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Home My WebLink AboutHandouts_Public Safety Pension_ 03_04/12/2010 Tequesta Public Safety Officers' Pension Plan Special Workshop Meeting Review of Rockwood Capital Advisors Dan Johnson THE BO GDAUN GROUP W W W. 80 G D A H N G R O U P. C O M simplifying your investment and fiduciary decisions Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 Morningstar Moderate Allocation 0%- , • 0 a a 25 % • o c • m ct E Median 7 ec i 75 o % 100% 1 quarter 1 year 2 years 3 years 4 years • Tequesta PSO (Total Fund - Rockwood) 0 Vanguard Proposed Portfolio • Tequesta GE (Total Fund -Dana) • 50 %SP500,10 %EAFE,40% BarCAP Int. GC Trailing Rank vs Universe: Return Rank through December 2009 1 quarter 1 year 2 years 3 years 4 years Median Volatility Rank of Rank 1242 mng 1218 mng 1155 mng 1041 mng 985 mng Tequesta PSO (Total Fund - Rockwood) 37 15 73 95 39 19 30 Tequesta GE (Total Fund -Dana) 19 7 71 95 11 14 20 Vanguard Proposed Portfolio 19 3 68 71 17 18 17 50 %SP500,10 %EAFE,40% BarCAP Int. GC 33 5 68 83 33 32 28 Morningstar Moderate Allocation 3 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 20 % - 10% c 0% cC -10% -20% 1 2009 2008 2007 2006 • Tequesta PSO (Total Fund - Rockwood) 0 Vanguard Proposed Portfolio • Tequesta GE (Total Fund -Dana) • 50 %SP500,10 %EAFE,40% BarCAP Int. GC Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 Tequesta PSO (Total Fund - Rockwood) 13.91 -20.16 10.27 9.37 Tequesta GE (Total Fund -Dana) 14.55 -17.21 7.13 9.94 Vanguard Proposed Portfolio 21.04 -22.80 7.45 11.92 50 %SP500,10 %EAFE,40% BarCAP Int. GC 18.71 -22.78 7.01 12.05 4 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Q,,,-„:' III Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe Morningstar Moderate Allocation 0% • • • m 25% o d • c m 0_ E Median D co II o 75 % • 1 • 100 %' Q4 2009 Q4 2008 Q4 2007 Q4 2006 • Tequesta PSO (Total Fund - Rockwood) 0 Vanguard Proposed Portfolio • Tequesta GE (Total Fund -Dana) • 50 %SP500,10 %EAFE,40% BarCAP Int. GC Calendar -Year Rank vs Universe: Return Rank Dec 2009 Dec 2008 Dec 2007 Dec 2006 Median Volatility Rank of Rank 1218 mng 1155 mng 1041 mng 985 mng Tequesta PSO (Total Fund - Rockwood) 25 17 95 8 10 86 Tequesta GE (Total Fund -Dana) 36 29 95 3 36 79 Vanguard Proposed Portfolio 28 10 71 15 31 36 50 %SP500,10 %EAFE,40% BarCAP Int. GC 33 12 83 15 38 34 Morningstar Moderate Allocation 5 Q — - I Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. II Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Longest Concurrent Timeframe: 4 Years Ended December 2009 8% 6 % 4 % E 2 %- • • * O N - 0 % -2 %- .4o/ ' , ' ' 1 1 _1 8% 5% 10% 15% 20% 2 Standard Deviation • Tequesta PSO (Total Fund - Rockwood) 0 Vanguard Proposed Portfolio • Tequesta GE (Total Fund -Dana) • 50 %SP500,10 %EAFE,40% BarCAP Int. GC Risk - Return Table Longest Concurrent Timeframe: 4 Years Ended December 2009 Return Std Dev Downside Beta Alpha R- Squared Sharpe Tracking (° /a VA) Risk ( ° /y) ( 74 (R2) Ratio Error Tequesta PSO (Total Fund - Rockwood) 2.34 10.17 7.93 0.77 0.45 86.13 -0.05 4.74 Tequesta GE (Total Fund -Dana) 2.81 8.95 6.58 0.70 0.99 93.07 -0.00 4.35 Vanguard Proposed Portfolio 2.96 12.69 8.94 1.03 0.51 99.64 0.01 0.85 50 %SP500,10 %EAFE,40% BarCAP Int. GC 2.39 12.29 8.71 1.00 0.00 100.00 - 0.04 0.00 6 ^\ ,,,'' Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 4 Years Ended December 2009 Multi Statistic Graph: 4 Years Ended December 2009 100 - - - -- 0.8 ii 80 60 0.4 _ ji — Ili 0.2 0 20 -0.2 0 -- I -0.4- -0.6 -40 1 1 1 -0.8 1 1 1 1 Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha Average Ratio Ratio Drawdown Ratio Ratio • Tequesta PSO (Total Fund - Rockwood) 0 Vanguard Proposed Portfolio • Tequesta GE (Total Fund -Dana) • 50 %SP500,10 %EAFE,40% BarCAP Int. GC Multi- statistics Summary Table: 4 Years Ended December 2009 Batting # of Up Up Capture # of Down Down Capt. Maximum Excess nformation Treynor Alpha Average Periods Ratio Periods Ratio Drawdown Return Ratio Ratio Tequesta PSO (Total Fund - Rockwood) 37.50% 10 82.45% 6 81.45% - 23.33% -0.05% -0.01 -0.67 0.45% Tequesta GE (Total Fund -Dana) 56.25% 11 75.33% 5 68.14% - 20.65% 0.41% 0.10 -0.05 0.99% Vanguard Proposed Portfolio 68.75% 9 104.82% 7 99.17% - 27.94% 0.57% 0.67 0.11 0.51% 50 %SP500,10 %EAFE,40% BarCAP Int. GC 0.00% 9 100.00% 7 100.00% - 28.51% 0.00% 0.00 -0.45 0.00% 7 �z Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Equity Portfolio Comparisons 8 O a Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 30% 20 % E ill 10 %_ a) ce = r o % - -10 °/ 1 quarter 1 year 2 years 3 years 4 years • Tequesta PSO_Rockwood • Tequesta GE_Dana • Vanguard (83 %Total Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Trailing Performance: Return through December 2009 1 quarter 1 year 2 years 3 years 4 years Tequesta PSO_Rockwood 5.40% 19.60% - 12.94% -5.22% -0.82% Tequesta GE_Dana 5.55% 24.81 % - 10.76% - 5.02% -0.46% Vanguard (83 %Total Stk,17 %Total INTL) 5.39% 30.22% - 10.27% - 4.77% 0.36% 83 %SP500,17 %EAFE 5.40% 27.51% - 11.08% -5.56% -0.24% k 9 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 Zephyr Large Core Universe (eVestment Quarterly) O% 25 % • C co o • • E Median = • • i1) • 1 • 75 %- o • • • 100 % - 1 quarter 1 year 2 years 3 years 4 years • Tequesta PSO_Rockwood • Tequesta GE_Dana • Vanguard (83 %Total Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Trailing Rank vs Universe: Return Rank through December 2009 Median Volatility 1 quarter 1 year 2 years 3 years 4 years Rank of Rank 509 mng 509 mng 508 mng 479 mng 458 mng Tequesta PSO_Rockwood 87 10 73 95 92 57 75 Tequesta GE_Dana 71 10 70 69 71 52 62 Vanguard (83 %Total Stk,17 %Total INTL) 47 9 73 23 56 47 40 83 %SP500,17 %EAFE 65 10 73 42 76 69 52 Zephyr Large Core Universe (eVestment Quarterly) 10 10 Imo Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 30% 20 % -- -- E % 3 0 N cc -10% II I 30% -40% i____ 1 2009 2008 2007 2006 • Tequesta PSO_Rockwood • Tequesta GE Dana • Vanguard (83 %Total Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 Tequesta PSO_Rockwood 19.60 -36.62 12.34 13.63 Tequesta GE_Dana 24.81 -36.19 7.57 14.60 Vanguard (83 %Total Stk,17 %Total INTL) 30.22 -38.17 7.24 17.47 83 %SP500,17 %EAFE 27.51 -37.98 6.52 17.60 11 (Q. Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe Zephyr Large Core Universe (eVestment Quarterly) 0 %" • • 25 % • II c • cc • E Median- • m m CC • • 75 % • • • 100 %' Q4 2009 Q4 2008 Q4 2007 Q4 2006 • Tequesta PSO_Rockwood • Tequesta GE Dana • Vanguard (83 %Total Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Calendar -Year Rank vs Universe: Return Rank Median Volatility Dec 2009 Dec 2008 Dec 2007 Dec 2006 Rank of Rank 509 mng 563 mng 573 mng 565 mng Tequesta PSO_Rockwood 53 38 95 53 6 84 Tequesta GE_Dana 62 15 69 47 29 74 Vanguard (83 %Total Stk,17 %Total INTL) 37 14 23 80 33 23 83 %SP500,17 %EAFE 42 13 42 78 40 22 Zephyr Large Core Universe ( eVestment Quarterly) 1 ` 12 Q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Longest Concurrent Timeframe: 4 Years Ended December 2009 8 % 6 % 4 %: E 2 % -2 % -4% -6% -8080/0 ' ' ' ' 5% ' ' ' 10% ' ' ' 1 5 % ' ' ' ' 20 % ' 2 % ' ' '30 % , ' '3% ' ' ' ' 40% Standard Deviation • Tequesta PSO_Rockwood • Tequesta GE_Dana • Vanguard (83 %Total Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Risk - Return Table Longest Concurrent Timeframe: 4 Years Ended December 2009 Return Std Dev Downside Beta Alpha R- Squared Sharpe Tracking ( °/4 (°/E) Risk ( % (%) (R2) Ratio Error Tequesta PSO_Rockwood -0.82 18.23 14.57 0.83 - 0.62 85.75 -0.20 7.74 Tequesta GE_Dana -0.46 18.62 14.13 0.89 -0.33 95.86 -0.18 4.38 Vanguard (83 %Total Stk,17 %Total INTL) 0.36 21.09 15.13 1.03 0.67 99.73 -0.12 1.26 83 %SP500,17 %EAFE -0.24 20.42 14.71 1.00 0.00 100.00 -0.15 0.00 13 �� r Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 4 Years Ended December 2009 Multi Statistic Graph: 4 Years Ended December 2009 I 120- 1 100 _ r ill 9 0 80 4 A 60 1 40 - - -- 20_ -20- _ - 4 - -60 i 1 -5 1 1 i Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha Aeerage Ratio Ratio Drawdown Ratio Ratio • Tequesta PSO_Rockwood • Tequesta GE Dana • Vanguard (83°A:7 Stk,17 %Total INTL) • 83 %SP500,17 %EAFE Multi- statistics Summary Table: 4 Years Ended December 2009 Batting # of Up Up Capture # of Down )own Capt Maximum Excess nformation Traynor Alpha Average Periods Ratio Periods Ratio Drawdown Retum Ratio Ratio Tequesta PSO_Rockwood 37.50% 10 83.23% 6 90.66% - 42.68% - 0.58% -0.08 -4.46 - 0.62% Tequesta GE_Dana 50.00% 11 83.14% 5 88.62% - 42.99% -0.22% -0.05 -3.70 - 0.33% Vanguard (83 %Total Stk,17 %Total INTL) 56.25% 9 104.88% 7 100.38% - 46.64% 0.59% 0.47 -2.41 0.67% 83 %SP500,17 %EAFE 0.00% 9 100.00% 7 100.00 % - 46.79% 0.00% 0.00 -3.08 0.00% 14 q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ■ Fixed Income Portfolio Comparisons 15 (B . Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 5% 4 % E _ - - CL 3 %, 2% 1 %- 0% 1 quarter 1 year 2 years 3 years 4 years • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Md,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Trailing Performance: Return through December 2009 1 quarter 1 year 2 years 3 years 4 years Tequesta PSO_Rockwood FI 0.27% 5.91% 4.74% 5.82% 5.44% Tequesta GE_Dana FI 0.49% 3.31% 5.70% 6.05% 5.59% Vanguard (90 %Total Bond Md,1 %TIPs) 0.28% 6.52% 5.44% 6.11% 5.57% Barclays Capital Intermediate U.S. Government/Credit 0.30% 5.24% 5.16% 5.90% 5.44% ONFAIN 16 q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Rank vs Universe: For the Periods Ended December 2009 eA US Core Fixed Income 0% 25% Y c (a tY c Median- • cc • 75% y o O • • • 100 %— • 1 quarter 1 year 2 years 3 years 4 years • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Mct,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Trailing Rank vs Universe: Return Rank through December 2009 Median Volatility 1 quarter 1 year 2 years 3 years 4 years Rank of Rank 316 mng 316 mng 316 mng 316 mng 316 mng Tequesta PSO_Rockwood FI 76 4 79 79 83 73 76 Tequesta GE_Dana FI 69 3 61 95 68 67 69 Vanguard (90 %Total Bond Md,10 %TIPs) 70 6 78 74 73 64 70 Barclays Capital Intermediate U.S. Government/Credit 77 4 78 85 78 69 76 eA US Core Fixed Income ■■• 17 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 8 % H H 6% 1 1 i l IR E 7 ip cc 2009 2008 2007 2006 • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Mkt,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 Tequesta PSO_Rockwood FI 5.91 3.58 7.99 4.30 Tequesta GE_Dana FI 3.31 8.16 6.76 4.22 Vanguard (90 %Total Bond Mkt,10 %TIPs) 6.52 4.36 7.47 3.97 Barclays Capital Intermediate U.S. Government/Credit 5.24 5.08 7.40 4.07 18 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Qs 101 Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar -Year Rank vs. Universe eA US Core Fixed Income 0 % • • 25 %- Q c 4 c 0 E Median- • n • m it 75%_ i • 4 • 100 % - Q4 2009 Q4 2008 Q4 2007 Q4 2006 • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Nkt,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Calendar -Year Rank vs Universe: Return Rank Median Volatility Dec 2009 Dec 2008 Dec 2007 Dec 2006 Rank of Rank 316 mng 341 mng 341 mng 341 mng Tequesta PSO_Rockwood FI 63 17 79 50 10 72 Tequesta GE_Dana FI 55 24 95 9 56 78 Vanguard (90 %Total Bond IVkt,10 %TIPs) 58 16 74 42 22 91 Barclays Capital Intermediate U.S. Government/Credit 54 21 85 35 25 87 eA US Core Fixed Income 19 Q.- - . . . re, 1 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk/Return Longest Concurrent Timeframe: 4 Years Ended December 2009 10% 8% E 6% • N lY 4% 2% 0 8% 1% 2% 3% 4% 5% 6% 7% Standard Deviation • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Mkt,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Risk - Return Table Longest Concurrent Timeframe: 4 Years Ended December 2009 Return Std Dev Downside Alpha R- Squared Sharpe Tracking ( ° /4 ( Risk ( °/a Beta h) (R2) Ratio Error Tequesta PSO_Rockwood FI 5.44 3.38 2.35 0.88 0.61 93.52 0.77 0.96 Tequesta GE_Dana FI 5.59 3.79 2.23 0.95 0.44 85.25 0.72 1.47 Vanguard (90 %Total Bond Mkt,10 %TIPs) 5.57 3.53 2.39 0.91 0.59 91.24 0.77 1.09 Barclays Capital Intermediate U.S. Government/Credit 5.44 3.70 2.47 1.00 0.00 100.00 0.70 0.00 20 Qs/ Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 4 Years Ended December 2009 Multi Statistic Graph: 4 Years Ended December 2009 100 3 80 2.5 - -- - 60 1.5 40— 1— 0.5- III li] Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha A',erage Ratio Ratio Drawdown Ratio Ratio • Tequesta PSO_Rockwood FI 0 Vanguard (90 %Total Bond Mkt,10 %TIPs) • Tequesta GE_Dana FI • Barclays Capital Intermediate U.S. Government/Credit Multi- statistics Summary Table: 4 Years Ended December 2009 1 Batting # of Up pp Capture # of Down )own Capt. Maximum Excess nformation Treynor Alpha Average Periods Ratio Periods Ratio Drawdown Return Ratio Ratio Tequesta PSO_Rockwood FI 56.25% 11 97.78% 5 85.27% - 2.29% -0.01% -0.01 2.94 0.61% Tequesta GE_Dana FI 56.25% 12 94.66% 4 45.39% - 1.28% 0.15% 0.10 2.89 0.44% Vanguard (90 %Total Bond Mkt,10 %TIPs) 50.00% 11 98.06% 5 71.94% - 1.71% 0.13% 0.12 2.94 0.59% Barclays Capital Intermediate U.S. Government/Credit 0.00% 11 100.00% 5 100.00% - 2.69% 0.00% 0.00 2.60 0.00% 21 C Q-J, Z reated with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. 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 retum around its average retum over a specified time period. Represents the excess rate of return over the risk free retum divided by the standard deviation of the Sharpe Ratio excess retum. 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- diversifabte or systematic risk. Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation)- Represents Treynor 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 Return Arithmetic difference between the managers return 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 retum- Higher values indicate better product performance. Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark retum. Lower values indicate better product performance_ The batting average of the manager vs. a benchmark is the ratio between the number of periods Batting Average 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. It is calculated by taking the standard deviation of the negative quarterly set of returns. 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 StyleAdvisor 22 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance and Morningstar. THE BOGDAHN GROUP simplifying your investment and fiduciary decisions Orlando 4901 Vineland Road, Suite 600 Orlando, Florida 32811 Chicago Cleveland Milwaukee ;field Road Suite 200 6100 Oak Tree Blvd, Suite 200 250 E. Wisconsin Ave Suite 1800 lle, Illinois 60555 Independence, Ohio 44131 Milwaukee, Wisconsin 53202 866.240.7932