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 6/30/2019:
For the Fiscal Year ended June 30, 2019, the investment portfolio of the Retirement System gained 8.19% with all asset classes recording positive returns. SFERS’ Private Equity posted a strong double-digit return, while Private Credit, Real Assets, and Fixed Income contributed 9.42%, 9.32% and 7.22% respectively. SFERS’ Public Equity and Absolute Return classes also posted modest returns for the fiscal year; up 5.63% and 3.03% respectively.
Asset Allocation Policy
as of September 2017
Asset Class |
Policy Target |
Actual 6/30/2019 |
| Public Equity | 31.0% | 34.7% |
| Private Equity | 18.0% | 20.7% |
| Real Assets | 17.0% | 16.6% |
| Absolute Return | 15.0% | 13.8% |
| Private Credit | 10.0% | 3.2% |
| Liquid Credit | 9.0% | 10.0% |
| Cash | 0.0% | 0.8% |
Annualized Returns for the Periods ending 6/30/2019
(Net of fees and expenses)
|
|
1-Year |
3-Years |
5-Years |
10-Years |
| Public Equity Benchmark: Global Equity Policy1 |
5.63% 4.56% |
12.64% 11.42% |
6.77% 6.03% |
11.24% 10.58% |
| Private Equity Benchmark: Private Equity Policy2 |
18.39% 10.27% |
16.07% 17.03% |
14.88% 14.56% |
15.54% 19.52% |
| Real Assets Benchmark: Real Estate Policy3 |
9.32% 3.50% |
13.02% 6.67% |
12.54% 7.20% |
10.05% 7.95% |
| Absolute Return Weighted Policy Benchmark4 |
3.03% 7.37% |
5.17% 4.25% |
N/A N/A |
N/A N/A |
| Fixed Income Benchmark: Global Fixed Income Policy5 |
7.22% 7.07% |
3.29% 2.60% |
2.99% 3.04% |
6.31% 4.30% |
| Private Credit Benchmark: Global Fixed Income Policy6 |
9.42% 7.98% |
11.80% 7.88% |
9.14% 5.91% |
13.63% 9.06% |
| Total Fund Weighted Policy Benchmark7 |
8.19% 6.40% |
11.03% 9.77% |
7.57% 7.00% |
10.43% 10.17% |
1. Public Equity Policy consists of 100% MSCI ACWI IMI (ND) from 10/01/2012 through current, 47% MSCI ACWI IMI Ex-US (ND) and 53% Russell 3000 from 10/01/2008 through 09/30/2012, 42% MSCI ACWI Ex-US (ND) and 58% Russell 3000 from 09/01/2005 through 09/30/2008.
2. 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.
3. 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.
4. Absolute Return Policy consists of 91 Day T-Bill +5.
5. Fixed Income Policy consists of 53.85% Bloomberg Barclays US Agg and 46.15% Bloomberg Barclays Intermediate Treasury from 7/1/2018 through current, 71.43% Bloomberg Barclays US Aggregate and 28.57% Bloomberg Barclays Intermediate Treasury from 4/1/2018 to 6/30/2018, 81.25% Bloomberg Barclays US Aggregate and 18.75% Bloomberg Barclays Intermediate Treasury from 1/1/2018 to 3/31/2018, Bloomberg Barclays US Universal from 7/1/2007 to 12/31/2017.
6. 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 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 |
| 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% |
| 2010 | 12.55% |