Oklahoma Police returns 1.9% for fiscal year

Oklahoma Police Pension & Retirement System, Oklahoma City, posted a preliminary net return of 1.9% for the fiscal year ended June 30, according to the $2.6 billion pension fund's latest investment report.

The return falls short of the policy benchmark of 4.4%.

The less-than-optimal performance was due to the pension fund's long/short equity allocation, which "brought us down," said Ginger Sigler, executive director, in an email.

"We have been working for the past six months to lower that allocation and change the way that it works," Ms. Sigler said.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 4.8%, 4.9% and 7.3%, respectively, below the three-, five- and 10-year respective benchmarks of 6.2%, 6% and 8.5%.

The pension fund returned a net 4.2% for the fiscal year ended June 30, 2019.

Specific asset class return information was not provided, but broad fixed income returned 3.8% for the fiscal year ended June 30, below its policy benchmark of 7.9%; equities returned 2.75%, above its policy benchmark of 2.6%; and real assets returned 0.22%, above its policy benchmark of -3.8%.

As of June 30, the actual allocation was 19.2% domestic large-cap equities, 10.7% multisector fixed income, 10.4% international developed markets equities, 10.2% core real estate, 9.9% core bonds, 8.8% long/short equities, 8.4% private equity, 6.3% each absolute return and domestic small/midcap equities, 5% emerging markets equities, 2.4% opportunistic real estate, 0.9% other, and the rest in cash and equivalents.

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