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Home My WebLink AboutHandouts_Regular_Tab 06_04/14/2011 The Market Environment Domestic Credit Sector & Broad Market Maturity Performance Period Ended: December 31, 2010 Quarter Performance ■ Using the Barclays Aggregate index as a proxy for the aaa _z.a�, !:,�; ;' domestic broad fixed income market (-1.3%), the quarter's AA -1.6% rising yield environment resulted in negative performance for A _� 9o � most diversified, investment-grade bond investors. While BBB � 20 individual portfolio results for the quarter will vary by strategy, � BBB 31o0 in general, portfolios that sought the relative safety of shorter 0 maturities (0.4%) or the yield advantage of lower quality debt °`� -z.ar (3.1 %) will likely post a performance advantage relative to the TIPS -0.9% Barclays Aggregate benchmark. In addition, bond managers Mort o.3�i that over-allocated a portfolio to the mortgage sector, which G/M/C =BroadMarket(Govemment+Mortgage+Corpor te) posted a return of 0.3% for the quarter, had the potential to 1-3yrG/M/C p,q�� add value relative to the broad index . �-sy�cmnic -o.��r 1-10yr G/M/C _5 5% _p g o/ 10+yr G/M/C �,. . s�,.. -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 1-Year Performance ■ The trailing one-year retums for the various broad and � �� ` -��` '_��.sr � .,_ sector-based bond indices were largely strong. Despite the AA 7.7°/ pull-back that occurred during the 4th quarter, the calendar a g,�, year's solid fixed income performance reflects the collective BBB �� 90 � impact of a general period of falling interest rates and an � BeB increased confidence in the sustainability of the economic co� s.6� 15.2°/ recovery, which narrowed credit spreads. The falling rate — environment had the largest impact on the longer-dated TIPS 6.3% indices, while lower quality credit indices benefited most from Mort s.��r the increased economic confidence. 1-3yr G/M/C 4.0°/ 1-Syr G(M/C 4.8% 1-10yr G/M/C 5.9% 10+yrG/M/C 1 -'�� 10.6% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% Ifil. Source: Bank of America/Merril/ Lynch Index System 8 �( BOGDAHN `°�` GROUP Zephyr StyIeADVISOR: The Bogdahn Group, LLC Trailing Performance: Return through December 2010 35% 30% - - - _ _ ___ - --- 25% -- — -- ----------- � 20% - - - - - - � � 15% -- - - - - - -- 10% ----- -- . - - � --�^ _ _....I --� .... _ . _, ' '.`_ ; "` I - � - - __ I � 5% - ' 0% — 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 10 years ■ Barclays Capital Interm U.S. High Yield ■ Barclays IntermAggregate Trailing Performance: Return through December2010 1 quarter 1 year 2 years 3 years 4 years 5 years 6 years 7 years 8 years 10 years Barclays Capital Interm U.S. High Yield 3.28% 14.47% 33.51 % 9.91 % 7.89% 8.58% 7.56% 8.02% 10.28% 8.39% Barclays Interm Aggregate -0.76% 6.14% 6.30% 5.82% 6.12% 5.81 % 5.16% 4.96% 4.82% 5.66% �:.-.��_��a w-.-=r�.�.m=��,,..-- --- ---�� m._ .�. — - z�,,.�: .�-� � \ Created with Zephyr StyIeADVISOR. �� Zephyr Sty1eADVISOR: The Bogdahn Group, LLC Calendar Year Performance: As of Decem ber 2010 60% 40% _ _ _ --- - - - - -- __ - � 20% -- -- - --- - _ . - --- - - -- - � - - a� � 0% -20% - -- -- - 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 � BarclaysCapital Interm U.S. High Yield ■ Barclays Interm Aggregate Calendar Year Performance: As of December 2010 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 BarclaysCapital Interm U.S. High Yield 14.47% 55.71% -25.51% 2.04% 11.42% 2.59% 10.83% 27.44% -1.36% 3.78% BarclayslntermAggregate 6.14% 6.46% 4.86% 7.02% 4.57% 2.01% 3.75% 3.80% 9.51% 8.68% f .. . -�:-�----- �.- .. ,�:r�.,,�.�.�.._.._:... ... . ,�---�-- � , -�.,.� .,..._ _ __y- �-��......-�.-� . . ,�..� -,�. _ :.. �c�� .. .n "_��.. . — . __.�.._ s--�_,..c,� .. v-.�_:.� -. w. .__-__ .�._..,_ : ,,.:.� �..s.>.�e.-.�...LL � . Created with Zephyr StyIeADVISOR. , ��,.,+c�' Zephyr Sty1eADVISOR: The Bogdahn Group, LLC Manager fbsk/Return Longest Concurrent Timeframe: 10 Years Ended December 2010 10%; _ — --- I • 8%� � � 6% � � 4% � 2% 0% -2%% 2'�0 - ,_ 4% . , --- 6 ' — J-- —, — _ _ _L__ �. _. - 0 0 0 �/ $% 10% 12% Standard Dev iation • Barclays Capital Interm U.S. High Yield 1 Barclays IntermAggregate Risk Table Longest Concurrent Timeframe: 10 Years Ended December 2010 Return Std Dev Downside Beta Alpha R-Sqared Sharpe Tracking Error (%) (%) Risk (%) vs. Market vs. Market vs. Market Ratio vs. Market Barclays Capital Interm U.S. High Yield 8.39 12.38 8.77 -0.41 11.62 1.02 0.50 13.06 Barclays Interm Aggregate 5.66 3.09 2.15 1.00 0.00 100.00 1.10 0.00 "� -� �_�.,.: �----�.._...-,.. �-� - - - - _..._ - - - �Y.a,m,s ��,� � \ Created with Zephyr StyIeADVISOR. �� Zephyr StyIeADVISOR: The Bogdahn Gra�, LLC Multi Statistic Graph Muiti Statistic Graph - - - -- _ - - _ . - , _ -- - --- --- -- — -- 140 � --- ---- ---- ---- - 0� _ I ------- ---- - - 120 -- -- - - --- - --- _- - --- � --- 100 _ __ -- - --- - --- -- -------. ---- ----- --- - �- - _ --- ---- 60� - ------- -- - -- ----- ---- -20'- -- ------- --------- ---- --- -------- � - ------ - -- - - --- - - -36� -- - ----------------- --- ----- ---- _ ___ 40� . ------- - _- - -40J'___ --- --------- ---- ---- - - -_ _-- j �---- 20� - .. - - I _. --- -50�- -- --- __- -- 0� - -- -60� -------- -zoj — -- ---- -- - — - -- ---- ------- ------- _ � -- -- — - ----- -- --- __J - ' o � --- — - -- _ _ _---- - - _ r _ _ . _ _ Batting Up Capture Down Capture Maximum Excess Return Information Treynor Average Ratio Ratio Drawdown vs. Market Ratio Ratio ■ Barclays Capital Interm U.S. High Yield ■ Barclays IntermAggregate Multi-statistics SummaryTable: 10 Years Ended December2010 Batting # of Up Up Capture # of Down own Capture Maximum Excess Return Information Treynor Average Periods Ratio Periods Ratio Drawdown vs. Market Ratio Ratio BarclaysCapital Interm U.S. High YiE 70.00% 29 138.57% 11 36.83°/o -26.49% 2.74% 0.21 -69.65 Barclays Interm Aggregate 0.00% 32 100.00% 8 100.00% -1.98% 0.00% 0.00 3.40 � �-== _.._.._��-,�... ��_._ t,�a,._�.�- .�„n.�-��,�.:,�,��.�,,.�-.��,�..�,�.��:.��,r.�,�,�Wa,,�_,��,�,�. - �,.. � Created with Zephyr StyIeADVISOR. �� .• � . A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by Alpha 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. 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. 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. Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Downside Risk A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is caiculated by taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product. Excess Return Arithmetic difference between the managers return and the risk-free return over a specified time period. Information Ratio Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Return Compounded rate of return for the period. Sharpe Ratio Represents the excess rate of return over the risk free return divided by the standard deviation of the 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. 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. R-Squared The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Square means a higher correlation of the portfolio's performance to the appropnate benchmark. Tracking Error A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark. Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over the Treynor Ratio 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 producYs historical risk-adjusted performance. Up Market Capture The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. �'� � \ � Created with Zephyr StyIeADVISOR. L7� �