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Home My WebLink AboutPension General_Documentation_Tab 03_11/28/2005 Village of Tequesta General Employees ^ ^ Pension Trust Up Market Returns 10.00% 9.00% - - - ' 8.00% ^ 7.00% - 6.00% - --- - -- - - - ' 5.00% -- - - 4.00 - 3.00% 2.00% 1.00 - 0.00% 2 Yr 3 Yr 4 Yr Fund (%) 8.85 5.57 4.41 Policy (%) 8.11 5.30 4.34 Difference (% ) 0.74 0.27 0.07 ' Ratio 109.12 105.09 101.61 # Up Qtrs ~ 6.00 10.00 14.00 Down Market Returns o.oo°io -0.50% - -1.00% - ' -1.50% - - ' -2.00% _ _ _ __ 2 Yr _ 3 Yr 4 Yr Fund (%) -0.14 -0.14 -0.14 Policy (%) -1.64 -1.64 -1.64 Difference (%) 1.50 1.50 1.50 Ratio 8.54 8.54 8.54 # Down Qtrs 2.00 - 2.00 2.00 ^ Fund (%) ~ Policy (%^ Asset Allocation 100% MM until) 1/31/2004 10 Incept 4.45 4.46 -0.01 99.78 17.66 -0.14 -1.64 1.50 8.54 2.00 Performance Evaluation for Village of Tequesta General Employees' Pension Trust Rockwood Capital Advisors For the Period Ending September 30, 2005 Presented by: Bogdahn Consulting, LLC L~ ~ Village of Tequesta General Employees Pension Trust 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 General Employees ' Pension Trust Executive Summary Account Reconciliation Investment Policy 09/30/2005 2005 10/31 /2000 i Qtr YTD Incept Index Weight ___- _ .. Beginning Value 569 489 109 S&P 5Q0 60.00 ~ Net Flows 10 77 413 ~ Citigroup Treasury Bill- 3 Month 20.00 Investment G/t 16 29 72 ! Lehman Gov/Credit Bond 20.00 Ending Value 595 595 595 ~ Tatal 100.00. Trailing Returns through September 30, 2005 10/31 /2000 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept Fund 11.09 6.49 4..57 3.81 3.95 Policy 8.37 5.15 3.82 3.36 3.65 Diff 2.72 1.34 0.75 0.45 0.30 Calendar Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 Fund 2.89 5.26 7.56 0.67 - 1.34 3:66 ; Policy 2.14 2.49 7.62 1.07 1.70 4.09 pifF 0.75 2.77 -0.06 -0.40 -0.35 -0.43 Returns in Up Markets 2 Yr 3 Yr Fund T 8.8 5.6. Policy 8.1 5.3 Ratio 409.1 105.1 10/31 /2000 4 Yr Incept 4.4 4.4 4.3 4.5 101.6 99..8 Inception date is October 31, 2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. Asset Allocation 100% MM until) 1/31/2004 Returns in Down Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept Fund: -0.1 -0.1 -0.1 - -0.1 Policy -1.6 -1.6 -1.6 I -1.6 Ratio 8.5 8.5 8.5 8,5 2 Village of Tequesta General Employees' Pension Plan Asset Allocation Through September 30, 2005 Fixed Income 39% Equity 57% At Cost Fixed Income 41% Equity 55% 3 At Market Cash &Equiv 4% Cash &Equiv 4% Village of Tequesta General Employees' Pension Trust 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 11 r~ i~ Village of Tequesta General Employees' Pension Trust Universe Comparisons 60% Lg Cap Core, 20% Hg Quality Bd, 20% Cash Fund Return 5.68 5.26 11.09 6.49 4.57 3.81 -tile 10 9 _151. 13 13 13 Policy ~- Return 3.84 2.49 8.37 5.15 3.82 3.36 -tile 42 45 45 32 27 24 Universe _- 5th %-tile 6.60 5.92 12.85 7.50 5.1 tt I 4.34 4.48 4.66 4.62 4.75 25th %-tile 4.34 3.30 9.78 5.55 3.91 3.27 3.66 4.04 4.07 4.27 50th %-tile 3.63 2.31 8.19 4.72 3.40 2.93 3.34 3.73 3.80 3.97 75th %-tile 3.26 1.79 7.42 4.02 2.93 2.60 3.01 3.46 3.56 3.73 95th %-tile 1.99 0.25 5.25 2.27 1.68 1.69 2.35 2.97 3.05 3.33 Trailing Returns through September ~u,1uu5 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Calendar Year Returns _ ^_~Qtr L _ YTD ~ 2004 2003. 2002 2001 20001,_`_1999 ___ 1998 _1997 Fund __ Return 2.89 5.26 7.56 0.67 1.34 3.66~- -tile 22 9 29 52 50 55 ;Policy Return 2.14 2.49 7.62 1.07 1.70 4.09 -tile 60 45 28 3 5 _5~ Universe 5th %-tile 4.43 5.92 10.03 1.05 1.70 4.08 6.28 5.00 5.39 5.50 25th %-tile 2.77 3.30 7.76 0.89 1.53 3.87 6.06 4.79 5.18 5.29 50th %-tile 2.23 2.31 6.97 0.70 1.34 3.69 5.86 4.60 4.99 5.12 75th %-tile 1.94 1.79 5.83 0.48 1.15 3.51 5.62 4.34 4.77 4.89 95th %-tile 0.92 0.25 3.74 0.24 0.87 3.09 5.29 4.07 4.48 4.64 Returns are in percent. "%-tile" is the percentile ranking within the universe. Retums for periods exceeding one year are annualized. Incept is October 31, 2000 to September 30, 2005 Asset Allocation 100% MM untill 1/31/2004 5 Village of Tequesta General Employees' Fixed Income Executive Summary Account Reconciliation 09/30/2005 Qtr Beginning. Value 229 Net Flows 3 lnvestment G>L 0 Ending Value 232 Investment Pol 2005 01/31/2004 YTD Incept Index Weight 125 51 i Lehman Gov/credit Bond 100.00 104 177 ~ ~ 2 3~ i 232 232 Total 100.00 Trailing Keturns tnrougn 5eptemner su, ~uu~ 01 /31 /2004 ~ 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept --- ---- Fund-- 1.49 2.01 Poticy 2.56 3.01 Dill -1.07 -1.00 Calendar Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 Fund -0.19 0.80 Policy -0.97 1.74 Diff 0.78 -0.94 Returns in Up Markets Returns in Down Markets 01 /31 /2004 01 /31 /2004 1 Yr Incept 1 Yr Incept Fund 2.5 8.1 Fund -1.0 -4.4 Policy 4.3 1.0.3 ' Policy -1.6 -4.8 Ratio 59.3 78.6 . ;Ratio 61.6 91.8 Inception date is January 31, 2004 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 6 Village of Tequesta General Employees' Fixed Income Universe Comparisons High Quality Bond Trailing Returns through September 30, 2005 1 2 Qtrs~ 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Y~ ~5 Yr~ _ 6 Yr 7 Yr 8 Yr '~ Fund Return 1.63 0.80 1.49 -tile 71 91 80 Policy Return -tile Universe 5th %-tile 25th %-tile 50th %-tile 75th %-tile 95th %-tile 2.43 1.74 2.56 18 30 43 -- - - 2.85 I 2.77 I 4.35 5.28 W 7.57 ~ - 6.80 2.28 1.83 1.95 1.49 1.57 1.09 1.16 0.70 Calendar Year Returns 3.00 3.45 4.62 2.42 2.75 3.64 1.68 1.85 2.60 0.96 1.11 1.63 5.09 4.35 3.20 2.02 7.61 7.57 6.49 6.54 6.51 5.48 5.87 5.84 4.91 4.69 4.81 4.34 3.29 3.68 3.57 6.84 6.03 5.49 4.80 3.94 1 Qtr YTD 2004 20031 2002 2001 I 2000 _ 1999 1998 I 1997 fund Return -0.19 0.80 -tile 38 91 ~ Policy j Return -0.97 1.74 -tile 95 30 Universe 5th %-tile 0.74 2.77 6.19 11.51 25th %-tile 0.10 1.83 4.54 5.34 50th %-tile -0.42 1.49 3.69 4.04 75th %-tile -0.67 1.09 2.13 2.90 95th %-tile -0.97 0.70 0.98 1.63 Returns are in percent. "%-tile" is the percentile ranking within the universe Returns for periods exceeding one year are annualized. Incept is January 31, 2004 to September 30, 2005 10.87 9.85 9.37 8.40 7.98 7.81 5.51 7.00 1.50 4.93 12.37 4.61 10.90 1.75 9.56 -0.45 7.70 5.78 -1.46 -3.67 9.45 8.34 7.26 6.33 4.50 11.75 9.52 8.59 7.06 5.91 7 Village of Tequesta General Employees' Equity Executive Summary Account Reconciliation Investment Policy 09/30/2005 2005 01 /31 /2004 Qtr YTD Incept Index Weight Beginning Value 321 278 209 5&P 500 100.00 jl Net Flows 4 37 77 j ~ I I t t G/L 17 27 56 I nves men LEnding Value __~ _ 342 _ 342 342. ', Total _ _ _ _ ~ _ _ 100 Trailing Returns through September 3 0, 2005 01/31/2004 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept ~i Fund 18:74 _ _ 12.32 Policy 12.25 6.98 'DifE 6.49 5.34 Calendar Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 Fund 5.15 8.53 Policy 3.61 2.77 Dff 1,54 5.76 1998 1997 1996 Returns m Up Markets Returns in Down Markets 1 Yr Fund 18.9. Policy 14.7 Ratio 128.6 01 /31 /2004 01 /31 /2004 Incept 1 Yr Incept 20.9 ' I Fund -0:2 0.4 16.7 ;Policy -2:1 -4.1 125.0 J .Ratio _ 7.4 .- - --- -10.0 1 Inception date is January 31, 2004 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 8 Village of Tequesta General Employees' Equity Universe Comparisons Pure Large Cap Core Trailing Returns through September 30, 2005 2 Qtr 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr ~ 6 Yr 7 Yr 8 Yr ~ Fund Return 8.71 8.53 18.74 -tile 11 7 9 Policy Return 5.02 2.77 12.25 -tile 50 53 50 Universe. 5th %-tile 10.45 9.17 20.76 18.42 19.96 9.53 3.89 5.96 9.30 7.90 25th %-tile 6.45 5.01 15.27 14.24 17.22 7.04 0.08 2.98 5.73 5.20 50th %-tile 5.02 2.84 12.21 12.80 16.25 5.75 -1.60 0.96 4.25 4.57 75th %-tile 4.62 2.19 11.38 11.66 14.36 4.59 -2.48 0.18 3.61 3.41 95th %-tile 2.40 -0.60 7.55 7.62 11.34 2.30 -6.17 -2.28 1.53 1.08 Calendar Year Returns 1 Qtr L-- YTDl__20041 _ 2003. 2002.1 ...._2001 L 2000._....__ 19991- _1998 _-1997' --- _ ~~ Fund ~_ Return 5.15 8.53 -the--- - 20 7 - ~ --- Pol icy Return 3.61 2.77 -tile 51 53 Universe 5th %-tile 7.95 9.17 15.14 33.34 -15.55 -1.49 13.61 35.03 34.74 36.25 25th %-tile 4.61 5.01 11.51 28.99 -20.13 -9.35 -0.20 22.80 28.47 32.85 50th %-tile 3.61 2.84 10.39 27.83 -22.23 -12.08 -7.39 20.27 25.44 30.81 75th %-tile 3.26 2.19 8.38 24.97 -23.39 -13.51 -9.63 16.39 18.85 25.92 95th %-tile 1.68 -0.60 5.14 20.58 -26.60 -19.10 -14.67 6.13 13.04 17.69 Returns are in percent. "%-tile" is the percentile ranking within the universe. Retums for periods exceeding one year are annualized. Incept is January 31, 2004 to September 30, 2005 9 Village of Tequesta General Employees Pension Trust Objective Comparison ii v a I u e Inception date is October 31, 2000 All dollar values are shown in thousands. Asset Allocation 100% MM until) 1/31/2004 11 vuu uuu mui vu_i aui uu~ nnuz Buz suz uuz MU3 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending ^ Fund -~ Policy -e- Nominal 8% ^ CPI + 3% Village of Tequesta General Employees' Pension Trust 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. 12 Village of Tequesta General Employees' Pension Trust Attribution of Returns Attribution of Performance to show Manager Contribution Policy Manager Contribtation °» Fund Current Quarter 2.14 0.75:' 2.89 Year to Date 2.49 2.77 ;' 5.26 2 Years 5.15 1.34 6.49 3 Years 3.82 0.75' 4.57 4 Years 3.36 0.45 3.81 Incept 3.65 0.30 `` 3.95 Policy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation Security Selection Manager Contribution Current Quarter -0.97 1.72 0.75 Year to Date -1.34 4.11 2.77 2 Years -2.66 4.00 1.34> 3 Years -1.75 2.50 0.75 4 Years -1.32 1.77 0.45 Incept -1.08 1.38 0.30 Asset Allocation + Security Selection =Manager Contribution Asset Allocation 100% MM until) 1/31/2004 13 Village of Tequesta General Employees' Pension Trust Asset Allocation Effect 4.00% 3.00% P e 2.00% r c e 1.00% n t E 0.00% f f -1.00% e c t -2.00% -3.00% 1 ^_ -------- - - D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 JU3 5u3 uus nnu4 ~u4 au4 u~4 rvwa wa wa Quarter Ending Security Selection Effect 4.00% 3.00% P e 2.00% r c e 1.00% n t E 0.00% f f -1.00% e c t -2.00% - ------------------------ -------- -- -3.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 Sf Quarter Ending ~ Quarterly Effect Cumulative Effect Asset Allocation 100% MM until) 1/31/2004 14 Village of Tequesta General Employees' Pension Trust Asset Allocation vs Targets 1 1 125.00% ---- --- 100.00°/ ------- ------------------- ---------------- ---------- ---------------------- 75.00% ------------- ------------------------ - --------------------- 50.00% ----------------------------------- --------~~~ 0. M04 J04 S04 D04 M05 J05 S05 Quarter Ending ® Equity ~- Target 125 100 75 50 25 0 Asset Allocation 100% MM until) 1/31/2004 i2 J02 S62 Dl)2 Mb3 J63 S63 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending ^ Fixed Income ~- Target 15 UUV MU1 JV I JU I UV I mvc VVC ovc v~~ mv..~ wa .w.~ ..+.... ~.~..~ ....-. ....~ .-.. • •-•.... ..-- _.__ Quarter Ending Cash & Equiv ~- Target Village of Tequesta General Employees' Pension Trust Manager Contribution 2.oo°i° 1.50% 1.00% R e t 0.50% u r n 0.00% -0.50% -1.00% v $ a I u $ e )00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 S0: Quarter Ending ~ Quarterly Cumulative Growth of $100 Fund vs Policy Asset Allocation 100% MM untill 1/31/2004 16 VUV UUU MVI JVI JUI UUl MUL JVL JUL UUL MUJ JUJ JU3 UUS MU4 JU4 JU4 UV4 MUO JVO JUG Quarter Ending ^ Fund -~ Policy 1 Village of Tequesta General Employees Pension Trust '1 Quarterly Comparison Analysis ($) Fund Policy Diff Nominal 8% Diff CPI + 3% Diff End ng Oct 2000 109 109 0 109 0 109 0 Dec 2000 115 115 0 116 -0 115 1 Mar 2001 125 125 -0 126 -1 125 -0 Jun 2001 126 126 -0 128 -2 127 -1 Sep 2001 148 148 -0 152 -4 149 -1 Dec 2001 173 173 -1 179 -6 173 -0 Mar 2002 205 205 -1 214 -9 208 -4 Jun 2002 228 229 -1 242 -13 235 -6 Sep 2002 244 245 -1 261 -17 252 -9 Dec 2002 268 270 -1 290 -22 278 -10 Mar 2003 298 299 -2 325 -27 314 -16 Jun 2003 312 314 -2 345 -33 329 -17 Sep 2003 16 18 -2 50 -35 34 -18 Dec 2003 353 355 -2 390 -37 372 -19 Mar 2004 394 395 -0 431 -37 414 -20 Jun 2004 415 419 -4 462 -47 445 -30 Sep 2004 439 440 -1 493 -55 471 -32 Dec 2004 489 491 -2 528 -39 501 -12 Mar 2005 520 517 2 572 -52 546 -26 Jun 2005 569 561 8 617 -48 588 -19 Sep 2005 595 582 13 639 -44 615 -20 All dollar values are shown in thousands. Asset Allocation 100% MM until) 1/31/2004 17 Village of Tequesta General Employees' Pension Trust Quarterly Comparison Analysis (%) Fund Policy Diff Nominal 8% Diff CPI + 3% Diff End ng Mar 2001 1.16 1.40 -0.24 1.94 -0.78 1.95 -0.79 Jun 2001 1.09 1.07 0.02 1.94 -0.85 1.85 -0.76 Sep 2001 0.79 0.91 -0.12 1.94 -1.15 0.94 -0.15 Dec 2001 0.56 0.65 -0.09 1.94 -1.38 -0.16 0.72 Mar 2002 0.33 0.44 -0.11 1.94 -1.61 1.95 -1.62 Jun 2002 0.34 0.44 -0.10 1.94 -1.60 1.44 -1.10 Sep 2002 0.34 0.43 -0.09 1.94 -1.60 1.34 -1.00 Dec 2002 0.32 0.39 -0.07 1.94 -1.62 0.74 -0.42 Mar 2003 0.20 0.30 -0.10 1.94 -1.74 2.55 -2.35 Jun 2003 0.19 0.28 -0.09 1.94 -1.75 0.44 -0.25 Sep 2003 0.12 0.25 -0.13 1.94 -1.82 1.54 -1.42 Dec 2003 0.16 0.24 -0.08 1.94 -1.78 0.24 -0.08 Mar 2004 2.08 1.68 0.40 1.94 0.14 2.35 -0.27 Jun 2004 -0.41 0.44 -0.85 1.94 -2.35 1.95 -2.36 Sep 2004 0.26 -0.34 0.60 1.94 -1.68 0.84 -0.58 Dec 2004 5.54 5.74 -0.20 1.94 3.60 0.94 4.60 Mar 2005 -0.40 -1.30 0.90 1.94 -2.34 2.35 -2.75 Jun 2005 2.71 1.66 1.05 1.94 0.77 1.44 1.27 Sep 2005 2.89 2.14 0.75 1.94 0.95 2.96 -0.07 Incept. 3.95 3.65 0.30 8.00 -4.05 5.77 -1.82 I Returns for periods exceeding one year are annualized. Asset Allocation 100% MM until) 1/31/2004 18 Village of Tequesta General Employees Pension Trust 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 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. 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. Sharpe RatiolTreynor Ratio: The Sharpe and Treynor ratios are similar. The Sharpe ratio is the excess return per unit of total risk as measured by standard deviation. The Treynor ratio is the excess return per unit of market risk as measured by beta. Both of these should be compared against the corresponding value for the policy. Higher numbers ' are better, indicating more return for the level of risk that was experienced. 19 Village of Tequesta General Employees' Pension Trust Risk Measures _ 2 Yr ,__ Fund '. ~ Poiicy - Diff 3 Yr ;, Fund Policy # of Negative Qtrs 2.00 2.00 0.00 # of Negative Qtrs 2.00 2.00 # of Positive Qtrs 6.00 6.00 0.00 # of Positive Qtrs 10.00 10.00 Batting Average 62.50 37.50 25.00 Batting Average 41.67 58.33 Worst Qtr -0.41 -1.30 0.89 Worst Qtr -0.41 -1.30 Best Qtr 5.54 5.74 -0.20 Best Qtr 5.54 5.74 Range 5.95 7.04 -1.09 Range 5.95 7.04 Worst 4 Qtrs 2.08 2.02 0.06 Worst 4 Qtrs 0.67 1.07 Standard Deviation 5.13 4.17 0.96 Standard Deviation 4.23 3.43 Beta 1.06 1.00 0.06 Beta 1.07 1.00 Annualized Alpha 1.10 0.00 1.10 Annualized Alpha 0.59 0.00 R-Squared 0.75 1.00 -0.25 R-Squared 0.76 1.00 Sharpe Ratio 0.92 0.81 0.11 Sharpe Ratio 0.70 0.65 Treynor Ratio 4.45 3.38 1.07 Treynor Ratio 2.79 2.23 Tracking Error 2.54 0.00 2.54 Tracking Error 2.07 0.00 Information Ratio 0.53 Information Ratio 0.36 4 Yr Fund Policy ! Diff # of Negative Qtrs 2.00 2.00 0.00 # of Positive Qtrs 14.00 14.00 0.00 Batting Average 31.25 68.75 -37.50 Worst Qtr -0.41 -1.30 0.89 Best Qtr 5.54 5.74 -0.20 Range 5.95 7.04 -1.09 Worst 4 Qtrs 0.67 1.07 -0.40 Standard Deviation 3.67 2.97 0.70 Beta 1.08 1.00 0.08 Annualized Alpha 0.34 0.00 0.34 R-Squared 0.76 1.00 -0.24 Sharpe Ratio 0.58 0.57 0.01 Treynor Ratio 1.97 1.68 0.29 Tracking Error 1.80 0.00 1.80 Information Ratio 0.25 Asset Allocation 100% MM until) 1/31/2004 0.00 0.00 -16.66 0.89 -0.20 -1.09 -0.40 0.80 0.07 0.59 -0.24 0.05 0.56 2.07 -- - -- incept Fund - - Policy -Diff # of Negative Qtrs 2.00 2.00 0.00 # of Positive Qtrs 17.66 17.66 0.00 Batting Average 33.89 66.11 -32.22 Worst Qtr -0.41 -1.30 0.89 Best Qtr 5.54 5.74 -0.20 Range 5.95 7.04 -1.09 Worst 4 Qtrs 0.67 1.07 -0.40 Standard Deviation 3.31 2.68 0.63 Beta 1.08 1.00 0.08 Annualized Alpha 0.21 0.00 0.21 R-Squared 0.76 1.00 -0.24 Sharpe Ratio 0.50 0.51 -0.01 Treynor Ratio 1.55 1.37 0.18 Tracking Error 1.62 0.00 1.62 Information Ratio 0.19 20 Village of Tequesta General Employees' Pension Trust Return vs Risk through September 30, 2005 $.oo°i° ~.oo°i° 6.00% 5.00% A n n 4.00% u a I i z 3.00% e d R e 2.00% t u r n 1.00% 0.00% -1.00% 2 00°/ ~ LB Gov/Corp ~ Fund ~3 Mo TBIII ~ S&P 500 -1 (~.00% 5.00% 10.00% 15.00% Risk (Annualized Std Dev) Policy Asset Allocation 100% MM until! 1/31!2004 20.00% 25.00% 21 ' 20.00% r 15.00% R t 10.00% u r n s 5.00% 00°/ Village of Tequesta General Employees' Pension Trust Return vs Risk through September 30, 2005 2 Years 3 Years --- -- 25.00% ~ S&P Fund ~ LB Gov/Corp ~~~3 Mo TBill i i i 0. ° 1.00% 3.00% 5.00% 7.00% 9.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% Risk (Annualized Std Dev) 00% 7 . 6.50% 6 00% . 5.50% ' 5 00% R . t 4.50% u 4.00% r n 3.50% ' s 3.00% 2.50% 2 00% . 1.50°6 0 i 4 Years ~ S&P 500 ~ LB Gov/Corp ~ Fund ~0% Risk (Annualized Std Dev) Asset Allocation 100% MM until) 1/31/2004 20.00% R 15.00% e t u 10.00% n s 5.00% 0 00°/ ~- ~ S&P 500 ~E ~~ Gov/Corp 3 Mo TBi I ° 5.00% 15.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Inception 8.00% - 0 7.0 ° ~ LB Gov/Corp 6.00% 5.00% I R 4.00% ~ Fund e t 3.00% u 2.00% 3 Mo TBill r n 1.00% s 0.00% -1.00% -2.00% ~ ~ ~ S&P 5Q0 5.00% 15.00% 25.00% 10% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Policy 22 Village of Tequesta General Employees' Pension Trust Policy: 10/31/2000-12/31/2003 100.00 Citigroup Treasury Bill - 3 Month 01/01/2004-09/30/2005 60.00 S&P 500 20.00 Citigroup Treasury Bill - 3 Month 20.00 Lehman Gov/Credit Bond First Objective: 10/31/2000-09/30/2005 Annual Return of 8.00% Second Objective: 10/31/2000-09/30/2005 100.00 US Consumer Price Index + 3.00 annual adder Universe Data: 60% Lg Cap Core, 20% H g Quality Bd, 20% Cash 10/31/2000-12/31/2003 100.00 Government Money Market 01/01/2004-09/30/2005 20.00 High Quality Bond 60.00 Pure Large Cap Core 20.00 Government Money Market 23 Quantity Security DOMESTIC EQUITIES Limited Liability Companies 311.313 Rockwood Capital Strategic Equity Fund LLC FIXED INCOME Limited Liability Companies 228.349 Rockwood Capital Strategic Bond Fund LLC CASH & EQUIV. Cash Accounts Cash & Equiv. Cash Money Markets Cash & Equiv. 0 Evergreen Money Market TOTAL PORTFOLIO Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL Tequesta General Combined Account September 30, 2005 (Excluding Reinvested Divs.) Unit Total Cost Cost Price 1,003.01 312,250.38 1,097.48 312,250.38 1,001.43 228,674.93 1,013.81 228,674.93 21,595.82 21,595.82 1.00 0.01 1.00 562,521.14 Market Pct. Value Gain/Loss Assets 341,659.65 29,409.27 57.4 341,659.65 29,409.27 57.4 231,502.31 2,827.38 38.9 231,502.31 2,827.38 38.9 21,595.82 0.00 3.6 21,595.82 0.00 3.6 0.01 0.00 0.0 0.01 0.00 0.0 21,595.83 0.00 3.6 594,757.79 32,236.65 100.0 Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Tequesta General Combined Account From 07-01-OS To 09-30-OS Tran Trade Settle Code Date Date Security CONTRIBUTIONS li 07-28-05 07-28-OS Cash Receipts li 08-31-OS 08-31-OS Cash Contribution ti 09-01-05 09-O1-OS Cash Money in checking account li 09-02-05 09-02-OS Cash Rebate of shareholder service Fee ti 09-14-OS 09-14-OS Cash Funds received ti 09-26-05 09-26-05 Cash Transfer from Rockwood Capital ti 09-26-05 09-26-05 Cash Funds recieved li 09-29-05 09-29-OS Cash Broker Amount Quantity Code Commission 11,744.75 11,459.03 5,741.82 0.32 5,632.77 26,916.78 5,202.66 7.76 66,705.89 WITHDRAWALS l0 07-12-05 07-12-05 Cash 3,463.37 Lump sum distribution to C Lux l0 07-12-OS 07-12-05 Cash 865.84 Taxes on lump sum distribution to C Lux ]0 08-19-05 08-19-05 Cash 4,000.00 pmt to Gabriel, Roeder & Smith l0 09-07-OS 09-07-OS Cash 919.50 Check 1001 l0 09-08-05 09-08-OS Cash 229.87 Check 1002 l0 09-O8-OS 09-08-05 Cash 155.00 check 1004 l0 09-19-OS 09-19-05 Cash 620.00 Check 1003 l0 09-26-OS 09-26-05 Cash 10.00 Wire fee Rockwood Capital l0 09-26-OS 09-26-OS Cash 3.13 Withdrawal to 09-26-05 09-26-05 Cash 26,912.55 Transferred to Independent Community Bank (check writing) l0 09-28-05 09-28-OS Cash 9,116.31 Check 1005 l0 09-28-OS 09-28-OS Cash 519.20 Check 1006 l0 09-29-05 09-29-OS Cash 3,317.80 Check 1013 l0 09-29-OS 09-29-OS Cash 876.96 Check 1014 l0 09-29-05 09-29-OS Cash 219.24 Check 1015 l0 09-30-OS 09-30-05 Cash 5,918.56 Check 1011 1 Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Tequesta General Combined Account From 07-01-OS To 09-30-OS Tran Trade Settle Code Date Date Security Amount Quantity EXPENSE ACCOUNTS 0.00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS 0.00 PORTFOLIO NET TOTAL 9,558.56 EXPENSE ACCOUNTS PAID BY CLIENT AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT 0.00 GRAND TOTAL 9,558.56 Broker Code Commission 2