HomeMy WebLinkAboutHandouts_Pension Public Safety_Tab 03_05/03/2010 Village of Tequesta Public Safety Officers' Pension Fund
Investment Performance Attribution Supplement
1Q 2010
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.
❑ After trailing he index in 04, the Rockwood
g Portfolio Characteristics
portfolio rebounded in the First Quarter of 2010. Based 3/31/2010
on the Thomson Portfolio Analytics holdings -based 1 ROCKWOOD EQUITY
attribution analysis, the Rockwood portfolio (excluding (TEQUESTA PSO) SP500
the impact of the monthly cash holdings) beat the S &P No of Securities 37 500
500 Index during the quarter by 2.49 percentage points Market Cap 27,115,731,982 82,069,953,572
( +7.87% vs. +5.39 %).
Market Cap - Median 8,812,441,440 9,605,817,650
% Bmrk Holdings 61.25 100.00
❑ Relative to the S &P 500 Index, the portfolio
% Top 25 Holdings 72.79 36.60
continues to have more exposure to smaller % Top 15 Holdings 46.24 25.79
capitalization companies, with a weighted- average
EPS Growth - Forecast 12 -Month 30.08 26.73
market cap of $27.1B compared to $82.1B for the Dividend Yield — 0.77 1.87
index. As was the case at the end of 2009, P/E - Forecast 12 -Month 17.83 14.18
approximately 60% of the portfolio, based on market P/E - Trailing 12 -Month 30.18 22.31
value, is in the index. Based on several characteristics Relative Growth (GRM) 0.49 -0.03
relative to the S &P 500 Index, the portfolio continues Relative Value (GRM) -0.85 0.03
to have "growth tilt "; the dividend yield is less and the Relative Momentum (GRM) 0.75 0.14
price -to- earnings ratio based on 12 -month forecasted Relative Size (GRM) -0.92 0.36
earnings and trailing 12 -month is greater. Also, the
forecasted earnings per share growth rate is higher.
The "relative factor" characteristics summarize the
portfolio's positioning.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ��N
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Village of Tequesta Public Safety Officers' Pension Fund
Holdings -Based GICS Sector Attribution Analysis
1Q 2010
Rockwood Equity (Tequesta Public Employees) vs. S &P 500 12/31/2009 - 3/31/2010
Avg( Avg
Port! Bmrk Port Bmrk Port Bmrk Alloc Selectl Total
Sector Name Wt Wt Return Return Contrib Contrib Effect Effect; Effect
Total Portfolio 100.00 100.00 7.87 5.39 7.87' 5.39 1.38 1.11 2.49'
Energy 4.50 11.32 -13.81 0.62 -0.69 0.07 0.32 -0.73 -0.42
Materials 7.18 3.50 8.80 2.88 0.60 0.10 -0.09 0,41 0.32
Industrials 8.84 10.39 19.74 13.07 1.63 1.29 -0.15 0.52 0.38
Consumer Discretionary 23.31 9.77 17.77 10.45 4.00 1.02 0.66 1.58 2.25
Consumer Staples 0.71 11.42 0.20 5.82 0.01 0.67 -0.10 -0.08 -0.18
Health Care 6.21 12.65 5.89 3.40 0.36 0.41 0.13 0.16 0.29
Financials 21.06 15.38 9.37 11.15 1.81 1.78 0.26 -0.40 -0.14
Information Technology 28.18 19.08 0.51 1.91 0.15 0.33 -0.30 -0.36 -0.661
Top Contributors by Holding Bottom Contributors by Holding
Company Name _
Avg Wt Return Contrib Company Name Avg Wt Return Contrib
FORD MTR CO DEL 3.65 25.70 0.83 CABOT OIL & GAS CORP 2.30' -15.51' -0.38
MACYS INC 2.64 30.20 0.77 CHINA PETE & CHEM CORP 1.11 -12.72 -0.29
BE AEROSPACE INC 2.71 29.57 0.75 UBS AG 1.01 -12.64 -0.27
STARWOOD HOTELS &RESORT 2.73 27.54 0.71 NVIDIACORP 3.29 -6.96 -0.25
BROOKFIELD PPTYS CORP 2.60 28.04 0.68 EQUINIX INC 2.64 -8.30 -0.24
Sector allocation ( "allocation effect ") and stock selection ( "selection effect ") were essentially equal contributors to the the 249
bps of outperformance during the quarter. The Rockwood portfolio had exposure to 8 of the 10 GICS sectors. All but one of the
sectors positively contributed to performance. While the names in the Industrial sector combined to provide the greatest sector
return ( +19.7 %), the greatest contribution at the sector level came from Consumer Discretionary ( +4.0 %). While good stock
selection within the Consumer Discretionary contributed +158 bps to the outperformance, poor stock selections within Energy,
Financials, and Information Technology contributed -149 bps in aggregate. Three of the top five contributors by holding (Ford,
Macy's, and Starwood) were constituents in the Consumer Discretionary sector, while the top bottom contributors by holdings
were in the Energy, Financials, and Information Technology sectors.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. 1%\
Village of Tequesta Public Safety Officers' Pension Fund
Holdinqs -Based Market Cap Attribution Analysis
1Q 2010
Rockwood Equity (Tequesta Public Employees) vs. S &P 500 12/31/2009 - 3/31/2010
Avg Port Avg Bmrk Port Bmrk Port Bmrk Alloc Select Total
Sector Name Wt Wt Return Return Contrib Contrib Effect Effect Effect
Total Portfolio 100.00 100.00 7.87 5.39 7.87 5.39 2.54 -0.05 2.49
'MktCap less than $2Bil 5.25 0.20 24.67 20.02 1 . 1 0 1 0.04 0.7 -0.03 0.73'
MktCap btw $2B and $10B 48.65 14.23 10.19 9.79 5.14 1.40 0.37 1.87
MktCap btw $10B and $20B 15.90 14.42 4.46 4.16 0.65 0.61 -0.04 0.04 0.00
MktCap btw $20B and $100B 17.85 37.62 6.08 5.44 1.01 2.02 -0.01 0.13 0.12
MktCap greater than $100B 12.36 33.53 0.05 3.85 -0.021 1.31 -0.55 -0.23
The market cap allocation contributed positively to the outperformance during the quarter; the total allocation effect
was +254bps. An overweight to small cap (Mktcap Tess than $2Bil) and mid cap companies (MktCap btw $2B and
$10B) contributed +227 basis points, in aggregate, to outperformance during the quarter.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ••■■\
Tequesta Public Safety Officers' Pension Fund - Account Review
Previous Allocations New Allocations
• Rockwood Equity
• Rockwood Fixed Income
• EuroPacific Fund R6
• Rockwood
Balanced
The allocations are based upon investment accounts of the Tequesta PSO portfolio at the custodian, Salem Trust.
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