Office of the City Treasurer Quarterly Investment Report September 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 1993, Ethel MacLeod Hart left a bequest of $1,498,719.07 to the City of Sacramento for the.. use, enjoyment and comfort of senior citizens. On the recommendation of the Ethel MacLeod Hart Advisory Committee a permanent endowment of $1,000,000 was established. The balance of the bequest was retained in an operating fund account (Hart Operating Fund) and used over the next fiveyear period for appropriate projects. Annually the amount available for disbursement will be reported to the Board by Rosanne Bernardy, Superintendent of the Office of Human Services. The Hart Trust Endowment Fund ( the Fund ) will be invested with a growth objective. The minimum return objective on these dollars over a five year period is $400,000 or roughly 7% compounded annually. The Advisory Committee is responsible for providing advice to City staff and the City Council on the appropriate use of the Ethel MacLeod Hart Trust Fund for Senior Citizens consistent with the terms of the bequest, the interest of the donor, and the approved general guidelines. The Advisory Committee consists of seven members appointed by the Mayor. Appointees must be residents of the City and at least sixty (60) years of age. Two Advisory Committee members must be representatives of specific organizations: American Association of Retired Persons and Sacramento County Adult and Aging Commission. STRATEGY * Adhere to prudent investment practices to provide for the preservation and growth of principal; and OBJECTIVES * The objective for this fund is growth and capital preservation; and * To earn a total rate of return on the Hart Trust Endowment Fund to meet the return objectives of $400,000 (approximately 7% compounded annually) over subsequent five-year periods; and * Provide liquidity for the Hart Operating Fund for the..use, enjoyment and comfort of senior citizens based on recommendations to City Council by the Advisory Committee. Page 2 of 8
September 30, 2011 Performance Quarter To Date Inception To Date Account -12.59 5.38 SBBIG 3.93 6.60 S&P 500-14.33 3.39 TWR 10 5 0-5 3.93 5.38 6.60 3.39-10 -15-12.59-14.33-20 Quarter To Date Inception To Date Dates Account SBBIG S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2011-12 Capital Market Returns - Quarter Ended September 30, 2011 5.00 10 Interest Rates 4.50 4.00 3.50 3.00 2.50 2.00 June 30, 2011 September 30, 2011 5 0-5 -10 3.93 0.00 Russell 3000 ACWI Ex U.S. Emerging Markets 1.50 1.00 0.50-15 -20-15.28-19.78 Fixed Income Cash 0.00 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities -25-22.46 1st Qtr Page 3 of 8
September 30, 2011 Activity From 06-30-11 to 09-30-11 Portfolio Value on 06-30-11 1,608,855 Contributions 0 Withdrawals 0 Realized Gains 374 Unrealized Gains -215,208 Interest 899 Dividends 11,356 Portfolio Value on 09-30-11 1,406,276 Actual Asset Allocation Cash and Equivalents 4.83% Equities 95.17% Top 10 Holdings Securities Market Value Pct. Ishares Tr Dj Us Tech Sec 138,979 9.88 Pool A Cash 70,096 4.98 Alps Etf Tr Alerian Mlp 59,436 4.23 Select Sector Spdr Tr Sbi Int-Finl 59,050 4.20 International Bus Mach 52,461 3.73 Visa Inc Com Cl A 47,146 3.35 Mcdonald's Corp 43,910 3.12 Pinnacle West Cap Corp 42,940 3.05 Merck & Co Inc (new) 42,510 3.02 Kinder Morgan Energy Partners Ltd 41,028 2.92 Page 4 of 8
PORTFOLIO APPRAISAL September 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 3,176 3,176 3,176 0.23 4.00 miscintrec Misc Interest Receivable 183 183 183 0.01 4.00 PoolA Pool A Cash 70,096 70,096 70,096 4.98 3.02 intreceiv Pool A Interest Receivable 445 445 445 0.03 3.45 slliab Securities Lending Liability -6,000-6,000-6,000-0.43 0.00 67,900 67,900 67,900 4.83 3.34 COMMON STOCK MATERIALS 200 cf Cf Industries Holdings Inc. 164.97 32,994 123.39 24,678 24,678 1.75 1.30 A 600 mon Monsanto C0 New Com 43.22 25,933 60.04 36,024 36,024 2.56 2.00 B+ 58,927 60,702 60,702 4.32 1.71 INDUSTRIALS 500 cp Canadian Pac Ltd New Com 62.06 31,030 48.09 24,045 24,045 1.71 2.54 A- 400 cat Caterpillar Inc Del Com 69.21 27,683 73.84 29,536 29,536 2.10 2.49 A+ 500 de Deere & Co Com 81.10 40,548 64.57 32,285 32,285 2.30 2.54 A- 2,000 ge General Electric Co 34.68 69,367 15.22 30,440 30,440 2.16 3.94 A- 400 iyt Ishares Tr Transp Ave Idx 77.24 30,896 75.24 30,096 30,096 2.14 1.74 199,524 146,402 146,402 10.41 2.66 TELECOMMUNICATION SERVICES 900 t At&t Inc 38.40 34,561 28.52 25,668 25,668 1.83 6.03 B+ 3,180 ftr Frontier Communication Com 11.72 37,276 6.11 19,430 19,430 1.38 12.27 B- 750 vz Verizon Communications Inc 35.36 26,520 36.80 27,600 27,600 1.96 5.43 B 98,357 72,698 72,698 5.17 7.47 CONSUMER DISCRETIONARY 1,000 bby Best Buy Inc Com 36.21 36,210 23.30 23,300 23,300 1.66 2.75 B+ 500 mcd Mcdonald's Corp 52.28 26,140 87.82 43,910 43,910 3.12 3.19 A 1,000 xly Select Sector Spdr Tr Sbi Cons 29.60 29,600 34.86 34,860 34,860 2.48 1.74 Discr 91,950 102,070 102,070 7.26 2.59 CONSUMER STAPLES 1,100 mo Altria Group Inc 26.65 29,317 26.81 29,491 29,491 2.10 6.12 A 400 ko Coca Cola Co Com 64.61 25,844 67.56 27,024 27,024 1.92 2.78 A+ 550 pm Philip Morris Intl Inc Com 48.11 26,462 62.38 34,309 34,309 2.44 4.94 81,623 90,824 90,824 6.46 4.68 ENERGY 3,900 amlp Alps Etf Tr Alerian Mlp 15.91 62,058 15.24 59,436 59,436 4.23 6.49 1,000 eca Encana Corp Com 36.01 36,010 19.21 19,210 19,210 1.37 4.16 B+ 600 kmp Kinder Morgan Energy Partners 58.14 34,884 68.38 41,028 41,028 2.92 6.73 Ltd 300 oih Oil Svc Holdrs Tr Depostry Rcpt 117.82 35,347 103.11 30,933 30,933 2.20 0.90 Page 5 of 8
PORTFOLIO APPRAISAL September 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 800 btu Peabody Energy Corp 25.05 20,038 33.88 27,104 27,104 1.93 1.00 B+ 188,337 177,711 177,711 12.64 4.48 FINANCIAL 1,300 nly Annaly Cap Mgmt Inc Com 18.63 24,219 16.63 21,619 21,619 1.54 14.43 B 180 gs Goldman Sachs Group Com 172.80 31,104 94.55 17,019 17,019 1.21 1.06 A- 750 jpm Jpmorgan Chase & Co 45.10 33,825 30.12 22,590 22,590 1.61 3.32 B+ 1,700 pgf Powershares Etf Trust Finl Pfd 21.46 36,482 16.15 27,455 27,455 1.95 7.68 Ptfl 5,000 xlf Select Sector Spdr Tr Sbi Int-Finl 11.50 57,521 11.81 59,050 59,050 4.20 1.70 750 kie Spdr Series Trust Spdr Kbw Ins Etf 40.64 30,480 31.94 23,955 23,955 1.70 2.27 213,631 171,688 171,688 12.21 4.49 HEALTHCARE 500 jnj Johnson & Johnson 61.41 30,704 63.69 31,845 31,845 2.26 3.58 A+ 1,300 mrk Merck & Co Inc (new) 47.16 61,307 32.70 42,510 42,510 3.02 4.65 B 1,500 pfe Pfizer Inc 25.02 37,530 17.68 26,520 26,520 1.89 4.52 B 129,541 100,875 100,875 7.17 4.28 INFORMATION TECHNOLOGY 300 ibm International Bus Mach 122.35 36,705 174.87 52,461 52,461 3.73 1.72 A+ 2,350 iyw Ishares Tr Dj Us Tech Sec 44.52 104,623 59.14 138,979 138,979 9.88 0.59 1,500 msft Microsoft Corp 24.44 36,653 24.89 37,335 37,335 2.65 3.21 A- 550 v Visa Inc Com Cl A 72.66 39,961 85.72 47,146 47,146 3.35 0.70 217,942 275,921 275,921 19.62 1.18 UTILITIES 700 d Dominion Res Va New Com 36.45 25,513 50.77 35,539 35,539 2.53 3.88 A- 1,000 pnw Pinnacle West Cap Corp 47.13 47,127 42.94 42,940 42,940 3.05 4.89 B 72,640 78,479 78,479 5.58 4.43 PASSIVE INDEX 500 iwm Ishares Tr Russell 2000 81.91 40,955 64.30 32,150 32,150 2.29 1.60 1,393,427 1,309,520 1,309,520 93.12 3.40 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 36.07 28,856 28,856 2.05 4.66 29,595 28,856 28,856 2.05 4.66 TOTAL PORTFOLIO 1,490,923 1,406,276 0 1,406,276 100.00 3.42 Page 6 of 8
PURCHASE/SALE AND GAIN/LOSS From 07-01-11 To 09-30-11 Trade Settle Unit 09-30-11 Date Date Quantity Security Price Amount Price Difference Purchases COMMON STOCK 07-12-11 07-15-11 1,200 Alps Etf Tr Alerian Mlp 16.03 19,236 15.24-1 07-18-11 07-21-11 1,100 Altria Group Inc 26.65 29,317 26.81 0 48,553 Total Purchases 48,553 Page 7 of 8
PURCHASE/SALE AND GAIN/LOSS From 07-01-11 To 09-30-11 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss Sales COMMON STOCK 07-15-11 07-15-11 1,100 Altria Group Inc 26.75 29,425 21.48 5,801 29,425 5,801 Total Sales 29,425 5,801 Page 8 of 8
Office of the City Treasurer Quarterly Investment Report December 31, 2011 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer 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 1993, Ethel MacLeod Hart left a bequest of $1,498,719.07 to the City of Sacramento for the.. use, enjoyment and comfort of senior citizens. On the recommendation of the Ethel MacLeod Hart Advisory Committee a permanent endowment of $1,000,000 was established. The balance of the bequest was retained in an operating fund account (Hart Operating Fund) and used over the next fiveyear period for appropriate projects. Annually the amount available for disbursement will be reported to the Board by Rosanne Bernardy, Superintendent of the Office of Human Services. The Hart Trust Endowment Fund ( the Fund ) will be invested with a growth objective. The minimum return objective on these dollars over a five year period is $400,000 or roughly 7% compounded annually. The Advisory Committee is responsible for providing advice to City staff and the City Council on the appropriate use of the Ethel MacLeod Hart Trust Fund for Senior Citizens consistent with the terms of the bequest, the interest of the donor, and the approved general guidelines. The Advisory Committee consists of seven members appointed by the Mayor. Appointees must be residents of the City and at least sixty (60) years of age. Two Advisory Committee members must be representatives of specific organizations: American Association of Retired Persons and Sacramento County Adult and Aging Commission. STRATEGY * Adhere to prudent investment practices to provide for the preservation and growth of principal; and OBJECTIVES * The objective for this fund is growth and capital preservation; and * To earn a total rate of return on the Hart Trust Endowment Fund to meet the return objectives of $400,000 (approximately 7% compounded annually) over subsequent five-year periods; and * Provide liquidity for the Hart Operating Fund for the..use, enjoyment and comfort of senior citizens based on recommendations to City Council by the Advisory Committee. Page 2 of 7
December 31, 2011 Performance Quarter Inception Since To Date To Date 06-30-11 Account 11.69 6.04-2.37 SBBIG 1.09 6.56 5.06 S&P 500 11.15 4.03-4.77 TWR 15 10 5 0 11.69 1.09 11.15 6.04 6.56 4.03 5.06-5 -2.37-4.77-10 Quarter To Date Inception To Date Since 06-30-11 Dates Account SBBIG S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2011-12 3.50 3.00 September 30, 2011 Capital Market Returns - Quarter Ended December 31, 2011 14 12.12 12 Russell 3000 Interest Rates 2.50 2.00 1.50 December 31, 2011 10 8 6 ACWI Ex U.S. Emerging Markets 1.00 4 3.77 4.45 Fixed Income 0.50 2 1.09 Cash 0.00 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities 0 2nd Qtr 0.00 Page 3 of 7
December 31, 2011 Activity From 09-30-11 to 12-31-11 Portfolio Value on 09-30-11 1,406,276 Contributions 0 Withdrawals 0 Realized Gains 0 Unrealized Gains 151,229 Interest 918 Dividends 12,248 Portfolio Value on 12-31-11 1,570,671 Actual Asset Allocation Cash and Equivalents 5.16% Equities 94.84% Top 10 Holdings Securities Market Value Pct. Ishares Tr Dj Us Tech Sec 150,165 9.56 Pool A Cash 83,027 5.29 Select Sector Spdr Tr Sbi Int-Finl 65,000 4.14 Alps Etf Tr Alerian Mlp 64,818 4.13 Visa Inc Com Cl A 55,841 3.56 International Bus Mach 55,164 3.51 Kinder Morgan Energy Partners Ltd 50,970 3.25 Mcdonald's Corp 50,165 3.19 Merck & Co Inc (new) 49,010 3.12 Pinnacle West Cap Corp 48,180 3.07 Page 4 of 7
PORTFOLIO APPRAISAL December 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 3,037 3,037 3,037 0.19 4.00 miscintrec Misc Interest Receivable 234 234 234 0.01 4.00 PoolA Pool A Cash 83,027 83,027 83,027 5.29 1.74 intreceiv Pool A Interest Receivable 767 767 767 0.05 1.74 slliab Securities Lending Liability -6,000-6,000-6,000-0.38 0.00 81,066 81,066 81,066 5.16 1.96 COMMON STOCK MATERIALS 200 cf Cf Industries Holdings Inc. 164.97 32,994 144.98 28,996 28,996 1.85 1.10 A 600 mon Monsanto C0 New Com 43.22 25,933 70.07 42,042 42,042 2.68 1.71 A- 58,927 71,038 71,038 4.52 1.46 INDUSTRIALS 500 cp Canadian Pac Ltd New Com 62.06 31,030 67.67 33,835 33,835 2.15 1.73 A- 400 cat Caterpillar Inc Del Com 69.21 27,683 90.60 36,240 36,240 2.31 2.03 A+ 500 de Deere & Co Com 81.10 40,548 77.35 38,675 38,675 2.46 2.12 A 2,000 ge General Electric Co 34.68 69,367 17.91 35,820 35,820 2.28 3.80 A- 400 iyt Ishares Tr Transp Ave Idx 77.24 30,896 89.47 35,788 35,788 2.28 1.52 199,524 180,358 180,358 11.48 2.24 TELECOMMUNICATION SERVICES 900 t At&t Inc 38.40 34,561 30.24 27,216 27,216 1.73 5.82 B+ 3,180 ftr Frontier Communication Com 11.72 37,276 5.15 16,377 16,377 1.04 14.56 B- 750 vz Verizon Communications Inc 35.36 26,520 40.12 30,090 30,090 1.92 4.99 B 98,357 73,683 73,683 4.69 7.42 CONSUMER DISCRETIONARY 1,000 bby Best Buy Inc Com 36.21 36,210 23.37 23,370 23,370 1.49 2.74 B+ 500 mcd Mcdonald's Corp 52.28 26,140 100.33 50,165 50,165 3.19 2.79 A 1,000 xly Select Sector Spdr Tr Sbi Cons 29.60 29,600 39.02 39,020 39,020 2.48 1.55 Discr 91,950 112,555 112,555 7.17 2.35 CONSUMER STAPLES 1,100 mo Altria Group Inc 26.65 29,317 29.65 32,615 32,615 2.08 5.53 A 400 ko Coca Cola Co Com 64.61 25,844 69.97 27,988 27,988 1.78 2.69 A+ 550 pm Philip Morris Intl Inc Com 48.11 26,462 78.48 43,164 43,164 2.75 3.92 81,623 103,767 103,767 6.61 4.10 ENERGY 3,900 amlp Alps Etf Tr Alerian Mlp 15.91 62,058 16.62 64,818 64,818 4.13 6.01 1,000 eca Encana Corp Com 36.01 36,010 18.53 18,530 18,530 1.18 4.32 B+ 600 kmp Kinder Morgan Energy Partners 58.14 34,884 84.95 50,970 50,970 3.25 5.46 Ltd 300 oih Oil Svc Holdrs Tr Depostry Rcpt 117.82 35,347 114.50 34,350 34,350 2.19 0.78 Page 5 of 7
PORTFOLIO APPRAISAL December 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 800 btu Peabody Energy Corp 25.05 20,038 33.11 26,488 26,488 1.69 1.03 B+ 188,337 195,156 195,156 12.43 4.11 FINANCIAL 1,300 nly Annaly Cap Mgmt Inc Com 18.63 24,219 15.96 20,748 20,748 1.32 14.29 B 180 gs Goldman Sachs Group Com 172.80 31,104 90.43 16,277 16,277 1.04 1.11 A- 750 jpm Jpmorgan Chase & Co 45.10 33,825 33.25 24,937 24,937 1.59 3.01 B+ 1,700 pgf Powershares Etf Trust Finl Pfd 21.46 36,482 16.12 27,404 27,404 1.74 7.64 Ptfl 750 kie SPDR S&P Insurance Etf 40.64 30,480 37.21 27,907 27,907 1.78 1.67 5,000 xlf Select Sector Spdr Tr Sbi Int-Finl 11.50 57,521 13.00 65,000 65,000 4.14 1.73 213,631 182,274 182,274 11.60 4.16 HEALTHCARE 500 jnj Johnson & Johnson 61.41 30,704 65.58 32,790 32,790 2.09 3.48 A+ 1,300 mrk Merck & Co Inc (new) 47.16 61,307 37.70 49,010 49,010 3.12 4.46 B 1,500 pfe Pfizer Inc 25.02 37,530 21.64 32,460 32,460 2.07 4.07 B 129,541 114,260 114,260 7.27 4.06 INFORMATION TECHNOLOGY 300 ibm International Bus Mach 122.35 36,705 183.88 55,164 55,164 3.51 1.63 A+ 2,350 iyw Ishares Tr Dj Us Tech Sec 44.52 104,623 63.90 150,165 150,165 9.56 0.61 1,500 msft Microsoft Corp 24.44 36,653 25.96 38,940 38,940 2.48 3.08 A- 550 v Visa Inc Com Cl A 72.66 39,961 101.53 55,841 55,841 3.56 0.87 217,942 300,110 300,110 19.11 1.16 UTILITIES 700 d Dominion Res Va New Com 36.45 25,513 53.08 37,156 37,156 2.37 3.71 A- 1,000 pnw Pinnacle West Cap Corp 47.13 47,127 48.18 48,180 48,180 3.07 4.36 B 72,640 85,336 85,336 5.43 4.08 PASSIVE INDEX 500 iwm Ishares Tr Russell 2000 81.91 40,955 73.75 36,875 36,875 2.35 1.40 1,393,427 1,455,413 1,455,413 92.66 3.10 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 42.74 34,192 34,192 2.18 3.93 29,595 34,192 34,192 2.18 3.93 TOTAL PORTFOLIO 1,504,088 1,570,671 0 1,570,671 100.00 3.06 Page 6 of 7
PURCHASE/SALE AND GAIN/LOSS From 10-01-11 To 12-31-11 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 March 31, 2012 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer 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 1993, Ethel MacLeod Hart left a bequest of $1,498,719.07 to the City of Sacramento for the.. use, enjoyment and comfort of senior citizens. On the recommendation of the Ethel MacLeod Hart Advisory Committee a permanent endowment of $1,000,000 was established. The balance of the bequest was retained in an operating fund account (Hart Operating Fund) and used over the next fiveyear period for appropriate projects. Annually the amount available for disbursement will be reported to the Board by Rosanne Bernardy, Superintendent of the Office of Human Services. The Hart Trust Endowment Fund ( the Fund ) will be invested with a growth objective. The minimum return objective on these dollars over a five year period is $400,000 or roughly 7% compounded annually. The Advisory Committee is responsible for providing advice to City staff and the City Council on the appropriate use of the Ethel MacLeod Hart Trust Fund for Senior Citizens consistent with the terms of the bequest, the interest of the donor, and the approved general guidelines. The Advisory Committee consists of seven members appointed by the Mayor. Appointees must be residents of the City and at least sixty (60) years of age. Two Advisory Committee members must be representatives of specific organizations: American Association of Retired Persons and Sacramento County Adult and Aging Commission. STRATEGY * Adhere to prudent investment practices to provide for the preservation and growth of principal; and OBJECTIVES * The objective for this fund is growth and capital preservation; and * To earn a total rate of return on the Hart Trust Endowment Fund to meet the return objectives of $400,000 (approximately 7% compounded annually) over subsequent five-year periods; and * Provide liquidity for the Hart Operating Fund for the..use, enjoyment and comfort of senior citizens based on recommendations to City Council by the Advisory Committee. Page 2 of 7
March 31, 2012 Performance Quarter Inception Since To Date To Date 06-30-11 Account 9.76 6.56 7.15 SBBIG 0.25 6.47 5.33 S&P 500 12.00 4.72 6.65 TWR 14 12 10 8 6 9.76 12.00 6.56 6.47 4.72 7.15 5.33 6.65 4 2 0 0.25 Quarter To Date Inception To Date Since 06-30-11 Dates Account SBBIG S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2011-12 Interest Rates 3.50 3.00 December 31, 2011 2.50 March 31, 2012 2.00 1.50 Capital Market Returns - Quarter Ended March 31, 2012 16 14.14 14 12.87 12 11.34 10 8 6 Russell 3000 ACWI Ex U.S. Emerging Markets 1.00 0.50 0.00 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities 4 2 0-2 3rd Qtr -0.56 0.00 Fixed Income Cash Page 3 of 7
March 31, 2012 Activity From 12-31-11 to 03-31-12 Portfolio Value on 12-31-11 1,570,671 Contributions 0 Withdrawals 0 Realized Gains -2,982 Unrealized Gains 144,730 Interest 908 Dividends 10,605 Portfolio Value on 03-31-12 1,723,931 Actual Asset Allocation Cash and Equivalents 7.22% Equities 92.78% Top 10 Holdings Securities Market Value Pct. Ishares Tr Dj Us Tech Sec 182,853 10.61 Pool A Cash 126,073 7.31 Select Sector Spdr Tr Sbi Int-Finl 78,975 4.58 Visa Inc Com Cl A 64,900 3.76 Alps Etf Tr Alerian Mlp 64,896 3.76 International Bus Mach 62,595 3.63 Merck & Co Inc (new) 49,920 2.90 Kinder Morgan Energy Partners Ltd 49,650 2.88 Mcdonald's Corp 49,050 2.85 Philip Morris Intl Inc Com 48,735 2.83 Page 4 of 7
PORTFOLIO APPRAISAL March 31, 2012 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 3,060 3,060 3,060 0.18 4.00 miscintrec Misc Interest Receivable 136 136 136 0.01 4.00 PoolA Pool A Cash 126,073 126,073 126,073 7.31 1.86 intreceiv Pool A Interest Receivable 1,234 1,234 1,234 0.07 1.86 slliab Securities Lending Liability -6,000-6,000-6,000-0.35 0.00 124,503 124,503 124,503 7.22 2.00 COMMON STOCK MATERIALS 200 cf Cf Industries Holdings Inc. 164.97 32,994 182.65 36,530 36,530 2.12 0.88 A 600 mon Monsanto C0 New Com 43.22 25,933 79.76 47,856 47,856 2.78 1.50 A- 58,927 84,386 84,386 4.89 1.23 INDUSTRIALS 500 cp Canadian Pac Ltd New Com 62.06 31,030 75.95 37,975 37,975 2.20 1.58 B+ 400 cat Caterpillar Inc Del Com 69.21 27,683 106.52 42,608 42,608 2.47 1.73 A+ 500 de Deere & Co Com 81.10 40,548 80.90 40,450 40,450 2.35 2.27 A 2,000 ge General Electric Co 34.68 69,367 20.07 40,140 40,140 2.33 3.39 A- 400 iyt Ishares Tr Transp Ave Idx 77.24 30,896 93.69 37,476 37,476 2.17 1.37 199,524 198,649 198,649 11.52 2.08 TELECOMMUNICATION SERVICES 900 t At&t Inc 38.40 34,561 31.23 28,107 28,107 1.63 5.64 B+ 750 vz Verizon Communications Inc 35.36 26,520 38.23 28,672 28,672 1.66 5.23 B 61,081 56,779 56,779 3.29 5.43 CONSUMER DISCRETIONARY 1,000 bby Best Buy Inc Com 36.21 36,210 23.68 23,680 23,680 1.37 2.70 B+ 500 mcd Mcdonald's Corp 52.28 26,140 98.10 49,050 49,050 2.85 2.85 A 1,000 xly Select Sector Spdr Tr Sbi Cons 29.60 29,600 45.09 45,090 45,090 2.62 1.37 Discr 91,950 117,820 117,820 6.83 2.26 CONSUMER STAPLES 1,100 mo Altria Group Inc 26.65 29,317 30.87 33,957 33,957 1.97 5.31 A- 400 ko Coca Cola Co Com 64.61 25,844 74.01 29,604 29,604 1.72 2.76 A+ 550 pm Philip Morris Intl Inc Com 48.11 26,462 88.61 48,735 48,735 2.83 3.48 81,623 112,296 112,296 6.51 3.84 ENERGY 3,900 amlp Alps Etf Tr Alerian Mlp 15.91 62,058 16.64 64,896 64,896 3.76 6.00 600 kmp Kinder Morgan Energy Partners 58.14 34,884 82.75 49,650 49,650 2.88 5.61 Ltd 300 oih Oil Svc Holdrs Tr Depostry Rcpt 117.82 35,347 122.80 36,840 36,840 2.14 0.73 Page 5 of 7
PORTFOLIO APPRAISAL March 31, 2012 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 800 btu Peabody Energy Corp 25.05 20,038 28.96 23,168 23,168 1.34 1.17 B+ 152,327 174,554 174,554 10.13 4.14 FINANCIAL 1,300 nly Annaly Cap Mgmt Inc Com 18.63 24,219 15.82 20,566 20,566 1.19 13.91 B- 180 gs Goldman Sachs Group Com 172.80 31,104 124.37 22,387 22,387 1.30 0.80 B+ 750 jpm Jpmorgan Chase & Co 45.10 33,825 45.98 34,485 34,485 2.00 2.61 B+ 1,700 pgf Powershares Etf Trust Finl Pfd 21.46 36,482 17.90 30,430 30,430 1.77 6.82 Ptfl 750 kie SPDR S&P Insurance Etf 40.64 30,480 41.80 31,350 31,350 1.82 1.42 5,000 xlf Select Sector Spdr Tr Sbi Int-Finl 11.50 57,521 15.79 78,975 78,975 4.58 1.48 213,631 218,193 218,193 12.66 3.50 HEALTHCARE 500 jnj Johnson & Johnson 61.41 30,704 65.96 32,980 32,980 1.91 3.46 A+ 1,300 mrk Merck & Co Inc (new) 47.16 61,307 38.40 49,920 49,920 2.90 4.37 B 1,500 pfe Pfizer Inc 25.02 37,530 22.64 33,967 33,967 1.97 3.89 B+ 129,541 116,867 116,867 6.78 3.97 INFORMATION TECHNOLOGY 300 ibm International Bus Mach 122.35 36,705 208.65 62,595 62,595 3.63 1.44 A+ 2,350 iyw Ishares Tr Dj Us Tech Sec 44.52 104,623 77.81 182,853 182,853 10.61 0.55 1,500 msft Microsoft Corp 24.44 36,653 32.25 48,382 48,382 2.81 2.48 A- 550 v Visa Inc Com Cl A 72.66 39,961 118.00 64,900 64,900 3.76 0.75 217,942 358,731 358,731 20.81 1.00 UTILITIES 700 d Dominion Res Va New Com 36.45 25,513 51.21 35,847 35,847 2.08 4.12 A- 1,000 pnw Pinnacle West Cap Corp 47.13 47,127 47.90 47,900 47,900 2.78 4.38 B 72,640 83,747 83,747 4.86 4.27 PASSIVE INDEX 500 iwm Ishares Tr Russell 2000 81.91 40,955 82.81 41,405 41,405 2.40 1.34 1,320,141 1,563,428 1,563,428 90.69 2.71 AMERICAN DEPOSITORY RECEIPTS ENERGY 800 bp Bp Amoco Plc - Spons Adr 36.99 29,595 45.00 36,000 36,000 2.09 4.27 29,595 36,000 36,000 2.09 4.27 TOTAL PORTFOLIO 1,474,240 1,723,931 0 1,723,931 100.00 2.70 Page 6 of 7
PURCHASE/SALE AND GAIN/LOSS From 01-01-12 To 03-31-12 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss Sales COMMON STOCK 02-13-2012 02-16-2012 1,000 Encana Corp Com 18.97 18,970 36.01-17,040 02-13-2012 02-16-2012 3,180 Frontier Communication Com 4.07 12,955 11.72-24,321 31,925-41,360 Total Sales 31,925-41,360 Page 7 of 7
Office of the City Treasurer Quarterly Investment Report June 30, 2012 Russell Fehr, City Treasurer John P. Colville, Chief Investment Officer 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 1993, Ethel MacLeod Hart left a bequest of $1,498,719.07 to the City of Sacramento for the.. use, enjoyment and comfort of senior citizens. On the recommendation of the Ethel MacLeod Hart Advisory Committee a permanent endowment of $1,000,000 was established. The balance of the bequest was retained in an operating fund account (Hart Operating Fund) and used over the next fiveyear period for appropriate projects. Annually the amount available for disbursement will be reported to the Board by Rosanne Bernardy, Superintendent of the Office of Human Services. The Hart Trust Endowment Fund ( the Fund ) will be invested with a growth objective. The minimum return objective on these dollars over a five year period is $400,000 or roughly 7% compounded annually. The Advisory Committee is responsible for providing advice to City staff and the City Council on the appropriate use of the Ethel MacLeod Hart Trust Fund for Senior Citizens consistent with the terms of the bequest, the interest of the donor, and the approved general guidelines. The Advisory Committee consists of seven members appointed by the Mayor. Appointees must be residents of the City and at least sixty (60) years of age. Two Advisory Committee members must be representatives of specific organizations: American Association of Retired Persons and Sacramento County Adult and Aging Commission. STRATEGY * Adhere to prudent investment practices to provide for the preservation and growth of principal; and OBJECTIVES * The objective for this fund is growth and capital preservation; and * To earn a total rate of return on the Hart Trust Endowment Fund to meet the return objectives of $400,000 (approximately 7% compounded annually) over subsequent five-year periods; and * Provide liquidity for the Hart Operating Fund for the..use, enjoyment and comfort of senior citizens based on recommendations to City Council by the Advisory Committee. Page 2 of 8
June 30, 2012 Performance Quarter Inception Since To Date To Date 06-30-11 Account -1.57 6.35 5.47 SBBIG 2.07 6.50 7.51 S&P 500-3.29 4.42 3.14 TWR 10 8 6 4 2 2.07 6.35 6.50 4.42 5.47 7.51 3.14 0-2 -1.57-4 -3.29-6 Quarter To Date Inception To Date Since 06-30-11 Dates Account SBBIG S&P 500 U.S. Treasury Yield Curve - Fiscal Year 2011-12 Capital Market Returns - Quarter Ended June 30, 2012 3.50 4 Interest Rates 3.00 2.50 2.00 1.50 March 31, 2012 June 29, 2012 2 0-2 -4-3.15 2.07 0.03 Russell 3000 ACWI Ex U.S. Emerging Markets 1.00-6 Fixed Income 0.50-8 -7.38 Cash 0.00 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 10 Yr 30 Yr Maturities -10-8.77 4th Qtr Page 3 of 8
June 30, 2012 Activity From 03-31-12 to 06-30-12 Portfolio Value on 03-31-12 1,723,931 Contributions 0 Withdrawals 0 Realized Gains -13,837 Unrealized Gains -26,266 Interest 1,484 Dividends 11,563 Portfolio Value on 06-30-12 1,696,874 Actual Asset Allocation Cash and Equivalents 1.26% Equities 98.74% Top 10 Holdings Securities Market Value Pct. Ishares Tr Dj Us Tech Sec 167,390 9.86 Select Sector Spdr Tr Sbi Int-Finl 73,175 4.31 International Bus Mach 58,674 3.46 Merck & Co Inc (new) 54,275 3.20 Pinnacle West Cap Corp 51,740 3.05 Philip Morris Intl Inc Com 47,993 2.83 Kinder Morgan Energy Partners Ltd 47,148 2.78 Mcdonald's Corp 44,265 2.61 Select Sector Spdr Tr Sbi Cons Discr 43,780 2.58 Alps Etf Tr Alerian Mlp 43,146 2.54 Page 4 of 8
PORTFOLIO APPRAISAL June 30, 2012 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 3,965 3,965 3,965 0.23 4.00 miscintrec Misc Interest Receivable 52 52 52 0.00 4.00 PoolA Pool A Cash 21,857 21,857 21,857 1.29 3.20 intreceiv Pool A Interest Receivable 706 706 706 0.04 3.20 slliab Securities Lending Liability -5,126-5,126-5,126-0.30 0.00 21,454 21,454 21,454 1.26 4.11 COMMON STOCK MATERIALS 200 cf Cf Industries Holdings Inc. 164.97 32,994 193.74 38,748 38,748 2.28 0.83 A 400 mon Monsanto C0 New Com 43.22 17,289 82.78 33,112 33,112 1.95 1.45 A- 50,283 71,860 71,860 4.23 1.11 INDUSTRIALS 500 cp Canadian Pac Ltd New Com 62.06 31,030 73.26 36,630 36,630 2.16 1.93 B+ 350 cat Caterpillar Inc Del Com 69.21 24,223 84.91 29,718 29,718 1.75 2.45 A+ 440 de Deere & Co Com 81.10 35,682 80.87 35,583 35,583 2.10 2.28 A 2,000 ge General Electric Co 34.68 69,367 20.84 41,680 41,680 2.46 3.26 A- 350 iyt Ishares Tr Transp Ave Idx 77.24 27,034 93.33 32,665 32,665 1.93 1.36 187,336 176,277 176,277 10.39 2.30 TELECOMMUNICATION SERVICES 1,100 t At&t Inc 37.42 41,159 35.66 39,226 39,226 2.31 4.94 B+ 900 vz Verizon Communications Inc 36.20 32,580 44.44 39,996 39,996 2.36 4.50 B 73,739 79,222 79,222 4.67 4.72 CONSUMER DISCRETIONARY 1,000 bby Best Buy Inc Com 19.80 19,800 20.96 20,960 20,960 1.24 3.24 B+ 600 dis Disney (walt) Com 43.82 26,292 48.50 29,100 29,100 1.71 0.72 A+ 800 gmcr Green Mtn Coffee Roast Com 25.95 20,763 21.78 17,424 17,424 1.03 0.00 B+ 500 mcd Mcdonald's Corp 52.28 26,140 88.53 44,265 44,265 2.61 3.16 A 1,000 xly Select Sector Spdr Tr Sbi Cons 29.60 29,600 43.78 43,780 43,780 2.58 1.45 Discr 122,595 155,529 155,529 9.17 1.88 CONSUMER STAPLES 1,100 mo Altria Group Inc 26.65 29,317 34.55 38,005 38,005 2.24 4.75 A- 400 clx Clorox Co 68.45 27,380 72.46 28,984 28,984 1.71 3.53 A 400 ko Coca Cola Co Com 64.61 25,844 78.19 31,276 31,276 1.84 2.61 A+ 700 kft Kraft Foods Inc Cl A 39.14 27,398 38.62 27,034 27,034 1.59 2.38 A- 550 pm Philip Morris Intl Inc Com 48.11 26,462 87.26 47,993 47,993 2.83 3.53 136,401 173,292 173,292 10.21 3.45 ENERGY 2,700 amlp Alps Etf Tr Alerian Mlp 15.91 42,963 15.98 43,146 43,146 2.54 6.25 300 cvx Chevron Corporation 102.37 30,711 105.50 31,650 31,650 1.87 3.41 A+ Page 5 of 8
PORTFOLIO APPRAISAL June 30, 2012 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 600 kmp Kinder Morgan Energy Partners 58.14 34,884 78.58 47,148 47,148 2.78 6.11 Ltd 650 oih Market Vectors Etf Tr Oil Svcs 37.87 24,615 35.64 23,166 23,166 1.37 2.51 Etf 300 oihyl Oil Svc Holdrs Tr Depostry Rcpt 117.82 35,347 106.81 32,043 32,043 1.89 0.93 1,150 btu Peabody Energy Corp 26.09 30,004 24.52 28,198 28,198 1.66 1.39 B+ 198,525 205,351 205,351 12.10 3.86 FINANCIAL 1,600 nly Annaly Cap Mgmt Inc Com 18.22 29,151 16.78 26,848 26,848 1.58 13.11 B- 750 jpm Jpmorgan Chase & Co 45.10 33,825 35.73 26,797 26,797 1.58 3.36 B+ 1,700 pgf Powershares Etf Trust Finl Pfd 21.46 36,482 18.00 30,600 30,600 1.80 6.73 Ptfl 750 kie SPDR S&P Insurance Etf 40.64 30,480 40.71 30,532 30,532 1.80 1.60 5,000 xlf Select Sector Spdr Tr Sbi Int-Finl 11.50 57,521 14.63 73,175 73,175 4.31 1.70 800 usb U. S. Bancorp 31.49 25,192 32.16 25,728 25,728 1.52 3.73 B+ 212,651 213,681 213,681 12.59 4.29 HEALTHCARE 325 iyh Ishares Tr Dj Us Healthcr 76.89 24,989 79.50 25,837 25,837 1.52 1.61 500 jnj Johnson & Johnson 61.41 30,704 67.56 33,780 33,780 1.99 3.61 A+ 1,300 mrk Merck & Co Inc (new) 47.16 61,307 41.75 54,275 54,275 3.20 4.02 B 1,500 pfe Pfizer Inc 25.02 37,530 23.00 34,500 34,500 2.03 3.83 B+ 325 xbi Spdr Series Trust S&p Biotech 80.12 26,040 88.47 28,753 28,753 1.69 0.00 180,571 177,145 177,145 10.44 2.90 INFORMATION TECHNOLOGY 300 ibm International Bus Mach 122.35 36,705 195.58 58,674 58,674 3.46 1.74 A+ 2,350 iyw Ishares Tr Dj Us Tech Sec 44.52 104,623 71.23 167,390 167,390 9.86 0.61 1,000 msft Microsoft Corp 24.44 24,435 30.59 30,590 30,590 1.80 2.62 A- 300 v Visa Inc Com Cl A 72.66 21,797 123.63 37,089 37,089 2.19 0.71 187,560 293,743 293,743 17.31 1.06 UTILITIES 700 d Dominion Res Va New Com 36.45 25,513 54.00 37,800 37,800 2.23 3.91 A- 1,000 pnw Pinnacle West Cap Corp 47.13 47,127 51.74 51,740 51,740 3.05 4.06 B 72,640 89,540 89,540 5.28 3.99 PASSIVE INDEX 500 iwm Ishares Tr Russell 2000 81.91 40,955 79.56 39,780 39,780 2.34 1.56 1,463,256 1,675,421 1,675,421 98.74 2.81 TOTAL PORTFOLIO 1,484,710 1,696,874 0 1,696,874 100.00 2.82 Page 6 of 8
PURCHASE/SALE AND GAIN/LOSS From 04-01-12 To 06-30-12 Trade Settle Unit 06-30-2012 Date Date Quantity Security Price Amount Price Difference Purchases COMMON STOCK 05-08-2012 05-11-2012 300 Annaly Cap Mgmt Inc Com 16.44 4,932 16.78 0 05-08-2012 05-11-2012 200 At&t Inc 32.99 6,598 35.66 3 05-11-2012 05-16-2012 1,000 Best Buy Inc Com 19.80 19,800 20.96 1 05-08-2012 05-11-2012 300 Chevron Corporation 102.37 30,711 105.50 3 05-08-2012 05-11-2012 400 Clorox Co 68.45 27,380 72.46 4 05-08-2012 05-11-2012 600 Disney (walt) Com 43.82 26,292 48.50 5 05-08-2012 05-11-2012 800 Green Mtn Coffee Roast Com 25.95 20,763 21.78-4 05-08-2012 05-11-2012 325 Ishares Tr Dj Us Healthcr 76.89 24,989 79.50 3 05-08-2012 05-11-2012 700 Kraft Foods Inc Cl A 39.14 27,398 38.62-1 05-08-2012 05-11-2012 650 Market Vectors Etf Tr Oil Svcs Etf 37.87 24,615 35.64-2 05-08-2012 05-11-2012 350 Peabody Energy Corp 28.47 9,966 24.52-4 05-08-2012 05-11-2012 325 Spdr Series Trust S&p Biotech 80.12 26,040 88.47 8 05-08-2012 05-11-2012 800 U. S. Bancorp 31.49 25,192 32.16 1 05-08-2012 05-11-2012 150 Verizon Communications Inc 40.40 6,060 44.44 4 280,738 Total Purchases 280,738 Page 7 of 8
PURCHASE/SALE AND GAIN/LOSS From 04-01-12 To 06-30-12 Trade Settle Unit Original Date Date Quantity Security Price Amount Price Gain/Loss Sales COMMON STOCK 05-08-2012 05-11-2012 1,200 Alps Etf Tr Alerian Mlp 16.25 19,505 15.91 410 05-08-2012 05-11-2012 1,000 Best Buy Inc Com 20.05 20,050 36.21-16,160 05-08-2012 05-11-2012 50 Caterpillar Inc Del Com 94.96 4,748 69.21 1,288 05-08-2012 05-11-2012 60 Deere & Co Com 79.54 4,772 81.10-93 05-08-2012 05-11-2012 180 Goldman Sachs Group Com 108.31 19,495 172.80-11,609 05-08-2012 05-11-2012 50 Ishares Tr Transp Ave Idx 92.72 4,636 77.24 774 05-08-2012 05-11-2012 500 Microsoft Corp 30.45 15,225 24.44 3,007 05-08-2012 05-11-2012 200 Monsanto C0 New Com 73.46 14,692 43.22 6,047 05-08-2012 05-11-2012 250 Visa Inc Com Cl A 117.41 29,352 72.66 11,188 132,474-5,149 AMERICAN DEPOSITORY RECEIPTS 05-08-2012 05-11-2012 800 Bp Amoco Plc - Spons Adr 40.21 32,167 36.99 2,572 32,167 2,572 Total Sales 164,641-2,577 Page 8 of 8