Loading...
HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 04_05/05/2008~Y'\x'~'.BO(~D;AHNC~ROUP.CO1~1 simplifying your investment and fiduciai y decisions Village of Tequesta Public Safety Officers' Pension Plan Quarterly Review 1st Quarter 2008 THE `~ BOGDAHN GROUP simplifying your investment £~ fiduciary decisions www.bogdahngroup.com The Market Environment Asset Class Performance Period Ended March 31, 2008 Quarter Performance MSCI EAFE -$~9% MSCI Emerg. Mkta. -1~3% S&P b00 -9.a% Rusae113000 -9•s% 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% o/ of 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 1 of 17 3mos. T•Bill 0.0% Source: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC. One Year Performance MSCI EAFE MSCI Emerg. Mkta. S&P 500 Russell 3000 Russell 1000 Rusae112000; -t3.0% 18.9 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. 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% ~~ I--if. BOGDAHN GROUP 5.0% 10.0% 15.0% 20.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% The Market Environment Equity Sector Performance Period Ended March 31, 2008 Sector Performance as of 3/31 /2008 Page 2 of 17 ENERGY MATERIALS INDUSTRIALS CONSUMER DISCR CONSUMER STAPLES HEALTH CARE FINANCIALS INFORM ATION TEC H TELECOM SVC UTILITIES 22.3% -D^1YR ~~ 1'i n~: BOGDAHN GROUP Source: MSCIBarra & Bogdahn Consulting, LLC. Source: Russell Co. Page 3 of 17 20 15 10 5 0 -5 •10 -16 -20 20 15 10 5 0 -5 -10 •15 -20 20 16 10 6 0 •6 -10 -16 -20 -10.4 -9.5 -8.6 Qtr -10.2-9.5 Qtr The Market Environment Equity Style Performance Period Ended March 31, 2008 Russell All Cap Style Performance __ __ _ _ __ 10.3 12.1 13.8 6.3 6.1 5.9 3 9 5.6 r, 1.3 -1.5 -6.1 10.4-9.6 8.6 -10.6 __- YTD lyr Syr Syr l0yr 03000 Growth ®3000 Index ~ 3000 Value Russell Large Cap Style Performance - --.. - -- - 11.913.7. __ - 10.0 6.3 6.2 6.0 6.6 1.3 3.8 •0.8 -5.4 8.7 -10.2-9.6 -8.7 -10.0 YTD lyr Syr Syr l0yr o 1000 Growth m 1000 Index ~ 1000 Value Qtr Russell Small Cap Style Performance ---- -- - _ 14.214.915:.5._.. - _ _.__..45:9-- YTD lyr Syr 7.5 5.0 Syr l0yr ^ 2000 Growth a 2000 Index ~ 2000 Value ~~ BOGDAHN GROUP 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 m o ~ c> a ~n co m m o N m v ~n m m o v r r~ m m m m m m m m m m m m m a o 0 0 0 0 ~ o 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 N [~ N N N N N N N N N N N N N N N N N N N N N N N r r r r r r r r r r r r r r r r r r r r r r r r r r r r r -Value -Growth Source: Frank Russell Co. & Bogdahn Consulting, LLC. Treasury Yield Curve 7 --- - 6 5 Page 4 of 17 4 3 2 1~ 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr source: us Dept. of treasury ~ 12/31/2007 -~ 12/29/2006 -+- 3/31/2008 ~~ Tllf: BOGDAHN GROUP Growth vs. Value Russell 1000 Excess Return Rolling 12 Month Periods Total Fund March 31, 2008 ~• ii ~ ~ ~ December 31, 200'7:$4,381,454 N~-ch 31, 2008: $4,201,376 Segments Market Value Allocation Segments Market Value Allocation ^ Domestic Equity 2,543,150 SR.O ^ Domestic Equity 2,274,145 54.1 ^ Domestic Fixed Income 1,719,293 39.2 ^ Domestic Fixed Income 1,645,054 39? ^ Cash Equivalent l 19,011 2.7 ^ ('ash Equivalent 282,178 C.7 ~ l~ut: ~ BOGDAHN ~a~e s or~ I ~ GROUP Total Fund March 31, 2008 December 31, 2007:$4,381,4_54 Much 31, 2008: $4,201,376 Manager ^ Rockwood Capital Advisors Balanced Account Page 6 of 17 Market Value Allocation Manager ~~) ~%) 4,381,454 100.0 ^ Rockwood Capital Advisors Balanced Account Market Value Allocation ~$) ~°/~) 4,201,376 100.0 ~i'i IF. BOGDAHN GROUP Historical Asset Allocation By Segment Total Fund October 1, 2007 To March 31, 2008 la~.o , __ 1 ~c~.o , so.o ~o.o ~ ', ~c~.o 0 a ~~ 0 50.0 i a ~c1.0 ~ '~ i, ~~.0 j 2c~.0 Io.O~ i, o.cl ~ aim Icvm I vm lvm vc>x vc>x 3ic~x - I7tnrestic 1'quity ~ I~t~nr tic Pied li~conn ~ Cash Fquivalcnt Page 7 of 17 ~~ l'I Iti BOGDAHN GROUP Tequesta Public Safety Officers' Comparative Performance Trailing Returns As of March 31, 2008 Total Fund (Net) -5.71 (61) -6.31 (51) -0.58 (36) 4.71 (21) 5.20 (53) N/A inwl (un~l -1-gib (,-ll _~,~(, (3-11 U.>11 (231 -1.~1~ (I~1 x.911 (31) N A Difference -1.15 -0.95 -1.08 -0.23 -0.70 N/A Mixed-Asset Target Alloc Moderate Funds (MF) Median -5.41 -6.29 -1.54 3.48 5.31 5.03 Total Fund (Gross) -5.58 -6.06 -0.06 5.32 5.72 N/A ~HJ~ IUlll~ --~.1( -~ Zfi O ?II -1_~)-1 ~_~)t) N 1A Difference -1.02 -0.70 -0.56 0.38 -0.18 N/A Domestic Equity SfiP ~f)n Difference US Core/Large Cap Equity (SA+CF) Median omestic Fixed t3GC~ In~~rmcdiatc C3~ux1 In<Ic~ ifference S Intermediate Fixed hicome 1 N/A 6.69 N/A 05/01/2005 N ~ h.3'_ ry -A N/A 0.37 8.53 N/A N/A 7.24 05/01/2005 N/A 0.92 -12.83 (96) -15.27 (93) -7.75 (81) 3.06 (52) 5.25 (85) N/A N/A 7.80 N/A 05/01/2005 ~~.-1` 1-1`1 -1?.~~(i 16?1 -5_Il~ ail l 3.113 ~~31 ~.~i (711 (i.t1(~ l~~ll 11.32 (771 (~.7'_ IA~ ~ -3.38 -2.81 -2.67 0.03 -0.60 N/A N/A LOR -9.46 -12.10 -5.05 3.12 6.44 6.88 12.12 N/A 5.28 (1) 8.63 (1) 11.85 (1) 8.97 (1) 6.35 (4) N/A N/A 6.66 N/A 05/01/2005 3.1111 13;1 5.99 (3h1 5.~~ (3~1 7.30 111 ~.6(, 121 ~.I3 (t,>) 4.3h (hS) i,41 ti 1 2.28 2.64 2.97 1.47 0.69 N/A N/A 1.25 Median 2.66 5.54 R.23 7.30 5.68 4.30 4.47 N/A Returns for periods greater than one year arc annualized. Returns are expressed as percentages. Page 8 of 17 ~-~ Tt o-; BOGDAHN GROUP Tequesta Public Safety Officers' Comparative Performance Fiscal Year Returns As of March 31, 2008 Total Fund (Net) 14.24 (16) 4.07 (95) N/A N/A N/A N/A N/A l~~inl Fund l~.(1' (-}~) 7.~~ 13?) N A Ni,~a N,A NSA NSA Difference 2.22 -3.R1 N/A N/A N/A N/A N/A Mixed-Asset Target Alloc Moderate Funds (MF) Median l 1.42 7.14 9.46 9.39 15.73 -R.28 -12.02 Total Fund (Gross) 14.82 4.67 N/A N/A N/A N/A N/A l ~~tal I~und 1 ~.O~ 7.~ti N .~ N'~~ N'n N;1 N:1 Difference 2.R0 -3.21 N/A N/A N/A N/A N/A mestic Equity I' ?(lfl Terence Core/Large Cap Equity (SA+CF) Median nestic Fixed ~(~ 13~nu1 In<i~•~ Terence Broad Market Core Fixed Income (SA+CF) Median Rchims for periods greater than one year arc annualized. Returns are expressed as percentages. Page 9 of 17 21.99 (9) 5.38 (96) N/A N/A N/A N/A N/A 1~,.-l-1 ~;7) 1(1.7~~ (;I)) 1~.~; ~~1) 13.~~ ~;9) ~'~t.40 (44) -x(1-1? (7~) -_'li.(i? (171 5.55 -5.41 N/A N/A N/A N/A N/A 16.58 10.7R 14.31 14.18 24.13 -19.17 -25.79 5.93 (9) 3.88 (44) N/A N/A N/A N/A N/A i.ll~ ~(~~~ 3.33 (~)(,) ~.>(, (91)) 3.35 1~0) 6.~1 (2G) ~).~(1 (?71 13.1\ (6q) O.RS 0.55 N/A N/A N/A N/A N/A 5.16 3.R4 3.10 3.7R 5.79 R.56 13.31 ~~ ~hIIE BOGDAHN GROUP Tequesta Public Safety Officers' Total Fund March 31, 2008 ' I I ~ 11:u-kct Value Y1arket ~'aluc Net Capital ps of Cunh-ib_ufions Distributions Fecs Fapenses Income ~~` of Apprec./ Dcprec' 3/31/2011R Transfers 12/31 /21107 Total Fund 4.331 - 75 - -6 -4 '27 -272 4.301 1 1 I 1 1 1~1arkM Yaluc Market Value Net Capital qs of As of Contributions Distributions Fees Fspenses Inrnme Apprec./ Dcprec. 9 /3 012 0 0 7 'I'ransfcrs 3/31ROIIR Total Fund 4.385 - 221 -21 -1 I -4 55 -323 4?01 ~ 1 ~ I 1 1 _ 1 1 1 1 - -- - - $14R0~ 20.0 100 0.0 ~ ®® -l0 0 -20.0 ~ - - -~ - _ i 1 Oct-2007 Quarter To liar-200R ^ Total Fund -5.6 (531 -(>~ I 1431 Total Fund Policy -4.V 1341 -5.4 (34) ~ -~_ ~- - - - ---1 I 2 3 ~ S Year fears Years fears Years -0.1 (301 53 (14) SJ f331 NSA V-A OS 123) 4.9 1181 5,9 134) NSA N/A $ 130-0 $120.0 $IIQO $ 100.0 ..~ 6 12C, 4 -63 5 -LS 3.5 S.Z SA 8.5 -Tots] Fund _.... Total Fund Polish . Median - 1 1 ~' 1 1 Quarter I Quarter I Quarter 1 Quarter I Quarter I Quarter F;nding Ending Ending Ending r-2007 ~1 F;nding Dec-2006 F;nding Sep-2110fi Dce 2007 Sep-2007 .Ion-21107 a 5 (34) -0 4-3 11) ..0 1331 4_' (II 3.(~ 1901 3 5 14z) lbtal Fund . -0 4 (4')) 3.4 (301 37 1361 LO 183) 4.4 It~3) 4-7 1141 To[al Fund Policy I 2 4.7 3'4 Mi.eed-Asset Target Alloc 14oderate Funds IY1F) Median -0.9 1.9 3.1 ~ 7~IIF; BOGDAHN GROUP Page 10 of 17 d/OS I/O6 10/O6 7/07 3/08 Tequesta Public Safety Officers' Total Fund March 31, 2008 o.o '~ zs9 Y C SOO d u L d E ~,~ d a I rxt.o cio3 r~ioa c,ios t,ioc, <.io~ ;ios Total Period 5-25 25-~'.~1edian Median-75 75-9G Count Count Counl Count ^ Total Fund 2(1 NSA V!A ViA V'A -total Fund I'olicv 20 N'A ~/A N'A VGA '' t ~ ~. 1 t 10.0 ~_- - - 15.0 f- -- - - - - ZS 129 2.5 - ppp9 G0~ a 0.0 ~~ a 3.0~ I .5 ~ ~ --~ -- 20 i r ~-. T -~~ 3.0 45 60 75 99 125 30 49 5.0 G.0 7,0 30 9,0 Risk (Standa~Yi Deviation '%.) Risk (Standard Dc~i ation'%.) Return Standard Deviation Return Standard Deviation ^ total Fund 5.7 G.7 ^ Total Fund ~/A N/A ® Total Fund Policy 5.9 4.3 O Total Fund Policy N!A V!A vledia» 53 S.ti Median 8.5 t~.p 1 'I'rackin;, tIP DoHn Market 1larket :Upha IR Sharpe Beta Do~rnside Error Ratio Rick Captum Capture Iota) Fund 3.7 115.4 136.6 -I.I 0.(1 Q2 1.2 4.~i Total fund Policy 0.0 100.0 100.0 0.0 V;A 03 LO ~.7 t '1'rackin~ Up Down Shar m Market Market :11pha IR 1 Beta Dosvns:de N:rror Ratio Risk Capture Capture Total Fund N/A N!A N/A N/A NiA N/A v/A N%A Total Fund Policy N!A NrA C;iA V/A NSA N!A V!A N'A Page I 1 of 17 `~ 7~FIF. BOGDAHN GROUP Tequesta Public Safety Officers' Total Equity March 31, 2008 ' 1 ~ Market Yalue A f Net Capital M:u'ker ~'aluc s o '1'ransicrs Contributions Distributions Fees Fapenscs Income ,_`~ of 1 2 /3 0211117 Apprec./ Deprcc' i/3 1 /211118 Total [yuily 4,181 - 7s _ -6 -4 '7 =27_' 4?01 '• r r r t e Market Yaluc Vet Capital Marker Value As of Transfers Contributions Distributions Fccs Fspenses Income ;1s of 9/ill/211117 Apprec/ Deprcc. 3 /3 1 /2 0118 lolall~.yuily 4,235 - 221 -21 -II -4 55 -121 d.'_01 ~' 1 1 1 1 1 ~ 'F150~-, r CMG Z0.0 ~ - - - - - - - -- -- 10.0 i © $1400- © © $130.0- 00 - 10.0 - T~ _z~tl I Quarter oer-zno7 I z 'I'o fear Years i11ar-20118 -15.i (931 -7.7 (30) 1.1 l52) -12.5 (621 -5.1 (51) 1.0 (511 3 1'cars ^ Total I~quily -12.3 ('151 SRI' 5110 ~).4 1491 5 ' 1361 NrA V%A 5.9 171) 6.1 (801 11.7 179) 9;1 10.0 ~_ _ ~~ 4 5 $I(~0 1'cars 1'c:us $130.0 118( 116.6 $90.0 I i - - ~ - ~ : - - - - -r 3/05 I?/05 9/(K f/07 3/OR Median -9.5 -12.1 1 1 ~ 1 -5.1 1.1 6.4 6.9 12.1 -'Ibtal&juity ~--S~I'S00 I I 1 I I I Qnarter Quarter Quarter Quarter Quarter Quarh'r F;ndin~ F;ntlin~ F;ndin~ F:ndin~ F:ndin~ 1?ndin~ __ Dec-20117 Sep-21107 ,I u n-211117 Mar-2007 Dec-2006 ~cp-21106 final Fyuily -2.3 1431 5? 161 3.5 (971 6? 11 I 5.5 1361 4_' 1711 SCI' 500 -13 1661 2.0 (46) 6.1 (491 0.6 171) 6.7 (491 5.7 1361 US ('rn'c'Large Cnp Gyuity ISA'('FI Median -? 9 2.0 6.3 I.I 6.7 5? Page 12 of 17 ~~ •l~f IF: 1~ BOGDAHN GROUP Tequesta Public Safety Officers' ~~ Total Equity March 31, 2008 . t ~. o.o '~ 2so L' '3P W 0 F 5.0 50 f Under Perbtlrance • Ntu-'OOR 17.5 14.0 _ 105 \ 7O~- ~, 3.5 a 0~ 2.5 -- - ~ -- - - I _.~ ~.O 7.5 I O.0 I ^ 5 Risk (Standard Deg+afion'%.) Return Standard Deviaton ^ Total Equity 5.2 10.7 © S&P s00 5.9 R.R Median V.4 9.0 d C 50.0 u a 75.0 d a Ic>no /03 6/04 6/OS C,/OC, (>/07 3/OR Total Period 5-25 2S-11edian 1ledian-75 75-9c Count Count Cmmt Count ^ Toad Equity 20 0 (0%) 0 (0%1 0 (0°'~I I (5°"~) S&P s00 20 0 (0%) (1 (0%) Is (7S%) 5 (?5%1 1 25 0 r --. - i , J~ C ~ 5.0 ~ --- -I_- ~ ---~ 15,0 25 5 0 7.5 I RQ 125 Risk (Standard) Deviafion'%.) Return Standard Deviation ^ Total Equity N!A Np © SfiP 50(1 113 I O.R Median 12.1 I(T.9 I5.0 17s l'rackin~ C~P Down Sharpe Downside Error M1larket Market .41pha IR Ratio Beta Risk Capture Capture Total Equity G L RO.G 135.8 -LG 0.0 0.1 1.2 R.7 SAP S00 0.0 100.0 100.0 0.0 ViA 0? LO s.7 1 Trackin;; Up Down Sharpe Downside Errar Market Market :Upha IR Raho Rcta Risk Capture Capture Total Equity N/A NIA NSA N/A N/A N!A NIA NIA SkI' 500 0.0 100.0 IOQO 0.0 N%A OA I.0 4.9 Page l3 of 17 ~~"~ "I~tIE. BOGDAHN GROUP 5.' S.4 S.G S.R <0 Tequesta Public Safety Officers' Total Fixed March 31, 2008 1 1 11arkef 1"aloe :1s of Nct Capital 1larkef ~ aloe Transfers Contributions Dish~ibutions Fees Expenses Income .1c of 12/31/2007 Apprec./ Deprec. Total Fixed 4,3x 1 - 75 _ 3/31/200x -6 ~ ~7 -372 4.201 ' 1 1 1 1 11arket 1'alue :1s of Net Ylarkef Value 'Transfers Contributions Distributions Fees Expenses Income Capital 9/3(1/2007 Apprec/ Deprec. .4s of 3/3I/znnx Total Fixed 4.2x5 _ 221 -21 _I I ~ 55 -??3 d?0I ~ 1 1 i 11 1 1 1 ~ 1 15.0 ~ _ - - - - - - - - $125,0 ^ L'0.7 10.0 $ 120.0 ^ ^ ~ 5.0 ^ ~©© IIS.R ~ $115(1 QO~ ;'~ $ 110.0 -5n I_ _I _ 1 _ I _-_ I _t. 1 I ocr-znm 1 z 3 4 ~ x l os o Quarter 'fo Year Years fears Vcars fears 11ar-2011x ^TotalPi.xrd 5.3 11) x.6 111 ILx (I) 9.0 (I) 6.4 (7) N-A N'A LBGC Bond Index 2.$ 1341 5.7 13')1 x.4 f30) 7.4 (351 5.5 1501 4.? 16x) 4.(i (611 $1(Xl0 Media^ ~ ~ 4/05 1/06 10/O6 7/07 3/08 -~ 5? 7.6 7.1 5,5 4 5 4J -Total Filed ~ - LRC3CF3ond Inds-x 1 / ~ 1 1 I I 1 1 Quarter Quarfcr Quarter Quarter Quarter Quarter F:ndin~ Ending F;ndin~ F;ndin~ F;ndin~ Ending Ucc-211117 Se -2007 .lun-2007 ~1ar-2007 Dec-21)Ofi Total Fixed Se -200fi 3.2 1t~I 3.2 rep -0.3 rib) 1.7 1i~I I ? tool 3.o nb u3cc Bond Index t 1 3.1 ('25) 3.0 124) -0.5 1451 I.5 (7eI 1 9 1x71 3.9 ('_6) US Broad Market Core Fixed Income (SA-CFI Median ?.q ~ x -0.5 I.5 I 1 3.)i Page 14 of 17 ~~ I•IiF. BOGDAHN GROUP Tequesta Public Safety Officers' Total Fixed March 31, 2008 o ci ~ 2s.o y e 500 d u ~. d G E 7t~ a 100 ~, <,io3 cioa c~ios ~;io<, cio~ sloe Total Period 5.25 25-Median Median-7G 75-9G Count Cuunt Count Count ^ Total Fixed 20 N!A NSA '~%A N%A LBGC Bond Index ?0 0 (0""/0) 10 (50"~1 3 115'!%) 7 (35^%1 ~ 1 1 ~ . 1 1 _~ _ - _- H9 _- - _ 70 -e-__ ___.._ - -- I (.0 59 ~ ~ 40~ ~ -~ 30 ~~ ~. _ -, ~. _ -- - ~ - 2.0_S 3.0 3.5 4 0 4.5 2.5 3.0 3.5 4.0 4.5 Risk (Standard Dniation'%.) Risk (Standard Dexiation'%.) Return Standard Deviation Return Standard Deviation ^ Total Fixed 6.4 3.4 ^ Total Fixed NiA N/A © LBGC Bond Index 5.5 3.4 ~ LBGC Bond Index 4.6 3.9 Median 5.5 i. I Median 4.7 7 l 1 'Tracking T'P DoN~n Shat c Market M11arket :\Ipha IR p Beta Doe~nsidc b;rror Ratio Kisk C'.aptu rc Captu rc Total 1~ixed 1.8 R7.0 24.6 2.5 0.4 0.8 0.7 0.R LBGC Bond Index 0.0 100.0 100.0 0.0 N%A 0.4 I.0 I.5 1 tracking T'p 11ON° Shar e ~larkct Market :\Ipha IR p Rcta Dmvnsidc H:rror Ratio Risk Capture Capture Total Pixcd N%A N/A N%A N-A NSA NSA N'-A NSA IBGC Bond Index 0.0 100.0 100.0 0.0 NSA 0.4 I.0 ~.7 Pa~~e 15 of 17 ~~"~ IliF. BOGDAHN GROUP Historical Hybrid Composition Total Fund As of March 31, 2008 Page 16 of 17 ~~ ~~ Effective Date: Apr-200_5 S&P 500 Index 60.0 I_BGC Intermediate Bond Index 40.0 T~it~. BOGDAHN GROUP Statistics Definitions Page 17 of 17 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 meas~n-e 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 free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the 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 specified 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. Market Capture -- The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. vn Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. CalculaUOn based on monthly periodicity. ~~"\ TtIF. BOGDAHN GROUP VILLAGE OF TEQUESTA PUBLIC SAFETY OFFICERS' 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 below target (60%), an allocation bias to equities of 58% at the beginning of the quarter resulted in negative overall program returns. Relative performance was also lacking with both equity and bond strategies slightly underperforming benchmarks. This effort resulted in a net return of -5.71 % which placed the fund in the 61st percentile of peers for the quarter. The year over year return of -0.58% moved the Fund results 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 36`~ 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 Rockwood "composite" portfolio. 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), the Rockwood portfolio trailed the S&P 500 Index by 178 basis points (bps) during 1Q08 (-11.23% vs. -9.45%). o The portfolio's sector allocations (allocation effect) added 98 basis points (bps) during the quarterly return, but poor stock selection (selection effect) detracted 276 bps from performance. o At quarter-end, the portfolio held 37 securities. Additionally, the portfolio had a smaller weighted-average market cap ($45.4B vs. $95.3B) and had a slight "growth" bent based on a lower dividend yield and a higher forward price-to-earnings and price-to-book ratios. However, the PEG ratio was less than the index, which indicates the portfolio is not paying too much for the higher P/E based on the expected earnings growth. In general, the companies in the portfolio are higher quality based on the total debt/equity ratio (0.66 vs. 2.11). Rockwood Capital Strategic Equity 3/31 f 2008 Rn[kwood Capital Strategic Equity 3f 31/2U08 ~ ~• ~~ ~ ~ ~ - ~ ~ Mkt Cap 45, 352, 942, 895.58 95, 342, 822, 795.84 No of Securities 37 ; 500 Market Cap -Median ; 20,901,894,000.00; 11,188,879,320.00 °/° Bmrk Holdings 71.16 104.00 PE For 12M 14.68; 13.20 °!o Top 25 Holdings 73.99 ; 35.59 °!° Top 15 Holdings 48.29 25.97 PE Tr 12M 16.40 19.72 PEG For 12M 1.01; 1.07 EPS Gr Hst 5Y 24.02 ; 21.05 Price /Book 3.55; 2,45 Div Yld 1.34 2.18 Ttl Dbt~ Eqty VYS 0.66 ~ 2.11 a GICS Sector Analysis o An overweight to the Materials, Industrials, and Consumer Staples and an underweight to Financials benefited performance. The largest "allocation effect" (62 bps) came from the significant overweight to the materials sector (12.74% vs. 3.48%). The two companies in the Financials sector accounted for 5.36% of the portfolio (the sector accounted for 17.42% in the index), which provided a positive 49 bps to the quarterly return. o As mentioned above, underperformance during the quarter was due to poor stock selection. The selection effect in the Industrials sector was -223 bps, while poor stock selection in the Health Care sector reduced performance by 140 bps. However, good stock selection in the Information Technology sector added 112 bps to the quarterly return. o With a -45.7% return during the quarter, Schering Plough was performing stock in the portfolio; however, VCA Antech was the largest detractor to performance (-88 bps). The best performing stock in the portfolio was Echostar Corp. (+37.10%). b Market Cap Value Analysis o The portfolio's exposure to mid cap (bucket 2) and the smaller end of large cap (bucket 3) added 25 bps to performance, while an underweight to "mega cap" contributed -l6 bps. Recommendations: o GIGS Sector Attribution - 3/31 Energy ! 1.54 12.95 15.58? -7.19? 0.30 -0.95; -0.151 0.211 0.06 SCHLUMBERGER LTD 1 -1.541_ 0.86; 15.58; -11.34? 0.30; -0.11; 0.00; 0.20; 0.20 ------------------------------------~-------------~--------------•-------------+--------------+--------------t--------------~---------+---------- ;----------- Materials 1 12.74 3.48; -5.30; -3.021 -0.651 -0.101 Ob21 -0.27: 0.35 BAYER A G 4.35; 0.001 -11.731 0.00! -0.561 0.00; 0.00; -0.381 -0.38 INTERNATIONAL FLAVORS& i 2.23; 0.03! -7.991 -7.991 -0.17; 0.00! 0.00; -0.12: -0.12 PRAXAIR INC 3.20; 0,221 -4.62! -4.621 -0.12; -0.011 O.ODI -0.03; -0.03 UNITED STATES STL CORP ? 2.971 0.111 5.191 5.19; 0.20; 0.011 0.00; 0.25! 0.25 ---------------------------------~------------t--------------.----------+------------+-------------.--------------~-----------+---------r---------- Industrials 1 15.81: 11.74 -18.201 -3.941 -3.091 -0.411 020; -2.231 -2.04 BOEING CO 2.26; 0.521 -14.541 -14.541 -0,331 -0.08; 0,00! -0.17; -0.17 ------------------------------------•------------~---------------~--------------+--------------+--------------t-------------•-----------+-----------r---------- ROCKWELL COLLINS INC + 2.31; 0.08; -20.38; _-20.381 -0.51; -0.021 0,00; -0.361 -0.36 LOCKHEED MARTIN CORP 3.32; 0.31; -5.291 -5.291 -0.17; -0.02; 0.001 -0.071 -0.07 PRECISION CASTPARTS CO i 2.76; 0.13; _ -26.x; -26.381 -0.83: -0.041 0.00; -0.591 -0.59 STERICYCLE INC 4.11; 0.00; -13.301 0.001 -0.57; 0.00; 0.001 -0.381 -0.38 --------------------------------------•------------J---------------.--------------t-------------+---------------------------•-----------+----------r---------- VOLVO AKTIEBOLAGET 1.05: 0.001 -20.87; 0.~1 -0.69; 0.001 0.00; -0.521 -0.52 --------------------------------------+-----------; ----------------r--------------; ---------------r--------------r-------------±-----------; -----------±----------- Consumer Discretionary------ -------1.851----------8.65!---------5.981---------5.88E--------0.141-------0.46;-----0.161-----0.23;-----0.07 DISH NETWORK CORP _ 1 1.30; 0.001 -5.43; 0.001 -0.09; 0.001 0.00; 0.01; 0.01 GENERAL MTRS CORP 0.55. 0.111 13.741 -22.741 0.24; -0.03; O,DD 0.22; 0.22 Consumer5taples 1 13.171 10.681 -7.07; -2.221 -0.401 -0.21; 026; -0.331 -0.08 ------- KONINKLI]KE AHOLD N_V 1.70; 0.001 15.10; 0.00; 0.3_51 0.00; 0.00; 0.26; 0.26 ANHEUSER BUSCH COS INC-T----- 2.421---------0.301---------8.711--------8.71;--------0.21!-------0.031-----0,001-----0.13;-----0.13 ENERGIZER HLDGS INC 1 2.31; 0.001 19.31! 0.001 0.481 0.00; 0.00; -0.40; -0.40 HEINZ H ] CO 2.28? 0.121 1.48; 1.481 0.051 0.00; 0.00; 0.07: 0.07 COCA COLA CO i - L76 1.011 3.531 -0.181 0.09; 0.001 0.001 -0.011 -0.01 ---------------------------------~-- -------------~---------------'---------------~--------- ----•--------------E-----------.-----------~----------- UNILEVER N V 1 - 2.711 0.001 -7.491 0.00; -0.19! 0.00; 0.00; -0.13; -0.13 -----------------------------------~----------^------------•---------------r------------t--------------•-------------~----------- ~----------~----------- Health Care 1 22.00; 12.27! -17.76: -11.521 -4.121 -1.47! -0271 -1.40; -1.67 AETNA INC NEW 1 0.731 0.21; -15.14; -27,09 -0.341 -0.061 0.00; -0.15;____-_0.15 BAXTER INTL INC i - 2.921 0,321 -0.02; -0.02; -0.021 0,001 0.00; 0.25 0.25 CIGNA CORP 2.44; 0.111 24.42; 24.421 0.65; 0.031 0.001 0.311 0.31 SCHEIN HENRY INC i - 2.67? 0.001 -6.511 0.00; -0.171 0.001 0.00; 0.141 0.14 SCHERING PLOUGH CORP 1.98; 0.291 -45.73; -45.731 -1.06; -0.161 0.00; -0.571 -0.57 SMITH & NEPHEW PLC 2.80? 0.001 14.93; 0,00; 0.361 0.001 0.00; 0.651 0.65 THERMO FISHER SCIENT[F 3.00; 0.20; -1.46; -1.46 -0.02; 0.001 0.00; 0.27; 0.27 -------------------------------------~------------•------------------------------~--------------~---------------•-------------r-----------'-----------~----------- WATERS CORP 1 - 2.711 0,051 -29.561 -29.56; -0.961 -0.02; 0.00; -0.561 -0.56 VCA ANTECH INC 2.76; 0.001 38,16; 0.00; 1.261 0.001 0.001 0.88; 0.88 Financials 1 5.361 17.421 -18.691 -13.961 -1.051 -2.43; OA9'; -0.29; 0.20 LOEW_S C_ ORP _ 2.65; 0.161 -19.99; -19.99; -0.571 -0.041 0.00; -0.191 -0.19 PRICE T ROWE GROUP INC -- -----2.701---------0.11-------17.46E ------17.46;--------0.491-------0.021-----0.001-----0.091----0.09 Information Technology 18.08; 15.77; -9.06; -15.191 -1.521 -2.551 -0.04; 1.12; 1.08 CISCO SYS INC i -2.071 1.26? -11.011 -11.011 -0.221 -0.14; 0.001 0.031 0.03 DELL INC 1.951 0.381 18.73; 18.73; 0.391 0.08: 0.00; 0.061 0.06 EBAY INC i - 2_191 0.27? -10.091 -10.091 -0.211 -0.031 0.001 0.10 0.10 ____________________-______________._ ~ ___~_ _ ,_ ________ __ __,___________1.-_______ +_____________~_____________t__ _ ! _ _ +___W_______________~_ HEWLETT_PACKARD CO 3.041 0.99_; -9.39; -9.39? -0.271 -0.09; 0.00; 0.10; O.1D INTERNATIONAL BUSINESS- ,------ 2.781----------1.271---------6.92 i---------6.92 E ------- 0.201-------0.04 i-----0.001-----0.26; -----0.26 METTLER TOLEDO INTERNAI 2.77; 0.001 -14.66; 0.00; -0.421 0.00: O.ODI 0.011 0.01 t---°--------- ~--- ECHOSTAR CORP ~ -0.15; 0.001 37.101 0.001 0.141 O.OD1 0.00; 0.151 0.15 ---------------------- - +-------------+---- _---------~ -~ ------_-----+------------;------------~-----------1----------- VERISIGN INC 3.14; 0.061 11.62; 11.621 0.35; -0.Ol: 0.00; 0.121 0.12 ----------- ------------ Telecomm5ervice j 2.68; 3.41; 6.901 13.73; 0.17; 0.50' 0.04; 0.18; 0.22 AT&T INC i - 2.681 1,901 -6.901 -6.901 -0.171 -0.13; 0.00; 0.081 0.08 Utilities 5.95: 3.65; -9.68; -9.94; -0.581 -0.371 -0.03; 0.01? -O.DI EDISON INTL ; _____ 2.55;_ _ 0.14; -7.581 -7.58; -0.19; -0.011 0.00: 0.05; 0.05 PPL CORP 3.40' 0.15; -11.20; -11.20: -0.38; -0.02? 0.00? -0.04: -0.04 d r Market Cap Attribution Rockwood Strate4ic Enuit~ vs. S&P 500 12131/2007 - 3/3112008 Mkt Cap Buckets i 0,15; 0.20! 37.10; -1.97! 0.141 0.03; -0,07! 0.18; 0.11 _ ___ _ ___ __ ___ , Mkt Cap Buckets 2 i 25,45: 10.07' -17.06! -9.24' -4.53' -0.77: 0.11' -2.22; -2.11 _ Mkt Cap _Buckets_3___;___-- 24 :82 ~------_ 14.2 i; _---_-6 -39 ~- -- -7.9~ ~-- - -- -1.58 ~------ 1.01;-----0.14 --- --0.34 i ----0 , 48 Mkt Cap Bueke#s 4 ' 46.09; 62.45; -10.81; -10.28; -4.98 ; -6.70; 0.10; -0 , 26 i -0.16 _ _ __ Mkt Cav Buckets 5 ~ 2.68; 13.071 -6.901 -7,741 -0,17; - 1.00; -0.16; 0.03 -0.13 ~ ~ :~ Mkt Cap Bucket 1 {small cap) $ 2,000,ODD,000 Mkt Cap Bucket 2 {mid cap) $ 10,000,000,000 ........................................................................................................................................................................ Mkt Cap Bucket 3 {midJlarge cap} $ 20,000,000,000 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mkt Gap Bucket d {large cap} $ 200,000,000,000 ...................................................................................................................................................................Y. Mkt Cap Bucket 5 {"mega" cap) Infinit e