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Handouts_Public Safety Pension_ 04_04/12/2010
Tequesta Public Safety Officers' Pension Plan Special Workshop Meeting Alternatives for Rockwood Capital Advisors Dan Johnson THE } BOCDA GROUP W W W. B O G D A H N G R O U P. C O M simplifying your investment and fiduciary decisions N Ai4.1)6 c Ato, 4 - Ill Tequesta Public Safety Officers' Pension Plan Domestic Equity Strategies 2 Q-1 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Performance October 2001 - December 2009 (Single Computation) 260 240— _ 220— \� 200 — \ 180- 160- - - -- 140 120 — 100 80- 60 1 1 1 1 1 I I Q3 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt Idx Adm • S &P 500 3 �� Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. II1 Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 30 %- - - E 20 %= - _ 10 %- `f1 ill L k l L 1 • 1 � 0%: 1111-111 " Itil il l II 1 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • ICC Capital: MULTI -CAP EQUITY n Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity C Cornerstone: Concentrated Equity ❑ Rockwood Strategic Equity • Vanguard Total Stock Mt Idx Adm • S &P 500 Trailing Performance: Return through December 2009 I quartet YTD 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years ICC Capital: MULTI -CAP EQUITY &70% 38.51% 38.51% 1.75% 4.39% 8.88% 10.38% 11.14% 14.77% 8.68% 7.36% 7.62% Manning & Napier: U.S. Core Equity 6.48% 39.89% 39.89% -4.25% - 1.60% 3.55% 5.10% 7.01% 9.91% 6.03% 4.61% N/A Dana: Large Cap Equity 4.18% 19.26% 19.26% - 10.73% -5.53% - 0.88% 1.77% 3.44% 6.93% 3.27% 2.99% 3.55% Cornerstone: Concentrated Equity 2.23% 24.89% 24.89% -5.18% 0.39% 4.47% 5.30% 6.52% 9.71% 5.89% N/A N/A Rockwood Strategic Equity 5.42% 18.14% 18.14% •13.34% -5.55% -1.09% 0.26% 3.92% 7.43% 6.00% 4.79% 4.54% Vanguard Total Stock Mkt Idx Adm 5.85% 28.83% 28.83% - 9.90% - 5.01% -0.23% 1.00% 2.85% 6.52% 2.62% 1.02% - 0.20% S &P 500 6.04% 26.46% 26.46% •10.74% -5.63% - 0.67% 0.42% 2.09% 5.52% 1.60% 0.00% - 0.95% 4 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. • 1111 Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 Zephyr Large Core Universe (eVestment Quarterly) 0 % , ■ —a— • �— �� ■ 1_,I . o ❑ m • • • Y 25 % ■ • • C � • RI • t ® • • Y • E Median • • ♦ • - -1,— — • • '3 • • • • a) o ix 75 % ® • T • ■ 100 % — 7 - ¶_ _ -, 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt IdxAdm • S &P 500 ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Trailing Rank vs Universe: Return Rank through December 2009 Median VolatilityI quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Rank of Rank 509 mn 509 mn 508 mng479 mng458 mn 429 mn 397 mn 359 mn 338 mn 307 mn 278 mng 9 9 9 9 9 9 9 9 9 9 ICC Capital: MULTI -CAP EQUITY 0 0 3 5 0 0 0 0 0 0 3 8 Manning & Napier: U.S. Core Equity 10 3 28 4 5 13 7 5 5 10 15 N/A Dana: Large Cap Equity 51 17 93 95 70 68 76 41 45 38 37 30 28 Cornerstone: Concentrated Equity 7 3 99 68 7 3 3 4 7 11 11 N/A NIA Rockwood Strategic Equity 65 31 72 97 94 69 80 87 35 29 11 14 22 Vanguard Total Stock M t Idx Adm 53 4 60 30 46 51 52 60 57 49 53 56 68 S &P 500 82 8 50 54 70 72 72 82 85 85 89 90 91 Zephyr Large Core Universe (eVestment Quarterly) illio\ 5 T Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. III Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 40% 20% i t E 11 T a 0% II IP CC -20% P -40% /° 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity 7 Rockwood Strategic Equity • Vanguard Total Stock Mkt ldx Adm • S &P 500 Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 ICC Capital: MULTI -CAP EQUITY 38.51 -25.25 9.85 23.54 16.63 15.02 39.14 -25.82 -2.61 9.94 Manning & Napier: U.S. Core Equity 39.89 -34.46 3.91 20.70 11.50 17.11 29.07 -17.55 -6.13 N/A Dana: Large Cap Equity 19.26 -33.18 5.79 14.47 13.13 12.20 30.50 -19.07 0.75 8.80 Cornerstone: Concentrated Equity 24.89 -28.01 12.54 17.75 8.69 12.82 30.96 -17.41 NIA N/A Rockwood Strategic Equity 18.14 -36.43 12.19 13.62 5.83 24.35 31.09 -3.47 -4.45 2.36 Vanguard Total Stock Mt Idx Adm 28.83 -36.99 5.57 15.63 6.09 12.61 31.42 -20.95 -10.89 -10.56 S &P 500 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -11.88 -9.11 6 q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. 1111 Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe Zephyr Large Core Universe (eVestment Quarterly) 0% 11 • ■ It , ❑ • • 1 • • 1 i 25% . • • • e ❑ c ° • ■ • as w • • E Median • • • c • iY 1 75% T A A 100% Q4 2009 Q4 2008 Q4 2007 04 2006 Q4 2005 Q4 2004 Q4 2003 Q4 2002 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt IdxAdm • S &P 500 Cl 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Calendar -Year Rank vs Universe: Return Rank Median Volatility Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005 Dec 2004 Dec 2003 Dec 2002 Rank of Rank 479 mng 509 mng 516 mng 499 mng 457 mng 431 mng 388 mng 350 mng ICC Capital: MULTI -CAP EQUITY 4 4 0 1 2 4 7 36 35 37 Manning & Napier: U.S. Core Equity 15 4 13 26 16 10 18 23 37 N/A Dana: Large Cap Equity 28 5 68 32 23 28 22 37 23 23 Cornerstone: Concentrated Equity 14 12 3 2 10 32 33 29 N/A N/A Rockwood Strategic Equity 17 6 69 30 29 19 15 2 11 17 Vanguard Total Stock Mkt Idx Adm 54 6 51 65 60 55 44 45 54 79 S &P 500 77 4 72 64 75 77 77 81 80 88 Zephyr Large Core Universe (eVestment Quarterly) 7 q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Return Rank Zephyr Large Core Universe (eVestment Quarterly) 0%�_ I ; 1 , e, 1 i i . 4 .: . .; m. It ` 1 .; ❑ rl r1 ; 7 n: S i ® • ■ • • ■ • ❑ ❑ ❑ • ❑ • • • I • I A i ■ 1 • • 25% • • ❑ • • ❑ • • • • 4 • • • • ■ • • m • -" • • • i ■ • lii 1 • r_ E Median = • -♦ • ■ • • • • • • • • • ■ • 1 75% - a 1 1 • • i • 1 • • 1 • ♦ 1 • • 1 1 100 %-- , . Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q4 2009 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt Idx Adm • S &P 500 ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 - Year Return ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006 Dec 2006 Mar 2007 Jun 2007Sep 2007 Dec 2007 Mar 2008 Jun 2008Sep 2008 Dec 2008 Mar 2009 Jun 2009Sep 2009 Dec 2009 ICC Capital: MULTI - CAP EQUITY 23.13 29.51 20.65 21.10 18.34 18.69 20.35 23.63 16.54 13.29 11.40 8.27 0.48 -6.35 -0.05 4.95 4.39 Manning & Napier: U.S. Core Equity 19.01 23.71 17.16 18.33 16.38 15.29 16.83 17.33 11.83 8.86 5.60 3.53 -6.33 -10.49 -4.59 -1.12 -1.60 Dana: Large Cap Equity 18.32 21.29 15.63 15.53 13.26 12.99 15.23 15.45 11.06 7.61 6.52 2.10 -6.81 -11.58 -8.01 -5.03 -5.53 Cornerstone: Concentrated Equity 17.11 20.31 13.03 14.09 13.03 12.47 15.11 17.27 12.93 10.16 8.25 6.24 -1.56 -6.42 -1.27 1.66 0.39 Rockwood Strategic Equity 19.94 23.85 17.13 17.00 14.35 14.25 14.71 16.43 10.50 6.80 7.19 0.39 -6.77 -10.44 -7.60 -5.62 -5.55 Vanguard Total Stock Md Idx Adm 16.23 19.54 12.87 13.19 11.37 10.92 12.63 13.90 9.00 6.29 4.97 0.57 -8.38 -13.29 -8.04 -4.65 -5.01 S &P 500 14.39 17.22 11.22 12.30 10.44 10.06 11.68 13.14 8.62 5.85 4.41 0.22 -8.36 -13.06 -8.22 -5.43 -5.63 8 �� Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. E Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Sharpe Ratio Rank Zephyr Large Core Universe (eVestment Quarterly) 0% , a, A, 1, A, 1 • r Lj T r r n. ., ri n Lr - • 25% -111 ■ • • ❑ ° + • • • • • i cc -1 • I ❑ ❑ ■ • ° � ' 4 ❑ • - ■ ■ • ■ ❑ • • • Median ill i • • • • • • Q A A : • A • - ° • • ■ • ■ ■ • a ■ • • 2 75% + ' IN • • _ • A - Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 ' Q4 2009 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity I J Cornerstone Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt ldx Adm • S &P 500 ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 - Year Sharpe Ratio ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006 Dec 2006 Mar 2007 Jun 2007Sep 2007 Dec 2007 Mar 2008 Jun 2008Sep 2008 Dec 2008 Mar 2009 Jun 2009Sep 2009 Dec 2009 ICC Capital: MULTI -CAP EQUITY 1.22 1.77 1.50 1.51 1.59 1.59 1.69 2.48 1.39 0.82 0.63 0.36 -0.22 -0.62 -0.15 0.10 0.09 Manning & Napier: U.S. Core Equity 1.46 2.01 1.73 1.89 2.06 1.78 1.88 1.97 0.93 0.45 0.14 -0.04 -0.55 -0.80 -0.35 -0.16 -0.16 Dana: Large Cap Equity 1.46 1.90 1.72 1.66 1.78 1.67 2.10 2.14 1.23 0.40 0.28 -0.21 -0.67 -0.92 -0.59 -0.37 -0.38 Cornerstone: Concentrated Equity 1.20 1.56 1.37 1.39 1.32 1.20 1.40 1.87 1.39 0.70 0.48 0.24 -0.36 -0.63 -0.23 -0.05 -0.09 Rockwood Strategic Equity 1.33 1.80 1.42 1.38 1.26 1.22 1.24 1.43 0.90 0.25 0.29 -0.28 -0.58 -0.76 -0.55 -0.41 -0.38 Vanguard Total Stock Mkt Idx Adm 1.19 1.55 1.15 1.15 1.10 0.99 1.14 1.36 0.71 0.22 0.09 -0.31 -0.71 -0.98 -0.54 -0.32 -0.32 S &P 500 1.09 1.41 1.04 1.11 1.06 0.95 1.08 1.34 0.67 0.18 0.03 -0.35 -0.73 -0.97 -0.56 -0.36 -0.35 linis „ v 9 Q"--.0• Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group. LLC Manager Risk/Return Longest Concurrent Timeframe: 33 Quarters Ended December 2009 10% - - _ 8 %- A 011 6 % - c 4 %- • • cs 0! 2 %- 0 % -2 %- -4° 6/0 ' , , ' 5% 10% 15% ' . . , 20% 25% 30% 35% Standard Deviation • ICC Capital: MULTI - CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt IdxPdm • S &P 500 Risk- Return Table Longest Concurrent Timeframe: 33 Quarters Ended December 2009 Return Std Dev Downside Alpha R- Squared Sharpe Tracking ( °/a ( °/) Risk (%) Beta ( °/i (R2) Ratio Error ICC Capital: MULTI -CAP EQUITY 10.18 21.57 15.70 1.14 7.24 91.32 0.37 6.86 Manning & Napier: U.S. Core Equity 7.48 18.98 14.27 1.02 4.67 93.65 0.27 4.80 411111144 Dana: Large Cap Equity 4.49 16.56 12.65 0.89 1.89 94.24 0.13 4.43 Cornerstone: Concentrated Equity 7.51 18.43 13.10 0.99 4.67 93.76 0.28 4.61 Rockwood Strategic Equity 7.09 16.48 12.82 0.81 4.77 79.28 0.29 8.22 Vanguard Total Stock Mkt Idx Adm 4.00 18.49 13.77 1.02 1.15 99.52 0.09 1.34 S &P 500 2.80 18.02 13.51 1.00 0.00 100.00 0.03 0.00 10 q._r Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group. LLC Manager Risk /Return Manager Risk/Return Late Mutually - Exclusive Timeframe: 4 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 4 Years Ended December 2005 10% 15° 5%- ❑ 10° E E II m 0 %- g ', 5% -5 %- 0% - 10° 0/° 5% 10% 15% 20% -5 t% 5% 10% 15% 20% 25% 30% • 35% Standard Deviation Standard Deviation • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt Idx Adm • S &P 500 Risk - Return Table Risk- Return Table Late Mutually - Exclusive Timeframe: 4 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 4 Years Ended December 2005 Return Std Dev Alpha R2 Sharpe Return Std Dev Alpha R2 Sharpe Beta ( %) ( %) Ratio (%) ( %) Beta ( %) ( %) ( %) ( %) Ratio ICC Captal: MULTI -CAP EQUITY 8.88 20.59 1.00 9.65 92.17 0.29 ICC Capital: MJLTI -CAP EQLITY 8.48 23.08 1.34 3.89 94.02 0.29 Manning & Napier: U.S. Core Equity 3.55 20.89 1.02 4.49 91.75 0.03 Nanning & Napier: U.S. Core Equity 8.58 17.20 1.01 4.55 95.85 0.40 Dana: Large Cap Equity -0.88 18.02 0.90 -0.37 97.49 -0.21 Dana: Large Cap Equity 7.60 15.06 0.86 4.07 90.08 0.39 Cornerstone: Concentrated Equity 4.47 18.32 0.91 4.97 96.52 0.09 Cornerstone: Concentrated Equity 7.32 18.53 1.07 3.22 92.28 0.30 Rockwood Strategic Equity -1.09 18.05 0.85 -0.47 85.52 -0.22 Rockwood Strategic Equity 13.60 14.51 0.74 10.44 72.81 0.82 Vanguard Total Stock Md ktx Adm -0.23 20.27 1.03 0.53 99.58 -0.15 Vanguard Total Stock Md Idx Adm 5.55 16.80 1.01 1.56 99.59 0.23 S&P 500 -0.67 19.69 1.00 0.00 100.00 -0.18 S&P 500 3.92 16.67 1.00 0.00 100.00 0.13 11 r , = (LJIIII:-.., r; Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Upside vs. Downside Capture Upside vs. Downside Capture Late Mutually - Exclusive Timeframe: 4 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 4 Years Ended December 2005 170 150 • 160 - 140 150 130 140 d 120 • N 130 ■ 110- ❑ • 120 100 • 110 90 • 100 • • 80 75 80 85 90 95 100 9 �0 60 80 100 120 140 Downside% Downside% Single Computation Single Computation Upside vs. Downside Capture 8 Years Ended December 2009 160 ■ 150 - 140 0 130 - v 9 ° • 120 110 • 100 • • 90 75 80 85 90 95 100 Downside% Single Computation • ICC Capital: MULTI -CAP EQUITY ® Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mt Idx Adm • S &P 500 ONNIN 12 .: Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 8 Years Ended December 2009 Multi Statistic Graph: 8 Years Ended December 2009 150 -- 7- - - 100- 5- 50- t 3- - 11111 2- 1 0 I 1 ! -50- -1- - Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha A\,erage Ratio Ratio Drawdown Ratio Ratio • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity n Dana: Large Cap Equity Cl Cornerstone: Concentrated Equity Rockwood Strategic Equity • Vanguard Total Stock Mt Idx Adm • S &P 500 Multi- statistics Summary Table: 8 Years Ended December 2009 Batting # of Up Up Capture # of Down )own Capt. Maximum Excess nformation Treynor Alpha Average Periods Ratio Periods Ratio Drawdown Return Ratio Ratio ICC Capital: MULTI -CAP EQUITY 75.00% 21 155.27% 11 100.21% - 38.48% 7.08% 1.02 5.58 7.20% Manning & Napier: U.S. Core Equity 65.63% 21 121.27% 11 89.51% - 41.73% 4.44% 0.92 3.68 4.51% Dana: Large Cap Equity 56.25% 21 93.42% 11 83.28% -42.51% 1.68% 0.37 1.10 1.76% Cornerstone: Concentrated Equity 71.88% 20 114.56% 12 84.75% - 36.37% 4.29% 0.95 3.68 4.29% Rockwood Strategic Equity 65.63% 21 107.62% 11 77.85% - 42.77% 4.41% 0.53 4.56 4.71% Vanguard Total Stock Md Idx Adm 65.63% 20 106.73% 12 99.10% - 45.58% 1.02% 0.81 0.32 1.02% S &P 500 0.00% 20 100.00% 12 100.00 % - 45.80% 0.00% 0.00 -0.70 0.00% 13 Q---rd Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rolling Excess Returns: S &P 500 4- Quarter Moving Windows, Computed Quarterly 30% 20% 4,`■ 15% --- CU N , N \* ..,. A d/W4. ..A x lit i 5% 0% r v It ..... or 1 ,,,,. ti 5% It -10% Q4 2000 Q4 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 04 2008 Q4 2009 • ICC Capital: MULTI -CAP EQUffY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt Idx Adm • S &P 500 4 14 1 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. r r. Q a) W as L co N y c c -1—+ C D W a) c o c ca N 0 E LL a) T C as a) CL d c O N C = N d a`) 12 CD CU N U 3 c. 0 0 u) Q (0 a) U U) = n N N N a N 2 I— U N IA Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Performance January 2000 - December 2009 (Single Computation) 220 — 200 _ 180 — / 160 — \ 140 120 — 100 , 80 6 7 0 40 I 1 I 1 I 1 1 I I I Q4 1999 Q4 2000 Q4 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 • American Funds EuroPacific Gr R6 0 Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index 16 (.11,-; :;; Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 40% 30 %- E 20 %- a) • 10 %- 0 %. ■ OW 11111 1111 11111 II Ift MIOr -10% 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index Trailing Performance: Return through December 2009 1 quarte YTD 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years American Funds EuroPacific Gr R6 3.48% 39.35% 39.35% - 8.96% - 0.47% 4.70% 7.79% 9.69% 12.74% 9.05% 6.46% 3.74% Masters' Select International 2.10% 38.54% 38.54% •13.09% - 3.02% 3.05% 6.88% 8.09% 12.03% 8.34% 5.04% 3.99% Vanguard Total Intl Stock Index 3.17% 36.73% 36.73% •12.58% -4.06% 2.83% 5.26% 7.71% 11.86% 8.07% 4.50% 2.29% MSCI EAFE Index 2.22% 32.46% 32.46% •13.15% - 5.57% 1.66% 4.02% 6.63% 10.76% 7.06% 3.47% 1.58% 17 ir1/41,1ii Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 Morningstar Foreign Large Blend 0% • • • • • $ • • 8 3 8 8 Y 25 % • • • • • • • • • • m • • ♦ • • cc c Median '5 8 75% 100 %' ' 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 y ea rs • American Funds EuroPacific Gr R6 0 Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Trailing Rank vs Universe: Return Rank through December 2009 Median Volatility' quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Rank of Rank 839 mng832 mng775 mng716 mng638 mng589 mng568 mng531 mng522 mng479 mng427 mng American Funds EuroPacific Gr R6 8 2 28 13 7 3 8 7 7 11 10 6 12 Masters' Select International 17 2 65 17 36 16 20 11 15 14 17 18 10 Vanguard Total Intl Stock Index 21 3 36 22 29 24 21 23 18 16 19 22 26 MSCI EAFE Index 34 5 62 39 37 43 37 40 31 24 28 31 35 Morningstar Foreign Large Blend ■•■■\ 18 r1/44,1.2„:, Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 40% -- CC 1111 -20% -40% 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 American Funds EuroPacific Gr R6 39.35 -40.53 18.95 21.87 21.12 19.69 32.91 -13.61 -12.17 -17.84 Masters' Select International 38.54 -45.47 20.75 23.61 23.70 14.37 38.86 -14.34 -17.94 -5.01 Vanguard Total Intl Stock Index 36.73 -44.10 15.52 26.64 15.57 20.84 40.34 -15.08 -20.15 -15.61 MSCI EAFE Index 32.46 -43.06 11.63 26.86 14.02 20.70 39.17 -15.66 -21.21 - 13.96 19 0: Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe Morningstar Foreign Large Blend 0% - • • ® • • • • • • • op • • • • • • • c • _ 4 ' • E Median D a) CC 75 % 100%' 04 2009 Q4 2008 Q4 2007 Q4 2006 Q4 2005 Q4 2004 Q4 2003 Q4 2002 • American Funds EuroPacific Gr R6 0 Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Calendar -Year Rank vs Universe: Return Rank Median Volatility Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005 Dec 2004 Dec 2003 Dec 2002 Rank of Rank 716 mng 638 mng 589 mng 568 mng 531 mng 522 mng 479 mng 427 mng American Funds EuroPacific Gr R6 23 4 3 14 20 23 25 32 18 26 Masters' Select International 20 6 16 36 9 27 17 37 25 14 Vanguard Total Intl Stock Index 23 4 24 34 29 21 19 20 31 48 MSCI EAFE Index 36 9 43 41 50 29 27 23 39 48 Morningstar Foreign Large Blend 20 (1/4/ Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Il Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Return Rank Morningstar Foreign Large Blend 0 % ® • 25 % - _ : ! ; _ : : ; $ $ • • I = • • ® • • • 1 to 0 • c - • • • • • • • • m • • * • • cc c Median - ♦ • , 4 a) rx 75% 100%' Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q4 2009 • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 -Year Return ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006 Dec 2006 Mar 2007 Jun 2007 Sep 2007 Dec 2007 Mar 2008 Jun 2008Sep 2008 Dec 2008 Mar 2009 Jun 2009 Sep 2009 Dec 2009 American Funds EuroPacific Gr R6 24.43 31.88 24.53 22.88 20.89 19.41 23.43 25.35 20.64 17.36 16.13 4.57 -4.82 -9.64 -3.13 1.16 -0.47 Masters' Select International 25.24 33.30 24.09 22.52 20.48 21.16 26.16 30.28 22.68 18.33 16.29 4.50 -6.64 -11.76 -4.43 -0.39 -3.02 Vanguard Total Intl Stock Index 25.14 32.56 24.93 23.08 20.93 20.64 23.84 25.56 19.13 15.52 14.94 2.61 -6.48 -13.37 -6.14 -1.63 -4.06 MSCI EAFE Index 24.18 31.66 24.43 22.80 20.41 20.31 22.75 23.75 17.32 13.79 13.34 1.58 -6.92 -14.07 -7.51 -3.12 -5.57 21 3 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ����_ �`azrr Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Sharpe Ratio Rank Morningstar Foreign Large Blend o _ s • 1 • • 25%- _ • • 0 4 • • 1 • • 1 • • • 1 • -. o ® ® 1 1 • • c4 Median ` O v © O 1 a) 0 n -- 0 m E, 75% I I 100% Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q4 2009 • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index ❑ 5th to 25th Percentile Li 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 -Year Sharpe Ratio ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006Dec 2006 Mar 2007 Jun 2007Sep 2007Dec 2007 Mar 2008 Jun 2008Sep 2008Dec 2008 Mar 2009 Jun 2009Sep 2009Dec 2009 American Funds EuroPacific Gr R6 1.40 2.32 1.90 1.76 1.72 1.55 2.03 2.32 2.03 1.22 1.07 0.04 -0.44 -0.69 -0.26 -0.06 -0.10 Masters' Select International 1.23 1.94 1.66 1.51 1.49 1.51 2.18 2.69 1.76 1.05 0.86 0.03 -0.46 -0.68 -0.27 -0.10 -0.18 Vanguard Total Intl Stock Index 1.37 2.09 1.74 1.58 1.59 1.53 1.85 2.07 1.62 0.95 0.90 -0.08 -0.48 -0.79 -0.33 -0.14 -0.21 MSCI EAFE Index 1.33 2.06 1.77 1.62 1.64 1.59 1.85 1.99 1.53 0.85 0.81 -0.14 -0.52 -0.85 -0.40 -0.20 -0.27 22 _Tel Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk /Return Longest Concurrent Timeframe: 10 Years Ended December 2009 10% 5 % E - • 0 • cc 0 %- _ % 5% 10% 15% 20% 25% 30% 35% 40% 45% Standard Deviation • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index Risk - Return Table Longest Concurrent Timeframe: 10 Years Ended December 2009 Return Std Dev Downside Beta Alpha R- Squared Sharpe Tracking ( %) ( °/ Risk ( %) (/d (R2) Ratio Error American Funds EuroPacific Gr R6 3.74 20.26 14.56 0.92 2.19 94.91 0.04 4.92 Masters' Select International 3.99 23.30 16.67 1.03 2.67 90.62 0.05 7.16 Vanguard Total Intl Stock Index 2.29 22.14 15.62 1.03 0.73 99.61 -0.02 1.49 MSCI EAFE Index 1.58 21.56 15.19 1.00 0.00 100.00 -0.06 0.00 23 e■ dr Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Manager Risk/Return Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 10 10% 8 % • s% n 6 %- E E e • 0 %- c-E 4% • -5 % 2% 0 t% 5% 10% 15% 20% 25% 10 0Y% 5% 10% 15% 20% 25% 30% 35% 40% Standard Deviation Standard Deviation • American Funds EuroPacific Gr R6 0 Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index Risk- Return Table Risk - Return Table Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 Return Std Dev Alpha R2 Sharpe Return Std Dev Alpha R2 Sharpe ( %) ( %) Beta Beta ( %) Ratio ( %) ( %) ( %) ( %) Ratio American Funds EuroPacific Gr R6 7.79 20.90 0.90 3.91 96.93 0.24 American Funds EuroPacific Gr R6 -0.17 19.93 0.93 0.59 93.00 -0.15 Masters' Select International 6.88 23.61 1.00 2.98 93.85 0.17 Masters' Select hternational 1.18 23.52 1.07 2.53 87.51 -0.07 Vanguard Total Intl Stock Index 5.26 23.68 1.03 1.17 99.62 0.10 Vanguard Total Intl Stock hdex -0.60 20.99 1.02 0.26 99.63 -0.16 MSG EAFE Index 4.02 22.95 1.00 0.00 100.00 0.05 MSG EAFE hdex -0.80 20.58 1.00 0.00 100.00 -0.17 011\ 24 q _ - Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Upside vs. Downside Capture Upside vs. Downside Capture Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 116 110 114 112 108 - 110 - 106- ; 108 • °- 106- • 106 7 104 - 104 - • 102- 102- 100 1 100 • • 98 80 85 90 95 100 95 96 97 98 99 100 101 102 103 Downside % Downside% Single Computation Single Computation Upside vs. Downside Capture 10 Years Ended December 2009 114 112 - 110 - 108 v y 106 104 102 - 100 • 90 88 90 92 94 96 98 100 102 Downside% Single Computation • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index 25 ' Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 10 Years Ended December 2009 Multi Statistic Graph: 10 Years Ended December 2009 120- 3 100 2.5 2 '2' 80 ( 40 1 '' 20 0.5 iii r_: 0 0 -20 -0.5 -40 -l- a -60 , -1.5 1 - 1 1 Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha Average Ratio Ratio Drawdown Ratio Ratio • American Funds EuroPacific Gr R6 Ml Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index Multi-statistics Summary Table: 10 Years Ended December 2009 Batting # of Up Up Capture # of Down )own Capt. Maximum Excess nformation Treynor Alpha Average Periods Ratio Periods Ratio Drawdown Return Ratio Ratio American Funds EuroPacific Gr R6 60.00% 24 101.63% 16 89.37% - 46.15% 2.16% 0.44 0.98 2.19% Masters' Select International 47.50% 23 111.99% 17 96.32% -52.41% 2.41% 0.34 1.13 2.67% Vanguard Total Intl Stock Index 57.50% 22 106.35% 18 101.16% - 51.96% 0.71% 0.48 -0.53 0.73% MSCI EAFE Index 0.00% 21 100.00% 19 100.00% - 51.78% 0.00% 0.00 -1.26 0.00% 26 q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Fixed Income Strategies 27 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rolling Excess Returns: MSCI EAFE Index 4- Quarter Moving Windows, Computed Quarterly 15% E 5% m A. AJ 0% Iry � 5% • -10% 04 2000 04 2001 04 2002 Q4 2003 Q4 2004 04 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 • American Funds EuroPacific Gr R6 • Masters' Select International • Vanguard Total Intl Stock Index • MSCI EAFE Index 28 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 12% _ 10% 8% - E 6% 4% 2% iiII 0% - 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • Integrity: Core Gov /Credit A+ Sawgrass: Core Fixed Income ❑ Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate Trailing Performance: Return through December 2009 I quartet YTD 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Integrity: Core Gov /Credit A+ 0.16% 11,28% 11.28% 9.23% 8.92% 7.56% 6.65% 6.01% 5.67% 6.36% 6.60% 7.01% Sawgrass: Core Fixed Income 0.30% 7.03% 7.03% 7.02% 6.95% 6.33% 5.61% 5.36% 5.18% 5.85% 6.13% 6.65% Vanguard Total Bond Market Index Adm 0.10% 6.04% 6.04% 5.59% 6.07% 5.64% 5.00% 4.89% 4.77% 5.20% 5.56% 6.13% Barclays Capital U.S. Aggregate 0.20% 5.93% 5.93% 5.59% 6.04% 5.61% 4.97% 4.86% 4.76% 5.43% 5.76% 6.33% 29 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 eA US Core Fixed Income 0% — • • • • , • • • 25% • • • c • • ® • • • m • CC E Media cC • • 4 • 4 Y 4 75% a • 0 0 0 100% 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income 0 Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Trailing Rank vs Universe: Return Rank through December 2009 Median Volatility' quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Rank of Rank 316 mn 316 mn 316 mn 316 mn 316 mn 314 mn 307 mn 293 mn 288 mn 279 mn 258 mng 9 9 9 9 9 9 9 9 9 9 Integrity: Core Gov /Credit A+ 5 4 83 30 1 0 1 2 5 11 6 6 10 Sawgrass: Core Fixed Income 33 2 78 68 28 35 35 29 31 39 31 33 32 Vanguard Total Bond Market Index Adm 69 5 86 78 70 66 68 68 62 69 78 79 78 Barclays Capital U.S. Aggregate 68 2 82 79 70 67 68 69 65 71 65 69 65 eA US Core Fixed Income 41 30 Q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 12% 10% : 11 11 - 11 1 1 111111 4% 0 0 ° 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income ❑ Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 Integrity: Core Gov /Credit A+ 11.28 7.21 8.30 3.60 3.06 2.90 3.63 11.33 8.55 10.73 Sawgrass: Core Fixed Income 7.03 7.02 6.79 4.50 2.78 4.10 4.10 10.71 8.39 11.44 Vanguard Total Bond Market Index Adm 6.04 5.15 7.02 4.36 2.49 4.33 4.04 8.32 8.43 11.39 Barclays Capital U.S. Aggregate 5.93 5.24 6.96 4.33 2.43 4.34 4.11 10.27 8.42 11.63 31 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe eA US Core Fixed Income 0 % - • • 25 % • Y C • m ca CC • O • • • • • E E Median- • 0 • a ) • cC 9 • 75% • • O O O 100% - Q4 2009 Q4 2008 Q4 2007 Q4 2006 Q4 2005 Q4 2004 Q4 2003 Q4 2002 • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income 0 Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Calendar - Year Rank vs Universe: Return Rank Median Volatility Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005 Dec 2004 Dec 2003 Dec 2002 Rank of Rank 316 mng 341 mng 338 mng 331 mng 316 mng 311 mng 301 mng 277 mng Integrity: Core Gov /Credit A+ 42 30 0 16 11 82 76 68 46 38 Sawgrass: Core Fixed Income 45 5 35 23 42 45 55 45 53 39 Vanguard Total Bond Market Index Adm 62 13 66 35 50 54 59 81 87 80 Barclays Capital U.S. Aggregate 56 4 67 35 55 57 58 50 62 44 eA US Core Fixed Income ir 1/11101 32 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. k Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Return Rank eA US Core Fixed Income 0% , • •, • _ • • • • • • • • 25% • • O I c • • • • • • • • • • E Median - _- _ • 4 • • b m o b o o a o o P • O 750/ - _ • • - 0 O O • • • -o O O • • - _ 100 %' Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q4 2009 • Integrity: Core Gov/Credit A+ • Sawgrass: Core Fixed Income 0 Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 -Year Return ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006Dec 2006 Mar 2007 Jun 2007Sep 2007 Dec 2007 Mar 2008 Jun 2008Sep 2008 Dec 2008 Mar 2009 Jun 2009Sep 2009Dec 2009 Integrity: Core Gov /Credit A+ 3.20 2.28 1.43 2.84 3.19 2.76 3.64 3.86 4.96 6.11 4.83 4.39 6.35 6.93 8.51 9.21 8.92 Sawgrass: Core Fixed Income 3.66 3.05 2.29 3.48 3.79 3.43 4.06 3.98 4.68 5.65 4.22 4.00 6.10 6.42 7.21 7.23 6.95 Vanguard Total Bond Market Index Adrr 3.62 2.92 1.99 3.33 3.72 3.29 3.94 3.88 4.61 5.53 4.12 4.23 5.50 5.88 6.57 6.51 6.07 Barclays Capital U.S. Aggregate 3.62 2.93 2.05 3.38 3.70 3.31 3.98 3.86 4.56 5.48 4.08 4.15 5.51 5.77 6.43 6.41 6.04 ollfti 33 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Qa-.1 ■ Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rank vs Universe: Rolling 3 -Year Sharpe Ratio Rank eA US Core Fixed Income 0 %' __ • • c 25 %- • • • • 1 ix • • • {� O o • • • • • • • • 0 • • • c Median- - m • I • • • • • • • I 1 cu - • • • O o ° a m o o O a Q p * o rj 75 % -1_ 0 O • • • • • • • • • • • • • • • • 100 - Q4 2003 Q3 2004 Q3 2005 Q3 2006 Q3 2007 Q3 2008 Q4 2009 • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income 0 Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Rolling 3 -Year Sharpe Ratio ( %) Dec 2005 Mar 2006 Jun 2006Sep 2006Dec 2006 Mar 2007 Jun 2007Sep 2007 Dec 2007 Mar 2008 Jun 2008Sep 2008Dec 2008 Mar 2009 Jun 2009Sep 2009Dec 2009 Integrity: Core Gov /Credit A+ 0.40 0.07 -0.25 0.05 0.05 -0.15 -0.01 -0.03 0.23 0.52 0.19 0.10 0.51 0.72 1.09 1.22 1.22 Sawgrass: Core Fixed Income 0.60 0.32 -0.01 0.24 0.23 0.03 0.13 0.00 0.17 0.47 0.04 0.00 0.49 0.65 0.91 1.01 1.02 Vanguard Total Bond Market Index Ada' 0.53 0.25 -0.09 0.18 0.19 -0.01 0.08 -0.03 0.13 0.39 0.00 0.07 0.45 0.66 0.99 1.10 1.06 Barclays Capital U.S. Aggregate 0.54 0.26 -0.07 0.19 0.18 -0.01 0.09 -0.04 0.12 0.39 -0.01 0.05 0.46 0.63 0.94 1.05 1.04 34 1101•1N q. :.' Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Longest Concurrent Timeframe: 10 Years Ended December 2009 10% 8 % • • 6 % - U• rX 2 % 2% . 3% 4% 5% 6% , . . 7% Standard Deviation • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income O Vanguard Total Bond Market IndexAdm • Market Benchmark: Barclays Capital U.S. Aggregate Risk - Return Table Longest Concurrent Timeframe: 10 Years Ended December 2009 Return Std Dev Downside Alpha R- Squared Sharpe Tracking (74 ( °// Risk ( °/a Bet (64 (R2) Ratio Error Integrity: Core Gov /Credit A+ 7.01 4.58 3.05 1.20 -0.59 90.51 0.91 1.59 Sawgrass: Core Fixed Income 6.65 3.88 2.57 1.04 0.04 94.86 0.98 0.89 Vanguard Total Bond Market Index Adm 6.13 3.49 2.47 0.96 0.07 98.47 0.94 0.46 Barclays Capital U.S. Aggregate 6.33 3.62 2.51 1.00 0.00 100.00 0.97 0.00 35 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. 1�r ■Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Manager Risk/Return Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 10% 10% 8% 8 %- • 0 • • 6% 6 % E • c cc cc 4% 4 %- 2% 2 %- 0 W% 1% 2% 3% 4% 5% 0 t% 1% 2% 3% 4% 5% 6% 7% Standard Deviation Standard Deviation • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income O Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate Risk - Return Table Risk - Return Table Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 I Return Std Dev Beta Alpha R2 Sharpe Return Std Dev Beta Alpha R2 Sharpe ( %) ( %) ( %) ( %) Ratio ( %) ( %) ( %) ( %) Ratio Integrity: Core Gov /Credit A+ 6.65 4.84 1.29 0.23 89.13 0.78 Integrity: Core Gov /Credit A+ 7.37 4.42 1.19 -1.70 96.79 1.04 Sawgrass: Core Fixed Income 5.61 4.10 1.11 0.10 92.35 0.67 Sawgrass: Core Fixed Income 7.70 3.69 1.00 -0.03 98.87 1.33 Vanguard Total Bond Market Index Adm 5.00 3.56 1.00 0.02 99.67 0.60 Vanguard Total Bond Ma rket Index Adm 7.27 3.43 0.93 0.14 97.55 1.30 Barclays Capital U.S. Aggregate 4.97 3.55 1.00 0.00 100.00 0.59 Barclays Capital U.S. Aggregate 7.71 3.66 1.00 0.00 100.00 1.34 36 ^\ Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. "' Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Upside vs. Downside Capture Upside vs. Downside Capture Late Mutually - Exclusive Timeframe: 5 Years Ended December 2009 Early Mutually - Exclusive Timeframe: 5 Years Ended December 2004 135 • 100 130 99 125 • 120- 98 • n 115 2 97 • 110 96 105 100 ♦ 95 • 5 9 95 100 105 110 115 120 125 130 94 80 90 100 110 120 130 Downside% Downside % Single Computation Single Corrputation Upside vs. Downside Capture 10 Years Ended December 2009 114 • 112 - 110 108 106 - . N D 104 • 102 100 • 98- O 96 I 1 I 1 1 1 90 95 100 105 110 115 120 125 130 Downside% Single Computation • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income O Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate 0 37 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 10 Years Ended December 2009 Multi Statistic Graph: 10 Years Ended December 2009 140_ 4 _ 120 3 100 80 2 60 1 40- III 20— 0 .7 111— Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha Average Ratio Ratio Drawdown Ratio Ratio • Integrity: Core Gov /Credit A+ ® Sawgrass: Core Fixed Income ❑ Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate Multi- statistics Summary Table: 10 Years Ended December 2009 Batting # of Up Up Capture # of Down )own Capt. Maximum Excess nformation Treynor Alpha Average Periods Ratio Periods Ratio Drawdown Return Ratio Ratio 1 Integrity: Core Gov /Credit A+ 57.50% 29 112.66% 11 127.64% -2.96% 0.68% 0.43 3.37 - 0.59% Sawgrass: Core Fixed Income 42.50% 32 103.80% 8 91.70% - 2.47% 0.32% 0.36 3.60 0.04% Vanguard Total Bond Market Index Adm 45.00% 30 97.43% 10 103.72% - 2.46% -0.20% -0.44 3.46 0.07% Barclays Capital U.S. Aggregate 0.00% 31 100.00% 9 100.00% - 2.44% 0.00% 0.00 3.50 0.00% 38 (i. Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rolling Excess Returns: Barclays Capital U.S. Aggregate 4- Quarter Moving Windows, Computed Quarterly 8% 6% 4% 3 N N N X w 2% A Abb. 0% 41 , 1111111117rop.".■ 2% Q4 2000 Q4 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 • Integrity: Core Gov /Credit A+ • Sawgrass: Core Fixed Income O Vanguard Total Bond Market Index Adm • Barclays Capital U.S. Aggregate 39 a m Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Tequesta Public Safety Officers' Pension Plan Statistics Definitions Return Compounded rate of return for the period. Standard Deviation A statistical measure of the range of a portfolio's performance, the variability of a return around its average return over a specified time period. Represents the excess rate of return over the risk free return divided by the standard deviation of the Sharpe Ratio excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk - adjusted performance_ A measure of the difference between a portfolio's actual retums and its expected performance, given Alpha its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's non - systematic retum. Beta A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non- diversfiable or systematic risk. Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents Traynor Ratio the excess rate of retum over the risk free rate divided by the beta. The result is the absolute rate of retum per unit of risk. The higher the value, the better the product's historical risk- adjusted performance. Information Ratio Measured by dividing the excess retum by the tracking error. The higher the Information Ratio. the more value -added contribution by the manager. Tracking Error A measure of the standard deviation of a portfolio's performance relative to the performance of the benchmark index. Excess Retum Arithmetic difference between the managers retum and the index retum over a specified time period. Up Market Capture The ratio of average portfolio retum over the benchmark during periods of positive benchmark return_ Higher values indicate better product performance. Down Market Capture The ratio of average portfolio retum over the benchmark during periods of negative benchmark return_ Lower values indicate better product performance_ Batting Average The batting average of the manager vs. a benchmark is the ratio between the number of periods where the manager outperforms the benchmark and the total number of periods. A measure similar to standard deviation, but focuses only on the negative movements of the retum Downside Risk series. tt is calculated by taking the standard deviation of the negative quarterly set of retums. The higher the factor, the riskier the product. The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark_ R- Squared High R- Square means a higher correlation of the portfolio's performance to the appropriate benchmark Source Zephyr StyleAdtiisor 40 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. �,. THE ( 11404, .:, BOGDAHN ,,...„...,, GROUP siurplifyiug your investment and fiduciary decisions Orlando 4901 Vineland Road, Suite 600 Orlando, Florida 32811 Chicago Cleveland Milwaukee Lfield Road Suite 200 6100 Oak Tree Blvd, Suite 200 250 E. Wisconsin Ave Suite 1800 , ille, Illinois 60555 Independence, Ohio 44131 Milwaukee, Wisconsin 53202 866.240.7932 Tequesta Public Safety Officers' Pension Plan Special Workshop Meeting Alternatives for Rockwood Capital Advisors Dan Johnson THE GROUP W W W. B O G D A H N G RO U P. C O M simplifying your investment and fiduciary decisions N Aiu 1ou,r AL6, 4 - 4--/a- t� Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Performance October 2001 - December 2009 (Single Computation) 260 — 240 — 220 — 200 - 180 - 160 140 — 120— f 100 80 60 I 1 I 1 1 1 I 1 Q3 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q4 2009 • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt kix Adm • S &P 500 3 x.:.; Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. II1 Tequesta Public Safety Officers' Pension Plan Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 Zephyr Large Core Universe (eVestment Quarterly) 0% .._._ ..—!—. ..—g— p • ' • 25% • ■ ® ■ e c ® • • 1Y • • • c Media • • • ■ • 3 • • • CC T —11— • 75% ° • • s • • • • 100% T _ • � - 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • ICC Capital: MULTI -CAP EQUITY • Manning & Napier: U.S. Core Equity • Dana: Large Cap Equity ❑ Cornerstone: Concentrated Equity A Rockwood Strategic Equity • Vanguard Total Stock Mkt Idx Adm • S &P 500 ❑ 5th to 25th Percentile ❑ 25th Percentile to Median ❑ Median to 75th Percentile ❑ 75th to 95th Percentile Trailing Rank vs Universe: Return Rank through December 2009 Median Volatility) quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Rank of Rank 509 mng509 mng508 mng479 mng458 mng429 mng397 mng359 mng338 mng307 mng278 mng ICC Capital: MULTI - CAP EQUITY 0 0 3 5 0 0 0 0 0 0 1 3 8 Manning & Napier: U.S. Core Equity 10 3 28 4 5 13 7 5 5 10 11 15 N/A Dana: Large Cap Equity 51 17 93 95 70 68 76 41 45 38 37 30 28 Cornerstone: Concentrated Equity 7 3 99 68 7 3 3 4 7 11 11 N/A NIA Rockwood Strategic Equity 65 31 72 97 94 69 80 87 35 29 11 14 22 Vanguard Total Stock Mkt Idx Adm 53 4 60 30 46 51 52 60 57 49 53 56 68 S &P 500 82 8 50 54 70 72 72 82 85 85 89 90 91 Zephyr Large Core Universe (eVestment Quarterly) Q 5 ` Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar.