Office of the City Treasurer Quarterly Investment Report September 30, 2010 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer Lydia Abreu, Investment and Operations Manager Robert Tokunaga, Senior Investment Officer 915 I Street, HCH 3 rd Floor #0900, Sacramento, CA 95814-2604 Phone: 916-808-5168 Fax: 916-808-5171 www.cityofsacramento.org/treasurer/
INTRODUCTION In 1951 the George H. Clark Memorial Scholarship was established. In accordance with a will established in 1921, the trustees are to consist of the City Manager, City of Sacramento, and the Superintendent of Sacramento City Unified School District with the highest student populous. On February 2, 2001, the City Treasurer received a contribution of $627,618 in Memorial Cash Account portfolio. The City of Sacramento will help deserving senior high school students in their pursuit of a college education that will make them valuable members of the community. Four (4) scholarships per year ($5,000) each or $20,000 will be awarded to senior high school students to help provide for a college education. The committee selects the annual recipients from a group of eligible students submitted by SCUSD based on pre-determined achievement criteria. To honor Mr. Clark, the committee recommends that the awards be presented by the Mayor at a City Council meeting. STRATEGY Adhere to prudent investment practices to provide for the preservation and growth of principal. The City maintains two cash accounts. One cash account (Operating Cash Account) receives interest and dividend income to accrue for scholarship payments. Mutual fund and equity capital gains are placed in the second cash account (Memorial Investment Cash Account) to accumulate until scholarship funds are being paid from the Operating Cash Account. If a shortfall of cash exists in the Operating Cash Account, funds from the Memorial Investment Cash Account will be used to secure the payments. Excess cash in the Memorial Investment Cash Account will be re-allocated as per investment strategy. The City Treasurer will determine the asset allocation deemed prudent to achieve the funds objective. OBJECTIVES The objective of this fund is income. The committee directed the Treasurer's office to invest funds for moderate growth of principal and adequate cash flow to pay for scholarships. Goal is to earn a cash return per year of $20,000 thousand dollars to pay for four (4) scholarships per year. Page 2 of 8
September 30, 2010 Performance Quarter To Date Inception To Date Account 13.01 4.33 DJ Select Dividend 11.53? * S&P 500 10.72-1.84 * Index commencement date was 11/30/03 TWR 14 12 10 8 6 4 2 13.01 11.53 10.72 4.33 0.00 0-2 -1.84-4 Quarter To Date Inception To Date Dates Account DJ Select Dividend S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2010-11 Capital Market Returns - Quarter Ended September 30, 2010 Interest Rates 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 0.00 June 30, 2010 September 30, 2010 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr M aturities 20 18 16 14 12 10 8 6 4 2 0 Page 3 of 8 11.53 16.66 18.16 1st Qtr 2.36 0.03 Russell 3000 ACWI Ex U.S. Emerging Markets Fixed Income Cash
September 30, 2010 Activity From 06-30-10 to 09-30-10 Portfolio Value on 06-30-10 554,010 *** Contributions 0 Withdrawals -4,615 Realized Gains -432 Unrealized Gains 67,408 Interest 337 Dividends 4,532 Portfolio Value on 09-30-10 621,240 Actual Asset Allocation Equities 2.21% Operating Cash Account Activity From Inception to 09-30-10 Inception FY10 QE Inception to FY10 09-30-10 to FY11 Cash and Equivalents 97.79% Top 10 Holdings Securities Market Value Pct. Beginning Balance*** 41,133 Initial Contribution 83 83 Cash Transfers In * 240,818 4,615 245,433 Interest Income ** 6,689 6,689 Scholarship Payments -170,000-15,000-185,000 Investment Fees -36,457-36,457 Ending Balance 41,133 30,748 30,748 * Cash Transfers In = monies transferred from Memorial Investment Cash Account to Operating Cash Account to pay for scholarships and other expenses. Select Sector Spdr Tr Sbi Cons Discr 53,456 8.60 Ishares Tr Dj Us Tech Sec 46,280 7.45 Philip Morris Intl Inc Com 36,413 5.86 Kinder Morgan Energy Partners Ltd 34,250 5.51 Bp Amoco Plc - Spons Adr 32,936 5.30 Ishares Tr Transp Ave Idx 32,660 5.26 Caterpillar Inc Del Com 31,472 5.07 Select Sector Spdr Tr Sbi Int-Utils 31,380 5.05 Johnson & Johnson 30,980 4.99 Select Sector Spdr Tr Sbi Int-Finl 28,690 4.62 ** Pool A earnings from July 2010 to September 2010 are yet to be apportioned. *** Beginning balance was adjusted to include FY10 Pool A interest earnings, management fees and cash transferred from Memorial Investment Cash Account to Operating Cash Account. Page 4 of 8
PORTFOLIO APPRAISAL September 30, 2010 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date CASH AND EQUIVALENTS divacc Dividend Accrual 1,745 1,745 1,745 0.28 4.00 miscintrec Misc Interest Receivable 52 52 52 0.01 4.00 PoolA Pool A Cash 14,773 14,773 14,773 2.38 2.47 intreceiv Pool A Interest Receivable 174 174 174 0.03 2.47 slliab Securities Lending Liability -3,000-3,000-3,000-0.48 0.00 13,744 13,744 13,744 2.21 3.21 COMMON STOCK MATERIALS 500 mon Monsanto C0 New Com 60.42 30,211 47.93 23,965 23,965 3.86 2.34 B+ INDUSTRIALS 400 cat Caterpillar Inc Del Com 69.20 27,679 78.68 31,472 31,472 5.07 1.83 A- 400 de Deere & Co Com 59.47 23,789 69.78 27,912 27,912 4.49 1.72 A- 1,250 ge General Electric Co 38.93 48,661 16.25 20,312 20,312 3.27 2.95 A- 400 iyt Ishares Tr Transp Ave Idx 77.22 30,888 81.65 32,660 32,660 5.26 1.24 500 moo Market Vectors Etf Tr Agribus Etf 57.43 28,716 45.85 22,925 22,925 3.69 0.92 200 utx United Technologies 79.92 15,984 71.23 14,246 14,246 2.29 2.39 A+ 175,717 149,527 149,527 24.07 1.75 TELECOMMUNICATION SERVICES 1,000 t At&t Inc 39.82 39,819 28.60 28,600 28,600 4.60 5.87 B+ 168 ftr Frontier Communication Com 9.82 1,649 8.17 1,373 1,373 0.22 9.18 B- 700 vz Verizon Communications Inc 34.95 24,464 32.59 22,813 22,813 3.67 5.98 B 65,932 52,786 52,786 8.50 6.01 CONSUMER DISCRETIONARY 1,600 xly Select Sector Spdr Tr Sbi Cons Discr 33.50 53,600 33.41 53,456 53,456 8.60 1.30 CONSUMER STAPLES 650 mo Altria Group Inc 22.81 14,828 24.02 15,613 15,613 2.51 6.33 A 300 ko Coca Cola Co Com 64.61 19,383 58.52 17,556 17,556 2.83 3.01 A+ 650 pm Philip Morris Intl Inc Com 52.41 34,066 56.02 36,413 36,413 5.86 4.57 68,277 69,582 69,582 11.20 4.57 ENERGY 500 kmp Kinder Morgan Energy Partners Ltd 48.23 24,114 68.50 34,250 34,250 5.51 6.36 FINANCIAL 1,000 nly Annaly Cap Mgmt Inc Com 18.61 18,610 17.60 17,600 17,600 2.83 15.45 B 2,000 xlf Select Sector Spdr Tr Sbi Int-Finl 13.60 27,195 14.34 28,690 28,690 4.62 1.06 450 kie Spdr Series Trust Spdr Kbw Ins Etf 41.72 18,775 39.49 17,770 17,770 2.86 1.13 64,580 64,060 64,060 10.31 5.04 Page 5 of 8
PORTFOLIO APPRAISAL September 30, 2010 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date HEALTHCARE 500 jnj Johnson & Johnson 61.71 30,855 61.96 30,980 30,980 4.99 3.49 A+ 600 xlv Select Sector Spdr Tr Sbi Healthcare 31.93 19,161 30.49 18,294 18,294 2.94 1.92 50,016 49,274 49,274 7.93 2.90 INFORMATION TECHNOLOGY 800 iyw Ishares Tr Dj Us Tech Sec 51.80 41,440 57.85 46,280 46,280 7.45 0.44 UTILITIES 1,000 xlu Select Sector Spdr Tr Sbi Int-Utils 30.14 30,140 31.38 31,380 31,380 5.05 4.05 604,028 574,561 574,561 92.49 3.22 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 41.17 32,936 32,936 5.30 8.16 29,595 32,936 32,936 5.30 8.16 TOTAL PORTFOLIO 647,367 621,240 0 621,240 100.00 3.49 Page 6 of 8
PURCHASE/SALE AND GAIN/LOSS From 07-01-10 To 09-30-10 Trade Settle Unit 09-30-10 Date Date Quantity Security Price Amount Price Difference Purchases COMMON STOCK 08-19-10 08-24-10 400 Caterpillar Inc Del Com 69.20 27,679 78.68 9 08-11-10 08-16-10 400 Ishares Tr Transp Ave Idx 77.22 30,888 81.65 4 07-13-10 07-16-10 500 Semiconductor Hldrs Tr Dep Rcpt 28.08 14,040 27.71 0 72,607 AMERICAN DEPOSITORY RECEIPTS 07-13-10 07-16-10 800 Bp Amoco Plc - Spons Adr 36.99 29,595 41.17 4 29,595 Total Purchases 102,202 Page 7 of 8
PURCHASE/SALE AND GAIN/LOSS From 07-01-10 To 09-30-10 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss Sales COMMON STOCK 08-11-10 08-16-10 1,500 Semiconductor Hldrs Tr Dep Rcpt 26.35 39,528 28.27-2,877 39,528-2,877 Total Sales 39,528-2,877 Page 8 of 8
Office of the City Treasurer Quarterly Investment Report December 31, 2010 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer Lydia Abreu, Investment and Operations Manager Robert Tokunaga, Senior Investment Officer 915 I Street, HCH 3 rd Floor #0900, Sacramento, CA 95814-2604 Phone: 916-808-5168 Fax: 916-808-5171 www.cityofsacramento.org/treasurer/
INTRODUCTION In 1951 the George H. Clark Memorial Scholarship was established. In accordance with a will established in 1921, the trustees are to consist of the City Manager, City of Sacramento, and the Superintendent of Sacramento City Unified School District with the highest student populous. On February 2, 2001, the City Treasurer received a contribution of $627,618 in Memorial Cash Account portfolio. The City of Sacramento will help deserving senior high school students in their pursuit of a college education that will make them valuable members of the community. Four (4) scholarships per year ($5,000) each or $20,000 will be awarded to senior high school students to help provide for a college education. The committee selects the annual recipients from a group of eligible students submitted by SCUSD based on pre-determined achievement criteria. To honor Mr. Clark, the committee recommends that the awards be presented by the Mayor at a City Council meeting. STRATEGY Adhere to prudent investment practices to provide for the preservation and growth of principal. The City maintains two cash accounts. One cash account (Operating Cash Account) receives interest and dividend income to accrue for scholarship payments. Mutual fund and equity capital gains are placed in the second cash account (Memorial Investment Cash Account) to accumulate until scholarship funds are being paid from the Operating Cash Account. If a shortfall of cash exists in the Operating Cash Account, funds from the Memorial Investment Cash Account will be used to secure the payments. Excess cash in the Memorial Investment Cash Account will be re-allocated as per investment strategy. The City Treasurer will determine the asset allocation deemed prudent to achieve the funds objective. OBJECTIVES The objective of this fund is income. The committee directed the Treasurer's office to invest funds for moderate growth of principal and adequate cash flow to pay for scholarships. Goal is to earn a cash return per year of $20,000 thousand dollars to pay for four (4) scholarships per year. Page 2 of 7
December 31, 2010 Performance Quarter Inception Since To Date To Date 06-30-10 Account 10.95 5.31 25.38 DJ Select Dividend 7.48?* 19.86 S&P 500 10.20-0.83 22.02 TWR 30 25 20 15 10 10.95 7.48 10.20 5.31 25.38 19.86 22.02 * Index commencement date was 11/30/03 5 0.00 0-0.83-5 Quarter To Date Inception To Date Since 06-30-10 Dates Account DJ Select Dividend S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2010-11 5.00 Capital Market Returns - Quarter Ended December 31, 2010 14 Interest Rates 4.50 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 September 30, 2010 December 31, 2010 12 10 8 6 4 2 0 11.59 5.98 7.36 0.03 Russell 3000 ACWI Ex U.S. Emerging Markets Fixed Income Cash 0.00 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities -2 2nd Qtr -1.34 Page 3 of 7
December 31, 2010 Activity From 09-30-10 to 12-31-10 Portfolio Value on 09-30-10 621,240 Contributions 0 Withdrawals -5,468 Realized Gains 0 Unrealized Gains 62,326 Interest 258 Dividends 5,187 Portfolio Value on 12-31-10 683,542 Actual Asset Allocation Cash and Equivalents 2.01% Operating Cash Account Activity From Inception to 12-31-10 Inception FY10 QE Inception to FY10 09-30-10 12-31-10 to FY11 Beginning Balance 41,133 30,748 Initial Contribution 83 83 Cash Transfers In * 240,818 4,615 5,468 250,901 Interest Income ** 6,689 6,689 Scholarship Payments -170,000-15,000-5,000-190,000 Investment Fees -36,457-36,457 Ending Balance 41,133 30,748 31,216 31,216 * Cash Transfers In = monies transferred from Memorial Investment Cash Account to Operating Cash Account to pay for scholarships and other expenses. Top 10 Holdings Equities 97.99% Securities Market Value Pct. Select Sector Spdr Tr Sbi Cons Discr 59,856 8.76 Ishares Tr Dj Us Tech Sec 51,504 7.53 Philip Morris Intl Inc Com 38,044 5.57 Caterpillar Inc Del Com 37,464 5.48 Ishares Tr Transp Ave Idx 36,928 5.40 Bp Amoco Plc - Spons Adr 35,336 5.17 Kinder Morgan Energy Partners Ltd 35,130 5.14 Monsanto C0 New Com 34,820 5.09 Deere & Co Com 33,220 4.86 Select Sector Spdr Tr Sbi Int-Finl 31,900 4.67 ** Pool A earnings from July 2010 to December 2010 are yet to be apportioned. Page 4 of 7
PORTFOLIO APPRAISAL December 31, 2010 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date CASH AND EQUIVALENTS divacc Dividend Accrual 1,618 1,618 1,618 0.24 4.00 miscintrec Misc Interest Receivable 68 68 68 0.01 4.00 PoolA Pool A Cash 14,773 14,773 14,773 2.16 2.79 intreceiv Pool A Interest Receivable 261 261 261 0.04 2.79 slliab Securities Lending Liability -3,000-3,000-3,000-0.44 0.00 13,720 13,720 13,720 2.01 3.55 COMMON STOCK MATERIALS 500 mon Monsanto C0 New Com 60.42 30,211 69.64 34,820 34,820 5.09 1.61 B+ INDUSTRIALS 400 cat Caterpillar Inc Del Com 69.20 27,679 93.66 37,464 37,464 5.48 1.54 A+ 400 de Deere & Co Com 59.47 23,789 83.05 33,220 33,220 4.86 1.69 A- 1,250 ge General Electric Co 38.93 48,661 18.29 22,862 22,862 3.34 3.06 A- 400 iyt Ishares Tr Transp Ave Idx 77.22 30,888 92.32 36,928 36,928 5.40 1.16 500 moo Market Vectors Etf Tr Agribus Etf 57.43 28,716 53.54 26,770 26,770 3.92 0.61 200 utx United Technologies 79.92 15,984 78.72 15,744 15,744 2.30 2.16 A+ 175,717 172,988 172,988 25.31 1.60 TELECOMMUNICATION SERVICES 1,000 t At&t Inc 39.82 39,819 29.38 29,380 29,380 4.30 5.85 B+ 168 ftr Frontier Communication Com 9.82 1,649 9.73 1,635 1,635 0.24 7.71 B- 700 vz Verizon Communications Inc 34.95 24,464 35.78 25,046 25,046 3.66 5.45 B 65,932 56,061 56,061 8.20 5.73 CONSUMER DISCRETIONARY 1,600 xly Select Sector Spdr Tr Sbi Cons Discr 33.50 53,600 37.41 59,856 59,856 8.76 1.32 CONSUMER STAPLES 650 mo Altria Group Inc 22.81 14,828 24.62 16,003 16,003 2.34 6.17 A 300 ko Coca Cola Co Com 64.61 19,383 65.77 19,731 19,731 2.89 2.68 A+ 650 pm Philip Morris Intl Inc Com 52.41 34,066 58.53 38,044 38,044 5.57 4.37 68,277 73,778 73,778 10.79 4.31 ENERGY 500 kmp Kinder Morgan Energy Partners Ltd 48.23 24,114 70.26 35,130 35,130 5.14 6.32 FINANCIAL 1,000 nly Annaly Cap Mgmt Inc Com 18.61 18,610 17.92 17,920 17,920 2.62 14.29 B 2,000 xlf Select Sector Spdr Tr Sbi Int-Finl 13.60 27,195 15.95 31,900 31,900 4.67 0.98 450 kie Spdr Series Trust Spdr Kbw Ins Etf 41.72 18,775 43.03 19,363 19,363 2.83 1.60 64,580 69,183 69,183 10.12 4.60 Page 5 of 7
PORTFOLIO APPRAISAL December 31, 2010 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date HEALTHCARE 500 jnj Johnson & Johnson 61.71 30,855 61.85 30,925 30,925 4.52 3.49 A+ 600 xlv Select Sector Spdr Tr Sbi Healthcare 31.93 19,161 31.50 18,900 18,900 2.77 1.83 50,016 49,825 49,825 7.29 2.86 INFORMATION TECHNOLOGY 800 iyw Ishares Tr Dj Us Tech Sec 51.80 41,440 64.38 51,504 51,504 7.53 0.43 UTILITIES 1,000 xlu Select Sector Spdr Tr Sbi Int-Utils 30.14 30,140 31.34 31,340 31,340 4.58 4.05 604,028 634,486 634,486 92.82 2.97 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 44.17 35,336 35,336 5.17 7.61 29,595 35,336 35,336 5.17 7.61 TOTAL PORTFOLIO 647,343 683,542 0 683,542 100.00 3.22 Page 6 of 7
PURCHASE/SALE AND GAIN/LOSS From 10-01-10 To 12-31-10 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss No transactions within the specified date range were found! Page 7 of 7
Office of the City Treasurer Quarterly Investment Report March 31, 2011 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer Lydia Abreu, Investment and Operations Manager Robert Tokunaga, Senior Investment Officer 915 I Street, HCH 3 rd Floor #09500, Sacramento, CA 95814-2604 Phone: 916-808-5168 Fax: 916-808-5171 www.cityofsacramento.org/treasurer/
INTRODUCTION In 1951 the George H. Clark Memorial Scholarship was established. In accordance with a will established in 1921, the trustees are to consist of the City Manager, City of Sacramento, and the Superintendent of Sacramento City Unified School District with the highest student populous. On February 2, 2001, the City Treasurer received a contribution of $627,618 in Memorial Cash Account portfolio. The City of Sacramento will help deserving senior high school students in their pursuit of a college education that will make them valuable members of the community. Four (4) scholarships per year ($5,000) each or $20,000 will be awarded to senior high school students to help provide for a college education. The committee selects the annual recipients from a group of eligible students submitted by SCUSD based on pre-determined achievement criteria. To honor Mr. Clark, the committee recommends that the awards be presented by the Mayor at a City Council meeting. STRATEGY Adhere to prudent investment practices to provide for the preservation and growth of principal. The City maintains two cash accounts. One cash account (Operating Cash Account) receives interest and dividend income to accrue for scholarship payments. Mutual fund and equity capital gains are placed in the second cash account (Memorial Investment Cash Account) to accumulate until scholarship funds are being paid from the Operating Cash Account. If a shortfall of cash exists in the Operating Cash Account, funds from the Memorial Investment Cash Account will be used to secure the payments. Excess cash in the Memorial Investment Cash Account will be re-allocated as per investment strategy. The City Treasurer will determine the asset allocation deemed prudent to achieve the funds objective. OBJECTIVES The objective of this fund is income. The committee directed the Treasurer's office to invest funds for moderate growth of principal and adequate cash flow to pay for scholarships. Goal is to earn a cash return per year of $20,000 thousand dollars to pay for four (4) scholarships per year. Page 2 of 7
March 31, 2011 Performance Quarter Inception Since To Date To Date 06-30-10 Account 6.01 5.79 32.92 DJ Select Dividend 5.68? * 26.68 S&P 500 5.42-0.29 28.63 TWR 35 30 25 20 15 32.92 26.68 28.63 * Index commencement date was 11/30/03 10 5 6.01 5.68 5.42 5.79 0.00 0-5 -0.29 Quarter To Date Inception To Date Since 06-30-10 Dates Account DJ Select Dividend S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2010-11 Capital Market Returns - Quarter Ended March 31, 2011 Interest Rates 5.00 8 7.36 4.50 7 4.00 December 31, 2010 6.38 6 3.50 March 31, 2011 3.00 5 2.50 4 2.00 3 1.50 2.10 2 1.00 0.50 1 0.00 0 0.36 0.03 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr 3rd Qtr Maturities Page 3 of 7 Russell 3000 ACWI Ex U.S. Emerging Markets Fixed Income Cash
March 31, 2011 Activity From 12-31-10 to 03-31-11 Portfolio Value on 12-31-10 683,542 Contributions 0 Withdrawals -5,065 Realized Gains 0 Unrealized Gains 35,941 Interest 235 Dividends 4,842 Portfolio Value on 03-31-11 719,495 Actual Asset Allocation Cash and Equivalents 1.91% Equities 98.09% Operating Cash Account Activity From Inception to 03-31-11 Inception FY11 QE Inception to FY10 09-30-10 12-31-10 03-31-11 to FY11 Beginning Balance 41,133 30,748 31,216 Initial Contribution 83 83 Cash Transfers In * 240,818 4,615 5,468 5,065 255,966 Interest Income ** 6,689 150 6,839 Scholarship Payments -170,000-15,000-5,000-190,000 Investment Fees -36,457-36,457 Ending Balance 41,133 30,748 31,216 36,431 36,431 * Cash Transfers In = monies transferred from Memorial Investment Cash Account to Operating Cash Account to pay for scholarships and other expenses. Top 10 Holdings Securities Market Value Pct. Select Sector Spdr Tr Sbi Cons Discr 62,480 8.68 Ishares Tr Dj Us Tech Sec 53,232 7.40 Caterpillar Inc Del Com 44,540 6.19 Philip Morris Intl Inc Com 42,659 5.93 Deere & Co Com 38,756 5.39 Ishares Tr Transp Ave Idx 38,356 5.33 Kinder Morgan Energy Partners Ltd 37,045 5.15 Monsanto C0 New Com 36,130 5.02 Bp Amoco Plc - Spons Adr 35,312 4.91 Select Sector Spdr Tr Sbi Int-Finl 32,780 4.56 ** Pool A earnings from October 2010 to March 2011 are yet to be apportioned. Page 4 of 7
PORTFOLIO APPRAISAL March 31, 2011 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date CASH AND EQUIVALENTS divacc Dividend Accrual 1,739 1,739 1,739 0.24 4.00 miscintrec Misc Interest Receivable 41 41 41 0.01 4.00 PoolA Pool A Cash 14,773 14,773 14,773 2.05 2.31 intreceiv Pool A Interest Receivable 179 179 179 0.02 2.31 slliab Securities Lending Liability -3,000-3,000-3,000-0.42 0.00 13,732 13,732 13,732 1.91 3.03 COMMON STOCK MATERIALS 500 mon Monsanto C0 New Com 60.42 30,211 72.26 36,130 36,130 5.02 1.55 B+ INDUSTRIALS 400 cat Caterpillar Inc Del Com 69.20 27,679 111.35 44,540 44,540 6.19 1.29 A+ 400 de Deere & Co Com 59.47 23,789 96.89 38,756 38,756 5.39 1.44 A- 1,250 ge General Electric Co 38.93 48,661 20.05 25,062 25,062 3.48 2.79 A- 400 iyt Ishares Tr Transp Ave Idx 77.22 30,888 95.89 38,356 38,356 5.33 1.10 500 moo Market Vectors Etf Tr Agribus 57.43 28,716 56.04 28,020 28,020 3.89 0.59 Etf 200 utx United Technologies 79.92 15,984 84.65 16,930 16,930 2.35 2.01 A+ 175,717 191,664 191,664 26.64 1.44 TELECOMMUNICATION SERVICES 1,000 t At&t Inc 39.82 39,819 30.61 30,610 30,610 4.25 5.62 A+ 168 ftr Frontier Communication Com 9.82 1,649 8.22 1,381 1,381 0.19 9.12 A+ 700 vz Verizon Communications Inc 34.95 24,464 38.54 26,978 26,978 3.75 5.06 B 65,932 58,969 58,969 8.20 5.45 CONSUMER DISCRETIONARY 1,600 xly Select Sector Spdr Tr Sbi Cons Discr 33.50 53,600 39.05 62,480 62,480 8.68 1.42 CONSUMER STAPLES 650 mo Altria Group Inc 22.81 14,828 26.03 16,919 16,919 2.35 5.84 A 300 ko Coca Cola Co Com 64.61 19,383 66.34 19,902 19,902 2.77 2.83 A+ 650 pm Philip Morris Intl Inc Com 52.41 34,066 65.63 42,659 42,659 5.93 3.90 68,277 79,481 79,481 11.05 4.05 ENERGY 500 kmp Kinder Morgan Energy Partners Ltd 48.23 24,114 74.09 37,045 37,045 5.15 6.10 FINANCIAL 1,000 nly Annaly Cap Mgmt Inc Com 18.61 18,610 17.45 17,450 17,450 2.43 14.21 A+ 2,000 xlf Select Sector Spdr Tr Sbi Int-Finl 13.60 27,195 16.39 32,780 32,780 4.56 0.99 Page 5 of 7
PORTFOLIO APPRAISAL March 31, 2011 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date 450 kie Spdr Series Trust Spdr Kbw Ins Etf 41.72 18,775 44.13 19,858 19,858 2.76 1.60 64,580 70,088 70,088 9.74 4.45 HEALTHCARE 500 jnj Johnson & Johnson 61.71 30,855 59.25 29,625 29,625 4.12 3.65 A+ 600 xlv Select Sector Spdr Tr Sbi 31.93 19,161 33.11 19,866 19,866 2.76 1.86 Healthcare 50,016 49,491 49,491 6.88 2.93 INFORMATION TECHNOLOGY 800 iyw Ishares Tr Dj Us Tech Sec 51.80 41,440 66.54 53,232 53,232 7.40 0.42 UTILITIES 1,000 xlu Select Sector Spdr Tr Sbi Int-Utils 30.14 30,140 31.87 31,870 31,870 4.43 4.10 604,028 670,451 670,451 93.18 2.83 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 44.14 35,312 35,312 4.91 3.81 29,595 35,312 35,312 4.91 3.81 TOTAL PORTFOLIO 647,356 719,495 0 719,495 100.00 2.89 Page 6 of 7
PURCHASE/SALE AND GAIN/LOSS From 01-01-11 To 03-31-11 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss No transactions within the specified date range were found! Page 7 of 7
Office of the City Treasurer Quarterly Investment Report June 30, 2011 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer Lydia Abreu, Investment and Operations Manager Robert Tokunaga, Senior Investment Officer 915 I Street, HCH 3 rd Floor #09500, Sacramento, CA 95814-2604 Phone: 916-808-5168 Fax: 916-808-5171 www.cityofsacramento.org/treasurer/
INTRODUCTION In 1951 the George H. Clark Memorial Scholarship was established. In accordance with a will established in 1921, the trustees are to consist of the City Manager, City of Sacramento, and the Superintendent of Sacramento City Unified School District with the highest student populous. On February 2, 2001, the City Treasurer received a contribution of $627,618 in Memorial Cash Account portfolio. The City of Sacramento will help deserving senior high school students in their pursuit of a college education that will make them valuable members of the community. Four (4) scholarships per year ($5,000) each or $20,000 will be awarded to senior high school students to help provide for a college education. The committee selects the annual recipients from a group of eligible students submitted by SCUSD based on pre-determined achievement criteria. To honor Mr. Clark, the committee recommends that the awards be presented by the Mayor at a City Council meeting. STRATEGY Adhere to prudent investment practices to provide for the preservation and growth of principal. The City maintains two cash accounts. One cash account (Operating Cash Account) receives interest and dividend income to accrue for scholarship payments. Mutual fund and equity capital gains are placed in the second cash account (Memorial Investment Cash Account) to accumulate until scholarship funds are being paid from the Operating Cash Account. If a shortfall of cash exists in the Operating Cash Account, funds from the Memorial Investment Cash Account will be used to secure the payments. Excess cash in the Memorial Investment Cash Account will be re-allocated as per investment strategy. The City Treasurer will determine the asset allocation deemed prudent to achieve the funds objective. OBJECTIVES The objective of this fund is income. The committee directed the Treasurer's office to invest funds for moderate growth of principal and adequate cash flow to pay for scholarships. Goal is to earn a cash return per year of $20,000 thousand dollars to pay for four (4) scholarships per year. Page 2 of 7
June 30, 2011 Performance Quarter Inception Since To Date To Date 06-30-10 Account 0.30 5.67 33.32 DJ Select Dividend 2.56? * 29.92 S&P 500-0.39-0.32 28.13 * Index commencement date was 11/30/03 TWR 35 30 25 20 15 10 5 0.30 2.56 5.67 0.00 33.32 29.92 28.13 0-5 -0.39-0.32 Quarter To Date Inception To Date Since 06-30-10 Dates Account DJ Select Dividend S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2010-11 5.00 Capital Market Returns - Quarter Ended June 30, 2011 4 Interest Rates 4.50 4.00 3.50 3.00 2.50 2.00 1.50 M arch 31, 2011 June 30, 2011 3 2 1 0-0.03 0.61 2.29 0.03 Russell 3000 ACWI Ex U.S. Emerging Markets Fixed Income 1.00 0.50-1 -1.04 Cash 0.00-2 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities Page 3 of 7 4th Qtr
June 30, 2011 Activity From 03-31-11 to 06-30-11 Portfolio Value on 03-31-11 719,495 Contributions 0 Withdrawals -5,450 Realized Gains 0 Unrealized Gains -3,341 Interest 182 Dividends 5,394 Portfolio Value on 06-30-11 716,281 Actual Asset Allocation Cash and Equivalents 1.93% Operating Cash Account Activity From Inception to 06-30-11 Inception FY11 QE Inception to FY10 09-30-10 12-31-10 03-31-11 06-30-11 to FY11 Beginning Balance 41,133 30,748 31,216 36,431 Initial Contribution 83 83 Cash Transfers In * 240,818 4,615 5,468 5,065 5,450 261,417 Interest Income ** 6,689 150 420 7,259 Scholarship Payments -170,000-15,000-5,000-190,000 Investment Fees -36,457-36,457 Ending Balance 41,133 30,748 31,216 36,431 42,301 42,301 * Cash Transfers In = monies transferred from Memorial Investment Cash Account to Operating Cash Account to pay for scholarships and other expenses. Top 10 Holdings Equities 98.07% Securities Market Value Pct. Select Sector Spdr Tr Sbi Cons Discr 64,336 8.98 Ishares Tr Dj Us Tech Sec 52,016 7.26 Philip Morris Intl Inc Com 43,400 6.06 Caterpillar Inc Del Com 42,584 5.95 Ishares Tr Transp Ave Idx 39,184 5.47 Kinder Morgan Energy Partners Ltd 36,300 5.07 Monsanto C0 New Com 36,270 5.06 Bp Amoco Plc - Spons Adr 35,432 4.95 Select Sector Spdr Tr Sbi Int-Utils 33,480 4.67 Johnson & Johnson 33,260 4.64 ** June 2011 Pool A earnings are yet to be apportioned. Page 4 of 7
PORTFOLIO APPRAISAL June 30, 2011 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date CASH AND EQUIVALENTS divacc Dividend Accrual 2,033 2,033 2,033 0.28 4.00 miscintrec Misc Interest Receivable 31 31 31 0.00 4.00 PoolA Pool A Cash 14,773 14,773 14,773 2.06 1.68 intreceiv Pool A Interest Receivable 21 21 21 0.00 1.68 slliab Securities Lending Liability -3,000-3,000-3,000-0.42 0.00 13,858 13,858 13,858 1.93 2.39 COMMON STOCK MATERIALS 500 mon Monsanto C0 New Com 60.42 30,211 72.54 36,270 36,270 5.06 1.54 B+ INDUSTRIALS 400 cat Caterpillar Inc Del Com 69.20 27,679 106.46 42,584 42,584 5.95 1.73 A+ 400 de Deere & Co Com 59.47 23,789 82.45 32,980 32,980 4.60 1.99 A- 1,250 ge General Electric Co 38.93 48,661 18.86 23,575 23,575 3.29 3.18 A- 400 iyt Ishares Tr Transp Ave Idx 77.22 30,888 97.96 39,184 39,184 5.47 1.12 500 moo Market Vectors Etf Tr Agribus 57.43 28,716 53.79 26,895 26,895 3.75 0.61 Etf 200 utx United Technologies 79.92 15,984 88.51 17,702 17,702 2.47 2.17 A+ 175,717 182,920 182,920 25.54 1.71 TELECOMMUNICATION SERVICES 1,000 t At&t Inc 39.82 39,819 31.41 31,410 31,410 4.39 5.48 B+ 168 ftr Frontier Communication Com 9.82 1,649 8.07 1,356 1,356 0.19 9.29 B- 700 vz Verizon Communications Inc 34.95 24,464 37.23 26,061 26,061 3.64 5.24 B 65,932 58,827 58,827 8.21 5.46 CONSUMER DISCRETIONARY 1,600 xly Select Sector Spdr Tr Sbi Cons Discr 33.50 53,600 40.21 64,336 64,336 8.98 1.45 CONSUMER STAPLES 650 mo Altria Group Inc 22.81 14,828 26.41 17,166 17,166 2.40 5.76 A 300 ko Coca Cola Co Com 64.61 19,383 67.29 20,187 20,187 2.82 2.79 A+ 650 pm Philip Morris Intl Inc Com 52.41 34,066 66.77 43,400 43,400 6.06 3.83 68,277 80,754 80,754 11.27 3.98 ENERGY 500 kmp Kinder Morgan Energy Partners Ltd 48.23 24,114 72.60 36,300 36,300 5.07 6.28 FINANCIAL 1,000 nly Annaly Cap Mgmt Inc Com 18.61 18,610 18.04 18,040 18,040 2.52 14.41 B 2,000 xlf Select Sector Spdr Tr Sbi Int-Finl 13.60 27,195 15.35 30,700 30,700 4.29 1.20 Page 5 of 7
PORTFOLIO APPRAISAL June 30, 2011 Call Security Unit Total Market Accrued Market Value Pct. Cur. Bond Put Quantity Symbol Security Cost Cost Price Value Interest + Accrd. Int. Assets Yield S & P Moody Status Date 450 kie Spdr Series Trust Spdr Kbw Ins Etf 41.72 18,775 41.71 18,769 18,769 2.62 1.72 64,580 67,509 67,509 9.43 4.88 HEALTHCARE 500 jnj Johnson & Johnson 61.71 30,855 66.52 33,260 33,260 4.64 3.43 A+ 600 xlv Select Sector Spdr Tr Sbi 31.93 19,161 35.53 21,318 21,318 2.98 1.78 Healthcare 50,016 54,578 54,578 7.62 2.79 INFORMATION TECHNOLOGY 800 iyw Ishares Tr Dj Us Tech Sec 51.80 41,440 65.02 52,016 52,016 7.26 0.49 UTILITIES 1,000 xlu Select Sector Spdr Tr Sbi Int-Utils 30.14 30,140 33.48 33,480 33,480 4.67 3.96 604,028 666,990 666,990 93.12 2.96 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 44.29 35,432 35,432 4.95 3.79 29,595 35,432 35,432 4.95 3.79 TOTAL PORTFOLIO 647,482 716,281 0 716,281 100.00 2.99 Page 6 of 7
PURCHASE/SALE AND GAIN/LOSS From 04-01-11 To 06-30-11 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss No transactions within the specified date range were found! Page 7 of 7