HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 04_11/03/2008B O G D A H N G R Q U P. C O M "' si»tplrfyiug your ittvesiynent and, fiduciary ~
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~stment Market Summary
quarter 2008
~f Confidence
events that are unfolding in the financial sector continue to generate a
h level of uncertainty in the global marketplace. Despite the headline
us on financial companies and their underlying securities (Lehman, AIG,
.), portfolio losses are widespread across most economic sectors and
.et classes. Regardless of the ultimate outcome, September 2008 will
tainly take its place in history with other periods of severe market
location where fear and volatility trump any consideration of the
ierlying current or future intrinsic value of a company or asset. The
ants of the Third Quarter resulted in the failure and/or restructuring of
Feral iconic names in the investment industry. The volatility and
;ertainty created by these headline events has caused governments and
netary authorities around the world to step in with a variety of programs
i funding solutions to address what can only be categorized as a
nplete shutdown of the credit markets as banks are increasingly uneasy
gut lending to one another. These collective efforts have resulted in the
test global policy response on record. While it is too early to evaluate
details of many of these programs and what the ultimate long-term
scts on the global marketplace will be, there appears to be a clear
nmitment to do whatever is necessary to return the world's financial
rkets to "normal."
>. equities experienced a dramatic and sharp reversal of sector
fiormance leadership from the June quarter. The S&P 500 posted
able digit losses in five of the ten economic sectors of the index, and was
ticularly hurt by previous market leadership groups as the Energy
4.7%), Materials (-22.5%) and Utilities (-18.0%) sectors suffered
~rmously. Despite grabbing much of the headline focus during the
arter, the Financials sector actually posted a positive result of +0.8%.
only other sectors that managed positive performance during the
arter were Health Care (+0.5%), and Consumer Staples (+4.8%). These
~ sectors are traditionally viewed as "defensive" equity plays and
eived favorable attention in the quarter's market disruption. Not
prisingly, results were negative across the capitalization spectrum for
nestic equity. In the board market area the Russell 3000 returned
7%, while the S & P 500, a proxy for large cap issues, posted a return of
4%. Value stocks posted stronger results at all capitalization levels
ative to growth with an average performance spread between the styles
more than 8%. At the composite level, the broad market Russell 3000
lue Index fell by -5.3% and the Russell 3000 Growth Index posted a loss
•11.9%.
rformance in the international equity markets was dominated by
aspects for declining global economic growth in the third quarter, as well
the impact of a worldwide credit crisis. As a result, the MSCI-EAFE
index declined sharply in both U.S. dollars (-20.5%) and local currer
(-13.0%). After years of positive contribution to diversified portfolio retun
the index now stands at a disappointing -28.9% for the year in U.S. dolla
The "decoupling" of the world's markets from the U.S. slowdown and t
"containment" of the sub-prime crisis are now merely distant memories
investor's minds. As the global markets came to grips with the developi
crisis, lack of investor trust has become prominent across borders. Mu
like the U.S. market bailout headlines, overburdened financial institutions
many European countries have resulted in the rescues of banks Dexia a
Fortis as well as the German lender Hypo Real Estate. In addition to t
effects of the global credit crisis, the significant decline and negati
sentiment for commodities exacerbated losses in emerging markets. T
MSCI Emerging Market Index returned -26.9% in US dollars and -20.8%
local currency. For the year, the Emerging Market Index has posted
return of -35.4% in U.S. dollars. As is evidenced by the differences in U
dollar versus local currency returns, the dollar managed to strength
during the quarter. This U.S. currency strength dilutes the performance
un-hedged international investments resulting in additional portfolio lossE
Prospects for changes in the relationship between interest rates in the U
and Europe led to further speculation that the U.S. currency may ha
bottomed following a six year decline.
Domestic Fixed Income markets, which are clearly at the epicenter of t
current crisis, continue to bear the brunt of the massive de-leveraging tl
is occurring in the global markets. Despite the mild -0.5% return posted
the Lehman Aggregate Index, high quality domestic bond investmen
other than investment in U.S. Treasuries, provided little opportunity to a
value. The quarter's massive flight to quality was notable in the drama
underperformance of corporate bonds for the quarter with the Lehm
Credit Index posting a decline of 6.5% vs. a gain of 1.9% for the Lehm
Treasury Index. U.S. Agencies, having recently received a full faith a
credit government guarantee, underperformed Treasuries by a mu
smaller 0.8% for the quarter as the Lehman Agency index returned +1.1'
Although inflation-protected bonds are directly linked U.S. Treasury issuE
sharply reduced inflation expectations and forecasts for slower econon
growth hurt the performance of inflation linked bonds (-3.5%). Structur
products such as asset-back-securities (ABS: -3.7%) and commerci.
mortgage-backed-securities (CMBS: -5.8%) also underperform
Treasuries on aduration-equivalent basis. During the quarter, concer
over "counterparty risk" became elevated. As a result, risk aversi
remains high, global in scope and carries major liquidity implications. T
tack of confidence in the global banking system's willingness to lend is be
depicted by Libor spreads, which have expanded to historically wide level
~~ ~ BOGD
`~ GR
estment Market Summary
Zuarter 2008
ny of a Market Crisis
nay appear at first glance that this cycle is identical to those of the past;
wever, a brief review of the composition of the market over the last
cade tells us that although the game may be the same, the rules and the
iyers have most definitely changed this time around. The massive use of
~erage by hedge funds and financial institutions during the last several
ars has been unprecedented in both size and scope, and will clearly
fine this cycle as markedly different than anything ever before witnessed
the global markets. Over the course of the last seven years, domestic
bt levels in the U.S. have risen by a staggering $21 trillion due to a
werful combination of an abnormally long period of low interest rates, a
~akdown of regulatory oversight, overly complacent lenders and
rrowers, and the mass creation of loosely regulated derivative
,truments by financial institutions. As the markets for these exotic
rivative contracts have ballooned to the hundreds of trillions of dollars in
:ent years, institutional investors along with large financial institutions
ve engaged in the practice of using massive leverage to concentrate
sir investment bets in select segments of the global markets. This activity
s caused investors and institutions to become entangled in a complex
b of leverage, debt and counterparty risk without the underlying assets
support the hazardous structures that have been created. These events
ve combined to create the classic signs of mania and speculation which
sled to the largest credit overshoot on record in the U.S. and developed
antries worldwide.
are currently witnessing the violent unwinding of this speculative credit
;le as financial markets around the globe are swept into a massive
=mpt among market participants to deleverage their investment portfolios
selling assets in order reduce outstanding debt. This has impacted all
~rkets and asset classes as leveraged investment strategies that relied
avily on concentrated bets are now being liquidated swiftly and
aotically. Over the recent past, we have observed markets and
actures, which took many years to create, essentially collapse upon
~mselves in a matter of days or weeks.
spite the "hour-by-hour" and "blow-by-blow" coverage of current market
ants, the structural unwinding of credit bubbles has historically been a
idual, multi-year workout, with governments and regulatory agencies
ng the many tools at their disposal to ensure an orderly deleveraging
~cess. It is important to remember that the unfortunate consequence of
deleveraging process, regardless of policy initiatives utilized to cushion
blow, is that asset prices must deflate across the board. Unfortunately,
> corrective process is agnostic to asset class, market sector or
ividual security. As a result, assets across all markets will be exposed to
this unwinding process, and investors of all sizes and risk tolerances will
touched to some extent. Although it is difficult at such an early stage in t
cycle to understand how this extraordinary financial crisis will ultimately
resolved, history tells us that the markets will stabilize in time.
The history of speculation and excess in the financial markets dates ba
centuries, providing countless examples of bubbles that ultimately bur
booms which end in bust, and investor manias that collapse up
themselves. Following more than a decade of credit excesses both in t
U.S. and abroad, the global financial system has now fallen victim to t
classic unwinding of a speculative debt bubble, and only in hindsight will
know the ultimate damage that will be sustained throughout this proce:
However, the most important lesson to be learned from this period, as w
as from the many others scattered throughout time, is that history rare
repeats itself and predicting the outcome of any financial crisis is a fu1
exercise. The unfortunate reality of extremes such as those we e
currently witnessing is that every market cycle is different in its nature a
characteristics, and attempting to forecast when or how the cycle v
reverse has always been an unproductive and unfulfilling endeavor 1
investors.
While it is fortunate that our institutional client base has managed to avc
a majority of the troubled areas of the market that have experienced tl
greatest magnitude of declines, no portfolio can be truly isolated frc
current events. However, wise investment policy decisions, proper ri
controls, and diversification continue to be the best way to mitigate portfo
impact. Therefore, as the pundits and strategists engage in heat
debates over the timing of market bottoms while trying to predict tl
madness of crowds, we will simply maintain our focus on guiding our clier
through this extraordinary time with sound investment policy contro
heightened diligence over investment managers, a disciplined approach
asset allocation decisions, and the maintenance of a long term perspecti
of the capital markets. Our primary goal as fiduciaries is to ensure that c
clients maintain a disciplined, long term approach to investing, and avc
the perils inherent in short-term decision making which almost alwa
yields a negative outcome.
THE
~ _.,~ BOGD
`- GR
The Market Environment
Asset Class Performance
Period Ended: September 30, 2008
Year-to-Date Market Performance
MSCI EAFE
:I Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russel 12000
!hman US Agg.
lhman US Gov.
nan MBS Fixed
iman US Credit
3mos. T-Bill
-35.0% -30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0%
Five Year Annualized Performance
MSCI EAFE
:I Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell 2000
!hman US Agg.
!hman US Gov.
nan MBS Fixed
iman US Credit
3mos. T-Bill
MSCI EAFE
MSCI Emerg. Mkts.
SB~P 500
Russe113000
Russell 1000
Russe112000
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed
Lehman US Credit
3mos. T-Bill
-40.0%
Ten Year Annualized Performance I
MSCI EAFE
MSCI Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell 2000
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed
Lehman US Credit
3mos. T-Bill
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 0.0%
~urce: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC.
-30.0% -20.0% -10.0% 0.0%
Quarter Performance
3.0% 6.0% 9.0% 12.0%
THE
~ ~ BOGD,
-~~~ GR
The Market Environment
Asset Class Performance
Period Ended: September 30, 2008
S&P 500 Sector Pertormance
as of 9/30/2008
ENERGY
MATERIALS
INDUSTRIALS
CONSUMER DISCR
CONSUMERSTAPLES
HEALTH CARE
FINANCIALS
INFORMATION TECH
TELECOM SVC
UTILITIES
-24.7%
-14.4%
-22.5%
-21.4%
-8.6%
-24.7%
-0.7%
-22.4%
4.8%
0.7%
0.5%
-12.2%
0.8%
-39.3%
-11.9%
-23.4%
-14.8%
-33.1%
^QTR
-18.0% 01 YR
-14.3%
~urce: Thompson Financial ~~ THE
`~,~~ BOGD,
GR~
The Market Environment
Asset Class Performance
Period Ended: September 30, 2008
Russell Ail Cap Style Performance
10
5
0
-5
-10
-15
-20
-25
-30
15
10
5
0
-5
-10
-15
-20
7.3
- -- - 5.7
4.0
3 5.9
8
- - _ --
0.2
0.3 - ----
0.2 -- ---
0.9 .
_ _
~ -5.3
-8.7
_ ____ _ _ _
18.8'17.8 _ _
-19.9 -20.6
-21.5 22:7
_ - _- ' ^3000 Growth ^3000 Index ^3000 Value
Qtr YTD 1yr Syr Syr 10yr
Small Cap Style Performance
9.5 10.1
8.2 7.8
6.6
5.0 4.7
1.5 1.8 2.0
-1.1
-5.4
-7.0
-10.4
-12.3 ^2000 Growth ^2000 Index ^2000 Value
-15.3 --..- -14.5 _ __ _ -
Qtr YTD 1 yr 3yr Syr 10yr
urce: Frank Russell Co. ~~ THE
BOGD~
~' ~ GR~
The Market Environment
Asset Class Performance
Period Ended: September 30, 2008
Growth vs. Value
Russell 1000 Excess Return Rolling 12 Month Periods
30.0%
zo.o%
io.o%
a.o %
-io.o%
-zo.o
-30 0
Style is In-Favor
1°j Q>p 4>~ 0~' 0~ Qp 0~ 0~O 0~ 00 0°j 00 0~ 0`l' p`5 pA 90 96 01 00 90 00 p~ Oti O`j OR 00 p0 O'1 p9
0V 0V 0V 0V 0~ 0V 0V 0G 0V 0V 0V 0V 0V 0~ 0~ 0v 0V 0G 0~ 0V 0V 0V 0V 0V 0V 0V 0V 0V 0u 0V
Q ~ ~ Q Q ~ ~ Q Q ~ Q Q ~ 0 Q 0 ~ ~ Q ~ ~ Q 0 ~ Q Q
TreasuryYield Curve
7
6
5
4
3
2
1
0
-X12/31/2007 -X6/30/2008 X9/30/2008
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
~urce: Frank Russell Co. & US Department of Treasury
~', r BOGD1
~- GR~
The Market Environment
Historical Bear Markets
Period Ended: September 30, 2008
Comparison of Strategies Through Historical Bear Markets as Defined by the S&P 500
•
The Great Depression
(1928-1935) ~
.
34 months
... _ .
Lost 76% • •
50 months Hold and Buy
More*
(Recovered In)
42 months
:.
• -
Gained 74%
World War II
(1939-1946)
31 months
Lost 30%
9 months
6 months
Gained 61
Oil Crisis
(1972-1976)
21 months
Lost 44%
21 months
7 months
Gained 38%
Crash of 1987
(1987)
3 months
Lost 30%
18 months
7 months
Gained 23%
Gulf War Crisis
(1990-1991)
4 months
Lost 15%
5 months
2 months
Gained 33%
Technology Bubble
(2000-2002)
25 months
Lost 45%
49 months
16 months
Gained 24%
'Added Investment of Equal
Amount
rrce: Ibboston Associates Yearbook & Zephyr Assoiciates
~~ BOGDA
GRc
Total Fund
September 30, 2008
June 30, 2008: $4,356,553 Selrtember 30, 2008: $4,244,973
nts Market Value Allocation Segments Market Value Allocati
~$) (%) ~$~ ("~o)
2,450,468 56.2 ^ Equity 2,187,326 51.5
tic Fixed Income 1,437,898 33.0 ®Domestic Fixed Income 1,663,822 39.2
quivalent 468,187 10.7 ^ Cash Equivalent 393,825 9,3
~~,~~ BOGD,
`_~. Gx
Total Fund
September 30, 2008
June 30, 2008: $4,356,553
Market Value Allocation
~$) (%)
l Capital Advisors Balanced Account 4,356,553 100.0
September 30, 2008: $4,244,973
Manager Market Value
~$ )
^ Rockwood Capital Advisors Balanced Account 4,244,973
Ally
~~ THE
.,r BOGDE
GR~
Tequesta Public Safety Officers'
Total Fund
October 1, 2007 To September 30, 2008
9/07 10/07 11/07 12/07 1/08 2/08 3/08 4/08 5/08 6/08 7/08 8/08 9/08
y Q Domestic Fi~aed Income ~ Cash Equivalent
THE
BOGD
GR
Tequesta Public Safety Officers'
Comparative Performance Trailing Returns
As of September 30, 2008
Fund (Net)
3.83 N/A 05/01/
x.99 N':~
0.84
N/A
Fund (Gross) -7.52 -11.34 -11.34 0.90 2
14 4
37 OS/O1/:
'und Police -5.50 -I?.46 -1.46 -0.97 .
1.89 .
x.99
once -2.02 1.12 1.12 1.87 0.25 1.38
Equity Portfolio -13.08 (90) -21.39 (52) -21.39 (52) -2.07 (23) 0.35 (58) 4.31 N/A OS/O1/:
)0 -8..,7 (;91 -? I.98 (651 -_' I .98 (651 -4.68 (661 0.~'' ((i6) '._' I N :1
nce -4.71 0.59 0.59 2.61 0.13 2.10
re/Large Cap Equity (SA+CF) Median -9.01 -21.31 -21.31 -3.95 0.70 N/A
tic Fixed -0.82 (38) 3.55 (40) 3.55 (40) 4.73 (35) 4.45 (33) 4.19 N/A OS/O1/:
lntermcdiatr Bond Indc~ -1.19 148) 3.1_~ (~0) ~.I ~ (~01 1."_'8 (~I) 4.U~ (55) ,.77 N:1
nce 0.37 0.42 0.42 0.45 0.42 0.42
,rmediate Fixed Income (SA+CF) Median -1.27 3.09 3.09 4.28 4.08 N/A
nods greater than one year are annualized. ~ THE
pressed as percentages. ~ ~ B~GD~
.~ GRc
~und Police -5.50 (13) -12.46 (?5) -12.46 (25) -0.97 (25) 1.89 (21)
'nce -2.14 0.66 0.66 1.35 -0.30
-Asset Target Alloc Moderate Funds (MF) Median -8.04 -14.55 -14.55 -2.49 0.62
Tequesta Public Safety Officers'
Comparative Performance Fiscal Year Returns
As of September 30, 2008
'otal Fund (Net) 14.24 (l6) 4.07 (95) N/A N/A N/A
otal Fund Police 13.03 (~l~t) 7.88 (-101 N;.A N.~1 NA
Difference 2.22 -3.81 N/A N/A N/A
fixed-Asset Target Alloc Moderate Funds (MF) Median 11.55 7.25 9.54 9.40 15.67
otal Fund (Gross) 14.82 4.67 N/A N/A N/A
otal [~und Police 13.03 7.88 NA N;,4 N'~~
Difference 2.80 -3.21 N/A N/A N/A
Total Equity Portfolio 21.99 (9) 5.38 (96) N/A N/A N/A
S~1P500 IG.-l~4 (57) 10.79 (-49) 13.35 (82) 1;.87 (CO) 3-1.40 (-411
Difference 5.55 -5.41 N/A N/A N/A
US Core/Large Cap Equity (SA+CF) Median 16.60 10.78 14.44 14.28 23.99
Domestic Fixed 5.93 (8) 3.88 (44) N/A N/A N/A
LBGC' Bond Inlet 5.08 IGII ~.~~ (9O 3.56 (90) ;.;5 BO) 6.51 (36)
Difference 0.85 0.55 N/A N/A N/A
US Broad Market Core Fixed Income (SA+CF) Median 5.16 3.85 3.10 3.78 5.79
:nods greater than one year are annualized. THE
cpressed as percentages. ~ B~GD
GA
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
September 30, 2008
Market Value
As of Net
Transfers Contributions Distributions Fees Expenses Income Capital n
6/30/2008
:olio (Net) 4,357 _ 242 Apprec./ Deprec.
-6 "7 27
-368
Market Value
As of Net
9/30/2007 Transfers Contributons Distribufions Fees Capital N
Expenses Income
olio (Net) 4,285 Apprec./ Deprec.
- 550 -21 -23
-24 126 -648
10.0
-10(i ~~
i
-20.0
1
~ ~ i
I Oct-2007 1 2 3
Quarter To fear 4 5
Sep-2008 Fears Years Years Years
rtfolio (Net) -7.6 (42) -1 LS (22) -I 1.8 (22) 0.4 (l l) 1.G (26) N/A N/A
'iry -5.5 (13) -125 (25) -125 (25) -L0 (25) 1.9 (2]) N/A
N/A
-8.0 -14.6 -14.6
-2.5 0.6 2.7 3.9
.v tnc~~
Alloc Moderate Funds (MF) Median
Cumulative Performance
RII4Z
$120.1
$115.(
$1100
$105.0
$ 100.0
1
Quarter I
Quarter
I
Quarter
1
I
Ending Endin
, Quarter Quarter
lun-2008 ~Iar-2008 Dec 2
007 Ending Ending
1.93 (2)
-5.71 (61)
-0.64 (39) Se 2007 .lun-2007
(81)
(34)
5
-0.84 (50) 4.16 2
(~
1.89 (90)
-1.03 _
.40
-0
85 2.40 (32) 3.70 (27)
. 1.93
3.07
Quan
Endi~
dar-2~
4.0~
1.0'
1.71
~~ _ BOGDA
`~_ GRc
~•~~ ~r vu 11/U6 9/07 9/
~To[al Fund Portfolio (Net) -~-Total Fund Policy
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
September 30, 2008
nn
zs.o ~ -
z
so.o-~ _ _.,.__._, _,_ ... ._- ,. .,
a
~ ~s.o
loocl
12/0; lz/o4 lz/os lz/oG 12/0
Total Period 5-25 2S-Median Median-75
Count Count Count
^ Total Fiord Portfolio (Net) 20 0 (0%) 2 (]0°/) 1 (5%)
ter Performance f- Over Pe~iotmance ->~- Mar-2008 • Sep-2008 ~' Total Fund Policy 20
~ 1 (5 %) 1 (5%) 0 (O io)
1
10.0
7.5
5.0
e 2.5
~ 0.0
`
e
-2.5
~-.. - --r--- -5.0
G.0 8.0 10.0 I20 14.0 3.0 4.5 GO 7.5 9.0
Risk (Standard Deviation %) Risk(Sta ndard Devi ation'% )
Return Sta ndard Deviation Return Standard Deviation
^ Total Fwrd Portfolio (Net) L6 72 ^ Total Fuud Portfolio (Net) N/A N/A
Total Fund Policy 1.9 6.8 ^ Total Fund Policy N/A N/A
- D9edian 0.6 7.G - Median 3.9 7.0
Tracking [Jp Down Sharpe D~
Error Market Market Alpha IR Rafio Beta
Capture Capture
io (Net) 3.82 96.66 99.18 -0.05 -0.07 -031 0.89
0.00 100.00 100.00 0.00 N/A -029 I.00
Tracking tip Down Sharpe Di
Error Market Market :11pha IR Ratio Beta
Capture Capture
in (Net) N/A N/A N/A N/.A N/A N/A N/A
N/A N/A N/A N/.A N/A N/A N/A
~~ THE
`M,~~ BOGD
GR
2.0 4.0 6.0 R.0
Total Fund Policy ('% )
Tequesta Public Safety Officers'
Total Equity Portfolio
September 30, 2008
Market Value Capital Ma
As of Transfers Contribufions Distributions Fees Expenses Income A rec.! De
6/30/2008 pp prec. 9
olio 4,357 - 242 - -6 -7 27 -3G8
~ ~ t 1 ,
Market Value Capital Ma
As of Transfers Contributions Distributions Fees Expenses Income
9/30/2007 Apprec./ Deprec. 9
rlio 4,285 - 550 -21 -23 -24 126 -648
Cumulative Performance
1 Oct-2007
Quarter To
Sep-2008
ortfolio -13.1 (90) -21.4 (52)
-SA (39) -22.0 (GS)
1 2
Year Years
-2 L_4 (52) -2.1 (23)
-22.0 (65) -4.7 (G6)
3 4
Years Years
03 (58) N/A
0.2 (66) 3.1 (83)
$130.0
$120.0
_j $ 110.0
5
Years
N/A
5.2 (83) $1000
-9.0 -213 tel. ~
~' -4.0 0.7 4.1 6.0 Total Equity Portfolio ---~» SRcP 500
1
1
1
1
1
I
1
Quarter Quarter Quarter Quarter
Quarter
Quar
Ending Ending Ending Ending Ending Endii
.lun-2008 Mar-2008 D_ ec-2007 Sep-2007 .lun-2007 Mar-2
Folio 4.88 (3) -11.29 (87) -2.80 (48) 5.21 (6) 3.48 (96) 6.1
-2.73 (83) -9.45 (47) -3.i3 (GG) Z.03 (4G) 6.28 (49) O.G
Equity (SA+CF) Median -L25 -9.48 -2.SR 1.9G G.27 1,1
~~ TtIF
BOGDE
~- „ GR~
3/05 12/05 9/OG 6/07 3/08 9
Tequesta Public Safety Officers'
Total Equity Portfolio
September 30, 2008
S&P 500 ('% )
iderPerfomance fOverPe~formance Mar-2008
15.0
12.0
9.0
e
~ 6.0 -
e
3.0
0.0
l2/04 l2/OS 12/06
Total Period 5-25 25-Median
Count Count
20 l (5%) 0 (0%)
20 0 (0%) 0 (0%)
12/07
Median-75
Count
2 (10%)
14 (70%)
5.0 10.0 15 0 20.0 25.0 0.0 5.0 I0.0 I5.0 20.0
Risk (Standard Deviation'%) Risk (Standard Deviation %.)
Return Standard Deviation Return Standard Deviation
^ Total Equity Portfolio 0.3 12.7 ^ Total Equity Portfolio N/A N/A
® S&P 500 0.2 (0.4 m S&P 500 5.2 (0.4
- Median 0.7 10.6 -Median 6.0 10.6
Tracking [7p DOW° Sharpe Da
Error Market Market Alpha IR Ratio Beta
Capture Capture
olio 6.53 105.93 104.08 0.34 0.05 -0.23 098
0.00 100.00 100.00 0.00 N/A -0.29 I.O0
Tracking 1~P Down Sharpe Do
Error Market Market Alpha IR Rafio Beta
Capture Capture
>lio N/A N/A N/A N/A N/A N/A N/A
0.00 100.00 100.00 0.00 N/A 0.24 L00
o.o
r 25.0
e 50.0
v
a
75.0
0
i
a
loo.o
12!0 i
^ Total Equity Portfolio
~ Sep-2008 ~ S&P 500
~~ BOGD
GR
-z.o I o a.o 7.o I o n
Tequesta Public Safety Officers'
Total Fixed Portfolio
September 30, 2008
Market Value
As of Net M1I
Transfers Contributions Distributions Fees Expenses Income Capital
6/30/2005 Apprec./ Deprec.
olio 4,357 - 242 _ 6
"7 27 -36R
Market Value
As of Net M
Transfers Contributions Distributions Fees Expenses income Capital
9/30/2007
dio 4.285 Apprec./ Deprec. ~
- 550 -21 -23 -24
I26 -G48
1 Oct-2007
Quarter To
Sep-2005
rtfolio -QS (38) 3.5 (37)
idex -1.6 (56) 2.4 (53)
-l.4 2.C,
Cumulative Performance
$ns.o
$ I t o.o
$IOS.o
$100.0
$95.0
I2/O6 9/07
-Total Fixed Portfolio ~~--LBGC Bond index
1
Quarter
Ending 1
Quarter
Endin
1
Quarter
1
Quarter
1
Quarter
1
Quan
.tan-2008 Mar-2005 Dec2007 n~ Ending Endi~
io -1.48 S7
119)
3.19 (20) Se
2007 •lun-2007 Mar-2i
-1.5] (89) 253
(2~)
3
10 (26) 3.23 (10) -0.2fi (1.5) 1,6!
>re Fixed Income (SA+CF) Median -0.95
t 98 . 3.U1
(25)
-0.49 (45)
14•,
2.88 2.84 -0.51 i v
r~ rHF
BOGDA
`~~a. GRc
1 2
Year Years
3.5 (37) 4J (23)
2.4 (53) 3.7 !52)
2.G 3.9
3 4
Years Years
4.4 (20) N/A
3.6 (56) 3.3 (64)
3.8 3.6
5
Years
N/A
3.3 (69)
3.7
Tequesta Public Safety Officers'
Total Fixed Portfolio
September 30, 2008
der Perforrrnnce ~ Sep-2008 ~ Sep-2008
3.0 4.5 6.0 7.5
Risk(Standard Deviation'% )
Return Standard Deviation
^ Total Fixed Portfolio 4.4 3.2
® LBGC Bond Index 3.G 3.7
- Median 3.8 33
a on
a 25 u {
d
u ._ •-
a`
a
0 7;u
v
K
~ ,.
12/03 12/04 I2I05 12/06 12/07
Total Period 5-25 25-Median Median-75
Count Count Count
^ Total Fixed Portfolio 20 2 (l0%) 0 (0°0) 0 (0°'0)
LBGC Bondlndex 20 0 (0%) 8 (40°0) 4 (20%)
'
^
t
G.0
50
40
e 3.0
20
0
C IO
0
0 -
.
9.0 2.0 3.0 4.0 5.0 G.0
Risk(Standard Deviation % )
Return Standard Deviafion
^ Total Fixed Portfolio N/A N/A
O LBG(' Bond Index 3.3 4.0
V(cJiuu 3.7 3.5
Tracking lip Down Sharpe D~
Market Market Alpha IR Beta
Error Capture Capture Ratio
dio L03 9030 51.05 1.59 0.77 0.13 0.78
~ 0.00 100.00 100.00 0.00 N/A -0.15 1.00
Tracking llp Down Sharpe D~
Error Market Market Alpha IR Ratio Beta
Capture Capture
lio N/A N/A N/A N/A N/A N/A N/A
c 0.00 100.00 100.00 D.00 N/A 0.07 L00
~~ THE
`;~- BOGD
GF
3.4 3.8 4.2 4.6 5.0
LBGC Bond lodes (% )
Tequesta Public Safety Officers'
Total Fund
As of September 30, 2008
~~
Effective Date: Apr-2005
S&P 500 Index 60.00
LBGC Intermediate Bond Index 40.00
'~'~ THE
~ ~ BoGR
~-
Statistics Deifinitions
Statistics Description
return -- Compounded rate of return for the period.
Standard Deviation -- A statistical measure of the range of a portfolio's performance, the variability of a return around its average return over a
specified time period.
Sharpe Ratio -Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is
the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance.
Alpha -- A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured
by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's
non-systematic return.
Beta -- A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or
systematic risk.
Z-Squared -- The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Square means a
higher correlation of the portfolio's performance to the appropriate benchmark.
['reynor Ratio -- Similar to Sharpe ratio, bttt focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over
the risk free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the
product's historical risk-adjusted performance.
downside Risk -- A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by
taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product.
['racking Error -- A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market
benchmark.
nfotmation Ratio -- Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added
contribution by the manager.
consistency -- The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency
figure, the more value a manager has contributed to the product's performance.
3xcess Return -- Arithmetic difference between the managers return and the risk-free return over a specified time period.
fictive Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period.
3xcess Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return.
1p Market Capture -The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate
better product performance.
down Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate
better product performance.
Calculation based on monthly periodicity. ~._ TrIE
' l BOGD
GA