Bloomberg. Data is
June 30
, 2024, except Japan which is as of
May 31
, 2024.

Page 18 of 64 ends

Economic and Market
Update

US Unemployment
1 →

Overall, the US labor market remains healthy,
but there have been some recent signs of softening.

→

The unemployment rate came in above expectations
in June
reaching 4.1%, a level not seen since early 2022.

Over the second quarter unemployment increased 0.3%.

→

W
age growth
remains strong

though (
around

3.9 % annually
)
, and initial claims for unemployment
are still

subdued.

→

Despite significant downward revisions to job gains in April and May,

in
June

the economy added 2
06 ,000 jobs

(above expectations)
.

The
government added

the most jobs (
70 ,000), followed by the
healthcare

sector (4
9 ,000).

1 Source: FRED.

Data is as
June 30
, 2024.

Page 19 of 64 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 are

build
ing

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 incr
ease, particularly for younger people.

→

The return of student loan repayments after a three
-
year pandemic
-
related reprieve could add to pressures on
consumers’ budgets. This might be partially mitigated by recently initiated repayment and forgiveness programs.

→

It is worth noting though that many people locked in low -
rate fixed mortgages before rates increased and many
corporations issued debt at extremely low levels, reducing the sensitivity to higher rates.

1 Source: FRED.

Data is as of March 31, 2024. Revolving Consumer Credit data is seasonally adjusted to remove distortions during the holiday season.

Page 20 of 64 ends

Economic and Market
Update

Policy Rates
1 →

In

the US in
terest rates have remained at current levels

(

5.25%
-

5.50%
) for a year now
. The most recent
“
dot plot
”

(the Fed’s expectation on the path of rates) showed a median expectation of roughly
one rate cut this year.

Markets are now pricing in two
to three
rate cuts

in 2024

given the improving inflation data

with the probability
of a cut
around 100%

in September and
slightly over

90% for December
.

→

T
he European Central Bank (ECB) cut its policy rate by 25 basis points at the beginning of June ,

as expected
.

Like the US, cuts are also
anticipated

at the
September and December meetings.

→

After ending the
last

negative interest rate policy given higher inflation

levels,

the Bank of Japan (BOJ) has since
kept rates at slightly above 0%.

Policy is expected to tighten going forward with the BOJ announcing at their
recent meeting they would also start reducing their bond purchases.

Interest rate futures markets are pricing in
roughly two rate hikes (of 10 basis points) through the end of the year.

→

The central bank in China has maintained interest rates at record low levels and continues to inject liquidity into the banking system,
to

support economic growth
.

1 Source: Bloomberg. Data is as of
June

30 , 2024.

United States rate is the
mid
-
point of the
Federal Funds Target Rate
r
ange. Eurozone rate is the ECB Deposit Facility Announcement Rate. Japan rate is the Bank of Japan Unsecured Overnight Call Rate Expected. China rate is the China Central Bank 1
-
Year Medium Term Interest Rate. UK rate is the UK Bank of England Official Bank Rate.

Page 21 of 64 ends

Economic and Market
Update

US Dollar vs. Broad Currencies
1 →

Overall,

t
he dollar
rose

in the second quarter (104.5 to 105.9)
versus a basket of currencies of major trading
partners.

→

China and
the
ECB cutting
policy rates
,
stronger relative growth,
and

the
weakening of the Japanese yen
,

have

all
collectively

helped strengthen the dollar.

1 Source: Bloomberg. Data as of June 30, 2024.

Page 22 of 64 ends

Economic and Market
Update

Summary

Key Trends:

→

According to the International Monetary Fund
’s
(IMF)

April report
, global growth this year is expected to match
the 2023 estimate at around 3.
2 % with most major economies predicted to avoid a recession. Continued strong economic growth does run the risk of inflation and interest rates staying higher for longer.

→

Key economic data in the US has largely weakened and come in below expectations, causing markets to expect between

two
and

three
rate cuts this year. Uncertainty remains though regarding the timing and pace of interest rate cuts in the coming year.

→

We have started to see some divergences in monetary policy with other central banks, such as the European

Central Bank (ECB), starting to cut interest rates while the Fed remains on hold. This disparity will likely influence investment flows and currencies.

→

US consumers could feel pressure as certain components of inflation (e.g., shelter) remain high, borrowing costs are elevated, and the job market may weaken.

→

A focus for US equities going forward will be whether earnings can remain resilient if growth slows. Also, the future paths of the large technology companies that have driven market gains will be important.

→

Equity valuations remain lower in emerging and developed markets, but risks remain, including China’s economic uncertainty and ongoing weakness in the real estate sector .

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

Page 23 of 64 ends

Quarterly

Performance

as of
June 30, 2024

Page 24 of 64 ends

Summary of Cash Flows
QTD ($)
1 Year ($)
OPFRS Total Plan
Beginning Market Value
454,455,689
420,170,089
Net Cash Flow
-2,663,182
-11,615,491
Net Investment Change
1,439,135
44,677,044
Ending Market Value
453,231,642
453,231,642
Return Summary Ending June 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark

0.0 4.0

8.0 12.0

16.0 R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
YTD
1 Year
3 Years
5 Years

1.4 6.8

12.6 3.3

6.9 0.3

5.1 10.6

2.4 6.2
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of June 30, 2024
Total Plan performance shown is net of fees.

Page 25 of 64 ends

Risk-Return Summary
QTD Ending June 30, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
-0.6

0.0 0.6

1.2 1.8

2.4 T
o
t
a
l

R
e
t
u
r
n

1.2 1.5

1.8 2.1

2.4 2.7

3.0 3.3
Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending June 30, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark

6.0 8.0

10.0 12.0

14.0 16.0
T
o
t
a
l

R
e
t
u
r
n

6.0 8.0

10.0 12.0

14.0 Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan

0.3 2.4
OPFRS Policy Benchmark 1.4 2.5
Median

0.9 2.4
Return
Standard
Deviation
OPFRS Total Plan

10.6 9.9
OPFRS Policy Benchmark 12.6 10.1
Median

10.5 9.8
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of June 30, 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.

Page 26 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
453,231,642
100.0

0.3 5.3

10.9 2.7

6.5 6.8

6.7 Dec-88
OPFRS Policy Benchmark

1.4 6.8 12.6 3.3 6.9 6.9 8.0
Excess Return
-1.1 -1.5 -1.7 -0.6 -0.4 -0.1 -1.3
Domestic Equity (Gross)
194,973,749

43.0 0.4

8.8 17.3

6.0 12.0

11.1 9.2
Jun-97
Russell 3000 (Blend)

3.2 13.6 23.1 8.1 14.1 12.1 9.6
Excess Return
-2.8 -4.8 -5.8 -2.1 -2.1 -1.0 -0.4
International Equity (Gross)
59,974,536

13.2 0.2

6.9 14.6

3.4 7.1

5.7 5.7
Jan-98
MSCI ACWI ex US (Blend)

1.0 5.7 11.6 0.5 5.5 3.8 5.3
Excess Return
-0.8

1.2 3.0 2.9 1.6 1.9 0.4
Fixed Income (Gross)
107,748,738

23.8 0.2
-0.2

3.2 -2.5

0.4 2.0

4.7 Jan-94
Bloomberg Universal (Blend)

0.2 -0.3 3.5 -2.7 0.1 1.6 4.5
Excess Return

0.0 0.1
-0.3

0.2 0.3 0.4 0.2
Credit (Gross)
10,084,780

2.2 1.1

4.3 10.2

3.8 5.4
--

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

1.1 2.6 10.4 1.6 3.9 4.3 4.8
Excess Return

0.0 1.7
-0.2

2.2 1.5
--

1.0 Covered Calls (Gross)
24,121,617

5.3 3.6

10.1 16.2

8.4 11.7

9.8 9.9
Apr-14
Cboe S&P 500 Buy Write Index

1.5 7.6 8.9 5.0 5.6 5.8 5.9
Excess Return

2.1 2.5 7.3 3.4 6.1 4.0 4.0
Crisis Risk Offset (Gross)
39,948,914

8.8 -1.5

1.9 0.9
-3.2
-7.1
--
-6.5
Aug-18
Crisis Risk Offset Benchmark
-1.4 3.9 3.6 4.3 0.7 -- 0.7
Excess Return
-0.1 -2.0 -2.7 -7.5 -7.8
--
-7.2
Cash (Gross)
16,379,309

3.6 0.3

0.3 0.3

0.1 0.5

0.8 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of June 30, 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.

Page 27 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
453,231,642
100.0

0.3 5.1

10.6 2.4

6.2 6.5

6.7 Dec-88
OPFRS Policy Benchmark

1.4 6.8 12.6 3.3 6.9 6.9 8.0
Excess Return
-1.1 -1.7 -2.0 -0.9 -0.7 -0.4 -1.3
IM Public DB $250M-$1B Median (Net)

0.9 5.6 10.5 2.7 7.2 6.5 8.0
Peer Group Rank
82 66 50 57 77 47 100
Domestic Equity (Net)
194,973,749

43.0 0.3

8.6 16.9

5.7 11.7

10.8 9.1
Jun-97
Russell 3000 (Blend)

3.2 13.6 23.1 8.1 14.1 12.1 9.6
Excess Return
-2.9 -5.0 -6.2 -2.4 -2.4 -1.3 -0.5
International Equity (Net)
59,974,536

13.2 0.1

6.6 13.9

2.7 6.5

5.2 5.5
Jan-98
MSCI ACWI ex US (Blend)

1.0 5.7 11.6 0.5 5.5 3.8 5.3
Excess Return
-0.9

0.9 2.3 2.2 1.0 1.4 0.2
Fixed Income (Net)
107,748,738

23.8 0.1
-0.3

3.0 -2.7

0.2 1.8

4.4 Jan-94
Bloomberg Universal (Blend)

0.2 -0.3 3.5 -2.7 0.1 1.6 4.5
Excess Return
-0.1

0.0 -0.5

0.0 0.1 0.2
-0.1
Credit (Net)
10,084,780

2.2 1.0

4.0 9.6

3.2 4.8
--

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

1.1 2.6 10.4 1.6 3.9 4.3 4.8
Excess Return
-0.1

1.4 -0.8

1.6 0.9
--

0.3 Covered Calls (Net)
24,121,617

5.3 3.6

10.0 15.9

8.2 11.5

9.5 9.6
Apr-14
Cboe S&P 500 Buy Write Index

1.5 7.6 8.9 5.0 5.6 5.8 5.9
Excess Return

2.1 2.4 7.0 3.2 5.9 3.7 3.7
Crisis Risk Offset (Net)
39,948,914

8.8 -1.6

1.8 0.7
-3.3
-7.3
--
-6.7
Aug-18
Crisis Risk Offset Benchmark
-1.4 3.9 3.6 4.3 0.7 -- 0.7
Excess Return
-0.2 -2.1 -2.9 -7.6 -8.0
--
-7.4
Cash (Net)
16,379,309

3.6 0.3

0.3 0.3

0.1 0.5

0.8 0.5
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of June 30, 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.

Page 28 of 64 ends

Trailing Period Performance
Ending June 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median

0.0 4.0

8.0 12.0

16.0 R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
YTD
1 Yr
3 Yrs
5 Yrs

0.9 5.6

10.5 2.7

7.2 1.4

6.8 12.6

3.3 6.9

0.3 5.1

10.6 2.4

6.2 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

12.4 -13.1

14.2 12.7

18.5 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 June 30, 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.

Page 29 of 64 ends

Current
Balance ($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
194,973,749

43.0 40.0

3.0 30.0 - 50.0
Yes
International Equity
59,974,536

13.2 12.0

1.2 8.0 - 14.0
Yes
Fixed Income
107,748,738

23.8 31.0
-7.2

25.0 - 40.0
No
Credit
10,084,780

2.2 2.0

0.2 1.0 - 3.0
Yes
Covered Calls
24,121,617

5.3 5.0

0.3 5.0 - 10.0
Yes
Crisis Risk Offset
39,948,914

8.8 10.0
-1.2

5.0 - 15.0
Yes
Cash
16,379,309

3.6 0.0

3.6 0.0 - 5.0
Yes
Total
453,231,642
100.0
100.0

0.0 June 30, 2024: $453,231,642.0
Cash

3.6%
Covered Calls

5.3%
Credit

2.2%
Crisis Risk Offset

8.8%
Fixed Income

23.8%
Domestic Equity

43.0%
June 30, 2023: $406,308,110.42
Cash

3.3%
Covered Calls

5.4%
Credit

2.2%
Crisis Risk Offset

9.6%
Fixed Income

24.9%
Domestic Equity

41.4%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of June 30, 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).

Page 30 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
194,973,749
100.0

0.3 8.6

16.9 5.7

11.7 10.8

9.1 Jun-97
Russell 3000 (Blend)

3.2 13.6 23.1 8.1 14.1 12.1 9.6
Excess Return
-2.9 -5.0 -6.2 -2.4 -2.4 -1.3 -0.5
Northern Trust Russell 1000
100,798,118

51.7 3.6

14.2 23.9

8.6 14.5

12.4 14.0
Jun-10
Russell 1000 Index

3.6 14.2 23.9 8.7 14.6 12.5 14.1
Excess Return

0.0 0.0 0.0
-0.1 -0.1 -0.1 -0.1
EARNEST Partners
39,396,764

20.2 -5.3

2.2 10.0

3.3 10.3

10.6 9.3
Apr-06
Russell Midcap Index
-3.3 5.0 12.9 2.4 9.5 9.0 8.8
Excess Return
-2.0 -2.8 -2.9

0.9 0.8 1.6 0.5
eV US Mid Cap Core Equity Rank
74 77 71 68 49 21 37
Wellington Select Quality Equity
25,563,443

13.1 -0.5

4.5 9.4
--
--
--

7.1 May-22
Russell 1000 Index

3.6 14.2 23.9 8.7 14.6 12.5 14.9
Excess Return
-4.1 -9.7 -14.5
-- -- --
-7.8
eV US Large Cap Core Equity Rank
85 97 97 -- -- -- 94
Brown Fundamental Small Cap Value
13,276,304

6.8 -1.5

3.4 17.7

6.2 --
--

6.7 Apr-21
Russell 2000 Value Index
-3.6 -0.8 10.9 -0.5 7.1 6.2 0.9
Excess Return

2.1 4.2 6.8 6.7
-- --

5.8 eV US Small Cap Value Equity Rank
20 27 11 16 -- -- 19
Rice Hall James
15,939,120

8.2 -1.8

3.5 7.6
-3.2

5.7 --

6.7 Aug-17
Russell 2000 Growth Index
-2.9 4.4 9.1 -4.9 6.2 7.4 7.2
Excess Return

1.1 -0.9 -1.5

1.7 -0.5
--
-0.5
eV US Small Cap Growth Equity Rank
39 63 60 46 78 -- 92
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 31 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
59,974,536
100.0

0.1 6.6

13.9 2.7

6.5 5.2

5.5 Jan-98
MSCI ACWI ex US (Blend)

1.0 5.7 11.6 0.5 5.5 3.8 5.3
Excess Return
-0.9

0.9 2.3 2.2 1.0 1.4 0.2
Vanguard Developed Markets ETF
16,549,028

27.6 -0.6

4.7 10.8

1.8 6.6

4.5 7.7
Sep-19
FTSE Developed All Cap ex-U.S. Index
-0.6 4.5 11.4 2.1 6.8 4.7 7.9
Excess Return

0.0 0.2
-0.6 -0.3 -0.2 -0.2 -0.2
SGA ACWI ex-U.S. Equity
43,425,507

72.4 0.3

7.3 15.1

3.3 --
--

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

1.0 5.7 11.6 0.5 5.5 3.8 5.5
Excess Return
-0.7

1.6 3.5 2.8
-- --

0.1 eV ACWI ex-US All Cap Core Eq Rank
55 26 14 13 -- -- 60
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 32 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
107,748,738
100.0

0.1 -0.3

3.0 -2.7

0.2 1.8

4.4 Jan-94
Bloomberg Universal (Blend)

0.2 -0.3 3.5 -2.7 0.1 1.6 4.5
Excess Return
-0.1

0.0 -0.5

0.0 0.1 0.2
-0.1
Ramirez
73,029,640

67.8 0.1
-0.4

2.8 -2.9

0.0 --

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

0.1 -0.7 2.6 -3.0 -0.2 1.3 1.1
Excess Return

0.0 0.3 0.2 0.1 0.2
--

0.4 eV US Core Fixed Inc Rank
83 59 74 57 71 -- 34
Wellington Core Bond
7,006,703

6.5 0.4

0.2 4.2
-2.8
--
--
-2.1
Apr-21
Blmbg. U.S. Aggregate Index

0.1 -0.7 2.6 -3.0 -0.2 1.3 -2.2
Excess Return

0.3 0.9 1.6 0.2
-- --

0.1 eV US Core Fixed Inc Rank
15 17 15 52 -- -- 58
Reams
27,712,396

25.7 0.3
-0.2

3.0 -2.2

2.4 2.8

4.8 Feb-98
Bloomberg Universal (Blend)

0.2 -0.3 3.5 -2.7 0.1 1.6 4.1
Excess Return

0.1 0.1
-0.5

0.5 2.3 1.2 0.7
eV US Core Plus Fixed Inc Rank
69 73 82 30 3 10 26
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 33 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
10,084,780
100.0

1.0 4.0

9.6 3.2

4.8 --

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

1.1 2.6 10.4 1.6 3.9 4.3 4.8
Excess Return
-0.1

1.4 -0.8

1.6 0.9
--

0.3 Polen Capital
10,084,780
100.0

1.0 4.0

9.6 3.2

4.8 --

5.1 Feb-15
ICE BofA U.S. High Yield Index

1.1 2.6 10.4 1.6 3.7 4.2 4.7
Excess Return
-0.1

1.4 -0.8

1.6 1.1
--

0.4 eV US High Yield Fixed Inc Rank
75 11 65 16 16 -- 19
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 34 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
24,121,617
100.0

3.6 10.0

15.9 8.2

11.5 9.5

9.6 Apr-14
Cboe S&P 500 Buy Write Index

1.5 7.6 8.9 5.0 5.6 5.8 5.9
Excess Return

2.1 2.4 7.0 3.2 5.9 3.7 3.7
Parametric BXM
11,654,056

48.3 2.7

8.7 13.0

6.8 8.7

7.5 7.6
Apr-14
Cboe S&P 500 Buy Write Index

1.5 7.6 8.9 5.0 5.6 5.8 5.9
Excess Return

1.2 1.1 4.1 1.8 3.1 1.7 1.7
Parametric DeltaShift
12,467,561

51.7 4.4

11.4 18.9

9.5 14.0

11.5 11.7
Apr-14
Cboe S&P 500 Buy Write Index

1.5 7.6 8.9 5.0 5.6 5.8 5.9
Excess Return

2.9 3.8 10.0 4.5 8.4 5.7 5.8
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 35 of 64 ends

Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Crisis Risk Offset
39,948,914
100.0
-1.6

1.8 0.7
-3.3
-7.3
--
-6.7
Aug-18
Crisis Risk Offset Benchmark
-1.4 3.9 3.6 4.3 0.7 -- 0.7
Over/Under
-0.2 -2.1 -2.9 -7.6 -8.0
--
-7.4
Kepos Alternative Risk Premia
12,120,231

30.3 0.3

11.4 15.7
--
--
--

8.3 Feb-22
SG Multi Alternative Risk Premia Index

0.5 8.0 11.0 7.0 2.2 -- 7.6
Over/Under
-0.2

3.4 4.7
-- -- --

0.7 Versor Trend Following
14,998,517

37.5 -3.0

0.7 -3.6
--
--
--

0.0 Apr-22
SG Trend Index
-3.2 8.7 4.0 10.5 9.4 6.0 5.5
Over/Under

0.2 -8.0 -7.6
-- -- --
-5.5
Vanguard Long-Term Treasury ETF
12,830,166

32.1 -1.6
-4.7
-5.7
-10.5
-4.3

0.6 -4.3
Jul-19
Blmbg. U.S. Government: Long Term Bond Index
-1.8 -5.0 -5.6 -10.4 -4.2 0.6 -4.2
Over/Under

0.2 0.3
-0.1 -0.1 -0.1

0.0 -0.1
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of June 30, 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.

Page 36 of 64 ends

Cash Flow Summary
Quarter To Date
Beginning
Market Value
Net Cash Flow
Net Investment
Change
Ending
Market Value
Northern Trust Russell 1000
97,326,458
-
3,471,660
100,798,118
EARNEST Partners
42,502,989
-1,000,000
-2,106,224
39,396,764
Wellington Select Quality Equity
25,703,596
-
-140,153
25,563,443
Brown Fundamental Small Cap Value
13,481,386
-
-205,083
13,276,304
Rice Hall James
16,194,267
-
-255,147
15,939,120
Vanguard Developed Markets ETF
16,800,177
-154,272
-96,876
16,549,028
SGA ACWI ex-U.S. Equity
43,184,334
-
241,173
43,425,507
Ramirez
72,950,679
-
78,961
73,029,640
Wellington Core Bond
6,980,801
-
25,902
7,006,703
Reams
27,629,437
-
82,959
27,712,396
Polen Capital
9,984,458
-
100,322
10,084,780
Parametric BXM
12,339,462
-1,000,000
314,594
11,654,056
Parametric DeltaShift
12,936,202
-1,000,000
531,359
12,467,561
Kepos Alternative Risk Premia
12,080,647
-
39,583
12,120,231
Versor Trend Following
15,458,363
-
-459,846
14,998,517
Vanguard Long-Term Treasury ETF
13,177,168
-80,390
-266,612
12,830,166
Cash - Money Market
5,402,267
417,364
46,679
5,866,309
Cash - Treasury
10,323,000
190,000
-
10,513,000
Securities Lending Northern Trust
-
-35,884
35,884
-
OPFRS Total Plan
454,455,689
-2,663,182
1,439,135
453,231,642
Oakland Police and Fire Retirement System
Financial Reconciliation | June 30, 2024

Page 37 of 64 ends

Growth of a Dollar
5 Years ending June 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.96
$1.04
$1.12
$1.20
$1.28
$1.36
$1.44
2019
2019
2020
2020
2021
2021
2022
2022
2023
2023
2024
Actuarial Rate: $1.34
OPFRS Policy Benchmark: $1.40
OPFRS Total Plan: $1.35
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of June 30, 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.

Page 38 of 64 ends

Plan Sponsor Peer Group Performance Comparison
vs. InvMetrics Public DB $250M-$1B Net
-5.0

0.0 5.0

10.0 15.0

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

0.3 (82)

5.1 (66)

10.6 (50)

2.4 (57)

6.2 (77)

6.5 (47)
¢
£
OPFRS Policy Benchmark

1.4 (20)

6.8 (18)

12.6 (21)

3.3 (26)

6.9 (58)

6.9 (29)
˜

5th Percentile

1.7 7.6

14.3 4.5

8.7 7.8
1st Quartile

1.4 6.5

12.1 3.3

7.9 7.0
Median

0.9 5.6

10.5 2.7

7.2 6.5
3rd Quartile

0.4 4.8

9.2 1.8

6.3 5.9
95th Percentile
-0.2

3.2 6.7

0.8 5.2

5.3 Population
94 94
94 94
93 83
Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of June 30, 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.

Page 39 of 64 ends

Portfolio Characteristics & Manager Profiles
Oakland Police and Fire Retirement System

Page 40 of 64 ends

Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000 0.00 1.00 -0.63

0.21 0.01

1.00 99.82

99.90 Russell 1000 Index

0.00 1.00
-

0.21 0.00

1.00 100.00
100.00
Trailing Performance
Northern Trust Russell 1000
Russell 1000 Index

0.0 8.0

16.0 24.0

32.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years

3.6 23.9

8.7 14.6

13.9 12.5

3.6 23.9

8.6 14.5

13.8 12.4
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
6/24
$6.4
$6.3
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

3.56 3.93
Russell 1000 Index

3.57 3.94
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 41 of 64 ends

Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
EARNEST Partners
-0.75 0.92
-1.23
-0.69

0.54 0.98

52.57 110.49
Russell Midcap Index

0.00 1.00
-
-0.45

0.00 1.00
100.00
100.00
Trailing Performance
EARNEST Partners
Russell Midcap Index

0.0 8.0

16.0 24.0
-8.0
-16.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-3.3

12.9 2.4

9.5 9.6

9.0 -5.3

10.0 3.3

10.3 11.0

10.6 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
6/24
$4.7
$5.0
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
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
-5.26

3.15 Russell Midcap Index
-3.35

3.38 Oakland Police and Fire Retirement System
EARNEST Partners | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 42 of 64 ends

Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Wellington Select Quality Equity -0.92 0.62 -0.81
-0.23

1.73 0.89

36.43 79.16
Russell 1000 Index

0.00 1.00
-

0.21 0.00

1.00 100.00
100.00
Trailing Performance
Wellington Select Quality Equity
Russell 1000 Index

0.0 10.0

20.0 30.0
-10.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
10 Years

3.6 23.9

8.7 14.6

12.5 -0.5

9.4 Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index

0.6 0.8

1.0 1.2

1.4 1.6
4/22
7/22
10/22
1/23
4/23
7/23
10/23
1/24
6/24
$1.4
$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
-0.55

2.57 Russell 1000 Index

3.57 3.94
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 43 of 64 ends

Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Brown Fundamental Small Cap Value 0.54 0.86 0.85
-0.22 0.82

0.98 104.53

76.78 Russell 2000 Value Index

0.00 1.00
-
-0.35

0.00 1.00
100.00
100.00
Trailing Performance
Brown Fundamental Small Cap Value
Russell 2000 Value Index

0.0 8.0

16.0 24.0
-8.0
-16.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-3.6

10.9 -0.5

7.1 5.9

6.2 -1.5

17.7 6.2
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
6/24
$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

%
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 14.0

16.0 18.0

20.0 22.0

24.0 26.0

28.0 Standard Deviation
QTD Return QTD Risk
Brown Fundamental Small Cap Value
-1.52

3.94 Russell 2000 Value Index
-3.64

4.53 Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of June 30, 2024 Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 44 of 64 ends

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

0.17 0.82

0.30 -0.22

1.07 0.99

91.83 82.11
Russell 2000 Growth Index

0.00 1.00
-
-0.24

0.00 1.00
100.00
100.00
Trailing Performance
Rice Hall James
Russell 2000 Growth Index

0.0 6.0

12.0 18.0
-6.0
-12.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-2.9

9.1 -4.9

6.2 7.3

7.4 -1.8

7.6 -3.2

5.7 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
6/24
$1.6
$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 25.0
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
-1.82

4.40 Russell 2000 Growth Index
-2.92

5.35 Oakland Police and Fire Retirement System
Rice Hall James | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 45 of 64 ends

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

0.08 1.27 0.05
-0.17 0.73

1.00 128.43 122.44
FTSE Developed All Cap ex-U.S. Index

0.00 1.00
-
-0.22

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
-5.0
R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-0.6

11.4 2.1

6.8 6.0

4.7 -0.6

10.8 1.8

6.6 5.7

4.5 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
6/24
$1.4
$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 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 Standard Deviation
QTD Return QTD Risk
Vanguard Developed Markets ETF
-0.57

3.47 FTSE Developed All Cap ex-U.S. Index
-0.61

2.74 Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 46 of 64 ends

Alpha Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
SGA ACWI ex-U.S. Equity
-0.20 1.00
-1.54
-0.16

0.13 1.00

95.43 125.27
MSCI AC World ex USA (Net)

0.00 1.00
-
-0.05

0.00 1.00
100.00
100.00
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)

0.0 5.0

10.0 15.0

20.0 R
a
t
e

o
f

R
e
t
u
r
n

%
Q2-2024
1 Year
3 Years
5 Years
7 Years
10 Years

1.0 11.6

0.5 5.5

5.2 3.8

0.3 15.1

3.3 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
11/23
6/24
$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 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

0.35 1.95
MSCI AC World ex USA (Net)

0.96 1.94
Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of June 30, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.

Page 47 of 64 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

3.4 72.7

11.7 12.3

0.0 0.0

0.0 0.0

7.8 65.3

11.8 11.3

2.9 0.2

0.0 0.7
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez

0.1 -0.4 2.8 -2.9

0.0 Blmbg. U.S. Aggregate Index

0.1 -0.7

2.6 -3.0
-0.2
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

44.0 24.5

27.2 0.5

3.9 0.0

0.0 28.5

22.0 26.1

3.2 0.0

19.5 0.7
Portfolio Fixed Income Characteristics
Q2-24
Portfolio
Q1-24
Portfolio
Yield To Maturity

5.2 5.0
Average Duration

6.1 6.1
Average Quality
AA
AA
Weighted Average Maturity

9.1 8.9
Oakland Police and Fire Retirement System
Ramirez | As of June 30, 2024
Performance shown is net of fees.

Page 48 of 64 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

3.4 72.7

11.7 12.3

0.0 0.0

0.0 0.0

71.9 5.8

12.0 13.5

0.0 0.1

2.4 -5.7
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond

0.4 0.2 4.2 -2.8
-
Blmbg. U.S. Aggregate Index

0.1 -0.7

2.6 -3.0
-0.2
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
F
o
r
e
i
g
n
R
e
p
u
r
c
h
a
s
e

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

44.0 24.5

27.2 0.5

3.9 0.0

0.0 26.0

0.0 43.4

9.7 0.0

26.5 -5.7
Portfolio Fixed Income Characteristics
Q2-24
Portfolio
Q1-24
Portfolio
Yield To Maturity

5.3 5.3
Average Duration

6.7 6.5
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of June 30, 2024
Performance shown is net of fees.

Page 49 of 64 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
D
N
o
t

R
a
t
e
d
C
a
s
h

3.6 63.5

13.0 13.5

3.2 2.3

0.8 0.1

0.0 0.1

0.0 22.2

52.8 18.1

6.6 0.0

0.0 0.0

0.0 0.0

0.0 0.3
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams

0.3 -0.2 3.0 -2.2 2.4
Blmbg. U.S. Universal Index

0.2 -0.3

3.5 -2.7

0.1 Sector Allocation
Reams
Blmbg. U.S. Universal Index

0.0 15.0

30.0 45.0

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

46.0 30.2

23.8 0.0

0.0 21.2

24.7 43.4

10.4 0.3
Portfolio Fixed Income Characteristics
Q2-24
Portfolio
Q1-24
Portfolio
Yield To Maturity

5.3 5.1
Average Duration

6.4 6.5
Average Quality
AA
AA
Weighted Average Maturity

9.4 7.5
Oakland Police and Fire Retirement System
Reams | As of June 30, 2024
Performance shown is net of fees.

Page 50 of 64 ends

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 20.0

40.0 60.0

80.0 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
C
C
/
C
a
a
N
o
t

R
a
t
e
d
C
a
s
h

4.4 59.9

0.0 26.2

9.5 0.0

0.0 0.7

0.0 6.9

37.8 42.5

4.9 7.2
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital

1.0 4.0 9.6 3.2

4.8 ICE BofA U.S. High Yield Index

1.1 2.6

10.4 1.6

3.7 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
F
o
r
e
i
g
n
O
t
h
e
r

99.0 1.0

0.0 100.0

0.0 0.0
Portfolio Fixed Income Characteristics
Q2-24
Portfolio
Q1-24
Portfolio
Yield To Maturity

9.7 9.2
Average Duration

2.1 2.2
Average Quality
B
B
Weighted Average Maturity

4.9 4.7
Oakland Police and Fire Retirement System
Polen Capital | As of June 30, 2024
Performance shown is net of fees.

Page 51 of 64 ends

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

9.6 11.4 3.3 1.0 0.9

4.0 125.3 105.4
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.2 0.0 1.0
-

0.0 100.0 100.0
Parametric BXM

7.6 9.3 2.4 0.9 0.5

3.1 100.6 85.9
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.2 0.0 1.0
-

0.0 100.0 100.0
Parametric DeltaShift

11.7 13.7 4.5 1.2 0.9

6.2 149.1 122.3
04/01/2014
Cboe S&P 500 Buy Write Index 5.9 10.2 0.0 1.0
-

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

0.0 5.0

10.0 15.0

20.0 R
a
t
e

o
f

R
e
t
u
r
n

%
QTD
YTD
1 Year
3 Years
5 Years

1.5 7.6

8.9 5.0

5.6 3.6

10.0 15.9

8.2 11.5
Growth of a Dollar
Covered Calls
Cboe S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
2019
2020
2020
2021
2022
2023
2024
$1.31
$1.72
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 June 30, 2024
Performance shown is net of fees.

Page 52 of 64 ends

Return
Standard
Deviation
Alpha Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-6.7 10.7 -6.8 0.8 -0.7

9.9 31.2 127.4 08/01/2018
Crisis Risk Offset Benchmark

0.7 5.4 0.0 1.0
- 0.0 100.0 100.0
Kepos Alternative Risk Premia

8.3 6.7 1.7 0.9 0.1

5.0 97.9 77.7 02/01/2022
SG Multi Alternative Risk Premia Index

7.6 5.2 0.0 1.0
- 0.0 100.0 100.0
Versor Trend Following

0.0 14.5 -5.1 1.0 -0.7

6.8 83.4 111.5 04/01/2022
SG Trend Index

5.5 12.6 0.0 1.0
- 0.0 100.0 100.0
Vanguard Long-Term Treasury ETF
-4.3 15.1 0.0 1.0 0.0

1.1 101.0 100.9 07/01/2019
Blmbg. U.S. Government: Long Term Bond Index -4.2 15.0 0.0 1.0 - 0.0 100.0 100.0
Correlation Matrix
3 Months Ending June 30, 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
-0.01

1.00 S&P 500 Index
-0.46

0.89 1.00
Blmbg. Global Aggregate Index
-0.31

0.95 0.99

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
YTD
1 Year
3 Years
5 Years
-1.4

3.9 3.6

4.3 0.7
-1.6

1.8 0.7
-3.3
-7.3
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of June 30, 2024
Performance shown is net of fees.

Page 53 of 64 ends

Benchmark History
To Date
From Date
Benchmark
OPFRS Total Plan
06/01/2022 Present
01/01/2019
05/01/2016 01/01/2019
10/01/2015
10/01/2015
01/01/2014
03/01/2013 01/01/2014
Oakland Police and Fire Retirement System
Benchmark History | As of June 30, 2024
All Urban Consumers (unadjusted) +3%

48.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. US Universal Index, 10.0% CBOE BXM, 10.0% CPI - All Urban Consumers (unadjusted) +3%

40.0% Russell 3000 Index, 10.0% MSCI AC World ex USA index, 17.0% Blmbg. US Universal Index, 33.0% ICE BofA 3 Month US

T-Bill
06/01/2022

40.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 31.0% Blmbg. US Universal Index, 5.0% Cboe S&P 500 Buy Write

40.0% Russell 3000 Index, 12.0% MSCI AC World ex USA (Net), 31.0% Blmbg. US Universal Index, 2.0% Blmbg. US Corp: High

Yield Index, 5.0% Cboe S&P 500 Buy Write Index, 10.0% Crisis Risk Offset Benchmark Index, 2.0% Blmbg. US Treasury: Long, 10.0% Crisis Risk Offset Benchmark

48.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. US Universal Index, 20.0% CBOE BXM 05/01/2016

43.0% Russell 3000 Index, 12.0% MSCI AC World ex USA index, 20.0% Blmbg. US Universal Index, 15.0% CBOE BXM, 10.0% CPI - 08/01/2012

03/01/2013

20.0% Russell 3000 Index, 7.0% MSCI AC World ex USA index, 18.0% Blmbg. US Universal Index, 55.0% ICE BofA 3 Month US T-Bill
10/01/2007

08/01/2012

53.0% Russell 3000 Index, 17.0% MSCI AC World ex USA index, 30.0% Blmbg. US Universal Index 04/01/2006

10/01/2007

35.0% Russell 3000 Index, 15.0% MSCI AC World ex USA index, 50.0% Blmbg. US Universal Index 01/01/2005

04/01/2006

35.0% Russell 3000 Index, 50.0% Blmbg. US 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. US Aggregate Index,

15.0% MSCI EAFE (Net)
09/01/1988

04/01/1998

40.0% S&P 500 Index, 55.0% Blmbg. US Aggregate Index, 5.0% FTSE 3 Month T-Bill

Page 54 of 64 ends

Benchmark History
To Date
From Date
Benchmark
Domestic Equity
Present
01/01/2005
100.0% Russell 3000 Index
01/01/2005
04/01/1998

57.1% Russell 1000 Value Index, 28.6% Russell 1000 Index, 14.3% Russell Midcap Index 04/01/1998
09/01/1988
100.0% S&P 500 Index
International Equity
Present
01/01/2005
100.0% MSCI AC World ex USA (Net)
01/01/2005
01/01/1998
100.0% MSCI EAFE Index
Fixed Income
Present
04/01/2006
04/01/2006
01/01/1976
Covered Calls
Present
04/01/2014
Cboe S&P 500 Buy Write Index
Crisis Risk Offset
Present
01/01/2023
01/01/2023
08/01/2018
100.0% SG Multi Alternative Risk Premia Index
Cash
Present
03/01/2011
FTSE 3 Month T-Bill
Oakland Police and Fire Retirement System
Benchmark History | As of June 30, 2024
100.0% Blmbg. US Universal Index

100.0% Blmbg. US Aggregate Index

33.3% SG Trend Index, 33.3% SG Multi Alternative Risk Premia Index, 33.3% Blmbg. US Government: Long Term Bond Index

Page 55 of 64 ends

Manager Monitoring / Probation Status

Page 56 of 64 ends

Oakland Police and Fire Retirement System

Manager Monitoring / Probation
Status

| As of

June 30
,
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 annualized 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 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

9 -

7.2 N/A

Benchmark: SG Trend In
d
ex

--

--

--

3.2 --

Page 57 of 64 ends

Appendix

Page 58 of 64 ends

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
.

Page 59 of 64 ends

Disclaimer, Glossary, and Notes

Page 60 of 64 ends

Disclaimer, Glossary, and Notes

THIS REPORT (THE “REPORT”) HAS BEEN PREPARED FOR THE SOLE BENEFIT OF THE INTENDED RECIPIENT (THE “RECIPIENT”).

SIGNIFICANT EVENTS MAY OCCUR (OR HAVE OCCURRED) AFTER THE DATE OF THIS REPORT, AND IT IS NOT OUR FUNCTION OR RESPONSIBILITY TO UPDATE THIS REPORT. THE INFORMATION CONTAINED HEREIN, INCLUDING ANY OPINIONS OR RECOMMENDATIONS, REPRESENTS OUR GOOD

FAITH VIEWS
AS OF THE DATE OF THIS REPORT AND IS SUBJECT TO CHANGE AT ANY TIME. ALL INVESTMENTS INVOLVE RISK, AND THERE CAN BE NO GUARANTEE THAT THE STRATEGIES, TACTICS, AND METHODS DISCUSSED HERE WILL BE SUCCESSFUL.

THE INFORMATION USED TO PREPARE THIS REPORT MAY HAVE BEEN OBTAINED FROM INVESTMENT MANAGERS, CUSTODIANS, AND OTHER EXTERNAL SOURCES. SOME OF THIS REPORT MAY HAVE BEEN PRODUCED WITH THE ASSISTANCE OF ARTIFICIAL INTELLIGENCE (“AI”) TECHNOLOGY. WHILE WE HAVE

EXERCISED REASONABLE CARE IN PREPARING THIS REPORT, WE CANNOT GUARANTEE THE ACCURACY,

ADEQUACY, VALIDITY, RELIABILITY, AVAILABILITY, OR COMPLETENESS OF ANY INFORMATION CONTAINED HEREIN, WHETHER OBTAINED EXTERNALLY OR PRODUCED BY THE AI.

THE RECIPIENT SHOULD BE AWARE THAT THIS REPORT MAY INCLUDE AI -

GENERATED CONTENT THAT MAY NOT HAVE CONSIDERED ALL RISK FACTORS. THE RECIPIENT IS ADVISED TO CONSULT WITH THEIR MEKETA ADVISOR OR ANOTHER PROFESSIONAL ADVISOR BEFORE MAKING ANY

FINANCIAL DECISIO
NS OR TAKING ANY ACTION BASED ON THE CONTENT OF THIS REPORT. WE BELIEVE THE INFORMATION TO BE FACTUAL AND UP TO DATE BUT DO NOT ASSUME ANY RESPONSIBILITY FOR ERRORS OR OMISSIONS IN THE CONTENT PRODUCED. UNDER NO CIRCUMSTANCES

SHALL WE BE LIABLE FOR ANY SPE

CIAL, DIRECT, INDIRECT, CONSEQUENTIAL, OR INCIDENTAL DAMAGES OR ANY DAMAGES WHATSOEVER, WHETHER IN AN ACTION OF CONTRACT, NEGLIGENCE, OR OTHER TORT, ARISING OUT OF OR IN CONNECTION WITH THE USE OF THIS CONTENT.

IT IS IMPORTANT FOR THE RECIPIENT TO CRITICAL
LY EVALUATE THE INFORMATION PROVIDED.

CERTAIN INFORMATION CONTAINED IN THIS REPORT MAY CONSTITUTE “FORWARD -
LOOKING STATEMENTS,” WHICH CAN BE IDENTIFIED BY THE
USE OF TERMINOLOGY SUCH AS “MAY,” “WILL,” “SHOULD,” “EXPECT,” “AIM,” “ANTICIPATE,” “TARGET,” “PROJECT,” “ESTIMATE,” “INTEND,”

“CONTINUE
,” OR “BELIEVE,” OR THE NEGATIVES THEREOF OR OTHER VARIATIONS THEREON OR COMPARABLE TERMINOLOGY. ANY FORWARD -
LOOKING STATEMENTS, FORECASTS, PROJECTIONS, VALUATIONS, OR RESULTS IN THIS REPORT ARE BASED UPON CURRENT ASSUMPTIONS.

CHANGES TO ANY ASSUMPTIONS MA

Y HAVE A MATERIAL IMPACT ON FORWARD
-

LOOKING STATEMENTS, FORECASTS, PROJECTIONS,
VALUATIONS, OR RESULTS. ACTUAL RESULTS MAY THEREFORE BE MATERIALLY DIFFERENT FROM ANY FORECASTS, PROJECTIONS, VALUATIONS, OR RESULTS IN THIS REPORT.

PERFORMANCE DATA CONTAINED HEREIN REPRESENT PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.

Page 61 of 64 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 62 of 64 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.

Page 63 of 64 ends

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 64 of 64 ends
← All documents from this meeting