Performance Analytics · The complete picture
"Performance" is not one number. For a public fixed-income pool it is a dozen-plus distinct measurements — yield, total return, duration, mark-to-market, risk-adjusted, peer-relative. Here is every lens the data supports, every one it doesn't, and why the difference matters.
The complete metric catalog
Every performance, risk, liquidity, credit, and income metric used to evaluate a pool like this — with Alameda's actual value where the public data allows, and an honest flag where it doesn't. The gaps are not ours; they are what the County's reporting omits.
| Data? | Metric | What it captures | Alameda |
|---|
Lens 1 · Return, five ways
Book yield, yield-to-maturity at market, the cash-basis effective rate of return, and the stated benchmark all describe the same portfolio — and diverge by more than a full point in places. Which one a reader sees shapes the entire story.
Fiscal year-end. All in %. The County leads with book yield; total return — the economic figure — is not published.
Lens 2 · Book vs. market — what book yield hides
Subtracting book value from market value reveals the unrealized gain or loss the book-yield report never shows. As rates spiked, the pool's market value fell $204M, $235M, and $109M below cost in FY2022–FY2024 — an economic reality invisible in a 3–4% book yield. It has since recovered to a small gain.
Bars: market value minus book value ($M). Line: market ÷ book (a "price" of the pool).
To its credit, the County reports unrealized gain/loss and NAV. But it never combines price change with income into a total return. Book yield read a placid 3–4% while the pool's NAV ratio sat at 0.976 in FY2022–23 — worth ~2.4% less than its carrying value. Total return reconciles the two; no peer pool publishes it.
A reported total return would have shown the FY2022–23 dip and the recovery. Book yield alone showed neither.
Lens 3 · Benchmark-relative
The County's benchmark variance was positive for three years, then −54 and −84 basis points in FY2023–FY2024. The monthly report keeps plotting book yield against ICE BofA indices — but it compares book yield, not total return, and against Treasury indices that don't match the holdings. A proper evaluation re-runs this on a total-return basis against a duration-matched index.
Book yield minus the stated benchmark, basis points (FY2020–FY2024 shown).
Lens 4 · Risk & risk-adjusted return
Reward should be judged against risk. Alameda carries the longest weighted-average maturity of its cohort (842 days) yet earns less book yield than peers running a third of that duration. Yield-per-year-of-duration — return per unit of rate risk — has fallen by half since FY2023.
Each point is a fiscal year: duration (WAM, days) vs. book yield. The path shows the pool extending maturity as it chased yield.
Book yield ÷ WAM-in-years — return earned per unit of interest-rate risk.
Lens 5 · Interest-rate sensitivity, liquidity & income
Est. market-value change at ±100 / ±200 bps (duration ≈ 2.0 yr × $10.6B)
From the pool's reported effective duration (1.55 yr at 3/31/26) × value. Agency-callable convexity would dampen the upside; precise key-rate impacts need holdings-level data.
Share maturing in each band (FY2024 audited)
FY2024 total investment income, $M
Lens 6 · The recommendation, in action
Here is the missing number, reconstructed: the pool's estimated total return (income + price change) against the ICE BofA 1–3yr U.S. Treasury index. The story it tells is the opposite of damaging — book yield understated the pool in FY24–FY25, the longer-duration posture has been paying off, and the FY22 drawdown shows honestly. That is exactly why the County should publish it.
Annual %, fiscal year. Total return and the ≈fiscal-year index are HSG reconstructions (reported book values, market values, and the ICE BofA 1–3yr Treasury index); the recommendation is for the County to compute and report this directly.
The bottom line
Of the forty-one ways to measure this pool, the County's reporting is actually relatively strong — it publishes book yield, effective duration, WAM, unrealized gain/loss, NAV, and credit quality. The decisive gap is the one metric no peer pool publishes either: a mark-to-market total return against a named index. Closing it is the heart of the recommendation.
Every measure on this page is reproducible from the public record. The County's report shows a handful; an independent evaluation shows them all — and reconciles them.
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