HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 04_05/04/2009Village of Tequesta
Public Safety Officers'
Pension Plan
Quarterly Review
1st Quarter 2009
1L' Ll, ~~'. ~~ 4.~ ~.Y l ! Fl ~ ~ 11 ~,1 7l \ ~ ~•'~. \rA l_I jy')
VILLAGE OF TEQUESTA PUBLIC SAFETY OFFICERS' PENSION
Investment Performance Attribution Supplement
1Q09 Performance Com arison
Portfolio Attribution:
Investment results for the Plan were negative as both the equity and broad fixed income markets grappled with policy uncertainty and deteriorating economic
data. The fund investment returns, while negative (-3.49%) net of management fees, where measurably better than the program benchmark successfully
avoiding an additional potential decline in asset value of 3.02%. These results placed the Fund in the top (16th) percentile of peers for the quarter.
Outperformance was attributable to a combination of factors. A below target allocation to equity (47.8% vs. 60%), combined with the cash allocation of 13.7%
provided some cover against the declining broad equity markets. The bottom-up equity strategy benefited from correctly identifying both the positive and
negative emergence of relative market trends which had been. previously nonexistent. Good stock selection (described in detail below) boosted equity
performance and preserved assets relative to the benchmark (-6.96%) vs. (-1 1.01%) which compared favorably to peers (13r~' percentile).
Year over year results for the period ended March, while negative, have outperformed the benchmark preserving 4.96% of additional asset decline. This places
the Fund in the top (10`") percentile of peers. The steeply negative market trajectory continues to impact rolling returns with all trailing periods below the
actuarial required rate of return. However, relative to peers, the Fund ranks in the top (15°i1 percentile, and is ahead of the benchmark over the trailing three
year period. Total Fund three year cumulative measures of risk adjusted returns remain favorable relative to the passive benchmark. Total Fund down capture is
favorable for this asset mix at 83.9%. The cumulative peer group rankings show a positively trending emergence to top decile peer group performance. These
risk measures combined with a positive alpha (.97) suggest the investment program has benefited from active management.
Equity Attribution:
Key elements of equity manager attribution are as follows:
Note to anal>sis: We used Thomson Portfolio Analvtics for the holdings-based attribution analysis, which is based orr monthly holdings obtained fi-one Salem
Trust. Holdings-based attribution cafe help to identify active elements of the investment manager. The analyses does izot reflect the impact of cash flows or
uzanage~rrent fees; actual portfolio returns may differ.
y Based on holdings attribution from Thomson (excluding cash), the Rockwood portfolio beat the S&P 500 Index during the quarter by 3.8 percentage
points (-7.2% vs. -11.0%).
- As of 03/31/09, there were 37 securities in the portfolio and 78% of the portfolio holdings are represented in the S&P 500 Index. While the weighted-
average market cap was significantly less than the index's ($37.2 B vs. $66.7 B), the median market was more than double the S&P 500. On a style
basis, the portfolio has a slight "growth" bent based on a lower dividend yield, a higher forward price-to-earnings, and a higher price-to-book ratio.
The growth bias is also highlighted in the relative style factors; for the quarter, the portfolio's growth factor was greater than the index's (+0.39 vs. -
0.06) and the value factor was significantly less than the index's (-0.40 vs. +0.02). A lower total debt-to-equity ratio (0.90 vs. 1.72) and a higher return
on equity (24.4 vs. 21.1) represent a focus on companies with. stronger balance sheets.
tdo of Securities 3? __ 50~J
~ talkt Cap
°o Bmrk: Holdings ?? ?0 10rJ O~J
' ---- f~larket Gap - Pvledia
co To Z5 Holdin s
p g
°o Top 1~, Holdings ~ 38 G~
_.._____ ?1 63
d4 ?G 28 ZG Div Yld
EPS Gr Hst 12t~1
~ - EPS Gr For 1ZM
~
~
~~ EPS Gr Hst 5Y
p ~ ~
. ~ -
~;
~ Ret Eq
~, ~ ; ~ ,~ ~ s ~ PE Tr 12M _
'STERIC'r'CLE ItlC ; ~g PE For 12M
ROSS STC}RED IfJG 3 q6' PEG For 12M
ST JUDE tN1ED IPJC ~ 3 19 PnceBook:
'SCHEItJ HEPdR'r' ItJC 3 09 Relati~~~e Beta t;GRP~t
IBt~~i ._-.
~ 01
Relati~,e ~;~rou•~~th fGF
Total: 16.23'
- Relative Momentum
Relative Size fGRt+~1
Relative'Jalue (GRtti
Ttl Dbt' Egty'~^s!S
Avg Avg Port Bmrk Port Bmrk
Sector Name Port Wt Brnrk Wt Return Return Cantrib Cankrib
Total F~rtfo?io ~ ~CD.Ov 100.84 -7.72 -,1.81 -7.27 -L1.!~1
Fn°ry'~` "' 2.74 13,79 -?.25 -11.57 ,,.22 -La5
hlaterial~ ~ 3.75' 3.14 ti.75 -2.05 C.n'3 -4.Ci5
Induskrials 12.79 10.31 -5.74 -2C.3n -0.8'3 -2.43
Cans~~mer D~scretionarr 15,'31 5.37 x.38 -x.12 :.. 13 -x.57
Consumer StaRles ~ 16.47 17,97 -7,57 -10.54 -1.20 -1.35
4ealth Car= 15„78 15.E4 2.25 -?.00 0.13 -1.73
FinanCals F 1u.79 10.E4 -24,73 -25.32 -4.23 -3.55
Infa.~nation Techn~nlogy' i3,7i 16,87 -2.18 4.30 0.40 ,;,77
Talec+~mm Serv'i~a O.CC' 3.8E O.OC -7.13 v.80 -0.2.3
Ut"-floes 2.53 4.4i -17.75 -_v.79 -~.44 -~.ai
37 179.64? i31 92 66 ?1?.116 525 6S
12 S99 650.5110 OOi 5.-155 352.630 00
202 261
-1.-30
_ - -62 38
1 17 -- - _ _
-0 Z8
_
15 15 1r 6
_
24 38 20 14
17 24 -
- '10 7g
13 OS - 1257
_
1 07 1.23
2 92 1 ?fi
-0.51.
_._ -0.03
-
0 39
-- -
-0 06
__
019
-008
-0.25
- ~ ~~
-0 40
_- __ _ -0 02
0 90 - - 1 ~~
Alloc Select Tatal
Effect Effect Effect
-~,sb 4.55 3,7Q
C,nS O.1C~ 8.15
:.05 F1.12 8.17
-d3.1~' i.Sfl 1.63
4.3!D 4.03 ~ ,'. 3
-v,87 0.54 8.5v
-u,C~S 1.73 1.58
-11.54 4.35 -8,19
-4,38 -c~,$1 -1,19
-{1,'12 0.00 -0.17
~,0i -8.~0 -0.14
Nearly all of the relative outperformance versus the S&P 500 was a result of good stock selection; the "selection effect'' at the portfolio level was +4.66%,
while the "allocation effect°' was -0.86%. At the sector level, .the largest contribution to the excess return during the quarter was stock selection within the
Industrial sector (+180 bps). Poor stock selections within the Information Technology detracted the most (-81 bps). At the security level, the two largest
contributions during the quarter were Ross Stores and TJX Cos., which are both consumer discretionary names. On a less positive note, the largest two
detractors were in the financial sector (Wells Fargo and Hudson City Bancorp.).
Ton Contr6butors by Noid'ing
Company Nance
RC~55 STrJRES INC
TJX CGS I"JC hdE~'d
INTERNATIGNAL BUSIftiE55
CGF.4RT I"J~C
5~ ~UC:E ~'EC INC
Avg VNt Return
2.17 19.56
2.51 25,28
3.Q1 15.72
2.82 9.8°
3.n7 ba.22
_...... _.._ _ _i
Contrib I
Company Name.
Avg Wt
Return
Contrib
0,57 I ;'v E! L5 F.4RG4 £. CO hE~,^! 1.Lti8 -:3.75 -1.71
0.55 HJDSGN CITY BANCGRF 2.2Ci -35.y= -C.78
0 ~ i
I
METTLE': TGLEDC7 I~ti'TERVA.
2.37
-z4.7n
-C.71
0.3~ NATI7`J~J1`IGE H~4LTH Pp-1' 2.6C~ -21,42 -C.51
0.23 I LC~CK+~EE~~ "~=-IN CJRP 2.88 1,.,,
,..~ ry
" --
_______n__-__. ..-..__..__~________a__
Ltlt'Q~5$ Na3~t~C[tKiS _______.._ . ___,____. ._.._ _..._...m..m_.. _w
~_.,._.,_.,.e..
Bt: St ~£i{Gk[tY1P_r5 ___ .__.____ __._ ..._---
VVoR'~L ~EI'f4fI1}'Et"5
.......
_. .
Campany Nance
Avg Wt
Return
Company Name..
Avg LVt
Retrirn
Company Nance _
Avg Wt
Rehim
STERIC't`CLE INC.. 3.32 -~ '~
v.J~ TJ~ COS INC ~lE'!v 2.51 25,25 'v'+'tLL_ ••°Ah~oG u, CG NE~i~' 1.55 -5.:+.75
@,4YTER IN-L INC 3.23 -3.94 E;~:O~= S~C:R.ES IRC 2.17 i9.5{ ?=US'St'~~! CITY' $a~tiC'Q~.P 2.2C -2a.9i
MEGCO HEALTH SGLUTIGNS 3.09 -i.36 INTERNATIQ('J.4L BUSINESS 3.C~1 15.72 ~'ET-LER T4LEG0 IN-ER.NA 2.37 -24.73
S- :UCf '''EC INS. 3.07 1:'.22 ST JJDE MEG IM1C 3.C3 10.22 yRICE T R't'V'f"E G~tdU~ INC 1.57 -22A
IVTERN.4TIGM1AL 6USINESu 3.01 15.72 CO°ART INC 2.82 9.99 ~ `J.4_IG~v1^JIuE HEALTH FFTY 2.5v -21,2
Qug Avg Port Bnirk Part Bmrk Allac Select Total
Sector Name Port Wt Bmrk Wt Return Return Contrib Contrib Effect Effect Effect
Total F~itfo is ~
............... .,.,,......,,..,.,,.,,.,..,.,.,..,,.,.,...,.,.,..,,.,..,,..,..,,,, .,....~.. 13f} 3~.
, ,.,,,..,, i^i3 t7-
.,..,,,.. ,, -7.22 -ll.Qi
,,.,,..,.,....,...,...,.,...,....,,.,,..,... 7 22 il.~i 1.,7
.......,, ...,..„,.,,.,.,,,.,,,..,,,,.,,.,.,..,,,,.,.,.. 2 ~~
,....,.., , 3,7Q
.,...,...,.,.,..,'.I
h1k#Cap I~ss than ~•2$i 4.5° 1,1~ -1tti.~1 -7,19 -3.51 ~.1~ ~ -~3.F$ -~3.$n
h1kt~'ap Ntv: $~$ a~~ 51(~3 35.31 17.48 -3.9~ -y.$5 -3,8~J -1.;23 i,35 7,2~
htkt~ap btw $1t1$ and ~•2~?$ ~ Z?,~6 17.7a -9.v'~ -4.35 -1.i30 -1.47 0.1.9 1,~3t 1,21
hlkt~~ap bhp: ~2~3$ any; i.2t~~36 ~ 34.3v 57.2r -il.w4 -12,31 -9.33 -7,4'3 Q.25 01,33 X3.53
i
hlktGop greater than S~LC~B
G.96
5.76
-?.72
-19.x;;
3.23
x.59
0.29i
-f3,~4
~J.2a
A reversal from 4Q08, smaller capitalization stocks within the S&P 500 Index performed better than the larger cap stocks. Rockwood's market cap distribution
within the portfolio benefited performance during Ql ("allocation effect" was +137 bps). The portfolio was overweight small and mid cap stocks (mkt. cap up
to $ l OB) relative to the index and underweight the larger cap stocks (mkt. cap greater than $20B).
Investment Market Summary
Playing the Waiting Game... No Magic Bullet.
Although the economy appeared to unravel at an incredibly rapid pace by any
historical standard over the last nine months, the multiple layers of credit
expansion and financial engineering that led to the current recessionary
environment simply do not lend themselves to an equally short-term
resolution. This lack of a "quick fix" to the economy's woes is difficult
information for market participants, which often react as poorly to future
uncertainty as they do to the actual realization of bad news, to effectively
digest. However, it is also important to remember that the economy and the
market are not on the same clock. The market represents a classic leading
economic indicator, and if history is any guide, the market will recover even as
headline economic data, such as unemployment (currently 8.5%), continues
to deteriorate. While corporate earnings will certainly represent a significant
part of the market's ultimate recovery, the first critical component must be
some return of investor confidence in the financial system and equity
investments as an essential tool for long-term portfolio growth.
After ending 2008 with a positive month, investors were hopeful that the first
quarter of 2009 would represent the start of the market's recovery.
Unfortunately, the market spent much of the first quarter adding to the losses
sustained during the last quarter of 2008. This downward spiral, which
thankfully received a large dose of late March relief, shook the resolve of
many long-term investors. The broad market Russell 3000 Index posted a
return of -10.8% for the quarter. While two of the ten economic sectors of the
Russell 3000 Index returned worse than -20% (financials and industrials) and
three other sectors posted returns of less than -10% (energy, consumer
staples and utilities), unlike the 4`h quarter, there was a pocket of positive
performance. The information technology sector, which was the core index's
most heavily weighted sector (18.5%), managed a return of +3.5% for quarter.
In the large cap space, the S&P 500 and Russell 1000 Index posted returns of
-11.0% and -10.5% respectively. Further down the capitalization spectrum,
the Russell MidCap Index returned -9.0% for the quarter and the small cap
Russell 2000 Index returned adisappointing -15.0%. Due to the relative
strength and weight of the information technology sector in the indices, growth
style benchmarks outpaced their value counterparts by a wide margin at every
capitalization range. The broad market Russell 3000 Value Index fell by
-17.0% while the Russell 3000 Growth Index returned a much more mild
-4.5%. Large cap issues, as measured by Russell 1000 Index, returned
-16.8% for value vs. -4.1% for growth. The Russell MidCap Value Index
returned -14.7% vs. -3.4% for the Russell MidCap Growth Index. In the
narrowest spread of the quarter, the Russell 2000 Value Index returned
-19.6%, which fell short of the Russell 2000 Growth Index return of -9.7% by a
margin of 9.9%.
First Quarter 2009
It was a tale of two markets between the performance of developed and
emerging market indices during the quarter. The developed markets as
measured by the MSCI-EAFE Index, declined in both U.S. dollars (-13.9%)
and local currency (-10.0%) for the quarter. Within the 21 country index,
Norway, which was down more than 40% in the 4th quarter of 2008, posted
the index's only positive country performance with a U.S. dollar return of
+3.3%. The major countries of the index (Japan, United Kingdom. France,
Switzerland and Germany), which collectively represent more than 60% of the
index, were each down in excess of -10% during the quarter. Unlike the wide
performance bands of the domestic style indices, the international style
distribution was somewhat tighter in the developed markets with the MSCI-
EAFE Value Index returning -15.5% vs. the MSCI-EAFE Growth Index return
of -12.3%. After declining more than 50% in 2008, the MSCI Emerging
Market Index returned +1.0% in U.S. dollars and +4.2% in local currency for
the quarter.
A large number of the government's broad-based initiatives to bring stability
and return liquidity to the fixed income markets were fleshed out during the
quarter. The structure and size of these programs continues to evolve on a
daily basis and their ultimate success will likely be difficult to measure in the
near-term. However, it is also clear that the Fed and Treasury remain on the
offensive, as they vocally assure the market's participants that they will do
what is necessary to ensure stability and liquidity to the financial markets.
The Barclays Capital U.S. Aggregate Index mild return of +0.1% masked
some of the performance disparity within the bond market's government,
mortgage and credit sectors. Reversing a massive flight to quality that
occurred in the bond market since the outset of the credit crisis, government
obligations pulled back during the quarter with the Barclays Government
Index returning -1.0% for the quarter. Outside of government issues and
aided by prospect of protection through government programs, the Barclays
Mortgage Index returned +2.2% for quarter. As a symbol of the fear still
present in the credit market, the Barclays Corporate Investment Grade Index
posted a return of -1.9%. Despite these investment grade credit losses, many
lower quality credit issues were positive. Aided by its higher coupons, the
Merrill Lynch High Yield Master II Index returned +5.0% for the quarter.
Despite our current economic problems, we have faith in the future the United
States and the adaptability of the financial system. As large and unpopular as
some programs may be, it is a natural expectation for the government to
temporality pick up the slack and attempt to drive economic growth forward as
personal consumption and business spending slows. The timing of the
market and eventual economic recovery is difficult to pinpoint and as Tom
Petty phrased it so eloquently back in 1981, "the waiting is the hardest part".
~_ Tlrr.
BOGDAHN
°° GROUP
Page 2 of 23
The Market Environment
Major Market Index Performance
Period Ended: March 31, 2009
MSCI EAFE
MSCI Emerg. Mkts.
SB~P 500
Russe113000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays Corp IG
Quarter Performance
3mos. T-Bi II
-t 3.9
1.0 %
-t t.o %
-to.a %
-10.5%
-s.or
-15.0
o.t %
-t.o %
2.2%
-t.s %
o.t %
-20.0% -15.0% -10.0% -5.0% 0.0% 5.0%
MSCI EAFE
MSCI Emerg. Mkts.
S&P 500
Russel 13000
Russe111000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays CorplG
Five Year Annualized Performance
3mos. T-Bill
Page 3 of 23
MSCI EAFE
MSCI Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays Corp IG
3mos. T-Bi II
-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0%
Ten Year Annualized Pertormance~
MSCI EAFE
MSCI Emerg. Mkts.
S&P 500
Russel 13000
Russell 1000
Russell MidCap
Russel 12000
3mos. T-Bill
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0%
Source: MSCI Capital Markets. Russell Investments. Barclays Capital & Bogdahn Consulting, LLC. ~ I Hl
BOGDAHN
~~ GROUP
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays Corp IG
One Year Performance
The Market Environment
Long-Term Major Market Index Performance
Period Ended: March 31, 2009
Fifteen Year Annualized Performance I ~ 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 Corp IG
3mos. T-Bill
7.3
0.0% 2.0% 4.0% 6.0% 8.0% 10.0%
Twenty-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 Corp IG
3mos. T-Bill
MSCIEAFE
MSCI Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell MidCap
Russell 2000
Barclays USAgg.
Barclays US Gov.
Barclays MBS Fixed
Barclays Corp IG
MSCIEAFE
MSCI Emerg. Mkts.
S8P 500
Russel 13000
Russell 1000
Russell MidCap
Russell 2000
Barclays US Agg.
Barclays US Gov.
Barclays MBS Fixed
Barclays Corp IG
3mos. T-Bill
0.0% 2.0% 4.0% 6.0% 8.0%
r-
Thlrfy Year Annualized Performance
3mos. T-Bill
5.9
a.e
10.3
1o.z %
] 10.3%
11.6
9.6
a.s %
8.7
8.9
s.a %
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0 % 0.0%
Source: MSCI Capdal Markets, Kussell Investments, Barclays Gaprtal K t3ogdahn Uonsulhng, LLG.
3.0% 6.0% 9.0%
12.0% 15.0%
~"\ ~1-F I I .
+~ \ BOGDAHN
'`" GROUP
Page 4 of 23
10.0% 12.0%
The Market Environment
Russell Style Index Performance
Period Ended: March 31, 2009
Quarter Performance I
3000 Value
30001ndex
3000 Growth
1000 Value
10001ndex
1000 Growth
MidCap Value
MidCaplndex
MidCap Growth
2000 Value
20001ndex
2000 Growth
-25.0% -20.0% -15.0% -10.0%
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
Source' Russell Investments
Page 5 of 23
One Year Performance
3000 Value
30001ndex
3000 Growth
1000 Value
10001ndex
1000 Growth
MidCap Value
MidCaplndex
MidCap Growth
2000 Value
20001ndex
2000 Growth
-50.0% -40.0% -30.0% -20.0%
,Ten Year Annualized Performance
3000 Value
30001ndex
3000 Growth
1000 Value -o.s r
1000 I ndex -z.s i
1000 Growth -s.s
MidCap Value s,ty,
MidCap Index z,5
MidCap Growth .osi
2000 Value a,y
2000 Index t,y
2000 Growth .i.s
-8.0% -6.0% -a.0% -2.0% 0.0% 2.0% 4.0% 6.0%
~~ BOGDAHN
GROUP
-5.0% 0.0%
-10.0% 0.0%
-4.0% -3.0% -2.0% -1.0% 0.0%
The Market Environment
4t" Quarter & Year-to-Date GICS Sector Performance & (Year-End Sector Weight)
Period Ended: March 31, 2009
sC1TR Energy (11.8%)
y 1-Year
Materials (3.7%)
Industrials (10.3%)
Consumer Disc (9.6%)
Consumer Staples (11.5%)
Health Care (14.8%)
Financials (12.0%)
Info Technology (18.2%)
Telecom Services (3.7%)
Utilitres(4.4%)
Russel 13000
QTR Energy (12.5%)
^1-Year
Materials (3.7%)
Industrials (9.9 % )
Consumer Disc (9.4%)
Consumer Staples (12.0%)
Health Care (14.7%)
Financials (11.3%)
Info Technology (18.2%)
Telecom Services (3.8%)
UtiIItl6s (4.4%)
~ Russell 1000
a QTR Energy(7.0%)
^ 1-Year
Materials (5.5%)
Industrials (12.0%)
Consumer Disc (16.5%)
Consumer Staples (6.8°/ )
Health Care (9.9°/ )
Financials (15.8%)
Info Technology (14.8%)
Telecom Services (2.5%)
Utilities (9.2%)
-11.2°/<
-40.5
-3.2
-as.7
-zo.s %
X9.6
-6.5
-37.7
-10.3
-23.2
-7.3%
-1 s.s %
-27.0 %
-58.1 %
3.5
so.z %
b.2
-26.7
-11.4
-29.7
-70.0% -60.0% -50.0% -40,0% -30.0% -20.0% -10.0% 0.0% 10.0%
Rusell MidCap
-70.0% -60.0 % -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0%
Source: Thompson Financial
-70.0% -60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0%
Russell 2000
OQTR Energy(4.2%) -61.0%
^1-Year -16.5%
Materials(3.7%) -a5.s%
-23.5
Industrials (15.3%) az a%
-5.3
Consumer Disc (12.3%) -047%
-1 o.a %
Consumer Staples (4.1%) -z3.6
-11.3
Health Care (15.8%) -z5.7%
-25.5
Financials (20.6%) do,o %
-l.a %
Info Technology (18.3%) a27%
-6.2
Telecom Services (1.3%) aoa%
-ltz%
Utilities (4.6%) -10,7 %
-70.0% -60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0%
!~
~ BOGDAHN
~'.~ GROUP
Page 6 of 23
The Market Environment
Domestic Credit Sector & Broad Market Maturity Performance & Rate Comparison
Period Ended: March 31, 2009
Quarter Performance One Year Performance
Page 7 of 23
AAA
AA
A
BBB
<BBB
1-3 Yr
1-5 Yr
1-10 Yr
10+ Yr
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0%
2009 Market Rates
7.00
Fed Funds Rate -TED Spread
6.00 ° 3-Month Libor BAA/10yr Spread
5.00
4.00
3.00
2.00
1.00
0.00
Jan-09 Feb-09 Mar-09
Source: Merrill Lynch ,Mortgage-X.com , US Department of Treasury & St. Louis Fed
AAA
AA
A
BBB
<BBB
1-3 Yr
1-5 Yr
1-10 Yr
10+ Yr
-3.7
~4.9
ao.i%
-8.2
-20.3
4.1
a.o
4.1
to%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0%
Treasury Yield Curve
6.00
5.00
4.00
3.00
2.00
1.00
0.00
012/31/2007_ 0 9/30/2008 +12/31/2008 -0-3/31/2009
O
O
O
O
O
~ O
mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
~~ BOGDAHN
GROUP
The Market Environment
Taking along-Term Perspective
10-year rolling monthly returns of stocks, bonds and cash (1/1/26 - 3/31/09)
A.,.,i~~li~crl Rofilrn f~11
25
20
15
10
5
0
-5
;~h ~~ Ry h~ `~~ fO~ ~y 1~ '~~ ~~ ~y 9~ Ay Ao Ay ~~
4 G G G 4 G G 4 G eG OeG Oe4 OeG O;~G OeG ~eG
Oe Oe Oe Oe Oe Oe Oe Oe pe O
880 rolling 10-year observations
- Stocks outperforms Bonds 736 rolling periods or 84% of the time.
-Stocks outperforms Cash 749 rolling periods or 85% of the time.
-Bonds outperform Cash 723 rolling periods or 82% of the time.
"1 tai
Source: Ibbotson &ZephyrAssociates BoC'irDAHN
GROUi~
Page 8 of 23
Total Fund
March 31, 2009
~• ii: ~ ~ ~
December 31, 2008: $3,934,056 March 31, 2009: $3,841,461
Segments Market Value Allocation Segments Market Value Allocation
^ Equity 1,879,256 47.8 ^ Equity 1,972,900 S1.4
Fixed Income 1,514,906 38.5 ~ Fixed Income 1,445,936 37.6
^ Cash Equivalent 539,893 13.7 i Cash Equivalent 422,626 11.0
Page 9 of 23
l~Iit
~ BOGDAHN
GROUP
Total Fund
March 31, 2009
Asset Allocation By Manager as of Dec - 2008 Asset Allocation By Manager -Current Quarter
December 31, 2008: $3,934,056
March 31, 2009: $3,841,461
^ Rockwood Capital Advisors Balanced Account
Page 10 of 23
Market Value Allocation Market Value Allocation
3,934,056 100.0 ^ Rockwood Capital Advisors Balanced Account 3,841,461 100.0
~ Ti u:
BOGDAHN
GROUP
Tequesta Public Safety Officers'
Total Fund
October 1, 2008 To March 31, 2009
ioo.o
90.0
80.0
70.0
60.0
0
C
O
50.~)
v
O
Q
40.0
30.0
20.0
10.0
0.0 -
Equity
Pale 1 ] of 23
1
_~
I
9/ g 10/08 11/08 12/08 ]/09 2/09 3/09
Domestic Fixed Income ®Cash Equivalent
~~ BOGDAHN
GROUP
Tequesta Public Safety Officers'
Comparative Performance Trailing Returns
As of March 31, 2009
Total Fund (Net) -3.49 (l6) -13.65 (16) -18.71 (10) -10.10 (l6) -3.76 (15) -0.46 N/A 05/01/2005
(~Ixl~ ~'ttflll ~~i*~!C'e. -(~ ~ 'i 1 ~4; S ~ ~'.-?;" -.~ ~ '. ~ i, _ -
Difference 3.02 3.83 4.96 2.31 1.87 1.85
Mixed-Asset Target Alloc Moderate Funds (MF) Median -5.09 -18.09 -25.31 -14.35 -7.10 N/A
'otal Fund (Gross) -3.49 -13.53 -18.38 -9.68 -3.26 0.02 05/01/2005
Difference 3.02 3.95 5.29 2.73 2.37 2.33
Equity -6.96 (13) -27.09 (17) -33.53 (l8) -21..00 (28) -10.43 (23) -4.29 N/A 05/01/2005
S~~I' >(u~ - -
_c ((-:vl X11 ~ ~ _
,. ~~IS; a^(li _ ~ -~ d(, i'~4 ~)V -
-
1
Difference 4.05 3.45 4.56 2.34 2.63 2.84
US Core/Large Cap Equity (SA+CF) Median -10.44 -29.75 -37.04 -22.70 -12.51 N/A
Fixed Income -0.10 (82) 3.12 (82) 0.76 (76) 4.85 (68) 5.29 (66) 4.46 N/A 05/01/2005
13<irQah lllil'f111('(1101C ~'.~. ~J(1~'erl1lnk lt~C~C+.CI!i i• i!; 1~~1'f '7n ~f,~~~. ,q.. (, ;(.h \
Difference -0.05 -1.67 -1.20 -0.51 -0.33 -0.06
US Intermediate Fixed Inc<~~ne (SA+CF) Median 0.66 5.10 3.26 5.54 5.80 N/A
Returns for periods greater than one year are annualized.
Returns are expressed as percentages.
Page 12 of 23
^~ I~tiF,
BOGDAHN
~~~ GROUP
Tequesta Public Safety Officers'
Comparative Performance Fiscal Year Returns
As of March 31, 2009
Total Fund (Net) -11.80 (22) 14.24 (16) 4.07 (95) N/A N/A
~,
Difference 0.66 2.22 -3.81 N/A N/A
Mixed-Asset Target Alloc Moderate Funds (MF) Median -14.56 11.55 7.25 9.54 9.40
Total Fund (Gross) -11.34 14.82 4.67 N/A N/A
~ °;
Difference 1.12 2.80 -3.21 N/A N/A
Equity -21.39 (50) 21.99 (9) 5.38 (96) N/A N/A
Difference 0.59 5.55 -5.41 N/A N/A
US Core/Large Cap Equity (SA+CF) Median -21.43 16.61 10.78 14.40 14.28
Fixed Income 3.55 (36) 5.93 (8) 3.88 (46) N/A N/A
.,,, i
~~~ _
Dit~erence 1.14 0.85 0.55 N/A N/A
US Broad Market Core Fixed Income (SA+CF) Median 2.55 5.15 3.86 3.11 3.79
Rehirns for periods greater than one year are annualized. j~ TI II_
Returns are expressed as percentages. • ~ BQGLAl l lr
GRQUP
Page 13 of 23
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
March 31, 2009
Market Value Net Market Value
As of
Transfers Contributions Distributions Fecs Expenses Income t"Aprtal As of
12/31/2008 Apprea/ Deprec.
3/31 /2009
Total Fund Portfolio (Net) 3,934 -33 78 - - -I 28 -164 3.841
' ~ ~ ~ 1,
Market Valve Net Market Value
As of
Transfers Contributions Distributions Fees Expenses )ncome Capital As of
9/30/2008 :~pprcc/ Deprec.
3/31 /2009
Total Fund Portfolio (Net) 4,245 -33 239 - -G -21 53 -637 3 841
t t 't t ~t t ~. t
10.00 - --- - - - - -- -- -- _.
0.00
-10.00- ~
-20.00 -~ ^
c
..
-ao.oa
-5().00 I I I _ I _. I _ _ _ I_ ~
1 Oct-2008 I 2 3 a :
Quarter To ti"ear Years Years Years Years
Mar-2009
^TotalFundPortfolio(Nct) -339 (IG) -13.65 (lG) -18,71 (10) -1(1.10 (IG) -3J6 (15) -L37 Q3) N/A
• Total f and Policy -6.51 (78) -17.48 (43) -23.67 (34) -12.41 (30) -5.63 (291 -ZA7 (34) N/,A
$ 1 70.0
$120.0 ~,
~suno-
Anon
$900
$80 U ~-
G/OS
Se;.v
$39A
T- ~-l
3/06 12/06 9/07 G/08 3/09
Median -5.09 -18.09
t t. i -25.31 -14.35 -7.10 -7.76 -1.79 -Total Fund Portfolio (Net) Total Fund Policy
I 1 I 1 I I
Quarter Quarter Qnarter Quar[er
Q
er
Ending F,nding Ending Ending
Endin;r Endin
g
Dec-2008 Sep-2008 .lun-2008 A-tar-2008 Dec-2007 Sep-2007
Total FundPortfobolNeq -10.52 (21) -Z64 (42) 1.93 (2) -5,77 (61) -0.64 (39) A.16 (2)
Total Fund Policy -11.73 (28) -5.50 (13) -2.12 (81) -4.56 (351 -0.84 150) 2.40 (32)
Mixed-Asset Target Alloc Moderate Funds (MF) Median -13.40 -8.OG -1.03 -5.40 -0.85 1.93
Page 14 of 23
~"~ ~I•IIG
~ BOGDAHN
GROUP
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
March 31, 2009
't t• ~ t
20.0
I z.o
ao
0
-4.0
C
~ -12.0
c
~ -?0.0
-20.0
c:
Total Fund Policy('%~)
f Under Perfirmance -~ Over Perfirn><vice -~ Mar-200R -0- Mat-2009
1 1
3.50 I' - - __ __- _ _ - __
0.00
-3.50
,~
n ou - - - - -
z
'~ so 00 ~ ~ ~
a
E
75.00
cC
I OODO --r ~ - r- ~
(,/04 C/05 6/OG 6/07 G/OS 3/09
Total Period $-25 25-;Median Median-75 75-95
Count Count Cmmt Count
^ Total Fun d Portfol io (Net) 5 2 (40""/0) 2 (40 %) l (20 %) 0 (0 % )
~ "Ibtal Fuu d Policy 4 3 (50%) 2 (50%) 0 (0""/0) 0 (000/n)
~ t
i 00 - _ _ ---- - _.-__ __ - _ _ -
~ qO
0.00 i
~ -2
50
_~ -7.00 .
-10.50 ~
L E
~ -5.00
~ ..
-7
50
-14.00 ~ ~ .
0 __ - - ~{- -
- - -- _. -10.00 - -~- >- - -~ ~
-17.5
~
5.00 10.00 ~
15.00 20.00 5.(10 7.50 10.00 12.50 15.00 17.50
Risk ( Standard Deviation'%~ ) Risk (Standard Devia tion '% )
Return Standard De viation Return Stand ard Deviafion
^ Toml Fund Portfolio (Net) -3.7G 9.72 ^ 'Total Fund Portlolio (Net) N/A N/A
• Total Fund Policy -5 G3 10.84 • 'Total Fund Policy N/A N/A
- median
-7.10
I I.51 -Median -I 79 9.55
1
hp Down Sharpe Downside
Tracking Market Market :11pha IR Ratio beta Risk
F"rr°r Ca rhu~e Ca Nure
'Ibad Fund Portfolio (Nell 3.98 92.`)0 83.90 0.97 0.4G -OJ 1 O.R3 8.40
Total Fund Policy 0.00 100110 100-00 0.00 N/A -0-81 I.00 9.G0
I
~ ~' P Down Sharpe Downside
Tracking Market Market .alpha IR Ra[in Reta Rick
F,rror ('a tore Ca [u re
lb(al Fund Portfolio (Net) N/A NiA N/n N/.ti N%n N~.~ N/A N/A
Total Fund Police N'A NiA NiA N/~ N'A N!A NiA N/A
~~ $oGDAHN
GROUP
Page 15 of 23
-1 2 U -4.0 4.0 12.0 20 (1
Tequesta Public Safety Officers'
Total Equity Portfolio
March 31, 2009
~ I 1 ~
Marko Value
Net Market Value
As of
Transfers
~-ontributions Distributions Fees
Expenses
lncome Ca nt.~l
As of
11/31/2008 p rec./ De rec.
PP p 3/312009
TotalF,quityPortfolio 3,934 -33 78 _ - _1 2R -I(4 3,841
' I I I 1 .
Market Value
vet Market Value
As of
Transfers Contribufiuns Distributons Fees F,x enses
p Income Capital ps of
9/302008 ,lpprec./ Deprec.
3/312009
Total Equity Portfolio 4245 -33 239 - -(, -21 53 -(i37 3,841
~ 1 / 1 1 1 [.
1
$1600-
10.00 -- - -- -- - - - -
0.00
-10.00
-20.00
E
C
-30.00
-40.00
-50.00 ~
1
Quarter
~ ~~~~
Oct-2008 1 2 3 4
To Year Years t"ears Years fears
Mar-2009
^ Total F,quityPortfolio -69G (131 -27.09 (17) -33.53 (IS) -21.00 (28) -10.43 (23) -5.76 (37) N/A
• S&P 500 -11.01 (G8) -30.54 (71) -38.09 (76) -23.34 (67) -13.06 (66) -7.43 179j -4JG (84)
Median -10.44 -29J5 -37.04 -?2.70 -12.51 -6.51 -3.43
$145.0
5130.0
$115.0
$100.0
$R5.0
70.0 -i
73.9
573.4
Q55.0 ~
3/05 3/OG 3/07 3/OR 3/09
-Total Equity Portfolio ~ SF~P 500
I 1 t
1 1 1 1 1 I
Quarter Qnarter Quarter Quarter
Qnartcr
Quarter
Endin
g F.ndin~ Ending En[lin~ Ending Ending
Dec-2008 Sep-2008 .lun-2008 11ar-200R Dec-2007 ticp-2007
Total Equity Portfolio -21.fi3 (49) -13.OR (90) 4.RR (4) -11.29 (R71 _2.R0 (4R) 5,21 (6)
SFiP 500 -21.94 (591 -8.37 (39) -2.73 1831 ~)A4 1371 -3..>3 1661 2.03 (471
US Core/Larae Cap Equity jSA+CF) Median -21.74 -9.02 -I 22 -9 47 -2 87 198
Page 16 of 23
BOGDAHN
~~' GROUP
Tequesta Public Safety Officers'
Total Equity Portfolio
March 31, 2009
., ,. ~ ~. ,
Over
Pcrfom~ance
0.0 -
o.o
g
`~ -lo~)~
i
-zo o ~ Gnder -
'~ P erto rman ce
R -;0.0 - - - ~ -- - - ~ - - - r -- --- - T
F -so.o -zo.o -i o 0 o n 10 o zn.o
S 1~P 500 ('% )
~ UnderPerfin~nce -t OverPe~~fbrnwvice -Mar-2~~(1R -0-Mar-2009
1 1
00 - - - - -- - - - - --
0.00 -
-G.00
~
e
1_.00
ti -L8.00- .
z -34A0
-3(1DO ~ -~ - - ~ - - ~
5.00 1 0.00 1 5 00 30.00 25 00 30.00
Risk (Sta ndard Deviation '% )
Re[urn Standard Deviation
^ Total Equity Portfolio -1 Q43 17.4'=
• S&P 500 -13.06 16.22
- n4edia^ -12.51 IG.22
,l
0 00 ~ - _ __
c
z 25.00-
'~ so.oo
• • ! •
~ •
• • • •
~
75.00
1 • ~ ~
~
~' •
- • • •
z
I o0 00 ~-_-r - -r - ~ - ~- ~ r-
cro4 clns e~ov ~io7 bios 3io9
Total Period 5-25 2.5-Median Median-7,5 75-95
Count Count Count (:nun[
^ Totel Equity Po:Yfolio 5 2 (40%) I (20%) 2 (40 iol 0 (0%)
• S&P 500 30 0 (0%) 0 (0^i) 13 165%) 7 (35%)
1 1
10.00 -- ---- - - ---- -- _. _
5.00
0.00
-5.00
Y -10.00
c
15.00
5.00
10.00 15.00 20.00 25 00
Risk(S[andard Deviation'%~)
Return Standard Deviation
^ Total Equity Portfolio N/A N/.A
• SKP 500 -4.76 14.28
- Median -3.43 14.41
t
11p Down Sharpe Downside
Tracking Market Market Alpha IR Ratio Beta Risk
F. n•or Ca tore Ca ih~re
Toed Equity Portforo G.1e un.t>4 va71 t ~x n t7 -0 7~ 0.~2 ts.29
sip Soo n nn l oaoo l o0 on a oo h; A -o.9z Loo 1 s ~n
t
"
~ ! p
Down
Sharpe
Downside
Cracking Market Market :11pha IR
Ratio Be[a
Risk
Error Ca lure Ca lure
Total F,quiry potY'fotio V/A N/A N!A N/A N/A N/A N/A N/A
S&P 50(1 0.00 100.00 100.00 0.00 N/A -0.47 1.00 ]2.55
~'~ "Ili E
BOGDAHN
GROUP
Page 17 of 23
Tequesta Public Safety Officers'
Total Fixed Portfolio
March 3l, 2009
~ 1 1
Market Value Net Market Value
As of
Transfers Contributions Distributions Fecs Expenses Income Capital As of
12/31/2008 Apprec./ Ueprcc.
3/31/2009
Total Fixed PoiYfolio 3,934 -33 78 _ _ _1 ?8 -164 3,841
.. 1 1 1 1 ,
Market Value
Net Market Value
As of
Transfers Contribntions Distributions Eees Expenses Income Capital As of
9/30/200R Apprec./ Deprec.
3/31 /2009
Total Fixed Portfolio 4.245 -33 239 - -6 -21 53 -G37 3,R4I
1 1 11 1 1 1 1
10.00 -- -
5.00
•
0 00 ~
i
H -5.00
C
-10.00
-IS 00
1
Quarter
i J - i i i
Oct-2008 1 2 3 4 i
To Year Years Years Years Years
Mar-2009
3.12 (77) 0.7G (71) 4.85 (531 5.29 158) 4.28 tG9) N/A
SOG (47) ].78 (61) i01 (47) 5.47 1521 4.59 (581 3.74 IGS)
^ Total Fixed Portfolio -0.10 (74)
• Barclays Capital U.S. Governmeut/Credit -1.27 ('89)
Median 0.48
4.91 2.G 1 4.89 5.47 4 70 4.Oh
$ 120.0
5115.0
51100
S 105.0
5100.0
117.3
115.7
$95.0 ~~ r --- T----~- ~--T~
G/OS 3/0( 12/06 9/07 (r/OS 3/09
-Tokal fixed Portfolio
Barclays Capital O.S. Govermnenf/Credit
1 1 1
1 1 1 1 l 1
Quarter Quarter Quar[er Quarter
Quarter
Quarter
F,ndin
i,' Entlin~ F.ndin~ Ending Ending Ending
Dec-2008 Sep-2008 .lun-2008 Mar-2008 Drc-2(107 Sep-2007
Total Fixed Portfolio 3.23 (SR) -O.R2 (38) -1.48 (871 2.70 (191 3.19 (20) 3.23 (10)
Barclays Capital O.S. Government/Credit 6.42 (12) -L64 155) -151 (89) 2.53 (2G) 3.10 (271 3.01 (2G)
US Broad Market Core Fixed income (SA+CF) Median 3.73 -1.44 -094 1.9R 290 2.85
Page ] 8 of 23
+~ l l n
~ BOGDAHN
'~ GROUP
Tequesta Public Safety Officers'
Total Fixed Portfolio
March 31, 2009
~~ t~ ~
2n __ _ _ - - - --
Over
r erfi~m~n ce
6.0 -
SU-
o ^
4,0-
o- under
'~' Perfirn>,3ncel
~'- 20 -- -~ ~-- _ _. ~ - _-T _. ll
F' z 0 3.0 49 5.0 6.0 79
B a rcl a ps Capital U.S. G o veto m enUC redi t ('%~ )
-Over Perfo m><ance f-Under Perfo rrrmnce -~.Iun-2008 Mar-z009
.t ~.
o.oo - - -
c
z5.00
5 • ~ • • •
50.00
. •
a
E 75 00 ~ `
.. ..• '.
s too nn ~ ~ ~ ~ * T --r --r 1
v/04 v/OS G/06 6/07 6/08 3/09
Total Period
^ 'Total Pined Portfolio 4
• Barclavs Capital U.S. Govemment~Credit 20
5_25 25-Median Median-75 75_95
Count Count Count Count
2 (50%) 1 (25%1 I (25"%) 0 (0%1
0 (0%) 7 (35%) 5 (25%) 8 140"%~l
t ~ 1 t _
C.00 ~ - - - - -~- - - - -- _ - - - _
10.00 ~ _ -
890 -'
v 00 -_ ~~
e 4.00
E z.on
E
a U.00
-z.00 ~- ~
z9o a o0
T 1
v.oo s.oo
Risk (Standard Deviation'%~)
Return Standard Deviation
^ Total Fred Portfolio 5.39 3.37
• Barclays Capital U.S. GovemmenUCredit 5.47 4.R0
- Median 5.47 3.84
4S0
e 3.00
~ 1.50
z`
1 n no ~ r- - - ~ r r-~
t o 00 1 so 39n asa v 90 7so e.oo
Risk (Std nda rd Deviation'%.)
Return Standard Deviation
^ Total Piled rortfolio N/A N/.4
• Barclays Capital U.S. Government/Credit 3.74 4.73
- Median 4.OG 3.79
r
11p Down Sharpe Downside
Tracking 'Market Market Alpha IR
Ratio Beta Risk
Error Ca rhrre Ca rturc
Total Filed rortfirlio ?.31 85.24 G9,43 1.09 -0.09 0.41 0.7G '?.61
Barclays Capital U.S Govenvnent/Credit 090 100.00 I009p 0.00 K1A 039 I.00 2.49
t
1. p Down Sharpe Downside
Tracking Market Market Alpha IR
Ratio Beta Risk
Error Ca lure Ca tore
Torrl Pined Portfolio N/A N/A V;,~ N/A N/A N/A WA N~/y
Barclays Capital l;_S. Govemuxnt~Credit 0.(10 100.00 100.00 0.00 N/A 0.15 L00 2.G6
Till.
BOGDAHN
~~ GROUP
Pa~~e 19 of 23
Tequesta Public Safety Officers'
Total Fund
As of March 31, 2009
,,
Effective Date: Apr-2005
S&P 500 Index G0.00
Barclays Capital Intermediate U.S. Government!('redit 40.00
`I to
BOGDAHN
Page 20 of 23 ~~ GROt P
Statistics Definitions
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. [t 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, but 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 vahie, 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 the 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 Retun~ -- Arithmetic difference beriveen the managers return and the benchmark retun~ 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.
I `r rn
BOGDAHN
GROUP
Page 21 of 23
Village of Tequesta Public Safety Officers' Pension Fund
Compliance Checklist as of March 31, 2009
. .
1. The Total Plan return equaled or exceeded the 8% actuarial earnings assumption over the trailing three and five year periods. ,/
2. The Total Plan return equaled or exceeded the total plan benchmark over the trailing three and five year periods. /
3. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three and five year periods. /
4. The Total Plan standard deviation was equal to or less than 120% of the total plan benchmark over the trailing three and five year periods. /
duity Cc~mr
- ,.
1. Total equity returns meet or exceed the benchmark over the trailing three and five year periods. /
2. Total equity returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods. /
3. The total equity allocation was less than 70% of the total plan assets at market. /
4. The total equity allocation was less than 60% of the total plan assets at cost. /
5. Total foreign equity was less than 10% of the total plan assets at cost. /
~d Income Cemr.
1. Total fixed income returns meet or exceed the benchmark over the trailing three and five year periods. /
2. Total fixed income returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods. /
3. The average quality of the fixed portfolio was investment grade or better.
3. Less than four consecutive quarters of under performance relative to the benchmark. /
4. Three-year down-market capture ratio less than the index. /
5. Standard deviation <= 150% of the index over the trailing three and five year periods. /
r+~ •I't to
~/ BOGDAHI`r1
GROUP
i. iv~aiigyCl VUI~.JCIIVIIIICU uIC inaex over the irainng tnree and tive year periods. /
2. Manager ranked within the top 50th percentile over trailing three and five year periods. /
No Text
