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 6/30/2021:
The Retirement System generated unprecedented growth for the fiscal year ended June 30, 2021, returning 33.70%. All asset classes produced positive returns for the period led by Private Equity, Public Equity, and Private Credit which returned 67.45%, 43.75%, and 18.74%, respectively. These returns bring SFERS’ assets to $34.5 billion, up $8.5 billion from the previous fiscal year. Importantly, this growth has led to a funded status of approximately 112%, the first time SFERS has been fully funded since 2008.

Asset Allocation Policy
as of November 2020

Strategic Asset Allocation

Public Equity 37% Real Assets 10% Private Credit 10%
Private Equity 23% Absolute Return 10% Fixed Income 13%
Growth Assets 60% Diversifying Assets 20% Income Assets 23%

 

Annualized Returns for the Periods ending 6/30/2021
(Net of fees and expenses)

 

1-Year

3-Years

5-Years

10-Years 

20-Years

Public Equity
Benchmark: Public Equity Policy1
43.75%
41.81%
17.89%
14.04%
17.26%
14.61%
11.68%
10.29%
8.14%
7.40%
Private Equity
Benchmark: Private Equity Policy2
67.45%
45.58%
28.13%
17.92%
23.11%
16.39%
17.47%
13.29%
13.34%
8.01%
Real Assets
Benchmark: Real Estate Policy3
9.59%
17.42%
4.20%
6.09%
8.36%
5.35%
11.15%
5.17%
7.77%
N/A
Absolute Return
Weighted Policy Benchmark4
14.14%
17.38%
4.41%
6.56%
N/A
N/A
N/A
N/A
N/A
N/A
Private Credit
Benchmark: Private Credit Policy5
18.74%
17.60%
9.39%
 7.61%
11.19%
7.08%
10.69%
8.31%
N/A
N/A
Fixed Income
Benchmark: Fixed Income Policy6
3.05%
5.42%
4.83%
 6.07%
3.44%
4.85%
4.25%
4.33%
5.48%
5.50%
Total Fund
Weighted Policy Benchmark7
33.70%
26.97%
7.17%
 5.77%
7.25%
6.55%
9.39%
9.17%
8.19%
6.85%

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 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
6. The current Fixed Income Policy (starting 7/1/2019) consists of 45% Bloomberg Barclays US Aggregate and 55% Bloomberg Barclays Intermediate Treasury
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

2021 33.70%
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%

 

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