HomeMy WebLinkAbout1st QuarterGrayst ne
Consulting
QUNRTER] IN RERFOR.M.K.NGE.
Scott Owens, CFAI, CI AI
Associate Vice President
Institutional Consultant
U..MM NRY
Prepaxed for:
.As of Nlaxch 31, 201.8
Graystone Consulting Tampa
Charles H. Mulfinger, 11, CIMA"
Managing Director, Wealth Managemen)
Institutional Consulting Director
Alternative Investment Director
100 North Tampa Street, Suite 3000
Tampa, FL 33602
Rnn-?R?-n6,)') ext. 2061 / 813-227-2061
David A. Wheeler, CFP1, CI AI
Senior Vice President
Institutional Consulting Director
Institutional Consultant
s
Three Years
Five Years
Seven Years
Quarter
12 Months
(annualized)
(annualized)
(annualized)
S&P 5001Index
(0.76)
13.99
10.78
13.31
12.71
Dow Jones Industrial Average
(1.96)
19.39
13.48
13.32
12.87
Russell 1000 Index
(0.69)
13.98
10.39
13.17
12.57
Russell 1000 Growth Index
1.42
21.26
12.90
15.54
14.09
Russell 1000 Value Index
(2.83)
6.95
7.87
10.78
11.00
Russell 2000 Index
(0.08)
11.79
8.39
11.47
10.39
Russell 2000 Growth Index
2.30
18.63
8.76
12.90
11.29
Russell 2000 Value Index
(2.64)
5.13
7.86
9.95
9.42
Russell 3000 Index
(0.64)
13.81
10.22
13.03
12.40
Russell 3000 Growth Index
1.48
21.06
12.57
15.33
13.86
Russell 3000 Value Index
(2.82)
6.81
7.87
10.71
10.87
Russell Midcap Index
(0.46)
12.20
8.00
12.09
11.51
Russell Midcap Growth Index
2.17
19.74
9.17
13.31
11.92
Russell Midcap Value Index
(2.50)
6.50
7.22
11.10
11.21
Past Performance is not a guarantee of future
results. Indices are not available
for direct investment.
Source: MAX
ss
s
Quarter
Information Technology
3.50
Consumer Discretionary
3.10
Financials
(1.00)
Health Care
(1.20)
Industrials
(1.60)
Utilities
(3.30)
Materials
(5.50)
Energy
(5.90)
Consumer Staples
(7.10)
Telecommunication Services
(7.50)
Past Performance is not a guarantee of future results. Indices are not
available for direct investment.
Source: MAX
Page 1
Y. Dollar Local Currency
Quarter .,
Regional and Other Multi Country Indices
MSCI EAFE
(1.70)
14.60
(4.32)
5.63
MSCI Europe
(1.98)
14.49
(4.23)
2.58
MSCI Far East
0.19
19.29
(4.54)
14.54
MSCI Pacific ex. Japan
(3.73)
8.43
1.26
12.15
MSCI The World
(1.21)
14.13
(2.17)
10.39
MSCI World ex. U.S.
(2.19)
13.74
(4.36)
5.33
National Indices
MSCI Hong Kong
(1.37)
18.43
(1.01)
19.51
MSCI Ireland
(5.70)
7.55
N/A
N/A
MSCI Japan
0.28
19.20
(5.33)
13.77
MSCI Singapore
2.76
22.82
0.84
15.34
Past Performance is not a guarantee offuture results. Indices are not
available for direct
investment.
Source: MAX
Dollar Local Currency
quarter 12 Months Quarter 12 Months
Regional and Other Multi Country Indices
MSCI EM
1.33
25.20
0.62
22.28
National Indices
MSCI China
1.82
39.15
2.12
40.18
MSCI Malaysia
7.95
24.66
2.12
40.18
MSCI Taiwan
4.90
20.61
2.78
15.90
MSCI Thailand
8.28
34.45
8.28
34.45
Past Performance is not a guarantee of future results. Indices are not available
for direct investment.
Source: MAX
Page 2
s
Three Years
Five Years
30 Years
Quarter
12 Months
(annualized)
(annualized)
(annualized)
U.S. Fixed Income
90-Day Treasury Bill
0.34
1.06
0.49
0.31
0.28
Barclays Capital Aggregate
(1.46)
1.20
1.20
1.82
3.63
Barclays Capital Credit
(2.13)
2.59
1.48
2.42
4.94
Barclays Capital Govt/Credit
(1.58)
1.38
1.22
1.83
3.65
Barclays Capital Government
(1.15)
0.44
0.48
1.07
2.70
Barclays Capital High Yield
(0.86)
3.78
4.32
4.48
6.99
Barclays Capital Intermediate Govt/Credit
(0.98)
0.35
0.94
1.25
2.92
Barclays Capital Long Govt/Credit
(3.58)
5.09
2.13
4.08
6.78
Barclays Capital Mortgage Backed
(1.19)
0.78
1.18
1.87
3.78
Barclays Capital Municipal
(1.11)
2.66
2.25
2.73
4.40
Global Fixed Income
Merrill Lynch Global High Yield (0.22) 6.67 6.42 4.75 8.30
Barclays Global Treasury ex. U.S. 4.00 12.81 5.03 1.44 1.95
Barclays Capital Majors ex. U.S. 4.73 11.25 4.95 1.25 1.93
Past Performance is not a guarantee of future results. Indices are not available for direct investment.
Source: MAX
Page 3
City of Sebastian Police Officers' Retirement System
as of March 31, 2018
Quarterly Summary of Relevant Facts
Eguit
Lame Cap Value
$3,228,984
Lar e Cap. Growth
$2,649,237
-SMID Cap. Value
$699,688
-S MID Cap. Growth
....................................................................................................................................................................................................................................................................................................
$782,318
-International Value
$731,624
-International Growth
$1,064,972
Total Egwty
$9,156,822
Fixed
....................................................................................................................................................................................................................................................................................................
$3,560,644
MLPs
$555,735
Private Real Estate
....................................................................................................................................................................................................................................................................................................
$669,350
Cash
174 138
Total Portfolio
$14,116,689
Egwty Breakdown
Lar e Cap. Value
21.25%
22.87%
15.00 - 25.00%
Lame Cap Growth
21 25%
18„77°%
15.00 25 00%..
-SMID Cap. Value
....................................................................................................................................................................................................................................................................................................
5.00%
4.96%
2.50 - 7.50%
SMID Cap Growth
5.00%
5„54%
2 50 7 50%..
-International Value
....................................................................................................................................................................................................................................................................................................
5.00%
5.18%
2.50 - 7.50%
nternational Growth
7 50%
7 54%
5.00 - 10.00%
Total Equity65
00 /
64;87 /
40 00 70.00%
Fixed
25.00 %
25.22 %
20.00 - 35.00%
MLPs
....................................................................................................................................................................................................................................................................................................
5.00%
3.94%
0.00- 10,00%..
Private Real Estate
5.00%
4.74%
0.00- Mon
Cash
0.00 %
1.23 %
Total Portfolio
100.00 %
100.00 %
Other Important Facts:
Total Portfolio
Total Gam/(Loss) - Gross -of -Fees
Total Fees
Total Gam/(Loss) - Net -of -Fees
Highland - Large Cap Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Boston Partners - SMID Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Highland - Intl Value
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Highland - Fixed Income
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Receipt & Disbursement
Total Assets
Gain or (Loss) - Gross -of -Fees
Fees
Gain or (Loss) - Net -of -Fees
Graystone
Consulting
$14,116,689
($164,605)
($49,823)
($214,428)
Highland - Large Cap Growth
$3,228,984
Total Assets
($88,466)
Gain or (Loss) - Gross -of -Fees
($17,999)
Fees
($106,465)
Gain or (Loss) - Net -of -Fees
Fiera Capital - SMID Growth
$699,688
Total Assets
($13,827)
Gain or (Loss) - Gross -of -Fees
($1,778)
Fees
($15,605)
Gain or (Loss) - Net -of -Fees
2,649,237
$14,576
6 893
$7,683
782,318
$34,399
($1,406)
$32,993
Renaissance - International Growth
$731,624 Total Assets $1,064,972
($4,985) Gain or (Loss) - Gross -of -Fees $10,743
($3,222) Fees ($1,729)
($8,207) Gain or (Loss) - Net -of -Fees $9,015
Center Coast - MLP
$3,560,644 Total Assets $555,735
($54,605) Gain or (Loss) - Gross -of -Fees ($82,474)
($14,310) Fees ($806)
($68,914) Gain or (Loss) - Net -of -Fees ($83,279)
Intercontinental - Private Real Estate
$174,138
Total Assets
$669,350
$142
Gain or (Loss) - Gross -of -Fees
$19,892
$0
Fees
($1,682)
$142
Gain or (Loss) - Net -of -Fees
$18,210
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 4
City of Sebastian Police Officers' Retirement System
as of March 31, 2018
Breakdown of Returns
Quarter
Since 8/31/2017
Y: � wi " o LIO.PPPPPPPP�VVVmVVVm
Quarter
Since 8/31/2017
Quarter
Since 8/31/2017
Quarter
Since 8/31/2017
IIIN I 1ppllll I IIIIIIIIIII. I
Quarter
Since 8/31/2017
Quarter
Since 8/31/2017
Quarter
Since 8/31/2017
(2.73)
(3.22)
(2.83)
(2.32)
5.74
5.21
4.15
NA
0.54
0.29
1.42
1.33
11.65
11.37
12.84
NA
(1.94)
(2.19)
(2.65)
(1.98)
5.27
4.79
4.56
NA
2.38
1
218
14.59
14.44
3.66
NA
(0.68)
(1.11)
(1.53)
(1.75)
4.91
4.46
5.15
NA
1.02
0.85
(1.18)
2.95
5.21
4.90
6.24
NA
(1.48) (1.87) (1.46)
(0.59) (0.98) (0.67)
Quarter
(12.91)
(13.03)
(11.12)
Since 8/31/2017
(16,95
(17.
(15.74)
Quarter
2.79
2.53
1.70 (1.46)
Since 9/30/2017
5.67
5.12
3.53 (1.08)
Graystone
Consulting
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 5
City of Sebastian Police Officers' Retirement System Graystone
as of March 31, 2018 Consulting
Breakdown of Returns
Quarter
(1.17)
(1.51)
(1.27) (1.27)
1 Year
7.05
6.48
9.00 8.68
3 Year
5.93
5.32
6.53 6.95
5 Year
7.58
6.97
8.09 8.69
Since 1/31/2011
7.24
6.66
8.26 8.94
15 1/4 Years
6.20
5.53
6.85
IiiLLI��M'�uiugm aN � uu��uuuu' °° °1 � � IIIIIIIII � IIIIIIIII IIIIIIIII III
�....�u
Quarter
(1.50)
1.86
1 Year
6.51
7.45 6.67
3 Year
5.35
7.45 6.02
5 Year
6.96
7.45 5.50
Since 1/31/2011
6.72
7.45 5.75
Policy Index (1) Composition
-21.25% Russell 1000 Value / 21.25% Russell 1000 Growth / 5% Russell 2500 Value / 5% Russell 2500 Growth / 5% MSCI EAFE (net) / 7.5% MSCI AC Wd
x US (net) / 25% BC Aggregate / 5% Alerian MLP / 5% NCREIF for periods since 7/31/2017
50% S&P 500 / 10% MSCI EAFE (net) / 40% BC Aggregate for periods since 12/31/2015
50% S&P 500 / 10% MSCI EAFE (net) / 40% BC Aggregate for periods since 6/30/2011
48% S&P 500 / 49% BC Gov/Credit / 3% Citi 3 Month T-Bill for periods prior to 6/30/2011
Policy Index (2) Composition
- 21.25% Russell 1000 Value / 21.25% Russell 1000 Growth / 5% Russell 2500 Value / 5% Russell 2500 Growth / 5% MSCI EAFE (net) / 7.5% MSCI AC Wd
x US (net) / 25% BC Aggregate / 5% Alerian MLP / 5% NCREIF for periods since 7/31/2017
60% S&P 500 / 40% BC Aggregate for periods since 12/31/2015
60% S&P 500 / 40% BC Aggregate for periods since 6/30/2011
48% S&P 500 / 49% BC Gov/Credit / 3% Citi 3 Month T-Bill for periods prior to 6/30/2011
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 6
City of Sebastian Police Officers' Retirement System
as of March 31, 2018
Trailing Returns
10
7
ry
Manager vs Benchmark: Return through March 2018
(not annualized if less than 1 year)
Graystone
Consulting
■ Sebastian Police (Gross)
Sebastian Police (Net)
■ Sebastian Police Policy Index
• years
Manager vs Benchmark: Return through March 2018
f �s w� i/�#ffi 7/%v�art
Sebastian Police (Net) -1.51 % 6.45% 5.30% 6.96% 5.19% 5.53%
Sebastian Police Policy Index -1 .27% 9.00% 6.53% 8.09% 6.91 % 6.85%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 7
City of Sebastian Police Officers' Retirement System
as of March 31, 2018
Risk/Return - 5 Year Analysis
Manager Performance
20-Quarter Moving Windows, Computed Quarterly
April 2013 - March 2018
90
8%
140--------------------------------------
7%
6%
130----------------
-------------- '---------
5%
—seeasna„am��e am�w mee. ri 4%
120---------------
--------------------
3%
2%
1%
100--------------------------------------
Oti`/o 1%
Q 1 2013 Q4
2013 Q4 2014 Q4 2015 Q4 2016 Q 1 2018
Return & Risk Measurements
Aprl2013-Mamh2018 SummaryStahshcs
Manager Risk/Return
Single Computation
April 2013 - March 2018
2% 3% 4% 5%
Standard Deviation
• Sebastian Police (Gross)
Market Benchmark
Sebastian Police Policy Index
Cash Equvalent
C,t,goup 3--nth T-bll
Sebastian Police (Gross) 7.57% -0.51% 4.79% 1.00 -5.61% 97.59% 123.61% -0.43% 1.52 86.04%
Sebastian Police Policy Index 8.09% 0.00% 4.46% 1.00 -4.22% 100.00% 100.00% 0.00% 1.74 100.00%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 8
City of Sebastian Police Officers' Retirement System
as of March 31, 2018
Risk/Return - 15 1/4 Year Analysis
Manager Performance Manager Risk/Return
20-Quarter Moving Windows, Computed Quarterly Single Computation
January 2003 - March 2018 January 2003 - March 2018
3C9 I
7%
6% •
25C----------------------------------
5%
• Sebastian Police (Gross)
E 4%- Market Benchmark
20C- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
- Sebastian P.1— P.4.1 i�ex f� Sebastian lent Policy Index
Cash Equivalent
3 % - C tigroup 3 month T-bll
i
/ \ i%
ma-./�------------------------------------
Q4:-002 Q42005 Q42007 Q4 M09 Q42011 Q42013 Q42015 Q12C18 Standard Deviation
Return & Risk Measurements
January 2003 - March 2018 Summary Statistics
Sebastian Police (Gross)
6.20% -0.64% 7.42% 1 1.02-22.97% 97.37% 111.42% -0.73% 0.67 94.95%
Sebastian Police Policy Index 6.85% 0.00% 7.09% 1.00-21.59% 100.00% 100.00% 0.00% 0.80 100.00%
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of
future results.
Page 9
Tactical Asset Allocation Reasoning
'((:u I¢N "flll II1:giJ'PP'v1 , Relative Weights
US Equal Weight US equities have done exceptionally well since the global financial crisis, but they are now in the latter stages of a cyclical bull market. While the acceleration ofthe
Trump/Republican progrowth agenda has helped us achieve our 2,700 price target forthe S&P 500 earlier than expected, it ironically brings the end of the cycle
closer. In addition, sentiment is much more bullish than it was a year ago, leaving much less upside to our 2018 year-end target of 2,750.
International Equities (Developed Overweight We maintain a positive bias for Japanese and European equity markets. The populist movements around the world are likely to drive more fiscal policy action in
Markets) both regions, which is needed to make the extraordinary monetary policy offered more effective. Both are still at record levels of cheapness but we prefer Japan at
the moment given the over -exuberance on Europe.
Emerging market (EM) equities have been the best region over the past 24 months and forthe yearto date. With the US dollar appearing to have made a cyclical
Emerging Markets Overweight top, global growth and earnings accelerating, and financial conditions remaining loose, we think EM equities will continue to keep up with global equity markets
but are unlikely to lead as strongly.
We have recommended shorter -duration (maturities) since March 2013 given the extremely low yields and potential capital losses associated with rising interest
US Investment Grade Underweight rates from such low levels. While interest rates have remained exceptionally low, recent US economic data have been very strong recently and the Fed is now
raising raises at an accelerating pace. Combined with our expectation for the European Central Bank to taper its bond purchases later in 2018 and the Bank of
Japan likely to raise its yield target, higher interest rates are likely this year.
International Investment Grade Underweight Yields are even lower outside the US, leaving very little value in international fixed income, particularly as the global economy begins to recover more broadly.
While interest rates are likely to stay low, the offsetting diversification benefits do not warrant much, if any, position, in ourview.
With deflationary fears having become extreme in 2015 and early 2016, these securities still offer relative value in the context of our forecasted acceleration in
Inflation -Protected Securities Overweight global growth, and expectations for oil prices and the US dollar's year -over -year rate of change to revert back toward 0%. That view played out in 2016 and 2017
but has not yet run its course.
High yield has performed exceptionally well since early 2016 with the stabilization in oil prices and retrenchment by the weaker players. We recently took our
High Yield Underweight remaining high yield positions to zero as we prepare for deterioration in lower -quality earnings in the US led by lower operating margins. Credit spreads have likely
bottomed for this cycle.
AINrau1 uuV%w 1rulue
Real estate investment trusts (REITs) have underperformed global equities since mid 2016 when interest rates bottomed. We think it is still too early to reconsider
REITS Underweight our underweight zero allocation given the further rise in rates we expect and deteriorating fundamentals for the industry. Non -US REITs should be favored relative
to domestic REITs.
Master Limited Partnerships/Energy Overweight Master limited partnerships (MLPs) rebounded sharply from a devastating 2015 but, with oil's slide, have performed poorly in 2017. With oil prices recovering
Infrastructure again and a more favourable regulatory environment, MLPs should provide a reliable and attractive yield relative to high yield. The Trump presidency should also
be supportive forfracking activity and pipeline construction, both of which should lead to an acceleration in dividend growth.
Hedged Strategies (Hedge Funds and Equal Weight
Managed Futures) This asset category can provide uncorrelated exposure to traditional risk -asset markets. It tends to outperform when traditional asset categories are challenged by
growth scares and/or interest rate volatility spikes. As volatility becomes more persistent in 2018, these strategies should do better than in recent years.
Page 10