HomeMy WebLinkAboutAgenda GEPB 081505City of Palm Beach Gardens
10500 N. Military Trail
Palm Beach Gardens, FL 33410
GENERAL EMPLOYEES PENSION FUND
NOTICE OF MEETING AND AGENDA
Please take notice that the Board of Trustees of the City of Palm Beach Gardens will
conduct a meeting of the board at the above location on August 15, 2005 at 1:OOPM in
Council Chambers.
Old Business:
New Business: Discussion of the transfer of finds to a new trustee
Presentation by prospective bond investors
Adjournment
DISABILITY INFORMATION
In accordance with the Disabilities Act and F.S.S.286.26, persons with disabilities
needing special accommodation to participate in this proceeding should contact the
Human Resource Department no later then seven days subsequent to the proceeding at
(561) 799 - 4223 for assistance, if hearing impaired, telephone the Florida Relay Service
Number at 800 - 955 - 8770 (VOICE) for assistance.
APPEAL NOTICE
If a person decides to appeal any decision made by the Board, with respect to any matter
considered at such meeting or hearing, he will need to ensure that a verbatim record of
the proceedings is made, which record includes the testimony and evidence upon which
the appeal is to be based.
Manager Review Checklist
AmSouth Sawgrass MBIA
Firm Review
Total assets under management ________________---_---- ---------
Meeting attendance frequency _______ __-_-__--___________------
Access to portfolio managers ---------
IM Fee
Fixed Income Product Review
t----
---t ---- ---t ---- ---t ----
---1----
--I---- ---i---- ---1----
Performance: Calendar Period Returns
Data calculated using Quarterly returns
AmSouth kset MangagemeG, Inc. - Core Fixed Income - Gross Size
MBlA Capital Management Corp. - Core Fixed - Gross Size
Sawgrass Asset Management LLC - Core Fixed Income - Gross Size
Sawgrass Asset Management LLC - Intermediate Fixed Income - Gross Size
Lehman Aggregate Bond
MBlA Capital Management Cow. - Intermediate Fixed - Gross Size
1 2004 I 2003 I 2002 I 2001 I 2000 I
3.66 3.67 11.52 8.45 11.70
4.16 5.62 8.85 9.56 11.17
3.12 5.26 9.79 9.38 10.19
4.11 4.11 10.71 8.38 11.47
3.01 3.43 9.84 8.68 9.76
4.34 4.1 1 10.27 8.42 11.63
Returns
s v
I- 2
3
0 s
F
8:
0
(0 2 s r
8:
0
8
0
co 2
0 9 v
c I- 2
3
0
8
0
8 c
w 5
I
‘Perfokance: Index Relative Risk Statistics
Benchmark: Lehman Aggregate Bond
5 Years Trailing ending 06/30/2005
Data calculated using Quarterly returns
Alpha
0.4 II II
-0.61
-0.8 , 1 5Yr
Treynor Ratio
6r--
I I
I- -
Beta
1.2
1.0-
0.8-
0.6 -
0.4-
0.2-
0.0 ~
5Yr
Battlng Average
50
-
5Yr
R-Squared
100
40
30
20
10
Information Ratlo
0.0 1
-l.OL -1.5 5Yr
Tirneframe: 5 Years Trailing
Index: Lehman Aggregate Bond
Performance: Market Capture Ratios
Benchmark: Lehman Aggregate Bond
5 Years Trailing ending 06/30/2005
Data calculated using Quarterly returns
102.91 - 4mSouthxsset ManGgement, Inc. - Core Fixed Income - Gross Size
120
100
80
60
40
20
0
94.35
Up-Market Ratio
MBlA Capital Manaaement Corn. - Core Fixed - Gross Size
100
90
100.29 1 77.87
Down-Market Ratio
Sawgrass Asset Management LLC - Core Fixed Income - Gross Size 98.60 72.38
Sawgrass Asset Management LLC - Intermediate Fixed Income - Gross Size 88.92 98.38
Lehman Aggregate Bond 100.00 100.00 -
I
80
70
60
50
40
30
20
10
5 0 A- Wr
-r
"Y 70 80 90 100 110 120 130
Down-Market Ratio
Down-Market I "%::T' I Ratlo
'Perforhance: Return vs Risk
AmSouth Asset Mgrnt - Core Fixed Income - Gross Size
MBlA Cap Mgmt Corp - Core Fixed - Gross Size
Sawarass Asset Mamt - Core Fixed Income - Gross Size
MBlA Cap Mgrnt Corp - Intermediate Fixed - Gross Size
Benchmark: Lehrnan Aggregate Bond
3 Years Trailing and 5 Years Trailing ending 06/30/2005
Data calculated using Quarterly returns
3yr 6 'r
Returns Standard Returns Standard
Deviation
5.88 4.31 7.68 4.31
6.31 3.64 7.58 3.63
5.38 3.65 7.17 3.73
5.83 3.71 7.48 3.84
Deviation
3 Years Trailing ending 00/30/2005
7.0 ~
6.51
a 6.0
5.0
4.5 1
3.2 3.4 3.6 3.8 4.0 4.2 4.4
Standard Deviation
5 Years Trailing ending 00130/2005
8.5 5
7.01
L/
6.5 3.2 3.4 3.6 3.8 4.0 4.2 44
Standard Deviation
Sawgrass Asset Mgrnt - Intermediate Fixed Income - Gross Size 1 4.56 3.47 I 6.53 1 3.59
Lehrnan Aggregate Bond I 5.76 I 3.85 I 7.41 I 3.85
. Perfokance: Risk Analysis
Benchmark: Lehman Aggregate Bond
5 Years Trailing ending 06/30/2005
Data calculated using Quarterly returns
AmSouth Asset Mgmt - Core Fixed Income - Gross Size
3
2
0 1 L
7.681 4.311 1.1d 4 -2.331 -0.05
Returns
-
MBlA Cap Mgmt Corp - Core Fixed - Gross Size
Sawgrass Asset Mgmt - Core Fixed Income - Gross Size
Sawgrass Asset Mgmt - Intermediate Fixed Income - Gross Size
MBlA Cap Mgmt Corp - Intermediate Fixed - Gross Size
Lehman Aggregate Bond
Negatlve Quarters
47
7.58 3.63 1.38 3 -2.37 1.10
7.17 3.73 1.23 3 -2.37 0.04
7.48 3.84 1.28 3 -2.13 0.54
6.53 3.59 1.11 3 -2.1 1 -0.04
7.41 3.85 1.26 3 -2.44 0.33
'tl 0 1
Standard Deviation
57 j
1
0
0.0
-0.5
-1 .o
-1.5
-2.0
-2.5
r Sharpe Ratio
1.4
5Yr
1.2-
1.0-
0.8-
0.6-
0.4- I o.2L 0.0 I
5Yr
Wa IQuarters
1.5 I
0.5 l.OI I' o.ot-'
-0.5 ' 5Yr
I I Returns I Standard I Sharpe 1 Negative I Worst 1 Worst 4 I
,. ’, ’ Performance: Trailing Period Returns
Lehman Aggregate Bond
y,, ” Benchmark: Lehman Aggregate Bond
Trailing periods ending 06/30/2005
Data calculated using Quarterly returns
3.01) 2.521 6.811 5.7q 7.411 6.831 7.68( 8.40
Returns
J
J’
J
I
General Employees Pension Fund
Special Meeting
June 29,2005
General Employees Pension met on June 29,2005 in the City of Palm Beach Gardens,
Council Chambers located at 10500 N. Military Trail, Palm Beach Gardens, Florida. The
meeting was called to order at 2: 12 P.M.
Members Present: Kenneth Steele, Stephen Parella, Allan Owens, Jamie Smith arrived at
2:20 P.M.
Also Present: Joseph Bogdahn from Bogdahn Consulting
OLD BUSINESS
The board approved the minutes from the May 9,2005 in a 3-0 vote.
NEW BUSINESS
Approval of Bills To Be Paid
The Board approved the following bills to be paid in a 3-0 vote:
Trustco - $5146.73 for quarter January - March 2005
Trustco - $5258.79 for quarter October - December 2004
Christiansen and Dehner - $1288.17 for Legal fees for May 2005
Fiduciary Insurance - $2178.00 for insurance through May 21,2006
Reports by Prospective Investment Managers
Stephan Parella stated that this special meeting is being held to hear presentations from
prospective money mangers.
Joseph Bogdahn gave background of why they are seeing presentations from money
managers. Trustco, the current money manager has been on prohibition due to low
performance and the board is now considering changing money managers. He discussed
the fact that Trustco is rolling out a new product that could be very good for this pension.
Therefore, Trustco will also be presenting their new product at this meeting. He stated
that he liked the new product but was a little concerned because Trustco has taken a year
to roll out this product.
The three companies that will be presenting are Rockwood, Dana and Trustco. Mr.
Bogdahn gave a brief background on each company befq wking the representatives to
come in to give their presentations. &-
Mr. Bogdahn gave the Board an account of how the proposed products have produced
over the past five years. He felt that any change to the plan will be an improvement to the
current plan they are in.
Tim Nash, Director Public Funds Unit from Trustco gave the first presentation on the
Active Allocation Fund. Tim gave a background of Suntrust and Trustco Company which
included some of the clients they work with. He stated Trustco believes they are a one
stop shop and they could handle all the City’s needs with this pension plan. He went
through the different finds that are tied into this product. He said that this product is
designed to meet the challenges the organization faces every day with a dedicated
partner.
Mr. Nash discussed how they hire their managers and the expectations of each manager
He talked about the recommended assets allocations and gave a breakdown of the
different allocations for each product.
The presentation included the historical performance annualized and the past risk and
return of current allocation. Stephen Parella asked how long Trustco keeps their
managers if they are not meeting objectives. Mr. Nash stated that their managers are
always expected to be in the top third. If they are not and the fbnds continue to lag they
will replace the large cap sector of the find. There was a question about the length of
time the managers have been working with Trustco. Mr. Nash gave information about
the managers and their tenor with Trustco.
The next presentation was given by Andy Holtgrieve , Senior Partner and founder of
Rockwood Capital Advisors. Mr. Holtgrieve presented information to the board regarding
his background and the history of Rockwood Capital. He stated that 70% of their
business is dealing with public finds. He went over the accounts that the company has
lost in the last 5 years and gave a background of why these accounts were lost. He stated
that Rockwood has the best disciplined investment process he has seen in 23 years in this
business. He stated that they the equity discipline which includes buying stocks on the
rise with low risk. They invest in stocks that are expected to rise without regard for the
size or type. He discussed the equity portfolio performance over the past 5 years. He
stated that there are generally 40 stocks in the find and cash is not part of their process.
There was discussion about the size of the company and the different types of stocks they
invest in.
The last presentation was given by Doug Clausen of Dana Investment Advisors. He also
gave background information about the firm, the process relating to stocks and the
process relating to bonds. He stated that the company is employee owned and will stay
that way. He stated that the largest part of their accounts are multiplies and most of them
are located in Florida. He stated the best way to describe their fm is Risk Adjusted
Returns. He explained how the company allocates their finds, how the company
capture’s their growth rate and the companies overall performance. He explained that the
company’s performance has been up even when the market was bad. He stated that
variable rate and fixed rate bonds would be blended in the portfolio and how the bonds
play a part in the portfolio. He discussed that Dana has never been negative in the bond
market and had only one negative year in the equity market. There were questions about
the small cap funds and how they are used in the hnd. Mr. Clausen stated that most
municipalities are using small cap funds now and he feels they are an important part of
the fund. There was discussion about overweighting the sector and how it mirrored the
index.
The board discussed the three presentations Mr. Bogdahn gave a recap of each company
and what their approach to this pension fund would be. He felt that the three companies
had a different approach and that all of the funds would be better than where they are.
Stephan Parella felt they should move away from Trustco. Their past record did not prove
that they should stay with them, even with a new product. He personally, liked
Rockwood’s approach better than Dana. The other board members agreed that it was
time to make a change and that even with Trustco’s new product they did not want to stay
with them.
After additional discussion the board decided to change their money manager from
Trustco to Rockwood. The board voted 4-0 to have Attorney, Scott Christiansen draR the
necessary agreements and they will move toward to changing to Rockwood as their
money manger. Trustco will continue until all the contracts are signed and then
Rockwood will take over.
With no hrther business
Approved:
to discuss the meeting adjourned at 4:29 PM.
A
Kenneth Steele
Jamie Smith
Dindial Laljie
Attest:
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t
GAWGRASS
Asset Management, L.L.C. -
Decision Process
We begin by identifying a universe of
securities consistent with our clientS
objectives and policies. For corporate
issues, we further screen based on
measures of credit worthiness.
Our next step focuses on the maturity
structure decision. We base this
decision on our interest rate forecast,
the resulting yield curve
configuration, and our confidence in
these two predictions.
In forecasting the direction of interest
rates, we evaluate five distinct
factors: economic growth rates, fiscal
policy, monetary policy, inflation and
international events. With this
interest rate forecast, we then analyze
the current yield curve configuration,
which tells us which maturities,
relative to the benchmark, are most
likely to provide additional returns.
We will then structure the portfolio's
effective duration within a range of +/
-20% from the appropriate
benchmark.
Sawgrass also seeks to add value for
clients through our evaluation of the
relative attractiveness of market
sectors. We evaluate sectors
according to the stage of the
e co n o m ic cycle, y ie 1 d re 1 a t io n s h ips
and performance simulations.
Having established a maturity, sector,
and quality framework, we analyze
the structure of specific fixed income
securities. The process considers such
items as redemption features and uses
rich/cheap analysis to find
undervalued issues. Before the final
selection of a security, we run a
performance scenario analysis to
better understand how the specific
issue will perform given various
changes in the market.
Our sell discipline considers market
conditions, portfolio rebalancing and
specific issue fundamentals. When a
portfolio change in duration or sector
allocation is implemented, sell
candidates are evaluated so as to
accomplish the portfolio adjustment -- as efficiently as possible.
Intermediate Fixed Income Investing
Andrew M. Cantor, CFA,
PIIIILfpNI, Sciiior ltiititutiotid SdeJ Ew/itit'c
Direltor of Fid Iiiiome IiirviNtip
Phone: (904) 493-5500
Christopher J. Greco,
Phone: (904) 493-5504
Fax: (904) 493-5522 --
INVESTME r PHILOSOPHY
Sawgrass Asset Management's active Intermediate Fixed Income product has
incorporated a defined investment philosophy whose effectiveness has been
proven since its inception in 1991. This strategy focuses primarily on controlled
duration management of investment grade securities and secondarily on strategic
sector valuations and specific security analysis. This portfolio has an effective
duration that ranges from 3-5 years and an average maturity that ranges from 4-
8 years. There currently are no sector constraints. The investable universe
consists of U.S. dollar-denominated government, corporate and mortgage-backed
securities. The investment approach is managed to the Lehman Intermediate
GovcrnmentKorporate Index.
PERFORMANCE 6/30/05 - Gross ofFees
"/"
Qtr 1 Yr 3 Yrs 5 Yrs 10 Yrs
Samgrass 2.2% 4.5% 4.6% 6.5% 6.3%
Lchm Int. G/C 2.5% 4.8% 5.1% 6.9% 6.3%
1
Lehman
Intermediate
Sawgrass Gov'UCorp.
Yield to Maturity (%) 4.1 4.0
Effective Maturity (Years) 4.1 4.4
Effective Duration (Years) 3.1 3.7
Average Quality AA1 AAl
Convexity 0.07 0.07
Note: Performance results shown above do not reflect investment management fees. After deductlon of such fees, performance
results for the quarter, one year, three years, five years, and 10 years would be 2.1%, 4.1%, 4.1%, 6.1%, and 5.8%, respectively
Intermediate Fixed Income Investing SAWGRASS IW Asset Management, L.L.C.
PERFORMANCE DISCLOSURES
Sawgrass Asset Management, LLC. (Sawgrass) has prepared and presented this report in compliance with the Perfor-
mance Presentation Standards of the The CFA Institute (AIMR-PPSTM), the U.S. and Canadian version of the Global
Investment Performance Standards (GIPSI"). The CFA Institute has not been involved in the preparation or review of
this report.
Sawgrass is a Registered Investment Advisor whose primary focus is to provide institutional investment management
services.
Performance up to March 31, 1998 consists of accounts managed at Barnett Capital Advisors, Inc., where the entire
Sawgrass team was previously employed. The entire team that produced and were responsible for these results is
currently at Sawgrass, managing these products under the same investment philosophy and process. All fee paying,
fully discretionary, tax-exempt accounts managed by Sawgrass are included in at least one composite and do not
include simulated, modeled, or back-tested performance.
Returns do not reflect the deduction of investment advisory fees and include cash. Client returns will be reduced by
these advisory fees and any other expenses it may incur in the management of its investment advisory account.
The Firm's official performance record is maintained in Advent Axys, a PC-based portfolio management and accounting
system. Barnett Capital Advisors, Inc. utilized Superq, a mainframe performance measurement application.
Performance is on a trade date dollar-weighted monthly basis in U.S. dollars. The dollar-weighted monthly results are
geometrically linked (time-weighted) to produce quarterly and annualized results. New accounts are added to the
composite beginning with their first month of fully discretionary performance. Terminated accounts remain in
composites through their last full month of discretionary performance. A comprehensive list and description of the
firm's composites is available upon request.
Past performance does not guarantee future results. Investments are subject to risk and may lose value.
Illformation Specsc to the Intermediate Fixed Income Composite: As of 6/30/05, this composite was comprised
of 12 accounts valued at $65 million. Assets in this composite represent 6% of the firm's total assets under management.
This composite's creation date was 1/1/93 and it's minimum account size is currently $1 million.
The investment management fee schedule is available in Part 11 of Form ADV as follows: 0.45% on the first $10
million, 0.35% on the next $20 million and 0.25% on the balance. As an example, the effect of investment management
fees on the total value of a client's portfolio assuming (a) $I,OOO,OOO investment, (b) portfolio return of 6% a year, and
(c) 0.45% annual investment advisory fee would be $4,660 in the first year, and cumulative effects of $26,018 over
five years.
Year 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004
Annual Total Return 15.6"o 4.4"o 8.lo'o 7.9O'o 1.3% 9.8'6 8.7'6 9.8'6 3.4'0 3.0%
Ixhman Intermediate Gov / Corp Index 15.3"'o 4.1'6 7.9'/0 8.4'6 0.4'0 10.206 9.Oo/o 9.8'6 4.3"' 3.0'6
Value Added o.3°/o 0.3O'o 0.2O'o -0.6"o 0.Y'o 4.4°/o -0.3°6 0.0''o -0.9''o 0.0'0
Intermediate Comp. Assets - Year lind (MM) 974.4 $102.1 $102.6 $16.5 $23.4 $36.2 $24.5 $64.3 $69.5 $68.1
Total Firm !\sets - Year Iind (Mhf) $2,150.0 $1,947.0 $2,ooO.O $189.5 $629.1 $1,177.2 $1,070.3 $940.6 $863.6 $1,006.8
3.5'% 5.2"'o 5.1''o 8.7'6 3.7'6 3.1'6 2.3O'o 6.8'0 8.0'6 6.8%
Number of Accounts ' 5 7 8 2 3 11 8 10 12 12
Dispersion 1.65% 0.26'6 0.1T'o n/a* n/a* 0.10'6 0.29% 0.37% 0.42"o 0.33%
*When there arc two or fewer accounts represented for the entire year, the calculation of standard deviation as a form of dispersion is not meaningful.
1994 tligh was -1.97°6;low was -2.98°6. 1999 High was 1.61°/0; low was 1.22'0.
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