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HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 10B_08/11/2005~O~DA~N ~ONSUZ~~rN ~, LAC. simplifying your investment decisions ~~C MORANDUM ~F ,~ o ~~ s TO: All Trustees ~ FROM: Joe Bogdahn, LIMA & Mike Welker, CFA ~` ~: Additional Diversification DATE: 6 May, 2005 ~- As we have discussed with many of our Boards these past few months, WP, fP.PI tl'lat it t:~i~~ 1,n ., .,+,...+..1_ s.,. • - ---- ~__...~ ~~ rraai VV u. ,,~1~~~,1i ~~ eai~il uUT aciuariai assumed rate of return this year with a traditiona160/40 asset allocation. The rising interest rate environment, marking the end of the bull market for bonds, means that the traditional fixed income segment of the market will more than likely be a detractor rather than a contributor to our returns for FY2005. For the longer term, we are concerned about the effects of the upcoming demographic shift resulting from the retirement of the leading edge of baby boomers. Attached is a copy of a recent article from the Wall Street Journal that discussed this very topic. This line of thinking has been a common theme of many of the research reports we receive, as well as topics of discussion at several conferences we have attended. We believe that we should be proactive in reviewing our expectations and the methods needed to achieve these expectations. We look forward to further discussions at our next meeting. 340 West Central Avenue • Suite 300 • Winter Haven, Florida 33880 Telephone (863)293-8289 • Facsimile (863) 292-8717 Future Shock But will they? Prof. Siegel says it's `~ '~ possible to take some common-sense as- ; sumptfons-for example, that people will continue trying to retire in .'their early As Boomers Retire, a Debate: ~ 60s-and show in an economic model that .. -stocks=aro-in for-trouble: "God 1tz-ows,.I Will Stock Prices Get Crushed? ' don t tthink theretwilltbehe says. "Bnt I nough assets fmm U.S. sources-going forward to pay Prof. Sle el Sa S Onl Asla _ for people's retirement." g y y ~CroW1'eg ;Old@~, Dr. Brooks contends that even u demo- Can Stop a U.S. Meltdown' .Ratio of worlan graphic trends' do hit elderly. people's gee people to pocketbooks, those without savings who retirees since 1950 depend on government assistance will , Dr. Brooks Isn't Worried ,~ bear. the brunt Hi to Filling a $~23 Trillion Gap By E.S. BROWNING - For tens of millions of baby boomers and younger workers, the basic long- range financial plan is simple: accumu- late stocks and bonds while working, then slowly sell them off to keep up a comfortable lifestyle in retirement. Not so fast, says Jeremy Siege], the Wharton School finance professor well- known until now for recommending stocks as a long-term investment. In speeches and a new book, he is warning that a flood of boomer retirees with tril- lions of dollars of assets to sell over the next 20 to 40 years threatens to crush stock and bond prices. He says it will take a massive investment in U.S. stocks by people in India, China and other devel- opingcountries to prevent a market melt- down. Robin Brooks, an economist at the In- ternational Monetary Ftrrtd, scoffs at the warning. He thinks the wealthy individu- als who own a large percentage of U.S. lY3U "6U 70.'$0. s rY shows, he says, that, it's impossible io predict big macro- ' economic changes .decades in advance- ~ ~ .~ ' the global economy simply has too many - moving parts. "Whether we will see some sort of . >~ -'~ crash or stow crumble over the next de- cade or so, I don't know," says Andrew • - _ Abel, another finance professor from the Wharton School at the University of Penn- " ' " syivania. "But it is .certainly likely ` ,, " `" enough that it has got to enter into peo- ;~; , pie's plannine-:" r ~,`:~ Prof. Siegel, 59 years old, was born in 40 X50: November 1945, just before the baby ~- ~ boom started in 1946. As a child, he de- .~.~.~a. uimea rwuans, rropulaban Division stock won't need to sell, and companies may boost dividends so retiree investors can hang on to their shares. As politicians debate .Social Security, economists are debating the future of an- other plank of Americans' retirement plans: the stock market. The ratio of working-age people to retirees will de- cline over the next 30 years to an esti- mated 2.6 to 1 from 4.9 to 1 today. Simple supply-and-demand economics suggests that as retirees dump their holdings into a thin market, stock prices could plum- met. lighted in charting the number of morn- ing glories in his backyard. Thus began a lifelong passion in explaining and predict- ing trends, including the stock market. He earned his economics Ph.D. at the Massachusetts Institute of Technology and has taught at Wharton since 1976. His 1994 book,."Stocks for the Long Run," came just as the bull market was switching into high gear, turning him into asought-after stock-market guru. Prof. Siegel used historical data going back to 3802 to-argue that stocks have consistently been better investments than bonds. The book sold more than , l 350,000 copies and was translated into eight foreign languages. His reputation got another lift in 2000 when he warned that technology stocks were overpriced just as the tech bubble was about to burst. i A markets junlQe, Prof. Siegel de- lights in rising early to check financial F ,~: news., Personally, he favors index and sector funds with low--man agemenf fees Continued From First Pa e g sumptions: Productivity will continue to world. When he built a model covering the r entire w ld , and his h h h6 s' -for ig pe developing mar- kets lia¢e drawn hint to forei n~mark t rise modestl b ut not Y lea forty P ard. Taxes, the retirement age immigration or , he was amazed; Peo le in p countries such as Chma, India, Indonesia, B il g e flmds. A popular aecturer, be speaks to , and life expectancy will stay broadly in li raz , Mexico and.even Russia were-pro- ~ jetted to increase their wealth his students with market data displayed behind him on huge screens ne with current expectations-as will the percentage of income that workin substan- tially, beyond what they were expected to . In 1935, average.: 65-year-olds, worked g people consume. In that case, the model su t ' consume domestically. They could dramati- tally increase their purchases of [J S t k until they were 69 and were dead before. th gges s, retirees can t pos~ibly main- . . s oc . "By the middle of this century I be- ey were 77. Talay; the average worker retires at 62 .and can- expect to live an- taro 90ro of their preretirement Stan- , lieve the Chinese, Indians and other in- ; vestors from these young countries will other 20 years. And the number of retir- < ees will start surging in a' few years- dard of living, the ' typical .level they gain majority ownership in most of the large global corporation " i when the .first big chunk of the 1946-64 baby-boom generation retires now seek. Prof. Siegel s n the U.S., Europe and Japan, he writes in his new b k " . Jumping off from those ntuzlbers; thinksit'sliketyretir- ecs oo , The Future for Investors." And that, he says, is how the hahv ...g.,. ~ iuvuci iugiiiigiiis a iunaa- mental contradiction between common ~;,w,. «y t~ ,eii their assets-stocks, room could pay for its retirement. "The whole country is oi t " eipectations today. and reality. He starts ith bonds and real es- g ng o be like Florida, he says in an interview-meanin the U S w several reasonable-sounding as- Ptease Turn to Page AIO Column 3 fate-in a desperate effort to keep up g . . will slowly sell assets to foreigners just as retiree i , ~ their living star- dard. But in the ~' s n Florida live by selling their stocks and bonds to people in other states. B " Jeremy Siegel gregate they would ut if the Chinese and the Indians don't come in, it will be bear-market times " fail, assuming for- eign buyers don't step in, he says. The imbal- ante betweenU.S. buyers and seller . While finishing up his book last year, Prof. Siegel visited the San Francisco s would drivestockpncesdownward,leavingpeople home of the eminent economist Milton F i withfarlessmoneythantheiraccountstate- r edman, with whom he had taught at ments today suggest they'll have. The cumulative gap between what reti the University of Chicago in the mid-1970s, and showed off his- findings. ~ r- ees would need to keep 90% of their stan- dard of living and what they'll actgall Prof. Friedman, now 92 years old, bluntly told his former colleague he dis- " y get-given all those assumptions-is about $123 trillion between now and 2050 t agreed. There is no problem with this for the stock market that I can see," , he model suggests. That's the U.S. figure; if the same calculation includes Japan Eu- Prof. Friedman says in an interview. Rather than racing to sell assets, typi- , rope and other industrialized regions, the gap rises to $347 trilli cal retirees will be happy to hold their stocks and bonds and live off whatever divi- on. The results change with different assumptions. The ti dends, interest and pensions they get, Prof. Friedman belie " _ ~ en re gap would be eliminated if people kept working on average into their 70s ves. Jeremy is a good friend of mine and a former student," . ~d~Y, Prof. Siegel's model was lim- he says with a chuckle. "I have a bad habit of being frank " . ~ ited to money available in the developed ---_- . Prof. Siegel has plenty of allies, how- '1'ne rtcnest to io own more man tuna. ~ . ever. Yale University economist John savings into index funds with low man- , Dr. Brooks argues that these people , aren t likely to sell more than a small Geanakoplos argues that baby boomers have influenced stocks for decades, con- agement fees. But Dr. Brooks also owned some tech stocks that he failed to sell in ' P~ of their holdings. He thinks compa- permitting ill boost dividends i ' tributing to a slow market in the late 2000, and admits to losing big on the likes , es w H older investors to keep their stocks-a 1960s and the 1970s as they came of age of WorldCom and Lucent Technologies. Point also made by Prof. Friedman. , and aiding the long post-1882 boom as "Bab t ildi t d b Dr. Brooks kept up his interest in boomers and stocks after joining bab Finally, Dr. Brooks disputes Prof. Sie- y eggs. u ng nes e they star , y gel's projections of heavy investment in boomers are reaching the end of the line the IMF in 1998. He came to believe that ' stocks by developing countries. Such ` S U and soon are going to have to be selling," variations in things like technological in- ' . . countrtes in the past have fallen •short of ' says Prof. Geanakoplos, a boomer him- novation, oil prices and government poli- expectations as often as they met them. self. "We should not rationally expect the ties could greatly alter the calculations, ~. "We don t begin to understand savings ' same rates of return on our invesfilents far outweighing the small impact of , an behavior in the.U.S. How can we claim to that our parents did." aging population. "I had been a bit naive " predict savings behavior and money Dr. Brooks at the IMF says the Siegel he says to- about the financial markets, flows for emerging markets?" he asks. . camp is too obsessed with models and de- day. "There is an awkward discrepancy Many other economists share- Dr. mography. He got his Ph.D. in economics between the kind of story Prof: Siegel " Brooks's view that the impact on govern- from Yale by developing a computer model tells and the historical experience. ment programs, not on the stock market, is that showed small but measurable down- Simple models based on demography the key issue in an aging society. Laurence ~...a .....:.......... Fl,., holy, W[Ll ll ill coJ Urc vii o~wa ya.w~ u.u ..,........~ aged boomers ravels mnrb cave Tlr Rrnnkc TFIf?V gtt¢- .... J o.. --_. _ gested that Americans would boost their ~ . .a_ , Kotlikoii, chauTna~t ui uie ei;viioTiuia u~ . , Later he changed savings in the 1990s as boomers reached Partment at Boston University, has con- strutted models showing a risk of sharp tax . his mind. "There re- their peak earnings years. Instead, sav- increases as governments are pressured to allyis no linkhistori- ings rates plunged. H~~ and others also see cover medical and other costs for improvi- tally between demo- little evidence that boomers have been af- dent boomers. When he gees to Florida, he graphics and de- fecting stock prices since the 1960s. ' is chagrined to see bumper stickers read- mand for stocks," s model Even accepting Prof. Siegel Spending My Kids' Inheritance," ing hesays, adding that as a framework for discussion, Dr. , which he views as the boomers' sad theme. he speaks for him- Brooks notes that it doesn't necessarily But his studies suggest stock prices would self and not for the imply pressure on stock prices. The hit to actually rise in this environment, partly IMF. retiree living standards may come in- because companies would be buying less Now 34 years stead from the inability of government ' new equipment, paying bigger dividends old, Dr. Brooks payments to keep up with retirees and buying back more shares. grew up in Ger- needs. Dr. Brooks worries about the Prof. Siegel says he has taken just Robin Brooks many with aBrit- many baby boomers who have no stock at about all the naysayers' points into ac- ish father and a all, haven't saved much for retirement Even if the super-rich 1% don't sell count German mother. He used to raid his par- and will turn to Uncle Sam to cover their . he says, the market could still feel stock ents' wine cellar and barter the wine for medical care and other basic needs. , considerable pressure from middle-class belts and canteens from American sol- "The stock-market meltdown issue is investors as well as pension funds that Biers. Long attracted by the openness of sort of a side issue. The bigger question hold shares on behalf of middle-class re- U.S. society, Dr. Brooks came to Yale in is: How do we pay for all the people who tirees. Dividends can only rise so farina the mid-1990s. Now he works in a small haven't saved?" Dr. Brooks says. ' ' fast-paced economy where companies , Washington office with two computers s uNikely that a Dr. Brooks argues it must keep investing in new technology to ` ` and some old calendars on the wall. Like rush among retirees to maintain their survive, he says. The assumptions of his F Prof. Siegel, he has. tended to put his living standards would put pressure on model could prove wrong, but Prof. Sie- 1 - stocks. The richest 1% of the U.S. popula- gel doubts Americans are going to work - tion owns about 53% of the stock in indi- ` until they're 70, impose huge taxes on vidual hands, according to Federal Re- working people or be able to boost produc- . ~ serve data from 2001. _. __~ .. ,.,.... tivity at China's pace. BOGDAHN CONSULTIN G LLC. simplifying your investment decisions Village of Tequesta PUBLIC SAFETY OFFICERS PENSION PLAN June, 2005 www. bogdahnconsulting. com 340 W. Central Ave. Ste. 300 • Winter Haven, Florida 33880 Telephone (863) 293-8289 • Facsirnile (863) 292-8717 Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund Rockwood Capital Advisors For the Period Ending June 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 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 06/30/2005 2005 10/31 /2000 Qtr YTD Incept ....................... ...................... 8e~irr:i?itig::Value :::: ....................... ................... ................... :::::::::2;5©7 ::: ................... ........... ............ :::::?6Q~:: ........... ............... ............... ::::::: 1;79: ............... ....................... ....................... filet flows :::::::::: ....................... ...................... ................... ................... ::::~::::::: : 52 ::: ................... ................... ........... ............ ::::::: 91:: ........... ............ ............... ............... ::::~::::: 940 ............... ............... ....................... ....................... irtiestrri:eri#: ~/C : :::: ................... ................... ::::::::::: : 28 ::: ............ ........... :::::='1 ~:3:: ............... ............... ::::: ::::: 68 ~rtdir}g~ Value :::::: :::::::: 2;58: ::: ::: ;2:;58: 2;58' Investment Policy r IGllllll~. RClUlrl, LrIrUUl~.rl JUrIC JV, LVV7 10/31 /2000 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept ~tiiii ::: : ....... ............ ........... ::::2:::... . ...... ,32... ............ ............ ..:.. ... 6.39 .. ........... ........... :.. ... ~. ....3,48 ... ........... ............ .. :::::::: :: ...1..31.......................... .................................. .................................. :: :::: ::::: :: ; : _ ~:. . ........ ~............ ~. ~...... ~... ~........................a.08.. ............................................................ .............................. . ............ ........... ~?oli ~y. ............ ............ ~ ::.: ::: 6.32... ........... ........... ::: ~ .::: ... 8.20... ........... ............ : :: ....~.25..: .... .................................. .................................. ::::~:4fi :::: >: > :::::::::::::::::; ::::>.~:: ........... ......~. . ........................... ............................................................ ........................................................... :::::::~:~:::< ::~:::::< ::~:< ::~::< :: %:: `::::: >:::.::::::::::;:. .....~....~.~.~.....~...~..................;..... 1.9t1. . I~i~f.::::: .. ~4>f~# .. ....1..51.... .... 3,7..... ...2.1 ~ .............:........ :.:. ..........:....:.:.;............:...... y1.95 Calendar Year Returns 06/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 1= iid :::::::::::::::::: 't .0~ ~? ............ ..................... ::: , ::: 4.0 ........Q... :::: :.... . 7 .._.. 0 89:.... 'I~ :~ : :::: :: ~ :: . U..73.....1.Q,75 .. ::::= ::::::::::::::::::::::::::: ....3.65............................~..~......:.:::::::::.:::::::: €?~ 1' ::: ~~ : : o icx ...... 2 U4 ::: .:.:0.67... .. 7 6~. ~ _::~ ~ :: 17...13 ..,._.8.7'4 .. :::_ : ~~ ::::::::::::::::::::::: ::::::::::::::::::::::::::::::::: ..._3,.(37 .....0.87 ......: ......4.67 .. ....3.~~..... . -6.40............2.07.. .... 0.5$.................................._......._................... . r~G~ur r w u r VN rorar rc~~s 10/31 /2000 2 Yr 3 Yr 4 Yr Incept ....'12..3 ......... .......70.6.... ...... 9.fi.. .. ...., ....10.3 . L : ~ ::: 1?Q icy 12 2 . X7.2 ~#6.2. 16.1 Rai :::::::~:::: ~ :. .:::::: t.o ........ T00.?.... :::. ~ : ::::: .. 81..4.... :::: .....59.4 . .:? . : . .......64.x:1 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. Rockwood assumed account on April 4th 2005 Returns in Down Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept fi~ifltl ~ :9 ~ .... ~ .... 9.4.... ~ ::::::: ~.'1.~..... ::::: .....,1.3.4. Pc~fieji.... ::: ~1:x:.:: ::~ ~:1:0:~: 4:1~~#:8::::: ::41:5:x:: 326,8.... ....91,9.... .....75.5 ......... .............86,1:: 2 Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation Through June 30, 2005 Fixed Income 38% Equity 60% At Cost Fixed Income 39% Equity 59% 3 At Market Cash &Equiv 2% Cash &Equiv 2% i 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 railing Keturns through June 3U, ZUUS 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ............................................................................................................................................ ............................................................................................................................................ t` ... ~: u. d .: ::::::::::::::::::: ~::~:::::::::::::::::::::::::::::::::: ~ ::::~:::: :::::::::::::::::::: :::::::::::::: ............................................................................................................................................ ............................................................................................................................................ Return -4.00 1.95 2.32 6.39 3.48 1.31 -tile 100 100 96 79 99 78 Pok' :::::::: :::::::: ::::::::::::::~:::::::::: :::::::::::: ::::: ~ :::::::::::::::::::::::::::::: :: IGy ......................................................................................... . ............................................................................................................................................ Return 0.67 6.06 6.32 8.20 7.25 3.46 -tile 34 38 32 35 13 17 ............................................................................................................................................ .............................................................................. fJniv ers e :::::::::::: ~::~:::::: ~::::::::::: ~:::::~::::~::::~ ::::::::::::::::::::::::::::~::::::::::~::::: ............................................................................................................................................ ............................................................................................................................................ 5th %-tile 1.95 8.32 8.80 10.22 7.78 4.17 4.35 4.17 5.25 6.80 25th %-tile 1.02 6.66 6.73 8.69 6.80 3.12 2.32 2.84 3.94 5.66 50th %-tile 0.35 5.72 5.50 7.73 5.97 2.34 1.12 1.94 3.30 5.05 75th %-tile -0.18 4.93 4.11 6.62 5.03 1.46 0.04 1.15 2.63 4.31 95th %-tile -1.43 3.40 2.43 4.94 3.86 0.29 -1.40 0.09 1.61 3.30 Calendar Year Returns Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 ............................................................................................................................................ ............................................................................................................................................ t~~1d ..................................................................................................................................... ............................................................................................................................................ ............................................................................................................................................ Return 1.07 -4.00 10.89 10.73 -10.75 -3.65 -tile 86 100 1 100 75 53 PbEicy Return 2.04 0.67 7.61 17.13 -8.74 -3.07 -tile 25 34 31 38 34 39 i .... :. .............................................................. ...................................... . Un.verse:: ::: 5th %-tile 2.74 1.95 9.50 19.96 -5.88 1.24 9.38 17.94 21.50 23.12 25th %-tile 2.02 1.02 7.88 17.96 -8.23 -2.00 3.89 13.36 18.86 21.60 50th %-tile 1.65 0.35 6.87 16.66 -9.43 -3.55 -0.37 11.33 16.76 20.00 75th %-tile 1.23 -0.18 5.58 15.03 -10.82 -4.83 -2.04 8.70 12.99 17.35 95th %-tile 0.68 -1.43 4.07 12.75 -12.30 -7.55 -4.27 3.68 10.11 12.68 Returns are in percent. "%-tile" is the percentile ranking within the universe. Retums for periods exceeding one year are annualized. Incept is October 31, 2000 to June 30, 2005 Rockwood assumed account on April 4th 2005 5 Village of Tequesta Public Safety Officers' Fixed Income Executive Summary Account Reconciliation 06/30/2005 2005 10/31 /2000 Qtr YTD Incept ..................... .................... 8e~it~:ntri~: Value : ..................... .................... ..................... ...................... ::::::::::::: 9'I$::::: ... ..................... ...................... ........... .......... :::: #3:$;3 : ........... .......... ............... ................ ::::::::::466: ............... ................ ..................... .................... filet:Flgws;::::: :: .................... ..................... ...................... :::: :58: ...................... ........... ........... .......... :~:1fl : .......... ........... ............... ................ ::::::::::::::::35:4:: ................ .. ............. ..................... .................... ..................... frmiestrri:erit:~fG:: .......... ...................... ..................... ::: :::: :: ~:€i:: .......... ........... ~::::'t : . ................ ............... :::::::::::~7~ ~rtdirg: V~li~ :::: ::::::::: 994:::: :99~: :::::::: X94 Investment Index Weight I railing Keturns tnrougn June ~u, ~uu5 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr ~uatl :::::::::3:32::::: .......................... .......................... .......................... : 'I::~~::: ........ ......... ........ ::: 3:90::: ............ ........... ............ ::::5:3 :::::::::: ................... .................... ................... .......................... .......................... PofiGji ::::::::?2fi:::::: ......... ........ : 3:20::: ........... ............ ::: ~:?#'I::: .................... ................... ::: G:$fi :::::::::: Dil'f ::::::::~:: ~3::9~::::: ........................... .......................... 41::48 : ........ ......... ::~2;:~1 :: ............ ........... :::1:47 :::::::: ................... .................... Calendar Year Retums 06/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 ................................. ................................. ~ ~;::: ;78 ~..a .. o...... ................................. ................................ ........... .......... ;a:o~.: ~ .......... ........... ........... ............ ~:o a... ............ ........... .......... .......... :.5 ...~.s.. .......... .......... ............ ........... .:1:: a,o... ........... ............ ............................................................... ................................................................ :::1.::~t~::~:~::: :::: :~:: :: ....~........ .... ................................................................ ............................................................... ......................... . . .. ................................. ................................ ................................. Poli 3:44:::: .......... ........... .......... :::2:74 :: ............ ........... ............ ::::4:2~ ::: .......... .......... .......... :::4::68:: ........... ............ ........... :::11::02:: .................. .... ..... ........ ............................................................... ................................................................ :::: $:5'I :::::::::::::~:~::::::~:~::~:~:~::::::::::::::~:~::~:::::::::::: .............2.66... ...2.75 8 03 .2.07. 1:69:::::: :::::::::::::::::::::::::::::::::::::~::::::: ::: Returns in Up Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept .............................. ............................. .............................. .............. ............... .............. .......... ......... .......... ............... ............... ............... ~:~ ~i~ ::::::::::::::::::: l?Q icy ~ 1 .3 .. 1 ~ z .... . ~~,.~ . .. 11..E . Ratio >: : .......53.4 -_... 58.9. ::: 73:8 ' .....:78.8: Inception date is October 31, 2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. Returns in Down Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept ti~~.:::::~::::~:~:~:::~~~ . 4 :: ~.. d ...............~... ........................... ........................... :::::: ~ : 4:::: .......~...... ............... ............... ::::::~ ::::::::::: ~ : ....~.fl ..........2.0. .......................... .......................... Pofi~j[ : :..:::::::::~4:3:: ::.:: =4:3 -3:8:: ~ Y3:8: Ratio ::::::::::::::55:9::::::::b5:9:::: ...... ::::52 :.. ........3.. . .:.: ........52,3:: 6 Village of Tequesta Public Safety Officers' Fixed Income Universe Comparisons High Quality Bond I raring Keturns through June 3U, ZUU~ 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr ................. ................ Ft~.d...... ................ ................. ................. .................. .................. ................. ............. ............. ............. ............. ............ ........... ........... ............ ............ ............ ............ ............ ............ ............ ............ ............ ......................................................... ......................................................... .......................... ... ......................................................... ......................................................... Return -0.01 0.58 3.32 1.72 3.90 5.39 -tile 100 100 74 78 71 56 Pof" ~::::::::: ICy ......... ~: ~ ::::::::::: .................. ::::~::::::::: ....... ::::~::~:::::: : ::: ::::: :~::::::::: : ::::::::::::::::::: :::: :::::::::::::: Return 2.74 3.57 7.26 3.20 6.41 6.86 -tile 8 25 17 42 19 14 fJiiu .erg e.::::::::: ~::::~ ::::::::::::::::::::::::: ::::: 5th %-tile 2.82 4.52 8.60 5.69 8.23 7.57 8.40 7.68 6.75 7.39 25th %-tile 2.39 3.55 6.82 3.65 6.04 6.33 7.24 6.71 6.03 6.56 50th %-tile 1.81 2.94 6.01 2.93 5.21 5.60 6.55 6.03 5.45 5.97 75th %-tile 1.23 1.65 3.11 1.81 3.53 4.08 5.07 4.96 4.75 5.06 95th %-tile 0.76 0.95 1.86 1.14 2.02 2.40 3.47 3.78 3.81 4.14 Calendar Year Returns Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 f=.... t~s1d.. .. ::::::: :::::::::::: :::::::::::: ::::::::::: ::::::::::::::::::::: :::::::::::::::::::: ::::::::::::::::::::: ...... Return 0.78 -0.01 3.03 3.65 9.01 10.20 -tile 100 100 62 61 32 3 o c~!. .................. ....... ................. ............ ............ : ........... .::.:.:::.::::: ............ :::::.:...:::::::..:.:.:::: .::::::::.:.......,... .......................................................... Return 3.44 2.74 4.21 4.68 11.02 8.51 -tile 4 8 34 35 4 21 j .......:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: ::::::::::::::::: :::::: :::::::::::::::::::::::::::::::::::::::::::::::: Un xer's~ ....................... .............................~.~....... ......~.........._.......:....: . 5th %-tile 3.37 2.82 6.19 11.51 10.87 9.85 12.37 4.61 9.45 11.75 25th %-tile 2.90 2.39 4.54 5.34 9.37 8.40 10.90 1.75 8.34 9.52 50th %-tile 2.45 1.81 3.69 4.04 7.98 7.81 9.56 -0.45 7.26 8.59 75th %-tile 1.46 1.23 2.13 2.90 5.51 7.00 7.70 -1.46 6.33 7.06 95th %-tile 0.89 0.76 0.98 1,63 1.50 4.93 5.78 -3.67 4.50 5.91 rteturns 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 June 30, 2005 7 Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation 06/30/2005 2005 10/31 /2000 Qtr YTD Incept ....................... ...................... :Be~iCritrig::Valu~ :::: ....................... ...................... .................... .................... :::::::::~#365::::: .................... ........ . ......... .......... ........... ::: ~500:: .......... ........... ............... ............... :::::::::::~:$5$: ...... ............... ............... ....................... ...................... fslet ~lr~ws:~::~ ::::::: ....................... ....................... ....................... . . .................... .................... ::::::::::::1?i:7:::: .................... .................... .................... .......... ........... :::::136:: .......... ........... .......... ............... ............... ::::::::::790 ............... ............... ............... ....................... ....................... ....................... .~investrri:erif:OfL~ :::: .................... .................... .................... :::::::::::::2fl :::: ........... .......... ........... :::~:=104:: ............... ............... ............... ::::~:~:~::~:=:1't6 ~iti#irig: Valhi? :::: x;532 :::: :::~5~:2:: ::::::::1:;~3 i raiiiny rceturns inrvugn uune 3u, wua 10/31 /2000 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept ~ 1.5 8 ........................ ........................ ....................... 10.04 2.38 ....................... ....................... 2.65.:: ........... ........... . ::::::::: ~ : ; :::::::: :: ~ ~~ .................................................... 5.55:. ................... .................................................................................. . ........................ ........................ ppji .:::::: ~y s.~~... ........................ ............... ....................... ....................... ....................... ..~2.53. s.28..... ....................... ... ....... ........... ........... ~::.:~ ~ ::: ..1,b~ .... ........... .................................................................................. .................................................................................. .................................................................................. : ::::::: ::~::::~::: : ::::::::::::::::::::: :::::: ::::::: :::::~::~::~:::: :: ~ . .. ........................................................ ..................~.~5. .................................................................................. ......... ........................ ........................ Di .:::::::::::::;4::.. ff............74.. ........................ ....................... ....................... ....................... :~.~~; ;; ~: ..X49.....590.... ....................... ........... ........... ........... ...3.66.:: ........... .................................................................................. .................................................................................. .................................................................................. ::~ :::::::::::::::::::::::::::~:~:::::::::::::::::::::::::::::::::: X3:30: .................................................................................. Calendar Year Returns 06/30/2005 2005 Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 1996 rt 0 u..d ..................... ,80... 7 ...7.4 ..... ..#x.88.::::'18:.:33::: ::: 27:28 - :~:::.'(3:.87:::::::::::~:::::::::::::::::::::::::::::~::::::::::::::::::::::::::: Poli .:::::: :::::::::. 1. 37 : . .cy ........ .... .... - ::::(3:8'I:::: ::~ :....::: 0 88... : ~~ ..2868. ~ - ...22.10 :: ~ ::::: ::: ::: :::::::::::::::::::::::::::::::::::::::: - .... 'f 1,88.............~.~....... . #~iff:: =.: 0.5..,... _ ~: ......6.66_._._.. :::: .....7.00... _: ~~. ..18.35... :: ........ 5..1.8. ~: ::::::: ~:~:~ :::::::::::::::::::::::::::::::::::::::::::: ......x.99 .......................... .......................... . Returns in Up Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept .............................. ............ .......................... Po c ~ 0, ::::: y 2 ~ ::: X8,5:.::: ::::27.4. ~ :27.2 tro 1.03 1 ... 60.1 87 $... 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. Returns in Down Markets 10/31 /2000 2 Yr 3 Yr 4 Yr Incept ~~ . d .... .........8.9.... ............................. ............................. ....2'1 .~..... ............... .............. ... X7.1.. .......... .......... ........ 30.9. ............... ............... K} ..o[ ~! . .._.......0.... . ... ~3.#:::.. ... 3~..4 .... ..................33.0:: f~atio:.: ~ ::23:4 :::~ :: ~ : 9~;2::: 88;~~:. .::::.: ~ :g3;i3 8 Village of Tequesta Public Safety Officers' Equity Universe Comparisons Broad Large Cap Growth Trailing Returns through June 30, 2005 Return -tile -0.81 50 8.35 59 6.32 37 12.53 35 8.28 35 1.01 26 ................................................... ............................................................................................................................... ............................................................................................................................... #J.......g ..::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: rii~ ers``: 5th %-tile 3.85 16.87 13.56 19.28 12.89 3.53 -0.94 5.10 7.14 9.45 25th %-tile 0.43 11.58 8.22 14.27 9.54 1.14 -4.38 0.35 3.26 6.07 50th %-tile -0.86 9.11 4.57 10.89 6.82 -1.49 -7.36 -2.43 1.07 4.11 75th %-tile -2.33 6.99 1.86 8.72 5.22 -3.65 -9.95 -4.26 -0.76 2.51 95th %-tile -4.48 3.91 -1.21 5.88 2.99 , -5.76 -13.96 -7.85 -3.62 -0.37 Calendar Year Returns Qtr YTD 2004 2003 2002 2001 2000 1999 1998 1997 ........................................................................................................................................... ............................................................................................................................................ ~~~;a:::: :::::::::::::::::::::::::::::::::::::::::::::::::: ........................................................................................................................................... ........................................................................................................................................... Return 0.80 -7.47 17.88 18.33 -27.28 -13.87 -tile 90 100 4 100 59 21 ............................................................................................................................................ ............................................................................................................................................ Pbf.cY...... .... ~...... . . 1 . ::::: :::::::::::::::::::::::::::.:.::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: Return 1.37 -0.81 10.88 28.68 -22.10 -11.88 -tile 80 50 27 39 22 10 ............................................................................................................................................ ............................................................................................................................................ Iv :::::::::~ :::::::::::::::::::::::::::::::::::::::::::::::::::~:::::::::::: tJn ..erne ....... .. . ............................................................................................................................................ ............................................................................................................................................ 5th %-tile 6.82 3.85 17.21 40.85 -15.79 -9.94 -0.22 66.15 50.95 37.03 25th %-tile 3.76 0.43 11.08 31.14 -22.77 -14.91 -7.14 43.89 37.77 31.69 50th %-tile 2.76 -0.86 8.09 27.09 -25.90 -19.23 -11.77 32.72 31.70 27.88 75th %-tile 1.75 -2.33 5.59 24.31 -29.82 -23.97 -17.62 24.68 25.56 23.30 95th %-tile 0.08 -4.48 2.15 20.51 -34.42 -32.11 -26.13 15.29 14.10 13.67 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 June 30, 2005 9 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 (%) 12.28 10.57 9.64 10.35 Policy (%) 12.19 17.22 16.24 16.10 Difference (%) 0.09 -6.65 -6.60 -5.75 Ratio 100.74 61.38 59.36 64.29 # Up Qtrs 6.00 8.00 10.00 11.00 Down Market Returns o.oo°i° -5.00% ---------- -10.00% - - - - - - - -15.00% --------------------- -20 00% 2 Yr 3 Yr 4 Yr Incept Fund (%) -4.87 -9.38 -11.17 -13.35 Policy (%) -1.49 -10.21 -14.79 -15.50 Difference (%) -3.38 0.83 3.62 2.15 Ratio 326.85 91.87 75.52 86.13 # Down Qtrs 2.00 4.00 6.00 7.66 ^ Fund (%) ~ Policy (%~ Rockwood assumed account on April 4th 2005 10 Village of Tequesta Public Safety Officers' Pension Trust Fund Objective Comparison 1 ~~ a I u e Inception date is October 31, 2000 All dollar values are shown in thousands. Rockwood assumed account on April 4th 2005 11 VVU VVV IVIV I JV 1 JV 1 VV 1 IVIVG JVG JVL VVG IVIVJ JVJ JVJ VVJ IVIVY JVY JVY VVY IVIVJ JVJ Quarter Ending ^ Fund ~ Policy $ Nominal 8% ^ CPI + 3% 1~ Village of Tequesta Public Safety Officers' Pension Trust Fund S 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. i~ ii i~ i~ i~ i~ ~ „ Village of Tequesta Public Safety Officers' Pension Trust Fund Attribution of Returns Attribution of Performance to show Manager Contribution Policy ::::::::::::Maiagec:Caiitr:itiiittioi:: .................................. ................................... .................................. ................................... .................................. Fund urrent Quarter .04 .................................. ................................... .................................. ................................... :: :=Q;97:: .07 Year to Date 0.67 :::~~:67:: -4.00 2 Years 8.20 ::: :: :::: ::~:~: <1::81:: .................................. ................................... .................................. ................................... .................................. 6.39 3 Years 7.25 ::::: :: :::::::3:77':: ................................. ................................... .................................. ................................... .................................. 3.48 4 Years 3.46 :::::::::::: :::::::::::::~:~::::=2:'i;5:: ... ..... ................................... .................................. ................................... .................................. 1.31 Incept 1.90 ::::::::::::::::: =~ :98:: -0.08 Policy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection Asset Allocation Security Selection : IVI~ii~geh C~~tri~tutibri: Current Quarter -1.10 0.13 ; :: :~ :: ::::::::::::::::::~:'Q97:: .................................. ................................... .................................. ................................... Year to Date -0.47 -4.20 x:87: 2 Years -3.84 2.03 :: =1:;$:1::: 3 Years -3.50 -0.27 ::::::::::::::::::::~::::::::<3:77':: .................................. ................................... .................................. ................................... .................................. Years 1.66 0.49 .................................. ................................... .................................. ................................... .................................. :: ::=2:15 Incept -1.05 -0.93 ~ ::::::: =1:9i3;: Asset Allocation + Security Selection = Manager Contribution Rockwood assumed account on April 4th 2005 13 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation Effect 0 10.00 /o I P I 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 M05 J05 ' Quarter Ending Security Selection Effect ' 1 0 0.00 /o P e 5.00% r c e n ' t 0.00% E ' f f e -5.00% c t -10.00% ' ~vu nnu~ uu~ ~u~ uu~ MU1 JOZ 502 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 Quarter Ending ' ~ Quarterly Effect Cumulative Effect Rockwood assumed account on April 4th 2005 ' 14 Village of Tequesta Public Safety Officers' Pension Trust Fund ' Asset Allocation vs Targets 7o.oo°io ' 60.00% ---- --------- -------- - ----- ----- --------------- -- - ------------------------------------- ---------- ---------------------------------------- 50.00% ---- -------------- --- - - -- -- ---- - --------------- _-------------------------------------------- -- - -------------------------- ------ ' 40.00% - ------------------------------ 30.00% - ------------------ ' 20.00°/ -------------------------- ------ ---------------- ---------- - -- ---------------------------- --------------- ----------- ------------- 10.00% ------ ----- ' 0.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 Quarter Ending ' ~ Cash & Equiv ~ Target 1 t UUU MU-I JV I JV-I VV I IVIUL JVL JVL LJVL IVIVJ JVJ JVJ Vv.J ~r~v~r ~v~ vv~ vv~ ...vv ...... Quarter Ending ' ~ Equity -~- Target 70.00% 60.00% --------------------- ---------------------------- ------------------- -------- - ------------ ------------------- --- ------------ 50.00% --- -- ------ -------------- ------------- -- --- - ------------------ --- ----------------- ---------- ---------- 40.00°/ ------------------ - ------------- -------------- ----- -- -- ------------------------------- - ----- 30.00% --------- - -- - - -- -- -- -- -- -- -- - - - -- -- -- -- ---------- ' 20.00% -- --- -- -- -- -- -- -- -- -- -- -- - - - -- - - -- -- ---------- 10.00% -- - -- -- -- - -- -- -- -- -- - - - -- - ' 0.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 Quarter Ending ^ Fixed Income ~ Target Rockwood assumed account on April 4th 2005 ' 15 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°/ .r~~l ~I ° D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 J04 S04 D04 M05 J05 Quarter Ending ~ Quarterly -- Cumulative Growth of $100 Fund vs Policy v $ a I u e Rockwood assumed account on April 4th 2005 16 VUU UVV IVIV 1 JV 1 JV I UU I IVIVL JVL JVL UVL IVIV3 JU3 JU3 VV3 IVIU4 JV4 JU4 UV~i IVIU.7 JV.7 Quarter Ending ^ Fund ^ Policy Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Fund Policy Diff Nominal 8% Diff CPI + 3% Diff End ng 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 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 (%) Fund Policy Diff Nominal 8% Diff CPI + 3% Diff End ng 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 Mar 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 Incept. -0.08 1.90 -1.98 8.00 -8.08 5.44 -5.52 Returns for periods exceeding one year are annualized. Rockwood assumed account on April 4th 2005 18 u i~ i~ i' Village of Tequesta Public Safety Officers' Pension Trust Fund Risk Measures Report Explanation The evaluation of a fund's performance should extend beyond return to encompass measures of risk. The next two pages are used to determine the level of risk to which the fund has been exposed, and whether the return has been commensurate with the risk taken. All measures are calculated for both the fund and the policy as well as the difference between the two. Up to four time periods are evaluated depending on the age of the fund. # Of Negative Qtrs/# Of Positive Qtrs: Number of negative quarters shows the number of quarters in which the return was less than zero, and the number of positive quarters is the number of quarterly returns which were greater or equal to zero. ' Batting Average: The batting average is a measure of consistency. It shows the percent of the quarters the fund has beaten the policy and the percent of the quarters the policy has beat the fund. A high average for the fund (e.g. over 50) is desirable, indicating the fund has beaten the policy frequently. Worst Quarter/Best Quarter/Range: The worst quarter is the lowest quarterly return experienced during the period, a measure of downside risk. The best quarter is the highest quarterly return, and the range is the difference of the high and low, and indicates dispersion. Standard Deviation: Standard deviation measures the total volatility of the fund, by measuring dispersion. Higher standard deviation indicates higher risk. If the quarterly or monthly returns are all the same the standard deviation will be zero. The more they vary from one another, the higher the standard deviation. Thus, it measures uncertainty, which is a measure of risk. Alpha/Beta/R-Squared: If the policy is appropriate, then the alpha should be positive, the beta close to one, and the r-squared should be high. Beta measures risk relative to the policy. A beta of 1 suggests risk equivalent to the policy. Higher betas indicate higher relative risk. A beta of 1.2 indicates 20% more risk than the policy. The alpha measures the return adjusting for beta. The higher the alpha, the better. R-squared measures the relationship between the policy and the fund. A high r-squared means the returns of the fund can largely be explained by movements of the policy. The higher the r-squared, the more reliable the alpha and the beta. R-squared may range from 0 to 100. Beta, alpha and r-squared are derived from regression analysis using the fund and policy returns as the dependent and independent variables respectively. Roughly, one would expect the fund's performance to equal the return of the policy multiplied by the beta plus the alpha. Sharpe 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 ;~1!r ::: :::::::::::::::: :: :::t=ia:rid: ::: F~afcj: : :::Ditf # of Negative Qtrs 1.00 2.00 -1.00 # of Positive Qtrs 7.00 6.00 1.00 Batting Average 62.50 37.50 25.00 Worst Qtr -5.01 -1.34 -3.67 Best Qtr 6.19 6.62 -0.43 Range 11.20 7.96 3.24 Worst 4 Qtrs 1.40 4.04 -2.64 Standard Deviation 6.60 4.61 1.99 Beta 1.13 1.00 0.13 Annualized Alpha -2.41 0.00 -2.41 R-Squared 0.62 1.00 -0.38 Sharpe Ratio 0.74 1.45 -0.71 Treynor Ratio 4.33 6.70 -2.37 Tracking Error 4.11 0.00 4.11 Information Ratio -0.44 ~:Yc ::::::::: ~ :::::::: .................... ::::: ~u:iiti:: ::::::P41~cj~: ::::::::D'if~ # of Negative Qtrs 7.00 6.00 1.00 # of Positive Qtrs 9.00 10.00 -1.00 Batting Average 62.50 37.50 25.00 Worst Qtr -5.55 -7.81 2.26 Best Qtr 6.19 9.63 -3.44 Range 11.74 17.44 -5.70 Worst 4 Qtrs -10.75 -9.84 -0.91 Standard Deviation 6.49 7.73 -1.24 Beta 0.63 1.00 -0.37 Annualized Alpha -1.43 0.00 -1.43 R-Squared 0.55 1.00 -0.45 Sharpe Ratio -0.06 0.23 -0.29 Treynor Ratio -0.63 1.75 -2.38 Tracking Error 5.26 0.00 5.26 Information Ratio -0.41 Rockwood assumed account on April 4th 2005 3: Yr .:::::::::::::::::::::::::::::::: ::::::~~~ : P<i1:rc:: ::.........y. >:::: Diff: ........... . # of Negative Qtrs 4.00 4.00 0.00 # of Positive Qtrs 8.00 8.00 0.00 Batting Average 58.33 41.67 16.66 Worst Qtr -5.01 -7.81 2.80 Best Qtr 6.19 9.63 -3.44 Range 11.20 17.44 -6.24 Worst 4 Qtrs -2.12 4.04 -6.16 Standard Deviation 6.39 7.40 -1.01 Beta 0.60 1.00 -0.40 Annualized Alpha -1.32 0.00 -1.32 R-Squared 0.48 1.00 -0.52 Sharpe Ratio 0.31 0.78 -0.47 Treynor Ratio 3.35 5.78 -2.43 Tracking Error 5.51 0.00 5.51 Information Ratio -0.68 frtcept; :::::::~:::::::::::~ ::: Ficncl:: :::........ . : :::::Poi~c :: .. ..... y :::::: pif#:: . # of Negative Qtrs 8.66 7.66 1.00 # of Positive Qtrs 10.00 11.00 -1.00 Batting Average 62.49 37.51 24.98 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 7.05 8.20 -1.15 Beta 0.68 1.00 -0.32 Annualized Alpha -2.03 0.00 -2.03 R-Squared 0.62 1.00 -0.38 Sharpe Ratio -0.33 -0.04 -0.29 Treynor Ratio -3.40 -0.33 -3.07 Tracking Error 5.16 0.00 5.16 Information Ratio -0.38 20 Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through June 30, 2005 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°/8 00% 5.00% 10.00% 15.00% Risk (Annualized Std Dev) t--Policy Rockwood assumed account on April 4th 2005 20.OU"/o "LS.IJU /o 21 ' 20.00% ' 15.00% R e t 10.00% ' u r n s 5.00% ' 0 00°/ Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through June 30, 2005 2 Years 3 Years 00°/ ~S&P 5 0 ~ Fund ~, ~ LB Gov/Corp 3 Mo TBill ° 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) ' 8.00% ~.oo°i° 1 6.00% R e 5.00% t u r 4.00% n s 00% 3 . 2.00% 1.00°600 4 Years i ~ LB Gov/Corp ---- - ~ - 3 Mo TBill ~ n°i ~ nn°i~ ~ n no°i~ 15.O~P 5Q0. Risk (Annualized Std Dev) Rockwood assumed account on April 4th 2005 10. o 9.00% 8.00% ~S&P 500 7.00% R e 6.00% ~ LB Gov/Core t u 5.00% r s 4.00% 3.00% ~ Flund 2.00% 1.00°/ 3 Mo TBi I 8.00% 5.00% 10.00% 15.00% 20.00% Risk (Annualized Std Dev) Inception 15.00% 10.00% R e t 5.00% u r n s 0.00% ~ S&P 500 00% --~-Policy 22 -5.00% ' 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) i ~ LB Gov/Corp I TBill ~,~ - --- 1 Fund Village of Tequesta Public Safety Officers' Pension Trust Fund Policy: 10/31 /2000-06/30/2005 55.00 S&P 500 35.00 Lehman Gov/Credit Bond 10.00 Citigroup Treasury Bill - 3 Month First Objective: Second Objective: 10/31 /2000-06/30/2005 10/31 /2000-06/30/2005 Annual Return of 8.00% 100.00 US Consumer Price Index + 3.00 annual adder Universe Data: 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash 10/31/2000-06/30/2005 35.00 High Quality Bond 55.00 Pure Large Cap Core 10.00 Government Money Market 23 Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Vllage of Tequesta PSO Pension Trust Fund NorthStar Capital Mgml~ From 04-Ol-OS To 06-30-OS Tran Trade Settle Code Date Date Security CONTRIBUTIONS li 04-12-OS 04-12-OS Cash Funds received li 04-12-OS O4-l2-OS Cash Funds received ti 04-22-OS 04-22-OS Cash Received from Wachovia Bank li 04-27-OS 04-27-OS Cash Funds received li 04-30-OS 04-30-OS Cash Error cottection G OS-06-OS OS-06-OS Cash EE li OS-06-05 OS-06-OS Cash ER li OS-23-OS OS-23-OS Cash EE li OS-23-OS 05-23-05 Cash ER li 06-08-OS 06-08-OS Cash EE li 06-08-OS 06-08-OS Cash ER li 06-20-OS 06-20-OS Cash EE G 06-20-OS 06-20-OS Cash ER Broker Amount Quantity Code Commission 11,883.01 8,206.52 274,800.73 8,730.20 0.01 2,855.30 5,195.22 2,939.35 5,350.00 2,987.29 5,464.03 3,087.76 5,644.97 337,144.39 ^ WITHDRAWALS l0 04-20-OS 04-20-OS Cash 75.00 Termination Fee l0 04-21-OS 04-21-OS Cash 25.00 ' Wire fee to 04-22-OS 04-22-OS Cash 274,800.73 Wire to Central Carolina l0 04-22-OS 04-22-OS Cash 25.00 Wire fee to OS-27-OS OS-27-OS Cash 3,635.87 Hanson Peny & Jensen Legal Svcs. March&Apri12005 ' to OS-27-OS OS-27-OS Cash Business Services Connection 354.00 in OS-27-OS OS-27-OS Cash 2,000.00 Bogdahn Monitoring Services Qtrly Fee 1-05/3-31-05 to OS-27-OS OS-27-OS Cash 1,096.00 Gabriel, Roeder, Smith & Co ' l0 06-07-OS 06-07-OS Cash 2,935.00 Gabriel Roeder & Smith ~~ Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS Village of Tequesta PSO Pension Trust Fund NorthStar Capital Mgm~ From 04-Ol-OS To 06-30-OS Tran Trade Settle Code Date Date Security Amount Quantity l0 06-17-OS 06-17-OS Cash 98.17 Foreign Tax withheld 285,044.77 EXPENSE ACCOUNTS 0.00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS dp OS-27-OS OS-27-OS Administration Fee 230.00 Northstar Capital Mgmt Final bill 230.00 PORTFOLIO NET TOTAL 51,869.62 EXPENSE ACCOUNTS PAID BY CLIENT AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT 0.00 0.00 GRAND TOTAL 5],869.62 Broker Code Commission 2