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HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 7D_6/7/1996 . . FLORIDA MUNICIPAL PENSION A • . TRUST FUND Quarterly Review ATLANTA CAPITAL March 31, 1996 • • A II .fit 14 -0.1, _, , ....., ji 1- ..t:•1111 Rir II 1111 i Aft' 1111 I 1 91i 1 1111 F • - i,r11, .. fi . ,ll 1 .... . . MI 1 11 : 1 •,.+. , . I . • • .. . . !Ill MI 1111 I .117.7.' _.... _ • • r .1, i 'i' 1• . •: 11 1'.:! .. . 1111 ::;!::1 I. """ i , III 1111111 Illi ' 11111 0 . 1111 ::::::';', j. = =.-- --• • I I ;.• 't..'r ;!. ;. . 1----, .7_,- i E: : ..1 I . . ' • ., ! .• • 1111 .,''';.,;;; ..; - • F, .-- s-- _ -------...T-4; , . ', 1--:-:,-, I 1 1'-- 1 • ' • ' 1 li I I : 1114111111 11 i i il . Tri • . . • '. . • r' -- i, ...:.:. •• .: •• •::: T , * I . iiiiiir=t:fr_r---! . . • •• • • • . ' I II I I • III 1. • . VII , : 4.- •• . •••j . I ' .. .'‘. ...• .1 1 • • ' ' s I'•• •; ' ' . _ • • . . . . • 3 ..• : .. • . .... • .1 ' I. .•P•- ••• . ' . . .• • 1•••' . i • • '•i 1 , 'e ,. • • - s'-.-• .....e.,..,,,,...._. .....4,1 ; , .,,t,, . % •. • ' ., ••,..., .'1‘., . A., ; ..-, ...... ....1.,,. .,:••'.'.. f... 9••••-' AI I _ I - - I 1 - ' I- -- 1 1- 1 r- - 1 u - 1 --' ( - 1 - _. • S. FLORIDA MUNICIPAL PENSION TRUST FUND ALL PERIODS THROUGH 03/31/96 INVESTMENT RETURNS COMPOUND ANNUAL RETURN--- FISCAL YEAR FROM INCEPTION QUARTER T9 RATE LYEAR 3 YEAR 5 YEAR INCEPTION CUMULATIVE TOTAL FUND 1.3"/n 6.6% 20.4% 10.5% 11.1% 12.4% 252.3% FIXED INCOME -2.1% 2.2% 12.0% 6.16/. 8.0% 8.9'/. 151.6% EQUITY 4.9"/n 11.5% 29.0% 14.9°A 14.1% 16.1% 400.2% LEHMAN INT G/C-AGGREGATE -1.8% 2.4% 10.8% 6.0% 8.2% 9.0% 153.9% LEII INT G/C-1IQ INT AGGREGATE -0.7% 2.7% 9.8% 5.6% 7.9% 8.9% 150.7% S&P 500 INDEX 5.4% 11.7% 32.1% 15.7% 14.6% 15.8% 384.8% CONSUMER PRICE INDEX• 1.2% 1.4% 2.7% 2.6% 2.8% 3.5% 44.6% OTHER MARKET INDEXES: LEHMAN AGGREGATE -1.8% 2.4% 10.8% 6.0% 8.5% LEHMAN INT G/C -0.8% 2.7% 9.6% 5.5% 7.9% US TREASURY BILL 1.3% 2.7% 5.9% 4.7% 4.4% . NASDAQ COMPOSITE INDEX 4.8% 5.8% 35.5% 17.5% 18.8% NYSE COMPOSITE INDEX 5.9%. - 12.0% 31.2% 15.0% 14.5% VALUE LINE COMPOSITE INDEX** 4.2% 4.2% 18.1% 7.2% 7.7% S&P/BARRA VALUE INDEX 6.4% 13.3% 32.9% 16.3% 15.6% S&P/BARRA GROWTH INDEX 4.3% 10.1% 31.2% 15.0% 13.5% INCEPTION DATE: 06/18/85 FISCAL YEAR END: SEPTEMBER 30 • Estimated for current quarter •• Price-only return - 1 - ATI. kN'"I'.1 ('-1PIT ` FLORIDA MUNICIPAL PENSION TRUST FUND 03/31/9 INVESTMENT SUMMARY TOTAL TOTAL PORTFOLIO ANNUAL CURRENT • COST MARKET WEIGHTING INCOME YIELD ($) ($) (t) ($) (t) EQUITIES CAPITAL INVESTMENT 1,631,255 2,801,750 17.0 32,368 1.2 CONSUMER GOODS 2,983,888 3,902,717 23.7 61,395 1.6 INTEREST SENSITIVE 640,877 918,450 5.6 10,580 1.2 • INTERMEDIATE GOODS & SERV 698,658 895, 513 5.4 . 19,756 2.2 SUBTOTAL EQUITIES 5,954,678 8,518,429 51.8 124,099 1.5 FIXED INCOME SHORT-TERM 147, 239 145, 362 0.9 7,861 5.4 INTERMEDIATE • 5,807,683 6,033, 994 36.7 259,231 4.3 LONG-TERM 1, 091, 135 1, 173, 992 7.1 - 65,000 5.5 SUBTOTAL FIXED INCOME 7,046,057 7,353, 349 44.7 332,092 4.5 INVESTABLE CASH EQUITY CASH 166,010 166,010 1.0 7, 968 4.8 FIXED INCOME CASH 421,720 421,720 2.6 20,243 4.8 SUBTOTAL INVESTABLE CASH 587, 730 587,730 3.6 28,211 4.8 TOTAL INVESTMENTS 13, 588,465 16,459, 508 100.0 484,402 2.9 ACCRUED INTEREST 56,395 ACCRUED DIVIDENDS 9,718 TOTAL PORTFOLIO 16, 525,621 - 2 - A A'I'I..,ti'I'\ (',I'I'I'' FLORIDA MUNICIPAL PENSION TRUST FUND 03/31/96 ASSET STATEMENT COST/ MARKET/ TOTAL TOTAL EQUITY ANNUAL CURRENT SHARE SHARE COST MARKET WEIGHTING INCOME YIELD SECURITY SHARES ($) ($) ($) ($) (%) ($) (%) EQUITIES CAPITAL INVESTMENT AMP INC 3,000 23.83 41.38 71,497 124,125 1.5 3,000 2.4 BOEING CO 2, 500 44.32 86 .63 110,797 216, 563 2.5 2,500 1.2 COMPUTER ASSOCIATE INTL INC 3,800 26.06 71 .63 99,038 272,175 3.2 532 0.2 DOVER CORP 4,500 18.38 45.75 82,725 205,875 2.4 2,700 1.3 FOSTER WHEELER 5, 500 38.04 44 .38 209,204 244,063 2.9 4,290 1.8 GENERAL ELEC CO 4, 300 58.86 77.88 253,077 334,863 3.9 7, 912 2.4 HEWLETT PACKARD CO 3,800 29.12 94 .13 110,648 357,675 4.2 3,040 0.8 INTEL CORP. 1, 900 54 .49 56.88 103,530 108,063 1.3 304 0.3 MICROSOFT 3,200 57.81 103.13 184, 982 330,000 3.9 0 0.0 MOTOROLA INC 1,800 15.56 53.00 28,013 95,400 1.1 720 0.8 PITNEY BOWES INC 4,400 31.70 49.00 139,485 215,600 2.5 6,072 2.8 SCIENTIFIC ATLANTA INC 9, 300 16.50 17.75 153,421 165,075 1.9 558 0.3 TYCO LABS INC 3,700 22.93 35.75 84,838 132,275 1.6 740 0.6 1,631,255 2,801,750 32.9 32,368 1.2 CONSUMER GOODS ABBOTT LABS 6,400 33.39 40.75 213,695 260,800 3.1 6, 144 2.4 ALBERTSONS INC 4,000 30.53 37.13 122, 135 148,500 1.7 2,400 1.6 BERGEN BRUNSWIG CORP , . 7,295 18.10 26.63 132,042 194,229 2.3 3,502 1.8 COCA COLA CO 3, 900 45.95 82.75 179, 189 322,725 3.8 3,900 1.2 COLGATE PALMOLIVE 2,400 74.77 77.88 179,444 186,900 2.2 4, 512 2.4 CPC INTERNATIONAL INC 1, 900 50.25 69.38 95,480 131,813 1.5 2,888 2.2 GILLETTE INC 3,200 34.96 51.75 111, 880 165,600 1.9 1,9200 0.0 1.2 HUMANA INC 9,100 19.35 25.13 176,109 220,638 2.7 INTERPUBLIC GROUP OF COMPANIES 4,300 42 .53 47.25 182,866 203,175 2.4 2,666 1.3 JOHNSON & JOHNSON 2,400 49 43 92.25 118,627 221,400 2.6 3, 168 1.4 MEDTRONIC INC 4, 800 20.44 59.63 98, 11.4 286,200 3.4 1,248 0.4 MERCK & CO INC 3,500 42.06 62.25 147,210 217,875 2.6 4, 760 2.2 MYLAN LABS 18,700 22.65 21.00 423, 572 392,700 4.6 2,992 0.8 - 3 - ATLANTA CAPITA - I- -� 03/31/9 FLORIDA MUNICIPAL PENSION TRUST FUND ASSET STATEMENT COST/ MARKET/ TOTAL TOTAL EQUITY ANNUAL CURRENT SHARE SHARE COST MARKET WEIGHTING INCOME YIELD SECURITY SHARES ($) ($) ($) ($) (%) ($) (%) EQUITIES - cont. CONSUMER GOODS - cont. READERS DIGEST ASSN INC 4, 100 44 .31 47.25 181,671 193,725 2.3 7, 380 3 .8 RUBBERMAID INC 5,400 26 .19 28.38 141, 399 153,225 1.8 3,024 2.0 SCHERING PLOUGH CORP 3,800 34 .65 58.13 131,680 220,875 2.6 4,408 2.0 US HEALTHCARE 4,500 41.21 45.88 185,463 206,438 2.4 4, 950 2 .4 WAL MART 7,300 22.37 23.00 163, 314 167,900 2.0 1,533 0.9 2,983, 888 3,902,717 45.8 61,395 1.6 INTEREST SENSITIVE AMERICAN INTL GROUP INC 3,300 57.09 93.63 188, 382 308,963 3.6 1, 122 0.4 AMERICAN TEL & TELEG CO 4,000 44 .64 61.13 178, 555 244,500 2.9 5,280 2.2 GENERAL RE CORP 1,800 106.69 145.75 192,045 262, 350 3.1 3,672 1�4 PROGRESSIVE CORP OHIO 2,300 35.61 44.63 81,896 102,638 1.2 640,877 .918,450 10.8 10,580 1.2 INTERMEDIATE GOODS & SERV DUN & BRADSTREET 2, 100 49.06 60.63 103,020 127, 313 1.5 5,544 4.4 EQUIFAX INC - 10,800 11.42 20.13 123, 300 217,350 2.6 3,564 1.6 MILLIPORE CORP 4,400 25.30 38.25 111, 338 168, 300 2.0 1,408 0.8 NALCO CHEM CO 4,800 27.85 30.75 133,679 147,600 1.7 4,800 3.3 WMX TECHNOLOGIES, INC 7,400 30.72 31.75 227, 321 234, 950 2.8 4,440 1.9 698,658 895, 513 10.5 19,756 2.2 SUBTOTAL EQUITIES 5, 954,678 8, 518,429 100.0 124,099 1.5 - 4 - A 1VFI :1Ni'. ('API'I li 03/31/96 FLORIDA MUNICIPAL PENSION TRUST FUND ASSET STATEMENT UNIT UNIT TOTAL TOTAL FIXED ANNUAL CURRENT YIELD TO PAR COST MARKET COST MARKET WEIGHTING INCOME YIELD MATURITY SECURITY VALUE ($) ($) FIXED INCOME SHORT-TERM 5192 4.7 6.1 PREMIER AUTO TR 1993-6 A2 111,658 99.94 98.78 111, 588 110,2971.5 , 5 1 11/02/99 U TREASURY NOTES 35,000 101.8E 100.19 35,651 35,066 0.5 2,669 7.6 S 7.625 04/30/96 147,239 145,362 2.0 7,861 5.4 5.9 INTERMEDIATE 2.5 11,200 6.0 6.7 ABBOTT LABS 200,000 91.73 93.35 183,46E 186,700 5.6 10/01/03 522, 969 7.1 38,000 7.3 6 .6 AMEX MASTER TRUST 1994-2A 500,000 99.67 104.59 498,360 7.60 08/15/02 172,460 2.3 10, 374 6 .0 5.9 COUNTRYWIDE FUNDING 94-10 Al 172,892 100.22 99.75 173,270 0 0 0 5 1 297,811 4.0 FHLMC• 5CM5/P9 352,701 79.00 84 .44 278,634 7.1 CMO PAC PO 1691 A 2.7 13, 971 7.0 FHLMC• 3C O PAC1199,238 198,396 /15 1388 K 199, 581 99.83 99.41 1 3 6,000 6.3 7.1 • 2C O/ 7 98,297 95,438 FHLMC /15 PAC 1531 L i00,000 98.30 95.44 FHLMC• 9/MO P7 93,696 97.89 93.22 91,719. 87,342 1.2 5,622 6 .4 9.4 CMO PAC 1629 MA 227,037 3 .1 9,305 4.1 6.3 6 .0 11/15/21 232,636 • 96.50 97.59 224,494. FNMA CMO G92-35 BA492,030 6.7 30,000 6.1 6.5 4.0 1/25/18 0 50 ,000 96.84 98.41 484,219 FNMA CMO PAC 93-15 C 763,752 10.4 0 0.0 6.5 09/25/156.0 PRINCIPALFNMA STRIPS 800,000 73.94 95.47 591, 504 F 200,438 2.7 14,000 7.0 6.4 0.0 12/20/01-96 200,000 100.95 100.22 201, 90E FNMA CMO 92-11 HA 7.0 11/25/18 5 - ATLANTA CAPITA! I- 1 1 - 1- 1 1 1 1 1_ 03/31/96 FLORIDA MUNICIPAL PENSION TRUST FUND ASSET STATEMENT UNIT UNIT TOTAL TOTAL FIXED ANNUAL CURRENT YIELD TO PAR COST MARKET COST MARKET WEIGHTING INCOME YIELD MATURITY SECURITY VALUE ($) ($) ($) ($) (%) ($) (%) (%) FIXED INCOME - cont. INTERMEDIATE - cont. FNMA CMO G94-12E PAC 167,253 98.28 99.34 164, 379 166, 154 2.3 10,871 6.5 6.7 6.5 09/17/22 GEN ELEC CAP MTG 1994-4 A3 350, 000 99.28 96.44 347,477 337, 531 4 .6 21,000 6 .2 7.3 6.0 01/25/24 6.8 HOME SAVINGS 14-A ARM 177, 385 100.16 95.00 177,662 168, 516 2.3 10,688 6.3 6.01720 5/25/27 MBNAM CRED CRD TR 1995-0 A 400,000 99.55 100. 11 398, 188 400,438 5.4 24,200 6.0 6.1 6.05 11/15/02 U S TREASURY NOTES 675, 000 101.09 100.56 682, 383 678, 797 9.2 42, 188 6 .2 6.1 6.25 05/31/00 6.0 U S TREASURY NOTES 150, 000 98.04 105.88 147,063 158, 813 2.2 11, 813 7.4 7.875 11/15/99 6.5 US TREASURY STRIP 1, 500, 000 57.70 58.63 865,425 879,375 12.0 0 0.0 0.00 08/15/04 5, 807,683 6, 033, 994 82.1 259,231 4 .3 6 .6 LONG-TERM MOTOROLA, INC. 200,000 100.55 99.25 201, 102 198, 500 2.7 13,000 6.5 6.6 6.5 09/01/25-05 U S TREASURY NOTES 250,000 100.08 92.47 250,211 231, 172 3. 1 15,625 6.8 6.9 6.25 08/15/23 U S TREASURY BONDS 485,000 98.59 107.19 478, 180 519, 859 7.1 36,375 7.0 6.8 • 7.5 11/15/16 - 6 - ATI,:1NTA CAPITAL i- r_ I I� 1� = - — - 03/31/96 FLORIDA MUNICIPAL PENSION TRUST FUND ASSET STATEMENT UNIT UNIT TOTAL TOTAL FIXED ANNUAL CURRENT YIELD TO PAR COST MARKET COST MARKET WEIGHTING INCOME YIELD MATURITY SECURITY VALUE ($) ($) ($) ($) (%) ($) (%) (%) - cont. U S TREASURY STRIP 680,000 23.77 33.01 161,643 224,461 3.1 0 0.0 7.0 0.00 5/15/12 —" 1,091, 135 1,173,992 16.0 65,000 5.5 6.8 SUBTOTAL FIXED INCOME 7,046,057 7,353,349 100.0 332,092 4.5 6.6 1/11P, 16. :All.ANTA CAPITA uFLORIDA MUNICIPAL PENSION TRUST FUND 03/31/96 ASSET STATEMENT • UNIT UNIT TOTAL TOTAL CASH ANNUAL CURRENT PAR COST MARKET COST MARKET WEIGHTING INCOME YIELD SECURITY VALUE ($) ($) ($) ($) (%) ($) (%) INVESTABLE CASH EQUITY CASH 166 100.00 100.00 166,010 166,010 28.2 7,968 4.8 FIXED INCOME CASH 422 100.00 100.00 421,720 421, 720 71.8 20,243 4.8 SUBTOTAL INVESTABLE CASH 587,730 587,730 100.0 28,211 4.8 ACCRUED INTEREST 56, 395 ACCRUED DIVIDENDS 9,718 TOTAL PORTFOLIO 16,525,621 • •- A .,.ri. ,\.r, (• „ )1T,I I_ I 1 _ _ I _ _ ' I 1_ _ I I I I FLORIDA MUNICIPAL PENSION TRUST FUND TRANSACTION SCHEDULE EQUITIES From: 01/01/96 To: 03/31/96 COST/ TOTAL PAR/ TRADE SHARE COST SECURITY SHARES DATE ($) ($) Buy COLGATE-PALMOLIVE 1,400 02/05/96 -71.88 -100,634 .10 INTERPUBLIC GROUP OF COMPANIES, I 4, 300 02/06/96 -42.53 -182,866.10 COLGATE-PALMOLIVE INTEL CORP. 1, 900 03/06/96 -54.49 -103, 530.24 / -61.93 -465,840.44 - 9 - C NIL 1"I'I. 1VIA ('11'1"I•1t aaaa � , � � � � � FLORIDA MUNICIPAL PENSION TRUST FUND TRANSACTION SCHEDULE FIXED INCOME From: 01/01/96 To: 03/31/96 COST/ TOTAL PAR/ TRADE SHARE COST SECURITY SHARES DATE ($) ($) Buy FHLMC CMO 1388 K 7.0 02/15/07 99,790 01/09/96 -100.00 -99, 790.34 GECMS 94-4 A3 6 01/25/24 100,000 02/22/96 -98.06 -98,062.50 MOTOROLA 6.5 09/01/25-05 100,000 02/26/96 -101.66 -101,664.00 FHLMC CMO 1388 K 7.0 02/15/07 99,790 03/20/96 -99.66 -99,447.31 -99.85 -398, 964.15 - 10 - V1'I. \,,,.,, ( '.11'1'1'.\I --- ---- - - --- ' - ---� '- - - -- _ - - -- - l _ - FLORIDA MUNICIPAL PENSION TRUST FUND TRANSACTION SCHEDULE EQUITIES From: 01/01/96 To: 03/31/96 COST/ TOTAL MARKET/ TOTAL GAIN PAR/ TRADE SHARE COST SHARE PROCEEDS LOSS SECURITY SHARES DATE ($) ($) ($) ($) ($) Sell LORAL CORP 2,000 02/02/96 15.47 30, 945.81 46.31 92,626.90 61,681.09 LORAL CORP 2,000 02/05/96 15.47 30, 945.81 46.56 93, 126.89 62, 181.08 LORAL CORP 4,000 02/06/96 15.47 61,891.62 46.31 185,253.81 123, 362.19 BANDAG INC 1,800 03/06/96 51.45 92,611.48 51.45 92,616.80 5.32 24.47 216, 394 .71 463,624.40 247,229.69 - 11 - VFI..\VIA ('\PIT.• J. NN i�_' - t. -- •_ FLORIDA MUNICIPAL PENSION TRUST FUND TRANSACTION SCHEDULE FIXED INCOME From: 01/01/96 To: 03/31/96 • COST/ TOTAL MARKET/ TOTAL GAIN PAR/ TRADE SHARE COST SHARE PROCEEDS LOSS SECURITY SHARES DATE ($) ($) ($) ($) ($) Pay Princl CWF 94-10 Al 6.0 05/25/09 4,732 01/01/96 100.22 4, 742.13 100.00 4,731.78 -10.35 DLJ 91-6 A2 7.82161 9/25/21 3,116 01/01/96 101.94 3, 176.01 100.00 3,115.64 -60.37 FHLMC 1691A 0.0 03/15/21 - 6, 152 01/01/96 79.00 4,860.24 100.00 6,152.20 1,291.96 FNRG 94-12 B 6.5 09/17/22 2,514 01/01/96 98.28 2,470.72 100.00 2,513.93 43.21 HME SAV 14A 6.01720 5/25/27 1, 900 01/01/96 100.16 1,903.31 100.00 1,900.34 -2.97 PREM 4 Al 4 .650 11/02/99 2, 131 01/02/96 99.94 5, 127.54 100.00 5, 130.75 3.21 934 02/01/96 100.22 2,939.95 100.00 2,933.53 -6.42 DLJCWF 94-10 Al .82 05/25/09 FHLMC 1691A6 A2 0.0203/61 9/25/2116, 184 02/01/96 1,461 02/01/96 109.00 4,885.23 100.00 6, 183.84 1,298.61 - 0.0 009/17/1 FNRG 94-12 B 6.5 09/17/22 1,352 02/01/96 98.28 1, 328.99 100.00 1,352.23 23.24 HME SAV 14A 6.01720 5/25/27 1,963 02/01/96 100.16 1, 965.60 100.00 1,962.53 -3.07 PREM 93-6 A2 4.65 11/02/99 6,894 02/02/96 99.94 6,889.84 100.00 6,894.15 4.31 CWF 94-10 Al 6.0 05/25/09 2,757 03/01/96 100.22 2,763.28 100.00 2,757.25 -6.03 DLJ 91-6 A2 7.82161 9/25/21 2, 182 03/01/96 101.94 2,224.31. 100.00 2,182.04 -42.27 FHLMC 1691A 0.0 03/15/21 6,215 03/01/96 79.00 4, 909.66 100.00 6,214.76 1,305.10 PNG 92-35 BA 4.0 1/25/18 17,364 03/01/96 96.50 16,756.20 100.00 17,363.94 607.74 FNRG 94-12 B 6.5 09/17/22 2, 979 03/01/96 98.28 2,928.13 100.00 2,979.34 51.21 HME SAV 14A 6.01720 5/25/27 2,264 03/01/96 100.16 2,267.18 100.00 2,263.64 -3.54. PREM 93-6 A2 4.65 11/02/99 5,556 03/02/96 99.94 5,552.85 100.00 5,556.33 3.48 96.58 79, 180.03 83,648.78 4,468.75 . Sell DLJ 91-6 A2 7.82161 9/25/21 128,657 03/19/96 101.94 . 131, 149.73 95.00 122,224.15 -8, 925.58 84.79 426,724.48 669,497.33 242,772.85 • - 12 A . - \.I,,. \'`"I.\ (.\1'IT\1 11111 dB. u II FLORIDA MUNICIPAL PENSION TRUST FUND 03/31/96 STATEMENT OF CHANGES FROM 1/01/96 TO 3/31/96 CONTRIBUTIONS $279,231 WITHDRAWALS (125, 307) INCOME EARNED 74,145 REALIZED GAINS/LOSSES 242,773 • 13 A