Fresno County Employees' Retirement Association Performance Review Summary Period Ending: March 31, 2006

Transcription

1 Performance Review Summary Period Ending: March 31, 2006 Performance & Risk Measures Quarter One Year Three Years Five Years Standard Deviation Sharpe Ratio Beta Return Rank Return Rank Return Rank Return Rank 3-Years 5-Years 3-Years 5-Years 3-Years 5-Years WELLINGTON RUSSELL 1000 VALUE Equity Style - Large Value Security Ten Largest Holdings Market Value Weight BANK OF AMERICA 10,178, CITIGROUP INC 9,512, EXXON MOBIL CORP. 6,925, CHEVRONTEXACO CORP. 6,498, CONOCO PHILLIPS COMMON STOCK 4,830, EXELON CORPORATION 3,729, MERRILL LYNCH & CO., INC. 3,386, HEWLETT PACKARD 3,311, DEUTSCHE TELECOM AG ADR 3,152, GOLDMAN SACHS GROUP INCORPORATED 3,045, Sector Sector Weights Portfolio Benchmark Materials Industrials Telecommunications Services Consumer Discretionary Consumer Staples Energy Financials Health Care Information Technology Utilities Average Market Cap P/E P/B Dividend Yield Earnings Growth Total Assets Portfolio Characteristics Portfolio Benchmark $ 86,214 $ 83,780 Median Market Cap $ 20,947 $ 5,060 Benchmark: RUSSELL 1000 VALUE % of Total Fund $ 164, % 1

2 Rolling Return: 3 year Annualized Period Ending: March 31, /31/99 03/31/00 03/31/01 03/31/02 03/31/03 03/31/04 03/31/05 03/31/06 WELLINGTON RUSSELL 1000 VALUE Equity Style - Large Value

3 Three & Five Year Return vs. Risk Period Ending: March 31, 2006 Three-Year Five-Year Annualized Return % Three Year Return vs Risk Standard Deviation % Sharpe Ratio Category Annualized Return % Five Year Return vs Risk Standard Deviation % Sharpe Ratio WELLINGTON Equity Style - Large Value Universe Median RUSSELL 1000 VALUE

4 Equity Only Summary Statistics Period Ending: March 31, 2006 WELLINGTON Portfolio RUSSELL 1000 VALUE Total Number of Securities Total Market Value Average Market Capitalization (000's) Equity Segment Yield Equity Segment Price/Earnings Ratio Equity Segment Beta Price/Book Ratio 5 Year Earnings Growth ,941,170 86,214,157 83,780, % 10.0% Ten Largest Holdings Security Market Value Weight BANK OF AMERICA 10,178, CITIGROUP INC 9,512, EXXON MOBIL CORP. 6,925, CHEVRONTEXACO CORP. 6,498, CONOCO PHILLIPS COMMON STOCK 4,830, EXELON CORPORATION 3,729, MERRILL LYNCH & CO., INC. 3,386, HEWLETT PACKARD 3,311, DEUTSCHE TELECOM AG ADR 3,152, GOLDMAN SACHS GROUP INCORPORATED 3,045, Ten Best Performers Security Return Weight CORNING INC E*TRADE GROUP, INCORPORATED KIMCO REALTY REIT GOLDMAN SACHS GROUP INCORPORATED SUN MICROSYSTEMS, INC HALLIBURTON COMPANY MERRILL LYNCH & CO., INC VALERO ENERGY CORPORATION UBS AG REGISTERED HONEYWELL INTERNATIONAL, INC Security Ten Worst Performers Return Weight TRW AUTV.HDG CNF,INC TXU CORPORATION DOMINION RESOURCES INCORPORATED UNUMPROVIDENT CORP SCHERING-PLOUGH CORP WILLIAMS COMPANIES, INCORPORATED CLEAR CHANNEL COMMUNICATIONS, INCORPORAT CAPITAL ONE FINANCIAL CORP DOW CHEMICAL COMPANY

5 Portfolio Characteristics - Equity Period Ending: March 31, 2006 Equity Funds - Equity Only 5th Percentile 25th Percentile 50th Percentile 75th Percentile 95th Percentile Price/Earnings Ratio Dividend Yield Capitalization 5 Year Earnings Beta Price/Book Ratio Value Rank Value Rank Value Rank Value Rank Value Rank Value Rank WELLINGTON RUSSELL 1000 VALUE

6 Top Ten Holding Period Ending: March 31, 2006 As Of 6/30/04 As Of 9/30/04 As Of 12/31/04 As Of 3/31/05 CITIGROUP INC 6.2% CITIGROUP INC 5.4% CITIGROUP INC 6.1% CITIGROUP INC 5.7% BANK OF AMERICA 5.0% BANK OF AMERICA 4.7% BANK OF AMERICA 4.7% EXXON MOBIL CORP. 4.9% GOLDEN WEST FINANCIAL CORP. 2.4% GENERAL ELECTRIC CO. 2.8% TYCO INTERNATIONAL LTD. 2.7% BANK OF AMERICA 4.4% TOTAL FINA S A 2.3% TYCO INTERNATIONAL LTD. 2.6% GENERAL ELECTRIC CO. 2.5% ALTRIA GROUP INCORPORATED 2.6% UNION BANC CORPORATION 2.2% MBIA INC 2.1% ALTRIA GROUP INCORPORATED 2.5% TYCO INTERNATIONAL LTD. 2.5% MBIA INC 2.1% UNION BANC CORPORATION MBIA INC GENERAL ELECTRIC CO. 2.4% TIME WARNER INCORPORATED 2.1% EXXON MOBIL CORP. VALERO ENERGY CORPORATION CONOCO PHILLIPS COMMON STOCK 2.1% ALTRIA GROUP INCORPORATED FREDDIE MAC UNION BANC CORPORATION PETRO-CANADA 1.9% FREDDIE MAC VALERO ENERGY CORPORATION 1.9% EXELON CORPORATION UNION BANC CORPORATION 1.9% EXXON MOBIL CORP. 1.9% ALTRIA GROUP INCORPORATED 1.9% EXXON MOBIL CORP. OCCIDENTAL PETROLEUM 1.9% Top Ten Total: 28.1% Top Ten Total: 27.3% Top Ten Total: 28.5% Top Ten Total: 30.4% As Of 6/30/05 As Of 9/30/05 As Of 12/31/05 As Of 3/31/06 CITIGROUP INC 6.0% CITIGROUP INC 5.7% BANK OF AMERICA 6.1% BANK OF AMERICA 6.2% BANK OF AMERICA 4.9% BANK OF AMERICA 4.7% CITIGROUP INC 5.9% CITIGROUP INC 5.8% EXXON MOBIL CORP. 3.9% CONOCO PHILLIPS COMMON STOCK 2.5% EXXON MOBIL CORP. 5.6% EXXON MOBIL CORP. 4.2% PFIZER,INC. 2.3% PETRO-CANADA 2.5% CHEVRONTEXACO CORP. 3.4% CHEVRONTEXACO CORP. 4.0% CONOCO PHILLIPS COMMON STOCK 2.2% EXELON CORPORATION 2.5% EXELON CORPORATION 2.4% CONOCO PHILLIPS COMMON STOCK 2.9% UNION BANC CORPORATION 2.2% ALTRIA GROUP INCORPORATED 2.4% ALTRIA GROUP INCORPORATED 2.4% EXELON CORPORATION 2.3% PETRO-CANADA VALERO ENERGY CORPORATION 2.4% CONOCO PHILLIPS COMMON STOCK MERRILL LYNCH & CO., INC. 2.1% ALTRIA GROUP INCORPORATED OCCIDENTAL PETROLEUM 2.2% DEUTSCHE TELECOM AG ADR HEWLETT PACKARD OCCIDENTAL PETROLEUM 1.9% UNION BANC CORPORATION 2.2% MERRILL LYNCH & CO., INC. 1.8% DEUTSCHE TELECOM AG ADR 1.9% DEUTSCHE TELECOM AG ADR 1.9% HALLIBURTON COMPANY HALLIBURTON COMPANY 1.8% GOLDMAN SACHS GROUP 1.9% Top Ten Total: 29.3% Top Ten Total: 29.0% Top Ten Total: 33.3% Top Ten Total: 33.3% 6

7 Equity Only Summary Statistics Charts Period Ending: March 31, 2006 Total Number of Securities Average Market Capitalization ($Bill) Price/Earnings Ratio Dividend Yield Price/Book Ratio Five Year Earnings Growth Return on Equity WELLINGTON RUSSELL 1000 VALUE 7

8 Equity Only Sector Analysis Quarterly Period Ending: March 31, 2006 Consumer Discretionary - Weightings Consumer Discretionary - Returns Consumer Staples - Weightings Consumer Staples - Returns Energy - Weightings Energy - Returns WELLINGTON RUSSELL 1000 VALUE 8

9 Equity Only Sector Analysis Quarterly Period Ending: March 31, 2006 Financials - Weightings Financials - Returns Health Care - Weightings Health Care - Returns Industrials - Weightings Industrials - Returns WELLINGTON RUSSELL 1000 VALUE 9

10 Equity Only Sector Analysis Quarterly Period Ending: March 31, 2006 Information Technology - Weightings Information Technology - Returns Materials - Weightings Materials - Returns Miscellaneous - Weightings Miscellaneous - Returns WELLINGTON RUSSELL 1000 VALUE 10

11 Equity Only Sector Analysis Quarterly Period Ending: March 31, 2006 Telecommunications Services - Weightings Telecommunications Services - Returns Utilities - Weightings Utilities - Returns WELLINGTON RUSSELL 1000 VALUE 11

12 Performance Attribution Geometric Period Ending: March 31, 2006 Portfolio Market Value Return A B WELLINGTON RUSSELL 1000 VALUE Selection Market Value Return Stock Industry Total Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunications Services Utilities C D E F G Contribution Detractors Stock Energy Stock Consumer Staples Information Technology Health Care Industry Telecommunications Services Industry Industrials Utilities Information Technology 12

13 Value Added Analysis 3 Yr Rolling for WELLINGTON Period Ending: March 31,

14 Rolling Return Ranking 3 & 5 Years Period Ending: March 31,

15 Up vs. Down Market Performance Period Ending: March 31, 2006 Last 20 Quarters Ending 3/31/

16 Portfolio Holdings And Characteristics - Equity Period Ending: March 31, 2006 WELLINGTON Consumer Discretionary ACCENTURE LTD BISYS GROUP INCORPORATED BORG WARNER, INC. CBS 'B' CLEAR CHANNEL COMMUNICATIONS, INCORPORAT COMCAST CORP. -SPECIAL CLASS A COSTCO WHOLESALE CORP. GAP, INCORPORATED GENERAL ELECTRIC CO. HONEYWELL INTERNATIONAL, INC. LENNAR CORPORATION MICHAELS STORES INCORPORATED TALBOTS INCORPORATED TRW AUTV.HDG. VIACOM CLASS B WARNER MUSIC GROUP Consumer Staples ALTRIA GROUP INCORPORATED CONSTELLATION BRANDS INCORPORATED-A MCDONALDS CORPORATION MCKESSON HBOC, INCORPORATED OMNICOM GROUP, INC. PROCTER & GAMBLE CO SYSCO YUM! BRANDS INC. Energy CHEVRONTEXACO CORP. CONOCO PHILLIPS COMMON STOCK EXXON MOBIL CORP. HALLIBURTON COMPANY NOBLE ENERGY INCORPORATED PRIDE INTERNATIONAL, INC. UGI CORPORATION VALERO ENERGY CORPORATION Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 21, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

17 Portfolio Holdings And Characteristics - Equity Period Ending: March 31, 2006 WELLINGTON Financials AMERICAN INTERNATIONAL GROUP, INC. BANK OF AMERICA CAPITAL ONE FINANCIAL CORP CITIGROUP INC CITY NATIONAL CORP. COMERICA, INCORPORATED CONSECO COUNTRYWIDE FINANCIAL CORP. E*TRADE GROUP, INCORPORATED FIRST DATA CORP FREDDIE MAC GENERAL GROWTH PROPERTIES GOLDEN WEST FINANCIAL CORP. GOLDMAN SACHS GROUP INCORPORATED KIMCO REALTY REIT MBIA INC MERRILL LYNCH & CO., INC. METLIFE INC REINSURANCE GROUP OF AMERICA SOVEREIGN BANCORP, INCORPORATED ST PAUL COMPANIES, INC. STANDARD & POOR'S DEPOSITORY RECEIPT TRU STATE STREET CORPORATION UBS AG REGISTERED UNION BANC CORPORATION UNUMPROVIDENT CORP WEBSTER FINANCIAL CORPORATION Health Care ABBOTT LABS BRISTOL-MYERS SQUIBB CO. LILLY ELI & CO. MERCK & COMPANY, INCORPORATED SCHERING-PLOUGH CORP. WELLPOINT INCORPORATED WYETH Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 34, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

18 Portfolio Holdings And Characteristics - Equity Period Ending: March 31, 2006 WELLINGTON Industrials CANADIAN NATIONAL RAILWAY COMPANY CNF,INC. EMERSON ELECTRIC CO GENERAL DYNAMICS CORPORATION INGERSOLL-RAND COMPANY CLASS A NORTHROP GRUMMAN CORPORATION SOUTHWEST AIRLINES CO. UNITED PARCEL SERVICE CLASS B WILLIAMS COMPANIES, INCORPORATED Information Technology CORNING INC. EMC CORP. HEWLETT PACKARD MICROSOFT CORP. PITNEY-BOWES INC. SUN MICROSYSTEMS, INC. XEROX CORPORATION Materials ALCOA, INC. BOWATER INCORPORATED DOW CHEMICAL COMPANY DUPONT DE NEMOURS AND CO. SEALED AIR CORPORATION VALSPAR CORPORATION WEYERHAEUSER COMPANY Telecommunications Services AT&T INCORPORATED CITIZENS COMMUNICATIONS CO. DEUTSCHE TELECOM AG ADR SPRINT NEXTEL CORPORATION Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 21, , , , , , , , , , , , , , , , , , , , , , , , , , ,

19 Portfolio Holdings And Characteristics - Equity Period Ending: March 31, 2006 WELLINGTON Utilities DOMINION RESOURCES INCORPORATED EXELON CORPORATION FPL GROUP, INCORPORATED NORTHEAST UTILITIES PG&E CORPORATION TXU CORPORATION WELLINGTON Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 14, , , , , ,

20 Equity Activity Period Ending: March 31, 2006 Start from Dec 31, 2005 WELLINGTON Additions Security Name Shares Market Value New ACCENTURE LTD 5, ,719 AT&T INCORPORATED 30, ,944 BANK OF AMERICA 15, ,296 BORG WARNER, INC. 8, ,804 BRISTOL-MYERS SQUIBB CO. 50,500 1,138,689 * CBS CORP - CL B 21, ,371 * CHEVRON 2, ,577 * CHEVRONTEXACO CORP. 16, ,351 CITIGROUP INC 10, ,116 CLEAR CHANNEL COMMUNICATIONS, 30, ,766 * INCORPORAT CONOCO PHILLIPS COMMON STOCK 21,000 1,294,944 CONSTELLATION BRANDS INCORPORATED-A 23, ,980 EMC CORP. 17, ,275 FPL GROUP, INCORPORATED 12, ,615 GAP, INCORPORATED 20, ,639 * GENERAL DYNAMICS CORPORATION 4, ,843 * HEWLETT PACKARD 18, ,868 HEWLETT-PACKARD 200 6,561 * NORTHEAST UTILITIES 9, ,455 NORTHROP GRUMMAN CORPORATION 4, ,496 OUTBACK STEAKHOUSE INCOPORATED 10, ,738 SEALED AIR CORPORATION 2, ,340 SOVEREIGN BANCORP, INCORPORATED 13, ,165 * STANDARD & POOR'S DEPOSITORY RECEIPT TRU 5, ,572 STATE STREET CORPORATION 9, ,492 SUN MICROSYSTEMS, INC. 79, ,815 * SYSCO 38,200 1,149,384 * TALBOTS INCORPORATED 4, ,618 TRW AUTOMOTIVE HOLDINGS CORPORATION 19, ,468 * UNITED PARCEL SERVICE CLASS B 2, ,880 * VALERO ENERGY CORPORATION 5, ,443 * VIACOM CLASS B 39,800 1,682,804 * Security Name Deletions Shares Market Value Eliminated ABERCROMBIE & FITCH, CLASS A SHARES 7, ,432 * ALBERTO-CULVER CO. CLASS B 8, ,930 * ALTRIA GROUP INCORPORATED 7, ,125 CITY NATIONAL CORP. 3, ,535 CONSTELLATION ENERGY GROUP INCORPORATED 12, ,993 * COSTCO WHOLESALE CORP ,839 EMERSON ELECTRIC ,685 * EMERSON ELECTRIC CO 8, ,743 EXXON MOBIL 4, ,281 * EXXON MOBIL CORP. 40,000 2,410,681 FAIRCHILD SEMICON.INTL. 'A' ,258 * FAIRCHILD SEMICONDUCTOR CORPORATION 47, ,762 * FIRST DATA CORP 3, ,822 GENERAL ELECTRIC CO. 5, ,112 GENERAL MILLS 2, ,174 * GENERAL MILLS, INC. 30,000 1,456,968 * HALLIBURTON COMPANY 12, ,752 HONEYWELL INTERNATIONAL, INC. 1,300 53,597 LIBERTY GLOBAL INC. SERIES C 7, ,614 * LIBERTY GLOBAL INCORPORATED 7, ,200 * MERCK & COMPANY, INCORPORATED 9, ,427 MOTOROLA, INC. 2,900 66,696 * NORTHERN TRUST CORP. 10, ,383 * NORTHROP GRUMMAN CORPORATION 1,100 72,122 OUTBACK STEAKHOUSE INCOPORATED 22,500 1,008,259 * PFIZER,INC. 30, ,214 * PRECISION CASTPARTS CORPORATION 12, ,774 * SCRIPPS COMPANY E.W. CLASS A 18, ,071 * STANDARD & POOR'S DEPOSITORY RECEIPT TRU 7, ,105 TIME WARNER INCORPORATED 108,700 1,906,894 * VERIZON COMMUNICATIONS 24, ,191 * 20

21 Equity Activity Period Ending: March 31, 2006 WEBSTER FINANCIAL CORPORATION 1,800 86,383 YUM! BRANDS INC. 29,700 1,495,539 * 21