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Home My WebLink AboutHandouts_Public Safety Pension_ 01_04/12/2010 Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Performance April 2000 - March 2010 (Single Computation) 180 — 1707 160 1507 1407 130 120 — 110 — 100 4% 2 % 0% -2% Q1 2000 04 2000 Q4 2001 Q4 2002 Q4 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q1 2010 • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit 1 Q Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance 1-141 cur / 9 - /a/G' ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2009 6 %. L tiIhuur 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit 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 Barclay Cap Interm. Aggregate 0.53% 6.45% 6.45% 5.65% 6.10% 5.72% 4.96% 4.76% 4.62% 5.22% 5.60% 6.09% Barclays Capital Intermediate U.S. Government/Credit 0.30% 5.24% 5.24% 5.16% 5.90% 5.44% 4.66% 4.38% 4.37% 5.04% 5.47% 5.92% 2 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance Zephyr StyIeADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of December 2009 10 %- -- 8% a) IY 2 % -- 0% 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit Calendar Year Performance ( %): As of December 2009 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 Barclay Cap Interm. Aggregate 6.45 4.86 7.01 4.57 2.01 3.76 3.80 9.49 8.68 10.63 Barclays Capital Intermediate U.S. Government/Credit 5.24 5.08 7.40 4.07 1.57 3.04 4.30 9.82 8.98 10.10 3 Q...00/ Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance Zephyr StyIeADVISOR: The Bogdahn Group, LLC Manager Risk /Return Longest Concurrent Timeframe: 10 Years Ended December 2009 10 %. 8 % E 6% 2% 1% 2% 3% 4% 5% 6% 7% Standard Deviation • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government /Credit Risk - Return Table Longest Concurrent Timeframe: 10 Years Ended December 2009 Return Std Dev Downside Beta Alpha R- Squared Sharpe Tracking ( %) ( %) Risk ( %) ( (R2) Ratio Error Barclay Cap Interm. Aggregate 6.09 3.10 2.16 0.84 1.10 95.90 1.05 0.86 • Barclays Capital Intermediate U.S. Government/Credit 5.92 3.62 2.53 1.00 0.00 100.00 0.85 0.00 4 ) Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance ■ 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 %- I 8 %- 6%- 6 %- c 4 cc 4 %, 4 %- 2 % ' 2 % O N 14 2% 3% 4% 5% 00 6% 1% 2% 3% 4% 5% 6% 7% Standard Deviation Standard Deviation • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit 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 ( %) ( %) Ratio ( %) ( %) Beta ( %) ( %) Ratio Barclay Cap Interm Aggregate 4.96 2.96 0.80 1.19 94.50 0.70 Barclay Cap hterm Aggregate 7.23 3.21 0.87 0.95 97.13 1.38 Barclays Capital htermediate U.S. Governr 4.66 3.58 1.00 0.00 100.00 0.50 Barclays Capital Intermediate U.S. Governr 7.21 3.65 1.00 0.00 100.00 1.21 5 Q- Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance ■ 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 101 - 100.5 100 100 - -- . - -- - - - i _ i - - - _ — 99 99.5 99- • 98- e N : ' 0 98.5- a 97- a D 0. 98 96 97.5 95 • 97- 94 • 96.5 30 40 50 60 70 80 90 100 110 50 60 70 80 90 100 Downside% Downside% Single Computation Single Computation Upside vs. Downside Capture 10 Years Ended March 2010 101 100 * 99 98 0 97 S. 96 95 94 93 • i i 1 I I l 40 50 60 70 80 90 100 110 Downside% Single Computation • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit 0 6 Q„, Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance ■ Zephyr StyIeADVISOR: The Bogdahn Group, LLC Multi Statistic Graph: 10 Years Ended December 2009 Multi Statistic Graph: 10 Years Ended December 2009 100 4 _ 3.5 _ 80 3 2.5 . 60 2. 40 20--- 1.5 . 1 - -- o.5 - Batting Up Capture Down Capture Maximum Excess Return Information Treynor Alpha Average Ratio Ratio Drawdown Ratio Ratio • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit Multi- statistics Summary Table: 10 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 Barclay Cap Interm. Aggregate 52.50% 33 95.69% 7 43.39% - 1.97% 0.17% 0.20 3.89 1.10% Barclays Capital Intermediate U.S. Government/Credit 0.00% 30 100.00% 10 100.00% - 2.69% 0.00% 0.00 3.09 0.00% 7 .: Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance Zephyr StyIeADVISOR: The Bogdahn Group, LLC Rolling Excess Returns: Barclays Capital Intermediate U.S. Government /Credit 4- Quarter Moving Windows, Computed Quarterly 1.5% 1% ).5% "ILA _ 0% , 1 • N su 0.5% x W -1% 1.5°. �1 -2% 01 2001 04 2001 Q4 2002 04 2003 Q4 2004 Q4 2005 Q4 2006 Q4 2007 Q4 2008 Q1 2010 • Barclay Cap Interm. Aggregate • Barclays Capital Intermediate U.S. Government/Credit 8 Qte; Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance ■ 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 returns 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 return. Beta A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Similar to Sharpe ratio. but focuses on beta rather than excess risk (standard deviation). Represents Traynor Ratio the excess rate of return over the risk free rate divided by the beta The result is the absolute rate of return per unit of risk. The higher the value. the better the products historical risk - adjusted performance. Information Ratio pleasured by dividing the excess return 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 return over a specified time period. Up Market Capture The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark return. 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 return 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 Ow% 9 Created with Zephyr StyIeADVISOR.Manager returns supplied by: eVestment Alliance 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 •