HomeMy WebLinkAboutDocumentation_Pension General_Tab 03_02/02/2009w~ s t is Y
,. ~
Village of Tequesta
General Employees'
Pension Plan
Quarterly Review
4th Quarter 2008
W W fir. B ~ C: n A F{ N C_. R ~ lJ P. C U rvi sirnplrfyiug your invesrinent and fttluc~r y decisions
The Market Environment
4th Quarter 2008
A Time to Remember a Quarter to Forget
Unfortunately for long-term investors, the 4`" quarter of 2008 is destined to
be analyzed in a negative historical context well into the future as many of
the world's economic ills seemed to crescendo into a global economic
crisis. Although we are all familiar with negative returns in investment
portfolios, very few of us have experienced such steep declines in value
across a broad set of equity asset classes in a short period of time.
Despite much of the bond market remaining mired in a dysfunctional
trading environment, fixed income investments reversed last quarter's
negative results and served as a buffer against the negative performance
experienced in equity portfolios. On the economic front, although it didn't
come as a revelation to market participants, during the quarter the NBER
(National Bureau of Economic Research) announced that the U.S. officially
entered a recession back in December of 2007.
U.S. equities experienced dramatic declines during the 4'h quarter.
Although each of the equity indices we track was moderately positive for
the month of December, the negative performance experienced during
October and November would serve to cast the quarter's results among the
worst on record. The Russell 3000 broad market index posted a return of
-22.8% for the quarter, which was representative of the level of negative
performance that most equity investors experienced during the period.
There were very few places to hide as nine of the ten economic sectors of
the Russell 3000 index posted returns of greater than -10% for the quarter.
On a relative basis, sector performance was led by telecommunications
services, which posted a return of -5.3%, but only represented 3.5% of the
index at the end of the quarter. The largest declines were represented by
materials, consumer discretionary, financials and information technology
sectors, each of which were down more than -25% for the quarter.
In the large cap space, the S&P 500 and Russell 1000 posted returns of
-21.9% and -22.5% respectively. The limited safety that some investors
may have perceived in larger cap names could account for the weaker
-27.3% return of the Russell MidCap Index and the small cap Russell 2000
index's return of -26.1% for the quarter. Although value investments
managed to outpace growth style benchmarks at each capitalization level,
there was not much disparity in absolute results between the two styles as
returns were universally disappointing. At the composite level, the broad
market Russell 3000 Value Index fell by -22.4% with the Russell 3000
Growth Index posting asimilar -23.2%. Large cap issues, as measured by
the Russell 1000 index, returned -22.2% for Value and -22.8% for Growth.
In the narrowest spread of the quarter, the Russell MidCap Value index
returned -27.2% vs. -27.4% for the Russell MidCap Growth index. Small
cap issues represented the largest style-based performance band for the
quarter with the Russell 2000 Value index returning -24.9% and the Russell
2000 Growth index returning -27.5%.
Page 2 of 27
The concept of the world's market "decoupling" from the weakness of the
U.S. economy was certainly an attractive prospect for domestic investors
committing assets to international markets. Unfortunately, the idea,
whether overestimated or simply wrong, did not materialize to shield
international results from negative performance. The MSCI-EAFE index
declined sharply during the quarter in both U.S. dollars (-19.9%) and as
measured in local currency (-18.5%). Although not as significant as some
recent quarters, the U.S. dollar's broad strength and perceived safety
benefitted hedged international portfolios. Within the 21 country index,
Japan, one of the heaviest weighted in the index, and also considered a
safe haven currency, was the best performing country with a return of
-9.0% for the quarter. Other major countries in the index including the
United Kingdom, France, and Germany, were each down in excess of
-25%. The index also had a handful of countries down more than -40%
(Austria, Greece, Ireland and Norway). Much like the domestic style
indices, there was little disparity among international style results during the
quarter with the MSCI-EAFE Value index returning -19.7% and the MSCI-
EAFE Growth index posting asimilar -20.1%. Beyond the developed
countries of the MSCI-EAFE index, the MSCI Emerging Market Index
returned -27.6% in U.S. dollars and -22.0% in local currency. For the year,
the Emerging Market Index posted the weakest performance among the
world's major equity indices with a return of -53.2% in U.S. dollars.
Although far from functioning normally, the government and monetary
authorities of the world worked in tandem to bolster the world's credit and
financial systems during the quarter. This unprecedented level of
intervention was necessary to assure market participants that the world's
markets remained "functional", although arguably still on life support. Aided
by aggressive Federal Open Market Committee (FOMC) and Treasury
maneuvering in the form of a near -0% Fed funds rate and at least a dozen
targeted relief programs, domestic fixed income markets managed to post
positive results for the quarter. Marking the end of an era, the Lehman
Aggregate index was renamed the Barclays Capital Aggregate index during
the quarter and posted a return of 4.6%. Much like last quarter,
government obligations led the way with a Barclays Government index
returning 8.1% for the quarter. Although many of the government's
programs may have long-term inflationary consequences, the -3.5%
performance of the Barclays TIPS index illustrates that inflation is not a
near-term concern for investors. Outside of government issues, the
Barclays Mortgage index returned 4.3% for the quarter; and the proxy for
corporate bonds, the Barclays U.S. Credit index, posted a return of 4.0%.
Perceived risks were clearly evident outside of investment grade issues
with the Merrill Lynch High Yield Master II index returning -17.6% for
quarter.
~~ THt,
l BOGDAHN
GROUP
The Market Environment
Major Market Index Performance
Period Ended: December 31, 2008
Quarter Performance ~ Year-to-Date Performance
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russe113000
Russe111000
Russell MidCap
Russe112000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill
4.6
at%
4.3
a.o %
i
o.z %
-40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0%
Five Year Annualized Performance
MSCIEAFE
MSCI Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill ~ ~ -, ~ z•' ~ I
-75.0% -60.0% -45.0% -30.0% -15.0% 0.0% 15.0% 30.0%
Ten Year Annualized Performance
1.2
9.3
-t.a %
A.8
-~.~%
3.2
3.0
6.6
s.2 %
s.o %
4.9
3.5
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill
-4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% -3.0%
Source: MSCI Capdal Markets. Russell Investments, Barclays Capital & Bogdahn Consulting, LLC.
3mos. T-Bill
0.0% 3.0% 6.0%
9.0% 12.0%
~~ THF,
BOGDAHN
GROUP
Page 3 of 27
The Market Environment
Long-Term Major Market Index Performance
Period Ended: December 31, 2008
Fifteen Year Annualized Performance ~ Twenty Year Annualized Performance
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill
_ 3.88
2.73 %
s.as %
6.38
6.47
7.70 %
5.89
16.18
8.60
~ s.44 %
4.04
0.00% 2.00% 4.00% 6.00% 8.00% 10.00%
Twenty-Five Year Annualized Performance
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays USAgg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
MSCIEAFE
MSCI Emerg. Mkts.
S&P 500
Russe113000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill
9.40
12.40
8.83
8.99
6.38
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 0.00%
Source: MSCI Capital Markets, Russell Investments, Barclays Capital & Bogdahn Consulting, LLC.
3mos. T-Bill
MSCIEAFE
MSCI Emerg. Mkts.
S&P 500
Russel 13000
Russel 11000
Russell MidCap
Russel 12000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays US Credit
3mos. T-Bill 4.56%
0.00% 2.00°/ 4.00% 6.00% 8.00% 10.00% 12.00%
Thirty Year Annualized Performance
3.00% 6.00% 9.00% 12.00% 15.00%
~~ THE
BOGDAHN
GROUP
Page 4 of 27
The Market Environment
Russell Style Index Performance
Period Ended: December 31, 2008
Quarter Performance ~ .Year-to-Date Performance
3000 Value
30001ndex
3000 Growth
1000 Value
10001ndex
1000 Growth
MidCap Value
MidCaplndex
MidCap Growth
2000 Value
20001ndex
2000 Growth
-35.0% -30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0%
Five Year Annualized Performance I
3000 Value
30001ndex
3000 Growth
1000 Value
10001ndex
1000 Growth
MidCap Value
MidCaplndex
MidCap Growth
2000 Value
20001ndex
2000 Growth
-z.o %
-2.0 %
o.s %
-2.3
o.s %
-z.a %
-a.0% -3.0% -2.0% -1.0% 0.0% 1.0%
Source: Russell Investments
3000 Value
30001ndex
3000 G rowth
1000 Value
10001ndex
1000 Growth
MidCapValue
MidCaplndex
MidCap Growth
2000 Value
20001ndex
2000 G rowth
-50.0% -40.0% -30.0% -20.0%
Ten Year Annualized Performance
3000 Value
30001ndex
3000 Growth
1000 Value ~•4~
1000 Index -~.~
1000 Growth -0.3%
MidCap Value a.a%
MidCaplndex 3.z%
MidCap Growth -o•z%
2000 Value 6•~
20001ndex s.o%
2000 Growth -o•$
-6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0%
~~ TFIF,
BOGDAHN
GROUP
Page 5 of 27
-10.0% 0.0%
The Market Environment
4t" Quarter & Year-to-Date GICS Sector Performance & (Year-End Sector Weight)
Period Ended: December 31, 2008
oQTp-I Energy (12.1%)
Materials (3.4%)
Industrials (11.7%)
Consumer Disc (9.1%)
Consumer Staples (11.4%)
Health Care (14.5%)
Financials (14.6%)
Info Technology (15.4%)
Telecom Services (3.5%)
Utilities (4.4%)
Russe113000
~QTp Energy (12.8%)
Materials (3.3%)
Industrials (11.2%)
Consumer Disc (8.9%)
Consumer Staples (12.0%)
Health Care (14.5%)
Financials (13.8%)
Info Technology (15.4%)
Telecom Services (3.6 % )
Utilities (4.4%)
Russell 1000
-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0%
Rusell MidCap
-40.9
^YTD Energy (6.8%) sa.t %
Materials (5.4%) 3t.a%
4o.s %
Industrials (13.0%) -za.1 i
-42.8%
Consumer Disc (15.4%) 3o.a%
46.3
Consumer Staples (7.0%) -zo.t i
-28.6
Health Care (9.1%) -24'21
33.2 %
Financials (18.8%) -z9.ai
42.6°
Info Technology (12.8%) -27'7%
46.2
Telecom Services (2.2%) -za.t^r, l
42.3
Utilities (9.5%) -11.6
-33.2
-65.0% -55.0% -45.0% -35.0% -25.0% -15.0% -5.0%
Source: Thompson Financial
-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0%
Russell 2000
oQTR Energy(4.4%) 4s.6/
O YTD -50.5
Materials (3.7%) -26'0%
39.t
Industrials (16.9%) -23.5%
-xs.s%
Consumer Disc (11.0%) -36.2%
47.8
Consumer Staples (3.9%) -1a.s i
-t fi.o%
Health Care (15.3%) -zt.t i
-29.3
Financials (23.4%) -20'9
-23.5
Info Technology (15.8%) 29.5 i
43.8
Telecom Services (1.2%) -za.oi
4s.7 %
-8.1
Utilities (4.4%) -11.0%
-60.0% -50.0% -4010% -30.0% -20.0% -10.0 % 0.0%
~~ l H t:
BOGDAHN
GROUP
Page 6 of 27
The Market Environment
Domestic Credit Sector & Broad Market Maturity Performance & Rate Comparison
Period Ended: December 31, 2008
Quarter Performance Year-to-Date Performance
AAA
AA
A
BBB
<BBB
1-3 Yr
1-5 Yr
1-10 Yr
10+ Yr
AAA
AA
A
BBB
<BBB
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0%
2008 Market Rates
6.00
~ Fed Funds Rate -TED Spread -3-Month Libor
5.00
4.00
3.00
2.00 ~,.__ .__ __ .._._.._
~I
l.oo ~ --,
i
0.00
Jan-08 Dec-08
Source: Merrill Lynch ,Mortgage-X.com & US Department of Treasury
Page 7 of 27
1-3 Yr ' as i
1-5 Yr s.t i
1-10 Yr ' Ss
10+ Yr ea i
-35.0% -30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0%
Treasury Yield Curve
6.00
5.00
4.00
3.00
2.00
1.00
0.00
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
~~ T'Ht:
BOGDAHN
GROUP
The Market Environment
US Business Cycle Expansions and Contractions
Period Ended: December 31, 2008
December 1854 (IV) -- -- -- --
June 1857(11) December 1858 (IV) 18 30 48 -
October 1860(111) June 1861 (III) 8 22 30 40
April 1865(1) December 1867 (I) 32 46 78 54
June 1869(11) December 1870 (IV) 18 18 36 50
October 1873(111) March 1879 (I) 65 34 99 52
March 1882(1) May 1885 (II) 38 36 74 101
March 1887(11) April 1888 (I) 13 22 35 60
July 1890(111) May 1891 (II) 10 27 37 40
January 1893(1) June 1894 (II) 17 20 37 30
December 1895(N) June 1897 (II) 18 18 36 35
June 1899(111) December 1900 (IV) 18 24 42 42
September 1902(IV) August 1904 (III) 23 21 44 39
May 1907(11) June 1908 (II) 13 33 46 56
January 1910(1) January 1912 (IV) 24 19 43 32
January 1913(1) December 1914 (IV) 23 12 35 36
August 1918(111) March 1919 (I) 7 44 51 67
January 1920(1) July 1921 (III) 18 10 28 17
May 1923(11) July 1924 (III) 14 22 36 40
October 1926(111) November 1927 (IV) 13 27 40 41
August 1929(111) March 1933 (I) 43 21 64 34
May 1937(11) June 1938 (II) 13 50 63 93
February 1945(1) October 1945 (IV) 8 80 88 93
November 1948(IV) October 1949 (IV) 11 37 48 45
July 1953(11) May 1954 (II) 10 45 55 56
August 1957(111) April 1958 (II) 8 39 47 49
April 1960(11) February 1961 (I) 10 24 34 32
December 1969(IV) November 1970 (IV) 11 106 117 116
November 1973(N) March 1975 (I) 16 36 52 47
January 1980(1) July 1980 (III) 6 58 64 74
July 1981(111) November 1982 (IV) 16 12 28 18
July 1990(111) March 1991 (I) 8 92 100 108
March 2001 (I) November 2001 (IV) 8 120 128 128
December 2007 (IV) ? ? 73 81
AVERAGE, ALL CYCLES
Page 8 of 27
Source: NBER
1854-2001(32 cycles) 17 38 55 56'
1854-1919(16 cycles) 22 27 48 49'"
1919-1945(6 cycles) 18 35 53 53
1945-2001 (10 cycles) 10 57 67 67
' 31 cycles, "15 cycles
~~ THt.
BOGDAHN
GROUP
Total Fund
December 31, 2008
Asset Allocation Ky Stylc as of Sep - 2008 Asset Allocation By Style -Current Quarter
September 30, 2008: $1,060,825
December31,2008 $1,021,478
Segments Market Value Allocation Segments Market Value Allocation
^ Equity 529,933 50.0 ^ Equity 472,092 46.2
Domestic Fixed Income 500,749 47.2 ~ Domestic Fixed Income 519,507 50.9
^ Cash Equivalent 30,143 2.8 ^ Cash Equivalent 29,879 2.9
Page 9 of 27
~IIIF.
``. BOGDAHN
GROUP
Total Fund
December 31, 2008
September 30, 2008: $1,060,825
Manager Market Value Allocation
($) (%)
^ Dana Balanced Portfolio 1,057,361 99.7
~ R&D 3,465 0.3
Page 10 of 27
December 31, 2008: $1,021,478
Manager Market Value Allocation
~$) ~%)
^ Dana Balanced Portfolio 1,019,239 99.8
R&D 2,239 0.2
~~ THF,
BOGDAHN
GROUP
Tequesta General Employees'
Asset Allocation
As of December 31, 2008
Asset Allocation
R&D 1,448 0.14 1,330 0.13 3,050 0.28 3,465 0.33 2,239 0.22
Dana Balanced Portfolio 1,062,076 99.86 1,040,011 99.87 1,076,818 99.72 1,057,361 99.67 1,019,239 99.78
Total Fund 1,063,524 100.00 1,041,341 100.00 1,079,868 100.00 1,060,825 100.00 1,021,478 100.00
Historical Asset Allocation B Se ment
100.0
80.0
~ 60.0 -
0
z
~ 40.0 ,
20.0
0.0 ' -
9/08 10/08 11/08 12/08
liyuit}~ ~ I)umestic Fixed Income ~ Cash Equivalent
Page 11 of 27
~~ THF.
BOGDAHN
GROUP
Tequesta General Employees'
Financial Reconciliation
As of December 31, 2008
Financial Reconciliation Quarter
~ ~~
• ~~ ~ ,
i i i ; i.
Dana 13alanccd Portfolio 1,1157,361 - 60,171 - - -111,695 8,490 -96,087 1,019,23')
R&D Account 3,465 - 12,000 -13,226 - - - - 2,239
Total Fund 1,060,825 - 72,171 -13,226 - -10,695 8,490 -96,087 1,021,478
FYTD
Dana Balanced Portfolio 1,057,361 - 60,171 - - -10,695 8,490 -96,087 1,019,239
R&D Account 3,465 - 12,000 -13,226 - - - - 2,239
Total Fund 1,060,825 - 72,171 -13,226 - -10,695 8,490 -96,087 1,021,478
Page 12 of 27
~~ Ti-F.
BOGDAHN
GROUP
Tequesta General Employees'
Comparative Performance
Trailing Returns
As of December 31, 2008
otal Fund (Net) -8.23 (10) -8.23 (10) -17.44 (9)
~i.i! ! nnJ !' ~lir, -I I , ~ x'11 -I I , ~ ~'\~ - ` nS 1_~~
iil7erencc 3.5(1 3.50 4.64
fixed-Asset Target Alloc Moderate Funds (MF) Median -13.38 -13.38 -25.34
'otal Fund (Gross) -8.23 -8.23 -17.23
IilTbrrnre 3.50 3.50 4.85
Total Equity
Core/barge Cap Equity (SA+CF) Median
:al Domestic Fixed
,.,I, In~~ini,~fi.u~ i ~ ~ n,~rrnmrnt'Crcdit
lercnce
Intermediate Fixed Income (SA+CF) Median
na's Equity Portfolio
I' ~(ni
US (:ore/Large Cap Equity (SA+CF) Median
Dana's Fixed Portfolio
I',.irc.i~, IntrriurJi,n ~ ~ c ~n~,rnmcnl (~rr~lil
Uittcrence
US Intermediate Fixed Income (SA+CF) Median
-22.36 (68) -22.36 (68) -36.19 (44)
-~~ ~)I Il,lli -~~')~ 11,11 -~-illi ((~~i
-o.4z -0.42 n.sl
-21.66 -21.66 -36.59
6.26 (9) 6.26 (9) 8.16 (10)
ISI ~'~~~ ICI i~-~ ~m il~~
L42 1.42 3.08
4.22 4.22 4.60
-22.36 (68) -22.36 (68) -36.19 (44)
'I `~I ;nui -'I v} ii,u~ - ' nu Intl
-0.42 -0.42 0.81
-21.66 -21.66 -36.59
6.26 (9) 6.26 (9) 8.16 (10)
I~~l i~-~ I,ti1 1~,~ anti ~I;~
L42 1.42 3.08
4.22 4.22 4.60
-1.02 (13) 1.63 (5) 2.79 (7) 2.53 N/A 11/01/2000
~'~~ -1 uv i'~~ (i.,i vni 1-~~ ~ A
1.71 2.72 2.20 1.20
-4.38 -2.29 -0.30 N/A
-0.84 1.77 3.03 2.68 11 /01 /2000
- _~ rn~ a "~ 1.'-
1.89 2.R6 2.44 1.35
-7.69 (45) -1.74 (14) N/A 0.98 N/A 02/01/2004
0.67 3.47 N/A 3.57
-7.90 -4.32 -1.31 N/A
6.36 (18) 5.01 (27) 5.46 (2) 4.71 N/A 02/01/2004
-,u ~I~i I-gin i~l~ 4?I i~-li I II
0.86 0.51 1.25 0.57
5.40 4.52 4.30 N/A
-7.69 (45) NIA N/A -6.37 N/A 11/01/2005
0.67 N/A N/A 0.47
-7.90 -4.32 -1.31 N/A
6.36 (18) N/A N/A 6.32 N/A 11/01/2005
;;n (1-~ inn ~~li I'I ~~li ~~„ ~ ~
0.86 N/A N/A 0.76
5.40 4.52 4.30 N/A
Returns for periods greater than one year arc annualized ~ TFIE
Returns are expressed as percentages. ~ RO~T~ A Li1~T
Total Fund Folicy= 60% S&P 500, & 40% L[3 G/C Intermediate l _ 1.~ i.Jt1111r
Dana's inception date is 10-13-2005 ` GROUP
Page 13 of 27
Tequesta General Employees'
Comparative Performance
As of December 31, 2008
otal Fund (Net)
,-~,il i ,u,l I',,li. ~
Difference
fixed-Asset Target Alloc Moderate Funds (MF) Median
otal Fund (Gross)
~~i.il I ~yncl I'~~in ~
al Equity
' inn
Terence
Core/Large Cap Equity (SA+CF) Median
al Domestic Fixed
..m Inl~~rnii ~li.it~~ f ti (I~ncrnntcnt C~rc~lil
Intermediate Fixed Income (SA+CF) Median
pa's Equity Portfolio
I' ~uu
tJS Core/Large Cap Equity (SA+CF) Median
Dana's Fixed Portfolio
li,n~;yi Inlrrnn~liali t ~ ~ i~_,~-crnment'Credit
Difference
US Intermediate Fixed Income (SA+CFI Median
Returns li>r periods greater than one year are annualized.
Returns arc expressed as percentages.
'T'otal Fund Policy= 60% S&P 500, & 40% LB G/C Intermediate
Dana's inception date is 10-13-2005
Page 14 of 27
11.64 (1) 10.35 (6) 11.09 (i) 2.08 (48) 0.83 (100) 1.58 (1)
'.11 ~ i I 1 ~_8S r l~~ ~_;, (I 1 _.U? i X11 I 1 '~1 I I il(I1 L9? I I I
-0.38 2.47 2.72 0.05 -0.41 -0.39
6.72 5.62 3.03 2.02 10.40 -8.18
11.64 10.67 11.09 2.70 0.83 1.58
-0.38 2.79 2.72 0.67 -0.41 -0.39
16.70 (3) 18.01 (1) 18.74 (1) N/A N/A N/A
I a. I~1 q .1 I I! 7~) i t (1I I_'ti ~ 3 i I ~_R % I I I ~-1_a(1 r' P -~0= l7 r I I j
0.26 7.22 6.49 N/A N/A N/A
9.34 8.47 4.41 1.99 14.89 -26.94
S.2S (l) 3.24 (S8) 1.49 (S1) N/A N/A N/A
L~ ~ I ~ 1 r. ,, 1 ~!S ~~'r ~,r, i~,nn s ~~'. ~ !~~~
-0.18 -0.30 0.01 N/A N/A N/A
4?6 3.30 1.50 2.69 3.93 8.04
16.70 (3) N/A N/A N/A N/A N/A
I(~.a-~ 1 ~l III'~7 ~ IIII I ~..~~ (-~1 13.5? 11 s _'-4.-4(~ i_`I --(I. l~ (I I )
0.26 N/A N/A N/A N/A N/A
9.34 8.47 4.41 1.99 14.89 -26.94
5.25 (1) N/A N/A N/A N/A N/A
~.I~ IIl ~.~~ 1'-~1 I_-!h (`'1 '.6(~ (,•) G.11h 1~1 ~_(IQ 1!~)i
-0.18 N/A N/A N/A N/A N/A
4.26 3.30 I.50 2.69 3.93 8.04
~~ THE
BOGDAHN
GROUP
Tequesta General Employees'
Total Fund Portfolio (Net)
December 31, 2008
~~
Market Value Capital Market Value
As of Net Contributions Distributions Fees Expenses Income As of
Transfers Apprcc/ Deprec' 12/31/2008
9/30/2008
Total Fund Pmtfnlio (Net) I,OGI - 72 -13 - -I I 8 -96 1,021
Market Valne Capital M»rket Value
As of let Contributions Distribntions Fees Expenses Income As of
Transfers Apprec./Deprec 12/31/2008
9/30/2008
'Total Fund Portfolio (Net) IAC 1 - 72 -13 - -I l 8 -9G 1.021
i f
$ 150.0
10.00
0.00
-10.00 ~ ~
^
-zo 00 -
a -30.00-~~
-ao.oo
-SO no ~• -' ' '-
1 Oct-2008 1 2
Quarter To Sear Fears
Dec-2008
^"IbtalFundPortfolio(Net) -8.23 (10) -8.23 (10) -17.44 (9) -5.9G (IO)
• Total Fund Policy -I 1.73 (28) -11.73 (28) -22.08 (25) -8.95 (25)
3 4
Years M1'ears
-1.02 (13) 1.03 (5)
-2.73 (25) -1.09 (28)
$1400
$1 3 0.0
$1200
5 $110.0
Years
2.79 (7)
0.59 (30) $100 C
izi4
I f o?
38 -1338
13 -2534 -I 1.24 -4.35 -_29 -0.30 -Total Fund Portfolio (Net) --• Total Fund Policy
,
Median -
1
Quarter 1
Quarter 1
Quarter 1 1
Quarter Quarter
di 1
Quarter
Ending
Ending
Sep-2008 F,ndin~
Ion-2008 Endint;
M11ar-2008 n8
Endin>; F.n
Dec-2007 Sep-2007 .tun-2007 _
Total Fund Portfolio (Net) -5.33 (121 -0.02 (1,51 -4.95 (42) -0.34 (30) 1 OS (7R)
40 (32)
2 3 75 (251
70 (27)
3
Total Fund Police -5.50 (13) -z.12 (81) -4SG (35) .
-0.84 (50) .
07
3
Mixed-Asset Target Alloc Moderate Fonds (MF) Median -8.04 -1.03 -5.40 -0.85 L93 .
THF.
BOGDAHN
GROUP
Page 15 of 27
12100 9/02 6/04 3/06 12107 12/08
Tequesta General Employees'
Total Fund Portfolio (Net)
December 31, 2008
2o.n
14.0
a
.. R.o
e 20
a -4.0
`_' -ton
c -10.0
f Under Perform~nec f Over Performance -ate Mar-2004 ~ Uec-200R
o.oo
^ ^ ^ ~ ^
2s.oo ^
^ ^ ^
^
`~
' ^ •
~ so.oo , • •
• • •
c`, ^
~' ^ ^
z 75 00 -
~
~
Io4oo -~ '~ ^ ^-~~
r t
3/04 3/05 3/OG 3/07 3/OR 12/OR
Total Period 5_2S 25-Median Median-75 75-95
Count Count Count Cnunt
^ Total Fund Portfoli o (Net) 20 9 (45%) 0 (0°'0l 3 (IS°b) 8 (40%)
~ Total Fund Policy 20 2 (IO""/o) 3 (IS%) 5 (25%) 10 (50%)
5.00 - 10.00
QOD - 5.00 ~
j
~_ -5.00 - 0 0.00 7
c a
P -I 0 00 ~ ~ -5.00
u v
C C
-15.00 ~ - -- - - -10.00 -- -
~__ T T- _~_ T___ -_._~_l._._-.. __--I'-- T_ _~__.._
5.00 7.50 10,00 12.50 15.00 17.50 20.00 4.00 G.00 R.00 10.00 1200 14.00 1(,.00
Risk (Standard Deviation '%) Risk (Standard Deviation %)
Return Standard Deviafion Return Standard Deviation
^ Total Fund Portfolio (Net) -1.02 8.42 ^ Total Fund Portfolio (Net) 2.79 7.41
• Total Fund Policy -2.73 9.27 • Total Fund Policy 0.59 7.80
- Median -438 1464 -Median -0.30 R.82
Tracking t ~ p Down Sha rpc Downside
Error Market Market :\Ipha tR Ratio Ret.r Risk
Capture Capture
Total Fund Portfolio (Net) 2.42 101.47 87.68 1.38 O.GR -0.54 4RR 7.20
Total Fund Pulicv 0.00 10400 100.00 0.00 N%.A -4G7 1.00 R.2R
'Tracking (I P DOWO Sharpe Downside
Error Market Market Alpha IR Ratio Reta Risk
Capture Capture
"Fatal Fund Portl~lio fNell 2.R0 105.09 82.16 2.24 0.74 -0.01 O.RR 5.R6
Total Fund Policy 0.00 10400 100.00 0.00 N/A -0.28 1.00 G.SR
Page 1 G of 27
~~ TI1F.
,: BOGDAHN
GROUP
-4 0 2.0 8.0 14.0 20.0
Total Fund Policy ('% )
Tequesta General Employees'
Total Equity Portfolio
December 31, 2008
Market Value Capital Market Value
As of Net Contributions Distributions Fees Expenses Income .4s of
'Transfers Apprec/ Deprec' 12/31/21108
9/30/2008
lbad Equity Portfolio I,OGI - 72 -13 - -I l R -9G 1,021
Market Value C~piMl Market Value
ac of Net Contribnfions Distributions Fees Expenses Income ~ irec./ De rec .~s of
9/311/2008 Transfers PI p 12/31/2008
"Total Equity Portfolio IAGI - 72 -13 - -1l 8 -9G 1.021
Pccr Group AnalysiR - US Core/Large Cap Equity (SA+CF) Cumulative Performance
$1coo
R11o 0
120.0
-ro od ~ -- - ~ ~_ _ ~ _ ~ _ ~ _ ' __ 103.1
sloo.o-
1 Oct-2008 1 2 3 1 c
Quarter To Year Years fears Years Years
~,$8 R
0
Dec-2008 .
^ Total Equity Portfolio -22.36 IG8) -2236 (GS) -36.19 f44) -17.15 (38) -Z69 (45) -1.74 (11) N/A
~ S&P 500 -2194 (GO) -21.94 (60) -37.00 (61) -18.48 (65) -8.36 (GG) -5.21 (79) -2.19 (81) $800 -rr-
3/04 3/05 3/OG 3107 3/08 12/OR
Median -2LGl, -2L6G -36.59 -17.95 -7.90 -4.32 -131 -Total Equity Portfolio -S&P 500
t
1
1
1
I
I
1
Quarter Quarter Quarter Quarter Quarter Quarter
Ending Ending Ending Ending Ending Ending
Sep-2008 lun-2008 Mar-2008 Dec-2007 Sep-2007 .hm-2007
Total Equity Portfolio -9.86 (65) 0.67 (21) -9.13 147) -2.27 (38) 0.22 (R1) 6.34 (13)
S&P 500 -8.37 (401 -2.73 (83) ') 45 118) -333 (66) 2.(13 (47) G2R f49)
I1S Core-Large Cap Equity (S A+CT) Median -9.00 -L23 -9A6 -2.88 1.96 6.27
Page 17 of 27
~~ THE
BOGDAHN
GROUP
Tequesta General Employees'
Total Equity Portfolio
December 31, 2008
t t
30.0
! Over 0.00 ^ ^ ^ . ^
Pcrfmntancc
20.0- ~~ c 25.00
109
C •
~~ So.on
`~ o.o
a c 75.00 ! ~ ~ ~ ~ . ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ •
•'•
•~ -10.0- Under C
'~ Pcrfotlrnnce 100.00 I--~ -~- ~- --~ ~ -
-20.0 - -t - ~- - - --t- ----- -r- - 3/04 3/05 3/04 3/07 3/OR 12/OR
0
F -20.0 -10.0 0,0 10,0 20.0 30.0
Total Period 5-25 25-Median Median-75 75-95
S~P5001%) Count Count Count Count
^ Total Equit}~ Portfolio 8 7 (88%) I (13!0) 0 (0%) 0 (0%)
f Under Perfnrtn~ncc f Over Perto~mance -Q- Mar-2007 -p- Uec-2008 • S&P 500 20 0 (0%) 0 (0%) 13 (65%) 7 (35%)
SAO
UAO
-5.00
e -10.00
-15.00
z -20.00 -
-25.00 -
s no
10 00 15.00 20.00 25 00
Risk (Standard Deviation '% )
Return Stamlard Deviation
^ Total Equity Portfolio -7.G9 16.20
• 5&P 500 -R.34 15.92
- 1\ledian -7.90 16.03
3o.on
10.00
5.00
0.00
-5 00
c
-10.00
z`
- 15.00
5.00
T -T
10.00 15.00 20.00
Risk (Standard De~iation'% )
Return Standard Deviation
^ Total Equity Portfolio N/A N/A
• S&P 500 -2.19 1354
- Median -1.31 13.72
25.00
Tracking 11P Down Sharpe Downside
F,rror Market Market :11pha tR Ratio Beta Risk
Capture Capture
'Total Equity Portfolio 3.52 109.01 111LR3 1.37 0.2(, -0.45 LOS Id.(,0
SRcP 500 0 00 100-00 100.00 0-00 N/A -0.74 LUII 13 R3
'f racking l ~ p
Market Down
Market
Alpha
IR Sharpe
Beta Downside
F,rror Capture Capture Ratin Risk
"total Equity Portfolio NiA NLA N/A N/A N/A N/.4 N/A N/A
S&P 500 0.00 100.00 100.00 0.00 NiA -0.35 1.00 1101
Page 18 of 27
~~ 'THE.
~_ BOGDAHN
GROUP
Tequesta General Employees'
Dana's Equity Portfolio
December 31, 2008
Market Value Market Value
:1s of Net Contributions Distributions Fees Expenses Income CaPrtal As of
9/30/2008 Transfers .Apprec/ Deprec. 12/31/2008
Dana's Equity Portfolio 1,057 - 60 - - -I I R -9G 1,019
Market Value Market Value
:1s of Net Contributions Distributions Fees Expenses Income Capital .As of
9/30/2008 Transfet:c .Apprec./ Deprec. 12/31/2008
Dana's Equity Portfi+lio 1,057 - 60 - - -1 I 8 -9ti 1.019
15.00
0.00
15.00
E
C
-30.00 -I
-45.00
-GO 00
~~
1
Quarter
^ Dana's Equity Portfolio -22.36 (6R)
• S&P 500 -21.94 (60)
i
Oct-21108
To
Dec-2008
-2Z.3G (GS)
-21.94 (60)
~~~
I 2 3 4 5
Year Years Years fears Years
-3G.19 (44) -17.15 (38) -Z69 (45) N/A N/A
-37.00 (6I) -18.48 (GS) -8.36 (GG) -5.21 (79) -2.19 (81)
$145.0
$13 0.0
$ 115.0
$ 100.0
$R5 0
$70.0 ~
12/05 4/OG G/07 3/08 12/08
Median -2LC,G -2L6G -36.59 -17.95 -7.90 -4.32 -1.31 -Dana's f?quity Portfolio -•-• SRcP 500
I 1
1
I
1
1
1
1
Quarter Quarter Quarter Quarter Quarter Quarter
Ending Ending Ending Ending Ending Ending
Sep-2008 .hm-2008 Mar-2008 Dec-2007 Sep-2007 .lun-2007
Dana's Equity Portfolio -9.R6 (65) 0.67 (21) -9.43 (47) -2.27 (38) 0.22 (84) 6.34 (43)
SRcP 500 -8.37 140) ?.73 (R3) -9.45 (48) -3.33 (661 2 03 (47) G.28 (49)
US Core/Large Cap Equity (SA+CF) Median -9.00 -1.23 -9.4G -2.88 L9G G.27
Page 19 of 27
~~ THF.
. BOGDAHN
GROUP
Tequesta General Employees'
Total Fixed Portfolio
December 31, 2008
Market Value ('apical Market Value
As of Net Contributions Distributions Fees Fxpenses Income As of
Transfers Apprec./ Deprec. 12/31/2008
9/30/2008
Total Fixed Portfolio 1.061 - 72 -13 - -I I R -9G 1.021
' 1 t 1
Market~'alue Net Capital MarketValae
As of Contributions Distributions Fees Expenses Inrnmr ~ ~ rec./ De rec. As of
9/30/t00R Transfers 1 p p 12/31/2008
Total Fixed Portfolio LOCI - 72 -l3 - -I I R -96 I O21
1
Y1300-i
15.00
0.00 -
^ ~
t, ~~„
z -s.nn
-~ n.oo
-IS 00
Qnarter
^ Total Fixed Portfolio G.2G (12)
• Total Fixed Policv d.84 (30)
L
Oct-2008 1 2
To Year Years
Dec-2008
C>.2G (12) 8.IG (7) 7.45 (I I)
4.84 (30) S.OR (351 622 (34)
3
Years
G3G (11)
5.50 (35)
-- --'
4
Years
5.01 (2G)
4.G8 (37)
~ ~looo
5
Years
5.46 (7)
N/A $90 0
~lal ~
Median ? G3 3.G3 3.?? 5.05 48(, 4.30 4.37 -Total Pixed Portfolio ----Total Fixed Policy
t
1
1
1
I
1
1
Quarter Quarter Quarter Quarter Qnarter Quarter
Ending Ending Ending Ending Ending Ending
tiep-201IR Ion-2008 Mar-2008 Dec-2007 Sep-2007 .lun-2007
Total Fixed Portfolio 0.17 (10) -1.28 (7R) 2.93 (12) 2.64 (64) 2.56 (72) -0.13 (6)
Total Fixed Policy -1.19 (44) -L53 (891 3.00 (9) 2.90 (48) 2.87 (47) -0.15 (7)
l1S broad Market Core Fixed Income (SA+CF1 Median -1.45 -0.94 1.9(i 2.89 2.85 -0.51
Page 21 of 27
~~ TI-l F.
_ BOGDAHN
GROUP
3/04 3/05 3/06 3/07 3/08 12.08
Tequesta General Employees'
Total Fixed Portfolio
December 31, 2008
Rn
Over
7.0 Perfcrrnti7ncc
^
c 50
~ ^
d 3.0 ^
d
x
iz
I.0 - - t--- -T -. __ -
~ 1 0 3.0 5.0
Total Fixed Policyy(% )
f Under Performtnce f Over F ctiiumance ~ Mar-2007 -o- Uec-2008
10.00
S.OD -
e 0.00
c
~ -5 00
N
- 10.00
0.00
5.00
^ Dotal Fixed Portfolio
• Total Fised Policy
Median
10.00 15.00
Risk (Sta nda rd Deviation'%)
Return Standard Deviation
G.30 3.91
5.50 3. RS
a.sv s.77
20.00 2.00 4.00 v.00 R 00 10.00 12.00
Risk (Standard Deviation'% )
Return Standard Deviation
^ Total Fixed Portfolio 5.4G 4.Gv
• Total Fixed Policy N/A N/A
Median 4.37 3.75
75n
S.oo
14 UU
Tracking l ~ p Dow° Sharpe Downside
Error Market Market Alpha IR RaHo Reta Risk
Capture Capture
"total Fixed Portfolio 1.31 97.37 54.01 1.93 0 (il 0.7h 0.79 (1.91
Total Fixed Policv 0.00 100-00 100.00 0.00 N/A Q43 L00 I GS
Tracking l ~ p Dmvn Sharpe Downside
Error Marke[ Market Alpha IR Ratin Rcta Risk
Capht re Capture
Total Fixed Portfolio N/A N/A N/A NIA N%A N/A N/A N%A
Ibtal Fixed Policy N/A NiA NiA N%A N;A N/A ti/A N/A
Page 22 of 27
o.oo -
•
^
25.00
C ^ • •
so no •
a • ~
-
75.00
0 ,.-. ~ , aw. ,. ;, . ;. •
Under C
~
Performance 100.00 - - ~ ~ F~ - ~ --- -~
t ~ 3/04 3/05 3/OG x.07 ±/OR 12/08
70 RO
Total Period
5_25
25-Median
Median-75
75_95
Count Count Count Count
^ 'T'otal Fixed Pot7folio R 2 (25%) l (13%) l (13%) 4 (50%)
• "Cotal Fixed Policy R 1 (13"%) 3 (38°0) 2 (25°0) 2 (25%)
2.50
e
0.00
c
`o
-2.50
-5.00
~~ THF,
BOGDAHN
GROUP
Tequesta General Employees'
Dana's Fixed Portfolio
December 31, 2008
~• t ~
Market Value Capital Market Value
As of Transfers Contributions Distributions Fees F;xpenses Income ,gpprec./ Dcprec. As of
9/30/2008
12/31/2008
Dana's Fixed Poiyl'olio 11)57 - GO - - -I I R -9G 1,019
t 1
Market Value 11arket Value
As of Net ('ontributions Distributions Fees Expenses Income Caprt.d ,As of
9/30/200ft Transfers Apprec/ Deprec' 12/31/2008
Dana's Fixed Portfolio 1,057 - GO - - -I I 8 -9G 1.019
t •t t
ISAO I- --- - --- -- - - -- ~
-15.00 I _ i i i- i i--- - !_ - - -~
1 Oct-2008 1 2 3 4 S
Quarter To Year Years Years fears Years
Dec-2008
^ Dana's Fixed Portfolio G26 (I2) 6.2G (I2) R.16 (7) 7.45 (11) G.3G (ll) N/.q N/A
~ Barcap Intermediate I1-S Government/Credit 4.84 (30) 4.84 (30) i0R (35) G.22 (34) 5.50 (35) 4.50 (45) 121 (57)
$125.0
$120.0
$115.0
$110.0
$105.0
$100.0
$95 0
Dana's Fixed Portfolio
Median 3 G3 3.G3 333 5.05 4.SG 430 4.37 --Barcap Intemxdiate C1.S. Ciovernnxnt/Credit
20.
17.4
I 1 1 1 I I
Quarter Quarter Quarter Quarter Quarter
Quarter
F;nding Ending Ending Ending Ending Ending
Sep-2008 .Inn-2008 Mar-2008 Dec-2007 Sep-2007 Jun-2007
Dana's Fixed Portfolio 0.17 (10) -1.2R (7R) 2.93 (12) 2.64 (fi4) 2.56 (72) -0.13 (G)
Barcap Intermediate U.S. GovemmenVCredit -1.19 (44) -1.53 (R9) 3.00 (9) 2.90 (48) 2.87 (47) -0.15 (7)
I1S Broad Market Core Fixed Income (SA+CF) Median -1 A> -0.94 1.9G 2.89 2.85 _0.51
--__._J_at_ 2~3ro~f~27
~~ THF.
- BOGDAHN
GROUP
12/05 9/0(> 6!07 3/08 12/OR
Tequesta General Employees'
Benchmark History
As of December 31, 2008
Page 25 of 27
~^ THE
` - BOGDAHN
GROUP
Statistics Definitions
Page 26 of 27
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.
R-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.
Treynor 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.
Tracking Error -- A measure of tl~e standard deviation of a portfolio's performance relative to the performance of an appropriate market
benchmark.
,Information 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.
Excess Return -- Arithmetic difference between the managers return and the risk-free return over a specified time period.
Active Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period.
Excess Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return.
Up 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.
~~ - THF.
BOGDAHN
GROUP
Tj IL
BOGDAHN
GROUP
si,nplifying your investment and fiduciary decisions
340 West Central Ave Suite 300
Winter Haven, Florida 33880
Phone: 863.293.8289 0 Fax: 863.292.8717
VILLAGE OF TEQUESTA
GENERAL EMPLOYEES' PENSION TRUST FUND
Investment Performance Attribution Supplement
4Q08 Performance Comparison
Investment results for the Plan were negative which should come as no surprise given the worst equity market quarterly decline in our history. The fund
experienced a decline of (-8.23%) net of management fees. The equity market sell off was all inclusive affecting all styles, capitalizations and sectors
making for a virtually impossible environment to find value added opportunities for active management. Yet, on a relative basis, total fund returns managed
to exceed the benchmark index which posted a loss of (-11.73%) which placed the Fund in the top (10th) percentile of peers. This was driven by the below
target allocation to equities of 50% vs. 60%. Overall equity performance was on the benchmark declining (-22.36%) vs. (-2 ] .94%) which was a little below
average (68~' percentile) in peer group ranking. Achieving positive absolute returns, bond performance outperformed the index (6.26% vs. 4.84%) and the
peer group (9 percentile).
Year over year results for the period ended December, while negative, have outperformed the benchmark by 4.64% placing the Fund results in the top (9~')
percentile of peers. The steeply negative market trajectory has impacted rolling returns with all trailing periods below the actuarial required rate of return.
However, relative to peers, the Fund ranks in the top (13"'~ percentile over the trailing three year period.
Recommendations
o Broaden ordinance language governing investments
o Amend Investment Policy Guidelines to reflect broader but prudent investment standards
Purpose: Improve potential program investment experience thereby lowering contribution costs through the following benefits:
-Lower the cost of investment services through commingled fund use and resulting economies of scale (commingle fund), (index fund).
-Broader utilization and selection of investment management services not previously able to consider
-Addition of low correlating asset classes to improve the probability of achieving the required rate of return; minimize potential for asset decline
Key elements of equity manager attribution are as follows:
Note to analysis: We used Thomson Portfolio Analytics for the holdings-based attribution analysis, which is based on monthly holdings for the Plan's
domestic equity portfolio managed by Dana Investment Advisors. Holdings-based attribution can help to identify active elements of the investment
manager. The analysis does not reflect the impact of cash flows or management fees; actual portfolio returns may differ.
o Based on holdings attribution from Thomson, the Dana domestic equity portfolio (excluding cash) trailed the S&P 500 Index (-22.9% vs. -21.9%).
o As of 12/31/08, the portfolio held 84 securities and approximately 93% of the securities in the portfolio were constituents in the S&P 500 Index.
Based on average market cap, the portfolio was smaller than the index ($55.2B vs. $78B); however, the portfolio's median market cap was over
three times (3x) the index's. As should be expected fora "core" portfolio, the portfolio exhibited both growth and value characteristics. On the
growth side, the trailing twelve-month earnings per share (EPS) growth was significantly greater than the index (15.8 vs. -43.6), the price-to-book
was greater than the index, and the dividend yield was less than the index. On the value side, the trailing twelve month price-to-earnings ratio was
significantly less than the index (11.7 vs. 19.9) and the twelve-month forward EPS growth was significantly less than the S&P 500 Index.
tAkt Cap 55.150.345.656.16
Market Cap - Wiedian i 20.969,154,115.00
Div Yld 2.27
EPS Gr Hst 121v1 15.75
EPS Gr For 12fv1 0.25
EPS Gr Hst 5Y ! 22.99
Ret Eq 23.48
PE Tr 12tv1 11.65
PE For 121v1 11.29
PEG Far 12td 0.91
Price lBook, 2.26
Relative Beta (GRtv1) ! -0.04
Relative Growth (GRFvt) 0.23
Relative Wlomentum (GRIv1} i 0.13
Relative Size (GRfvt) 0.11
Relative Value (GRIr1) -0.20
_'_' 9'8 02= 300 92
6.355.864.600._00
•-------------------2 99
-43.55
--------------------------
5.66
------------------17.44
21.54
19._93
------------°----11 77
-_0.06
_0._14
0 38
0.03
b
AttrF~lltlon R25111t5
Avg Avg Port Bntrk Port Bntrk Allac Select Total
Sector Name Port 4Yt entrk Wt Return Return Contrib Contrib Effect Effect Effect
Total Portfaia ~ 100.00 100.00 -22.89 -21.94 -22.89 -21.94 D,14 -1.09 -0.95
Enemy 10.14 13.32 -29.47 -20.61 -3.22 -2.75 -0 tJ9 -8.74 -0.92
Materials ~
3.70 3,07 -25.03 -30.78 -l.il -lA6 -D,CS 0.16
Indstrials 11.38 10.98 -24.48 -23.92 -2.58 -2,62 0,03 0.06 0.09
Consumer Discret+anary 9.60 8.12 -22.55 -22,85 -2.43 -1,84 D,03 -0,06 -0.04
COns~:mEl' StaFles 13.84 13.10 -11.60 -12.83 -1.40 -1.57 -0,02 ~ O.i2
Health Care 14.93 14.27 -17.89 -12.10 -2.54 -1.E0 O,C4 -0.83 -0.79
Financials 10.29 13.97 -37.21 -36.92 -4.81 -6.17 ~ -0.22 0.38
Infarmation Technology 19.89 15.61 -24.38 -25.73 -4.83 -w.C3 -0.17 ~ O.i9
Tzlecomm Sewice 3.00 3.57 -3.15 -1.38 -0.21 0.03 -0,06 -D.10 -0.17
Utilities 3.25 4,00 -8.11 -10.92 -0.17 -0.34 -0.08 0.10 0.02
GICS Sector Analysis
All of the relative underperformance during the quarter was due to stock selection; the selection effect was -1.09% points. At the sector level, the portfolio's
allocation to companies in the Information Technology (IT) and Financials sectors were the largest detractors to quarterly performance. Combined, the two
sectors accounted for -9.6% of the -22.9% return. It should come as no surprise that the worst three performers were in the Financials sector. The IT sector
included both the top and bottom contributors; FactSet Research and Amphenol Corp., respectively.
=ornpany Nante Avg Wt Rehtrn Contribl ~', Cattpany Nante Avg Wt Return Contrib
FACTSET RESH SYS INC 0.77 14.60 O.IS AMPHENOL CORP NEN~ 1.73 X0.22 -0.83
PANEZA BREAD CO 0.63 15.78 0.14 BANK OF AMERICA COR. , 0.79 -58.92 -0.72
GILEaD SCIENCES INC 1.15 12.20 0.14 UNION PAC CORP 1.86 -32.47 -0,68
CENTERPOINT ENERGY... 0.88 11.29 0.12 JOHNSON CTLS INC 0.92 -39.7 -0.65
LERIZON COMMUNIC:ITL . 1.06 7.39 O,I2 ~ 4ALLIBURTON CO 0.80 -43.54 -0.62
Company Name
PHILIR MORRIS INTL INC
BECTON DICKINSON J§ CO
CISCO SYS INC
C1;`S C.~REhtARK CORPOR4TI
~.'vAL MART STORES INC
Avg Wt Rehrrn
2.31 s,s7
2.26 -14,35
2.09 -27,75
2.09 -14,40
2.07 -5,99
=anpany Name
UNUM GROUP
PANERA BRE:tD CO
FACTSET RESH SYS INC
GI! EAD SCIENCES INC
CENTERPOINT ENERGY INC
9~
0.48
0.63
0.77
1.15
0.88
18,10 HARTFORD FINL Sw'CS GRO
15.73 ROYAL EK SCOTLAND GROU
14.60 BANK OF AMERICA CORPOR
12.20 CEMEX SAB DE CV
11.29 AEGON N V
Avg YVt Return
0.16 -74,82
0.05 -65.31,
0.79 -58,921
0.09 -56.10
0.07 -53.19
C
Attribtttiati I~esttlts
Avg Avg Port Bmrk Port Bmrk Alloc Select Total
Sector Name Port Wt Bmrk Wt Return Return Contrib Ca}trib Effect Effect Effect
Total Portfolio ~ 1Ct(a,+lta lotl.ta0 -22.89 -21.94 -22.89 -21.94 -ta.8+1 -+1,15 -0.95
Mkt Cap Buckets 1 ~ 1.74 0.87 5.80 -3255 0.62 0.02 -t_a.03 ra.53 0,50
Mkt Cap Buckets 2 a 2(x.82 16.ta7 -28.83 -25.01 -4.8c- -2.58 -r~,~a8 -[1.85 -0.93
Mkt Cap Buckets 3 ~ 2[a.42 16.18 -23.87 -26.97 -3.94 -3.78 -0.23 0,6c- (1,37
Mkt Cap Buckets 4 ~ 52.95 59.28 -22.49 -21.8t7 -13.53 -13.36 t~.[~4 -+1.4ta -tt.36
Mkt Cap Buckets 5 ~ 4.07 7.59 -4.38 -4.80 -1.25 -2.25 -0.50 -+a,Ca3 -0.52
r ~ ~ :~
Mkt Cap Bucket 1 {;mall cap} $ 2,000,D00,000
Mkt Cap Bucket 2 {nid cap}
................................................................................................ $
.............. 10,000,000,000
........................................................
Mkt Cap Bucket 3 {r~idllarge cap}
............................................................................................... $
............
... 20,000,000,000
.
.
Mkt Cap Bucket 4 {large cap} .
$ .....
.................................................
200,000,000,000
Mkt Cap Bucket 5 {"mega" cap} Infinit
Market Cap Analysis
The portfolio's market cap allocation hurt performance; the overall "allocation effect" was -0.80%. As was the case last quarter, "mega cap" stocks, which
are represented in market cap bucket 5 (market cap > $200 billion), represented the best performing market cap range in the index. An underweight to
"mega cap" stocks accounted for -50 basis points of the relative underperformance.
d