BOSTON CHICAGO LONDON NEW YORK PORTLAND SAN DIEGO
MEKETA.COM
Quarterly
Performance Report
as of September 30, 2024
Oakland Police and Fire Retirement System
Oakland Police and Fire
Retirement System
Table of Contents
Agenda
1. Executive Summary
2. Economic and Market Update
as of
September
3 0
, 202
4 3.
Quarterly
Performance as of
September
3 0
,
2 02
4 4.
Manager Monitoring / Probation
Status
5. Appendix
6. Disclaimer, Glossary, and Notes
Executive Summary
Oakland Police and Fire Retirement System
Executive Summary | As of
September
3 0
, 202
4 Total Portfolio
Review
The
Oakland Police and Fire Retirement System (OPFRS)
finished the
quarter
with
$
475
.2
million in assets after net
cash flows including monthly benefit
payments
.
→
The new asset allocation policy, approved in Q1, came into effect on July 1. At the end of the quarter, most asset
classes
were with
in their
long
-
term
target allocation ranges
.
Cash Flow Summary
($ Millions)
Quarter
1 Year
Beginning Market
Value
453.2
405.1
Net Cash Flows (including Benefit Payments)
-
4.6 -
13.1 Net Investment Change (Gain/Loss)
26.6 83.2
Ending Market Value
475.2
475.2
Investment
Performance
1 QTD
YTD
1 Year
3 Year
5 Year
Total Plan (Gross)
5.9 11.5
20.9 4.7
7.4 Total Plan (Net)
5.8 11.3
20.5 4.4
7.1 Policy Benchmark
5.4 12.6
22.3 5.2
7.8 Excess Return
0.4 -
1.3 -
1.8 -
0.8 -
0.7 Public DB ($250M
-
$1B) Median Fund
5.0 11.3
19.5 4.4
8.3 Total Plan (Net) vs. Peer Median Fund
0.8 0.0
1.0 0.0
-
1.2 Peer Group Percentile Rank
19 52
33 52
79 1
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
between 104
–
107
portfolios in each time period.
Please see
the
Benchmark History section
for
the Policy Benchmark’s current and historical compositions.
Oakland Police and Fire Retirement System
Executive Summary | As of
September
3 0
, 202
4 Asset Class
and
Manager
Highlights
1 →
O
n a net of fee basis, the
Total
Plan
out
performed its Policy Benchmark
during the quarter while underperforming
the Benchmark in other
time periods.
•
The under
performance
year
-
to
-
date
and
over the trailing 1
-
year period
was
driven primarily by the Domestic
Equity segment as
mid
-
and small
-
cap market segments as well as OPFRS’s
managers
in these segments
lagged
the
broad market Russell
3000 Index
.
•
Fixed Income
and Covered Calls contributed
positive
ly
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
most
periods
except for the quarter
.
All a
ctive
Domestic Equity managers
except Earnest Partners
outperformed
their respective
benchmark
s
for the quarter
.
→
International
E
quity
and its only active manager, SGA,
outperformed MSCI ACWI ex US
(Net)
for all
time
periods
.
→
Fixed
I
ncome
slightly
out
performed
its
custom
benchmark
(currently composed of Bloomberg US Universal Index)
over
the quarter.
All
underlying managers
outperformed their respective benchmarks
for
all
time periods.
→
The
Credit
segment, with Polen Capital as its
sole
manager,
underperformed
its
benchmark,
the
B
loomberg
US
Corp
orate
High Yield Index,
during
the quarter
, year
-
to
-
date,
and
over the
1 -
year trailing period.
→
Covered Calls
, as well as both
the
passive BXM and the
active DeltaShift strateg
ies
,
under
performed the CBOE S&P
500 Buy
Write
Index
during
the quarter while outperforming the benchmark over the 1 -
year and longer periods
.
→
The
Crisis Risk Offset
segment
under
performed
its
custom
benchmark
over
all time periods measured
.
During the
quarter and y
ear
-
to
-
date
,
Kepos
Alternative Risk Premia
and Vanguard Long
-
term Treasury ETF outperformed
or
matched
their respective
benchmark
s
while Versor
Trend Following
significantly
lagged its
benchmar
k
.
1 Fiscal year begins on July 1.
Please see the Benchmark History section for the
custom benchmarks’
current and historical compositions.
Economic and Market Update
Data as of
September
3 0
, 2024
Economic and Market Update
Commentary
In the third quarter
,
stock and bond markets rallied
despite heightened volatility. C
entral bank indicat
ions of
future
interest rate cuts
given declining inflation
pressures
was a key driver of gains.
→
In September, the Federal Reserve surprised many in the markets with a 50 basis point
interest rate
cut while
the US economy and employment
picture
remains quite healthy.
→
In the third quarter
,
US equities (Russell 3000) rose 6.2%. The US equity rally broadened ,
with
value and small
cap stocks outperform
ing
large cap growth stocks
,
reversing the narrow leadership trend earlier this year.
→
Emerging market stocks
(+8.7%)
outperformed developed
market
stocks in the third quarter; in non
-
US
developed markets
(+7.3%)
value and small cap stocks
also
beat the broad market.
→
After two years of piecemeal policy stimulus, China’s policy makers rolled out a significant stimulus package to support equity prices, reduce bank reserve requirements and funding rates, and support current and future mortgage borrowers. In particular, ba
nk loans for listed company share buybacks and purchases drove the MSCI
China equity
index
to rally 23.9% in September and 23.5%
for the entire
third quarter.
→
Fixed income markets
also
posted positive returns on expectations for
additional
policy rate cuts this
year and
next
,
as inflation pressures
recede,
and the economy slows
.
→
Looking
ahead
, the paths of inflation
, labor markets,
and monetary policy, China’s
slowing economy and potential
policy stimulus
benefits
,
increased geopolitical tensions
,
and the looming
US
election will be key
factors.
Economic and Market Update
Index Returns
1 →
Major markets finished the third quarter in positive territory despite several spikes in volatility. F
alling inflation,
resilient growth in the US
,
and dovish central banks supported
stocks
and
bonds
. Rate sensitive sectors
,
like
REITs, particularly benefited from lower interest rates .
→
Year
-
to
-
date through September, all major asset classes were positive ,
led by US equities.
1 Source: Bloomberg. Data is as of
September 30
, 2024.
YTD
Q3
22.1%
20.6%
18.7%
16.9%
15.9%
13.0%
11.2%
8.0%
5.9%
5.0%
4.9%
4.8%
4.4%
S&P 500
Russell 3000
MSCI ACWI
MSCI Emerging Markets
FTSE NAREIT Equity
MSCI EAFE
Russell 2000
Bloomberg High Yield
Bloomberg Commodity Index
JPM GBI-EM Global Diversified
Bloomberg US TIPS
Bloomberg Short-Term TIPS
Bloomberg Aggregate
16.1%
9.3%
9.0%
8.7%
7.3%
6.6%
6.2%
5.9%
5.3%
5.2%
4.1%
2.5%
0.7%
FTSE NAREIT Equity
Russell 2000
JPM GBI-EM Global Diversified
MSCI Emerging Markets
MSCI EAFE
MSCI ACWI
Russell 3000
S&P 500
Bloomberg High Yield
Bloomberg Aggregate
Bloomberg US TIPS
Bloomberg Short-Term TIPS
Bloomberg Commodity Index
Economic and Market Update
Domestic Equity Returns
1 Domestic Equity
September
(%)
Q
3 (%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
2.1 5.9
22.1 36.4
11.9 16.0
13.4 Russell 3000
2.1 6.2
20.6 35.2
10.3 15.3
12.8 Russell 1000
2.1 6.1
21.2 35.7
10.8 15.6
13.1 Russell 1000 Growth
2.8 3.2
24.5 42.2
12.0 19.7
16.5 Russell 1000 Value
1.4 9.4
16.7 27.8
9.0 10.7
9.2 Russell MidCap
2.2 9.2
14.6 29.3
5.7 11.3
10.2 Russell MidCap Growth
3.3 6.5
12.9 29.3
2.3 11.5
11.3 Russell MidCap Value
1.9 10.1
15.1 29.0
7.4 10.3
8.9 Russell 2000
0.7 9.3
11.2 26.8
1.8 9.4
8.8 Russell 2000 Growth
1.3 8.4
13.2 27.7
-
0.4 8.8
8.9 Russell 2000 Value
0.1 10.2
9.2 25.9
3.8 9.3
8.2 US Equities: The Russell 3000 rose
+
6.2 % in
the third quarter
,
bringing the year
-
to
-
date results to
+
20.6 %
.
→
In the
third
quarter,
the previously technology
-
driven stock rally broadened out as optimism grew over the potential for a “soft landing” of the US economy and as investors reexamined the future of AI
-
related stocks.
→
In this environment
,
value outperformed growth across the capitalization spectrum and small cap stocks
(Russell
2000: +9.3%)
outperformed
large cap stocks (Russell 1000:
+
6.1%).
→
Despite the third
quarter’s
rally
in value and small cap stocks, large cap growth stocks are the best performing asset class (R1000 Growth
: +
24.5%)
for the year
-
to
-
date
2024 due to
on
-
going enthusiasm for AI.
1 Source: Bloomberg. Data is as of
September
3 0
, 2024.
Economic and Market Update
Russell 3000 Sector Returns
1 →
With the notable exception of
energy
stocks, all sectors posted positive returns in the third quarter.
→
On the prospect of
growing
energy demand for cloud computing for AI
,
utilities were the best performing sector
in the third quarter (+15.9%) followed by telecom (+13.0%) and industrials (+11.7%).
→
All sectors
feature
positive returns for the year
-
to
-
date period. Technology stocks (+
28.9 %) continue to lead the
broader market
,
followed by
utilities
(
+2
6.2 %)
,
and
financials
(+20.
6 %)
.
1 Source: Bloomberg. Data is as of
September 30
, 2024.
9.7%
15.2%
10.3%
4.5%
20.6%
13.4%
16.8%
28.9%
16.1%
26.2%
20.6%
7.9%
7.0%
7.6%
-
3.5%
10.0%
6.4%
11.7%
0.8%
13.0%
15.9%
6.2%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
YTD
Q3
Economic and Market Update
Foreign Equity Returns
1 Foreign Equity
September
(%)
Q
3 (%)
Y
TD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI ex. US
2.7 8.1
14.2 25.4
4.1 7.6
5.2 MSCI EAFE
0.9 7.3
13.0 24.8
5.5 8.2
5.7 MSCI EAFE (Local Currency)
-
0.4 0.8
12.0 17.5
7.9 8.8
7.4 MSCI EAFE Small Cap
2.6 10.5
11.1 23.5
-
0.4 6.4
6.2 MSCI Emerging Markets
6.7 8.7
16.9 26.1
0.4 5.7
4.0 MSCI Emerging Markets (Local Currency)
5.6 6.6
18.3 25.0
2.9 7.4
6.5 MSCI EM ex.
China
1.3 4.0
12.7 27.4
3.4 8.4
4.8 MSCI China
23.9 23.
5 29.3
23. 9
-
5. 6
0.8 3.4
Foreign Equity: Developed international equities (MSCI EAFE)
rose
+
7.3 % in the third quarter
,
while emerging market
equities (MSCI
Emerging Markets) gained
8.7 %
.
→
Non
-
US developed market stocks saw
similar themes as the US
,
with
value and small cap
s
tocks
outperform
ing
large cap stocks in t
he third quarter
,
as investors anticipated further rate cuts from the E
uropean Central Bank
and the Bank of England.
Japan’s TOPIX index experienced an over 20% decline at the start of August due to the Bank of Japan’s (BoJ) unexpected rate increase and related pressures on the yen carry trade. It subsequently recovered
,
though
,
as the BoJ signaled that further rate increases were not likely.
→
In late September, China announced significant stimulus measures to support asset prices resulting in Chinese stocks
rallying
+
23. 9
%
just
in September
. This led to emerging markets having the best quarterly results (+8.7%).
→
The weakening US dollar further supported international stocks ,
particularly in developed markets.
1 Source: Bloomberg. Data is as
September 30
, 2024.
Economic and Market Update
E
quity Cyclically Adjusted P/E Ratios
1 →
The broad global equity rally
lifted stock
s’
cyclically adjusted price/earnings ratios
over the quarter
,
with US stock
valuations
finishing
well above their long
-
term
28.1 average.
→
Non
-
US developed market
valuation
s
increased to slightly above their long
-
term
average while
emerging market
stocks
are now trading close to their long
-
term average
given the strong 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 th
e average of monthly “as reported” earnings over the previous ten years. Data is as of September
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 Market Update
Fixed Income Returns
1 Fixed Income
September
(%)
QTD
(%)
YTD
(%)
1 YR
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
1.4 5.2
4.9 12.1
-
1.0 0.7
2.1 4.5
6.0 Bloomberg Aggregate
1.3 5.2
4.4 11.6
-
1.4 0.3
1.8 4.2
6.2 Bloomberg US TIPS
1.5 4.1
4.9 9.8
-
0.6 2.6
2.5 3.8
6.9 Bloomberg Short
-
term TIPS
1.0 2.5
4.8 7.5
2.5 3.6
2.4 3.9
2.4 Bloomberg US Long Treasury
2.0 7.8
2.4 15.4
-
8.3 -
4.3 1.1
4.2 15.5
Bloomberg High Yield
1.6 5.3
8.0 15.7
3.1 4.7
5.0 7.0
3.4 JPM GBI
-
EM Global Diversified (USD)
3. 4
9.0 5.0
13.4 0.6
0.6 0.6
--
--
Fixed Income: The Bloomberg Universal index rose
5.2 % in
the third quarter
,
bringing the
year
-
to
-
date
return
in
to
positive territory (
+
4.9 %
)
.
→
Fixed income indexes rose in the quarter as rates fell, driven by a continued decline in inflation. This and the weakening labor market led to the Fed
cutting
interest rates with more cuts expected.
→
The broad US bond market (Bloomberg Aggregate) rose
5.2 %
over the
quarter
,
with the broad TIPS market
gaining
4.1 %
. The less interest rate sensitive short
-
term TIPS index increased
2.5 %
.
→
Riskier bonds
experienced volatility during the quarter but ultimately posted strong results as risk appetite remained strong. Emerging market debt gained 9.0% and high yield rose 5.3%.
1 Source: Bloomberg. Data is as of
September
3 0
, 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.
Economic and Market Update
US Yield Curve
1 →
US interest rates fell over the quarter
as
economic data continued to soften and the Fed started its rate cutting cycle.
→
The more policy sensitive
2 -
year
Treasury yield
declined
from
4.75% to
3. 6
4 %
over the quarter, while t
he
10 -
year
Treasury
yield
fell from 4.40% to 3.78% over the same period.
→
Notably
,
the
portion of the
yield curve
from 2
-
years to 10
-
years
was no longer inverted at
the end of September
,
given policy rate cuts and resilient growth. This trend could continue as the Fed likely continues to cut interest rates.
1 Source: Bloomberg. Data is as of
September 30
, 2024.
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
12/31/2023
9/30/2024
Economic and Market Update
Credit Spreads vs. US Treasury Bonds
1 →
Spreads
(the yield above a comparable maturity Treasury)
widened significantly at the start of the
quarter
in the
volatile
environment but declined after
,
largely finishing where they started
.
→
All
yield
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
September 30
, 2024. Average lines denote the average of the investment grade, high yield, and emerging market spread values from Septembe r 2002 to the recent month
-
end, respectively.
Economic and Market Update
Equity and Fixed Income Volatility
1 →
In the third quarter, equity and bond market volatility experienced periods of elevation due to concerns over the
US labor market,
the unwinding of the yen
-
carry trade
, and increased geopolitical tensions. Ultimately
,
both
settled well
below
their respective peaks as additional economic data and the easing of monetary policy calmed investors.
→
Volatility levels
(VIX) in the stock market spiked above one standard deviation of its long -
term average in early
August but finished below the long
-
term average.
→
Bond market volatility
(MOVE) also fluctuated through the
quarter
.
Uncertainty in
the
bond market
remain
s
above the long
-
run average
as markets
continue to
reprice
the pace of
interest rate cuts
.
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
September
2024. The average line indicated is the average of the VIX and MOVE values between January 2000 and September
2024.
Economic and Market Update
Recent Market
Strength
:
China
1 →
On
September 24th, Chinese policy makers surprised markets with a suite of policy stimulus measures designed to support stock prices, banks, and mortgage borrowers.
→
Banks were asked to extend loans to publicly traded companies for share purchases and buybacks, contributing to significant equity market gains in the last week of the quarter. These policies also contributed to increased foreign demand for Chinese shares.
→
The banking sector benefited from a
cut to the 1
-
year medium term lending rate and to their reserve requirement rate.
→
Homeowners may
also
benefit from
changes to
downpayment minimums and
mortgage
rate
reductions
.
→
Despite the recent gains in the stock market, questions remain about the ultimate impact of these policies on
longer
-
term growth in China
, as well as policy makers
’
commitment to continue supporting the economy.
1 Source: Bloomberg. Data as of
September 30
, 2024.
¥300
¥400
¥500
¥600
¥700
¥800
¥900
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
MSCI China Index (Last Price)
Economic and Market Update
US Ten
-
Year Breakeven Inflation and CPI
1 →
Over the quarter
,
y
ear
-
over
-
year headline inflation
continued to decline (3.0% to 2.4%) supporting the Fed
’s
start
to
cutting policy rates.
The 2.4%
September
level was the lowest since early 2021.
→
Month
-
over
-
month inflation increased 0.2%
each month over the quarter
.
Food and shelter costs saw monthly
increases, while e
nergy prices
largely fell.
→
Year
-
over
-
year c
ore inflation (excluding food and energy)
finished the quarter where it started (3.3%). Shelter
(+4.9
%
YoY) and transportation (+8.5% YoY) remain key drivers of stickier core inflation
.
→
Inflation expectations (breakevens) have been relatively stable over the last several years. They remain below current inflation levels.
1 Source: FRED. Data is as
September
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.
Economic and Market Update
Global Inflation (CPI Trailing Twelve Months)
1 →
In the eurozone, inflation
fell from 2.5% to
1.8 %
over the quarter (a level below the US)
, potentially
clearing the way
for further rate cuts from the E
uropean
C
entral
B
ank
.
→
By contrast
,
i
nflation in Japan
recently increased (
2.8%
to 3.0%) due in part to higher food, electricity, and gas prices supporting the case for additional interest rate increases by t he
Bank of Japan
.
→
In China,
inflation
increased
each of
the
last
seven month
s
,
after declines late last year. Recent extreme weather
has caused supply issues
and contributed to higher prices. Inflation in China remains much lower than in
other
countries
,
due to weak
consumer spending and
as issues in
the real estate sector
continue to
weigh on sentiment
.
1 Source: Bloomberg. Data is
as of
September 30
, 2024, except Japan
and China
which
are
as of
August
3 1
, 2024.
Economic and Market Update
US Unemployment
1 →
The US labor market has softened but remains relatively strong.
After reaching 4.3% in July
,
the
unemployment
rate
finished the quarter at the level it started (4.1%)
,
with 6.
8 million
people looking for work.
→
After job gains came in below expectations in July (114k versus 175k) and August (142k versus 165k) ,
contributing
to some of the market volatility
,
they finished strong in September
,
beating estimates (254k versus 150k).
Food
services (+69K)
and
healthcare (+45K)
were the largest contributors to the September gains.
→
Initial claims for unemployment remain relatively low and year -
over
-
year wage gains
remain
strong (
+
4.0%).
The
number of job openings
increased slightly (7.9 to 8.
0 million
) over the quarter.
1 Source: FRED. Data is
as of September 30
, 2024
.
Economic and Market Update
Policy Rates
1 →
In
the US
,
the Fed reduced interest
rates
by 0.5% after holding them at a
5.25%
-
5.50%
level
for
over a
year
. In
their statement they
highlighted that they would make additional interest rate cut decisions based on incoming data. M
arket participants
are pricing in
roughly
two additional
cuts
in 2024
.
→
The Bank of England
(BoE)
and
the European
Central Bank (
ECB
)
have both started
cutting rates. The BoE made
a 25 b
asis
p
oints
interest rate cut in July while the ECB made two similar cuts in June and September.
→
Inflation in Japan remain
s
elevated
, prompting
Bank of Japan
officials
to raise the policy rate
0.15%
to 0.25%
over
the quarter
after decades at near
-
zero rates.
→
China announced a broad based unexpected stimulus package that included lower interest rates, a reduction in bank reserve requirements, and liquidity for stock investors.
1 Source: Bloomberg. Data is as of
September
, 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.
Economic and Market Update
US Dollar vs. Broad Currencies
1 →
The
US dollar weakened in the third quarter
by 4.7% versus other major currencies
,
influenced by
the decline in
interest rates and expectations for slower growth.
→
It
remains
at
historically strong levels
,
though
,
given relatively stronger growth, higher interest rates, and
on the
prospects of
other
central bank
s
,
potentially
easing
policy faster than the Fed.
→
Looking ahead
,
the track of policy rates across major central banks will be key for the path of the US dollar from here. If the US economy slows more than expected and the Fed relatedly lowers rates at a faster
pace,
we could
see the dollar weaken
further
.
1 Source: Bloomberg. Data as of
September 30
, 2024.
Economic and Market Update
Summary
Key Trends:
→
According to
the International Monetary Fund
’s
(IMF)
July
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.
→
Key economic data in the US has largely weakened and come in below expectations, causing markets to expect an additional two
rate cuts this year
after the Fed’s initial 0.5% reduction
. Uncertainty remains regarding the
timing and pace of interest rate cuts in the coming year.
→
US consumers could feel pressure as certain components of inflation (e.g., shelter) remain high, borrowing costs stay
elevated, and the job market may weaken further.
→
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.
→
We have started to see divergences in monetary policy
.
Some
central banks, such as the
Fed,
European
Central
Bank
,
and
the
Bank of England
,
have
start
ed
to cut interest rates
and others, like the Bank of
Japan,
have
increas
ed
interest rates
.
This disparity will likely influence
capital
flows and currencies.
→
China appears to have shifted focus to more policy support for the economy/asset prices with a new suite of policy stimulus and signals for more support ahead. It is still not clear what the long -
term impact of these policies
will be on the economy and if
policy makers will remain committed to these efforts.
Quarterly
Performance
as of
September
30, 2024
Summary of Cash Flows
QTD ($)
1 Year ($)
OPFRS Total Plan
Beginning Market Value
453,231,642
405,143,449
Net Cash Flow
-4,582,611
-13,074,310
Net Investment Change
26,575,956
83,155,848
Ending Market Value
475,224,987
475,224,987
Return Summary Ending September 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
0.0 6.0
12.0 18.0
24.0 30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
5.4 12.6
22.3 5.2
7.8 5.8
11.3 20.5
4.4 7.1
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of September 30, 2024
Total Plan performance shown is net of fees.
Risk-Return Summary
QTD Ending September 30, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
3.5 4.2
4.9 5.6
6.3 7.0
T
o
t
a
l
R
e
t
u
r
n
0.0 0.2
0.4 0.6
0.8 Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending September 30, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
12.0 15.0
18.0 21.0
24.0 27.0
T
o
t
a
l
R
e
t
u
r
n
4.5 5.4
6.3 7.2
8.1 9.0
9.9 10.8
Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan
5.8 0.6
OPFRS Policy Benchmark
5.4 0.1
Median
5.0 0.3
Return
Standard
Deviation
OPFRS Total Plan
20.5 8.5
OPFRS Policy Benchmark
22.3 8.4
Median
19.5 8.2
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of September 30, 2024 Performance shown is net of fees. Calculation is based on monthly periodicity.
Fiscal year begins on July 1. Plan Sponser Peer Group shown is net of fees.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
475,224,987
100.0
5.9 11.5
20.9 4.7
7.4 7.5
6.9 Dec-88
OPFRS Policy Benchmark
5.4 12.6
22.3 5.2
7.8 7.5
8.1 Excess Return
0.5 -1.1
-1.4
-0.5
-0.4
0.0 -1.2
Domestic Equity (Gross)
209,973,200
44.2 7.7
17.1 31.3
8.8 13.5
11.9 9.4
Jun-97
Russell 3000 (Blend)
6.2 20.6
35.2 10.3
15.3 12.8
9.8 Excess Return
1.5 -3.5
-3.9
-1.5
-1.8
-0.9
-0.4
International Equity (Gross)
64,875,583
13.7 8.3
15.7 26.8
6.6 9.0
7.1 5.9
Jan-98
MSCI ACWI ex US (Blend)
8.1 14.2
25.4 4.1
7.6 5.2
5.5 Excess Return
0.2 1.5
1.4 2.5
1.4 1.9
0.4 Fixed Income (Gross)
113,464,866
23.9 5.3
5.1 12.2
-0.9
1.0 2.5
4.8 Jan-94
Bloomberg Universal (Blend)
5.2 4.9
12.1 -1.1
0.7 2.2
4.6 Excess Return
0.1 0.2
0.1 0.2
0.3 0.3
0.2 Credit (Gross)
10,380,969
2.2 3.1
7.5 11.9
4.2 6.5
--
5.9 Feb-15
Blmbg. U.S. Corp: High Yield Index
5.3 8.0
15.7 3.1
4.7 --
5.3 Excess Return
-2.2
-0.5
-3.8
1.1 1.8
--
0.6 Covered Calls (Gross)
21,094,705
4.4 4.6
15.2 23.6
9.8 12.3
10.2 10.1
Apr-14
Cboe S&P 500 Buy Write Index
5.5 13.6
18.3 6.4
6.6 6.3
6.3 Excess Return
-0.9
1.6 5.3
3.4 5.7
3.9 3.8
Crisis Risk Offset (Gross)
39,389,515
8.3 -1.0
0.8 1.3
-3.6
-8.5
--
-6.4
Aug-18
Crisis Risk Offset Benchmark
0.6 4.6
6.8 4.4
0.4 --
0.8 Excess Return
-1.6
-3.8
-5.5
-8.0
-8.9
--
-7.2
Cash (Gross)
16,046,148
3.4 0.2
0.5 0.5
0.2 0.4
0.8 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of September 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.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
475,224,987
100.0
5.8 11.3
20.5 4.4
7.1 7.2
6.8 Dec-88
OPFRS Policy Benchmark
5.4 12.6
22.3 5.2
7.8 7.5
8.1 Excess Return
0.4 -1.3
-1.8
-0.8
-0.7
-0.3
-1.3
IM Public DB $250M-$1B Median (Net)
5.0 11.3
19.5 4.4
8.3 7.2
8.2 Peer Group Rank
19 52
33 52
79 50
100
Domestic Equity (Net)
209,973,200
44.2 7.6
16.9 30.9
8.5 13.2
11.7 9.3
Jun-97
Russell 3000 (Blend)
6.2 20.6
35.2 10.3
15.3 12.8
9.8 Excess Return
1.4 -3.7
-4.3
-1.8
-2.1
-1.1
-0.5
International Equity (Net)
64,875,583
13.7 8.1
15.2 26.0
6.0 8.4
6.7 5.8
Jan-98
MSCI ACWI ex US (Blend)
8.1 14.2
25.4 4.1
7.6 5.2
5.5 Excess Return
0.0 1.0
0.6 1.9
0.8 1.5
0.3 Fixed Income (Net)
113,464,866
23.9 5.3
4.9 12.0
-1.1
0.8 2.3
4.6 Jan-94
Bloomberg Universal (Blend)
5.2 4.9
12.1 -1.1
0.7 2.2
4.6 Excess Return
0.1 0.0
-0.1
0.0 0.1
0.1 0.0
Credit (Net)
10,380,969
2.2 2.9
7.0 11.3
3.6 5.8
--
5.3 Feb-15
Blmbg. U.S. Corp: High Yield Index
5.3 8.0
15.7 3.1
4.7 --
5.3 Excess Return
-2.4
-1.0
-4.4
0.5 1.1
--
0.0 Covered Calls (Net)
21,094,705
4.4 4.5
15.0 23.4
9.6 12.0
9.9 9.8
Apr-14
Cboe S&P 500 Buy Write Index
5.5 13.6
18.3 6.4
6.6 6.3
6.3 Excess Return
-1.0
1.4 5.1
3.2 5.4
3.6 3.5
Crisis Risk Offset (Net)
39,389,515
8.3 -1.1
0.7 1.0
-3.8
-8.7
--
-6.6
Aug-18
Crisis Risk Offset Benchmark
0.6 4.6
6.8 4.4
0.4 --
0.8 Excess Return
-1.7
-3.9
-5.8
-8.2
-9.1
--
-7.4
Cash (Net)
16,046,148
3.4 0.2
0.5 0.5
0.2 0.4
0.8 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of September 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.
Trailing Period Performance
Ending September 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 8.0
16.0 24.0
32.0 R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Yr
3 Yrs
5 Yrs
5.0 11.3
19.5 4.4
8.3 5.4
12.6 22.3
5.2 7.8
5.8 11.3
20.5 4.4
7.1 Calendar Year Performance
Ending December 31, 2023
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 15.0
30.0 -15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2023
2022
2021
2020
2019
12.5 -13.1
14.1 12.7
18.6 15.1
-14.0
12.2 11.1
19.3 13.5
-14.7
13.8 9.4
20.8 Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of September 30, 2024 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter. Fiscal year begins on July 1.
Balance
($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Interim
Policy (%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
209,973,200
44.2 25.0
19.2 34.0
15.0 - 35.0
No
International Equity
64,875,583
13.7 5.0
8.7 12.0
2.0 - 22.0
Yes
Fixed Income
113,464,866
23.9 51.0
-27.1
44.0 31.0 - 71.0
No
Credit
10,380,969
2.2 10.0
-7.8
0.0 0.0 - 16.0
Yes
Covered Calls
21,094,705
4.4 0.0
4.4 0.0
0.0 - 5.0
Yes
Crisis Risk Offset
39,389,515
8.3 9.0
-0.7
10.0 4.0 - 14.0
Yes
Cash
16,046,148
3.4 0.0
3.4 0.0
0.0 - 5.0
Yes
Total
475,224,987
100.0
100.0
0.0 100.0
September 30, 2024: $475,224,986.7
Cash
3.4%
Covered Calls
4.4%
Credit
2.2%
Crisis Risk Offset
8.3%
Fixed Income
23.9%
Domestic Equity
44.2%
September 30, 2023: $406,308,110.42
Cash
4.0%
Covered Calls
5.5%
Credit
2.3%
Crisis Risk Offset
9.7%
Fixed Income
25.0%
Domestic Equity
40.8%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of September 30, 2024
Cash account market value includes cash balances held in ETF accounts at the custodian and residuals from terminated managers.
Policy (%) column reflects the long-term allocation targets starting July 1, 2024.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
209,973,200
100.0
7.6 16.9
30.9 8.5
13.2 11.7
9.3 Jun-97
Russell 3000 (Blend)
6.2 20.6
35.2 10.3
15.3 12.8
9.8 Excess Return
1.4 -3.7
-4.3
-1.8
-2.1
-1.1
-0.5
Northern Trust Russell 1000
106,908,322
50.9 6.1
21.1 35.6
10.7 15.5
13.0 14.2
Jun-10
Russell 1000 Index
6.1 21.2
35.7 10.8
15.6 13.1
14.3 Excess Return
0.0 -0.1
-0.1
-0.1
-0.1
-0.1
-0.1
EARNEST Partners
42,722,324
20.3 8.2
10.6 24.7
6.5 11.9
11.8 9.6
Apr-06
Russell Midcap Index
9.2 14.6
29.3 5.8
11.3 10.2
9.2 Excess Return
-1.0
-4.0
-4.6
0.7 0.6
1.6 0.4
eV US Mid Cap Core Equity Rank
50 83
63 67
51 19
35 Wellington Select Quality Equity
28,167,816
13.4 10.2
15.2 26.5
--
--
--
10.7 May-22
Russell 1000 Index
6.1 21.2
35.7 --
--
--
16.1 Excess Return
4.1 -6.0
-9.2
--
--
--
-5.4
eV US Large Cap Core Equity Rank
2 84
85 --
--
--
88 Brown Fundamental Small Cap Value
14,693,257
7.0 10.5
14.3 29.0
10.8 --
--
9.3 Apr-21
Russell 2000 Value Index
10.2 9.2
25.9 3.8
--
--
3.6 Excess Return
0.3 5.1
3.1 7.0
--
--
5.7 eV US Small Cap Value Equity Rank
17 18
14 9
--
--
15 Rice Hall James
17,481,481
8.3 9.4
13.2 28.3
0.6 8.7
--
7.8 Aug-17
Russell 2000 Growth Index
8.4 13.2
27.7 -0.4
8.8 --
8.2 Excess Return
1.0 0.0
0.6 1.0
-0.1
--
-0.4
eV US Small Cap Growth Equity Rank
22 47
34 38
71 --
89 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
64,875,583
100.0
8.1 15.2
26.0 6.0
8.4 6.7
5.8 Jan-98
MSCI ACWI ex US (Blend)
8.1 14.2
25.4 4.1
7.6 5.2
5.5 Excess Return
0.0 1.0
0.6 1.9
0.8 1.5
0.3 Vanguard Developed Markets ETF
17,684,221
27.3 7.2
12.2 24.6
4.8 8.3
--
8.8 Sep-19
FTSE Developed All Cap ex-U.S. Index
7.6 12.5
24.7 5.0
8.6 --
9.1 Excess Return
-0.4
-0.3
-0.1
-0.2
-0.3
--
-0.3
SGA ACWI ex-U.S. Equity
47,191,363
72.7 8.4
16.3 26.6
6.5 --
--
7.0 Dec-19
MSCI AC World ex USA (Net)
8.1 14.2
25.4 4.1
--
--
6.9 Excess Return
0.3 2.1
1.2 2.4
--
--
0.1 eV ACWI ex-US All Cap Core Eq Rank
20 15
26 13
--
--
53 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 30, 2024 Performance shown is net of fees, except for the International Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
113,464,866
100.0
5.3 4.9
12.0 -1.1
0.8 2.3
4.6 Jan-94
Bloomberg Universal (Blend)
5.2 4.9
12.1 -1.1
0.7 2.2
4.6 Excess Return
0.1 0.0
-0.1
0.0 0.1
0.1 0.0
Ramirez
76,882,860
67.8 5.2
4.8 11.7
-1.3
0.5 --
2.1 Jan-17
Blmbg. U.S. Aggregate Index
5.2 4.4
11.6 -1.4
0.3 --
1.7 Excess Return
0.0 0.4
0.1 0.1
0.2 --
0.4 eV US Core Fixed Inc Rank
36 48
65 60
74 --
31 Wellington Core Bond
7,381,307
6.5 5.3
5.5 13.3
-1.2
--
--
-0.5
Apr-21
Blmbg. U.S. Aggregate Index
5.2 4.4
11.6 -1.4
--
--
-0.7
Excess Return
0.1 1.1
1.7 0.2
--
--
0.2 eV US Core Fixed Inc Rank
17 9
5 47
--
--
52 Reams
29,200,698
25.7 5.3
5.1 12.5
-0.5
3.0 3.3
5.0 Feb-98
Bloomberg Universal (Blend)
5.2 4.9
12.1 -1.1
0.7 2.2
4.2 Excess Return
0.1 0.2
0.4 0.6
2.3 1.1
0.8 eV US Core Plus Fixed Inc Rank
41 69
58 26
4 9
27 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
10,380,969
100.0
2.9 7.0
11.3 3.6
5.8 --
5.3 Feb-15
Blmbg. U.S. Corp: High Yield Index
5.3 8.0
15.7 3.1
4.7 --
5.3 Excess Return
-2.4
-1.0
-4.4
0.5 1.1
--
0.0 Polen Capital
10,380,969
100.0
2.9 7.0
11.3 3.6
5.8 --
5.3 Feb-15
ICE BofA U.S. High Yield Index
5.3 8.0
15.7 3.1
4.5 --
5.2 Excess Return
-2.4
-1.0
-4.4
0.5 1.3
--
0.1 eV US High Yield Fixed Inc Rank
91 60
88 31
13 --
24 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 30, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
21,094,705
100.0
4.5 15.0
23.4 9.6
12.0 9.9
9.8 Apr-14
Cboe S&P 500 Buy Write Index
5.5 13.6
18.3 6.4
6.6 6.3
6.3 Excess Return
-1.0
1.4 5.1
3.2 5.4
3.6 3.5
Parametric BXM
10,071,437
47.7 4.0
13.0 18.6
8.1 9.2
7.8 7.8
Apr-14
Cboe S&P 500 Buy Write Index
5.5 13.6
18.3 6.4
6.6 6.3
6.3 Excess Return
-1.5
-0.6
0.3 1.7
2.6 1.5
1.5 Parametric DeltaShift
11,023,268
52.3 4.9
16.9 28.1
10.9 14.6
11.9 11.9
Apr-14
Cboe S&P 500 Buy Write Index
5.5 13.6
18.3 6.4
6.6 6.3
6.3 Excess Return
-0.6
3.3 9.8
4.5 8.0
5.6 5.6
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 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.
Market Value
($)
% of
Portfolio
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Crisis Risk Offset
39,389,515
100.0
-1.1
0.7 1.0
-3.8
-8.7
--
-6.6
Aug-18
Crisis Risk Offset Benchmark
0.6 4.6
6.8 4.4
0.4 --
0.8 Over/Under
-1.7
-3.9
-5.8
-8.2
-9.1
--
-7.4
Kepos Alternative Risk Premia
12,271,394
31.2 1.2
12.7 11.9
--
--
--
8.0 Feb-22
SG Multi Alternative Risk Premia Index
0.3 8.3
6.8 --
--
--
7.0 Over/Under
0.9 4.4
5.1 --
--
--
1.0 Versor Trend Following
13,429,347
34.1 -10.5
-9.9
-17.0
--
--
--
-4.3
Apr-22
SG Trend Index
-5.9
2.3 -2.9
--
--
--
2.4 Over/Under
-4.6
-12.2
-14.1
--
--
--
-6.7
Vanguard Long-Term Treasury ETF
13,688,773
34.8 7.8
2.7 15.3
-8.4
-4.3
--
-2.7
Jul-19
Blmbg. U.S. Government: Long Term Bond Index
7.8 2.4
15.4 -8.3
-4.2
--
-2.7
Over/Under
0.0 0.3
-0.1
-0.1
-0.1
--
0.0 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of September 30, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Cash Flow Summary
Quarter To Date
Beginning
Market Value($)
Net Cash Flow($)
Net Investment
Change($)
Ending
Market Value($)
Northern Trust Russell 1000
100,798,118
-
6,110,204
106,908,322
EARNEST Partners
39,396,764
-
3,325,560
42,722,324
Wellington Select Quality Equity
25,563,443
-
2,604,373
28,167,816
Brown Fundamental Small Cap Value
13,276,304
-
1,416,953
14,693,257
Rice Hall James
15,939,120
-
1,542,362
17,481,481
Vanguard Developed Markets ETF
16,549,028
-48,355
1,183,547
17,684,221
SGA ACWI ex-U.S. Equity
43,425,507
-
3,765,855
47,191,363
Ramirez
73,029,640
-
3,853,221
76,882,860
Wellington Core Bond
7,006,703
-
374,605
7,381,307
Reams
27,712,396
-
1,488,302
29,200,698
Polen Capital
10,084,780
-
296,190
10,380,969
Parametric BXM
11,654,056
-2,000,000
417,381
10,071,437
Parametric DeltaShift
12,467,561
-2,000,000
555,707
11,023,268
Kepos Alternative Risk Premia
12,120,231
-
151,164
12,271,394
Versor Trend Following
14,998,517
-
-1,569,170
13,429,347
Vanguard Long-Term Treasury ETF
12,830,166
-133,952
992,558
13,688,773
Cash - Money Market
5,866,309
257,669
36,170
6,160,148
Cash - Treasury
10,513,000
-627,000
-
9,886,000
Securities Lending Northern Trust
-
-30,974
30,974
-
OPFRS Total Plan
453,231,642
-4,582,611
26,575,956
475,224,987
Oakland Police and Fire Retirement System
Financial Reconciliation | September 30, 2024
Growth of a Dollar
5 Years ending September 30, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.80
$1.00
$1.20
$1.40
$1.60
2019
2020
2021
2022
2023
2024
Actuarial Rate: $1.32
OPFRS Policy Benchmark: $1.46
OPFRS Total Plan: $1.41
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of September 30, 2024 The actuarial assumed rate is 8% through June 2009, 7.5% through June 2010, 7% through June 2011, 6.75% through June 2014, 6.5% through December 2017, 6.0% through June 2023, and 5.0% since July 2023.
Plan Sponsor Peer Group Performance Comparison
vs. InvMetrics Public DB $250M-$1B Net
-4.0
4.0 12.0
20.0 28.0
R
e
t
u
r
n
QTD
(%)
FYTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
OPFRS Total Plan
5.8 (19)
5.8 (19)
11.3 (52)
20.5 (33)
4.4 (52)
7.1 (79)
7.2 (50)
¢
£
OPFRS Policy Benchmark
5.4 (37)
5.4 (37)
12.6 (18)
22.3 (22)
5.2 (23)
7.8 (63)
7.5 (36)
5th Percentile
6.5 6.5
13.7 24.6
6.2 9.7
8.4 1st Quartile
5.7 5.7
11.9 21.4
5.1 8.9
7.8 Median
5.0 5.0
11.3 19.5
4.4 8.3
7.2 3rd Quartile
4.6 4.6
9.9 17.8
3.6 7.3
6.7 95th Percentile
3.7 3.7
8.3 13.6
2.5 6.3
6.1 Population
107
107
105
105
104
104
92 Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of September 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.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000
0.00 0.99
-2.55
4.04 0.00
1.00 99.61
-
Russell 1000 Index
0.00 1.00
-
4.03 0.00
1.00 100.00
-
Trailing Performance
Northern Trust Russell 1000
Russell 1000 Index
0.0 15.0
30.0 45.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
6.1 35.7
10.8 15.6
14.2 13.1
6.1 35.6
10.7 15.5
14.1 13.0
Growth of $1 - Since Inception
Northern Trust Russell 1000
Russell 1000 Index
-2.5
0.0 2.5
5.0 7.5
10.0 5/10
11/11
5/13
11/14
5/16
11/17
5/19
11/20
5/22
9/24
$6.8
$6.7
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
6.06 0.39
Russell 1000 Index
6.08 0.39
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of September 30, 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
-2.36
1.69 -0.31
1.06 0.94
0.96 90.25
-
Russell Midcap Index
0.00 1.00
-
2.07 0.00
1.00 100.00
-
Trailing Performance
EARNEST Partners
Russell Midcap Index
0.0 10.0
20.0 30.0
40.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
9.2 29.3
5.8 11.3
10.5 10.2
8.2 24.7
6.5 11.9
11.6 11.8
Growth of $1 - Since Inception
EARNEST Partners
Russell Midcap Index
-2.0
0.0 2.0
4.0 6.0
8.0 3/06
6/08
9/10
12/12
3/15
6/17
9/19
12/21
9/24
$5.1
$5.5
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
8.24 2.11
Russell Midcap Index
9.21 1.22
Oakland Police and Fire Retirement System
EARNEST Partners | As of September 30, 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
6.84 -1.78
0.75 1.85
1.76 0.20
165.92
-
Russell 1000 Index
0.00 1.00
-
4.03 0.00
1.00 100.00
-
Trailing Performance
Wellington Select Quality Equity
Russell 1000 Index
0.0 15.0
30.0 45.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
10 Years
6.1 35.7
10.8 15.6
13.1 10.2
26.5 Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index
0.6 0.9
1.2 1.5
1.8 4/22
7/22
10/22
1/23
4/23
7/23
10/23
1/24
4/24
9/24
$1.4
$1.3
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
Standard Deviation
QTD Return
QTD Risk
Wellington Select Quality Equity
10.19 1.55
Russell 1000 Index
6.08 0.39
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of September 30, 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
0.17 0.98
0.26 0.51
0.42 1.00
104.75
113.68
Russell 2000 Value Index
0.00 1.00
-
0.48 0.00
1.00 100.00
100.00
Trailing Performance
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 10.0
20.0 30.0
40.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
10.2 25.9
3.8 9.3
6.6 8.2
10.5 29.0
10.8 Growth of $1 - Since Inception
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.6 0.9
1.2 1.5
1.8 3/21
9/21
3/22
9/22
3/23
9/23
3/24
9/24
$1.1
$1.4
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
10.52 6.13
Russell 2000 Value Index
10.15 6.22
Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of September 30, 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
1.23 0.67
0.12 0.77
2.57 0.58
69.15 -245.81
Russell 2000 Growth Index
0.00 1.00
-
0.60 0.00
1.00 100.00
100.00
Trailing Performance
Rice Hall James
Russell 2000 Growth Index
0.0 15.0
30.0 45.0
-15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
8.4 27.7
-0.4
8.8 7.6
8.9 9.4
28.3 0.6
8.7 7.3
Growth of $1 - Since Inception
Rice Hall James
Russell 2000 Growth Index
0.5 1.0
1.5 2.0
2.5 7/17
4/18
1/19
10/19
7/20
4/21
1/22
10/22
7/23
9/24
$1.8
$1.7
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
9.41 3.44
Russell 2000 Growth Index
8.41 3.93
Oakland Police and Fire Retirement System
Rice Hall James | As of September 30, 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
-0.06
0.96 -0.95
2.15 0.15
0.97 94.08
-
FTSE Developed All Cap ex-U.S. Index
0.00 1.00
-
2.26 0.00
1.00 100.00
-
Trailing Performance
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 8.0
16.0 24.0
32.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
7.6 24.7
5.0 8.6
6.3 6.1
7.2 24.6
4.8 8.3
5.9 5.9
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
5/20
2/21
11/21
8/22
5/23
2/24
9/24
$1.6
$1.5
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 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 Standard Deviation
QTD Return
QTD Risk
Vanguard Developed Markets ETF
7.16 0.89
FTSE Developed All Cap ex-U.S. Index
7.62 0.91
Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of September 30, 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
-1.04
1.45 1.22
7.28 0.10
1.00 104.65
-
MSCI AC World ex USA (Net)
0.00 1.00
-
10.05 0.00
1.00 100.00
-
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 10.0
20.0 30.0
40.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q3-2024
1 Year
3 Years
5 Years
7 Years
10 Years
8.1 25.4
4.1 7.6
5.4 5.2
8.4 26.6
6.5 Growth of $1 - Since Inception
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.6 0.9
1.2 1.5
1.8 11/19
5/20
11/20
5/21
11/21
5/22
11/22
5/23
11/23
9/24
$1.4
$1.4
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 Standard Deviation
QTD Return
QTD Risk
SGA ACWI ex-U.S. Equity
8.45 0.32
MSCI AC World ex USA (Net)
8.06 0.22
Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of September 30, 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
3.4 72.7
11.5 12.5
0.0 0.0
0.0 0.0
8.3 64.9
11.4 12.2
2.5 0.1
0.0 0.6
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez
5.2 4.8
11.7 -1.3
0.5 Blmbg. U.S. Aggregate Index
5.2 4.4
11.6 -1.4
0.3 Sector Allocation
Ramirez
Blmbg. U.S. Aggregate Index
0.0 15.0
30.0 45.0
60.0 U
S
T
/
A
g
e
n
c
y
C
o
r
p
o
r
a
t
e
M
B
S
A
B
S
M
u
n
i
C
a
s
h
46.9 24.1
28.1 0.4
0.5 0.0
27.0 22.1
27.6 3.3
19.5 0.6
Portfolio Fixed Income Characteristics
Q3-24
Portfolio
Q2-24
Portfolio
Yield To Maturity
5.5 5.2
Average Duration
6.3 6.1
Average Quality
AA
AA
Weighted Average Maturity
9.0 9.1
Oakland Police and Fire Retirement System
Ramirez | As of September 30, 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 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
11.5 12.5
0.0 0.0
0.0 0.0
74.5 5.5
10.8 13.0
0.0 0.1
1.9 -5.8
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond
5.3 5.5
13.3 -1.2
-
Blmbg. U.S. Aggregate Index
5.2 4.4
11.6 -1.4
0.3 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
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
46.9 24.1
28.1 0.4
0.5 0.0
0.0 27.1
0.0 45.3
8.7 0.0
24.8 -5.8
Portfolio Fixed Income Characteristics
Q3-24
Portfolio
Q2-24
Portfolio
Yield To Maturity
5.1 5.3
Average Duration
6.4 6.7
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of September 30, 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
-
/
B
a
a
3 N
o
t
R
a
t
e
d
C
a
s
h
3.5 63.7
12.8 13.7
6.3 0.1
0.0 21.3
44.5 18.5
15.2 0.0
0.0 0.5
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams
5.3 5.1
12.5 -0.5
3.0 Blmbg. U.S. Universal Index
5.2 4.9
12.1 -1.1
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
C
a
s
h
46.2 30.2
23.2 0.4
0.0 25.6
33.7 32.3
7.8 0.5
Portfolio Fixed Income Characteristics
Q3-24
Portfolio
Q2-24
Portfolio
Yield To Maturity
4.6 5.3
Average Duration
6.1 6.4
Average Quality
AA
AA
Weighted Average Maturity
8.7 9.4
Oakland Police and Fire Retirement System
Reams | As of September 30, 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 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
C
C
/
C
a
N
o
t
R
a
t
e
d
C
a
s
h
4.8 60.1
0.0 25.7
9.4 0.0
0.0 0.0
0.0 0.0
8.0 40.5
45.5 0.6
4.4 1.0
Portfolio Performance Summary
QTD
(%)
YTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital
2.9 7.0
11.3 3.6
5.8 ICE BofA U.S. High Yield Index
5.3 8.0
15.7 3.1
4.5 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
98.5 1.0
0.5 100.0
0.0 0.0
Portfolio Fixed Income Characteristics
Q3-24
Portfolio
Q2-24
Portfolio
Yield To Maturity
9.0 9.7
Average Duration
2.0 2.1
Average Quality
B
B
Weighted Average Maturity
4.8 4.9
Oakland Police and Fire Retirement System
Polen Capital | As of September 30, 2024
Performance shown is net of fees.
Return
Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls
9.8 11.2
3.2 1.0
0.8 4.0
123.9
105.4
04/01/2014
Cboe S&P 500 Buy Write Index
6.3 10.2
0.0 1.0
-
0.0 100.0
100.0
Parametric BXM
7.8 9.2
2.3 0.9
0.4 3.1
99.7 85.9
04/01/2014
Cboe S&P 500 Buy Write Index
6.3 10.2
0.0 1.0
-
0.0 100.0
100.0
Parametric DeltaShift
11.9 13.5
4.3 1.2
0.9 6.2
147.2
122.3
04/01/2014
Cboe S&P 500 Buy Write Index
6.3 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 8.0
16.0 24.0
32.0 R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
YTD
1 Year
3 Years
5 Years
5.5 13.6
18.3 6.4
6.6 4.5
15.0 23.4
9.6 12.0
Growth of a Dollar
Covered Calls
Cboe S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
$2.10
2019
2020
2021
2021
2022
2023
2024
$1.38
$1.77
Calendar Year Performance
Covered Calls
Cboe S&P 500 Buy Write Index
0.0 15.0
30.0 -15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
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 September 30, 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
-6.6
10.5 -6.8
0.8 -0.7
9.7 31.5
128.5
08/01/2018
Crisis Risk Offset Benchmark
0.8 5.3
0.0 1.0
-
0.0 100.0
100.0
Kepos Alternative Risk Premia
8.0 6.4
1.9 0.9
0.2 4.8
101.9
80.4 02/01/2022
SG Multi Alternative Risk Premia Index
7.0 5.0
0.0 1.0
-
0.0 100.0
100.0
Versor Trend Following
-4.3
14.4 -6.4
1.0 -1.0
6.7 77.2
113.9
04/01/2022
SG Trend Index
2.4 12.5
0.0 1.0
-
0.0 100.0
100.0
Vanguard Long-Term Treasury ETF
-2.7
14.9 0.0
1.0 0.0
1.0 100.9
100.9
07/01/2019
Blmbg. U.S. Government: Long Term Bond Index
-2.7
14.8 0.0
1.0 -
0.0 100.0
100.0
Correlation Matrix
3 Months Ending September 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
0.16 1.00
S&P 500 Index
-0.61
-0.88
1.00 Blmbg. Global Aggregate Index
-0.24
0.92 -0.62
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
YTD
1 Year
3 Years
5 Years
0.6 4.6
6.8 4.4
0.4 -1.1
0.7 1.0
-3.8
-8.7
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of September 30, 2024
Performance shown is net of fees.
Benchmark History
From Date
To Date
Benchmark
OPFRS Total Plan
07/01/2024
Present
34.0% Russell 3000 Index, 12.0% MSCI AC World ex USA (Net), 44.0% Blmbg. U.S. Universal Index, 10.0% Crisis Risk Offset Benchmark
06/01/2022
07/01/2024
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)
01/01/1978
04/01/1998
40.0% S&P 500 Index, 55.0% Blmbg. U.S. Aggregate Index, 5.0% FTSE 3 Month T-Bill Oakland Police and Fire Retirement System
Benchmark History | As of September 30, 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 September 30, 2024
Manager Monitoring
/ Probation Status
Oakland Police and Fire Retirement System
Manager Monitoring
/ Probation Status
| As of
September
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
US
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
Non
-
US
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
Non
-
US
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
12 -
17.0 N/A
Benchmark: SG Trend In
d
ex
--
--
--
-
2.9 --
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
.
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
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.
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 example, the price of a b ond with a duration of three years will rise by approximately 3% for each 1% decrease in its yield to maturity.
Conversely, the price will decrease 3% for each 1% increase in the bond’s yield. Price changes for two different bonds can b e compa
red 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 calculation is strai
ghtforward. The first step is to measure the time interval until receipt for each cash flow (coupon and principal payments) from a bond. The second step is to compute a weighted
average of these time intervals. Each time interval is measured by the pres ent 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 tracting the benchmark return from the
portfolio return (excess return), and dividing the resulting excess return by the standard d eviation (volatility) of this excess 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*(market
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 capitalization, 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
heavily influence an index’s return than the returns of the smaller market -
capitalizat
ion 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 prepayments will increase (homeowners will prepay all or part of their mortgage) when mortgage interest rates d ecline; hence, investors’ monies will be
returned to them in a lower interest rate environment. Also, the risk that prepayments wi ll 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 curre nt price divided by Compustat's
quarterly common equity. Common equity includes common stock, capital surplus, retained earnings, and treasury 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 earnings. Lower P/E ratios often characterize stocks in lo w growth or mature industries,
stocks in groups that have fallen out of favor, or stocks of established blue chip companies with lo ng records of stable earnings 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 experie
nced 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. Conseq
uently, investors are willing to pay more for these companies’ earnings, which results in elevated P/E ratios. In other word s, 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 investments. 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 devi ation). 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 dispersion of a set of numbers aroun d 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 distribution, about two thirds of the observations will fall 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 sty le 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 maturity date, the issuer is pledged to pay $100 for the bond that can be bought now for $95.
In other words, t
he bond is selling 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 years to maturity, which equ als 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 used 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 only.
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 seri es composite total rate of return.
Sources:
Investment Terminology
, International Foundation 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.