06 13_ASAP_OPPRS 1 |
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Preliminary
Return 7.25% 6.62%
Standard Deviation 8.03% 10.23%
Sharpe Ratio 0.71 0.50
Beta 0.75
Alpha 0.17
Up Capture 86.18%
Down Capture 72.88%
Correlation 95.94%
R Square 92.05%
Market Values
(000s)
% of Total
Portfolio
One
Month
Three
Months YTD
June 30,
FYTD
Three
Years
Five
Years
Ten
Years
Total Portfolio $1,968,538 100.0 % (1.19)% 1.03 % 5.76 % 12.65 % 10.40 % 4.65 % 7.25 %
Total Portfolio Net of Fees (1.20)% 0.96 % 5.62 % 12.34 % 10.07 % 4.40 % 7.01 %
Policy Index 1 (2.22)% (0.67)% 3.75 % 11.34 % 12.45 % 5.55 % 6.62 %
Equity Composite $1,259,906 64.0 % (1.37)% 1.53 % 7.76 % 16.16 % 12.81 % 4.55 % 7.87 %
MSCI ACWI (2.88)% (0.23)% 6.39 % 17.21 % 12.95 % 2.86 % 8.14 %
Fixed Income Composite 2 $552,724 28.1 % (1.45)% (0.75)% 1.15 % 5.71 % 5.98 % 5.26 % 6.07 %
Barclays Capital Universal (1.76)% (2.37)% (2.29)% 0.24 % 4.08 % 5.52 % 4.84 %
Real Assets Composite $92,227 4.7 % 1.96 % 5.00 % 9.42 % 13.48 % 7.49 % 1.21 % 6.14 %
OK Invest $54,634 2.8 %
Cash $9,305 0.5 %
Securities Lending Liability ($258)
1
2
Oklahoma Police Pension & Retirement System
Periods Ending June 30, 2013
Return Statistics (10 Years Annualized)
Oklahoma
Police Pension
Total Fund
Policy
The Policy Index is comprised of the following indices: 65% MSCI ACWI, 30% Barclays Capital Universal and 5% NFI ODCE (net) as of August 1, 2012. From November 1, 2007 to July 31, 2012 the Policy Index was comprised of 55% Russell 3000, 10% MSCI EAFE, 30% Barclays Capital Universal, and
5% NFI ODCE (net) . From June 1, 2007 to October 31, 2007 the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Universal, and 10% MSCI EAFE. Prior to that the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital
Aggregate, and 10% MSCI EAFE.
Total includes $591,993 for cash and illiquid securities in terminated account with Overseas CAP Partners.
Risk vs. Return (10 Years Annualized)
Oklahoma Police Pension
& Retirement System
Total Fund Policy
5.00%
6.00%
7.00%
8.00%
9.00%
7.00% 8.00% 9.00% 10.00% 11.00% 12.00%
Standard Deviation
Rate of Return
17.3%
11.2% 12.1%
9.1%
4.0%
10.3%
19.2%
8.8%
2.6%
0.8% 1.3%
3.2%
15.0%
5.0%
15.0%
10.0%
5.0%
10.0%
15.0%
10.0%
5.0% 5.0% 5.0%
0.0%
0.0%
10.0%
20.0%
30.0%
Large Cap Equity Small/Mid Cap
Equity
Long/Short Equity International
Developed Markets
Equity
Emerging Markets
Equity
Private Equity Global Fixed Income Low Volatility Core Real Estate Opportunistic Real
Estate
Commodities Cash and Equivalents
Actual Allocation Target Allocation
© 2013 Asset Consulting Group All Rights Reserved 1
Object Description
| Okla State Agency |
Police Pension and Retirement System, Oklahoma |
| Okla Agency Code |
'557' |
| Title | Monthly investment returns, 06/30/2013 |
| Authors |
Oklahoma Police Pension and Retirement System. |
| Publication Date | 2013-06-30 |
| Publication type |
Financial Report |
| For all issues click |
P2000.6 M781i |
| Digital Format | PDF, Adobe Reader required |
| ODL electronic copy | Downloaded from agency website: http://www.ok.gov/OPPRS/documents/06%2013_ASAP_OPPRS.pdf |
| Rights and Permissions | This Oklahoma state government publication is provided for educational purposes under U.S. copyright law. Other usage requires permission of copyright holders. |
| Language | English |
| Date created | 2013-08-29 |
| Date modified | 2013-08-29 |
Description
| Title | 06 13_ASAP_OPPRS 1 |
| Full text | Preliminary Return 7.25% 6.62% Standard Deviation 8.03% 10.23% Sharpe Ratio 0.71 0.50 Beta 0.75 Alpha 0.17 Up Capture 86.18% Down Capture 72.88% Correlation 95.94% R Square 92.05% Market Values (000s) % of Total Portfolio One Month Three Months YTD June 30, FYTD Three Years Five Years Ten Years Total Portfolio $1,968,538 100.0 % (1.19)% 1.03 % 5.76 % 12.65 % 10.40 % 4.65 % 7.25 % Total Portfolio Net of Fees (1.20)% 0.96 % 5.62 % 12.34 % 10.07 % 4.40 % 7.01 % Policy Index 1 (2.22)% (0.67)% 3.75 % 11.34 % 12.45 % 5.55 % 6.62 % Equity Composite $1,259,906 64.0 % (1.37)% 1.53 % 7.76 % 16.16 % 12.81 % 4.55 % 7.87 % MSCI ACWI (2.88)% (0.23)% 6.39 % 17.21 % 12.95 % 2.86 % 8.14 % Fixed Income Composite 2 $552,724 28.1 % (1.45)% (0.75)% 1.15 % 5.71 % 5.98 % 5.26 % 6.07 % Barclays Capital Universal (1.76)% (2.37)% (2.29)% 0.24 % 4.08 % 5.52 % 4.84 % Real Assets Composite $92,227 4.7 % 1.96 % 5.00 % 9.42 % 13.48 % 7.49 % 1.21 % 6.14 % OK Invest $54,634 2.8 % Cash $9,305 0.5 % Securities Lending Liability ($258) 1 2 Oklahoma Police Pension & Retirement System Periods Ending June 30, 2013 Return Statistics (10 Years Annualized) Oklahoma Police Pension Total Fund Policy The Policy Index is comprised of the following indices: 65% MSCI ACWI, 30% Barclays Capital Universal and 5% NFI ODCE (net) as of August 1, 2012. From November 1, 2007 to July 31, 2012 the Policy Index was comprised of 55% Russell 3000, 10% MSCI EAFE, 30% Barclays Capital Universal, and 5% NFI ODCE (net) . From June 1, 2007 to October 31, 2007 the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Universal, and 10% MSCI EAFE. Prior to that the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Aggregate, and 10% MSCI EAFE. Total includes $591,993 for cash and illiquid securities in terminated account with Overseas CAP Partners. Risk vs. Return (10 Years Annualized) Oklahoma Police Pension & Retirement System Total Fund Policy 5.00% 6.00% 7.00% 8.00% 9.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% Standard Deviation Rate of Return 17.3% 11.2% 12.1% 9.1% 4.0% 10.3% 19.2% 8.8% 2.6% 0.8% 1.3% 3.2% 15.0% 5.0% 15.0% 10.0% 5.0% 10.0% 15.0% 10.0% 5.0% 5.0% 5.0% 0.0% 0.0% 10.0% 20.0% 30.0% Large Cap Equity Small/Mid Cap Equity Long/Short Equity International Developed Markets Equity Emerging Markets Equity Private Equity Global Fixed Income Low Volatility Core Real Estate Opportunistic Real Estate Commodities Cash and Equivalents Actual Allocation Target Allocation © 2013 Asset Consulting Group All Rights Reserved 1 |
| Date created | 2013-08-29 |
| Date modified | 2013-08-29 |
