Oklahoma Police Pension & Retirement System 3Q 2019.pdf · 2019-11-20 · WeWork. Although...
Transcript of Oklahoma Police Pension & Retirement System 3Q 2019.pdf · 2019-11-20 · WeWork. Although...
Oklahoma Police Pension & Retirement System
Oklahoma Police Pension & Retirement System
Investment Performance Review
September 30, 2019
231 South Bemiston Avenue ♦ 14th Floor ♦ Saint Louis, Missouri 63105
www.acgnet.com
314.862.4848
This year, we at Asset Consulting Group celebrate our 30th anniversary in business. As we reach this
exciting milestone, it is important that we recognize and thank those who have been a critical part of
our success - our clients. We are grateful for the opportunity and privilege to serve you, and we
appreciate the trust and confidence you have shown us. We are in the relationship business - and it is
the partnerships we cultivate that fulfill us most and that best define our success as an organization.
We look forward to continuing to grow our relationship with you, and we enter our next decade with
much anticipation and excitement!
We are proud to announce that ACG has been named a Greenwich Associates Quality Leader -
recognized as one of the top midsized consultants in the industry. This award is based on a
number of factors, and a culmination of extensive nationwide interviews with institutional
investors. We are appreciative of this honor, and we are grateful to all those who have helped us
get to where we are.
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
© 2019 Asset Consulting Group All Rights Reserved
Oklahoma Police Pension & Retirement System
Market Overview
© 2019 Asset Consulting Group All Rights Reserved 7
Global Equity Update 3Q-2019Global Long-Only Equity
Global Long/Short Equity
Sources: Bloomberg, ACG Research
Sources: Bloomberg, ACG Research
Global equities were relatively muted in 3Q-19, with only a 10 bps advance for the MSCIACWI measured in US dollar terms. However, volatility remains heightened as headlinesshook the markets with ongoing announcements around US/China trade tensions, globaleconomic slowdown fears , declining global bond yields, and an uptick in political chatteras the US prepares for next year’s election. Investors ultimately moved from the risk-onmentality present in July to a risk-off mentality through the remainder of the quarter.Global markets did rebound somewhat in September as hopes of easing trade tensionsand more accommodative global monetary policies surfaced, but as the marketmaintained its risk-off nature we witnessed Value surge ahead of Growth.
Domestic Large Caps advanced, with the S&P 500 returning 1.7% in 3Q-19 as Septemberperformance effectively pulled the index back into positive territory. Small Caps declined-2.4% in the quarter as investors looked for safe havens in larger peers. With three quartersbehind us, Large Caps lead with a YTD gain of 20.6% versus a gain of 14.2% in Small Caps.
International Market advances were stymied by monetary policy and global growthconcerns, which also resulted in a stronger US dollar providing a headwind to domesticinvestors. Developed International markets declined -1.0% in the quarter, with mostcountries tallying losses and a roughly 250 bps currency headwind. Directionally, a similaroutcome was observed in Emerging Markets, but the magnitude of the decline wasgreater, falling -4.1% after accounting for a roughly 220 bps unfavorable currency impact.
S&P Index Priced in Units of VIXVolatility in the market (both positive and negative) continued during 3Q-19. The S&Ppriced in units of volatility (VIX), though 6% lower than 2Q, remains 86% higher than yearend 2018 and higher than any period prior to 2016. With heightened macro impacts weanticipate this higher volatility to continue to be the norm for the foreseeable future. Allelse being equal, an increase in market volatility helps generate opportunities on boththe long and short side so equity long/short managers stand to benefit.
Equity long/short managers have decreased exposure due to macro concernssurrounding interest rates, trade wars and the new risk of impeachment proceedings. Thisis reflected by net exposures that are near the lowest point since 2010. Managers remainoptimistic about the outlook for companies but are increasingly concerned aboutmarket uncertainty.
Style exposure was a major contributor to 3Q performance as momentum/growthunwound in September in favor of value. Managers with significant exposure to growthsectors of technology and health care underperformed. The most crowded trades alsounderperformed, partially due to overlap with tech and health care.
Global positioning remains tilted towards the US as European exposures decreased to thelowest since 2010 due to Brexit and other geopolitical concerns. Asia exposure hasstayed near historic averages but the mix has shifted to predominantly China as Japanand Hong Kong exposures are near historic lows.
-6%
-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
July August September
S&P 500 R2000 EAFE US EM US
Choppy Equity Markets in 3Q-19
0
50
100
150
200
250
300
SPX Priced in Units of VIX
8
4.1x3.6x 3.8x
4.3x4.7x
5.5x 5.3x
6.2x
5.1x
3.9x4.7x
5.1x 5.2x 5.4x5.8x 5.8x 5.5x 5.8x 5.8x 5.9x 6.0x
6.7x6.0x
6.6x7.1x 7.3x
8.4x 8.4x
9.7x9.1x
7.7x8.5x 8.8x 8.7x 8.8x
9.7x10.3x10.0x
10.6x10.6x
11.6x
12.7x
0.0x
2.0x
4.0x
6.0x
8.0x
10.0x
12.0x
14.0x
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019YTD
3ME8/19
EBITD
A M
ultip
le
Leverage Purchase Price
Global Private Equity and Real Assets Update 3Q-2019Global Private Equity
Global Real Assets
Sources: NCREIF, ACG Research
LBO purchase price multiples spiked up over the summer to all time highs. Privateequity sponsors appear to have taken the brunt of the price increase as the amountof debt provided by leveraged lenders increased only marginally in spite of purchaseprices moving up a full turn to 12.7x EBITDA on average. Purchase prices for the threemonths ending August 31st were a turn higher than the average for the year, two turnsof EBITDA higher than the average for 2018, and three turns higher than the lastcyclical peak in 2007.
The US IPO market was on a tear for most of 2019 with a run of headline companiesincluding Uber, Zoom and Pinterest making their public debuts. And then cameWeWork. Although the spectacular end to their IPO bid appears closely tied to themarket’s negative perception of former-CEO Adam Neumann, potential IPO investorsalso made note of the initially sky-high valuation and ongoing operating losses.Despite WeWork’s misstep, and barring another major setback, 2019 appears to be ontrack to deliver the best IPO market of the past five years. If recent volatility or othermarket action closes the IPO window, private investors need not worry. Later stagefocused venture and growth funds continue to provide record levels of capital supportto private companies. In the first half of the year, 123 fundraising mega-rounds of $100million or more were completed compared to 36 for all of 2013.
The NCREIF Property Index (NPI) posted its 37th consecutive quarter of positiveappreciation in 2Q-19. This is 15 quarters longer than the second longest winningstreak since the benchmark’s inception in 1978. In 2Q-19, NCREIF annualized incomereturns (a proxy for cap rates) rose marginally to 4.5%. Broadly speaking,fundamentals remain strong with the NPI occupancy level increasing to 94.3%, thehighest level since 2000, and income returns rising. In contrast, the trend of slowingappreciation returns became even more pronounced in the second quarter as theretail sector weighed heavily on results. Enclosed malls were particularly hard hit asvalues declined a whopping 4.2% for the quarter. Open-air retail assets declined1.4%. Retail’s large decline pulled the NPI appreciation return down to 0.4% for thequarter and the ODCE index was essentially flat for the same period.
Outside the retail sector, the story was much brighter with returns for all otherproperty types moving higher in 2Q. Industrial assets remain the beneficiary of retail’slosses and the only NPI sector with double digit gains over the trailing 1-, 3-, 5- and10-year periods. Income and appreciation in the apartment and office sectorsremain positive, even as hotels joined retail with negative appreciation in the quarter.
The Bloomberg Commodity Index (BCOM) fell -1.8% in 3Q-19, underperforming theBloomBar US Aggregate Bond Index by 4.1%, the S&P 500 by 3.5%, and the MSCIACWI by 1.9%. Any signs of rising inflation may be positive for commodities broadly,though growing concerns regarding slowing global economic growth, the strength ofthe US dollar, and trade tensions may drive continued volatility in the near term.
Purchase Multiples and Leverage Remain Elevated
NCREIF Income Return Spread to Treasuries
Sources: S&P LCD, ACG Research
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Spread: 10-Year UST Rate to NCREIF Income Return (Annualized) Median Spread
NCRIEF Income Return (Annualized) 10-Year Treasury Rate
9
Global Traditional Bond Markets
Global Nontraditional Fixed IncomeLiquid Absolute Return strategies produced more muted results in 3Q-19, with the willingness totactically assume modest portfolio duration alongside diversified credit exposures definingoutperformers. That said, the rally in US Treasuries again prevented the category from keepingpace with traditional bond benchmarks. We continue to believe the diversification of riskfactors within portfolios remains valuable, as this aids in downside protection and reduces keycorrelations. Outperforming risk-free cash becomes easier as policy rates head lower, andenhanced volatility in rates, spreads, and currency should provide alpha opportunities.
Long/Short Credit strategies were challenged over the summer as defensively positionedportfolios were not rewarded and some widely held event-driven positions experienceddeclines. The YTD performance dispersion between high yield bonds and loans has weighedon results as loan-heavy portfolios haven’t captured the full tailwind of the high yield market.Long/short credit strategies typically have limited interest rate sensitivity and accordingly littleparticipation in duration-based market movements. We expect idiosyncratic relative valuesituations will be more likely to add value than directional positioning in the near term.
Private Credit strategies (typically 5- to 10-year fund life) offer the opportunity to earn botha credit spread and an illiquidity premium versus publicly traded fixed incomestrategies. 3Q-19 saw a surge in supply in the leveraged loan market as more than $40billion of loans were launched into syndication, the busiest month this year. Spreadstightened for the more highly rated BB new issues while those rated single B widened, likelyan indicator of continued risk aversion from buyers.
Amid heightened geopolitical noise in 3Q-19, the rally in risk-free rates was extended whileincome from lower-quality credit sustained positive performance. The Federal Reserve tookaction in both July and September, cutting short-term interest rates to a targeted range of1.75% to 2.00%. The Committee’s latest projections suggests the “mid-cycle adjustment”may be complete, even as the futures market is pricing in further cuts over the next 12months. The US Treasury yield curve (10’s – 2’s) ended flatter after briefly inverting.
Given its high sensitivity to domestic interest rates, the BloomBar US Aggregate continuedto outpace expectations. Total returns for the quarter were solid at 2.3%, with IG corporatecredit a top contributor given stable spreads. The benchmark’s yield-to-worst contractedby another 23 bps in the period, settling below 2.3% for the first time since October-2016.
Despite a brief interruption in investor risk appetite in August, the High Yield bond categorymanaged positive performance in 3Q-19. Spreads tightened by only ~4 bps at the indexlevel, but the focus on liquidity led to the ongoing underperformance of CCC-rated issues.
Municipal Bonds were solidly positive, despite lagging taxable counterparts as US Treasuryrates moved lower. Robust demand for income caused the tax-exempt yield curve toflatten, with 10-year yield ratios of ~88% improving further from historically rich levels.
Unhedged Global government bonds underperformed with the drag of a strong US dollaroffsetting the benefit of lower-trending yields. Emerging Market outcomes were mixed.
Global Fixed Income Update 3Q-2019
Sources: Bloomberg, ACG Research
Sources: Bloomberg, ACG Research
Current Rate Hiking Cycle
Percentile Rankings of Observations for Past 15-Years
After 9 hikes and a pause, the FOMC
delivered cuts in 3Q-19
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
(%)
January 1,2015 through September 30, 2019
2-Year UST 10-Year USTFed Funds (Lower Limit) Fed Funds (Upper Limit)
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 September 30, 2019
Rates declinemeaningfully
Curve flattened,briefly inverted
Both IG and HY spreads stayed tight, inside the
35th percentile
Equity volatility rose slightly
US$ trends almost universally higher
10
Market Environment
For the Periods Ending September 30, 2019
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
8.52 10.30 2.92 3.38 3.75BloomBar US Aggregate
8.80 10.07 3.23 3.62 4.14BloomBar Universal
5.58 7.39 2.74 3.03 3.54BloomBar 1-15 Yr Municipal
20.55 4.25 13.39 10.84 13.24S&P 500
14.18 -8.89 8.23 8.19 11.19Russell 2000
13.35 -0.82 7.01 3.77 5.39MSCI EAFE
16.71 1.95 10.30 7.23 8.93MSCI ACWI
6.22 -1.63 6.37 2.71 3.73MSCI Emerging Markets
3.13 -6.57 -1.50 -7.18 -4.32Bloomberg Commodity
© 2019 Asset Consulting Group All Rights Reserved 11
Equity Index Returns
For the Periods Ending September 30, 2019
-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
(%
)
20.55 4.25 13.39 10.84 13.24S&P 500
20.09 2.92 12.83 10.44 13.08Russell 3000
17.81 4.00 9.43 7.79 11.46Russell 1000 Value
23.30 3.71 16.89 13.39 14.94Russell 1000 Growth
17.87 -2.49 9.38 8.88 12.56S&P Mid Cap 400
14.18 -8.89 8.23 8.19 11.19Russell 2000
12.82 -8.24 6.54 7.17 10.06Russell 2000 Value
15.34 -9.63 9.79 9.08 12.25Russell 2000 Growth
13.35 -0.82 7.01 3.77 5.39MSCI EAFE
12.06 -0.72 6.85 3.39 4.93MSCI ACWI ex US
© 2019 Asset Consulting Group All Rights Reserved 12
US Markets - Performance Breakdown
For the Periods Ending September 30, 2019
S&P 500 - Sector Returns (%)
Communication Services
(10.36)
Consumer Discretionary
(10.11)
Consumer Staples
(7.60)
Energy
(4.52)
Financials
(12.94)
Health Care
(13.65)
Industrials
(9.34)
Information Technology
(21.93)
Materials
(2.73)
Real Estate
(3.22)
Utilit ies
(3.59)
1.84
0.17
5.37
-7.25
1.43
-2.71
0.49
2.97
-0.68
6.89
8.39
20.52
21.20
20.60
3.09
17.58
4.21
20.80
29.87
15.17
26.66
22.27
Russell 2000 - Sector Returns (%)
Communication Services
(2.32)
Consumer Discretionary
(11.04)
Consumer Staples
(3.01)
Energy
(2.92)
Financials
(17.91)
Health Care
(15.97)
Industrials
(16.02)
Information Technology
(13.30)
Materials
(3.69)
Real Estate
(8.21)
Utilit ies
(4.11)
-7.57
0.30
4.27
-20.59
-0.50
-9.21
-0.46
1.02
-5.52
5.11
5.38
3.88
11.86
8.25
-12.91
13.53
5.78
20.49
27.81
10.37
24.86
22.53
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
© 2019 Asset Consulting Group All Rights Reserved 13
Non-US Equity Index Returns
For the Periods Ending September 30, 2019
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
13.35 -0.82 7.01 3.77 5.39MSCI EAFE
16.23 2.10 8.84 6.54 7.55MSCI EAFE Local Currency
8.31 -4.31 5.73 1.57 3.82MSCI EAFE Value
18.39 2.64 8.19 5.90 6.91MSCI EAFE Growth
6.22 -1.63 6.37 2.71 3.73MSCI Emerging Markets
11.52 -4.32 6.59 5.97 5.78MSCI Japan
12.06 -0.72 6.85 3.39 4.93MSCI ACWI ex US
© 2019 Asset Consulting Group All Rights Reserved 14
Non-US Equity - Performance Breakdown
For the Periods Ending September 30, 2019
MSCI EAFE - Sector Returns (%)
Communication Services
(5.36)
Consumer Discretionary
(11.49)
Consumer Staples
(12.00)
Energy
(5.13)
Financials
(18.56)
Health Care
(11.59)
Industrials
(14.73)
Information Technology
(6.74)
Materials
(7.00)
Real Estate
(3.60)
Utilit ies
(3.79)
-0.84
0.35
1.92
-6.32
-2.53
2.44
-1.92
-0.44
-5.37
-1.09
2.50
7.94
14.70
17.13
4.21
9.30
16.87
15.28
22.62
11.69
10.62
13.91
MSCI EAFE - Country Returns (%)
Australia (7.04)
Austria (0.22)
Belgium (1.02)
Denmark (1.76)
Finland (0.99)
France (11.36)
Germany (8.54)
Hong Kong (3.53)
Ireland (0.54)
Israel (0.57)
Italy (2.34)
Japan (24.56)
Netherlands (3.98)
New Zealand (0.24)
Norway (0.65)
Portugal (0.16)
Singapore (1.27)
Spain (2.91)
Sweden (2.56)
Switzerland (9.42)
United Kingdom (16.36)
-1.36
-2.98
3.48
-0.90
-1.71
-1.64
-4.03
-11.94
-0.45
-3.65
0.14
3.29
2.51
-2.78
-3.30
1.84
-5.77
-3.75
-4.79
0.30
-2.47
18.01
6.61
22.51
14.07
7.47
16.94
10.72
2.82
16.51
2.38
19.02
11.53
23.54
18.15
6.75
15.18
7.07
6.08
8.36
24.09
10.16
YTD3 Months
© 2019 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 September 30, 2019
MSCI Emerging Markets - Sector Returns (%)
Communication Services
(11.57)
Consumer Discretionary
(13.05)
Consumer Staples
(6.90)
Energy
(7.68)
Financials
(24.69)
Health Care
(2.60)
Industrials
(5.39)
Information Technology
(15.09)
Materials
(7.34)
Real Estate
(2.86)
Utilit ies
(2.82)
-5.08
-3.03
-0.75
-3.67
-7.83
-6.58
-5.17
5.93
-10.54
-8.71
-3.49
1.47
15.82
8.14
9.60
2.96
-9.55
-0.46
19.75
-5.36
5.54
3.71
MSCI Emerging Markets - Country Returns (%)
Argentina (0.19)
Brazil (7.55)
Chile (0.95)
China (31.89)
Colombia (0.41)
Czech Republic (0.14)
Egypt (0.15)
Greece (0.31)
Hungary (0.29)
India (8.86)
Indonesia (2.07)
Malaysia (2.05)
Mexico (2.51)
Pakistan (0.03)
Peru (0.38)
Philippines (1.09)
Poland (0.99)
Qatar (1.01)
Russia (3.96)
Saudi Arabia (2.60)
South Africa (4.72)
South Korea (12.15)
Taiwan (11.48)
Thailand (2.91)
Turkey (0.58)
United Arab Emirates (0.72)
-46.81
-4.53
-7.28
-4.67
-6.09
-9.50
7.44
-2.98
-3.91
-5.14
-5.17
-6.31
-1.64
1.27
-9.26
-4.56
-11.70
-0.22
-0.91
-9.43
-12.44
-4.46
5.87
-5.89
11.65
-0.17
-31.28
10.79
-7.95
7.80
14.55
-2.40
34.39
27.40
-2.28
2.16
2.49
-4.93
5.15
-12.72
-1.18
7.83
-9.03
-3.12
30.43
4.56
-2.24
-0.56
16.68
10.73
11.67
5.57
YTD3 Months
© 2019 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, Bloomberg
16
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
Sep 2019 Jun 2019 Sep 2018
90 Days 1.82 2.09 2.20
180 Days 1.82 2.10 2.37
1 Year 1.76 1.93 2.57
2 Years 1.62 1.76 2.82
3 Years 1.56 1.71 2.88
4 Years 1.56 1.74 2.94
5 Years 1.54 1.77 2.95
7 Years 1.61 1.88 3.02
10 Years 1.67 2.01 3.06
20 Years 1.92 2.31 3.14
30 Years 2.11 2.53 3.21
Source: Bloomberg
© 2019 Asset Consulting Group All Rights Reserved 17
Fixed Income Index Returns
For the Periods Ending September 30, 2019
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
(%
)
1.81 2.39 1.54 0.98 0.54US T-Bills 90 Day
3.03 4.37 1.52 1.32 1.18ICE BofA ML 1-3 Yr Treasury
4.37 6.02 2.15 2.25 2.89BloomBar 5 Yr Municipal
8.52 10.30 2.92 3.38 3.75BloomBar US Aggregate
11.41 6.36 6.07 5.37 7.94BloomBar US Corp High Yield
6.32 7.60 1.59 1.99 2.34BloomBar Global Aggregate
12.99 11.57 4.61 5.74 6.88JPM EMBI Global Diversified
© 2019 Asset Consulting Group All Rights Reserved 18
US Fixed Income Market Environment
For the Periods Ending September 30, 2019
Nominal Returns By Sector (%)
3 Months YTD 1 Year 3 Years
US Aggregate 2.27 8.53 10.31 2.93
US Treasury 2.40 7.70 10.46 2.23
US Agg: Gov't-Related 2.44 8.78 10.12 3.25
US Corporate IG 3.04 13.20 12.99 4.50
MBS 1.36 5.59 7.79 2.33
CMBS 1.90 8.65 10.52 3.14
ABS 0.92 4.11 5.40 2.24
US Corp High Yield 1.33 11.39 6.34 6.07
Nominal Returns by Quality (%)
3 Months YTD 1 Year 3 Years
AAA 1.96 6.87 9.34 2.33
AA 2.62 9.54 10.98 3.47
A 2.91 12.16 12.55 3.97
BAA 3.25 14.50 13.47 5.12
BA 2.02 12.74 9.46 5.84
B 1.64 11.87 7.01 6.25
CAA -1.75 5.58 -4.21 5.48
Nominal Returns by Maturity (%)
3 Months YTD 1 Year 3 Years
0.701-3 Yr. 3.44 4.66 1.84
1.283-5 Yr. 5.77 7.71 2.30
1.485-7 Yr. 6.79 8.92 2.50
2.797-10 Yr. 9.82 12.11 2.90
6.5810+ Yr. 20.92 22.01 5.53
Excess Returns by Sector
-100
0
100
200
300
400
500
600
700
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
-1200
-800
-400
0
400
800
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.
© 2019 Asset Consulting Group All Rights Reserved 19
Monthly Index Returns
For the Periods Ending September 30, 2019
3 Months (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 1.70 20.55 4.25 13.39 10.84 13.26 13.24
Russell 1000 1.42 20.53 3.87 13.19 10.62 13.21 13.23
Russell 1000 Growth 1.49 23.30 3.71 16.89 13.39 15.02 14.94
Russell 1000 Value 1.36 17.81 4.00 9.43 7.79 11.30 11.46
Russell 2500 -1.28 17.72 -4.04 9.51 8.57 11.43 12.22
Russell 2000 -2.40 14.18 -8.89 8.23 8.19 10.43 11.19
Russell 2000 Growth -4.17 15.34 -9.63 9.79 9.08 11.43 12.25
Russell 2000 Value -0.57 12.82 -8.24 6.54 7.17 9.35 10.06
Wilshire 5000 Cap Wtd 1.23 20.11 2.95 12.91 10.58 13.04 13.09
MSCI ACWI 0.10 16.71 1.95 10.30 7.23 9.42 8.93
MSCI ACWI ex US -1.70 12.06 -0.72 6.85 3.39 5.50 4.93
MSCI EAFE -1.00 13.35 -0.82 7.01 3.77 6.62 5.39
MSCI EAFE Local Currency 1.83 16.23 2.10 8.84 6.54 10.14 7.55
MSCI EAFE Growth -0.40 18.39 2.64 8.19 5.90 7.88 6.91
MSCI EAFE Value -1.64 8.31 -4.31 5.73 1.57 5.28 3.82
MSCI Emerging Markets -4.11 6.22 -1.63 6.37 2.71 2.79 3.73
Fixed Income
ICE BofA ML 1-3 Yr Treasury 0.59 3.03 4.37 1.52 1.32 1.07 1.18
BloomBar 5 Yr Municipal 0.54 4.37 6.02 2.15 2.25 2.14 2.89
BloomBar US Aggregate 2.27 8.52 10.30 2.92 3.38 2.72 3.75
BloomBar Gov't Bond 2.39 7.66 10.40 2.27 2.90 2.10 3.00
BloomBar US Credit 2.98 12.61 12.63 4.33 4.54 3.89 5.32
BloomBar 10 Yr Municipal 1.42 6.86 9.09 3.16 3.80 3.52 4.42
BloomBar US Corp High Yield 1.33 11.41 6.36 6.07 5.37 5.88 7.94
FTSE World Govt Bond 0.85 6.27 8.13 1.19 1.80 0.59 1.69
BloomBar Global Aggregate 0.71 6.32 7.60 1.59 1.99 1.21 2.34
BloomBar Multiverse 0.63 6.45 7.54 1.81 2.14 1.40 2.55
JPM EMBI Global Diversified 1.50 12.99 11.57 4.61 5.74 4.83 6.88
Real Assets
NCREIF Property 1.41 4.80 6.24 6.77 8.57 9.29 9.77
NFI ODCE Net 1.08 3.08 4.65 6.34 8.35 9.29 9.84
FTSE NAREIT US Real Estate 7.80 26.96 18.42 7.36 10.26 10.03 13.04
Bloomberg Commodity -1.84 3.13 -6.57 -1.50 -7.18 -8.15 -4.32
Cash and Equivalents
US T-Bills 90 Day 0.57 1.81 2.39 1.54 0.98 0.72 0.54
© 2019 Asset Consulting Group All Rights Reserved 20
Monthly Index Returns
For the Periods Ending October 31, 2019
1 Month (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 2.17 23.16 14.33 14.91 10.78 13.91 13.70
Russell 1000 2.12 23.09 14.15 14.73 10.55 13.83 13.72
Russell 1000 Growth 2.82 26.77 17.10 18.92 13.43 15.97 15.41
Russell 1000 Value 1.40 19.46 11.21 10.51 7.61 11.60 11.96
Russell 2500 1.91 19.97 8.84 11.74 8.04 11.90 13.10
Russell 2000 2.63 17.18 4.90 10.96 7.37 11.19 12.27
Russell 2000 Growth 2.85 18.62 6.40 13.22 8.38 12.38 13.38
Russell 2000 Value 2.42 15.55 3.22 8.60 6.24 9.93 11.08
Wilshire 5000 Cap Wtd 2.19 22.74 13.48 14.50 10.46 13.68 13.62
MSCI ACWI 2.76 19.94 13.22 11.93 7.66 9.95 9.39
MSCI ACWI ex US 3.50 15.98 11.84 8.60 4.31 5.96 5.43
MSCI EAFE 3.60 17.43 11.63 9.02 4.81 7.03 5.90
MSCI EAFE Local Currency 1.68 18.19 11.07 9.01 6.96 10.22 7.97
MSCI EAFE Growth 3.59 22.64 17.10 11.09 6.84 8.36 7.30
MSCI EAFE Value 3.62 12.23 6.20 6.90 2.72 5.63 4.43
MSCI Emerging Markets 4.23 10.71 12.29 7.76 3.32 3.48 4.14
Fixed Income
ICE BofA ML 1-3 Yr Treasury 0.33 3.37 4.54 1.66 1.33 1.12 1.19
BloomBar Municipal 0.18 6.94 9.42 3.62 3.55 3.38 4.40
BloomBar US Aggregate 0.30 8.85 11.51 3.29 3.24 2.74 3.73
BloomBar Gov't Bond 0.07 7.74 10.99 2.66 2.72 2.13 3.01
BloomBar US Credit 0.57 13.26 14.88 4.83 4.43 3.81 5.32
BloomBar 10 Yr Municipal 0.15 7.02 9.88 3.63 3.68 3.50 4.70
BloomBar US Corp High Yield 0.28 11.71 8.38 6.03 5.18 5.79 7.78
FTSE World Govt Bond 0.54 6.84 9.92 2.55 1.96 0.76 1.73
BloomBar Global Aggregate 0.67 7.03 9.54 2.77 2.13 1.32 2.36
BloomBar Multiverse 0.70 7.20 9.50 2.95 2.27 1.51 2.57
Real Assets
Bloomberg Commodity 2.02 5.22 -2.58 -0.68 -6.65 -7.37 -4.44
Cash and Equivalents
US T-Bills 90 Day 0.19 2.01 2.40 1.60 1.02 0.75 0.56
© 2019 Asset Consulting Group All Rights Reserved 21
Oklahoma Police Pension & Retirement System
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© 2019 Asset Consulting Group All Rights Reserved 22
Oklahoma Police Pension & Retirement System
Total Portfolio Summary
© 2019 Asset Consulting Group All Rights Reserved 23
Oklahoma Police Pension & Retirement System
Total Portfolio
Dollar Reconciliation ($000s)
For the Periods Ending September 30, 2019
FYTD YTD 5 Years 10 Years
Beginning Market Value 2,606,162 2,398,381 2,191,176 1,510,022
Net Additions -18,192 -41,466 -279,593 -471,408
Return on Investment 10,263 241,318 686,651 1,559,619
Ending Market Value 2,598,233 2,598,233 2,598,233 2,598,233
© 2019 Asset Consulting Group All Rights Reserved
Fiscal year ending June.
24
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Period Ending September 30, 2019
0.00
4.00
8.00
12.00
16.00
20.00
24.00
US Large Cap
Equity
US Small/Mid
Cap Equity
Long/Short
Equity
Int 'l
Developed
Markets
Equity
Emerging
Markets
Equity
Private Equity Core Bonds Mult i-Sector
Fix ed Income
Absolute
Return
Core Real
Estate
Opportunis t ic
Real Estate
Other Cash and
Equivalents
18
.17
5.9
4
14
.26
9.9
1
4.4
3
8.8
3
9.2
7
9.9
8
6.4
1 8.2
2
2.0
2
1.0
0
1.5
6
15
.00
5.0
0
10
.00
10
.00
5.0
0
15
.00
10
.00
7.5
0
7.5
0 10
.00
5.0
0
0.0
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 2,598,233 100.00 100.00
Equity 1,598,993 61.54 60.00 1.54 50.00 - 70.00
US Large Cap Equity 472,080 18.17 15.00 3.17 10.00 - 20.00
US Small/Mid Cap Equity 154,235 5.94 5.00 0.94 0.00 - 15.00
Long/Short Equity 370,595 14.26 10.00 4.26 5.00 - 15.00
Int'l Developed Markets Equity 257,580 9.91 10.00 -0.09 5.00 - 15.00
Emerging Markets Equity 115,062 4.43 5.00 -0.57 0.00 - 10.00
Private Equity 229,442 8.83 15.00 -6.17 5.00 - 20.00
Fixed Income 666,560 25.65 25.00 0.65 15.00 - 35.00
Core Bonds 240,915 9.27 10.00 -0.73 5.00 - 15.00
Multi-Sector Fixed Income 259,198 9.98 7.50 2.48 2.50 - 12.50
Absolute Return 166,447 6.41 7.50 -1.09 2.50 - 12.50
Real Assets 292,048 11.24 15.00 -3.76 10.00 - 20.00
213,686 8.22 10.00 -1.78 5.00 - 15.00
52,470 2.02 5.00 -2.98 0.00 - 10.00
Core Real Estate
Opportunistic Real Estate
Other 25,891 1.00 0.00 1.00
Cash and Equivalents 40,632 1.56 0.00 1.56
© 2019 Asset Consulting Group All Rights Reserved 25
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Periods Ending September 30, 2019Return
(%)
Rank Std Dev
(%)
Sharpe
Ratio
FYTD
Total Portfolio 630.40 -- --
Total Fund Policy 0.62 -- --
IM TF Between 55 - 70% Equity 0.57 -- --
Calendar Year Returns
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
17.3
8
11.7
0
0.0
2
12.2
0 16.1
8
5.2
0
1.0
5
7.4
7
13.4
0
-2.4
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
16.1
7
-5.1
8
21.8
9
13.1
9
-0.3
6
12.9
0 17.3
6
5.8
9
-0.5
2
7.5
5
15.9
3
-4.9
9
Re
turn
(%
)
5 Year Risk / Return
2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.002.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
Total Portfolio Total Fund Policy
IM TF Betw een 55 -
70% Equity
Standard Deviat ion (%)
Re
turn
(%
)
5 Year Relative Statistics
Total
Fund Policy
Beta 0.78
Up Capture (%) 83.56
Down Capture (%) 71.651 Year
Total Portfolio 862.17 9.05 -0.02
Total Fund Policy 4.08 10.97 0.16
IM TF Between 55 - 70% Equity 3.62 11.22 0.12
3 Years
Total Portfolio 827.19 5.82 0.98
Total Fund Policy 7.66 7.10 0.87
IM TF Between 55 - 70% Equity 8.04 7.39 0.87
5 Years
Total Portfolio 665.98 5.88 0.86
Total Fund Policy 5.73 7.33 0.66
IM TF Between 55 - 70% Equity 6.38 7.40 0.72
10 Years
Total Portfolio 727.68 6.45 1.11
Total Fund Policy 8.12 8.24 0.93
IM TF Between 55 - 70% Equity 8.25 8.23 0.92
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.
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 26
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Total Portfolio
10 Year Risk / Return 10 Year Portfolio Statistics
4.00 5.00 6.00 7.00 8.00 9.00 10.00 11.00 12.004.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
Total Port folio Total Fund Policy
Standard Deviat ion (%)
Re
turn
(%
)
Total
Portfolio
Total
Fund Policy
Benchmark Relative Statistics
Return (%) 7.68 8.12
Standard Deviation (%) 6.45 8.24
Sharpe Ratio 1.11 0.93
Beta 0.76
Up Capture (%) 80.71
Down Capture (%) 72.29
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 (%) -4.27 -5.35
Number of Positive Months 84 79
Number of Negative Months 36 41
% of Positive Months 70.00 65.83$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
$2.20
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Total Port folio Total Fund Policy
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 27
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
FYTD 1 Year 3 Years 5 Years 10 Years Since Aug 1985
0.3
0
1.7
6
6.7
5
5.5
4
7.2
7
0.4
0
2.1
7
7.1
9
5.9
8
7.6
8 8.1
9
0.6
2
4.0
8
7.6
6
5.7
3
8.1
2
0.5
7
3.6
2
8.0
4
6.3
8
8.2
5
Net of Fees * Gross of Fees Total Fund Policy IM TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 63 86 82 66 72
5th Percentile 1.53 6.14 9.51 7.86 9.67
25th Percentile 0.96 4.48 8.53 6.97 8.75
50th Percentile 0.57 3.62 8.04 6.38 8.25
75th Percentile 0.20 2.60 7.44 5.69 7.58
95th Percentile -0.29 1.39 6.35 4.47 6.60
Observations 498 488 450 417 327
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.
© 2019 Asset Consulting Group All Rights Reserved 28
Oklahoma Police Pension & Retirement System
Total Portfolio
For the One Year Periods Ending September
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
1.7
6
8.0
3
10.6
7
7.6
5
-0.0
1
2.1
7
8.5
1
11.1
0
8.0
9
0.4
4
4.0
8
6.8
6
12.2
0
9.9
2
-3.6
8
3.6
2
7.5
9
12.7
4
9.7
3
-1.4
5
Net of Fees * Gross Of Fees Total Fund Policy IM TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 86 30 85 86 18
5th Percentile 6.14 10.80 15.22 12.34 1.62
25th Percentile 4.48 8.68 13.76 10.50 -0.12
50th Percentile 3.62 7.59 12.74 9.73 -1.45
75th Percentile 2.60 6.60 11.70 8.83 -3.13
95th Percentile 1.39 5.21 10.21 7.13 -6.27
Observations 488 614 680 601 492
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.
© 2019 Asset Consulting Group All Rights Reserved 29
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
FYTD
(%)
Rank YTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
2,598,233 100.00 0.30 9.75 1.76 6.75 5.54 7.27Total Portfolio * (06/05) ¹
0.40 63 10.08 98 2.17 86 7.19 82 5.98 66 7.68Total Portfolio (08/85)
0.62 12.77 4.08 7.66 5.73 8.12Total Fund Policy ²
IM TF Between 55 - 70% Equity 0.57 13.26 3.62 8.04 6.38 8.25
1,598,993 61.54 0.43 13.74 1.32 9.34 7.63 9.41Equity (01/98)
0.10 16.71 1.95 10.30 7.23 8.93MSCI ACWI
472,080 18.17 US Large Cap Equity
472,080 18.17 591.42 20.54 43 3.90 13.19 10.6247 45 42 13.24Northern Trust Russell 1000 Index (08/98) ³
1.42 20.53 3.87 13.19 10.62 13.23Russell 1000
eA US Large Cap Core Equity 1.71 19.95 3.52 12.86 10.30 13.08
154,235 5.94 US Small/Mid Cap Equity
77,025 2.96 51 / 201.60 21.33 36 / 10 -2.29 7.59 7.5572 / 19 68 / 39 54 / 49 11.63Boston Partners (01/98)
0.13 15.41 -4.35 6.87 6.98 11.00Russell 2500 Value
eA US Mid Cap Value Equity 1.66 20.57 0.84 8.85 8.07 12.13
eA US Small Cap Value Equity -0.20 15.32 -6.25 7.13 7.50 11.71
77,210 2.97 67-5.38 9.97 87 -12.60 12.55 10.9084 60 56 --Silvercrest (02/14)
-4.17 15.34 -9.63 9.79 9.08 12.25Russell 2000 Growth
eA US Small Cap Growth Equity -4.30 18.64 -6.39 13.56 11.33 14.11
370,595 14.26 Long/Short Equity
370,595 14.26 -0.88 9.86 0.50 5.79 4.86 5.74Grosvenor Long/Short Equity (11/03)
0.10 16.71 1.95 10.30 7.23 8.93MSCI ACWI
-1.74 5.72 -1.12 3.23 1.95 2.80HFRI FOF: Strategic
© 2019 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 September 30, 2019
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
FYTD
(%)
Rank YTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
257,580 9.91 International Developed Market
137,979 5.31 65-2.00 8.25 68 -2.34 5.39 2.5435 50 55 4.95Mondrian International (05/04)
-1.64 8.31 -4.31 5.73 1.57 3.82MSCI EAFE Value
eA EAFE All Cap Value Equity -1.41 9.46 -4.97 5.30 2.74 6.20
119,600 4.60 41-0.81 13.87 46 -3.76 6.92 5.9667 42 19 --Barings Focused EAFE Plus Equity (03/12)
-1.07 12.80 -1.34 6.48 3.27 4.90MSCI EAFE NetDiv
eA EAFE All Cap Equity -1.24 12.95 -2.15 6.54 4.50 6.36
115,062 4.43 Emerging Markets Equity
36,538 1.41 21.40 16.29 5 9.03 5.66 3.305 64 47 --Wasatch Emerging Markets (09/12)
-4.42 2.11 -5.13 1.66 0.17 3.52MSCI EM SC
eA Global Emerging Mkts Equity -3.77 7.84 0.02 6.10 3.19 4.84
78,524 3.02 20-2.17 7.75 51 -3.10 -- --80 --AB EM Strategic Core Equity Fund (11/16)
-4.11 6.22 -1.63 6.37 2.71 3.73MSCI Emerging Markets
eA Global Emerging Mkts Equity -3.77 7.84 0.02 6.10 3.19 4.84
229,442 8.83 4.09 9.14 11.74 12.09 10.85 12.38Private Equity (07/03)
666,560 25.65 1.07 6.69 5.88 3.60 3.06 4.59Fixed Income (01/98)
2.12 8.80 10.07 3.23 3.62 4.14BloomBar Universal
240,915 9.27 Core Bonds
240,915 9.27 512.34 9.23 37 10.81 3.47 3.8229 37 39 4.45Agincourt Core Fixed Income (10/99)
2.27 8.52 10.30 2.92 3.38 3.75BloomBar US Aggregate
eA US Core Fixed Income 2.34 9.00 10.46 3.33 3.73 4.32
© 2019 Asset Consulting Group All Rights Reserved 31
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
FYTD
(%)
Rank YTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
259,198 9.98 Multi Sector Fixed Income
Multi Sector Fixed Income
128,150 4.93 -0.62 6.52 1.99 4.45 4.35 6.78Oaktree Global Credit Fund (02/98)
0.67 8.19 4.54 1.10 2.28 3.19Custom Blended Index 4
82,072 3.16 580.72 7.37 51 8.12 2.21 2.5236 67 57 3.19Loomis Sayles (06/08)
0.85 6.27 8.13 1.19 1.80 1.69FTSE World Govt Bond
eA All Global Fixed Income 1.02 7.42 6.68 3.66 2.93 3.92
48,976 1.88 2.39 6.13 5.76 8.05 -- --Private Credit (10/16)
166,447 6.41 Absolute Return
89,388 3.44 -0.16 3.45 -0.12 2.75 1.23 3.74PAAMCO (10/02)
2.27 8.52 10.30 2.92 3.38 3.75BloomBar US Aggregate
-0.26 4.38 1.00 3.07 2.00 2.71HFRI FOF: Conservative
77,059 2.97 470.95 3.48 69 5.53 -- --43 --Wellington Global Total Return (12/16)
1.56 4.84 6.48 5.60 5.02 4.56US T-Bills 90 Day + 4%
eA Global Unconstrained Fixed Income 0.67 5.93 4.48 3.46 2.65 3.53
292,048 11.24 0.01 2.16 1.01 5.50 4.70 5.46Real Assets (01/98)
0.11 3.16 0.95 3.78 1.19 5.60Real Assets Blended Index 5
213,686 8.22 Core Real Estate
129,712 4.99 0.45 2.06 3.92 6.49 8.69 10.62JP Morgan Strategic Property (12/07)
1.08 3.08 4.65 6.34 8.35 9.84NFI ODCE Net
1.41 4.80 6.24 6.77 8.57 9.77NCREIF Property
83,974 3.23 1.34 5.09 8.27 10.13 -- --Blackstone Property Partners (01/15)
1.08 3.08 4.65 6.34 8.35 9.84NFI ODCE Net
1.41 4.80 6.24 6.77 8.57 9.77NCREIF Property
© 2019 Asset Consulting Group All Rights Reserved 32
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
FYTD
(%)
Rank YTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
52,470 2.02 Opportunistic Real Estate
47,644 1.83 3.25 7.53 14.07 10.32 11.28 --Private Real Estate (08/11)
Private Real Estate Direct
4,826 0.19 1.08 3.98 5.69 7.61 8.17 11.27Columbus Square (01/98)
1.41 4.80 6.24 6.77 8.57 9.77NCREIF Property
1.08 3.08 4.65 6.34 8.35 9.84NFI ODCE Net
25,891 1.00 Other
25,891 1.00 -3.02 -8.78 -19.32 -1.88 -0.89 -0.33Mount Lucas Peak Partners (01/98)
2.12 9.56 7.66 5.35 3.11 4.88CS Hedge - Global Macro
40,632 1.56 Cash and Equivalents
Notes:
1 Total Fund Policy Index history available in appendix.
2 Total Fund Policy: Effective September 2019, the index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 15.0% NFI ODCE Net.
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 Custom Blended Index: Effective November 2018, the index consists of 50.0% ICE BofA ML Global HY Const, 50.0% CSFB Leveraged Loan.
5 Real Assets Blended Index: Effective January 2016, the index consists of 67.0% NFI ODCE Net, 33.0% Bloomberg Commodity.
© 2019 Asset Consulting Group All Rights Reserved 33
Oklahoma Police Pension & Retirement System
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© 2019 Asset Consulting Group All Rights Reserved 34
Oklahoma Police Pension & Retirement System
Equity Manager Performance
© 2019 Asset Consulting Group All Rights Reserved 35
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending September 30, 2019
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 ($000s)
YTDFYTD
Beginning Market Value 465,476 391,678
Net Additions -23 -45
Return on Investment 6,626 80,446
Ending Market Value 472,080 472,080
Characteristics
0.00
40.00
80.00
120.00
160.00
200.00
240.00
280.00
W td Avg M kt Cap ($Bil) Div idend Yield P/E (1 Yr Trailing) P/B
23
1.2
9
1.9
2 20
.71
3.2
9
20
8.6
8
1.8
1 19
.17
3.2
3
Northern Trus t Russell 1000
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Comm
Serv ices
Cons
Disc
Cons
Staples
Energy Financials Health
Care
Indust rials Info Tech M aterials Real
Es tate
U t ilit ies
10
.02
10
.84
6.7
6
3.7
6
11
.95
13
.44
9.7
3
23
.98
2.6
7 3.8
4
3.0
2
9.7
8
10
.32
6.9
7
4.2
6
13
.19
13
.29
9.6
8
21
.90
2.8
4
4.0
2
3.4
3
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.
© 2019 Asset Consulting Group All Rights Reserved 36
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Northern Trust Russell 1000 Index
10 Year Risk / Return 10 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.0010.00
11.00
12.00
13.00
14.00
15.00
16.00
Northern Trust Russell 1000
Standard Deviat ion (%)
Re
turn
(%
)
Northern
Trust Russell 1000
Benchmark Relative Statistics
Return (%) 13.24 13.23
Standard Deviation (%) 12.73 12.74
Sharpe Ratio 1.00 1.00
Beta 1.00
R Squared (%) 100.00
Alpha (%) 0.01
Tracking Error (%) 0.04
Batting Average (%) 61.67
Up Capture (%) 99.99
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 (%) -9.09 -9.11
Number of Positive Months 85 85
Number of Negative Months 35 35
% of Positive Months 70.83 70.83$0.80
$1.20
$1.60
$2.00
$2.40
$2.80
$3.20
$3.60
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Northern Trust Russell 1000
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 37
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Aug 1998
1.4
2
3.9
0
13.1
9
10.6
2
13.2
4
7.0
4
1.4
2
3.8
7
13.1
9
10.6
2
13.2
3
6.9
7
1.7
1
3.5
2
12.8
6
10.3
0
13.0
8
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 59 47 45 42 43
5th Percentile 4.02 12.86 16.41 13.22 15.00
25th Percentile 2.61 7.10 14.27 11.39 13.71
50th Percentile 1.71 3.52 12.86 10.30 13.08
75th Percentile 0.93 0.55 11.67 9.30 12.35
95th Percentile -0.52 -3.66 8.47 7.02 10.32
Observations 337 337 323 303 233
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.
© 2019 Asset Consulting Group All Rights Reserved 38
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the One Year Periods Ending September
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
3.9
0
17.7
5
18.5
4
14.9
5
-0.6
2
3.8
7
17.7
6
18.5
4
14.9
3
-0.6
1
3.5
2
17.1
1
18.5
3
12.8
5
-0.1
3
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 47 43 50 25 57
5th Percentile 12.86 24.50 23.62 19.07 6.37
25th Percentile 7.10 19.50 20.56 14.89 2.11
50th Percentile 3.52 17.11 18.53 12.85 -0.13
75th Percentile 0.55 14.54 16.22 10.66 -1.98
95th Percentile -3.66 9.74 12.05 5.87 -6.45
Observations 337 385 388 384 372
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.
© 2019 Asset Consulting Group All Rights Reserved 39
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending September 30, 2019
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 ($000s)
YTDFYTD
Beginning Market Value 88,741 74,519
Net Additions -12,615 -12,852
Return on Investment 899 15,358
Income 390 1,300
Gain/Loss 509 14,058
Ending Market Value 77,025 77,025
Characteristics
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
4.7
2
3.7
4
2.0
0
14
.60
8.2
0
1.6
0
5.0
5
0.9
6 2.2
7
15
.02
8.8
0
1.5
6
1.9
7
0.6
2 2.1
8
13
.41
8.4
2
1.3
1
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
40.00
Comm Serv ices
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
U t ilit ies
Cash
1.1
0
7.8
0
1.9
0
6.0
0
32
.10
5.2
0
16
.40
15
.90
7.6
0
2.5
0
1.1
0 2.5
0
3.0
3
10
.23
3.1
9
4.0
9
23
.47
5.1
3
12
.98
8.3
6
6.1
7
15
.33
6.3
2
0.0
02.2
6
9.8
1
2.5
7 5.2
6
30
.07
4.8
3
12
.52
8.4
8
4.3
9
11
.53
6.4
6
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.
© 2019 Asset Consulting Group All Rights Reserved 40
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Boston Partners
10 Year Risk / Return 10 Year Portfolio Statistics
12.00 13.00 14.00 15.00 16.00 17.00 18.008.00
9.00
10.00
11.00
12.00
13.00
14.00
Boston Partners Russell 2500 Value
Standard Deviat ion (%)
Re
turn
(%
)
Boston
Partners
Russell
2500 Value
Benchmark Relative Statistics
Return (%) 11.63 11.00
Standard Deviation (%) 15.94 15.47
Sharpe Ratio 0.70 0.68
Beta 1.01
R Squared (%) 95.74
Alpha (%) 0.56
Tracking Error (%) 3.29
Batting Average (%) 53.33
Up Capture (%) 101.28
Down Capture (%) 98.58
10 Year Growth of a Dollar 10 Year Return Analysis
Boston
Partners
Russell
2500 Value
Number of Months 120 120
Highest Monthly Return (%) 14.23 13.92
Lowest Monthly Return (%) -12.07 -11.05
Number of Positive Months 78 79
Number of Negative Months 42 41
% of Positive Months 65.00 65.83$0.80
$1.20
$1.60
$2.00
$2.40
$2.80
$3.20
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Boston Partners Russell 2500 Value
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 41
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending September 30, 2019
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Jan 1998
1.6
0
-2.2
9
7.5
9
7.5
5
11.6
3
9.1
8
0.1
3
-4.3
5
6.8
7
6.9
8
11.0
0
8.5
2
-0.5
7
-8.2
4
6.5
4
7.1
7
10.0
6
7.8
1
1.6
6
0.8
4
8.8
5
8.0
7
12.1
3
-0.2
0
-6.2
5
7.1
3
7.5
0
11.7
1
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 51 / 20 72 / 19 68 / 39 54 / 49 69 / 55
5th Percentile 3.50 / 3.14 9.02 / 3.19 12.71 / 12.81 11.37 / 11.34 13.99 / 13.92
25th Percentile 2.45 / 1.12 3.96 / -2.95 10.45 / 8.98 9.58 / 8.86 13.15 / 12.36
50th Percentile 1.66 / -0.20 0.84 / -6.25 8.85 / 7.13 8.07 / 7.50 12.13 / 11.71
75th Percentile 0.06 / -1.50 -2.87 / -9.99 7.03 / 5.88 6.40 / 5.97 11.40 / 10.81
95th Percentile -2.27 / -4.46 -8.57 / -15.76 4.69 / 2.88 4.09 / 2.69 10.16 / 9.38
Observations 93 / 230 93 / 230 92 / 225 91 / 214 80 / 189
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.
© 2019 Asset Consulting Group All Rights Reserved 42
Oklahoma Police Pension & Retirement System
Boston Partners
For the One Year Periods Ending September
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-2.2
9
6.2
3
20.0
0
14.7
5
0.6
7
-4.3
5
10.2
4
15.7
5
17.6
8
-2.4
4
-8.2
4
9.3
3
20.5
5
18.8
1
-1.6
0
0.8
4
9.2
1
16.3
5
14.5
3
-0.6
9
-6.2
5
9.3
1
20.4
3
15.8
4
0.4
6
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 72 / 19 78 / 82 24 / 54 49 / 60 31 / 48
5th Percentile 9.02 / 3.19 15.79 / 18.93 25.87 / 28.28 20.61 / 25.32 5.49 / 6.68
25th Percentile 3.96 / -2.95 11.85 / 12.77 19.55 / 22.89 17.71 / 18.95 1.35 / 3.53
50th Percentile 0.84 / -6.25 9.21 / 9.31 16.35 / 20.43 14.53 / 15.84 -0.69 / 0.46
75th Percentile -2.87 / -9.99 6.88 / 6.99 14.77 / 17.37 11.40 / 12.69 -3.58 / -3.91
95th Percentile -8.57 / -15.76 3.24 / 3.59 10.14 / 11.46 7.33 / 7.10 -9.89 / -13.28
Observations 93 / 230 107 / 248 112 / 248 109 / 246 110 / 250
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.
© 2019 Asset Consulting Group All Rights Reserved 43
Oklahoma Police Pension & Retirement System
Silvercrest
For the Periods Ending September 30, 2019
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 ($000s)
YTDFYTD
Beginning Market Value 95,035 82,109
Net Additions -12,663 -13,054
Return on Investment -5,162 8,155
Income 39 229
Gain/Loss -5,201 7,927
Ending Market Value 77,210 77,210
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
1.5
9
1.2
4
0.1
0
20
.10
20
.80
2.8
0
2.4
3
0.8
4
0.7
3
23
.34
16
.96
4.0
6
Silvercres t Russell 2000 Growth
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Comm Serv ices
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
U t ilit ies
Cash
3.9
8
11
.06
2.1
8
1.7
6
6.6
2
28
.15
18
.61
25
.54
0.6
3
0.0
0
0.0
0 1.4
7
2.3
9
12
.27
3.4
5
0.5
8
5.7
8
27
.09
19
.52
18
.11
2.9
9 4.8
9
1.7
7
0.0
0
Silvercres t 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.
© 2019 Asset Consulting Group All Rights Reserved 44
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Silvercrest
5 Year Risk / Return 5 Year Portfolio Statistics
14.00 15.00 16.00 17.00 18.00 19.00 20.006.00
7.00
8.00
9.00
10.00
11.00
12.00
13.00
14.00
Silvercrest Russell 2000 Grow th
Standard Deviat ion (%)
Re
turn
(%
)
Silvercrest
Russell
2000 Growth
Benchmark Relative Statistics
Return (%) 10.90 9.08
Standard Deviation (%) 16.58 16.91
Sharpe Ratio 0.60 0.48
Beta 0.92
R Squared (%) 88.09
Alpha (%) 2.44
Tracking Error (%) 5.88
Batting Average (%) 58.33
Up Capture (%) 96.91
Down Capture (%) 89.97
5 Year Growth of a Dollar 5 Year Return Analysis
Silvercrest
Russell
2000 Growth
Number of Months 60 60
Highest Monthly Return (%) 11.26 11.55
Lowest Monthly Return (%) -11.40 -12.65
Number of Positive Months 41 41
Number of Negative Months 19 19
% of Positive Months 68.33 68.33$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
M ar-14 Feb-15 Jan-16 Dec-16 Nov-17 Oct-18 Sep-19
Silvercrest Russell 2000 Grow th
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 45
Oklahoma Police Pension & Retirement System
Silvercrest
For the Periods Ending September 30, 2019
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
3 Months YTD 1 Year 3 Years 5 Years Since Feb 2014
-5.3
8
9.9
7
-12.6
0
12.5
5
10.9
0
6.7
9
-4.1
7
15.3
4
-9.6
3
9.7
9
9.0
8
7.5
1
-4.3
0
18.6
4
-6.3
9
13.5
6
11.3
3
Silvercrest Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 67 87 84 60 56
5th Percentile 0.33 28.37 4.83 20.75 17.06
25th Percentile -2.65 22.54 -2.47 16.40 13.09
50th Percentile -4.30 18.64 -6.39 13.56 11.33
75th Percentile -6.29 14.03 -10.77 11.17 9.60
95th Percentile -9.03 7.25 -16.01 5.74 6.06
Observations 169 169 169 164 156
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.
© 2019 Asset Consulting Group All Rights Reserved 46
Oklahoma Police Pension & Retirement System
Silvercrest
For the One Year Periods Ending September
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-12.6
0
34.0
2
21.7
3
19.8
2
-1.8
0
-9.6
3
21.0
6
20.9
8
12.1
2
4.0
4
-6.3
9
27.7
5
21.7
9
11.4
0
4.1
2
Silvercrest Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 84 25 52 11 84
5th Percentile 4.83 45.98 32.40 22.70 13.63
25th Percentile -2.47 33.93 24.44 15.16 7.40
50th Percentile -6.39 27.75 21.79 11.40 4.12
75th Percentile -10.77 21.99 19.09 6.88 0.08
95th Percentile -16.01 13.86 11.32 1.40 -3.76
Observations 169 181 185 190 198
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.
© 2019 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: 53.59%■ Gross Exposure: 214.41%
■Historical Average:
Gross Exposure: 155.02%Net Exposure: 46.47% ■
■
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: $370,595,403
Grosvenor Long/Short EquityFor the Periods Ending September 30, 2019
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, 93.13%
Quantitative, 3.82%
Macro, 0.00%
Other, 0.26%
Cash , 2.79%
© 2019 Asset Consulting Group All Rights Reserved 48
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Grosvenor Long/Short Equity
10 Year Risk / Return 10 Year Portfolio Statistics
2.00 4.00 6.00 8.00 10.00 12.00 14.00 16.000.00
2.00
4.00
6.00
8.00
10.00
12.00
Grosvenor MSCI ACWI HFRI FOF: St rategic
Standard Deviat ion (%)
Re
turn
(%
)
Grosvenor MSCI ACWI
HFRI FOF:
Strategic
Benchmark Relative Statistics
Return (%) 5.74 8.93 2.80
Standard Deviation (%) 6.25 13.20 5.14
Sharpe Ratio 0.84 0.64 0.45
Beta 0.40 1.11
R Squared (%) 73.01 83.68
Alpha (%) 1.99 2.61
Tracking Error (%) 8.50 2.59
Batting Average (%) 46.67 65.83
Up Capture (%) 43.76 130.33
Down Capture (%) 41.57 91.93
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 (%) 5.18 10.74 3.33
Lowest Monthly Return (%) -4.90 -9.40 -4.49
Number of Positive Months 78 77 72
Number of Negative Months 42 43 48
% of Positive Months 65.00 64.17 60.00$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
$2.20
$2.40
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Grosvenor MSCI ACWI HFRI FOF: St rategic
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 49
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the Periods Ending September 30, 2019
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Nov 2003
-0.8
8
0.5
0
5.7
9
4.8
6 5.7
4
5.0
0
0.1
0
1.9
5
10.3
0
7.2
3
8.9
3
7.9
0
-1.7
4 -1.1
2
3.2
3
1.9
5 2.8
0 3.4
0
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 50
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the One Year Periods Ending September
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
0.5
0
6.8
5
10.2
7
2.8
8 4.0
7
1.9
5
10.3
5
19.2
9
12.6
0
-6.1
6
-1.1
2
2.2
8
8.7
8
1.2
0
-1.1
0
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 51
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending September 30, 2019
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Limited Partnership
Benchmark 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 Value.
Over rolling three year periods, rank above the median in the eA EAFE All Cap
Value Equity universe.
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 140,801 127,462
Net Additions 0 0
Return on Investment -2,821 10,518
Ending Market Value 137,979 137,979
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) P/B Dividend Yield
51
.90
13
.30
1.2
0
4.4
0
52
.25
11
.81
1.0
7
4.7
8
Mondrian MSCI EAFE Value
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Comm Services
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Utilities
Cash
11
.00
11
.90
7.0
0
8.5
0
17
.40
11
.40 14
.90
7.7
0
1.6
0
0.0
0
6.6
0
2.1
0
7.5
1 10
.46
3.0
0
9.5
7
30
.14
6.6
3
10
.98
1.7
1
8.5
6
4.9
8
6.4
5
0.0
0
Mondrian MSCI EAFE Value
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 Australia Switzerland Spain Italy Hong
Kong
Sweden Other
24
.10
23
.10
7.1
0 10
.30
1.4
0
5.7
0
3.2
0
4.8
0
5.5
0
2.8
0
12
.00
25
.19
22
.31
10
.63
8.5
8
7.3
4
4.8
5
4.5
2
3.7
3
3.6
1
2.0
9
7.1
5
Mondrian MSCI EAFE Value
Characteristic and allocation charts represents data of the Mondrian International Equity Fund, LP (Limited Partnership).
© 2019 Asset Consulting Group All Rights Reserved 52
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Mondrian International
10 Year Risk / Return 10 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.000.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Mondrian MSCI EAFE Value
Standard Deviat ion (%)
Re
turn
(%
)
Mondrian
MSCI
EAFE Value
Benchmark Relative Statistics
Return (%) 4.95 3.82
Standard Deviation (%) 13.85 15.44
Sharpe Ratio 0.32 0.22
Beta 0.87
R Squared (%) 93.17
Alpha (%) 1.53
Tracking Error (%) 4.17
Batting Average (%) 52.50
Up Capture (%) 87.59
Down Capture (%) 85.17
10 Year Growth of a Dollar 10 Year Return Analysis
Mondrian
MSCI
EAFE Value
Number of Months 120 120
Highest Monthly Return (%) 9.30 10.70
Lowest Monthly Return (%) -10.81 -11.86
Number of Positive Months 66 64
Number of Negative Months 54 56
% of Positive Months 55.00 53.33$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Mondrian MSCI EAFE Value
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 53
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending September 30, 2019
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months 1 Year 3 Years 5 Years 10 Years Since May 2004
-2.0
0
-2.3
4
5.3
9
2.5
4
4.9
5 6.0
9
-1.6
4
-4.3
1
5.7
3
1.5
7
3.8
2 5.0
6
-1.4
1
-4.9
7
5.3
0
2.7
4
6.2
0
M ondrian M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 65 35 50 55 65
5th Percentile 1.06 4.09 8.35 6.04 9.55
25th Percentile -0.63 -1.54 6.84 5.20 7.94
50th Percentile -1.41 -4.97 5.30 2.74 6.20
75th Percentile -2.35 -6.86 3.43 1.74 4.46
95th Percentile -2.99 -9.62 1.66 0.76 3.01
Observations 31 31 29 28 26
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.
© 2019 Asset Consulting Group All Rights Reserved 54
Oklahoma Police Pension & Retirement System
Mondrian International
For the One Year Periods Ending September
-20.00
-10.00
0.00
10.00
20.00
30.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-2.3
4
1.7
1
17.8
3
7.5
1
-9.9
0
-4.3
1
0.2
4
23.2
2
4.1
6
-12.1
8
-4.9
7
1.2
5
18.6
7
9.1
6
-7.4
0
M ondrian M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 35 34 61 60 72
5th Percentile 4.09 6.72 25.72 15.57 -0.05
25th Percentile -1.54 2.63 21.78 11.42 -4.46
50th Percentile -4.97 1.25 18.67 9.16 -7.40
75th Percentile -6.86 -0.31 16.67 5.98 -10.65
95th Percentile -9.62 -2.64 12.55 3.16 -13.66
Observations 31 33 32 35 37
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.
© 2019 Asset Consulting Group All Rights Reserved 55
Oklahoma Police Pension & Retirement System
Barings Focused EAFE Plus Equity
For the Periods Ending September 30, 2019
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Non-Mutual Commingled
Benchmarks MSCI EAFE NetDiv and MSCI ACWI ex US
Performance Inception Date March 2012
Fees 40 bps base fee plus performance based fee
Performance Goals
Outperform the MSCI EAFE NetDiv 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 ($000s)
YTDFYTD
Beginning Market Value 120,844 105,466
Net Additions -257 -482
Return on Investment -987 14,617
Ending Market Value 119,600 119,600
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Wtd Avg Mkt Cap ($Bil) P/B P/E (1 Yr Trailing) Dividend Yield
54
.25
1.8
9
16
.01
2.8
6
58
.87
1.6
2
15
.34
3.3
6
63
.08
1.6
2
14
.76
3.2
3
Barings MSCI EAFE NetDiv MSCI ACWI ex US
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Comm Services
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Utilities
Cash
4.7
6
15
.63
20
.04
7.9
0
13
.60
12
.63
6.5
8 8.3
5
6.3
2
1.2
5
0.0
0 2.9
25.3
6
11
.49
12
.00
5.1
3
18
.56
11
.59 14
.73
6.7
4
7.0
0
3.6
0
3.7
9
0.0
0
6.8
2
11
.39
10
.16
6.7
4
21
.60
8.5
2 11
.91
8.8
5
7.2
9
3.2
1
3.5
0
0.0
0
Barings MSCI EAFE NetDiv MSCI ACWI ex US
Country Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Japan
United Kingdom
France
Switzerland
Germany
Australia
Netherlands
Hong Kong
Spain
Sweden
Emerging Markets
Other
28
.49
22
.16
8.0
0
6.1
7
8.0
8
0.9
3
8.1
1
1.8
4
1.1
5
0.0
0
9.1
2
5.9
5
24
.56
16
.36
11
.36
9.4
2
8.5
4
7.0
4
3.9
8
3.5
3
2.9
1
2.5
6
0.0
0
9.7
4
16
.45
10
.96
7.6
1
6.3
1
5.7
2
4.7
2
2.6
6
2.3
7
1.9
5
1.7
2
25
.98
13
.55
Barings MSCI EAFE NetDiv MSCI ACWI ex US
Characteristic and allocation charts represents data of the Baring Focused Int'l Equity (Non-Mutual Commingled).
© 2019 Asset Consulting Group All Rights Reserved 56
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Barings Focused EAFE Plus Equity
7 Year Risk / Return 7 Year Portfolio Statistics
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
9.00
10.00
Barings MSCI EAFE NetDiv MSCI ACWI ex US
Standard Deviat ion (%)
Re
turn
(%
)
Barings
MSCI
EAFE NetDiv
MSCI
ACWI ex US
Benchmark Relative Statistics
Return (%) 5.82 6.12 5.50
Standard Deviation (%) 11.79 11.90 11.94
Sharpe Ratio 0.44 0.46 0.40
Beta 0.94 0.92
R Squared (%) 89.65 86.14
Alpha (%) 0.12 0.80
Tracking Error (%) 3.86 4.50
Batting Average (%) 54.76 52.38
Up Capture (%) 94.98 89.88
Down Capture (%) 96.53 87.67
7 Year Growth of a Dollar 7 Year Return Analysis
Barings
MSCI
EAFE NetDiv
MSCI
ACWI ex US
Number of Months 84 84 84
Highest Monthly Return (%) 8.31 7.82 8.21
Lowest Monthly Return (%) -8.97 -7.96 -8.12
Number of Positive Months 47 47 50
Number of Negative Months 37 37 34
% of Positive Months 55.95 55.95 59.52$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
$1.70
M ar-12 Jun-13 Sep-14 Dec-15 M ar-17 Jun-18 Sep-19
Barings MSCI EAFE NetDiv MSCI ACWI ex US
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 57
Oklahoma Police Pension & Retirement System
Barings Focused EAFE Plus Equity
For the Periods Ending September 30, 2019
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
3 Months YTD 1 Year 3 Years 5 Years Since Mar 2012
-0.8
1
13.8
7
-3.7
6
6.9
2
5.9
6
5.2
2
-1.0
7
12.8
0
-1.3
4
6.4
8
3.2
7 5.4
7
-1.7
0
12.0
6
-0.7
2
6.8
5
3.3
9 4.8
2
-1.2
4
12.9
5
-2.1
5
6.5
4
4.5
0
Barings M SCI EAFE NetDiv M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 41 46 67 42 19
5th Percentile 0.96 20.99 5.55 11.26 7.99
25th Percentile -0.28 15.67 0.66 7.65 5.55
50th Percentile -1.24 12.95 -2.15 6.54 4.50
75th Percentile -1.94 9.97 -5.00 5.16 2.90
95th Percentile -2.94 7.04 -9.04 2.66 1.23
Observations 126 126 126 120 108
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.
© 2019 Asset Consulting Group All Rights Reserved 58
Oklahoma Police Pension & Retirement System
Barings Focused EAFE Plus Equity
For the One Year Periods Ending September
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-3.7
6
7.5
5
18.1
1
12.1
3
-2.5
4
-1.3
4
2.7
4
19.1
0
6.5
2
-8.6
6
-0.7
2
2.2
5
20.1
5
9.8
0
-11.7
8
-2.1
5
2.6
3
19.9
0
8.2
0
-5.1
8
Barings M SCI EAFE NetDiv M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 67 12 66 19 19
5th Percentile 5.55 10.14 28.36 16.41 -0.32
25th Percentile 0.66 5.54 21.84 10.99 -3.28
50th Percentile -2.15 2.63 19.90 8.20 -5.18
75th Percentile -5.00 0.77 17.06 5.60 -7.79
95th Percentile -9.04 -1.67 12.88 3.35 -12.48
Observations 126 135 125 123 130
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.
© 2019 Asset Consulting Group All Rights Reserved 59
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending September 30, 2019
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 Global Emerging Mkts Equity universe over a
market cycle.
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 36,169 31,775
Net Additions -135 -396
Return on Investment 504 5,159
Ending Market Value 36,538 36,538
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)
27
.20
5.0
0
1.3
0
19
.70
17
.63
1.2
9
2.8
0
18
.77
Wasatch MSCI EM SC
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Comm
Services
Cons Disc Cons
Staples
Energy Financials Health
Care
Industrials Info Tech Materials Real
Estate
Utilities
2.4
0
9.8
0
15
.10
0.0
0
19
.80
8.2
0
17
.10 2
0.3
0
6.4
0
0.9
0
0.0
0
4.0
8
14
.14
6.4
6
2.2
2
9.8
5
7.8
0
14
.17
15
.71
12
.15
8.5
2
4.9
1
Wasatch MSCI EM SC
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
Taiwan South
Korea
India China Brazil South
Africa
Thailand Malaysia Mexico Saudi
Arabia
Other
16
.21
10
.35
26
.14
5.5
8 7.9
8
3.0
1
4.8
0
0.0
0
5.7
6
0.0
0
20
.17
20
.04
14
.93
13
.95
10
.73
8.7
0
5.6
0
4.7
9
3.1
2
2.8
2
2.5
8
12
.74
Wasatch MSCI EM SC
Characteristic and allocation charts represents data of the Wasatch Emerging Markets Small Cap CIT (Non-Mutual Commingled).
© 2019 Asset Consulting Group All Rights Reserved 60
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Wasatch Emerging Markets
7 Year Risk / Return 7 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
Wasatch MSCI EM SC
Standard Deviat ion (%)
Re
turn
(%
)
Wasatch MSCI EM SC
Benchmark Relative Statistics
Return (%) 3.67 2.12
Standard Deviation (%) 13.22 13.52
Sharpe Ratio 0.23 0.11
Beta 0.87
R Squared (%) 78.72
Alpha (%) 1.89
Tracking Error (%) 6.36
Batting Average (%) 50.00
Up Capture (%) 98.89
Down Capture (%) 91.78
7 Year Growth of a Dollar 7 Year Return Analysis
Wasatch MSCI EM SC
Number of Months 84 84
Highest Monthly Return (%) 8.10 10.01
Lowest Monthly Return (%) -12.45 -10.53
Number of Positive Months 48 50
Number of Negative Months 36 34
% of Positive Months 57.14 59.52$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
M ar-12 Jun-13 Sep-14 Dec-15 M ar-17 Jun-18 Sep-19
Wasatch MSCI EM SC
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 61
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending September 30, 2019
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
3 Months YTD 1 Year 3 Years 5 Years Since Sep 2012
1.4
0
16.2
9
9.0
3
5.6
6
3.3
0
4.3
3
-4.4
2
2.1
1
-5.1
3
1.6
6
0.1
7
2.9
7
-3.7
7
7.8
4
0.0
2
6.1
0
3.1
9
Wasatch M SCI EM SC eA Global Emerging M kts Equity
Re
turn
(%
)
Ranking 2 5 5 64 47
5th Percentile -1.00 16.25 8.98 10.27 6.84
25th Percentile -2.54 11.32 3.32 7.78 4.48
50th Percentile -3.77 7.84 0.02 6.10 3.19
75th Percentile -4.58 5.11 -2.62 4.74 2.17
95th Percentile -6.25 1.61 -5.84 2.21 0.62
Observations 470 470 468 434 382
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.
© 2019 Asset Consulting Group All Rights Reserved 62
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the One Year Periods Ending September
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
9.0
3
-4.4
2
13.1
7
11.5
4
-10.5
6-5.1
3
-3.8
9
15.2
2
12.9
5
-14.9
9
0.0
2
-1.8
5
22.6
1
17.6
6
-17.2
6
Wasatch M SCI EM SC eA Global Emerging M kts Equity
Re
turn
(%
)
Ranking 5 74 94 91 9
5th Percentile 8.98 4.54 31.47 26.96 -8.75
25th Percentile 3.32 0.24 26.11 21.10 -14.36
50th Percentile 0.02 -1.85 22.61 17.66 -17.26
75th Percentile -2.62 -4.55 18.46 15.24 -19.67
95th Percentile -5.84 -9.73 12.65 9.87 -24.88
Observations 468 518 498 480 441
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.
© 2019 Asset Consulting Group All Rights Reserved 63
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending September 30, 2019
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 Global
Emerging Mkts Equity universe.
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 80,267 72,875
Net Additions 0 0
Return on Investment -1,743 5,649
Ending Market Value 78,524 78,524
Characteristics
0.00
20.00
40.00
60.00
80.00
100.00
120.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) Dividend Yield
91
.80
16
.38
2.8
8
78
.84
13
.22
2.9
4
AB EM Strategic MSCI Emerging Markets
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
Comm Services
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Utilities
Other
10
.82
12
.80
18
.15
2.8
0
21
.75
0.0
0 2.0
1
20
.22
0.0
0
0.0
0
8.6
1
2.8
3
11
.57
13
.05
6.9
0
7.6
8
24
.69
2.6
0 5.3
9
15
.09
7.3
4
2.8
6
2.8
2
0.0
0
AB EM Strategic MSCI Emerging Markets
Country Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
China South
Korea
Taiwan India Brazil South
Africa
Russia Thailand Saudi
Arabia
Mexico Other
23
.93
9.6
4
8.4
7
13
.67
6.8
6
0.9
0
2.6
8
1.3
8
0.0
0 3.2
1
29
.26
31
.89
12
.15
11
.48
8.8
6
7.5
5
4.7
2
3.9
6
2.9
1
2.6
0
2.5
1
11
.37
AB EM Strategic MSCI Emerging Markets
© 2019 Asset Consulting Group All Rights Reserved 64
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
AB EM Strategic Core Equity Fund
2 Year Risk / Return 2 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00-6.00
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
AB EM St rategicMSCI Emerging
Markets
Standard Deviat ion (%)
Re
turn
(%
)
AB
EM Strategic
MSCI
Emerging
Markets
Benchmark Relative Statistics
Return (%) -3.37 -1.04
Standard Deviation (%) 13.45 15.56
Sharpe Ratio -0.39 -0.19
Beta 0.83
R Squared (%) 91.60
Alpha (%) -2.62
Tracking Error (%) 4.73
Batting Average (%) 37.50
Up Capture (%) 66.63
Down Capture (%) 86.25
2 Year Growth of a Dollar 2 Year Return Analysis
AB
EM Strategic
MSCI
Emerging
Markets
Number of Months 24 24
Highest Monthly Return (%) 7.70 8.76
Lowest Monthly Return (%) -9.21 -8.70
Number of Positive Months 13 12
Number of Negative Months 11 12
% of Positive Months 54.17 50.00$0.84
$0.88
$0.92
$0.96
$1.00
$1.04
$1.08
$1.12
$1.16
$1.20
M ar-17 Aug-17 Jan-18 Jun-18 Nov-18 Apr-19 Sep-19
AB EM St rategicMSCI Emerging
Markets
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 65
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending September 30, 2019
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
3 Months 6 Months YTD 1 Year 2 Years Since Nov 2016
-2.1
7
-0.2
7
7.7
5
-3.1
0
-3.3
7
4.1
5
-4.1
1
-3.4
0
6.2
2
-1.6
3
-1.0
4
6.4
7
-3.7
7 -2.3
9
7.8
4
0.0
2
-1.0
3
AB EM Strategic M SCI Emerging M arkets eA Global Emerging M kts Equity
Re
turn
(%
)
Ranking 20 22 51 80 84
5th Percentile -1.00 2.23 16.25 8.98 3.76
25th Percentile -2.54 -0.54 11.32 3.32 0.73
50th Percentile -3.77 -2.39 7.84 0.02 -1.03
75th Percentile -4.58 -3.67 5.11 -2.62 -2.54
95th Percentile -6.25 -5.82 1.61 -5.84 -4.80
Observations 470 470 470 468 454
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.
© 2019 Asset Consulting Group All Rights Reserved 66
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the One Year Periods Ending September
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-3.1
0
-3.6
5
-1.6
3
-0.4
4
22.9
1
17.2
1
-18.9
8
0.0
2
-1.8
5
22.6
1
17.6
6
-17.2
6
AB EM Strategic M SCI Emerging M arkets eA Global Emerging M kts Equity
Re
turn
(%
)
Ranking 80 67
5th Percentile 8.98 4.54 31.47 26.96 -8.75
25th Percentile 3.32 0.24 26.11 21.10 -14.36
50th Percentile 0.02 -1.85 22.61 17.66 -17.26
75th Percentile -2.62 -4.55 18.46 15.24 -19.67
95th Percentile -5.84 -9.73 12.65 9.87 -24.88
Observations 468 518 498 480 441
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.
© 2019 Asset Consulting Group All Rights Reserved 67
Oklahoma Police Pension & Retirement System
Private Equity - Active Funds
For the Period Ending September 30, 2019
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-22,792,432 15,495,839 -7,296,593
Summary of Portfolio Inception to Date (Category totals include active and closed funds)
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value to
Paid-in
Total 725,700,000 571,999,269 175,967,401 641,816,001 224,441,668 1.51x866,257,669Feb-98
Buyout 253,200,000 200,311,881 64,400,166 252,038,918 62,565,738 1.57x314,604,656Apr-99
Levine Leichtman Feb-03 10,000,000 10,612,096 - 18,254,382 74,621 1.73x18,329,003
Thompson Street C.P. II Dec-06 10,000,000 10,020,777 655,026 19,113,247 1,976,325 2.10x21,089,572
Arsenal Capital Partners II Dec-06 15,000,000 14,991,977 668,860 29,926,943 5,068,515 2.33x34,995,458
Sun Capital Partners V May-07 12,500,000 12,500,000 - 11,216,347 3,050,127 1.14x14,266,474
Calera Capital Fund IV Apr-08 10,000,000 8,835,037 1,236,975 13,709,533 - 1.55x13,709,533
Levine Leichtman IV Sep-08 10,000,000 9,284,222 1,065,574 15,354,090 1,055,220 1.77x16,409,310
Thompson Street Capital III Oct-11 7,500,000 7,519,515 499,214 7,632,084 4,270,777 1.58x11,902,861
Arsenal Capital Partners III Apr-12 7,500,000 7,625,862 1,270,818 14,425,141 2,637,893 2.24x17,063,034
Apollo Investment Fund VIII Feb-14 7,500,000 7,469,849 1,210,605 2,924,606 6,809,508 1.30x9,734,114
Francisco Partners Fund IV Apr-15 8,000,000 7,796,000 204,000 4,220,000 10,369,398 1.87x14,589,398
CenterOak Equity Fund I Dec-15 7,500,000 6,216,138 1,724,070 1,957,465 5,853,032 1.26x7,810,497
Thompson Street Capital Partners IV Jan-16 7,500,000 7,079,042 992,305 1,546,342 7,478,093 1.27x9,024,435
Leonard Green Equity Investors VII May-17 7,500,000 5,264,244 2,265,455 29,699 5,994,732 1.14x6,024,431
Francisco Partners Fund V Jul-18 10,000,000 5,125,000 4,875,000 - 5,453,397 1.06x5,453,397
Thompson Street Capital V Aug-18 12,700,000 1,723,330 10,976,670 - 1,482,771 0.86x1,482,771
Apollo Investment Fund IX Mar-19 13,000,000 1,244,406 11,755,594 135 991,329 0.80x991,464
Leonard Green VIII 15,000,000 - 15,000,000 - - --
Leonard Green Jade 10,000,000 - 10,000,000 - - --
© 2019 Asset Consulting Group All Rights Reserved 68
Oklahoma Police Pension & Retirement System
Private Equity - Active Funds
For the Period Ending September 30, 2019
Summary of Portfolio Inception to Date (Category totals include active and closed funds)
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value to
Paid-in
Distressed 143,500,000 126,712,509 17,602,815 163,766,045 22,273,223 1.47x186,039,268Feb-98
Oaktree Opportunities Fund V Jun-04 4,000,000 4,000,000 - 6,608,433 2,236 1.65x6,610,669
Oaktree Opportunities Fund VI Aug-05 4,000,000 4,000,000 - 6,326,002 641 1.58x6,326,643
Siguler Guff Dist Opp II Sep-05 20,000,000 20,000,000 - 27,923,699 310,120 1.41x28,233,819
Oaktree Opportunities VII A Mar-07 7,500,000 7,500,000 - 10,045,026 367,426 1.39x10,412,452
Oaktree Opportunities VII B Jun-08 7,500,000 6,750,000 750,000 11,529,006 162,843 1.73x11,691,849
Siguler Guff Dist Opp III Sep-08 15,000,000 14,550,000 450,000 21,006,293 2,315,203 1.60x23,321,496
Oaktree Opportunities VIII Dec-09 7,500,000 7,500,000 - 10,515,897 386,082 1.45x10,901,979
Oaktree Opportunities IX Mar-13 7,500,000 7,500,000 - 3,217,158 5,756,232 1.20x8,973,390
Oaktree European Dislocation Fund Nov-13 7,500,000 4,293,000 3,207,000 4,570,399 283,801 1.13x4,854,200
Oaktree Opportunities Fund X Jul-15 7,500,000 6,975,000 1,275,000 1,667,949 7,048,738 1.25x8,716,687
Apollo EPF III Jan-18 10,000,000 5,138,593 5,358,315 498,631 4,755,071 1.02x5,253,702
Oaktree Opportunities Fund Xb Jun-18 7,500,000 937,500 6,562,500 - 884,830 0.94x884,830
Emerging Markets Focused 7,500,000 7,934,303 1,022,792 3,316,702 6,664,107 1.26x9,980,809Mar-12
Actis EM IV Mar-12 7,500,000 7,934,303 1,022,792 3,316,702 6,664,107 1.26x9,980,809
Mezzanine 49,500,000 51,446,479 4,726,007 72,644,713 1,443,362 1.44x74,088,075Mar-99
TCW Crescent IV Jun-06 10,000,000 9,873,180 1,921,076 11,226,828 21,910 1.14x11,248,738
Newstone Capital Partners Nov-06 5,000,000 7,114,989 - 9,069,321 - 1.27x9,069,321
TCW Mezzanine Fund V Mar-08 10,000,000 7,507,009 2,492,991 10,456,648 258,860 1.43x10,715,508
Newstone Capital Partners II Dec-10 7,500,000 10,036,257 311,940 11,237,742 1,162,592 1.24x12,400,334
Other 46,500,000 23,736,400 25,826,313 8,990,534 19,861,439 1.22x28,851,973Feb-13
EnCap Energy Fund IX Feb-13 6,500,000 7,295,677 440,259 5,009,668 4,381,748 1.29x9,391,416
EnCap Energy Fund X Apr-15 7,500,000 6,592,074 1,384,348 1,217,051 6,680,904 1.20x7,897,955
ArcLight Energy Partners VI Aug-15 7,500,000 7,807,282 1,043,073 2,763,815 7,061,363 1.26x9,825,178
EnCap Energy Fund XI Jul-17 10,000,000 2,041,367 7,958,633 - 1,737,424 0.85x1,737,424
ArcLight Energy Partners Fund VII, L.P 15,000,000 - 15,000,000 - - --
Secondary Fund of Funds 20,000,000 21,226,531 - 27,903,793 1,675,703 1.39x29,579,496Dec-05
Lexington VI Dec-05 20,000,000 21,226,531 - 27,903,793 1,675,703 1.39x29,579,496
© 2019 Asset Consulting Group All Rights Reserved 69
Oklahoma Police Pension & Retirement System
Private Equity - Active Funds
For the Period Ending September 30, 2019
Summary of Portfolio Inception to Date (Category totals include active and closed funds)
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value to
Paid-in
Venture Capital 205,500,000 140,631,166 62,389,308 113,155,296 109,958,096 1.59x223,113,392Jul-99
Lightspeed Venture Partners VI (WPG) Oct-00 12,000,000 11,010,270 - 10,478,573 - 0.95x10,478,573
Accel Europe May-01 10,000,000 10,000,000 - 12,403,731 897,787 1.33x13,301,518
Knightsbridge Fund VI Dec-04 12,000,000 10,960,000 1,040,000 11,256,368 6,212,403 1.59x17,468,771
Firstmark I (Pequot, Firstmark IV) Nov-05 5,000,000 4,950,000 50,000 15,380,412 22,753,384 7.70x38,133,796
Weathergage Venture Capital Mar-07 7,500,000 6,862,500 637,500 9,198,343 5,051,185 2.08x14,249,528
Warburg Pincus Oct-07 15,000,000 15,000,000 - 19,185,958 6,319,424 1.70x25,505,382
Weathergage Venture Cap II Apr-11 7,500,000 6,975,000 525,000 4,342,401 11,406,173 2.26x15,748,574
Firstmark II (Firstmark V) Aug-11 5,000,000 5,122,365 - 497,531 9,575,158 1.97x10,072,689
Warburg Pincus XI Nov-12 7,500,000 7,500,000 - 5,856,442 6,263,801 1.62x12,120,243
Firstmark Capital Fund III Feb-14 5,000,000 4,900,000 100,000 141,977 7,233,625 1.51x7,375,602
Firstmark Capital Opportunity Fund I Jun-14 5,000,000 5,075,000 186,808 1,059,216 6,524,157 1.49x7,583,373
Warburg Pincus XII Dec-15 10,000,000 9,015,000 985,000 788,230 9,924,665 1.19x10,712,895
Weathergage Venture Capital IV Dec-16 10,000,000 6,000,000 4,000,000 - 7,127,695 1.19x7,127,695
FirstMark Capital Fund IV Apr-17 7,500,000 3,412,500 4,087,500 - 3,781,472 1.11x3,781,472
FirstMark Capital Opportunity Fund II Jan-18 7,500,000 5,512,500 1,987,500 - 5,828,316 1.06x5,828,316
Warburg Pincus Global Growth Mar-19 40,000,000 1,210,000 38,790,000 - 1,058,851 0.88x1,058,851
TA XIII 10,000,000 - 10,000,000 - - --
© 2019 Asset Consulting Group All Rights Reserved 70
Oklahoma Police Pension & Retirement System
Fixed Income Manager Performance
© 2019 Asset Consulting Group All Rights Reserved 71
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending September 30, 2019
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)
YTDFYTD
Beginning Market Value 220,459 172,421
Net Additions 14,917 49,790
Return on Investment 5,539 18,703
Income 2,164 5,412
Gain/Loss 3,375 13,292
Ending Market Value 240,915 240,915
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 (%)
7.7
6
5.6
6
20
.00
2.4
2
7.9
2
5.7
8
22
.50
2.2
7
Agincourt BloomBar US Aggregate
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
15
.09
47
.99
31
.54
0.0
0 4.1
2
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
1.2
6
39
.76
25
.15
26
.82
2.5
3
2.0
2
0.0
0
0.0
0
0.0
0
0.0
0 3.7
2
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
52
.56
2.2
4
19
.30
25
.90
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
72
.08
3.4
3 10
.67
13
.81
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.
© 2019 Asset Consulting Group All Rights Reserved 72
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Agincourt Core Fixed Income
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.000.00
1.00
2.00
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 (%) 4.45 3.75
Standard Deviation (%) 2.97 2.95
Sharpe Ratio 1.33 1.11
Beta 0.97
R Squared (%) 93.26
Alpha (%) 0.78
Tracking Error (%) 0.78
Batting Average (%) 64.17
Up Capture (%) 106.71
Down Capture (%) 88.30
10 Year Growth of a Dollar 10 Year Return Analysis
Agincourt
BloomBar US
Aggregate
Number of Months 120 120
Highest Monthly Return (%) 2.43 2.59
Lowest Monthly Return (%) -2.37 -2.37
Number of Positive Months 80 79
Number of Negative Months 40 41
% of Positive Months 66.67 65.83$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
AgincourtBloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 73
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Oct 1999
2.3
4
10.8
1
3.4
7
3.8
2 4.4
5 5.4
3
2.2
7
10.3
0
2.9
2
3.3
8
3.7
5
5.0
1
2.3
4
10.4
6
3.3
3
3.7
3 4.3
2
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 51 29 37 39 39
5th Percentile 2.76 11.73 4.12 4.48 5.48
25th Percentile 2.48 10.87 3.62 3.98 4.69
50th Percentile 2.34 10.46 3.33 3.73 4.32
75th Percentile 2.22 10.08 3.12 3.53 4.04
95th Percentile 1.61 8.27 2.68 3.18 3.55
Observations 238 238 235 229 209
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.
© 2019 Asset Consulting Group All Rights Reserved 74
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the One Year Periods Ending September
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
10.8
1
-0.7
3
0.7
0
5.7
5
2.9
9
10.3
0
-1.2
2
0.0
7
5.1
9
2.9
4
10.4
6
-0.8
0
0.6
3
5.6
7
3.0
2
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 29 46 45 46 54
5th Percentile 11.73 0.33 2.32 7.34 3.99
25th Percentile 10.87 -0.49 1.17 6.20 3.37
50th Percentile 10.46 -0.80 0.63 5.67 3.02
75th Percentile 10.08 -1.00 0.30 5.19 2.62
95th Percentile 8.27 -1.36 -0.23 4.11 1.81
Observations 238 269 268 256 259
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.
© 2019 Asset Consulting Group All Rights Reserved 75
Oklahoma Police Pension & Retirement System
Oaktree Global Credit Fund
For the Periods Ending September 30, 2019
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Limited Partnership
Benchmark Custom Blended Index
Performance Inception Date February 1998
Fees 50 bps plus operating expenses
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 129,151 120,339
Net Additions -203 -38
Return on Investment -798 7,849
Ending Market Value 128,150 128,150
Performance Goals
Outperform the Custom Blended Index.
Growth of a Dollar
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
$4.00
$4.50
Sep-97 May-01 Jan-05 Sep-08 May-12 Jan-16 Sep-19
OaktreeCustom Blended
Index
© 2019 Asset Consulting Group All Rights Reserved 76
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Oaktree Global Credit Fund
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.000.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
OaktreeCustom Blended
Index
Standard Deviat ion (%)
Re
turn
(%
)
Oaktree
Custom
Blended
Index
Benchmark Relative Statistics
Return (%) 6.78 3.19
Standard Deviation (%) 5.39 3.03
Sharpe Ratio 1.17 0.89
Beta 0.36
R Squared (%) 4.15
Alpha (%) 5.70
Tracking Error (%) 5.62
Batting Average (%) 60.00
Up Capture (%) 117.14
Down Capture (%) 7.22
10 Year Return Histogram 10 Year Return Analysis
Oaktree
Custom
Blended
Index
Number of Months 120 120
Highest Monthly Return (%) 5.85 3.21
Lowest Monthly Return (%) -3.96 -2.37
Number of Positive Months 85 77
Number of Negative Months 35 43
% of Positive Months 70.83 64.17
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%
03
7 9
16
42
25
12
510 0 1
7
35
53
22
1 1 0
OaktreeCustom Blended
Index
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 77
Oklahoma Police Pension & Retirement System
Oaktree Global Credit Fund
For the Periods Ending September 30, 2019
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Feb 1998
-0.6
2
1.9
9
4.4
5
4.3
5
6.7
8
6.8
0
0.6
7
4.5
4
1.1
0
2.2
8
3.1
9
4.6
7
OaktreeCustom Blended
Index
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 78
Oklahoma Police Pension & Retirement System
Oaktree Global Credit Fund
For the One Year Periods Ending September
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
1.9
9 2.8
8
8.5
9
10.3
9
-1.6
3
4.5
4
-1.2
2
0.0
7
5.1
9
2.9
4
OaktreeCustom Blended
Index
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 79
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending September 30, 2019
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Non-Mutual Commingled
Benchmark FTSE World Govt Bond
Performance Inception Date June 2008
Fees First $75M at 35 bps, balance at 25 bps
Performance Goals
Outperform the FTSE World Govt Bond.
Over rolling three year periods, rank above the median in the eA All Global
Fixed Income universe.
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 81,552 96,319
Net Additions -68 -20,221
Return on Investment 588 5,974
Ending Market Value 82,072 82,072
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 (%)
19.00
1.71
7.85
2.89
22.00
0.81
8.60
2.30
Loomis Sayles FTSE 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
0.0
0
14
.54
0.0
0
2.7
4
1.5
8
0.0
0
0.0
0
54
.37
0.0
0
24
.10
2.6
7
38
.80
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
61
.20
0.0
0
0.0
0
0.0
0
Loomis Sayles FTSE World Govt Bond
Regional Allocation
0.00
10.00
20.00
30.00
40.00
50.00
US/Canada United
Kingdom
Europe
ex-UK
Japan Asia Pacific
ex-Japan
Emerging
Markets
Other
34
.19
8.1
9
28
.73
15
.48
3.3
1 7.9
9
1.9
3
40
.40
5.2
0
31
.80
18
.80
1.9
0
1.9
0
0.0
0
Loomis Sayles FTSE 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.
© 2019 Asset Consulting Group All Rights Reserved 80
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Loomis Sayles
10 Year Risk / Return 10 Year Portfolio Statistics
2.00 3.00 4.00 5.00 6.00 7.00 8.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
Loomis SaylesFTSE World Govt
Bond
Standard Deviat ion (%)
Re
turn
(%
)
Loomis
Sayles
FTSE World
Govt Bond
Benchmark Relative Statistics
Return (%) 3.19 1.69
Standard Deviation (%) 5.92 5.63
Sharpe Ratio 0.46 0.21
Beta 0.98
R Squared (%) 87.20
Alpha (%) 1.53
Tracking Error (%) 2.12
Batting Average (%) 63.33
Up Capture (%) 112.28
Down Capture (%) 92.62
10 Year Growth of a Dollar 10 Year Return Analysis
Loomis
Sayles
FTSE World
Govt Bond
Number of Months 120 120
Highest Monthly Return (%) 4.20 3.69
Lowest Monthly Return (%) -4.95 -5.03
Number of Positive Months 72 64
Number of Negative Months 48 56
% of Positive Months 60.00 53.33$0.95
$1.00
$1.05
$1.10
$1.15
$1.20
$1.25
$1.30
$1.35
$1.40
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
Loomis SaylesFTSE World Govt
Bond
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 81
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Jun 2008
0.7
2
8.1
2
2.2
1
2.5
2 3.1
9 3.6
2
0.8
5
8.1
3
1.1
9 1.8
0
1.6
9 2.4
2
1.0
2
6.6
8
3.6
6
2.9
3
3.9
2
Loomis Sayles FTSE World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 58 36 67 57 62
5th Percentile 3.22 12.32 6.81 6.07 8.10
25th Percentile 1.86 8.99 5.15 4.64 5.63
50th Percentile 1.02 6.68 3.66 2.93 3.92
75th Percentile -0.63 3.12 1.75 1.40 2.58
95th Percentile -3.65 -3.96 -0.44 -1.32 0.55
Observations 665 662 619 540 305
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.
© 2019 Asset Consulting Group All Rights Reserved 82
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the One Year Periods Ending September
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
8.1
2
-1.2
5 0.0
0
11.9
8
-5.3
1
8.1
3
-1.5
4
-2.6
9
9.7
1
-3.8
3
6.6
8
-0.2
1
4.2
6
7.9
5
-2.9
9
Loomis Sayles FTSE World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 36 65 86 13 68
5th Percentile 12.32 4.89 12.05 15.31 3.23
25th Percentile 8.99 1.85 7.75 10.15 0.28
50th Percentile 6.68 -0.21 4.26 7.95 -2.99
75th Percentile 3.12 -1.77 1.33 4.94 -7.07
95th Percentile -3.96 -4.91 -2.28 -1.67 -15.37
Observations 662 761 700 688 672
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.
© 2019 Asset Consulting Group All Rights Reserved 83
Oklahoma Police Pension & Retirement System
Private Credit - Active Funds
For the Period Ending September 30, 2019
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-7,119,055 8,190,125 1,071,070
Summary of Portfolio Inception to Date (Category totals include active and closed funds)
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value to
Paid-in
Total 71,400,000 62,773,110 18,912,971 21,486,704 48,976,226 1.12x70,462,930Sep-16
Mezzanine 20,000,000 18,273,110 3,186,744 6,204,683 15,384,444 1.18x21,589,127Jan-17
Newstone Capital Partners III Jan-17 20,000,000 18,273,110 3,186,744 6,204,683 15,384,444 1.18x21,589,127
Other 51,400,000 44,500,000 15,726,227 15,282,021 33,591,782 1.10x48,873,803Sep-16
LBC Credit Partners Fund IV Sep-16 40,000,000 34,000,000 14,826,227 13,169,541 24,438,462 1.11x37,608,003
Apollo Accord II Oct-18 11,400,000 10,500,000 900,000 2,112,480 9,153,320 1.07x11,265,800
© 2019 Asset Consulting Group All Rights Reserved 84
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: 51.30%Historical Average ■ Gross Exposure: 874.90% Gross Exposure 351.95% Net Exposure 42.72%
Characteristic data provided by manager.
Exposure
PAAMCO
Objectives and Constraints
StrategyMarket Value: $89,388,419
Historical Net & Gross Exposure
Target annualized standard deviation: approximate the standard deviation of the Barclays Capital Aggregate
For the Periods Ending September 30, 2019
Sector Allocation
0%50%
100%150%200%250%300%350%400%450%500%550%600%650%700%750%
Net Exposure
Gross Exposure
Gross Longs
Gross Shorts
Convertible Bond Hedging11.70%
Fixed Income Relative Value
19.70%Distressed Debt
Hedging13.40%
Long/Short Equity19.00%
Equity Market Neutral4.20%
Event-Driven Equity3.40%
Long/Short Credit12.90%
Opportunistic Credit7.20%
Residual0.20%
Cash8.30%
© 2019 Asset Consulting Group All Rights Reserved 85
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
PAAMCO
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.000.00
1.00
2.00
3.00
4.00
5.00
6.00
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Standard Deviat ion (%)
Re
turn
(%
)
PAAMCO
BloomBar US
Aggregate
HFRI FOF:
Conservative
Benchmark Relative Statistics
Return (%) 3.74 3.75 2.71
Standard Deviation (%) 3.47 2.95 2.55
Sharpe Ratio 0.94 1.11 0.87
Beta -0.31 1.19
R Squared (%) 7.09 76.39
Alpha (%) 5.02 0.52
Tracking Error (%) 5.12 1.76
Batting Average (%) 59.17 58.33
Up Capture (%) 33.46 124.04
Down Capture (%) -71.56 106.84
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 (%) 2.84 2.59 1.84
Lowest Monthly Return (%) -2.99 -2.37 -2.13
Number of Positive Months 80 79 85
Number of Negative Months 40 41 35
% of Positive Months 66.67 65.83 70.83$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
M ar-09 Dec-10 Sep-12 Jun-14 M ar-16 Dec-17 Sep-19
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 86
Oklahoma Police Pension & Retirement System
PAAMCO
For the Periods Ending September 30, 2019
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Oct 2002
-0.1
6
-0.1
2
2.7
5
1.2
3
3.7
4
4.6
9
2.2
7
10.3
0
2.9
2 3.3
8
3.7
5 4.2
4
-0.2
6
1.0
0
3.0
7
2.0
0 2.7
1
3.0
0
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservative
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 87
Oklahoma Police Pension & Retirement System
PAAMCO
For the One Year Periods Ending September
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-0.1
2
3.6
4
4.8
0
-0.6
1
-1.4
1
10.3
0
-1.2
2
0.0
7
5.1
9
2.9
4
1.0
0
3.6
2
4.6
2
0.2
4
0.6
2
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservative
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 88
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending September 30, 2019
Account Description
Strategy Absolute Return
Vehicle Non-Mutual Commingled
Benchmarks US T-Bills 90 Day + 4% and BloomBar US Aggregate
Performance Inception Date December 2016
Fees 25 bps, plus 20% of excess return beyond cash + 1%
Performance Goals
Outperform the US T-Bills 90 Day + 4%.
Over rolling three year periods, rank above the median in the eA Global
Unconstrained Fixed Income universe.
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 66,411 65,342
Net Additions 9,959 9,399
Return on Investment 690 2,318
Ending Market Value 77,059 77,059
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Avg Quality Eff Duration (yrs) YTM (%)
22
.00
1.4
2
1.7
7
22
.50
5.7
8
2.2
7
Wellington BloomBar 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
55
.68
11
.61
0.0
0
19
.13
0.0
0
0.4
4
0.0
0
0.0
0
0.0
0
-4.7
4
17
.88
39
.76
25
.15
26
.82
2.5
3
2.0
2
0.0
0
0.0
0
0.0
0
0.0
0
3.7
2
0.0
0
Wellington 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
Cash
30
.35
9.3
4
32
.97
6.6
4
1.2
5
0.4
6
0.0
3
0.0
0
0.0
0
1.0
8
17
.88
72
.08
3.4
3 10
.67
13
.81
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
Wellington BloomBar US Aggregate
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2019 Asset Consulting Group All Rights Reserved 89
Oklahoma Police Pension & Retirement System
For the Periods Ending September 30, 2019
Wellington Global Total Return
2 Year Risk / Return 2 Year Portfolio Statistics
-2.00 -1.00 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
9.00
10.00
Wellington US T-Bills 90 Day + 4%BloomBar US
Aggregate
Standard Deviat ion (%)
Re
turn
(%
)
Wellington
US T-Bills
90 Day + 4%
BloomBar US
Aggregate
Benchmark Relative Statistics
Return (%) 6.40 6.06 4.38
Standard Deviation (%) 2.38 0.15 3.43
Sharpe Ratio 1.88 28.50 0.72
Beta -2.23 -0.20
R Squared (%) 1.84 8.10
Alpha (%) 21.23 7.34
Tracking Error (%) 2.41 4.70
Batting Average (%) 50.00 54.17
Up Capture (%) 105.62 38.39
Down Capture (%) -143.90
2 Year Growth of a Dollar 2 Year Return Analysis
Wellington
US T-Bills
90 Day + 4%
BloomBar US
Aggregate
Number of Months 24 24 24
Highest Monthly Return (%) 2.45 0.56 2.59
Lowest Monthly Return (%) -0.54 0.41 -1.15
Number of Positive Months 19 24 15
Number of Negative Months 5 0 9
% of Positive Months 79.17 100.00 62.50$0.98
$1.00
$1.02
$1.04
$1.06
$1.08
$1.10
$1.12
$1.14
M ar-17 Aug-17 Jan-18 Jun-18 Nov-18 Apr-19 Sep-19
Wellington US T-Bills 90 Day + 4%BloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2019 Asset Consulting Group All Rights Reserved 90
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
3 Months 6 Months YTD 1 Year 2 Years Since Dec 2016
0.9
5
2.7
0 3.4
8
5.5
3 6.4
0
4.4
8
1.5
6
3.2
1
4.8
4
6.4
8
6.0
6
5.6
8
2.2
7
5.4
2
8.5
2
10.3
0
4.3
8
4.2
6
0.6
7
2.9
0
5.9
3
4.4
8
2.9
7
Wellington US T-Bills 90 Day + 4% BloomBar US Aggregate eA Global Unconstrained Fixed Income
Re
turn
(%
)
Ranking 47 53 69 43 4
5th Percentile 2.74 6.67 11.83 11.09 6.04
25th Percentile 1.64 4.38 8.20 7.38 4.57
50th Percentile 0.67 2.90 5.93 4.48 2.97
75th Percentile -1.95 0.03 2.39 0.63 -1.05
95th Percentile -3.68 -3.21 -2.30 -5.00 -4.19
Observations 144 144 144 144 140
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.
© 2019 Asset Consulting Group All Rights Reserved 91
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the One Year Periods Ending September
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
5.5
3
7.2
8
6.4
8
5.6
4
4.6
8
4.2
8
4.0
2
10.3
0
-1.2
2
0.0
7
5.1
9
2.9
44.4
8
0.3
7
5.6
3
5.7
2
-2.3
1
Wellington US T-Bills 90 Day + 4% BloomBar US Aggregate eA Global Unconstrained Fixed Income
Re
turn
(%
)
Ranking 43 2
5th Percentile 11.09 4.87 11.00 13.47 2.36
25th Percentile 7.38 2.30 7.73 8.33 0.42
50th Percentile 4.48 0.37 5.63 5.72 -2.31
75th Percentile 0.63 -2.12 3.57 2.86 -6.37
95th Percentile -5.00 -5.13 1.17 -8.83 -16.16
Observations 144 171 154 184 170
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.
© 2019 Asset Consulting Group All Rights Reserved 92
Oklahoma Police Pension & Retirement System
Real Assets Manager Performance
© 2019 Asset Consulting Group All Rights Reserved 93
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending September 30, 2019
Account Information
Ending Market Value $129,712,490
Fund Information
Gross Market Value $41,781,401,248
Net Market Value $31,375,907,841
Cash Balance of Fund $424,439,396
# of Properties 166
# of Participants 424
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
15.9
0
0.8
0
37.0
0
20.7
0
25.6
0
Industrial Land Office Residential Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
27.0
0
4.4
0
21.1
0
47.5
0
East M idw est South West
Geographic Region
Returns by Property Type (%)
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
3 M onths 1 Year
3.4
5
12.4
3
1.0
9
0.3
7
0.1
5
5.0
9
1.1
4
4.1
1
-1.4
4
-1.9
7
Industrial Land 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.
© 2019 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Strategic Property Fund FIV1 (Comminged Pension Fund Trust Fund) (Non-Mutual Commingled).
94
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Dec 2007
0.4
5
3.9
2
6.4
9
8.6
9
10.6
2
5.7
3
1.0
8
4.6
5
6.3
4
8.3
5
9.8
4
4.4
9
1.4
1
6.2
4 6.7
7
8.5
7
9.7
7
6.4
0
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 95
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the One Year Periods Ending September
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
3.9
2
8.0
1
7.5
8
9.6
6
14.5
3
4.6
5
7.7
1
6.6
9
9.0
9
13.8
4
6.2
4
7.1
6
6.9
0
9.2
2
13.4
8
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 96
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending September 30, 2019
Current Quarter Returns (%)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
Appreciat ion Income Total-Gross Total-Net
1.30
0.90
2.60
2.10
0.26
1.051.31
1.08
Blackstone NFI ODCE
Account Information
Ending Market Value $83,973,502
Fund Information
Net Market Value $10,800,000,000
# of Properties 39
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
26.0
0
27.0
0
38.0
0
9.0
0
Industrial M ult i-Family Office Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
30.0
0
4.0
0
14.0
0
5.0
0
47.0
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.
© 2019 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Blackstone Property Partners (Limited Partnership).
97
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months YTD 1 Year 3 Years 4 Years Since Jan 2015
1.3
4
5.0
9
8.2
7
10.1
3
11.3
4
12.3
8
1.0
8
3.0
8
4.6
5
6.3
4 7.0
2
8.1
3
1.4
1
4.8
0
6.2
4 6.7
7 7.3
8
8.3
5
Blackstone NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 98
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the One Year Periods Ending September
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
8.2
7
10.7
4
11.3
9
15.0
7
4.6
5
7.7
1
6.6
9
9.0
9
13.8
4
6.2
4 7.1
6
6.9
0
9.2
2
13.4
8
Blackstone NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 99
Oklahoma Police Pension & Retirement System
Private Real Estate - Active Funds
For the Period Ending September 30, 2019
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-6,451,388 13,226,741 6,775,353
Summary of Portfolio Inception to Date (Category totals include active and closed funds)
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value to
Paid-in
Total 130,500,000 87,888,129 53,738,577 75,085,010 47,643,779 1.40x122,728,789Aug-11
Real Estate 130,500,000 87,888,129 53,738,577 75,085,010 47,643,779 1.40x122,728,789Aug-11
Siguler Guff Dist. Real Estate Opp. Aug-11 10,000,000 9,250,000 750,000 11,837,234 4,383,255 1.75x16,220,489
TA Associates Realty X Jan-13 20,000,000 20,000,000 - 28,814,635 3,565,505 1.62x32,380,140
Cerberus Real Estate Fund III Jul-13 20,000,000 25,185,319 4,871,659 25,756,432 9,502,784 1.40x35,259,216
Hall Capital Fund III Nov-14 7,500,000 7,016,483 483,517 2,716,798 5,468,925 1.17x8,185,723
Siguler Guff Dist. Real Estate Opp. II Dec-14 10,000,000 8,715,000 1,285,000 4,890,073 6,900,877 1.35x11,790,950
Cerberus Institutional Real Estate Partners 4 Jun-16 15,000,000 10,512,179 5,557,549 1,069,838 10,538,674 1.10x11,608,512
Siguler Guff Dist. Real Estate Opp. II B Dec-17 10,000,000 4,450,000 5,550,000 - 4,771,685 1.07x4,771,685
Angelo Gordon Realty Value Fund X Jun-19 20,000,000 1,500,000 18,500,000 - 1,252,926 0.84x1,252,926
Blackstone Real Estate Partners Fund IX, L.P Sep-19 18,000,000 1,259,148 16,740,852 - 1,259,148 1.00x1,259,148
© 2019 Asset Consulting Group All Rights Reserved 100
Oklahoma Police Pension & Retirement System
Columbus Square
For the Periods Ending September 30, 2019
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Jan 1998
1.0
8
5.6
9
7.6
1 8.1
7
11.2
7
13.0
7
1.4
1
6.2
4 6.7
7
8.5
7
9.7
7
9.2
1
1.0
8
4.6
5
6.3
4
8.3
5
9.8
4
7.7
7
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 101
Oklahoma Police Pension & Retirement System
Columbus Square
For the One Year Periods Ending September
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
5.6
9
6.0
0
11.2
4
8.2
6
9.7
9
6.2
4
7.1
6
6.9
0
9.2
2
13.4
8
4.6
5
7.7
1
6.6
9
9.0
9
13.8
4
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 102
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending September 30, 2019
Account Description
Strategy Other
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
$5.00
Sep-97 May-01 Jan-05 Sep-08 May-12 Jan-16 Sep-19
Mount Lucas PeakCS Hedge - Global
Macro
Dollar Growth Summary ($000s)
YTDFYTD
Beginning Market Value 26,764 28,601
Net Additions -66 -209
Return on Investment -807 -2,500
Ending Market Value 25,891 25,891
© 2019 Asset Consulting Group All Rights Reserved 103
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending September 30, 2019
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
3 Months 1 Year 3 Years 5 Years 10 Years Since Jan 1998
-3.0
2
-19.3
2
-1.8
8
-0.8
9
-0.3
3
4.8
2
2.1
2
7.6
6
5.3
5
3.1
1 4.8
8
7.6
2
Mount Lucas PeakCS Hedge - Global
Macro
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 104
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the One Year Periods Ending September
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Sep 2019 Sep 2018 Sep 2017 Sep 2016 Sep 2015
-19.3
2
12.1
9
4.3
6
-3.4
3
4.8
2
7.6
6
3.5
6 4.8
6
-0.3
6
0.0
3
Mount Lucas PeakCS Hedge - Global
Macro
Re
turn
(%
)
© 2019 Asset Consulting Group All Rights Reserved 105
Oklahoma Police Pension & Retirement System
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© 2019 Asset Consulting Group All Rights Reserved 106
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Appendix
© 2019 Asset Consulting Group All Rights Reserved 107
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Domestic Equity Fixed Income Total
2019Q1 $0 $0 $0Q2 $0 $0 $0Q3 $12,071 $1,047 $13,117Q4
2019 Total $12,071 $1,047 $13,117
Securities Lending Income
© 2019 Asset Consulting Group All Rights Reserved 108
Oklahoma Police Pension & Retirement System
Definitions of Statistical Measures
Alpha - the annualized difference between the manager's actual return and the manager'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.
© 2019 Asset Consulting Group All Rights Reserved 109
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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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
The index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 15.0% NFI ODCE Net.09/30/2019
© 2019 Asset Consulting Group All Rights Reserved 111
Disclaimer and Legal Notice
Information Disclaimer:
This report was prepared by 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 does not itself assume liability whatsoever for, the accuracy or reliability of
any third party data or the financial information contained herein.
The information presented herein is for informational purposes only and is not intended as an offer to sell or the solicitation of an offer to purchase a security.
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.
Past performance is not indicative of future results. Any comparison to an index is for comparative purposes only. An investment cannot be made directly into an index. Indices are
unmanaged and do not reflect the deduction of advisory fees.
This report is distributed with the understanding that it is not rendering accounting, legal or tax advice. Please consult your legal or tax advisor concerning such matters. No assurance
can be given that the investment objectives described herein will be achieved and investment results may vary substantially on a quarterly, annual or other periodic basis. There is no
representation or warranty as to the current accuracy of, nor liability for, decisions based on such information.
© 2019 Asset Consulting Group All Rights Reserved 112