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Home My WebLink AboutHandouts_Pension General_11/03/2008 VILLAGE OF TEQUESTA GENERAL EMPLOYEES' PENSION TRUST FUND Investment Performance Attribution Supplement 3Q08 Performance Comparison Total program investment results were negative for the quarter, as the fund experienced a decline of (5.33%) net of management fees, driven entirely by widespread weakness across the U.S. equity market. On a relative basis, total fund returns outpaced the benchmark index due to strong positive investment performance in the Dana fixed income portfolio, which gained 0.53% vs. a loss of -1.19% for the benchmark Lehman Intermediate Government Credit Index. The quarter was characterized by extreme volatility and fear across equity and fixed income markets both in the U.S. and abroad. As the credit and liquidity crisis in the financial markets continued to worsen, equity prices declined substantially, with many market sectors experiencing double-digit losses and areas of perceived safety remaining elusive for active managers. Equities were a clear detractor to total fund performance for the period, posting a loss of -10.]4% vs. a decline of -8.37% for the S&P 500 Index. Strong stock selection was difficult to achieve throughout the entire three month period, as investor selling was agnostic to style, sector, and individual securities. As a result, although the equity portfolio was well positioned from a top down sector allocation perspective, individual stock selection significantly hurt performance and led to below benchmark results. A below target allocation to equities (50%) clearly benefitted investment results for the quarter, leading to total fund performance which ranked in the top twelfth (12t'') percentile of the peer universe. Fiscal year to date results, while down -10.34% in absolute terms, remained solid on a relative basis, placing the Fund in the top twelfth (12th) percentile of its peers as well. Absolute rolling returns for all trailing periods ended September are below the actuarial required rate of return due to the impact of equities, an asset class whose trailing results are currently well below long term historical averages. However, relative to peers, the Fund ranks in the top 9t'' percentile over the trailing three year period and the top 32"d percentile over the trailing five year period, demonstrating consistency and solid downside risk management by the investment manager. With a down market capture ratio of less than 85% over the trailing three and five year periods, as well as below market beta and positive risk adjusted returns during these periods, the Fund appears well positioned to ride out the current market turmoil and remain comfortably at the top of its peer universe. Attribution Supplement 3Q08 Performance Comparison 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 equity portfolio managed by Dana IrrvestmentAdvisors . 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 dyer. o Based on holdings amibution from Thomson (excluding cash), the Dana equity portfolio trailed the S&P 500 Index (-9.51% vs. -8.37%). o As of 9/30/08, 107 securities were in the portfolio and approximately 83% 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 ($58.2B vs. $86.2B); however, the portfolio's median market cap was nearly three times the index's. For the trailing twelve months, the earnings growth for the stocks in the portfolio was significantly greater than the index (13.63 vs. -37.60), yet the portfolio's valuation was significantly less than the index based on a trailing price-to-earnings (12.98 vs. 2l .63). Tequesta GE ~E?ana Cca~tbined Portf l 9130/ ,. - , - ~ . -, ~ .- _., !JG ~,. Securit,ss lC,'7' 49*3~ Eg~i~~ [~~ 100.00? 1~a.~~; ~~i~ f}rT~rk Haldln~s E~3.32., 1t~0.~0 °~;~ Top 25 Holdintr~ 4L5&! 36.6, °~~, Tap 15 Holdings 27.83. 2b.~6, R ____._-_ __-__ ____a _-.~..f. -~ j: ~i __..____- _____~_____._ -__..__~ ..r -___ ; _ -~ -._.. ,, p,1~~ Cap ! 58,165,095,748.87; 8b,2b2,87€t,544.91; (~larket Cap - I+~edian 24,557,826,24ii.0i~; 9,339~640,8s/O.OOi Di~+ YId 2.~t2E 2.44; EPS 6r Hst 12t~1 13.63; ?7.60E EPS Gr FQr I2M ----------------------- -- 11.62. ---- 16.77; EPS aJr H5t 5Y ' ---------------------------24.0n; 18.8; het Eq 2.3,54; ?2.19; -------°-------`-----------` PE Tr 12M ter--` -----------------------~- 12.98E --_--- ---`---'------ 2Lb3i PE Ft~r 12t~1 11.48 11.4; _ PEG ft~r 12t~t --------------------- Y_-__..___________ 0.91E ----- - _______________~ ~t.E -- --------------- P ripe ,' B rink -~ - -----------------------2.3 3 - ---- - 2.21; ----------------- ~Felatn~e Gra~.~th ~GRP~1; ~r-----°-----___-____-------------- ~-- 0.12; -------------------------_--+ -0.~~5E --- -------- --~ - - Ikeiat~.e h9arnenturn (GRM~ 0.37' ,0.21; ~elatn~e size (GRP~I;~ 0.12; 0.38E ~ { 8eia~~Tfe ~a1ue ~GR#~ j ~ _ 0.13; ---_----- 0 -~~' Tots[ 9gr~ido {~c~*k 1QD.~$ ° 1b(iAlj ~~.. =9.5~ ~ ' ~k.~ • " x: .;~#,Y~' :`=~~s ~!~?~~>,- - ~ 1-100. 3llJ-?; ~4.C~ -3.68 - 0.681 -0.74~~ -L~.JS - - _ --- - - -- _ _ _ - aarFna!= 4.48 - =' a6 - 1- _ -.5.6~ ~~.4 0 0 0 8v 11 ~ C ~ - 0 ~~~ y _ _ _ -- - - Iruus f~a~s - 10.6~'~, - 11.35 _-- ~ 18.50 -8,55 --- -2 1 -0 4E~; _ -O.fl2i -1.10 _ _ __ -1.12- _ ~~stm~r Dtsne~ ,~a,}~ 9.61 P.41 1.U8 -0.65 0.1_ -O OS~~ 0.12 ~ .r 0.23' P' u^s:,m~= 5~ ~__ _ 1 11.52 ~ O.r6 4.80 0 L3 0 ~`~' -~Y 061 -G 36' -0.42 _ __._ k_a~h ray"~ ~ c~'~ 12.71' __ . 4.4b1 . - - 0.49; _ ?i.h1l C-L~4', 0.07 ~.4~ 0.541 F"a,'1Ctal5 12.9 ._19.9 -3.90 0.$2 -- -0 4Q' -- ~~ 1~_ - -0 lf~ - --i3 57 - -- -~j.83! If;tUii'-Ic~_ICr~ Tec^no[ogY 19,77, i6.4B', -9.45.; -11.4! -1.94, -1.94' -~'.i2 C.44 0.38 Te4sCarrm Sen~ce - - - ----- ~ 4.06° 3.18 -12,50 -14.78 -0,52 -0.50~ -0 05 0 G8, 0:13; IJt.~;tizs 2.77 .i.~l 18.64 18.01 -0.5~ ~ -U.~1 __ _ 0.11 ~ - . .- -0.0 ~ ~~ 0.0$ IJ'A _ _ --- -- 1.48 O.DO -19.84, 0.00! -0 ~1 0.00 -0.18 - O.C~O --- -0.18 __ I~iAREfi rfy JF<<4i. ESFE ~€o~~~-EFL } 1.43 ~J ~ U -94,9, ~~.173 -r ~ i. 0~,, ~ 0 pit; 0 ~Jt, ~.OD Tots! Paf'lfal~0 ~R~ .---- . x~',.,.1~~1, -4:Si -6.3,~ •9.SiY -~! 3~ , . -~LH . `2-, - --".1.151 i,~` ~ap P~~~~c.,~r~ ., 1.b7~ i'~.~C~~ - ~~ S°' _n.~~ D.ii~'~ P.43~~ -f.6S x'.22, - r - - - -- 1~1~`t_ _ap BuCkGtc ~ _ 12.$4 _ _ 11.12 -- 15.P -8.8d __ - -- -1.~ 1 _ - -f,,g~ --_= 0 U ~ ~ -f' $~? , -i_~.Se, P+1~tt Cap Bu~tcets3 ~ 19.73 14.17; -10,83. -10.49 -1.96 1.50; -0,13 G.04; -0.04 f11rt Ca,, B~ekets 4 x1.25 63.39. 8.49 B.SP -5 `4 -` ~n -0 m . --- C 06 - 0.0~ 17kt {gyp Buc~eLc S 4.46" i1.OC -2 ,7 -5.04; -0 0 -0 53 -~ 2i 0 13; -0.08' - °---. ~.~. ~. .~~._.__._.~ _ ~a__.~ _ _ ... _ - !d' ~1~r7,' O.GG~'~ _ -:9.?0'~ ~~.~~~' _ , ~,~ ~._ 1.1~0~'~ . d}:62'~~ -x.50 ..32~ .' ~~ a 88.931 1~O.ftO _-- ~ -6'.lfi 8.~7~ - -} ~ i - B 7 -- ~ i ~0 ~=.1'i 1 ' 1 : ~ 'Mkt Cap Bucket 1 {small cap) $ 2,000,000,000 Mkt Cap Bucket 2 {mid cap) $ 10,000,000,000 ', . ......................................................................................................................................................................: :Mkt Cap Bucket 3 {midllarge cap) $ 20,000,000,000 '. Mkt Cap Bucket 4 {large cap) $ 200,000,000,000 , _ .. Mkt Cap Bucket 5 {' mega cap) Infinite GICS Sector Anal, All of the underperformance during the quarter was due to stock selection; the selection effect was -1.43 percentage points. Relative to the S&P 500 Index, poor stock selections in the Energy, Industrials, Consumer Staples and Financials sectors resulted in the underperformance. With an average 1.85% allocation in the portfolio, Halliburton was the largest detractor to performance (-84 bps). The three top contributors during the quarter came from the Financials sector; Bank of America, JP Morgan, and PNC Financial Services Group each added approximately 30 bps to the return. Market Cap Analysis An overweight to small cap stocks relative to the index boosted performance by 43 bps, while an underweight to "mega cap" stocks (market cap bucket 5) detracted from performance (-21 bps). Market cap bucket 5 (> $200 Billion) represented the best performing market cap range in the index. Country Analysis Approximately 11 % of the portfolio was invested in non-US companies; this includes an investment in the iShares EAFE Growth ETF. The foreign exposure detracted 232 bps from performance, while the domestic portion of the portfolio provided -720 bps of contribution.