The URL can be used to link to this page

Home My WebLink AboutDocumentation_Pension Public Safety_Tab 02_05/07/2007BOGDAHN CONSULTING LLC. simplifying your investment decisions Village of Tequesta PUBLIC SAFETY OFFICERS PENSION PLAN March, 2007 www. bogdahnconsulting. com 340 West Central Avenue Suite 300 • Winter Haven, Florida 33880 Telephone (863) 293-8289 • Facsimile (863) 292-8717 Bogdahn Consulting, LLC. PERFORMANCE REPORT Discounted Cash Flow Method Net of Fees Pillage of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors F~~om 12-3l-06 to 03-31-07 Portfolio Value on 12-31-06 3,527,502.58 Accrued Interest 12,879.36 Contributions 84,966.35 Withdrawals -14,042.58 Realized Gains -3,693.28 Unrealized Gains 126,508.21 Interest 21,762.54 Dividends 7,194.62 Change in Accrued Interest -2,474.05 Portfolio Fees -4,681.60 Portfolio Value on 03-31-07 3,745,516.83 Accrued Interest 10,405.32 Total Fees -4,681.60 Total Gain after Fees 144,616.44 IRR for 0.25 Years 4.04% Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund Rockwood Capital Advisors For the Period Ending March 31, 2007 Presented by: Bogdahn Consulting, LLC ' r Village of Tequesta Public Safety Officers Pension Trust Fund i ~ Executive Summary Report Explanation The Executive Summary provides an overview of the fund's performance. It shows the performance in dollars, percent, and relative to the investment 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 03/31 /2007 2007 04/30/2005 Qtr YTD Incept $egiririiiig:v~lup 3,5~ 3;5q~0 ;2,44' filet Mows 71 7:1: 7.1:5: 3rtvestrri:erit CyfL '145 >: '145 ~9 ~r~dtng 1/~lue 8,_756 3,756 ~ 3,7$ Investment Policy Index Weight ri ranmg rceturns mrougn marcn si, zuvi Calendar Year Returns 03/31 /2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 ~t~~d 4 :04 4.04 8 ~~: Pohcy 1.E34 1.04 11 A0 #~iff 3:{30 3.00 =x.37 Returns in Up Markets Returns in Down Markets 1 Yr 04/30/2005 Incept 04/30/2005 1 Yr Incept ~tt~1d .: 11...3 13.0 RQliey 10.4 11.5 Ratto X08:6 - 113:2: 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 f=und ~b 9 =0:9: Rolicy ~0 8 -Q:8 Ratio 122:'1. 122:1.. 2 Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation as of March 31, 2007 Equity 58% At Cost Equity 53% Fixed Income 35% Fixed Income 39% 3 At Market Cash &Equiv 7% Cash &Equiv 8% 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 ~ Page 5 is temporarily blank due to a late ~ release of this universe from our vendors. It ' will be sent at a later date. 5 Village of Tequesta Public Safety Officers' Fixed Income Executive Summary Account Reconciliation 03/31 /2007 2007 04/30/2005 Qtr YTD Incept ....................... ....................... 8e~iiaritrig:Vi~lue ................... ................... 1;318 ........... ........... 1y318 ............... ................ 9~0: f~let~Flows =26 -26 2~3: 3r~restm:eiit.Qf.L::.. . 20 2fl ,79: ~rtd'tng Value x,312 1,312: 1 372 i i ann iy r~c~ur i i~ ti n uuy~ i iviai ci i i i, cvv i Calendar Year Returns 03/31 /2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 .... . ~~t~d : : _. ~ :52 1.52 . .: 3 60. Policy 1.59 ?1:.l59. 4 0:7 Diff -0~{3~ =(3.07 0.4.7: Returns in Up Markets Returns in Down Markets 04/30/2005 04/30/2005 1 Yr Incept 1 Yr Incept 6 Village of Tequesta Public Safety Officers' Equity Account Reconciliation Executive Summary 03/31 /2007 2007 04/30/2005 Qtr YTD Incept .......................... ~e~ii}rikng Value ................ ~sE31~ ............... 2,01:3: ........... 1,393:. f~slet:Flgw§ :.': 41 4.1_: 2~5:: ..... 3rtvestrri:ent. GtL ~. 122. . .. . : .:.:122 .. . 508 ~narn~v~iu~ ~~~s z~~s ~;~7 r-- °1'-- 04/30/2005 Incept ~ ranmg rceturns tnrougn iv~arcn s~i, ~uui 1 Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 Pk~nd... 8;02 6 02 12:8:7 Rotieji 0.64 4.64 15.80 Dill 5:38 5:38 2.93: Returns in Up Markets 1 Yr ~t~fid 15.3 20.2 Policy ~ 3.5 ,.. 10 6 Ratio 1:21 1 121.4.: 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. Investment ro Index Weight ~ Returns in Down Markets 1 Yr 04/30/2005 Incept l=urid X1:8 -1.6 Policy .. ~1 4 1,4 Ratio ...'11:2,5 1:12:5 7 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Core I ralling KeturnS thrOUgrt March ~1, 1UU7 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ''~, ::Mind Return 11.76 16.30 14.41 -tile 1 1 16 .. . . .: ..:.:..:....:..:.. . . ,. ,. . ~Qtiey:: Return 7.38 13.46 11.83 -tile 47 32 37 Unlvers~ 5th %-tile 10.30 15.83 16.57 16.05 13.95 20.44 10.13 9.00 8.67 8.02 25th %-tile 8.50 14.08 12.70 12.85 11.54 17.51 7.81 6.92 4.52 5.69 50th %-tile 7.32 13.20 11.49 11.64 9.94 15.74 6.16 5.09 0.80 2.94 75th %-tile 6.94 11.71 8.97 10.75 8.96 14.39 5.14 4.25 0.23 2.20 95th %-tile 4.80 7.92 2.63 7.47 5.56 10.72 1.59 1.43 -5.30 -0.99 Calendar Year Returns l Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 ~~i~,d Return 6.02 6.02 12.87 -tile 1 1 74 .. . Pbficy Return 0.64 0.64 15.80 -tile 56 56 34 tJriiv~;rse _ 5th %-tile 2.85 2.85 21.03 11.35 15.79 35.07 -14.92 0.68 15.49 38.53 25th %-tile 1.37 1.37 16.81 7.45 11.97 29.63 -20.08 -8.76 0.28 23.55 50th %-tile 0.69 0.69 15.40 5.38 10.46 27.91 -22.27 -12.05 -6.69 20.37 75th %-tile 0.40 0.40 12.43 4.27 8.33 25.20 -23.67 -13.64 -9.58 15.90 95th %-tile -1.21 -1.21 4.95 1.07 5.06 20.90 -26.71 -19.24 -14.72 6.66 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to March 31, 2007 8 Village of Tequesta Public Safety Officers' Pension Trust Fund Universe Comparisons 60°/t, Broad Large Cap Core & 40% PSNIGIFI Trailing Returns through March 31, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Fund Return 7.65 11.32 10.28 -tile 3 20 24 Policy Return 5.49 10.42 9.57 -tile 53 47 42 Universe 5th %-tile 7.33 12.18 12.62 11.66 9.87 13.97 8.32 7.57 7.83 7.19 25th %-tile 6.16 11.00 10.23 9.46 8.23 12.09 6.84 6.24 4.89 5.42 50th %-tile 5.53 10.28 9.32 8.81 7.38 11.11 5.88 5.25 3.10 4.11 75th %-tile 5.17 9.50 8.02 8.25 6.74 10.27 5.15 4.59 2.41 3.42 95th %-tile 3.98 7.27 4.17 6.28 4.78 8.10 3.16 3.01 -0.66 1.57 Calendar Year Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 Fund Return 4.04 4.04 8.63 -tile 1 1 82 Policy Return 1.04 1.04 11.00 -tile 52 52 47 Universe 5th %-tile 2.35 2.35 14.53 7.74 11.01 23.06 -5.76 3.78 13.60 24.20 25th %-tile 1.44 1.44 11.82 5.20 8.69 19.92 -8.95 -2.42 3.70 14.21 50th %-tile 1.05 1.05 10.93 4.05 7.58 18.30 -10.20 -4.07 -0.41 12.00 75th %-tile 0.83 0.83 9.41 3.33 6.44 16.90 -11.73 -5.16 -2.34 9.56 95th %-tile -0.10 -0.10 4.89 1.48 4.23 14.22 -13.74 -8.61 -5.25 3.80 'eturns are in percent. "%-tile" is the percentile ranking within the universe. r2eturns for periods exceeding one year are annualized. Incept is April 30, 2005 to March 31, 2007 Rockwood assumed account on April 4th 2005 5 r Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through March 31, 2007 1 Year 0 13.00 /o 12.00% ~ ~ S&P 500 11.00% 10.00% Fund R e 9.00% t ~ u 8.00% i r n 7.00% s ~ 6.00% LB ov/Corp 5.00% ~ 3 Mo TBill i 4.00% ~ 1.00% 3.00% 5.00% 7.00% 0.00% 2.00% 4.00% 6.00% 8.00% Risk (Annualized Std Dev) 20.00% 15.00% R e t 10.00% u r n s 5.00% 0 00°/ Incept S&P 500 Fund 3 Mo TBill ~E L Gov/Corp ° 1.00% 3.00% 5.00% 7.00% 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' Equity Executive Summary Account Reconciliation 03/31 /2007 2007 04/30/2005 Qtr YTD Incept 8~e~iriritr~g value ~,a13 2s4t1~ 1,393: Met ~Iows 4.4 4.1: 2'5 lrtmrestmerit GfL 122 122: 5D8: I*rtdi~gV~lue 2,1 ~6 2;17G. 2,175 Investment Policy T._. •1•__ __ r'1 _ i ramng rceturns inrougn iviarcn si , wv i Calendar Year Returns 03/31 /2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 ~~~~ s :a2 6.02 1 ~ 87 ' Poticy 1.28 1.28 't 5.72 #~iff 4:74 4.74 x.85 Returns in Up Markets 04/30/2005 1 Yr Incept ~t~sid .. :15.3. 2t~:2. PQticy 13.5 ~ Ratio 1:20 6.: 109 ~:: 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 Incept fidrid . ;1 ~ -1.6 1 Pol'iey X2,0 -2,p . Ratio $1.8. 81::8_ 9 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Core a~~~~.y RC~u~ ~ ~~ a ~~ ~uy~ ~ ~„~a~,,~ ~ ~ ~ , ~.,,., 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Rind Return 11.76 16.30 14.41 -tile 1 1 16 PotiGy ... Return 8.49 13.52 11.28 -tile 26 30 56 Uriaierse 5th %-tile 10.30 15.83 16.57 16.05 13.95 20.44 10.13 9.00 8.67 8.02 25th %-tile 8.50 14.08 12.70 12.85 11.54 17.51 7.81 6.92 4.52 5.69 50th %-tile 7.32 13.20 11.49 11.64 9.94 15.74 6.16 5.09 0.80 2.94 75th %-tile 6.94 11.71 8.97 10.75 8.96 14.39 5.14 4.25 0.23 2.20 95th %-tile 4.80 7.92 2.63 7.47 5.56 10.72 1.59 1.43 -5.30 -0.99 Calendar Year Returns Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 Return 6.02 6.02 12.87 -tile 1 1 74 PtiEi t;Y .: Return 1.28 1.28 15.72 -tile 31 31 36 Universe.. >: 5th %-tile 2.85 2.85 21.03 11.35 15.79 35.07 -14.92 0.68 15.49 38.53 25th %-tile 1.37 1.37 16.81 7.45 11.97 29.63 -20.08 -8.76 0.28 23.55 50th %-tile 0.69 0.69 15.40 5.38 10.46 27.91 -22.27 -12.05 -6.69 20.37 75th %-tile 0.40 0.40 12.43 4.27 8.33 25.20 -23.67 -13.64 -9.58 15.90 95th %-tile -1.21 -1.21 4.95 1.07 5.06 20.90 -26.71 -19.24 -14.72 6.66 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is April 30, 2005 to March 31, 2007 10 Village of Tequesta Public Safety Officers' Pension Trust Fund Up Market Returns 20.00% - - 15.00% ---- --- ---------- ----- 10.00% ~ ~- ----------- ~ - 5.00% 0.00% Fund (%) Policy (%) Difference (%) Ratio # Up Qtrs 1 Yr 11.32 10.42 0.90 108.64 3.00 Down Market Returns 0.00% r -0.50% ~-I ~--------------- Incept 13.02 11.50 1.52 113.22 6.67 -1.00% - 1 Yr -~,i Incept _ Fund (%) _ -0.94 -0.94 Policy (%) -0.77 -0.77 ', Difference (%) -0.17 -0.17 Ratio 122.08 122.08 # Down Qtrs 1.00 1.00 ^ Fund (%) ~ Policy (%) Rockwood assumed account on April 4th 2005 11 i~ i~ 1 1 ~~ N` ~~ ~~ V a I u e $: $' $' Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison Inception date is April 30, 2005 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 12 HV~ JV.7 JV.7 VV.7 IVIVO JVO JVO VVD IVIV/ Quarter Ending ^ Fund `~ Policy -~- Nominal 8% ^ CPI + 3% Village of Tequesta Public Safety Officers' Pension Trust Fund Attributions of Returns Report Explanation Performance attribution concentrates on evaluating the effect of the manager's decisions on asset allocation and security selection. This allows the investor to see whether the manager is adding value by adjusting the actual asset allocation or by picking individual securities. This information is valuable in helping determine the amount of freedom that might be given to the manager in regard to asset allocation ranges. The result of these skills are shown for multiple time periods. The top section shows the returns for both the account and the investment policy and the results of the manager's contribution. The fund's return is thus attributed to the policy and the manager. The bottom section divides the manager's contribution into two components: asset allocation and security selection. The asset allocation effect measures the value that was added by varying the actual asset allocation from the target allocation. This is done by assuming investments, in amounts equal to the actual asset allocation weights, were made in the policy's indices so that security selection has no effect. The difference between this return and the policy's return is the asset allocation effect. The security selection is the remainder of the manager's contribution that is not explained by asset allocation. 13 Village of Tequesta Public Safety Officers' Pension Trust Fund Attribution of Returns Attribution of Performance to show Manager Contribution Policy :: M:a>lager:Cori~ritiution:: Fund Current Quarter 1.04 3:00 : 4.04 Year to Date 1.04 :::: .... ... .... ... .... ... .... ... :: ::::::: 3:00 : ............................... ............................... ............................... ............................... ............................... ............................... ............................... .......... ............. ...... 4.04 1 Year 9.57 .... :: .... ... .... ... .... ... .... ... ............................... : ::::::::::: :: ::~: i''I:: ............................. ............................... ............................... ............................... ............................... ............................... ............................... ............................... 10.28 Incept 9.49 1::20 10.69 Policy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation Security Selection MaFiager:Cortrikiitior:. Current Quarter -0.50 3.50 ::: .... ... .... ... .... .. .: ,.:... :3:00:: ............................... ............................... ............................... ............................... ............................... Year to Date -0.50 3.50 3;Ot 1 Year -4.48 5.19 :::: ... .... ... .... ... .... ... .... ... : :::::::::::::::::: U:~'I:: ....................... ............................... ............................... ......................... ..... ............................... ............................... ............................... ............................... ............................... Incept -4.27 5.47 1 2b Asset Allocation + Security Selection =Manager Contribution Rockwood assumed account on April 4th 2005 14 1 ~ Village of Tequesta Public Safety Officers Pension Trust Fund 1 Asset Allocation Effect 15.00% P e 1 10.00% r c ' e n t 5.00% ~1 E f f e 0.00% 1 c t 1 5 00°/ ' ° J05 S05 D05 M06 J06 S06 D06 M07 1 Quarter Ending Security Selection Effect 1 15.00% 1 P --------------------------------------------------------------------------------------------------------- e 10.00% - -- - ----- r c e n ' t 5.00% - - - ------ - ---- - _ -_ -.. _ _ - E f 1 f _-- e 0.00% c ' t 1 -5.00% J05 S05 D05 M06 J06 S06 D06 M07 Quarter Ending ~ Quarterly Effect --Cumulative Effect 1 Rockwood assumed account on April 4th 2005 1 15 Village i of Tequesta Public Safety Officers Pension Trust Fund Asset Allocation vs Targets ' 70.00% ' 60.00% - - - -- - -- ----- ---- - - ------ - ----- ----- - ---- ------------- --- ------- - ------- 50.00% -- - --- - - - --- - ----- - ------ - ------ ---- - - -- - ----- --------- ---------- -------- --------- 40.00% ------------------- 30.00°/ - - ---------- ------ - ------ -- ------ ------- -- --------- --------- -- -- --------------- ----- --------- -------------- --------- - --- ' 20.00% -- -- - --- -- - - - - - --------- - ----------- ----- - ----- ---- --------- -------- ------------- ----------- -- ----------- o ----------------- --- - --------------------------------------------------------- ------------------------------------------ 1 0.00% J 5 S 5 D 5 M0 6 J 6 S 6 D06 07 Quarter Ending (~ Cash & Equiv -~ Target ' 70.00% ° ° ~ ~ 50.00 /° I 40.00% - -- -- -- -- -- ---- - ----------- --------------- -- - -------- -- -------- 30.00% - a - - -- 20.00% ~ - -- -- -- -- -- --- --- - - --- -------- - ---------- -- - - ------- - ----------- 10.00% - -- -- - - -- -- - --- - - - - -- ---- - - - ----- - - ----- ------- -- 0.00% J05 S05 D05 M06 J06 S06 D06 M07 Quarter Ending ® Equity -~ Target ' 70.00% ' 60.00% --- -- - --- - - 50.00% - - - - - - ---- - - - ----- - - ---- - - ----- - -- --- -- - - -- - - - -- - - -- - - -- - -- -_- - - .. ' 40.00% -- 30.00% - -- -----;~-------~- - -------------- -- -- ----- - ------ -- -- - - - - ---- --------- ----- ---- - -- ------------- -- - _- - - --- ----- - - - ----- - -- ---- -- - ' 20.00% - - - 10.00°/ -- -- -- - - ---- --- - ---- - -- - -- - - - - - - 0.00% J05 S05 D05 M 06 J06 SO6 D06 M07 Quarter Ending ^ Fixed Income ~- Target 1 Rockwood assumed account on April 4th 2005 ' 16 Village of Tequesta Public Safety Officers Pension Trust Fund ' Manager Contribution 0 5.00 /o ' 4.00% ' 3.00% R 2.00% e t 1.00% u n 0.00% 1 -1.00% t -2.00% -3.00% ----------------------------------------------------------------------------------------------- ' Jub SUb UUb MU6 JU6 506 D06 M07 Quarter Ending ' ~ Quarterly Cumulative Growth of $100 Fund vs Policy ' 9 v g ' a I u $ e 1 $ ~ $ Rockwood assumed account on April 4th 2005 17 Huo Jua 5u5 Uub MUti JO(i 506 D06 M07 Quarter Ending ^ Fund ^ Policy i~ Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Period Ending Fund Policy Diff Nominal 8% Diff CPI + 3% Diff Apr 2005 2,444 2,444 0 2,444 0 2,444 0 Jun 2005 2,587 2,530 58 2,499 88 2,480 107 Sep 2005 2,864 2,768 97 2,737 128 2,743 122 Dec 2005 2,910 2,880 30 2,861 49 2,806 104 Mar 2006 3,027 2,992 35 2,961 66 2,916 111 Jun 2006 3,039 3,009 30 3,059 -21 3,026 13 Sep 2006 3,345 3,353 -8 3,319 26 3,247 98 Dec 2006 3,540 3,580 -40 3,463 78 3,334 207 Mar 2007 3,756 3,689 67 3,602 154 3,487 268 ' 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 Fund Policy Diff Nominal 8% Diff CPI + 3% Diff Ending 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 Incept. 10.69 9.49 1.20 8.00 2.69 5.95 4.74 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. 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 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 RatioITreynor Ratio: The Sharpe and Treynor ratios are similar. The Sharpe ratio is the excess return per unit of total risk as measured by standard deviation. The Treynor ratio is the excess return per unit of market risk as measured by beta. Both of these should be compared against the corresponding value for the policy. Higher numbers are better, indicating more return for the level of risk that was experienced. 20 ' Village of Tequesta Public Safety Officers' Pension Trust Fund Risk Measures ~ Yr :Firi7i;i :` . I'dlic~. -- .... ... Dif#: # of Negative Qtrs 1.00 1.00 0.00 # of Positive Qtrs 3.00 3.00 0.00 Batting Average 25.00 75.00 -50.00 Worst Qtr -0.94 -0.77 -0.17 Best Qtr 4.04 4.67 -0.63 Range 4.98 5.44 -0.46 Worst 4 Qtrs 10.28 9.57 0.71 Standard Deviation 4.07 3.85 0.22 Beta 0.79 1.00 -0.21 Annualized Alpha 1.58 0.00 1.58 R-Squared 0.56 1.00 -0.44 Sharpe Ratio 1,30 1.19 0.11 Treynor Ratio 6.70 4.58 2.12 Tracking Error 2.79 0.00 2,79 Information Ratio 0.25 ' Rockwood assumed account on April 4th 2005 frce~> :. :...:...::::::.:. :.::.:~ur~d: .: Policy: :::..... Diff # of Negative Qtrs 2.00 1.00 1.00 # of Positive Qtrs 5.67 6.67 -1,00 Batting Average 47.85 52.15 -4.30 Worst Qtr -0.94 -0.77 -0.17 Best Qtr 4.87 4.67 0.20 Range 5.81 5.44 0.37 Worst 4 Qtrs 4.07 5.09 -1.02 Standard Deviation 5.52 3.81 1.71 Beta 1.19 1.00 0.19 Annualized Alpha 0.25 0.00 0.25 R-Squared 0.67 1.00 -0.33 Sharpe Ratio 1.16 1.36 -0.20 Treynor Ratio 5.38 5.20 0.18 Tracking Error 3.26 0.00 3.26 Information Ratio 0.37 21 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through March 31, 2007 2o.oo°i° 15.00% A n n u a I i z 10.00% e d R e t u r n 5.00% 0 00°/ I i I I I S&P 500 ~ Fund i I 3 Mo TBill LB GoW/Corp 8.oo°i° 1.oo°r° 2.oo°i° Rockwood assumed account on April 4th 2005 3.00% 4.00% 5.00% Risk (Annualized Std Dev) Policy 6.00% 7.00% 8.00% 22 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through March 31, 2007 1 Year 13.00% 12.00% ~ S&P 50 11.00% 10.00% Fund R --- e 9.00% t u 8.00% r n 7.00% s 6.00% ~ LB GovlCorp 5.00% 3 Mo TBill 4.00% 1.00% 3.00% 5.00% 7.00% 0.00% 2.00% 4.00% 6.00% 8.00% Risk (Annualized Std Dev) 20.00% 15.00% R e t 10,00% u r n s 5.00% 0.00% Incept S&P 50 ~ Fund 3 Mo TBill ~ LF.~ Gov/Corp I 1.00% 3.00% 5.00% 7.00% 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: 04/30/2005-03/31 /2007 60.0o s&P soo 40.00 Lehman Gov/Credit-Intermediate First Objective: Second Objective: 04/30/2005-03/31 /2007 04/3 0/2005 -03 /31 /2007 Annual Return of 8.00% 100.00 US Consumer Price Index + 3.00 annual adder Universe Data: 60% Broad Large Cap Core & 40% PSIVIGIFI 04/30/2005-03/31/2007 40.00 High Quality Bond 60.00 Broad Large Cap Core 24 Bogtiahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors From 01-01-07 To 03-3I-07 Tran Trade Settle Code Date Date Security Amount Quantity CONTRIBUTIONS li 01-02-07 01-02-07 Cash 7,157.08 ER li 01-02-07 01-02-07 Cash 3,982.89 EE li 01-17-07 01-17-07 Cash 9,65L45 ER li OI-17-07 01-17-07 Cash 5,357.98 EE li 01-30-07 01-30-07 Cash 7,819.93 ER li 01-30-07 01-30-07 Cash 4,330.68 EE li 02-12-07 02-12-07 Cash 7,336.20 ER li 02-12-07 02-12-07 Cash 4,045.42 EE li 02-27-07 02-27-07 Cash 7,170.01 ER li 02-27-07 02-27-07 Cash 3,964.91 EE li 03-09-07 03-09-07 Cash 7,842.76 ER li 03-09-07 03-09-07 Cash 4,316.58 EE G 03-22-07 03-22-07 Cash 7,754.26 ER G 03-22-07 03-22-07 Cash 4,236.20 EE 84,966.35 WITHDRAWALS to O1-08-07 01-08-07 Cash 767.75 Salem Trust Fees to 01-19-07 01-19-07 Cash 1,455.44 Lump sum benefit payment M. Lally to O1-19-07 01-19-07 Cash 363.86 Federal w/h on lump sum benefit payment to 01-19-07 01-19-07 Cash 4,170.74 Lump sum benefit payment M. Momll l0 01-19-07 01-19-07 Cash 1,042.69 Federl w/h on lump sum benett payment l0 02-07-07 02-07-07 Cash 2,000.00 Consultant Fee BC ] 0/Ol /06-12/31 /06 l0 02-(17-07 02-07-07 Cash 257.76 Professional Svc Fee Bus Svc Connection, Inc 11/06/06 l0 02-07-07 02-07-07 Cash 475.90 Attorneys Fee Hanson Perry Jensen 01/15/07 l0 02-07-07 02-07-07 Cash 328.50 Misc Fee reimbursemnet for Acordia ins crime policy Broker Code Commission Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Vllage of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors From Ol -01-07 To 03-31-07 Iran Trade Settle Codc Datc Date Security l0 03-14-07 03-14-07 Cash Misc Ex pd to Ireland related to asset RYAAY l0 03-21-07 03-21-07 Cash Actuary Fee Pd to Gabriel Roeder Smith & Co l0 03-21-07 03-21-07 Cash Attorneys fee Hanson Perry & Jensen EXPENSE ACCOUNTS AFTER FEE PERFORMANCE EXPENSE ACCOUNTS dp 02-07-07 02-07-07 Administration Fee PORTFOLIO NET TOTAL EXPENSE ACCOUNTS PAID BY CLIENT AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT GRAND TOTAL Amount Quantity 42.25 1,937.00 1,200.69 0.00 4,681.60 4,681.60 66,242.17 0.00 0.00 66,242.17 2 Broker Code Commission Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL t Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors ' March 31, 2007 (Excluding Reinvested Divs.) Unit Total Market Pct. Quantity Security Cost Cost Price Value Gain/Loss Assets ' DOMESTIC EQUITIES Common Stock Large Cap 1,600.000 AT&T Inc. /formally 33.8() 54,083.36 39.43 63,088.00 9,004.64 1.7 t AT&T Corp 1,100.000 Anheuser-Busch Cos. 46.99 51,693.95 50.46 55,506.00 3,812.05 l.5 Inc. 570.000 BOEING CO COM 58.58 33,389.12 88.91 50,678.70 17,289.58 1.3 ' 1,942.000 Cisco Sys, Inc COM 28.51 55,360.79 25.53 49,579.26 -5,781.53 1.3 800.000 Colgate Palmolive 64.86 51,886.96 66.79 53,432.00 1,545.04 1.4 1,400.000 ECHOSTAR 36.37 50,921.22 43.43 60,802.00 9,880.78 1.6 COMMNTNS NEW CL A ' 1,300.000 Federated Dept. Stores 41.34 53,737.71 45.05 58,565.00 4,827.29 1.6 1,585.000 General Motors 33.60 53,250.93 30.64 48,564.40 -4,686.53 1.3 Corp.Com 1,060.000 Heinz H J Company 42.21 44,741.75 47.12 49,947.20 5,205.45 1.3 t 1,385.000 Hewlett Packard Co 32.33 44,770.40 40.14 55,593.90 10,823.50 1.5 1,100.000 J.P. Morgan & Co. 46.98 51,672.83 48.38 53,218.00 1,545.17 1.4 1,350.000 Kraft Foods 32.61 44,020.40 31.66 42,741.00 -1,279.40 1.1 610.000 Lockheed Martin Corp. 59.24 36,136.40 97.02 59,182.20 23,045.80 l.b ' 1,530.000 Loews Corp. 23.82 36,448.68 45.43 69,507.90 33,059.22 1.9 1,050.000 PG & E Corp. 34.97 36,721.55 48.27 50,683.50 13,961.95 1.3 900.000 Praxair Inc. 62.52 56,267.73 62.96 56,664.00 396.27 1.5 1,720.000 Safeway Ina COM 22.29 38,341.72 36.64 63,020.80 24,679.08 1.7 1,626.000 Tyco International Ltd 31.91 51,885.]7 31.55 5],300.30 -584.87 l.4 COM 845,330.67 992,074.16 146,743.49 26.4 ' Mid Cap 1,300.000 Alliant Energy Corp 38.94 50,616.67 44.82 58,266.00 7,649.33 1.6 970.000 Apartment Inventory & 38.98 37,805.94 57.69 55,959.30 18,153.36 1.5 Management Co - Reit 795.000 BRE Properties 57.15 45,433.53 63.15 50,204.25 4,770.72 1.3 ' 960.000 FISERV INC COM 43.76 42,009.98 53.06 50,937.60 8,927.62 1.4 985.000 Henry Schein ]nc. 45.52 44,840.94 SS.1R 54,352.30 9,511.36 1.4 1,300.000 INTERNATIONAL 42.28 54,961.14 40.38 52,494.00 -2,467.14 1.4 GAME TEC COM ' 1,250.000 McCormick &Co Inc 35.29 44,115.50 38.52 48,150.00 4,034.50 1.3 680.000 NYSE Group Inc. 66.09 44,941.61 93.75 63,750.00 18,808.39 l .7 1.,400.000 P P & L RES INC COM 33.44 46,812.64 40.90 57,260.00 10,447.36 I.5 1,150.000 Price T Rowe Assoc Inc 33.76 38,819.0(1 47.]9 54,268.50 15,449.50 1.4 Corn 300.000 Sears Holdings Corp 151.84 45,552.30 180.16 54,048.00 8,495.70 1.4 590.000 Simon PPTY Group Inc. 62.30 36,757.00 1 l 1.25 65,637.50 28,880.50 1.7 670.000 Stericycle Inc 63.44 42,506.07 81.50 54,605.00 12,098.93 1.5 ' 1,600.000 Wendys Intl, Inc COM 34.02 54,436.32 31.30 50,080.00 -4,356.32 1.3 629,608.64 770,012.45 140,403.8] 20.5 Small Cap 760.000 Precision CastparLs 37.69 28,643.75 104.05 79,078.00 50,434.25 2.1 Corp. Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors March 31, 2007 (Excluding Reinvested Divs.) Quantity Security 1,470.000 VCA Antech Inc INTERNATIONAL EQUITIES Foreign Stock Foreign 1,150.000 Bayer AG SA ADR 5,200.000 KONINKLLTKE AHOLD NV ADR 1,690.000 Ryanair Holdings PLC-SP ADR R50.000 Volvo Aktiebolaget ADR CL B Unit Total Market Pct. Cost Cost Price Value Gain/Loss Assets 28.86 42,428.61 36.31 53,375.70 iQ947.09 1.4 71,072.36 132,453.70 61,381.34 3.5 1,546,011.67 1,894,540.31 348,528.64 50.4 1,546,011.67 1,894,540.31 348,528.64 50.4 52.86 60,784.52 63.97 10.34 53,749.80 11.74 27.61 46,663.60 44.79 43.66 37,111.00 84.07 73,565.50 12,780.98 2.0 61,048.00 7,298.20 l.6 75,695.10 29,031.50 2.0 71,459.50 34,348.50 1.9 281,768.10 83,459.18 7.5 281,768.10 83,459.18 _ _ 7.5 281,768.10 83,459.18 7.5 198,308.92 198,308.92 FIXED INCOME Corporate Bonds 10,000 Proctor & Gamble Co. 4.950% Due 08-15-14 10,000 SBC Communications Inc. 5.100% Due 09-15-14 15,000 Midamerican Energy Co 4.650%Due 10-O1-14 11,000 Cisco Systems 5.500% Due 02-22-16 15,000 Lehman Bros Holdings Inc Series MTN 5.500% Due 04-04-16 30,000 LB-UBS Commercial Mortgage Trust 5.398% Due 02-15-40 Accrued Interest CMO 30,000 LBUBS4509 : LB-UBS Comm Mtge Tr 2004-CB 4.510% Due 12-15-29 Accrued Interest 97.92 9,792.00 98.30 9,830.36 38.36 0.3 96.21 9,62].10 97.70 9,769.85 148.75 0.3 93.82 14,072.85 95.73 14,358.78 285.93 0.4 100.14 11,015.07 100.69 11,076.10 61.03 0.3 99.53 14,930.10 99.44 14,915.34 -14.76 0.4 100.50 30,149.01 100.60 30,180.87 31.86 0.8 89,580.]3 90,131.30 551.17 2.4 1,112.76 0.0 89,580.13 91,244.05 551.17 2.4 97.96 29,388.28 97.52 29,256.00 -132.28 0.8 29,388.28 60.13 0.0 29,316.13 -132.28 0.8 2 Quantity Security Government Bonds 50,000 FNMA Preassign 4.250% Due 09-28-07 60,000 FNMA 5.000% Due O 1-23-09 25,000 FHLB 5.250% Due 02-13-09 20,000 FEDERAL HOME LN MTG CORP 5.750% Due 03-15-09 50,000 FHLB 4.100% Due 03-30-09 70,000 US Treasury Note 6.000% Due 08-15-09 80,000 US Treasury Note 3.625% Due 06-15-10 105,000 FEDERAL NATL MTG ASSN 5.500% Due 03-15-] I 30,000 U.S. Treasury Note 4.875% Due OS-31-1 1 70,000 US Treasury Note 4.875% Due 07-31-11 50,000 Federal Home Loan Bank Bond 4.700% Due 10-04-11 50,000 US Treasury Note 4.000%Due I1-15-12 20,000 US Treasury Note 5.125% Due OS-15-16 115,000 U S Treasury Note 4.625%Due 11-IS-16 Accrued Intermit FNMA 24,886 FNMA Pool #725773 5.500% Due 09-01-34 38,452 FNMA Pool #735503 6.000% Due 04-01-35 63,934 FNMA Pool #835760 4.500% Due 09-01-35 81,536 FNMA Pool #735897 5.500% Due ] 0-01-3 5 Accrued Interest Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors March 31, 2007 (Excluding Reinvested Divs.) Unit Total Market Pct. Cost Cost Price Value Gain/Loss Assets 99.38 49,687.50 99.47 49,734.38 46.88 1.3 99.38 59,628.60 100.16 60,093.75 465.15 1.6 99.20 24,799.78 100.63 25,156.25 356.47 0.7 104.33 20,866.06 101.59 20,318.75 -547.31 0.5 100.00 50,000.00 98.53 49,265.63 -734.38 1.3 108.31 75,818.75 103.12 72,184.77 -3,633.98 1.9 95.30 76,237.50 97.31 77,846.88 1,609.38 2.1 105.68 110,958.75 102.28 107,395.31 -3,563.44 2.9 100.55 30,165.23 101.24 30,372.66 207.43 O.R 100.20 70,142.19 101.29 70,902.37 760.19 1.9 100.00 50,000.00 98.41 49,203.13 -796.88 1.3 94.61 47,306.64 97.38 48,687.50 1,380.86 1.3 102.50 20,500.00 103.39 20,678.90 178.90 0.6 99.65 l 14,597.66 99.77 1 ]4,663.05 65.40 3.1 800,708.65 796,503.31 -4,205.34 21.2 7,840.69 0.2 800,708.65 804,344.00 -4,205.34 21.4 99.51 24,764.84 99.12 24,668.01 -96.84 0.7 102.24 39,314.60 101.19 38,911.59 -403.00 I.0 94.19 60,217.48 94.02 60,112.73 -104.75 L6 99.39 81,039.36 99.06 80,766.62 -272.74 2.2 205,336.28 204,458.96 -877.32 5.4 919.78 0.0 205,336.28 205,378.74 -877.32 5.5 3 Quantity Security GNMA 30,128 GNSF Pool #599190 6.000% Due 03-I 5-35 79,607 GNSF Pool #640896 7.000% Due 04-15-35 71,971 GNSF Pool #641273 4.500% Due 04-15-35 Accrued Interest CASH & EQUIV. Money Markets 267,324 Goldman Sachs Fin.Sq.Treasury Oblib. Admin TOTAL PORTFOLIO Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors March 31, 2007 (Excluding Reinvested Divs.) Unit Total Cost Cost Price 103.87 31,295.73 107.47 85,553.01 97.81 70,396.72 187,245.47 1,312,258.80 1.00 267,323.62 267,323.62 267,323.62 3,323,903.01 Market Pct. Value Gain/Loss Assets 101.34 30,531.38 -764.35 0.8 104.08 82,857.33 -2,695.68 2.2 94.69 68,146.53 -2,250.19 1.8 181,535.24 -5,710.23 4.8 471.95 0.0 182,007.19 -5,710.23 4.8 1,312,290.12 -10,374.00 34.9 1.00 267,323.62 0.00 7.l 267,323.62 0.00 7.1 267,323.62 0.00 7.1 3,755,922.15 421,613.82 100.0 4