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Home My WebLink AboutDocumentation_Pension Public Safety_Tab 08_11/08/2005 Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund Rockwood Capital Advisors • For the Period Ending September 30, 2005 Presented by: Bogdahn Consulting, LLC Village of Tequesta Public Safety Officers' 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 i•e 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 UplDown 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 r - _ 09/30/2005 Qt 2005 10/31 /2000 YTD r Incept I Index Weight Beginning Value 2,587 2,600 1,5791 S&P 500 55.00 Net. Flows 188 279 1,128 j Lehman Gov/Credit Bond 35.00 Investment G/l. $9 -14 457 I Citgroup Treasury Bill'- 3`Month 10.00 Endin Value g------ 2,864 - - ____. 2,864 2,864 ___ ---_ ----1 Total --- --- --_- _- __-_. __ ___ 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 5.43 6.81 6.35' 3.64 0.61 .Policy 7.9(I 8.40 10.83 5.70 2.16 Diff -2.47 -1.59 -4.48 =2.06 -1.55 Calendar Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 .Fund 3.41 -0.72 10.89 10.73 -10.75 -3,65 Policy 1.74 2..42 7.61 17.13 -8.74 -3.07 Diff 1.67 -3.14 3.28 -6.40 -2.01 -0.58 Returns in Up Markets I -_ 2 Yr 3 Yr Fund 12.9 11.0 Policy 12.5 16.1 Ratio 103.1 68.5 2000 1999 1998 1997 1996 Returns in Down Markets 10/31 /2000 4 Yr Incept ~ ~ 2 Yr 3 Yr ---I 10.1 10.7 ' Fund -4.9 -4.9 15.4 15.3 ~ , Policy -1.5 -2.6 65.4 i 69..7 ~ ' Ratio 326.8 186.6 Inception date is October 31, 2000 All dollar values are shown in thousands. ~eturns for periods exceeding one year are annualized. eturns are net of fees. Rockwood assumed account on April 4th 2005 10/31 /2000 4 Yr Incept -9.2 -1 3.4 12.8 -15.5 71.6 86.1 2 i . Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation Through September 30, 2005 At Market Equity 56% • At Cost Equity 53% • Fixed Income 39% Fixed Income 42% 3 Cash &Equiv 5% Cash &Equiv 5% 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. ~II rates, of return are annualized if the period for which theyare calculated exceeds one year. C7 4 Village of Tequesta Public Safety Officers' Pension Trust Fund Universe Comparisons 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash Trailing Returns through September 30, 2005 _ ___ _ _ - --- __ - - - _-_ ~ --- --T - - - 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Fund Return 4.52 -tile 24 ---_-. Policy -0.72 5.43 ! 6.81 6.35 ~ 3.64 -----100 - -_ 93 _ 82 100 82 ~ ___ Return 3.81 ~ 2.42 ~ 7.90 i 8.40 10.83 ~ 5.70 j ° _~ 40 32 ! 24 /°-tile - -- 43 __- --47 49 : -- - -- -- - Universe 5th %-tile 6.10 ' 5.23 11.75 i 10.99 ~ 12.34 ; 6 77 ~ 4.17 5.35 6.84 6.33 25th %-ttle 4.44 3.50 , 9.54 ~ 9.10 11.16 5.64 I 2.40 3.94 5.27 5.23 50th %-tile 3.64 2.31 7.87 8.10 10.25 4.76 1.36 2.85 4.38 4.65 75th %-tile 3.18 1.74 6.98 7.25 9.13 3.90 0.41 2.06 3.77 3.94 95th %-tile ~ 2.06 _ 0.30 5.13 5.19 7.60 2.79 -1.27 0.96 2.81 2.71 Calendar Year Returns - -- Qtr1~ YTTD 2004 2003 2002 2001; 2000 1999 1998 1997 ---- - - -~ -- - _ ---- - - --L - I Fund---- ---- --~--- T ~--- Return 3.41 -0.72 10.89 ' 10.73 -10.75 ! -3.65 ~, -tile 10 100 1 '~, 100 ~ 75 ! 53 ~ I - - -- - - ----- 1-------- Policy ~ - I r i--_-- - r ~--- ~Return 1.74 ~ ~ 2.42 7.61 17.13 8.74 -3.07 -_ ~ ~ 38 34 , 39 I %-tile I-- _---69 i --- _ 47 _ 31 I~ I - _ - -- - - ~ l -_ __ L- _- - 1- _ ---- , __ -------- I Universe F---- --- ------ -r ~ T __ -- - ~-- -- - 5th %-tile 3.88 ~' 5.23 9.50 ; 19.96 -5.88 1.24 ~ 9.38 i 25th %-tile 2.59 , 3.50 7.88 ~ 17.96 -8.23 ; -2.00 ~ 3.89 I I i 50th %-tile 2.02 2.31 6.87 ~ 16.66 -9.43 -3.55 i -0.37 75th %-tile i 1.64 ; 1.74 5.58 15.03 -10.82 % -4.83 -2.04 ° 12.75 12.301 -7.55 -4.27 { 95th /°-tile 0.86 0.30 4.07 ~ --~-- - _----~- ---- --- ---- _:_ _ -- ----1- --- - eturns are in percent. "%-tile" is the percentile ranking within the universe. eturns for periods exceeding one year are annualized. Incept is October 31, 2000 to September 30, 2005 Rockwood assumed account on April 4th 2005 17.94 J 21.50 23.12 13.36 I 18.86 21.60 11.33 16.76 20.00 8.70 i 12.99 17.35 3.68 ~ 10.11 12.68 5 Village of Tequesta Public Safety Officers' Fixed Income Executive Summary Account Reconciliation 09/30/2005 2005 10/31 /2000 Qtr YTD Incept Beginning Value 994 883 466 Net Flows 139 248 492 Investment G/L -3 -3 171 Ending Vatue 1,129 1,129 1,129 Investment Policy Index Weight Lehman Gov/Credit Bond 100.00 Total 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 0:27 1.49 2.54 ' 3.87 5.84 Policy 2,56 2.95 4.13 5.37 6.87 Diff -2.29 -1.46 -1.59 -1.50 .. -1.03 Calenda r Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 Fund -0.30 -0.31 3.03 3.65 9.01 10.20 Policy '-0.97. 1.74 4.21 4.68 11.02 8.51 Diff 0.67 -2.05 -1.18 -1.03 -2.01 1.69 Returns in Up Markets Returns in Down Markets 10/31 /2000 ~ 10/31 /2000 2 Yr 3 Yr 4 Yr Incept ', 2 Yr 3 Yr 4 Yr Incept _ ~- -- T - - Fund - 6.0 6.0 7.5 9.4 Fund -2.9 -2.2 -1.9 -1.9 Policy 11.3 10.5 11.3 11:9 I Policy -4.8 -4.2 -3.8 -3.8 Ratio 53.4 57.4 66.1 78:8 Ratio 59.8 51.5 49.0 49.0 Inception date is October 31, 2000 ~II dollar values are shown in thousands. eturns for periods exceeding one year are annualized. Returns are net of fees. 6 Village of Tequesta Public Safety Officers' Fixed Income Universe Comparisons High Quality Bond Troilinr~ Qo~i irnc iFhrni ~nh SantamhP_r ~n inns 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr _ Fund Return 0.48 -0.31 0.27 1.49 2.54 , 3.87 -tile 100 100 1001 86 77 63 Policy Return 2.43 1.74 2.56 2.95 4.13 5.37 -tile 18 30 43 41 36 19 Universe 5th %-tile 2.85 2.77 4.35 5.28 7.57 6.80 7.61 7.57 6.49 6.84 25th %-tile 2.28 1.83 3.00 3.45 4.62 5.09 6.54 6.51 5.48 6.03 50th %-tile 1.95 1.49 2.42 2.75 3.64 4.35 5.87 5.84 4.91 5.49 75th %-tile 1.57 1.09 1.68 1.85 2.60 3.20 4.69 4.81 4.34 4.80 5th %-tile 1.16 1-_ 0.70 0.96 - 1.11 --- 1.63 _ ~ 2A2 -- 1 3.29 - 3.68 - 3.57 3.94 (`.~L~.,.-!nr Vn~r Cho+i ~rnc eturns 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 September 30, 2005 Fund __ Qtr YTD ~ 2004 _2003 ~ 2002 _ _200_ 2000 1999 - 1998 1997 Return -0.30 -0.31 3.03 3.65 9.01 10.20 -tile 44 100 62 61 32 3 I Policy _ ._ __ Return -0.97 1.74 4.21 T - 4.68 11.02 ' 8.51 -tile 95 30 34 35 4 21 Universe 5th %-tile 0.74 2.77 6.19 ~ 11.51 10.87 ' 9.85 I 12.37 4.61 i 9.45 11.75 25th %-tile 0.10 1.83 4.54 5.34 9.37 8.40 I 10.90 1.75 8.34 9.52 50th %-tile -0.42 1.49 3.69 ' 4.04 7.98 ~ 7.81 9.56 -0.45 7.26 8.59 75th %-tile -0.67 1.09 2.13 2.90 5.51 I 7.00 7.70 -1.46 6.33 7.06 95th %-tile -0.97 0.70 0.98 1.63 1.50 4.93 5.78 _-3.67 4.50 5.91 7 Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation Investment Policy 09/30/2005 2005 10/31 /2000 Qtr YTD Incept Beginning Value 1,532 1,500 858 Net Flows -27 109 763 Investment G/L 92 -12 -24' finding Value 1.,597 1,597 1,.597. Index Weight S&P 500 100.00 Total 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 8.51 10,91 _9.56 2.57 --- - _ _- - -4:14 Policy 12.25. ..1.3.06 16.72 6.04 -1,43 .,Dill -3.74 ; =2..15 ' -7.16 „ -3.47> -2:71 ' C l _. a endar Year Returns 09/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 .Fund 6.03, -1'.89 17.88 18.33. -27;28 -13.87 Policy 3.61 2,77 10.88 28.68 -22.10 -11.88 Diff 2.42 -4.66. 7.00.... -10.35 '-5.18 -1.99-' Returns in Up Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept Fund 22.2 18.1 16.7 18.2 Policy 21.0 26.9 26.2. 26.2 Ratio 105.4 67.2 63.8 69.5 Inception date is October 31, 2000 All dollar values are shown in thousands. ~eturns for periods exceeding one year are annualized. eturns are net of fees. Returns in Down Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept .Fund -8:9 -9.5 -22.9 -30.9... 'Policy -4.0 -7.0 -27.7. -33.0 Ratio 223.4 .136.3 82.4 93.6 8 Village of Tequesta Public Safety Officers' • Equity Universe Comparisons Broad Large Cap Growth Trailing Returns through September 30, 2005 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ^ Fund - -- Return 6.88 -1.89 8.51 10.91 9.56 2.57 -tile 62 97 92 61 99 83 Policy Return 5.02 2.77 12.25 13.06 16.72 6.04 -tile 84 64 69 40 34 ~ 3 .Universe 5th %-tile 15.02 11.59 26.56 20.27 22.44 11.73 0.10 7.69 12.20 9.22 25th %-tile 10.51 6.91 18.97 14.70 17.64 8.39 -2.97 2.31 6.80 5.63 50th %-tile 7.91 3.78 14.40 11.92 14.97 5.20 -6.03 -0.71 3.95 3.60 5th %-tile 5.99 1.74 11.48 9.66 13.19 3.18 -8.86 -2.95 1.92 2.03 95th %-tile 3.1 3_1.46 _ 7.67 6.61 10.4 i 4 1.03 -13.17 i- -5.89 -1.19 -0.97 Calendar Year Returns 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 September 30, 2005 T Qtr YTD 2004 2003 _2002 2001 2000 1999 1998 1997 Fund Return 6.03 -1.89 17.88 18.33 -27.28 i -13.87 ~ ~ _ 33-~ 97 _ ----~_ 100 59 ~ 21 ~---- - --~- -tile - - Policy Return 3.61 ~ 2.77 10.88 -tile 75 64 27 28.68 39 -22.10 22 11.88 ~ 10 Universe 5th %-tile T 9.53 I 11.59 17.2 40.85 r -15.79 ~ -9.94 -0.22 66.15 i 50.95 37.03 25th %-tile 6.56 6.91 11.08 31.14 -22.77 -14.91 -7.14 i 43.89 37.77 31.69 50th %-tile 4.87 3.78 8.09 ~ 27.09 -25.90 -19.23 -11.77 32.72 31.70 27.88 75th %-tile 3.59 1.74 5.59 24.31 -29.82 -23.97 -17.62 24.68 25.56 23.30 5th %-tile 2.08 -1.46 2.15 20.51 -34.42 -32.11 -26.13 15.29 14.10 13.67 9 Village of Tequesta Public Safety Officers' Pension Trust Fund Up Market Returns 25.00% -- - --__ - _ _ _ - --- 20.00 /o ---- --- -- - _ _- ___ 15.00% -- 10.00% -- --- - -- -- 5.00% ~ -- - - - 0.00% 2 Yr ~ 3 Yr _ 4 Yr Incept Fund (%) 12.87 10.99 10.06 10.68 Policy (%) 12.48 16.05 ~ 15.38 15.32 Difference (%) 0.39 ~ -5.06 -5.32 -4.64 Ratio 103.13 j 68.47 I 65.41 69.71 # Up Qtrs 6.00 ~ 9.00 ~ 1-1.00 12.00 • Down Market Returns o.oo°i° - -- ----- -- -- -- -5.00% - - -- - - -- I -10.00% F -- - i i -15.00% --- -- - - - -20.00% 2 rYrY jFund (%) -4.87 Policy (%) -1.49 Difference (%) -3.38 Ratio 326.85 # Down Qtrs 2.00 3 Yr 4 Yr -4.87 -9.20 -2.61 -12.85 -2.26 3.65 186.59 71.60 3.00 ~ 5.00 f I ~~ ^ Fund (%) ®Policy (%) Rockwood assumed account on April 4th 2005 I 10 Incept -_ -- -- -13.35 -15.50 2.15 86.13 7.66 Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison $4,50q--- -- ------------ - - ---_ _- -- _- $3,5001--- --.._ _ - _ __ _ ---- $2,500- - ------ - ----- - --- ------------------ V a p- C7 ~ ~ ^ e $2,00 - __ __ - - ---_ _ _ -~ -_^----- -- 6' 0 !7 $1 $1 ~1 ~i _ ~-- ~l - -E~-1 1 - ~ ~ - - - - ( ~ ~ ~~ ~, _ ~ ~~ ~ I i i i,i ~- I ~! i i ~ ', _ _ _i_~__~~__~__L 000 D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending r [ i Fund ;`~' Policy Q Nominal 8% r_j CPI + 3% • ception date is October 31, 2000 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 11 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. • • 12 Village of Tequesta Public Safety Officers' Pension Trust Fund Attribution of Returns Attribution of Performance to show Manager Contribution Policy I Manager Contribution Fund i Current Quarter ~ 1.74 1.67 3.41 Year to Date I 2.42 -3;14 ~ -0.72 -- I }} -- --- - _- _ _ ---------- 2Years 8.40 -1:59 6.81 ~ 3 Years 10.83 -4.48 6.35 4 Years ~ 5.70 -2':06 ~ 3.64 Incept ~ 2.16 -1.55 0.61 :olicy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation ~ Security Selection Manager Contribution. i Current Quarter II -0.69 ~ ~ 2.36 - 1.67 ------- ____ _ ar to Date 1~__ - _ _ _- _ _ - __-_ I 1 17 ! ~ - -___ - -1.97 -- -3.14 ----.. - ------ -- __ 2 Years ~ ___.- _- ______-_ _. _r _.. -3.94 !; -. _. - - _.-___. ----~_._ 2.35 ~ -___. ___ ._-__ _ -1.59 --- - --- ---- -_ -- - ----- - - - - ' t- -- - --- - -1 -- - - , _ _- - -- ------ --- 3 Years ~ -5.45 ~ 0.97 i i -4.48 4 Years I -2.66 Incept ~ -1.14 ~sset Allocation + Security Selection =Manager Contribution Rockwood assumed account on April 4th 2005 0.60 -0.41 -2.06 -1.55 13 Village of Tequesta Public Safety Officers' Pension Trust Fund • As set Allocation Effect 1 o.oo°io P e 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 M05 J05 S05 Quarter Ending Security Selection Effect 10.00% P e 5.00% r c e n t 0.00% E f f e -5.00% c t -10.00% ~ D00 M01 J01 S01 01 02 J02 - S L_-- ~-_ _~ - ~ ---~ --~.-~-_-~-i ~ ~ -1-. ~_ 02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending • ~~ Quarterly Effect Cumulative Effect 1 Rockwood assumed account on April 4th 2005 14 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation vs Targets ~o.oo so.oo 50.00 40.00 20. 10. 0. U vuu mug Jug sup UUl Muz JuL suZ UUZ MU3 JU3 SU3 U03 M04 J04 504 UU4 MU5 JU5 SU5 Quarter Ending j ®Equity --~: -Target, ~n nnoi ~--------- - -------- _ _ • Rockwood assumed account on April 4th 2005 15 `"'""" D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending Cash & Equiv -~ Target vuu mui Jug sui uu~ Muz Jut sup uu~ mus Jus sus UU3 M04 J04 S04 D04 M05 J05 S05 Quarter Ending ~ Fixed Income --~ Target Village of Tequesta Public Safety Officers' Pension Trust Fund Mana ger Contrlbutlon 1 o.oo°i° 5.00% R e t 0.00% u r n -5.00% -10.00% $120~- I $115 - $110F - V a $ I u e Rockwood assumed account on April 4th 2005 Growth of $100 Fund vs Policy 16 uuU M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending ~~ Quarterly Cumulative vuu uuu Mui Jul Sul uU1 MU2 JU2 SOZ uuz Mu3 J03 S03 D03 M04 J04 S04 D04 M05 J05 S05 Quarter Ending ~; Fund L Policy 1 Village of Tequesta Public Safety Officers' • Pension Trust Fund Quarterly Comparison Analysis ($) Period Ending Fund Policy Diff Nominal 8% Diff CPI + 3% Diff 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 Mar 2005 2,507 2,689 -182 3,241 -734 2,984 -477 Jun 2005 2,587 2,797 -210 3,357 -770 3,080 -492 Sep 2005 2,864 3,034 -169 3,611 -747 3,360 -496 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 17 Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis (%) Period % Ending Fund Policy Diff Nominal 8 Diff CPI + 3% Diff 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 ar 2005 -5.01 -1.34 -3.67 1.94 -6.95 2.35 -7.36 Jun 2005 1.07 2.04 -0.97 1.94 -0.87 1.44 -0.37 Sep 2005 3.41 1.74 1.67 1.94 1.47 2.96 0.45 Incept. 0.61 2.16 -1.55 8.00 -7.39 5.77 -5.16 r Returns for periods exceeding one year are annualized. Rockwood assumed account on April 4th 2005 18 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 ~ro. 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. • 19 Village of Tequesta Public Safety Officers' ~~! Pension Trust Fund Risk Measures ----- -- 2 Yr• ~ Fund Policy j .Dill j ~ 3 Yr _____ _~ Fund Policy' Diff --_ 1 ~ -- # of Negative Qtrs 1.00 i 2.00 1.00 i ~~# of Negative Qtrs 3.00 ; 3.00 0.00 # of Positive Qtrs 7.00 ~ 6.00 1.00: ~ # of Positive Qtrs ~' 9.00 9.00 0.00 Batting Average ! 62.50 i 37.50 ~ 25.00 j i Batting Average I 58.33 41.67 16.66 Worst Qtr ~ -5.01 i -1.34 ~ -3.67 ' Worst Qtr ~ -5.01 -1.34 -3.67 Best Qtr ~ 6.19 ', 6.62 i -0.43 ~ ~, Best Qtr ! 6.19 ~ 9.63 -3.44 Range ~ 11.20 7.96 ~ 3.24 '; i Range 11.20 10.97 0.23 Worst 4 Qtrs ~, 1.40 4.04 -2.64 I ~ Worst 4 Qtrs 1.40 4.04 -2.64 Standard Deviation 6.80 ~ 4.61 2.19: I Standard Deviation ~ 6.06 6.00 0.06 Beta 1.18 j 1.00 0.18 '', Beta ~ 0.64 1.00 -0.36 Annualized Alpha -2.51 ~ 0.00 -2.51 ', ~ Annualized Alpha I -0.91 0.00 -0.91 R-Squared 0.65 ~ 1.00 -0.35, ~ R-Squared ~: 0.40 1.00 -0.60 I Sharpe Ratio ; 0.74 ~ 1.44 ~ -0.70 ~ I Sharpe Ratio ~ 0.79 1.54 -0.75 Treynor Ratio 4.27 ~ 6.63 -2.36 i ~ Treynor Ratio 7.44 9.24 -1.80 Tracking Error ~ 4.13 ' 0.00 4.13 ' ~ Tracking Error 5.19 0.00 5.19 Information Ratio -0.38 I ~ Information_Ratio _ -0.86 ~ - ---- -- 1 --1---~ ---.. - - 1 I~ 4 Yr ~- Fund Policy Diff I Incept _ -~ Fund Policy Diff r----- # of Negative Qtrs 6.00 5.00 1.00 ! # of Negative Qtrs ~ 8.66 ~ 7.66 1.00 # of Positive Qtrs 10.00 11.00 -1.00 ~ !~ # of Positive Qtrs ! 11.00 ~ 12.00 -1.00 ~ Batting Average 62.50 ~ 37.50 25.00 ~ ~ Batting Average 64.40 I! 35.60 28.80 Worst Qtr -5.01 i -7.81 2.80 i ~ Worst Qtr ~ -7.63 ~ -7.81 0.18 ~ Best Qtr 6.19 9.63 -3.44 ' ;Best Qtr ~ 6.19 ~, 9.63 -3.44 j Range 11.20 17.44 -6.24 I I Range j 13.82 , 17.44 -3.62 ~ Worst 4 Qtrs -10.75 ! -9.84 -0.91 'i ;Worst 4 Qtrs i~ -10.75 ! -9.84 -0.91 Standard Deviation 6.22 7.23 -1.01 i Standard Deviation ~ 7.00 8.02 -1.02 Beta 0.61 i 1.00 -0.39 ; Beta I 0.69 1.00 -0.31 Annualized Alpha -0.41 i 0.00 -0.41 ~ ;Annualized Alpha ~ -1.54 0.00 -1.54 R-Squared 0.50 i 1.00 -0.50 R-Squared I 0.62 i 1.00 -0.38 Sharpe Ratio ~ 0.32 0.56 -0.24 I ;Sharpe Ratio ~ -0.24 ! -0.01 -0.23 ' Treynor Ratio ~ 3.21 ~ 4.02 -0.81 ; !Treynor Ratio ! -2.42 ~i -0.12 -2.30 Tracking Error ! 5.25 0.00 5.25 ', ~ Tracking Error ~ 5.08 ; 0.00 5.08 Information Ratio _0.39_ _ _ __ I j Information Ratio ; -0 31 ', I - I~ • Rockwood assumed account on April 4th 2005 20 I s.oo°i° 7.oo°i° I 6.00% I 5.00% A n n 4.00% I u a I e 3.00% d R e 2.00% t u r n ' 1.00% 0.00% -1.00% I - -2 00°/ Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through September 30, 2005 ~ LB Gov/Core ~3 Mo TBitl li Fund ~ S&P 500 ~.00% 5.00% 10.00% 15.00% Risk (Annualized Std Dev) P 'iocl y Rockwood assumed account on April 4th 2005 20.00% 25.00% 21 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through September 30, 2005 20.00% 15.00% 1 e t 10.00% u r n s 5.00% 2 Years ~ LB Gov/Corp ~3 Mo TBill 0.00% ~ ~ ~ ~!_ ~ ~ ~ 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) 7.00% 6.50% 6.00% 5.50% ~ 5.00% t 4.50% a 4.00% r ~ 3.50% 3.00% 2.50% 2.00% 1.50Io 4 Years ~ LB Gov/Corp I I i i ~S&P ~00 Fund ~ S&P 500 ~ Fund I~ 0% 10.00% 15.00% 20.00% Risk (Annualized Std Dev) 25.00% 3 Years 20.00% ~S&P 500 R 15.00% e t ~ 10.00% n s 5.00% 0 00°/ ~ Fund ~ LB Gov/Corp ~3 Mo TBi~I i ° 5.00% 15.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Inception 8.00% ~ ~ 7.00% 6.00% j 5.00% i R 4.00% ~ e t 3.00% u r 2.00% ~~~ n 1.00% I~ s 0.00% -1.00% -2.00% 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Policy Rockwood assumed account on April 4th 2005 22 Village of Tequesta Public Safety Officers' Pension Trust Fund 10/31/2000-09/30/2005 55.00 S&P 500 35.00 Lehman Gov/Credit Bond 10.00 Citigroup Treasury Bill - 3 Month ~ 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 I Universe Data: 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash 10/31/2000-09/30/2005 35.00 High Quality Bond 55.00 Pure Large Cap Core I 10.00 Government Money Market • 1 ' 23 i Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors From 07-01-OS To 09-30-OS Tran Trade Settle ' Code Date Date Security _ Amount Quantity CONTRIBUTIONS li 07-12-OS 07-12-OS Cash 3,336.62 EE li 07-12-05 07-12-OS Cash 5,337.01 ER li 07-15-OS 07-15-OS Cash 3,472.79 EE li 07-15-OS 07-15-OS Cash 5,534.44 ER li 08-03-OS 08-03-OS Cash 4,971.94 ER ' li 08-03-OS OS-03-OS Cash 3,123.49 EE li 08-18-OS 08-18-OS Cash 5,094.14 ER li 08-18-OS 08-18-OS Cash 3,204.60 EE li 08-30-OS 08-30-OS Cash 4,999.20 ER li 08-30-OS 08-30-OS Cash 19,438.06 ' • ER li 08-30-OS 08-30-OS Cash 3,133.36 EE li 09-12-OS 09-12-OS Cash 7,908.42 ' Funds received li 09-23-OS 09-23-OS Cash 63,412.24 State of Florida contribution li 09-23-OS 09-23-OS Cash 65,700.10 State of Florida contribution li 09-27-OS 09-27-OS Cash 3,803.93 EE li 09-27-OS 09-27-OS Cash 6,030.83 ER ' li 09-29-OS 09-29-OS Cash 5,918.56 Monies due from VOT general employees pension 214,419.73 WITH DRAWALS l0 08-22-OS 08-22-OS Cash 17,795.91 Participants lump sum distributions l0 08-22-OS 08-22-OS Cash 1,873.40 W/H tax on lump sum distribution to 09-Ol-OS 09-Ol-OS Cash 2,575.58 Transferred to account 13950800 -federal taxes paid for Michael Knapp l0 09-06-OS 09-Ob-OS Cash 250.00 ' Gabriel, Roeder, Smith & co l0 09-06-OS 09-06-OS Cash 2,000.00 BC for period ending 6/30/05 l0 09-06-OS 09-06-OS Cash 866.37 Hansen, Perry & Jensen • I Broker Code Commission Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors From 07-01-OS To 09-30-OS Tran Trade Settle Broker Code Date Date Security Amount Quantity Code Commission l0 09-06-OS 09-06-OS Cash 165.20 Business Services Connection l0 09-06-OS 09-06-OS Cash 550.00 Gabriel, Roeder, Smith & Co l0 09-19-OS 09-19-OS Cash 206.10 Foreign tax withholding l0 09-26-OS 09-26-OS Cash 150.00 Withdrawal -debit memo 26,432.56 EXPENSE ACCOUNTS 0.00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS dp 07-13-OS 07-13-OS Administration Fee 1,242.84 Custodial fee to Salem Trust dp 09-06-OS 09-06-OS Administration Fee 2,625.76 Quarterly management fee to Rockwood Capital Advisors PORTFOLIO NET TOTAL 184,118.57 EXPENSE ACCOUNTS PAID BY CLIENT 0.00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT 0.00 CRAND TOTAL 184,118.57 1~ 1 2 • Bogdahn Consulting, LLC. i PORTFOLIO APPRAISAL Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors September 30, 2005 (Excluding Reinvested Divs.) Unit Total Market Pct. Quantity Security Cost Cost Price Value Gain/[.oss Assets DOMESTIC EQUITIES Common Stock Large Cap 725.000 Abbott Labs COM 49.55 35,923.75 42.40 30,740.00 -5,183.75 1.1 620.000 BOEING CO COM 58.58 36,317.99 67.95 42,129.00 5,811.01 1.5 1,000.000 Baxter International, Inc. 36.58 36,579.60 39.87 39,870.00 3,290.40 1.4 730.000 Carnival Corp. Class A 50.38 36,774.77 49.98 36,485.40 -289.37 1 3 I 800.000 Caterpillarlnc 44.77 35,812.00 58.75 47,000.00 11,188.00 . 1.6 560.000 DEERE & CO COM 64.81 36,293.60 61.20 34,272.00 -2,021.60 1.2 1,210.000 Duke Energy Corp. Com 29.96 36,251.60 29.17 35,295.70 -955.90 1 2 500.000 Entergy Corp 72.02 36,010.00 74.32 37,160.00 1,150.00 . 1.3 3,080.000 Goodyear Tire & Rubber 11.72 36,109.92 15.59 48,017.20 11,907.28 1.7 I 840.000 Halliburton Co. 43.97 36,936.82 68.52 57,556.80 20,619.98 2.0 610.000 Lockheed Martin Corp. 59.24 36,136.40 61.04 37,234.40 1,098.00 1.3 510.000 Loews Corp. 71.47 36,448.68 92.41 47,129.10 10,680.42 1.6 I 1,050.000 PG & E Corp. 34.97 36,721.55 39.25 41,212.50 4,490.95 1.4 1,760.000 Schering Plough Corp 20.74 36,504.16 21.05 37,048.00 543.84 i.3 Com 1,580.000 Sprint Nextel 23.01 36,357.85 23.78 37,572.40 1,214.55 1.3 I 2,810.000 880.000 Tenet Healthcare Corp. Walgreen Co. 12.24 34,394.40 45.44 39,986.58 11.23 43.45 .31,556.30 38,236.00 -2,838.10 -1,750.58 1.1 1.3 619,559.67 678,514.80 58,955.13 23.7 Mid Cap 620.000 APACHE CORP COM 58.99 36,573.80 75.22 46,636.40 10,062.60 1.6 970.000 Apartment Inventory & 38.98 37,805.94 38.78 37,616.60 -189.34 1.3 Management Co - Reit 700.000 Bunge Limited 52.02 36,414.00 52.62 36,834.00 420.00 1 3 3,090.000 Centerpoint Energy Inc. 11.86 36,647.40 14.87 45,948.30 9,300.90 . 1.6 1,790.000 Chesapeake Energy 20.50 36,695.00 38.25 68,467.50 31,772.50 2.4 Corp. 3,540.000 El Paso Corp 10.38 36,744.85 13.90 49,206.00 12,461.15 1.7 980.000 Graco Inc. 36.63 35,897.40 34.28 33,594.40 -2,303.00 1.2 1,020.000 Indymac Bancorp Inc 36.12 36,842.40 39.58 40,371.60 3,529.20 1.4 500.000 M D C Holdings Inc 75.83 37,916.00 78.89 39,445.00 1,529.00 1 4 740.000 Murphy Oil Corp Com 51.35 37,999.00 49.87 36,903.80 -1,095.20 . 1 3 960.000 Protective Life Corp. 38.56 37,022.21 41.18 39,532.80 2,510.59 . 1.4 780.000 Rockwell Collins Inc. 46.61 36,356.03 48.32 37,689.60 1,333.57 1 3 2,165.000 Seagate Technology 18.97 41,070.05 15.85 34,315.25 -6,754.80 . 1.2 Holdings 590.000 Simon PPTY Group Inc. 62.30 36,757.00 74.12 43,730.80 6,973.80 1.5 980.000 Timberland Co Cl A 37.16 36,412.39 33.78 33,104.40 -3 307.99 1 2 1,250.000 Verisign Inc. 29.54 36,922.00 21.37 _ 26,712.50 , -10,209.50 . 0.9 594,075.47 650,108.95 56,033.48 _ 22.7 I Small Cap 1,100.000 LandstarSystems Inc. 32.79 36,069.00 40.03 44,033.00 7 964.00 1 5 600.000 Lennar Corp Com Class 58.30 34,982.40 59.76 35,856.00 , 873.60 . 1 3 A . I 1,340.000 Performance Food 29.50 39,529.46 31.53 42,250.20 2,720.74 1.5 Group 960.000 Precision Castparts 37.69 36,181.58 53.10 50,976.00 14,794.42 1.8 Corp. i • • I 1l ~J Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL Village of Tequesta-PSO Custodian- Salem Trust Rockwood Capital Advisors September 30, 2005 (Excluding Reinvested Divs.) Unit Total Quantity Security Cost Cost Price Market Value Gain/Loss pct, Assets 1,280.000 Swift Energy Co 29.27 37,461.38 45.75 58,560.00 21,098.62 2.0 184,223.82 231,675.20 47,45(.38 8.1 (,397,858.96 1,560,298.95 ]62,439.99 54.5 1,397,858.96 1,560,298.95 162,439.99 54.5 INTERNATIONAL EQUITIES Foreign Stock Foreign 850.000 Volvo Aktiebolaget 43.66 37,111.00 43.70 37,145.00 34.00 1.3 ADR CL B 37,111.00 37,145.00 34.00 1.3 37,111.00 37,145.00 34.00 1.3 FIXED INCOME Government Bonds 40,000 US Treasury Note 99.24 39,696.88 98.66 39,465.64 -231 24 1 4 3.125% Due 01-31-07 . . 100,000 Federal Home Loan 100.08 100,082.76 98.47 98,468.75 -1,614.01 3 4 Mortgage Corp . 3.500% Due 09-15-07 100,000 US Treasury Note 98.33 98,332.03 97.66 97,656.20 -675.83 3 4 3.000% Due 11-15-07 . 25,000 FHLB 99.20 24,799.78 102.28 25,570.31 770.53 0 9 5.250% Due 02-13-09 . 50,000 FEDERAL HOME LN 104.33 52,165.15 104.00 52,000.00 -165.15 1 8 MTG CORP . 5.750% Due 03-15-09 50,000 FHLB 100.00 50,000.00 98.78 49,390.63 -609.38 1 7 4.100% Due 03-30-09 . 70,000 US Treasury Note 108.31 75,818.75 106.35 74,443.39 -1 375.36 2 6 6.000% Due O8-I 5-09 , . 105,000 FEDERAL NATL MTG 105.68 110,958.75 104.44 109,659.38 -1 299.38 3 8 ASSN , . 5.500% Due 03-15-11 50,000 Federal Home Loan 100.00 50,000.00 98.81 49,406.25 -593 75 1 7 Bank Bond . . 4.700% Due 10-04-I l 45,000 U S Treasury Notes 100.18 45,079.10 97.34 43,804.71 -1 274.39 I 5 4.000% Due 02-15-15 , . Accrued Interest 646,933.20 639,865.25 -7,067.95 22.3 3,987.92 0.1 646,933.20 643,853.17 -7,067.95 _ 22.5 FNMA 54,589 Federal National 102.24 55,813.09 101.69 55,511.66 -301 43 1 9 Mortgage Assn. Pool# . . 735503 6.000% Due 04-01-35 2 Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL i~illage of Tequesta-PSD Custodian- Salem Trust Rockwood Capital Advisors September 30, 2005 (Excluding Reinvested Divs.) Unit Total Quantity Security _ Cost Cost Price Accrued Interest _ 55,813.09 GNMA 99,449 GNSF Pool #599190 103.87 103,302.70 102.45 6.000% Due 03-15-35 119,963 GNSF Pool #640208 105.78 126,897.89 104.08 6.500% Due 03-15-35 119,163 GNSF Pool #640896 107.47 128,063.10 105. l4 7.000% Due 04-15-35 79,382 GNSF Pool #641273 97.81 77,645.65 96.27 4.500% Due 04-IS-35 435,909.34 Accrued Interest 1,138,655.63 CASH & EQUIV. . Cash Accounts Cash & Equiv. Cash 9,123.58 Money Markets 128,571 Goldman Sachs 1.00 128,571.06 Fin.Sq.Treasury Oblib. Admin 128,571.06 137,694.64 TOTAL PORTFOLIO 2,711,320.23 • Market Pct. Value Gain/Loss Assets 272.95 0.0 55,784.60 -301.43 1.9 101,880.62 -1,422.08 3.6 124,821.81 -2,076.08 4.4 125,293.33 -2,769.77 4.4 76,417.28 -1,228.37 2.7 428,413.04 -7,496.29 15.0 1,141.25 0.0 429,554.29 -7,496.29 15.0 1,129,192.06 -14,865.68 39.4 9,123.58 0.00 0.3 9,123.58 0.00 0.3 1.00 128,571.06 0.00 4.5 128,571.06 0.00 4.5 137,694.64 0.00 4.8 2,864,330.65 147,608.31 100.0 3