Oklahoma Police Pension notches net preliminary return of 2.9% for fiscal year

Oklahoma Police Pension & Retirement System, Oklahoma City, posted a net preliminary return of 2.9% for the fiscal year ended June 30, well short of the policy benchmark of 9.8%, according to the $3 billion pension fund's latest investment report.

"We are feeling the lag in pricing of private equity markets," said Ginger Sigler, the pension fund's executive director, in an email.

Ms. Sigler explained that because the private equity numbers are as of March 31, OPPRS won't know their true values until the end of the quarter. "We expect to see these numbers improve when they are trued up for June 30, 2023," she said.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net return of 8.2%, 6.1% and 6.7%, respectively, compared with the three-, five- and 10-year respective benchmarks of 7.7%, 6.7% and 7%.

The pension fund returned a net -3.9% for the fiscal year ended June 30, 2022.

The fund's best-performing asset classes were equities and fixed income, which delivered net returns of 7.1% and 2.2%, respectively. Their respective benchmarks were 17.1% and -0.04%.

Real assets were the poorest performers, returning -9.5%, below the policy benchmark of -8.1%.

As of June 30, the actual allocation was 16.4% private equity, 16.1% U.S. large-cap equity, 11.8% core real estate, 11.3% international developed markets equity, 9% U.S. smidcap equity, 7.4% core bonds, 7.3% multi-sector fixed income, 6.5% long/short equity, 4.6% absolute return, 4.5% emerging markets equity and 2.9% opportunistic real estate.

The target allocation is 15% each U.S. large-cap equity, international developed markets equity and private equity; 10% each U.S. smidcap equity and core real estate; 7.5% each core bonds and multisector fixed income; and 5% each long/short equity, emerging markets equity, absolute return and opportunistic real estate.