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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: 'I m C P c J a b C Q) ILJ L C cd - n C 0 m C Q) m- n m Q) Q) )r 0 Q W - E cd Q) C Q) L (3 w z m i= v) la 0 E sz mI- 1 3 a, .- B a, > 0 6 0 cn cn a, 0 0 L n ol) h c a. 0 cn 0 c - .. n 0 S rn E n L e a, ol) h 0) a, U tu L 5 a, 4 .- cn 0 a. E s a, rn W CI .. 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'0 m s 0 m cn c, El *d 0 PI m rn -3 I cn 2 El 0 s E Q) CI 0 5 3 Y Q v1 v1 c 0 - L EJ €3 2 €3 ”! \o €3 2 €3 o! \o €3 z €8 6 3 €8 2 €3 09 d €3 c‘! m €8 2 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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