HomeMy WebLinkAboutHandouts_Pension Public Safety_Handout No. 1_02/01/2010 ■ Villa•e of Tequesta Public Safety Officers' Pension Fund
=
Investment Performance Attribution Su • • lement
• 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 Rockwood portfolio (including the impact of the
monthly cash holdings) lagged the S &P 500 Index during the quarter by 1.15 percentage points ( +4.89% vs. +6.04 %).
❑ Rockwood held 37 securities in the portfolio at the end of December. Based on the underlying security allocations in the portfolio,
there was approximately 60% overlap with the S &P 500 Index at quarter -end. The portfolio continues to focus on "smaller"
capitalization companies compared to the S &P 500 Index, as the average market cap is significantly less than ($33.1 B vs. $80.6 B).
Looking the value metrics and earnings growth rates, the portfolio has a "growth" bias. Relative to the S &P 500 Index, the dividend
yield is less, the forecasted price- earnings ratio is greater, price -to -book and price -to -cash flow ratios are greater, and each of the
EPS growth rates (trailing and forecasted) are greater.
Composition Portfolio Characteristics
ROCKWOOD EQUITY ROCKWOOD EQUITY (TEQUESTA
(TEQUESTA PUBLIC PUBLIC EMPLOYEES) SP500
•
tW rY EMPI X Market Cap 33 093,437,179.34 80,556,030,284 92
No of Securities 37 500 Market Cap - Median 9 899,255,280.00 8,944,557,530.00
% Bmrk Holdings 60.46 100.00 Dividend Yield 1.00 1.94
% Top 25 Holdings 72.76 37.26 P/E - Forecast 12 -Month 16.40 14.46
Top 15 Holdings 47.04 26.62 - Price-to-Cash Bo 1 5.02 2.23
EPS Growth - Forecast 12 -Month 29.24 28.78
EPS Growth - Historical 12 -Month -74.05 -84.54
EPS Growth - Historical 5 Year (I /B /E /S) 14.77 8.18
EPS Growth - Long Term (I /B /E /S) 13.55 9.56
Retum on Equity 10.86 16.91
Total Debt -to- Equity (Worldscope) 2.35 1.53
Profit Margin - Operating (WorldScope) 4.16 8.59
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. O \
IrscomasamosidtsommMa .gym
Qoal
41.1 /V IO &CT -
ti: / h 1 1
•
Village of Tequesta Public Safety Officers' Pension Fund
Holdings -Based GICS Sector Attribution Analysis
4Q 2009
Rockwood Equity (Tequesta Public Employees) vs. S&P 500 9/30/2009 -12/31 /2009
Avg Port Avg Port Bmrk Port Bmrk AIIoc Select Total
Sector Name Wt Bmrk Wt Return Return Contrib Contrib' Effect Effect Effect
Total Portfolio 100.00 100.00 4.89 6.04 4.89 6.04 0.19 -1.34 -1.15
Energy 3.40 11.99 7.69 5.58; 0.27 0.66 -0.07 0.23 0.16
Materials 7.39 3.52 2.29 7.36 0.21 0.26 0.08 -0.41 -0.32
Industrials 1.79 10.31 9.51 5.38 0.27 0.56 0.01 0.2 '' 0.22
Consumer Discretionary 19.99 9.35 3.51 9.07 0.83 0.84 1.34 - 1.21 -0.86
Consumer Staples 4.70 11.66 6.54 5.02 0.33 0.59 0.07 0.10 0.17
Health Care 9.75 12.74 -1.92 9.09 -0.26 1.14 - 0.15 - 1.24 -1.39
Financials 20.24 14.63 0.45 -3.32 -0.10 - 0.50 - 0.58 0.7: 0.17
Information Technology 29.67 19.03 10.70 10.70 3.40 2.00 0.53 02 0.77
Telecomm Service 0.29 3.08 -3.15 7.43 -0.06 0.23 - 0.15 - 0.02 -0.16
Cash & Equivalents 2.77 0.00 0.01 0.00 0.001 0.00 0.13 0.00 0.13
Top Contributors by Holding Bottom Contributors by Holding
Company Name i Avg Wtt Return, Contrib Company Name Avg Wt Return Contrib
SALESFORCE COM INC 3.11 29.58 0.86 BOSTON SCIENTIFIC CORP 1.07 -21.91 -0.52
NVIDIA CORP 2.85 24.28 0.80 UBS AG 1.84 -17.85 -0.45
MOSAIC CO 2.24 27.61 0.57 ROSS STORES INC 3.16 -10.37 -0.34
ORACLE CORP 3.07 18.04 0.53 NYSE EURONEXT 2.23 -11.40 -0.27
MEDCO HEALTH SOLUTIONS 3.32 15.55 0.50 SCOTTS MIRACLE GRO CO 2.55 -8.20 -0.21
At the sector level, an overweight to the consumer discretionary and 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
(3.40 percentage points). Three of the top five contributors by holding (Salesforce.com, NVIDIA, and Oracle) are
information technology sector constituents. Health care was the largest detractor during the quarter ( -0.26 percentage
points); Boston Scientific Corp. dragged down performance within the sector.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. 4100%1
1/41104:
Village of Tequesta Public Safety Officers' Pension Fund
Holdings -Based Market Cap Attributioni
4Q 2009
Avg
Avg Bmrk Port Bmrk Port Bmrk Alloc Select Total
Sector Name Port Wt Wt Return Return Contrib Contrib Effect Effect Effect
Total Portfolio 100.00 100.00 4.89 6.04 4.89 6.04 0.45 -1.59 -1.15
MktCap less than $2Bi1 5.22 0.30 -2.19 4.20 -0.08 0.03' -0.04 -0.39L
MktCap btw $2B and $10B 38.04 14.86 6.62 6.62 2.88 1.03 h4 = 0.06T 0.40
MktCap btw $10B and $20B 17.47 14.01 -0.62 5.86 -0.15 0.83 -0.05 -1.25 -1.30
MktCap btw $20B and $100B 22.69 37.21 2.70 6.32 0.69 2.30 -0.03 -0.76 -0.78
MktCap greater than $100B 13.82 33.60 11.31 5.61 1.54 1.84 0.07 0.76 0.82
Cash & Equivalents 2.77 0.00 0.01 0.00 0.00 0.00 0,1ffli 0.00 0.13
An overweight to mid cap companies (MktCap btw $2B and $10B) added 34 basis points to performance during the
quarter.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ••■\
ri