HomeMy WebLinkAboutHandouts_Pension General_Handout No. 3_02/01/2010Village of Tequesta General Empl
' Pension Fund
Investment Performance Attribution Supplement
4Q 2009
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 obtained
from Salem Trust. 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.
^ Based on the Thomson Portfolio Analytics holdings-based attribution analysis, the Recl4weeel-portfolio (excluding the impact of the
monthly cash holdings) lagged the S&P 500 Index during the quarter by 0.42 percentage points (+5.62% vs. +6.04%).
^ As of December 31st, Dana owned 84 securities in the domestic equity portfolio. Based on the underlying security allocations in
the portfolio, there is approximately 86% overlap with the S&P 500 Index. Dana's focus on "quality" companies is represented with a
lower total debt-to-equity ratio (1.3 vs. 1.5) and a higher operating profit margins (9.8 vs. 8.6) relative to the benchmark S&P 500
Index. Additionally, the companies in the Dana equity portfolio have had more consistent earnings over the last five years relative to
the companies in the index based on the Historical EPS Instability score (25.4 vs. 28.5). On average, the companies owned in the
portfolio have had larger positive earnings revisions than the constituents in the index. Lastly, the portfolio is "less expensive" based
on projected earnings compared to the index (P/E-Forecast 12-Month,13.1 vs. 14.5).
Dividend Yield 1.86 1.94
P/E -Forecast 12-Month 13.08 14.46
Price-to-Cash Flow 17.10 5.10
Price-to-Book 2.66 2.23
Return on Equity 15.94 16.91
EPS Growth -Forecast 12-Month 14.25 28.78
EPS Growth -Historical 12-Month -27.45 -84.54
EPS Growth -Historical 5 Year (I/B/E/S) 14.26 8.18
EPS Growth -Long Term (I/B/E/S) 10.98 9.56
Total Debt-to-Equity (Worldscope) 1.26 1.53
Profit Margin -Operating (Worldscope) 9.76 8.59
Earnings Revision (Surprise) 3.17 -0.01
Historical EPS Instablility 25.44 28.45
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian.
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STATE STR CORP ~
0.41 -18.76 ~•~
-0.16
ENERGIZER HLDGS INC 0.48 -11.95 -0.12
ROSS STORES INC 0.85 -10.37 -0.10
COMCAST CORP NEW 1.29 0.26 -0.09
At the sector level, an underweight to the financials and an overweight to the information technology sectors relative
to the index contributed positively to relative performance during the quarter. In fact, the portfolio's allocation to and
performance of the stocks in the information technology sector provided the greatest contribution to performance
(2.54 percentage points). All of the top five contributors by holding are information technology sector constituents.
Financials were the largest detractor during the quarter (0.0 percentage points); State Street Corp. dragged down
performance within the sector.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ~~~
Holdings-Based G/CS Sector Attribution Analysis
4Q 2009
Village of Tequesta General Em
s' Pension Fund
Holdings-Based Market Cap Attribution Analysis
4Q 2009
MktCap btw $106 and $206 12.05 14.01 5.13 5.86 0.51 0.83 0.04 -0.14 -0.10
MktCap btw $206 and $1006 42.18 37.21 5.31 6.32 2.30 2.30 0.03 -0.49 -0.46
MktCap greater than $1006 23.42 33.60 8.44 5.61 1.95 1.84 0.07 0.65 0.71
An overweight to mid cap companies (MktCap btw $2B and $106) added 14 basis points to performance during the
quarter.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ~~