HomeMy WebLinkAbout2009 11 18 Regular 600 Bogdahn Consulting Group Presentation Date: November 18, 2009
The following Investment Program Rebalancing
presentation was provided to the Board of Trustees
during Regular Agenda Item "600" by Dave West
with The Bogdahn Group on November 18, 2009.
CITY OF WINTER SPRINGS
GENERAL EMPLOYEES
DEFINED BENEFIT PLAN TRUST
INVESTMENT PROGRAM REBALANCING
Reviewed
November 18 2009
THE
BOGDAHN
GROUP
Percentage of the time that a 60/40 mix outperforms a 40/60
mix over various rolling periods from 1/1/76 2/28/09
X60% 5 &P 500/40% BC Aggregate 040% 5 &P 500160% BC Aggregat
100%
80%
60%
40%
20
0
1- Quarter(396) 1- Year(387) 3- Year(363) 5- Year(339)
Rolling Periods (Observations)
10- Year(279) 15- Year(219) 20- Year(159)
o p%� THE
BQGDAHN
GROUP
264
217
99%
158
100%
95%
267
271
75%
79%
257
67%
220
56%
1- Quarter(396) 1- Year(387) 3- Year(363) 5- Year(339)
Rolling Periods (Observations)
10- Year(279) 15- Year(219) 20- Year(159)
o p%� THE
BQGDAHN
GROUP
Breaking down the History of the Equity Market (111126 1131109)
r There are 997 months of data between 1/26 and 1/09
There are 878 10 -year rolling returns over this time frame
r 32 of these 878 10 -year rolling periods resulted in a negative 10 -year annualized return
r 3 of these negative 10 -year results occurred in the last 3- months (11/08, 12/08 1/09)
r These 3 negative results rank in the 96th (11/08), 98th (12/08) and 99th (1/09) percentile of the
10 -year return distribution
r With the exception of these 3 periods, all other negative 10 -year returns occurred during the
1938 -1941 period
The worst 10 -year return recorded was -4.95% (8/39)
r The average return for the next 10 -years after recording a negative 10 -year return for all 29
periods was +9.84%
r Of this +9.84% average, the low was +7.26% (12/38) and the high was 14.87% (2/41)
r The average return for the next 12- months after recording a negative 10 -year return was +1.15%
r Of this +1.15% average, the low was 18.24% (4/40) and the high was 35.18% (3/38)
r- 14 of these 29 12 -month returns were negative THE
BOGDAHN
GROUP
Analyzing a more Recent Bear Market
The 10 -year annualized return for the period ended 12/74 was +1.25%
During this 10 -year period, 4 calendar year returns were negative
1966:
10.06%
1969:
-8.55%
1973:
14.66%
1974:
26.47%
The annualized return for the next 10 -years was 14.76%
The return for the next calendar year (1975) was 37.21
THE
BOGDAHN
GROUP
Nom
�DAHN
GROUP
�DAHN
GROUP
10 -year rolling returns of stocks, bonds and cash (1/1/26 1/31/09)
Annualized Return
25
20
15
10
5
M
-5 I----------------------------------------------------------------------------------------------
-10
P y 5 A o
om G om G om G om G om G om G om G om G om G
878 rolling 10 -year observations
Stocks outperforms Bonds 736 rolling periods or 84% of the time.
Stocks outperforms Cash 749 rolling periods or 85% of the time.
Bonds outperform Cash 721 rolling periods or 82% of the time.
A�' AP
om G Q G Q G Q G Q G a Q G
THE
BQGDAHN
G R "UP
22.1%
22.4%
25.0%
N�
'k.A
GROUP
INVESTMENT POLICY TARGETS RANGE
TARGET ALLOCATIONS
In order to provide for a diversified portfolio, the Board has engaged several Investment Management
firms. The manager's are responsible for the assets and allocation of their mandate only and will be
provided an addendum to this policy with their specific performance objectives and investment criterea.
Asset Class
Target
Range
Benchmark Index
Domestic Large Cap Valle Equity
25%
20% 30%
Russell 3000V
Domestic Broad Cap GrowthE ui
25%
20% 30%
Russell 1000G
Foreign Equity
15%
10%-20%
MSCI -EAFE
Broad Market Fixed Income
25%
20% 30%
Barclays Int. Aggregate
TIPS
5%
0%-10%
Barclays TIPS
Al ternwive
0%-10%
Real Estate*
5%
0%-10%
NCREIF Property
Targets and ranges above are based on market value of total Plan assets.
THE
BOGDAHN
GROUP
Defined Benefit Plan Trust for Employees of the City of Winter Springs
Financial Reconciliation Fiscal Year to Date
October 1, 2008 To September 30, 2009
Domestic Equity Portfolio 7
7,422,820 8
872,000 6
61,444
-3,002 1
109,839
263,700 8
8,076,514
LateefAssetMgmt.Equity 3
3,999,380 4
436,000
45,447
-1,689 4
45,369 4
46,795 4
4,480,407
Snow Capital Mgmt. Equity 3
3,423,440
2,482,585
10,829 6
697 3
36,922
966,251
THE
BQGDAHN
G R "UP
American SV
639,006.49
639,006.49
4%
5%
238,738.1
3.64%
0%
9/30/2009
Dalton...
3,614,457.28
84,019.28
3,698,476.56
21%
25%
759,112.58
750,000.00
25.34%
0.50%
3,750.00 11/12/2009
Galliard Core
5,137,488.37
5,137,488.37
29%
24%
(855,448.16)
(955,000.00)
23.83%
0.00%
10/30/2009
Galliard TIPS
1,096,902.39
38,877.92
1,135, 780.31
6%
5%
(189,169.81)1$
6.47%
0.13%
11/12/20
Lateef
4,271,481.10
346,645.62
4,618,126.72
26%
25%
(160,537.58)
(175,000.00)
25.31%
0.00%
11/12/
R &D
69,957.88
69,957.88
0%
1%
105,591.05
0.40%
0.00%
009
Voyageur
2,256,056.84
2,256,056.84
13%
15%
446,042.98
380,000.00
15.02%
0.00%
10/312009
Totals
17,015,392.47
539,500.70
17,554,893.17
100.00%
100.00%
100.00%
3,750.00
Asset Allocation By Manager Asset Allocation By Manager After
Now
a.
26%
in
■American SV
Dalton_
■Galliard Core
■Gal liard TIPS
Lateef
■R &D
Voyageur
25%
0%
7%
■Arn a rican I
Dalton...
■Galliard Core
Galliar d TIPS
Lateef
■R&D
Voyageur
THE
BQGDAHN
GROUP
RECOMMENDED ACTIONS:
-REBALANCE TO POLICY EQUITY TARGETS
-MINIMIZE TRANSATION COSTS
-Reduce Galliard Core Bond Fund Allocation ($955,000)
-Reduce Lateef Domestic Equity Allocation ($175,000)
-Allocate Additional Funds to: DG Domestic Equity ($750,000)
-Allocate Additional Funds to: Voyageur International Equity Fund ($380,000)
-MAINTAIN CURRENT ALLOCATION TO AMERICAN REALTY CORE REALESTATE FUND
(Review Strategy Allocation Next Quarter)
THE
BOGDAHN
GROUP