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 6/30/2020:
For the Fiscal Year ended June 30, 2020, the investment portfolio of the Retirement System grew 2.41% with public and private equity leading the charge. SFERS’ Public Equity returned 7.91%, while Private Equity and Fixed Income followed with modest returns of 6.04% and 4.28% respectively.
Asset Allocation Policy
as of September 2017
Asset Class |
Policy Target |
Actual 6/30/2020 |
| Public Equity | 31.0% | 34.5% |
| Private Equity | 18.0% | 21.3% |
| Real Assets | 17.0% | 14.9% |
| Absolute Return | 15.0% | 14.2% |
| Fixed Income | 10.0% | 7.2% |
| Private Credit | 9.0% | 4.8% |
| Cash | 0.0% | 3.0% |
Annualized Returns for the Periods ending 6/30/2020
(Net of fees and expenses)
|
|
1-Year |
3-Years |
5-Years |
10-Years |
| Public Equity Benchmark: Global Equity Policy1 |
7.91% 1.17% |
8.68% 5.55% |
8.13% 6.11% |
10.67% 9.28% |
| Private Equity Benchmark: Private Equity Policy2 |
6.04% 6.74% |
13.79% 11.42% |
12.28% 13.31% |
14.05% 18.12% |
| Real Assets Benchmark: Real Estate Policy3 |
-5.57% -13.73% |
5.90% 0.99% |
9.02% 2.52% |
12.12% 6.38% |
| Absolute Return Weighted Policy Benchmark4 |
-3.21% 6.63% |
1.46% 6.80% |
N/A N/A |
N/A N/A |
| Fixed Income Benchmark: Global Fixed Income Policy5 |
4.28% 7.84% |
3.82% 4.90% |
3.71% 4.27% |
4.87% 4.04% |
| Private Credit Benchmark: Global Fixed Income Policy6 |
-0.05% 0.63% |
8.07% 4.43% |
8.36% 5.43% |
10.07% 7.02% |
| Cash | 1.50% | 1.73% | 1.29% | 0.76% |
| Total Fund Weighted Policy Benchmark7 |
2.41% 1.64% |
7.17% 5.77% |
7.25% 6.55% |
9.39% 9.17% |
1. The current Public Equity Policy (starting 10/1/2012) consists of 100% MSCI ACWI IMI (ND)
2. The current Private Equity Policy (starting 1/1/2018) consists of 25% MSCI ACWI Ex-US (ND) and 75% Russell 3000 plus 300 bps
3. The current Real Assets Policy (starting 1/1/2018) consists of 50% NCREIF ODCE and 50% Cambridge Associates NR Quarter Lag
4. The Absolute Return Policy consists of the 90-day Treasury Bill plus 500 bps
5. The current Fixed Income Policy (starting 7/1/2019) consists of 45% Bloomberg Barclays US Aggregate and 55% Bloomberg Barclays Intermediate Treasury
6. The Private Credit Policy consists of 50% Bank of America Merrill Lynch US High Yield BB/B Constrained Index and 50% Credit Suisse Leveraged Loan Index plus 150bps
7. The current SFERS policy benchmark (starting 10/1/2019) consists of 35% Public Equity Policy, 6% Bloomberg Barclays Intermediate US Treasury, 5% Bloomberg Barclays Capital US Aggregate, 4% Private Credit Policy, 17% Real Assets Policy, 18% Private Equity Policy and 15% 90-day Treasury Bill plus 500 bps
Annual Rates of Return Last Ten Years
Periods ending June 30
Year |
Annual Rate of Return |
| 2020 | 2.41% |
| 2019 | 8.19% |
| 2018 | 11.14% |
| 2017 | 13.81% |
| 2016 | 1.29% |
| 2015 | 3.96% |
| 2014 | 18.73% |
| 2013 | 13.0% |
| 2012 | 1.67% |
| 2011 | 21.84% |