HomeMy WebLinkAboutHandouts_Pension Public Safety_08/02/2010 � Village of Tequesta Public Safety Officers' Pension Fund
Investment Performance Attribution Supplement
2Q 2010
Key elements of equity manager attribution are as follows:
Note to analysis: We used Tl�omson Portfolio Analytics for the holdings-based attribution analysrs, which is based on monthly holdings obtained
from Salem Trust. Holdings-based attribution can help to identify active elements of the Investment manager. Tl�e analysis does not reflect the
impact of cash flows or management fees; actual portfolio returns may differ.
#. 1 f.t' �I 4
❑. Based on the Thomson Portfolio Analytics
holdings-based attribution analysis, the Rockwood ....,,.,, m � � w- -:� '
portfolio ( excluding the impact of the monthly cash ~! � • ��
holdings) lagged the S&P 500 Index during the quarter No aisecurities 37 500
by 1.95 percentage points (-13.38% vs. -11.43%). % Bmrk Holdings 58.68 100.(�0
96 Active Share 95.56 O.aO
❑ Relative to the S&P 500 Index, the portfolio 95 Top 25 H oldings 73.74 3fi.5�6
continues to have more exposure to smaller 9b Top 15 Holdi 47.62 25.91
capitalization companies; the weighted-average W1kt Cap 14,692,754.384 72.787,776,69a
market cap of $14.7B was less than the $72.8B for the Ivlarket Cap - Median 5,8�2,�s2,000 8.70�,35�,7�0
index. At the end of the Second Quarter E Gr For 12M 38.40 25.07
approximately 60°/o of the portfolio, based on market EPS Gt Hst 12hA -162.79 740.57
value, is represented in the S&P 500 Index. Based on EPS Gr Hst �Y 12.�9 5.68
several characteristics relative to the S&P 500 Index EPS Gr LT 14.62 10.74
the portfolio continues to have "growth tilt"; the Ttl C7bt� Eqty WS �.�0 1.41
dividend yield is less and the price-to-earnings ratio DivYld o.91 2.19
based on 12-month forecasted earnings and trailing Price IBook 2.os �.s�
12-month is greater. Also, the forecasted earnings per P Fa r 12tv1 14.15 11.56
share growth rate is higher. The "relative factor" PE Tr 1 2tv1 2a2� �6.31
characteristics summarize the portfolio positioning. PEG For 12tvt o.s4 1.08
Relative Beta (GRh,1) �D.82 0.04
Relativ Growt (GRM1) O.S6 -D.Q4
Rela ti•,re Mamentum (GRM) 125 O.�Q
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ��
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Holdinas-Based G/CS SectorAttribution Analysis
2Q 2010
Rock�::nrd Eq��it}� tTequesta Public Eniplo�eFSl :�s. S&P 500 .'�''? _ fi�3n zn�c�
,,, ,:� , ,, r �� :� • + :.�,. �;
�� '�• t i '� � E '�
��� p��,��0 10fl.0�? 70U,GU -13.38 -11.43 -73.38 -11.43 -d.86 -1.10 -1.95
En�rar 2�i3; 1C�.9�i' -�.�15 -12.'� -0.1n -1.39, d.'12' U.Uo iJ.�O
_ _ _ - � _ __ --- _ _ _ -- -_-- � _ - ----
141atsrials 1.36� 3.44 -29.07 -15.31 -0.61 -Q53 Ci.i!�i' . -0.35� -0.31
Industnals 13.88 10.55 -21.52 -12.3'I -3.23 -1.32 -�.0� -1.33 -1.38
Consumer Discretianary 30.19 10.�3 -10.33 -10.89 -3.32 -1.12 -0.07 _ Q.10 0.04
Health Care 4.92 11.76 -9.64 -11.79 -0.54 -1.39 -a.05 0.11 0.06
___ _ _ _.
Financials 18.57 16.d2 -1Q.73 -13.34 -2.04 -2.18 O.D2 �.35 0.38
Information Techn 28.15 18.91 -12.�0 -1225 -3.45 -2.34; -0.07! -0.06; -�D.13,
----. _---��s -___ __ - --- _-__ .. ---- - ----- --------__ �___ _ -----_ ., __.._
� � . � �; . � � �� � : � � . � . � � .; .
Company t�ame -- A'r� Wt,. Return ContriO� ,C�mpany Name Avg Wt� Retuml_ CoMr�Df
---- ---- , __ _ __
_
-
, -LE�F;�F� E�,�JWI IPdC � ti9! 1.27 Ci 46`•, I! `IC�I�. C���P 1 F�; -41.25 -1 r2i
_______.._-� __n. _ __-- -- - - . __ _ _.....__ � _ _-- --- -�
fJ�=.TI�JPd��'��IDE HE?�.LTH PPTY' 2.71 3.15 0.10j FGRa tv1TR GO DEL 3.�5 -19.81 -0.71
GOLDMIAN SACHS GR�UP IN 0.21 4.98 0.10 CNH GLOBAL M V 2.60 -26.3d -0.68
ST.�'LES IPJC 0.26 3.89 0.09 HE��VLETT PACKARD CO 3.25 -18.43 -0.61
TJX COS 1N� P�EZN 3.D2 -1.Q2 -0.04 MOSAIC CO 1.36 -29.07 -Q.f1
, , :.: , � ,.
Sector allocation ("allocation effect") and stock selection ("selection
effect") were essentially equal contributors to the 195 bps of
Sr,LESF�RCE C�JfFt IhdC �.r;a, ��. �, underperformance during the quarter. The Rockwood portfolio had
FaRD �v1T CO DE L s.5s -�s.a� exposure to 7 of the 10 GICS sectors. All of the sectors were negative
�JIKE INC 3.34 -7.76 contributors. Poor stock selections within Industrials and Materials more
HE���,+ Pl4CK.+0.RD CO 3.25 -18.4 than offset the positive contributions from good stock selections within
-----1d- __ _._._._._--____---,__.____ _�. _. -------. _
�T.AR�d00D HOTELS&RESORT 3.24 11.'171 the Financials, Health Care, and Consumer Discretionary sectors. The
top contributor and bottom contributor by holding were both constituents
in the Information Technology sector.
Attribution analysis generated from Thomson Portfolio Analytics; composite holdings obtained from the Plan's custodian. ���
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