Oklahoma Police Pension & Retirement System
Oklahoma Police Pension & Retirement System
Investment Performance Review
March 31, 2017
231 South Bemiston Avenue ♦ 14th Floor ♦ Saint Louis, Missouri 63105 ♦ www.acgnet.com ♦ 314.862.4848
Information Disclaimer:
The following report was prepared by Asset Consulting Group, LLC (ACG) using information from sources that may include the following: client’s custodian(s); client’s investment
manager(s); ACG Investment Manager Database and Client Reporting Tool; third party data vendors; and other outside sources as may be directed by the client. Index Characteristics
utilized in this report are obtained from third party data providers and may be different than index characteristics reported by investment managers/funds due to varied calculation
methodologies and data sources. Although the information presented herein has been obtained from and is based upon sources ACG believes to be reliable, no representation or
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© 2017 Asset Consulting Group All Rights Reserved
Table of Contents
Tab 1 Market Overview
Tab 2 Total Portfolio Summary
Tab 3 Equity
Tab 4 Fixed Income
Tab 5 Real Assets
Appendix Definitions of Statistical Measures
Quality Rating Scale
Historical Benchmark Composition
© 2017 Asset Consulting Group All Rights Reserved
Oklahoma Police Pension & Retirement System
Market Overview
© 2017 Asset Consulting Group All Rights Reserved
7
Traditional Bond MarketsCurrent Rate Hiking Cycle
Alternative Fixed Income Strategies
Percentile Rankings of Observations for Past 15-Years
Source: ACG Research, Bloomberg
Source: Bloomberg
Liquid Absolute Return strategies enhanced returns in 1Q-17, with the median manageroutperforming traditional bond benchmarks by about 65 bps. Trailing 12-month returns met theLIBOR +3% to +6% objective.
Lack of clarity in a broad range of policy matters has sustained the feeling of uncertainty in themarket. Anticipated volatility in rates, spreads, and currency should provide opportunities fortactical managers with a wide range of implementation options. Balancing idiosyncraticexposures against liquidity and risk constraints will be key.
The state of the credit cycle continues to be debated, but risk-adjusted carry from corporateand securitized assets is serving as a foundation for returns. Relative value trading and truealpha strategies are likely to become more prominent in attribution as we progress through2017.
Fundraising and investment in Private Credit remains robust, particularly in direct lendingstrategies as post-crisis regulations restrict traditional bank financing. Strategies include seniorcredit, junior credit and special situations funds with 5–10 year terms. These illiquid strategiestarget 6% to 12% returns, while offering little correlation to publically traded debt.
The Federal Reserve’s mid-March adjustment confirms that we are in a “hiking cycle,” butthose calling for dramatically higher risk-free rates remain in waiting. The combination ofconcerted and coordinated signaling on monetary policy, and rising doubts about thesustainability of the “reflation trade” kept yields range bound over the last 90-days. U.S.Treasuries were up as the curve flattened modestly. At this point, the market is pricing agreater than 50% probability of two more rate adjustments in 2017 (next expected in June).
The BloomBar Aggregate was up during the quarter. Despite record-setting issuance,investor demand allowed IG corporate credit spreads to tighten further. The MBS sectorlagged amid speculation that the Fed may soon consider the “great unwinding” of itsenlarged $4.5 trillion balance sheet by letting maturing issues roll off without re-investment.
High Yield and floating rate Bank Loans continued their impressive performance trendsgiven the correlation to rising equity markets and perceived protection from rising rates.Spreads softened modestly in late 1Q-17, and diligent security selection will be important.
Municipal Bonds were solid, with tax-exempt issues benefitting from less re-financingvolume and steady demand. The failure of “repeal and replace” helped hospital spreads,and caused the market to fully realize the challenges and complications in changing ourcountry’s obscured tax code.
Unhedged Global government bonds outperformed domestic counterparts as the U.S.Dollar’s decline aided returns. Outcomes in Emerging Markets were particularly strong.
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
10-YearUS Treasury
Yield
US Treasury10's - 2's
Curve Slope
IG CreditSpread
High YieldCredit Spread
EquityVolatility
(VIX)
Rolling 12-MonthTrade-Weighted
CurrencyVolatility
Trailing 12-Month Minimum Trailing 12-Month Maximum March 31, 2017
Rates low,but rising
Curve flat, but steepening
Both IG and HY spreads have narrowed
Equity volatility is very low
Currency volatility is increasing
0.00
0.50
1.00
1.50
2.00
2.50
3.00
(%)
January 1, 2015 through March 31, 2017
Fed Funds (Lower Limit) Fed Funds (Upper Limit)2-Year UST 10-Year UST
©2017 Asset Consulting Group All Rights Reserved8
Global Long-Only Equity
Equity Long-Short
Sources: S&P Dow Jones Indices
Sources: ACG Research, Bloomberg
Following Q4 “Trump Bump,” Financials Gave Back Gains Across Developed Equity Classes in Q1
Historical Annualized Stock Performance Dispersion
Most domestic equity markets started 1Q-17 with positive momentum on the continuedbelief that pro-growth policy changes from the new administration (i.e. tax reform,infrastructure spending, regulatory easing) would boost the economy.
However, markets have become skeptical of the new administration’s ability to implementpro-growth policies. The Financials sector, one of the main benefactors of this “TrumpBump,” began to see performance unwind throughout the quarter as investor sentimenthas been weighed down by the murkier outlook for if/when policies will pass.
Given the higher presence of Financials on the value side of the market, as well as othersector weaknesses, Value has trailed Growth year-to-date.
Given the run in domestic markets last year (resulting in rich U.S. valuations) and thepolitical consternation faced this year, International markets have led year-to-date.
For U.S. investors, currency was a tailwind in 1Q-17 in both developed and emergingmarkets. This is in contrast to 4Q-16, where currency translation was a significant detractorfrom results.
An environment with higher volatility, especially when the volatility results in dispersionbetween the top and bottom companies in a sector, is typically a good opportunity set forequity long/short managers (and active management in general).
Following an increase in dispersion post-election, hopes that fundamentals would start tomatter and a “stock pickers’ market” would drive manager performance in 2017 appearto be short-lived as the S&P 500 dispersion recorded its second-lowest monthly reading fora decade. Current dispersion of other indices are also well below the historical median.
Technology managers generally had a strong first quarter while managers with a highamount of energy exposure generally did poorly in 1Q-17 (as would be expected due tothese sectors being the leader and laggard of the equity markets).
Optimism about a looser regulatory environment has led to increased M&A activity, whichis promising for event driven managers.
Rising interest rates will be a mild tail wind for managers on the short side (something theyhave not had for the past few years).
15.7%13.2%
30.3%
20.0%
16.3%
25.3%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Global 1200 S&P 500 SmallCap 600 Dev Ex-USLargeMid
Europe 350 Emerging BMI
5th to 95th Percentile 25th to 75th Percentile Median Current
21.05
23.46
17.10
9.52
1.97
-0.65
2.53
-1.59
4.86
7.47 7.23
10.10
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
S&P 500 R2000 EAFE LCL EAFE US$ EM LCL EM US$
Finan
cial
s Se
ctor
Ret
urns
Q4 '16 Q1 '17
Currency impactmasked much of EAFE Financials Q4 and Q1 returns volatility
EM Financials appear much less affected by "TrumpBump"
©2017 Asset Consulting Group All Rights Reserved9
Private Equity
Real Assets
Sources: Bloomberg, Real Capital Analytics, ACG Research
Sources: Pitchbook, Renaissance Capital, ACG Research
After two lackluster years the IPO market started 2017 on a positive note that featured themuch anticipated debut of Snap, the disappearing message social media platform.Private investors are hoping Snap’s IPO success will help break the logjam of companiesthat has been waiting for a more accommodating public market for nearly two years.Many view the success of Snap, and its still negative earnings profile, as a sign that themarket is willing to accept some risk in pursuit of high growth prospects. Year to date thenumber of IPO filings is up 50% versus 2016.
Much like the public markets, pricing remains high for new deals in private markets as well.The median acquisition price for a private equity backed company purchased in 2016 was9.7x EBITDA. High prices dampened transaction volume slightly in 2016, but the drop involume was marginal and does not appear to have carried into 2017. Cash stockpilescontinue to grow even as private equity funds distributed more cash than they invested forthe sixth consecutive year. Fundraising continues to be strong and ample dry powdershould support another year of strong transaction volume.
Real estate assets continue their impressive streak of gains even as many investorsquestion whether the momentum is sustainable in the face of a rising rate environment.While it appears the Fed is committed to pushing up short rates, it is not clear that theiractions will meaningfully affect longer rates, including the 10-year U.S. Treasury. Themajority of investors view real estate as a longer-term asset class, making comparisons to10-year rates more meaningful than comparisons to short-term rates. The more recent risein risk-free rates has done little to affect U.S. real estate cap rates and the spread betweenthe U.S. 10-year U.S. Treasury rate and cap rates remains well within historical ranges.Fundamental indicators remain strong as occupancy, lease rates and NOI continue tosupport real estate returns.
A mixed outlook for the commodity sector led to mixed results across sub-sectors. Oilprices appear range bound as price support from the late 2016 OPEC production cut isoffset by fear that global growth will fall short of expectations and that oversupply willreturn. A strong U.S. dollar is also likely to provide a headwind for commodity investors.
Private Capital Backed and Total U.S. IPOs
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Spread - Cap Rate to 10-Year Treasury Rate Cap Rate 10-Year Treasury Rate
U.S. Real Estate Cap Rate Spread to Treasuries
$20.0 $23.0
$4.0 $9.0
$12.0
$25.0 $31.0
$34.0 $36.0
$19.0
$12.0
$22.2
$25.9
$20.5 $12.9
$26.7
$10.5
$11.7
$20.9
$49.3
$11.0
$6.8
0
50
100
150
200
250
300
$-
$10.0
$20.0
$30.0
$40.0
$50.0
$60.0
$70.0
$80.0
$90.0
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Num
ber o
f IPO
s
IPO
Pro
ceed
s in
Billio
ns
PE & VC Backed IPO Proceeds (Billions) Total Other U.S. IPO Proceeds Total # of U.S. IPOs PE & VC Backed IPOs
©2017 Asset Consulting Group All Rights Reserved10
Market Environment
For the Periods Ending March 31, 2017
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
0.67 -1.44 2.07 1.60 3.89BloomBar US Treasury
0.82 0.44 2.68 2.34 4.27BloomBar US Aggregate
1.09 1.92 2.99 2.83 4.52BloomBar Universal
6.07 17.17 10.37 13.30 7.51S&P 500
2.47 26.22 7.22 12.35 7.12Russell 2000
7.39 12.25 0.97 6.32 1.53MSCI EAFE
7.05 15.69 5.65 8.97 4.56MSCI ACWI
11.49 17.65 1.55 1.17 3.05MSCI Emerging Markets
-2.33 8.71 -13.91 -9.54 -6.22Bloomberg Commodity
© 2017 Asset Consulting Group All Rights Reserved
11
Equity Index Returns
For the Periods Ending March 31, 2017
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 10 Years (%)
Re
turn
(%
)
6.07 17.17 10.37 13.30 7.51S&P 500
5.74 18.07 9.76 13.18 7.54Russell 3000
3.27 19.22 8.67 13.13 5.93Russell 1000 Value
8.91 15.76 11.27 13.32 9.13Russell 1000 Growth
3.94 20.92 9.36 13.32 8.96S&P Mid Cap 400
2.47 26.22 7.22 12.35 7.12Russell 2000
-0.13 29.37 7.62 12.54 6.09Russell 2000 Value
5.35 23.03 6.72 12.10 8.06Russell 2000 Growth
7.39 12.25 0.97 6.32 1.53MSCI EAFE
7.98 13.70 1.03 4.84 1.82MSCI ACWI ex US
© 2017 Asset Consulting Group All Rights Reserved
12
US Markets - Performance Breakdown
For the Periods Ending March 31, 2017
S&P 500 - Sector Returns (%)
Consumer Discretionary
(12.33)
Consumer Staples
(9.30)
Energy
(6.59)
Financials
(14.36)
Health Care
(13.91)
Industrials
(10.08)
Information Technology
(22.08)
Materials
(2.84)
Real Estate
(2.94)
Telecommunication Services
(2.38)
Utilit ies
(3.19)
8.09
5.64
-7.30
2.09
7.89
4.01
12.17
5.30
2.72
-5.06
5.44
11.42
3.35
11.16
29.95
9.68
15.72
22.95
16.64
-0.90
-2.83
3.30
Russell 2000 - Sector Returns (%)
Consumer Discretionary
(12.17)
Consumer Staples
(2.88)
Energy
(2.91)
Financials
(19.26)
Health Care
(12.95)
Industrials
(14.25)
Information Technology
(17.31)
Materials
(5.08)
Real Estate
(7.75)
Telecommunication Services
(0.69)
Utilit ies
(3.57)
1.12
-1.40
-10.65
-1.65
12.70
1.03
6.10
6.06
-0.10
-5.51
4.69
11.40
17.65
26.78
37.34
26.07
27.97
33.10
49.99
14.13
7.08
15.07
3 Months 1 Year
Numbers in parenthesis represent sector weightings of the index. Sector weights may not add to 100% due to rounding or securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
Source: ACG Research, Bloomberg
© 2017 Asset Consulting Group All Rights Reserved
13
Non-US Equity Index Returns
For the Periods Ending March 31, 2017
-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
(%
)
7.39 12.25 0.97 6.32 1.53MSCI EAFE
4.85 18.61 7.76 11.21 2.82MSCI EAFE Local Currency
6.21 16.73 -0.06 6.15 0.63MSCI EAFE Value
8.64 7.86 1.89 6.39 2.35MSCI EAFE Growth
11.49 17.65 1.55 1.17 3.05MSCI Emerging Markets
4.64 14.82 6.36 7.11 0.84MSCI Japan
7.98 13.70 1.03 4.84 1.82MSCI ACWI ex US
© 2017 Asset Consulting Group All Rights Reserved
14
Non-US Equity - Performance Breakdown
For the Periods Ending March 31, 2017
MSCI EAFE - Sector Returns (%)
Consumer Discretionary
(12.24)
Consumer Staples
(11.38)
Energy
(5.00)
Financials
(21.28)
Health Care
(10.70)
Industrials
(14.31)
Information Technology
(5.71)
Materials
(7.92)
Real Estate
(3.70)
Telecommunication Services
(4.36)
Utilit ies
(3.40)
5.41
9.12
-1.68
7.48
8.68
9.27
11.74
7.66
6.14
5.21
7.81
9.11
2.95
19.64
20.29
2.81
15.09
21.41
30.86
4.41
-2.82
2.03
MSCI EAFE - Country Returns (%)
Australia (7.61)
Austria (0.20)
Belgium (1.16)
Denmark (1.64)
Finland (0.96)
France (10.19)
Germany (9.50)
Hong Kong (3.50)
Ireland (0.46)
Israel (0.67)
Italy (2.17)
Japan (23.37)
Netherlands (3.46)
New Zealand (0.17)
Norway (0.63)
Portugal (0.16)
Singapore (1.33)
Spain (3.36)
Sweden (2.88)
Switzerland (8.72)
United Kingdom (17.85)
11.01
9.09
5.15
6.57
7.70
7.34
8.53
13.40
3.89
5.64
6.25
4.64
11.35
2.34
1.50
8.25
13.48
14.88
9.98
8.83
5.06
21.39
22.68
0.46
-9.15
9.51
13.57
15.08
16.63
0.83
-11.27
8.83
14.82
13.41
9.01
14.25
9.74
9.61
19.06
11.90
10.07
7.53
1 Year3 Months
© 2017 Asset Consulting Group All Rights Reserved
Source: ACG Research, Bloomberg
Numbers in parenthesis represent sector or country weights of the index. Sector or country weights may not add to 100% due to rounding.
15
Emerging Markets - Performance Breakdown
For the Periods Ending March 31, 2017
MSCI Emerging Markets - Sector Returns (%)
Consumer Discretionary
(10.39)
Consumer Staples
(6.94)
Energy
(7.31)
Financials
(24.05)
Health Care
(2.40)
Industrials
(5.92)
Information Technology
(24.48)
Materials
(7.47)
Real Estate
(2.56)
Telecommunication Services
(5.64)
Utilit ies
(2.84)
12.91
7.63
4.47
10.10
5.50
13.64
17.02
12.15
10.55
7.66
10.02
10.70
1.90
24.32
20.75
-1.90
7.94
30.84
28.12
6.42
4.81
4.38
MSCI Emerging Markets - Country Returns (%)
Brazil (7.62)
Chile (1.25)
China (26.90)
Colombia (0.43)
Czech Republic (0.18)
Egypt (0.13)
Greece (0.32)
Hungary (0.28)
India (8.86)
Indonesia (2.51)
Malaysia (2.44)
Mexico (3.69)
Peru (0.37)
Philippines (1.16)
Poland (1.21)
Qatar (0.80)
Russia (3.81)
South Africa (6.64)
South Korea (15.07)
Taiwan (12.27)
Thailand (2.26)
Turkey (1.04)
United Arab Emirates (0.75)
10.43
16.13
12.94
5.70
5.65
1.85
-3.46
-0.06
17.13
7.08
8.29
16.06
5.51
6.35
17.75
1.85
-4.60
4.57
16.90
11.78
8.68
10.85
2.32
43.21
19.79
19.93
9.15
-1.96
-4.20
-3.12
15.33
18.41
13.09
-8.08
-2.63
29.28
-6.86
4.11
4.29
28.50
8.66
21.43
24.09
17.94
-16.30
7.05
1 Year3 Months
© 2017 Asset Consulting Group All Rights Reserved
Numbers in parenthesis represent sector or country weights of the index. Sector or country weights may not add to 100% due to rounding.
Source: ACG Research, Bloomberg16
Interest Rate Term Structure
Government Issues - 3 Months to 30 Years Maturity
0 5 10 15 20 25 30
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
Yie
ld t
o M
atu
rity
(%
)
Years to Maturity
Mar 2017 Dec 2016 Mar 2016
90 Days 0.75 0.50 0.20
180 Days 0.90 0.61 0.38
1 Year 1.02 0.81 0.58
2 Years 1.26 1.19 0.72
3 Years 1.49 1.45 0.85
4 Years 1.78 1.76 1.08
5 Years 1.92 1.93 1.21
7 Years 2.21 2.25 1.53
10 Years 2.39 2.45 1.77
20 Years 2.74 2.79 2.17
30 Years 3.01 3.07 2.61
Source: Bloomberg
© 2017 Asset Consulting Group All Rights Reserved
17
Fixed Income Index Returns
For the Periods Ending March 31, 2017
-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
(%
)
0.10 0.36 0.17 0.14 0.69US T-Bills 90 Day
0.26 0.25 0.72 0.64 2.00BofA ML 1-3 Yr Treasury
1.90 0.35 2.03 2.06 3.84BloomBar 5 Yr Municipal
0.82 0.44 2.68 2.34 4.27BloomBar US Aggregate
2.70 16.39 4.56 6.82 7.46BloomBar US Corp High Yield
1.76 -1.90 -0.39 0.38 3.34BloomBar Global Aggregate
3.87 8.92 6.23 5.83 7.03JPM EMBI Global Diversified
© 2017 Asset Consulting Group All Rights Reserved
18
US Fixed Income Market Environment
For the Periods Ending March 31, 2017
Nominal Returns By Sector (%)
1 Month 3 Months 1 Year 3 Years
US Aggregate -0.05 0.82 0.45 2.76
US Treasury -0.05 0.67 -1.44 2.06
US Agg: Gov't-Related 0.18 1.38 0.98 2.55
US Corporate IG -0.23 1.23 3.32 3.65
MBS 0.03 0.48 0.19 2.69
CMBS 0.03 0.86 0.58 2.57
ABS 0.18 0.54 1.19 1.71
US Corp High Yield -0.22 2.70 16.42 4.57
Nominal Returns by Quality (%)
1 Month 3 Months 1 Year 3 Years
AAA 0.00 0.61 -0.66 2.33
AA -0.12 0.96 0.80 3.01
A -0.25 1.02 1.79 3.64
BAA -0.12 1.71 5.17 3.70
BA -0.14 2.06 10.83 5.20
B -0.16 2.53 15.91 3.77
CAA -0.61 4.67 32.63 5.01
Nominal Returns by Maturity (%)
1 Month 3 Months 1 Year 3 Years
0.061-3 Yr. 0.41 0.76 0.99
0.083-5 Yr. 0.73 0.55 2.12
0.025-7 Yr. 0.76 0.12 2.50
0.017-10 Yr. 0.80 -0.49 3.21
-0.5510+ Yr. 1.44 0.84 5.37
Excess Returns by Sector
-400
0
400
800
1200
1600
2000
Aggregate Gov't-Related Corporate MBS CMBS ABS High Yield
(Corporate)
1 Month 3 Months 1 Year 3 Years
Exc
ess
Re
turn
(b
ps)
Excess Returns by Quality
-500
0
500
1000
1500
2000
2500
3000
3500
AAA AA A BAA BA B CAA
1 Month 3 Months 1 Year 3 Years
Exc
ess
Re
turn
(b
ps)
Source: Bloomberg
Excess returns are relative to the duration-neutral Treasury.
© 2017 Asset Consulting Group All Rights Reserved
19
Monthly Index Returns
For the Periods Ending March 31, 2017
3 Months (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 6.07 6.07 17.17 10.37 13.30 12.94 7.51
Russell 1000 6.03 6.03 17.43 9.99 13.26 12.95 7.58
Russell 1000 Growth 8.91 8.91 15.76 11.27 13.32 13.68 9.13
Russell 1000 Value 3.27 3.27 19.22 8.67 13.13 12.18 5.93
Russell 2500 3.76 3.76 21.53 7.43 12.60 12.73 7.71
Russell 2000 2.47 2.47 26.22 7.22 12.35 12.27 7.12
Russell 2000 Growth 5.35 5.35 23.03 6.72 12.10 12.88 8.06
Russell 2000 Value -0.13 -0.13 29.37 7.62 12.54 11.59 6.09
Wilshire 5000 Cap Wtd 5.61 5.61 18.35 10.01 13.22 12.92 7.61
MSCI ACWI 7.05 7.05 15.69 5.65 8.97 8.39 4.56
MSCI ACWI ex US 7.98 7.98 13.70 1.03 4.84 4.29 1.82
MSCI EAFE 7.39 7.39 12.25 0.96 6.32 5.21 1.53
MSCI EAFE Local Currency 4.85 4.85 18.61 7.76 11.21 7.61 2.82
MSCI EAFE Growth 8.64 8.64 7.86 1.89 6.39 5.83 2.35
MSCI EAFE Value 6.21 6.21 16.73 -0.06 6.15 4.49 0.63
MSCI Emerging Markets 11.49 11.49 17.65 1.55 1.17 2.04 3.05
Fixed Income
BofA ML 1-3 Yr Treasury 0.26 0.26 0.25 0.72 0.64 0.90 2.00
BloomBar 5 Yr Municipal 1.90 1.90 0.35 2.03 2.06 2.90 3.84
BloomBar US Aggregate 0.82 0.82 0.44 2.68 2.34 3.48 4.27
BloomBar Gov't Bond 0.68 0.68 -1.34 2.04 1.59 2.85 3.78
BloomBar US Credit 1.30 1.30 2.96 3.52 3.70 4.99 5.29
BloomBar 10 Yr Municipal 1.78 1.78 -0.24 3.60 3.35 4.56 4.81
BloomBar US Corp High Yield 2.70 2.70 16.39 4.56 6.82 7.81 7.46
Citigroup World Govt Bond 1.55 1.55 -3.65 -1.20 -0.58 1.31 3.03
BloomBar Global Aggregate 1.76 1.76 -1.90 -0.39 0.38 2.01 3.34
BloomBar Multiverse 1.90 1.90 -1.02 -0.20 0.65 2.24 3.49
JPM EMBI Global Diversified 3.87 3.87 8.92 6.23 5.83 6.93 7.03
Real Assets
NCREIF Property 1.55 1.55 7.27 10.58 10.69 11.82 6.71
NFI ODCE Net 1.55 1.55 7.36 10.77 10.94 12.44 4.62
FTSE NAREIT US Real Estate 1.16 1.16 3.56 10.26 9.99 12.26 4.85
Bloomberg Commodity -2.33 -2.33 8.71 -13.91 -9.54 -5.94 -6.22
Cash and Equivalents
US T-Bills 90 Day 0.10 0.10 0.36 0.17 0.14 0.13 0.69
© 2017 Asset Consulting Group All Rights Reserved
20
Monthly Index Returns
For the Periods Ending April 30, 2017
1 Month (%) YTD (%) 1 Year (%) 3 Years (%) 5 Years (%) 7 Years (%) 10 Years (%)Index Name
Equity
S&P 500 1.03 7.16 17.92 10.47 13.68 12.85 7.15
Russell 1000 1.06 7.15 18.03 10.20 13.63 12.83 7.25
Russell 1000 Growth 2.29 11.40 19.50 12.11 13.87 13.87 8.88
Russell 1000 Value -0.19 3.07 16.55 8.26 13.32 11.74 5.53
Russell 2500 0.77 4.56 20.69 8.55 12.94 12.11 7.52
Russell 2000 1.10 3.59 25.63 9.03 12.95 11.56 7.05
Russell 2000 Growth 1.84 7.29 24.06 9.27 12.89 12.52 7.97
Russell 2000 Value 0.39 0.26 27.18 8.71 12.96 10.58 6.02
Wilshire 5000 Cap Wtd 1.05 6.72 18.82 10.33 13.62 12.75 7.30
MSCI ACWI 1.60 8.77 15.77 5.86 9.55 8.60 4.27
MSCI ACWI ex US 2.20 10.36 13.12 1.30 5.61 4.74 1.58
MSCI EAFE 2.62 10.20 11.83 1.32 7.27 5.86 1.34
MSCI EAFE Local Currency 1.47 6.39 18.74 7.98 12.14 8.02 2.67
MSCI EAFE Growth 3.09 12.00 9.02 2.65 7.21 6.53 2.23
MSCI EAFE Value 2.16 8.51 14.58 -0.09 7.24 5.10 0.38
MSCI Emerging Markets 2.21 13.95 19.58 2.16 1.85 2.18 2.81
Fixed Income
BofA ML 1-3 Yr Treasury 0.13 0.39 0.34 0.72 0.62 0.88 1.98
BloomBar Municipal 0.73 2.32 0.14 3.39 3.16 4.15 4.37
BloomBar US Aggregate 0.77 1.59 0.83 2.66 2.27 3.44 4.30
BloomBar Gov't Bond 0.68 1.37 -0.57 2.09 1.45 2.81 3.80
BloomBar US Credit 1.00 2.31 2.74 3.45 3.63 4.89 5.32
BloomBar 10 Yr Municipal 0.96 2.75 -0.09 3.44 3.23 4.51 4.88
BloomBar US Corp High Yield 1.15 3.89 13.30 4.74 6.84 7.63 7.44
Citigroup World Govt Bond 1.30 2.87 -3.61 -1.13 -0.62 1.55 3.05
BloomBar Global Aggregate 1.13 2.91 -2.10 -0.40 0.37 2.17 3.34
BloomBar Multiverse 1.16 3.08 -1.31 -0.19 0.65 2.40 3.49
Real Assets
Bloomberg Commodity -1.51 -3.80 -1.32 -15.03 -9.74 -6.40 -6.47
Cash and Equivalents
US T-Bills 90 Day 0.06 0.17 0.39 0.19 0.15 0.14 0.65
© 2017 Asset Consulting Group All Rights Reserved
21
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© 2017 Asset Consulting Group All Rights Reserved
22
Oklahoma Police Pension & Retirement System
Total Portfolio Summary
© 2017 Asset Consulting Group All Rights Reserved
23
Oklahoma Police Pension & Retirement System
Total Portfolio
Dollar Reconciliation ($000s)
For the Periods Ending March 31, 2017
3 Months FYTD 1 Year 5 Years
Beginning Market Value 2,264,618 2,195,220 2,150,879 1,806,785
Net Additions -2,958 -38,226 -37,977 -230,645
Return on Investment 84,368 189,034 233,125 769,888
Income 9,758 26,459 36,029 140,562
Gain/Loss 74,610 162,574 197,096 629,326
Ending Market Value 2,346,027 2,346,027 2,346,027 2,346,027
© 2017 Asset Consulting Group All Rights Reserved
Fiscal year ending June. 24
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Period Ending March 31, 2017
0.004.00
8.0012.00
16.0020.00
US La
rge C
ap Equ
ity
US Sm
all/M
id C
ap Equ
ity
Long/S
hor
t Eq
uity
Int'l
Develo
ped Marke
ts E
quity
Emerg
ing M
arkets
Equ
ity
Private
Equ
ity
Core
Bon
ds
Multi-
Sector F
ixed In
come
Abso
lute
Retu
rn
Private
Cre
dit
Core
Real E
sta
te
Opportu
nist
ic R
eal Estate
Com
moditi
es
Cash
and E
quivale
nts
17
.04
8.0
5
14
.02
9.8
2
4.5
0 7.6
1
7.1
3
8.9
5
7.9
2
0.6
8
6.4
5
2.5
0
3.3
6
1.9
5
15
.00
5.0
0
15
.00
10
.00
5.0
0 10
.00
10
.00
7.5
0
7.5
0
0.0
0 5.0
0
5.0
0
5.0
0
0.0
0
Actual Allocat ion Target Allocat ion
Market
Value ($000s)
Actual
Allocation (%)
Target
Allocation (%)
Over/Under
Target (%)
Range
Min-Max (%)
Total Portfolio 2,346,027 100.00 100.00
Equity 1,432,322 61.05 60.00 1.05 50.00 - 70.00
US Large Cap Equity 399,847 17.04 15.00 2.04 10.00 - 20.00
US Small/Mid Cap Equity 188,842 8.05 5.00 3.05 0.00 - 15.00
Long/Short Equity 328,923 14.02 15.00 -0.98 10.00 - 20.00
Int'l Developed Markets Equity 230,459 9.82 10.00 -0.18 5.00 - 15.00
Emerging Markets Equity 105,687 4.50 5.00 -0.50 0.00 - 10.00
Private Equity 178,565 7.61 10.00 -2.39 5.00 - 15.00
Fixed Income 579,165 24.69 25.00 -0.31 15.00 - 35.00
Core Bonds 167,350 7.13 10.00 -2.87 7.50 - 20.00
Multi-Sector Fixed Income 210,057 8.95 7.50 1.45 5.00 - 10.00
Absolute Return 185,909 7.92 7.50 0.42 5.00 - 10.00
Private Credit 15,849 0.68 0.00 0.68
Real Assets 288,794 12.31 15.00 -2.69 0.00 - 20.00
Core Real Estate 151,425 6.45 5.00 1.45 0.00 - 10.00
Opportunistic Real Estate 58,555 2.50 5.00 -2.50 0.00 - 10.00
Commodities 78,814 3.36 5.00 -1.64 0.00 - 10.00
Cash and Equivalents 45,747 1.95 0.00 1.95
© 2017 Asset Consulting Group All Rights Reserved
25
Oklahoma Police Pension & Retirement System
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017Return
(%)
Rank Std Dev
(%)
Sharpe
Ratio
3 Months
Total Portfolio 923.72 -- --
Total Fund Policy 4.51 -- --
IF TF Between 55 - 70% Equity 4.64 -- --
Calendar Year Returns
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
10.2
6
-23.1
2
17.3
8
11.7
0
0.0
2
12.2
0
16.1
8
5.2
0
1.0
5 7.4
7
6.3
1
-26.1
6
19.5
7
13.5
2
2.5
5
14.5
1
15.0
3
4.3
6
-1.4
5
7.6
5
8.1
7
-25.7
3
21.8
9
13.1
9
-0.3
6
12.9
0
17.3
6
5.8
9
-0.5
2
7.5
5
Re
turn
(%
)
5 Year Risk / Return
2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.004.00
5.00
6.00
7.00
8.00
9.00
10.00
Total Portfolio Total Fund Policy
IF TF Betw een 55 - 70%
Equity
Standard Deviat ion (%)
Re
turn
(%
)
5 Year Relative Statistics
Total
Fund Policy
Beta 0.77
Up Capture (%) 85.60
Down Capture (%) 66.07FYTD
Total Portfolio 688.70 -- --
Total Fund Policy 8.64 -- --
IF TF Between 55 - 70% Equity 9.42 -- --
1 Year
Total Portfolio 6410.97 3.04 3.52
Total Fund Policy 11.00 3.61 2.97
IF TF Between 55 - 70% Equity 11.40 3.75 2.96
3 Years
Total Portfolio 545.18 5.54 0.91
Total Fund Policy 4.45 6.87 0.63
IF TF Between 55 - 70% Equity 5.32 6.85 0.75
5 Years
Total Portfolio 537.68 5.57 1.36
Total Fund Policy 7.04 6.95 1.00
IF TF Between 55 - 70% Equity 7.75 6.84 1.12
The rankings represent the portfolio's gross of fee returns versus a gross of fee peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
26
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Total Portfolio
10 Year Risk / Return 10 Year Portfolio Statistics
6.00 7.00 8.00 9.00 10.00 11.00 12.00 13.00 14.002.00
3.00
4.00
5.00
6.00
7.00
8.00
Total Port folio Total Fund Policy
Standard Deviat ion (%)
Re
turn
(%
)
Total
Portfolio
Total
Fund Policy
Benchmark Relative Statistics
Return (%) 5.24 5.06
Standard Deviation (%) 8.12 10.63
Sharpe Ratio 0.58 0.43
Beta 0.74
Up Capture (%) 77.46
Down Capture (%) 72.64
10 Year Growth of a Dollar 10 Year Return Analysis
Total
Portfolio
Total
Fund Policy
Number of Months 120 120
Highest Monthly Return (%) 5.31 7.47
Lowest Monthly Return (%) -9.92 -12.85
Number of Positive Months 77 71
Number of Negative Months 43 49
% of Positive Months 64.17 59.17$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
Total Port folio Total Fund Policy
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
27
Oklahoma Police Pension & Retirement System
Total Portfolio
For the Periods Ending March 31, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months FYTD 1 Year 3 Years 5 Years Since Aug 1985
3.6
4
8.3
9
10.5
5
4.7
4
7.2
5
3.7
2
8.7
0
10.9
7
5.1
8
7.6
8 8.3
1
4.5
1
8.6
4
11.0
0
4.4
5
7.0
4
4.6
4
9.4
2
11.4
0
5.3
2
7.7
5
Net of Fees * Gross of Fees Total Fund Policy IF TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 92 68 64 54 53
5th Percentile 5.80 12.32 14.08 7.03 9.34
25th Percentile 5.09 10.43 12.47 6.11 8.48
50th Percentile 4.64 9.42 11.40 5.32 7.75
75th Percentile 4.26 8.37 10.48 4.47 7.01
95th Percentile 3.52 6.47 9.41 3.19 5.53
Observations 542 526 520 475 422
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
* Performance is calculated using net of fee returns.
© 2017 Asset Consulting Group All Rights Reserved
28
Oklahoma Police Pension & Retirement System
Total Portfolio
For the One Year Periods Ending March
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
10.5
5
-1.4
3
5.4
5
12.4
7
9.7
810.9
7
-0.9
9
5.8
9
12.9
8
10.1
3
11.0
0
-1.9
6
4.7
2
11.8
3
10.2
6
11.4
0
-2.2
2
6.6
6
12.9
3
10.1
3
Net of Fees * Gross Of Fees Total Fund Policy IF TF Betw een 55 - 70% Equity
Re
turn
(%
)
Ranking 64 30 67 49 51
5th Percentile 14.08 0.83 9.89 16.34 12.37
25th Percentile 12.47 -0.72 7.94 14.26 10.96
50th Percentile 11.40 -2.22 6.66 12.93 10.13
75th Percentile 10.48 -3.55 5.34 11.31 9.08
95th Percentile 9.41 -5.35 3.27 8.40 7.53
Observations 520 504 484 448 427
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
* Performance is calculated using net of fee returns.
© 2017 Asset Consulting Group All Rights Reserved
29
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank FYTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
2,346,027 100.00 3.64 8.39 10.55 4.74 7.25 4.92Total Portfolio * (06/05) ¹
3.72 92 8.70 68 10.97 64 5.18 54 7.68 53 5.24Total Portfolio (08/85)
4.51 8.64 11.00 4.45 7.04 5.06Total Fund Policy ²
IF TF Between 55 - 70% Equity 4.64 9.42 11.40 5.32 7.75 5.54
1,432,322 61.05 5.31 12.55 14.46 6.78 9.63 5.42Equity (01/98)
7.05 14.33 15.69 5.65 8.97 4.56MSCI ACWI
399,847 17.04 US Large Cap Equity
399,847 17.04 466.02 14.52 44 17.43 10.00 13.2534 36 40 7.60Northern Trust Russell 1000 Index (08/98) ³
6.03 14.52 17.43 9.99 13.26 7.58Russell 1000
eA US Large Cap Core Equity 5.90 13.89 15.95 9.38 12.88 7.86
188,842 8.05 US Small/Mid Cap Equity
108,226 4.61 93 / 272.12 23.13 11 / 36 24.76 8.60 14.006 / 48 63 / 51 42 / 39 8.66Boston Partners (01/98)
1.62 17.98 23.13 7.55 12.92 6.79Russell 2500 Value
eA US Mid Cap Value Equity 3.95 16.63 20.37 9.06 13.61 8.35
eA US Small Cap Value Equity 0.77 21.86 24.50 8.61 13.60 8.23
80,616 3.44 744.96 25.65 7 35.08 4.06 --4 76 --Cortina (02/14)
5.35 19.17 23.03 6.72 12.10 8.06Russell 2000 Growth
eA US Small Cap Growth Equity 6.43 18.37 23.33 6.74 12.56 8.99
© 2017 Asset Consulting Group All Rights Reserved
* Net of fee return data.
FYTD: Fiscal year ending June.
30
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank FYTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
328,923 14.02 Long/Short Equity
328,923 14.02 3.88 9.10 9.78 4.32 6.49 3.62Grosvenor Long/Short Equity (11/03)
7.05 14.33 15.69 5.65 8.97 4.56MSCI ACWI
3.74 7.55 8.37 1.83 3.54 1.26HFRI FOF: Strategic
230,459 9.82 International Developed Market
126,182 5.38 307.49 11.62 79 11.57 1.01 6.2855 74 70 1.93Mondrian International (05/04)
7.39 13.60 12.25 0.96 6.32 1.53MSCI EAFE
eA EAFE All Cap Value Equity 6.95 14.98 11.84 2.06 7.69 2.52
104,276 4.44 218.55 13.05 47 13.48 4.06 4.9923 18 98 --Baring Focused International (03/12)
7.39 13.60 12.25 0.96 6.32 1.53MSCI EAFE
eA EAFE All Cap Equity 7.63 12.81 11.11 2.24 7.19 2.60
105,687 4.50 Emerging Markets Equity
31,068 1.32 8710.31 4.21 98 6.89 0.94 --96 81 --Wasatch Emerging Markets (09/12)
13.05 14.27 14.80 1.95 3.17 4.21MSCI EM SC
eA Emerging Mkts Equity 12.11 16.22 18.38 2.66 2.87 4.22
74,618 3.18 2713.23 -- -- -- -- --AB EM Strategic Core Equity Fund (11/16)
11.49 16.72 17.65 1.55 1.17 3.05MSCI Emerging Markets
eA Emerging Mkts Equity 12.11 16.22 18.38 2.66 2.87 4.22
178,565 7.61 1.52 4.19 6.53 10.44 11.00 8.79Private Equity (07/03)
579,165 24.69 1.65 2.07 4.45 1.56 3.70 4.72Fixed Income (01/98)
1.09 -0.60 1.92 2.99 2.83 4.52BloomBar Universal
© 2017 Asset Consulting Group All Rights Reserved
31
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank FYTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
167,350 7.13 Core Bonds
167,350 7.13 650.87 -1.19 51 1.18 3.04 2.8649 46 50 4.65Agincourt Core Fixed Income (10/99)
0.82 -1.73 0.44 2.68 2.34 4.27BloomBar US Aggregate
eA US Core Fixed Income 0.95 -1.19 1.15 3.01 2.85 4.88
210,057 8.95 Multi Sector Fixed Income
118,130 5.04 2.21 9.49 13.19 4.14 6.56 6.76Oaktree Capital Management (02/98)
0.82 -1.73 0.44 2.68 2.34 4.27BloomBar US Aggregate
91,927 3.92 352.64 -3.89 84 0.00 -0.37 0.7468 68 70 --Loomis Sayles (06/08)
1.55 -6.83 -3.65 -1.20 -0.58 3.03Citigroup World Govt Bond
eA All Global Fixed Income 2.13 1.20 2.60 1.15 2.37 4.36
185,909 7.92 Absolute Return
126,131 5.38 2.20 5.76 6.50 0.39 4.70 3.38PAAMCO (10/02)
0.82 -1.73 0.44 2.68 2.34 4.27BloomBar US Aggregate
1.27 4.82 5.36 1.77 3.18 1.09HFRI FOF: Conservative
59,778 2.55 99-0.14 -- -- -- -- --Wellington Global Total Return (12/16)
0.25 0.65 0.81 0.47 0.41 1.02LIBOR 3 Month
eA Global Unconstrained Fixed Income 2.08 3.59 5.47 2.71 3.56 5.00
15,849 0.68 Private Credit
288,794 12.31 0.83 4.45 7.98 5.06 6.89 5.15Real Assets (01/98)
0.27 2.37 7.96 -0.77 3.85 1.23Real Assets Blended Index ⁴
© 2017 Asset Consulting Group All Rights Reserved
32
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Rates of Return Summary & Universe Rankings
Market
Value ($000s)
Actual
Allocation (%)
3 Months
(%)
Rank FYTD Rank
(%)
1 Year
(%)
3 Years 5 YearsRank
(%) (%)
Rank Rank 10 Years
(%)
151,425 6.45 Core Real Estate
114,363 4.87 1.92 6.27 8.41 11.39 12.35 --JP Morgan Strategic Property (12/07)
1.55 5.35 7.36 10.77 10.94 4.62NFI ODCE Net
1.55 5.14 7.27 10.58 10.69 6.71NCREIF Property
37,062 1.58 2.37 8.88 12.55 -- -- --Blackstone Property Partners (01/15)
1.55 5.35 7.36 10.77 10.94 4.62NFI ODCE Net
1.55 5.14 7.27 10.58 10.69 6.71NCREIF Property
58,555 2.50 Opportunistic Real Estate
54,016 2.30 2.80 5.51 6.76 12.69 10.27 --Private Real Estate (08/11)
Private Real Estate Direct
4,539 0.19 2.09 4.09 11.43 9.13 8.80 11.55Columbus Square (01/98)
1.55 5.14 7.27 10.58 10.69 6.71NCREIF Property
1.55 5.35 7.36 10.77 10.94 4.62NFI ODCE Net
78,814 3.36 Commodities
29,969 1.28 -3.82 1.92 1.40 7.08 6.17 6.18Mount Lucas Peak Partners (01/98)
0.24 5.45 6.20 2.57 2.87 5.77CS Hedge - Global Macro
48,845 2.08 -2.08 -2.24 9.04 -- -- --Gresham Tap Fund (08/14)
-2.33 -3.61 8.71 -13.91 -9.54 -6.22Bloomberg Commodity
45,747 1.95 Cash and Equivalents
Notes:
1 Total Fund Policy Index history available in appendix.
2 Total Fund Policy: Effective April 2016, the index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 10.0% NFI ODCE Net, 5.0% Bloomberg Commodity.
3 Performance data prior to October 31, 2014 is reflective of the Mellon Capital Passive Index fund. Due to contributions and withdrawals in this account, the returns may differ from the performance of the fund.
4 Real Assets Blended Index: Effective January 2016, the index consists of 67.0% NFI ODCE Net, 33.0% Bloomberg Commodity.
© 2017 Asset Consulting Group All Rights Reserved
33
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© 2017 Asset Consulting Group All Rights Reserved
34
Oklahoma Police Pension & Retirement System
Equity Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
35
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending March 31, 2017
Account Description
Strategy US Large Cap Core
Vehicle Non-Mutual Commingled
Benchmark Russell 1000
Performance Inception Date August 1998
Fees 1 bps
Performance Goals
Mirror the risk/return profile of the Russell 1000.
Over rolling three year periods, rank above the median in the eA US Large
Cap Core Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 386,004 376,459
Net Additions -40,019 -40,028
Return on Investment 53,862 63,417
Ending Market Value 399,847 399,847
Characteristics
0.00
20.00
40.00
60.00
80.00
100.00
120.00
140.00
160.00
180.00
W td Avg M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
14
8.8
3
1.9
7
22
.08
11
.67
3.0
5
13
7.6
7
2.1
1
21
.20
11
.85
2.7
3
Northern Trus t Russell 1000
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Cons
Disc
Cons
Staples
Energy Financials Health
Care
Indust rials Info Tech M aterials Real
Es tate
Telecom U t ilit ies
12
.74
8.8
0
6.3
1
14
.58
13
.39
10
.37
21
.40
3.2
3
3.7
1
2.3
0
3.1
2
12
.75
8.7
8
6.3
0
14
.51
13
.37
10
.43
21
.32
3.2
2
3.6
9
2.3
0
3.1
1
Northern Trus t Russell 1000
Characteristic and allocation charts represents data of the EB Daily Valued Large Cap Stock Index Fund (Non-Mutual Commingled).
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
36
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Northern Trust Russell 1000 Index
10 Year Risk / Return 10 Year Portfolio Statistics
12.00 13.00 14.00 15.00 16.00 17.00 18.004.00
5.00
6.00
7.00
8.00
9.00
10.00
Northern Trust Russell 1000
Standard Deviat ion (%)
Re
turn
(%
)
Northern
Trust Russell 1000
Benchmark Relative Statistics
Return (%) 7.60 7.58
Standard Deviation (%) 15.57 15.58
Sharpe Ratio 0.45 0.45
Beta 1.00
R Squared (%) 100.00
Alpha (%) 0.02
Tracking Error (%) 0.05
Batting Average (%) 66.67
Up Capture (%) 100.00
Down Capture (%) 99.91
10 Year Growth of a Dollar 10 Year Return Analysis
Northern
Trust Russell 1000
Number of Months 120 120
Highest Monthly Return (%) 11.20 11.21
Lowest Monthly Return (%) -17.49 -17.46
Number of Positive Months 77 77
Number of Negative Months 43 43
% of Positive Months 64.17 64.17$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
$2.00
$2.20
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
Northern Trust Russell 1000
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
37
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the Periods Ending March 31, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
3 Months FYTD 1 Year 3 Years 5 Years Since Aug 1998
6.0
2
14.5
2
17.4
3
10.0
0
13.2
5
6.4
3
6.0
3
14.5
2
17.4
3
9.9
9
13.2
6
6.3
5
5.9
0
13.8
9 15.9
5
9.3
8
12.8
8
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 46 44 34 36 40
5th Percentile 8.40 20.01 21.73 12.04 15.03
25th Percentile 6.77 16.17 18.14 10.37 13.63
50th Percentile 5.90 13.89 15.95 9.38 12.88
75th Percentile 4.93 11.45 13.77 8.28 11.98
95th Percentile 3.60 7.46 10.66 5.90 9.98
Observations 283 283 283 276 257
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
38
Oklahoma Police Pension & Retirement System
Northern Trust Russell 1000 Index
For the One Year Periods Ending March
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
17.4
3
0.5
2
12.7
5
22.4
3
14.3
417.4
3
0.5
0
12.7
3
22.4
1
14.4
3
15.9
5
-0.5
1
12.7
7
22.7
8
13.7
5
Northern Trust Russell 1000 eA US Large Cap Core Equity
Re
turn
(%
)
Ranking 34 38 51 55 41
5th Percentile 21.73 5.56 17.64 29.69 19.23
25th Percentile 18.14 1.87 15.03 25.10 15.58
50th Percentile 15.95 -0.51 12.77 22.78 13.75
75th Percentile 13.77 -2.79 10.59 20.39 11.10
95th Percentile 10.66 -6.56 6.22 14.11 7.74
Observations 283 371 403 418 433
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
39
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending March 31, 2017
Account Description
Strategy US Small/Mid Cap Value
Vehicle Separately Managed Account
Benchmarks Russell 2500 Value and Russell 2000 Value
Performance Inception Date January 1998
Fees 60 bps base fee with annual performance fee
Performance Goals
Outperform the Russell 2500 Value and Russell 2000 Value.
Over rolling three year periods, rank above the median in the eA US Mid Cap
Value Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 88,277 87,252
Net Additions -437 -568
Return on Investment 20,386 21,542
Income 1,348 1,792
Gain/Loss 19,038 19,750
Ending Market Value 108,226 108,226
Characteristics
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
32.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
4.3
5
3.3
8
1.7
0
17
.90
11
.10
1.8
04.4
2
0.9
7 2.3
4
23
.95
9.9
9
1.5
5
2.1
1
0.6
9 2.3
0
25
.38
10
.76
1.4
3
Bos ton Partners Russell 2500 Value Russell 2000 Value
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
Telecom
U t ilit ies
Cash
10
.80
1.4
0
10
.40
30
.90
4.8
0
12
.50 15
.80
7.6
0
1.9
0
0.0
0
0.8
0 3.1
0
8.6
7
2.7
3
6.9
7
26
.58
4.2
3
12
.85
9.3
6
5.5
6
14
.10
0.5
2
6.7
3
0.0
0
9.7
5
2.7
4 4.4
9
32
.10
4.7
0
12
.70
10
.23
4.7
2
9.9
8
0.6
1
6.1
7
0.0
0
Bos ton Partners Russell 2500 Value Russell 2000 Value
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
40
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Boston Partners
10 Year Risk / Return 10 Year Portfolio Statistics
16.00 17.00 18.00 19.00 20.00 21.00 22.004.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
Boston Partners Russell 2500 Value
Standard Deviat ion (%)
Re
turn
(%
)
Boston
Partners
Russell
2500 Value
Benchmark Relative Statistics
Return (%) 8.66 6.79
Standard Deviation (%) 19.66 18.90
Sharpe Ratio 0.41 0.33
Beta 1.02
R Squared (%) 96.09
Alpha (%) 1.74
Tracking Error (%) 3.91
Batting Average (%) 54.17
Up Capture (%) 103.81
Down Capture (%) 97.05
10 Year Growth of a Dollar 10 Year Return Analysis
Boston
Partners
Russell
2500 Value
Number of Months 120 120
Highest Monthly Return (%) 19.35 15.95
Lowest Monthly Return (%) -22.79 -20.65
Number of Positive Months 75 75
Number of Negative Months 45 45
% of Positive Months 62.50 62.50$0.40
$0.80
$1.20
$1.60
$2.00
$2.40
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
Boston Partners Russell 2500 Value
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
41
Oklahoma Police Pension & Retirement System
Boston Partners
For the Periods Ending March 31, 2017
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
3 Months FYTD 1 Year 3 Years 5 Years Since Jan 1998
2.1
2
23.1
3
24.7
6
8.6
0
14.0
0
9.8
7
1.6
2
17.9
8
23.1
3
7.5
5
12.9
2
9.1
5
-0.1
3
24.0
3
29.3
7
7.6
2
12.5
4
8.5
3
3.9
5
16.6
3 20.3
7
9.0
6
13.6
1
0.7
7
21.8
6 24.5
0
8.6
1
13.6
0
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 93 / 27 11 / 36 6 / 48 63 / 51 42 / 39
5th Percentile 7.30 / 5.08 25.39 / 29.24 25.68 / 33.64 12.30 / 11.86 16.34 / 16.11
25th Percentile 5.16 / 2.32 20.42 / 23.89 22.71 / 27.69 10.16 / 9.70 14.85 / 14.61
50th Percentile 3.95 / 0.77 16.63 / 21.86 20.37 / 24.50 9.06 / 8.61 13.61 / 13.60
75th Percentile 3.28 / -0.61 14.12 / 18.62 17.88 / 21.89 7.41 / 6.39 12.63 / 12.27
95th Percentile 1.94 / -2.46 10.73 / 13.67 13.93 / 15.61 3.25 / 1.35 9.62 / 9.12
Observations 90 / 202 90 / 202 90 / 202 90 / 194 86 / 184
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
42
Oklahoma Police Pension & Retirement System
Boston Partners
For the One Year Periods Ending March
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
24.7
6
-5.3
6
8.4
7
23.8
9
21.3
4
23.1
3
-5.2
0
6.5
8
21.7
6
21.1
7
29.3
7
-7.7
2
4.4
3
22.6
5
18.0
9
20.3
7
-3.5
0
10.8
0
24.1
4
18.5
924.5
0
-5.2
7
7.1
7
25.4
2
18.2
3
Boston Partners Russell 2500 Value Russell 2000 Value eA US M id Cap Value Equity eA US Small Cap Value Equity
Re
turn
(%
)
Ranking 6 / 48 67 / 52 73 / 38 54 / 66 19 / 26
5th Percentile 25.68 / 33.64 3.07 / 1.30 16.57 / 13.41 30.13 / 34.25 24.49 / 27.46
25th Percentile 22.71 / 27.69 -1.22 / -2.93 13.61 / 9.66 26.69 / 28.40 20.51 / 21.49
50th Percentile 20.37 / 24.50 -3.50 / -5.27 10.80 / 7.17 24.14 / 25.42 18.59 / 18.23
75th Percentile 17.88 / 21.89 -6.48 / -8.04 8.36 / 3.36 21.85 / 22.65 15.87 / 15.52
95th Percentile 13.93 / 15.61 -10.92 / -13.76 2.94 / -6.25 15.98 / 17.52 12.59 / 9.09
Observations 90 / 202 109 / 248 116 / 255 117 / 255 125 / 252
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
43
Oklahoma Police Pension & Retirement System
Cortina
For the Periods Ending March 31, 2017
Account Description
Strategy US Small/Mid Cap Growth
Vehicle Separately Managed Account
Benchmark Russell 2000 Growth
Performance Inception Date February 2014
Fees First $25M at 100 bps, next $25M at 90 bps, balance at 80 bps
Performance Goals
Outperform the Russell 2000 Growth.
Over rolling three year periods, rank above median in the eA US Small Cap
Growth Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 64,590 60,220
Net Additions -484 -624
Return on Investment 16,510 21,020
Income 77 91
Gain/Loss 16,433 20,928
Ending Market Value 80,616 80,616
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
W td Avg M kt
Cap ($Bil)
M ed M kt Cap
($Bil)
Div idend Yield P/E (1 Yr Trailing) EPS Growth (5 Yr
Proj)
P/B
1.2
8
0.8
9
0.1
0
26
.10
20
.80
3.1
0
2.3
9
0.9
0
0.7
5
48
.19
15
.20
3.9
8
Cort ina Russell 2000 Growth
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Indust rials
Info Tech
M aterials
Real Es tate
Telecom
U t ilit ies
Cash
10
.33
1.7
6 5.0
9
6.5
5
23
.84
12
.30
33
.43
1.9
5
0.0
0 2.3
5
0.0
0 2.4
0
14
.74
3.0
2
1.2
4
5.6
5
21
.69
15
.88
24
.80
5.4
6
5.3
9
0.7
8
0.8
1
0.0
0
Cort ina Russell 2000 Growth
Sector weights may not add to 100% due to securities that are not assigned to a Global Industry Classification Standard (GICS) sector.
© 2017 Asset Consulting Group All Rights Reserved
44
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Cortina
3 Year Risk / Return 3 Year Portfolio Statistics
14.00 15.00 16.00 17.00 18.00 19.00 20.002.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
Cort ina Russell 2000 Grow th
Standard Deviat ion (%)
Re
turn
(%
)
Cortina
Russell
2000 Growth
Benchmark Relative Statistics
Return (%) 4.06 6.72
Standard Deviation (%) 16.62 16.62
Sharpe Ratio 0.24 0.40
Beta 0.93
R Squared (%) 86.65
Alpha (%) -1.98
Tracking Error (%) 6.18
Batting Average (%) 52.78
Up Capture (%) 86.89
Down Capture (%) 98.46
3 Year Growth of a Dollar 3 Year Return Analysis
Cortina
Russell
2000 Growth
Number of Months 36 36
Highest Monthly Return (%) 11.26 8.95
Lowest Monthly Return (%) -9.33 -10.83
Number of Positive Months 22 24
Number of Negative Months 14 12
% of Positive Months 61.11 66.67$0.75
$0.80
$0.85
$0.90
$0.95
$1.00
$1.05
$1.10
$1.15
$1.20
$1.25
Sep-13 Apr-14 Nov-14 Jun-15 Jan-16 Aug-16 M ar-17
Cort ina Russell 2000 Grow th
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
45
Oklahoma Police Pension & Retirement System
Cortina
For the Periods Ending March 31, 2017
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
3 Months FYTD 1 Year 2 Years 3 Years Since Feb 2014
4.9
6
25.6
5
35.0
8
10.3
9
4.0
6
4.1
8
5.3
5
19.1
7 23.0
3
4.1
4 6.7
2
7.1
1
6.4
3
18.3
7
23.3
3
5.3
5
6.7
4
Cort ina Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 74 7 4 11 76
5th Percentile 10.73 26.52 32.51 12.11 11.99
25th Percentile 8.21 22.00 26.48 7.67 8.94
50th Percentile 6.43 18.37 23.33 5.35 6.74
75th Percentile 4.95 15.89 19.57 2.79 4.08
95th Percentile 2.10 10.98 15.05 -1.52 2.01
Observations 159 159 159 154 152
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
1
46
Oklahoma Police Pension & Retirement System
Cortina
For the One Year Periods Ending March
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
35.0
8
-9.7
8
-7.5
4
23.0
3
-11.8
4
12.0
6
27.1
9
14.5
2
23.3
3
-10.6
0
9.6
7
29.3
1
14.0
6
Cort ina Russell 2000 Grow th eA US Small Cap Grow th Equity
Re
turn
(%
)
Ranking 4 46 99
5th Percentile 32.51 -1.83 17.99 40.71 21.82
25th Percentile 26.48 -6.06 12.30 33.96 16.78
50th Percentile 23.33 -10.60 9.67 29.31 14.06
75th Percentile 19.57 -14.23 6.25 26.56 10.29
95th Percentile 15.05 -20.43 -2.90 21.48 2.32
Observations 159 190 206 211 218
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
47
© 2017 Asset Consulting Group All Rights Reserved
Oklahoma Police Pension & Retirement System
■ Equity Long/Short Hedge Fund of Funds■ Performance Inception Date: November 2003
■ Net Exposure: 55.86%■ Gross Exposure: 222.72%
■Historical Average:
Gross Exposure: 142.81%Net Exposure: 42.33% ■
■
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: $328,923,451
Grosvenor Long/Short EquityFor the Periods Ending March 31, 2017
Historical Net & Gross Exposure
Exposure
Performance GoalsMeet or exceed the return of the MSCI All Country World,over extended time periods (5 to 10 years).
The volatility (standard deviation) of the portfolio should be less thantwo-thirds the volatility of the MSCI All Country World.
Strategy Allocation Strategy
0%
40%
80%
120%
160%
200%
240%
Net Exposure Gross Exposure
Gross Longs Gross Shorts
Equities, 92.63%
Quantitative, 4.04%
Macro, 2.70%
Other, 0.23%
Cash , 0.40%
48
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Grosvenor Long/Short Equity
10 Year Risk / Return 10 Year Portfolio Statistics
4.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00 20.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Grosvenor MSCI ACWI HFRI FOF: St rategic
Standard Deviat ion (%)
Re
turn
(%
)
Grosvenor MSCI ACWI
HFRI FOF:
Strategic
Benchmark Relative Statistics
Return (%) 3.62 4.56 1.26
Standard Deviation (%) 7.45 17.01 6.76
Sharpe Ratio 0.41 0.24 0.11
Beta 0.34 1.00
R Squared (%) 61.74 83.04
Alpha (%) 1.81 2.37
Tracking Error (%) 12.07 3.07
Batting Average (%) 50.83 64.17
Up Capture (%) 38.13 117.91
Down Capture (%) 40.39 91.41
10 Year Growth of a Dollar 10 Year Return Analysis
Grosvenor MSCI ACWI
HFRI FOF:
Strategic
Number of Months 120 120 120
Highest Monthly Return (%) 4.12 11.90 4.25
Lowest Monthly Return (%) -10.06 -19.79 -7.66
Number of Positive Months 76 68 70
Number of Negative Months 44 52 50
% of Positive Months 63.33 56.67 58.33$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
Grosvenor MSCI ACWI HFRI FOF: St rategic
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
49
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the Periods Ending March 31, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
3 Months FYTD 1 Year 3 Years 5 Years Since Nov 2003
3.8
8
9.1
0 9.7
8
4.3
2
6.4
9
4.9
9
7.0
5
14.3
3
15.6
9
5.6
5
8.9
7
7.7
2
3.7
4
7.5
5 8.3
7
1.8
3
3.5
4
3.6
1
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
50
Oklahoma Police Pension & Retirement System
Grosvenor Long/Short Equity
For the One Year Periods Ending March
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
9.7
8
-5.8
0
9.7
9 11.2
5
8.4
0
15.6
9
-3.8
1
5.9
7
17.1
7
11.1
9
8.3
7
-7.2
8
5.0
9
7.1
2
5.2
0
Grosvenor MSCI ACWI HFRI FOF: Strategic
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
51
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending March 31, 2017
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Limited Partnership
Benchmarks MSCI EAFE and MSCI EAFE Value
Performance Inception Date May 2004
Fees 70 bps on the first $20 million, 50 bps on the next $30 million, 40 bps on the
next $50 million, 30 bps thereafter
Performance Goals
Outperform the MSCI EAFE and MSCI EAFE Value.
Over rolling three year periods, rank above the median in the eA EAFE All Cap
Value Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 113,048 113,098
Net Additions 0 0
Return on Investment 13,134 13,084
Ending Market Value 126,182 126,182
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) P/B Dividend Yield
60
.10
20
.00
1.6
0
3.7
0
52
.97
19
.64
1.6
6
3.0
7
52
.57
16
.40
1.2
0
3.8
5
Mondrian MSCI EAFE MSCI EAFE Value
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
10
.10
10
.50
9.3
0
15
.60
12
.10
11
.80
8.0
0
3.0
0
1.1
0
10
.20
6.8
0
1.5
0
12
.24
11
.38
5.0
0
21
.28
10
.70
14
.31
5.7
1
7.9
2
3.7
0
4.3
6
3.4
0
0.0
0
11
.39
1.1
1
8.6
0
36
.63
4.7
3
12
.84
3.0
1 6.7
8
4.7
7
5.0
0
5.1
4
0.0
0
Mondrian MSCI EAFE MSCI EAFE Value
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Japan United
Kingdom
France Germany Switzerland Australia Hong
Kong
Netherlands Spain Sweden Other
17
.20
23
.70
7.2
0 9.5
0 12
.10
1.5
0
0.0
0 2.0
0
5.6
0
4.0
0
17
.20
23
.37
17
.85
10
.19
9.5
0
8.7
2
7.6
1
3.5
0
3.4
6
3.3
6
2.8
8
9.5
6
23
.59
18
.90
11
.48
9.7
3
4.9
4 7.7
4
3.4
3
2.0
0 5.0
9
3.2
4
9.8
6
Mondrian MSCI EAFE MSCI EAFE Value
Characteristic and allocation charts represents data of the Mondrian International Equity Fund, LP (Limited Partnership).
© 2017 Asset Consulting Group All Rights Reserved
52
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Mondrian International
10 Year Risk / Return 10 Year Portfolio Statistics
14.00 15.00 16.00 17.00 18.00 19.00 20.00 21.00 22.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
Mondrian MSCI EAFE MSCI EAFE Value
Standard Deviat ion (%)
Re
turn
(%
)
Mondrian MSCI EAFE
MSCI
EAFE Value
Benchmark Relative Statistics
Return (%) 1.93 1.53 0.63
Standard Deviation (%) 16.66 18.66 19.86
Sharpe Ratio 0.08 0.05 0.01
Beta 0.87 0.82
R Squared (%) 95.57 94.73
Alpha (%) 0.45 1.18
Tracking Error (%) 4.23 5.28
Batting Average (%) 50.00 54.17
Up Capture (%) 88.97 81.68
Down Capture (%) 91.15 83.87
10 Year Growth of a Dollar 10 Year Return Analysis
Mondrian MSCI EAFE
MSCI
EAFE Value
Number of Months 120 120 120
Highest Monthly Return (%) 11.12 12.96 17.46
Lowest Monthly Return (%) -15.52 -20.17 -20.56
Number of Positive Months 63 62 61
Number of Negative Months 57 58 59
% of Positive Months 52.50 51.67 50.83$0.40
$0.50
$0.60
$0.70
$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
Mondrian MSCI EAFE MSCI EAFE Value
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
53
Oklahoma Police Pension & Retirement System
Mondrian International
For the Periods Ending March 31, 2017
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
24.00
3 Months FYTD 1 Year 3 Years 5 Years Since May 2004
7.4
9
11.6
2
11.5
7
1.0
1
6.2
8
6.5
7
7.3
9
13.6
0
12.2
5
0.9
6
6.3
2
5.8
0
6.2
1
19.6
5
16.7
3
-0.0
6
6.1
5
5.5
36.9
5
14.9
8
11.8
4
2.0
6
7.6
9
M ondrian M SCI EAFE M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 30 79 55 74 70
5th Percentile 9.06 22.33 25.38 5.72 11.34
25th Percentile 7.62 16.95 16.71 4.10 9.50
50th Percentile 6.95 14.98 11.84 2.06 7.69
75th Percentile 6.54 12.23 10.26 0.79 5.94
95th Percentile 5.96 6.66 8.37 -0.85 4.83
Observations 31 31 31 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.
© 2017 Asset Consulting Group All Rights Reserved
54
Oklahoma Police Pension & Retirement System
Mondrian International
For the One Year Periods Ending March
-20.00
-10.00
0.00
10.00
20.00
30.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
11.5
7
-7.4
0
-0.2
5
23.0
7
6.9
1
12.2
5
-7.8
7
-0.4
8
18.0
6
11.7
916.7
3
-12.3
6
-2.4
3
20.8
5
11.7
3
11.8
4
-5.1
3 -1.5
7
21.9
6
13.0
1
M ondrian M SCI EAFE M SCI EAFE Value eA EAFE All Cap Value Equity
Re
turn
(%
)
Ranking 55 73 34 35 87
5th Percentile 25.38 5.00 4.45 27.80 20.55
25th Percentile 16.71 -3.57 0.93 23.16 15.84
50th Percentile 11.84 -5.13 -1.57 21.96 13.01
75th Percentile 10.26 -7.82 -3.75 18.55 9.61
95th Percentile 8.37 -12.32 -6.72 13.50 4.29
Observations 31 35 34 33 33
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
55
Oklahoma Police Pension & Retirement System
Baring Focused International
For the Periods Ending March 31, 2017
Account Description
Strategy Int'l Developed Markets Equity
Vehicle Non-Mutual Commingled
Benchmarks MSCI EAFE and MSCI ACWI ex US
Performance Inception Date March 2012
Fees 40 bps base feel plus performance based fee
Performance Goals
Outperform the MSCI EAFE and MSCI ACWI ex US.
Over rolling three year periods, rank above the median in the eA EAFE All Cap
Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 93,032 92,767
Net Additions -851 -941
Return on Investment 12,095 12,450
Ending Market Value 104,276 104,276
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Wtd Avg Mkt Cap ($Bil) P/B P/E (1 Yr Trailing) Dividend Yield
35
.80
2.5
4
17
.26
2.3
3
52
.97
1.6
6
19
.64
3.0
7
53
.06
1.6
7
18
.44
2.9
1
Baring MSCI EAFE MSCI ACWI ex US
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
16
.33
9.6
5
3.6
7
19
.73
9.6
4
8.8
0
16
.53
6.0
5
1.2
0
5.4
0
0.0
0 3.0
0
12
.24
11
.38
5.0
0
21
.28
10
.70 1
4.3
1
5.7
1 7.9
2
3.7
0
4.3
6
3.4
0
0.0
0
11
.31
9.8
5
6.7
9
23
.33
8.0
4
11
.86
9.9
0
8.0
1
3.2
3
4.5
1
3.1
7
0.0
0
Baring MSCI EAFE 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
Germany
Switzerland
Australia
Hong Kong
Netherlands
Spain
Sweden
Emerging Markets
Other
22
.64
28
.59
6.0
0 9.6
0
2.7
0 5.8
2
3.6
5 6.1
0
2.0
9
2.2
0
0.0
0
10
.61
23
.37
17
.85
10
.19
9.5
0
8.7
2
7.6
1
3.5
0
3.4
6
3.3
6
2.8
8
0.0
0
9.5
6
16
.29
12
.44
7.1
0
6.6
2
6.0
8
5.3
0
2.4
4
2.4
1
2.3
4
2.0
1
23
.47
13
.50
Baring MSCI EAFE MSCI ACWI ex US
Characteristic and allocation charts represents data of the Baring Focused International Equity Fund (Non-Mutual Commingled).
© 2017 Asset Consulting Group All Rights Reserved
56
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Baring Focused International
5 Year Risk / Return 5 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.002.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
Baring MSCI EAFE MSCI ACWI ex US
Standard Deviat ion (%)
Re
turn
(%
)
Baring MSCI EAFE
MSCI
ACWI ex US
Benchmark Relative Statistics
Return (%) 4.99 6.32 4.84
Standard Deviation (%) 12.29 13.20 12.92
Sharpe Ratio 0.40 0.47 0.37
Beta 0.88 0.88
R Squared (%) 89.68 86.29
Alpha (%) -0.55 0.72
Tracking Error (%) 4.25 4.79
Batting Average (%) 48.33 46.67
Up Capture (%) 85.66 85.34
Down Capture (%) 92.48 84.87
5 Year Growth of a Dollar 5 Year Return Analysis
Baring MSCI EAFE
MSCI
ACWI ex US
Number of Months 60 60 60
Highest Monthly Return (%) 8.27 7.82 8.21
Lowest Monthly Return (%) -11.56 -11.35 -11.25
Number of Positive Months 34 34 34
Number of Negative Months 26 26 26
% of Positive Months 56.67 56.67 56.67$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
Sep-11 Aug-12 Jul-13 Jun-14 M ay-15 Apr-16 M ar-17
Baring MSCI EAFE MSCI ACWI ex US
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
57
Oklahoma Police Pension & Retirement System
Baring Focused International
For the Periods Ending March 31, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
3 Months FYTD 1 Year 3 Years 5 Years Since Mar 2012
8.5
5
13.0
5
13.4
8
4.0
6 4.9
9
4.5
8
7.3
9
13.6
0
12.2
5
0.9
6
6.3
2
6.1
3
7.9
8
14.1
6
13.7
0
1.0
3
4.8
4
4.4
8
7.6
3
12.8
1
11.1
1
2.2
4
7.1
9
Baring M SCI EAFE M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 21 47 23 18 98
5th Percentile 10.48 22.04 18.18 5.61 11.05
25th Percentile 8.29 15.43 13.29 3.49 8.64
50th Percentile 7.63 12.81 11.11 2.24 7.19
75th Percentile 6.98 9.57 8.86 1.13 6.22
95th Percentile 6.02 5.83 3.95 -0.53 5.30
Observations 96 96 96 90 80
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
58
Oklahoma Police Pension & Retirement System
Baring Focused International
For the One Year Periods Ending March
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
13.4
8
-1.9
3
1.2
5
9.6
4
3.2
4
12.2
5
-7.8
7
-0.4
8
18.0
6
11.7
9
13.7
0
-8.7
8
-0.5
7
12.8
0
8.8
711.1
1
-4.7
2
0.4
6
20.2
1
12.2
8
Baring M SCI EAFE M SCI ACWI ex US eA EAFE All Cap Equity
Re
turn
(%
)
Ranking 23 23 37 97 99
5th Percentile 18.18 1.95 6.34 30.35 19.41
25th Percentile 13.29 -2.13 2.46 22.97 15.51
50th Percentile 11.11 -4.72 0.46 20.21 12.28
75th Percentile 8.86 -6.33 -2.34 16.40 9.97
95th Percentile 3.95 -11.12 -5.93 10.63 4.53
Observations 96 118 119 114 114
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
59
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending March 31, 2017
Account Description
Strategy Emerging Markets Equity
Vehicle Non-Mutual Commingled
Benchmark MSCI EM SC
Performance Inception Date September 2012
Fees 150 bps
Performance Goals
Outperform the MSCI EM SC over a market cycle.
Rank above median in the eA Emerging Mkts Equity universe over a market
cycle.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 30,116 29,440
Net Additions -309 -387
Return on Investment 1,261 2,015
Ending Market Value 31,068 31,068
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)
29
.10
6.8
0
1.4
0
23
.40
22
.54
1.4
1
2.0
8
14
.84
Wasatch MSCI EM SC
Sector Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
Cons Disc Cons
Staples
Energy Financials Health
Care
Industrials Info Tech Materials Real
Estate
Telecom Utilities
18
.54
12
.63
1.2
5
18
.26
11
.42
13
.61 15
.92
6.6
6
1.7
1
0.0
0
0.0
0
17
.79
6.7
1
1.6
3
8.6
5
8.3
6
14
.95
16
.96
11
.17
9.0
3
0.9
7 3.6
9
Wasatch MSCI EM SC
Country Allocation
0.00
4.00
8.00
12.00
16.00
20.00
24.00
28.00
China Taiwan South
Korea
India South
Africa
Brazil Thailand Malaysia Mexico Indonesia Other
6.6
1
17
.73
11
.83
19
.16
5.6
8
5.1
0
5.0
2
5.2
1
1.4
7
22
.19
22
.32
18
.02
16
.61
13
.09
5.4
2
4.5
0
3.6
3
3.1
3
2.8
9
2.3
8
8.0
1
Wasatch MSCI EM SC
Characteristic and allocation charts represents data of the Wasatch Emerging Markets Small Cap CIT (Non-Mutual Commingled).
© 2017 Asset Consulting Group All Rights Reserved
60
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Wasatch Emerging Markets
4 Year Risk / Return 4 Year Portfolio Statistics
10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
Wasatch MSCI EM SC
Standard Deviat ion (%)
Re
turn
(%
)
Wasatch MSCI EM SC
Benchmark Relative Statistics
Return (%) -1.46 1.64
Standard Deviation (%) 13.43 14.47
Sharpe Ratio -0.12 0.11
Beta 0.84
R Squared (%) 81.08
Alpha (%) -2.76
Tracking Error (%) 6.31
Batting Average (%) 41.67
Up Capture (%) 80.59
Down Capture (%) 98.92
4 Year Growth of a Dollar 4 Year Return Analysis
Wasatch MSCI EM SC
Number of Months 48 48
Highest Monthly Return (%) 8.10 10.01
Lowest Monthly Return (%) -9.57 -9.60
Number of Positive Months 25 27
Number of Negative Months 23 21
% of Positive Months 52.08 56.25$0.80
$0.84
$0.88
$0.92
$0.96
$1.00
$1.04
$1.08
$1.12
Sep-12 Jun-13 M ar-14 Dec-14 Sep-15 Jun-16 M ar-17
Wasatch MSCI EM SC
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
61
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the Periods Ending March 31, 2017
0.00
4.00
8.00
12.00
16.00
20.00
24.00
3 Months FYTD 1 Year 3 Years 5 Years Since Sep 2012
10.3
1
4.2
1
6.8
9
0.9
4 2.2
3
13.0
5
14.2
7
14.8
0
1.9
5 3.1
7 4.8
5
12.1
1
16.2
2 18.3
8
2.6
6
2.8
7
Wasatch M SCI EM SC eA Emerging M kts Equity
Re
turn
(%
)
Ranking 87 98 96 81
5th Percentile 15.58 24.21 27.86 7.28 7.24
25th Percentile 13.27 19.81 22.07 4.24 4.09
50th Percentile 12.11 16.22 18.38 2.66 2.87
75th Percentile 11.16 12.62 14.97 1.28 1.52
95th Percentile 8.88 6.28 7.09 -1.12 0.34
Observations 332 332 332 296 229
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
62
Oklahoma Police Pension & Retirement System
Wasatch Emerging Markets
For the One Year Periods Ending March
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
6.8
9
-9.3
6
6.1
6
-8.3
2
14.8
0
-8.9
3
1.3
7
0.7
1
9.5
4
18.3
8
-10.1
3
1.5
7
-0.6
7
5.6
1
Wasatch M SCI EM SC eA Emerging M kts Equity
Re
turn
(%
)
Ranking 96 42 17 99
5th Percentile 27.86 -3.85 10.03 8.69 17.95
25th Percentile 22.07 -7.58 4.62 2.49 9.36
50th Percentile 18.38 -10.13 1.57 -0.67 5.61
75th Percentile 14.97 -11.90 -1.55 -2.69 2.38
95th Percentile 7.09 -14.56 -6.80 -6.40 -2.15
Observations 332 451 453 435 399
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
63
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending March 31, 2017
Account Description
Strategy Emerging Markets Equity
Vehicle Non-Mutual Commingled
Benchmark MSCI Emerging Markets
Performance Inception Date November 2016
Fees 65 bps (preferred fee)
Performance Goals
Outperform the MSCI Emerging Markets.
Over rolling three year periods, rank above the median in the eA Emerging
Mkts Equity universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 0 0
Net Additions 69,666 69,666
Return on Investment 4,952 4,952
Ending Market Value 74,618 74,618
Characteristics
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Wtd Avg Mkt Cap ($Bil) P/E (1 Yr Trailing) Dividend Yield
51
.38
11
.18
3.1
6
56
.92
14
.94
2.4
4
AB EM Strategic Core Equity Fund MSCI Emerging Markets
Sector Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Cons Disc
Cons Staples
Energy
Financials
Health Care
Industrials
Info Tech
Materials
Real Estate
Telecom
Utilities
Cash
8.1
1
3.8
5
9.2
9
27
.29
4.0
5
5.1
7
21
.54
6.0
2
0.9
5 5.0
2
4.8
3
3.8
5
10
.39
6.9
4
7.3
1
24
.05
2.4
0 5.9
2
24
.48
7.4
7
2.5
6 5.6
4
2.8
4
0.0
0
AB EM Strategic Core Equity Fund MSCI Emerging Markets
Country Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
China South
Korea
Taiwan India Brazil South
Africa
Russia Mexico Indonesia Malaysia Other
20
.21
14
.89 1
9.1
6
2.4
2
13
.14
0.7
5
2.2
6
27
.17
26
.90
15
.07
12
.27
8.8
6
7.6
2
6.6
4
3.8
1
3.6
9
2.5
1
2.4
4
10
.19
AB EM Strategic Core Equity Fund MSCI Emerging Markets
© 2017 Asset Consulting Group All Rights Reserved
64
Oklahoma Police Pension & Retirement System
AB EM Strategic Core Equity Fund
For the Periods Ending March 31, 2017
0.00
4.00
8.00
12.00
16.00
20.00
3 Months 6 Months FYTD Since Nov 2016
13.2
3
7.0
0
11.4
9
6.9
3
16.7
2
6.6
7
12.1
1
6.8
5
16.2
2
AB EM Strategic Core Equity Fund M SCI Emerging M arkets eA Emerging M kts Equity
Re
turn
(%
)
Ranking 27
5th Percentile 15.58 12.40 24.21
25th Percentile 13.27 9.24 19.81
50th Percentile 12.11 6.85 16.22
75th Percentile 11.16 4.83 12.62
95th Percentile 8.88 0.42 6.28
Observations 332 332 332
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
1
65
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending March 31, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-15,172,499 20,062,373 4,889,874
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 600,000,000 492,995,988 128,655,258 545,866,562 178,564,595 1.47x724,431,157
Buyout 192,500,000 172,431,937 33,913,600 213,717,620 51,028,015 1.54x264,745,635
Marathon IV Apr-99 7,000,000 7,462,426 - 10,188,872 - 1.37x10,188,872
Hicks, Muse Oct-01 15,000,000 16,211,210 - 28,272,306 - 1.74x28,272,306
Calera Capital (Fremont III) Jan-02 10,000,000 10,998,419 271,104 10,210,986 40,438 0.93x10,251,424
Arsenal Capital Partners Jan-03 15,000,000 16,154,576 - 28,622,510 - 1.77x28,622,510
Levine Leichtman Jan-03 10,000,000 10,612,096 439,719 14,846,800 1,842,305 1.57x16,689,105
Marathon Fund Limited Partnership V Dec-04 10,000,000 10,557,584 9,301 19,599,298 11,932 1.86x19,611,230
Arsenal Capital Partners II Sep-06 15,000,000 14,796,187 78,438 24,778,222 6,052,243 2.08x30,830,465
Thompson Street C.P. II Dec-06 10,000,000 10,572,097 977,238 18,484,018 2,384,350 1.97x20,868,368
Sun Capital Partners V Apr-07 12,500,000 12,578,959 2,191,736 8,071,563 9,280,193 1.38x17,351,756
HM Capital Sector Performance Fund May-07 15,000,000 15,604,226 647,720 14,690,140 - 0.94x14,690,140
Calera Capital Fund IV Jan-08 10,000,000 8,750,484 1,249,516 12,521,567 1,347,317 1.58x13,868,884
Levine Leichtman IV Aug-08 10,000,000 8,627,273 1,679,127 13,395,949 2,659,836 1.86x16,055,785
Thompson Street Capital III Aug-11 7,500,000 7,113,181 386,819 7,060,973 3,759,762 1.52x10,820,735
Arsenal Capital Partners III Apr-12 7,500,000 7,785,304 1,874,743 2,049,124 9,387,533 1.47x11,436,657
Apollo Investment Fund VIII Oct-13 7,500,000 5,221,303 2,994,751 925,292 4,865,398 1.11x5,790,690
Francisco Partners Fund IV Nov-14 8,000,000 3,920,000 4,080,000 - 4,228,876 1.08x4,228,876
CenterOak Equity Fund I Aug-15 7,500,000 2,272,158 5,227,842 - 1,948,793 0.86x1,948,793
Thompson Street Capital Partners IV Jan-16 7,500,000 3,194,454 4,305,546 - 3,219,039 1.01x3,219,039
Leonard Green Equity Investors VII Feb-16 7,500,000 - 7,500,000 - - --
© 2017 Asset Consulting Group All Rights Reserved
66
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending March 31, 2017
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Distressed 143,500,000 115,519,534 28,439,456 151,160,074 20,159,668 1.48x171,319,742
Oaktree Opportunities Fund II Feb-98 3,000,000 3,000,000 - 4,525,923 - 1.51x4,525,923
Oaktree Opportunities Fund III Sep-99 5,000,000 5,000,000 - 7,462,838 73,783 1.51x7,536,621
Oaktree Opportunities Fund IV Dec-01 10,000,000 10,000,000 - 16,774,041 32,454 1.68x16,806,495
Siguler Guff Dist Opp I Jan-03 20,000,000 19,568,416 - 30,991,330 - 1.58x30,991,330
Oaktree Opportunities Fund V Jun-04 4,000,000 4,000,000 - 6,458,089 88,610 1.64x6,546,699
Oaktree Opportunities Fund VI Aug-05 4,000,000 4,000,000 - 6,317,103 8,337 1.58x6,325,440
Siguler Guff Dist Opp II Sep-05 20,000,000 20,006,044 - 27,504,267 856,903 1.42x28,361,170
Oaktree Opportunities VII A Mar-07 7,500,000 7,554,219 - 9,603,671 773,457 1.37x10,377,128
Oaktree Opportunities VII B May-08 7,500,000 6,750,000 750,000 11,040,746 523,110 1.71x11,563,856
Siguler Guff Dist Opp III Aug-08 15,000,000 14,480,311 600,000 18,462,536 4,051,580 1.55x22,514,116
Oaktree Opportunities VIII Nov-09 7,500,000 6,750,000 750,000 7,355,286 2,144,664 1.41x9,499,950
Oaktree Opportunities IX Jun-12 7,500,000 7,500,000 - 529,065 7,158,605 1.03x7,687,670
Oaktree European Dislocation Fund Oct-13 7,500,000 4,285,544 3,214,456 3,385,179 1,242,175 1.08x4,627,354
Oaktree Opportunities Fund X Mar-15 7,500,000 2,625,000 5,625,000 750,000 3,205,990 1.51x3,955,990
Oaktree Opportunities Fund Xb Jun-15 7,500,000 - 7,500,000 - - --
Apollo EPF III Dec-16 10,000,000 - 10,000,000 - - --
Emerging Markets Focused 7,500,000 5,895,216 2,121,067 902,015 5,317,848 1.06x6,219,863
Actis EM IV Jan-12 7,500,000 5,895,216 2,121,067 902,015 5,317,848 1.06x6,219,863
Mezzanine 49,500,000 49,629,213 5,519,655 65,266,099 5,531,285 1.43x70,797,384
TCW Crescent II Mar-99 7,000,000 6,726,192 - 9,793,612 - 1.46x9,793,612
TCW Crescent Mezzanine Partner III Jul-01 10,000,000 10,188,852 200,324 20,545,737 315,071 2.05x20,860,808
TCW Crescent IV Jun-06 10,000,000 9,873,180 1,921,076 10,765,452 389,286 1.13x11,154,738
Newstone Capital Partners Oct-06 5,000,000 5,697,863 116,709 6,553,466 452,221 1.23x7,005,687
TCW Mezzanine Fund V Jan-08 10,000,000 7,336,349 2,663,651 9,175,136 1,261,794 1.42x10,436,930
Newstone Capital Partners II Jan-10 7,500,000 9,806,777 617,895 8,432,696 3,112,913 1.18x11,545,609
Other 31,500,000 14,051,610 18,670,332 4,917,101 11,566,356 1.17x16,483,457
EnCap Energy Fund IX Jan-13 6,500,000 6,136,113 1,032,314 2,940,662 5,045,858 1.30x7,986,520
EnCap Energy Fund X Mar-15 7,500,000 2,979,402 5,074,113 1,062,869 2,366,329 1.15x3,429,198
ArcLight Energy Partners VI Mar-15 7,500,000 4,936,095 2,563,905 913,570 4,154,169 1.03x5,067,739
EnCap Energy Fund XI Dec-16 10,000,000 - 10,000,000 - - --
Secondary Fund of Funds 20,000,000 21,439,062 326,939 24,030,454 4,541,988 1.33x28,572,442
Lexington VI Dec-05 20,000,000 21,439,062 326,939 24,030,454 4,541,988 1.33x28,572,442
© 2017 Asset Consulting Group All Rights Reserved
67
Oklahoma Police Pension & Retirement System
Private Equity
For the Period Ending March 31, 2017
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Venture Capital 155,500,000 114,029,416 39,664,209 85,873,199 80,419,435 1.46x166,292,634
Weiss, Peck & Greer V, LLC Jul-99 7,000,000 6,932,406 67,594 4,507,097 - 0.65x4,507,097
Firstmark Venture Partners II (Pequot) Feb-00 1,000,000 955,000 - 322,553 - 0.34x322,553
Lightspeed Venture Partners VI (WPG) Oct-00 12,000,000 11,010,270 989,730 10,111,364 498,633 0.96x10,609,997
Midtown Fund III (Firstmark III,Pequot) Oct-00 15,000,000 14,738,625 - 12,141,249 - 0.82x12,141,249
Venture Lending & Leasing Fund May-01 6,000,000 4,500,000 - 5,496,840 114,660 1.25x5,611,500
Accel Europe Jun-01 10,000,000 10,000,000 - 9,295,970 3,898,598 1.32x13,194,568
Knightsbridge Fund VI Dec-04 12,000,000 11,232,000 768,000 7,192,368 8,050,602 1.36x15,242,970
Firstmark I (Pequot, Firstmark IV) Nov-05 5,000,000 4,950,000 50,000 12,823,983 20,640,866 6.76x33,464,849
Weathergage Venture Capital Mar-07 7,500,000 6,862,500 637,500 5,994,343 7,019,921 1.90x13,014,264
Warburg Pincus Sep-07 15,000,000 15,000,000 - 14,162,783 7,371,633 1.44x21,534,416
Weathergage Venture Cap II Mar-11 7,500,000 6,825,000 675,000 1,475,348 9,535,499 1.61x11,010,847
Firstmark II (Firstmark V) Jul-11 5,000,000 4,522,365 477,635 400,700 6,304,011 1.48x6,704,711
Warburg Pincus XI Oct-12 7,500,000 6,761,250 738,750 1,507,103 7,264,108 1.30x8,771,211
Firstmark Capital Fund III Oct-13 5,000,000 3,425,000 1,575,000 - 3,775,636 1.10x3,775,636
Firstmark Capital Opportunity Fund I May-14 5,000,000 3,225,000 1,775,000 441,498 3,021,100 1.07x3,462,598
Warburg Pincus XII Dec-15 10,000,000 2,390,000 7,610,000 - 2,224,168 0.93x2,224,168
FirstMark Capital Fund IV May-16 7,500,000 - 7,500,000 - - --
FirstMark Capital Opportunity Fund II May-16 7,500,000 - 7,500,000 - - --
Weathergage Venture Capital IV Dec-16 10,000,000 700,000 9,300,000 - 700,000 1.00x700,000
© 2017 Asset Consulting Group All Rights Reserved
68
Oklahoma Police Pension & Retirement System
Fixed Income Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
69
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending March 31, 2017
Account Description
Strategy Core Bonds
Vehicle Separately Managed Account
Benchmark BloomBar US Aggregate
Performance Inception Date October 1999
Fees 25 bps on the first $25 million, 20 bps on the next $75 million, 15 bps on the
next $50 million, and 10 bps on the next $50 million
Performance Goals
Outperform the BloomBar US Aggregate.
Over rolling three year periods, rank above the median in the eA US Core
Fixed Income universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 169,582 135,745
Net Additions -216 29,728
Return on Investment -2,017 1,876
Income 5,081 6,484
Gain/Loss -7,098 -4,608
Ending Market Value 167,350 167,350
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 (%)
7.8
1
5.7
4
20
.00
2.8
2
8.2
2
6.0
0
22
.00
2.6
1
Agincourt BloomBar US Aggregate
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
10
.23
55
.78
29
.70
0.0
0
3.3
3
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.9
6
36
.64
25
.14
28
.49
3.6
5
1.7
6
0.0
0
0.0
0
0.0
0
0.0
0 4.3
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
44
.68
5.1
6
18
.15 3
2.0
1
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
70
.87
4.7
9
10
.60
13
.74
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
Agincourt BloomBar US Aggregate
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
70
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Agincourt Core Fixed Income
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.002.00
3.00
4.00
5.00
6.00
7.00
8.00
AgincourtBloomBar US
Aggregate
Standard Deviat ion (%)
Re
turn
(%
)
Agincourt
BloomBar US
Aggregate
Benchmark Relative Statistics
Return (%) 4.65 4.27
Standard Deviation (%) 3.60 3.29
Sharpe Ratio 1.15 1.14
Beta 0.99
R Squared (%) 81.74
Alpha (%) 0.43
Tracking Error (%) 1.54
Batting Average (%) 59.17
Up Capture (%) 106.38
Down Capture (%) 101.62
10 Year Growth of a Dollar 10 Year Return Analysis
Agincourt
BloomBar US
Aggregate
Number of Months 120 120
Highest Monthly Return (%) 3.80 3.73
Lowest Monthly Return (%) -3.54 -2.37
Number of Positive Months 80 80
Number of Negative Months 40 40
% of Positive Months 66.67 66.67$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
$1.70
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
AgincourtBloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
71
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the Periods Ending March 31, 2017
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months FYTD 1 Year 3 Years 5 Years Since Oct 1999
0.8
7
-1.1
9
1.1
8
3.0
4
2.8
6
5.4
9
0.8
2
-1.7
3
0.4
4
2.6
8
2.3
4
5.1
0
0.9
5
-1.1
9
1.1
5
3.0
1
2.8
5
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 65 51 49 46 50
5th Percentile 1.35 0.47 3.15 3.95 3.99
25th Percentile 1.11 -0.68 1.89 3.31 3.26
50th Percentile 0.95 -1.19 1.15 3.01 2.85
75th Percentile 0.82 -1.58 0.51 2.76 2.56
95th Percentile 0.67 -2.15 -0.03 2.33 2.16
Observations 183 183 183 179 177
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
72
Oklahoma Police Pension & Retirement System
Agincourt Core Fixed Income
For the One Year Periods Ending March
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
1.1
8
2.0
5
5.9
5
0.4
2
4.8
0
0.4
4
1.9
6
5.7
2
-0.1
0
3.7
7
1.1
5
2.0
8
5.8
9
0.3
9
5.0
0
Agincourt BloomBar US Aggregate eA US Core Fixed Income
Re
turn
(%
)
Ranking 49 54 43 49 59
5th Percentile 3.15 3.11 7.19 1.99 7.55
25th Percentile 1.89 2.44 6.25 0.85 5.76
50th Percentile 1.15 2.08 5.89 0.39 5.00
75th Percentile 0.51 1.76 5.39 -0.09 4.29
95th Percentile -0.03 1.16 4.09 -0.74 3.47
Observations 183 253 267 282 297
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
73
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the Periods Ending March 31, 2017
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Non-Mutual Commingled
Benchmark BloomBar US Aggregate
Performance Inception Date February 1998
Fees 50 bps
Performance Goals
Outperform the BloomBar US Aggregate.
Each underlying strategy should outperform its relevant benchmark.
Growth of a Dollar
$0.80
$1.20
$1.60
$2.00
$2.40
$2.80
$3.20
$3.60
$4.00
Sep-97 Dec-00 Mar-04 Jun-07 Sep-10 Dec-13 Mar-17
OaktreeBloomBar US
Aggregate
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 108,346 134,746
Net Additions -478 -30,644
Return on Investment 10,262 14,028
Ending Market Value 118,130 118,130
© 2017 Asset Consulting Group All Rights Reserved
74
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Oaktree Capital Management
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 2.00 4.00 6.00 8.00 10.00 12.002.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
OaktreeBloomBar US
Aggregate
Standard Deviat ion (%)
Re
turn
(%
)
Oaktree
BloomBar US
Aggregate
Benchmark Relative Statistics
Return (%) 6.76 4.27
Standard Deviation (%) 8.92 3.29
Sharpe Ratio 0.70 1.14
Beta 0.66
R Squared (%) 5.89
Alpha (%) 4.25
Tracking Error (%) 8.72
Batting Average (%) 57.50
Up Capture (%) 123.24
Down Capture (%) 65.23
10 Year Return Histogram 10 Year Return Analysis
Oaktree
BloomBar US
Aggregate
Number of Months 120 120
Highest Monthly Return (%) 7.58 3.73
Lowest Monthly Return (%) -14.86 -2.37
Number of Positive Months 83 80
Number of Negative Months 37 40
% of Positive Months 69.17 66.67
0
10
20
30
40
50
60
Less
than
-4%
-4% to
-3%
-3% to
-2%
-2% to
-1%
-1% to
0%
0% to
1%
1% to
2%
2% to
3%
3% to
4%
Greater
than 4%
3 3
9 1012
33
25
12
6 7
0 0 26
32
51
26
1 2 0
OaktreeBloomBar US
Aggregate
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
75
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the Periods Ending March 31, 2017
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months FYTD 1 Year 3 Years 5 Years Since Feb 1998
2.2
1
9.4
9
13.1
9
4.1
4
6.5
6 7.2
2
0.8
2
-1.7
3
0.4
4
2.6
8
2.3
4
4.9
9
Oaktree BloomBar US Aggregate
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
76
Oklahoma Police Pension & Retirement System
Oaktree Capital Management
For the One Year Periods Ending March
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
13.1
9
-2.6
3
2.4
7
9.0
6
11.5
5
0.4
4
1.9
6
5.7
2
-0.1
0
3.7
7
Oaktree BloomBar US Aggregate
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
77
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending March 31, 2017
Account Description
Strategy Multi-Sector Fixed Income
Vehicle Non-Mutual Commingled
Benchmark Citigroup World Govt Bond
Performance Inception Date June 2008
Fees 35 bps
Performance Goals
Outperform the Citigroup World Govt Bond.
Over rolling three year periods, rank above the median in the eA All Global
Fixed Income universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 95,889 92,230
Net Additions -234 -307
Return on Investment -3,728 5
Ending Market Value 91,927 91,927
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
2.97
7.51
3.12
21.00
1.15
7.67
2.33
Loomis SaylesCitigroup World Govt
Bond
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
2.0
9 10
.98
1.7
9
0.0
0
2.4
9
5.2
7
4.7
7
63
.71
0.8
4
5.5
5
2.5
1
34
.89
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
63
.63
1.4
8
0.0
0
0.0
0
Loomis SaylesCitigroup World Govt
Bond
Regional Allocation
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
US/Canada United
Kingdom
Europe ex-UK Japan Asia Pacific
ex-Japan
Emerging
Markets
Other Cash
25
.11
8.0
3
26
.95
18
.30
4.7
3
15
.21
1.6
7
0.0
0
36
.51
5.6
2
32
.19
21
.63
2.0
4
2.0
1
0.0
0
0.0
0
Loomis Sayles Citigroup World Govt Bond
Characteristic and allocation charts represents data of the Loomis World Bond NH Trust (Non-Mutual Commingled).
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
78
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
Loomis Sayles
8 Year Risk / Return 8 Year Portfolio Statistics
2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
Loomis SaylesCit igroup World
Govt Bond
Standard Deviat ion (%)
Re
turn
(%
)
Loomis
Sayles
Citigroup
World
Govt Bond
Benchmark Relative Statistics
Return (%) 4.94 1.92
Standard Deviation (%) 6.77 5.98
Sharpe Ratio 0.72 0.31
Beta 1.04
R Squared (%) 83.78
Alpha (%) 2.94
Tracking Error (%) 2.74
Batting Average (%) 69.79
Up Capture (%) 130.36
Down Capture (%) 93.27
8 Year Growth of a Dollar 8 Year Return Analysis
Loomis
Sayles
Citigroup
World
Govt Bond
Number of Months 96 96
Highest Monthly Return (%) 6.12 3.69
Lowest Monthly Return (%) -4.95 -5.03
Number of Positive Months 61 55
Number of Negative Months 35 41
% of Positive Months 63.54 57.29$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
Sep-08 Feb-10 Jul-11 Dec-12 M ay-14 Oct-15 M ar-17
Loomis SaylesCit igroup World
Govt Bond
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
79
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the Periods Ending March 31, 2017
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
3 Months FYTD 1 Year 3 Years 5 Years Since Jun 2008
2.6
4
-3.8
9
0.0
0
-0.3
7
0.7
4
3.2
2
1.5
5
-6.8
3
-3.6
5
-1.2
0
-0.5
8
1.8
5
2.1
3
1.2
0
2.6
0
1.1
5 2.3
7
Loomis Sayles Cit igroup World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 35 84 68 68 70
5th Percentile 5.19 10.26 14.33 5.49 7.42
25th Percentile 3.09 5.54 7.45 3.83 4.64
50th Percentile 2.13 1.20 2.60 1.15 2.37
75th Percentile 1.47 -2.17 -0.93 -1.16 0.35
95th Percentile 0.67 -6.38 -5.96 -5.50 -1.55
Observations 427 427 427 394 325
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
80
Oklahoma Police Pension & Retirement System
Loomis Sayles
For the One Year Periods Ending March
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
0.0
0
3.9
8
-4.8
8
1.4
0
3.4
4
-3.6
5
5.9
2
-5.5
0
1.3
7
-0.6
7
2.6
0
1.1
9
-0.6
7
3.2
2
6.4
2
Loomis Sayles Cit igroup World Govt Bond eA All Global Fixed Income
Re
turn
(%
)
Ranking 68 21 71 69 70
5th Percentile 14.33 6.53 8.45 16.30 14.57
25th Percentile 7.45 3.35 3.49 8.19 9.36
50th Percentile 2.60 1.19 -0.67 3.22 6.42
75th Percentile -0.93 -0.90 -6.21 0.87 2.71
95th Percentile -5.96 -4.38 -18.25 -6.57 -1.38
Observations 427 668 676 649 614
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
81
© 2017 Asset Consulting Group All Rights Reserved
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: 43.20%Historical Average ■ Gross Exposure: 457.60% Gross Exposure 289.57% Net Exposure 43.38%
Characteristic data provided by manager.
Exposure
PAAMCO
Objectives and Constraints
StrategyMarket Value: $126,131,338
Historical Net & Gross Exposure
Target annualized standard deviation: approximate the standard deviation of the Barclays Capital Aggregate
For the Periods Ending March 31, 2017
Sector Allocation
0%50%
100%150%200%250%300%350%400%450%500%550%600%650%700%
Net Exposure
Gross Exposure
Gross Longs
Gross Shorts
Convertible Bond Hedging3.40%
Fixed Income Relative Value
18.60%
Distressed Debt Hedging7.90%
Long/Short Equity19.20%
Equity Market Neutral5.00%
Event-Driven Equity7.70%
Long/Short Credit22.80%
Opportunistic Credit7.30%
Cash8.10%
82
Oklahoma Police Pension & Retirement System
For the Periods Ending March 31, 2017
PAAMCO
10 Year Risk / Return 10 Year Portfolio Statistics
0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Standard Deviat ion (%)
Re
turn
(%
)
PAAMCO
BloomBar US
Aggregate
HFRI FOF:
Conservative
Benchmark Relative Statistics
Return (%) 3.38 4.27 1.09
Standard Deviation (%) 6.09 3.29 4.29
Sharpe Ratio 0.47 1.14 0.13
Beta -0.04 1.33
R Squared (%) 0.05 87.73
Alpha (%) 3.76 1.97
Tracking Error (%) 6.99 2.56
Batting Average (%) 60.00 65.00
Up Capture (%) 42.96 152.29
Down Capture (%) -15.45 111.65
10 Year Growth of a Dollar 10 Year Return Analysis
PAAMCO
BloomBar US
Aggregate
HFRI FOF:
Conservative
Number of Months 120 120 120
Highest Monthly Return (%) 4.90 3.73 2.42
Lowest Monthly Return (%) -9.06 -2.37 -5.91
Number of Positive Months 83 80 81
Number of Negative Months 37 40 39
% of Positive Months 69.17 66.67 67.50$0.80
$0.90
$1.00
$1.10
$1.20
$1.30
$1.40
$1.50
$1.60
Sep-06 Jun-08 M ar-10 Dec-11 Sep-13 Jun-15 M ar-17
PAAMCOBloomBar US
Aggregate
HFRI FOF:
Conservat ive
Statistics are calculated using monthly return data.
© 2017 Asset Consulting Group All Rights Reserved
83
Oklahoma Police Pension & Retirement System
PAAMCO
For the Periods Ending March 31, 2017
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
3 Months FYTD 1 Year 3 Years 5 Years Since Oct 2002
2.2
0
5.7
6
6.5
0
0.3
9
4.7
0 5.1
9
0.8
2
-1.7
3
0.4
4
2.6
8
2.3
4
4.2
1
1.2
7
4.8
2 5.3
6
1.7
7
3.1
8
3.0
9
PAAMCO BloomBar US Aggregate HFRI FOF: Conservative
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
84
Oklahoma Police Pension & Retirement System
PAAMCO
For the One Year Periods Ending March
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
16.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
6.5
0
-6.7
7
1.9
0
13.8
2
9.2
4
0.4
4 1.9
6
5.7
2
-0.1
0
3.7
75.3
6
-3.5
8
3.7
4
6.1
6
4.5
2
PAAMCO BloomBar US Aggregate HFRI FOF: Conservative
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
85
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending March 31, 2017
Account Description
Strategy Absolute Return
Vehicle Non-Mutual Commingled
Benchmark BloomBar US Aggregate
Performance Inception Date December 2016
Fees 25 bps, plus 20% of excess return beyond cash + 1%
Performance Goals
Outperform the LIBOR 3 Month.
Over rolling three year periods, rank above the median in the eA Global
Unconstrained Fixed Income universe.
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 0 0
Net Additions 60,000 60,000
Return on Investment -222 -222
Ending Market Value 59,778 59,778
Characteristics
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Avg Cpn (%) Avg Quality Eff Duration (yrs) YTM (%) Yield to Worst
1.5
0
21
.00
-1.8
7
1.0
8
1.0
6
3.0
6
22
.00
6.0
0
2.6
1
2.6
1
Wellington Global Total
ReturnBloomBar US Aggregate
Sector Allocation
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
Treasury Inv Grade
Credit
MBS Agency CMBS High Yield Bank
Loans
Non-US
Dev
Emerging
Markets
Other Cash
58
.72
22
.56
0.0
0
11
.32
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
1.4
6
5.9
4
36
.64
25
.14
28
.49
3.6
5
1.7
6
0.0
0
0.0
0
0.0
0
0.0
0
4.3
2
0.0
0
Wellington Global Total
ReturnBloomBar US Aggregate
Quality Allocation
-20.00
0.00
20.00
40.00
60.00
80.00
100.00
AAA AA A BBB BB B Below B Below C/NR Cash
21
.56
23
.04
29
.48
16
.63
-1.4
7
1.0
2
0.0
2
3.7
8
5.9
4
70
.87
4.7
9
10
.60
13
.74
0.0
0
0.0
0
0.0
0
0.0
0
0.0
0
Wellington Global Total
ReturnBloomBar US Aggregate
The Other sector consists of ABS, CMO, Convertibles, Municipals, Private Placements/144As and TIPS.
© 2017 Asset Consulting Group All Rights Reserved
86
Oklahoma Police Pension & Retirement System
Wellington Global Total Return
For the Periods Ending March 31, 2017
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
3 Months 6 Months FYTD Since Dec 2016
-0.1
4
-0.3
7
0.2
5
0.4
6
0.6
5
0.3
2
2.0
8
1.3
5
3.5
9
Wellington Global Total Return LIBOR 3 M onth eA Global Unconstrained Fixed Income
Re
turn
(%
)
Ranking 99
5th Percentile 5.78 5.06 9.32
25th Percentile 3.08 2.90 5.99
50th Percentile 2.08 1.35 3.59
75th Percentile 1.45 -0.62 1.37
95th Percentile 0.41 -4.74 -4.27
Observations 109 109 109
The rankings represent the portfolio's returns versus a peer universe. The rankings are on a scale of 1 to 100 with 1 being the best.
© 2017 Asset Consulting Group All Rights Reserved
1
87
Oklahoma Police Pension & Retirement System
Private Credit
For the Period Ending March 31, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-13,726,113 194,310 -13,531,803
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 60,000,000 15,684,603 44,315,397 173,555 15,848,979 1.02x16,022,534
Mezzanine 20,000,000 8,684,603 11,315,397 173,555 8,750,871 1.03x8,924,426
Newstone Capital Partners III Jan-17 20,000,000 8,684,603 11,315,397 173,555 8,750,871 1.03x8,924,426
Other 40,000,000 7,000,000 33,000,000 - 7,098,108 1.01x7,098,108
LBC Credit Partners Fund IV Sep-16 40,000,000 7,000,000 33,000,000 - 7,098,108 1.01x7,098,108
© 2017 Asset Consulting Group All Rights Reserved
88
Oklahoma Police Pension & Retirement System
Real Assets Manager Performance
© 2017 Asset Consulting Group All Rights Reserved
89
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending March 31, 2017
Account Information
Ending Market Value $114,362,857
Fund Information
Gross Market Value $41,653,101,950
Net Market Value $30,946,695,550
Cash Balance of Fund $1,618,988,780
# of Properties 166
# of Participants 425
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
10.5
0
41.8
7
21.5
9
26.0
4
Industrial Office Residential Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
30.6
2
4.8
1
22.9
4
41.6
3
East M idw est South West
Geographic Region
Returns by Property Type (%)
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
3 M onths 1 Year
4.8
5
14.5
7
1.8
4
7.7
1
1.4
6
7.5
8
1.7
0
9.6
0
Industrial Office Residential Retail
Account Description
Strategy Core Real Estate
Vehicle Non-Mutual Commingled
Benchmarks NFI ODCE Net and NCREIF Property
Performance Inception Date December 2007
Fees First $100M at 92 bps, next $150M at 85 bps, next $250M at 80 bps,
balance at 75 bps
Performance Goals
Outperform the NFI ODCE Net.
© 2017 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Strategic Property Fund (Non-Mutual Commingled). 90
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the Periods Ending March 31, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
3 Months FYTD 1 Year 3 Years 5 Years Since Dec 2007
1.9
2
6.2
7
8.4
1
11.3
9 12.3
5
5.6
3
1.5
5
5.3
5
7.3
6
10.7
7
10.9
4
4.0
3
1.5
5
5.1
4
7.2
7
10.5
8
10.6
9
6.3
0
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
91
Oklahoma Police Pension & Retirement System
JP Morgan Strategic Property
For the One Year Periods Ending March
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
8.4
1
12.9
3
12.8
9
14.7
5
12.8
5
7.3
6
12.6
2
12.4
0
12.7
4
9.6
6
7.2
7
11.8
4 12.7
2
11.1
8
10.5
2
JP Morgan NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
92
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending March 31, 2017
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
1.40 1.30
2.70
2.20
0.70
1.06
1.771.55
Blackstone NFI ODCE
Account Information
Ending Market Value $37,062,118
Fund Information
Net Market Value $5,200,000,000
# of Properties 16
Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
11.0
0
22.0
0
35.0
0
32.0
0
Industrial M ult i-Family Office Retail
Property Type
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
52.0
0
4.0
0
2.0
0
9.0
0
33.0
0
East M idw est North South West
Geographic Region
Account Description
Strategy Core Real Estate
Vehicle Limited Partnership
Benchmarks NFI ODCE Net and NCREIF Property
Performance Inception Date January 2015
Performance Goals
Outperform the NFI ODCE Net and NCREIF Property.
© 2017 Asset Consulting Group All Rights Reserved
Characteristic and allocation charts represents data of the Blackstone Property Partners (Limited Partnership). 93
Oklahoma Police Pension & Retirement System
Blackstone Property Partners
For the Periods Ending March 31, 2017
0.00
4.00
8.00
12.00
16.00
20.00
3 Months FYTD 1 Year 2 Years Since Jan 2015
2.3
7
8.8
8
12.5
5
17.6
3
15.5
3
1.5
5
5.3
5
7.3
6
9.9
6
10.3
2
1.5
5
5.1
4
7.2
7
9.5
3 10.1
3
Blackstone NFI ODCE Net NCREIF Property
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
94
Oklahoma Police Pension & Retirement System
Columbus Square
For the Periods Ending March 31, 2017
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
3 Months FYTD 1 Year 3 Years 5 Years Since Jan 1998
2.0
9
4.0
9
11.4
3
9.1
3
8.8
0
13.8
2
1.5
5
5.1
4
7.2
7
10.5
8
10.6
9
9.5
3
1.5
5
5.3
5
7.3
6
10.7
7
10.9
4
7.9
8
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
95
Oklahoma Police Pension & Retirement System
Columbus Square
For the One Year Periods Ending March
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
11.4
3
6.4
9
9.5
2
5.6
7
11.0
2
7.2
7
11.8
4 12.7
2
11.1
8
10.5
2
7.3
6
12.6
2
12.4
0
12.7
4
9.6
6
Columbus Square NCREIF Property NFI ODCE Net
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
96
Oklahoma Police Pension & Retirement System
Private Real Estate
For the Period Ending March 31, 2017
Summary of Cash Flows for 6 Months
Cash Outflows Cash Inflows Net Cash Flows
-1,808,949 7,643,441 5,834,492
Summary of Portfolio Inception to Date
Inception
Date Committed
Drawn
to Date
Remaining
Commitment
Distributions
to Date
Adjusted
Ending Value Total Value
Total Value
to Paid-in
Total 82,500,000 66,792,534 24,780,760 32,870,840 54,015,937 1.30x86,886,777
Real Estate 82,500,000 66,792,534 24,780,760 32,870,840 54,015,937 1.30x86,886,777
Siguler Guff Dist. Real Estate Opp. Jul-11 10,000,000 8,608,587 1,650,773 5,696,795 7,489,982 1.53x13,186,777
TA Associates Realty X Nov-12 20,000,000 20,000,000 - 10,091,115 17,049,862 1.36x27,140,977
Cerberus Real Estate Fund III May-13 20,000,000 25,185,319 3,552,375 15,612,413 17,635,503 1.32x33,247,916
Hall Capital Fund III Feb-14 7,500,000 3,294,365 4,205,635 217,364 2,989,139 0.97x3,206,503
Siguler Guff Dist. Real Estate Opp. II Nov-14 10,000,000 7,507,577 2,492,423 511,425 7,518,024 1.07x8,029,449
Cerberus Institutional Real Estate Partners 4 Jun-16 15,000,000 2,196,686 12,879,554 741,728 1,333,427 0.94x2,075,155
© 2017 Asset Consulting Group All Rights Reserved
97
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending March 31, 2017
Account Description
Strategy Commodities
Vehicle Non-Mutual Commingled
Benchmark CS Hedge - Global Macro
Performance Inception Date January 1998
Fees 100 bps and an annual incentive fee
Performance Goals
Outperform the CS Hedge - Global Macro.
Growth of a Dollar
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
$4.00
$4.50
Sep-97 Dec-00 Mar-04 Jun-07 Sep-10 Dec-13 Mar-17
Mount Lucas PeakCS Hedge - Global
Macro
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 29,665 29,907
Net Additions -260 -355
Return on Investment 564 416
Ending Market Value 29,969 29,969
© 2017 Asset Consulting Group All Rights Reserved
98
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the Periods Ending March 31, 2017
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
3 Months FYTD 1 Year 3 Years 5 Years Since Jan 1998
-3.8
2
1.9
2
1.4
0
7.0
8
6.1
7
6.1
3
0.2
4
5.4
5 6.2
0
2.5
7
2.8
7
8.0
4
Mount Lucas Peak CS Hedge - Global Macro
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
99
Oklahoma Police Pension & Retirement System
Mount Lucas Peak Partners
For the One Year Periods Ending March
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Mar 2017 Mar 2016 Mar 2015 Mar 2014 Mar 2013
1.4
0
-9.4
4
33.7
1
12.4
6
-2.3
2
6.2
0
-6.2
5
8.3
7
1.5
1
5.1
6
Mount Lucas Peak CS Hedge - Global Macro
Re
turn
(%
)
© 2017 Asset Consulting Group All Rights Reserved
100
Oklahoma Police Pension & Retirement System
Gresham Tap Fund
For the Periods Ending March 31, 2017
Account Description
Strategy Commodities
Vehicle Non-Mutual Commingled
Benchmark Bloomberg Commodity
Performance Inception Date August 2014
Fees 75 bps
Performance Goals
Outperform the Bloomberg Commodity over a complete market cycle.
Growth of a Dollar
$0.55
$0.60
$0.65
$0.70
$0.75
$0.80
$0.85
$0.90
$0.95
$1.00
Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17
GreshamBloomberg
Commodity
Dollar Growth Summary ($000s)
1 YearFYTD
Beginning Market Value 49,962 44,796
Net Additions 0 0
Return on Investment -1,117 4,049
Ending Market Value 48,845 48,845
© 2017 Asset Consulting Group All Rights Reserved
101
© 2017 Asset Consulting Group All Rights Reserved
Oklahoma Police Pension & Retirement System
TAP Bloomberg TAP Bloomberg Abs Est. Wgtd TAP Bloomberg Abs Est. WgtdTotal Gross Return 100.00 100.03 -1.97 -2.47 -- 0.50 -1.97 -2.47 -- 0.50AGRICULTURE 17.14 23.04 -3.55 -2.75 -0.80 -0.04 -3.55 -2.75 -0.80 -0.04
Corn 3.89 7.55 1.49 1.42 0.07 -0.14 1.49 1.42 0.07 -0.14Soybean 6.51 5.56 -6.70 -6.74 0.04 0.01 -6.70 -6.74 0.04 0.01Wheat (CBOT) 2.06 3.35 1.59 1.63 -0.04 -0.03 1.59 1.63 -0.04 -0.03Wheat (KC) 0.60 1.15 -2.27 -2.27 0.00 0.00 -2.27 -2.27 0.00 0.00Wheat (MGE) 0.18 0.57 0.57 0.01 0.57 0.57 0.01Soybean Meal 2.97 2.88 -3.61 -3.81 0.20 0.01 -3.61 -3.81 0.20 0.01Soybean Oil 0.93 2.55 -8.79 -9.06 0.27 0.11 -8.79 -9.06 0.27 0.11
ENERGY 32.15 29.15 -10.77 -11.54 0.77 -0.13 -10.77 -11.54 0.77 -0.13Crude Oil 8.66 6.63 -9.17 -9.11 -0.06 -0.22 -9.17 -9.11 -0.06 -0.22Brent Crude 7.53 7.38 -8.00 -7.85 -0.15 -0.04 -8.00 -7.85 -0.15 -0.04Heating Oil 2.70 3.52 -10.21 -10.39 0.18 0.11 -10.21 -10.39 0.18 0.11Gas Oil 3.27 -8.30 -8.37 0.07 -0.16 -8.30 -8.37 0.07 -0.16Natural Gas 6.76 7.75 -17.73 -17.15 -0.58 0.11 -17.73 -17.15 -0.58 0.11Unleaded Gas (RBOB) 3.23 3.87 -10.93 -12.31 1.38 0.06 -10.93 -12.31 1.38 0.06
INDUSTRIAL METALS 20.30 18.50 8.72 7.46 1.26 0.26 8.72 7.46 1.26 0.26Aluminum 7.05 5.24 15.47 15.21 0.26 0.14 15.47 15.21 0.26 0.14Copper (LME) 6.32 5.40 5.13 0.27 0.51 5.40 5.13 0.27 0.51Copper (NY) 1.89 7.92 5.43 5.32 0.11 -0.48 5.43 5.32 0.11 -0.48Nickel 1.54 2.49 -0.45 -0.50 0.05 -0.02 -0.45 -0.50 0.05 -0.02Zinc 2.36 2.85 7.50 7.28 0.22 -0.08 7.50 7.28 0.22 -0.08Lead 1.14 15.88 16.10 -0.22 0.19 15.88 16.10 -0.22 0.19
LIVESTOCK 8.81 6.27 3.76 -0.01 3.77 0.46 3.76 -0.01 3.77 0.46Live Cattle 5.31 3.85 5.88 5.01 0.87 0.25 5.88 5.01 0.87 0.25Lean Hogs 1.93 2.42 -4.13 -7.07 2.94 0.07 -4.13 -7.07 2.94 0.07Feeder Cattle 1.57 6.61 6.32 0.29 0.15 6.61 6.32 0.29 0.15
PRECIOUS METALS 15.35 16.48 9.60 9.61 -0.01 -0.18 9.60 9.61 -0.01 -0.18Gold 10.53 11.93 8.09 8.06 0.03 -0.14 8.09 8.06 0.03 -0.14Silver 3.54 4.55 13.78 13.75 0.03 -0.18 13.78 13.75 0.03 -0.18Platinum 0.73 4.76 4.76 0.06 4.76 4.76 0.06Palladium 0.55 16.60 16.60 0.09 16.60 16.60 0.09
FOODS & FIBERS 6.25 6.59 -3.07 -4.98 1.91 0.13 -3.07 -4.98 1.91 0.13Cotton 1.39 1.52 8.52 7.70 0.82 0.00 8.52 7.70 0.82 0.00Sugar 2.14 2.75 -11.61 -14.00 2.39 0.15 -11.61 -14.00 2.39 0.15White Sugar 0.23 -10.09 -10.09 -0.02 -10.09 -10.09 -0.02Coffee 1.37 2.32 0.07 -0.02 0.09 -0.01 0.07 -0.02 0.09 -0.01Coffee (Robusta) 0.27 0.15 0.15 0.01 0.15 0.15 0.01Cocoa 0.85 -1.51 -2.57 1.06 0.01 -1.51 -2.57 1.06 0.01
Data provided by manager.
-MTD ROI % and YTD ROI% columns show TAP and Bloomberg individual commodity returns.
-A composite weighted return is shown for Wheat, Crude Oil, Heating Oil and Copper. Wheat (KC), Brent Crude, Gas Oil, Copper (NY) and Cocoa were added to TAP's portfolio in the middle of January 2008. Wheat (MGE) was added to TAP's portfolio in the middle of January 2010.
-'Abs' is the absolute difference in ROI between TAP and Bloomberg for each commodity. 'Est. Wgtd' is the portfolio effect (TAP's return x TAP's period avg. wgt. - Bloomberg's return x Bloomberg's period avg. wgt.). 'Average Weights' is calculated using month-end weights. -All returns are estimates. Total Gross Return is gross of fees and includes cash returns. All indicated TAP returns are net of commissions and gross of management fees.
Gresham TAP Fund
For the Periods Ending March 31, 2017
Portfolio Weights (%) QTD ROI (%) ROI DIFF YTD ROI (%) ROI DIFF
Attribution Analysis and Bloomberg Commodity Comparison
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Oklahoma Police Pension & Retirement System
Gresham Tap Fund
For the Periods Ending March 31, 2017
-20.00
-16.00
-12.00
-8.00
-4.00
0.00
4.00
8.00
12.00
3 Months FYTD 1 Year 2 Years Since Aug 2014
-2.0
8
-2.2
4
9.0
4
-7.3
7
-14.8
5
-2.3
3
-3.6
1
8.7
1
-6.4
9
-13.9
0
Gresham Bloomberg Commodity
Re
turn
(%
)
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Oklahoma Police Pension & Retirement System
Appendix
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Oklahoma Police Pension & Retirement System
Definitions of Statistical Measures
Alpha - the annualized difference between the manager's actual return and the managers's expected return given its relative risk vs.
the benchmark (which is represented by beta, a measure that tracks volatility to an index).
Batting Average - a measure used to quantify a manager's ability to meet or beat a benchmark. A manager who outperforms the
benchmark 20 out of a possible 40 times has a batting average of 50.
Beta - measures the portfolio's sensitivity of returns to market movements represented by the primary benchmark.
Down Capture - demonstrates the ratio of the portfolio's average returns relative to the benchmark in periods in which the benchmark
had a negative return. For instance, a down-capture of 96% indicates that, on average, the portfolio is down 96% when the benchmark
is down 100%. Lower portfolio down-capture is preferred.
R Squared - the amount of the manager's return that can be explained by the benchmark. A R Squared of 100 indicates a perfect
correlation, while a R Squared of 0 indicates no correlation at all.
Sharpe Ratio - a measure of return per unit of risk. Higher sharpe ratios are preferred while negative ratios are generally meaningless and
cannot be used for comparison purposes.
Standard Deviation - a measure of the portfolio's volatility. A large standard deviation relative to the benchmark represents volatile
portfolio returns.
Tracking Error - a measure that reports the difference between the return of a manager that is received and that of a benchmark that
the manager is attempting to track.
Up Capture - demonstrates the ratio of the portfolio's average returns relative to the benchmark in periods in which the benchmark had
a positive return. For instance, an up-capture of 96% indicates that, on average, the portfolio is up 96% when the benchmark is up 100%.
Higher portfolio up-capture is preferred.
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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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107
Oklahoma Police Pension & Retirement System
Historical Benchmark Composition
Total Fund Policy
The index consists of 55.0% Russell 3000, 35.0% BloomBar US Aggregate, 10.0% MSCI EAFE.10/31/1990
The index consists of 55.0% Russell 3000, 35.0% BloomBar Universal, 10.0% MSCI EAFE.06/30/2007
The index consists of 55.0% Russell 3000, 10.0% MSCI EAFE, 30.0% BloomBar Universal, 5.0% NFI ODCE Net.11/30/2007
The index consists of 65.0% MSCI ACWI, 30.0% BloomBar Universal, 5.0% NFI ODCE Net.08/31/2012
The index consists of 60.0% MSCI ACWI, 30.0% BloomBar Universal, 5.0% NFI ODCE Net, 5.0% Bloomberg Commodity.08/31/2014
The index consists of 60.0% MSCI ACWI, 25.0% BloomBar Universal, 10.0% NFI ODCE Net, 5.0% Bloomberg Commodity.04/30/2016
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108