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SFERS Annual Report 2020

Published: June 30, 2020

The Retirement System’s investment objective is to maximize long-term rates of return on investments within prudent guidelines.

The professional Investment Staff, supported by a group of professional consulting firms hired by the Retirement Board, analyzes, develops, and recommends asset
allocation mixes, constructs investment portfolios, recommends external managers for hire, monitors the activities, and evaluates the performance of external investment managers. For the Fiscal Year 2020, amid the COVID-19 human health crisis and the deepest decline in economic activity and rise in unemployment since the Great Depression, the investment portfolio of the San Francisco Employees Retirement System posted a positive
return of 2.41%.

During the fiscal year, under the authorization of the Retirement Board, and in line with the 2020 Annual Investment Plan, the investment team committed a total
of $2.9 billion in new investments: $835 million in Private Equity, $325 million in the Real Assets portfolio, $660 million in Absolute Return, $350 million in Public Equity, and $755 million in private credit.