HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 4D_12/19/1995 NationsBank Trust
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ACCOUNT NUMBER I6E0G68Zl337
ACCOUNT MANAGER FS7
FLORIDA MUNICIPAL PENSION TRUST FUND
1/3I/415 REPORT
Rf• I• O q
Nationsbank Trust
•
FLORIDA MUNICIPAL PENSION TRUST FUND
TABLE OF CONTENTS
PAGE NO.
SUMMARY REPORTS
PORTFOLIO RETURN SUMMARY - SOURCES OF RETURN/TIME-WEIGHTED RETURNS 1
SUMMARY OF TIME-WEIGHTED RATES Of RETURN - TIME PERIODS 2
MARKET TIMING ANALYSIS 3
TRIANGLE REPORT — TOTAL FUND
TRIANGLE REPORT - EQUITY SEGMENT S
TRIANGLE REPORT - FIXED INCOME SEGMENT 4
ASSET MIX SUMMARY 7
UNIT VALUES
EQUITY ANALYSIS
COMMON STOCK SECTOR PERFORMANCE 11
COMPONENT RATES OF RETURN ANALYSIS - COMMON STOCKS 12
RISK ANALYSIS - COMMON STOCKS 13
FIXED INCOME ANALYSIS
BOND SECTOR PORTFOLIO CHARACTERISTICS 14
04_ as• w 111 "'
Nationsbank Trust
FLORIDA MUNICIPAL PENSION TRUST FUND PAGE 1
PFCC1000
060086029337 PORTFOLIO RETURN SUMMARY
SOURCES OF RETURN/TIME-WEIGHTED RETURNS
ENDING SEP 1995
FROM AUG 95 TO SEP 95
DESCRIPTION GRNDTOT EQUITIES FIX INC CASH EQ CASH
BEGINNING MARKET VALUE 15,171,309 0,067,167 6,5,8,526 708,310 -202,694
CONTRIBUTIONS/WITHDRAWALS -49,509 - - - -49,509
INCOME EARNED 86,238 11,669 72,200 2,289 -
PURCHASES/SALES - 190,501 66,818 -311,853 -
CAPITAL GAIN/LOSS 266,183 283,550 -17,398 -49 -
ENDING MARKET VALUE 15,474,148 8,536,729 6,640,297 396,560 -99,430
INCOME RETURN 0.57 0.14 1.11 0.47 0.00
CAPITAL RETURN 1.76 3.46 -0.27 -0.01 0.08
TOTAL RETURN 2.33 3.60 0.84 0.46 0.00
TIME WEIGHTED RATES OF RETURN
MONTH QUARTER CAL YTD YEAR 2 YEARS
MARKET VALUE PERCENT ENDING ENDING ENDING ENDING ENDING
SEGMENTS SEP 95 TOTAL SEP 95 SEP 95 SE► 95 SEP 95 SEP 95
GRAND TOTAL 15,474,140 100.00 2.33 5.10 21.70 22.74 10.14
EQUITIES 8,536,729 55.17 3.60 8.00 27.76 29.70 14.53
FIXED INCOME 6,640,297 42.91 .84 1.76 15.96 15.86 5.09
CASH EQUIVALENTS 396,560 2.56 .46 1.47 4.41 5.78 4.96
CASH -99,438 -.64 .00 .00 .80 .80 -K-
MARKET INDEXES
STANDARD 8 POOR 500 INDEX 4.20 7.97 24.75 29.71 15.96
WILSHIRE 5000 3.81 9.14 30.11 29.11 15.07
LEHMAN GOV/CORP INDEX 1.02 1.91 13.93 14.35 4.70
SALOMON BROS HI GRADE INDEX 1.53 2.66 19.23 20.71 5.62
90 DAY TREASURY BILL RATE .45 1.41 4.31 5.66 4.66
EAFE INTERNAT•L INDEX 1.98 4.2S 7.13 6.11 8.09
CONSUMER PRICE INDEX .26 .46 2.14 2.62 2.75
M■ OMB - - - - - - 111 ID
NationsBank Trust
4
FLORIDA MUNICIPAL PENSION TRUST FIND PAGE 2
/FCTl110
060086829337 SUMMARY OF TIME-WEIGHTED RATES OF RETURN
TIME PERIODS
ENDING SEP 1995
MARKET VAL MONTH QUARTER CAL YTD YEAR 2 YEARS
1000N ENDING ENDING ENDING ENDING ENDING
DESCRIPTION SEP 95 SEP 15 SEP 15 SEP 15 SEP 15 SEP 15
GRAND TOTAL 15,474 2.33 5.10 21.70 22.74 10.14
TOTAL 15,474 2.33 5.10 21.70 22.74 10.13
EQUITIES 8,537 3.60 8.00 27.76 21.78 14.53
COMMON STOCK 8,537 3.60 8.00 27.76 29.78 -X-
FIXED INCOME 6,640 0.84 1.76 15.96 15.85 5.01
TREASURY 8 AGENCIES 4,031 1.26 2.07 16.53 16.3, -X-
CORPORATE MINDS 2,610 0.17 1.26 13.86 13.92 -X
CASH EQUIVALENTS 397 0.46 1.47 4.41 5.78 4.96
SHORT-TERM TREAS 8 AGENCY 36 0.46 1.49 1.62 1.62 -)(-
MONEY MARKET FUNDS 360 0.46 1.47 4.43 5.80 -X-
CASH -!! 0.00 0.00 coil 0.00 -X-
INDEXES
STANDARD I POOR 500 INDEX 4.20 7.96 29.75 21.71 15.96
LEHMAN OOV/CORP INDEX 1.02 1.11 13.03 14.3S 4.70
10 DAY TREASURY DILL RATE 0.45 1.41 4.31 5.66 4.66
EAFE INTERNAT•L INDEX 1.18 4.25 7.13 6.11 8.01
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FLORIDA MUNICI►AL PENSION TRW' FUND PAGE 7
►FCC1700
060,86829537 ASSET MIX SUMMARY
ENDING SEP 19,5
ORNDTOT
MKT VALUE PER- EQUITIES FIX INC CNVTIBLE CASH EQ REAL EST INSURNCE OTHR INV NO DESC
DATES 10080) CENT PERCENT PERCENT PERCENT PERCENT PERCENT PERCENT PERCENT PERCENT
OS/!A 12,168 101.0 54.1 41.4 .0 4.5 .0 .1 .e .0
12N4 12,456 180.8 54.9 41.2 .0 4.8 .1 .0 .8 .0
01/95 12,851 100.1 52.2 42.6 .0 5.7 .0 .8 .8 .0
02/95 13,260 100.0 53.8 42.0 .8 4.5 .0 .0 .8 .8
03/95 15,461 100.0 55.1 42.9 .0 2.0 .e .0 .1 .0
N/95 15,736 100.0 54.6 42.5 .0 2.9 .0 .0 .0 .0
05/95 14,194 .0 .8
108.8 53., 42.6 .8 3.5 .0 .1 .0 .0
06/9S 14,693 100.0 53.8 43.1 .0 3.1 .0 07/95 14,981 100.0 54.5 42.5 .8 3.8 .0 •e .0.8 .0 .0
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08/95 15,171 100.0 53.2 43.5 .0 4.7 .0 .0 .1 .0
09/95 15,474 100.0 55.2 42.9 .0 2.6
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•
FLORIDA MUNICIPAL PENSION TRUST FUND PACE
IFCC1888
868886829337 UNIT VALUES
ENDING SEP 1995
DATES CRNOTOT TOTAL EQUITIES FIX INC CASH EQ
83/89 1.5412 1.5412 1.8888 1.8888 1.8880
84/89 1.5885 1.5885 1.8888 1.8888 1.8888
85/89 1.4211 1.4211 1.8888 1.8888 1.8888
04/89 1.6381 1.4381 1.8888 1.8888 1.8888
87/89 1.7382 1.7382 1.8888 1.8888 1.8888
88/89 1.7384 1.7384 1.8880 1.8888 1.1888
89/89 1.7148 1.7148 1.8888 1.8888 1.1111 •
18/89 1.7155 1.7155 1.8838 1.8888 1.8888
11/89 1.7344 1.7344 1.8888 1.8888 1.8888
12/89 1.7523 1.7523 1.8888 1.8888 1.8888
81/98 1.6915 1.6915 1.8888 1.8888 1.8888
82/98 1.7828 1.7828 1.8888 1.8888 1.8888
83/98 1.7241 1.7241 1.8888 1.8888 1.8888
84/98 1.6982 1.6982 1.8888 1.8888 1.8888
85/98 1.8833 1.8833 1.8888 1.8888 1.8888
86/98 1.8233 1.8233 1.8888 1.8888 1.8888
87/98 1.8233 1.8233 1.8888 1.8888 1.8888
88/90 1.7243 1.7263 1.1111 1.8888 1.8888
89/98 1.6895 1.6095 1.0080 1.0000 1.8000
18/98 1.6991 1.6991 1.8888 1.8888 1.8888
11/98 1.7447 1.7447 1.8888 1.8888 1.8888
12/98 -. 1.8869 1.814, 1.8888 1.8888 1.8888
81/91 1.8544 1.8544 1.8888 1.8888 1.8888
82/91 1.9168 1.9168 1.8888 1.8888 1.8888
83/91 1.9398 1.9398 1.8888 1.8818 1.8888
84/91 1.9514 1.9514 1.8888 1.8888 1.8888
eS/91 2.8818 2.8818 1.8888 1.8880 1.8888
04/91 1.9422 1.9422 1.8888 1.8888 1.8888
87/91 1.9989 1.9622 1.8288 1.8188 1.8888
88/91 2.8381 2.8888 1.0492 1.0332 1.0044
89/91 2.1442 2.8192 1.8341 1.5412 1.8892
18/91 2.8718 2.0437 1.8531 1.8889 1.8142
11/91 2.8310 2.8849 1.8113 1.8738 .1.0228
12/91 2.1991 2.1714 1.1418 1.1887 1.8278
01/92 2.1848 2.1587 1.1334 1.1813 1.8348
82/92 2.2877 2.1814 1.1499 1.1874 1.8378
83/92 2.1928 2.1445 1.1311 1.1131 1.1414
84/92 2.1982 2.1718 1.1312 1.1191 1.8458
85/92 2.2128 2.1862 1.1383 1.1347 1.8588
86/92 2.1881 2.1609 1.8984 1.1557 1.8534
87/92 2.2487 2.2280 1.1251 1.1843 1.8544
88/92 2.2341 2.2857 1.1824 1.1955 1.1418
T
Nationsbank Trust
•
FLORIDA MUNICIPAL PENSION TRUST FUND PACE 11
/FCTPl3•
860086829337 COMMON STOCK SECTOR PERFORMANCE
ENDING SEP 1,95
MARKET VAL MONTH QUARTER CAL YTD YEAR 2 YEARS
111$) ENDING ENDING ENDING ENDING ENDING
DESCRI/TION SEP 95 Z SEP 95 SEP 95 SEP 95 SEP 95 SEP !S
COMMON STOCK 8,537 111.11 3.60 8.11 27.76 29.78 -X-
CONSUMER NON-DURABLES 3,825 44.81 5.35 8.34 2E.48 27.4• -X-
CONSUMER DURABLES !i 1.12 -11.61 -15.E5 -5.54 1E.42 -X-
ENERGY 0.00 •.I• 0.00 6.55 26.54 13.85 -X-
TRANS/ORTATION 0.00 0.00 •.1$ 0.00 -7.99 -7.l1 .-)P.
TECHNOLOGY 2,20, 26.81 1.77 7.18 41.14 44.81 -X-
MATERIALS $ SERVICES 374 4.41 -2.32 -1.88 16.63 13.59 -X-
CA/ITAL GOODS 1,095 12.02 2.11 5.84 28.7, 20.56 -X-
UTILITIES 304 3.56 16.70 24.60 24.97 11.47 -X-
FINANCE 552 4.47 3.73 18.1, 32.71 38.27 -X-
INDEXES
MILSNIRE 5000 3.81 9.14 30.11 29.11 15.17
STANDARD i POOR 5E• INDEX 4.20 7.16 29.75 29.71 15.94
.
NationsBank Trust
I
FLORIDA MUNICIPAL PENSION TRUST FUND PACE 12
/FCC0300
06008682,337 COMPONENT RATES OF RETURN ANALYSIS
COMMON STOCKS
ENDING SEP 1l15
AVERAGE WEIGHTS SECTOR RETURNS MANAGEMENT EFFECT
QUARTER QUARTER QUARTER
ENDING ENDING ENDING
SEP 95 SEP 95 SEP 95
SECTORS SIP/SECT THE FUND SIP/SECT THE FUND SELECTION WEIGHTING
CONSUMER NON-DURABLES 32.12 4'.70 7.57 8.34 0.34 -0.05
CONSUMER DURABLES 2.71 1.56 4.57 -15.05 -0.31 0.05
ENERGY 9.64 1.28 2.51 4.55 0.05 0.44
TRANS/ORTATION 1.67 0.00 12.56 0.00 0.00 -0.08
TECHNOLOGY 14.97 27.03 5.43 7.10 0.44 -0.31
MATERIALS F SERVICES ,.44 5.06 3.11 -1.O -0.25 0.21
CA/ITAL GOODS 4.91 12.24 6.29 5.84 -0.06 -0.12
UTILITIES 12.32 2.47 14.01 24.03 0.20 -0.60
FINANCE 12.01 0.60 15.93 18.11 0.1S -0.43
TOTAL 100.00 100.00 7.17 8.00 0.63 -0.80
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NationsBank Trust
•
FLORIDA MUNICIPAL PENSION TRUST FUND PAGE 13
PFCC•e••
l60lU6829537 RISK ANALYSIS
COMMON STOCKS
ENDING SEP 1715
VERTICAL AXIS, RETURN OF COMMON STOCK REGRESSION STATISTICS
VERSUS
HORIZONTAL AXIS, RETURN OF STANDARD R POOR 500 INDEX
MAY !4
TO
12 SEP 15
STANDARD
COEFFICIENT ERROR T-VALUE
8
ALPHA 0.07 0.25 0.26
BETA 0.86 0.09 9.86
1 R-SQUARED 0.87 0.87
4
111 *1 STANDARD DEVIATION 2.31
1 1 1 1
1 1 NUMBER OF OBSERVATIONS ■ 16
1
1
•
-12 -4 • • 12 BETA ANALYSIS
-•
1 •.88
1 PORTFOLIO BETA
■1
-4 MARKET RETURN 23.04
MARKET RETURN ADJUSTED FOR BETA 20.72
ACTUAL PORTFOLIO RETURN 22.17
-8 IMPLIED PORTFOLIO ALPHA 1.45
-12
MIN /• - w ■ 10
NationsBank Trust
•
FLORIDA MUNICIPAL PENSION TRUST FUND PAGE 12
/FCC8388
•60086829357 COMPONENT RATES OF RETURN ANALYSIS
COMMON STOCKS
ENDING SEP 19,5
AVERAGE WEIGHTS SECTOR RETURNS MANAGEMENT EFFECT
QUARTER QUARTER QUARTER
ENDING ENDING ENDING
SEP 95 SEP 95 SEP 95
SECTORS SAP/SECT THE FUND SAP/SECT THE FUND SELECTION WEIGHTING
CONSUMER NON-DURABLES 32.12 43.70 7.57 8.34 0.34 -0.05
CONSUMER DURABLES 2.91 1.56 4.57 -15.05 -0.31 0.05
ENERGY 9.64 1.28 2.51 6.55 0.05 0.16
TRANSPORTATION 1.67 0.00 12.56 0.00 0.80 -0.88
TECHNOLOGY 14.97 27.03 5.43 7.86 8.44 -0.31
MATERIALS 2 SERVICES 9.44 5.54 3.11 -1.86 -0.25 0.21
CAPITAL GOODS 4.91 12.24 6.29 5.84 -0.06 -0.12
UTILITIES 12.32 2.47 14.01 24.63 0.26 -0.60
FINANCE 12.81 6.66 15.93 18.19 0.15 -0.43
TOTAL 100.00 100.00 7.17 8.00 0.63 -0.86
NationsBank Trust
FLORIDA MUNICIPAL PENSION TRUST FUND PAGE 13
PFCC0'00
060006829337 RISK ANALYSIS
COMMON STOCKS
ENDING SEP 1,95
VERTICAL AXIS: RETURN OF COMMON STOCK REGRESSION STATISTICS
VERSUS
HORIZONTAL AXIS: RETURN OF STANDARD $ POOR SO• INDEX
MAY !4
TO
12 SEP 15
STANDARD
COEFFICIENT ERROR T-VALUE
e
ALPHA 0.07 0.25 0.26
BETA 0.80 0.09 9.06
1 R-SQUARED 0.87 0.87
4
111 01 STANDARD DEVIATION 2.31
1 1 1 1
1 1 NUMBER OF OBSERVATIONS ■ 14
1
1
I
-12 -8 -4 4 8 12 BETA ANALYSIS
1
1 PORTFOLIO BETA S•.
01
-4 MARKET RETURN 23.46
MARKET RETURN ADJUSTED FOR BETA 20.72
ACTUAL PORTFOLIO RETURN 22.17
-8 IMPLIED PORTFOLIO AL►HA 1.45
-12
•
NationsBank Trust
FLORIDA MUNICIPAL PENSION TRUST FUND PAGE 14
PFCT9940
060086829337 BOND SECTOR PORTFOLIO CHARACTERISTICS
ENDING SEP 1995
BOOK VALUE MARKET VAL MONTH QUARTER YIELD YEARS
(000) (000) ENDING ENDING TO TO QUALITY
DESCRIPTION SEP 95 SEP 95 % SEP 95 SEP 95 MATURITY DURATION MATURITY RATING
TREASURY i AGENCIES 3,725 4,031 100.00 1.26 2.07 6.27 6.89 12.75 NR
U.S. NOTES i BONDS 2,400 2,529 62.74 1.45 2.04 6.27 6.89 11.01 NR
U.S.GOVERNMENT AGENCIES 592 i40 18.37 0.70 1.89 - - 6.22 NR
GOVT.AGENCIES MTGE SCTYS US 734 762 18.89 1.19 2.35 - - 24.83 NR
CORPORATE BONDS 2,603 2,610 100.00 0.17 1.26 6.60 6.66 15.40 NR
INDUSTRIALS 289 293 11.24 1.39 2.12 6.56 8.83 15.61 NR
BANKS A FINANCE 1,048 1,071 41.03 -0.77 0.49 6.62 5.48 6.59 NR
OTHER 1,266 1,246 47.74 0.80 1.81 - - 22.95 NR
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