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Home My WebLink AboutDocumentation_Pension Public Safety_Tab 04B_02/18/2005BOGDAHN CONSULTING LLC. simplifying your investment decisions Village of Tequesta PUBLIC SAFETY OFFICERS PENSION PLAN December, 2004 www.bogdahnconsulting. com 62 Fourth Street Southwest • Winter Haven, Florida 33880 Telephone (863) 293-8289 • Facsimile (863) 298-6762 Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund NorthStar Capital Mgmt. For the Period Ending December 31, 2004 Presented by: Bogdahn Consulting, LLC ' ~ f fficers' V~Ilage of Tequesta Public Sa ety O ' Pension Trust Fund 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 Investment Policy 12/31 /2004 2004 10/31 /2000 Qtr YTD Incept Index Weight Beginning Value 2,407 2,086 1,579 S&P 500 55.00 Net Flows 42 266. 849 Lehman Gov/Credit Bond i _ 35.00 Investment G/L 151 248 172 Citigroup Treasury Bill - 3 Month 10.00 Ending Value 2,600 2,600 2,600 7otaf 100.00. i ianniy newni5 uirVUyri uecernuer 3 i, Lw4 1 Yr 2 Yr 3 Yr 4 Yr 10/31 /2000 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept Fund 10.89 10.81 3.10 1.37 - -0.89 Policy 7.61 12.27 4.78 2.78 1.97. Diff 3.28 -1-.46 -1..68.. -1.39 -1.08 Calendar Year Returns 12/31 /2004 2004 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995 Fund 6.19- 10.89 10.73 -10:75 -3.65 Policy 5.36 7.61 17.13 -8.74 -3.07 Diff 0.83 3.28 -6.40 -2.01 -0.58 Returns in Up Markets 2 Yr Fund 14.6 Policy 17.7 Ratio 82.3 3 Yr 4 Yr 84 11.0 16.1 16.9 16.9 Policy 52.0 64.9 64:9 LRatio 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. Returns in Down Markets 10/31 /2000 Incept 11.0 .Fund 10/31 /2000 2 Yr 3 Yr 4 Yr Incept 0.2 -6.7-' -12.8 -12.5 -1.3 -14.6 -17.1 -16.9 -11.7 45.7 74.9 74.1 2 Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation Through December 31, 2004 Equity 58% At Cost Equity 52% Fixed Income 34% Fixed Income 38% 3 At Market Cash &Equiv 8% Cash &Equiv 10% ~ 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. 'I' 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 ears and in the most recent ears. Watch out for a trend toward under erformance in recent eriods. Note the Y Y P P 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. 1~ Village of Tequesta Public Safety Officers' Pension Trust Fund Universe Comparisons 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash Calendar Year Returns 30.00% --- - - - _- --- - 25.00% 20.00% 15.00% 10.00% 0 0 5.00% 0.00% -5.00% -10.00% 1999 1998 1997 -i~.vvi° _ Qtr YTD 2003 2002 2001 2000 1999 1998 1997 Calendar Year Returns ii ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile 75-95th %tile Fund Policy Qtr YTD~ 2003 L _2002 2001 L 200 Fund Return 6.19 10.89 10.73 ~ -10.75 -3.65 -tile 11 1 100 ~~ 75 53 Policy Return 5.36 -tile 52 5th %-tile 25th %-til 50th %-til 75th %-til 95th %-til 7.61 17.13 -8.74 -3.07 31 38 ', 34 39 - 6.53 9.50 ~ 19.96 -5.88 1.24 - 9.3f e 5.81 7.88 17.96 ~ -8.23 -2.00 3.8~ e 5.37 6.87 16.66 -9.43 -3.55 -0.3 ~ e 5.02 5.58 15.03 -10.82 -4.83 -2.0~ e 4.28 4.07 12.75 -12.30 -7.55 -4.2i Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. F3 1996 1996 17.94 21.50 23.12 17.01 13.36 18.86 21.60 14.89 11.33 16.76 20.00 13.72 8.70 12.99 17.35 12.06 3.68 10.11 12.68 9.26 5 ~ ffi rs' V~Ilage of Tequesta Public Safety O ce Pension Trust Fund Universe Comparisons ' 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash Trailing Returns through December 31, 2004 ' 15.00% 0 10.00% 5.00% ' 0.00% -5.00% 2 trs 3 trs 1 Yr 2 Yr 3 Yr Q Q ~C~ 4 Yr 5 Yr 6 Yr ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ® 75-95th %tile Fund Policy 7 Yr 8 Yr Trailing Returns through December 31, 2004 Returns are in percent. "%-tile" is the percentile ranking within the universe. ' Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to December 31, 2004 6 r Villa e of Te uesta Public Safet Officers' g q Y Fixed Income Executive Summary Account Reconciliation 12/31 /2004 2004 10/31 /2000 Qtr YTD Incept ' Beginning Value 812 767 466 Net Flows 66 90 244 ' Investment G/L 5 26 174 Ending Value 883 883 883 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 3.03 3.34 5.20 6.43 7.00 Policy 4.21 4.44 6.59 7.07 7.71 Diff -1.18 -1.10 -1.39 -0.64 -0.71 ' Calendar Year Returns 12/31 /2004 2004 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995 n co ono o cc n n~ i n on 8.51 1.69 ' Returns in U Markets p 10/31 /2000 2 Yr 3 Yr 4 Yr Incept ' Fund 6.8 8.8 P li 1 5 12 4 9.3 11 1 9.9 11 8 o cy . 0. . . Ratio 65.1 71.4 83.9 84.5 -.. 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. 7 Returns in Down Markets 2 Yr 3 Yr id -1.6 -1.7 icy -3.7 -4.1 l0 44.8 42.1 10/31 /2000 4 Yr Incept -1.7 -1.7 -4.1 -4.1 42.1 42.1 Investment Policy ~ f t fficers' V~Ilage of Tequesta Public Sa e y O Fixed Income Universe Comparisons r High Quality Bond Calendar Year Returns 2o.oo°i° _----- -_ _ -- - ' 15.00% 10.00% 5.00% ' ' o 0.00% ' -5.00% Qtr YTD 2003 2002 2001 2000 1999 1998 __ -- - - ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ~ 75-95th %tile Q Fund ~ Policy ' Calendar Year Returns ~ - ~Qtr YTD , 2003 ', 2002 2001 - --~ _ - - 1- - - - -- Fund r- ~ Return T 0.5~ 3.03 3.65 ~I 9.01 10.20 I ' ° I /°-tile 65 ; 62 ' 61 32 3 ~~ ~-- - Policy - -- _._- -~ -_ _,._- - ~ _ _ -i - -- Return 0.81 4.21 4.68 ~ 11.02 8.51 ' ~~ %-tile _ _ _ 52 I 34 I~'~, 35 4 21 - _ . ~__ --_._~.. __ ~.. -_-- -i -- --- - _ - Unlverse 5th %-tile 2. 25th %-tile 1. 50th %-tile 0. 75th %-tile 0. 1 ! 95 h % il i t -t e ~_ __ - 0. 22 6.19 11.51 10.87 9.85 20 4.54 5.34 9.37 8.40 84 3.69 4.04 7.98 7.81 41 2.13 2.90 5.51 7.00 08 0.98 i - - ~ 1.63 ---- 1.50 1- -- 4.93 - Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. 8 1997 1996 Village of Tequesta Public Safety Officers' Fixed Income Universe Comparisons High Quality Bond Trailing Returns through .December 31, 2004 10.00% - - - - - - - _ _ 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% ~ o ~ 2.00% 1.00% 0.00% - ~ ~"" ~° 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ~ 75-95th %tile ~ Fund Q Policy Trailing Returns through December 31, 2004 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Y~ 4 Yr ~ 5 Yr Fund - ~ ~ ~ Return 3.32 1.17 3.03 i 3.34 5.20 ! 6.43 -tile 59 54 62 ~' 63 55 32 ~ Policy Return 4.40 1.09 4.21 4.44 -tile 25 57 34 35 Universe - - - - ~ 5th %-tile 6.17 3.17 6.19 8.58 25th %-tile 4.36 1.96 4.54 4.86 50th %-tile 3.77 1.25 3.69 3.92 75th %-tile 2.03 0.58 2.13 2.63 95th %-tile 0.89 -0.07 0.98 1.40 Returns are in percent. "%-tile" is the percentile ranking within the universe Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to December 31, 2004 6.59 7.07 17 17 6 Yr 7 Yr I 8 Yr 8.02 8.28 8.67 7.06 7.13 7.48 6.08 6.65 7.42 6.01 6.24 6.62 5.36 5.92 6.70 5.39 5.69 6.04 3.95 4.81 5.42 4.78 5.03 5.28 2.05 3.05 3.87 3.84 4.11 4.35 9 ~ Villa e of Te uesta Public Safet Officers' g a v ~ Equity Executive Summary Investment Pol Index __ „+~~ Weight 100.00 I railing returns tnrougn uecemner :~~ , ~uu4 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 17.88 .1.8.10 0.48 -3.32 -4.43 Policy 10.88 19.45 3.59 -0.52 -2.33 Diff 7.00 -1.35 -3.11 -2.80 -2.10 ' Calendar Year Returns 12/31 /2004 2004 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995 Fund 10.60 17.88 18.33 -27.28 -13.87 Policy 9.23 10.88 28.68 -22.10 -11.88 Diff 1.37 7.00 -10.35 -5.18 -1.99 Returns in Up Markets 10/31 /2000 ' 2 Yr 3 Yr 4 Yr Incept Fund 26.1 13.5 1 27 P li 31 8 19.0 29 6 19.0 29 6 . o . cy . . Ratio 83.8 48..6 64.2 64.2 ----- 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. 10 Returns in Down Markets ~ Villa of Te uesta Public Safet Officers' ge q Y ~ Equity Universe Comparisons ' Broad Large Cap Growth Calendar Year Returns ' 10o.oo°i° - - - -- - 75.00% ~ , 50.00% i 25.00% ' i ~- 0.00 -25.00% ° - - -- --- -50.00 /° Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 ' i ® 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ® 75-95th %tile ~ Fund n Policy ' Calendar Year Returns - Qtr ~YTD - 2003 ~ __ 2002 ~ 2001 l 2000 999 1998 1997 ~ 1996 Fund ~ - -- ~ -- - - Return 10.60 17.88 18.33 -27.28 -13.87 -tile 37 4 100 59 21 1 Policy Return T 9.23 10.88 ~ 28.68 f -22.10 -11.88 -tile ~ 69 27 (- -- 39 ~ -- - ?~ - --- 1 ~- - - -- - - --- - --- -- - - ---...- -1- -- -- -- -- - --- -__ Universe __ i _--_ --- 5th %-tile 14.67 17.21 1 40.85 i~ -15.79 -9.94 -0.22 ~ 66.15 50.95 37.03 27.77 I 25th %-tile 11.43 11.08 31.14 I -22.77 -14.91 -7.14 ' 43.89 37.77 31.69 22.50 50th %-tile 9.94 8.09 27.09 -25.90 -19.23 -11.77 32.72 31.70 27.88 20.03 75th %-tile 8.89 5.59 24.31 -29.82 -23.97 -17.62 24.68 25.56 23.30 16.83 ~ 95th %-tile 7.27 2.15 20.51 -34.42 -32.11 -26.13 15.29 14.10 13.67 10.44 ' Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. ' 11 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Growth Trailing Returns through December 31, 2004 35.00% - - 30.00 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00% -15.00% 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ® 75-95th %tile ~ Fund Q Policy Trailing Returns through December 31, 2004 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Fund Return 9.78 11.63 17.88 18.10 0.48 -3.32 i -tile 9 8 4 44 51 32 ~ Policy - - - ------ Return - 7.19 - 9.03 10.88 i 19.45 3.59 -0.52 -tile 28 22 27 ~ 33 24 14 _ _ _ _ _ Universe 5th %-tile 10.47 12.55 17.21 27.23 7.16 1.63 1.87 8.21 9.36 10.73 25th %-tile 7.45 8.42 11.08 20.45 3.35 -2.47 -3.75 2.24 5.53 7.76 50th %-tile 5.33 6.44 8.09 17.28 0.56 -4.97 -6.34 -0.27 3.56 6.05 75th %-tile 3.88 4.82 5.59 15.06 -1.58 -7.46 -8.81 -2.37 1.62 4.29 95th %-tile 1.51 2.13 2.15 12.53 -3.92 - -11.10 -13.48 -5.80 -1.46 1.33 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to December 31, 2004 12 Village of Tequesta Public Safety Officers' Pension Trust Fund Up Market Returns 25.00% -- -- -- 20.00% - - -- 15.00% - - 10.00% 5.00% 0.00% 2 Yr 3 Yr 4 Yr Incept Fund (%) 14.56 _ 8.37 __ __ 10.97 ___ 10.97 Policy (%) 17.69 16.09 16.90 16.90 Difference (%) -3.13 -7.72 -5.93 -5.93 Ratio 82.31 52.02 64.91 64.91 # Up Qtrs 6.00 8.00 10.00 10.00 Down Market Returns 5.00% 0 00% . -5.00% -10.00% -- -- -15.00% ---- --- -20 00% . 2 Yr _ 3 Yr 4 Yr Incept Fund (%) 0.15 -6.69 -12.82 -12.54 Policy (%) -1.28 -14.64 -17.11 -16.93 Difference (%) 1.43 7.95 4.29 4.39 Ratio -11.72 45.70 74.93 74.07 # Down Qtrs 2.00 4.00 6.00 6.66 [ ^ Fund (%) ~ Policy (%) 13 Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison v a I u e Inception date is October 31, 2000 All dollar values are shown in thousands. 14 VVV UVV IVIV I JV I JV I UV 1 IVIVL JVL JUL UUL IVIV3 JVJ JVJ VV3 IVIV4 JV4 JV~i UV~i Quarter Ending (^ Fund ~ Policy Nominal 8% ~~ ~~ CPI + 3% ~ Villa e of Te uesta Public Safet Officers' g q Y 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. 15 ~ Villa e of Te uesta Public Safet Officers' g q Y ' Pension Trust Fund Attribution of Returns ' Attribution of Performance to show Manager Contribution Policy Manager Contribution Fund Current Quarter 5.36 0.83 6.19 Year to Date 7.61 3.28 10.89 2 Years 12.27 -1.46 10.81 3 Years 4.78 -1.68 3.10 4 Years 2.76 -1.39 1.37 Incept 1.97 -1.08 0.89 Policy + Manager Contribution =Fund 1 Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation Security Selection Manager Contribution Current Quarter -2.41 3.24 0.83 ' Year to Date -3.67 6.95 3.28 2 Years -6.07 4.61 -1.46 ' 3 Years -2.18 0.50 -1.68 4 Years -1.36 -0.03 -1.39 ' Incept -1.06 -0.02 -1.08 ' Asset Allocation + Security Selection =Manager Contribution ' 16 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation Effect 10.00% P g 5.00% r c e n t 0.00% E f f e -5.00% c t -10.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 Quarter Ending Security Selection Effect 10.00% P g 5.00% r c e n t 0.00% E f e -5.00% c t -10.00% )00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 Quarter Ending _ --- -- Quarterly Effect Cumulative Effect 17 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation vs Targets 70. 60. 50. 40. 30. 10 70. 60 50 40 30 20 10 0 70 60 50 40 30 20 10 0 D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 Quarter Ending ~ Cash & Equiv -~ Target 18 UUU NIV I JV I JV 1 VU I IVIVG JVL JVL vvc iv~VV VVV vvV ..+v.+ ~•~..~ .•.. •-.- -- Quarter Ending ® Equity ~- Targetl UUU MU I JV I JV I UV I IVIVL JVL JVL VVL IvIV.~ JVJ JVJ vVV ~v~V+ VV+ .....+ .+..+ Quarter Ending ^ Fixed Income ~ Target Village of Tequesta Public Safety Officers' Pension Trust Fund Manager Contribution 10.00% 5.00% R e t 0.00% u r n -5.00% -10.00% v $ a I u e X00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 Quarter Ending ~ Quarterly Cumulative Growth of $100 Fund vs Policy 19 VVV UVV IVIV I JV I JV I UV I NIVZ JVZ JVZ UVZ IVIVJ JV3 JV3 UVJ IVIV4 JV4 AV4 UU4 Quarter Ending ^ Fund -^ Policy i~ Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Period Fund Policy Diff Nominal 8% Diff CPI + 3% Diff Ending Oct 2000 1,579 1,579 0 1,579 0 1,579 0 Dec 2000 1,555 1,540 16 1,603 -48 1,590 -35 Mar 2001 1,459 1,480 -21 1,658 -199 1,645 -186 Jun 2001 1,527 1,539 -12 1,697 -170 1,682 -156 Sep 2001 1,466 1,461 5 1,755 -289 1,723 -257 Dec 2001 1,579 1,573 6 1,813 -234 1,745 -165 Mar 2002 1,573 1,614 -42 1,889 -316 1,819 -247 Jun 2002 1,624 1,597 27 2,014 -390 1,934 -310 Sep 2002 1,636 1,559 77 2,145 -509 2,051 -415 Dec 2002 1,629 1,659 -30 2,202 -573 2,081 -453 Mar 2003 1,672 1,683 -11 2,288 -616 2,178 -506 Jun 2003 1,776 1,881 -105 2,366 -591 2,222 -446 Sep 2003 1,972 2,055 -84 2,562 -590 2,405 -433 Dec 2003 2,086 2,235 -150 2,654 -568 2,453 -368 Mar 2004 2,202 2,316 -114 2,741 -539 2,546 -344 Jun 2004 2,225 2,332 -107 2,814 -589 2,616 -391 Sep 2004 2,407 2,508 -102 3,039 -632 2,808 -401 Dec 2004 2,600 2,686 -87 3,141 -541 2,877 -277 All dollar values are shown in thousands. 20 ~ Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis (%) Period Fund Policy Diff Nominal 8 /° Diff CPI + 3% Diff Ending Mar 2001 -7.63 -5.35 -2.28 1.94 -9.57 1.95 -9.58 Jun 2001 4.16 3.49 0.67 1.94 2.22 1.85 2.31 Sep 2001 -5.55 -6.60 1.05 1.94 -7.49 0.94 -6.49 Dec 2001 6.03 5.94 0.09 1.94 4.09 -0.16 6.19 Mar 2002 -2.92 0.08 -3.00 1.94 -4.86 1.95 -4.87 Jun 2002 -2.19 -6.22 4.03 1.94 -4.13 1.44 -3.63 Sep 2002 -4.74 -7.81 3.07 1.94 -6.68 1.34 -6.08 Dec 2002 -1.33 5.46 -6.79 1.94 -3.27 0.74 -2.07 Mar 2003 -0.00 -1.13 1.13 1.94 -1.94 2.55 -2.55 Jun 2003 4.15 9.63 -5.48 1.94 2.21 0.44 3.71 Sep 2003 2.61 1.35 1.26 1.94 0.67 1.54 1.07 Dec 2003 3.62 6.62 -3.00 1.94 1.68 0.24 3.38 Mar 2004 3.89 2.04 1.85 1.94 1.95 2.35 1.54 Jun 2004 0.15 -0.15 0.30 1.94 -1.79 1.95 -1.80 Sep 2004 0.36 0.25 0.11 1.94 -1.58 0.84 -0.48 Dec 2004 6.19 5.36 0.83 1.94 4.25 0.94 5.25 Incept. 0.89 1.97 -1.08 8.00 -7.11 5.18 -4.29 Returns for periods exceeding one year are annualized. 21 ~ T P li fet fficers' Village of equesta ub c Sa y O Pension Trust Fund Risk Measures Report Explanation r 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 Ratio/Treynor 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. ' 22 ~ Villa e of Te uesta Public Safet Officers' g q Y ' Pension Trust Fund Risk Measures 2 Yr Fund Policy Diff # of Negative Qtrs 1.00 2.00 -1.00 # of Positive Qtrs 7.00 6.00 1.00 Batting Average 75.00 25.00 50.00 Worst Qtr -0.00 -1.13 1.13 Best Qtr 6.19 9.63 -3.44 Range 6.19 10.76 -4.57 Worst 4 Qtrs 8.20 7.61 0.59 Standard Deviation 4.70 5.67 -0.97 Beta 0.60 1.00 -0.40 Annualized Alpha 2.92 0.00 2.92 R-Squared 0.53 1.00 -0.47 Sharpe Ratio 2.05 1.96 0.09 Treynor Ratio 16.08 11.11 4.97 Tracking Error 3.93 0.00 3.93 Information Ratio -0.37 3 Yr Fund Policy Diff # of Negative Qtrs 5.00 4.00 1.00 # of Positive Qtrs 7.00 8.00 -1.00 Batting Average 66.67 33.33 33.34 Worst Qtr -4.74 -7.81 3.07 Best Qtr 6.19 9.63 -3.44 Range 10.93 17.44 -6.51 Worst 4 Qtrs -10.75 -9.84 -0.91 Standard Deviation 5.41 7.88 -2.47 Beta 0.50 1.00 -0.50 Annualized Alpha 0.06 0.00 0.06 R-Squared 0.52 1.00 -0.48 Sharpe Ratio 0.33 0.44 -0.11 Treynor Ratio 3.52 3.44 0.08 Tracking Error 5.48 0.00 5.48 Information Ratio -0.31 4 Yr Fund Policy Diff # of Negative Qtrs 7.00 6.00 1.00 # of Positive Qtrs 9.00 10.00 -1.00 Batting Average 68.75 31.25 37.50 Worst Qtr -7.63 -7.81 0.18 Best Qtr 6.19 9.63 -3.44 Range 13.82 17.44 -3.621 Worst 4 Qtrs -10.75 -9.84 -0.91 Standard Deviation 6.51 8.51 -2.00 Beta 0.62 1.00 -0.38 Annualized Alpha -1.09 0.00 -1.09 R-Squared 0.64 1.00 -0.36 Sharpe Ratio -0.10 0.09 -0.19 Treynor Ratio -1.05 0.74 -1.79 Tracking Error 5.15 0.00 5.15 Information Ratio -0.27 Incept Fund Policy Diff # of Negative Qtrs 7.66 6.66 1.00 # of Positive Qtrs 9.00 10.00 -1.00 Batting Average 69.99 30.01 39.98 Worst Qtr -7.63 -7.81 0.18 Best Qtr 6.19 9.63 -3.44 Range 13.82 17.44 -3.62 Worst 4 Qtrs -10.75 -9.84 -0.91 Standard Deviation 6.76 8.57 -1.81 Beta 0.64 1.00 -0.36 Annualized Alpha -1.14 0.00 -1.14 R-Squared 0.66 1.00 -0.34 Sharpe Ratio -0.19 -0.03 -0.16 Treynor Ratio -2.03 -0.22 -1.81 Tracking Error 5.08 0.00 5.08 Information Ratio -0.21 23 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through December 31, 2004 15.00% 10.00% A n n u a I i z 5.00% e d R e u r n 0.00% -5.00°/ x.00% ~ LB Gov/Core 5.00% 10.00% 15.00% Risk (Annualized Std Dev) Policy 20.00% 25.00% 24 ~ Villa e of Te uesta Public Safet Officers' g q Y ' Pension Trust Fund Return vs Risk through December 31, 2004 1 2 Years 25.00% ' 20.00% ' R 15.00% , ' e I t u n 10.00% ' s ' 5.00% ' 0.00°/ 8.00% 5.00% 10.00% 15.00% Risk (Annualized Std Dev) 1 ' 9.00% 8.00% ' 7.00% 6.00% R 5.00% e t 4.00% ' u 3 00% r . n 2.00% s 1 00% . 0.00% ' 4 Years 100°/ ° 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% ' Risk (Annualized Std Dev) ' Policy ' 25 3 Years 8.00% 7.00% ~ LB Gov/Corp 6.00% R 5.00% e t u 4.00% n ~ S&P 500 s 3.00% ~ Fund 2.00% 1.00% ° 15.00% 25 00% 5.00 /° 0.00% 10.00% 20.00% Risk (Annualized Std Dev) 15.00% 10.00% R e t 5.00% u r n s 0.00% 5 00°/ Inception ~ LB Gov/Corp 3 Mo TBi~ Fund ~ S&P 500 ° 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Village of Tequesta Public Safety Officers' Pension Trust Fund Policy: 10/31/2000-12/31/2004 55.00 S&P 500 35.00 Lehman Gov/Credit Bond 10.00 Citigroup Treasury Bill - 3 Month First Objective: 10/31/2000-12/31/2004 Annual Return of 8.00% Second Objective: 10/31/2000-12/31/2004 100.00 US Consumer Price Index + 3.00 annual adder Universe Data: 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash 10/31/2000-12/31/2004 35.00 High Quality Bond 55.00 Pure Large Cap Core 10.00 Government Money Market 26 Bogdahn Consulting, LLC CONTRIBUTIONS/WITHDRAWALS Village of Tequesta-PSO Pension Trust Fund NorthStar Capital Mgmt. From 09-30-04 To 12-31-04 Tran Trade Settle Code llate Date Security Amount Quantity CONTRIBU'CIONS li 10-18-04 10-18-04 Cash 10,469.23 Funds received li 10-18-04 10-18-04 Cash 1,261.41 Funds received li 10-25-04 10-25-04 Cash 12,596.05 Funds received li I I -01-04 11-0 l -04 Cash 6,547.85 funds recd li 11-08-04 I1-08-04 Cash 6,724.30 funds recd li 11-29-04 I1-29-04 Cash 7,147.38 funds recd li 12-09-04 I2-09-04 Cash 8,930.39 Funds received li 12-2 I -04 12-21-04 Cash 7,G 12.97 Funds received 61,289.58 WITHDRAWALS l0 10-OG-04 10-OG-04 Cash 4,722.68 Transfer to general employees account l0 10-15-04 10-IS-04 Cash 6.50 Transfer to general employees account to Il-ll-04 II-II-04 Cash 212.40 ck 01252-Bus. Service connection to II-Il-04 II-Il-04 Cash 613.45 Ck 01257-Joseph Patrick to II-IS-04 11-15-04 Cash 1,479.39 ck 01253- Hansen Peery & Jenson to II-IS-04 II-IS-04 Cash 383.90 ek 01256-Hansen Perry & Jenson to II-17-04 I1-17-04 Cash 2,000.00 ck 01255- unable to determine payee l0 11-22-04 11-22-04 Cash 3,315.48 Ck O 125 I - Acordia l0 11-23-04 II-23-04 Cash 6,279.00 Ck Ol 254- Gabriel Roeder & Smith to II-2G-04 I1-26-04 Cash 29.69 DEbit Charge 10/18-I I/15 19,042.49 EXPENSE ACCOUNT'S 0.00 Broker Code Conunission AFTER FEE PERFORMANCE EXPENSE ACCOUNTS 0.00 Bogdahn Consulting, LLC CONTRIBUTIONS/WITHDRAWALS Village of Tequesta-PSO Pension Trust Fund NorthStar Capital Mgmt. From 09-30-04 To 12-31-04 Tran Trade Settle Broker Code Date Date Security Amount Quantity Code Commission PORTFOLIO NET TOTAL 42,247.09 EXPENSE ACCOUNTS PAIll BY CLIEN'C 0.00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAIll BY CLIENT GRAND TOTAL 0.00 42,247.09 2