HomeMy WebLinkAboutHandouts_Pension General_02_08/02/2010 � Village of Tequesta General Employees' Pension Fund
Investment Performance Attribution Supplement
2Q 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 rnanagement fees; actual portfolio returns may differ.
❑ For the second consecutive quarter, the Dana domestic
equity portfolio outperformed the S&P 500 Index. Based on the
Thomson Portfolio Analytics holdings-based attribution Te uesta GE (Dana Domestic Equity) 6t3 or2a10
analysis, the Dana portfolio (excludinq the impact of the ••• ��
monthly cash holdings) returned -10.5%, while the S&P 500
Index returned -11.4%.
r�do at Securities 5:i �00
----_---- --- - ___ -- -- --. _ ___ __
❑ Since each holding in the portfolio is equal-weighted, the °n Bmrk Haldings 77 72 10�0
— .- � _ _ _.
°�b Acti�e Share 73 09 O.iYO;
average market cap is less than the index ($49.5B vs. $72.8B). o , --- —
fo Top 25 Holdings _ , __ 5� 8t 36 5�
While approximately 78% of the portfolio, based on market o , —
� 37.35 25_91
value, is in the index, the weights of the portfolio holdings are T P 9 —`^- �" "--"
�o 0 o m s ,
h�9kt Ca 49.466.d3'� �29 72.787.776,690
significantly different than index based on an "Active Share" p�larksi Cap - Median 23.6��.979 840 8.700,35� .7�t1
calculation of 73.1 %. Dana utilizes a relative value a roach to -- �-- --
PP EPS Gr Far i 2M 15 58 2� 07
--__._ �.._._.__..__ _ _—
invest in "quality" companies with balance sheet strength, EPS Gr Hst 5Y 7.94 � 66
-- --
improving profit margins, earnings quality/consistency, positive EPS Gr LT (projected 3 t� 5 yrs_}__ 10 42 �0 7�
-- _.�_
earnings surprises, and growth of earnings. Several of Ret on Eq (Harmonic} 15.25 11-81
_ _ __
characteristics in the table to confirm Dana's process. Relative EPS For 12M1�1 IBES 4_50 4 3�4
. � —.
to the index, the portfolio had a lower L-T Debt-to-Equity (0.83 EPS Tr 12�I IBES 3.90 3_63
vs. 0.93), a higher return on equity (15.3 vs. 11.8), and higher CF �Shr 5.49 5_OS�
__ �
earnings per share based on projected 12 month consensus �iv Yld 265 2 1�
_- — --.
estimates and actual trailing 12 months. Also, the companies Price tBook _ 1_84{ 1 s�
generated more cash flow per share and traded at better PE For 12M 10_14 1t_5+G
valuations (lower price-to-book, price-to-earnings, price-to-cash PE Tr 12M 1d.27 16 31
__ �..
flow, and PEG). PEG Far 12M 0�7 1 Q8
_.__ _ — _ .
Price IGF 8 30 12_�i3
- - -------_ __._
L-T Dbtt Eqty 1'VS -- -- --- , 0-83 _ 0 93
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. r�
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Village of Tequesta General Employees' Pension Fund
Holdinqs-Based G/CS SectorAttribution Analysis
2Q 2010
Ter_�ue�ta �3E IDana D�?mestic Equityl :�s. S&P 500 ' 31�2010 -8�30�2010
� I� - 1 � f, �� ��' `/ . � Y ' I�.:1 1e .�.. ` ���
. �. ��: ^ � i .
Tota� P�rtfdio �C,lGS Fcanomic Sector) 7Ufl.U0 1F1U.U0 -70,49 -17.43 -1U.48 -11.43 -0.13 1:Ofi 0.93
Enerq:* 8�� 1ii g3 -1^ �� -12.7v -1 3U -1 3A O.C�4', -a.21' _i� 17
�.taterials 3.68 3.44 -11.83 -15.31 -U.��, -0.�3 -�.01 0 ��1 u.GU
-- - ------ ---- _ _ __-- - _ _-+----- _ --
Indu stnals 10.25 10.55 -14.98 -12.31 -1.52 -1.32 C�.���� -O.e�� -024
Cons umer Discretionary 10.17 10.43 -7.Q3 -10.69 -0.61 -1.12 0.08 0.39 0.47
Gansumer Staples 12.U9 11.19 -5.46 -8.14 -0.70 -U.90 -0 �!t 0.29 0.2
Health Gare 12.99 11.76 -8.28 -11.79 -1.10 -1.39 -0.1? 0.51 0.38
.__..__
Financials 11.54 16 .42 -12.86 -13.3�t -1.50 -2.18 O.U� U.03 0.'11
_ _. - --�- - -- - _--- r,_
Information Technology 22.08 18.91 -10.52 -1225 -2.30 -2.34 O.L� ` 4.33
Telecom Sen+ice 1.87 2.83 -3.28 -424 -0.04 -0.12 -0.04 O.D2 0.02
- -- �-- _ _- _._
Utilities 2.57 3.53 -5.03 -3.74 -0.12 013 O.Q� -0.02 -0.08�
- - --- -- --- i- - ------�
NlA 4.�6 0.00 -6.31 0.00 -0.76 0.00 -0.12' O.QO -0.12!
- -- -- - _...- _ -- --r
l �tiA.RES S�? PArd C �Growth TR (�JK 4.46 0.�0 , -6.3t i d.00 -0.76 � O.OQ S G O�J 0.00 ; 0 00 !
� � • � • � • •; � : � � . � • � � ., �
C�mpany Name Avg Wt Retum Contr� Cam�ar�y Na�r►e Avy Wt Retum Gartri�
-.FFLE I�JC �?8 ? 0' C�.18 ISH�.RES TR iSBP tvtid Cap Gro'�ath; ��8 -F 31 -0.?5
AN�JALY C!=,P F:I��I,dT I�JC 1.2� 3.?2 0.�9 t,11CROSOFT GORP 1.84 -21.�.13 -0.39
Atv1ERISt]URCEBERGEN CORP 0.58 8.44 0.07 hJOBLE GORPQRATION BAAR 1.46 -26.09 -0.39
:�';'HIRLPOOL CORP 2.00 1.09 0.06 HEWLETT PACKARD C4 1.93 -18.43 -0.37
P.ANERA BRE.AD CO 0.�61 5.67 0.05 �v1YLAN INC '1.37 -24.97 -0.37
f �, ,,, , Stock selection ("selection effect") was the sole contributor to the
camp,ar�y Hame ,�v�wt �t�t�nrn outperformance during the quarter (+106 bps). Like the index, all of the
isH�.��� rs�wP r.�id eap crowm} 1.�s�� -�� � � sectors in the portfolio negatively contributed to overall performance. Good
µ,PP�E irac z.?s! �.u� stock selections in the consumer sectors (discretionary and staples), health
E t�t c c oRP r�n.ass 2.02 �.�t care, and information technology more than offset the negative impacts from
- ---- -- - -
�. NH(RLP OOL CORP 2�Q ��� stock selections within Energy and Industrials. Within the portfolio's
_��
H���ETr P.neMC+�t�a co �_s3 __ __-�e.a3; information technology companies, Apple was the top contributor; Microsoft
� and Hewlett Packard were in the bottom five contributors by holding.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ��
���^�.
� Village of Tequesta General Employees' Pension Fund
Holdinas-Based Market Cap Attribution Analysis
2Q 2010
Tequesta GE (Qana damestic Equity)rrs. SB�P 5f�0 ��'��'2n1p . n � p�0�0
+ , ., � ''' '� � . � ����
TotalRt�rtfdiotklktCapBu�ketsy 1DU,U�fl 10U.40 -1�.49, -11.43 -1fl.49 -91.43 U,42 �.51 0.93
�r1ktC3��1- �Q t� 328i1 Ci,fih p.1� -10.?3' -1�l.2= -U.11 -G.02' t�.Q� -l'�.QB -0.0�1
-�
tvlk,tCap2-�2B to �108 29.93' 13.99' -628 -9.21 ' -1.95 -1.13 �� 0.85 1.11 �
�ylktCap3- �1 QB ta $2QB 14.36 14.67 -'1421 -9.92 -2.00 -1.d7 -0.01 -0.63 -D.64
�M1ktCapd-�20Bto �104B 32.11 3723 -10.52 -11.92 -3.46 -4.55 � C�1 0.43 Q.43
IvlktCapS-greatsrthan �1008 22.94 33.94 -12.6fi -12.�3 -2.97 -4.2� 0.12 -Q.Ofi 0.06
With an allocation effect of +42 bps, the portfolio's market cap distribution was a positive contributor during the
quarter. An overweight to mid cap companies (MktCap btw $2B and $10B) provided a majority of the total contribution
(+26 bps).
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ��
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