MEKETA.COM
Quarterly Performance Report as
of December 31, 2024
Oakland Police and Fire Retirement
System
February 26, 2025
Oakland Police and Fire
Retirement System
Table of Contents
MEKETA.COM
1. Executive Summary
2. Economic and Market Update
as of
December 31, 2024
3. Quarterly
Performance as of
December 31, 2024
4. Manager Monitoring / Probation
Status
5. Appendix
6. Disclaimer, Glossary, and Notes
Executive Summary
Oakland Police and Fire Retirement System
Executive Summary | As of
December
3 1
, 202
4 MEKETA.COM
Total Portfolio
Review
The
Oakland Police and Fire Retirement System (OPFRS)
finished the
calendar year
with
$
4 63.0
million in assets
after net cash flows including monthly
benefit payments
.
→
As of December 31, 2024
, most
asset
classes,
except
Domestic
Equity and Fixed Income,
were with
in their
long
-
term
target allocation ranges
of the new asset allocation policy that became effective on July 1.
Cash Flow Summary
($ Millions)
Quarter
1 Year
Beginning Market Value
475.2
436.0
Net Cash Flows (including Benefit Payments)
-
4.3 -
14.5 Net Investment Change (Gain/Loss)
-
8.0 41.5
Ending Market Value
463.0
463.0
Investment
Performance
1 QTD
FYTD
1 Year
3 Year
5 Year
Total
Plan (Gross)
-
1.7 4.1
9.6 2.2
6.0 Total Plan (Net)
-
1.8 3.9
9.3 1.9
5.7 Policy Benchmark
-
1.5 3.9
10.9 3.2
6.5 Excess Return
-
0.3 0.1
-
1.6 -
1.3 -
0.8 Public DB ($250M
-
$1B) Median Fund
-
1.0 4.3
10.4 2.6
6.9 Total Plan (Net) vs. Peer Median
Fund
-
0.7 -
0.4 -
1.1 -
0.8 -
1.2 Peer Group Percentile Rank
91 66
70 76
86 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 number 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
December
3 1
, 202
4 MEKETA.COM
Asset Class
and
Manager
Highlights
1 →
On both gross
-
and net
-
of
-
fees basis, the
Total Plan
lagged its Policy Benchmark during the quarter as well as over the 1
-
, 3
-
, and 5
-
year trailing periods.
•
The Plan’s underperformance during the quarter was primarily due to the underperformance within the
Domestic
Equity segment as large
-
and mid
-
cap growth stocks appreciated the most while the value stocks declined.
•
On the other hand, d
espite a decline in the broad bond market,
the
Fixed Income
asset class contributed
positive
ly
to the Total
Plan’s
relative performance
and
partially offset Domestic
Equity’s
negative contribution due to its
under
-
allocation relative to
its
interim target.
→
Domestic
E
quity
under
performed the Russell 3000 Index
over
all time
periods
.
All a
ctive Domestic Equity managers
except
the growth
-
oriented Rice Hall James
under
performed
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
under
performed
its
custom
benchmark
2 over
the
quarter.
Among its
underlying managers
,
Wellington Core Bond
outperformed
its Bloomberg US Aggregate
benchmark
across
all
time periods.
→
The
Credit
segment, with Polen Capital as its
sole
manager,
slightly out
performed
its
benchmark,
the
B
loomberg
US
Corp
orate
High Yield Index,
during
the quarter
and
over the
3 -
and 5
-
year trailing period
s
.
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
and
over the 1
-
year period
.
•
Please note that the Credit and Covered Calls asset classes are undergoing gradual withdrawals as no longer have a target allocation since July 2024.
→
The
Crisis Risk Offset
segment
under
performed
its
custom
benchmark
over
all time periods measured
.
K
epos
Alternative Risk Premia
outperformed
its
benchmark
across all time periods
while Versor
Trend Following
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.
2 The custom benchmark is
Bloomberg US Universal Index
since 04/2006.
Economic and Market Update
Data as of December 31, 2024
Economic and
Market Update
MEKETA.COM
Commentary
Although most major markets finished 2024 in positive territory, in the fourth quarter ,
with the exception of
US stocks,
the majority of
markets
declined.
→
Trump’s victory
along with a now
Republican controlled Congress, supported US
equity
markets in the fourth
quarter on anticipation of pro
-
growth policies
.
Domestic equity markets (Russell 3000) posted a return of 2.6% in the quarter
and an impressive 23.8% for the year driven by large cap technology stocks.
→
Non
-
US developed stocks sold
-
off in the fourth quarter (MSCI EAFE
:
-
8.1 %
) largely driven by the strength of the
US dollar, as well as
slowing growth
in Europe and
the potential for trade wars
.
For the year
,
they trailed US equities
by a
wide
20%
margin
(3.8% versus 23.8%).
→
Emerging market stocks
also fell
(MSCI Emerging Markets:
-
8.0%)
in the fourth quarter
,
again driven by the strong
dollar and concerns about
US
tariffs. In 2024
,
emerging markets
beat developed international markets (7.5% versus
3.8%) but significantly trailed the US.
→
The Federal Reserve cut its policy rate another 0.25% in December ,
but its Summary of Economic Projections and
hawkish comments provoked a repricing of future rate cuts and the
ir
timing.
→
Most fixed income markets fell for the quarter with interest rates rising given fears of inflation from the proposed policies of the incoming US administration.
The broad US bond market (Bloomberg Aggregate) declined 3.1% for the
quarter,
reducing its 2024
gain
to 1.3%. For the year,
most major bond markets delivered positive returns
on
cooling global inflation.
→
Looking ahead, uncertainty related to the policies of the new Trump Administration and its impact on the economy,
inflation, and Fed policy will be key. The path of China’s economy and concerns over elevated valuations and technology driven concentration in the US equity market will also be important focuses of 2025.
Economic and
Market Update
MEKETA.COM
Index Returns
1 →
In 2024, most major
assets classes posted gains
,
led by the S&P 500
’s
25.0%
return
.
→
Markets had mixed returns in the fourth quarter
. US equities rose on optimism over potential pro
-
growth policies
from the incoming administration while inflation
concerns
and a strong dollar
,
respectively
,
weighed on bonds and
international equities.
1 Source: Bloomberg. Data is as of
December 31
, 2024.
2024
Q
4 2024
25.0%
23.8%
17.5%
11.5%
8.7%
8.2%
7.5%
5.4%
4.7%
3.8%
1.8%
1.3%
-
2.4%
S&P 500
Russell 3000
MSCI ACWI
Russell 2000
FTSE NAREIT Equity
Bloomberg High Yield
MSCI Emerging Markets
Bloomberg Commodity Index
Bloomberg Short-Term TIPS
MSCI EAFE
Bloomberg US TIPS
Bloomberg Aggregate
JPM GBI-EM Global Diversified
2.6%
2.4%
0.3%
0.2%
-
0.1%
-
0.4%
-
1.0%
-
2.9%
-
3.1%
-
6.2%
-
7.0%
-
8.0%
-
8.1%
Russell 3000
S&P 500
Russell 2000
Bloomberg High Yield
Bloomberg Short-Term TIPS
Bloomberg Commodity Index
MSCI ACWI
Bloomberg US TIPS
Bloomberg Aggregate
FTSE NAREIT Equity
JPM GBI-EM Global Diversified
MSCI Emerging Markets
MSCI EAFE
Economic and
Market Update
MEKETA.COM
Domestic Equity Returns
1 Domestic Equity
December
(%)
Q4 2024
(%)
2024
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
S&P 500
-
2.4 2.4
25.0 8.9
14.5 13.1
Russell 3000
-
3.1 2.6
23.8 8.0
13.9 12.5
Russell 1000
-
2.8 2.7
24.5 8.4
14.3 12.9
Russell 1000 Growth
0.9 7.1
33.4 10.5
19.0 16.8
Russell 1000 Value
-
6.8 -
2.0 14.4
5.6 8.7
8.5 Russell MidCap
-
7.0 0.6
15.3 3.8
9.9 9.6
Russell MidCap Growth
-
6.2 8.1
22.1 4.0
11.5 11.5
Russell MidCap Value
-
7.3 -
1.7 13.1
3.9 8.6
8.1 Russell 2000
-
8.3 0.3
11.5 1.2
7.4 7.8
Russell 2000 Growth
-
8.2 1.7
15.2 0.2
6.9 8.1
Russell 2000 Value
-
8.3 -
1.1 8.1
1.9 7.3
7.1 US Equities: The Russell 3000
rose 2.6%
in the fourth quarter
, bringing the year
-
to
-
date results to +
2 3.8
%.
→
US stocks rose broadly in the fourth quarter on a post
-
election rally. However, value stocks did
not participate and
ended the quarter lower. In the large cap space, the Russell 1000 Value index’s omission of several “Magnificent
7”
stocks, such as NVIDIA, Amazon, and Tesla, drove much of the divergence.
→
For the full year
,
US
equities gained
23.8%. NVIDIA was the leading contributor among all stocks in the Russell
3000
index. The stock appreciated 171% during the year and was responsible for 20% of
total
index gains.
The “Magnificent 7” stocks contributed just under 50% of the
2024
index gains.
→
Growth stocks outperformed value stocks across the market cap spectrum in 2024
, which was more pronounced
in the large cap space.
Larger companies (Russell 1000) produced more than double the returns of smaller companies (Russell 2000) for the year.
1 Source: Bloomberg. Data is as of
December 31
, 2024.
Economic and
Market Update
MEKETA.COM
Russell 3000 Sector Returns
1 →
US equity sectors experienced mixed results in the final quarter of the year but all sectors except materials, experienced gains in 2024.
→
Technology stocks rose 37
.1
%
last year
, which led all sectors. Within
t
echnology, NVIDIA and
Broadcom
accounted for more than half of the sector’s contribution to overall index gains.
→
After technology
,
c
onsumer
d
iscretionary
(+28.3%) and financials (+28.0%) were next driven by
Amazon and Tesla
and a steepening yield curve/strong economy, respectively .
1 Source: Bloomberg. Data is as of
December 31
, 2024.
-
4.5%
28.3%
3.1%
2.3%
28.0%
2.0%
16.8%
37.1%
18.5%
19.1%
23.8%
-
12.9%
11.3%
-
6.5%
-
2.1%
6.1%
-
10.1%
0.0%
6.4%
2.0%
-
5.6%
2.6%
-20%
-10%
0%
10%
20%
30%
40%
Basic Materials
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Technology
Telecommunications
Utilities
Russell 3000
2024
Q4 2024
Economic and
Market Update
MEKETA.COM
Foreign Equity Returns
1 Foreign Equity
December
(%)
Q4 2024
(%)
2024
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
MSCI ACWI Ex US
-
1.9 -
7.6 5.5
0.8 4.1
4.8 MSCI EAFE
-
2.3 -
8.1 3.8
1.6 4.7
5.2 MSCI
EAFE (Local Currency)
0.4 -
0.6 11.3
6.3 7.5
7.1 MSCI EAFE Small Cap
-
2.3 -
8.4 1.8
-
3.2 2.3
5.5 MSCI Emerging Markets
-
0.1 -
8.0 7.5
-
1.9 1.7
3.6 MSCI Emerging Markets (L
ocal Currency
)
1.2 -
4.4 13.1
1.6 4.5
6.0 MSCI EM ex China
-
1.2 -
8.1 3.6
0.1 4.4
4.7 MSCI China
2.7 -
7.7 19.4
-
6.1 -
3.4 1.9
Foreign Equity: Developed international equities (MSCI EAFE) fell -
8.1 % in
the fourth quarter
but rose
3.8 %
for the year
, while emerging market equities (MSCI
Emerging Markets) fell
-
8.0 %
in the quarter but returned
7.5% for the year
.
→
Continued strength in the US dollar weighed on developed market shares ,
with declines in local terms significantly
lower (
-
0.6% versus
-
8.1%). An unstable political environment, potential
tariffs from the US, and weak growth
all
weighed on
e
urozone equities
.
Japan
was
a
bright spot
,
outperform
ing
the US for the quarter, with renewed yen
weakness boosting
the
outlook for exporters.
→
Emerging
m
arkets
reacted poorly to Mr. Trump’s win in the fourth quarter, due largely to tariff fears and the Fed’s decreased likelihood of reducing rates in 2025.
A strong dollar also weighed on results but not as much as in developed markets.
China declined
less
than the broader index for the quarter
(
-
7.7 % versus
-
8.0%).
→
Over the full 2024 calendar year,
international equities significantly trailed US equities.
1 Source: Bloomberg. Data is as of
December 31
, 2024.
Economic and
Market Update
MEKETA.COM
Equity Cyclically Adjusted P/E Ratios
1 →
Valuations in US stocks continued to move higher over the quarter while valuations for international equities fell.
→
US stocks
, priced
at 38.1
times
earnings,
continue to trade well above their long
-
run PE average of 28.
2 .
→
Non
-
US developed market valuations
are trading at
their long
-
term average
. E
merging market stock valuations
declined
the most over the quarter (16.1 to 14.8)
and
remain
below
their long
-
term average.
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 December
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
MEKETA.COM
Fixed Income Returns
1 Fixed Income
December
(%)
Q4 2024
(%)
2024
(%)
3 YR
(%)
5 YR
(%)
10 YR
(%)
Current
Yield
(%)
Duration
(Years)
Bloomberg Universal
-
1.5 -
2.7 2.0
-
1.9 0.1
1.7 5.1
5.9 Bloomberg Aggregate
-
1.6 -
3.1 1.3
-
2.4 -
0.3 1.3
4.9 6.1
Bloomberg US TIPS
-
1.6 -
2.9 1.8
-
2.3 1.9
2.2 4.6
6.5 Bloomberg Short
-
term T
IPS
-
0.1 -
0.1 4.7
2.1 3.3
2.6 4.4
2.4 Bloomberg US Long Treasury
-
5.3 -
8.6 -
6.4 -
12.0 -
5.2 -
0.6 4.9
14.9 Bloomberg High Yield
-
0.4 0.2
8.2 2.9
4.2 5.2
7.5 3.5
JPM GBI
-
EM Global Diversified
(USD)
-
1.9 -
7.0 -
2.4 -
1.0 -
1.9 -
0.4 --
--
Fixed Income: The Bloomberg Universal index
fell 2.7
% in
the quarter
, bringing the year
-
to
-
date return to +
2.0 %.
→
Fixed income indexes
largely
declined
over
the
quarter
d
ue to
rising interest rates as investors considered
proposed policies like tariffs and deportations and their respective risks to inflation.
→
The broad US bond market (Bloomberg Aggregate)
fell
3.1 % over the
quarter
, with TIPS
performing similarly at
longer maturities
.
Long
-
term Treasury bonds experienced the
largest
declines, with a drop of 8.6%.
→
High yield bonds
outperformed as investor risk appetite remained robust
, while emerging market debt weakened
on uncertainty about the path of proposed US
tariffs by the incoming administration
as well as by higher
US
interest rates
.
1 Source: Bloomberg. Data is as of
December 31
, 2024. The yield and duration data from Bloomberg is defined as the index’s yield to worst and modified duration, respective ly. JPM GBI
-
EM data is from J.P. Morgan.
Current yield and duration data is
not available.
Economic and
Market Update
MEKETA.COM
US Yield Curve
1 →
With the exception of the very shortest maturities
, US Treasury yields
rose in
the fourth quarter driven by resilient
growth and increased inflation expectations. Term premium (a measure of interest rate uncertainty) spik ing
over
the quarter
was a key driver of higher rates
.
→
Over the quarter
, t
he more policy sensitive
2 -
year Treasury yield
rose
from
3.64 % to 4.
2 4
%, while the
10 -
year
Treasury yield
rose
from
3.78 % to 4.
5 7
%
.
→
The yield curve was no longer inverted (short
-
term interest rates higher than long
-
term interest rates) at year
-
end
given expectations for the Fed to continue to reduce rates and resilient economic growth and persistent inflation.
1 Source: Bloomberg. Data is as of
December 31
, 2024.
The August 202
4 T
reasury yields are shown as a reference before the first interest
rate cut.
0%
1%
2%
3%
4%
5%
6%
3M
6M
1Y
2Y
5Y
7Y
10Y
30Y
8/31/2024
12/31/2024
Economic and
Market Update
MEKETA.COM
10 -
Year Treasury Yield v
ersu
s Fed Funds Rate
1 →
Typically,
when the Fed cuts interest rates
,
the yield on the ten
-
year Treasury follows as rate cuts
often
come in
an environment of falling inflation and rising unemployment.
→
The
recent
dynamic has
been very unusual with the
Fed
cutting interest rates by a total of 1.0% since September and the ten
-
year Treasury increasing by a similar amount over the same time period.
→
Questions remain about why this is happening with some saying it is related to fiscal concerns and others pointing to lower demand for our debt from overseas.
I
t is also possible the market feels the Fed has overcut rates
already.
1 Source: FRED. Data is as of January 15, 2025.
0%
1%
2%
3%
4%
5%
6%
7%
8%
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020
2022
2024
10 Year Treasury Yield
Effective Federal Funds Rate
Economic and
Market Update
MEKETA.COM
Credit Spreads vs. US Treasury Bonds
1 →
Spreads (the yield above a comparable maturity Treasury) all continued to tighten over the quarter.
→
All yield spreads remained below their respective long
-
run averages, particularly high yield
(
2.9% versus
5.0%)
.
→
Although spreads are tight,
absolute
yields remain at above
-
average levels compared to the last two decades
.
1 Source: Bloomberg. Data is as
December 31
, 2024. Average lines denote the average of the investment grade, high yield, and emerging market spread values from September 2002 to the recent month -
end, respectively.
Economic and
Market Update
MEKETA.COM
Equity and Fixed Income Volatility
1 →
B
ond and equity volatility
experienced several spikes over the quarter ahead of the election but finished lower after
the clear results.
→
V
olatility levels (VIX) in the US stock market finished the quarter
below
its long
-
run average
, w
hile
volatility in the
bond market (MOVE) ended
December
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
December
31,
2024. The average line indicated is the average of the VIX and MOVE values between January 2000 and December
2024.
Economic and
Market Update
MEKETA.COM
US Ten
-
Year Breakeven Inflation and CPI
1 →
In
December
, inflation rose 0.
4 %
month
-
o
ver
-
mont
h with energy prices accounting for 40% of the monthly increase .
→
Year
-
over
-
year inflation increased from 2.
4 % to 2.
9 %
over the quarter
largely driven by base
year effects.
In the
December reading s
helter (+4.
6 %),
transportation (+
7. 3
%), and medical care (+3.
4 %) contributed to the annual
gain while energy prices (
-
0.5 %) fell over the past year
despite the December (+2.6%) gains
.
→
Year
-
over
-
year core inflation (excluding food and energy)
fell slightly over the quarter (3.3% to
3. 2
%
)
.
→
Inflation expectations (breakevens)
rose
over the quarter from the September lows of 2.0%
,
on continued
uncertainty regarding the likelihood and magnitude of potential policies of the next US president .
1 Source: FRED. Data is as
of
December
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
MEKETA.COM
Global Inflation (CPI Trailing Twelve Months)
1 →
In the eurozone, inflation rose
each month over the quarter (1.7% to 2.4%) but levels remain
below the US. The
increase was
largely
driven by
last year’s
significant fall in energy
prices no
longer being included in the calculation.
→
Inflation in Japan
rose
over the quarter
due in part to
an increase in food prices and the end of energy subsidies driving electricity and gas prices higher.
→
Inflation in China
grinded lower in the fourth quarter (0.4% to 0.1%).
China continues to
experience
deflationary
pressures despite recent stimulus measures.
1 Source: Bloomberg. Data is as
December
2024, except Japan which is as of
November
2024.
Economic and
Market Update
MEKETA.COM
US Unemployment
1 →
The unemployment rate stayed stable over the quarter at 4.1% with close to 500k jobs added to the economy since
the end of September.
→
In December
,
the
heath care (+
46 K)
,
retail (+43k),
and
government (+
33 K)
sectors
added jobs
,
while retail
–
which
lost jobs in November
–
rebounded
(+
43K
)
jobs
.
→
J
ob openings (
8. 1
M
)
rose over
last month’s openings (7.7M) but
are well below
pandemic highs
(>
12 M)
; the
number of openings
exceed
s
the number of unemployed workers looking for work (6.9M) .
→
Separations
(5.1
M
)
and hires
(5.3
M
)
remain steady
a
nd average hourly wages continue to grow at approximately
3.9 % a year.
1 Source: FRED and BLS. Data is as of
December 31
, 2024.
Economic and
Market Update
MEKETA.COM
Policy Rates
1 →
In the US, the Fed reduced interest rates by 0.25%
twice over the quarter
to a range of 4.
25 % to 4.
50 %
,
in move
s
largely expected by investors.
Going forward
,
questions remain about the timing and amount of additional cuts given the strength of the economy and persistent
above
-
target inflation.
→
The Bank of England
left rates unchanged
in December after their November 0.25% cut
, while the
European
Central
Bank cut
rates by another 0.25% in
early
December.
→
After exiting negative interest rates in 2024 and making several rate increases, rate cutting by other major central banks are complicating prospects for further policy rate hikes in Japan.
1 Source: Bloomberg. Data is as of
December
31 ,
2024. United States rate is the mid
-
point of the Federal Funds Target Rate range. 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 -
Ye
ar Medium Term Interest Rate. UK rate is the UK Bank of England Official Bank Rate.
Economic and
Market Update
MEKETA.COM
US Dollar vs. Broad Currencies
1 →
Over the quarter
,
the US dollar
sharply
strengthened (+8.0%)
versus
other currencies
.
→
A rise in interest rates driven by potential inflationary impacts of proposed higher tariffs, lower taxes, and immigration policies from
candidate, and now president
-
elect Trump, drove the dollar’s gains.
1 Source: Bloomberg. Data as of
December 31
, 2024.
Economic and
Market Update
MEKETA.COM
Summary
Key Trends:
→
According to the International Monetary Fund’s (IMF) October report, global growth in 2025 is expected to be similar to 2024 at around 3.2% with most major economies predicted to avoid a recession.
→
Q
uestions remain about what policies will be implemented by the new administration in the US. Although deregulation and tax cuts could support growth, these policies, along with higher tariffs and restrictive immigration, could fan inflation. This will like
ly lead to additional uncertainty 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 started to cut interest rates and others, like the Bank
of
Japan, have increased 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 suite of fiscal and financial policy stimulus measures. Thus far
,
these efforts have not increased weak consumer spending or helped the lingering trouble in the real estate sector. 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
December
3 1
, 2024
Summary of Cash Flows
QTD ($)
1 Year ($)
OPFRS Total Plan
Beginning Market Value
475,224,987
435,955,522
Net Cash Flow
-4,291,089
-14,514,580
Net Investment Change
-7,964,099
41,528,857
Ending Market Value
462,969,798
462,969,798
Return Summary Ending December 31, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
0.0 4.0
8.0 12.0
16.0 -4.0
-8.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
FYTD
1 Year
3 Years
5 Years
-1.5
3.9 10.9
3.2 6.5
-1.8
3.9 9.3
1.9 5.7
Oakland Police and Fire Retirement System
OPFRS Total Plan | As of December 31, 2024
Total Plan performance shown is net of fees.
Risk-Return Summary
QTD Ending December 31, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
-1.6
-0.8
0.0 0.8
T
o
t
a
l
R
e
t
u
r
n
0.8 1.2
1.6 2.0
2.4 2.8
3.2 3.6
Annualized Standard Deviation
Risk-Return Summary
1 Yr Ending December 31, 2024
IM Public DB $250M-$1B
OPFRS Total Plan
OPFRS Policy Benchmark
6.0 8.0
10.0 12.0
14.0 T
o
t
a
l
R
e
t
u
r
n
3.6 4.5
5.4 6.3
7.2 8.1
9.0 9.9
Annualized Standard Deviation
Return
Standard
Deviation
OPFRS Total Plan
-1.8
2.8 OPFRS Policy Benchmark
-1.5
2.3 Median
-1.0
2.4 Return
Standard
Deviation
OPFRS Total Plan
9.3 7.6
OPFRS Policy Benchmark
10.9 6.9
Median
10.4 6.9
Oakland Police and Fire Retirement System
Total Plan Risk/Return Summary | As of December 31, 2024 Performance shown is net of fees. Calculation is based on monthly periodicity. Plan Sponser Peer Group shown is net of fees.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Gross)
462,969,798
100.0
-1.7
4.1 9.6
2.2 6.0
7.1 6.8
Dec-88
OPFRS Policy Benchmark
-1.5
3.9 10.9
3.2 6.5
7.1 8.0
Excess Return
-0.2
0.2 -1.3
-1.0
-0.5
0.0 -1.2
Domestic Equity (Gross)
211,086,408
45.6 0.4
8.1 17.6
5.6 11.7
11.4 9.3
Jun-97
Russell 3000 (Blend)
2.6 9.0
23.8 8.0
13.9 12.5
9.8 Excess Return
-2.3
-0.9
-6.2
-2.4
-2.1
-1.1
-0.4
International Equity (Gross)
60,379,355
13.0 -6.6
1.2 8.1
3.1 5.6
6.6 5.6
Jan-98
MSCI ACWI ex US (Blend)
-7.6
-0.1
5.5 0.8
4.1 4.8
5.1 Excess Return
1.0 1.3
2.6 2.3
1.5 1.8
0.5 Fixed Income (Gross)
109,911,826
23.7 -3.1
2.0 1.8
-1.9
0.3 2.0
4.7 Jan-94
Bloomberg Universal (Blend)
-2.7
2.3 2.0
-2.0
0.1 1.7
4.5 Excess Return
-0.4
-0.3
-0.2
0.0 0.2
0.3 0.2
Credit (Gross)
7,433,085
1.6 0.9
4.0 8.5
4.3 6.1
--
5.9 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.2 5.5
8.2 2.9
4.2 --
5.1 Excess Return
0.8 -1.4
0.3 1.4
1.9 --
0.7 Covered Calls (Gross)
20,191,744
4.4 3.0
7.7 18.7
7.7 11.6
10.4 10.2
Apr-14
Cboe S&P 500 Buy Write Index
5.8 11.6
20.1 6.0
6.9 6.9
6.7 Excess Return
-2.7
-3.9
-1.4
1.7 4.8
3.5 3.4
Crisis Risk Offset (Gross)
37,541,773
8.1 -4.2
-5.1
-3.4
-5.8
-9.5
--
-6.8
Aug-18
Crisis Risk Offset Benchmark
-2.4
-1.8
2.0 3.1
0.1 --
0.3 Excess Return
-1.7
-3.3
-5.4
-8.9
-9.5
--
-7.1
Cash (Gross)
16,425,606
3.5 0.2
0.5 0.8
0.3 0.4
0.8 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Gross of Fees | As of December 31, 2024 Performance shown is gross of fees. Since Inception Date and Performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
OPFRS Total Plan (Net)
462,969,798
100.0
-1.8
3.9 9.3
1.9 5.7
6.8 6.7
Dec-88
OPFRS Policy Benchmark
-1.5
3.9 10.9
3.2 6.5
7.1 8.0
Excess Return
-0.3
0.1 -1.6
-1.3
-0.8
-0.3
-1.3
IM Public DB $250M-$1B Median (Net)
-1.0
4.3 10.4
2.6 6.9
7.0 8.1
Peer Group Rank
91 66
70 76
86 58
100
Domestic Equity (Net)
211,086,408
45.6 0.3
7.9 17.2
5.3 11.4
11.1 9.2
Jun-97
Russell 3000 (Blend)
2.6 9.0
23.8 8.0
13.9 12.5
9.8 Excess Return
-2.3
-1.1
-6.6
-2.7
-2.5
-1.4
-0.5
International Equity (Net)
60,379,355
13.0 -6.7
0.8 7.5
2.5 5.0
6.1 5.4
Jan-98
MSCI ACWI ex US (Blend)
-7.6
-0.1
5.5 0.8
4.1 4.8
5.1 Excess Return
0.9 1.0
1.9 1.7
0.9 1.3
0.3 Fixed Income (Net)
109,911,826
23.7 -3.2
1.9 1.6
-2.1
0.1 1.8
4.4 Jan-94
Bloomberg Universal (Blend)
-2.7
2.3 2.0
-2.0
0.1 1.7
4.5 Excess Return
-0.4
-0.4
-0.4
-0.2
0.0 0.1
-0.1
Credit (Net)
7,433,085
1.6 0.8
3.7 7.9
3.7 5.4
--
5.2 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.2 5.5
8.2 2.9
4.2 --
5.1 Excess Return
0.6 -1.7
-0.3
0.8 1.2
--
0.1 Covered Calls (Net)
20,191,744
4.4 3.0
7.6 18.4
7.5 11.4
10.2 9.9
Apr-14
Cboe S&P 500 Buy Write Index
5.8 11.6
20.1 6.0
6.9 6.9
6.7 Excess Return
-2.8
-4.0
-1.7
1.5 4.5
3.2 3.1
Crisis Risk Offset (Net)
37,541,773
8.1 -4.2
-5.2
-3.6
-6.0
-9.6
--
-7.0
Aug-18
Crisis Risk Offset Benchmark
-2.4
-1.8
2.0 3.1
0.1 --
0.3 Excess Return
-1.8
-3.4
-5.6
-9.1
-9.7
--
-7.4
Cash (Net)
16,425,606
3.5 0.2
0.5 0.8
0.3 0.4
0.8 0.6
Mar-11
Oakland Police and Fire Retirement System
Asset Class Performance: Net of Fees | As of December 31, 2024 Performance shown is net of fees, except for Total Plan, Domestic Equity, and International Equity composites which have a mix of gross and net of fees performance. Please see the Addendum for more details. Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Trailing Period Performance
Ending December 31, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 5.0
10.0 15.0
-5.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
FYTD
1 Yr
3 Yrs
5 Yrs
-1.0
4.3 10.4
2.6 6.9
-1.5
3.9 10.9
3.2 6.5
-1.8
3.9 9.3
1.9 5.7
Calendar Year Performance
Ending December 31, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
IM Public DB $250M-$1B Median
0.0 15.0
30.0 -15.0
-30.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2024
2023
2022
2021
2020
10.4 12.5
-13.2
14.1 12.7
10.9 15.1
-14.0
12.2 11.1
9.3 13.5
-14.7
13.8 9.4
Oakland Police and Fire Retirement System
Portfolio Relative Performance Results | As of December 31, 2024 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and thereafter. Fiscal year begins on July 1.
Balance
($)
Current
Allocation (%)
Policy
(%)
Difference
(%)
Interim
Policy (%)
Policy Range
(%)
Within IPS
Range?
Domestic Equity
211,086,408
45.6 25.0
20.6 34.0
15.0 - 35.0
No
International Equity
60,379,355
13.0 5.0
8.0 12.0
2.0 - 22.0
Yes
Fixed Income
109,911,826
23.7 51.0
-27.3
44.0 31.0 - 71.0
No
Credit
7,433,085
1.6 10.0
-8.4
0.0 0.0 - 16.0
Yes
Covered Calls
20,191,744
4.4 0.0
4.4 0.0
0.0 - 5.0
Yes
Crisis Risk Offset
37,541,773
8.1 9.0
-0.9
10.0 4.0 - 14.0
Yes
Cash
16,425,606
3.5 0.0
3.5 0.0
0.0 - 5.0
Yes
Total
462,969,798
100.0
100.0
0.0 100.0
December 31, 2024: $462,969,797.9
Cash
3.5%
Covered Calls
4.4%
Credit
1.6%
Crisis Risk Offset
8.1%
Fixed Income
23.7%
Domestic Equity
45.6%
December 31, 2023: $406,308,110.42
Cash
3.6%
Covered Calls
5.5%
Credit
2.2%
Crisis Risk Offset
9.1%
Fixed Income
24.8%
Domestic Equity
42.0%
Oakland Police and Fire Retirement System
Asset Allocation | As of As of December 31, 2024
Cash account market value includes cash balances held in ETF accounts at the custodian and residuals from terminated managers.
Policy (%) column reflects the long-term allocation targets starting July 1, 2024.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Domestic Equity
211,086,408
100.0
0.3 7.9
17.2 5.3
11.4 11.1
9.2 Jun-97
Russell 3000 (Blend)
2.6 9.0
23.8 8.0
13.9 12.5
9.8 Excess Return
-2.3
-1.1
-6.6
-2.7
-2.5
-1.4
-0.5
Northern Trust Russell 1000
109,837,244
52.0 2.7
9.0 24.4
8.3 14.2
12.8 14.2
Jun-10
Russell 1000 Index
2.7 9.0
24.5 8.4
14.3 12.9
14.3 Excess Return
0.0 0.0
-0.1
-0.1
-0.1
-0.1
-0.1
EARNEST Partners
41,511,365
19.7 -3.2
4.8 7.1
1.7 9.5
10.9 9.3
Apr-06
Russell Midcap Index
0.6 9.9
15.3 3.8
9.9 9.6
9.1 Excess Return
-3.8
-5.1
-8.2
-2.1
-0.4
1.3 0.2
eV US Mid Cap Core Equity Rank
88 94
86 74
63 22
47 Wellington Select Quality Equity
26,998,936
12.8 -4.1
5.6 10.4
--
--
--
8.0 May-22
Russell 1000 Index
2.7 9.0
24.5 --
--
--
15.7 Excess Return
-6.9
-3.4
-14.1
--
--
--
-7.7
eV US Large Cap Core Equity Rank
99 75
96 --
--
--
95 Brown Fundamental Small Cap Value
14,767,286
7.0 -1.4
9.0 12.7
6.9 --
--
8.2 Apr-21
Russell 2000 Value Index
-1.1
9.0 8.1
1.9 --
--
3.1 Excess Return
-0.3
0.0 4.7
5.0 --
--
5.1 eV US Small Cap Value Equity Rank
73 40
30 19
--
--
19 Rice Hall James
17,971,578
8.5 2.5
12.2 16.1
0.0 7.3
--
7.9 Aug-17
Russell 2000 Growth Index
1.7 10.3
15.2 0.2
6.9 --
8.2 Excess Return
0.8 1.9
0.9 -0.2
0.4 --
-0.3
eV US Small Cap Growth Equity Rank
31 20
37 36
69 --
87 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees, except for the Domestic Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
International Equity
60,379,355
100.0
-6.7
0.8 7.5
2.5 5.0
6.1 5.4
Jan-98
MSCI ACWI ex US (Blend)
-7.6
-0.1
5.5 0.8
4.1 4.8
5.1 Excess Return
0.9 1.0
1.9 1.7
0.9 1.3
0.3 Vanguard Developed Markets ETF
16,013,244
26.5 -8.1
-1.5
3.2 1.0
4.8 --
6.7 Sep-19
FTSE Developed All Cap ex-U.S. Index
-7.9
-0.8
3.7 1.3
5.1 --
7.0 Excess Return
-0.2
-0.7
-0.5
-0.3
-0.3
--
-0.3
SGA ACWI ex-U.S. Equity
44,366,111
73.5 -6.2
1.7 9.1
3.3 5.3
--
5.3 Dec-19
MSCI AC World ex USA (Net)
-7.6
-0.1
5.5 0.8
4.1 --
4.9 Excess Return
1.4 1.9
3.6 2.4
1.2 --
0.4 eV ACWI ex-US All Cap Core Eq Rank
34 18
22 19
36 --
52 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees, except for the International Equity composite which has a mix of gross and net of fees performance. Please see the Addendum for more details.
Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Fixed Income
109,911,826
100.0
-3.2
1.9 1.6
-2.1
0.1 1.8
4.4 Jan-94
Bloomberg Universal (Blend)
-2.7
2.3 2.0
-2.0
0.1 1.7
4.5 Excess Return
-0.4
-0.4
-0.4
-0.2
0.0 0.1
-0.1
Ramirez
74,416,688
67.7 -3.3
1.8 1.4
-2.3
-0.2
--
1.6 Jan-17
Blmbg. U.S. Aggregate Index
-3.1
2.0 1.3
-2.4
-0.3
--
1.3 Excess Return
-0.2
-0.2
0.1 0.1
0.2 --
0.4 eV US Core Fixed Inc Rank
90 79
76 68
76 --
41 Wellington Core Bond
7,160,521
6.5 -3.0
2.2 2.4
-2.1
--
--
-1.2
Apr-21
Blmbg. U.S. Aggregate Index
-3.1
2.0 1.3
-2.4
--
--
-1.4
Excess Return
0.1 0.2
1.1 0.3
--
--
0.2 eV US Core Fixed Inc Rank
52 27
19 44
--
--
53 Reams
28,334,617
25.8 -3.0
2.1 1.9
-1.6
2.4 2.9
4.8 Feb-98
Bloomberg Universal (Blend)
-2.7
2.3 2.0
-2.0
0.1 1.7
4.1 Excess Return
-0.3
-0.2
-0.1
0.4 2.3
1.1 0.7
eV US Core Plus Fixed Inc Rank
70 66
75 37
4 13
31 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Credit
7,433,085
100.0
0.8 3.7
7.9 3.7
5.4 --
5.2 Feb-15
Blmbg. U.S. Corp: High Yield Index
0.2 5.5
8.2 2.9
4.2 --
5.1 Excess Return
0.6 -1.7
-0.3
0.8 1.2
--
0.1 Polen Capital
7,433,085
100.0
0.8 3.7
7.9 3.7
5.4 --
5.2 Feb-15
ICE BofA U.S. High Yield Index
0.2 5.4
8.2 2.9
4.0 --
5.1 Excess Return
0.6 -1.7
-0.3
0.8 1.4
--
0.2 eV US High Yield Fixed Inc Rank
19 86
44 26
13 --
21 Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Covered Calls
20,191,744
100.0
3.0 7.6
18.4 7.5
11.4 10.2
9.9 Apr-14
Cboe S&P 500 Buy Write Index
5.8 11.6
20.1 6.0
6.9 6.9
6.7 Excess Return
-2.8
-4.0
-1.7
1.5 4.5
3.2 3.1
Parametric BXM
9,642,261
47.8 3.4
7.6 16.9
6.9 9.0
8.3 8.0
Apr-14
Cboe S&P 500 Buy Write Index
5.8 11.6
20.1 6.0
6.9 6.9
6.7 Excess Return
-2.4
-4.1
-3.3
0.9 2.1
1.3 1.2
Parametric DeltaShift
10,549,483
52.2 2.6
7.7 19.9
8.1 13.6
11.7 11.9
Apr-14
Cboe S&P 500 Buy Write Index
5.8 11.6
20.1 6.0
6.9 6.9
6.7 Excess Return
-3.2
-3.9
-0.2
2.1 6.7
4.7 5.1
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Market Value
($)
% of
Portfolio
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Since
Inception
Inception
Date
Crisis Risk Offset
37,541,773
100.0
-4.2
-5.2
-3.6
-6.0
-9.6
--
-7.0
Aug-18
Crisis Risk Offset Benchmark
-2.4
-1.8
2.0 3.1
0.1 --
0.3 Over/Under
-1.8
-3.4
-5.6
-9.1
-9.7
--
-7.4
Kepos Alternative Risk Premia
12,522,581
33.4 2.0
3.3 15.0
--
--
--
8.0 Feb-22
SG Multi Alternative Risk Premia Index
1.0 1.3
9.4 --
--
--
6.8 Over/Under
1.0 2.0
5.6 --
--
--
1.3 Versor Trend Following
12,707,305
33.8 -5.4
-15.3
-14.7
--
--
--
-5.9
Apr-22
SG Trend Index
0.3 -5.6
2.6 --
--
--
2.3 Over/Under
-5.7
-9.7
-17.3
--
--
--
-8.2
Vanguard Long-Term Treasury ETF
12,311,888
32.8 -8.8
-1.7
-6.3
-11.9
-5.2
--
-4.2
Jul-19
Blmbg. US Govt: Long Term Bond Index
-8.6
-1.5
-6.4
-11.9
-5.2
--
-4.1
Over/Under
-0.2
-0.2
0.1 0.0
-0.1
--
-0.1
Oakland Police and Fire Retirement System
Manager Performance - Net of Fees | As of December 31, 2024 Performance shown is net of fees.Since inception date and performance begin in the month following an investments initial funding. Fiscal year begins on July 1. Please see Benchmark History section for custom benchmark compositions.
Cash Flow Summary
Quarter To Date
Beginning
Market Value($)
Net Cash Flow($)
Net Investment
Change($)
Ending
Market Value($)
Northern Trust Russell 1000
106,908,322
-
2,928,922
109,837,244
EARNEST Partners
42,722,324
72,901
-1,283,860
41,511,365
Wellington Select Quality Equity
28,167,816
-
-1,168,880
26,998,936
Brown Fundamental Small Cap Value
14,693,257
249,201
-175,172
14,767,286
Rice Hall James
17,481,481
-
490,096
17,971,578
Vanguard Developed Markets ETF
17,684,221
-238,625
-1,432,352
16,013,244
SGA ACWI ex-U.S. Equity
47,191,363
-
-2,825,252
44,366,111
Ramirez
76,882,860
-
-2,466,172
74,416,688
Wellington Core Bond
7,381,307
-
-220,787
7,160,521
Reams
29,200,698
-
-866,081
28,334,617
Polen Capital
10,380,969
-3,000,000
52,116
7,433,085
Parametric BXM
10,071,437
-750,000
320,824
9,642,261
Parametric DeltaShift
11,023,268
-750,000
276,215
10,549,483
Kepos Alternative Risk Premia
12,271,394
-
251,186
12,522,581
Versor Trend Following
13,429,347
-
-722,043
12,707,305
Vanguard Long-Term Treasury ETF
13,688,773
-185,713
-1,191,172
12,311,888
Cash - Money Market
6,160,148
417,291
37,167
6,614,606
Cash - Treasury
9,886,000
-75,000
-
9,811,000
Securities Lending Northern Trust
-
-31,144
31,144
-
OPFRS Total Plan
475,224,987
-4,291,089
-7,964,099
462,969,798
Oakland Police and Fire Retirement System
Financial Reconciliation | December 31, 2024
Growth of a Dollar
5 Years ending December 31, 2024
OPFRS Total Plan
OPFRS Policy Benchmark
Actuarial Rate
$0.72
$0.80
$0.88
$0.96
$1.04
$1.12
$1.20
$1.28
$1.36
$1.44
2019
2020
2020
2021
2021
2022
2022
2023
2023
2024
2024
Actuarial Rate: $1.32
OPFRS Policy Benchmark: $1.37
OPFRS Total Plan: $1.32
Oakland Police and Fire Retirement System
Total Portfolio 5-Year Performance | As of December 31, 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
-1.0
2.0 5.0
8.0 11.0
14.0 R
e
t
u
r
n
QTD
(%)
FYTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
OPFRS Total Plan
-1.8
(91)
3.9 (66)
9.3 (70)
1.9 (76)
5.7 (86)
6.8 (58)
¢
£
OPFRS Policy Benchmark
-1.5
(75)
3.9 (70)
10.9 (41)
3.2 (28)
6.5 (67)
7.1 (42)
5th Percentile
0.4 5.5
12.8 4.1
8.2 8.0
1st Quartile
-0.4
4.8 11.3
3.3 7.4
7.4 Median
-1.0
4.3 10.4
2.6 6.9
7.0 3rd Quartile
-1.5
3.7 8.6
1.9 6.0
6.4 95th Percentile
-2.0
2.5 6.8
0.5 5.1
5.7 Population
111
110
108
106
105
93 Oakland Police and Fire Retirement System
Plan Sponsor Peer Group Analysis | As of December 31, 2024 Total Plan performance is a mix of gross and net of fees; performance is gross of fees prior to January 2016 and net of fees thereafter. Parentheses contain percentile rankings. Calculation based on monthly periodicity. Fiscal year begins on July 1.
Portfolio Characteristics & Manager Profiles
Oakland Police and Fire Retirement System
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Northern Trust Russell 1000
0.00 1.00
-0.60
0.15 0.01
1.00 99.77
99.96 Russell 1000 Index
0.00 1.00
-
0.15 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
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
2.7 24.5
8.4 14.3
13.6 12.9
2.7 24.4
8.3 14.2
13.5 12.8
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
12/24
$7.0
$6.9
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
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
2.73 3.94
Russell 1000 Index
2.75 3.95
Oakland Police and Fire Retirement System
Northern Trust Russell 1000 | As of December 31, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
EARNEST Partners
-1.27
0.80 -1.03
-0.25
1.32 1.00
66.29 114.38
Russell Midcap Index
0.00 1.00
-
0.00 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
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
0.6 15.3
3.8 9.9
9.6 9.6
-3.2
7.1 1.7
9.5 9.9
10.9 Growth of $1 - Since Inception
EARNEST Partners
Russell Midcap Index
-2.0
0.0 2.0
4.0 6.0
8.0 3/06
3/08
3/10
3/12
3/14
3/16
3/18
3/20
3/22
12/24
$5.2
$5.3
Calendar Year Returns
EARNEST Partners
Russell Midcap Index
0.0 25.0
50.0 75.0
-25.0
-50.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2023
2022
2021
2020
2019
2018
17.2 -17.3
22.6 17.1
30.5 -9.1
16.8 -15.9
24.8 20.2
37.3 -10.4
Risk/Return - Since Inception
eV US Mid Cap Core Equity
EARNEST Partners
Russell Midcap Index
6.0 8.0
10.0 12.0
14.0 R
e
t
u
r
n
15.2 16.0
16.8 17.6
18.4 19.2
20.0 20.8
Standard Deviation
QTD Return
QTD Risk
EARNEST Partners
-3.19
5.20 Russell Midcap Index
0.62 6.51
Oakland Police and Fire Retirement System
EARNEST Partners | As of December 31, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Wellington Select Quality Equity
-2.29
0.98 -3.81
-0.44
0.61 0.98
65.66 235.30
Russell 1000 Index
0.00 1.00
-
0.15 0.00
1.00 100.00
100.00
Trailing Performance
Wellington Select Quality Equity
Russell 1000 Index
0.0 15.0
30.0 45.0
-15.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q4-2024
1 Year
3 Years
5 Years
10 Years
2.7 24.5
8.4 14.3
12.9 -4.1
10.4 Growth of $1 - Since Inception
Wellington Select Quality Equity
Russell 1000 Index
0.6 0.9
1.2 1.5
1.8 4/22
10/22
4/23
10/23
4/24
12/24
$1.5
$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
-4.15
3.93 Russell 1000 Index
2.75 3.95
Oakland Police and Fire Retirement System
Wellington Select Quality Equity | As of December 31, 2024 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Brown Fundamental Small Cap Value
-0.05
1.10 -0.04
-0.06
1.36 0.98
115.78
117.01
Russell 2000 Value Index
0.00 1.00
-
-0.06
0.00 1.00
100.00
100.00
Trailing Performance
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 6.0
12.0 18.0
-6.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-1.1
8.1 1.9
7.3 6.1
7.1 -1.4
12.7 6.9
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
12/24
$1.1
$1.3
Calendar Year Returns
Brown Fundamental Small Cap Value
Russell 2000 Value Index
0.0 20.0
40.0 -20.0
-40.0
R
a
t
e
o
f
R
e
t
u
r
n
%
2023
2022
2021
2020
2019
2018
14.6 -14.5
28.3 4.6
22.4 -12.9
17.5 -7.7
Risk/Return - Since Inception
eV US Small Cap Value Equity
Brown Fundamental Small Cap Value
Russell 2000 Value Index
-8.0
0.0 8.0
16.0 24.0
32.0 R
e
t
u
r
n
12.0 15.0
18.0 21.0
24.0 27.0
30.0 33.0
Standard Deviation
QTD Return
QTD Risk
Brown Fundamental Small Cap Value
-1.40
8.23 Russell 2000 Value Index
-1.06
7.41 Oakland Police and Fire Retirement System
Brown Fundamental Small Cap Value | As of December 31, 2024 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Rice Hall James
0.42 0.60
0.02 0.11
3.41 0.99
65.91 54.30
Russell 2000 Growth Index
0.00 1.00
-
0.06 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
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
1.7 15.2
0.2 6.9
7.2 8.1
2.5 16.1
0.0 7.3
6.5 Growth of $1 - Since Inception
Rice Hall James
Russell 2000 Growth Index
0.4 0.8
1.2 1.6
2.0 2.4
7/17
4/18
1/19
10/19
7/20
4/21
1/22
10/22
7/23
12/24
$1.8
$1.8
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
2.55 5.16
Russell 2000 Growth Index
1.70 8.50
Oakland Police and Fire Retirement System
Rice Hall James | As of December 31, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
Vanguard Developed Markets ETF
0.07 1.06
-0.17
-1.35
0.47 0.96
1,279.49
107.58
FTSE Developed All Cap ex-U.S. Index
0.00 1.00
-
-1.42
0.00 1.00
100.00
100.00
Trailing Performance
Vanguard Developed Markets ETF
FTSE Developed All Cap ex-U.S. Index
0.0 6.0
12.0 -6.0
-12.0
-18.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-7.9
3.7 1.3
5.1 4.3
5.7 -8.1
3.2 1.0
4.8 4.0
5.5 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
5/20
2/21
11/21
8/22
5/23
2/24
12/24
$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 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
-8.09
2.32 FTSE Developed All Cap ex-U.S. Index
-7.85
2.16 Oakland Police and Fire Retirement System
Vanguard Developed Markets ETF | As of December 31, 2024 Performance shown is net of fees. Risk is measured as Standard Deviation.
Alpha
Beta
Information
Ratio
Sharpe
Ratio
Tracking
Error
R-Squared
Up
Capture
Down
Capture
SGA ACWI ex-U.S. Equity
-0.31
0.69 0.85
-2.09
0.57 0.97
-
81.26 MSCI AC World ex USA (Net)
0.00 1.00
-
-1.76
0.00 1.00
-
100.00
Trailing Performance
SGA ACWI ex-U.S. Equity
MSCI AC World ex USA (Net)
0.0 8.0
16.0 -8.0
-16.0
R
a
t
e
o
f
R
e
t
u
r
n
%
Q4-2024
1 Year
3 Years
5 Years
7 Years
10 Years
-7.6
5.5 0.8
4.1 3.5
4.8 -6.2
9.1 3.3
5.3 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
8/20
5/21
2/22
11/22
8/23
5/24
12/24
$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)
-5.0
0.0 5.0
10.0 15.0
R
e
t
u
r
n
12.0 14.0
16.0 18.0
20.0 22.0
24.0 Standard Deviation
QTD Return
QTD Risk
SGA ACWI ex-U.S. Equity
-6.19
1.19 MSCI AC World ex USA (Net)
-7.60
1.70 Oakland Police and Fire Retirement System
SGA ACWI ex-U.S. Equity | As of December 31, 2024
Performance shown is net of fees. Risk is measured as Standard Deviation.
Account Information
Account Name
Ramirez
Account Structure
Separate Account
Inception Date
01/30/2017
Asset Class
US Fixed Income
Benchmark
Blmbg. U.S. Aggregate Index
Peer Group
eV US Core Fixed Inc
Credit Quality Allocation
Ramirez
Blmbg. U.S. Aggregate Index
0.0 25.0
50.0 75.0
100.0
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
2.9 73.4
10.4 13.1
0.0 0.2
0.0 0.0
9.5 63.3
10.5 12.6
2.5 0.1
0.0 1.5
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Ramirez
-3.3
1.4 -2.3
-0.2
Blmbg. U.S. Aggregate Index
-3.1
1.3 -2.4
-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
F
o
r
e
i
g
n
M
u
n
i
C
a
s
h
45.0 24.4
26.6 0.5
3.0 0.5
0.0 26.8
22.2 29.0
2.3 0.0
18.2 1.5
Portfolio Fixed Income Characteristics
Q4-24
Portfolio
Q3-24
Portfolio
Yield To Maturity
5.2 5.5
Average Duration
6.3 6.3
Average Quality
AA
AA
Weighted Average Maturity
9.3 9.0
Oakland Police and Fire Retirement System
Ramirez | As of December 31, 2024
Performance shown is net of fees.
Account Information
Account Name
Wellington Core Bond
Account Structure
Commingled Fund
Inception Date
04/01/2021
Asset Class
US Fixed Income
Benchmark
Blmbg. U.S. Aggregate Index
Peer Group
eV US Core Fixed Inc
Credit Quality Allocation
Wellington Core Bond
Blmbg. U.S. Aggregate Index
0.0 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
2.9 73.4
10.4 13.1
0.2 0.0
0.0 0.0
75.4 5.3
9.5 11.9
0.0 0.1
1.6 -3.9
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Wellington Core Bond
-3.0
2.4 -2.1
-
Blmbg. U.S. Aggregate Index
-3.1
1.3 -2.4
-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
F
o
r
e
i
g
n
M
u
n
i
R
e
p
u
r
c
h
a
s
e
A
g
r
e
e
m
e
n
t
s
C
a
s
h
45.0 24.4
26.6 0.5
3.0 0.5
0.0 0.0
29.6 0.0
43.3 9.0
0.0 0.0
21.9 -3.9
Portfolio Fixed Income Characteristics
Q4-24
Portfolio
Q3-24
Portfolio
Yield To Maturity
5.3 5.1
Average Duration
6.0 6.4
Average Quality
AA
AA
Weighted Average Maturity
-
-
Oakland Police and Fire Retirement System
Wellington Core Bond | As of December 31, 2024
Performance shown is net of fees.
Account Information
Account Name
Reams
Account Structure
Separate Account
Inception Date
01/01/1998
Asset Class
US Fixed Income
Benchmark
Bloomberg Universal (Blend)
Peer Group
eV US Core Plus Fixed Inc
Credit Quality Allocation
Reams
Blmbg. U.S. Universal Index
0.0 20.0
40.0 60.0
80.0 A
A
A
/
A
a
a
A
A
/
A
a
A
B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2 B
B
/
B
a
B
C
C
C
/
C
a
a
C
C
/
C
a
C
D
C
a
s
h
3.1 64.2
11.8 14.5
3.4 2.1
0.8 0.0
0.0 0.0
0.0 16.6
58.8 14.7
9.4 0.0
0.0 0.0
0.0 0.0
0.0 0.5
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Reams
-3.0
1.9 -1.6
2.4 Blmbg. U.S. Universal Index
-2.7
2.0 -2.0
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
F
o
r
e
i
g
n
M
u
n
i
C
a
s
h
38.5 31.9
22.8 0.4
6.0 0.4
0.0 22.1
25.5 48.3
3.6 0.0
0.0 0.5
Portfolio Fixed Income Characteristics
Q4-24
Portfolio
Q3-24
Portfolio
Yield To Maturity
5.4 4.6
Average Duration
6.6 6.1
Average Quality
AA
AA
Weighted Average Maturity
9.5 8.7
Oakland Police and Fire Retirement System
Reams | As of December 31, 2024
Performance shown is net of fees.
Account Information
Account Name
Polen Capital
Account Structure
Commingled Fund
Inception Date
02/01/2015
Asset Class
US Fixed Income
Benchmark
ICE BofA U.S. High Yield Index
Peer Group
eV US High Yield Fixed Inc
Credit Quality Allocation
Polen Capital
ICE BofA U.S. High Yield Index
0.0 15.0
30.0 45.0
60.0 B
B
B
+
/
B
a
a
1 /
B
B
B
/
B
a
a
2 B
B
/
B
a
B
C
C
C
/
C
a
a
C
C
/
C
a
C
D
N
o
t
R
a
t
e
d
C
a
s
h
1.7 52.8
34.9 9.7
0.5 0.5
0.1 0.0
0.0 0.0
4.8 38.5
49.6 0.0
0.0 0.0
4.1 2.9
Portfolio Performance Summary
QTD
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
Polen Capital
0.8 7.9
3.7 5.4
ICE BofA U.S. High Yield Index
0.2 8.2
2.9 4.0
Sector Allocation
Polen Capital
ICE BofA U.S. High Yield Index
0.0 50.0
100.0
150.0
C
o
r
p
o
r
a
t
e
100.0
100.0
Portfolio Fixed Income Characteristics
Q4-24
Portfolio
Q3-24
Portfolio
Yield To Maturity
9.6 9.0
Average Duration
2.2 2.0
Average Quality
B
B
Weighted Average Maturity
4.7 4.8
Oakland Police and Fire Retirement System
Polen Capital | As of December 31, 2024
Performance shown is net of fees.
Return
Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Covered Calls
9.9 11.2
2.9 1.0
0.7 4.1
121.3
105.1
04/01/2014
Cboe S&P 500 Buy Write Index
6.7 10.1
0.0 1.0
-
0.0 100.0
100.0
Parametric BXM
8.0 9.1
2.1 0.9
0.3 3.3
98.1 85.3
04/01/2014
Cboe S&P 500 Buy Write Index
6.7 10.1
0.0 1.0
-
0.0 100.0
100.0
Parametric DeltaShift
11.9 13.4
3.8 1.2
0.8 6.2
143.7
122.1
04/01/2014
Cboe S&P 500 Buy Write Index
6.7 10.1
0.0 1.0
-
0.0 100.0
100.0
Trailing Period Performance
Covered Calls
Cboe S&P 500 Buy Write Index
0.0 6.0
12.0 18.0
24.0 R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
1 Year
3 Years
5 Years
5.8 20.1
6.0 6.9
3.0 18.4
7.5 11.4
Growth of a Dollar
Covered Calls
Cboe S&P 500 Buy Write Index
$0.60
$0.90
$1.20
$1.50
$1.80
2019
2020
2021
2022
2022
2023
2024
$1.39
$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 December 31, 2024
Performance shown is net of fees.
Return
Standard
Deviation
Alpha
Beta
Information
Ratio
Tracking
Error
Up
Capture
Down
Capture
Inception
Date
Crisis Risk Offset
-7.0
10.4 -6.9
0.8 -0.8
9.5 32.7
128.8
08/01/2018
Crisis Risk Offset Benchmark
0.3 5.4
0.0 1.0
-
0.0 100.0
100.0
Kepos Alternative Risk Premia
8.0 6.2
2.1 0.9
0.3 4.6
102.6
74.3 02/01/2022
SG Multi Alternative Risk Premia Index
6.8 4.8
0.0 1.0
-
0.0 100.0
100.0
Versor Trend Following
-5.9
14.3 -7.8
1.0 -1.2
6.6 73.5
118.8
04/01/2022
SG Trend Index
2.3 12.3
0.0 1.0
-
0.0 100.0
100.0
Vanguard Long-Term Treasury ETF
-4.2
14.9 0.0
1.0 -0.1
1.0 101.0
101.1
07/01/2019
Blmbg. U.S. Government: Long Term Bond Index
-4.1
14.8 0.0
1.0 -
0.0 100.0
100.0
Correlation Matrix
3 Months Ending December 31, 2024
Crisis Risk Offset
MSCI AC World Index Value
S&P 500 Index
Blmbg. Global Aggregate Index
Crisis Risk Offset
1.00 MSCI AC World Index Value
0.55 1.00
S&P 500 Index
0.68 0.99
1.00 Blmbg. Global Aggregate Index
0.95 0.79
0.88 1.00
Trailing Period Performance
Crisis Risk Offset
Crisis Risk Offset Benchmark
0.0 4.0
-4.0
-8.0
-12.0
R
a
t
e
o
f
R
e
t
u
r
n
%
QTD
1 Year
3 Years
5 Years
-2.4
2.0 3.1
0.1 -4.2
-3.6
-6.0
-9.6
Oakland Police and Fire Retirement System
Crisis Risk Offset | As of December 31, 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 December 31, 2024
Benchmark History
From Date
To Date
Benchmark
Domestic Equity
01/01/2005
Present
100.0% Russell 3000 Index
04/01/1998
01/01/2005
57.1% Russell 1000 Value Index, 28.6% Russell 1000 Index, 14.3% Russell Midcap Index 09/01/1988
04/01/1998
100.0% S&P 500 Index
International Equity
01/01/2005
Present
100.0% MSCI AC World ex USA (Net)
01/01/1998
01/01/2005
100.0% MSCI EAFE Index
Fixed Income
04/01/2006
Present
100.0% Blmbg. U.S. Universal Index
01/01/1976
04/01/2006
100.0% Blmbg. U.S. Aggregate Index
Covered Calls
04/01/2014
Present
Cboe S&P 500 Buy Write Index
Crisis Risk Offset
01/01/2023
Present
33.3% SG Trend Index, 33.3% SG Multi Alternative Risk Premia Index, 33.3% Blmbg. U.S. Government: Long Term Bond Index 08/01/2018
01/01/2023
100.0% SG Multi Alternative Risk Premia Index
Cash
03/01/2011
Present
FTSE 3 Month T-Bill
Oakland Police and Fire Retirement System
Benchmark History | As of December 31, 2024
Manager Monitoring
Oakland Police and Fire Retirement System
Manager Monitoring
| As of
December
3 1
,
202
4 MEKETA.COM
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
As of December 31, 2024, all public equity and fixed income managers pass the monitoring criteria.
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
1 5
-
17. 5
N/A
Benchmark: SG Trend In
d
ex
--
--
--
-
2. 1
--
Appendix
Oakland Police and Fire Retirement System
MEKETA.COM
Additional Information
Additional Information
Performance
Return
Types
:
Performance
shown
is
net
of
fees,
except
for
OPFRS
T otal
Plan,
Domestic
Equity,
and
International
Equity
Composites,
which
have
a
mix
of
gross
and
net
of
fees
performance
.
Performance
shown
for
OPFRS
T otal
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
MEKETA.COM
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
MEKETA.COM
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% fo r each 1% increase in the
bond’s yield. Price changes for two different bonds can be 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 th e 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 ra tio, 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 holding s;
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 decline; hence, investors’ monies will be returned to them in a lower interest rate environment. Also, the risk that prepaym ents wi
ll slow down when
mortgage interest rates rise; hence, investors will not have as much money as previously anticipated in a higher interest rat e environment. A
prepayment is any payment in excess of the scheduled mortgage 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 divided by Compustat's quarterly common equity. Common equity includes common stock, capital surplus, r etained 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
MEKETA.COM
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 low 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 business 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 a nd
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 na rrow
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
MEKETA.COM
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 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, are 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.