Investments

The San Francisco Employees’ Retirement System’s investment objective is to maximize long-term rates of return on investments within prudent guidelines.

The Investment Division serves as a resource to the Retirement Board in the development of investment policies and practices. In accordance with the annual investment plan, the investment team brings before the Board, new investment opportunities with the objectives of enhancing the structure and diversity of the investment portfolio and sustaining long-term performance.

Additionally, the Investment Division’s professional staff analyzes, develops, and recommends asset allocation mixes, manages investment portfolios, and monitors the activities and performance of external investment managers.

Investment Profile for the Fiscal Year ended 6/30/2015:
For the Fiscal Year ended June 30, 2015, the investment portfolio of the Retirement System rose by 3.96% as SFERS’ private market investments posted strong double-digit results.  Private Equity was in the forefront – advancing 17.77% while Real Assets climbed 10.70%.  SFERS’ public market assets, although more subdued, were also in the black for the fiscal year.  Global Equities rose 1.40% and Fixed Income was up 1.01%.

Asset Allocation Policy
as of February 2015

Asset Class

Policy Target

Actual 6/30/2015

Global Equity 40.0% 52.4%
Global Fixed Income 20.0% 24.3%
Private Equity 18.0% 11.7%
Real Assets 17.0% 10.6%
Absolute Return/Hedge Funds 5.0% 0.0%
Cash 0.0% 1.0%

 

 

 

 

 

 

 

 

 

Annualized Returns for the Periods ending 6/30/2015
(Net of fees and expenses)

 

Qtr

FYTD

1-Year

3-Years

5-Years

10-Years 

Global Equity
Benchmark: Global Equity Policy1
0.81%
 0.54%
1.40%
0.81%
1.40%
 0.81%
14.32%
13.35%
13.05%
12.55%
6.52%
6.84%
Global Fixed Income
Benchmark: Global Fixed Income Policy2
-0.70%
 -1.40%
1.01%
1.61%
1.01%
1.61%
4.76%
 2.33%
6.21%
3.81%
5.21%
4.64%
Private Equity
Benchmark: Private Equity Policy3
4.80%
 1.51%
17.77%
12.76%
17.77%
 12.76%
16.94%
23.10%
15.72%
23.13%
15.21%
 13.26
% 
Real Assets
Benchmark: Real Estate Policy4
3.91%
1.94%
10.70%
8.00%
10.70%
 8.00%
12.38%
8.00%
15.32%
10.38%
6.49%
 8.00% 
Total Fund
Weighted Policy Benchmark5
1.21%
 0.39%
3.96%
3.82%
3.96%
3.82%
11.79%
 11.44%
11.59%
11.85%
7.07%
 7.54
% 

 

1. Global Equity Policy consists of 100% MSCI ACWI IMI (ND) from 09/30/08 through current, 100% MSCI ACWI Ex-US (ND) from 01/31/01 through 09/30/08, 100% MSCI ACWI Ex-US (GD) previous to 01/31/01.
2. Global Fixed Income Policy consists of 100% BC Universal from 6/30/07 through current, 75% BC Universal/25% BC Global Aggregate from 9/30/05 to 6/30/07, 80%/20% from 9/30/02 to 9/30/05, 100% BC Universal 9/30/00 to 9/30/02, and 100% BC Aggregate prior to 9/30/00.
3. Private Equity Policy consists of the S&P500 + 600 bps through 12/31/02, + 500 bps thereafter. For periods less than one year, the excess 500 basis points are prorated.
4. Real Assets Policy consists of an 8% annual return starting 10/01/11 through current and NPI (NCREIF Property Index) + 150 prior to 10/1/11.
5. The current SFERS weighted policy (starting 10/1/12) consists of 47.0% MSCI-ACWI IMI (ND), 25% Barclays US Universal, 12% SFERS Real Estate Benchmark and 16% SFERS Private Equity Benchmark.

Annual Rates of Return Last Ten Years
Periods ending June 30

Year

Annual Rate of Return

 2015 3.96%
2014 18.73%
2013 13.0%
2012 1.67%
2011 21.84%
2010 12.55%
2009 -21.98%
2008 -3.13%
2007 18.71%
2006 13.46%

 

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