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HomeMy WebLinkAboutDocumentation_Pension General_Tab 06_08/04/2008Village of Tequesta General Employees' Pension Plan Quarterly Review 2nd Quarter 2008 \\` \C' \\'". R O (; [) ;\ I I N (~ R O (J P. C C) M sif,:plifying your »zvesrntettt anr! frr/rsci~tr y decisions Quarter Performance MSCI EAFE MSCI Emerg. Mkta. S&P 500 -2•~% Russell 3000 Russell 1000 Russell 2000 ~ o•~ The Market Environment Asset Class Performance Period Ended= June 30, 2008 i Year-to-Date Market Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 ^i Russell 2000 Lehman US Agg. Lehman US Gov. ' Lehman MBS Fixed Lehman US Credit 3moa. T-Bill ~ o.a% -4.0 % -2.0 % 0.0% 2.0 % 4.0% Five Year Annualized Performance MSCI EAFE MSCI Emerg. Mkts. S&P b00 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 ? of 23 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3moa. T-Bill -16.0% -12.0°/ -3.0% -4.0% 0.0% 4.0% i Ten 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 3moa. T-Bill 0.0 8.0 % 12.0 ~~"'\ ~I~IIF. !,~ BOGDAHN GROUP 3.0% 6.0% 9.0% 12.0% 15.0% Page , of 23 The Market Environment Equity Sector Performance Period Ended June 30, 2008 Sector Performance as of 6/30/2008 ENERGY MATERIALS INDUSTRIALS CONSUMER DISCR CONSUMER STAPLES HEALTH CARE FINANCIALS -38.8% INFORMATION TECH TELECOM SVC UTILITIES 28.5% QTD ^ 1YR ~~ Ti rn. BOGDAHN GROUP Source: MSCIBarra & Bogdahn Consulting, LLC. The Market Environment Equity Style Performance Period Ended= June 30, 2008 Page 4 of 23 Source: Russell Co. 24 16 8 0 -8 -16 -24 Qtr Russell All Cap Style Performance 8.4 9.0 5.9 4.7 7.6 5.1 ~ 3.3 3.5 1.1 r- T -6.4 .. -9.0 .~:, -11.1 -13.3 -12. -19.0 YTD lyr Syr Syr l0yr ~0 3000 Growth a 3000 Index ~ 3000 Value l [Small Cap Style Performance 24 _ _ - -- _ - _ - --- 16 8 4.5 0.6 0 ~- -3.6 -8 -8.9 -9.4 -9.8 -10. -16 -16.2 .24 _ -21.6 Qtr YTD lyr 10.4 10.3 10.0 6.1 5.5 7.6 3.8 2.8 1.4 T Syr Syr l0yr ~~ 2000 Growth v 2000 Index ~ 2000 Valu~ ~~"~ -l ~f I F. BOGDAHN GROUP Page 5 of 2 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 30.0 20.0 10.0 0.0 -10.0 -20.0 -30.0 M O N V ~O f~ A o ~ M V N O r W m O ~ N Q (O h m m m m m m m m m m m o 0 0 0 0 0 0 0 m m m m m m m m rn m m rn m m rn m o 0 0 0 0 0 0 0 _ ~ C C C C C" ~ C N N N N N N N N N N N \ ~ \ N N N N N N N N N \ \ N \ \ - V uel Growth Treasury Yield Curve 7 6 5 4 3 2 1 0 1 mo 3 mo 6 mo 1 yr 2 yr Source: US Dept. of Treasury Source: Federal Reserve - ~ - 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr -~-12/31 /2007 ~ 3/31 /2008 ~- 6/30/2008 '~ ~~ llll: BOGDAHN GROUP Total Fund June 30, 2008 Asset Allocation By Style as of Mar - 2008 March 3l, 2008: $1,041,341 June 30, 2008: $1,079,868 Segments Market Value Allocation Segments Market Value Allocation ^ Equity 605,709 58.2 ^ Equity 594,829 55.1 ^ Domestic Fixed Income 402,151 38.6 ^ Domestic Fixed income 396,540 36.7 ^ Cash Equivalent 33.481 3.2 ^ Cash Equivalent 88,499 8.2 Page 7 of 2 ~~ BOGDAHN ~° GROUP Total Fund June 30, 2008 Asset Allocation By Manager as of Mar - 2008 March 31, 2008: $1,041,341 June 30, 2008: $1,079,868 Manager Market Value Allocation ~$) ~%) ^ Dana Balanced Portfolio 1,040,011 99.9 ^ R&D 1,330 0.1 Page 8 of 23 Manager Market Value Allocation ~$) ~%) ^ Dana Balanced Portfolio 1,076,818 99.7 ^ RRD 3,050 0.3 ~~ 1'111. BOGDAHN GROUP Tequesta General Employees' Asset Allocation As of June 30, 2008 Asset Allocation R&D 2,285 0.23 9,529 0.93 1,448 0.14 1,330 0.13 3,050 0.28 Dana Balanced Portfolio 991,862 99.77 1,019,366 99.07 1,062,076 99.86 1,040,011 99.87 1,076,818 99.72 Total Fund 994,147 100.00 1,028,895 100.00 1,063,524 100.00 1,041,341 100.00 1,079,868 100.00 Historical Asset Allocation By Segment Page 9 of 23 ~~ BOGDAHN GROUP Tequesta General Employees' Financial Reconciliation As of June 30, 2008 Financial Reconciliation Dana Balanced Portfolio 1,040,011 -21,500 58,728 - - -788 13,716 -13,350 1,076,818 R&D Account 1,330 21,500 - -17,238 -1,407 -1,135 - - 3,050 Total Fund 1,041,341 - 58,728 -17,238 -1,407 -1,923 13,716 -13,350 1,079,868 Financial Reconciliation FYTD Dana Balanced Portfolio 1,019,366 -21,500 160,752 -23,298 - -2,493 28,590 -84,599 1,076,818 R&D Account 9,529 21,500 23,350 -48,788 -1,407 -1,135 - - 3,050 Total Fund 1,028,895 - 184,102 -72,086 -1,407 -3,628 28,590 -84,599 1,079,868 Page 10 of 23 BOGDAHN GROUP Tequesta General Employees' Comparative Performance Trailing Returns As of June 30, 2008 Total Fund (Net) -0.02 (17) -4.29 (39) 3.76 (46) 6.28 (13) 6.77 (15) 5.78 (57) 4.60 N/A 11/01/2000 l~~inl I~un~l I'~~lir~ -_'.I~ l~l I -`J-i 1-~~,1 }_?: (?}1 -l.~? 1-~hl ~~.Sh f,:~ i.-ll (x~~l ,,~~-! \ -A Diffcrcnce 2.10 0.85 -0.47 1.71 1.91 1.37 0.76 Mixed-Asset Target Alloc Moderate Funds (MF) Median -0.99 -5.55 3.55 4.33 4.93 6.01 N/A Total Fund (Gross) 0.11 -4.17 3.82 6.43 6.94 6.00 4.74 11/01/2000 l~~ial Iiin~ll'~~lir~ -~.I' -~.I-l ~~.'? -i.~7 -l.~~b -t.-ll ?.~J Diffcrcnce 2.23 0.97 -0.41 1.86 2.08 1.59 0.90 Total Equity 0.67 (20) -10.69 (39) 2.56 (61) 8.87 (10) 9.62 (9) N/A 9.60 N/A 02/01/2004 ~.rl';un _~-; ~~;i _~;.I' i71) ~.;6 I6~>1 1-11 ~-,~i -1.~~ ~, ,~ Diffcrcnce 3.40 2.43 0.20 4.46 4.74 N/A 4.82 US Core/Large Cap Equity (SA+CF) Median -1.19 -1 1.85 3.09 5.24 6.13 B.SR N/A Domestic Fixed -1.28 (70) 6.96 (55) 6.29 (61) 4.19 (70) 4.25 (78) N/A 3.77 N/A 02/01/2004 ~3(i( ~II~IY~Il1 c~~I;II~ ~ii ii ll~ ~Il~~l'C -~.`~ IAA :I ,. (-~~)) X1.1-. (-1 ~A) ~~. ~h ((i (,) -~. ?~) IOC)) ~.-~~A ~~:) _?~) Diffcrcnce 0.25 -0.41 -0.28 -0.07 -0.14 N/A -0.02 US Intermediate Fixed Income (SA+CF) Median -1.07 7.29 6.51 4.46 4.56 3.72 N/A Rclurns Ibr periods greater than one year arc annualized. ~ .1,~ ~t Rctui~is are expressed as percentages. ~ BOGLl11 11r Total Fund Policy= 60% S&P 500, & 40% LB G%C Intermediate ~ 1 1 Dana's inception date is 10-13-200$ ~7 Page 1 I of 23 GRO V P Tequesta General Employees' Comparative Performance Fiscal Years As of June 30, 2008 Total Fund (Net) -0.02 (17) -4.29 (39) 3.76 (46) 6.28 (13) 6.77 (15) 5.78 (57) 4.60 N/A 11/01/2000 l~~lal Pun~l P~,lic_~ '.I ~ (~~I 1 -~.I-! ~-lh1 4. _'? 1 ~-~I -~.~ I~r,l l,X(, (;?~ -1.-t1 I~~1 ;,,~-l \ -\ Difference 2.10 0.35 -(1.47 1.71 1.91 1.37 0.76 Mixed-Asset Target Allot Moderate Funds (MF) Median -0.99 -5.55 3.55 4.33 4.93 6.01 N/A Total Fiord (Gross) 0.11 -4.17 3.82 6.43 6.94 6.00 4.74 11/O1/2000 I~~ial Fund I'~~li~~~ '_I' ~.I-I l.? ~ -1.~~ -1.~(, L-II ~.~~-1 Difference 2?3 0.97 -0.41 1.36 2.03 1.59 090 Total Equity 0.67 (20) -10.69 (39) 2.56 (61) 8.87 (10) 9.62 (9) N/A 9.60 N/A 02/01/2004 ~~~ll'~nn _.~~ i~'.i -13.1_' I'I) '_?h ir,v1 -t.-tl ~'~~~ 1.~~~< ~~~,~ -.,~~ r,~_~1 ~.~~ \ A Difference 3.40 2.43 0.20 4.46 4.74 N/A 4.R2 US Corc/Large Car Equity (SA+CF) Median -1.19 -I 1.35 3.09 5.24 6.13 3.53 N/A Domestic Fixed -1.28 (70) 6.96 (55) 6.29 (61) 4.19 (70) 4.25 (78) N/A 3.77 N/A 02/01/2004 Il;(~~Int~rni~~~li.urli~~rnlln~lc~ I.~~ ~`~~~ - I~`~l ~~.~~ ~-t,AI I'6 ((ihl -1_~~~ ~r,~~) ~.},~ ~-~~ :_w \ \ Difference 0?5 -0.41 -0.28 -0.07 -0.14 N/A -U.02 US Intcrmcdiate Fixed Income (SA+CF) Median -1.07 7.29 6.51 4.46 4.56 3.72 N/A Returns liar periods greater than one year arc annualized. 1'FIF. Returns arc expressed as percentages. ~~ R~~7-~AL7N Total Fund Policy= 60% S8P 500, 8.40% LB G/C Intcrmcdiate 1~ iJ 1 1 Dana's inception date is 10-13-2005 Page 12 of 23 GROUP Tequesta General Employees' Total Fund Portfolio June 30, 2008 ' t t ~ Market Value Nef Market 1"aloe :1s of Contributions Distributions Fees Expenses Income CaPrtal :1s of 3/31/2008Transfers :lpprec./ Deprec 6/ill/2008 Total Pund Portfolio 1,041 - 59 -17 -I -2 Id -13 1,030 ' t 1 1 1 , Market daloe Net Market 1'aluc 4s of Capital 'Transfers Contributions Distributions Pecs Expenses Income ;1s of 9/311/2007 1pprcc./ Deprec. ~,,,,,,,,,,o ~~~~a~ ~ ~~~~~~ ~ uniuuu r.u~~~ 184 -7~ 29 -35 I.O30 '' t ~ •t 1 11 ~ 20.0 ~ - I o.0 _ ®, 0.0 - 0 ~ ^ -Ind -20.0 - - ~ ~ - ~ ~ i i I Oct-2007 1 2 3 4 _S Quarter To Year 1"ears Years Years Years .1 u n-21108 ^ Total Fund Portfolio 0.0 (17) -53 122) -Q3 (391 3.R (46) C,3 (13) 6.3 (IS) 5.3 (57) • ~ 1 $175.0 $ 160.0 - $ 14 S_p $ 13 0.0 $115,0 $ 100.0 141? $85.0 ~~ ~r 10/00 7/02 4/04 I /OG G/O3 Median -I.0 -ZO -5.6 3.5 4.3 4.9 6.0 -Total Fund Portfolio DF11I1 1 Quarter Ending Mar-2008 1 Quarter Finding Dec-20117 1 Quarter Ending Se -2007 1 Quarter Finding ,lun-2007 1 Quarter Ending Vlar-2007 I Quarter Finding Dec-2006 Total Fund Portfolio _q,95 (41) Total FundPolicY -4.56 (34) Mixed-Asset'far~et Alloc Moderate Funds (MFI Median -5.41 -0.34 (30) -0.84 (49) -0.86 1.05 (77) 2.40 (30) 1.37 3.75 (24) 3.70 Q(i) 3.07 2.51 (7) 1.03 1331 L71 3.RR (Rlq 4.d1 Itr?1 4.72 Page 13 of 23 ~~"\ "Il I F. BOGDAHN GROUP Tequesta General Employees' Total Fund Portfolio June 30, 2008 I s.o 7.0 3.0 a c -19 0 v. o -5 0 F 5 Il f llndcr PcrPornnncc -•E-Over Pcrfrirnrm cc ~Dcc-2003 + Jun-2005 o ~l 25.0 z ~~ SO n u a ~ ~~ . 75 n C 100.0 ~ ~ ter, 9/03 9/OJ 0/05 9/OG 9/07 V/OR TMaI Period 5-25 25-Median Median-75 75_95 Cmmt Count Count Count ^ Total Fund Portfolio 20 7 (35%) 1 (5%1 3 (IS",~) 3 140"a) 10.0 12.5 7.5 10.0 ~ 5.0 7.5 2.5 ~ 5.0 0.0 ~ 2.5 z -zs a" o.o -5 fl -2.5 --- ~ ~ ~ 3.0 d5 6.0 ZS 9.0 10,5 12.0 3.0 AS (.0 7,5 9.0 Risk (Standard Deviation '% 1 Rick (Standard Ikriati on % ) Return Standard De viation Return Standard Deviation ^ Total Fund Portfolio G3 S.K ^ Total Fund Portfolio 5.A 5.5 Median 4.3 G.4 Median G.0 6.1 t " Up Donn frackin~ !~1arket Market Alpha IR Sharpe Rcta Doe~nside Error Capture Capture Ratio Risk Total Fund Porttblio 2.3 1013 75.1 22 QG 0.4 0.9 3.9 "total Fund Policy 0.0 100.0 100.0 0.0 V/A 0.1 LO 4.U t Epp Down Tracking Market Market Alpha IR Sharpe Beta Downside I?rror Capture Captm~e Ratty Risk Total Fund Portfolio 2J 105.0 R3.0 1.6 0.5 0.5 Q 9 3.5 lbtal Fund Policy 0.0 100.0 100.0 0.0 h'-A 03 LO 3.4 Page 14 of 23 ~~ BOGDAHN GROUP -I .0 3.0 7.0 I I 0 I5.0 Total Fund Policyl %~) Tequesta General Employees' Total Equity Portfolio June 30, 2008 ' t t 1 Ylarket Value Net Market Valne ,4s of Contributions Distributions Fees Fxpenses Income ~-apical .1c of 3/31/2008 Transfers lpprec./ Deprec. fi/30/20118 "Total Equity Portfolio 1,041 - 59 -I7 -I _2 14 -13 I.OAO '• t t t 1, MarkctValue h"et Market Value As of Contributions Uistributions Fees Expenses Income Capital :1s of 9/30/2007 Transfers Apprec./ Deprec. fi/311/211118 Total Equity Portfolio 1.029 - I84 -72 -I -4 29 -35 IA80 (Peer Group Analysis - US Core/Large Cap Equity (SA+CF) 20.0 i o.n 0.0 e e - 10.0 ce -20.0 -3051 Cumulative Performance © $i~so I orr-zno~ I Quarter To fear Jun-20118 i z 3 Years Years $ 160.0 $145.0 $ 13 0.0 $ I I5.0 s ~ Years Years $ 100.0 ^ Total Equity Portfolio OJ (20) -10.9 125) -IOJ (39) 2.6 (61) 8.9 (10) S&P sp0 -2.7 (R3) -14.8 (77) -13.1 (71) 2.4 169) 4.4 (78) 9.6 (9) N/A 4.9 (85) Z6 (85) $85.0 149.9 122 9 Median -L2 -13.3 -I I.9 3.1 5.2 6J 8.6 -'Total Equity Portfolio Sfil' 5011 1 ~ ~ 1 1 1 1 I 1 I Quarter Quarter Quarter Quarter Quarter Quarter Endinti Endinti Ending F,ndinti Endinti F:ndin~ Mar-z008 Dec-2007 SeP-2007 tun-2007 ~1ar-2007 Dec z00fi Ibtal Equity Portfolio -9.43 (4fi) -z.z7 (37) O.z2 (84) 6.34 (43) 3.z9 (Ilq fi.02 (7fi) S&P 500 -9,45 (471 -3.33 (661 2.03 146) 6.28 (49) 0.64 (731 GJO (49) US Coreil.arge Cap Equity (SA i CF) Median -9.47 -2.87 1.96 6.27 I. B 6.69 Page 15 of 23 ~~"~ i h tt BOGDAHN GROUP I/04 I/OS I/O6 I/07 ti/OK Ix~ ~ over I6.0 Perfir rnvance 120 , - . ^ 3.0 0 d ' 40 .~ c c 0.0 t r ~ E- 0.0 4.0 R.0 12.0 S&P500 ('% ) f Under Perkirnpnce ~- Over PerGirn~nce ~ Mar-2007 +,lun-200R Tequesta General Employees' Total Equity Portfolio June 30, 2008 ^- ' 1 _ ~ . -~ o.o tJhder P crfo nnan ce T" I(i.0 IR.O CC e 25.0 C v 50.0 4 c 75.0 I OQ 0 9/03 9/04 9105 9/06 9/07 6/OR Total Period 5-Zc 25-M1iedian iAlcdian-75 7G_gg Count Count Count Count ^ Trnal Equity Portfolio 20 6 (30""/0) 0 (0%) 0 (0% 1 0 (0°~1 SfiP 500 20 0 (0%) 0 (0%) 13 (65"n) 7 135^„ ~ I / ~, 1 1 200 ~ -_ - - - - .. 2 0.0 16.11 12.0 15.0 ft.0- _ ~ 10.0 4.0 - - -- c 0.0 E 5.0 C ~ -4.0 0.0 ~ _ 2.5 50 7.5 10.0 12.5 I5.0 2.5 5.0 7.5 10.0 12.5 15.0 Risk (Standard Ik~~~a [ ion "/„) Rick (Standard Ik viation % ) Return Standard Deviation Return Standard Deviation ^ Total Equity Portfolio 3.0 9.5 ^ Total Equity Portliilio NiA ~~iA O SKP 500 J.4 9.1 O SAP 500 7.6 9.a Median 52 9. I Median R.G 9,5 1 Tracking ~P Down ISrror Rlarket ~tarkct 41 ha ~ IR Shar c ~ Leta Downside Capture Captm~e Ratio Risk Total Equity PonRilio 5.4 106.4 726 4.G O S 0 5 9 S&P 500 0.0 100.0 100.0 0.0 . N!A . 0 I p. 7,3 . I.0 7.4 I 'Tracking Up Down F.rrnr ~1arket Market :11pha IR Shar e P 13et,t Downside Ca tore Ca rhnr Ratio Risk Total I{gaily Portfolio N/A N/A N/A N!A N!A NIA SfiP 500 0.0 100.0 100 0 0 0 N/A NiA NA . . 0.5 I 0 6 , Page 16 of 23 ~~ l•1ll'. BOGDAHN GROUP Tequesta General Employees' Total Fixed Portfolio June 30, 2008 ~ 1 I Markcf Valne Market Value :1s of Vet Contributions Distributions Fecs Expenses Income Caprfal :~s of 3/31/2008 Transfers ~pprec./ Deprec. fi/30/2008 Total Fixed Portfolio 1.041 - 59 -17 -I -2 14 -13 1080 ' 1 1 1 1 . Market Value Net Capital M1tarket Value As of Contributions Distributions Fees Expenses Income ppprec./ Dcprea .~s of 9/0/2007 fransfcrs 6/z0/21108 Total Fixed Portfolio 1.029 - IR4 -72 -I -4 29 -85 1080 ~' 1 1 i 11 1 1 1 ~ 1 $ 12 5.0 15,0 - $12 0.0 ~ 119.7 10.0 - I I 1 7.8 $115.0 - 5.0 ~ O a 0 sllo.o o.o ~ ~los.o / _5 n -. __ - _ I ___ I I _ 1 Oct-2007 1 2 3 4 5 8100.0 Quarter To Year Ycros V'ears fears Years +~~~~ .tun-2008 ^ Total Fixed Portfolio -1.3 (7G) 43 141) 7.0 (51) G.3 (60) 42 (41) 4.3 (791 NiA Total Fixed Policy -I.$ 190) 4.4 (35) 7.4 (35) 6.6 (SO) 4.1 (90) 4.9 (35) N!A $95.0 ~- ~-- I/04 I/OS 1/06 1/07 6/OR Median -I.0 4.0 7.1 G.G 4J 4.8 3.9 -Total Fixed Portk~lio Total Fixed Police 1 ~ ~ 1 1 I 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Qu m~tcr F,nding Ending Ending F,nding Ending 1?nding Mar-2008 Dec-2007 Sep-2007 Jun-2007 Mar-2007 Dec-2006 Total Fixed Portfolio 2.93 (13) 2.64 (63) l5fi (72) -O.I3 (71 1 GS (50) LIR (67) Total Fixed Policv 3.00 (10) 2.90 (43) 2.87 (46) -0.15 IS) 1.59 1371 L113 1871 US Broad MarkG Core Fixed Income fSA-('F) Median 1.98 2.89 2.84 -0.51 1.55 1?5 Page 17 of 23 ~•-~ ~rFlh: BOGDAHN GROUP Tequesta General Employees' Total Fiaed Portfolio June 30, 2008 x.o , over 7A Pcrkxntmcc 5.0 ^ ~° ^ a 3 0 ~i ° ^^ Q t41dcr - P rrki nI~I c I.0 - - - - -- -- ~ - - _ - - :. - - -- r - --- I.0 3.0 5.0 7.0 ~rotal Fi scd Policy ('% 1 f f'ndcr Pcrk:nnnnce ~ 13ar-'_007 -~ lun ?OOS All o.o - - - - - - - - - - - - - c 25.0-' a ~ I ~ 2UI1 ^ a e 7>!~ I Ou.0 i ! ~ i ~ ~ ~ i 9103 9'114 9105 9;06 91117 b/IIK lbad Period S-2S 24-Median tilerli:m-75 75-9$ Count Count Count Count ^ Ibtal Pixcd Porllolio 20 D 10%) I IS"~~) I l5'%~1 4 120",'~) Total fixed Policy 20 I (5°01 I f5%1 ? (10';0) ? 115"4J 6.0 -- - - - 5.0 4.5 - ~ - 4 0 - . 2(1- 3.0 ~ IS ~ 0.0 ~ 2.0 C4 C -I.5 _ _ - -I-_ - I--.-_ - _ --1-.-_ ~ T-- - --- I.0 _- _ _.._-.-._- - - I--- - - - _-_ I__ -_ -_ an zn a n oil s.n I o.a I z.o z.o 3 n a.n 5 ~I Risk Ititandard Ikwiation %) Risk (Standard Ikviat ion %.1 Return Standard Deviation Return Standard Dcciation ^ Total I~ixed Pottlblio 4? ? R ^ lbtal fixed Portlolio N'A N/A O Tu:al Pixrd Policy 4.1 32 O Tolal fixed Policv MA NiA Median d.l 3.1 'Malian 3.9 3.3 1 '1'rarkin~ 31P Dmcn Sharpe Downside N:rror Market Market :~Ipha IR Ratio 13eto-t Risk Capture Capture Total Pixcd I'rnTli~lio 0.7 94.3 79.4 0.3 0.1 0.0 0.S L0 Total fixed Policv 0,0 IOO.U 100.0 0.0 ~'A 0.0 LO 1.3 t "1'rackin~ i M1Ia ket Down ~1arket Alpha IR Sharpe Beta Downside I?nv:r Capture Capture Ratio Risk Dotal fiscd Portlidio V!A I~7A VA VGA SA N!A V%A ,VGA Tor!I fixed P~I~e~ a-n u-n v,n r:-n n,A wn vin n~:n Page 18 of 23 ~"~ l•fIP. BOGDAHN GROUP Tequesta General Employees' Benchmark History As of June 30, 2008 Page 20 of 23 ~~"~ ~I~IIE; BOGDAHN GROUP Statistics Definitions Page 21 of 2 i 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-diversitiable 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. Information 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. Consistency -- 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. Excess Return -- Arithmetic difference between the managers return and the risk-free return over a specified time period. (Active Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period. Excess Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return. Up Market Capture -- The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Down Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Calculation bawd on monthly periodicity. BOGDAHN GROUP