HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 04B_11/09/2004Village of Tequesta
Public Safety Officers' Pension Fund
Investment Policy Statement
I. PURPOSE OF INVESTMENT POLICY STATEMENT
The Pension Board of Trustees maintains that an important determinant of future
investment returns is the expression and periodic review of the Fund's investment objectives.
To that end, the Trustees have adopted this statement of Investment Policy.
In fulfilling their fiduciary responsibility, the Trustees recognize that the retirement
system is an essential vehicle for providing income benefits to retired participants or their
beneficiaries. The Board also recognizes that the obligations of the Fund are long-term and
that investment policy should be made with a view toward performance and return over a
number of years. The general investment objective, then, is to obtain a reasonable total rate
of return - defined as interest and dividend income plus realized and unrealized capital gains
or losses -commensurate with the Prudent Investor Rule and any other applicable statute.
Reasonable consistency of return and protection of assets against the inroads of
inflation are paramount. However, the volatility of interest rates and securities markets make
it necessary to judge results within the context of several years rather than over short periods
of two years or less.
The Pension Board of Trustees will employ a professional Investment Management
firm to invest the assets of the fund. Within the parameters allowed in this IPS, the asset
allocation of the fund is solely at the Investment Manager's discretion, including sector
weightings and investment style.
The Trustees, in performing their investment duties shall comply with the fiduciary
standards set forth in Employee Retirement Income Security Act of 1974 (ERISA) at 29
U.S.C. s. 1104(a) (1) (A) - (C). In case of conflict with other provisions of law authorizing
investments, the investment and fiduciary standards set forth in this section shall prevail.
II. INVESTMENT PERFORMANCE OBJECTIVES
The below listed performance measures will be used as objective criteria for
evaluating effectiveness of the Investment Manager.
A. Total Fund Performance
The performance of the total Fund will be measured for rolling three
and five year periods. These periods are considered sufficient to
accommodate the market cycles experienced with investments. The
performance of this portfolio will be compared to the return of a
portfolio comprised of 60% Standard & Poor's 500 Stock Index and
40% Lehman Brothers Intermediate Government /Credit Bond Index.
2. On a relative basis, it is expected that the money manager's
performance with regard to the total return of combined equity, fixed
income, and cash portfolio, will be in the top 40% of the Mobius
Universe over three to five-year periods.
3. On an absolute basis, it is expected that total return of the combined
equity, fixed income, and cash portfolio, will equal or exceed the
actuarial earnings assumption (8 %), and equal or exceed the
Consumer Price Index plus 3% over three to five-year periods.
B. Equity Performance
The equity portion of the portfolio, defined as common stocks and convertible
bonds, is expected to perform at a rate at least equal to the S&P 500 Index and
be in the top 40% of the Mobius Universe.
C. Fixed Income Performance
The overall objective of the fixed income portion of the portfolio is to add
stability, consistency and safety to the total fund. The fixed income portion of
the portfolio, defined as fixed income and preferred stocks, is expected to
perform at a rate at least equal to the Lehman Brothers Intermediate
Government /Credit Bond Index, and in the top 40% of the Mobius Universe.
III. INVESTMENT GUIDELINES
A. Authorized Investments
All investments made or held in the fund shall be limited to:
1. Time, savings, and money market deposit accounts of a national
bank, a state bank or a savings and loan institution, insured by the
Federal Deposit Insurance Corporation, provided the amount
deposited does not exceed the insured amount.
2. Obligations issued by the United States Government or obligations
guaranteed as to principal and interest by the United States
Government or by an agency of the United States Government.
3. Stocks, commingled funds administered by national or state banks,
mutual funds and bonds or other evidences of indebtedness, issued
or guaranteed by a corporation organized under the laws of the
United States, any state or organized territory of the United States
or the District of Columbia, provided:
a. The securities meet the following ranking criteria:
i. Fixed Income: Standard & Poor's Investment Grade
or Moody's Investment Grade
ii. Equities: At least 90% of the equities shall be rated
by a major rating service in the top three
quality grades. Value line ranking for
safety 1,2,or 3,
except that 20% of the funds assets may be
invested in securities not meeting this
requirement.
iii. Money Market: Standard & Poor's Al or Moody's P1.
b. Not more than 5% of the Fund's assets shall be invested in the
common stock or capital stock of any one issuing company, nor
shall the aggregate investment in any one issuing company
exceed 5% of the outstanding capital stock of the company.
c. The value of bonds issued by any single corporation shall not
exceed 5% of the total fund.
4. Commingled stock, bond or money market funds whose investments
are restricted to securities meeting the above criteria.
Foreign securities.
B. Limitations
Investments in corporate common stock and convertible bonds shall not
exceed 60% of the Fund assets at cost or 70% of the fund assets at
market value.
2. Foreign securities shall not exceed 10% of the value at cost of the fund.
3. All equity securities must have been traded on a major exchange for at
least one year.
C. Absolute Restrictions
There will be no investment activity in the following:
1. Short sales, margin purchases, or borrowing.
2. Private placement or other restricted securities (not freely marketable).
3. Commodities.
4. Puts, calls, straddles or hedging.
5. Warrants or other options, except as part of purchase of another security.
6. Tax-exempt bonds.
7. Repurchase Agreements
8. Venture capital.
9. Illiquid investments, as described in Chapter 215.47, Florida Statutes
10. Any investment prohibited by State or Federal Law.
11. Any investment not specifically allowed as part of this policy.
D. Trading Parameters
When feasible and appropriate, all securities shall be competitively bid. Except as
otherwise required by law, the most economically advantageous bid shall be selected.
Commissions paid for purchase of securities must meet the prevailing best-execution
rates.
IV. COMMUNICATIONS
A. On a monthly basis, the custodian shall supply an accounting statement that will
include a summary of all receipts and disbursements and the cost and the market value
of all assets. On a quarterly basis, the Investment Manager shall provide a written
report affirming compliance with the security restrictions of Section III above and a
summary of common stock diversification and attendant schedules. In addition, the
Investment Manager shall deliver each quarter a report detailing the Fund's
performance, adherence to the investment policy, forecast of the market and economy,
portfolio analysis and current assets of the Trust. Written reports shall be delivered to
the Trustees within 60 days of the end of the quarter. A copy of the written report shall
be submitted to the person designated by the city, and shall be available for public
inspection. The Investment Manager will provide immediate written and telephone
notice to the Trustees of any significant market related or non-market related event,
specifically including, but not limited to, any deviation from the standards set forth in
Section III above.
B. The Investment Manager will disclose any securities that do not comply with section
III in each quarterly report.
C. If the Fund owns investments, that complied with section III at the time of purchase,
which subsequently exceed the applicable limit or do not satisfy the applicable
investment standard, such excess or noncompliant investments may be continued until
it is economically feasible to dispose of such investment in accordance with the
prudent man standard of care, but no additional investment may be made unless
authorized by law or ordinance.
D. The Trustees shall retain a monitoring service to evaluate and report on a quarterly
basis the rate of return and relative performance of the Fund.
E. The Trustees will meet quarterly to review the monitoring service's Performance
Report. The Trustees will meet with the Investment Manager and appropriate outside
consultants to discuss performance results, economic outlook, investment strategy and
tactics and other pertinent matters affecting the Fund on a periodic basis.
F. At least annually, the Trustees shall provide the Investment Manager with projected
disbursement needs of the plan, so that the investment portfolio can be structured in
such manner as to provide sufficient liquidity to pay obligations as they come due. To
this end, the Investment Manager should, to the extent possible, attempt to match
investment maturities with known cash needs and anticipated cash-flow requirements.
V. COMPLIANCE
A. It is the direction of the Trustees that the plan assets are held by a third party
custodian, and that all securities purchased by, and all collateral obtained by, the plan
shall be properly designated as plan assets. No withdrawal of assets, in whole or in
part, shall be made from safekeeping except by an authorized member of the board of
Trustees or their designee. Securities transactions between abroker-dealer and the
custodian involving purchase or sale of securities by transfer of money or securities
must be made on a "delivery vs. payment" basis to insure that the custodian will have
the security or money in hand at conclusion of the transaction.
B. At the direction of the Trustees, operations of the fund shall be reviewed by
independent certified public accountants, as part of any financial audit periodically
required. Compliance with the Trustees' internal controls shall be verified. These
controls have been designed to prevent losses of funds that might arise from fraud,
error, or misrepresentation by third parties or imprudent actions by the Board or
employees of the plan sponsor, to the extent possible
C. Each member of the Board of Trustees shall participate in a continuing education
program relating to investments and the Trustee's responsibilities to the fund. It is
highly suggested that this education process begin during the Trustees' first term.
D. With each actuarial valuation, the Board of Trustees shall determine the total expected
annual rate of return for the current year, for each of the next several years and for the
long term thereafter. This determination shall be filed promptly with the Department
of Management Services, the plan's sponsor and the consulting actuary.
E. In general, proxies shall be voted in accordance with the Trustees proxy policy, which
states that "The proxy votes must be exercised for the exclusive benefit of the
participants of the Fund." On a regular basis, at least annually, each manager shall
report a record of his or her proxy vote.
VI. CRITERIA FOR INVESTMENT MANAGER REVIEW
The Board wishes to adopt standards by which judgments of the ongoing performance
of the Investment Manager may be made. With this in mind, the following are adopted:
If, at any time, any one of the following is breached, the Investment Manager will be
warned of the Board's serious concern for the Fund's continued safety and performance.
A. Four consecutive quarters of total Fund performance below the 50th percentile in
manager performance rankings.
B. Standard deviation for the Fund in excess of 120% of the policy
C. Loss by the Investment Manager of any senior investment personnel.
D. Any change in basic investment philosophy by the Investment Manager.
E. Failure to attain a 60% vote of confidence by the Board of Trustees.
F. Failure to observe the security quality restrictions of section III.
Nothing in this section shall limit or diminish the Trustees' right to terminate the Investment
Manager at any time for any reason.
VII. FLORIDA STATUTES 175,185 AND APPLICABLE VILLAGEORDINANCES
If, at any time, this document is found to be in conflict with Chapters 175 or 185,
Florida Statutes, or the applicable Village Ordinances, the Statutes and Ordinances shall
prevail.
VIII. REVIEW AND AMENDMENTS
It is the Trustees intention to review this document periodically and to amend this
statement to reflect any changes in philosophy, objectives, or guidelines. In this regard, the
Investment Manager's interest in consistency in these matters is recognized and will be taken
into account when changes are being considered. If, at any time, the Investment Manager
feels that the specific objectives defined herein cannot be met, or the guidelines constrict
performance, the Trustees should be notified in writing. By initial and continuing acceptance
of this Investment Policy Statement, the Investment Manager concurs with the provisions of
this document.
Date: 9 November, 2004
ROCKWOOD CAPITAL ADVISORS
VILLAGE OF TEQUESTA PUBLIC
SAFETY OFFICERS' PENSION
FUND
By:
As:
By:
Chairman, Board of Trustees
~~ S 2Fx~3 2 oo~z. zoo ~ 2oov Ya~9 ?3~. co
~ArJA ~4~ 30.5 - t9 ,~ s 8.8 Zz.~! ,q 2
,Ro - S,q -S.3 3.-1 43.0 .8~
~~c.~~xxx~ 33.1 ~
(0.3 3Y`Q
~ p ~! A/R-~-~-wOc~ .8 ~ 3 ~ . B ~ l 2 ~ b ~ 2. ~
j4.I~ , ~b
-22.7 -t2.q 2'~
2~.7 a2. ~
S :.P Sow
Vp
S\~o
pp~A I b (~`I~g
~Lo~~-~naov 1't 9~~ I o
1~ANAc ~~-~-K-woroD ~ ~ $'~ D9.S
'D N
__-_
~t o
~ s°~~s
b3`~s• s
(o~~~ o
~~\b~
S';Q ~'aJ
3 Y2 sTv
Div
!?. 7
~ 10• !
b. 7
~3. 1
rq. `
S`~R. S~
~~
i 1. • !•
20.
t7.7
ld.Q
~q•3
co wt s~o
~~
~ ~. 7
I~.s
17. I
~~.c3
--~.
17,7
~ yT~ t 3 s ~ o
I~~nr A -. 3 S 3. a ~ S, ~ (o ~S S.s r S~
. 3 3 S. ~ 24.4 ~ Y. 9 ~~. ~ iZ.3
(Z d(aLwO~o~
7Arr a l ~ t1C.~c wov o
p ~S.Z 3.~ 1.1 ~3.g
Np ~.. i 1~1 s i p-~1.. ~ . ~ ~{ ~ •
s~ a s~ ., 1, ~ ~, ~' ~s.8 ~. ~ -1.3 <<, t
r
BOGDAHN CONSULTING LLC.
simplifying your investment decisions
Village of Tequesta
PUBLIC SAFETY OFFICERS
PENSION PLAN
September, 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
September 30, 2004
Presented
by:
Bogdahn Consulting, LLC
~ Village of Tequesta Public Safety Officers'
t 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.
~ Villa e of Te uesta Public Safet Officers'
9 q Y
' Pension Trust Fund
Executive Summary
' Account Reconciliation
09/30/2004 2004 10/31 /2000
Qtr YTD Incept
807'
Investment Policy
1
1
5 Yr 6 Yr
7 Yr 8 Yr
10/31 /2000
9 Yr 10 Yr Incept
' Calendar Year Returns
'
Returns in Up Markets
10/31 /2000
1 Yr 2 Yr 3 Yr Incept
Fund 8.0 9.1 8.3 9.3
Policy 9.1 17.8 16.4 1,6.2..,
Ratio 88.7 51.1
--- 50.5 ~~ 7.3 \
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.
' 2
Returns in Down Markets
1 Yr
and 0.2
10/31 /2000
2 Yr 3 Yr Incept
Village of Tequesta
Public Safety Officers' Pension Plan
Asset Allocation Through September 30, 2004
Equity
54%
At Cost
Equity
50%
Fixed Income
34%
fixed Income
36%
3
At Market
Cash &Equiv
12%
Cash &Equiv
14%
~ Village of Tequesta Public Safety Officers'
Pension Trust Fund
' Universe Comparison Report Explanation
The universe compares the fund's returns to a group of other investment portfolios, called a universe. Ideally the universe
is comprised of many other investment funds with similar investment profiles. Comparisons are provided over many
different time periods.
Trailing Returns: This section focuses on longer term returns. It shows the cumulative time weighted returns and
percentile rankings for the last 1 year, 2 years, 3 years, and so on up through 10 years if available. The returns for the
fund, the policy and the universe percentiles are displayed. A percentile ranking of 1 is the best, and 100 is the worst. For
' example, a ranking of 50 means that the fund outperformed half of the universe. A ranking of 25 means the fund was in the
top 25% of the universe, outperforming 75%. Above 50 is acceptable. Above 25 is excellent. High rankings over all time
periods are ideal; however, it is more important to rank highly over the longer periods rather than the shorter periods.
' Calendar Year Returns: This section focuses on shorter periods and gauges the consistency of performance over time. It
shows the calendar year returns for the fund, the investment policy and the universe percentiles. Each full year of
' performance represents the return from January 1st through December 31st. Ideally the fund has performed well in the
earlier years and in the most recent years. Watch out for a trend toward underperformance in recent periods. Note the
performance in different market environments. A high policy return indicates a bull market, and a low policy return indicates
' a bear market.
All rates of return are annualized if the period for which theyare calculated exceeds one year.
4
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% ~
5.00%
0.00%
-5.00%
-10.00%
-15.00% - --- _ - - -
Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996
~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile
® 75-95th %tile Q Fund ^ Policy
Calendar Year Returns
Qtr ' YTD I 2003 2002
Fund
Return 0.36 4.43
I 1 3 -10.75
-tile 21 i 100 75
~ Policy
Return 0.25 2.13 17.13 -8.74
-tile I 27 26 1 38 ~ 34
Universe
5th %-tile ~ 1.20 3 58 19.96 -5.88
25th %-tile ~ 0.29 2.14 17.96 -8.23
50th %-tile -0.15 1.47 16.66 -9.43
75th %-tile -0.74 0.45 15.03 -10.82
95th %-tile -1.59 -0.83 12.7 -12.30.1
Returns are in percent . "%-tile" is the percentile ranking within the universe.
Returns for periods exceeding one year are annual ized.
2001 L 2000 1999 1998 1997 1996
-3.65
- -53
L_ -
-3.07
39
1.24
-2.00
-3.55
-4.83 ;
9.38
3.89
-0.37
-2.04 ~
17.94
13.36
11.33
8.70 ~--
21.50
18.86
16.76
12.99 -
23.12
21.60
20.00
17.35 I
17.01
14.89
13.72
12.06
-7.55 I -4.27 I 3.68 10.11 ~ 12.68 9.26
~ ---I -- - ~ ---
5
No Text
Village of Tequesta Public Safety Officers
Pension Trust Fund
Universe Comparisons
' S5% Lg Cap Core, 35% Hg Quality Bd, 10% Cash
20.00%
15.00%
10.00%
5.00%
0.00%
' -5 00%
ber ~U, ZUU4
°~.e~C
2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr
4 Yr 5 Yr 6 Yr
~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile
~ 75-95th %tile ~ Fund Policy
7 Yr 8 Yr
I I 2 Qtrs I 3 Qtrs I 1 Yr I 2 Yr I 3 Yr I 4 Yr I 5 Yr I 6 Yr I 7 Yr I 8 Yr I
3.05
68
4.97
13
Universe
5th %-tile 1.19 3.58 11.45 13.64 5.69 2.77 4.67 6.52 6.13 8.06
25th %-tile 0.18 ~ 2.14 9.23 12.24 4.48 0.81 2.91 4.66 4.82 7.02
50th %-tile -0.26 1.47 8.12 11.27 3.70 -0.24 1.79 3.75 4.24 6.34
75th %-tile -0.95 0.45 6.56 9.80 2.72 -1.28 0.96 3.10 3.43 5.44
95th %-tile -2.08 -0.83 4.37 8.01 1.33 -2.85 -0.42 1.75 1.89 4.22
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, 2004
' 6
~ Villa e of Te uesta Public Safet Officers'
9 q Y
' Fixed Income
Executive Summary
Account Reconciliati n
0
09/30/2004 2004 10/31 /2000
Qtr YTD Incept
5Yr 6Yr
7 Yr 8 Yr
10/31 /2000
9 Yr 10 Yr Incept
Calendar Year Returns
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
Villa e of Te uesta Public Safet ffi r '
g q y 0 ce s
Fixed Income
Universe Comparisons
' High Quality Bond
Calendar Year Returns
15.00%
10.00%
5.00% ~ - -
~ ~ ®®
o.oo°i°
-5.00% -- -_
Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996
®
5-25th %tile
~ -- --
25-50th %tile ~j 50-75th%tile
® 75-95th %tile Fund !~ Policy
' Calendar Year Returns
_-_ _~
-_-Qtr
YTD
~ 2003 ~ l
2002 1 -
2001 I
20001
199 ~
1998
1997
' _
Fund -- _
---
- -
Return 2.72 2.43 3.65 9.01 10.20
-tile 55 60 61 32 3
1996
' Policy
Return 3.56 3.37 i 4.68 11.02 8.51
-tile ; 12 24 ~ 35 4 21
_ _ ~ --- - - . --i_ -- -- - - - ---- -1- ---- -- ~--_.----
Universe
j 5th /°-tile -- _ 4.09 4.27 -_. - - ,. _ ---~
I 11.51 10.87 I 9.85 12.37 ~ 4.61 9.45 11.75
25th %-tile 3.20 3.33 5.34 i 9.37 8.40 ~ 10.90 1.75 8.34 9.52
' 50th %-tile 2.86 2.75 I 4.04 ~ 7.98 i 7.81 9.56 -0.45 ~ 7.26 8.59
75th %-tile 1.50 1.78 2.90 5.51 7.00 I 7.70 ~ -1.46 ' 6.33 7.06
95th %-tile 0.61 0.76 1.63 1.50 4.93 ~ 5.78 3.67 i 4.50 5.91
l __ - 1- L
1 Returns are in percent. "%-tile" is the percentile ranking within the universe.
Returns for periods exceeding one year are annualized.
8
6.94
4.98
3.78
2.79
1.54
~ Villa e of Te ue t P '
g q s a ublic Safety Officers
Fixed Income
Universe Comparisons
High Quality Bond
Trailing Returns through September 30, 2004
15.00% - - -
10.00%
5.00%
0
0.00%
-5.00% ' -- ----- -
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 ~ Policy
Return
' %-tile
0.59 2.43 2.73 ~ 3.69 5
37 60
-- 60
~- 63
Policy
Return 0.28 3.37 3.35 4.92
-tile 59 24 43 32
-
Universe
5th %-tile 1.38 4.27 I 6.16 9.39
1 25th %-tile 0.80 3.33 ~ 4.02 i 5.28
' ~ 50th %-tile 0.43 2.75 ~, 3.11 ' 4.20
75th %-tile 0.08 ~ 1.78 i 1.97 I 3.14
95th %-tile _ ~ -0_34 0.76 0.87 1.65 i
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, 2004
9
~ 0
4Y~ 5Yr 6Yr~ 7Yi
ae
6.33
16
7.72 -_I _-
8.721 -
8.41 -
6.84
5.74 7.431 7.18 5.91
5.00 6.67 ~ 6.45 Iii 5.30
I
3.81 5.32 II 5.41 ; 4.73
2.06
~I 3.57 L 4.13 l 3.84 ^
--
_ i
7.30
6.49
5.91
5.21
4.27
8 Yr
7.75
6.86
6.27
5.45
4.58
i
~ Villa e of Te uesta Public Safet Officers'
9 q Y
Equity
Executive Summary
5Yr 6Yr 7Yr 8Yr 9Yr 10Yr
10/31 /2000
Incept
Calendar Year Returns
09/30/2004 2004
Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995,
-11.88
-1.99
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
Investment Policy
Returns in Down Markets
~ Villa e of Te uesta Public Safet Officers'
g q Y
~ Equity
Universe Comparisons
' Broad Large Cap Growth
Calendar Year Returns
' 100.00%
75.00%
' 50.00%
25.00%
0.00%
-25.00%
-50.00% Qtr YTD 2003 2002 2001 2000 1999 1998
' Calendar Year Returns
® 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile
75-95th °rotile Fund Policy
1997 1996
Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996
-0.75 6.57 18.33 -27.28 -13.87
I
9 1 100 ~ 59 21
~
- -- --
-1.87 1.51 28.68 -22.1 0.88T
19 19 39 22 ~ 10 I
-____._
-
-- -- - -
0.10 4.97 40.85 -15.79 -9.94 ~
-0.22 66.15 50.95 37.03 27.77
-2.34 0.77 31.14 -22.77 -14.91 -7.14 43.89 37.77 31.69 22.50
-4.08 -1.47 27.09 -25.90 -19.23 -11.77 32.72 31.70 27.88 20.03
-5.09 -3.32 24.31 -29.82 -23.97 -17.62 24.68 25.56 23.30 16.83
-7.48 -6.93 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.
~a
11
Village of Tequesta Public Safety Officers'
Equity
Universe Comparisons
Broad Large Cap Growth
Trailing Returns through September 30, 2004
~~ ~~°~
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
-5.00%
-10.00%
-15.00%
-20.00% 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 n Policy
ralling Returns through September 30, 2004
2 Qtrs 3 Ctrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr
,Return 0.93 6.57 13.36 10.09 0.66
-tile 7 1 17 93 64
Policy
Return -0.18 1.51 13.87 ~ 19.02
I i 4.05 ;
-tile 13 19 15 I
I 17
1 27
Universe __-- .
- --- - _- _ ____
5th %-tile
1.31
4.97
17.89 ~
22.64
8.57 ~ -
-3.26 ~~
4.62
9.71
7.84
10.12
25th %-tile -1.42 0.77 I, 11.72 ~ 17.01 4.18 ~'i, -7.39 it -0.51 ~ 4.80 4.06 Ii 7.24
50th %-tile -2.89 ! -1.47 ' 8.74 ~ 14.98 1.70 -10.23 -3.49 ~ 2.00 2.16 i 5.49
75th %-tile -4.27 -3.32 6.26 12.74 -0.57 -13.26 -5.94 -0.12 0.29 ~ 3.94
95th %-tile -7.40 -6.93 2.04 9.47 -2.48 -17.28 i -9.82 -3.79 -2.99 0.70
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, 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%
1 Yr
Fund (%) 8.04
Policy (%) 9.06
Difference (%) -1.02
Ratio 88.74
# Up Qtrs 3.00
2 Yr ~ 3 Yr Incep1
9.08 I 8.29 9.30
17.77 ~ 16.41 16.22
-8.69 ~ -8.12 -6.92
51.10 I 50.52 57.34
6.00 8.00 9.00
Down Market Returns
10.00%
5.00%
0.00%
-5.00%
-10.00%
-15.00%
-20 00%
1 Yr 2 Yr _ _3 Yr Incept
Fund (%) 0.15 0.15 I -6.69 -12.54
Policy (%) -0.15 -1.28 ~I -14.64 -16.93
Difference (%) 0.30 1.43 ~ 7.95 4.39
Ratio ~ -100.00 -11.72 ~ 45.70 74.07
# Down Qtrs 1.00 2.00 4.00 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
~w wu Mug JU1 JUG UU1 MUL JUL 7UZ UUL MU3 JU:i SU3 UU3 MU4 JU4 SU4
Quarter Ending
^ Fund `,}; Policy
Q Nominal 8% ^ CPI + 3%
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Attributions of Returns Report Explanation
Performance attribution concentrates on evaluating the effect of the manager's decisions on asset allocation and security
selection. This allows the investor to see whether the manager is adding value by adjusting the actual asset allocation or by
picking individual securities. This information is valuable in helping determine the amount of freedom that might be given to
the manager in regard to asset allocation ranges. The result of these skills are shown for multiple time periods.
The top section shows the returns for both the account and the investment policy and the results of the manager's
contribution. The fund's return is thus attributed to the policy and the manager.
The bottom section divides the manager's contribution into two components: asset allocation and security selection. The
asset allocation effect measures the value that was added by varying the actual asset allocation from the target allocation.
This is done by assuming investments, in amounts equal to the actual asset allocation weights, were made in the policy's
indices so that security selection has no effect. The difference between this return and the policy's return is the asset
allocation effect. The security selection is the remainder of the manager's contribution that is not explained by asset
allocation.
15
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Attribution of Returns
Attribution of Performance to show Manager Contribution
Policy Manager Contribution Fund
Current Quarter 0.25 01''1' 0.36
Year to Date 2.13 2.30 4.43
1 Year 8.90 -0.70 8.20
2 Years 12.33 -5.52 6.81
3 Years 4.97 -1.92 3.05
Incept 0.75 -1.34 -0.59
Policy + Manager Contribution =Fund
Attribution of Manager Contribution between Asset Allocation and Security Selection
Asset Allocation Security Selection Manager Contribution
Current Quarter -0.38 0.49 0.11
Year to Date -1.17 3.47 2.30
1 Year -4.23 3.53 -0.70
2 Years -6.38 0.86 -5.52
3 Years -2.32 0.40 -1.92
Incept -0.53 -0.81 -1.34
Asset Allocation + Security Selection =Manager Contribution
16
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Asset Allocation Effect
1 o.oo°io
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
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% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04
Quarter Ending
~ Quarterly Effect Cumulative Effect
17
70
40
10.
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Asset Allocation vs Targets
---------------------------------------
70
50
1
UVV IVIV I JV I AU I UV I rvwc we vvc vv~ .. ~ .... ...... ...... -..-- •-•- - - ~ - - -
Quarter Ending
~~ Equity ~ Targetl
-------------------------------------------------------------------------------------
~-~ - - -
D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04
Gluarter Ending
~ ^ Fixed Income ~ Target I
18
V.UU7o D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04
Quarter Ending
Cash & Equiv ~- Target
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Manager Contribution
1 o.oo°i°
5.00%
R
e
t 0.00%
u
r
n
-5.00%
-10.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04
Quarter Ending
~~ Quarterly Cumulative
Growth of $100 Fund vs Policy
v
a
I
u
e
19
Quarter Ending
!~ Fund I Policyl
~ Village of Tequesta Public Safety Officers'
' Pension Trust Fund
Quarterly Comparison Analysis ($)
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
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
Incept. -0.59 0.75 -1.34 8.00 -8.59 5.26 -5.85
Returns for periods exceeding one year are annualized.
21
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Risk Measures Report Explanation
The evaluation of a fund's performance should extend beyond return to encompass measures of risk. The next two pages
are used to determine the level of risk to which the fund has been exposed, and whether the return has been
commensurate with the risk taken. All measures are calculated for both the fund and the policy as well as the difference
between the two. Up to four time periods are evaluated depending on the age of the fund.
# Of Negative Qtrs/# Of Positive Qtrs: Number of negative quarters shows the number of quarters in which the return
was less than zero, and the number of positive quarters is the number of quarterly returns which were greater or equal to
zero.
Batting Average: The batting average is a measure of consistency. It shows the percent of the quarters the fund has
beaten the policy and the percent of the quarters the policy has beat the fund. A high average for the fund (e.g. over 50) is
desirable, indicating the fund has beaten the policy frequently.
Worst Quarter/Best Quarter/Range: The worst quarter is the lowest quarterly return experienced during the period, a
measure of downside risk. The best quarter is the highest quarterly return, and the range is the difference of the high and
low, and indicates dispersion.
Standard Deviation: Standard deviation measures the total volatility of the fund, by measuring dispersion. Higher
standard deviation indicates higher risk. If the quarterly or monthly returns are all the same the standard deviation will be
zero. The more they vary from one another, the higher the standard deviation. Thus, it measures uncertainty, which is a
measure of risk.
Alpha/Beta/R-Squared: If the policy is appropriate, then the alpha should be positive, the beta close to one, and the
' r-squared should be high. Beta measures risk relative to the policy. A beta of 1 suggests risk equivalent to the policy.
Higher betas indicate higher relative risk. A beta of 1.2 indicates 20% more risk than the policy. The alpha measures the
return adjusting for beta. The higher the alpha, the better. R-squared measures the relationship between the policy and
I' 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
1 Yr Fund Policy Diff
# of Negative Qtrs 0.00 1.00 -1.00
# of Positive Qtrs 4.00 3.00 1.00
Batting Average 75.00 25.00 50.00
Worst Qtr 0.15 -0.15 0.30
Best Qtr 3.89 6.62 -2.73
Range 3.74 6.77 -3.03
Worst 4 Qtrs 8.20 8.90 -0.70
Standard Deviation 5.43 5.15 0.28
Beta 0.80 1.00 -0.20
Annualized Alpha 0.94 0.00 0.94
R-Squared 0.57 1.00 -0.43
Sharpe Ratio 1.32 1.53 -0.21
Treynor Ratio 8.95 7.86 1.09
Tracking Error 3.71 0.00 3.71
Information Ratio -0.19
2 Yr Fund Policy Diff
# of Negative Qtrs 2.00 2.00 0.00
# of Positive Qtrs 6.00 6.00 0.00
Batting Average 62.50 37.50 25.00
Worst Qtr -1.33 -1.13 -0.20
Best Qtr 4.15 9.63 -5.48
Range 5.48 10.76 -5.28
Worst 4 Qtrs 5.44 8.90 -3.46
Standard Deviation 4.88 6.76 -1.88
Beta 0.43 1.00 -0.57
Annualized Alpha 0.97 0.00 0.97
R-Squared 0.35 1.00 -0.65
Sharpe Ratio 1.16 1.66 -0.50
Treynor Ratio 13.21 11.20 2.01
Tracking Error 5.51 0.00 5.51
Information Ratio -1.00
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 6.03 9.63 -3.60
Range 10.77 17.44 -6.67
Worst 4 Qtrs -10.75 -9.84 -0.91
Standard Deviation 5.55 8.03 -2.48
Beta 0.51 1.00 -0.49
Annualized Alpha -0.15 0.00 -0.15
R-Squared 0.54 1.00 -0.46
Sharpe Ratio 0.30 0.44 -0.14
Treynor Ratio 3.22 3.56 -0.34
Tracking Error 5.49 0.00 5.49
Information Ratio -0.35
Incept Fund Policy Diff
# of Negative Qtrs 7.66 6.66 1.00
# of Positive Qtrs 8.00 9.00 -1.00
Batting Average 68.08 31.92 36.16
Worst Qtr -7.63 -7.81 0.18
Best Qtr 6.03 9.63 -3.60
Range 13.66 17.44 -3.78
Worst 4 Qtrs -10.75 -9.84 -0.91
Standard Deviation 6.71 8.72 -2.01
Beta 0.63 1.00 -0.37
Annualized Alpha -1.87 0.00 -1.87
R-Squared 0.65 1.00 -0.35
Sharpe Ratio -0.42 -0.17 -0.25
Treynor Ratio -4.46 -1.47 -2.99
Tracking Error 5.22 0.00 5.22
Information Ratio -0.26
23
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Return vs Risk through September 30, 2004
15.00%
10.00%
A
n
n
u
a
I
i
z 5.00%
e
d
R
e
t
u
r
n
0.00%
-5.00°/p
U.00%
5.00% 10.00% 15.00%
Risk (Annualized Std Dev)
Policy
20.00% 25.00% 1
24
~ Villa e of Te uesta Public Safet Officers'
9 q y
' Pension Trust Fund
Return vs Risk through September 30, 2004
1 Year 2 Years
20.00% 25.00%
j
20.00%
' 15.00% ~S&P 500
500
R R 15.00%
e e
t 10.00% t
u u
' r r 10.00%
n n
s 5.00% s
I ~ Fund
° r
5.00 % ~ LB Gov/Corp
0.00% 1.00% °
' 3.00 /° 5.00 /° 7.00 /° 9.00 /° 0.00°/ 3 Mo TBill i i
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 8.00% 5.00% 10.00% 15.00% 20.00%
Risk (Annualized Std Dev) Risk (Annualized Std Dev)
3 Years _ Inception
- -
8.00% --- 15.00% _ - - - -
7.00%
~ LB Gov/Corp 10.00% f
6.00%
' R ~ LB Gov/Corp
e 5.00%
e
t t 5.00%
' u 4.00% ~S&P 500 u
r r
n n 3 Mo TBill
s 3.00% ~ ~ Fund ~
s 0.00%
2.00% ~ Fund
3 Mo T ill ~I
1.00% ~ _~_ __ ~ ~-_ ~ -5.00% L _ -~- --~ - - i. _~ J
1 5.00% 15.00% 25.00% 5.00% 15.00°/~PJ5~0-25.00%
0.00% 10.00% 20.00% 0.00% 10.00% 20.00%
Risk (Annualized Std Dev) Risk (Annualized Std Dev)
Policy
' 25
Village of Tequesta Public Safety Officers'
Pension Trust Fund
Policy: 10/31/2000-09/30/2004 55.00 S&P 500
35.00 Lehman Gov/Credit Bond
10.00 Citigroup Treasury Bill - 3 Month
First Objective: 10/31/2000-09/30/2004 Annual Return of 8.00%
Second Objective: 10/31/2000-09/30/2004 100.00 US Consumer Price Index
+ 3.00 annual adder
Universe Data: 10/31/2000-09/30/2004 35.00 High Quality Bond
55.00 Pure Large Cap Core
10.00 Government Money Market
26
' Performance: Calendar Period Returns
' Data calculated using Quarterly returns
1
BC Dana Contra -Gross Mixed
t Contravisory Research & Management Corp. -Contravisory Equity Portfolio -
Gross Equal (Equity Only)
Dana Investment Advisors, Inc. -Dana Large Cap Equity -Gross Size
' Northstar Capital Management, Inc. -Quality Growth Equity -Gross Size
S&P 500
Returns
2003 2002 2001 2000 1999
31.861 -12.612 -2.284 6.301 32.990
33.110 -5.845 -5.272 3.714 43.004
30.495 -19.072 0.747 8.795 22.430
18.457 -22.726 -12.901 2.632 19.178
28.685 -22.100 -11.885 -9.105 21.045
In
Performance: Correlation
5 Years Trailing ending 09/30/2004
' Data calculated using Quarterly returns
I~
Returnset and Index
' BC Dana Contra -Gross Mixed
~, Contravisory Research & Management Corp. -Contravisory
Equity Portfolio -Gross Equal (Equity Only)
Dana Investment Advisors, Inc. -Dana Large Cap Equity -
Gross Size
Northstar Capital Management, Inc. -Quality Growth Equity -
Gross Size
• S&P500
' Timeframe: 5 Years Trailing
Topic: Correlation
1~
ii
i~
i~
ii
u
ii
i~
i~
i~
ii
ii
.. •
1.000 0.974 0.962 0.889 0.933
0.974 1.000 0.876 0.880 0.874
0.962 0.876 1.000 0.838 0.940
0.889 0.880 0.838 1.000 0.873
0.933 0.874 0.940 0.873 1.000
ii
'
' Performance: Index Relative Risk Statistics
Benchmark: S&P 500
5 Years Trailing ending 09/30/2004
Data calculated using Quarterly returns
Alpha Beta R-Squared
' 14
1.0 90
~
12 ~.,.. 0.9 - - 80
0.8
10 -- I 0.7 ~ 70
' 8 I I 0.6
5 ~
0 60
50
.
6 0.4 I 40
4 0.3 i 30
2 0.2 20
' 0.1 10
0 - - 0.0 ~ - 0
5Yr
Ending 09/30/2004
Treynor Ratio
10
a ~ - ~
6 ~ ~
4
r-
2 ~
0 -
-2
-4
ao
70
60
50
40
30
20
10
0
5Yr
Ending 09/30/2004
Batting Average
1.s
to
1.2
1.0
0.8
0.6
0.4
0.2
0.0
5Yr
Ending 09/30/2004
Information Ratio
SYr 5Yr 5Yr
Ending 09/30/2004 Ending 09/30/2004 Ending 09/30/2004
• S&P 500
Alpha Beta R-Squared Treynor Batting Information
Ratio Average Ratio
BC Dana Contra -Gross Mixed 9.565 0.858 87.395 6.723 80.000 1.402
~ Contravisory Research & Management Corp. -Contravisory 12.945 0.908 76.642 9.423 75.000 1
280
Equity Portfolio -Gross Equal (Equity Only) .
Dana Investment Advisors, Inc. -Dana Large Cap Equity - 6.240 0.806 88.827 3.493 80
000 0
969
Gross Size . .
Northstar Capital Management, Inc. -Quality Growth Equity 1.399 0.764 76.725 -2.435 70.000 0.165
-Gross Size
• S&P 500 0.000 1.000 100.000 -4.229 100.000
Timeframe: 5 Years Trailing
Index: S&P 500
' Performance: Market Capture Ratios
Benchmark: S&P 500
5 Years Trailing ending 09/30/2004
' Data calculated using Quarterly returns
' Up-Market Ratio Down-Market Ratio Up-Market vs Down-Market
160 70 150
140
r
60
140
' 130
120 50 p 120
100
40 ~
~ 110
80 I i ~ Y 100
' 60 30 ~ 90
20 80
40 I~ i ~
70
' 20 10 60
0 0 ' - ~ _ I _ __ ~ 50
5Yr 5Yr 60 70 80 90 100 110 120 130 140
' Ending 09/30/2004 Ending 09/30/2004 Down-Market Ratio
' Up-Market Ratio Down-Market Ratio
+~ BC Dana Contra -Gross Mixed 128.033 63.647
Contravisory Research & Management Corp. -Contravisory Equity Portfolio - Gross Equal (Equity 148.925 62.655
Only)
' Dana Investment Advisors, Inc. -Dana Large Cap Equity -Gross Size 106.738 64.983
Northstar Capital Management, Inc. -Quality Growth Equity -Gross Size 76.848 69.436
' • S&P 500
Index: S&P 500 100.000 100.000
Timeframe: 5 Years Trailing
1
1
1
' Performance: Return vs Risk
Benchmark: S&P 500
' 3 Years Trailing and 5 Years Trailing ending 09/30/2004
Data calculated using Quarterly returns
' 3 Years Trailing ending 09/30/2004 5 Years Trailing ending 09/30/2004
15 p 15
1 10 ® 10
5 ^
5
E ^ 0 ^
¢ 0 p~
-5
' -5 -10
-10 '
12 14 16 18 20 22 24 26
Standard Deviation
BC Dana Contra -Gross Mixed
~ Contravisory Research & Management Corp. -Contravisory Equity Portfolio -
Gross Equal (Equity Only)
Dana Investment Advisors, Inc. -Dana Large Cap Equity -Gross Size
Northstar Capital Management, Inc. -Quality Growth Equity -Gross Size
• S&P 500
15 '
16 17 18 19 20 21 22
Standard Deviation
3Yr 5Yr
Returns Standard Returns Standard
Deviation Deviation
10.661 16.765 8.884 17.776
14.836 16.163 11.750 20.091
6.505 17.688 5.858 16.597
J
3.120 13.134 1.092 16.900
4.045 19.539 -1.308 19.253
' Performance: Risk Analysis
Benchmark: S&P 500
' 5 Years Trailing ending 09/30/2004
Data calculated using Quarterly returns
' Returns Standard Deviation Sharpe Ratio
12 25 0.6
10 20 ~ 0.4
8 _ I 0.2 .:
r 4s;
6 15 ~ ~ i _ I _ 0.0
4 I 10 -0.2
2 -0.4
' 0 I - 5 ~ -0.6
i
-2 0 ~ ' - -0.8
5Yr 5Yr 5Yr
' Ending 09/30/2004 Ending 09/30/2004 Ending 09/30/2004
Negative Quarters Worst Quarter Worst 4 Quarters
9 0 r
8 --~ - 0 r- - --
' 2 I -5 ~
7 _4
6 -6 ~ -10 ~
5 _g
4 _70 it I -15 I i
2 -12 i 1 -20 I ~
14 I I -25 ~ -
1 -16 ~_~
0 _ -18 -30
SYr 5Yr 5Yr
Ending 09/30/2004 Ending 09/30/2004 Ending 09/30/2004
' Returns Standard Sharpe Ratio Negative Worst Worst 4
Deviation Quarters Quarter Quarters
~+ BC Dana Contra -Gross Mixed 8.884 17.776 0.324 8 -13.603 -20.408
Contravisory Research & Management Corp. -Contravisory 11.750 20.091 0.426 7 -11.828 -18.979
' Equity Portfolio -Gross Equal (Equity Only)
Dana Investment Advisors, Inc. -Dana Large Cap Equity - 5.858 16.597 0.170 9 -16.442 -23.728
Gross Size
Northstar Capital Management, Inc. -Quality Growth Equity - 1.092 16.900 -0.110 9 -14.190 -27.425
' Gross Size
• S&P 500 -1.308 19.253 -0.220 9 -17.276 -26.621
Timeframe: 5 Years Trailing
ii
i~
r
1
i~
' Performance: Trailing Period Returns
Benchmark: S&P 500
' Trailing periods ending 09/30/2004
Data calculated using Quarterly returns
BC Dana Contra -Gross Mixed
Contravisory Research & Management Corp. -Contravisory Equity
Portfolio -Gross Equal (Equity Only)
Dana Investment Advisors, Inc. -Dana Large Cap Equity -Gross Size
Northstar Capital Management, Inc. -Quality Growth Equity -Gross Size
S&P 500
Returns
Qtr YTD 1Yr 3Yr 5Yr 10Yr 15Yr 20Yr
-0.013 6.330 20.264 10.661 8.884 16.589
0.331 9.721 24.914 14.836. 11.750 17.247
-0.379
2.986
15.690
6.505
5.858
15.703 I
13.435
-0.440 8.039 15.159 3.120 1.092 13.786
-1.868 1.510 13.871 4.045 -1.308 11.085 10.435 12.827