Oklahoma Police Pension & Retirement System 2Q 2017.pdfOklahoma Police Pension & Retirement System...
Transcript of Oklahoma Police Pension & Retirement System 2Q 2017.pdfOklahoma Police Pension & Retirement System...
Oklahoma Police Pension & Retirement System
Oklahoma Police Pension & Retirement System
Investment Performance Review
June 30, 2017
231 South Bemiston Avenue ♦ 14th Floor ♦ Saint Louis, Missouri 63105 ♦ www.acgnet.com ♦ 314.862.4848
Information Disclaimer:
The following report was prepared by Asset Consulting Group, LLC (ACG) using information from sources that may include the following: client’s custodian(s); client’s investment
manager(s); ACG Investment Manager Database and Client Reporting Tool; third party data vendors; and other outside sources as may be directed by the client. Index Characteristics
utilized in this report are obtained from third party data providers and may be different than index characteristics reported by investment managers/funds due to varied calculation
methodologies and data sources. Although the information presented herein has been obtained from and is based upon sources ACG believes to be reliable, no representation or
warranty, express or implied, is made as to the accuracy or completeness of that information. Accordingly, ACG does not itself endorse or guarantee, and assumes no liability
whatsoever for, the accuracy or reliability of any third party data or the financial information contained herein.
Reasonable care has been taken to assure the accuracy of the data in the ACG database and the ACG Client Reporting Tool.
This report is provided as a management tool for the client’s internal use only. Information contained in this report does not constitute a recommendation by ACG.
This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.
© 2017 Asset Consulting Group All Rights Reserved
Table of Contents
Tab 1 Market Overview
Tab 2 Total Portfolio Summary
Tab 3 Equity
Tab 4 Fixed Income
Tab 5 Real Assets
Appendix Definitions of Statistical Measures
Quality Rating Scale
Historical Benchmark Composition
© 2017 Asset Consulting Group All Rights Reserved
Oklahoma Police Pension & Retirement System
Market Overview
© 2017 Asset Consulting Group All Rights Reserved
7
Global Long-Only EquityThe second quarter of 2017 was truly a “Tale of Two Markets” as Growth indicesoutperformed their Value counterparts.
The Information Technology and Health Care sectors led the markets in the quarter,providing an outsized boost to Growth given the heavy presence of the two sectors withinthese indices. Meanwhile, Financials have lost steam following the robust run in 2016 whichaccount for the largest sector representation on the Value side. As such, Value hasstruggled to keep up with Growth this year.
International markets continue to outpace domestic stocks due to lower valuations relativeto US markets as well as stronger earnings revisions on the belief of stronger globaleconomic growth. Currency was also a tailwind for developed international holdings in thequarter, as the US dollar weakened against the euro and pound, in particular.
US markets have posted positive gains this year. Overall earnings expectations for the yearpoint to an acceleration in growth which has helped support rising valuations this year.However, political uncertainty looms with concerns over the administration’s ability todeliver on promised pro-growth agendas. With stock valuations at peak levels, expectedpolitical advancements such as tax reform, infrastructure spending, and regulatory easingwill likely be necessary for maintaining strength and valuations in the domestic equitymarkets.
Global Long/Short Equity
Sources: S&P Research, S&P Dow Jones Indices
Sources: ACG Research, Bloomberg
4.7% 4.8%
8.2% 8.4%
1.1% 1.1%
5.7%
2.2%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Russell 1000 Russell 2000 MSCI EAFE MSCI EMGrowth Value
Q2 Performance for Indicies - Growth Versus Value
Volatility continues to be at historical lows. As measured by VIX, volatility dropped to itslowest level since 1990, even hitting single digits during May and June. This is not expectedto continue, and the anticipation of increased volatility has prompted managers tomaintain their net exposure at slightly below historical averages. Gross exposure,however, has increased towards the high end of historical averages, based on continuedoptimism that fundamentals will matter and increased performance dispersion betweensectors (the combination of an increase in volatility as well as dispersion in the marketprovides managers the opportunity to potentially make money on both longs and shorts).
The eventual shrinking of the Fed’s balance sheet decreases/eliminates the “rising tides”effect and increases the likelihood that fundamentals will drive stock pricing. Risinginterest rates will be a mild tail wind for managers on the short side (something they havenot had for the past few years).
Lower valuations in Europe at the end of 2016 prompted equity long/short managers toincrease their European investments. Managers have now reached their highest level ofEuropean exposure since 2010. Eurozone consumer confidence remains high and weanticipate this to remain an area of opportunity for the foreseeable future.
The ongoing delays of the President’s health care and tax reform initiatives hasdecreased the market’s expectations for successful outcomes. M&A activity hascontinued, but the optimism about a looser regulatory environment has somewhatabated, slightly decreasing the opportunity set for event driven managers.
Q2 Performance for Indices – Growth vs. Value
Volatility Remains Muted
0
10
20
30
40
50
60
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90
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97
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Jun-
17
VIX Index 20-Year Average
20-Yr Average: 20.74 20-Yr Low: 9.75 (on 6/2/17)
©2017 Asset Consulting Group All Rights Reserved8
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Feb
-01
Feb
-02
Feb
-03
Feb
-04
Feb
-05
Feb
-06
Feb
-07
Feb
-08
Feb
-09
Feb
-10
Feb
-11
Feb
-12
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-13
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-14
Feb
-15
Feb
-16
Feb
-17
Global Private Equity
Global Real Assets
Sources: ACG Research, Bloomberg, Real Capital Analytics
Much like public markets, valuations remain high for new deals in private markets. Themedian acquisition price for a private equity-backed company purchased in 1Q 2017was 9.7x EBITDA. Pricing is down from 10.3x EBITDA in 2015, however, it is on par withthe transaction multiples of 2007, the end of the last buyout boom. Althoughpurchase price multiples are at the same level as 2007, the composition of the price ismuch different today. The average buyout in 2007 used 11% more debt than abuyout completed in 1Q 2017. Factoring in the much lower debt servicing costs, thebuyouts of 2017 should be in better position to weather a downturn than the buyoutsof 2007. Still, higher purchase prices today are likely to translate into lower returnsgoing forward.
After two lackluster years the IPO market has been relatively strong in the first half of2017, with 77 companies making their public debuts, compared to 126 for the entiretyof 2016. Just halfway through the year, the 2017 IPO market raised more capital thanall of 2016 and appears poised to continue its healthy pace for the remainder of theyear. IPO investors continue to favor technology and health care as these sectorsmade up half of the 52 IPO’s completed in 2Q 2017. Private equity managerscontinue to take advantage of the accommodative IPO market. The 15 PE-backedcompanies to IPO in 2Q raised $5.1 billion, a two-year high for deal count and a three-year high for proceeds. The combination of high valuations and a strong IPO marketis likely to lead to strong distribution activity over the coming quarters as IPO lock-upperiods expire and managers look to fully realize gains.
Real estate assets continue their impressive streak of gains even as many investorsquestion whether the momentum is sustainable in the face of a rising rate environment.After a post-election rise to 2.45% at year-end, 10-year Treasuries were yielding 2.32% at theend of 2Q 2017 even as the Fed raised rates twice during this period. The majority ofinvestors view real estate as a longer-term asset class, making comparisons to 10-year ratesmore meaningful than comparisons to short-term rates. The more recent rise in risk-freerates has done little to affect US real estate cap rates and the spread between 10-year USTreasury rates and cap rates actually increased marginally from year-end 2016.Fundamental indicators remain strong as occupancy, lease rates and NOI continue tosupport real estate returns. The current spread of 403 bps is 260 bps higher than the pre-recession low suggesting that US real estate still has room to run.
A mixed outlook for the commodity sector led to mixed results across sub-sectors. OPEC’sdecision to maintain production cuts, as opposed to increasing cuts, was a major reasonthat oil sold off in 2Q, declining more than 9% to $46 per barrel. Until the next unexpectedevent that causes some production to go offline, oil prices will be driven by the battlebetween OPEC’s desire to raise prices and US shale producers ability to fill any productiondecreases agreed by the cartel. Prices any lower than $40 per barrel could bring highercost production offline and be supportive of prices going forward. Gold, although roughlyflat during the quarter, could be a beneficiary if and when volatility returns to globalmarkets.
US LBO Purchase Price Multiples
US Real Estate Cap Rate Spread to Treasuries
6.2x
5.1x
3.9x4.7x 5.1x 5.2x 5.4x 5.8x 5.8x 5.5x 5.5x
9.7x9.1x
7.7x8.5x 8.8x 8.7x 8.8x
9.8x10.3x 10.0x 9.7x
0.0x
2.0x
4.0x
6.0x
8.0x
10.0x
12.0x
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 1Q17
Mul
tiple
Leverage Purchase Price
Sources: ACG Research, S&P Capital IQ
Spread - Cap Rate to 10-Year Treasury Rate Average Cap Rate 10-Year Treasury Rate
©2017 Asset Consulting Group All Rights Reserved9
0.00
0.50
1.00
1.50
2.00
2.50
3.00
(%)
January 1,2015 through June 30, 2017
Fed Funds (Lower Limit) Fed Funds (Upper Limit)2-Year UST 10-Year UST
Global Traditional Fixed IncomeCurrent Rate Hiking Cycle
Global Nontraditional Fixed Income
Percentile Rankings of Observations for Past 15-Years
Sources: ACG Research, Bloomberg
Sources: ACG Research, Bloomberg
Liquid Absolute Return strategies generally fell short of traditional bond benchmarks in 2Q-17,but the median manager outperformed cash by about 80 bps and the diversification of riskfactors remains valuable within portfolios. Trailing 12-month returns have been comfortablywithin the commonly referenced LIBOR +3% to +6% objective.
The lack of clarity in a broad range of global policy matters has sustained the feeling ofuncertainty in the market. Anticipated volatility in rates, spreads, and currency should provideopportunities for tactical managers with a wide range of implementation options. Balancingidiosyncratic exposures against liquidity and risk constraints will be key.
As the credit cycle matures, Alternative Fixed Income investors are carefully weighing issuerfundamentals with market valuations. Opportunities in corporate and securitized assets havecontinued to drive returns among credit-oriented strategies. Event-driven managers haveoriented portfolios toward opportunities outside of distressed situations as supportive marketconditions continue to sustain marginal businesses. Eventually, we expect relative valuetrading and alpha-focused strategies to become more prominent in attribution.
Private Credit strategies offer the opportunity to earn both a credit spread and an illiquiditypremium (typically 5-10 year terms) versus publicly traded fixed income strategies. Fundraisingand capital deployment in the sector remains strong with direct lending strategies enjoying themajority of activity at this point in the cycle. Distressed opportunities appear in a small numberof sectors or geographies as the overall default environment remains well below crisis levels.
The Federal Reserve utilized its mid-June meeting to further its rate hiking campaign, whichnow includes four 25 basis points (bps) adjustments over the last 18-months. Investors werealso provided guidance regarding the eventual unwinding of its enlarged $4.5 trillionbalance sheet, with limited roll-offs likely to begin before year-end. The response over thepast quarter has been a notable flattening of the US Treasury yield curve, as two-year ratesprogressed modestly higher while longer-term rates actually declined with more mutedgrowth/inflation assumptions. Unanticipated eagerness on the part of the FOMC, or otherprominent central bankers, is a tail risk that could prompt an adjustment in asset prices.
The BloomBar Aggregate was solidly positive during the quarter. The decline in longer-termrates was a tailwind for all categories, but IG corporates dominated from an excess returnstandpoint as investor demand drove credit spreads to their tightest level since mid-2014.
High Yield continued its impressive performance trend. Spreads are now 230 bps tighterover the past year, but its worth noting that index-level yields don’t typically spend muchtime below 6%. As such, careful security selection is becoming increasingly important.
Municipal Bonds were very solid, with tax-exempt issues benefitting from steady demandand low issuance fueled by a collapse in re-financing deals. The yield ratio versus USTreasury bonds has become fairly rich across the curve, especially for shorter-dated issues.
Unhedged Global government bonds outperformed domestic counterparts as the USdollar’s decline aided returns. Outcomes in Emerging Markets remained particularly strong.
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
10-YearUS Treasury
Yield
US Treasury10's - 2's
Curve Slope
IG CreditSpread
High YieldCredit Spread
EquityVolatility
(VIX)
Rolling 12-MonthTrade-Weighted
CurrencyVolatility
Trailing 12-Month Minimum Trailing 12-Month Maximum June 30, 2017
Rates low,but rising
Curve now flattening
Both IG and HY spreads continue to narrow
Equity volatility still very low
Currency volatility near
average
©2017 Asset Consulting Group All Rights Reserved10
Market Environment
For the Periods Ending June 30, 2017
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
1.87 -2.32 2.01 1.28 4.06BloomBar US Treasury
2.27 -0.31 2.48 2.21 4.48BloomBar US Aggregate
2.63 0.91 2.76 2.73 4.73BloomBar Universal
9.34 17.90 9.61 14.63 7.18S&P 500
4.99 24.60 7.36 13.70 6.92Russell 2000
14.23 20.83 1.61 9.18 1.50MSCI EAFE
11.82 19.42 5.39 11.14 4.27MSCI ACWI
18.60 24.17 1.44 4.33 2.25MSCI Emerging Markets
-5.26 -6.50 -14.81 -9.25 -6.49Bloomberg Commodity
© 2017 Asset Consulting Group All Rights Reserved
11
Equity Index Returns
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
9.34 17.90 9.61 14.63 7.18S&P 500
8.93 18.51 9.10 14.59 7.26Russell 3000
4.66 15.53 7.36 13.94 5.57Russell 1000 Value
14.00 20.42 11.11 15.30 8.91Russell 1000 Growth
5.99 18.57 8.53 14.92 8.56S&P Mid Cap 400
4.99 24.60 7.36 13.70 6.92Russell 2000
0.54 24.86 7.02 13.39 5.92Russell 2000 Value
9.97 24.40 7.64 13.98 7.82Russell 2000 Growth
14.23 20.83 1.61 9.18 1.50MSCI EAFE
14.45 21.00 1.27 7.70 1.59MSCI ACWI ex US
© 2017 Asset Consulting Group All Rights Reserved
12
US Markets - Performance Breakdown
For the Periods Ending June 30, 2017
S&P 500 - Sector Returns (%)
Consumer Discretionary
(12.27)
Consumer Staples
(9.05)
Energy
(6.01)
Financials
(14.55)
Health Care
(14.51)
Industrials
(10.28)
Information Technology
(22.26)
Materials
(2.85)
Real Estate
(2.93)
Telecommunication Services
(2.14)
Utilit ies
(3.16)
1.98
0.90
-7.03
3.80
6.66
4.17
3.76
2.64
1.85
-8.14
1.35
10.23
6.59
-13.81
5.97
15.07
8.34
16.38
8.09
4.62
-12.79
6.86
Russell 2000 - Sector Returns (%)
Consumer Discretionary
(12.39)
Consumer Staples
(2.69)
Energy
(2.85)
Financials
(17.92)
Health Care
(14.98)
Industrials
(14.47)
Information Technology
(16.86)
Materials
(4.33)
Real Estate
(7.48)
Telecommunication Services
(0.86)
Utilit ies
(3.65)
2.66
-4.22
-19.72
0.90
9.02
2.31
3.84
0.09
3.00
15.54
2.85
3.81
-5.56
-28.27
-0.77
22.86
3.35
10.17
6.16
2.90
9.18
7.68
3 Months YTD
Numbers in parenthesis represent sector weightings of the index. Sector weights may not add to 100% due to rounding or securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
Source: ACG Research, Bloomberg
© 2017 Asset Consulting Group All Rights Reserved
13
Non-US Equity Index Returns
For the Periods Ending June 30, 2017
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
14.23 20.83 1.61 9.18 1.50MSCI EAFE
7.94 22.68 7.52 13.05 2.50MSCI EAFE Local Currency
11.60 25.71 -0.05 8.70 0.50MSCI EAFE Value
17.03 16.13 3.20 9.58 2.43MSCI EAFE Growth
18.60 24.17 1.44 4.33 2.25MSCI Emerging Markets
10.11 19.58 5.87 9.86 1.42MSCI Japan
14.45 21.00 1.27 7.70 1.59MSCI ACWI ex US
© 2017 Asset Consulting Group All Rights Reserved
14
Non-US Equity - Performance Breakdown
For the Periods Ending June 30, 2017
MSCI EAFE - Sector Returns (%)
Consumer Discretionary
(11.95)
Consumer Staples
(11.52)
Energy
(4.73)
Financials
(21.60)
Health Care
(10.83)
Industrials
(14.54)
Information Technology
(6.05)
Materials
(7.50)
Real Estate
(3.63)
Telecommunication Services
(4.25)
Utilit ies
(3.40)
4.88
7.91
-0.47
7.47
7.40
7.25
9.67
3.55
4.74
4.96
7.47
10.56
17.74
-2.14
15.50
16.72
17.20
22.55
11.48
11.17
10.43
15.86
MSCI EAFE - Country Returns (%)
Australia (7.06)
Austria (0.24)
Belgium (1.14)
Denmark (1.80)
Finland (1.02)
France (10.52)
Germany (9.51)
Hong Kong (3.49)
Ireland (0.45)
Israel (0.69)
Italy (2.30)
Japan (23.45)
Netherlands (3.53)
New Zealand (0.17)
Norway (0.61)
Portugal (0.15)
Singapore (1.31)
Spain (3.46)
Sweden (2.92)
Switzerland (8.51)
United Kingdom (17.67)
-1.82
22.06
5.52
15.39
14.35
9.86
6.92
7.18
3.85
6.67
9.60
5.23
8.06
8.07
4.78
4.07
5.27
8.08
9.05
9.42
4.74
9.00
33.15
10.96
22.97
23.16
17.93
16.04
21.55
7.89
12.69
16.45
10.11
20.32
10.59
6.35
12.66
19.46
24.16
19.93
19.08
10.05
YTD3 Months
© 2017 Asset Consulting Group All Rights Reserved
Source: ACG Research, Bloomberg
Numbers in parenthesis represent sector or country weights of the index. Sector or country weights may not add to 100% due to rounding.
15
Emerging Markets - Performance Breakdown
For the Periods Ending June 30, 2017
MSCI Emerging Markets - Sector Returns (%)
Consumer Discretionary
(10.46)
Consumer Staples
(6.79)
Energy
(6.55)
Financials
(23.59)
Health Care
(2.39)
Industrials
(5.73)
Information Technology
(26.73)
Materials
(7.09)
Real Estate
(2.66)
Telecommunication Services
(5.39)
Utilit ies
(2.61)
8.50
5.22
-4.78
4.07
4.41
3.91
15.60
-0.30
11.47
2.11
-1.53
22.51
13.24
-0.52
14.58
10.16
18.08
35.27
11.81
23.22
9.93
8.33
MSCI Emerging Markets - Country Returns (%)
Brazil (6.62)
Chile (1.14)
China (27.90)
Colombia (0.45)
Czech Republic (0.18)
Egypt (0.13)
Greece (0.39)
Hungary (0.33)
India (8.81)
Indonesia (2.46)
Malaysia (2.38)
Mexico (3.69)
Pakistan (0.13)
Peru (0.37)
Philippines (1.18)
Poland (1.30)
Qatar (0.67)
Russia (3.16)
South Africa (6.56)
South Korea (15.61)
Taiwan (12.48)
Thailand (2.17)
Turkey (1.18)
United Arab Emirates (0.74)
-6.62
-1.50
10.66
2.48
10.89
3.26
34.00
19.37
2.91
8.75
5.14
7.30
-2.07
7.21
7.19
13.80
-10.88
-9.81
3.64
10.26
8.99
2.53
19.79
1.33
3.13
14.38
24.98
8.32
17.16
5.16
29.37
19.30
20.54
16.45
13.86
24.54
-4.03
13.12
13.99
34.01
-9.23
-13.96
8.37
28.90
21.84
11.42
32.79
3.68
YTD3 Months
© 2017 Asset Consulting Group All Rights Reserved
Numbers in parenthesis represent sector or country weights of the index. Sector or country weights may not add to 100% due to rounding.
Source: ACG Research, Bloomberg16
Interest Rate Term Structure
Government Issues - 3 Months to 30 Years Maturity
0 5 10 15 20 25 30
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
Yie
ld t
o M
atu
rity
(%
)
Years to Maturity
Jun 2017 Mar 2017 Jun 2016
90 Days 1.01 0.75 0.26
180 Days 1.13 0.90 0.35
1 Year 1.23 1.02 0.44
2 Years 1.38 1.26 0.58
3 Years 1.55 1.49 0.69
4 Years 1.72 1.78 0.89
5 Years 1.89 1.92 1.00
7 Years 2.14 2.21 1.28
10 Years 2.30 2.39 1.47
20 Years 2.57 2.74 1.81
30 Years 2.84 3.01 2.29
Source: Bloomberg
© 2017 Asset Consulting Group All Rights Reserved
17
Fixed Income Index Returns
For the Periods Ending June 30, 2017
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
0.31 0.49 0.23 0.17 0.58US T-Bills 90 Day
0.44 -0.11 0.69 0.63 1.95BofA ML 1-3 Yr Treasury
3.17 0.44 2.02 2.06 4.00BloomBar 5 Yr Municipal
2.27 -0.31 2.48 2.21 4.48BloomBar US Aggregate
4.93 12.70 4.48 6.89 7.67BloomBar US Corp High Yield
4.41 -2.18 -0.35 0.78 3.69BloomBar Global Aggregate
6.19 6.04 5.38 5.72 7.44JPM EMBI Global Diversified
© 2017 Asset Consulting Group All Rights Reserved
18
US Fixed Income Market Environment
For the Periods Ending June 30, 2017
Nominal Returns By Sector (%)
3 Months YTD 1 Year 3 Years
US Aggregate 1.44 2.28 -0.31 2.49
US Treasury 1.18 1.86 -2.32 2.01
US Agg: Gov't-Related 1.29 2.69 -0.19 2.23
US Corporate IG 2.55 3.81 2.30 3.61
MBS 0.87 1.35 -0.04 2.18
CMBS 1.31 2.18 -0.34 2.57
ABS 0.60 1.14 0.63 1.65
US Corp High Yield 2.17 4.94 12.72 4.49
Nominal Returns by Quality (%)
3 Months YTD 1 Year 3 Years
AAA 1.06 1.68 -1.25 2.09
AA 1.65 2.62 -0.15 2.93
A 2.43 3.47 1.11 3.63
BAA 2.68 4.44 3.55 3.47
BA 2.67 4.79 9.83 5.20
B 1.72 4.29 12.45 3.61
CAA 1.85 6.60 20.78 4.82
Nominal Returns by Maturity (%)
3 Months YTD 1 Year 3 Years
0.311-3 Yr. 0.72 0.39 0.98
0.813-5 Yr. 1.55 0.17 1.97
1.055-7 Yr. 1.82 -0.37 2.15
1.387-10 Yr. 2.19 -1.79 2.72
4.3210+ Yr. 5.82 -1.27 5.23
Excess Returns by Sector
-200
0
200
400
600
800
1000
1200
1400
1600
Aggregate Gov't-Related Corporate MBS CMBS ABS High Yield
(Corporate)
3 Months YTD 1 Year 3 Years
Exc
ess
Re
turn
(b
ps)
Excess Returns by Quality
-400
0
400
800
1200
1600
2000
2400
AAA AA A BAA BA B CAA
3 Months YTD 1 Year 3 Years
Exc
ess
Re
turn
(b
ps)
Source: Bloomberg
Excess returns are relative to the duration-neutral Treasury.
© 2017 Asset Consulting Group All Rights Reserved
19
Monthly Index Returns
For the Periods Ending June 30, 2017
3 Months (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 3.09 9.34 17.90 9.61 14.63 15.41 7.18
Russell 1000 3.06 9.27 18.03 9.26 14.67 15.43 7.29
Russell 1000 Growth 4.67 13.99 20.42 11.11 15.30 16.48 8.91
Russell 1000 Value 1.34 4.66 15.53 7.36 13.94 14.31 5.57
Russell 2500 2.13 5.97 19.84 6.93 14.04 14.78 7.42
Russell 2000 2.46 4.99 24.60 7.36 13.70 14.35 6.92
Russell 2000 Growth 4.39 9.97 24.40 7.64 13.98 15.16 7.82
Russell 2000 Value 0.67 0.54 24.86 7.02 13.39 13.50 5.92
Wilshire 5000 Cap Wtd 2.95 8.73 18.54 9.34 14.61 15.33 7.29
MSCI ACWI 4.45 11.82 19.42 5.39 11.14 11.07 4.27
MSCI ACWI ex US 5.99 14.45 21.00 1.27 7.70 7.14 1.59
MSCI EAFE 6.37 14.23 20.83 1.61 9.18 8.40 1.50
MSCI EAFE Local Currency 2.95 7.94 22.68 7.52 13.05 9.86 2.50
MSCI EAFE Growth 7.72 17.03 16.13 3.20 9.58 8.98 2.43
MSCI EAFE Value 5.07 11.60 25.71 -0.05 8.70 7.75 0.50
MSCI Emerging Markets 6.38 18.60 24.17 1.44 4.33 4.22 2.25
Fixed Income
BofA ML 1-3 Yr Treasury 0.17 0.44 -0.11 0.69 0.63 0.76 1.95
BloomBar 5 Yr Municipal 1.25 3.17 0.44 2.02 2.06 2.84 4.00
BloomBar US Aggregate 1.45 2.27 -0.31 2.48 2.21 3.19 4.48
BloomBar Gov't Bond 1.17 1.86 -2.18 1.99 1.30 2.41 3.93
BloomBar US Credit 2.35 3.68 1.84 3.40 3.68 4.85 5.61
BloomBar 10 Yr Municipal 2.35 4.18 -0.41 3.56 3.40 4.52 5.13
BloomBar US Corp High Yield 2.17 4.93 12.70 4.48 6.89 8.15 7.67
Citigroup World Govt Bond 2.89 4.49 -4.14 -1.00 -0.20 1.68 3.49
BloomBar Global Aggregate 2.60 4.41 -2.18 -0.35 0.78 2.39 3.69
BloomBar Multiverse 2.64 4.58 -1.38 -0.16 1.05 2.64 3.85
JPM EMBI Global Diversified 2.24 6.19 6.04 5.38 5.72 7.09 7.44
Real Assets
NCREIF Property 1.75 3.33 6.98 10.17 10.49 11.58 6.42
NFI ODCE Net 1.49 3.05 6.91 10.33 10.76 12.03 4.29
FTSE NAREIT US Real Estate 1.52 2.70 -1.70 8.36 9.52 13.17 6.00
Bloomberg Commodity -3.00 -5.26 -6.50 -14.81 -9.25 -5.68 -6.49
Cash and Equivalents
US T-Bills 90 Day 0.20 0.31 0.49 0.23 0.17 0.15 0.58
© 2017 Asset Consulting Group All Rights Reserved
20
Monthly Index Returns
For the Periods Ending July 31, 2017
1 Month (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 2.06 11.59 16.04 10.87 14.78 14.63 7.74
Russell 1000 1.98 11.44 15.95 10.58 14.85 14.65 7.84
Russell 1000 Growth 2.66 17.02 18.05 12.66 15.60 15.78 9.36
Russell 1000 Value 1.33 6.05 13.76 8.45 14.00 13.46 6.21
Russell 2500 1.04 7.07 15.08 9.12 14.43 13.84 8.16
Russell 2000 0.74 5.77 18.45 9.89 14.19 13.39 7.76
Russell 2000 Growth 0.85 10.91 17.76 10.22 14.58 14.25 8.49
Russell 2000 Value 0.63 1.18 19.21 9.50 13.76 12.49 6.94
Wilshire 5000 Cap Wtd 1.88 10.77 16.21 10.71 14.80 14.53 7.86
MSCI ACWI 2.83 14.98 17.69 6.80 11.45 10.27 4.72
MSCI ACWI ex US 3.71 18.70 19.55 2.84 8.18 6.38 1.99
MSCI EAFE 2.89 17.53 18.32 3.26 9.55 7.44 1.94
MSCI EAFE Local Currency 0.68 8.67 17.90 7.83 12.87 9.25 2.91
MSCI EAFE Growth 2.43 19.87 13.40 4.83 9.73 8.11 2.76
MSCI EAFE Value 3.35 15.34 23.42 1.61 9.29 6.70 1.05
MSCI Emerging Markets 6.04 25.77 25.30 2.76 5.14 3.90 2.32
Fixed Income
BofA ML 1-3 Yr Treasury 0.21 0.65 0.17 0.79 0.63 0.75 1.88
BloomBar Municipal 0.81 4.40 0.26 3.55 3.10 4.15 4.60
BloomBar US Aggregate 0.43 2.71 -0.51 2.71 2.02 3.10 4.44
BloomBar Gov't Bond 0.17 2.03 -2.40 2.10 1.14 2.33 3.80
BloomBar US Credit 0.73 4.44 1.26 3.67 3.27 4.68 5.65
BloomBar 10 Yr Municipal 0.93 5.15 0.45 3.78 3.28 4.41 5.14
BloomBar US Corp High Yield 1.11 6.09 10.95 5.34 6.72 7.78 8.17
Citigroup World Govt Bond 1.86 6.43 -2.87 -0.08 -0.02 1.43 3.37
BloomBar Global Aggregate 1.68 6.16 -1.28 0.51 0.88 2.15 3.66
BloomBar Multiverse 1.71 6.37 -0.53 0.72 1.16 2.39 3.84
Real Assets
Bloomberg Commodity 2.26 -3.11 0.77 -12.69 -9.98 -6.26 -6.48
Cash and Equivalents
US T-Bills 90 Day 0.09 0.39 0.54 0.26 0.19 0.16 0.55
© 2017 Asset Consulting Group All Rights Reserved
21
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© 2017 Asset Consulting Group All Rights Reserved
22
Oklahoma Police Pension & Retirement System
Total Portfolio Summary
© 2017 Asset Consulting Group All Rights Reserved
23
Oklahoma Police Pension & Retirement System
Total Portfolio
Dollar Reconciliation ($000s)
For the Periods Ending June 30, 2017
3 Months YTD FYTD 5 Years
Beginning Market Value 2,346,027 2,264,618 2,195,220 1,751,829
Net Additions -18,124 -21,082 -56,350 -216,912
Return on Investment 61,659 146,027 250,693 854,646
Ending Market Value 2,389,563 2,389,563 2,389,563 2,389,563
© 2017 Asset Consulting Group All Rights Reserved
Fiscal year ending June. 24
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Period Ending June 30, 2017
0.004.00
8.0012.00
16.0020.00
US La
rge C
ap Equ
ity
US Sm
all/M
id C
ap Equ
ity
Long/S
hor
t Eq
uity
Int'l
Develo
ped Marke
ts E
quity
Emerg
ing M
arkets
Equ
ity
Private
Equ
ity
Core
Bon
ds
Multi-
Sector F
ixed In
come
Abso
lute
Retu
rn
Private
Cre
dit
Core
Real E
sta
te
Opportu
nist
ic R
eal Estate
Com
moditi
es
Cash
and E
quivale
nts
17
.24
8.1
7
14
.05
10
.19
4.7
1 7.4
4
7.1
2
9.0
2
7.8
2
0.7
9
6.4
4
2.5
6
3.2
2
1.2
4
15
.00
5.0
0
15
.00
10
.00
5.0
0 10
.00
10
.00
7.5
0
7.5
0
0.0
0 5.0
0
5.0
0
5.0
0
0.0
0
Actual Allocat ion Target Allocat ion
Market
Value ($000s)
Actual
Allocation (%)
Target
Allocation (%)
Over/Under
Target (%)
Range
Min-Max (%)
Total Portfolio 2,389,563 100.00 100.00
Equity 1,476,945 61.81 60.00 1.81 50.00 - 70.00
US Large Cap Equity 412,054 17.24 15.00 2.24 10.00 - 20.00
US Small/Mid Cap Equity 195,337 8.17 5.00 3.17 0.00 - 15.00
Long/Short Equity 335,626 14.05 15.00 -0.95 10.00 - 20.00
Int'l Developed Markets Equity 243,561 10.19 10.00 0.19 5.00 - 15.00
Emerging Markets Equity 112,645 4.71 5.00 -0.29 0.00 - 10.00
Private Equity 177,721 7.44 10.00 -2.56 5.00 - 15.00
Fixed Income 591,171 24.74 25.00 -0.26 15.00 - 35.00
Core Bonds 170,040 7.12 10.00 -2.88 7.50 - 20.00
Multi-Sector Fixed Income 215,452 9.02 7.50 1.52 5.00 - 10.00
Absolute Return 186,745 7.82 7.50 0.32 5.00 - 10.00
Private Credit 18,934 0.79 0.00 0.79
Real Assets 291,846 12.21 15.00 -2.79 0.00 - 20.00
Core Real Estate 153,859 6.44 5.00 1.44 0.00 - 10.00
Opportunistic Real Estate 61,126 2.56 5.00 -2.44 0.00 - 10.00
Commodities 76,861 3.22 5.00 -1.78 0.00 - 10.00
Cash and Equivalents 29,601 1.24 0.00 1.24
© 2017 Asset Consulting Group All Rights Reserved
25
Oklahoma Police Pension & Retirement System
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017Return
(%)
Rank Std Dev
(%)
Sharpe
Ratio
3 Months
Total Portfolio 822.64 -- --
Total Fund Policy 3.04 -- --
IF TF Between 55 - 70% Equity 3.11 -- --
Calendar Year Returns
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
10.2
6
-23.1
2
17.3
8
11.7
0
0.0
2
12.2
0
16.1
8
5.2
0
1.0
5 7.4
7
6.3
1
-26.1
6
19.5
7
13.5
2
2.5
5
14.5
1
15.0
3
4.3
6
-1.4
5
7.6
5
8.1
7
-25.7
3
21.8
9
13.1
9
-0.3
6
12.9
0
17.3
6
5.8
9
-0.5
2
7.5
5
Re
turn
(%
)
5 Year Risk / Return
2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.006.00
7.00
8.00
9.00
10.00
11.00
12.00
Total Portfolio Total Fund Policy
IF TF Betw een 55 - 70%
Equity
Standard Deviat ion (%)
Re
turn
(%
)
5 Year Relative Statistics
Total
Fund Policy
Beta 0.76
Up Capture (%) 86.29
Down Capture (%) 64.16YTD
Total Portfolio 906.46 -- --
Total Fund Policy 7.69 -- --
IF TF Between 55 - 70% Equity 7.91 -- --
FYTD
Total Portfolio 7711.56 3.00 3.71
Total Fund Policy 11.95 3.54 3.26
IF TF Between 55 - 70% Equity 12.86 3.63 3.38
3 Years
Total Portfolio 604.95 5.47 0.87
Total Fund Policy 4.07 6.83 0.57
IF TF Between 55 - 70% Equity 5.21 6.80 0.74
5 Years
Total Portfolio 658.52 5.20 1.61
Total Fund Policy 8.04 6.50 1.22
IF TF Between 55 - 70% Equity 8.93 6.40 1.37
The rankings represent the portfolio's gross of fee returns versus a gross of fee peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
26
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Total Portfolio
10 Year Risk / Return 10 Year Portfolio Statistics
6.00 7.00 8.00 9.00 10.00 11.00 12.00 13.00 14.002.00
3.00
4.00
5.00
6.00
7.00
8.00
Total Port folio Total Fund Policy
Standard Deviat ion (%)
Re
turn
(%
)
Total
Portfolio
Total
Fund Policy
Benchmark Relative Statistics
Return (%) 5.03 5.00
Standard Deviation (%) 8.06 10.58
Sharpe Ratio 0.57 0.43
Beta 0.73
Up Capture (%) 76.78
Down Capture (%) 72.97
10 Year Growth of a Dollar 10 Year Return Analysis
Total
Portfolio
Total
Fund Policy
Number of Months 120 120
Highest Monthly Return (%) 5.31 7.47
Lowest Monthly Return (%) -9.92 -12.85
Number of Positive Months 78 72
Number of Negative Months 42 48
% of Positive Months 65.00 60.00$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
Total Port folio Total Fund Policy
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
27
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Periods Ending June 30, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months YTD FYTD 3 Years 5 Years Since Aug 1985
2.5
4
6.2
7
11.1
4
4.5
2
8.0
8
2.6
4
6.4
6
11.5
6
4.9
5
8.5
2
8.3
3
3.0
4
7.6
9
11.9
5
4.0
7
8.0
4
3.1
1
7.9
1
12.8
6
5.2
1
8.9
3
Net of Fees * Gross of Fees Total Fund Policy IF TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 82 90 77 60 65
5th Percentile 4.44 10.13 15.94 6.78 10.59
25th Percentile 3.56 8.80 14.14 5.90 9.66
50th Percentile 3.11 7.91 12.86 5.21 8.93
75th Percentile 2.75 7.15 11.67 4.35 8.14
95th Percentile 2.22 5.91 9.86 2.99 6.78
Observations 551 546 530 483 431
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
* Performance is calculated using net of fee returns.
© 2017 Asset Consulting Group All Rights Reserved
28
Oklahoma Police Pension & Retirement System
Total Portfolio
For the One Year Periods Ending June
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
11.1
4
-0.6
3
3.3
8
14.9
9
12.3
3
11.5
6
-0.2
0
3.8
1
15.5
0
12.7
2
11.9
5
-0.1
5
0.8
3
17.3
0
11.3
412.8
6
-0.3
2
3.1
4
16.9
1
12.7
3
Net of Fees * Gross Of Fees Total Fund Policy IF TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 77 48 35 76 51
5th Percentile 15.94 3.42 5.88 19.67 16.08
25th Percentile 14.14 1.12 4.25 18.09 14.04
50th Percentile 12.86 -0.32 3.14 16.91 12.73
75th Percentile 11.67 -2.05 1.71 15.53 10.98
95th Percentile 9.86 -4.08 -1.08 13.38 8.89
Observations 530 509 488 459 432
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
* Performance is calculated using net of fee returns.
© 2017 Asset Consulting Group All Rights Reserved
29
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank YTD Rank
(%)
FYTD
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
2,389,563 100.00 2.54 6.27 11.14 4.52 8.08 4.70Total Portfolio * (06/05) ¹
2.64 82 6.46 90 11.56 77 4.95 60 8.52 65 5.03Total Portfolio (08/85)
3.04 7.69 11.95 4.07 8.04 5.00Total Fund Policy ²
IF TF Between 55 - 70% Equity 3.11 7.91 12.86 5.21 8.93 5.39
1,476,945 61.81 3.40 8.90 16.38 6.59 10.87 5.18Equity (01/98)
4.45 11.82 19.42 5.39 11.14 4.27MSCI ACWI
412,054 17.24 US Large Cap Equity
412,054 17.24 493.05 9.26 46 18.02 9.27 14.6546 41 41 7.31Northern Trust Russell 1000 Index (08/98) ³
3.06 9.27 18.03 9.26 14.67 7.29Russell 1000
eA US Large Cap Core Equity 3.01 9.06 17.35 8.91 14.32 7.49
195,337 8.17 US Small/Mid Cap Equity
110,411 4.62 25 / 242.18 4.34 71 / 21 25.81 7.96 15.3112 / 26 46 / 43 52 / 41 8.38Boston Partners (01/98)
0.32 1.95 18.36 6.21 13.69 6.52Russell 2500 Value
eA US Mid Cap Value Equity 1.46 5.44 17.75 7.79 15.54 7.90
eA US Small Cap Value Equity 0.93 1.99 23.19 7.65 14.82 7.91
84,927 3.55 395.59 10.83 57 32.67 7.77 --11 58 --Cortina (02/14)
4.39 9.97 24.40 7.64 13.98 7.82Russell 2000 Growth
eA US Small Cap Growth Equity 5.05 11.54 24.34 8.30 14.54 8.26
335,626 14.05 Long/Short Equity
335,626 14.05 2.15 6.12 11.45 4.57 7.59 3.33Grosvenor Long/Short Equity (11/03)
4.45 11.82 19.42 5.39 11.14 4.27MSCI ACWI
1.65 5.51 9.38 1.83 4.55 0.88HFRI FOF: Strategic
© 2017 Asset Consulting Group All Rights Reserved
* Net of fee return data.
FYTD: Fiscal year ending June.
30
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank YTD Rank
(%)
FYTD
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
243,561 10.19 International Developed Market
131,552 5.51 874.26 12.07 73 16.37 0.63 8.5894 80 81 1.72Mondrian International (05/04)
6.37 14.23 20.83 1.61 9.18 1.50MSCI EAFE
eA EAFE All Cap Value Equity 6.04 13.58 22.96 2.95 10.35 2.79
112,010 4.69 297.51 16.71 19 21.54 5.42 8.1642 14 95 --Baring Focused International (03/12)
6.37 14.23 20.83 1.61 9.18 1.50MSCI EAFE
eA EAFE All Cap Equity 6.71 14.77 20.47 3.30 10.14 2.40
112,645 4.71 Emerging Markets Equity
33,773 1.41 109.12 20.37 36 13.72 1.93 --95 59 --Wasatch Emerging Markets (09/12)
2.69 16.10 17.34 1.10 5.46 2.46MSCI EM SC
eA Emerging Mkts Equity 6.27 19.24 23.75 2.47 5.77 3.25
78,872 3.30 625.70 19.68 45 -- -- -- --AB EM Strategic Core Equity Fund (11/16)
6.38 18.60 24.17 1.44 4.33 2.25MSCI Emerging Markets
eA Emerging Mkts Equity 6.27 19.24 23.75 2.47 5.77 3.25
177,721 7.44 1.23 2.77 5.47 8.74 10.00 8.46Private Equity (07/03)
591,171 24.74 1.72 3.40 3.82 1.45 3.90 4.72Fixed Income (01/98)
1.52 2.63 0.91 2.76 2.73 4.73BloomBar Universal
170,040 7.12 Core Bonds
170,040 7.12 331.65 2.54 48 0.44 2.86 2.8044 47 46 4.88Agincourt Core Fixed Income (10/99)
1.45 2.27 -0.31 2.48 2.21 4.48BloomBar US Aggregate
eA US Core Fixed Income 1.56 2.52 0.34 2.79 2.73 5.04
215,452 9.02 Multi Sector Fixed Income
120,555 5.05 2.19 4.44 11.88 4.26 6.90 6.88Oaktree Capital Management (02/98)
1.45 2.27 -0.31 2.48 2.21 4.48BloomBar US Aggregate
© 2017 Asset Consulting Group All Rights Reserved
31
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank YTD Rank
(%)
FYTD
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
94,897 3.97 343.31 6.05 35 -0.71 -0.14 1.1587 64 75 --Loomis Sayles (06/08)
2.89 4.49 -4.14 -1.00 -0.20 3.49Citigroup World Govt Bond
eA All Global Fixed Income 2.52 5.14 4.25 1.22 3.28 4.67
186,745 7.82 Absolute Return
126,868 5.31 0.81 3.03 6.62 0.10 5.03 2.96PAAMCO (10/02)
1.45 2.27 -0.31 2.48 2.21 4.48BloomBar US Aggregate
0.37 1.58 5.14 1.44 3.61 0.79HFRI FOF: Conservative
59,877 2.51 960.25 0.11 99 -- -- -- --Wellington Global Total Return (12/16)
0.28 0.53 0.93 0.55 0.44 0.92LIBOR 3 Month
eA Global Unconstrained Fixed Income 1.87 4.41 5.82 2.54 3.60 4.74
18,934 0.79 Private Credit
291,846 12.21 1.02 1.86 5.52 4.45 7.35 3.94Real Assets (01/98)
-0.01 0.26 2.35 -1.65 3.38 0.75Real Assets Blended Index ⁴
153,859 6.44 Core Real Estate
115,904 4.85 1.57 3.52 7.94 10.78 12.15 --JP Morgan Strategic Property (12/07)
1.49 3.05 6.91 10.33 10.76 4.29NFI ODCE Net
1.75 3.33 6.98 10.17 10.49 6.42NCREIF Property
37,955 1.59 2.67 5.10 11.79 -- -- --Blackstone Property Partners (01/15)
1.49 3.05 6.91 10.33 10.76 4.29NFI ODCE Net
1.75 3.33 6.98 10.17 10.49 6.42NCREIF Property
© 2017 Asset Consulting Group All Rights Reserved
32
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank YTD Rank
(%)
FYTD
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
61,126 2.56 Opportunistic Real Estate
56,368 2.36 3.34 6.23 9.04 12.17 10.60 --Private Real Estate (08/11)
Private Real Estate Direct
4,758 0.20 4.83 7.03 9.12 10.67 9.48 11.72Columbus Square (01/98)
1.75 3.33 6.98 10.17 10.49 6.42NCREIF Property
1.49 3.05 6.91 10.33 10.76 4.29NFI ODCE Net
76,861 3.22 Commodities
29,564 1.24 -1.10 -4.88 0.81 7.08 7.21 4.34Mount Lucas Peak Partners (01/98)
-1.77 -1.54 3.58 1.43 2.79 5.09CS Hedge - Global Macro
47,297 1.98 -3.17 -5.18 -5.33 -- -- --Gresham Tap Fund (08/14)
-3.00 -5.26 -6.50 -14.81 -9.25 -6.49Bloomberg Commodity
29,601 1.24 Cash and Equivalents
Notes:
1 Total Fund Policy Index history available in appendix.
2 Total Fund Policy: Effective April 2016, the index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 10.0% NFI ODCE Net, 5.0% Bloomberg Commodity.
3 Performance data prior to October 31, 2014 is reflective of the Mellon Capital Passive Index fund. Due to contributions and withdrawals in this account, the returns may differ from the performance of the fund.
4 Real Assets Blended Index: Effective January 2016, the index consists of 67.0% NFI ODCE Net, 33.0% Bloomberg Commodity.
© 2017 Asset Consulting Group All Rights Reserved
33
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© 2017 Asset Consulting Group All Rights Reserved
34
Oklahoma Police Pension & Retirement System
Equity Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
35
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending June 30, 2017
Account Description
Strategy US Large Cap Core
Vehicle Non-Mutual Commingled
Benchmark Russell 1000
Performance Inception Date August 1998
Fees 1 bps
Performance Goals
Mirror the risk/return profile of the Russell 1000.
Over rolling three year periods, rank above the median in the eA US Large
Cap Core Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 399,847 386,004
Net Additions 0 -40,019
Return on Investment 12,207 66,068
Ending Market Value 412,054 412,054
Characteristics
0.00
20.00
40.00
60.00
80.00
100.00
120.00
140.00
160.00
180.00
W td Avg M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
15
2.8
6
1.9
6
21
.94
11
.99
3.0
6
13
8.9
7
2.1
1
21
.20
12
.24
2.7
3
Northern Trus t Russell 1000
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Cons
Disc
Cons
Staples
Energy Financials Health
Care
Indust rials Info Tech M aterials Real
Es tate
Telecom U t ilit ies
12
.64
8.4
4
5.7
6
14
.65
13
.93
10
.46
21
.81
3.2
8
3.8
0
2.0
5
3.1
3
12
.63
8.4
4
5.7
7
14
.64
13
.90
10
.44
21
.73
3.2
7
3.8
1
2.0
5
3.1
2
Northern Trus t Russell 1000
Characteristic and allocation charts represents data of the EB Daily Valued Large Cap Stock Index Fund (Non-Mutual Commingled).
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
36
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Northern Trust Russell 1000 Index
10 Year Risk / Return 10 Year Portfolio Statistics
12.00 13.00 14.00 15.00 16.00 17.00 18.004.00
5.00
6.00
7.00
8.00
9.00
10.00
Northern Trust Russell 1000
Standard Deviat ion (%)
Re
turn
(%
)
Northern
Trust Russell 1000
Benchmark Relative Statistics
Return (%) 7.31 7.29
Standard Deviation (%) 15.49 15.49
Sharpe Ratio 0.44 0.44
Beta 1.00
R Squared (%) 100.00
Alpha (%) 0.02
Tracking Error (%) 0.05
Batting Average (%) 65.00
Up Capture (%) 100.00
Down Capture (%) 99.92
10 Year Growth of a Dollar 10 Year Return Analysis
Northern
Trust Russell 1000
Number of Months 120 120
Highest Monthly Return (%) 11.20 11.21
Lowest Monthly Return (%) -17.49 -17.46
Number of Positive Months 78 78
Number of Negative Months 42 42
% of Positive Months 65.00 65.00$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
$2.20
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
Northern Trust Russell 1000
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
37
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
3 Months YTD FYTD 3 Years 5 Years Since Aug 1998
3.0
5
9.2
6
18.0
2
9.2
7
14.6
5
6.5
1
3.0
6
9.2
7
18.0
3
9.2
6
14.6
7
6.4
4
3.0
1
9.0
6
17.3
5
8.9
1
14.3
2
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 49 46 46 41 41
5th Percentile 5.54 13.34 24.21 11.65 16.70
25th Percentile 3.88 10.51 20.18 9.86 15.19
50th Percentile 3.01 9.06 17.35 8.91 14.32
75th Percentile 2.33 7.80 14.83 7.52 13.39
95th Percentile 0.93 5.25 10.15 5.06 11.14
Observations 353 353 352 340 308
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
38
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the One Year Periods Ending June
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
18.0
2
2.9
6
7.3
7
25.3
7
21.1
2
18.0
3
2.9
3
7.3
7
25.3
5
21.2
4
17.3
5
1.2
0
7.7
7
25.3
4
20.8
6
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 46 34 57 50 48
5th Percentile 24.21 10.08 12.92 32.39 27.03
25th Percentile 20.18 4.41 9.92 27.29 23.16
50th Percentile 17.35 1.20 7.77 25.34 20.86
75th Percentile 14.83 -2.13 5.54 22.85 18.57
95th Percentile 10.15 -5.49 1.63 18.02 13.40
Observations 352 365 399 413 428
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
39
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending June 30, 2017
Account Description
Strategy US Small/Mid Cap Value
Vehicle Separately Managed Account
Benchmarks Russell 2500 Value and Russell 2000 Value
Performance Inception Date January 1998
Fees 60 bps base fee with annual performance fee
Performance Goals
Outperform the Russell 2500 Value and Russell 2000 Value.
Over rolling three year periods, rank above the median in the eA US Mid Cap
Value Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 108,226 88,277
Net Additions -167 -604
Return on Investment 2,351 22,737
Income 634 1,982
Gain/Loss 1,717 20,755
Ending Market Value 110,411 110,411
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
4.5
3
3.4
6
1.7
0
17
.50
9.8
0
1.8
04.2
2
0.9
6 2.3
4
23
.95
9.0
7
1.5
5
1.8
3
0.6
6 2.3
0
25
.38
8.5
7
1.4
3
Bos ton Partners Russell 2500 Value Russell 2000 Value
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
Telecom
U t ilit ies
Cash
12
.00
1.0
0
9.8
0
29
.80
5.3
0
12
.90
17
.00
7.6
0
2.1
0
0.0
0
0.8
0
1.7
0
10
.53
3.3
9 6.0
8
24
.31
5.7
9
12
.67
8.4
0
5.0
7
15
.19
0.4
2
6.5
1
0.0
0
10
.53
2.7
8 4.7
4
30
.31
5.5
9
11
.55
9.4
3
4.0
1
11
.55
0.6
9
6.6
4
0.0
0
Bos ton Partners Russell 2500 Value Russell 2000 Value
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
40
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Boston Partners
10 Year Risk / Return 10 Year Portfolio Statistics
16.00 17.00 18.00 19.00 20.00 21.00 22.004.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
Boston Partners Russell 2500 Value
Standard Deviat ion (%)
Re
turn
(%
)
Boston
Partners
Russell
2500 Value
Benchmark Relative Statistics
Return (%) 8.38 6.52
Standard Deviation (%) 19.63 18.88
Sharpe Ratio 0.40 0.32
Beta 1.02
R Squared (%) 96.04
Alpha (%) 1.74
Tracking Error (%) 3.92
Batting Average (%) 53.33
Up Capture (%) 103.55
Down Capture (%) 96.82
10 Year Growth of a Dollar 10 Year Return Analysis
Boston
Partners
Russell
2500 Value
Number of Months 120 120
Highest Monthly Return (%) 19.35 15.95
Lowest Monthly Return (%) -22.79 -20.65
Number of Positive Months 74 74
Number of Negative Months 46 46
% of Positive Months 61.67 61.67$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
$2.20
$2.40
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
Boston Partners Russell 2500 Value
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
41
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
3 Months YTD FYTD 3 Years 5 Years Since Jan 1998
2.1
8 4.3
4
25.8
1
7.9
6
15.3
1
9.8
6
0.3
2 1.9
5
18.3
6
6.2
1
13.6
9
9.0
5
0.6
7
0.5
4
24.8
6
7.0
2
13.3
9
8.4
6
1.4
6
5.4
4
17.7
5
7.7
9
15.5
4
0.9
3
1.9
9
23.1
9
7.6
5
14.8
2
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 25 / 24 71 / 21 12 / 26 46 / 43 52 / 41
5th Percentile 4.60 / 4.16 10.16 / 7.90 29.80 / 30.55 10.73 / 11.11 17.80 / 17.68
25th Percentile 2.17 / 2.13 7.06 / 3.76 21.42 / 26.00 9.09 / 8.81 16.35 / 15.86
50th Percentile 1.46 / 0.93 5.44 / 1.99 17.75 / 23.19 7.79 / 7.65 15.54 / 14.82
75th Percentile 0.32 / -0.15 4.00 / -0.34 15.91 / 20.37 6.33 / 5.57 13.98 / 13.49
95th Percentile -0.67 / -1.83 1.78 / -2.72 13.12 / 14.33 1.77 / -0.59 11.54 / 10.06
Observations 102 / 233 102 / 233 102 / 233 102 / 222 97 / 213
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
42
Oklahoma Police Pension & Retirement System
Boston Partners
For the One Year Periods Ending June
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
25.8
1
-4.2
7
4.4
9
26.9
1
27.6
4
18.3
6
0.2
2
0.9
9
24.9
4
26.8
8
24.8
6
-2.5
8
0.7
8
22.5
4
24.7
6
17.7
5
-0.2
3
5.2
4
27.3
8
27.6
2
23.1
9
-2.7
7
3.9
6
25.5
2
27.0
9
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 12 / 26 80 / 66 60 / 43 55 / 37 50 / 45
5th Percentile 29.80 / 30.55 8.51 / 4.47 10.69 / 10.32 34.19 / 33.59 33.69 / 37.16
25th Percentile 21.42 / 26.00 3.15 / -0.13 7.32 / 6.48 29.67 / 28.36 29.82 / 30.92
50th Percentile 17.75 / 23.19 -0.23 / -2.77 5.24 / 3.96 27.38 / 25.52 27.62 / 27.09
75th Percentile 15.91 / 20.37 -3.89 / -5.41 2.35 / 0.59 24.64 / 23.17 23.83 / 24.14
95th Percentile 13.12 / 14.33 -10.43 / -14.03 -3.10 / -8.24 18.92 / 18.97 20.16 / 17.21
Observations 102 / 233 109 / 241 113 / 253 118 / 255 123 / 254
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
43
Oklahoma Police Pension & Retirement System
Cortina
For the Periods Ending June 30, 2017
Account Description
Strategy US Small/Mid Cap Growth
Vehicle Separately Managed Account
Benchmark Russell 2000 Growth
Performance Inception Date February 2014
Fees First $25M at 100 bps, next $25M at 90 bps, balance at 80 bps
Performance Goals
Outperform the Russell 2000 Growth.
Over rolling three year periods, rank above median in the eA US Small Cap
Growth Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 80,616 64,590
Net Additions -188 -672
Return on Investment 4,499 21,009
Income 16 93
Gain/Loss 4,483 20,916
Ending Market Value 84,927 84,927
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
1.3
6
1.0
0
0.2
0
27
.20
18
.60
3.2
0
2.2
0
0.8
9
0.7
5
48
.19
14
.27
3.9
8
Cort ina Russell 2000 Growth
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
Telecom
U t ilit ies
Cash
8.9
5
1.9
3 3.9
3
5.2
2
25
.40
12
.97
32
.12
3.0
9
0.0
0 2.2
6
0.0
0
4.0
9
14
.20
2.6
1
1.0
0
5.7
9
24
.17
17
.32
24
.13
4.6
3
3.5
0
1.0
3
0.7
2
0.0
0
Cort ina Russell 2000 Growth
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
44
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Cortina
3 Year Risk / Return 3 Year Portfolio Statistics
12.00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20.004.00
5.00
6.00
7.00
8.00
9.00
10.00
Cort ina Russell 2000 Grow th
Standard Deviat ion (%)
Re
turn
(%
)
Cortina
Russell
2000 Growth
Benchmark Relative Statistics
Return (%) 7.77 7.64
Standard Deviation (%) 15.62 16.07
Sharpe Ratio 0.49 0.46
Beta 0.91
R Squared (%) 87.37
Alpha (%) 0.83
Tracking Error (%) 5.74
Batting Average (%) 61.11
Up Capture (%) 92.46
Down Capture (%) 92.81
3 Year Growth of a Dollar 3 Year Return Analysis
Cortina
Russell
2000 Growth
Number of Months 36 36
Highest Monthly Return (%) 11.26 8.95
Lowest Monthly Return (%) -9.33 -10.83
Number of Positive Months 23 24
Number of Negative Months 13 12
% of Positive Months 63.89 66.67$0.80
$0.85
$0.90
$0.95
$1.00
$1.05
$1.10
$1.15
$1.20
$1.25
$1.30
Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17
Cort ina Russell 2000 Grow th
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
45
Oklahoma Police Pension & Retirement System
Cortina
For the Periods Ending June 30, 2017
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
3 Months YTD FYTD 2 Years 3 Years Since Feb 2014
5.5
9
10.8
3
32.6
7
11.5
4
7.7
7
5.5
4
4.3
9
9.9
7
24.4
0
5.3
7 7.6
4
7.9
2
5.0
5
11.5
4
24.3
4
6.6
2 8.3
0
Cort ina Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 39 57 11 15 58
5th Percentile 9.34 19.03 35.21 14.10 12.79
25th Percentile 6.65 14.78 28.26 9.08 10.51
50th Percentile 5.05 11.54 24.34 6.62 8.30
75th Percentile 3.58 8.83 20.91 3.82 5.62
95th Percentile 1.13 3.94 15.55 -0.49 2.14
Observations 179 179 179 176 172
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
46
Oklahoma Police Pension & Retirement System
Cortina
For the One Year Periods Ending June
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
32.6
7
-6.2
3
0.6
0
24.4
0
-10.7
5
12.3
4
24.7
3
23.6
7
24.3
4
-8.7
0
11.2
5
24.2
4
25.1
2
Cort ina Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 11 36 97
5th Percentile 35.21 2.13 19.96 34.48 34.32
25th Percentile 28.26 -5.32 14.50 27.77 28.70
50th Percentile 24.34 -8.70 11.25 24.24 25.12
75th Percentile 20.91 -13.57 8.44 20.42 21.50
95th Percentile 15.55 -18.51 1.59 15.81 16.32
Observations 179 188 199 208 210
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
47
Oklahoma Police Pension & Retirement System
■ Equity Long/Short Hedge Fund of Funds■ Performance Inception Date: November 2003
■ Net Exposure: 59.86%■ Gross Exposure: 185.65%
■Historical Average:
Gross Exposure: 143.61%Net Exposure: 42.66% ■
■
Characteristics provided by manager are the weighted average of GLSEF and GLSEF-B data.
The Beta of the portfolio relative to the MSCI All Country World Indexshould be < 0.7.
Market Value: $335,626,204
Grosvenor Long/Short EquityFor the Periods Ending June 30, 2017
Historical Net & Gross Exposure
Exposure
Performance GoalsMeet or exceed the return of the MSCI All Country World,over extended time periods (5 to 10 years).
The volatility (standard deviation) of the portfolio should be less thantwo-thirds the volatility of the MSCI All Country World.
Strategy Allocation Strategy
0%
40%
80%
120%
160%
200%
240%
Net Exposure Gross Exposure
Gross Longs Gross Shorts
Equities, 94.52%
Quantitative, 2.36%
Macro, 2.41%
Other, 0.22%
Cash , 0.48%
48
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Grosvenor Long/Short Equity
10 Year Risk / Return 10 Year Portfolio Statistics
4.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00 20.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Grosvenor MSCI ACWI HFRI FOF: St rategic
Standard Deviat ion (%)
Re
turn
(%
)
Grosvenor MSCI ACWI
HFRI FOF:
Strategic
Benchmark Relative Statistics
Return (%) 3.33 4.27 0.88
Standard Deviation (%) 7.38 16.96 6.69
Sharpe Ratio 0.39 0.23 0.07
Beta 0.34 1.01
R Squared (%) 61.67 83.06
Alpha (%) 1.64 2.47
Tracking Error (%) 12.06 3.04
Batting Average (%) 50.00 64.17
Up Capture (%) 37.61 119.80
Down Capture (%) 40.43 91.41
10 Year Growth of a Dollar 10 Year Return Analysis
Grosvenor MSCI ACWI
HFRI FOF:
Strategic
Number of Months 120 120 120
Highest Monthly Return (%) 4.12 11.90 4.25
Lowest Monthly Return (%) -10.06 -19.79 -7.66
Number of Positive Months 77 69 70
Number of Negative Months 43 51 50
% of Positive Months 64.17 57.50 58.33$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
Grosvenor MSCI ACWI HFRI FOF: St rategic
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
49
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
3 Months YTD FYTD 3 Years 5 Years Since Nov 2003
2.1
5
6.1
2
11.4
5
4.5
7
7.5
9
5.0
6
4.4
5
11.8
2
19.4
2
5.3
9
11.1
4
7.9
2
1.6
5
5.5
1
9.3
8
1.8
3
4.5
5
3.6
7
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
50
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the One Year Periods Ending June
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
11.4
5
-5.7
3
8.8
1
11.7
7
12.8
3
19.4
2
-3.1
7
1.2
3
23.5
8
17.2
1
9.3
8
-7.7
1
4.6
2
9.0
8
8.4
5
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
51
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending June 30, 2017
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Limited Partnership
Benchmarks MSCI EAFE and MSCI EAFE Value
Performance Inception Date May 2004
Fees 70 bps on the first $20 million, 50 bps on the next $30 million, 40 bps on the
next $50 million, 30 bps thereafter
Performance Goals
Outperform the MSCI EAFE and MSCI EAFE Value.
Over rolling three year periods, rank above the median in the eA EAFE All Cap
Value Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 126,182 113,048
Net Additions 0 0
Return on Investment 5,369 18,503
Ending Market Value 131,552 131,552
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) P/B Dividend Yield
63
.20
18
.00
1.6
0
3.8
0
55
.83
19
.11
1.6
7
3.0
7
61
.97
16
.43
1.2
2
4.0
2
Mondrian MSCI EAFE MSCI EAFE Value
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
11
.60
10
.60
9.3
0
15
.60
12
.80
12
.00
8.2
0
0.0
0
1.2
0
10
.40
7.2
0
1.1
0
11
.95
11
.52
4.7
3
21
.60
10
.83
14
.54
6.0
5
7.5
0
3.6
3
4.2
5
3.4
0
0.0
0
9.1
6
3.0
5
8.5
4
35
.44
8.6
8
10
.75
3.0
2 5.5
2
4.6
8
5.7
0
5.4
7
0.0
0
Mondrian MSCI EAFE MSCI EAFE Value
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Japan
United Kingdom
France
Germany
Switzerland
Australia
Netherlands
Hong Kong
Spain
Sweden
Emerging Markets
Other
17
.50
22
.90
7.2
0 10
.20
9.8
0
1.3
0
2.4
0
0.3
0
5.6
0
4.4
0
4.2
0
14
.20
23
.45
17
.67
10
.52
9.5
1
8.5
1
7.0
6
3.5
3
3.4
9
3.4
6
2.9
2
0.0
0
9.8
8
23
.11
19
.57
10
.72
9.0
1
7.7
9
6.9
3
1.7
8 3.3
7 5.1
1
2.8
3
0.0
0
9.7
8
Mondrian MSCI EAFE MSCI EAFE Value
Characteristic and allocation charts represents data of the Mondrian International Equity Fund, LP (Limited Partnership).
© 2017 Asset Consulting Group All Rights Reserved
52
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Mondrian International
10 Year Risk / Return 10 Year Portfolio Statistics
14.00 15.00 16.00 17.00 18.00 19.00 20.00 21.00 22.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
Mondrian MSCI EAFE MSCI EAFE Value
Standard Deviat ion (%)
Re
turn
(%
)
Mondrian MSCI EAFE
MSCI
EAFE Value
Benchmark Relative Statistics
Return (%) 1.72 1.50 0.50
Standard Deviation (%) 16.69 18.65 19.82
Sharpe Ratio 0.08 0.06 0.00
Beta 0.87 0.82
R Squared (%) 95.36 94.26
Alpha (%) 0.27 1.09
Tracking Error (%) 4.30 5.39
Batting Average (%) 50.00 53.33
Up Capture (%) 89.11 81.27
Down Capture (%) 91.87 83.87
10 Year Growth of a Dollar 10 Year Return Analysis
Mondrian MSCI EAFE
MSCI
EAFE Value
Number of Months 120 120 120
Highest Monthly Return (%) 11.12 12.96 17.46
Lowest Monthly Return (%) -15.52 -20.17 -20.56
Number of Positive Months 62 61 61
Number of Negative Months 58 59 59
% of Positive Months 51.67 50.83 50.83$0.40
$0.50
$0.60
$0.70
$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
Mondrian MSCI EAFE MSCI EAFE Value
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
53
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending June 30, 2017
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
3 Months YTD FYTD 3 Years 5 Years Since May 2004
4.2
6
12.0
7
16.3
7
0.6
3
8.5
8
6.7
8
6.3
7
14.2
3
20.8
3
1.6
1
9.1
8
6.1
9
5.0
7
11.6
0
25.7
1
-0.0
5
8.7
0
5.8
2
6.0
4
13.5
8
22.9
6
2.9
5
10.3
5
M ondrian M SCI EAFE M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 87 73 94 80 81
5th Percentile 9.61 19.59 29.95 6.02 13.80
25th Percentile 6.71 14.38 25.14 5.01 13.04
50th Percentile 6.04 13.58 22.96 2.95 10.35
75th Percentile 5.40 11.77 19.09 1.10 8.65
95th Percentile 2.84 9.25 16.24 -0.07 7.38
Observations 34 34 33 31 30
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
54
Oklahoma Police Pension & Retirement System
Mondrian International
For the One Year Periods Ending June
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
16.3
7
-7.3
9
-5.4
4
27.7
7
15.9
420.8
3
-9.7
2 -3.8
2
24.0
9
19.1
425.7
1
-14.9
1
-6.6
4
27.4
9
19.2
1
22.9
6
-8.7
6 -2.4
9
26.1
6
21.5
8
M ondrian M SCI EAFE M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 94 43 78 28 80
5th Percentile 29.95 5.96 1.24 31.06 30.42
25th Percentile 25.14 -4.17 -0.83 27.91 24.16
50th Percentile 22.96 -8.76 -2.49 26.16 21.58
75th Percentile 19.09 -11.49 -5.43 23.76 17.67
95th Percentile 16.24 -15.39 -7.73 19.59 13.09
Observations 33 36 33 33 33
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
55
Oklahoma Police Pension & Retirement System
Baring Focused International
For the Periods Ending June 30, 2017
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Non-Mutual Commingled
Benchmarks MSCI EAFE and MSCI ACWI ex US
Performance Inception Date March 2012
Fees 40 bps base feel plus performance based fee
Performance Goals
Outperform the MSCI EAFE and MSCI ACWI ex US.
Over rolling three year periods, rank above the median in the eA EAFE All Cap
Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 104,276 93,032
Net Additions -100 -951
Return on Investment 7,834 19,929
Ending Market Value 112,010 112,010
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Wtd Avg Mkt Cap ($Bil) P/B P/E (1 Yr Trailing) Dividend Yield
39
.10
2.4
8
20
.86
2.3
4
55
.83
1.6
7
19
.11
3.0
7
57
.68
1.6
8
18
.00
2.9
1
Baring MSCI EAFE MSCI ACWI ex US
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
15
.97
10
.05
3.6
7
18
.67
9.1
2
10
.15
14
.72
7.9
3
1.5
6
5.0
2
0.0
0 3.1
4
11
.95
11
.52
4.7
3
21
.60
10
.83 1
4.5
4
6.0
5
7.5
0
3.6
3
4.2
5
3.4
0
0.0
0
11
.15
9.9
2
6.2
9
23
.33
8.1
4
12
.01
10
.76
7.5
6
3.2
0
4.4
0
3.1
3
0.0
0
Baring MSCI EAFE MSCI ACWI ex US
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
Japan
United Kingdom
France
Germany
Switzerland
Australia
Netherlands
Hong Kong
Spain
Sweden
Emerging Markets
Other
24
.84
26
.73
6.3
2 9.5
0
2.6
7 5.4
5
6.0
1
3.7
9
2.2
9
2.1
9
0.0
0
10
.21
23
.45
17
.67
10
.52
9.5
1
8.5
1
7.0
6
3.5
3
3.4
9
3.4
6
2.9
2
0.0
0
9.8
8
16
.32
12
.30
7.3
2
6.6
2
5.9
2
4.9
1
2.4
6
2.4
3
2.4
1
2.0
4
23
.80
13
.47
Baring MSCI EAFE MSCI ACWI ex US
Characteristic and allocation charts represents data of the Baring Focused International Equity Fund (Non-Mutual Commingled).
© 2017 Asset Consulting Group All Rights Reserved
56
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Baring Focused International
5 Year Risk / Return 5 Year Portfolio Statistics
8.00 9.00 10.00 11.00 12.00 13.00 14.004.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
Baring MSCI EAFE MSCI ACWI ex US
Standard Deviat ion (%)
Re
turn
(%
)
Baring MSCI EAFE
MSCI
ACWI ex US
Benchmark Relative Statistics
Return (%) 8.16 9.18 7.70
Standard Deviation (%) 11.04 11.75 11.57
Sharpe Ratio 0.73 0.77 0.65
Beta 0.88 0.87
R Squared (%) 87.47 82.68
Alpha (%) 0.13 1.45
Tracking Error (%) 4.16 4.84
Batting Average (%) 50.00 48.33
Up Capture (%) 89.28 87.88
Down Capture (%) 93.01 82.24
5 Year Growth of a Dollar 5 Year Return Analysis
Baring MSCI EAFE
MSCI
ACWI ex US
Number of Months 60 60 60
Highest Monthly Return (%) 8.27 7.82 8.21
Lowest Monthly Return (%) -7.13 -7.35 -7.63
Number of Positive Months 35 35 36
Number of Negative Months 25 25 24
% of Positive Months 58.33 58.33 60.00$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
Jun-12 Apr-13 Feb-14 Dec-14 Oct-15 Aug-16 Jun-17
Baring MSCI EAFE MSCI ACWI ex US
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
57
Oklahoma Police Pension & Retirement System
Baring Focused International
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
3 Months YTD FYTD 3 Years 5 Years Since Mar 2012
7.5
1
16.7
1
21.5
4
5.4
2
8.1
6
5.7
9
6.3
7
14.2
3
20.8
3
1.6
1
9.1
8
7.0
6
5.9
9
14.4
5
21.0
0
1.2
7
7.7
0
5.4
16.7
1
14.7
7
20.4
7
3.3
0
10.1
4
Baring M SCI EAFE M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 29 19 42 14 95
5th Percentile 9.56 20.08 29.78 6.06 13.84
25th Percentile 7.79 15.98 23.32 4.54 11.40
50th Percentile 6.71 14.77 20.47 3.30 10.14
75th Percentile 6.04 13.82 17.37 1.80 9.00
95th Percentile 3.90 11.02 12.57 0.17 8.15
Observations 117 117 116 108 97
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
58
Oklahoma Police Pension & Retirement System
Baring Focused International
For the One Year Periods Ending June
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
21.5
4
-5.0
6
1.5
2
13.9
1
10.9
2
20.8
3
-9.7
2
-3.8
2
24.0
9
19.1
4
21.0
0
-9.8
0
-4.8
5
22.2
7
14.1
4
20.4
7
-8.0
8
-1.3
7
24.6
0
19.6
4
Baring M SCI EAFE M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 42 28 15 99 99
5th Percentile 29.78 1.12 3.75 30.60 28.44
25th Percentile 23.32 -4.74 0.43 27.57 22.51
50th Percentile 20.47 -8.08 -1.37 24.60 19.64
75th Percentile 17.37 -11.13 -4.27 21.98 16.77
95th Percentile 12.57 -13.57 -7.95 17.18 12.72
Observations 116 119 117 115 114
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
59
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending June 30, 2017
Account Description
Strategy Emerging Markets Equity
Vehicle Non-Mutual Commingled
Benchmark MSCI EM SC
Performance Inception Date September 2012
Fees 150 bps
Performance Goals
Outperform the MSCI EM SC over a market cycle.
Rank above median in the eA Emerging Mkts Equity universe over a market
cycle.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 31,068 30,116
Net Additions -125 -433
Return on Investment 2,829 4,090
Ending Market Value 33,773 33,773
Characteristics
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
P/E (1 Yr Trailing) P/B Dividend Yield EPS Growth (5 Yr Proj)
30
.35
6.3
7
1.5
4
23
.51
20
.66
1.4
6
2.1
7
14
.83
Wasatch MSCI EM SC
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Cons Disc Cons
Staples
Energy Financials Health
Care
Industrials Info Tech Materials Real
Estate
Telecom Utilities
20
.44
12
.32
1.0
3
16
.25
9.5
6
15
.26 17
.89
5.3
4
1.9
0
0.0
0
0.0
0
16
.77
6.6
7
2.0
8
9.2
0
8.0
6
14
.96
17
.09
11
.17
8.9
5
0.9
4
3.9
2
Wasatch MSCI EM SC
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
China Taiwan South
Korea
India South
Africa
Brazil Thailand Malaysia Mexico Indonesia Other
12
.30
17
.97
13
.42
14
.84
4.4
1 6.8
1
4.5
0
0.5
2
5.8
9
1.0
5
18
.29
20
.42
17
.91
16
.38
13
.96
5.1
5
4.4
6
3.6
7
3.3
2
3.0
6
2.4
5
9.2
2
Wasatch MSCI EM SC
Characteristic and allocation charts represents data of the Wasatch Emerging Markets Small Cap CIT (Non-Mutual Commingled).
© 2017 Asset Consulting Group All Rights Reserved
60
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Wasatch Emerging Markets
4 Year Risk / Return 4 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.000.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Wasatch MSCI EM SC
Standard Deviat ion (%)
Re
turn
(%
)
Wasatch MSCI EM SC
Benchmark Relative Statistics
Return (%) 2.38 4.30
Standard Deviation (%) 13.00 13.70
Sharpe Ratio 0.17 0.30
Beta 0.83
R Squared (%) 76.59
Alpha (%) -1.07
Tracking Error (%) 6.71
Batting Average (%) 41.67
Up Capture (%) 87.36
Down Capture (%) 98.28
4 Year Growth of a Dollar 4 Year Return Analysis
Wasatch MSCI EM SC
Number of Months 48 48
Highest Monthly Return (%) 8.10 10.01
Lowest Monthly Return (%) -9.57 -9.60
Number of Positive Months 27 29
Number of Negative Months 21 19
% of Positive Months 56.25 60.42$0.85
$0.90
$0.95
$1.00
$1.05
$1.10
$1.15
$1.20
$1.25
Jun-13 Feb-14 Oct-14 Jun-15 Feb-16 Oct-16 Jun-17
Wasatch MSCI EM SC
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
61
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
3 Months YTD FYTD 3 Years 5 Years Since Sep 2012
9.1
2
20.3
7
13.7
2
1.9
3 3.9
7
2.6
9
16.1
0
17.3
4
1.1
0
5.4
6
5.1
76.2
7
19.2
4
23.7
5
2.4
7
5.7
7
Wasatch M SCI EM SC eA Emerging M kts Equity
Re
turn
(%
)
Ranking 10 36 95 59
5th Percentile 9.67 24.49 31.88 6.55 10.42
25th Percentile 7.45 21.14 26.74 4.01 7.29
50th Percentile 6.27 19.24 23.75 2.47 5.77
75th Percentile 4.77 17.15 19.86 1.09 4.45
95th Percentile 2.70 13.51 13.11 -1.48 2.84
Observations 441 440 440 397 322
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
62
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the One Year Periods Ending June
-20.00
-10.00
0.00
10.00
20.00
30.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
13.7
2
-9.7
3
3.1
6
3.7
6
17.3
4
-12.5
0
0.6
4
14.5
3
10.2
2
23.7
5
-9.2
2
-4.2
0
15.1
6
6.3
5
Wasatch M SCI EM SC eA Emerging M kts Equity
Re
turn
(%
)
Ranking 95 55 7 99
5th Percentile 31.88 -1.80 4.03 25.14 19.38
25th Percentile 26.74 -6.19 -1.27 18.20 10.10
50th Percentile 23.75 -9.22 -4.20 15.16 6.35
75th Percentile 19.86 -11.90 -7.29 12.85 3.21
95th Percentile 13.11 -14.64 -11.68 8.57 -0.78
Observations 440 457 449 444 408
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
63
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending June 30, 2017
Account Description
Strategy Emerging Markets Equity
Vehicle Non-Mutual Commingled
Benchmark MSCI Emerging Markets
Performance Inception Date November 2016
Fees 65 bps (preferred fee)
Performance Goals
Outperform the MSCI Emerging Markets.
Over rolling three year periods, rank above the median in the eA Emerging
Mkts Equity universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 74,618 0
Net Additions 0 69,666
Return on Investment 4,254 9,206
Ending Market Value 78,872 78,872
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) Dividend Yield
63
.00
13
.44
2.8
0
67
.80
14
.89
2.4
3
AB EM Strategic Core Equity Fund MSCI Emerging Markets
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
10
.02
6.6
1
5.4
9
31
.37
3.6
6 6.2
2
22
.67
4.6
9
1.1
6 4.8
3
0.7
8
2.5
0
10
.46
6.7
9
6.5
5
23
.59
2.3
9 5.7
3
26
.73
7.0
9
2.6
6 5.3
9
2.6
1
0.0
0
AB EM Strategic Core Equity Fund MSCI Emerging Markets
Country Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
China South
Korea
Taiwan India Brazil South
Africa
Mexico Russia Indonesia Malaysia Other
22
.72
17
.02
16
.66
2.4
8
3.5
6
1.1
7
36
.39
27
.90
15
.61
12
.48
8.8
1
6.6
2
6.5
6
3.6
9
3.1
6
2.4
6
2.3
8
10
.33
AB EM Strategic Core Equity Fund MSCI Emerging Markets
© 2017 Asset Consulting Group All Rights Reserved
64
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
3 Months 6 Months FYTD Since Nov 2016
5.7
0
19.6
8
13.1
0
6.3
8
18.6
0
24.1
7
13.4
8
6.2
7
19.2
4
23.7
5
AB EM Strategic Core Equity Fund M SCI Emerging M arkets eA Emerging M kts Equity
Re
turn
(%
)
Ranking 62 45
5th Percentile 9.67 24.49 31.88
25th Percentile 7.45 21.14 26.74
50th Percentile 6.27 19.24 23.75
75th Percentile 4.77 17.15 19.86
95th Percentile 2.70 13.51 13.11
Observations 441 440 440
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
65
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending June 30, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-14,408,724 22,459,813 8,051,089
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 613,000,000 499,469,334 135,441,679 555,381,200 177,721,353 1.47x733,102,553
Buyout 205,500,000 174,931,453 44,655,734 217,056,849 50,620,280 1.53x267,677,129
Marathon IV Apr-99 7,000,000 7,462,426 - 10,188,872 - 1.37x10,188,872
Hicks, Muse Oct-01 15,000,000 16,211,210 - 28,272,306 - 1.74x28,272,306
Calera Capital (Fremont III) Jan-02 10,000,000 10,998,419 271,104 10,210,986 39,740 0.93x10,250,726
Arsenal Capital Partners Jan-03 15,000,000 16,154,576 - 28,622,510 - 1.77x28,622,510
Levine Leichtman Jan-03 10,000,000 10,612,096 439,719 15,175,710 1,387,508 1.56x16,563,218
Marathon Fund Limited Partnership V Dec-04 10,000,000 10,557,584 9,301 19,621,324 -10,517 1.86x19,610,807
Arsenal Capital Partners II Sep-06 15,000,000 14,898,996 -24,371 24,805,969 6,254,708 2.08x31,060,677
Thompson Street C.P. II Dec-06 10,000,000 10,579,171 970,164 18,484,018 2,414,614 1.98x20,898,632
Sun Capital Partners V Apr-07 12,500,000 12,588,330 2,182,365 8,296,866 8,569,706 1.34x16,866,572
HM Capital Sector Performance Fund May-07 15,000,000 15,604,226 647,720 14,690,140 - 0.94x14,690,140
Calera Capital Fund IV Jan-08 10,000,000 8,750,484 1,249,516 12,521,567 1,355,307 1.59x13,876,874
Levine Leichtman IV Aug-08 10,000,000 8,627,273 1,679,127 13,417,144 2,694,113 1.87x16,111,257
Thompson Street Capital III Aug-11 7,500,000 7,363,701 136,299 7,060,973 4,064,565 1.51x11,125,538
Arsenal Capital Partners III Apr-12 7,500,000 7,914,948 1,809,271 4,481,287 7,791,781 1.55x12,273,068
Apollo Investment Fund VIII Oct-13 7,500,000 5,367,722 3,003,886 1,185,253 5,025,616 1.16x6,210,869
Francisco Partners Fund IV Nov-14 8,000,000 4,900,000 3,100,000 - 5,511,868 1.12x5,511,868
CenterOak Equity Fund I Aug-15 7,500,000 2,315,408 5,184,592 - 1,520,347 0.66x1,520,347
Thompson Street Capital Partners IV Jan-16 7,500,000 3,235,558 4,264,442 - 3,233,523 1.00x3,233,523
Leonard Green Equity Investors VII Feb-16 7,500,000 789,325 6,732,599 21,924 767,401 1.00x789,325
Apollo Investment Fund IX May-17 13,000,000 - 13,000,000 - - --
© 2017 Asset Consulting Group All Rights Reserved
66
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending June 30, 2017
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Distressed 143,500,000 115,894,534 28,064,456 153,025,563 19,165,906 1.49x172,191,469
Oaktree Opportunities Fund II Feb-98 3,000,000 3,000,000 - 4,525,923 - 1.51x4,525,923
Oaktree Opportunities Fund III Sep-99 5,000,000 5,000,000 - 7,534,416 -1,369 1.51x7,533,047
Oaktree Opportunities Fund IV Dec-01 10,000,000 10,000,000 - 16,802,931 1,897 1.68x16,804,828
Siguler Guff Dist Opp I Jan-03 20,000,000 19,568,416 - 30,991,330 - 1.58x30,991,330
Oaktree Opportunities Fund V Jun-04 4,000,000 4,000,000 - 6,458,089 93,427 1.64x6,551,516
Oaktree Opportunities Fund VI Aug-05 4,000,000 4,000,000 - 6,317,103 3,808 1.58x6,320,911
Siguler Guff Dist Opp II Sep-05 20,000,000 20,006,044 - 27,504,768 837,942 1.42x28,342,710
Oaktree Opportunities VII A Mar-07 7,500,000 7,554,219 - 9,687,042 694,593 1.37x10,381,635
Oaktree Opportunities VII B May-08 7,500,000 6,750,000 750,000 11,101,022 542,208 1.72x11,643,230
Siguler Guff Dist Opp III Aug-08 15,000,000 14,480,311 600,000 18,881,598 3,788,016 1.57x22,669,614
Oaktree Opportunities VIII Nov-09 7,500,000 6,750,000 750,000 7,879,319 1,834,410 1.44x9,713,729
Oaktree Opportunities IX Jun-12 7,500,000 7,500,000 - 1,046,121 6,659,753 1.03x7,705,874
Oaktree European Dislocation Fund Oct-13 7,500,000 4,285,544 3,214,456 3,545,901 1,130,231 1.09x4,676,132
Oaktree Opportunities Fund X Mar-15 7,500,000 3,000,000 5,250,000 750,000 3,580,990 1.44x4,330,990
Oaktree Opportunities Fund Xb Jun-15 7,500,000 - 7,500,000 - - --
Apollo EPF III Dec-16 10,000,000 - 10,000,000 - - --
Emerging Markets Focused 7,500,000 5,895,216 2,121,067 980,182 5,063,833 1.03x6,044,015
Actis EM IV Jan-12 7,500,000 5,895,216 2,121,067 980,182 5,063,833 1.03x6,044,015
Mezzanine 49,500,000 49,629,213 5,519,655 65,682,458 5,228,122 1.43x70,910,580
TCW Crescent II Mar-99 7,000,000 6,726,192 - 9,793,612 - 1.46x9,793,612
TCW Crescent Mezzanine Partner III Jul-01 10,000,000 10,188,852 200,324 20,545,737 325,013 2.05x20,870,750
TCW Crescent IV Jun-06 10,000,000 9,873,180 1,921,076 11,036,326 105,822 1.13x11,142,148
Newstone Capital Partners Oct-06 5,000,000 5,697,863 116,709 6,584,299 436,536 1.23x7,020,835
TCW Mezzanine Fund V Jan-08 10,000,000 7,336,349 2,663,651 9,228,323 1,223,811 1.42x10,452,134
Newstone Capital Partners II Jan-10 7,500,000 9,806,777 617,895 8,494,161 3,136,940 1.19x11,631,101
Other 31,500,000 15,310,440 17,429,619 5,371,602 12,497,158 1.17x17,868,760
EnCap Energy Fund IX Jan-13 6,500,000 6,355,402 818,509 3,332,950 4,861,453 1.29x8,194,403
EnCap Energy Fund X Mar-15 7,500,000 4,018,943 4,047,205 1,125,082 3,319,444 1.11x4,444,526
ArcLight Energy Partners VI Mar-15 7,500,000 4,936,095 2,563,905 913,570 4,316,261 1.06x5,229,831
EnCap Energy Fund XI Dec-16 10,000,000 - 10,000,000 - - --
Secondary Fund of Funds 20,000,000 21,439,062 326,939 24,582,447 4,155,624 1.34x28,738,071
Lexington VI Dec-05 20,000,000 21,439,062 326,939 24,582,447 4,155,624 1.34x28,738,071
© 2017 Asset Consulting Group All Rights Reserved
67
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending June 30, 2017
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Venture Capital 155,500,000 116,369,416 37,324,209 88,682,099 80,990,430 1.46x169,672,529
Weiss, Peck & Greer V, LLC Jul-99 7,000,000 6,932,406 67,594 4,507,097 - 0.65x4,507,097
Firstmark Venture Partners II (Pequot) Feb-00 1,000,000 955,000 - 322,553 - 0.34x322,553
Lightspeed Venture Partners VI (WPG) Oct-00 12,000,000 11,010,270 989,730 10,111,364 503,783 0.96x10,615,147
Midtown Fund III (Firstmark III,Pequot) Oct-00 15,000,000 14,738,625 - 12,141,249 - 0.82x12,141,249
Venture Lending & Leasing Fund May-01 6,000,000 4,500,000 - 5,496,840 105,930 1.25x5,602,770
Accel Europe Jun-01 10,000,000 10,000,000 - 10,893,985 2,453,096 1.33x13,347,081
Knightsbridge Fund VI Dec-04 12,000,000 11,232,000 768,000 7,532,368 7,705,534 1.36x15,237,902
Firstmark I (Pequot, Firstmark IV) Nov-05 5,000,000 4,950,000 50,000 12,823,983 20,577,942 6.75x33,401,925
Weathergage Venture Capital Mar-07 7,500,000 6,862,500 637,500 6,429,343 6,540,043 1.89x12,969,386
Warburg Pincus Sep-07 15,000,000 15,000,000 - 14,334,293 7,727,191 1.47x22,061,484
Weathergage Venture Cap II Mar-11 7,500,000 6,900,000 600,000 1,475,348 9,863,103 1.64x11,338,451
Firstmark II (Firstmark V) Jul-11 5,000,000 4,822,365 177,635 400,700 6,585,896 1.45x6,986,596
Warburg Pincus XI Oct-12 7,500,000 7,061,250 438,750 1,744,478 7,654,763 1.33x9,399,241
Firstmark Capital Fund III Oct-13 5,000,000 3,800,000 1,200,000 - 4,144,330 1.09x4,144,330
Firstmark Capital Opportunity Fund I May-14 5,000,000 3,225,000 1,775,000 441,498 3,032,872 1.08x3,474,370
Warburg Pincus XII Dec-15 10,000,000 3,180,000 6,820,000 27,000 3,048,685 0.97x3,075,685
FirstMark Capital Fund IV May-16 7,500,000 300,000 7,200,000 - 300,000 1.00x300,000
FirstMark Capital Opportunity Fund II May-16 7,500,000 - 7,500,000 - - --
Weathergage Venture Capital IV Dec-16 10,000,000 900,000 9,100,000 - 747,262 0.83x747,262
© 2017 Asset Consulting Group All Rights Reserved
68
Oklahoma Police Pension & Retirement System
Fixed Income Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
69
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending June 30, 2017
Account Description
Strategy Core Bonds
Vehicle Separately Managed Account
Benchmark BloomBar US Aggregate
Performance Inception Date October 1999
Fees 25 bps on the first $25 million, 20 bps on the next $75 million, 15 bps on the
next $50 million, and 10 bps on the next $50 million
Performance Goals
Outperform the BloomBar US Aggregate.
Over rolling three year periods, rank above the median in the eA US Core
Fixed Income universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 167,350 169,582
Net Additions -76 -292
Return on Investment 2,766 749
Income 1,494 6,576
Gain/Loss 1,272 -5,826
Ending Market Value 170,040 170,040
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Avg Maturity (yrs) Eff Duration (yrs) Avg Quality YTM (%)
7.9
4
5.7
7
20
.00
2.7
3
8.2
7
6.0
1
22
.00
2.5
6
Agincourt BloomBar US Aggregate
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
9.5
5
56
.90
29
.27
0.0
0
3.2
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
1.0
8
37
.01
25
.34
28
.16
3.5
1
1.7
7
0.0
0
0.0
0
0.0
0
0.0
0 4.2
1
0.0
0
Agincourt BloomBar US Aggregate
Quality Allocation
0.00
20.00
40.00
60.00
80.00
100.00
AAA AA A BBB BB B CCC CC C Below
C/NR
43
.57
4.6
4
18
.61 3
3.1
8
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
71
.50
4.2
9 10
.67
13
.54
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
Agincourt BloomBar US Aggregate
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
70
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Agincourt Core Fixed Income
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.002.00
3.00
4.00
5.00
6.00
7.00
8.00
AgincourtBloomBar US
Aggregate
Standard Deviat ion (%)
Re
turn
(%
)
Agincourt
BloomBar US
Aggregate
Benchmark Relative Statistics
Return (%) 4.88 4.48
Standard Deviation (%) 3.58 3.27
Sharpe Ratio 1.24 1.24
Beta 0.99
R Squared (%) 81.55
Alpha (%) 0.45
Tracking Error (%) 1.54
Batting Average (%) 60.00
Up Capture (%) 106.46
Down Capture (%) 101.41
10 Year Growth of a Dollar 10 Year Return Analysis
Agincourt
BloomBar US
Aggregate
Number of Months 120 120
Highest Monthly Return (%) 3.80 3.73
Lowest Monthly Return (%) -3.54 -2.37
Number of Positive Months 81 81
Number of Negative Months 39 39
% of Positive Months 67.50 67.50$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
$1.70
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
AgincourtBloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
71
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending June 30, 2017
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
3 Months YTD FYTD 3 Years 5 Years Since Oct 1999
1.6
5
2.5
4
0.4
4
2.8
6
2.8
0
5.5
1
1.4
5
2.2
7
-0.3
1
2.4
8
2.2
1
5.1
1
1.5
6
2.5
2
0.3
4
2.7
9
2.7
3
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 33 48 44 47 46
5th Percentile 1.93 3.22 2.35 3.72 3.91
25th Percentile 1.69 2.77 0.94 3.08 3.16
50th Percentile 1.56 2.52 0.34 2.79 2.73
75th Percentile 1.43 2.32 -0.10 2.60 2.43
95th Percentile 1.17 2.00 -0.70 2.21 2.03
Observations 229 229 229 225 222
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
72
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the One Year Periods Ending June
-2.00
0.00
2.00
4.00
6.00
8.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
0.4
4
6.2
4
1.9
8
5.1
1
0.3
4
-0.3
1
6.0
0
1.8
6
4.3
7
-0.6
9
0.3
4
6.1
3
2.0
7
5.0
0
0.2
8
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 44 40 59 45 48
5th Percentile 2.35 7.27 2.96 6.84 2.85
25th Percentile 0.94 6.56 2.38 5.56 1.07
50th Percentile 0.34 6.13 2.07 5.00 0.28
75th Percentile -0.10 5.67 1.75 4.36 -0.27
95th Percentile -0.70 4.38 1.21 3.31 -1.09
Observations 229 253 263 276 296
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
73
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the Periods Ending June 30, 2017
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Non-Mutual Commingled
Benchmark BloomBar US Aggregate
Performance Inception Date February 1998
Fees 50 bps
Performance Goals
Outperform the BloomBar US Aggregate.
Each underlying strategy should outperform its relevant benchmark.
Growth of a Dollar
$0.80
$1.20
$1.60
$2.00
$2.40
$2.80
$3.20
$3.60
$4.00
Dec-97 Mar-01 Jun-04 Sep-07 Dec-10 Mar-14 Jun-17
OaktreeBloomBar US
Aggregate
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 118,130 108,346
Net Additions -165 -643
Return on Investment 2,590 12,852
Ending Market Value 120,555 120,555
© 2017 Asset Consulting Group All Rights Reserved
74
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Oaktree Capital Management
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 2.00 4.00 6.00 8.00 10.00 12.002.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
OaktreeBloomBar US
Aggregate
Standard Deviat ion (%)
Re
turn
(%
)
Oaktree
BloomBar US
Aggregate
Benchmark Relative Statistics
Return (%) 6.88 4.48
Standard Deviation (%) 8.90 3.27
Sharpe Ratio 0.73 1.24
Beta 0.65
R Squared (%) 5.69
Alpha (%) 4.28
Tracking Error (%) 8.72
Batting Average (%) 57.50
Up Capture (%) 120.06
Down Capture (%) 59.62
10 Year Return Histogram 10 Year Return Analysis
Oaktree
BloomBar US
Aggregate
Number of Months 120 120
Highest Monthly Return (%) 7.58 3.73
Lowest Monthly Return (%) -14.86 -2.37
Number of Positive Months 83 81
Number of Negative Months 37 39
% of Positive Months 69.17 67.50
0
10
20
30
40
50
60
Less
than
-4%
-4% to
-3%
-3% to
-2%
-2% to
-1%
-1% to
0%
0% to
1%
1% to
2%
2% to
3%
3% to
4%
Greater
than 4%
3 3
9 913
33
25
12
6 7
0 0 26
31
52
26
1 2 0
OaktreeBloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
75
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the Periods Ending June 30, 2017
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months YTD FYTD 3 Years 5 Years Since Feb 1998
2.1
9
4.4
4
11.8
8
4.2
6
6.9
0
7.2
5
1.4
5 2.2
7
-0.3
1
2.4
8
2.2
1
5.0
0
Oaktree BloomBar US Aggregate
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
76
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the One Year Periods Ending June
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
11.8
8
0.7
5
0.5
3
11.9
8
10.0
2
-0.3
1
6.0
0
1.8
6
4.3
7
-0.6
9
Oaktree BloomBar US Aggregate
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
77
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending June 30, 2017
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Non-Mutual Commingled
Benchmark Citigroup World Govt Bond
Performance Inception Date June 2008
Fees 35 bps
Performance Goals
Outperform the Citigroup World Govt Bond.
Over rolling three year periods, rank above the median in the eA All Global
Fixed Income universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 91,927 95,889
Net Additions -74 -308
Return on Investment 3,045 -684
Ending Market Value 94,897 94,897
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Avg Quality YTM (%) Eff Duration (yrs) Avg Cpn (%)
18.00
3.25
7.16
3.30
21.00
1.17
7.69
2.35
Loomis SaylesCitigroup World Govt
Bond
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
0.8
0 11
.62
2.4
1
0.0
0
1.5
8
5.9
8
4.6
9
64
.45
0.9
4
5.7
0
1.8
3
34
.61
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
63
.40
1.9
9
0.0
0
0.0
0
Loomis SaylesCitigroup World Govt
Bond
Regional Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
US/Canada United
Kingdom
Europe
ex-UK
Japan Asia Pacific
ex-Japan
Emerging
Markets
Other Cash
24
.20
8.5
2
27
.74
17
.17
4.6
4
16
.20
1.5
3
0.0
0
36
.27
5.7
0
33
.41
20
.54
2.0
4
2.0
4
0.0
0
0.0
0
Loomis Sayles Citigroup World Govt Bond
Characteristic and allocation charts represents data of the Loomis World Bond NH Trust (Non-Mutual Commingled).
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
78
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
Loomis Sayles
9 Year Risk / Return 9 Year Portfolio Statistics
4.00 5.00 6.00 7.00 8.00 9.00 10.000.00
1.00
2.00
3.00
4.00
5.00
6.00
Loomis SaylesCit igroup World
Govt Bond
Standard Deviat ion (%)
Re
turn
(%
)
Loomis
Sayles
Citigroup
World
Govt Bond
Benchmark Relative Statistics
Return (%) 3.56 2.08
Standard Deviation (%) 7.69 6.65
Sharpe Ratio 0.44 0.29
Beta 1.03
R Squared (%) 78.65
Alpha (%) 1.46
Tracking Error (%) 3.56
Batting Average (%) 65.74
Up Capture (%) 120.67
Down Capture (%) 104.44
9 Year Growth of a Dollar 9 Year Return Analysis
Loomis
Sayles
Citigroup
World
Govt Bond
Number of Months 108 108
Highest Monthly Return (%) 7.16 7.11
Lowest Monthly Return (%) -6.59 -5.03
Number of Positive Months 67 61
Number of Negative Months 41 47
% of Positive Months 62.04 56.48$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
Jun-08 Dec-09 Jun-11 Dec-12 Jun-14 Dec-15 Jun-17
Loomis SaylesCit igroup World
Govt Bond
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
79
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending June 30, 2017
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months YTD FYTD 3 Years 5 Years Since Jun 2008
3.3
1
6.0
5
-0.7
1
-0.1
4
1.1
5
3.5
0
2.8
9
4.4
9
-4.1
4
-1.0
0 -0.2
0
2.1
2
2.5
2
5.1
4
4.2
5
1.2
2
3.2
8
Loomis Sayles Cit igroup World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 34 35 87 64 75
5th Percentile 7.92 11.20 13.50 5.14 7.77
25th Percentile 3.91 7.50 8.37 3.56 4.96
50th Percentile 2.52 5.14 4.25 1.22 3.28
75th Percentile 1.60 3.60 1.08 -1.17 1.11
95th Percentile 0.32 1.21 -2.71 -4.61 -0.85
Observations 612 612 611 569 477
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
80
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the One Year Periods Ending June
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
-0.7
1
10.1
3
-8.9
4
7.8
9
-1.4
3
-4.1
4
11.2
6
-9.0
2
6.8
5
-4.5
0
4.2
5
3.1
9
-4.0
0
9.1
6
3.3
1
Loomis Sayles Cit igroup World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 87 6 76 62 79
5th Percentile 13.50 10.63 3.66 19.51 14.57
25th Percentile 8.37 6.43 1.12 12.27 7.54
50th Percentile 4.25 3.19 -4.00 9.16 3.31
75th Percentile 1.08 0.46 -8.71 6.70 -0.79
95th Percentile -2.71 -6.81 -16.84 2.80 -6.04
Observations 611 667 673 662 628
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
81
Oklahoma Police Pension & Retirement System
■ Low Volatility Hedge Fund of Funds■ Performance Inception Date: October 2002■ Redemption: Quarterly with 60 days written notice
■ Target annualized return: 10-12%■
■ Maximum number of managers: 55■ Allocation to any manager: not to exceed 5% at cost or 7% at market value■ Allocation to Convertible Bond Hedging: 20-40%■ Allocation to Sovereign Debt & Mortgage Hedging: 0-10%■ Allocation to Credit Hedging & Distressed Debt Hedging: 0-25%■ Allocation to Merger Arbitrage: 0-20%■ Allocation to Equity Market Neutral & Long/Short Equity: 20-45%■ Allocation to Short Biased: 0-5%■ Allocation to Cash: 0-5%
■ Net Exposure: 37.50%Historical Average ■ Gross Exposure: 534.70% Gross Exposure 294.03% Net Exposure 43.27%
Characteristic data provided by manager.
PAAMCO
Objectives and Constraints
StrategyMarket Value: $126,868,066
Historical Net & Gross Exposure
Target annualized standard deviation: approximate the standard deviation of the Barclays Capital Aggregate
For the Periods Ending June 30, 2017
Sector Allocation
Exposure
0%50%
100%150%200%250%300%350%400%450%500%550%600%650%700%
Net Exposure
Gross Exposure
Gross Longs
Gross Shorts
Convertible Bond Hedging3.60%
Fixed Income Relative Value
16.80%
Distressed Debt Hedging9.90%
Long/Short Equity18.50%
Equity Market Neutral4.80%
Event-Driven Equity7.30%
Long/Short Credit21.70%
Opportunistic Credit11.10%
Cash6.30%
82
Oklahoma Police Pension & Retirement System
For the Periods Ending June 30, 2017
PAAMCO
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Standard Deviat ion (%)
Re
turn
(%
)
PAAMCO
BloomBar US
Aggregate
HFRI FOF:
Conservative
Benchmark Relative Statistics
Return (%) 2.96 4.48 0.79
Standard Deviation (%) 6.03 3.27 4.25
Sharpe Ratio 0.42 1.24 0.09
Beta -0.02 1.33
R Squared (%) 0.01 87.32
Alpha (%) 3.25 1.96
Tracking Error (%) 6.90 2.56
Batting Average (%) 58.33 64.17
Up Capture (%) 40.15 151.14
Down Capture (%) -4.86 110.17
10 Year Growth of a Dollar 10 Year Return Analysis
PAAMCO
BloomBar US
Aggregate
HFRI FOF:
Conservative
Number of Months 120 120 120
Highest Monthly Return (%) 4.90 3.73 2.42
Lowest Monthly Return (%) -9.06 -2.37 -5.91
Number of Positive Months 82 81 80
Number of Negative Months 38 39 40
% of Positive Months 68.33 67.50 66.67$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
Jun-07 Feb-09 Oct-10 Jun-12 Feb-14 Oct-15 Jun-17
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
83
Oklahoma Police Pension & Retirement System
PAAMCO
For the Periods Ending June 30, 2017
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months YTD FYTD 3 Years 5 Years Since Oct 2002
0.8
1
3.0
3
6.6
2
0.1
0
5.0
3
5.1
6
1.4
5
2.2
7
-0.3
1
2.4
8
2.2
1
4.2
4
0.3
7
1.5
8
5.1
4
1.4
4
3.6
1
3.0
6
PAAMCO BloomBar US Aggregate HFRI FOF: Conservative
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
84
Oklahoma Police Pension & Retirement System
PAAMCO
For the One Year Periods Ending June
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
6.6
2
-6.7
4
0.8
7
12.6
4
13.1
5
-0.3
1
6.0
0
1.8
6
4.3
7
-0.6
9
5.1
4
-3.3
4
2.7
0
6.6
7
7.2
2
PAAMCO BloomBar US Aggregate HFRI FOF: Conservative
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
85
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending June 30, 2017
Account Description
Strategy Absolute Return
Vehicle Non-Mutual Commingled
Benchmark BloomBar US Aggregate
Performance Inception Date December 2016
Fees 25 bps, plus 20% of excess return beyond cash + 1%
Performance Goals
Outperform the LIBOR 3 Month.
Over rolling three year periods, rank above the median in the eA Global
Unconstrained Fixed Income universe.
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 59,778 0
Net Additions -50 59,950
Return on Investment 150 -73
Ending Market Value 59,877 59,877
Characteristics
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Avg Cpn (%) Avg Quality Eff Duration (yrs) YTM (%) Yield to Worst
1.0
0
20
.00
-3.4
3
0.2
6
0.7
83.0
6
22
.00
6.0
1
2.5
6
2.5
5
Wellington Global Total
ReturnBloomBar US Aggregate
Sector Allocation
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
56
.81
17
.23
0.0
0
12
.77
0.0
0
3.0
2
0.0
0
0.0
0
0.0
0
-1.4
7
11
.64
37
.01
25
.34
28
.16
3.5
1
1.7
7
0.0
0
0.0
0
0.0
0
0.0
0
4.2
1
0.0
0
Wellington Global Total
ReturnBloomBar US Aggregate
Quality Allocation
0.00
20.00
40.00
60.00
80.00
100.00
AAA AA A BBB BB B Below B Below C/NR Cash
12
.12
18
.31 28
.65
21
.73
3.1
4
0.8
2
0.0
2
3.4
9 11
.72
71
.50
4.2
9 10
.67
13
.54
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
Wellington Global Total
ReturnBloomBar US Aggregate
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
86
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending June 30, 2017
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
3 Months YTD FYTD Since Dec 2016
0.2
5
0.1
1
-0.1
2
0.2
8
0.5
3 0.9
3
0.6
1
1.8
7
4.4
1
5.8
2
Wellington Global Total Return LIBOR 3 M onth eA Global Unconstrained Fixed Income
Re
turn
(%
)
Ranking 96 99
5th Percentile 7.08 10.24 12.77
25th Percentile 3.18 6.87 8.08
50th Percentile 1.87 4.41 5.82
75th Percentile 1.30 2.92 3.70
95th Percentile 0.28 1.18 0.18
Observations 162 162 162
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
1
87
Oklahoma Police Pension & Retirement System
Private Credit
For the Period Ending June 30, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-12,726,113 501,617 -12,224,496
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 60,000,000 18,684,603 41,315,397 480,862 18,933,695 1.04x19,414,557
Mezzanine 20,000,000 8,684,603 11,315,397 314,337 8,832,593 1.05x9,146,930
Newstone Capital Partners III Jan-17 20,000,000 8,684,603 11,315,397 314,337 8,832,593 1.05x9,146,930
Other 40,000,000 10,000,000 30,000,000 166,525 10,101,102 1.03x10,267,627
LBC Credit Partners Fund IV Sep-16 40,000,000 10,000,000 30,000,000 166,525 10,101,102 1.03x10,267,627
© 2017 Asset Consulting Group All Rights Reserved
88
Oklahoma Police Pension & Retirement System
Real Assets Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
89
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending June 30, 2017
Account Information
Ending Market Value $115,903,709
Fund Information
Gross Market Value $42,066,525,484
Net Market Value $31,362,435,511
Cash Balance of Fund $2,107,469,786
# of Properties 162
# of Participants 428
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
10.6
8
42.7
7
20.2
5
26.3
0
Industrial Office Residential Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
30.9
8
4.7
7
22.7
1
41.5
4
East M idw est South West
Geographic Region
Returns by Property Type (%)
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
3 M onths 1 Year
2.1
6
14.2
9
2.1
2
7.7
9
0.9
1
7.0
4
1.3
3
8.1
3
Industrial Office Residential Retail
Account Description
Strategy Core Real Estate
Vehicle Non-Mutual Commingled
Benchmarks NFI ODCE Net and NCREIF Property
Performance Inception Date December 2007
Fees First $100M at 92 bps, next $150M at 85 bps, next $250M at 80 bps,
balance at 75 bps
Performance Goals
Outperform the NFI ODCE Net.
© 2017 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Strategic Property Fund (Non-Mutual Commingled). 90
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending June 30, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months YTD FYTD 3 Years 5 Years Since Dec 2007
1.5
7
3.5
2
7.9
4
10.7
8
12.1
5
5.6
5
1.4
9
3.0
5
6.9
1
10.3
3
10.7
6
4.0
8
1.7
5
3.3
3
6.9
8
10.1
7
10.4
9
6.3
2
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
91
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the One Year Periods Ending June
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
7.9
4
11.1
0
13.3
7 14.1
0
14.3
6
6.9
1
10.8
0
13.3
7
11.7
5
11.0
7
6.9
8
10.6
4
12.9
8
11.2
1
10.7
3
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
92
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending June 30, 2017
Current Quarter Returns (%)
0.00
0.40
0.80
1.20
1.60
2.00
2.40
2.80
Appreciat ion Income Total-Gross Total-Net
0.90
1.30
2.20
1.80
0.64
1.07
1.71
1.49
Blackstone NFI ODCE
Account Information
Ending Market Value $37,955,306
Fund Information
Net Market Value $5,600,000,000
# of Properties 17
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
12.0
0
29.0
0
32.0
0
27.0
0
Industrial M ult i-Family Office Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
47.0
0
7.0
0
2.0
0
8.0
0
36.0
0
East M idw est North South West
Geographic Region
Account Description
Strategy Core Real Estate
Vehicle Limited Partnership
Benchmarks NFI ODCE Net and NCREIF Property
Performance Inception Date January 2015
Performance Goals
Outperform the NFI ODCE Net and NCREIF Property.
© 2017 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Blackstone Property Partners (Limited Partnership). 93
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending June 30, 2017
0.00
4.00
8.00
12.00
16.00
20.00
3 Months YTD 1 Year 2 Years Since Jan 2015
2.6
7
5.1
0
11.7
9
17.3
3
15.0
8
1.4
9
3.0
5
6.9
1
8.8
4 9.8
8
1.7
5
3.3
3
6.9
8
8.7
9 9.8
4
Blackstone NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
94
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the One Year Periods Ending June
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
11.7
9
23.1
6
6.9
1
10.8
0
13.3
7
11.7
5
11.0
7
6.9
8
10.6
4
12.9
8
11.2
1
10.7
3
Blackstone NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
95
Oklahoma Police Pension & Retirement System
Columbus Square
For the Periods Ending June 30, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months YTD FYTD 3 Years 5 Years Since Jan 1998
4.8
3
7.0
3
9.1
2
10.6
7
9.4
8
13.9
1
1.7
5
3.3
3
6.9
8
10.1
7
10.4
9
9.5
0
1.4
9
3.0
5
6.9
1
10.3
3
10.7
6
7.9
5
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
96
Oklahoma Police Pension & Retirement System
Columbus Square
For the One Year Periods Ending June
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
9.1
2
13.7
5
9.2
1
3.7
6
11.8
2
6.9
8
10.6
4
12.9
8
11.2
1
10.7
3
6.9
1
10.8
0
13.3
7
11.7
5
11.0
7
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
97
Oklahoma Police Pension & Retirement System
Private Real Estate
For the Period Ending June 30, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-4,908,075 6,936,204 2,028,129
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 92,500,000 70,795,028 30,778,266 36,342,397 56,368,000 1.31x92,710,397
Real Estate 92,500,000 70,795,028 30,778,266 36,342,397 56,368,000 1.31x92,710,397
Siguler Guff Dist. Real Estate Opp. Jul-11 10,000,000 8,608,587 1,650,773 6,965,931 6,220,846 1.53x13,186,777
TA Associates Realty X Nov-12 20,000,000 20,000,000 - 10,854,182 16,762,490 1.38x27,616,672
Cerberus Real Estate Fund III May-13 20,000,000 25,185,319 3,552,375 16,806,989 16,671,011 1.33x33,478,000
Hall Capital Fund III Feb-14 7,500,000 6,959,483 540,517 217,364 8,524,155 1.26x8,741,519
Siguler Guff Dist. Real Estate Opp. II Nov-14 10,000,000 7,507,577 2,492,423 756,118 7,273,331 1.07x8,029,449
Cerberus Institutional Real Estate Partners 4 Jun-16 15,000,000 2,534,062 12,542,178 741,813 916,167 0.65x1,657,980
Siguler Guff Dist. Real Estate Opp. II B May-17 10,000,000 - 10,000,000 - - --
© 2017 Asset Consulting Group All Rights Reserved
98
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending June 30, 2017
Account Description
Strategy Commodities
Vehicle Non-Mutual Commingled
Benchmark CS Hedge - Global Macro
Performance Inception Date January 1998
Fees 100 bps and an annual incentive fee
Performance Goals
Outperform the CS Hedge - Global Macro.
Growth of a Dollar
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
$4.00
$4.50
Dec-97 Mar-01 Jun-04 Sep-07 Dec-10 Mar-14 Jun-17
Mount Lucas PeakCS Hedge - Global
Macro
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 29,969 29,665
Net Additions -76 -336
Return on Investment -329 235
Ending Market Value 29,564 29,564
© 2017 Asset Consulting Group All Rights Reserved
99
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending June 30, 2017
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
3 Months YTD FYTD 3 Years 5 Years Since Jan 1998
-1.1
0
-4.8
8
0.8
1
7.0
8
7.2
1
5.9
9
-1.7
7
-1.5
4
3.5
8
1.4
3
2.7
9
7.8
3
Mount Lucas Peak CS Hedge - Global Macro
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
100
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the One Year Periods Ending June
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013
0.8
1
-2.3
4
24.7
1
1.6
2
13.5
1
3.5
8
-3.8
6
4.7
8
3.9
3 5.8
3
Mount Lucas Peak CS Hedge - Global Macro
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
101
Oklahoma Police Pension & Retirement System
Gresham Tap Fund
For the Periods Ending June 30, 2017
Account Description
Strategy Commodities
Vehicle Non-Mutual Commingled
Benchmark Bloomberg Commodity
Performance Inception Date August 2014
Fees 75 bps
Performance Goals
Outperform the Bloomberg Commodity over a complete market cycle.
Growth of a Dollar
$0.55
$0.60
$0.65
$0.70
$0.75
$0.80
$0.85
$0.90
$0.95
$1.00
Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17
GreshamBloomberg
Commodity
Dollar Growth Summary ($000s)
FYTD3 Months
Beginning Market Value 48,845 49,962
Net Additions 0 0
Return on Investment -1,548 -2,665
Ending Market Value 47,297 47,297
© 2017 Asset Consulting Group All Rights Reserved
102
Oklahoma Police Pension & Retirement System
TAP Bloomberg TAP Bloomberg Abs Est. Wgtd TAP Bloomberg Abs Est. WgtdTotal Gross Return 100.00 100.00 -3.14 -3.22 -- 0.08 -5.05 -5.61 -- 0.56AGRICULTURE 15.56 25.06 3.13 3.28 -0.15 -0.49 -0.53 0.44 -0.97 -0.46
Corn 4.05 8.03 0.61 0.53 0.08 -0.14 2.11 1.96 0.15 -0.28Soybean 4.51 5.70 -0.61 -0.91 0.30 0.04 -7.27 -7.59 0.33 0.00Wheat (CBOT) 2.87 4.20 15.42 15.95 -0.53 -0.26 17.25 17.84 -0.59 -0.21Wheat (KC) 0.77 1.47 17.78 17.82 -0.04 -0.12 15.11 15.15 -0.04 -0.09Wheat (MGE) 0.29 40.49 40.49 0.08 41.28 41.28 0.09Soybean Meal 2.43 2.95 -1.78 -1.89 0.11 0.00 -5.33 -5.62 0.29 0.00Soybean Oil 0.66 2.72 2.70 2.58 0.12 -0.09 -6.32 -6.71 0.39 0.02
ENERGY 27.20 27.29 -9.36 -9.88 0.52 -0.06 -19.12 -20.29 1.17 -0.36Crude Oil 7.42 6.16 -10.64 -10.68 0.04 -0.15 -18.84 -18.82 -0.02 -0.46Brent Crude 6.45 6.80 -9.77 -10.41 0.64 0.03 -17.00 -17.44 0.44 -0.04Heating Oil 1.95 3.38 -7.32 -7.46 0.14 0.04 -16.79 -17.08 0.29 0.16Gas Oil 2.32 -8.49 -8.45 -0.04 -0.17 -16.08 -16.12 0.03 -0.29Natural Gas 6.25 7.48 -8.80 -9.59 0.79 0.11 -24.97 -25.10 0.13 0.18Unleaded Gas (RBOB) 2.81 3.47 -9.10 -10.51 1.41 0.09 -19.03 -21.53 2.50 0.10
INDUSTRIAL METALS 22.39 18.70 -1.05 -1.42 0.37 0.08 7.58 5.93 1.64 0.27Aluminum 7.13 5.21 -2.62 -2.93 0.31 0.02 12.45 11.84 0.61 0.14Copper (LME) 8.00 1.36 1.16 0.20 0.29 6.83 6.35 0.49 0.78Copper (NY) 2.09 8.23 1.22 1.17 0.05 -0.26 6.72 6.55 0.17 -0.76Nickel 1.41 2.37 -6.95 -6.90 -0.05 0.03 -7.37 -7.37 -0.01 0.01Zinc 2.47 2.89 -0.85 -1.05 0.20 -0.01 6.59 6.15 0.44 -0.09Lead 1.29 -2.38 -2.57 0.19 0.01 13.13 13.12 0.01 0.20
LIVESTOCK 11.80 6.89 10.28 10.95 -0.67 0.28 14.43 10.94 3.49 0.96Live Cattle 6.96 4.10 8.69 8.59 0.10 0.17 15.08 14.03 1.04 0.55Lean Hogs 2.61 2.79 12.95 14.44 -1.49 -0.12 8.29 6.34 1.95 0.03Feeder Cattle 2.23 10.74 9.96 0.78 0.22 18.06 16.90 1.16 0.38
PRECIOUS METALS 17.46 16.26 -2.83 -3.40 0.57 0.08 6.49 5.87 0.62 -0.11Gold 12.23 12.04 -0.93 -0.99 0.06 -0.03 7.09 6.99 0.10 -0.19Silver 3.60 4.22 -9.70 -9.69 -0.01 0.06 2.75 2.72 0.02 -0.10Platinum 0.94 -3.11 -3.11 0.00 1.50 1.50 0.05Palladium 0.69 5.23 5.23 0.05 22.70 22.70 0.13
FOODS & FIBERS 5.59 5.80 -13.13 -14.45 1.32 0.13 -15.80 -18.71 2.92 0.21Cotton 1.41 1.37 -7.87 -9.44 1.57 0.03 -0.02 -2.46 2.44 0.03Sugar 1.62 2.30 -19.24 -18.76 -0.48 0.08 -28.62 -30.13 1.51 0.22White Sugar 0.23 -14.74 -14.74 -0.03 -23.34 -23.34 -0.05Coffee 1.36 2.13 -12.75 -12.79 0.04 0.09 -12.70 -12.81 0.11 0.04Coffee (Robusta) 0.30 -1.87 -1.87 0.00 -1.72 -1.72 0.01Cocoa 0.67 -8.79 -9.38 0.59 -0.05 -10.17 -11.70 1.54 -0.04
Data provided by manager.
-MTD ROI % and YTD ROI% columns show TAP and Bloomberg individual commodity returns.
-A composite weighted return is shown for Wheat, Crude Oil, Heating Oil and Copper. Wheat (KC), Brent Crude, Gas Oil, Copper (NY) and Cocoa were added to TAP's portfolio in the middle of January 2008. Wheat (MGE) was added to TAP's portfolio in the middle of January 2010.
-'Abs' is the absolute difference in ROI between TAP and Bloomberg for each commodity. 'Est. Wgtd' is the portfolio effect (TAP's return x TAP's period avg. wgt. - Bloomberg's return x Bloomberg's period avg. wgt.). 'Average Weights' is calculated using month-end weights. -All returns are estimates. Total Gross Return is gross of fees and includes cash returns. All indicated TAP returns are net of commissions and gross of management fees.
Gresham TAP Fund
For the Periods Ending June 30, 2017
Portfolio Weights (%) QTD ROI (%) ROI DIFF YTD ROI (%) ROI DIFF
Attribution Analysis and Bloomberg Commodity Comparison
103
Oklahoma Police Pension & Retirement System
Gresham Tap Fund
For the Periods Ending June 30, 2017
-18.00
-16.00
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
3 Months YTD FYTD 2 Years Since Aug 2014
-3.1
7
-5.1
8
-5.3
3
-10.6
8
-14.6
2
-3.0
0
-5.2
6
-6.5
0
-9.9
7
-13.7
0
Gresham Bloomberg Commodity
Re
turn
(%
)
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Oklahoma Police Pension & Retirement System
Appendix
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105
Oklahoma Police Pension & Retirement System
Definitions of Statistical Measures
Alpha - the annualized difference between the manager's actual return and the managers's expected return given its relative risk vs.
the benchmark (which is represented by beta, a measure that tracks volatility to an index).
Batting Average - a measure used to quantify a manager's ability to meet or beat a benchmark. A manager who outperforms the
benchmark 20 out of a possible 40 times has a batting average of 50.
Beta - measures the portfolio's sensitivity of returns to market movements represented by the primary benchmark.
Down Capture - demonstrates the ratio of the portfolio's average returns relative to the benchmark in periods in which the benchmark
had a negative return. For instance, a down-capture of 96% indicates that, on average, the portfolio is down 96% when the benchmark
is down 100%. Lower portfolio down-capture is preferred.
R Squared - the amount of the manager's return that can be explained by the benchmark. A R Squared of 100 indicates a perfect
correlation, while a R Squared of 0 indicates no correlation at all.
Sharpe Ratio - a measure of return per unit of risk. Higher sharpe ratios are preferred while negative ratios are generally meaningless and
cannot be used for comparison purposes.
Standard Deviation - a measure of the portfolio's volatility. A large standard deviation relative to the benchmark represents volatile
portfolio returns.
Tracking Error - a measure that reports the difference between the return of a manager that is received and that of a benchmark that
the manager is attempting to track.
Up Capture - demonstrates the ratio of the portfolio's average returns relative to the benchmark in periods in which the benchmark had
a positive return. For instance, an up-capture of 96% indicates that, on average, the portfolio is up 96% when the benchmark is up 100%.
Higher portfolio up-capture is preferred.
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106
Oklahoma Police Pension & Retirement System
Quality Rating Scale
Moody's
Rating
S&P
Rating
Prior to
1Q09
Beginning
1Q09
Beginning
3Q11
Moody's
Rating
S&P
Rating
Prior to
1Q09
Beginning
1Q09
Beginning
3Q11
TSY
AGY
Aaa
Aa1
Aa2
Aa
MIG1
Aa3
A1
A-1
A2
A
MIG2
A3
Baa1
Baa2
Baa
MIG3
Baa3
Ba1
TSY
AGY
AAA
AA+
AA
AA
AA-
A+
A
A
A-
BBB+
BBB
BBB
BBB-
BB+
10
10
10
9.3
9
9
8.7
8.3
8
8
7.7
7.3
7
7
6.7
26
25
24
23
22
22
22
21
20
20
19
19
19
18
17
16
16
16
15
14
24
24
24
23
22
22
22
21
20
20
19
19
19
18
17
16
16
16
15
14
Ba2
Ba
MIG4
Ba3
B1
B2
B
B3
Caa1
Caa2
Caa
Caa3
Ca
C
NR
NA
N/A
BB
BB
BB-
B+
B
B
B-
CCC+
CCC
CCC
CCC-
CC
C
DDD
DD
D
NR
NA
N/A
6
6
5.7
5.3
5
4.7
4.3
4
3.7
3
2
1
N/A
N/A
13
13
13
12
11
10
10
9
8
7
7
6
5
4
3
2
1
-1
13
13
13
12
11
10
10
9
8
7
7
6
5
4
3
2
1
-1
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Oklahoma Police Pension & Retirement System
Historical Benchmark Composition
Total Fund Policy
The index consists of 55.0% Russell 3000, 35.0% BloomBar US Aggregate, 10.0% MSCI EAFE.10/31/1990
The index consists of 55.0% Russell 3000, 35.0% BloomBar Universal, 10.0% MSCI EAFE.06/30/2007
The index consists of 55.0% Russell 3000, 10.0% MSCI EAFE, 30.0% BloomBar Universal, 5.0% NFI ODCE Net.11/30/2007
The index consists of 65.0% MSCI ACWI, 30.0% BloomBar Universal, 5.0% NFI ODCE Net.08/31/2012
The index consists of 60.0% MSCI ACWI, 30.0% BloomBar Universal, 5.0% NFI ODCE Net, 5.0% Bloomberg Commodity.08/31/2014
The index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 10.0% NFI ODCE Net, 5.0% Bloomberg Commodity.04/30/2016
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108