Loading...
HomeMy WebLinkAbout2013 12 05 Regular 601 Floating Rate Securities BOARD OF TRUSTEES AGENDA ITEM Informational ITEM 601 Consent Public Hearings Regular X December 5, 2013 Regular Meeting REQUEST: Floating Rate Securities. Winter Springs General Employees General Plan and Trust Floating Rate Fixed Income Evaluation 4th Quarter 2013 Dave West, CFA THE BOGDAHN ,..� GROUP® WWW.BOGDAHNGROUP.COM simplifying 1'onr investment and flawing decisions Qualitative Data Floating Rate Fixed Income Evaluation Account Vehicle Vehicle Assets Average Average Eff. Average Type Management Fee (billions) Coupon Duration Credit Quality Dana Limited Volatility Separate Account 0.30% 1.2 1.93 0.81 AAA iShares Floating Rate Note ETN 0.20% 1.6 1.00 0.13 A Wells Fargo Advantage Adj Rate Govt I Mutual Fund 0.49% 1.5 3.00 0.93 AAA Credit Credit Credit Qual Credit Qual Credit Qual Credit Qual Credit Qual Credit Qual Govt.ISov.Securitized Corporate Name Portfolio Date Qual.AAA Qual.AA% A% BBB% BB% B% Below B% Not Rated Sector Sector Sector Other Dana Limited Volatility 3/31/2013 94.7% 0.8% 4.0% 0.5% 0.0% 0.0% 0.0% 0.0% 89.1% 0.0% 4.7% 0.9% iShares Floating Rate Note 3/31/2013 15.0% 22.5% 42.5% 17.1% 0.1% 0.0% 0.0% 2.9% 9.9% 0.0% 50.6% 39.5% Wells Fargo Advantage Adj Rate Govt 3/31/2013 99.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.0% 0.0% 97.0% 0.0% 3.0% *Data provided by eVestment 1 T THE l 1 BOGDAHN `'� GROUP Trailing Returns&Peer Group Analysis Floating Rate Fixed Income Evaluation As of September 30,2013 Peer Group Analysis 6.5 6.0- 5.5- • 5.0- • O 0 4.5- 0 4.0- 3.5- • • O p 3.0- 11 • 0 2.5- 2.0- a' 1.5- III MI ■ 1.0- 0.5 I I I p iii 6 iii 0.0- -0.5- -1.0- -1.5- • -2.0- • -2.5- QTR YTD 1 YR 3 YR 5 YR 6 YR 7 YR 8 YR 9 YR 10 YR • Dana Limited Volatility -0.03 (96) 0.08 (60) 0.26 (59) 1.64 (40) 2.72 (51) 3.08 (28) 3.40 (26) 3.43 (24) 3.31 (20) 3.23 (19) • iShares Floating Rate Note 0.36 (56) 0.89 (8) 1.31 (12) N/A N/A N/A N/A N/A N/A N/A •Wells Fargo Adj Rt Govt I -0.06 (97) 0.23 (46) 0.27 (59) 1.51 (48) 2.25 (66) 2.49 (48) 2.72 (50) 2.91 (46) 2.83 (41) 2.72 (42) • Barclays Aggregate Index 0.57 (28) -1.89 (100) -1.68 (100) 2.86 (5) 5.41 (3) 5.12 (2) 5.12 (1) 4.94 (1) 4.70 (1) 4.60 (1) • Barclays Floating Rate Note Index 0.37 (56) 0.96 (6) 1.53 (6) 1.53 (45) 2.85 (48) 1.52 (75) 1.96 (76) 2.34 (68) 2.41 (59) 2.34 (60) 5th Percentile 0.95 1.00 1.66 2.77 5.06 4.04 4.26 4.19 3.89 3.68 1st Quartile 0.58 0.49 0.91 1.97 3.77 3.16 3.40 3.42 3.22 3.04 Median 0.40 0.19 0.43 1.45 2.76 2.42 2.67 2.75 2.63 2.52 3rd Quartile 0.22 -0.20 -0.02 0.80 1.82 1.50 2.00 2.17 2.08 2.00 95th Percentile 0.00 -0.78 -0.78 0.03 0.67 0.54 1.03 1.34 1.33 1.40 Parentheses contain percentile rankings.Peergroup(IM U.S.Short Term Investment Grade(MF)) based on quarterly periodicity. 2 BOGDAHN ~' GROUP. Calendar Returns&Peer Group Analysis Floating Rate Fixed Income Evaluation As of September 30,2013 Peer Group Analysis 20.0- 17.0- 14.0- 11.0- 8.0- • O iiiip. 11 ::i. 0 O O • O • O 00 mdmill MP E -1.0- • ■ ., re -4.0- -7.0- -10.0- -13.0- -16.0- -19.0- -22.0- -25.0- i I I i i i I i YTD 2012 2011 2010 2009 2008 2007 2006 2005 • Dana Limited Volatility 0.08 (60) 2.15 (67) 2.09 (13) 2.85 (63) 6.15 (64) 3.80 (8) 5.42 (23) 4.31 (44) 2.61 (16) • iShares Floating Rate Note 0.89 (8) 4.09 (30) N/A N/A N/A N/A N/A N/A N/A •Wells Fargo Adj Rt Govt I 0.23 (46) 2.06 (69) 2.05 (15) 3.01 (59) 6.87 (59) -0.95 (36) 4.75 (43) 4.75 (21) 2.34 (25) • Barclays Aggregate Index -1.89 (100) 4.21 (27) 7.84 (1) 6.54 (5) 5.93 (64) 5.24 (3) 6.97 (4) 4.34 (43) 2.43 (21) • Barclays Floating Rate Note Index 0.96 (6) 4.09 (29) -0.94 (99) 1.71 (83) 8.79 (48) -5.47 (67) 3.71 (63) 5.48 (5) 3.46 (2) 5th Percentile 1.00 5.96 2.65 6.45 15.31 4.25 6.35 5.43 3.10 1st Quartile 0.49 4.29 1.73 4.39 12.35 0.78 5.33 4.66 2.34 Median 0.19 2.99 1.06 3.38 8.59 -2.65 4.48 4.23 1.79 3rd Quartile -0.20 1.66 0.43 2.12 4.77 -8.21 2.87 3.76 1.29 95th Percentile -0.78 0.49 -0.46 0.72 1.90 -20.00 -1.61 3.09 0.59 Parentheses contain percentile rankings. Peergroup(IM U.S.Short Term Investment Grade(MF)). based on quarterly periodicity. 3 1 BOGDAHN ~' GROUP. Portfolio Comparison Floating Rate Fixed Income Evaluation As of September 30,2013 Portfolio Comparison Dana Limited Volatility iShares Floating Rate Note Wells Fargo Adj Rt Govt I Barclays Aggregate Index Barclays Floating Rate Note Index Portfolio Composition Number of Holdings N/A N/A N/A N/A N/A %Top 15 Holdings N/A N/A N/A N/A N/A %Top 25 Holdings N/A N/A N/A N/A N/A Portfolio Characteristics Wtd.Avg.Mkt.Cap - - - - - Median Mkt.Cap - - - - - Price/Earnings ratio N/A N/A N/A N/A N/A Price/Book ratio N/A N/A N/A N/A N/A 5 Yr.EPS Growth Rate N/A N/A N/A N/A N/A Current Yield N/A N/A N/A N/A N/A Number of Stocks N/A N/A N/A N/A N/A Debt to Equity N/A N/A N/A N/A N/A THE 4 � BOGDAHN �� GROUP. Peer Group Scatter Floating Rate Fixed Income Evaluation As of September 30,2013 Peer Group Scattergram 3 Years Ending September 30,2013 Peer Group Scattergram 5 Years Ending September 30,2013 3.1 6.0 2.8 • 0 5.0 2.4 E E 4.0 .1 2.0 f,re 3.0 • 1.6 0 • • • 0 2.0- I I I I I I I I Risk(Standard Deviation%) Risk(Standard Deviation%) Return Standard Return Standard Deviation Deviation • Dana Limited Volatility 1.64 0.65 • Dana Limited Volatility 2.72 1.08 • iShares Floating Rate Note N/A N/A • iShares Floating Rate Note N/A N/A •Wells Fargo Adj Rt Govt I 1.51 0.55 •Wells Fargo Adj Rt Govt I 2.25 2.04 • Barclays Aggregate Index 2.86 3.13 0 Barclays Aggregate Index 5.41 3.45 • Barclays Floating Rate Note Index 1.53 1.59 • Barclays Floating Rate Note Index 2.85 2.79 Median 1.45 1.19 Median 2.76 2.21 Peer Group Scattergram 3 Years Ending September 30,2010 Peer Group Scattergram 5 Years Ending September 30,2010 8.0- 6.8 0 6.0• 0 0 6.0 0 -5.0 E 4.0 •• E • 42 re a rew 4.0 • 2.0- • 3.0 • 1 1 - 1 1 1 1 1 1 Risk(Standard Deviation%) Risk(Standard Deviation%) Return Standard Return Standard Deviation Deviation • Dana Limited Volatility 4.55 0.97 • Dana Limited Volatility 4.53 0.87 • iShares Floating Rate Note N/A N/A • iShares Floating Rate Note N/A N/A •Wells Fargo Adj Rt Govt I 3.47 2.65 •Wells Fargo Adj Rt Govt I 3.75 2.11 • Barclays Aggregate Index 7.42 3.41 • Barclays Aggregate Index 6.20 3.33 • Barclays Floating Rate Note Index 1.51 5.15 • Barclays Floating Rate Note Index 2.83 4.08 Median 3.34 2.86 Median 3.67 2.42 Peer:IM U.S.Short Term Investment Grade(MF) THE 5 11 BOGDAHN ~' GROUP. Rolling Return and Peer Rank Floating Rate Fixed Income Evaluation As of September 30,2013 Return 3 Year Rolling Periods As of September 30,2013 Return 20 Quarters Rolling Periods As of September 30,2013 9.0- 8.8 — 8.0– 8.0 7.0– 7.0 t\/..\\ 6.0– rri\ir. \r"\' 6.0 5.0– Alc*/\----\--\ 5.0 _ 4 3.0 .0 2.0 3.0 1.0 2.0 0.0 1.0 1.0 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/13 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/13 Rolling Percentile Ranking 12 Quarters Rolling IMO%of September 30,2013 Rolling Percentile Ranking 20 Quarters Rolling Periods As of September 30,2013 0.0 ------ 0.0 co C co co ▪ 25.0 d' 25.0 N d C C 50.0 50.0 if '�' a E E O 75.0- c 75.0- re re 100.0 – 100.0 1 I I I I I Ir 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13 Total 5-25 25-50 50-75 75-95 Total 5-25 25-50 50-75 75-95 Period Count Count Count Count Period Count Count Count Count Dana Limited Volatility 40 24(60%; 10(25%; 6(15%; 0(0%) Dana Limited Volatility 40 26(65%; 13(33%; 1(3%) 0(0%) iShares Floating Rate Note 0 0 0 0 0 iShares Floating Rate Note 0 0 0 0 0 Wells Fargo Adj Rt Govt I 40 11(28%; 20(50%; 9(23%; 0(0%) Wells Fargo Adj Rt Govt I 40 9(23%; 26(65%; 5(13%; 0(0%) Barclays Aggregate Index 40 39(98%; 1(3%) 0(0%) 0(0%) Barclays Aggregate Index 40 40(100°, 0(0%) 0(0%) 0(0%) Barclays Floating Rate Note Index 29 7(24%; 2(7%) 13(45%; 7(24%; Barclays Floating Rate Note Index 21 0(0%) 2(10%; 8(38%; 11(52%; Peer:IM U.S.Short Term Investment Grade(MF) THE 6 11 BOGDAHN �~' GROUP. Rolling Standard Deviation Floating Rate Fixed Income Evaluation As of September 30,2013 Standard Deviation 12 Quarters Rolling Periods As of September 30,2013 Standard Deviation 20 Quarters Rolling Periods As of September 30,2013 5.9 4.7 4.5 5.0 4.0 3.5 ::: 2.5 2.0 2.0- 1.5 ' 1.0-i _ 1.0 f' "---. ......± 0.5 0.0 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/13 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/13 Rolling Percentile Ranking 12 Quarters Rolling 41111.%of September 30,2013 Rolling Percentile Ranking 20 Quarters Rolling Periods As of September 30,2013 o! 0.0 1A\ ^ o! 0.0 \ - • 25.0 -/' ' \/ / \/ w 25.0 ` `` a �/ V if 0 50.0 0 50.0 at at O 75.0 0 75.0- A A T i i ` 100.0 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 9/13 Total 5-25 25-50 50-75 75-95 Total 5-25 25-50 50-75 75-95 Period Count Count Count Count Period Count Count Count Count Dana Limited Volatility 40 0(0%) 0(0%) 1(3%) 39(98%; Dana Limited Volatility 40 0(0%) 0(0%) 0(0%) 40(100°, iShares Floating Rate Note 0 0 0 0 0 iShares Floating Rate Note 0 0 0 0 0 Wells Fargo Adj Rt Govt I 40 0(0%) 0(0%) 15(38%; 25(63%; Wells Fargo Adj Rt Govt I 40 0(0%) 0(0%) 24(60%; 16(40%; Barclays Aggregate Index 40 28(70%; 12(30%; 0(0%) 0(0%) Barclays Aggregate Index 40 23(58%; 17(43%; 0(0%) 0(0%) Barclays Floating Rate Note Index 29 16(55%; 5(17%; 2(7%) 6(21%; Barclays Floating Rate Note Index 21 16(76%; 5(24%; 0(0%) 0(0%) Peer:IM U.S.Short Term Investment Grade(MF) THE 7 11 BOGDAHN -' GROUP. Up/Dowm Markets Floating Rate Fixed Income Evaluation 5 Years Ending September 30,2013 UplDown Markets Full Period Return Quarters Benchmark Up(14) Quarters Benchmark Down(6) Portfolio Ahead Portfolio Behind Portfolio Ahead Portfolio Behind Portfolio Benchmark No.Quarters Avg Ahead No.Quarters Avg Behind No.Quarters Avg Ahead No.Quarters Avg Behind Dana Limited Volatility 2.72 2.85 4 0.10 10 -0.86 6 1.22 0 0.00 iShares Floating Rate Note N/A 2.85 N/A N/A N/A N/A N/A N/A N/A N/A Wells Fargo Adj Rt Govt I 2.25 2.85 2 0.15 12 -0.74 5 1.64 1 -2.67 Barclays Aggregate Index 5.41 2.85 6 1.03 8 -1.48 6 3.02 0 0.00 Barclays Floating Rate Note Index 2.85 2.85 14 0.00 0 0.00 6 0.00 0 0.00 UplDown Markets• 107.6 O 99.0- • co O 88.0- w S o. 77.0- A ✓ 66.0- • a, E 55.0- a m 44.0- I I I I I I I I I I I I I I I I II -650.0 -600.0 -550.0 -500.0 -450.0 -400.0 -350.0 -300.0 -250.0 -200.0 -150.0 -100.0 -50.0 0.0 50.0 100.0 150.0 200.0 Down Market Capture Ratio(%) • Dana Limited Volatility • iShares Floating Rate Note • Wells Fargo Adj Rt Govt I 0 Barclays Aggregate Index 0 Barclays Floating Rate Note Index Ua Down Market Bar Chart - 3.0- � 2.0- w 1 • 1.0- cs M__MMME_ =- Q 0.0- 0.9 - r 14 Up Quarters 6 Down Quarters • Dana Limited Volatility • iShares Floating Rate Note • Wells Fargo Adj Rt Govt I • Barclays Aggregate Index • Barclays Floating Rate Note Index • Barclays Floating Rate Note Index Calculation based on quarterly periodicity. THE 8 � BOGDAHN \- GROUP. Historical Statistics Floating Rate Fixed Income Evaluation As of September 30,2013 Risk 1 Reward Historical Statistics 3 Years Ending September 30,2013 Risk 1 Reward Historical Statistics 5 Years Ending September 30,2013 5.0- 7.2 6.0 4.0- 3.0- 4.0_- IT 2.0- 2.0 1.0- IA ILICC- 0.0 0.0 -1.0- i -2.0- 1.6 ' ' ' ' -3.4 Dana Limited iShares Wells Fargo Barclays Barclays Dana Limited iShares Wells Fargo Barclays Barclays Floating Rate Aggregate Floating Rate Floating Rate Aggregate Floating Rate Volatility Note Adj Rt Govt I Index Note Index Volatility Note Adj Rt Govt I Index Note Index •Alpha 1.32 N/A 1.34 4.27 0.00 •Alpha 2.31 N/A 1.74 5.54 0.00 • Beta 0.21 N/A 0.11 -0.86 1.00 • Beta 0.14 N/A 0.18 -0.02 1.00 • Sharpe Ratio 2.41 N/A 2.57 0.89 0.91 • Sharpe Ratio 2.34 N/A 1.00 1.53 0.97 • Treynor Ratio 0.07 N/A 0.13 -0.03 0.01 • Treynor Ratio 0.18 N/A 0.12 -2.20 0.03 Benchmark Relative Historical Statistics 3 Years Ending September 30,2013 Benchmark Relative Historical Statistics 5 Years Ending September 30,2013 4.8 5.0 4.0- 4.0- 3.0- 3.0- 2.0- 2.0- 1.0- 1.0- 0.0 M ■ ■ a 0.0 _ I nj . I I -1.0- I -0.9 Barclays Barclays Dana iShares Barclays iShares Barclays Wells Fargo Floating Dana Limited Wells Fargo , Limited Floating Aggregate Floating Aggregae Volatility Rate Note Adj• Govt I Index Rate Note Volatility Rate Note Adj Rt Govt I Index Rate Note Index Index •Actual Correlation 0.51 N/A 0.32 -0.44 1.00 •Actual Correlation 0.37 N/A 0.25 -0.02 1.00 • Information Ratio 0.07 N/A -0.02 0.33 N/A • Information Ratio -0.06 N/A -0.20 0.56 N/A • R-Squared 0.26 N/A 0.10 0.19 1.00 • R-Squared 0.14 N/A 0.06 0.00 1.00 • Tracking Error 1.38 N/A 1.51 4.09 0.00 •Tracking Error 2.60 N/A 3.02 4.48 0.00 Benchmark:Barclays Floating Rate Note Index THE 9 l BOGDAHN `'....- GROUP. Correlation Floating Rate Fixed Income Evaluation As of September 30,2013 Actual Correlation 12 Quarters Rolling Periods As of September 30,2013 1.2 0.9 0.6 • 0.3 • 0.0– -0.3– -0.6– -0.9– 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 9/13 — Dana Limited Volatility — iShares Floating Rate Note —Wells Fargo Adj Rt Govt I Barclays Aggregate Index — Barclays Floating Rate Note Index Actual Correlation Matrix 5 Years Ending September 30,2013 Dana Limited Volatility iShares Floating Rate Note Wells Fargo Adj Rt Govt I Barclays Aggregate Index Barclays Floating Rate Note Index Dana Limited Volatility 1.00 iShares Floating Rate Note N/A N/A Wells Fargo Adj Rt Govt I 0.71 N/A 1.00 Barclays Aggregate Index 0.10 N/A -0.20 1.00 Barclays Floating Rate Note Index 0.37 N/A 0.25 -0.02 1.00 THE 10 BOGDAHN �� GROUP. THE BOGDAHN GROUP. sintplifiiag your iuvestinent and fiduciary decisions Orlando 4901 Vineland Road, Suite 600 Orlando, Florida 32811 866.240.7932 Chicago Milwaukee Cleveland Dallas