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 6/30/2020:
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%

 

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