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HomeMy WebLinkAboutPension General_Documentation_Tab 03_11/05/2007Cumulative Growth of $100.00 in Style Benchmarks and Core Value Equity (Period 09/30/95 - 07/31 /07) PRICE RELATIVE TO RUSSELL 1000 INDEX ^ Russell 1000 Value 12.01% Annualized X30.00 - t2o.oo -- -- ,. - >>o.oo ~ o o . o o Russell 1000 10.26% Annualized 80.00 -_.-_-_'..-_.. ..-_______ - _ ~ -- ~ ~~ ', 80.00 __ ___ ___________.-__. '.-... ___-___• - ____. .'. _-1 70.00 Sap-8b Sep-88 Sep-87 Sep•eb Sep-88 Sep•00 Sep-01 Sep-02 Sep-03 Sep-OL Sep-06 Sep-OB ^ Russell 1000 Growth 7.75% Annualized h~~ au t- ~-3 Performance: Returns vs Universe Universe: Mobius Broad Large Cap Growth Benchmark: Russell 1000 Growth Returns Universe: Mobius Broad Large Cap Growth 16 14 12 10 8 6 4 2 0 -2 1Yr 5-25 %tile e Russell 1000 Growth 3Yr ^ 25-50 %tile 5Yr 50-75 %tile 6Yr ^ 75-95 %tile - - ~ - _ _ 1Yr _ 3Yr 5Yr 6Yr ___. Dana Investment Advisors Inc. Large Cap Growth -Gross Size 12.11 13.25 9.46 _ __ 8.31 - - Russell 1000 Growth 7.06 7.01 3.47 ~ 2.54 Returns BOGDAHN CONSULTING LLC. simplifying your investment decisions Village of Tequesta PUBLIC SAFETY OFFICERS PENSION PLAN September, 2007 www.bogdahnconsulting.com 340 West Central Avenue Suite 300 ~ Winter Haven, Florida 33880 Telephone (863) 293-8289 ~ Facsimile (863) 292-8717 Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund Rockwood Capital Advisors For the Period Ending September 30, 2007 Presented by: Bogdahn Consulting, LLC The Market Environment Asset Class Performance Period Ended September 30, 2007 ~_. _ _~ _d__.___~~_.~ m__..____~ Quarter Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T•Bill -6.0% -3.0% 0.0% 3.0% 6.0% 9.0% 12.0% 15.0% Source: MSC! Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC. Year-to-Date Market Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russe113000 Russell 1000 Russe112000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T°Bill 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% Bo dahn Consultin LLC. g g~ ----~ The Market Environment Asset Class Performance Period Ended September 30, 2007 Five Year Annualized Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 Lehman US Agg. Lehman US Grov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% ~n11rrP.' M~(;l (:anifal 11Aarkatc Ri~ccall ~;n MFR I ahman ritirnrn R Rnnrrahn ~:nn.ciilfinn 1 I f; Ten Year Annualized Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T•Bill 0.0 3.0% 6.0% 9.0% 12.0% 15.0% Bo dahn Consultin LLC. g g~ The Market Environment Equity Sector Performance Period Ended September 30, 2007 Sector Performance as of 9/30/2007 BVB~GY MATERIALS INDUSTRIALS CONSI~VI @Z DISCR CONSUM 8~ STAPLES HEALTH CARE FlNANCIALS INFORMATION TECH TELECOM SVC UTILITIES 8.4% 8.0° 4.2% 24.8% 4.3% 17.9% -5.5% -1.2/0 4.5% 10.2% 1.9% 8.1 -3.9% -5.0% 5.4% 15.7% 2.0% 17.6% 1.3% 10.4% ~ QTQ ^ YTD Source: MSCI Barra ~ Bogdahn Consulting, LLC. Bogdahn Consulting, LLC. '`~" The Market Environment Equity Style ~'erformance Period Ended September 30, 2007 ~W - - - _ ..~~~_.. _ --. Source: Russell Co. Russell All Cap Style Performance 25 20 15 10 5 0 .5 26 20 15 10 5 0 -5 Qtr YTD lyr Syr Syr l0yr ~ 3000 Growth ^ 3000 Index ^ 3000 Value Russell Large Cap Style Performance Qtr YTD lyr Syr Syr 10yr D 1000 Growth ®1000 Index ^ 1000 Value Russell Small Cap Style Performance 24 20 16 12 8 4 0 -4 °8 Qtr YTD lyr Syr 0 2000 Growth ^ 2000 Index ^ 2000 Value Bogdahn Consulting, LLC. Syr l0yr The Market Environment Trends for Stocks and Bonds Period Ended September 30, 2007 • 30.0% 20.0% 10.0% o.o°i° -10.0% -20.0% 7.00 6.00 5.00 4.00 3.00 2.00 1.00 0.00 Treasury Yield Curve 1 Mo 3Mo 6Mo 1 Yr 2Yr 3Yr 5Yr 10Yr 30Yr -~ 09 07 f 03 07 Source: Federal l7eserve Bogdahn Consulting, LLC. Growth vs. Value Russell 1000 Excess Return Rolling 12 Month Periods ~ Village of Tequesta Public Safety Officers' ' Pension Trust Fund Executive Summary Report Explanation The Executive Summary provides an overview of the fund's performance. It shows the performance in dollars, percent, and relative to the investment olio .These are rovided v p y p o er different time periods including up and down markets. All rates of return are annualized if the period for which they are calculated exceeds one year. Account Reconciliation: This section shows the performance of the account in dollars, during the most recent quarter, the calendar year, and since the inception date. The Beginning Value is the value at the start of each period. The Ending Value shows the value as of the date of the report. Net contributions are the total contributions less the total withdrawals during the period. The Investment G1L is the gain or loss resulting from the investments. It is the difference between the beginning and ending values that cannot be explained by the net contributions. Positive investment G/L figures represent a profit, and negative values represent a loss. Investment Policy: This section defines the benchmark against which the fund is being compared. Generally, this is the most important objective for a fund to achieve. The performance of the fund relative to this measure over longer periods of time, such as market cycles, is the strongest indicator of the success or failure of the investment strategy. This objective should be reasonable, and the performance of the fund should be measured against the investment policy after adjusting for risk. Trailing Returns: This section shows the cumulative time weighted returns over the last 1 year, 2 years, and soon up through 10 years if available, as well as since the inception date. A positive difference indicates the fund has exceeded the policy's returns. The investor would prefer that this difference be positive for all time periods; however, it is more important for it to be positive for the longer periods rather than the shorter periods. Calendar Year Returns: This section gauges the consistency of performance over one year time periods. Each calendar year of performance represents the return from January 1 st through December 31st. Watch out for a trend of declining relative performance in recent periods. Returns In UplDown Markets: This section shows how the fund performed in both up and down markets. The methodology is to segregate the performance for each time period into the quarters in which the market, as defined by the policy, was positive and negative. Quarters with negative policy returns are treated as down markets, and quarters with positive policy returns are treated as up markets. Thus, in a 3 year or 12 quarter period, there might be 4 down quarters and 8 up quarters. Up market returns are calculated for the fund and the policy based on the up quarters. Down market returns are calculated for the fund and the policy based on the down quarters. The ratio of the fund's return in up markets to the policy's is the up market capture ratio. The ratio of the fund's return in down markets to the policy's ~s the down market capture ratio. Ideally, the fund would have a greater up market capture ratio than down market capture ratio. Village of Tequesta Public Safety Officers' Pension Trust Fund Executive Summary Account Reconciliation 09/30/2007 2007 04/30/2005 Qtr YTD Incept e ~I~~ :S ~ t . r~. ~: ~:1/~ ue:~:. . .. 3:~90~~... ...~3:~~40.~. ~:~:~ ...~:~~~44: :~li~.. ; :.:~ . vestn~e:~i~t~~1L .:.::..::..::::::~ .... :~1~74:~.~:~ .; ~.... ~:~ :~.~:~.~:~f38:6~: ::~~ .:~:.:.:::~ ..: .......~838~. riding, l~a~:ue ............ ................4,2~5..... .,.....4,,~8.~5.. ......... 4,28,. Investment Policy Index Weight ::L~~;~~~:~o~1~re:d~t~lrit~rr~:e~a:ate f~:~:~:~:~;;;~..~ .~. ~ :~. ~~~:~~~~~:40::©0:: ..... . . 100~.:00:~ Trailing Returns through September 30, 2007 04130/2005 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept ... ~ .d:::.;.;.:.. ~:1:4:23~:~.~.~.~.~:~;:0:3~:~.... ...... .. ... .. ... .... ......... ..... . .~..~..~~ ..~ ... ~ ... ~ ~...~.~.~.:~:~~..:~:~~~~....~:~ ::.... ....... ....~.. ~ .~......... ...~. ..~ ..~..~~.~.~..~.~.~.~ .~.~.~.~ ...~.~.~~~:.:~ :......::1:1:.:09:: ofiG~~ .~:1:2:~2~:~.. .. .. .. ... .. . y: ..... .:~99:3~:~.~:;::;:. ..... ... ... ....... ....... ... .. .. ... ..... ....... ... .. ............ .. .. .... .. .. .........::0::16:: . ff~:~:~: .... .~1~: ....... .... ~:~:2. ~:~~~:~:~:~:~..... .. ......... .. ... .. .. .. ... .~.. ~ ~. ~.~ ~ . ~ . .. .... .. ............ ..... ..... ................. ..... .... .:~Q~.~93:~ I, Calendar Year Returns 09/3012007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 :::F........:~:~:.~.~~;~: ...~:r~~:~~~ .. .:~: .. : .. ~~4:;~1:~:~: .:... ..:: ~~.0;~~.. .::.: ... :; :::; :..~.:, .~~~:~ ..~.~:~.~ ~~~~ ::~.~.~:~.~.~.~: ~.~.:.~.....:;:::;~;~ .;.::~:;.:.~~ ::::.:::..:::.:.::::~., , .~:~.:.:::::~::..~;~; ::.:~~::::.; . :8:,~5 ....... .. ........ ..... .. .. ............. . ~~:Pali' ...:~... :..:.. ....... . .. , . .:::.....::...:.:..::~::.~....;:.:..:~~:.. ~:....: ....:::..:.::...:.::..:. :;::..:::::.: .;:. .:.:::.:,. ~~:Di~f:~:~:~:~1~:~~~~:~:~:~:~ ..... ... ....: ~ ; ~ .. :~:~:~:~ :::::::::.:::.:... ~. ..1 75~:~:~ ::~:: ~ ... .~.~.::3:~~~2~:~:~ ..;. ......~.;.:;:.:.;.:~::::~:~:~:::.::~.~...:::.:. ~:.:::: ..::.:.;:..:...:::::.:..:;~:~;:.~.:.:..:::..:..~..::,:~.: ~~ ~:::: ~~~:~;~::::~ :~.~:~2:~~:7 ......... .. .~. ..~ .......~.... .... ~ ....... ~ .~~ ~ ...... .~. Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept :.:.~:nd......:~~:::~: ~ ~~:14..2 .:..:.:. ::::::.1:~.. 0 . . . . : , . . .,::...:.:: ~ : ~::.~1.2~,9.~ ;;P~...: ~ ......... ::.:. 'li o c~ :~1:2~;0:~~ ... .. .. ~Y:.. .. ... . . . . . . . , . ........::...:: :~1:1~;9:~:~. ... . :.........~::::;::...;.~..~.,.~ .. ...... .. ..~1:~::8~ afia: ~~: ~ ..~:~:1~1:8~:4.~.~:.~ .. .. ... ~.~ ... ~.. ~. ....~9~2~:1~:.....~.~. ~.... ........~ .. ...~::....~:...:~. ..~.~. ~...~.~.~..~~09.:7:. Inception date is April 30, 2005 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. Rockwood assumed account on April 4th 2005 Returns in Down Markets 04/30/2005 1 Yr 2 Yr Incept .. ..... ... .. ..... .0;~:.. .. .. .. .. ~ ........ . 0:~~ .. . c~:.. ....... .. . 0$::. ... .. ... ~~p`:g:: :Ra;tio::~:~:~:~::: ::.::::::::::..::~~~:. ~~~:::1:~2::1:~:~:~f~:~:~:~:~:~:~:~: .... .. ~ .~... ~ ~.~.. ..~. :::::::;::;::::::;:::;::~.. . ..~ ~..~.. ...122:1:: 2 Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation as of September 30, 2007 Equity 60% At Cost Equity 54% Fixed Income 36% Fixed Income 41% 3 At Market Cash & Equiv 4°/a Cash &Equiv 5% Village of Tequesta Public Safety Officers' Pension Trust Fund Universe Comparison Report Explanation The universe compares the fund's returns to a group of other investment portfolios, called a universe. Ideally the universe is comprised of many other investment funds with similar investment profiles. Comparisons are provided over many different time periods. Trailing Returns: This section focuses on longer term returns. It shows the cumulative time weighted returns and percentile rankings for the last 1 year, 2 years, 3 years, and so on up through 10 years if available. The returns for the fund, the policy and the universe percentiles are displayed. A percentile ranking of 1 is the best, and 100 is the worst. For example, a ranking of 50 means that the fund outperformed half of the universe. A ranking of 25 means the fund was in the top 25% of the universe, outperforming 75%. Above 50 is acceptable. Above 25 is excellent. High rankings over all time periods are ideal; however, it is more important to rank highly over the longer periods rather than the shorter periods. Calendar Year Returns: This section focuses on shorter periods and gauges the consistency of performance over time. It shows the calendar year returns for the fund, the investment policy and the universe percentiles. Each full year of performance represents the return from January 1st through December 31st. Ideally the fund has performed well in the earlier years and in the most recent years. UVatch out for a trend toward underperformance in recent periods. Note the performance indifferent market environments. A high policy return indicates a bull market, and a low policy return indicates a bear market. All rates of return are annualized if the period for which theyare calculated exceeds one year. 4 ~ Village of Tequesta Public Safety Officers' ' Pension Trust Fund Universe Comparisons I, 60°/o Broad Large Cap Core & 40% PSNIGIFI _ Trailing Returns through September 30, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr . ~i. u d: Return 6.12 10.41 14.23 9.03 -tile 7 15 90 Return 6.19 7.29 12.02 9.93 -tile 37 44 48 ~~t ~~e ... ~~. ... IV se: 5th %-tile 10.60 15.68 12.02 11.85 12.12 13.03 13.36 9.80 11.25 25th %-tile 7.75 12.74 10.47 10.14 10.35 11.50 11.92 7.55 9.36 50th %-tile 7.01 11.87 9.89 9.47 9.64 10.90 11.07 6.00 8.07 75th %-tile 6.49 11.25 9.53 9.09 9.16 10.46 10.28 4.83 7.17 95th %-tile 4.78 9.64 8.71 8.53 8.47 9.64 8.89 3.43 5.59 Calendar Year Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 d~ Return 4.15 10.41 8.63 ........................... -tile 6 7 80 ::P. ~.. .. ...~ ... ~ :. ~li~ o e:~ .Y: .... .. ~. .: .. ...... .......... .... ...~ .. ~.. ~.~ :. .~ .. .. .. .. . Return 2.40 7.29 11.00 ................... -tile 28 37 50 f;tj~. .erg. . . 5th %-tile 4.22 10.60 14.31 7.59 25th %-tile 2.45 7.75 11.89 5.42 50th %-tile 2.12 7.01 11.00 4.32 75th %-tile 1.57 6.49 9.51 3.43 95th %-tile 0.16 4.78 4.95 1.66 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to September 30, 2007 Rockwood assumed account on April 4th 2005 5 Village of Tequesta Public Safety Officers' Fixed Income Executive Summary Account Reconciliation 09130/2007 2007 04/30/2005 Qtr YTD Incept .:~~ .~ ~fV. ue~.~.~:~ f . ~. C~ ::;:,. .,~,:, :~Ne :Flow ~ ..... . ....... . :.i~.. ::::~~ t ~rest~e:~it~GlL.. . ~ : ~:~.::.....:. .. ~...~.~ .:~~~::~~~:~ .: .: ...: :~..~ :~6:~.:. ..::::::: .:.::.. . ~:;:~.:.~. ~~~36~: err v .. aloe .~:~: ~, .....~: g::..:....::~ ~ .. .........~~~........ .~... r~....~.~. ........~.,~50 Investment Policy Index Weight :I~ef~:~riart~~~v/:~red1~~~l~it~~r~~da~te:~:~:~:~;~:~:~:~:~:~~~:~:~:~:~:~.~f~:~:~~O~:OQ~: .~ ~_.....:~.~...:.. ~ .:~ .. .~ ..............~.~........~. 0..40,: Trailing Returns through September 30, 2007 04130/2005 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept u~r~:d~:~ :5;~~ ... .. .. ..... . ..~. ~.~.~ .~.~ ..... ... ~. ~ ~. ..~...~. ~..~..~.. ~.~ ...~.~ .4::4:5:: oliG~ ..... ~.~. .. .... .. .. .. ~.~..~..~. . , ..... ... ~ . ~.~. ~. ;~~~.04:: .0~4~ . . ' Calendar Year Returns 09/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 :::F ... ....:. .:: .. ..:::.:: .. ~ ..;. ~ ~ ::.~...:~ ~ ~~:~ ...:::~..~.~..~ ..~..~~~: ~:..... ... :.~.::::::~:~:.... , . ~~..::~. . ~:.....:.:...~ ~::. u:nd:~~~~~ .. .. .. ~~3:23::.. ~:4~G6~~ ~:~~~~ ... ....... .. ....... .. ............. • 1~~. . . o c . ~:2~:~8~. ~:4;~7~. ~:4 ~ :7.. .. .. ...... .. ... .. . .:D` :::::::~:::~::.~::. ~ :.:........ .:.::... :... ... :::::.:.::.....:..~:.;~ ..~.~ .~.~..:.~....... ~..~ . ~...:.~...~.:.:..~. ~~~.. ~ ~ ~~~ .. .: :: ~ . ..~~~ ~.~: ~ .~: il'f :. ..... 0 3~ .. ..... ... .. ... Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept .t~ .~ . . .. olio ~•5•r~• . Y~ r. ... . . ... . ~8:: ..... .. .. .~: a a .. . , 11:~ .1.. ..:10;7.3: .: ~ ...:~~~:~:~ :. ~ 1.04:, Inception date is April 30, 2005 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are gross of fees. Returns i n Down Markets 04/3012005 1 Yr 2 Yr Incept ...............~.~..~.~..~...... ......~..:..... ~. ..~ ....~.~...o:~~ ~:Polar.~.~:~:::~:;:~::::;:::~:~::~0:~::~:~::: Y. .. ..... .. ~:::~:~:~~0:~~:~:~:~:~:~:~:~: ... ~:~:~:~:~:~:~:~:~:~:~:~::~:~:~:~~~~ ... . , 1:~~: 6 Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation 09130/2007 2007 04/30/2005 Qtr YTD Incept ~:~~~~ t . r~ .I,;,,,,;;;;,, . ~: ~:V~ ue.. 9 ~. ....................... ....................... ;;;,;,;;;,;;;;;,;;;,;;;,, .. .2.25~~:~.~: ................... .................. ~:~:~:~:~~~ ........... ............ .............. ............. :~Net~:Flo~~ ~.. ....~.. ~ ~ ~ .. .: ~:~tr}~re~ti~e:~i~t~:.: .~. C/1:~:~:~:~: .:....::.. ~:. ~:~~ . _ .~~~21~:~.~:~ :.... :. ~.. ~:~1:7~~ ..~:~::~:.. . ~~~2~: :~~rE~~:E ~:V ~ ~I. ~ ~ d r~ g. .. ,5 .. . ,55~~~: .. . . ~:~:~:~:~:~:~:~~~a55~: a Investment Policy Index Weight ~~E? 5(3~ ::::::::::::: ~~?O:~Q 'i'ofia~ ::::: ::::::::::::::: :::::: 'fD~1.E)a: Trailing Returns through September 30, 2007 04/3012005 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept 2 . 7;:.:.;:,.,.. ~.~,:.: u d~:~;:::~.::;:;:. 3 12.7.7.~.~..~...~..... ~ .~.~.. . . .~. •~. II. .. ... ' ' .~. .. .. ... ~.~. ~.. ~ .. ... .. 0 c .. •.~. 6:4~~.~:~:~:~:~ .:4:. :~~ . . .~a8:~~:. .. . Calendar Year Returns 0913012007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 .. 5 0 ~~:5~~1~4~:~:~ .~:~:12ti :7~:~:~:~:~:~ ~:~:~:~:~~~~~:~:~~~:~:~:~: ai c~ .Y~.. ~:~~; . . 58.~~ fl~ ~~:Di~ ..:....:. ~f: ~ ~ ~ ~ :6:0:1: ~ ..:;.. ;. ~.......~..~:..: ..:~....:.. ....... :.. ....:.:.............~ ~~.~:.:. -2: :3~ ~9 . . Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept . t~.~~: ~:~... ~. 8 f ~1:9~,?:: .::P~~ ..........:.: ... :1,6:~4.~.~.~.: o!i c~ ~:~ :: .:: ~i 0:~.:::.~.;. .~1. ~~ ...~ :::....:.: 4:~~~~~ :1~~ .., . ...... .. .. .. ... .. ..~.~ ~ 1:1~6::7~: Inception date is April 30, 2005 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. Returns i n Down Markets 04/30/2005 1 Yr 2 Yr Incept ::Polar... ... ~::~~:~:~:~~~:~:~f~: ~~ ~:~:~:~~~:~.~:~:~.. .1. ,4:: .~.~.~... ~ ........ .... ..~.~~ .. ...~ . ~... ~ .~ .. , "x:1:2::5:: 7 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Pure Large Cap Core Trailing Returns through September 30. 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ~ .. d: Return 8.61 15.14 21.37 12.77 -tile 22 6 7 76 ~li o .. Return 8.44 9.13 16.44 13.58 -tile 28 32 38 31 n . ~. .. ... .. ....... .............~.... ~.~. _.. .. ... .....~.~ ... . s~ ... ~~1. Iv ~.e:. .. 5th %-tile 13.67 15.22 21.93 16.25 16.11 16.16 17.34 10.52 8.91 8.65 25th %-tile 8.45 9.36 17.01 13.65 13.81 14.15 15.98 9.42 5.02 5.91 50th %-tile 8.19 8.93 16.16 13.37 13.04 13.16 15.24 8.31 2.46 3.94 75th %-tile 7.04 7.95 15.17 12.82 12.55 12.70 14.74 7.89 2.11 3.43 95th %-tile 3.88 3.98 10.34 10.85 10.57 10.39 12.66 6.56 0.30 1.10 Calendar Year Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 Return 5.08 15.14 12.87 -tile 7 6 75 ::P~. ... .: olio .. .Y:.... ... . .... .. :.~. ~..~.. ... ... . .~:... .~... .... ... ~.~.:.. ~.~.~..~. ... ..... ~.. ...:. .. ... ~ ~ .. .. .:.:.. ..... .. ... ~... .. .. , .~ .... Return 2.03 9.13 15.80 -tile 25 32 30 n. .e.~~~~~.:,:.;.::. ::t:1~. v~~ . .. ... 5th %-tile 5.55 15.22 20.97 11.33 15.14 33.34 -15.55 -1.49 13.61 35.03 25th %-tile 2.03 9.36 16.19 7.20 11.51 28.99 -20.13 -9.35 -0.20 22.80 50th %-tile 1.88 8.93 15.48 5.09 10.39 27.83 -22.23 -12.08 -7.39 20.27 75th %-tile 0.55 7.95 12.74 4.22 8.38 24.97 -23.39 -13.51 -9.63 16.39 95th %-tile -1.82 3.98 4.79 1.07 5.14 20.58 -26.60 -19.10 -14.67 6.13 Returns are in percent. "%-tile" is the percentile ranking within the universe Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to September 30, 2007 8 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Core Trailing Returns through September 30. 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr u d: Return 8.61 15.14 21.37 12.77 -tile 28 6 11 81 o .. ... .~f .. ... .. .. Return 8.44 9.13 16.44 13.58 -tile 35 42 43 41 ri :~~: .... ... .. ...... ..... , . ... .. ..~ .~ . .. ... ~..~.. .. s~~ .e: 5th %-tile 13.66 15.22 22.84 17.16 17.34 17.94 19.23 12.24 9.14 9.72 25th %-tile 8.69 10.37 17.81 14.53 14.30 14.72 16.41 9.85 6.47 7.03 50th %-tile 8.21 9.00 16.27 13.43 13.08 13.34 15.33 8.49 2.68 4.29 75th %-tile 7.11 8.35 15.53 12.99 12.66 12.83 14.84 7.94 2.20 3.62 95th %-tile 4.66 5.20 12.47 11.48 11.60 11.55 13.28 6.26 0.02 2.77 Calendar Year Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 ~~. ~~ Return 5.08 15.14 12.87 -tile 7 6 74 ::R~ ..:. .. .:.... ...:. ~::.: ~~:~~~~ ~ : ~. ....... , .. ............ ..: ....:....;... ~ ....~~ ..~ ~~l'i~ .. o~ ... .. . .Y: ... .. .. Return 2.03 9.13 15.80 -tile 32 42 34 V.~ n .ens 5th %-tile 5.55 15.22 21.03 11.35 15.79 35.07 -14.92 0.68 15.49 38.53 25th %-tile 2.11 10.37 16.81 7.45 11.97 29.63 -20.08 -8.76 0.28 23.55 50th %-tile 1.83 9.00 15.40 5.38 10.46 27.91 -22.27 -12.05 -6.69 20.37 75th %-tile 0.94 8.35 12.43 4.27 8.33 25.20 -23.67 -13.64 -9.58 15.90 95th %-tile -1.48 5.20 4.95 1.07 5.06 20.90 -26.71 -19.24 -14.72 6.66 rceturns are m percent. ""/o-tue" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to September 30, 2007 8 ,Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation 09/30/2007 2007 04130/2005 Qtr YTD Incept .....r. ~: . .r'~~~i~ r~ 'j': ~~6~ ~~ r ~:11~. ue:~~~~ .9: .9. .. .. .... ... ~~~~~~~~~~ ... ~2. . . ... .:~2:~~~~:~: .. ~:~:~:~:~:~:::~~;3~3:~ :~ti~u~~~ ~ ..~.. est~~ ~ . e:ht~~lL;~:::. ......:... .. .. . . ..:1:21~:~:~:~ ~::.. ~ . :~:... ~:31:7~:~: ;..::..::~; .. .... ~~02~: r} ~. n: d~~ ~: al.~. 9. ........... ~~~v5~5:~:~:: ..........~~~....... ~:~:~2~~55:~:~. .....~r~... , .. :~.~:~:.:~~~~55~~: .........~....~. . Investment Policy Index Weight Trailing Returns through September 30, 2007 0413012005 '~ 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept .... ............ . . .. ...... ......... .. .... ... :~~6~.:67:: li~~ o c~ :1: ~:~~ . . 3~:~:~::~:~ .. . 5~~~ .. ~3:3~:~:~ .. :~Off~~~ .. .. .... ...... ~.. . ~ . ~ .... .. ..... ...... . ~...~. ~:1:~.:8~:~ CalendarYear Returns 09/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 u:h~~ al c~. 55:;:;:~;:~~:; ;7~. ~i~~ ~:1~: 8 8~~ ~:'~5:~7 .. .Y .... .. ~fli~...:..~.....;~;:... ..... ~ ... ~ ... ~~~::....:: ::......:..:..~....~~ .:~ ..;::.::..:....:~:~:.. .....:~.:..~..;.~.~:~.~~... Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept ~U:ri~i:: >:: ;:2'1:4 :':: '':15::$ : ::: :: ': :: ;;;:1:9:7: f'oliCy: :::: ::1:x:5::: : ::::16:7:::' ::::: :: :::: ::::: '1:x::7:: Rafio:::::: :::::1;29:3 ; ;:: 9:4:F :::::: : :::::::::: ::: 1:1f~:8 Returns i n Down Markets 04/30/2005 1 Yr 2 Yr Incept ~:~~ :Pol~~.:,::.,:.:.:;:;: ::::::::.::::~ .: Y~.........~... . .. .~;. ...........21~.. Inception date is April 30, 2005 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 9 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Core Trailing Returns through September 30, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Return 8.61 15.14 21.37 12.77 -tile 28 6 11 81 ~l?ol . . ,~f .. ... .... .. ...... .... ... .......... ... .. Return 7.41 8.78 16.53 13.33 -tile 71 65 40 59 n~ ~~~s~. .~~...~...~~.~.. ~ ... ...~.~ .................. ....... .... ........... ~..~. . ~.~~.~.~. .~.~ .~...~~ ~ .,... ... ... ~~ v~ .. .. I .e:... ......................... ...... ..... ....... .. ...... .. ........ .... ... 5th %-tile 13.66 15.22 22.84 17.16 17.34 17.94 19.23 12.24 9.14 9.72 25th %-tile 8.69 10.37 17.81 14.53 14.30 14.72 16.41 9.85 6.47 7.03 50th %-tile 8.21 9.00 16.27 13.43 13.08 13.34 15.33 8.49 2.68 4.29 75th %-tile 7.11 8.35 15.53 12.99 12.66 12.83 14.84 7.94 2.20 3.62 95th %-tile 4.66 5.20 12.47 11.48 11.60 11.55 13.28 6.26 0.02 2.77 CalendarYear Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 u .. .. ... .. .... ........ Return 5.08 15.14 12.87 -tile 7 6 74 ~:Roli~ .... .. .... ~.... .. ~.:.:.....~.~ ::::....:.... ..... ~ : ~ ~ ~.~. ~~.~..~ ~. .. ~.... ~ ~ ~...: ~ .~... ..........:. ~~ ... .. .Y~~ .. ...... .... .. .. .. .... Return 1.55 8.78 15.72 -tile 62 65 36 .:e~~~~~ .ers. 5th %-tile 5.55 15.22 21.03 11.35 15.79 35.07 -14.92 0.68 15.49 38.53 25th %-tile 2.11 10.37 16.81 7.45 11.97 29.63 -20.08 -8.76 0.28 23.55 50th %-tile 1.83 9.00 15.40 5.38 10.46 27.91 -22.27 -12.05 -6.69 20.37 75th %-tile 0.94 8.35 12.43 4.27 8.33 25.20 -23.67 -13.64 -9.58 15.90 95th %-tile -1.48 5.20 4.95 1.07 5.06 20.90 -26.71 -19.24 -14.72 6.66 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to September 30, 2007 10 Village of Tequesta Public Safety Officers' Pension Trust Fund 20.00/ Up M~etums is.ooi io.ooi r_I - __~ _ _ _ i _ --- -I 5.00% ~~ _.___ _... .. _-- j ~ nnni 1 Yr ~~ 2 Yr Incept Fund (%) 14.23 10.98 _ 12.93 Policy (%) 12.02 11.92 11.79 Difference (%} 2.21 ~ -0.94 1.14 Ratio 118.39 92.11 109.67 # Up Qtrs 4.00 7.00 8.67 Down Market Returns ° o.oo /° --~ -- -- -- -0.50% ------------ ------------~ -1 00% . 1 Yr 2 Yr Inc t ep F nd /o) _- -0.94 _ -0.94 Policy (%) -0.77 -0.77 Difference (%) -0.17 -0.17 Ratio ~ 122.08 122.08 # Down Qtrs__ 0.00 1.00 ~ 1.00 ^ Fund (%} ~ Policy (%) Rockwood assumed account on April 4th 2005 11 Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison $5. $4, $4, $3, $3, V a $2 I ' u e $2, $1, $1, Inception date is April 30, 2005 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 12 Auk ,JUG 5U~ UU~ MU6 JU6 SU6 U06 M07 J07 S07 Quarter Ending ^ Fund ~ Policy - ~ Nominal 8% ^ CPI + 3% Village of Tequesta Public Safety Officers' Pension Trust Fund Attributions of Returns Report Explanation Performance attribution concentrates on evaluating the effect of the manager's decisions on asset allocation and security selection. This allows the investor to see whether the manager is adding value by adjusting the actual asset allocation or by picking individual securities. This information is valuable in helping determine the amount of freedom that might be given to the manager in regard to asset allocation ranges. The result of these skills are shown for multiple time periods. The top section shows the returns for both the account and the investment policy and the results of the manager's contribution. The fund's return is thus attributed to the policy and the manager. The bottom section divides the manager's contribution into two components: asset allocation and security selection. The asset allocation effect measures the value that was added by varying the actual asset allocation from the target allocation. This is done by assuming investments, in amounts equal to the actual asset allocation weights, were made in the policy's indices so that security selection has no effect. The difference between this return and the policy's return is the asset allocation effect. The security selection is the remainder of the manager's contribution that is not explained by asset allocation. 13 Village of Tequesta Public Safety Officers' Pension Trust Fund Attribution of Returns Attribution of Performance to show Manager Contribution Policy :::::: ::Nlaiager:Corttrikiitiori : Fund Current Quarter 2.40 ::::':':':' :::::::::::::::: 1::'T5 ................................... ... ............................... ................................... .................................. ................................... .................................. ................................... 4.15 Year to Date 7.29 :: :' :::::::: :::::: ::::3:3:2 ........................... ................................... .................................. ................................... .................................. ................................... ... ............................... 10.41 1 Year 12.02 ::: : >: ':` :::: `::.; 2:2:x:: 14.23 2 Years 9.93 :::::'::::::: =0:90: 9.03 Incept 10.16 :: >: :~ :: ::: ::::: x:93 11.09 Policy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Securit Selection Y Asset Allocation Security Selection [ulariager:Cortritiutiori:: Current Quarter -1.20 2.95 ::: ::: :::: x:;75: Year to Date -3.25 6.37 3;:12: 1 Year -5.43 7.64 2;2:'f 2 Years -4.49 3.59 ::< : `: X0:90: Incept -4.55 5.48 :: :.. . ; . ' . ' ::: D93: Asset Allocation + Security Selection =Manager Contribution Rockwood assumed account on April 4th 2005 14 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation Effect 15.00% P e 10.00% r c e n t 5.00% E f f e 0.00% c t -5.00% 15.00% P e 10.00% r c e n t 5.00% E f f e 0.00% c t -_ _-- ,__ - ___ __ i ~~. __ -- - - ~~ ~-__ u~ ~U~ UU~ MUti JUU SUU UU6 MUD JU7 S07 Quarter Ending Security Selection Effect -5.00% J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 Quarter Ending ~ Quarterly Effect -~ --Cumulative Effect Rockwood assumed account on April 4th 2005 15 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation vs Targets 70.00% ------------------------------------------- - 60.00% -- -- -------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------- 50.00% ------ ---------------------------------------------------------------------------------------------------------------- -- 40.00% ------ -- --------------------------------------------. 30.00% ----__------------------------------------------------------------------------------------------------------------------------------------ ------------------------ ----. 20.00% ------ ----------------------------------------------------------------------------------. 10.00% - ------------------------------------------------------------------------------------- 0.00°/a J5 S5 D5 06 J6 S6 D6 07 J S7 Quarter Ending ~ Cash & Equiv -~-- Target 70.00 60.00 50.00 40.00 30.00 20.00 10.00 0.00 70.00 60.00 50.00 40.00 30.00 20.00 10.00 0.00 io -- . ---~ r`_ ~ ' ~/0 -- -- -- ~-- .... - -- -- -- ~/0 -- -- + - - - ---------------------------------------------------- ~/0 -- -- -- -.. - - -- -- -- ---------------- I - -- -- -- ------------------ ~/o -- -- { i ~0 -- -- -- - -- -- -- ---------------------------- JUG JUG UU~ IVIUb JUb JUb UUb IVIU( JU/ 5Ul Quarter Ending Equity ~- Target io __ -- ~/0 - ---_.- --------- ---------- -- --------- - --------------- - ~/o ---------------------------------- ----------------------------- - ~~ ~ ~ ~ ~/0 -- -- -- -- -- -- -- -- - -- ------ i I ~/o -- -- -- -- -- - ~- ~/~ -- -- -- ~-- ~--j -- ~-- ~-- - JUG JUG UU5 MUb JUb JUb UUb MU( JU( 5U( Quarter Ending ^ Fixed Income, -~ Target Rockwood assumed account on April 4th 2005 16 Village of Tequesta Public Safety Officers' Pension Trust Fund Manager Contribution 5.00% 4.00% 3.00% R 2.00% e t 1.00% u r 0.00% n -1.00% -2.00% -3.00% $1~ $1'~ $1~ $1~ V a $11 U e $11 $10 $10 $9 ------------------------------------------ ------------------------------------------------------- ,~ ~ .-~ -- -----------------------~j~-_--•~_-_________--.~- ------___- __-_--_--.~--_-_----_----._~-_---___-_----_--___-___-.. .._------_____•- .. ~` ~ ~ ~ ~ ~ ~ ,~~ ,.~ - ~ ~u~ uu~ Ivwo Jue pub uUe MUD JU7 SU7 Quarter Ending ~ Quarterly Cumulative Growth of $100 Fund vs Policy ;0 ---- ----------------------------------------------------------------------------------------------------------------- ~~-------------------------------------------------------------------I ,~f--I !--~ F----------------------------------------------------------- ~------------------------------------------------------- ~,-1 r-~ f--i i--~ ~--------------------------------------------------------------------- _~ ~C---------------------------------~-------f-1 ~--1 ~--~ f--~ ~--i F---------------------- ------------------------------------------------------------~ -7 r--i i--1 r-. r--~ i--1 r-1 r--i f--i ;--j ~------------------------------------------------------------- ---------------------- III ~ II ~~ ~ ~ ~ ~ ~~ ~ 5 Al1G InG [~nr_ nnr ~ inn inn nni, .-. .. ., ~~~ ~v~ w~ uv~ rvrw ~uv Ju0 UUn IVIU( JUG SU( Quarter Ending ^ Fund {] Policy Rockwood assumed account on April 4th 2005 17 '' Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Period Ending Fund Polic Y Diff ° Nominal 8 /° Dill ° CPI + 3 /° Diff Apr 2005 2,444 2,444 0 2,444 0 2,444 0 Jun 2005 2,587 2,530 58 2,499 88 2,480 107 Sep 2005 2,864 2,768 97 2,737 128 2,743 122 Dec 2005 2,910 2,880 30 2,861 49 2,806 104 Mar 2006 3,027 2,992 35 2,961 66 2,916 111 Jun 2006 3,039 3,009 30 3,059 -21 3,026 13 Sep 2006 3,345 3,353 -8 3,319 26 3,247 98 Dec 2006 3,540 3,580 -40 3,463 78 3,334 207 Mar 2007 3,756 3,689 67 3,602 154 3,487 268 Jun 2007 3,903 3,902 1 3,749 154 3,640 263 Sep 2007 4,285 4,213 72 4,034 250 3,875 410 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 18 ' Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis (%) Period Ending Fund Polic y Diff Nominal 8% Diff CPI + 3% Diff Sep 2005 3.41 1.97 1.44 1.94 1.47 2.96 0.45 Dec 2005 -0.88 1.47 -2.35 1.94 -2,82 -0,26 -0.62 Mar 2006 2.49 2.36 0.13 1.94 0.55 2.35 0.14 Jun 2006 -0,94 -0.77 -0.17 1.94 -2.88 2.35 -3.29 Sep 2006 3.41 4.67 -1,26 1.94 1.47 0.74 2.67 Dec 2006 3.46 4.41 -0.95 1.94 1.52 0.24 3.22 Mar 2007 4.04 1.04 3.00 1.94 2.10 2.45 1.59 Jun 2007 1.89 3.70 -1.81 1.94 -0.05 2.15 -0.26 Sep 2007 4.15 2.40 1.75 1.94 2.21 0.64 3.51 Incept. 11.09 10.16 0.93 8.00 3.09 5.88 5.21 Returns for periods exceeding one year are annualized. Rockwood assumed account on April 4th 2005 19 Village of Tequesta Public Safety Officers' Pension Trust Fund Risk Measures Report Explanation The evaluation of a fund's performance should extend beyond return to encompass measures of risk. The next two pages are used to determine the level of risk to which the fund has been exposed, and whether the return has been commensurate with the risk taken. All measures are calculated for both the fund and the policy as well as the difference between the two. Up to four time periods are evaluated depending on the age of the fund. # Of Negative Qtrsl# Of Positive Qtrs: Number of negative quarters shows the number of quarters in which the return was less than zero, and the number of positive quarters is the number of quarterly returns which were greater or equal to zero. Batting Average: The batting average is a measure of consistency. It shows the percent of the quarters the fund has beaten the policy and the percent of the quarters the policy has beat the fund. A high average for the fund (e.g. over 50) is desirable, indicating the fund has beaten the policy frequently. Worst QuarterlBest QuarterlRange: The worst quarter is the lowest quarterly return experienced during the period, a measure of downside risk. The best quarter is the highest quarterly return, and the range is the difference of the high and low, and indicates dispersion. Standard Deviation: Standard deviation measures the total volatility of the fund, by measuring dispersion. Higher standard deviation indicates higher risk. If the quarterly or monthly returns are all the same the standard deviation will be zero. The more they vary from one another, the higher the standard deviation. Thus, it measures uncertainty, which is a measure of risk. AlphalBetalR-Squared: If the policy is appropriate, then the alpha should be positive, the beta close to one, and the r-squared should be high. Beta measures risk relative to the policy. A beta of 1 suggests risk equivalent to the policy. Higher betas indicate higher relative risk. A beta of 1.2 indicates 20% more risk than the policy. The alpha measures the return adjusting for beta. The higher the alpha, the better. R-squared measures the relationship between the policy and the fund. A high r-squared means the returns of the fund can largely be explained by movements of the policy. The higher the r-squared, the more reliable the alpha and the beta. R-squared may range from 0 to 100. Beta, alpha and r-squared are derived from regression analysis using the fund and policy returns as the dependent and independent variables respectively. Roughly, one would expect the fund's performance to equal the return of the policy multiplied by the beta plus the alpha. Sharpe RatiolTreynor Ratio: The Sharpe and Treynor ratios are similar. The Sharpe ratio is the excess return per unit of total risk as measured by standard deviation. The Treynor ratio is the excess return per unit of market risk as measured by beta. Both of these should be compared against the corresponding value for the policy. Higher numbers are better, indicating more return for the level of risk that was experienced. 20 ~ Village of Tequesta Public Safety Officers' ~~' Pension Trust Fund Risk Measures .. .. :~~:~'~r~:~:~~~:~:~:~: ... ... .. ... ... ...~:Fur~d~: .... .. ~:~:~:~:~Po~~E~~~:~ ......Y : . ~:D:Ef~. . . # of Negative Qtrs 0.00 0.00 0.00 # of Positive Qtrs 4.00 4.00 0.00 Batting Average 50.00 50.00 0.00 Worst Qtr 1.89 1.04 0.85 Best Qtr 4.15 4.41 -0.26 Range 2.26 3.37 -1.11 Worst 4 Qtrs 14.23 12.02 2.21 Standard Deviation 4.83 4.80 0.03 Beta 0.77 1.00 -0.23 Annualized Alpha 3.56 0.00 3.56 R-Squared 0.58 1.00 -0.42 Sharpe Ratio 1.91 1.46 0.45 Treynor Ratio 11.97 7.01 4.96 Tracking Error 3.31 0.00 3.31 Information Ratio 0.67 :2:~~::~:~:~:;:::~~:::~~:~:~:::~~ .. ~:Fu:nd:~ .:~Policjr:: : ~:Diff : # of Negative Qtrs 2.00 1.00 1.00 ~! # of Positive Qtrs 6.00 7.00 -1.00 ~ Batting Average 37.50 62.50 -25.00 Worst Qtr -0.94 -0.77 -0.17 Best Qtr 4.15 4.67 -0.52 Range 5.09 5.44 -0.35 Worst 4 Qtrs 4.07 7.88 -3.81 Standard Deviation 5.55 4.49 1.06 Beta 0.99 1.00 -0.01 Annualized Alpha -0.72 0.00 -0.72 R-Squared 0.64 1.00 -0.36 Sharpe Ratio 0.78 1.16 -0.38 Treynor Ratio 4.36 5.22 -0.86 Tracking Error 3.29 0.00 3.29 Information Ratio -0.27 :Erlc~~~::::::::~:::::::::~:~:~:~:~:~:~:~:~:::~ :~Fi~n:d::: :::::::::P:o~:i~y :. :::::::::::::::D:cff:: # of Negative Qtrs 2.00 1.00 1.00 # of Positive Qtrs 7.67 8.67 -1.00 Batting Average 48.30 51.70 -3.40 Worst Qtr -0.94 -0.77 -0.17 Best Qtr 4.87 4.67 0.20 Range 5.81 5.44 0.37 Worst 4 Qtrs 4.07 5.09 -1.02 Standard Deviation 5.53 4.32 1.21 Beta 1.04 1.00 0.04 Annualized Alpha 0.67 0.00 0.67 R-Squared 0.66 1.00 -0.34 Sharpe Ratio 1.20 1.33 -0.13 Treynor Ratio 6.40 5.73 0.67 Tracking Error 3.24 0.00 3.24 Information Ratio 0.29 Rockwood assumed account on April 4th 2005 21 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through September 30, 2007 2o.oo°i° 15.00% S&P 500 A n n u a i Z 10.00% e d R e t u r n 5.00% LB Gov/Core Fund ~E 3 Mo TBill 0.00°/ ~-- ~.00 1.UU~/o 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% Risk (Annualized Std Dev) --~~{ Policy Rockwood assumed account on April 4th 2005 22 25.00% 20.00% R e t 15.00% u r n s 10.00% Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through September 30, 2007 1 Year 2 Years _...._ - _. __- _..__.. 20.00% S&P ~'~ ~ Fund 5.00% ~.~oTB~10{~~ C~rp7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% Risk Annualized Std Dev} 20.00% 15.00% R e 10.00% t u r n s 5.00% 0 00°/ 0.00% i i ~ ~ ~ ~ ~ ~ ~ ~_, 1.00% 3.00% 5.00% 7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% Risk Annualized Std Dev) Incept i ~S&P 5 0 -__.___,_____.___.__ + Fund ~3 Mo TBill ALB ov/Corp ' ° 1.00% 3.00% 5.00% 7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% Risk (Annualized Std Dev} . t.. -Policy Rockwood assumed account on April 4th 2005 23 15.00% R e t 10.00% u r n s 5.00% 0 ~E Fund ~~~3 Mo TBill ~ LB Go I /Cor `~ p ~S&P 5U Village of Tequesta Public Safety Officers' Pension Trust Fund Policy: 0413 0/2005 -09/3 0/2007 60.00 S&P 500 40.00 Lehman Gov/Credit-Intermediate First Objective: Second Objective: Universe Data: 04/30/2005-09/30/2007 04/30/2005-09/30/2007 Annual Return of 8.00% 100,00 US Consumer Price Index + 3.00 annual adder 60% Broad Large Cap Core & 40% PSNIGIFI 04/3012005-09/3012007 40.00 PSN Investment Grade FI Intermediate User 60.00 Broad Large Cap Core 24