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HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 06_11/05/2007• Manager Attribution Supplement 2Q07 Performance Comparison Note to analysis: The following analysis is monthly holdings based, completed on Thomson Analytics, intended to identify active elements of the investment manager. The analysis does not reflect the impact of cash flows or management fees; actual portfolio returns may differ. Rockwood Equity: 3.86% (Thompson) ~ S&P500 6.28% Attribution Analysis (Thomson Portfolio Analytics) GICS Sectors "Selection effect": -146 basis points "Allocation effect": -96 basis points Positive contributors: overweight Industrials (+0.36%) and underweight to Financials (+0.26%) Detractors: overweight consumer staples (-0.26%), underweight info. Technology (-0.31 %), overweight utilities (-0.29%) Top 2 contributors and detractors • Volvo +0.58% (price chg 26.56%) PPL Corp +0.42% (price chg 15.19%) Ryanair Holdings -0.90% (price chg-15.72%) NYSE Euronext -0.58% (price chg -21.20%) Market Cap Attribution Market cap allocation had a minimal effect on performance; stock selection within each market cap was the primary detractor to total return Selection effect: -221 bps Allocation effect: -2l bps • An underweight to "mega cap" contributed +14 bps • An overweight the "mid-large cap" bucket contributed -l 8bps r: a ~~.r~do u. fi Y - L~ • ~~~~ 7.13 3.06 16.59 7.12 1.09 0.22 0.07 0.69 0.75 H4YER A G 3.77 0.00 19.56 0.00 0.68 0.00 0.00 0.44 0.44 DOW CHEM CO 0.03 0.33 0.00 -2.67 0.00 -0.01 0.00 0.07 0.07 INTERNATIONAL FLAVORS& 0.82 0.03 1.99 10.86 0.05 0.00 D.00 0.06 0.06 PRAXAIR INC 2.52 0.16 14.83 14.83 0.35 0.02 0.00 0.15 0.15 Ind°stria~s 21.87 11.05 6.90 9.76 1.52 1.05 0.36 -0.S9 -0.23 BOEING CO 2.58 0.56 8.56 6.56 0.22 0.05 0.00 -0.02 -0.02 LOCKHEED MARTIN CORP 2.95 0.26 -2.63 -2.63 -0.08 -0.01 0.00 -0.31 -0.31 PRECISION CASIPART5 CO 3.63 0.04 16.67 1.53 0.54 0.00 0.00 0.20 0.20 RYANAIR HLDGS PLC 3.29 0.00 -15.72 0.00 -0.54 0.00 0.00 -0,90 .~,gp STERICYCLE INC 3.09 0.00 9.10 0.00 0.27 0.00 0.00 -0.02 02 -0 TYCO INTL LTD BERMUDA 2.23 0.49 7.43 7.43 0.16 0.04 0.00 -0.03 . -0.03 VOLVO AKTIEBOLAGET 4.10 0.00 26.56 0.00 0.94 0.00 0.00 0.58 0.58 Consumer' a~Y 11.47 10.30 5.02 3.69 0.62 0.39 -0.04 0.24 0.20 ECHOSTAR COMMUNICATION 2.96 0.00 -0.14 0.00 0.01 0.00 0.00 -0.11 -0.11 GENERAL M71t5 CORP 2.11 0.13 24.41 24.41 0.49 0.03 0.00 0.39 0.39 INTERNATIONAL GAME TT:C 0.71 0.10 -5.55 -1.68 -0.12 0.00 0.00 -0.18 -0.18 MACYS INC 0.74 0.15 -0.04 -11.40 0.00 -0.02 0.00 0.06 0.06 SEARS HLDGS CORP 2.49 0.11 -5.92 -5.92 -0.14 -0.01 0.00 -0.24 -0.24 WENDYS INTL INC 2.47 0.02 17.80 17.80 0.39 0.00 0.00 0.31 0.31 Consumer Pies 16.26 9.40 0.58 2.67 0.13 0.27 •.26 -0 3! ~g KONINKLDKE AHOLD N V 2.87 0.00 6.64 0.00 0.19 0.00 0.00 . 0.11 0 11 ANHEUSER BUSCH COS INC COLLATE PALMOLNE CO 2.49 2.36 0.29 0.26 3.97 -2.39 3.97 -2.39 0.10 -0.05 0.01 -0 01 0.00 0 00 0.03 10 -0 . 0.03 HEINZ H ] CO 2.31 0.11 1.56 1.56 0.04 . 0.00 . 0.00 . -0.03 -0.10 -0 03 KRAFT FOODS INC 0.68 0.41 5.72 12.14 0.12 0.05 0.00 -0.02 . -0 02 MCCORMICK & CO INC 2.16 0.04 -0.36 -0.36 -0.01 0.00 0.00 -0.07 . -0 07 SAFEWAY INC 3.39 0.12 -6.93 -6.93 -0.25 -0.01 0.00 -0.33 . -0.33 NeaMh Care 7.16 12.00 0.85 4.99 0.02 0.62 -0.02 -0.20 -0.22 SCHEIN HENRY INC 2.32 0.00 -3.17 0.00 -0.08 0.00 0.00 -0.21 -0 21 T11ERM0 FISHER SCIENTIF 1.85 0.16 -0.65 10.63 -0.Ol 0.02 0.00 0.04 . 04 0 VCA ANTECH INC 2.98 0.00 3.80 0.00 0.12 0.00 0.00 -0.03 . -0.03 Frnarrr~s 16.17 21.38 =3.94 2.12 -0.51 0.48 0.26 -1.05 •,79 APARTMENTINVT&MGMT 1.83 0.04 -3.83 -11.63 -0.il 0.00 0.00 -0.29 -0 29 BRE PROPERTIES INC 1.74 0.00 -5.26 0.00 -0.10 0.00 0.00 -0.ia , -0 14 ] P MORGAN CHASE & CO 2.45 1.3Z 0.85 0.85 0.03 0.02 0.00 -0.02 . -0 02 LOEWS CORP 2.86 0.17 12.35 12.35 0.33 0.02 0.00 0.28 . 0 28 NYSE EURONEXT 2.11 0.00 -21.20 0.00 -0.50 0.00 0.00 . -0.58 -0.SE SIMON PP1Y GROUP INC N 2.60 0.18 -15.72 -15.72 -0.42 -0.03 0.00 -0.48 -0 48 PRICE T ROWE GROUP INC 2.58 0.10 10.31 10.31 0.26 0.01 0.00 0.21 . 0,21 Tn~ornritfon TOOY 7.31 15.07 9.26 10.36 0.66 1.52 •.31 -0.08 -0 38 CISCO SYS INC 2.16 1.21 9.09 9.09 0.19 0.11 0.00 -0.02 . -0 02 FISERV INC 2.35 0.07 7.05 7.05 0.17 0.00 0.00 -0.07 . -0 07 HEWLETT PACKARD CO 2.81 0.88 11.35 11.35 0.30 0.10 0.00 0.02 . 0.02 Teleoorrrrn Service 4.53 3.68 5.95 7.63 0.34 0.28 0.12 -0.04 0 08 CENIURYTEL INC 1.76 0.04 6.65 8.68 0.17 0.00 0.00 -0.01 . -0 Ol AT&T INC 2.78 1.86 6.20 6.20 0.17 0.12 0.00 -0.02 . -0.02 1R1Mfiras 8.09 3.iS -0.i! -0.3i -0.03 0.00 •.2f -0.02 -0 32 ALLIANT ENERGY CORP 2.54 0.00 -12.71 0.00 -0.33 0.00 0.00 -0 35 . -0 35 PG8'E CORP 2.53 0.13 -5.41 -5.41 -0.13 -0.01 0.00 . -0.12 . -0 12 • PPL CORP 3.03 0.13 15.19 15.19 0.43 0.02 0.00 0.42 . 0.42 b • Mkt Cap Buckets 1 0.02 0.03 -0.22 1.80 0.00 0:00 -0.01 0.00 -0.01 Mkt Cap Buckets 2 26.30 8.20 2.57 5.99 0.72 0.53 -0.03 -0.91 -D.94 Mkt Cap Buckets 3 27.03 15.15 2.87 4.78 0.86 0.76 -0.18 -0.63 -0.80 Mkt Cap Buckets 4 43.88 62.39 5.50 6.96 2.10 4.25 -0.13 -0.70 -0.84 Mkt CaP Buckets 5 2.78 14.23 6.20 5.17 0.17 0.74 0.14 0.03 0.17 .Mkt Cap Bucket 1 (small cap) $ ___ __ _ 2,000,000,000 _Mkt Cap Bucket 2 (mid cap) $ _ 10,000,000,000 Mkt Cam Bucket 3 ( mid-large cap) _ $ _ 20,000,000,000 Mkt Cap Bucket 4 ( large cap) ___- _ $ __ _ 20 0,000,000,000 Mkt Cap Bucket 5 ("mega" cap) _ . __ Infinity • • C • Attribution Supplement 3Q07 Performance Comparison Fiscal year results for the investment program were very good at 14.23% (net), outperforming the actuarial objective for the year by a significant margin. Despite a volatile year program performance exceeded benchmazk returns net of manager fees by 2.21%. This produced an impressive top 15~' percentile peer group ranking for the overall effort. Rockwood's performance is ahead of the benchmazk 11.09% vs. 10.16% since inception Apri130, 2005. Key elements of total program attribution are as follows: • Equity returns for the year, both absolute and benchmark relative (21.37% vs. 16.44%) • 3Q equity returns of 5.08% vs. 2.03% provided a nice finish to a volatile performance year. Key elements of equity manager attribution are as follows: Note to analysis: The following analysis is monthly holdings based, completed on Thomson Analytics, intended to identify active elements of the investment manager. The analysis does not reflect the impact of cash flows or management fees; actual portfolio returns may differ. • Rockwood Equity- 4.34% (Thompson); Momentum oriented strategies faired well during the quarter having earlier identified an underlying market theme-shift favoring larger capitalization stocks as well as strong stock selection in equities exhibiting growth characteristics. Large cap and growth stocks provided the best domestic equity returns for • the quarter (4.2% and 3.9% respectively). This migration has resulted in volatile but strong performance over the past year for many all cap managers who in aggregate have been moving in this direction. Rockwood has increased the current allocation to 65.8%, with 21.58% in Growth and 19.48% in Core equity orientations. While there has been progressive movement in this direction, "mid cap" ($2-$lOB) remains overweight, performance of this sector was the largest detractor to performance (-1.57%). Allocation Effect- was 0.32% for the quarter. Top contributors were an overweight to Materials (0.27%) and Industrials (0.33%), and an underweight to Financials (0.60%). An underweight to IT contributed (-0.27%) to total performance. Stock Selection Effect- the main driver of returns, was 2.0%. Top contributors were in the Industrials, Healthcaze, Financials, and IT. Poor stock selections in Consumer Staples and Telecom detracted from performance. Top contributors (individual stocks); Precision Cast Parts: 0.72% (gtrly. ror 21.96%) and Stericycle: 0.64% (gtrly. ror 28.57%). Recommendations: • Review impact of a partial index fund allocation at Boazd's request. Manager relative performance, while positive, has been volatile resulting in significant quarterly swings in peer-group rankings. • a h~ a lrl, ~- Y-~ • • Rockwood vs. S8P 500 6/30/2007 - 9/30/2007 Materials 10.94 BAYER A G 3.49 DOW CHEM CO 2.26 INTERNATIONAL FLAVORSB 2.49 PRAXAIR INC 2.69 Industrials 20.36 BOEING CO 2.89 LOCKHEED MARTIN CORP 3.05 TYCO INTL LTD BERMUDA 0.81 VOLVO AKTIEBOLAGET 3.51 Consumer Discretionary i= CHOSTAR COMMUNICATION 8.54 2 8 _ GENERAL MTRS CORP . 4 2.23 MACYS INC 0.77 SEARS HLDGS CORP 0.71 WENDYS INTL INC 2.20 Consumer Staples 13.70 KONINKLIJKE AHOLD N V 2.65 ANHEUSER BUSCH COS INC 2.26 COLLATE PALMOLIVE CO 2.30 HEINZ H J CO 2.22 MGCORMICK & CO INC 1.41 SAFEWAY INC 2.86 Health Care 10.50 COVIDIEN LTD SCHEIN MENRY INC 0.23 2 SMITH 8~ NEPHEW PLC THERMO FISHER NTIF I .60 1.53 2 0 SC E WATERS CORP VCA ANTECH INC .5 0.86 2.78 Financials 9.88 J P MORGAN CHASE & CO 0.76 LOEWS CORP 3.39 NYSE EURONEXT 1.26 SIMON PPTY GROUP INC N 1.60 PRICE T ROWS C3ROtJP INC 2.87 Information Technology 12.77 CISCO SYS INC 2.42 EBAY INC 0.90 FISERV INC 2.18 HEWLETT PACKARD CO 3.10 INTERNATIONAL BUSINESS 1.70 INFINEON TECHNOLOGIES 1.37 TYCO ELECTRONICS LTD 0.20 VERISIGN INC 0.91 Telecomm Service 5.69 CENTURYTEL INC 2.28 SPRINT NEXTEL CORP 0.72 AT&T INC 2.70 Utilities 7.81 ALLIANT ENERGY CORP 2.17 PG&E CORP 2.31 PPL CORP 3.13 3.11 5.61 4.90 0.57 0.15 0.00 5.38 0.00 0.13 0.00 0.31 -1.69 -1.69 -0.05 -0.01 0.03 1.83 1.83 0.05 0.00 0.18 16.82 16.82 0.44 0.03 11.39 11.70 5.85 0.60 9.55 9.55 0.26 15.66 15.66 0.14 21.96 21.96 0.00 10.65 0.00 0.00 28.57 0.00 0.18 -16.40 -16.40 0.00 -12.77 0.00 9.75 -2,21 -8.28 0.00 7.93 0.00 0.14 -2.14 -2.14 0.12 -9.33 -18.39 0.09 -19.30 -24.96 0.02 -4.67 -4.67 9.41 -0.55 4.80 0.00 -3.67 0.00 0.28 -3.53 -3.53 0.26 10.55 10.55 0.11 -1.88 -1.88 0.04 -5.63 -5.29 0.11 -2.50 -2.50 11.68 10.96 1.05 0.15 -2.74 -3.71 0.00 13.87 0.00 0.00 2.46 0.00 0.17 11.60 11.60 0.05 8.69 12.74 0.00 10.77 0.00 20.21 2.23 -4.28 1.19 -8.46 -4.70 0.16 -5.03 -5.03 0.00 -1.18 0.00 0.16 3.02 8.53 0.10 7.65 7.65 16.04 6.98 6.30 1.40 18.89 18.89 0.30 14.43 21.26 0.06 -10.46 -10.46 0.95 11.77 11.77 1.17 6.84 12.32 0.00 4.95 0.00 0.13 -2.65 -8.93 0.06 4.78 6.33 3.71 -1.17 2.13 0.04 -5.64 -5.64 0.43 0.56 -8.13 1.87 2.84 2.84 3.50 1.68 1.95 0.00 -0.53 0.00 0.12 6.31 6.31 0.14 -0.43 -0.43 2.14 0.14 0.46 1.03 0.31 0.84 -0.15 -0.51 -0.64 0.21 -0.06 -0.22 -0.45 -0.11 -0.22 -0.12 -0.09 0.24 -0.04 -0.12 -0.08 1.16 -0.02 0.34 0.05 0.26 0.23 0.30 -0.01 -0.20 -0.13 -0.02 0.11 0.24 1.28 0.41 0.38 -0.26 0.34 0.18 0.11 -0.01 0.13 -0.05 -0.13 0.01 0.07 0.12 -0.02 0.15 -0.01 0.64 0.05 0.04 0.03 0.00 0.00 -0.03 0.00 -0.65 0.00 0.00 -0.03 -0.03 0.00 0.45 0.00 -0.01 0.03 0.00 0.00 0.00 0.13 -0.01 0.00 0.00 0.02 0.01 0.00 -0.86 -0.05 -0.01 0.00 0.01 0.01 0.98 0.24 0.06 -0.01 0.10 0.13 0.00 -0.01 0.00 0.08 0.00 -0.04 0.06 0.07 0.00 0.01 0.00 0.27 0.04 0.00 -0.05 0.00 -0.07 0.00 -0.09 0.00 0.24 0.33 1.08 0.00 -0.02 0.00 0.24 0.00 0.72 0.00 0.29 0.00 0.64 0.00 -0.12 0.00 -0.70 0.10 0.11 0.00 0.39 0.00 0.10 0.00 -0.07 0.00 -0.31 0.00 0.04 0.11 -0.77 0.00 -0.23 0.00 -0.16 0.00 0.11 0.00 -0.14 0.00 -0.13 0.00 -0.19 0.04 0.88 0.00 -0.03 0.00 0.31 0.00 -0.07 0.00 0.25 0.00 0.14 0.00 0.27 0.80 0.65 0.00 -0.01 0.00 -0.04 0.00 0.10 0.00 0.24 0.00 0.35 -0.27 0.27 0.00 0.16 0.00 0.23 0.00 -0.39 0.00 0.14 0.00 -0.01 0.00 -0.03 0.00 -0.02 0.00 0.03 0.01 -0.23 0.00 -0.15 0.00 -0.02 0.00 -0.01 0.00 -0.02 0.00 -0.06 0.00 0.09 0.00 -0.06 0.30 -0.05 -0.07 -0.09 0.24 1,40 -0.02 0.24 0.72 0.29 0.64 -0.12 -0.70 0.21 0.39 0.10 -0.07 -0.31 0.04 -0.67 -0.23 -0.16 0.11 -0.14 -0.13 -0.19 0.92 -0.03 0.31 -0.07 0.25 0.14 0.27 1.25 -0.01 -0.04 0.10 0.24 0.35 0.00 0.16 0.23 -0.39 0.14 -0.01 -0.03 -0.02 0.03 -0.21 -0.15 -0.02 -0.01 -0.03 -0.06 0.09 -0.06 b • • • vs. SSP 500 6/30/2007 - 9/30/2007 Mkt Cap Buckets 2 25.69 8.19 5.26 -6.50 1.46 -0.51 -1.57 3.10 1.53 CENTURYTEL INC 2.28 0.04 -5.64 -5.64 -0.13 0.00 0.00 0.05 0.05 ECHOSTAR COMMUNICATION 2.64 0.00 7.93 0.00 0.21 0.00 0.00 0.40 0.40 FISERV INC 2.18 0.06 -10.46 -10.4b -0.26 -0.01 0.00 -0.10 -0.10 SCHEIN HENRY INC 2.60 0.00 13.87 0.00 0.34 0.00 0.00 0.50 0.50 INTERNATIONAL FUIVORSl9 2.49 0.03 1.83 1.83 0.05 0.00 0.00 0.21 0.21 ALLU\NT ENERGY CORP 2.17 0.00 -0.53 0.00 -0.02 0.00 0.00 0.14 0.14 MCCORMICK & CO INC 1.41 0.04 -5.63 -5.29 -0.12 0.00 0.00 0.02 0.02 STERICYCLE INC 3.18 0.00 28.57 0.00 0.84 0.00 0.00 1.03 1.03 VERISIGN INC 0.91 0.06 4.78 6.33 0.13 0.00 0.00 0.09 0.09 WATERS CORP 0.86 0.05 8.69 12.74 0.23 0.01 0.00 0.17 0.17 WENDYS INTL INC 2.20 0.02 x.67 -4.67 -0.11 0.00 0.00 0.04 0.04 VCA ANTECH INC 2.78 0.00 10.77 0.00 0.30 0.00 0.00 0.48 0.48 Mkt Cap Buckets 3 28.36 15.61 9.99 1.19 2.96 0.26 -0.20 2.46 2.26 Mkt Cap Buckets 4 43.14 60.96 0.32 2.91 -0.15 1.61 -0.17 -1.00 -1.17 Mkt Cap Buckets 5 2.81 15.19 3.63 4.25 0.08 0.66 -0.29 -0.03 -0.31 Mkt Cap Bucket 3 (mid-large cap) Mkt Cap Bucket 4 (large cap) Mkt Cap Bucket 5 ("mega" cap) 20,000,000,000 00,000,000,000 Infinity c Market Cap Attribution • Index Blend Impact: 80% Active (Rockwood)/20% Index (S&P 500) Performance: Rdlirlg Returns and Standard Deviation 7 Years Treiling ending 09/30/2007 Returns Analysis Period: 1010112000 -0913012007 25 20 15 10 5 0 -5 -10 -15 003 JD4 D04 J05 D05 JOB DOB J07 S03 M04 S04 M05 S05 MOB SO6 M07 S07 12 Quarters Ending Standard Deviation Ana lyats Period: 1010112000 -0913012007 25 20 15 10 5 0 D03 J04 D04 J05 DOS JDB DO6 J07 S03 M04 S04 M05 SOS MOB SO6 M07 S07 12 Duarters Ending • • S&P 500 Rockwootl Capital AdNsors, LLC -Strategic Equity -SUbadNSOr-COrnrewsory • Gross Equal ^ Rockwood Equity/Index Slentl -Gross Equal • d • Performance: Returns vs Universe Universe: Mobius Broad Large Cap Benchmark: 58P 500 Retums Universe: Mobius Broad large Cap • • 25 20 15 10 5 0 -5 1Yr S25 %tile • S8P 500 ~_ 5Yr 3Yr O 2550 %tile ^ 50-75 %tile Rockwood Capital AdNSOrs, LLC -Strategic Equity Subadwsw-CoMravsory -Gross II Equal Rockwood Equity/Index Blentl -Gross Equal S8P 500 Retums tYr 13. SYr 2.60 e Y • r: • Up-Market Ratio 140 120 100 80 60 40 20 0 Rockwood Capital AdNSOrs, LL( Rockwood Equity/Index Blend - o S8P 500 Index: S&P 500 Timeframe: 7 Years Trailing Down-Market Ratio 70 60 50 40 30 20 10 0 7Vr Vanguard 5001ndex Adm 0.09% VFIAX : Index MuWal Fund iShares 5001ntlaz (~_ NAV) . ~ 0.09% IW Open-End ETF iSheres 500 Index..(.~_mkt..P..!!°_°.)._ .._ ............................. ........................'_. _. _. SPDRs_500..4~.NAV~ ....................._.... ....:......0:08% ... ......_. ...._."..PY.._....,. lMd Trus[ETF ..._......_..._ ....................... SPDRs 500 (~ mkt price) ~ ~ ~ Northern Trust ($10K Min.) Commingled Fund Rumbline Advisors ($tOK Min.) ns SeDerate S8P 500 Index 0 0 Vanguard 500 Index Adm 0.02 0.05 i5hares 500 Index (IVV) 0.02 0.03 iSheres 5001ndex (~ mkt price) 0.73 0.66 SPDRs 500 0.02 0.05 SPDRs 500 ((rQ mkt price) 0.61 0.6 Up-Market vs Down-Market 125 120 ~ 115 110 li ~°- 105 II K ~ 100- __. '. - _.__ ~ 95 d I ~ i 90 BS 80 i 75 50 60 70 80 90 100 110 120 130 140 150 DavrFMarket Ratio Up-Market Ratlo Down~la rket Ratio 10.16: 0.61 f 15.20 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 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 2.2% :•-'~ 13.7 /o 2.0% i 1.s°i° 2.0% -3.1% ~ i I I2.8% i 3.8% 4.7% 2.1~% 1.2% -6.0% -3.0% 0.0% 3.0% 6.0% 9.0% 12.0% 15.0% Source: MSCI Capital Markets, Russell Co., HFR, Lehman, &Bogdahn Consulting, LLC. Year-to-Date Market Performance MSCI EAFE MSCI Emerg. Mkts. S&P 600 Russell 3000 Russell 1000 Russell 2000 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% Bogdahn Consulting, LLC. The Market Environment Asset Class Performance Period Ended September 30, 2007 Five Year Annualized Performance MSCI EAFE MSCI Emerg. Mkta. 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% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% Cn~irra• MCC:I (:anital AAarkatc Riiccall (^n HFR I ahman ritirnrn R Rnnrlahn t^nnc~dtinn 11 t, Ten Year Annualized Performance MSCI EAFE MSCI Emerg. Mkta. S&P b00 Russell 3000 Russell 1000 Russell 2000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill 8.0% 9.2% 6.6% 7.2% ' i i I 6.0% ' 5.9% 5.8% 6.1 3.7% 0.0% 3.0% 6.0% 9.0% 12.0% 15.0% Bogdahn Consulting, LLC. The Market Environment Equity Sector Performance Period Ended September 30, 2007 Sector Performance as of 9/30/2007 EN@2GY MATERIALS INDUSTRIALS CONSUMER DISCR CONSUMER STAPLES HEALTH CARE FINANCIALS INFORMATION TECH TELECOM SVC UTILITIES 8.4% 8.0° 4.2% 24.8% 4.3% 17.9% -5.5% -1.2 /o 4.5% 10.2% 1.9% 8.1 -3.9% -5.0% 5.4% 15.7% 2.0% 17.6% 1.3% ^ QTD ^ YTD 10.4% Source: MSCI Barra &Bogdahn Consulting, LLC. Bogdahn Consulting, LLC. The Market environment Equity Style ~~erformance Period Ended September 30, 2007 Source: Russell Co. Russell All Cap Style Performance 25 20 15 10 5 0 -5 25 20 15 to 5 0 -5 24 20 16 12 S 4 0 -4 -8 Qtr YTD lyr Syr Syr l0yr ^ 3000 Growth ^ 3000 Index ^ 3000 Value ~ Russell Large Cap Style Performance Qtr YTD lyr Syr Syr l0yr ^ 1000 Growth ®1000 Index ^ 1000 Value Russell Small Cap Style Performance Qtr YTD lyr Syr Syr ^ 2000 Growth ^ 2000 Index ^ 2000 Value Bogdahn Consulting, LLC. l0yr The Market Environment Trends for Stocks and Bonds Period Ended September 30, 2007 30.0 20.0 10.0 0.0 -10.0 -20.0 -30.0% OI O O N N P7 l7 V N NS f0 f0 N f~ O m 01 W O O N N M fh ~~ N N l0 f0 h f~ 00 D] O T O O N N M P7 ~} In ~ tp r n aQm aom maDOro~oo aoom mao aom mwcvrn mmmrnmmrnm rnmm rnrnmmmmo oo oo oo oo ~ooc~ioo U C UC U C U C U C U C U C U C U C U C U C U C U C U C L1 C U C U C U C U C U C~ C U C U C U C U C ~7 C U C U C N J N 7 N J N J N 7 N J N J N 7 Uf 7 71 J 01 J N J O 7 Q 7 NQ ' O J N 7 N 7 N 7 N 7 J N .J N J N J N 7 N J N 7 N J ~~0 ~^~O-~O-i0~0~0~0_+!]"'~O~p~ -i ~ ~0 ~0 ~~'~0~~-~O~p~p'~O~p~p~p~ -Value Growth Source: Frank Russell Co. &Bogdahn Consulting, LLC. 7.00 6.00 5.00 4.00 3.00 2.00 1.00 0.00 Treasury Yield Curve 1 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr -O- 09 07 ~- 03 07 Source: Federal Reserve 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 1 The Executive Summary provides an overview of the fund's performance. It shows the performance in dollars, percent, ' and relative to the investment policy. These are provided over 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 G/L 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 so on 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 1st through December 31st. Watch out for a trend of declining relative performance in recent periods. Returns In Up/Down 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 is 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 ,.. beginning Ualue ~,g03 3 540: 2 444 ::Net Flo~nis 211 359 1,002:: Irwestment G/L 170 386: 838 Ending:Value 4,85 4 Z85: 4,285 Investment Policy Index Weight Trailing Returns through September 30, 2007 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 04/30/2005 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept Find 14 23 . . 9,03.. S 1.fl9: Policy 12 02 :9.93 .:50:16:: Diff 2 2:1 -0.90 0 93: Calendar Year Returns Returns in Up Markets Returns in Down Markets 04/30/2005 1 Yr 2 Yr Incept fund 14 2 11.:0 12;9 Po.liGy ;12,0 11:.9 1181 :.Ratio 118 4 .:. 92;1 109 04/30/2005 1 Yr 2 Yr Incept lurid -0:9 0 Policy 0 $ p $. Ratio - 122.1: 522.E 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 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% Cash &Equiv 5% r 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. Watch out for a trend toward underperformance in recent periods. Note the performance in different 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 60% Broad Large Cap Core & 40% PSNIGIFI I ranuty returns mr~uyn ~e~tern~er emu, ~wi 2 Qtrs 3 Qtrs 1 Yr I 2 Yr 3 Yr ~ 4 Yr 5 Yr 6 Yr ~ 7 Yr 8 Yr Funtl i Return 6.12 10.41 14.23 9.03 -tile 7 15 90 I Poll i ~ Return 6.19 7.29 12.02 9.93 ~ ~ -tile 37 44 ~ 48 nlverse 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 i 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 Funtl Return ,_ 4.15 10.41 8.63 , -tile 6 7 80 , ~ Pallcy ,- ... Return ~ 2.40 ~ 7.29 11.00 -tile 28 37 50 Universe- 5th /°-tile ° 4.22 10.60 14.31 7.59 i ~ i 25th %-tile 2.45 7.75 11.89 5.42 i 50th %-tile 2.12 7.01 11.00 4.32 I 75th %-tile 1.57 6.49 9.51 3.43 95th %-tile 0.16 4.78 4.95 1.66 I I rceturns are m percent. ° io-nle" 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 09/30/2007 Qtr 2007 04/30/2005 YTD Incept Beginrairag V~liie 1.546 1,318 970: .Net Flouis -A~6 164,.,., 443: trvestmer~tG/L 49 6~ 1~6 EnctErig Value 1 550 .. 1.55©:: 1,55Q Trailing Returns through September 30, 2007 Investment Policy Index Weight I' Calendar Year Returns 09/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 Fund 3.23 4.66::: : 4 30: Policy 2::88 4 8~.. ::: 4:07 Di#f '0.35 Q 29 . :: 0 23: ' Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept I :u:rtd 6 2 :: 6;9 6.9 .Policy 5.6 6.4 6.6: Ratio 1.11 1.:. 1 aZ:.3 104 4:: 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 in Down Markets 04/30/2005 1 Yr 2 Yr Incept fund -0.3 -0;4 ,0.6 Policy -0.1 -0.5 1.1:: Ratio 'fg5.7., 75.5 53.E 6 Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation 09/30/2007 2007 04/30/2005 Qtr YTD Incept ~egtnning Value 2255 2 013:: 1;393: Net Flows 1:79 225.. 45$ irwestme~t G/L 121 317 702 Encfing:Value z 555 2 555: 2,565 Investment Policy Index Weight S&P 5.130 ?OO:OQ 7ofiaa 10.0.(3x: Trailing Returns through September 30, 2007 t Calendar Year Returns 09/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 Fund 5,0$ 15,14 - - - 'k2.87 Pa~Hcy 2:Q3 9.13 1580 Di#f 3:05 6.01 ~- 2:93: ~::I Returns in Up Markets 04/30/2005 1 Yr 2 Yr Incept Fu~id 21 4 .:: 15::8 19:7: Policy 16 4 1 &;6 16:8 Rafio 1:34 Q 95:0 116:7 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 in Down Markets 04/30/2005 i 1 Yr 2 Yr Incept Fund : 1:6 .1.~: Policy . 1.;a _1,~ Rafio 112: 1:1:2:5:: 7 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Pure Large Cap Core Trailinn Rafiirnc thrnilnh SP.ntP.rnbEr 3O. 2007 2 Qtrs 3 Qtrs 1 Yr i 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 'i Rind. Return 8.61 15.14 21.37 ' 12.77 -tile 22 6 7 76 Policy _. Return T- 8.44 9.13 16.44 13.58 -tile 28 32 38 31 Elniyerse 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 II 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 Qtri YTD 2006 2005 2004 2003 2002 2001 2000 1999 - ... -- -- Fund Return 5.08 15.14 12.87 -tile 7 6 75 Policy Return 2.03 9.13 15.80 -tile 25 32 30 :Universe. 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 i 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' Eau~ty Universe Comparisons Broad Large Cap Core Trailing Returns through September 30, 2007 95th %-tile 4.66 I 5.20 I 12.47 11.48 I 11.60 ~ 11.55 13.28 I 6.26 0.02 I 2.77 Calendar Year Returns -tile 32I 42 34 1 uiiiv~rse . 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 75th %-tile 95th %-tile 1.83 ~ 0.94 -1.48 9.00 8.35 5.20 15.40. 12.43 4.95 5.38 4.27 1.07 10.46 8.33 5.06 27.91 25.20 20.90 -22.27 -23.67 -26.71 -12.05 -13.64 -19.24 -6.69 -9.58 -14.72 20.37 15.90 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 8 ~ ffi ce rs' Village of Tequesta Public Safety O ' Equity Executive Summary Account Reconciliation Investment Policy 09/30/2007 2007 04/30/2005 Qtr YTD Incept Index ~, ~ t8eg~nnFng Value 2 255 2 013 1 393 , .Net 1=1ows 1:79 225: ~k~9:: Investment G/L 121 317 702 Ending Value ~ 555 2 555 2,555: Trailing Returns through September 30, 2007 Weight ' Calendar Year Returns 09/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 n Fund x:88 1:5:14 12.:$:7 Policy . 1 55 8.78 15 72 :; Di#fi . .::3.53 6:36 -2.$:5 ' Returns in U Markets p 04/30/2005 1 Yr 2 Yr Incept l=:i~:nd.. :214 .... ;..15;8 19.7:: Policy 16.5 16.7. 17 7: I Ratio 1;29 3 94:6 , , . , :. : 110.8.: 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 in Down Markets 04/30/2005 1 Yr 2 Yr Incept lurid 1:6 -1.6. Policy 2;D -2.0:; Ratio:. 81:8 81.8: 9 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Core Trailing Returns through September 30, 2007 -tile 71 65 40 1 59 Universe 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 1 2006 _ 2005. 2004 ~ 2003 ~ 2002 2001 2000 1999 ~~ Fiinci Return 5.08 15.14 12.87 -tile ~ 7 ' 6 74 I ~, .Policy _ Return ~ 1.55 8.78 15.72 _ -tile 62 65 36 Universe: 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 i 27.91 ' -22.27 -12.05 -6.69 20.37 75th %-tile 0.94 ~ 8.35 12.43 4.27 I i 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 Keturns 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 ~Jp Market Returns 20.00% - - 15.00% r ----------- ---------- ° ~i 10.00% ~~ --- - ! I~ 5.00% ! - - 0 oo°r° 1 Yr 2 Yr Incept Funr d (%) 14.23 10.98 ~ I 12.93 Policy (%) ~ 12.02 11.92 i 11.79 Difference (%) 2.21 -0.94 i ~ 1.14 Ratio 118.39 92.11 i 109.67 # Up Qtrs 4.00 7.00 8.67 Down Market Returns 0.00% ~ -0.50% ~- - -{ ~ ~ -1.00% 1 Yr 2 Yr Incept Fund (%) I -0.94 -0.94 Policy (%) -0.77 ~ i -0.77 Difference (%) '% i -0.17 -0.17 Ratio ~ 122.08 122.08 ~ # Down Qtrs 0.00 ~ 1.00 ~ 1.00 ^ Fund (%) ~ Policy (%) 1 Rockwood assumed account on April 4th 2005 11 Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison $5,000- , $4,500 ------------ -------------------- ------- ----------- --- -------------------------- ------------------------------ I $~ $~ $~ V a $, I u e $~ $' $' Inception date is April 30, 2005 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 12 HVJ JUb JVJ UUJ IVIUb JVb JUb UUb MU/ JU/ 5U/ Quarter Ending I ~ Fund ~ Policy -Q- 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 + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation + Security Selection =Manager Contribution Rockwood assumed account on April 4th 2005 14 ~ r' Village of Tequesta Public Safety Office s Pension Trust Fund Asset Allocation Effect 15.00% P . e 1 10.00 ° ° _________ ------ ---- _ _______ r I c e n t 5.00% ~ ---------- -- f ~ e 0.00% ' c t ~/'~~~ t ~ ~ ~ ~ ~ \ ~ ~ ~ ~ -5.00% J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 Quarter Ending ' Securit Selection Effect Y ' 15.00% P ' e 10.00 /o r c e n , t 5.00% ------~~----- --- - -- ~`-------- -~ - ----- - ---------- --~~__/~- - -- -------- ---------------- -- ----- ~--- E f ' f e 0 00% . c -5.00% i i i i i J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 ' Quarter Ending ~ Quarterly Effect Cumulative Effect t Rockwood assumed account on April 4th 2005 ' 15 ~ esta Public Safet Officers' Village of Tequ y ' Pension Trust Fund Asset Allocation vs Targets 1 ~ / ~.~~ ion - -------- ---------------------- ------------ -------------- 60.00%---- - ------ ---- --- 50.00%~-- ---- - - ------- - --- - - - ------ ------- 40.00%--_.------ -- -- - - - - --------------- --- ------------------------------ ---- 30.00%~- - ---------------------- --------- - ------ -------- -- --------------- - ------------------------- -- ----------------------------------- -------- - ----------- 20.00%F------------ - ------- ------- -- -------- ------------- ---------------- ---- ---- 10.00%~ ------- ----------- - -- --------- -- --- - ' J5 S5 D5 6 J 6 S6 D6 07 J S7 Quarter Ending ~ ~ Cash & Equiv ~ Target ' 70 ' 60 50 ' 40 30 20 10 ' O JU5 JU5 UU5 IVIUO JVO JVO UVO IVIU/ JU/ JU/ Quarter Ending Equity ~ Target 1 -- - -- 70.00%~--- 60.00%~ ---- --- -- - - - -------------------------------------- ------- - -- - - -------------------- ----- -- --- 50.00%~- ----- - -- -- --- ------- --------- -------- - -..-.-- ---------- - - ------ 40.00%--- __, , --------------------------------- - ---------------------- - - ~ --I '--~-------- ---------- --- ---------- ---- ----------------- 30.00% 20.00% i-- -- -- j -~ ~ ~ i ~ ~ ~ ~ ~~ ~- _ _ _-, r_ '- ~_- ~-- ~--------------- - ------ --- ------ -----------____- 10.00 /o i, i r-1 !--; - I I i i ~ ~i 0.00% J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 Quarter Ending ~ ~ Fixed Income ~ Target Rockwood assumed account on April 4th 2005 ' 16 Village of Tequesta Public Safety Officers Pension Trust Fund ' Manager Contribution J.VV70 i ' 4.00% ~ ------------------------ ----- --- -- ------ - - --- --- 3.00% / ---~------- -------- - - 1 2.00% - ---- - - - - _ _ - - - - R e '.~-~ t t 1.00% ~ ----- ------------ -- --- - -- - -- - -- ---- -- --------------f---------- ------ ------ -- u r 0.00% ~~ ~ ' n -1.00% - - - ---.. -2.00% --- -- - --- -- - -------- t -3.00% ~ ~ ~ ~ ~ ~ ~ ~ ~ J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 Quarter Ending ' ~ ~ Quarterly -- Cumulative Growth of $100 Fund vs Policy 1 e,~~~ _ ' $130 ----- -- -------------- ------- 12 - ---------- ------------ i-- - - --- ------------- $120 v ---- ~ - ---- ---- -------------------- ~ -I i-- ~ ---- ------------------------ ' a $115 - ----~, i ---------- -- -- --------- -- -- -- ---------- --- --------- ----- u I C e $110 ~ ~--~ --a - - ---------------------- $105x-------- -- -~ -I - I--i ---------- ------------------- ~-i -- -- - ~ -- g~ I ~~, ~ ~ ~ ~~ $1001, - ~ - ~,- 1 -~'I ~ ~--j -- --,, I ~ I ~ ,-- - ----------------- ------- ------ ~ ; ~ ~!~I ~i ~I ~ j I,~ Iii $85 A05 J05 S05 D05 M06 J06 S06 D06 M07 J07 S07 ' Quarter Ending ^ Fund ~ Policy ' Rockwood assumed account on April 4th 2005 ' 17 ~ Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Period Fund Policy Diff Nominal 8% Diff CPI + 3% Diff Ending 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 Policy 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 Qtrs/# 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 Quarter/Best Quarter/Range: 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. 1 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. ' Alpha/Beta/R-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 1 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. ii v u p ~ Village of Tequesta Public Safety Officers' ' Pension Trust Fund Risk Measures ......................................... ~:'~c ::::::: ::::::: :::: :::::::Fund ............ :::: Poi'tE : ............. ::::::::D:iff # 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 ............................ 2:1yr : :::::::::::: ::::::: ............ ::::::Fu:nd: ............ :::: Policy: ............ ::::::::::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 incept f Fund. ::::. Poarcy . Diff:: # 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 I -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 t 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°r° I 15.00% ~S&P 500 A n n u a ~E Fund Z 10.00% e i d R e t u r n 5.00% ~ ~3 Mo Ti3ill 0.00°/ ~ 8.oo°i° 1.oo°i° 2.oo°r° Rockwood assumed account on April 4th 2005 ~E L83 Gov/Corp 3.00% 4.00% 5.00% 6.00% Risk (Annualized Std Dev) Policy 7.00% 8.00% 9.00% 22 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through September 30, 2007 25.00% 20.00% 1 Year R e ~S&P 00 t 15.00% i u ~ Fund ~~ r I _ n s 10.00% ~ 5.00% $.~~oT~lOd-`~ C~0~rP7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% Risk (Annualized Std Dev) 20.00% ; I 15.00% ~r Incept 20.00% 15.00% R e t 10.00% u r n s 5.00% 2 Years 0.00% 1.00% 3.00% 5.00% 7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% Risk (Annualized Std Dev) R e t 10.00% u r n s 5.00% 'i~ 3 Mo TBill ALB Gov/Corp II 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) --~- Policy Rockwood assumed account on April 4th 2005 23 Village of Tequesta Public Safety Officers' Pension Trust Fund Policy 04/3 0/2005 -09/3 0/2007 60.00 SRP 500 40.00 Lehman Gov/Credit-Intermediate First Objective: Second Objective: Universe Data: 04/30/2005-09/30/2007 04/3 0/2005-09/30/2007 Annual Return of 8.00% 100.00 US Consumer Price Index + 3.00 annual adder 60% Broad Large Cap Core & 40% PSNIGIFI 04/30/2005-09/30/2007 40.00 PSN Investment Grade FI Intermediate User 60.00 Broad Large Cap Core 24