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 6/30/2018:
For the Fiscal Year ended June 30, 2018, the investment portfolio of the Retirement System gained 11.14% with all asset classes recording positive returns. SFERS’ Private Equity, Real Assets, and Public Equity all posted strong double-digit results; returning 17.33%, 15.16% and 12.31% respectively.  SFERS’ Absolute Return and Fixed Income classes also posted modest returns; up 4.73% and 0.02% respectively, for the fiscal year.

Asset Allocation Policy
as of September 2017

Asset Class

Policy Target

Actual 6/30/2018

Public Equity 31.0% 42.1%
Fixed Income 19.0% 14.8%
Private Equity 18.0% 17.3%
Real Assets 17.0% 14.6%
Absolute Return 15.0% 10.8%
Cash 0.0% 0.4%

 

Annualized Returns for the Periods ending 6/30/2018
(Net of fees and expenses)

 

1-Year

3-Years

5-Years

10-Years 

Public Equity
Benchmark: Global Equity Policy1
12.31%
11.14%
8.96%
8.34%
10.14%
9.60%
6.83%
6.60%
Fixed Income
Benchmark: Global Fixed Income Policy2
0.02%
-0.02%
2.35%
 2.20%
3.27%
2.68%
4.90%
4.09%
Private Equity
Benchmark: Private Equity Policy3
17.33%
17.51%
12.79%
16.65%
15.81%
18.53%
10.66%
 
15.39% 
Real Assets
Benchmark: Real Estate Policy4
15.16%
8.51%
14.29%
8.17%
14.23%
8.10%
5.90%
 5.41% 
Absolute Return
Weighted Policy Benchmark5
4.73%
5.13%
N/A
N/A
N/A
N/A
N/A
N/A
Total Fund
Weighted Policy Benchmark6
11.14%
9.38%
8.61%
 8.29%
9.61%
9.22%
6.87%
7.42%

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. 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.
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

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%
2009 -21.98%

 

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