Sacramento County Employees Retirement System Asset Summary As of September 30, 2005

Transcription

1 Asset Allocation

2 Asset Summary As of September 30, 2005 Total Market Value % of Total Fund % of Asset Class Total Fund $ 4, % % Domestic Equity 1, All Cap Index Alliance Capital Mgmt L.P. Passive Large Cap Growth Independence Inv. LLC Large Cap Value Trinity Investment Management LSV Asset Management Large Cap Value Pzena Investment Management Small Cap Growth Bank of New York M.A. Weatherbie & Co., Inc Small Cap Value Dalton Greiner Hartman Maher TCW Group International Equity 1, INVESCO Global Capital Guardian Trust Company International Equity LSV Asset Management International Equity AXA Rosenberg Inv. Mgmt. LLC Capital Guardian Trust Company Emerging Markets Growth Fixed Income 1, Lehman Brothers Asset Mgmt Passive Metropolitan West Asset Mgmt Bradford & Marzec, Inc Bradford & Marzec, Inc. (temporary portfolio) All dollars in millions, numbers may not add due to rounding

3 Asset Summary As of September 30, 2005 Total Market Value % of Total Fund % of Asset Class Hedge Fund $ % % Blackstone Alternative Asset Grosvenor Capital Mgmt Total Real Estate Separate Account Portfolios BlackRock Realty Unleveraged BlackRock Realty Portfolio II Unleveraged Cornerstone Real Est Adv Unleveraged Ltd. Partnerships Cash Cornerstone Real Est Adv Open-end Fund Unleveraged Heitman Capital Mgmt Corp V JMB Group V Total Cash All dollars in millions, numbers may not add due to rounding

4 Asset Allocation As of September 30, 2005 Prior Asset Allocation - June 30, 2005 Current Asset Allocation - September 30, 2005 All Cap Index 19.8 % All Cap Index 19.8 % Large Cap Growth 4.8 % Large Cap Growth 4.7 % Large Cap Value 5.1 % Large Cap Value 5.1 % Small Cap Growth 2.8 % Small Cap Growth 2.7 % Small Cap Value 3.2 % Small Cap Value 2.7 % International Equity 20.0 % International Equity 21.3 % Fixed Income 27.7 % Fixed Income 24.9 % Hedge Fund 4.7 % Hedge Fund 4.6 % Separate Account Portfolios 9.4 % Separate Account Portfolios Ltd. Partnerships 1.4 % Ltd. Partnerships 1.4 % Cash 1.0 % Total Market Value Total Market Value Cash 1.9 % $ 4,696,865,091 $ 4,945,225, % All dollars in millions, numbers may not add due to rounding

5 Asset Allocation As of September 30, 2005 Policy Actual Domestic Equity 35.0 % Domestic Equity 35.0 % International Equity 20.0 % International Equity 21.3 % Fixed Income 25.0 % Fixed Income 24.9 % Hedge Fund 5.0 % Hedge Fund 4.6 % Real Estate 15.0 % Real Estate 12.3 % Cash 1.9 % Asset Allocation vs. Policy Total Market Value $ 4,945,225, % 1.3% 1.9% 0.0% 0.0% (0.1)% (0.4)% (2.7)% -5.0% Domestic Equity International Equity Fixed Income Hedge Fund Real Estate Cash Numbers may not add due to rounding

6 Asset Allocation As of September 30, 2005 Prior Asset Allocation - June 30, 2005 Current Asset Allocation - September 30, 2005 Domestic Equity 35.8 % Domestic Equity 35.0 % International Equity 20.0 % International Equity 21.3 % Fixed Income 27.7 % Fixed Income 24.9 % Hedge Fund 4.7 % Hedge Fund 4.6 % Real Estate 10.8 % Real Estate 12.3 % Cash 1.0 % Cash 1.9 % Total Market Value $ 4,696,865,091 Total Market Value $ 4,945,225,941 Numbers may not add due to rounding

7 Asset Allocation As of September 30, 2005 Alliance Capital Mgmt L.P. Passive 19.8% Independence Inv. LLC 4.7% LSV Asset Management Large Cap Value 1.7% Pzena Investment Management 1.6% Trinity Investment Management 1.7% Bank of New York 1.3% M.A. Weatherbie & Co., Inc. 1.5% Dalton Greiner Hartman Maher 1.4% Actual Grosvenor Capital Mgmt. 2.2% BlackRock Realty Unleveraged BlackRock Realty Portfolio II Unleveraged Cornerstone Real Est Adv Unleveraged Cornerstone Real Est Adv Open-end Fund Unleveraged Heitman Capital Mgmt Corp V 7.0% 2.0% 1.9% 1.4% 0.0% JMB Group V 0.0% Total Cash 1.9% TCW Group 1.3% INVESCO Global 4.8% Capital Guardian Trust Company International Equity LSV Asset Management International Equity 5.2% 4.8% AXA Rosenberg Inv. Mgmt. LLC 1.1% Capital Guardian Trust Company Emerging Markets Growth Lehman Brothers Asset Mgmt Passive 5.3% 7.6% Metropolitan West Asset Mgmt 7.5% Bradford & Marzec, Inc. 7.5% Bradford & Marzec, Inc. (temporary portfolio) 2.3% Blackstone Alternative Asset 2.4% Total Market Value $ 4,945,225,941 Numbers may not add due to rounding

8 Performance

9 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date Total Fund $ 4, % % % % % % Total Fund-Net 4, Rank vs. Total Funds Billion Dollar - Public Total Funds Billion Dollar - Public Med Benchmark Benchmark (CURRENT) Total Domestic Equity 1, Total Domestic Equity-Net 1, (0.1) 11.3 Rank vs. US Equity Billion Dollar Segment - Public US Equity Billion Dollar Segment - Public Med Russell 3000 Index (0.7) 11.0 Total Large Cap Domestic Equity 1, (0.2) Total Large Cap Domestic Equity-Net 1, (0.3) 2.8 Rank vs. Mercer US Equity Large Cap Equity Universe Mercer US Equity Large Cap Equity Universe Med Russell 1000 Index (1.3) 3.5 All Cap Index Alliance Capital Mgmt L.P. Passive (0.8) Alliance Capital Mgmt L.P. Passive-Net (0.8) 11.3 Rank vs. Mercer US Equity Large Cap Equity Universe Mercer US Equity Large Cap Equity Universe Med Benchmark (Russell 1000 Index) (1.2) 11.2 Large Cap Growth Independence Inv. LLC (7.5) 69 (0.1) Independence Inv. LLC-Net (7.8) (0.3) Rank vs. Mercer US Equity Large Cap Growth Universe Mercer US Equity Large Cap Growth Universe Med (5.3) Russell 1000 Growth Index (8.6) 0.3

10 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date Large Cap Value LSV Asset Management Large Cap Value $ % % 5 % % % 22.7 % LSV Asset Management Large Cap Value-Net Pzena Investment Management Pzena Investment Management-Net Rank vs. Mercer US Equity Large Cap Value Universe Mercer US Equity Large Cap Value Universe Med Russell 1000 Value Index Trinity Investment Management Trinity Investment Management-Net Rank vs. Mercer US Equity Large Cap Value Universe Mercer US Equity Large Cap Value Universe Med Russell 1000 Value Index Total Small Cap Domestic Equity (0.7) Total Small Cap Domestic Equity-Net (1.5) 14.8 Rank vs. Mercer US Equity Small Cap Universe Mercer US Equity Small Cap Universe Med Russell 2000 Index Small Cap Growth Bank of New York 62.0 (0.2) 99 (0.5) Bank of New York-Net 62.0 (0.3) (1.0) Rank vs. Mercer US Equity Small Cap Growth Universe Mercer US Equity Small Cap Growth Universe Med (0.2) Russell 2000 Growth Index (2.5) 14.9 M.A. Weatherbie & Co., Inc M.A. Weatherbie & Co., Inc.-Net Rank vs. Mercer US Equity Small Cap Growth Universe Mercer US Equity Small Cap Growth Universe Med (0.2) Russell 2000 Growth Index (2.5) 22.3

11 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date Small Cap Value Dalton Greiner Hartman Maher $ % % % % 76 % 14.2 % Dalton Greiner Hartman Maher-Net TCW Group (2.7) TCW Group-Net (3.1) Rank vs. Mercer US Equity Small Cap Value Universe Mercer US Equity Small Cap Value Universe Med Russell 2000 Value Index Total International Equity 1, Total International Equity-Net 1, Rank vs. Non-US Equity Billion Dollar Segment - Public Non-US Equity Billion Dollar Segment - Public Med MSCI EAFE Net Dividend Index Total Intl Equity - Established Mkts Total Intl Equity - Established Mkts-Net Rank vs. Mercer Intl Equity Universe Mercer Intl Equity Universe Med MSCI EAFE Net Dividend Index INVESCO Global INVESCO Global-Net Rank vs. Mercer Intl Equity Universe Mercer Intl Equity Universe Med MSCI EAFE Net Dividend Index Capital Guardian Trust Company International Equity Capital Guardian Trust Company International Equity-Net (0.4) Rank vs. Mercer Intl Equity Universe Mercer Intl Equity Universe Med MSCI EAFE Net Dividend Index MSCI EAFE Net Div-Growth Index (0.5) (4.0)

12 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date LSV Asset Management International Equity $ % % 45 % % % 11.1 % LSV Asset Management International Equity-Net Rank vs. Mercer Intl Equity Universe Mercer Intl Equity Universe Med MSCI EAFE Net Dividend Index MSCI EAFE Net Div-Value Index AXA Rosenberg Inv. Mgmt. LLC AXA Rosenberg Inv. Mgmt. LLC-Net Rank vs. Mercer Intl Equity Small Cap Universe Mercer Intl Equity Small Cap Universe Med MSCI Small Cap World Ex United States Net Composite S&P/Citigroup Extended Market Index World Ex United States Total Intl Equity - Emerging Mkts Total Intl Equity - Emerging Mkts-Net Capital Guardian Trust Company Emerging Markets Growth Capital Guardian Trust Company Emerging Markets Growth-Net Rank vs. Mercer Emerging Markets Equity Universe Mercer Emerging Markets Equity Universe Med MSCI Emerging Markets Index Total Domestic Fixed Income 1,119.7 (0.4) Total Domestic Fixed Income-Net 1,119.7 (0.5) Rank vs. US Fixed Income Billion Dollar Segment - Public US Fixed Income Billion Dollar Segment - Public Med (0.3) Lehman Brothers Aggregate Bond (0.7) Lehman Brothers Asset Mgmt Passive (0.7) Lehman Brothers Asset Mgmt Passive-Net (0.7) Rank vs. Mercer US Fixed Combined Universe Mercer US Fixed Combined Universe Med (0.3) Lehman Brothers Aggregate Bond (0.7)

13 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date Metropolitan West Asset Mgmt $ (0.1)% % % % 15 % 5.9 % Metropolitan West Asset Mgmt-Net (0.2) Rank vs. Mercer US Fixed Combined Universe Mercer US Fixed Combined Universe Med (0.3) Lehman Brothers Aggregate Bond (0.7) Bradford & Marzec, Inc (0.5) Bradford & Marzec, Inc.-Net (0.6) Rank vs. Mercer US Fixed Combined Universe Mercer US Fixed Combined Universe Med (0.3) Benchmark (Lehman Brothers Aggregate Bond) (0.7) Bradford & Marzec, Inc. (temporary portfolio) Bradford & Marzec, Inc. (temporary portfolio)-net Hedge Funds Blackstone Alternative Asset Blackstone Alternative Asset-Net Grosvenor Capital Mgmt Grosvenor Capital Mgmt.-Net CSFB Tremont Hedge Funds Long/Short Equity Index Total Real Estate Rank vs. Real Estate Billion Dollar Segment - Public Real Estate Billion Dollar Segment - Public Med NCREIF Property Index Separate Acounts Portfolios BlackRock Realty Unleveraged BlackRock Realty Leveraged NCREIF Property Index BlackRock Realty Portfolio II Unleveraged BlackRock Realty Portfolio II Leveraged NCREIF Property Index

14 Performance Summary Period Ending September 30, 2005 Annualized Market Value Quarter YTD 1 Year 3 Years 5 Years Inception to Date Cornerstone Real Estate Advisers, Inc Unleveraged $ % 9.5 % 11.3 % % % 11.8 % Cornerstone Real Estate Advisers, Inc. Leveraged NCREIF Property Index Limited Partnerships Cornerstone Real Est Adv Open-end Fund Unleveraged Cornerstone Real Est Adv Open-end Fund Leveraged NCREIF Property Index Heitman Capital Mgmt Corp V JMB Group V NCREIF Property Index Total Cash Rank vs. Cash and Equivalents Segment - Billiion Dollar Public Cash and Equivalents Segment - Billiion Dollar Public Med Citigroup Treasury Bill-3 Month