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HomeMy WebLinkAboutPension General_Documentation_Tab 05_05/05/2008Village of Tequesta General Employees' Pension Plan Quarterly Review THE 1st Quarter 2008 \~' \~' u'. t3 O (_~ I) A Fi N (.~ R O U P. C O M simplifying your inveshnent and fidircim.y decisions The Market Environment Asset Class Performance Period Ended March 31, 2008 Quarter Performance MSCI EAFE -8~9% MSCI Emerg. Mkts. -1t.3% S&P 500 -9.4% Russell 3000 -s.5% Rusae111000 -9.5% Rusae112000 -9~9% Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill -15.0 -12.0 -9.0% -6.0% -3.0% 0.0% 3.0% 6.0% 9.0% 12.0% 15.0% of oi_ ~ 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 Page 2 of 15 3mos. T-Bill 0.0% Source: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC. 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 -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 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% BOGDAHN GROUP One Year Performance 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 5.0% 10.0% 15.0% 20.0% The Market Environment Equity Sector Performance Period Ended March 31, 2008 ENHtGY MATERIALS INDUSTRIALS CONSUM B2 DISCR CONSUM62 STAPLES HEALTH CARE I FINANCIALS _ INFORMATION TECH ~ TELECOM SVC ~ UTILITIES Source: MSCIBarra & Bogdahn Consulting, LLC. Page 3 of I S 22.3% D O 1 Y~ ~~ "I'~n: BOGDAHN GROUP Sector Performance as of 3/31 /2008 The Market Environment Equity Style Performance Period Ended March 31, 2008 Source: Russell Co. Page 4 of 15 Russell All Cap Style Performance 20 _ _ _ _ 15 10.3 12.1 13.8 10 6.3 6.1 5.9 3 9 5.6 5 1.3 0 -, ,- ~ - -5 -1.5 ~ -10 -6.1 -16 -10.4-9.5 -8.6 -10.4.9.5 -8.6 -10.6 -20 _ ___ _ _ _ _ _ _ _ _ _ _ Qtr YTD lyr Syr Syr l0yr i ^ 3000 Growth ®3000 Index ~ 3000 Value 20 _- 15 10 6 6 0 - -5 -0.8 10 - 5.4 15 -10.2-9.6 '8.7 -10.2-9.b -8.7 -10.0 20 - Qtr YTD lyr YTD 1.3 3.8 6.6 - __ .. _ _ Syr Syr l0yr ^ 1000 Growth m 1000 Index ~ 1000 Value lyr Syr 14.2 14.9 15.5. _ _ _ _ -'I 7.5 5.0 ' 1.8 Syr l0yr 2000 Growth ®2000 Index ~ 2000 Value j ~~"~ 1 I I1. BOGDAHN GROUP Russell Large Cap Style Performance Russell Small Cap Style Performance The Market Environment Trends for Stocks and Bonds Period Ended March 31, 2008 30.0 20.0 10.0 0.0 -10.0 -20.0 -30.0 ~ O M 'P N (D f~ CO m O N M O I~ O m O N M O N h ~ m ro ro m m m m m m m m m m m m ~i m m o 0 0 0 0 0 ~ o m m m m m m m m m m m m m m m m m o 0 0 0 0 0 0 0 N N N N N N N a ~ ~ ~ N N a ~ N ~ N N N ~ ~ N ~ N N ~ N (~ N N (~ t~ N N -Value -Growth Source: Frank Russell Co. & Bogdahn Consulting, LLC. Treasury Yield Curve a 3 ~ o/ 2 1 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr Page 5 of I S Source: USDep(. o(Treasury ~-- 12/31/2007 -~ 12/29/2006 --~ 3/31/2008 ~"~ ~I~III. BOGDAHN GROUP Growth vs. Value Russell 1000 Excess Return Rolling 12 Month Periods f Total Fund March 31, 2008 December 31, 2007: $1,063,52{ n9arch 31, 2008 81,041,341 Segments Market Value Allocation Segments Market Value Allocation ^ Domestic Equity 675,315 63.5 ^ Domestic Equity 605,709 58.2 ^ Domestic Fixed Income 362,725 34.1 ^ Domestic Fixed Income 402,151 38.6 ^ Cash Equivalent 25,484 2.4 ^ Cash Equivalent 33,481 3.2 Page 7 of 15 ~~ ~l'IIE: BOGDAHN GROUP Total Fund March 31, 2008 December 31,2007: $1,063,524 1~larch31,2008 $1,041,341 Manager Market Value Allocation ~$) (%) ^ Dana Balanced Portfolio 1,062,076 99.9 ^ R&D 1,448 0.1 Page 8 of I5 Manager Market Value Allocation ~$) (%) ^ Dana Balanced Portfolio 1,040,011 99.9 R&D 1,330 0.1 l'tit. BOGDAHN GROUP Tequesta General Employees' Comparative Performance Trailing Returns As of March 31, 2008 Total Fund (Net) Iryu~aa <~rn~•r;il Inlal Diffcrcncc Mixed-Asset Target Alloc Moderate Funds (MF) Median Total Fund (Gross) I~yu~,Gi General - l ~H;il Domestic Equity Sfi I' ;iul Diffcrcncc US Core/Large Can Equity (SA+CF) Median Domestic Fixed 1131~(~ IN~rnircli;u~ 13~md Indr~ Diftcrcncc US Intermediate Fixed Income (SA+CF) Median Returns Ibr periods greater than one year arc annualized. Returns arc expressed as percentages. Page 9 of I S -4.95 (41) -0.69 (38) 4.02 (37) 7.24 (11) 6.66 (15) 5.83 (95) 4.76 N/A 11/01/2000 -4.>(~ ~;.}) 11.11 ~?jl -1.')~J 11A) ;.VIII I;-}) ;,~4 f3_'1 4.~)? I~)~A) 4._'i N A -0.39 -1.19 -0.9Z 1.34 l.ll 0.91 0.49 -5.41 -1.54 3.48 5.31 5.03 R.53 N/A -4.95 -0.69 4.10 7.34 6.90 6.02 4.89 11 /01 /2000 --lJh Il.i(1 -1.x)4 j.~)II S.i4 -1.~)~ -1.~7 -0.39 -1.19 -0.84 1.44 1.36 1.10 0.62 -8.88 (28) -5.10 (50) 2.87 (56) 10.06 (6) 10.16 (9) N/A 10.19 N/A 02/01/2004 -~~.4~ l-1?) -~.IIR 1-191 3.11; ~i'~ S_Ai ((i~)) 6,116 (7~)) 11.3? 17~) >.7\ N ,~ 0.57 -0.02 -0.16 4?I 4.10 N/A 4.41 ~).4R -5.11 3.06 6.35 6.77 11.95 N/A 1.94 (74) 7.17 (67) 6.70 (72) 4.93 (83) 3.54 (96) N/A 4.09 N/A 02/01/2004 3.n11 Ijlll ~y,~y,y ~ ;?) , ;11 ~ ;"~ G.hh 14?) -t.I 3 I6~1 4.Z6 I(„1 -1.-11 ~' ~ -1.(16 -1.71 -0.80 -0.73 -0.59 N/A -0.32 2.54 7.90 7.13 5.63 4.28 4.45 N/A ~~ BOGDAHN GROUP Tequesta General Employees' Comparative Performance Fiscal Years As of March 31, 2008 otal Fand (Net) ~x~u~>~,i (~rnrril - Ii,l;il Difference lixcd-Asset Target Alloc Moderate Funds (MF) Median otal Fund (Gross) cuura,i Grn~rul I~,ttil Domestic Equity Difference US Core/Large Car Equity (SA+CF) Median Domestic Fixed I f3(~( Inicrnic~liulr R~m~l InJr~ Difference US Intermediate Fixed Income (SA+CF) Median Returns ibr periods greater than onr year arc annualised. Retums arc expressed as pereenlages. Page 10 of 15 -4.95 (41) -0.69 (38) 4.02 (37) 7.24 (11) 6.66 (15) 5.83 (95) 4.76 N/A 11/01/2000 --l.~h ~3-1) Il,ill (~;~ ..1.~)-! I S) ~.O(1 (;-ll ~J-I 131 -~.V? (9X1 -1.~7 V :A -0.39 -1.19 -0.92 1.34 I.12 0.91 0.49 -5.41 -1.54 3.48 5.31 5.03 R.53 N/A -4.95 -0.69 4.10 7.34 6.90 6.02 4.89 ll/01/2000 --1,~(~ n.;li -4.q1 ~ Flu ~ ;_1 -1 y, ~ ~- -0.39 -1.19 -0.84 1.44 1.36 1.10 0.62 -9.43 (46) -5.67 (61) 2.56 (62) 9.84 (6) 9.99 (9) N/A 10.03 N/A 02/01/2004 ~~.~` 1-71 -~.n~ (-~`~~ ;.113 1`_'I >.~~~ f6~1) (,.(Ih 17<11 11.3_' 17;1 ~_7~ V \ 0.02 -059 -0.47 3.99 3.93 N/A 4.25 -9.48 -5.11 3.06 6.35 6.77 11.95 N/A 2.93 (33) 8.20 (48) 7.21 (49) 5.27 (75) 3.79 (86) N/A 4.33 N/A 02/01/2004 3.liu lanl ~~.~s 1~~) ~.n (3?~ >.hr, ~a,1 -1.13 (w) 1.?h ~1»l -~.-ll y :1 -0.07 -U.68 -0.29 -0.39 -0.34 N/A -Q08 2.54 790 7.13 5.63 4.28 4.45 N/A +'~ '1'I u BOGDAHN GROUP Tequesta General Employees' Total Fund March 31, 2008 M11arkef Value Market `v'alue As of Net Gmtributions Distributions pees Espenses Income Capital ~~ 01 12/31/2007 Transfers ~pprec./Deprec' ;/;1/2110x Total Fund 1.064 - 64 -32 - ~ 7 -60 1041 Market Value Net Ca ital Market Yalnc '~s °~ Transfers Contributions Distributions pees F,xpenses Income ~lpprecJ Deprec. .~s of 3 /3 1 /21111x 9/30/2007 Total Fund 1.02'1 - 125 -55 - =_' IS -71 L041 '_0.0 ----__ --- - -- _..~ 1011 p0_ © - e -IOU-~~ -30.0 -- -~ --------~ - - ~ --~--- -----.__._~ 1 Oct-2007 1 2 3 Quarter To Year fears Years M11ar-zoox ^ ToWI Fvmd -5.0 141) -5.3 (321 -0.7 (33) 4.0 f371 7,'_ tl 11 Median -5.4 -6.3 -I.5 3.$ 5.3 6.7 I l s> s.s r~~51 $175.0 $1600 $145.0 $1300 $1150 $ 100.0 $ 85.0 10/00 4/02 10/03 4/05 10/O6 5.0 g,5 -Total Fund 141.'_ 3 OR I 1 I 1 1 1 Quarter Quarter Quarter Quarter Quarter Qa artc r E;nding ending ending ending Ending Ending Dec-2007 Sep-2007 .1 a n-2007 \1 ar-2007 Dec-2110fi Scp-21106 Total Fund -03 130) 1.0 (77) 3.3 1241 2.5 17) 3.0 (801 1.8 (07) Tequesta General - l~o~al -0.8 (49) 2.4 (301 3.7 12(>1 LO (83) 4.4 I~i21 4.7 (141 ~Vtixed-Asset l~arget Alloc 14oderate Funds lMF) Median -0.9 L9 3,1 1.7 4.7 3.4 Page 1 1 of 1$ ~~"\ i' f I p. BOGDAHN GROUP 4 S Years Years Tequesta General Employees' Total Fund March 31, 2008 Iso over Pcrti>rmance I1.0-', 7.0 z ?~- 0 - -I.0 0 F •S n ~ -50 -IL 3.0 7.0 Tequesta General-Total ('%~) fUnderPerA~rmance ~-OverPerformance -(Y Dec-2003 10.0 75~ 50 _~ ~ 5 _ ~ . 0 nn -~ 5 ~ 30 35 ^ lbtal Fund Median Y Cnder P ertormance -- --------- - - - I1.0 I5.0 +Mar-ZOOR I fi 0 75 Rick (Stands rd Deviation % ) Return Standard Deviation 7? 53 53 5.6 9.0 10.5 ^ lbtal Fund Median 6/06 6/07 ;/OR 1lcdian-75 75-95 Count Count 3 US°~~) R (d0"%1 Tracking Up Dne~o Sharpe Downside ~1larkct Rlarket ,Upha IR lie's Error Capture Capture Ratio Risk 'Total Fund °_.9 10_l.G R0.0 1.8 0.4 0.5 0.9 3.~ Tcquoeta General--total 0.0 100.0 100.0 11.0 VGA 0.3 I.0 2.7 1 ~P DoNn Tracking ~Slarket Market :11pha IR Sharpe Reta Dmcnside Error Capture Capture Rahn Risk lbtal Fund Z.7 I02.1 8?.G 1? 03 Q(i 0.0 3.0 l ~yucsLr Gcnci ~I -Total 0.0 100.0 100.0 0.0 V -A 0.4 I.0 ?.5 Page 12 of I5 o.o 0 25.0 i~ a ~~ sno-~, a ° 75.0 .'. a" 100.0 i 6/03 ^ lbtal Fund 6/04 6105 Ibtal Period 5-25 25-~1lcdian Count Count 20 (i (30°-0l I IS°~1 15.0 12.0 9.0 ~ 6.U , z ;o~i o.o 30 4.0 ~~ I~IIF. BOGDAHN GROUP 5.0 60 7D H.0 9A Risk (Stands rd Deviation % I Return Standard Deviation S.S 4.'> 8.5 G.0 Tequesta General Employees' Benchmark History As of March 31, 2008 Pale 13 of 15 Passive Portfolios Wei ht ("~~~) Effective Date: Nov-2000 Citigroup 3 Month T-Bill 100.0 Effective Date: Jan-2001 S&P 500 Index (,0.0 Citigroup 3 Month T-Bill ?0.0 LBGC Bond Index ?0.0 Effective Date: Oct-200 S&P 500 Index h(1.0 LBGC Intermediate Bond Index x}0.0 ~~"~ TIIP. BOGDAHN GROUP Statistics Definitions Page 14 of 15 Statistics Description Return -- Compounded rate of return for the period. 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. 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. Alpha -- A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by 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. 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. 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 appropriate benchmark. Treynor Ratio -- Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over the risk tree rate divided by the beta. 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. Downside Risk -- A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product. Tracking Error -- A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark. 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. Consistency -- The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Excess Return -- Arithmetic difference between the managers return and the risk-free return over a specited time period. Active Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period. Excess Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return. Up Market Capture -- The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Down Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Calculation based on monthly periodicity. ~~""\~ TIIf; BOGDAHN GROUP VILLAGE OF TEQUESTA GENERAL EMPLOYEES' PENSION Investment Performance Attribution Supplement 1Q08 Performance Comparison Total program results were negative for the second consecutive quarter; with poor equity market returns continuing to have a major impact on investment performance. The broad market sell-off across capitalization, style, domicile, and sector left equity managers with few positive investment options. Domestic equity produced a total return of -9.45% as measured by the S & P 500. Bonds provided a positive offset of 3.0% as measured by the Lehman Intermediate Government Credit Index. While slightly above target (60%), an allocation bias to equities of 63% at the beginning of the quarter resulted in negative overall program returns. Relative performance was mixed with equities outperforming the benchmark and the bond strategy underperforming its respective benchmark. This effort resulted in a net return of -4.95% which placed the fund in the 41 ~` percentile of peers for the quarter. The year over yeaz return of -0.69% moved the Fund results slightly below the benchmark, and tracked below the actuarial required rate of return. Peer group results for this period are positive with the plan ranking in the 38"' percentile, suggesting a very difficult period for all investors. Key elements of equity manager attribution are as follows: Note to analysis: We used Thomson Portfolio Analytics for the holdings-based attribution analysis, which is based on monthly holdings for the Plan 's equity portfolio managed by Dana Investment Advisors . Holdings-based attribution can help 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. o Based on holdings attribution from Thomson (excluding cash), Dana beat the S&P 500 Index by 14 basis points (bps) during 1Q08 (-9.31% vs. -9.45%). o As of 3/31 /08, the portfolio held 107 securities and had aweighted-average market cap significantly less than the index ($59.6B vs. $95.3B). testa GE (Dana Combined Portfolios] 3I31f21]08 Tequesta GE (Dana Combined PortFolios) 3/31/200E ~ ~ ~ ~ Mkt Cap ~ 59,586,244,155.23 ' ~ ~ Market Cap -Median 27,133, 786,150.00 No of Securities ------------------_--- ------ -----107 500 ---------__+_-- _ _ EPS Gr For 12M ~ 11.92 °/° Bmrk Holdings - - ~ - 76.98 ~ 100.00 EPS Gr LT 13.38 °!o Top 25 Holdings ~ 34.13 ; 35.59 EPS Gr Hst 12M 16,19 Top 15 Holdings 26.36 ; 25.97 EPS Gr Hst 5Y 25.88 ROE (Ann WS) 18.39 Div Yld 1.92 PE For 12M 12.73 PE Tr 12M 14.68 PEG For 12M 0.96 Price /Book 2.68 GICS Sector Analysis 95,342,822,795,84 11,188,879,320,00 14.64 12,35 -20,15 21,05 13,47 2,18 13,20 19,72 1,07 2,45 o Good stock selection boosted performance during the quarter (+29), while sector allocation ("allocation effect") detracted (-15 bps). Good stock selection within the financials and health care sectors accounted for a majority of the positive selection effect during the quarter; the combined selection effect for both sectors was +132 bps. An underweight to the financials sector also benefited performance. o An overweight to the worst performing sector (information technology) detracted 18 bps from the return, but the largest detractor to performance was the stock selection in the information technology sector (-29 bps). Market CaQAnalysis o The portfolio's market cap allocation added 30 bps. The largest contributor was a 2.2% average allocation to small cap (bucket l ), which provided 30 bps to performance. An underweighting to mega capitalization companies (bucket 5) detracted 13 bps during the quarter. Country Analysis o Approximately 12.9% of the portfolio was invested in non-US stocks, which returned approximately -8.8% that equaled the return for the MSCI EAFE. The domestic equity allocation returned -9.40% GICS Sector Attribution VS..SSIkF' JUU 1Z/.31/ LW I - 10.43 12.95; -5.43; -7.19; -0.58; -0.95; -0.061 0.18; 0.12 Ener9Y ~ -+--°-------•------------ APACHE CORP 1.~; 0,30; 12.63: 12,63? 0.17; 0.04? 0.00; 0.22; 0,22 CONOCOPHILLIPS ~ 0.78. 1.06; -13,18; -13.18; -0.11; -0.15; D.001 0.01; D.Ol CHEVRON CORP NEW 0.2_4; 1.52; -6.49; -7.89; -0.02; -0.12; 0.00; 0.001 O.DO HALLIBURTON CO----------------------r------1.871--------0,271--------3.98j------3=9B~-------~-~~'-------~-01~------0.00; 0.17; 0.17 MARATHON OIL CORP 0.63; 0.31; -12.24; -24.72! -0.13; -0.09. 0.00; -O.D3, -0.03 NATIONAL OILWELL VARCO i 0.84. 0.19! -20.53; -20.53; -0.20; -0.04; O,ODi -0.09; -O.D9 PETROLEO BRASILEIRO SA _ 0.89: _ 0.00; -11.98; 0.00. -0,11; O.ODi 0.00; -0.04; -0,04 TRANSOCEAN INC 1.20; 0.361 -5.55; -5,55; -0.08; -0.02; 0.001 0.00; 0.00 -- - - VALERO ENERGY CORP NEW 0.73; 0.26; 29.73; 29.731 0.251 0.09; 0.00; 0.13; 0.1 ---------------------------------------------r------ Ex}tCXU MOBIL CORP ~ 0951 3, 991 -9.34 ; -9.34 ; -D.09 i -0.37 ; 0.00 ; 0.05 ; 0.05 1 XTO ENERGY INC 0.91; 0.23; 20,68 20.68 0.16; 0.04. D.00; 0.17+----0.17' Materials 1 4.471 3.481 -3.08; -3.02; -0.131 -0.10; 0.08j -0.02; 0.05 -r- -•- -------------------------------------------- -~--- - -------+-----------f------------ Industrials 10.82 11.74; -12.291 -3.941 -1.351 -0.41 ~ -0.05; -0.871 -0.93 ---+-----------+-------------~-------------+-----------•-----------t------------ DANAHER CORP DEL i 0.75; D.16i -13,31; -13.31; -0.11; -0.02; O,OOi -0.06; -0.06 - -- EMERSON ELEC CO 0.76; 0.34; -8.66! -8.661 -0.06; -O.D3i 0.00; -D.021 -0.02 EATON CORP 0.27; D.lDi -16,33] -17.33; -D.07i -D.D2; 0,00; -0.03; -0.03 - - - - ---------------------------------------+-------------+--------------+--------------•------------•-------°-----~--------------•-------------+-----------r----------- ---- HONEYWELL INTL INC j 0.85; 0,36; -7.93; -7.93; -0.07; -0,03 0,00; -0.02 -0.02 LOCKHEED MARTIN CORP ~ 1.03; 0.31; -5.29; -5.29; -0.05; -0.02; 0.00. -0,02; -0.02 PRECISION CASTPARTS CO 0.63; 0.13; -26.38! -26.38! -0.19; -0.04. 0.00; -0.121 -0,12 PARKER HANNIFIN CORP ~ 0.98. 0.09. -7.73; -7.73; -0.07; -D.Dl; 0.00. -0,03; -0.03 - -- -- TEREx CORP NEW - ----~---____LD3 _ 0:05? -4.68 -4.68; -0.08; O.OD~ 0.00; -0.061 -0.06 TEXTRON INC 1.501 0.12! -21.94; -21.94; -0.38; -0.03; 0.001 -0.27; -0.27 - - -- -------------------------------------+------------+-------------+-------------•-------------•-------------'-------------•-------------+-----------r---------- -- - UNION PAC CORP ! 0.91; 0,27; 0.181 0.181 0.011 0.00; 0.00; 0,031 0.03 UNITED TECHNOLOGIES CO i 1.71. 0.59; -9.69; -9.69; -0.16; -0.06; 0,00; -0.07; -0,07 ------------------------+------------+--------------+--------------r------------•------------- ,------------, -------------------- WOLSELEY PLC ~ 0.38 0,00 -25,981 O.DO~ -0.11; 0,001 0.00; -O,D91 -D. -----• Consumer Discretionary 9.56; 8.65; 6.001 5.88; 0.51; 0.461 0.03; 0.011 0.03 BEST BUY INC ~ 1,54: 0.13; -21.04; -21.04; -0.34; -0.03; 0.00; -0,221 -0.22 DISNEY WALT CO i 1.41; 0.50; -2.79; -2.79; -0.03; -0.01; 0.00; 0.02; 0,02 --- ---------------- JOHNSON CTLS INC 1.88; 0,17j -5.84; -5,841 -0.10; -0.01; 0,001 O.Dl; 0.01 - --------------------------------- MARKS & SPENCER GROUP i 0,29; O.OOi -30.96; 0.00; -0.11; 0.00; 0.00; -D.09; -0.09 NIKE INC 1 1.40; 0.20; 6.26; 6.26; O.1D! 0.01. 0.00; 0.14; 0,14 NEWS CORP 0.78; 0.37; -8.18; -8.181 -D.06; -0.031 0.00; -0.01; -0.01 OMNICOM GROUP INC 1 0,81; 0.12; -6.74; -6,741 -0.05! -0.01; 0.00; -0.01. -0.01 -----------------------------------------------~------------- ~--------------Y--------------~-------------,--------------+-------------r-------------~-----------~----------- TOYOTA MOTOR CORP 0.58; 0.00; -4.971 0.00; -0.03; 0.00; 0.00; 0.00; 0.00 V F CORP 1 0.88; D.06; 13.77; 13.77; 0.111 0,01; 0.00; 0.13_.-_-0:13 . __- _ _ _ ________________________L-.-~~~.....~..~-..-..--...A...~...~-....~..~~...~...~~...-~-.~.... No Text Market Cap Attribution Tnrn,a!sta r,F fnana Combined Portfolios) vs. S&P 500 ---- Mkt Cap Buckets 1 1 2.171 0,20: 3.16; -1.97 --- ' , Mkt Cap Buckets 2 1 14.791 10.07; -12.351 -9.24 Mkt Cap Buckets 3 18.43; 14.211 -8.531 -7,97 Mkt Cap Buckets 4 1 60,791 62,45; -9.00; -10,28 ; ; ; , 74 021 7 Mkt Cap Buckets 5 3.82; 13.07; 12. . : 1 " 1 ~~ Mkt Cap Bucket 1 {small cap} . . . . . . . $ . . . . . . . . . . . 3,000,000,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mkt Cap Bucket 2 {mid cap} $ ... 10,000,000,000 ............................................................ ............................................................................................ Mkt Cap Bucket 3 {midllarge cap) ....... $ 20,000,000,000 Mkt Cap Bucket 4 {large cap} . ...... $ ......... . 200,000,000,000 ....... .................................................... ... ........................................................................................ Mkt Cap Bucket 5 ["mega" cap} : Infinity 0,101 0.03; 0.30; -0.10; 0.20 0.48 0.48 ; 0.011 0.77 ; 1 81; ----- --_ ----- - . ------_ 16 261 -0 11 -0 0 1 01 1 201 - , . ; . , . 1 - -5,981 -6,70; 0.031 0,85; 0,88 ; --------•------ -0.42~ --------+-----------i-----------+----------- -1.001 -0.131 -0.17; -0.30 Country Attribution S&P 500 12/31/2007 - Brazil ~ 0.89; 0.001 -11.98? 0.001 -0.11; 0.00. -0.011 0.00; -0.01 Switzerland 1.37 0.00; 1.86; 0.00; 0.02; 0.00; 0.14; 0.00; 0.14 ------------•-------------+-----------t------------h--------------~--------------~----°-----t-----------~----------° ALCON INC 0,97; 0.00; 0.55. 0,00; 0.01; - D_OOi 0,00; D.02+ 0.02 ZURICH FINL SVCS 0.40. 0.00; 7,67; 0.00; 0,03; 0.00; O.OD1 0,02; 0.02 0.99; 0.00; -10.26; 0.001 -0.11; 0.00; -0.01; 0.00; -0.01 Germany ~ ~ ~ ~ ------------'--------------~-----------~-----------~------------ -----------------------------------------~------------- ------- -- '(--------------;------------F-----------~------------ Denmark ; 0.53; 0.001 -2.341 0.001 -0.011 0.001 0.041 0.001 0.04 Finland ~ 0.79 0.001 -17.091 0.001 -0.141 0.001 -0.061 0.001 -0.06 0.57j 0.001 -17.551 0.001 -0.111 0.001 -0.051 0.001 -0.05 France .----------- •----------------------------------------~-------------i------------- ~-----------~----------°~--------------1-------------- ~-----------~-----------~------------ U.K. 1.061 0.00 ~ -25.441 0.001 -0.301 0.00 ~ -0.191 O.DO 1 -0.19 BT GROUP PLC i 0,391 0.00 -20.071 0.001 -0,091 0.001 0,001 0.021 0.02 MARKS & SPENCER GROUP i 0.29; 0.001 -30.961 0.001 -0.111 0.001 0.00; -0.021 -0.02 WOLSELEY PLC i 0,381 0.00: -25.981 0,00; -0.111 0.001 0.001 0.001 0.00 India ~ 0.87? 0.001 -21.141 0.001 -0.201 0.001 -0.101 0.001 -0.10 INFOSYS TECHNOLOGIES L ~ 0.871 0.00; -21.141 0,001 -0.201 0.00; O.OD1 0,00: 0.00 Italy 1 0.44 ~ 0.001 -29.701 0.001 -0.151 0.001 -0.101 0.001 -0.10 TELECOM ITALIA S P A N 1 0.44; 0.001 29.701 0.001 0.15; 0.001 0.001 0,001 0.00 Japan 1 1.84 f 0.001 -3.801 0.001 -0.061 0.001 0.101 0.001 0.10 -----------------------------------------7------------- ~-------------'-----------~-----------;--------------~--------------1----------- ~-----------~------------ CANON INC 1 0,58 0.00; 1,181 0.001 0,011 0.001 0,001 0.03; 0.03 NTT DOCOMO INC 0.68 0.001 -7,011 0.00; -0,051 0.001 0,001 -0.02; -O.D2 TOYOTA MOTOR CORP ~ 0.58; D.001 -4.971 0.001 -0.031 O.DO1 0.001 -0.01; -0.01 South Korea ~ 0.951 0.00 ~ 9.961 0.00 ; 0.091 0.00 ~ 0.01 1 O.DO ~ 0.01 Mexico 1 1.1 S 1 0.001 1.801 0.001 0.031 0.001 0.131 0.00 ~ 0.13 ----------------------------------------~-------------+-------------'-----------+-----------;--------------+--------------;-----------~-----------7------------ CEME?( SAB DE CV 1 D.62i 0.00 1.041 0.001 0.011 0.00; 0.001 0,001 0.00 TELEFONOS DE MEXICO S ~ 0,53; 0.00; 2.64; 0.001 0,021 0.00; O.OD1 0,001 0.00 ------------------------------- ~-------------+-------------;-----------¢-----------;--------------±--------------r----------+-----------r----------- ---------------- Netherlands ~ 0.47; O.OOI -16.491 O.OOI -0.091 O.OOj -0.03; 0.00 -0.03 Norway i 0.93 ; 0.00 i 25.121 0.00 ; 0.191 0.001 0.26 ~ 0.001 0.26 YARA INTL ASA 0,93; 0.001 25,12= 0.001 0,191 0.001 0,001 0.001 0.00 U.S.A. ~ 87.14 ~ 99.701 9.40 ~ 9.461 8.181 9.431 0.001 0.051 0.05