Fresno County Employees' Retirement Association Performance Review Summary Period Ending: September 30, 2005

Transcription

1 Performance Review Summary Period Ending: September 30, 2005 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 CITIGROUP INC 8,706, BANK OF AMERICA 7,186, CONOCO PHILLIPS COMMON STOCK 3,879, PETRO-CANADA 3,823, EXELON CORPORATION 3,767, ALTRIA GROUP INCORPORATED 3,673, VALERO ENERGY CORPORATION 3,602, OCCIDENTAL PETROLEUM 3,334, UNION BANC CORPORATION 3,324, HALLIBURTON COMPANY 3,097, 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 $ 71,934 $ 83,470 Median Market Cap $ 19,551 $ 4,710 Benchmark: RUSSELL 1000 VALUE % of Total Fund $ 157, % 1

2 Rolling Return: 3 year Annualized Period Ending: September 30, /30/98 09/30/99 09/30/00 09/30/01 09/30/02 09/30/03 09/30/04 09/30/05 WELLINGTON RUSSELL 1000 VALUE Equity Style - Large Value

3 Three & Five Year Return vs. Risk Period Ending: September 30, 2005 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: September 30, 2005 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 ,192,141 71,934,023 83,470, % 9.7% Ten Largest Holdings Security Market Value Weight CITIGROUP INC 8,706, BANK OF AMERICA 7,186, CONOCO PHILLIPS COMMON STOCK 3,879, PETRO-CANADA 3,823, EXELON CORPORATION 3,767, ALTRIA GROUP INCORPORATED 3,673, VALERO ENERGY CORPORATION 3,602, OCCIDENTAL PETROLEUM 3,334, UNION BANC CORPORATION 3,324, HALLIBURTON COMPANY 3,097, Ten Best Performers Security Return Weight KING PHARMACEUTICALS, INCORPORATED HALLIBURTON COMPANY VALERO ENERGY CORPORATION TXU CORPORATION PRECISION CASTPARTS CORPORATION WILLIAMS COMPANIES, INCORPORATED PETRO-CANADA MDU RESOURCES GROUP INC E*TRADE GROUP, INCORPORATED HEWLETT PACKARD Ten Worst Performers Security Return Weight DELPHI AUTOMOTIVE SYSTEMS CORPORATION ABERCROMBIE & FITCH, CLASS A SHARES MICHAELS STORES INCORPORATED COUNTRYWIDE FINANCIAL CORP ABBOTT LABS FREDDIE MAC BOWATER INCORPORATED CONSTELLATION BRANDS INCORPORATED-A BISYS GROUP INCORPORATED PFIZER,INC

5 Portfolio Characteristics - Equity Period Ending: September 30, 2005 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: September 30, 2005 As Of 12/31/03 As Of 3/31/04 As Of 6/30/04 As Of 9/30/04 CITIGROUP INC 5.4% CITIGROUP INC 7.0% CITIGROUP INC 6.2% CITIGROUP INC 5.4% BANK ONE CORP 3.6% BANK OF AMERICA 4.7% BANK OF AMERICA 5.0% BANK OF AMERICA 4.7% BANK OF AMERICA 3.4% GOLDEN WEST FINANCIAL CORP. 2.4% GOLDEN WEST FINANCIAL CORP. 2.4% GENERAL ELECTRIC CO. 2.8% BRITISH PETROLEUM AMOCO 2.8% MBIA INC 2.3% TOTAL FINA S A 2.3% TYCO INTERNATIONAL LTD. 2.6% TOTAL FINA S A 2.8% TOTAL FINA S A 2.2% UNION BANC CORPORATION 2.2% MBIA INC 2.1% TIME WARNER INCORPORATED 2.4% ALTRIA GROUP INCORPORATED 2.2% MBIA INC 2.1% UNION BANC CORPORATION ALTRIA GROUP INCORPORATED 2.3% TIME WARNER INCORPORATED 2.1% TIME WARNER INCORPORATED 2.1% EXXON MOBIL CORP. GOLDEN WEST FINANCIAL CORP. 2.2% VERIZON COMMUNICATIONS ALTRIA GROUP INCORPORATED FREDDIE MAC MBIA INC 2.2% HEWLETT PACKARD 1.9% FREDDIE MAC VALERO ENERGY CORPORATION 1.9% EXXON MOBIL CORP. EXELON CORPORATION 1.8% EXXON MOBIL CORP. 1.9% ALTRIA GROUP INCORPORATED 1.9% Top Ten Total: 29.1% Top Ten Total: 28.4% Top Ten Total: 28.1% Top Ten Total: 27.3% As Of 12/31/04 As Of 3/31/05 As Of 6/30/05 As Of 9/30/05 CITIGROUP INC 6.1% CITIGROUP INC 5.7% CITIGROUP INC 6.0% CITIGROUP INC 5.7% BANK OF AMERICA 4.7% EXXON MOBIL CORP. 4.9% BANK OF AMERICA 4.9% BANK OF AMERICA 4.7% TYCO INTERNATIONAL LTD. 2.7% BANK OF AMERICA 4.4% EXXON MOBIL CORP. 3.9% CONOCO PHILLIPS COMMON STOCK 2.5% GENERAL ELECTRIC CO. 2.5% ALTRIA GROUP INCORPORATED 2.6% PFIZER,INC. 2.3% PETRO-CANADA 2.5% ALTRIA GROUP INCORPORATED 2.5% TYCO INTERNATIONAL LTD. 2.5% CONOCO PHILLIPS COMMON STOCK 2.2% EXELON CORPORATION 2.5% MBIA INC GENERAL ELECTRIC CO. 2.4% UNION BANC CORPORATION 2.2% ALTRIA GROUP INCORPORATED 2.4% VALERO ENERGY CORPORATION CONOCO PHILLIPS COMMON STOCK 2.1% PETRO-CANADA VALERO ENERGY CORPORATION 2.4% UNION BANC CORPORATION PETRO-CANADA 1.9% ALTRIA GROUP INCORPORATED OCCIDENTAL PETROLEUM 2.2% EXELON CORPORATION UNION BANC CORPORATION 1.9% OCCIDENTAL PETROLEUM 1.9% UNION BANC CORPORATION 2.2% EXXON MOBIL CORP. OCCIDENTAL PETROLEUM 1.9% DEUTSCHE TELECOM AG ADR 1.9% HALLIBURTON COMPANY Top Ten Total: 28.5% Top Ten Total: 30.4% Top Ten Total: 29.3% Top Ten Total: 29.0% 6

7 Equity Only Summary Statistics Charts Period Ending: September 30, 2005 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: September 30, 2005 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: September 30, 2005 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: September 30, 2005 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: September 30, 2005 Telecommunications Services - Weightings Telecommunications Services - Returns Utilities - Weightings Utilities - Returns WELLINGTON RUSSELL 1000 VALUE 11

12 Performance Attribution Geometric Period Ending: September 30, 2005 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 Financials Stock Materials Energy Consumer Discretionary Industry Energy Industry Consumer Discretionary Financials Health Care 12

13 Value Added Analysis 3 Yr Rolling for WELLINGTON Period Ending: September 30,

14 Rolling Return Ranking 3 & 5 Years Period Ending: September 30,

15 Up vs. Down Market Performance Period Ending: September 30, 2005 Last 20 Quarters Ending 9/30/

16 Portfolio Holdings And Characteristics - Equity Period Ending: September 30, 2005 WELLINGTON Consumer Discretionary ABERCROMBIE & FITCH, CLASS A SHARES ACCENTURE LTD ALBERTO-CULVER CO. CLASS B BISYS GROUP INCORPORATED COMCAST CORP. -SPECIAL CLASS A DELPHI AUTOMOTIVE SYSTEMS CORPORATION GENERAL ELECTRIC CO. GILLETTE COMPANY LEAR SEATING CORPORATION LENNAR CORPORATION METLIFE INC MICHAELS STORES INCORPORATED SCRIPPS COMPANY E.W. CLASS A SIRIUS SATELLITE RADIO INC TALBOTS INCORPORATED TEXTRON, INCORPORATED TIME WARNER INCORPORATED UNUMPROVIDENT CORP Consumer Staples ALTRIA GROUP INCORPORATED CONSTELLATION BRANDS INCORPORATED-A COSTCO WHOLESALE CORP. MCDONALDS CORPORATION OMNICOM GROUP, INC. Energy CHEVRONTEXACO CORP. CONOCO PHILLIPS COMMON STOCK EXXON MOBIL CORP. HALLIBURTON COMPANY MDU RESOURCES GROUP INC. NOBLE ENERGY INCORPORATED OCCIDENTAL PETROLEUM PETRO-CANADA PRIDE INTERNATIONAL, INC. VALERO ENERGY CORPORATION WILLIAMS COMPANIES, INCORPORATED Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 7, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

17 Portfolio Holdings And Characteristics - Equity Period Ending: September 30, 2005 WELLINGTON Financials AMERICAN INTERNATIONAL GROUP, INC. BANK OF AMERICA CAPITAL ONE FINANCIAL CORP CITIGROUP INC CITY NATIONAL CORP. COMERICA, INCORPORATED 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. NORTHERN TRUST CORP. REINSURANCE GROUP OF AMERICA ST PAUL COMPANIES, INC. STATE STREET CORPORATION UBS AG REGISTERED UNION BANC CORPORATION WEBSTER FINANCIAL CORPORATION Health Care ABBOTT LABS APPLERA CORP - APPLIED BIDSYSTEMS GROUP KING PHARMACEUTICALS, INCORPORATED LILLY ELI & CO. MCKESSON HBOC, INCORPORATED PFIZER,INC. SCHERING-PLOUGH CORP. WELLPOINT INCORPORATED Industrials CANADIAN NATIONAL RAILWAY COMPANY CNF,INC. EMERSON ELECTRIC CO GENERAL DYNAMICS CORPORATION HONEYWELL INTERNATIONAL, INC. INGERSOLL-RAND COMPANY CLASS A PRECISION CASTPARTS CORPORATION SOUTHWEST AIRLINES CO. Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 34, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

18 Portfolio Holdings And Characteristics - Equity Period Ending: September 30, 2005 WELLINGTON Information Technology CORNING INC. FAIRCHILD SEMICONDUCTOR CORPORATION HEWLETT PACKARD MICROSOFT CORP. MOTOROLA, INC. NOKIA CORP. ADR 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 CORP. CITIZENS COMMUNICATIONS CO. DEUTSCHE TELECOM AG ADR SPRINT NEXTEL CORPORATION VERIZON COMMUNICATIONS VIACOM INC. CLASS B Utilities CONSTELLATION ENERGY GROUP INCORPORATED DOMINION RESOURCES INCORPORATED EXELON CORPORATION FPL GROUP, INCORPORATED PG&E CORPORATION TXU CORPORATION WELLINGTON Shares Price Portfolio Weight Market Cap Dividend Yield Price / Earnings Price / Book Beta Quarterly Return 24, , , , , , , , , , , , , , , , , , , , , , , , , ,

19 Equity Activity Period Ending: September 30, 2005 Start from Jun 30, 2005 WELLINGTON Additions Security Name Shares Market Value New ALLIANT TECHSYSTEMS, INC. 2, ,816 ALTRIA GROUP INCORPORATED 4, ,226 AMERICAN INTERNATIONAL GROUP, INC. 8, ,774 APPLERA CORP - APPLIED BIDSYSTEMS GROUP 26, ,489 * BANK OF AMERICA 21, ,306 CHEVRONTEXACO CORP. 33,300 2,024,264 * COMCAST CORP. -SPECIAL CLASS A 4, ,394 COMERICA, INCORPORATED 3, ,955 CONSECO, INC. 33, ,387 * CONSTELLATION ENERGY GROUP INCORPORATED 6, ,537 COUNTRYWIDE FINANCIAL CORP. 13, ,839 DELPHI AUTOMOTIVE SYSTEMS CORPORATION 74, ,956 DEUTSCHE TELECOM AG ADR 13, ,938 DOMINION RESOURCES INCORPORATED 12, ,242 * DUPONT DE NEMOURS AND CO. 3, ,213 E*TRADE GROUP, INCORPORATED 32, ,969 ENTERGY CORPORATION 7, ,997 EXELON CORPORATION 17, ,849 FPL GROUP, INCORPORATED 19, ,026 * FREDDIE MAC 17,100 1,121,032 GOLDMAN SACHS GROUP INCORPORATED 5, ,496 HONEYWELL INTERNATIONAL, INC. 24, ,270 * LILLY ELI & CO. 18, ,669 * MARSH & MCLENNAN COS., INC. 1,200 33,522 MCDONALDS CORPORATION 5, ,723 MCKESSON HBOC, INCORPORATED 5, ,245 METLIFE INC 24,700 1,143,059 MICROSOFT CORP. 10, ,720 NEXTEL COMMUNICATIONS, INCORPORATED 18, ,246 OCCIDENTAL PETROLEUM 9, ,054 OMNICOM GROUP, INC. 1,200 95,732 PG&E CORPORATION 9, ,792 Security Name Deletions Shares Market Value Eliminated ABERCROMBIE & FITCH, CLASS A SHARES 1, ,739 ALLIANT TECHSYSTEMS, INC. 2, ,287 * BRINKER INTERNATIONAL INCORPORATED 7, ,370 * BRISTOL-MYERS SQUIBB CO. 39, ,260 * COSTCO WHOLESALE CORP. 2, ,719 DEERE & COMPANY 7, ,537 * DISCOVERY HOLDING CO-A 6,608 92,601 * ELECTRONIC ARTS INCORPORATED 12, ,070 * EMERSON ELECTRIC CO 2, ,855 ENTERGY CORPORATION 25,800 1,914,382 * EXXON MOBIL CORP. 60,900 3,624,393 FOOT LOCKER, INC. 11, ,790 * FRANKLIN RESOURCES, INC. 14,200 1,165,780 * GENERAL DYNAMICS CORPORATION 1, ,164 GRACO, INCORPORATED 5, ,935 * HCA - THE HEALTHCARE COMPANY 19, ,826 * HIBERNIA CORPORATION CLASS A 32,600 1,074,559 * INGERSOLL-RAND COMPANY CLASS A ,386 JOHNSON CONTROLS INCORPORATED 5, ,777 * LIBERTY MEDIA CORP - CLASS A 66, ,445 * LOCKHEED MARTIN CORPORATION 8, ,431 * MARSH & MCLENNAN COS., INC. 15, ,812 * MDU RESOURCES GROUP INC. 11, ,434 MICROSOFT CORP. 20, ,070 MOTOROLA, INC. 7, ,111 NEXTEL COMMUNICATIONS, INCORPORATED -1,666 55,517 * NORTHERN TRUST CORP. 3, ,020 PRECISION CASTPARTS CORPORATION 2, ,243 PREMCOR INCORPORATED -13,896 1,018,630 * PRUDENTIAL FINANCIAL, INC. 23,700 1,555,930 * RAYTHEON CO. 11, ,736 * RELIANT RESOURCES INCORPORATED 27, ,070 * 19

20 Equity Activity Period Ending: September 30, 2005 PRECISION CASTPARTS CORPORATION 4, ,960 RAYTHEON CO. 11, ,939 * REINSURANCE GROUP OF AMERICA 3, ,586 SCRIPPS COMPANY E.W. CLASS A 2, ,088 STANDARD & POOR'S DEPOSITORY RECEIPT TRU 29,200 3,603,423 * STATE STREET CORPORATION 5, ,148 TALBOTS INCORPORATED 11, ,163 * TEXTRON, INCORPORATED 6, ,791 * TIME WARNER INCORPORATED 7, ,989 VALERO ENERGY CORPORATION 18,700 1,973,883 * VIACOM INC. CLASS B 3, ,871 WARNER MUSIC GROUP CORP. 13, ,848 * WEBSTER FINANCIAL CORPORATION 1,700 76,899 * WELLPOINT INCORPORATED 4, ,367 SCIENTIFIC ATLANTA INCORPORATED ,277 * SIRIUS SATELLITE RADIO INC 34, ,573 SPRINT NEXTEL CORPORATION 0 4 STANDARD & POOR'S DEPOSITORY RECEIPT TRU 16,200 1,995,692 * TXU CORPORATION 13,300 1,226,717 UNITED TECHNOLOGIES CORP. 23,100 1,189,088 * VALERO ENERGY CORPORATION VERIZON COMMUNICATIONS 7, ,462 WATSON PHARMACEUTICALS, INC. 11, ,445 * WILLIAMS COMPANIES, INCORPORATED 10, ,835 ZIONS BANK INCORPORATED 3, ,525 * 20