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 6/30/2017:
For the Fiscal Year ended June 30, 2017, the investment portfolio of the Retirement System gained 13.81% as SFERS’ Public Equity, Private Equity and Real Assets all posted strong double-digit results. Public Equity lead the way returning 20.15%, while Real Assets and Private Equity followed impressively returning 14.77% and 12.78% respectively. SFERS’ Absolute Return and Fixed Income classes also posted modest returns; up 6.47% and 3.44% respectively, for the fiscal year.
Asset Allocation Policy
as of February 2015
Asset Class |
Policy Target |
Actual 6/30/2017 |
| Public Equity | 40.0% | 48.0% |
| Fixed Income | 20.0% | 20.0% |
| Private Equity | 18.0% | 14.8% |
| Real Assets | 17.0% | 14.0% |
| Absolute Return | 5.0% | 2.6% |
| Cash | 0.0% | 0.6% |
Annualized Returns for the Periods ending 6/30/2017
(Net of fees and expenses)
|
|
1-Year |
3-Years |
5-Years |
10-Years |
| Public Equity Benchmark: Global Equity Policy1 |
20.15% 19.01% |
5.27% 4.87% |
11.44% 10.75% |
4.27% 4.36% |
| Fixed Income Benchmark: Global Fixed Income Policy2 |
3.44% 0.91% |
2.90% 2.76% |
4.40% 2.73% |
5.06% 4.72% |
| Private Equity Benchmark: Private Equity Policy3 |
12.78% 23.66% |
12.99% 15.05% |
14.40% 20.30% |
10.83% 12.52% |
| Real Assets Benchmark: Real Estate Policy4 |
14.77% 8.00% |
12.79% 8.00% |
12.97% 8.00% |
5.55% 5.64% |
| Absolute Return Weighted Policy Benchmark5 |
6.47% 4.12% |
N/A N/A |
N/A N/A |
N/A N/A |
| Total Fund Weighted Policy Benchmark6 |
13.81% 13.63% |
6.19% 6.42% |
9.98% 9.95% |
5.40% 6.18% |
1. Public 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. 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. Absolute Return Policy consists of 91 Day T-Bill +5%
6. 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 |
| 2017 | 13.81% |
| 2016 | 1.29% |
| 2015 | 3.96% |
| 2014 | 18.73% |
| 2013 | 13.0% |
| 2012 | 1.67% |
| 2011 | 21.84% |
| 2010 | 12.55% |
| 2009 | -21.98% |
| 2008 | -3.13% |