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HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 05_07/01/2004BOGDAHN CONSULTING LLC. simplifying your investment decisions Village of Tequesta PUBLIC SAFETY OFFICERS PENSION PLAN March, 2004 www.bogdahnconsulting. com 62 Fourth Street Southwest • Winter Haven, Florida 33880 Telephone (863) 293-8289 • Facsimile (863) 298-6762 i 1 L 1 1 Performance Evaluation for Village of Tequesta Public Safety Officers' Pension Trust Fund NorthStar Capital Mgmt. For the Period Ending March 31, 2004 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. t 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. fi 1 ty Officers' Weight a 1 ... 1 1 1 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 2.84 2.31 4.40 3.76 2000 1999 1998 1997 1996 1995 'turns in Down Markets Village of Tequesta Public Safety Officers' Pension Plan Asset Allocation Through March 31, 2004 At Market Equity 57% At Cost Equity 53% Fixed Income 35% Fixed Income 38% 3 Cash &Equiv a°i Cash &Equiv 9% Villa e of Te uesta Public Safet Officers' 9 q Y Pension Trust Fund Universe Comparison Report Explanation The universe com ares the fund's returns to a rou of other investment ortfolios called a universe. Ideall the universe P 9 P P Y 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 pertormed 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. 1 . ~ ~ Villa e of Te uesta Public Safet Officers' g q Y ' Pension Trust Fund Universe Comparisons 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash Calendar Year Returns 30.00% - --- - --- --- ' 25.00% 20.00% r 15.00% 10.00% o ' 5.00% 0 0 0.00% -5.00% -10.00% ' -15.00% Qtr YTD 2003 2002 2001 2000 1999 1998 1997 ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ^ 75-95th %tile Q Fund Q Policy 1996 Calendar Year Returns Qtr ~ YTD ~ 20031 _ 2002 2001 2000 ~ 1999 1998 1997 1996 - -- _ ._ ' ~ Fund _ _- _ _ -- - -. Return 3.89 3.89 _ 10.73 -10.75 _ -3.65 til - e 1 1 100 ~ 75 53 Policy Return 2.04 ~ 2.04 17.13 -8.74 -3.07 -tile 28i 28 38 34 39 Universe ' 5th %-tile 2.77 2.77 19.96 -5.88 1.24 9.38 17.94 21.50 23.12 17.01 25th %-tile 2.07 2.07 17.96 -8.23 -2.00 3.89 13.36 18.86 21.60 14.89 50th %-tile (~ .71 1.71 16.66 -9.43 -3.55 -0.37 11.33 16.76 20.00 13.72 75th %-tile 1.29 1.29 15.03 -10.82 -4.83 -2.04 8.70 12.99 17.35 12.06 ' 95th %-tile 0.61 0.61 12.75 -12.30 -7.55 -4.27 3.68 10.11 12.68 9.26 Returns are in percent. "%-tile" is the percentile ranking within the universe. 1 Returns for periods exceeding one year are annualized. 5 8 ~~~ ~ Village of Tequesta Public Safety Officers' Pension Trust Fund '' Universe Comparisons 55% Lg Cap Core, 35% Hg Quality Bd, 10% Cash 30.00% 2 5.00% 20.00% 15.00% 10.00% ' 5.00% 0.00% -5 00°/ ~ ~ - ~ ~ C C ' ° 2 Qtrs 3 Ctrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ~ 75-95th %tile Q Fund ~ Policy ' Trailing Returns through March 31, 2004 2 Qtrs 3 Qtrs~ 1 Yr 2 Yr~_ Fund 3 Yr I 4 Yr 5 Yr 1 -- Return 7.65 10.46 15.04 2.84 2.31 -tile 73 35 96 49 54 Policy Return 8.79 10.27 20.89 ~ 4.40 -tile 35 42 ~ 45 ~ 15 i ~ 1 -_ Universe - -- ------- _ ---- - ._.- 5th %-tile 10.54 12.64 24.81 5.45 25th %-tile 23 9 10 96 22 32 3 86 . . . . 50th %-tile 8.44 10.04 20.60 2.79 r 75th % til 7 55 9 09 18 57 1 64 - e . . . . 95th %-tile 6.06 6.95 ~ 15.16 0.38 ' " " Returns are in perce nt. %-tile is the percentile ran king within the universe. Returns for periods exceeding one year are annual ized. ' Incept is October 31, 2000 to March 31, 2004 ' 6 3.76 13 f. 7 Yr 8 Yr 6 Yr 7 Yr 8 Yr 4.51 3.77 5.29 ~ 5.83 8.44 8.73 3.24 1.24 3.09 4.07 7.18 7.66 2.41 -0.16 I 1.88 3.37 6.48 7.00 1.46 ~ -1.26 1.09 2.62 5.56 6.12 0.14 -2.78 -0.19 1.39 4.29 4.83 ~ Village of Tequesta Public Safety Officers' Fixed Income ' Executive Summary Account Reconciliation Trailing Returns through March 31, 2004 Calendar Year Returns 1 03/31 /2004 2004 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995 Fund 1:83 1.83 3.65 9.01 - 10.20 Policy 3.08 3.08 4.68 11.02 8.51 Diff -1.25 -1.25 -1.03 -2.01 1.69 10/31 /2000 3 Yr Incept ' 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. 1 Returns in Down Markets 10/31 /2000 1 Yr 2 Yr 3 Yr Incept Fund 0.4 0.4 0.3 0.3 Policy -0.5 -0.5 •1.0 -1.0 Ratio -84.6 -84.6 -35:0 -35.0 7 Investment Policy ~ Village of Tequesta Public Safety Officers' Fixed Income Universe Comparisons ' High Quality Bond Calendar Year Returns ° ' 20.00 /° 15.00% 10.00% 5.00% 0.00% ' -5 00°/ ~e ° Qtr YTD 2003 2002 2001 2000 1999 1998 ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ~ 75-95th %tile Q Fund Q Policy Calendar Year Returns 1997 1996 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 Fund Return 1.83 1.83 3.65 9.01 10.20 -tile 69 69 61 32 3 Policy Return 3.08 3.08 4.68 11.02 8.51 -tile 7 7 35 4 21 i U n verse 5th %-tile 3.15 3.15 11.51 10.87 9.85 12.37 4.61 9.45 11.75 6.94 25th %-tile 2.64 2.64 5.34 9.37 8.40 10.90 1.75 8.34 9.52 4.98 50th %-tile 2.34 2.34 4.04 7.98 7.81 9.56 -0.45 7.26 8.59 3.78 75th %-tile 1.51 1.51 2.90 5.51 7.00 7.70 -1.46 6.33 7.06 2.79 95th %-tile 0.63 0.63 1.63 1.50 4.93 5.78 -3.67 4.50 5.91 1.54 ' Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. 8 r Village of Tequesta Public Safety Officers' Fixed Income Universe Comparisons r High Quality Bond 2o.oo°i° 1 15.00% 10.00% ' 5.00% ' 0 00°/ ~CC'~ ° 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 Q Fund Q Policy 7 Yr 8 Yr 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Fund Return 2.13 2.28 4.46 7.32 6.99 -tile 68 58 64 57 34 Policy Return 3.06 2.54 6.16 9.71 7.99 -tile 33 48 27 11 13 Universe 5th %-tile 4.94 5.56 11.34 10.67 8.71 9.60 8.17 7.60 8.31 8.05 25th %-tile 3.23 3.10 6.25 8.45 7.25 8.38 6.97 6.74 7.41 7.13 50th %-tile 2.67 2.48 5.06 7.64 6.43 7.62 6.29 6.14 6.81 6.52 75th %-tile 1.79 1.81 3.62 5.44 5.19 6.29 5.52 5.53 5.91 5.77 95th %-tile 0.87 1.02 1.78 2.65 3.01 4.29 4.35 4.45 4.79 4.92 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 March 31, 2004 9 ' ~ Village of Tequesta Public Safety Officers' Equity Executive Summary Account Reconciliation 2004 10/31 /2000 YTD Incept 1 1 Trailing Returns through March 31, 2004 10/31 /2000 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Incept Fund 25.85 -2.03 -2.12 -8.37 Policy 5.1 0.83 0.63 -5.26 Diff -9.2 -2.86 -2.75 -3.11 ' Calendar Year Returns 03/31 /2004 2004 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 1995 Fund 5.60 5.60 18.33 -27.28 -13.87 Policy 1.69 1.69 28.68 -22.10 -11.88. Diff 3.91 3.91 -10.35 -5.18 -1.99 1 10/31 /2000 3 Yr Incept 17.2 17.2 ' 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 1 Yr 10 ~ Village of Tequesta Public Safety Officers' Equity ' Universe Comparisons ' Pure Large Cap Core Calendar Year Returns ° 50.00 /° ' 40 00% . ' 30.00% 20.00% ' 10.00% 0.00% ' -10.00% -20.00% ' -30 00°/ ___ ,~~p~i 00 -~ ~, ° Qtr YTD 2003 2002 2001 2000 1999 1998 ' ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile ~ 75-95th %tile ~ Fund Q Policy Calendar Year Returns 1997 1996 Qtr YTD 2003 2002 2001 2000 1999 1998 1997 1996 Fund Return 5.60 5.60 18.33 -27.28 -13.87 -tile 1 1 100 99 77 Policy Return 1.69 1.69 28.68 -22.10 -11.88 -tile 48 48 29 46 48 Universe 5th %-tile 3.81 3.81 33.34 -15.55 -1.49 13.61 35.03 34.74 36.25 28.67 25th %-tile 2.40 2.40 28.99 -20.13 -9.35 -0.20 22.80 28.47 32.85 23.16 50th %-tile 1.65 1.65 27.83 -22.23 -12.08 -7.39 20.27 25.44 30.81 21.88 75th %-tile 1.23 1.23 24.97 -23.39 -13.51 -9.63 16.39 18.85 25.92 19.26 95th %-tile -0.25 -0.25 20.58 -26.60 -19.10 -14.67 6.13 13.04 17.69 13.67 ' Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. ' 11 ~ Village of Tequesta Public Safety Officers' Equity ' Universe Comparisons ' - Pure Large Cap Core 60.00% ' 00% 50 . 40.00% 30.00% 20.00% 10.00% 0.00% _, 0.00% 20 00°/ ~~~e~e~l ° 2 Otrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr ~ 5-25th %tile ~ 25-50th %tile ^ 50-75th %tile t ~ 75-95th %tile Q Fund Q Policy / Tr 8 Tf Trailing Returns through March 31, 2004 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr Fund Return 12.32 17.23 25.85 -2.03 -2.12 -tile 76 32 92 85 85 Policy Return 14.08 17.09 35.12 0.83 0.63 -tile 37 36 35 38 37 Universe', 5th %-tile 17.87 21.95 42.49 5.92 4.23 2.86 5.90 6.69 10.92 11.50 25th %-tile 14.75 17.69 36.44 1.78 1.32 -3.22 0.77 2.64 7.89 8.80 50th %-tile 13.82 16.70 34.39 0.49 0.28 -5.66 -1.30 1.61 7.04 8.16 75th %-tile 12.39 15.24 31.21 -0.94 -0.93 -6.63 -2.06 0.68 5.62 6.75 95th %-tile 9.40 11.14 24.47 -3.57 -3.79 -10.24 -4.89 -1.87 2.92 4.05 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 March 31, 2004 12 i ' Fund (%) Policy (%) Difference (%) ' Ratio # Up Qtrs i - Fund (%) ' Policy (%) Difference (%) Ratio ' # Down Qtrs Village of Tequesta Public Safety Officers' Pension Trust Fund 30 00% Up Market Returns - . 25.00% - --- 20.00% 15.00% - - 10.00% -- 5.00% 0 00% . 1 Yr 2 Yr 15.04 10.66 20.89 21.45 -5.85 -10.79 72.00 49.70 4.00 5.00 3 Yr Incep 10.32 ___ 10.32 18.27 18.27 -7.95 -7.95 56.49 56.49 8.00 8.00 Down Market Returns o oo°i . ° 5.00% 10.00% - - -- 15.00% 20.00% - - 25 00% . 1 Yr 2 Yr 3 Yr Incept _ -6.83 -12.00 -14.68 -14.51 -20.15 -19.53 7.68 8.15 4.85 47.07 59.55 75.17 0.00 3.00 4.00 - 5.66 ~0 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 Quarter Ending ^ Fund ~ Policy -~- Nominal 8% ^ CPI + 3% ~ Village of Tequesta Public Safety Officers' ' Pension Trust Fund Attributions of Returns Report Explanation ' Performance attribution concentrates on evaluatin the effect of the mana er's decisions on asset allocation and securit 9 9 Y 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 2.04 1.85 3.89 -- Year to Date 2.04 1.85 3.89 ' 1 Year 20.89 -5.85 15.04 2 Years 4.40 ~ 1.56 2.84 3 Years 3.76 -1.45 --- - 2.31 -- Incept 0.83 -1.65 -0.82 ^ -- - - Policy + Manager Contribution =Fund Attribution of Manager Contribution between Asset Allocation and Security Selection ^ Asset Allocation Security Selection Manager Contribution Current Quarter -1.09 2.94 1.85 Year to Date -1.09 2.94 1.85 1 Year -10.75 4.90 -5.85 2 Years -1.99 0.43 -1.56 3 Years -1.86 0.41 -1.45 Incept -0.58 -1.07 -1.65 ' Asset Allocation + Security Selection =Manager Contribution 16 r ' 10.00% P e 5.00% r c ' e n t 0.00% E f e -5.00% c ' t Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation Effect -10.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 Quarter Ending 1 Security Selection Effect ' 10.00% ' P g 5.00% r ' c e n t 0.00% E f f ' e -5.00% c t -10.00% 1 D00 MO1 J01 S01 D01 M02 J02 S02 D02 M03 J03 503 UU3 MU4 - Quarter Ending !~ ~ Quarterly Effect Cumulative Effect 17 Village of Tequesta Public Safety Officers' Pension Trust Fund Asset Allocation vs Targets ~o 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 Quarter Ending ~ Cash & Equiv ~ Target 60.00% __ 50.00°/ - - ;. -------- - ~ ---------------- ---------- I 40.00°/ - - - - - - - - i 30.00°/ - - - - - - - - - - - ------ -------------- 20.00°/ - - - - - - - ~ I r. - - - - - - - .i - --- ----------------- 10.00°/ 0.00% D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 Quarter Ending ~ Equity ~-Target 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 Quarter Ending ----- - _ - Fixed Income -~ Target 18 r , 0.00% 5.00% R ' e t 0.00% u r n -5.00% ' -10.00% r$ ~$ ~$ v a u e Village of Tequesta Public Safety Officers' Pension Trust Fund Manager Contribution D00 M01 J01 S01 D01 M02 J02 S02 D02 M03 J03 S03 D03 M04 Quarter Ending ^~ Quarterly Cumulative) Growth of $100 Fund vs Policy 19 VVV UUV MV 1 JU1 JUl UU1 MUL JU'1 5UL UUL MVa JU3 SUS UU3 MU4 Quarter Ending L ^ Fund -^~ Policy Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis ($) Period Ending Fund Polic y Diff Nominal 8% Diff ° CPI + 3 /° Diff Oct 2000 1,579 1,579 0 1,579 0 1,579 0 Dec 2000 1,555 1,540 16 1,603 -48 1,590 -35 Mar 2001 1,459 1,480 -21 1,658 -199 1,645 -186 Jun 2001 1,527 1,539 -12 1,697 -170 1,682 -156 Sep 2001 1,466 1,461 5 1,755 -289 1,723 -257 Dec 2001 1,579 1,573 6 1,813 -234 1,745 -165 Mar 2002 1,573 1,614 -42 1,889 -316 1,819 -247 Jun 2002 1,624 1,597 27 2,014 -390 1,934 -310 Sep 2002 1,636 1,559 77 2,145 -509 2,051 -415 Dec 2002 1,629 1,659 -30 2,202 -573 2,081 -453 Mar 2003 1,672 1,683 -11 2,288 -616 2,178 -506 Jun 2003 1,776 1,881 -105 2,366 -591 2,222 -446 Sep 2003 1,972 2,055 -84 2,562 -590 2,405 -433 Dec 2003 2,086 2,235 -150 2,654 -568 2,453 -368 Mar 2004 2,202 2,316 -114 2,741 -539 2,546 -344 All dollar values are shown in thousands. f v 20 ~ Village of Tequesta Public Safety Officers' Pension Trust Fund Quarterly Comparison Analysis (%) Period Ending Fund Policy Diff Nominal 8% Diff CPI + 3% Diff Mar 2001 -7.63 -5.35 -2.28 1.94 -9.57 1.95 -9.58 Jun 2001 4.16 3.49 0.67 1.94 2.22 1.85 2.31 Sep 2001 -5.55 -6.60 1.05 1.94 -7.49 0.94 -6.49 Dec 2001 6.03 5.94 0.09 1.94 4.09 -0.16 6.19 Mar 2002 -2.92 0.08 -3.00 _ 1.94 -4.86 1.95 -4.87 Jun 2002 -2.19 -6.22 4.03 1.94 -4.13 1.44 -3.63 Sep 2002 -4.74 -7.81 3.07 1.94 -6.68 1.34 -6.08 Dec 2002 -1.33 5.46 -6.79 1.94 -3.27 0.74 -2.07 Mar 2003 -0.00 -1.13 1.13 1.94 -1.94 2.55 -2.55 Jun 2003 4.15 9.63 -5.48 1.94 2.21 0.44 3.71 Sep 2003 2.61 1.35 1.26 1.94 0.67 1.54 1.07 Dec 2003 3.62 6.62 -3.00 1.94 1.68 0.24 3.38 Mar 2004 3.89 2.04 1.85 1.94 1.95 2.35 1.54 Incept. -0.82 0.83 -1.65 8.00 -8.82 5.21 _ -6.03 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 erformance should extend be and return to encom ass measures of risk. The next two a es P Y P P9 ' 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. 1 # 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 1 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 RatiolTreynor Ratio: The Sharpe and Treynor ratios are similar. The Sharpe ratio is the excess return per unit of ' total risk as measured by standard deviation. The Treynor ratio is the excess return per unit of market risk as measured by beta. Both of these should be compared against the corresponding value for the policy. Higher numbers are better, indicating more return for the level of risk that was experienced. r t ' 22 Village of Tequesta Public Safety Officers' Pension Trust Fund Risk Measures 1 Yr Fund Policy Diff # of Negative Qtrs 0.00 0.00 0.00 # of Positive Qtrs 4.00 4.00 0.00 Batting Average 50.00 50.00 0.00 Worst Qtr 2.61 1.35 1.26 Best Qtr 4.15 9.63 -5.48 Range 1.54 8.28 -6.74 Worst 4 Qtrs 15.04 20.89 -5.85 Standard Deviation 2.71 5.95 -3.24 Beta 0.28 1.00 -0.72 Annualized Alpha 8. 0.00 8.26 R-Squared 0.38 1.00 -0.62 Sharpe atio 5.18 .34 Treynor Ratio 50.14 19.89 30.25 Tracking Error 4.76 0.00 4.76 Information Ratio -1.23 2 Yr Fund Policy Diff # of Negative Qtrs 4.00 3.00 1.00 # of Positive Qtrs 4.00 5.00 -1.00 Batting Average 62.50 37.50 25.00 Worst Qtr -4.74 -7.81 3.07 Best Qtr 4.15 9.63 -5.48 Range 8.89 17.44 -8.55 Worst 4 Qtrs -8.07 -9.84 1.77 Standard Deviation 5.03 9.19 -4.16 Beta 0.41 1.00 -0.59 Annualized Alpha 0.23 0.00 0.23 R-Squared 0.55 1.00 -0.45 Sharpe Ratio 0.31 0.34 -0.03 Treynor Ratio 3.80 3.12 0.68 Tracking Error 6.42 0.00 6.42 Information Ratio -0.24 3 Yr Fund Policy Diff # of Negative Qtrs 6.00 4.00 2.00 # of Positive Qtrs 6.00 8.00 -2.00 Batting Average 66.67 33.33 33.34 Worst Qtr -5.55 -7.81 2.26 Best Qtr 6.03 9.63 -3.60 Range 11.58 17.44 -5.86 Worst 4 Qtrs -10.75 -9.84 -0.91 Standard Deviation 6.00 8.79 -2.79 Beta 0.54 1.00 -0.46 Annualized Alpha -0.60 0.00 -0.60 R-Squared 0.63 1.00 -0.37 Sharpe Ratio 0.07 0.21 -0.14 Treynor Ratio 0.78 1.87 -1.09 Tracking Error 5.46 0.00 5.46 Information Ratio -0.27 Incept Fund Policy Diff # of Negative Qtrs 7.66 5.66 2.00 # of Positive Qtrs 6.00 8.00 -2.00 Batting Average 63.40 36.60 26.80 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 6.80 9.20 -2.40 Beta 0.61 1.00 -0.39 Annualized Alpha -2.26 0.00 -2.26 R-Squared 0.66 1.00 -0.34 Sharpe Ratio -0.47 -0.17 -0.30 Treynor Ratio -5.25 -1.55 -3.70 Tracking Error 5.47 0.00 5.47 Information Ratio -0.30 23 1 15.00% 10.00% i I ' n n u 5.00% a I i z e d ' R e 0.00% t ' u r n -5.00% -10.00°/ Village of Tequesta Public Safety Officers' Pension Trust Fund Return vs Risk through March 31, 2004 ALB Gov/Corp ~3 Mo TBill Fund ~S&P 500 5.00% r 5.00% 10.00% 15.00% Risk (Annualized Std Dev) Policy 24 20.00% 25.00% ~ Village of Tequesta Public Safety Officers' ' Pension Trust Fund Return vs Risk through March 31, 2004 ' 45.00% 40.00% 35.00% 30.00% R e 25.00% ~ 20.00% s 15 00% ~ . Fund 10.00% 1 Year ~S&P 500 11.00% 10.00% 9.00% 8.00% 7.00% R e 6.00% t 5.00% u r 4.00% s 3.00% 2.00% 1.00% 0 00°/ 2 Years ~ LB Gov/Cory ~ Fund 3 Mo TBill ~S&P 500 5.00% ~ LB Gov/Corp 0.00°/ 8.00 /° i ~___- % 10.00% 15.00% 20.00% Risk (Annualized Std Dev) t 3 Years 9.00% ° /° LB Gov/Corp 7.00% 6.00% ' e 5.00% t u 4.00% r n 3.00% s 2.00% ~ Fund 3 M o TBill 1.00% ~ S&P 500 0.00% -- -L ~ --L- _- - ~ - 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) ° 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) 15.00% 10.00% R 5.00% e u 0.00% r n s -5.00% Inception -10.00% 5.00% 15.00% 25.00% 0.00% 10.00% 20.00% Risk (Annualized Std Dev) Policy 25 Performance: Calendar Period Returns Data calculated using Quarterly returns 2003 2002 ' 2001 2000 9 Dana Investment Advisors, Inc. -Dana Intermediate Bond -Gross Size 3.596 8.468 9.184 ' 8.764 2.080 Eagle Asset Management Inc. -Intermediate Conservative-Institutional -Gross 3.103 9.103 ' 8.906 11.203 ._ 0.071 Size ~' HGK Asset Management, Inc. - A+ Pension Fixed Income -Gross Size 3.835 10.161 8.959 10.165 -1.245 .-~ Rockwood Capital Advisors -Strategic Duration -Gross Size 3.227 7.295 8.353 10.710 1.134 .', Sawgrass Asset Management LLC -Core Fixed Income -Gross Size 4.110 10.707 8.379 ! 11.466 -0.188 '• Trusco Capital Management, Inc. -Core Fixed Gov/Credit -Gross Size ' 4.351 8.380 8.083 11.806 -1.939 .- Lehman Gov/Credit-Intermediate 4.299 9.816 8.980 10.102 0.387 Returns G~ 3,3y ~•Qp Q,33 ~It. g ~ ~.3 Performance: Index Relative Risk Statistics Benchmark: Lehman Gov/Credit-Intermediate 5 Years Trailing ending 03/31/2004 Data calculated using Quarterly returns Alpha Beta R-Squared o.s 1 a 100 0.0 -0.5 -1.0 -1.5 5Yr Ending 03/31/2004 Treynor Ratio s 4 3 2 1 0 5Yr Ending 03/31/2004 • Lehman Gov/Credit-Intermediate 1.2 1.0 0.8 0.6 0.4 0.2 0.0 so 50 40 30 20 10 0 5Yr Ending 03/31/2004 Batting Average 5Yr Ending 03/31/2004 so 80 70 60 50 40 30 20 10 0 o.a 0.2 0.0 -0.2 -0.4 -0.6 -0.8 5Yr Ending 03/31/2004 Information Ratio Alpha Beta R-Squared Treynor Batting Information Ratio Average Ratio ~ Dana Investment Advisors, Inc. -Dana Intermediate Bond - 0.299. 0.761 91.859 4.235. 40.000! -0.563, Gross Size Eagle Asset Management Inc. -Intermediate -0.1761. 0.951 95.411 3.654 55.000',. -0.513, Conservative-Institutional -Gross Size HGK Asset Management, Inc. - A+ Pension Fixed Income - -1.3591 1.243] 94.753, 2.728. 45.000'. -0.359 Gross Size Rockwood Capital Advisors -Strategic Duration -Gross 0.374 0.668 86.156 4.400 50.000 -0.635' Size ~ Sawgrass Asset Management LLC -Core Fixed Income - -0.023'. 1.052! 96.645 3.827 60.000'. 0.258' Gross Size Trusco Capital Management, Inc. -Core Fixed Gov/Credit - -0.847 1.153 92.472: 3.096 45.000' -0.231 Gross Size • Lehman Gov/Credit-Intermediate 0.000' 1.000, 100.000 3.847 100.000. Timeframe: 5 Years Trailing Index: Lehman Gov/Credit-Intermediate _~6~ ~,~~ t^~ x.23 ~~ -~~8'~ EGG Performance: Market Capture Ratios Benchmark: Lehman Gov/Credit-Intermediate 5 Years Trailing ending 03/31/2004 Data calculated using Quarterly returns Up-Market Ratio 120 100 80 60 40 20 0 5Yr Ending 03/31/2004 500 450 400- 350 300 250 200 150 100 50 0 Down-Market Ratio 115 110 .ro ~ 105 Q m 100 N ~ 95 o. 90 85 -300 -200 -100 0 100 200 300 400 500 Down-Market Ratio s Dana Investment Advisors, Inc. - Dana Intermediate Bond -Gross Size Eagle Asset Management Inc. -Intermediate Conservative-Institutional - Gross Size HGK Asset Management, Inc. - A+ Pension Fixed Income -Gross Size Rockwood Capital Advisors -Strategic Duration -Gross Size ^ Sawgrass Asset Management LLC -Core Fixed Income -Gross Size Trusco Capital Management, Inc. -Core Fixed Gov/Credit - Gross Size • Lehman Gov/Credit-Intermediate Index: Lehman Gov/Credit-Intermediate Timeframe: 5 Years Trailing Up-Market Ratio Down-Market Ratio 90.596 94.056 100.043 86.102 102.783 101.631 100.000 ~'~. Sr 51.781 60.729 461.347 23.311 119.611 408.078 100.000 Z~Z Up-Market vs Down-Market 5Yr Ending 03/31/2004 Performance: Return vs Risk Benchmark: Lehman Gov/Credit-Intermediate 3 Years Trailing and 5 Years Trailing ending 03/31/2004 Data calculated using Quarterly returns 3 Years Trailing ending 03/31/2004 9 8 c 7 7 N 6 8.5 8.0 7.5 N E ¢ 7.0 6.5 6.0 2.0 5 Years Trailing ending 03/31/2004 3Yr 5Yr Returns __ Standard Returns Standard Deviation Deviation ^ Dana Investment Advisors, Inc. -Dana Intermediate Bond -Gross Size 6.427 2.623 6.591 2.655 Eagle Asset Management Inc. -Intermediate Conservative-Institutional -Gross 6.560 3.414 6.832 3.280 Size HGK Asset Management, Inc. - A+ Pension Fixed Income -Gross Size 7.357 4.351 6.713 4.131 Rockwood Capital Advisors -Strategic Duration -Gross Size 5.816 2.337 6.301 2.496 ^ Sawgrass Asset Management LLC -Core Fixed Income -Gross Size 7.615 3.781 7.388 3.495 Trusco Capital Management, Inc. -Core Fixed Gov/Credit -Gross Size 6.943 4.161 6.903 3.944 • Lehman Gov/Credit-Intermediate 7.352 3.537 7.212 3.259 (~. S t~ ~1.3'S ~~ ( ~ t~'f 3 .^ c~ 5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 Standard Deviation 2.5 3.0 3.5 4.0 4.5 Standard Deviation Perforrt~ance: Risk Analysis Benchmark: Lehman Gov/Credit-Intermediate 5 Years Trailing ending 03/31/2004 Data calculated using Quarterly returns Returns 8 7 6 5 4 3 2 1 0 5Yr Ending 03/31/2004 Negative Quarters s 5 4 3 2 1 0 5Yr Ending 03/31/2004 Standard Deviation Sharpe Ratio 5 1.4 4 1.2 1.0 9 0.8 p 0.6 0.4 1 0.2 0 0.0 5Yr 5Yr Ending 03/31/2004 Ending 03/31/2004 Worst Quarter Worst 4 Quarters 0.0 3.0 -0.2 -0.4 2.5 -0.6 2.0 -0.8 -1.0 1.5 -1.2 -1.4 1.0 -1.6 0.5 -1.8 -2.0 0.0 5Yr 5Yr Ending 03/31/2004 Ending 03/31/2004 ~ Dana Investment Advisors, Inc. -Dana Intermediate Bond - Gross Size ,~ Eagle Asset Management Inc. -Intermediate Conservative-Institutional -Gross Size HGK Asset Management, Inc. - A+ Pension Fixed Income - Gross Size Rockwood Capital Advisors -Strategic Duration -Gross Size ~ Sawgrass Asset Management LLC -Core Fixed Income - Gross Size Trusco Capital Management, Inc. -Core Fixed Gov/Credit - Gross Size • Lehman Gov/Credit-Intermediate Timeframe: 5 Years Trailing 1.4r Returns Standard Sharpe Ratio' Negative Worst Worst 4 Deviation Quarters Quarter Quarters 6.591 2.655! 1.202' 2' -0.470 2.474 6.832 3.280' 1.0451 3 -0.513 2.095'' 6.713 4.131 0.800, 4 -1.880 0.501' 6.301 2.496 1.166 1 -0.632 2.545'. 7.388 3.495' 1.135', 2 -0.871 2.225 6.903 3.944 0.886: 6 -1.300 1.508' 7.212 3.259 1.164. 3 -0.393 2.073 Performance: Trailing Period Returns Benchmark: Lehman Gov/Credit-Intermediate Trailing periods ending 03/31/2004 Data calculated using Quarterly returns Dana Investment Advisors, Inc. -Dana Intermediate Bond -Gross Size Eagle Asset Management Inc. -Intermediate Conservative-Institutional - Gross Size HGK Asset Management, Inc. - A+ Pension Fixed Income -Gross Size Rockwood Capital Advisors -Strategic Duration -Gross Size Sawgrass Asset Management LLC -Core Fixed Income -Gross Size Trusco Capital Management, Inc. -Core Fixed Gov/Credit -Gross Size Lehman Gov/Credit-Intermediate Returns t]tr YTD 1 Yr 3Yr 5Yr t OYr 15Yr 20Yr 1.811 1.811 3.857 6.427 6.591 1.902 1.902 4.003 6.560 6.832' 7.115', 8.436 2.724 2.724 5.254 7.357 6.713 1.406 1.406 3.413 5.816 6.301 7.007 2.480 2.480 5.217 7.615 7.388 7.682 8.735, 3.140 3.140 5.932 6.943 6.903: 2.480 2.480 5.305 7.352 7.212 7.101 7.986 8.740 ~, ~ 3 t.63 3.~i 6•s$ ~•q~ Portfolio Fact Sheet: Client Summary Page 1 of 1 Data Updated Through:Oo For internal and/or client reporting purposes only 03-31-2004 Tequesta -PSO Equity Portfolio Value Benchmark: Standard & Poor's 500 $ 1,251,282.00 Analysis Composition % Portfolio Bmark • Cash 0.00 0.00 • US Stocks 96.45 99.80 • Non-US Stocks 3.55 0.00 Bonds 0.00 0.00 Other 0.00 0.20 Current Investment Style Style Value Core Growth r 4 21 60 Large Size 4 13 Medium Small Fixed-Income Investment Style % Maturity Short Interm Long High Quality Medium Low Sector Weightings Regional Exposure %ofStocks Portfolio J Bmark %ofAssets Portfolio Bmark Info Economy 19.02 23.00 "a" J Americas 96.45 100.00 Software 7 23 ~ m J North America 96.45 100.00 Hardware 9.03 11.30 ~ ~ Central fi Latin Amer. 0.00 0.00 Media 0.00 3.90 0 ~ Greater Europe 0.00 0.00 Telecommunication 2.76 3.40 ~ J United Kingdom 0.00 0.00 Service Economy 71.43 47.30 C= J Western Europe-xUK 0.00 0.00 Healthcare ~4 1 23 0 8 J Emerging Europe 0.00 0.00 Consumer Services 24.14 9.10 ®~ Africa 0.00 0.00 Business Services 5.62 3.60 ~ J Greater Asia 0.00 0.00 Financial Services 18.83 21.40 © ~ Japan 0.00 0.00 Mfg Economy ~6 2929^90 1-'rl _J Australasia 0.00 0.00 Consumer Goods 6.63 9.50 Q -J Emerging 4 Tigers 0.00 0.00 Industrial Materials 2.93 11.60 Q ~ Emg Asia-x4 Tigers 0.00 0.00 Energy 0.00 6.10 Q ~ Not Available 3.55 0.00 Utilities 0.00 2.70 ® J '~ U 10 20 30 40 50 60 10 60 90 100 Performance Trailing Returns Returns Through 03-31_2004 _ _ _ _ _ _ Investment Activity Graph 3Mo IYi 3Yi 5Yt IO Yr Pre-Tax Portfolio Return 8.80 58.89 29.39 28.98 35.85 Total Market Value: $1,251,282 $ 000 +/- Benchmark Return 7.10 23.77 28.72 30.14 24.15 1400.0 BestNllorst Time Periods 3 Months _ _ _ Best 10-98/12-98 Worst 07-01/09-01 Return% 1 Year _Return% 3 Years _ _ -Return% 37.10 04-97/03-98 78.87 04-97/03-00 56.59 -16.20 10-00/09-01 -10.62 04-00/03-03 12.80 RisWReturns Against MF Universe 3Yi Sri 10ri (13226 funds) (ID518 funds) 152851undsl Return 2 2 1 Risk 87 85 92 h =Best, 100= WasU Holdings Top 5 holdings out of 31 International Game Tech Apollo Group A Starbucks Symantec Capital One Financial 2.5 * X87%I* Type Holding Value $ % Assets ST 62944.00 5.03 ST 60312.00 4.82 ST 56805.00 4.54 ST 55560.00 4.44 ST 52801.00 4.22 Next 5 holdings out of 31 American Express Moody's Wachovia Teva Pharmaceutical Industries ADR Ambac Financial Group 130.0 860.0 590.0 320.0 50.0 Type Holding Value $ % Assets ST 51850.00 4.14 ST 49560.00 3.96 ST 47000.00 3.76 ST 44359.00 3.55 ST 44268.00 3.54 Average Star Rating Portfo110 Mgd Products Stocks 'parcenf a p«ltdio used n average .c;2004 Momingsta Associates, Inc. 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