HomeMy WebLinkAboutDocumentation_Pension Public Safety_Tab 04_08/04/2008Laur, Betty
from: Dave West [davew@bogdahnconsulting.com]
~ent: Sunday, July 27, 2008 9:31 AM
o: Laur, Betty
Subject: Tequesta Public Safety: Supplemental Reporting Information
Attachments: Tequesta Public Safety_2Q08 attribution commentary_2008-7-25.pdf
Importance: High
Betty-
Please find the supplemental analysis attached for distribution to the Trustees. We were not in a position to compete this
by the Friday distribution deadNne.
Could you forward Ken's email?
Thanks!
Regards,
Dave
David E. West, CFA
Iii
~~~C~~~,~~ ~~
simplifying your investment & fiduciary decisions
340 Central Ave., Suite 300
Winter Haven, FL. 33880
Phone:863-293-8289
Fax: 863-292-8717
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•
VILLAGE OF TEQUESTA PUBLIC SAFETY OFFICERS' PENSION
Investment Performance Attribution Supplement
2Q08 Performance Comparison
Total program investment results were positive (1.93%, net of manager fees) overcoming a
continued decline in broad equity market valuations and negative total returns in aggregate for the
bond market. A period best described as a tale of two markets; overall market breadth was
exceptionally narrow with optimism concentrated in the Energy sector (20.4%), and extreme
pessimism continuing in Financials (-1b.4%). Inforrnation and Technology stocks provided a boost
for Growth stocks in aggregate outperforming the financially heavy value indexes. With limited
positive activity, diversified portfolio strategies and indexers were hard pressed to achieve positive
returns. Good stock selection, while difficult was the key to generating positive returns. The Fund
benefited from good stock selection with active management of equities producing a total return of
4.88% vs. a benchmark return of -2.73% as measured by the S & P 500. Bonds were a detractor
from absolute performance declining 1.48% vs. a benchmark decline of 1.53% as measured by the
Lehman Intermediate Government Credit Index. A below target allocation to equities (54.1%)
going into the quarter actually detracted from performance as the active manager delivered positive
returns. The collective effort placed the fund in the top third (3'~) percentile of peers for the quarter.
Fiscal year to date results, while down 4.50%, placed the Fund in the top fifteenth (15~') percentile
of peers. The year over year return of -0.53% moved the Fund results into the top seventh (7`h)
percentile for the period ended June. Absolute rolling returns are below the actuarial required rate
of return as measured using non fiscal year periods ended June.
Fund cumulative asset growth has been good benefiting from an up market capture experience of
108% and a down market capture experience of 97.7% over the last three years. A total portfolio
beta of .9, and a sharp ratio in excess of the target index is suggestive of good risk management. A
high tracking error of 6.l suggests a strategy that is benchmark agnostic and subject to return
variation fmm the benchmark. This has been the Plan experience. While quarterly results have
been mixed, the overall effort has generated a positive alpha 2.3 indicating value added by the
active manager.
Rockwood Strategic Equity: 2Q08 Holdings-Based Attribution
Supplement
Key elements of equity manager attribution are as follows:
Note to analysis: We used Thomson Portfolio Analytics for the holdings-based attribution analysis,
which is based on monthly holdings for the Rockwood "composite" portfolio. Holdings-based
attribution can help to identify active elements of the inrvestment manager. The analysis does not
reflect the impact of cash flaws or management fees; actual portfolio returns may differ.
o Per the Thomson holdings based analysis (excluding cash); the Rockwood's Special Equity
outperformed the S&P 500 Index by 718 basis points (bps) during the quarter. While a
majority of the out performance was derived from stock selection (589 bps), the portfolio's
sector allocation added 129 bps during the quarter.
a
o As of 6/30/08, the portfolio held 37 securities. Nearly 73% of the portfolio securities are
constituents in the S&P 500 Index. At the end of the quarter, the portfolio had a slight
growth tilt based on the following characteristics: the forward 12-month P/E was higher
than the index, the PEG ratio was higher than the index and was greater than ] , the
dividend yield was less than the index, and the PB was higher than the index. A "quality"
focus is evident based on a low debt/ equity and a high return on equity.
Rockwood Capital Strategic Equity 6/30/2008
No of Securities
-----------T 37; 500
--------------- -T-----
Bmrk Holdings _____-__~ __ 72 70; 100.00
Top 25 Holdings______ ~
•--- -- - -F 73.97
-----------------------+--- 34.56
-----------•
Top 15 Holdings 49.13; 25.28
GICS Sector Analysis
o Positive contribution came from a significant underweight to Financials and Consumer
Discretionary and from overweights to Materials and Utilities. A significant underweight
to the best performing sector (Energy) was the primary detractor during the quarter (-155
bps).
o Regarding stock selection, the best performing stock in the portfolio (and the largest
holding) was United States Steel; it returned +45.9% and contributed 156 bps. All of the
top five holdings were positive, with three of the names having double-digit price
appreciation.
Mazket Cap Value Analysis
o With an average market cap significantly less than the index ($48.4b vs. $88.9b), a focus
on smaller companies benefited performance. Neazly 4% of portfolio was invested in
"mega cap" companies (>$200b), compared to nearly 14% for the S&P 500; this
underweight added 52 bps. Additionally, an overweight to the larger mid cap/ smaller large
cap companies (market cap range of $lOb to $20b) contributed 20 bps.
Country Analysis
o Neazly 13% of the portfolio was invested in non-US securities and this portion of the
portfolio returned -8.3% during the quarter, which detracted 95 bps from performance. For
a comparison, the MSCI EAFE returned -1.9%.
Recommendations:
o Review local ordinance and statute provisions for allowance of additional investment
alternatives.
b
GICS Sector Market Cam, and Country Attribution
Rrmlrwrmd f:anital Strategic Equity Vs. SBeP 500 3/31/2008 -
Total PortfoYo i0IC8 Ec~noirrc
Materials
Industrials
Consumer Discretionary
-----------------------------------
Consum_ er Staples
.Health Care------ ---------.
------
F~ancials
-Information Technology
_Telecomm-Service
Utilities
Total Partfolb QVUct C
Mkt C_ap Buckets 1
Mkt Cap-Buckets 2-------
-- ----- -- -- - - --
Mkt Cap Buckets 3
Mkt Cap-Buckets 4 ------
---- ---------
Mkt Cap Buckets 5
Total Portfoio (Can
N/A
---------------------------------
U.S.A,
10.00: 100.00E 4.45: -2.73; 4.451 -2731 1~~ -`5.89 7.18
5.661 14,41] 12.30; 17.31; 0.42; 2.19; -1.551 -0.38~ -1.93
14.331 3.73; 20.971 4.421 2.701 0.14 -----2.92
12.661 11,67] 3,40; -10,111 0,92E -1.181 0.01 1.81
2.06 E 8.551 1.461 -7.80; 0.031 -0.66 0.53
18.801 10.61; -5.59; -5.361 -1.151 -0.581 -0.11E -0.02; -0.12
15,701 11.441 0,321 -1.241 0.331 -0.141 -0.21 0:13
5.611 16.28 ~ 14.68 ~ -18.291 0.761 -2.97 3.63
15.001 16.25; 1.051 2,501 -0.021 0.331 -0.11; -0.181 -0.29
2.641 3.36; -11.131 -4.131 -0.29; -0.141 0.01; -0.191 0.19
-------- --
--- -
7.551 3.691 10.841 7.971 0.741 0,28 0.70
]0.001 100.00; 4.45; -2.731 4.451 -2.T3~ 0.79: 6.39; 7.18
--
0.001 0,19; 0.001 -18.351 0.001 -0.041 0.031 0.001 0.03
16.981 9.61; 0.821 -4.061 0.631 -0.33 0.671 0.80
23,561 14.131 10,461 -0,991 2.991 -0.13 -2.28 2.47
----- - -
55.76i 62.42; 3.611 -1,811 1.261 -1.051 -0.091 3.391 3.30
3.69E 13.64; 5.281 7.281 0.431 1,18 0.051 0.57
DOAQE 10x.00; 4.451 -2.73; 4.45E -2.73; -0.95 .8.13! 7.18
12.89E D.Ol -8,33; 0,001 -1.26; 0.001 -0,951 0.201 -0.75
87.111 99.99; 6.51; -2.701 5.72; -2.731 0.00; 7.931 7.92
1 ~ :~
Mkt Cap Bucket 1 {small cap} $ 2,000,000,000
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Mkt Cap Bucket 2 {mid cap) $ 10,000,000,000
........................................................................................................................................................................
Mkt Cap Bucket 3 {midllarge cap} $ 20,000,000,000
Mkt Cap Bucket 4 {large cap) $ 200,000,000,000
Mkt Cap Bucket 5 {"mega" cap} Infinit
C
{~S
April 14, 2005
maintained at all times reflecting the financial composition of the Fund and of the accounts
in place to segregate the assets of the employee classes covered by the System, induding
accurate current accounts and entries as regards the following:
A. Current amounts of Accumulated Contributions of Members on both
an individual and aggregate account basis, and
B. Receipts and disbursements, and
C. Benefit payments, and
D. Current amounts clearly reflecting all moneys, funds and .assets
whatsoever aitn'butable to contributions and deposits from the Village,
County or State, and
E. All interest, dividends and gains (or losses) whatsoever, and
F. Such other entries as may be properly required so as to reflect a clear
and complete financial report of the Fund.
G. Such other entries as required by the Chapters.
6S. An independent audit shall be performed annually by a certified public
accountant for the most recent fiscal year of the Village showing a detailed listing of assets
and a:statement of all income and disbursements during the year for each Fund. Such
income and disbursements must be reconciled with the assets at the beginning and end
of the year. Such report shall reflect complete evaluations of asset on both a cost and
market basis, as well as other items normally included in a certified audit.
76. The Board of Trustees shall have the following investment powers and
authority:
A. The Board of Trustees shall be vested with full legal title to the Fund,
subject, however, and in any event to the authority and power of the
Tequesta Village Council to amend or terminate this Trust, provided
that no amendment or Fund termination shall ever result in'the use of
any assets of the Fund except for the payment of regular expenses
and benefits under this System. All contributions from time to time
paid into the Fund, and the income thereof, without distinction
between principal and income, shall be held in the Fund and
administered by the. Board or its Agents.
B. All moneys paid into ar to be held shall be invested and reinvested by
Page 8 of 35
1
April 14, 2005
the Board and the investment of all or any part of such funds shall be
limited ta:
(1) Annuity and life insurance.contracts of life insurance companies
in amounts sufficient to provide, in whole or in part. the benefits to
which all of the participants in the-Fund shall -be entitled under the
provisions of the Plan and pay the initial and subsequent premium
thereon.
(2) Time or savings accounts of a national bank, a state bank insured
by the Bank Insurance Fund, or a savings and .loan association
insured by the Savings Association Insurance Fund which is
administered by the Federal Deposit Insurance Corporation or a state
or federal chartered credit union whose share accounts are insured
by the National Credit Union Share Insurance Fund.
(3) Obligations of the United States or obligations guaranteed as to
principal and interest by the government of the United States.
(4) Bonds, stocks, commingled funds administered by National or
State Banks or evidences of indebtedness issued or guaranteed by
a corporation organized under the laws of the United States, any state
- or organized territory of the United States, or the District of Columbia,
provided that the corporation is traded on a nationally recognized
Exchange and in the case of bonds only holds a rating in one of the
four highest classifications by a major rating service, and if such
investments are made in a pooled fund administered by a state or
nationa! bank, then the rating of each issue in the pooled fund shall
hold a rating within the top four (4) rating classifications of a major
rating service.
(5) Real estate
(6) Up to 10% of Plan assets may be invested in foreign securities.
(7) All monies paid into or held in the Pension Fund shall be
invested and reinvested by the Board of Trustees and the investment
of all or any part of such funds shall be invested in accordance with
an established investment policy adopted by the Board of Trustees.
C. The Board of Trustees shall not invest more than five percent (5%) of
its assets in the common stock or capital stock of any one issuing
company, nor shall the aggregate investment in any one issuing
Page 9 of 35
Apri! 14, 2005
company exceed five percent (5%) of the outstanding capital stock of
that company; nor shall the aggregate of its investments in common
stock, capital stock and convertible bonds at cyst exceed sixty percent
(60%) of the assets of the Fund.
.D. The Board of Trustees may retain in cash and keep unproductive of
income such amount of the Fund as it may deem advisable, having
regard for the cash requirements of the System.
E. No person or entity shall be liable for the making, retention or sale of
any investment or reinvestrnent made as herein provided, nor for any
loss or diminishment of the Fund, except that due to hislheror its owri
negligence, willful misconduct or lack of good faith.
F. The Board may cause any investment in securities held to be
registered in or transfernsd into their name as Trustee or into the
name of such nominee as they may direct, or they may retain them
unregistered and in form permitting #ransferability, but the books and
records shall at all times show that all_ investments are part of the
Trust Fund.
G. Tfie Board is empowered, to vote upon any stocks, bonds or
securities of any corporation, association, or trust and to give general
or~specific proxies or powers of attorney with or without power of
substitution; to participate in mergers, reorganizations,
recapitalization, consolidations and similar transactions with respect
to such securities; to deposit such stock or other securities in any
voting trust or any protective or like committee with the Trustees or
with depositories designated thereby; to amortize or fail to amortize
any part of all of the premium or discount resulting from the
acquisition or disposition of assets; and generally to exercise any of
the powers of an owner with respect .to stocks, bonds, or other
investments comprising the Fund which it may deem to be the best
interest of the Fund to exercise. This respons~ility may be delegated
to an Agent for the Board.
H. The Board shall not be required to make any inventory orappraisal or
report to~any court, nor secure any order of court for the exercise of
any power contained herein.
I. Where any action which the Board is required to take on any duty or
function which it is required to perform either under the terms herein
or under the general law applicable to it as Trustee under this
Page 10 of 35
EXHIBIT
VANGUARD INDEX FUND: PROSPECTUS EXCERPT
https•//personal.vanguard.com/us/FundsStrategyAndPolicy~FundId=0040&FundIntE
xt=INT
Investment policy
The fund reserves the right to invest, to a limited extent, in stock futures and options
contracts, warrants, convertible securities, and swap agreements, which are types of
derivatives. It may use these investments for two reasons: to keep cash on hand to
meet shareholder redemptions or other needs while simulating full investment in
stocks or to reduce costs by buying futures instead of actual stocks when futures are
cheaper. Losses (or gains) involving futures and options contracts can be
substantial-in part because a relatively small price movement in a contract may
result in an immediate and substantial loss (or gain) for the fund. Similar risks exist
for warrants, convertible securities, and swap agreements. For this reason, the fund
will not use such investments for speculative purposes. Only a limited percentage of
its assets may be committed to them.
To track its target index as closely as possible, the Fund attempts to remain fully
invested in stocks. To help stay fully invested and to reduce transaction costs, the
Fund may invest, to a limited extent, in derivatives. Generally speaking, a derivative
is a financial contract whose value is based on the value of a financial asset (such as
a stock, bond, or currency), a physical asset (such as gold), or a market index (such
as the S&P 500 Index). The Fund will not use derivatives for speculation or for the
purpose of leveraging (magnifying) investment returns.
VILLAGE OF TEQUESTA PUBLIC SAFETY OFFICERS' PENSION
Investment Performance Attribution Supplement
2Q08 Performance Comparison
Total program investment results were positive (1.93%, net of manager fees) overcoming a
continued decline in broad equity market valuations and negative total returns in aggregate for the
bond mazket. A period best described as a tale of two markets; overall mazket breadth was
exceptionally narrow with optimism concentrated in the Energy sector (20.4%), and extreme
pessimism continuing in Financials (-16.4%). Information and Technology stocks provided a boost
for Growth stocks in aggregate outperforming the financially heavy value indexes. With limited
positive activity, diversified portfolio strategies and indexers were hard pressed to achieve positive
returns. Good stock selection, while difficult was the key to generating positive returns. The Fund
benefited from good stock selection with active management of equities producing a total return of
4.88% vs. a benchmark return of -2.73% as measured by the S & P 500. Bonds were a detractor
from absolute performance declining 1.48% vs. a benchmazk decline of 1.53% as measured by the
Lehman Intermediate Government Credit Index. A below target allocation to equities (54.1 %)
going into the quarter actually detracted from performance as the active manager delivered positive
returns. The collective effort placed the fund in the top third (3'~) percentile of peers for the quarter.
Fiscal year to date results, while down 4.50%, placed the Fund in the top fifteenth (15`x) percentile
of peers. The year over year return of x.53% moved the Fund results into the top seventh (7`h)
percentile for the period ended June. Absolute rolling returns aze below the actuarial required rate
of return as measured using non fiscal year periods ended June.
Fund cumulative asset growth has been good benefiting from an up mazket capture experience of
108% and a down market capture experience of 97.7% over the last three years. A total portfolio
beta of .9, and a sharp ratio in excess of the target index is suggestive of good risk management. A
high tracking error of 6.1 suggests a strategy that is benchmark agnostic and subject to return
variation from the benchmazk. This has been the Plan experience. While quarterly results have
been mixed, the overall effort has generated a positive alpha 2.3 indicating value added by the
active manager.
Rockwood Strategic Equity: 2Q08 Holdings-Based Attribution
Supplement
Key elements of equity manager attribution are as follows:
Note to analysis: We used Thomson Portfolio Analytics for the holdings-based attribution analysis,
which is based on monthly holdings for the Rockwood "composite" portfolio. Holdings-based
attribution can help to identify active elements of the investment manager. The analysis does not
reflect the impact of cash flows or management fees; actual portfolio returns may differ. .
o Per the Thomson holdings based analysis (excluding cash); the Rockwood's Special Equity
outperformed the S&P 500 Index by 718 basis points (bps) during the quarter. While a
majority of the out performance was derived from stock selection (589 bps), the portfolio's
sector allocation added 129 bps during the quarter.
o As of 6/30/08, the portfolio held 37 securities. Nearly 73% of the portfolio securities are
constituents in the S&P 500 Index. At the end of the quarter, the portfolio had a slight
growth tilt based on the following characteristics: the forward 12-month P/E was higher
than the index, the PEG ratio was higher than the index and was greater than 1, the
dividend yield was less than the index, and the PB was higher than the index. A "quality"
focus is evident based on a low debt/ equity and a high return on equity.
GICS Sector Analysis
o Positive contribution came from a significant underweight to Financials and Consumer
Discretionary and from overweights to Materials and Utilities. A significant underweight
to the best performing sector (Energy) was the primary detractor during the quarter (-155
bps).
o Regarding stock selection, the best performing stock in the portfolio (and the largest
holding) was United States Steel; it returned +45.9% and contributed 156 bps. All of the
top five holdings were positive, with three of the names having double-digit price
appreciation.
Market Cap Value Analysis
o With an average market cap significantly less than the index ($48.4b vs. $88.9b), a focus
on smaller companies benefited performance. Nearly 4% of portfolio was invested in
"mega cap" companies (>$200b), compared to nearly 14% for the S&P 500; this
underweight added 52 bps. Additionally, an overweight to the larger mid cap/ smaller large
cap companies (market cap range of $ I Ob to $20b) contributed 20 bps.
Country Analysis
o Nearly 13% of the portfolio was invested in non-US securities and this portion of the
portfolio returned -8.3% during the quarter, which detracted 95 bps from performance. For
a comparison, the MSCI EAFE returned -1.9%.
Recommendations:
o Review local ordinance and statute provisions for allowance of additional investment
alternatives.
b
GICS Sector Market Cap, and Country Attribution
Rockwood Capital Strateai[; Eauit~ vs. S&P 500 3/31/2008 -
Total Portfolio (GICS Economic Sector] 100A01 100.00; 4.45; -2.73; 4.45; -2.73; 1.291 5.89; 7.18.
Energy 5,66; 14.41; 12.301 17.31; 0.42; 2.19; 1,551 0.38; 1.93;
MaUerials 1 14.331 3.73; 20.971 4,42; 2.70; 0.14' 0.77; 2.15; 2.92!
Industrials-----------------------------------------------;__----12.66+---------11-67'-_-- 3,401---1o-11;-------0,92+-------1-181----0-011 1.80? 1.811,
Consumer Discretionary-- -------------------------------2.06---_---___8.55;--_--1.46;__--7.80;---_____0.03 ---_-_-0.66;-_--0.341____.0.19,____-053'.
Consumer Staples 18.80; 10.61. 5.59; 5,36; 1.15, 0.58; 0.11; 0.02, -0,12
Health Care 15.701 11.44 0.321 1.241 0.331 0.14; 0.211 0.33; 0.13
Financials 1 5.611 16.28; 14.681 15.291 0.761 2.971 1.651 1.981 3.63
--------------------------------------------------------------r-------------- --•-------- -; ----------- ~--------------
Information Technology 1 15.001 16,25; 1.05; 2,50; -0.021 0.331 -0.111 -0.181 -0.29
Telecomm Service 2.641 3.36; 11.131 4.131 0.29; 0.141 0.011 -0,19; -0.19
Utilities i 7.551 3.691 10.841 7.971 0.741 0.281 0.481 0.221 0.70
Total Portfo~o (Mkt Cap Buckets) 1 100.001 100.00; 4.451 -2.731 4.451 -2.731 0.791 6.391 7.18
+------------------r - +--------------.----- ,
Mkt Cap Buckets 1 0.00; 0.19; 0.00! 18.351 0.001 0.041 0.031 0.001 0.03
Mkt Cap Buckets 2 16.981 9.611 0.821 4.061 0.631 0.33' .0.131 0.671 O.SO
Mkt Cap Buckets 3 23561 14.13; 10.461 -0.99, 2.991 -0.13::~.;,.A 2.28; 2.47
Mkt Cap Buckets 4 55.761 62,42; 3.611 1.811 1,261 1.051 0.091 3.391 3.30
Mkt Cap Buckets 5 i 3.691 13.64; 5.281 7.281 0.431 1.181 0.521 0.051 0.57
Total Portfolio (Country (MSCI) 100.001 100.001 4.451 2.731 4.451 -2.731 -0.95; 8.131 7.18
N/A 12.891 0.011 8,331 0.001 1.261 0.001 0.951 0.201 0.75
U.S.A. 87.11; 99.991 6,51; 2.701 5.72; 2.731 O.OOi 7.931 7.92
1 1 :~
Mkt Cap Bucket 1 {small cap) $
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . .. . . 2,000,000,000
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. .
Mkt Cap Bucket 2 {mid cap) $
................................................................................................................ 10,000,000,000
........................................................
Mkt Cap Bucket 3 {midllarge cap)
$ 20,000,000,000
-
Mkt Cap Bucket 4 {large cap) $ 200,000,000,000
Mkt Cap Bucket 5 {"mega" cap) Infinity
C
{~s
April 14, 2005
maintained at all times reflecting the financial composition of the Fund and of the accounts
in place to segregate the assets of the employee classes covered by the System, induding
accurate current accounts and entries as regards the following:
A. Current amounts of Accumulated Contributions of Members on both
an individual and aggregate account basis, and
B. Receipts and disbursements, and
C. Benefit payments, and
D. Current amounts clearly reflecting all moneys, funds and .assets
whatsoeveratMbutable tocontributions and depositsfromthe Village,
County or State, and
E. All interest, dividends and gains (or losses) whatsoever, and
F. Such other entries as may be properly required so as to reflect a clear
and complete financial report of the Fund.
G. Such other entries as required by the Chapters.
65. An independent audit shall be performed annually by a certified public
accountant for the most recent fiscal year of the Village showing a detailed listing of assets
and a:statement of all income and disbursements during the year for each Fund. Such
income and disbursements must be reconciled with the assets at the beginning and end
of the year. Such report shall neflect complete evaluations of assefis on both a cost and
market basis, as well as other items normally included in a certified audit.
7fi. The Board of Trustees shall have the following investment powers and
authority:
A. The Board of Trustees shall be vested with full legal title to the Fund,
subject, however, and in any event to the au~ority and power of the
Tequesta Village Council to amend or terminate this Trust, provided
that no amendment or Fund termination shall ever result in~ the use of
any assets of the Fund except for the payment of regular expenses
and benefits under this System. All contributions from time to time
paid into the Fund, and the income thereof, without distinction
between principal and income, shall be held in the Fund and
administered by the. Board or its Agents.
B. All moneys paid into or to beheld shall be invested and reinvested by
Page 8 of 35
l~~il~V4 r~~ ..T~~ ~~
April 14, 2005
the Board and the investment of all or any part of such funds shall be
limited ta:
(1) Annuity and life insurance.contracts of life insurance companies
in amounts sufficient to provide, in whole or in part. the benefits to
which all of the participants in the Fund shall ~be entitled under the
provisions of the Plan and pay the initial and subsequent premium
thereon.
(2) Time or savings accounts of a national bank, a state bank insured
by the Bank Insurance. Fund, or a savings _and .loan association
insured by the Savings Association Insurance Fund which is
administered by the Federal Deposit Insurance Corporation or a state
or federal chartered credit union whose share accounts are insured
by the National Credit Union Share Insurance Fund.
(3) Obligations of the United States or obligations guaran#eed as to
principal and interest by the government of the United States.
(4) Bonds, stocks, commingled funds administered by National or
State Banks or evidences of indebtedness issued or guaranteed by
a corporation organized under the laws of the United States, any state
or organized territory of the United States, or the District of Columbia,
provided that the corporation is traded on a nationally recognized
Exchange and in the case of bonds only holds a rating in one of the
four highest classifications by a major rating service, and if such
investments are made in a pooled fund administered by a state or
national bank, then the rating of each issue in the pooled fund shall
hold a rating within the top four (4) rating classifications of a major
rating service.
(5) Real estate
(6) Up to 10% of Plan assets may be invested in foreign securities.
(7) All monies paid into or held in the Pension Fund shall be
invested and reinvested by the Board of Trustees and the investment
of all or any part of such funds shall be invested in accordance with
an established investment policy adopted by the Board of Trustees.
C. The Board of Trustees shall not invest more than five percent (5%) of
its assets in the common stack or capital stock of any one issuing
company, nor shall the aggregate investment in any one issuing
Page 9 of 35
April 14, 20D5
company exceed five percent (5%) of the outstanding capital stock of
that company; nor shall the aggregate of its investments in common
stock, capital stock and convertible bonds at cost exceed sixty percent
(60%) of the assets of the Fund.
D. The Board of Trustees may retain in cash and keep unproductive of
income Such amount of the Fund as it may deem advisable, having
regard for the cash requirements of the System.
E. No person or entity shall be liable for the making, retention or sale of
any investment or reinvestment made as herein provided, nor for any
loss or diminishment of the Fund, except that due to hislheror its~owri
negligence, willful misconduct or lack of good faith.
F. The Board may cause any investment in securities held to be
registered in or transferred into their name as Trustee or into the
name of such nominee as they may direct, or they may retain them
unregistered and in form permitting transferability, but the books and
records shall at all times show that all_ investments are part of the
Trust Fund.
G. The Board is empowered, to vote upon any stocks, bonds or
securities of any corporation, association, or trust and to give general
or~specific proxies or powers of attorney with or without power of
substitution; to participate in mergers, reorganizations,
recapitalization, consol"~dations and similar transactions with respect
to such securities; to deposit such stock or other securities in any
voting trust or any protective or like committee with the Trustees or
with depositories designated thereby; to amortize or fail to amortize
any part of all of the premium or discount resulting from the
acquisition or disposition of assets; and generally to exercise any of
the powers of an owner with respect to stocks, bonds, or other
investments comprising the Fund which it may deem to be the best
interest of the Fund to exercise. This responsibility may be delegated
to an Agent for the Board.
H. The Board shall not be required to make any inventory or appraisal or
report to~any court, nor secure any order of court for the exercise of
any power contained herein.
1. Where any action which the Board is required to take on any duty or
function which it is required to perform either under the terns herein
or under the general law applicable to it as Trustee under this
Page 10 of 35
EXHIBIT
VANGUARD INDEX FUND: PROSPECTUS EXCERPT
https•//personal vanguard com/us/FundsStrategyAndPolicy7FundId=0040&FundIntE
xt=INT
Investment policy
The fund reserves the right to invest, to a limited extent, in stock futures and options
contracts, warrants, convertible securities, and swap agreements, which are types of
derivatives. It may use these investments for two reasons: to keep cash on hand to
meet shareholder redemptions or other needs while simulating full investment in
stocks or to reduce costs by buying futures instead of actual stocks when futures are
cheaper. Losses (or gains) involving futures and options contracts can be
substantial-in part because a relatively small price movement in a contract may
result in an immediate and substantial loss (or gain) for the fund. Similar risks exist
for warrants, convertible securities, and swap agreements. For this reason, the fund
will not use such investments for speculative purposes. Only a limited percentage of
its assets may be committed to them.
To track its target index as closely as possible, the Fund attempts to remain fully
invested in stocks. To help stay fully invested and to reduce transaction costs, the
Fund may invest, to a limited extent, in derivatives. Generally speaking, a derivative
is a financial contract whose value is based on the value of a financial asset (such as
a stock, bond, or currency), a physical asset (such as gold), or a market index (such
as the S&P 500 Index). The Fund will not use derivatives for speculation or for the
purpose of leveraging (magnifying) investment returns.
Village of Tequesta
Public Safety Officers'
Pension Plan
Quarterly Review
2nd Quarter 2008
\~' W \\'. R O (~ [) A F f N C. R O [ ! P. C O M si»rplifyng your invesnnent mad frducim.y decisions
The Market Environment
Asset Class Performance
Period Ended June 30, 2008
Quarter Performance
---
MSCI EAFE -2.3%
MSCI Emerg. Mkts. ', -1.8%
S&P 500
Russell 3000
Russell 1000
Russell 2000
Year-to-Date Market Performance
MSCI EAFE _. _ _ __
-11.4%
MSCI Emerg. Mkts. -12.7%
S&P 500 -11.9%
Russell 3000 •»~~%
Rusae111000 -11.2%
Russe112000 -9~4% ii
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed
Lehman US Credit
3mos. T-Bill
-4.0%
Five Year Annualized Performance
MSCI EAFE
MSCI Emerg. Mkta.
S&P 500
Russell 3000
Russell 1000
Russell 2000
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed
Lehman US Credit
3mos. T-Bill
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%
Source: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC.
Page 2 of 19
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed i
Lehman US Credit ~~
3mos. T-Bill
-16.0 % -12.0% -8.0 % -4.0% 0.0% 4.0 % 8.0% 12.0
Ten Year Annualized Performance
MSCI EAFE
MSCI Emerg. Mkts.
S&P 500
Russell 3000
Russell 1000
Russell 2000
Lehman US Agg.
Lehman US Gov.
Lehman MBS Fixed
Lehman US Credit
3mos. T-Bill
0.0%
~~ I FIF.
BOGDAHN
GROUP
-2.0% 0.0% 2.0% 4.0%
3.0% 6.0% 9.0% 12.0% 15.0
Page 3 of 19
The Market Environment
Equity Sector Performance
Period Ended June 30, 2008
Sector Performance
as of 6/30/2008
ENERGY
MATERIALS
INDUSTRIALS
CONSUMERDISCR i
CONSUMER STAPLES
HEALTH CARE
FINANCIALS -38.8%
INFORMATION TECH
TELECOM SVC
UTILITIES
D^1YR
'I'1 rn.
BOGDAHN
GROUP
Source: MSCIBarra & Bogdahn Consulting, LLC.
The Market Environment
Equity Style Performance
Period Ended June 30, 2008
Source: Russell Co.
Russell All Cap Style Performance
24
is
s
0
-3
is
24
all Cap Style Performance
Page 4 of 19
24
16
10.4 10.3 10.0
8 7.5
4.5 6.1 3.S ??~`` 5.b
1.4 2.8
0.6
0 T-
~~..~:
-8 -3.6 .,.
~;
•8.9 -9.4 9.8 -10. ~
16
°16.2
24 _ _ _ _ _ -24:6.. _ _ _-- _ -
Qtr YTD lyr Syr Syr l0yr
02000 Growth ®2000 Index ^2000 Value
~~"~ '1'llt:
BOGDAHN
GROUP
Qtr YTD lyr Syr Syr l0yr
^ 3000 Growth ®3000 Index ~ 3000 Value
The Market Environment
Trends for Stocks and Bonds
Period Ended June 30, 2008
Source: Frank Russell Co. & Bogdahn Consulting, LLC.
Growth vs. Value
Russell 1000 Excess Return Rolling 12 Month Periods
Total Fund
June 30, 2008
March 31, 2008: $4,201,376
June 30, 2008: $4,356,553
Segments Market Vah~e Allocation Segments Market Value Allocation
^ Equity 2,274,145 54.1 ^ Eq~iity 2,450,468 56.2
^ Domestic Fixed Income 1,645,054 39.2 ^ Domestic Fixed Income 1,437,898 33.0
^ Cash Equivalent 282,178 6.7 ^ Cash Equivalent 468,187 10.7
Page 6 of 19
~~ BOGDAHN
GROUP
Total Fund
June 30, 2008
March 31, 2008: $4,201,376
Manager
^ Rockwood Capital Advisors Balanced Account
Page 7 of 19
Market Value Allocation
~$) ~%)
4,201,376 100.0
June 30, 2008 X4,356,553
Manager Market Value Allocation
~$~ ~°~n~
^ Rockwood Capital Advisors Balanced Account 4,356,553 100.0
~~ 'I~HP.
BOGDAHN
GROUP
Historical Asset Allocation By Segment
Total Fund
October 1, 2007 To June 30, 2008
Page 8 of 19
~~ TIIt:
BOGDAHN
GROUP
Tequesta Public Safety Officers'
Comparative Performance Trailing Returns
As of June 30, 2008
Total Fund (Net) 1.93 (3) -4.50 (15) -0.53 (7) 6.21 (6) 5.50 (27) N/A
I„Ial Iun~l I'~,lic_~ '_.I~ 1~I1 -?.;~, ~~>1 -~.I-4 1-!ti) -~.~? I~-Fl -t5I 1-~,) V A
Difference 4.05 2.86 4.61 1.98 0.99 N/A
Mixed-Asset Target Alloc Moderate Funds (MF) Median -0.99 -7.05 -5.55 3.55 433 4.93
Total Fund (Gross) 2.06 -4.13 -0.01 6.77 6.07 N/A
l~~i.il Iun~l I'~,lic~ _'.I_' -.;~, -~.I~ -t.~? -l.~l
Difference 4.18 3.23 5.13 2.54 1.56 N/A
Total Equity Portfolio
SCI' X11(1
Difference
US Core/Large Cap Equity (SA+CF) Median
Domestic Fixed
I li(~( Int~rm~~Jiai~ lirnxl In~lce
Difference
US Intermediate Fixed Income ~
N/A 6.79 N/A 05/01/2005
V'' _ A ~ .11~) V' \
N/A 1.70
6.01 NiA
N/A 7.34 05/01/2005
N:1 >.nv
N/A 2.25
4.88 (4) -11.13 (26) -6.50 (16) 6.28 (15) 6.65 (26) N/A N/A 8.79 N/A 05/01/2005
~_'; rx?~ 1-t~; (7?) -I?.I' 171i ?.?~, ir,~>> -t.-ll (?.el ~.,~,~ i~;~ ?.,~1 (~,i ~?~ V ~
7.61 3.72 6.62 3.92 2.24 N/A N/A 3.54
-1.19 -13.25 -11.85 3.09 5.24 6.13 8.58 N/A
-1.48 (79) 7.02 (1) 10.48 (1) 8.08 (1) 5.55 (1) N/A N/A 5.62 N/A 05/01/2005
-I.>; ~,~;~ i.?' (>li f-~`)~ r,.>- ~-l~~ -1.~~(, ~r~t,~ l.?~) It,~~l ~.-l~ i7~1 1.-1 \ ~
0.05 2.65 3.11 I.51 1.29 N/A N/A I.15
Median -1.07 4.39 7.29 6.51 4.46 4.56 3.72 N/A
Returns for periods greater than one year are annualized.
Returns are expressed as percentages.
Page 9 of 19
~~ Tf~E.
BOGDAHN
GROUP
Tequesta Public Safety Officers'
Comparative Performance Fiscal Year Returns
As of June 30, 2008
Total Fund (Net) 14.24 (16) 4.07 (95) N/A N/A N/A N/A N/A
l~,tal I~un<I l'nlir~ 12.112 I-~21 ,.R\ (;~) 'V :1 N,~ ~ ;A 'V ~ N ;A
Difference 2.22 -3.81 N/A N/A N/A N/A N/A
Mixed-Asset Target Alloc Moderate Funds (MF) Median 1 1.42 7.14 9.46 9.39 15.73 -8.28 -12.02
Total Fund (Gross) 14.82 4.67 N/A N/A N/A N/A N/A
fetal fund P~,lir_~ 12.112 ~.~ti ti \ N_A N .1 N :1 ~
Difference 2.80 -3.21 N/A N/A N/A N/A N!A
al Equity Portfolio
P 5~)(J
ference
Core/Large Cap Equity (SA+CF) Median
Domestic Fixed
113(i(~ li<nxl Incl~~
Difference
US Broad Market Core Fixed Income (SA+CF) Median
Returns for periods greater than one year are annualized.
Rch~rns arc expressed as percentages.
Page 10 of 19
21.99 (9) 5.38 (96) N/A N/A N/A N/A N/A
lh.-l-l 1,7) ~I1.%9 1-~~~) 12.2 IS2) 1 ~.~7 ((,(1) ~~.-l(1 (-F-l1 -,f)~- I-J1 -~(,.(,~ (67)
5.55 -5.41 N/A N/A N/A N/A N/A
16.60 10.77 14.42 14.27 24.12 -19.17 -25.80
5.93 (9) 3.88 (44) N/A N/A N/A N/A N/A
j.fl~ ~~,il ~.>; ~~)C,1 2.~h (9(l) 3.;~ (~fl) (~.jl (2h) 9.2U 121 I~.IS ((,0)
0.85 0.55 N/A N/A N/A N/A N/A
5.16 3.85 3.10 3.78 5.79 8.56 13.32
~"'~ hFIF:
BOGDAHN
GROUP
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
June 30, 2008
' 1 t ~
Market Value ,Market ~'aluc
As of 'T'ransfers Contributions Distributions Fees Expenses Income ;~pprec.p/~Ucprec. ~~ of
3/31 /2008 fi/30/2008
Total Fun<I Portfolio (Nett 4,201 - R7 - -6 -12 44 42 4,357
• . t t t 1 .
Market Value Market Value
As of het Contributions Distribntinns Fees Expenses Income CaPdal ;~s of
9/30/2007 Transfers Apprec./ Deprec' fi~;0/2008
'T'otal Nund Portfolio (Net) 4?35 - 308 -31 -17 -IG 99 -~30 4357
S 140.0
20.0
10.0
5130.0
^
0 ~1
z ~~ s1zo.0
-10.0 -
-z0.0 _ ~ ~ 1 . __ ~ ~ __ ~ 5110.0
I Oct-2007 1 2 3 4 5
Quarter To Year Years Years Years Years
.1 u n-2008
^ Tolal Nund Portfolio (Net) IA (3) -4.5 (IS) -0.5 (7) 62 (G) 5.5 (27) N/A N/A
` Total Fund Policy -2.1 (31) -7.4 (55) -5.1 (4G) 42 (341 4.5 (47) N/A N/A $100.0
Median -I.0 -7.0 -5.6 3.5 4.3 49 6.0 -Total Fund Portfolio IN~etl 'T'otal I~und Policy
123.1
in~1
1 1 ~' 1
1 I 1 1 I 1
Quarter Quarter Quarter Quarter Quarter Quarter
N;nding Ending Ending Ending N;nding N;nding
~I ar-2008 Dec-2007 Sep-2007 .lu n-2007 11 ar-2007 Dec-2110fi
Total Fund Portfolio (Net) -5.71 (61) -0.64 (39) 4.16 (2) 1.89 (90) 4.04 (I) 3.4fi (93)
Total Nund Polity -4.5G (341 -0.84 149) 2.40 (30) 3.70 (26) 1.03 133) 4.41 (6°_1
Mixed-Asset Target Alloc Moderate Funds IMF) Median -5.41 -0.36 1.87 3.07 1.71 d.72
Page 11 of 19
~~ ~i~IIN:
BOGDAHN
GROUP
4/05 I /06 10/OG 7/07 6/OS
Tequesta Public Safety Officers'
Total Fund Portfolio (Net)
June 30, 2008
G.0
Over
P erfo nrmn ce
5 ()
0
0
a
~ 4 I)
T-_ - T---_ -- -- - _- -_ -r- __--
c 4.0 4.4 4.8 5.2
F
Total Fund Policy ('% )
fUndcrPerfnrn~nce -a~-.tun-2008 +lun-2008
c
0
z
10.0
7.5
5.0
2.5
0.0
-2.5
S.0
3.0
-- --r----- - --- --r ~_. _. _ ~ _ r ____
as co ~s 9n tns Iz.o
Risk (Standard Deviation'%,)
Return Standard Deviation
^ Total Pund Portfolio (NcU 5.5 6.4
O Total I~und Policy 4.5 5.8
Median 4.3 6.4
c 2
C
v
~c 5
e 7
v
a
I oo.o ~
9/03
9/05
5-25 25-Median
Count Count
0 (0%) I (5%)
0 (0%) I (5%)
9/04
7btal Period
^ "Total Fund Portfolio (Net) 20
Total Fund Policy 20
c
c
12.5 -
I0A
7.5
5.0
2.5
0.0
-2.5
3.0
~ - --
4.5 (.0 7.5
Risk (Standard Dcs~ation %)
Return Standard Deviation
^ Total Pund Portfolio (Vet) N/A V'A
O Total Pund Policy NIA NiA
Median V.0 G. I
9.0
Tracking Up
Market Down
M1larket
:11pha
tR Shape
Beta Downside
Error
Capture
Capture Ratio Risk
Total Fund Portfolio (Veq 3.G 108.0 97.7 1.4 0.3 0.2 0.9 43
Total Fund Policy 0.0 100.0 100.0 0.0 N!A 0.1 I.0 4.0
1
Tracking
Up
Market
Down
Market
:11pha
IR
Sharpe
F3cta
Downside
_ Error
Capture
Capture Ratio Risk
~Ibtal Fund Portfolio (Net) WA N/A NiA N/A NSA ~~/A V!A V~iA
Total Pund Policy NiA N%A N/A ViA N'A M1!A N/A V; A
Page 12 of 19
5.G 6.0
~ ~rtli.
BOGDAHN
GROUP
~T T'
9JOG 9/07 6/08
Median-75 75-95
Count Count
I (5"~) 0 (0%)
0 f0%) 0 (0"~)
Tequesta Public Safety Officers'
Total Equity Portfolio
June 30, 2008
' t t ~
Market Value Net Market A'alue
,~s of Contributions Distributions Dees Es enscs Income Capital
3/31/z008 Transfers p Apprec/ Deprec. 6/30/2008
Total Equity Portfolio 4,201 - 87 - -G -12 44 42 4,357
• t i t 1
Alarket A"aloe Market Value
.As of Net Capital
Transfers Contributions Distributions Fees N:xpenses Income As of
9/30/2007 Apprcc./ Deprec. fi/30/2008
Total Equity Portfolio 4,285 _ 208 -21 -17 -16 99 -280 4.357
' t t
t t t ~. t
20.0 ~ - - -- - _ $I50.0~
10.0 ~
^
0.0
c
-10.0-
5
-2n.o
-30.0 ~ t
1 oer-zoos
Quarter To
.lun-2008
^ Total Equity Portfolio 4.9 (41 -I I.I (26)
" SCI' 500 -2.7 (83) -14.8 (77)
~T
v~
I z 3
Year Years Years
-6.5 (16) 63 (15) 6.G (26)
13.1 (71) 2.4 1691 4.4 (78)
4 5
Years Yeas
V'A N!A
4.9 (85) 7.6 (85)
$140.0
$ 13 0.0
$ 12 0.0
~ I I o.o
R t nn.o
$90.0
1$ ~ 22.3
5
$II_.4
~r
(,/08
Median -1.2 -13_1 -I 1.9 3.1 5.2 (,.I 8.6 -Total Equity Portfr>lio SCI' 500
t t ' t
1
Qu artcr
Ending
Afar-2008 1
Quarter
Ending
Dec-2007 I
Quarter
Ending
Se -z007 1
Qu artc r
N:nding
aun-2007 1
Qu artcr
N;nding
Afar-2007 1
Quarter
Ending
Dec-200fi
Ibtal F,quity Portfolio
SCP 500
US Core/Large Cap Equity (SA i CF1 Median -12.83 (95)
-9.45 (47)
-9.47 -z.80 (481
-3.33 1661
-2.87 5.z1 (fi)
2.03 (46)
1.96 3,48
6?8
6.27 (97) fi.lfi (11
(49) 0.64 (73)
I.IB 5.55 (Rfi)
6.70 (49)
6.69
Page 13 of 19
~~ I't I t:
BOGDAHN
GROUP
-r-
3/OS 12/05 9/06 G/07
7.0
over
Per&imm~ce
G.0
y° 5.0
.~
w
4.0 -
F 4A
4.(i 5,2 5,$
5&P 500 ('%~ 1
f l~nderPerk~rn~nce ~ Iu^-2008 +Jun-2008
20.0
I G.0
12.0
8.0
4.0
0
a o.o
a.n
--
2.5 5.0 7.5 I QO 1 2.5
Risk (Standard Deviation % )
Return Standard Deviation
^ Total Cyuity Pottfolio U.6 IO.R
O S&P 500 4.4 9.1
Median 52 9.1
~ 25.0
C
c 50.0
a
e 75,0
C
100D
o n;
^ Total Pquity Pottliilio
SR P 500
'.. 1 1
2 0.0
I5.0~
i
10.0
c
~ 5.0
C
n.n
I50 2.5
9/04 9!05 9/(1G 9/07 6/0$
I'Mal Period 5-25 25-Aledian Median-75 75-95
Count Count Count Count
20 0 10%) 0 (0%) 13 IGS"6) 7 135"~1
5.0
^ Total Equity Portfolio
O S&P 500
Median
~, T-- - -- - - _.l
7.5 10.0 12.5 I S II
Risk (Standard 1>eciation '% )
Return Standard Deviation
NA ~'A
Z6 24
8.6 9.5
' Up Dorn
Tracking
Market
i~1arket
.Alpha
IR Sharpe
Reta Downside
Error
Capture
Captum Ratio Risk
l~olal 1-quily Poitlolio G.I I IG.R 104.0 2.3 0.4 03 LO S.3
S~~P 500 0.0 100.0 1011.0 0.0 N/A 0.1 LO 7.4
1
i
P
Down
Tracking,
~1arket
Market
;11pha
IR Sharpe
Beta Downside
Error
Capture
Capture Ratio Risk
Total 8quity Portfolio N/A N!A N/n N/A N'A ViA ViA VGA
S&P 500 0.0 100.0 100.0 0.0 N/A 0.5 I.0 G.2
Page 14 of 19
Tequesta Public Safety Officers'
Total Equity Portfolio
June 30, 2008
., ~.
- ~ o.o
~lndar
Pedo rnpnce
~ --
6.4 7.0
~^ ~I•IIE
` BOGDAHN
GROUP
Tequesta Public Safety Officers'
Total Fixed Portfolio
June 30, 2008
' t t ~
Market Value Market ~'alne
As of Net Contributions Distributions Fees Fxpenses Income ~~aprtal As of
3/31/2008 Transfers Apprec./ Deprec. fi/30/2008
'T'otal Fixed Portfolio 4,201 - R7 - -6 -12 44 42 4 357
Market Value Nct Ca rtal Market Value
As of Transfers Contributions Distributions Fees Expenses Income ,4pprecJ Deprec. As of
9/30/2007 6/30/2008
"Total Fixed Portfolio 4255 - 308 -21 -17 -16 99 -230 4357
15.0
10.0 -
5.0
E
a
U0
-S.U -
1
Quarter
^ Total Fixed Portfolio -I.5 133)
LBCC F3ond htde.x -I.5 139)
Oct-21107 1 2
To Year fears
.Tun-2008
7.0 p) 10.5 (I) 3.1 13)
4.1 149) 72 (42) 6b (48)
3 4
Years fears
5.5 (1) N/A
3.5 1651 4.7 (60)
~ $105.0
Years
N/A
3.6 (77) $100.0
1159
114.1
Median -I.0 4.0 7.1 6.G 4.1 4.3 3.9 -Total Fixed Portfolio - -~- LBGC Bond Index
t ~ , ' t
I I 1 I 1 I
Quarter Quarter Quarter Quarter Quarter Quarter
Ending Ending Ending Ending F,nding Ending
Mar-2008 Dec-2007 Sep-2007 .tun-2007 Mar-2007 Ucc-2006
Total Fixed Portfolio 5.28 (1) 3.19 (20) 3.23 (10) -0.26 (15) Lfi5 (IR) 1.21 (61)
LBGC Bond Index 2.57 (261 3.10 (2(i) 3.01 (251 -0.49 (4G) 1.47 BO) L04 (57)
US Broad Market Core Fixed Income (SA~CF) Median 1.98 2.39 2.34 -0.51 L55 L25
Page I S of 19
~8~0°
4125.11
4120.0
$ 115.0
$1100
~~ THF.
BOGDAHN
GROUP
4/05 I/O6 IO/06 7/07 G/OS
Tequesta Public Safety Officers'
Total Fixed Portfolio
June 30, 2008
e.o
over
Perfnninncc.
.., 5.0
_c
0
a 4~~
v
^.
c 3.0 - ~. --r ~
F 3.0 3 b 4.2 4.8
LBGC Bond Index(%.)
~UnderPerlbrnwnce +Jun-2008
6.0
4.5
3.0
I .5
c
OOH
ce
_ I.5 _ .. - - -r.
0.0 30
^ Total Fixed Portfolio
O LBGC Bond Index
tilcdian
1, nder
I' erfomm~ ce
5.4 6.0
20
c ?5.0
C
c 501)
v
d
c ~ 5.11
C
I Oll.ll
9/03 9/04
Total Period
^ Total Iixal Po~tiolio ?0
LBGC Bond Index ~0
5.0
4.0
3.0
c
~ 2.0
a
I .n
9/05 9/06 9/07
5-25 25-Median Median-75
Count Count Count
I (5%) (1 10"rb) U 10%1
o (0"0) 9 f45%) 3 115"/1
6/08
7.5-95
Count
tl 10%)
8 140'% )
O
4.0 60 R.0 10.0 120 2.0 30 40
Risk (Sta nda rd Deviati on %) Risk (Standard Ik viatinn '% )
Keturn Standard Deviation Return Standard Deviation
5.5 3.7 ^ Total Fixed Portfolio N/A NSA
3.3 3.5 O LBGC Bond Index 3b 3.9
4.1 3. I Median 3.9 33
s.n
'
~ LAP Down
I
rackin~
Market
Market
:~Ipha
IR Sharpe
Befa Downside
Error Ratio Risk
Capture Capture
Total Fixed Portfolio 1.4 98.1 39.1 2.5 LI 0.5 o.R LO
LBGC Bond Index QO 100.0 100.0 (1.0 NSA -0.1 I.0 L6
t •.
Up Down
Trackin„ Market Market :11pha IR Sharpe Reta Downside
Error
Capture
Captm~c Ratio Risk
Total Fixed Porltblio V!A N/A N/A V/A V%A N!A NiA Vrq
IBGC Bond Index 0.0 100.0 loco 0.0 n~;n 0.1 I.0 2.S
Page 16 of 19
~~ BOGDAHN
~"'" GROUP
Historical Hybrid Composition
Total Fund
As of June 30, 2008
Page 17 of 19
~~ ~ ~
Effective Date: Apr-2005
S&P 500 Index 60.0
LBGC Intermediate Bond Index 40.0
~~"~ "1'ttF.
BOGDAHN
GROUP
Statistics Definitions
Statistics Description
Return -- Compounded rate of return for the period.
Standard Deviation -- A statistical measure of the range of a portfolio's performance, the variability of a return around its average return over a
specified time period.
Sharpe Ratio -- Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is
the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance.
Alpha -- A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured
by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's
non-systematic return.
Beta -- A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or
systematic risk.
R-Squared -- The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Square means a
higher correlation of the portfolio's performance to the appropriate benchmark.
Treynor Ratio -- Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over
the risk free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the
product's historical risk-adjusted performance.
Downside Risk -- A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by
taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product.
Tracking Error -- A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market
benchmark.
nation Ratio -- Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added
contribution by the manager.
stency -- The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency
figure, the more value a manager has contributed to the product's performance.
s Return -- Arithmetic difference between the managers return and the risk-fi-ee return over a specified time period.
e Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period.
s Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return.
Page 18 of 19
p Market Capture -- The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate
better product performance.
own Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate
better product performance.
Calculation based on monthly periodicity.
~~~ 'I'1iE:
BOGDAHN
GROUP