total fund overview · fixed income analysis appendix. 2. new york city firefighters’ variable...
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Total Fund Overview
Performance Overview as of June 30, 2011
New York CityFirefighters’ Variable Supplements Fund
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Table of Contents:
New York CityFirefighters’ Variable Supplements Fund
Equity Analysis
Fixed Income Analysis
Appendix
2
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Total Portfolio Returns: June 30, 2011$451M Under Management
0.82%
24.16% 24.16%
5.96% 5.52% 6.64% 5.42%7.33%
1.00%
24.06% 24.06%
4.97% 5.03% 6.32% 5.37%
0%
3%
6%
9%
12%
15%
18%
21%
24%
27%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 7 Years
Trailing 10 Years
Trailing 15 Years
Rat
e of
Ret
urn
Portfolio Returns Policy Index ReturnsAs of 06/30/11 |
All returns in the report are Gross, unless stated otherwise.
3
3 Years 5 Years 7 Years 10 Years 15 Years
Plan Std Dev 15.7 13.3 11.7 11.4 11.6
Benchmark Std Dev 17.1 14.3 12.5 12.1 ****
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
$451M Under Management
Portfolio Asset Allocation: June 30, 2011
Asset Allocation
Relative Mix to Policy Weights
Domestic Equity EAFE Mkts Domestic Fixed Enhanced Yield
$23251.4%
$93 20.7%
$54 11.9%
$24 5.3%
1.4%
-1.1%
0.2%
1.1%
-0.3%-0.6% -0.7%
-2.00%
-1.00%
0.00%
1.00%
2.00%
4
$112.4%
TIPSREITSEmerg Mkts
$19 4.2%
18 4.1%
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Performance Attribution: Total Plan – Quarter Ending June 30, 2011
0.82% 0.90%1.00%
0.00%
0.50%
1.00%
1.50%
Total Plan Returns Plan Return @ Policy Weights
Policy Index
(Ret
urn
%) Allocation
Effect -0.08
ManagementEffect -0.10
5
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Performance Attribution: Total Plan – 12 Months Ending June 30, 2011
24.16% 24.75% 24.06%
0.00%
6.00%
12.00%
18.00%
24.00%
30.00%
Total Plan Returns Plan Return @ Policy Weights
Policy Index
(Ret
urn
%)
AllocationEffect -0.59
ManagementEffect 0.69
6
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Performance Attribution: Total Plan – 3 Years Ending June 30, 2011
5.96% 5.69%
4.97%
0.00%
2.00%
4.00%
6.00%
8.00%
Total Plan Returns Plan Return @ Policy Weights
Policy Index
(Ret
urn
%)
AllocationEffect 0.27
7
ManagementEffect 0.72
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Total Plan: June 30, 2011
Management Effect – Asset Class Breakdown
8
Management Effect – Asset Class Breakdown
Plan Quarter 12 Months
3 Years Benchmark
Domestic Equity -0.03 -0.01 0.02 Russell 3000 Index
EAFE Markets 0.01 0.22 0.41 MSCI EAFE Index
Emerging Markets 0.00 0.04 -0.10 MSCI Emerging Markets Index
REITS -0.01 -0.02 0.01 DJ US Real Estate Securities Index
Domestic Fixed -0.04 0.21 0.09 NYC Core +5 Index
Enhanced Yield -0.01 0.08 0.09 Citigroup BB&B Index
TIPS -0.01 0.03 0.05 Barclays Capital US TIPS Index
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Equity Analysis
New York CityFirefighters’ Variable Supplements Fund
9
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
72%
16%6% 6%
Domestic Equity EAFE Mkts Emerg Mkts REITS
$323M Under Management, 72% of Total FundsTotal Equity Asset Allocation: June 30, 2011
Asset Allocation by Groups
10
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
$232M Under Management, 51% of Total Funds
Total Domestic Equity Returns vs Russell 3000 Index
Domestic Equity Returns Russell 3000 Index
Rat
e of
Ret
urn
As of 06/30/11 |
-0.08%
32.31% 32.31%
4.07% 3.37% 3.48%6.93%
-0.03%
32.37% 32.37%
4.00% 3.35% 3.44%6.77%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 10 Years
Trailing 15 Years
11
3 Years 5 Years 10 Years 15 Years
Plan Std Dev 21.6 18.2 16.1 16.7
Benchmark Std Dev 21.7 18.3 16.2 16.6
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
$54M Under Management, 12% of Total Funds
EAFE Markets Returns vs MSCI EAFE Index
EAFE Mkts MSCI EAFE Index
Rat
e of
Ret
urn
As of 06/30/11 |
1.70%
33.06% 33.06%
2.28% 3.14%5.49%
6.53%
1.56%
30.36% 30.36%
-1.77%
1.47%
5.66% 4.73%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 10 Years
Trailing 15 Years
3 Years 5 Years 10 Years 15 Years
Plan Std Dev 23.2 19.7 17.5 16.9
Benchmark Std Dev 25.5 21.3 18.2 17.4
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Emerging Markets’ Returns vs MSCI Emerging Markets Index$19M Under Management, 4% of Total Funds
Emerging Mkts MSCI Emerging Mkts Index
Rat
e of
Ret
urn
As of 06/30/11 |
-1.10%
29.43% 29.43%
1.12%
9.81%
-1.04%
28.17% 28.17%
4.54%
11.75%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years
13
3 Years 5 Years
Plan Std Dev 30.8 27.6
Benchmark Std Dev 30.7 27.2
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
REITS Returns vs DJ US Select Real Estate Securities Index$18M Under Management, 4% of Total Funds
REITS Returns DJ US Select Real Estate Securities Index
Rat
e of
Ret
urn
As of 06/30/11 |
3.78%
36.45% 36.45%
7.89%3.81%4.02%
35.23% 35.23%
4.64%
1.60%0%
5%
10%
15%
20%
25%
30%
35%
40%
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years
14
3 Years 5 Years
Plan Std Dev 38.2 32.0
Benchmark Std Dev 40.5 33.7
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Fixed Income Analysis
New York CityFirefighters’ Variable Supplements Fund
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
65%
19%
8%8%
Structured Fixed Income Enhanced Yield Short Term TIPS Managers
$128M Under Management, 28% of Total Funds
Total Fixed Income Asset Allocation: June 30, 2011
Asset Allocation by Groups
16
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
18%
46%
36%
Treasury/Agency Mortgage Credit
Structured Fixed Income Asset Allocation: Quarter Ending June 30, 2011$83M Under Management , 18% of Total Funds
Asset Allocation by Groups
Value Added by Sectors
*NYC Core +5 Breakdown
17
Sub Sector Policy Weight
Actual Weight
Under/Over Weight
Index Return
Actual Return Difference
Contribution to Out/Under Performance
Allocation ManagementTreasury/Agency 20.74 17.92 -2.82 3.39 3.30 -0.09 -0.03 -0.01Mortgage 44.02 46.32 2.30 2.34 1.97 -0.37 -0.01 -0.16
Credit 35.24 35.77 0.53 2.35 2.30 -0.05 0.00 -0.02
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Structured Returns vs NYC Core + 5 Index$83M Under Management, 18% of Total Funds
Structured Returns NYC Core + 5 Index
Rat
e of
Ret
urn
As of 06/30/11 |
2.32%
5.24% 5.24%
7.93%
7.24%
6.14% 6.30%
2.57%
4.15% 4.15%
7.32% 7.19%
6.07% 6.27%
0%
2%
4%
6%
8%
10%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 7 Years
Trailing 10 Years
18
3 Years 5 Years 7 Years 10 Years
Plan Std Dev 4.8 4.2 4.0 4.3
Benchmark Std Dev 5.1 4.4 4.2 4.4
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
TIPS Returns vs Barclays Capital US TIPS Index
$11M Under Management, 2% of Total Funds
TIPS Managers Barclays Capital US TIPS Index
Rat
e of
Ret
urn
As of 06/30/11 |
3.43%
6.98% 6.98%
5.29%
6.96%
5.47%
3.66%
7.74% 7.74%
5.30%
6.92%
5.44%
0%
2%
4%
6%
8%
10%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 6 Years
19
3 Years 5 Years 6 Years
Plan Std Dev 8.7 7.6 7.2
Benchmark Std Dev 8.4 7.3 7.0
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
$24M Under Management, 5% of Total Funds
Enhanced Yield Returns vs Citigroup BB & B Index & Citigroup BB & B Capped Index
Enhanced Yield Citigroup BB& B Index
Rat
e of
Ret
urn
As of 06/30/11 |
0%
5%
10%
15%
20%
Trailing 3 Months
FYTD Trailing 12 Months
Trailing 3 Years
Trailing 5 Years
Trailing 7 Years
Trailing 10 Years
20
3 Years 5 Year 7 Years 10 Years
Plan Std Dev 12.6 10.3 8.9 8.9
Citigroup BB & B Std Dev 14.0 11.4 9.9 10.0
Citigroup BB & B Capped Std Dev 13.7 11.1 9.6 ****
Citigroup BB& B Capped Index
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Appendix
New York CityFirefighters’ Variable Supplements Fund
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Consolidated Performance Report
Through June 30, 20113 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs
Assets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11
EQUITY MANAGEMENT231.77 51.35 BLACKROCK R3000 -0.08 6.29 32.31 **** **** **** ****231.77 51.35 TOTAL DOMESTIC EQUITY -0.08 6.29 32.31 4.07 3.37 3.48 6.93
RUSSELL 3000 -0.03 6.35 32.37 4.00 3.35 3.44 6.77
INTERNATIONAL EQUITYDEVELOPED MARKETS
53.78 11.91 THORNBURG 1.70 6.23 33.10 2.24 **** **** ****0.04 0.01 BANK OF IRELAND **** **** **** **** **** **** ****53.82 11.92 TOTAL DEVELOPED MARKETS 1.70 6.23 33.06 2.28 3.14 5.49 6.53
MSCI EAFE (NET DIVIDEND) 1.56 4.98 30.36 -1.77 1.47 5.66 4.73INTERNATIONAL EQUITY MEDIAN 1.83 5.32 32.32 0.72 3.83 7.78 7.74
EMERGING MARKETS18.75 4.15 STATE STREET -1.10 1.09 29.43 1.12 9.81 **** ****18.75 4.15 TOTAL EMERGING MARKETS -1.10 1.09 29.43 1.12 9.81 **** ****
MSCI EMERGING MARKETS -1.04 1.03 28.17 4.54 11.75 16.55 8.33EMERGING MARKETS MEDIAN -0.63 0.31 27.46 5.75 12.92 16.83 10.35
72.57 16.08 TOTAL INTERNATIONAL EQUITY 0.96 4.85 32.06 1.99 5.02 **** ****
REAL ESTATE EQUITY SECURITIES18.61 4.12 MORGAN STANLEY 3.78 10.50 36.45 7.89 3.81 **** ****18.61 4.12 TOTAL REAL ESTATE EQUITY SECURITIES 3.78 10.50 36.45 7.89 3.81 **** ****
DJ US SELECT RE SECURITIES INDEX 4.02 10.95 35.23 4.64 1.60 10.39 10.74
322.95 71.55 TOTAL EQUITY-PUBLIC & PRIVATE 0.37 6.20 32.49 3.82 3.92 **** ****
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Consolidated Performance Report
Through June 30, 2011Through June 30, 2011
3 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 YrsAssets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11
FIXED INCOME MANAGEMENTGOVERNMENT
14.82 3.28 PIMCO -GOVT 3.30 3.33 2.69 **** **** **** ****14.82 3.28 ALL GOVT-FIRE FIGHTERS 3.30 3.33 2.69 6.92 7.73 6.88 6.88
NYC - TREASURY AGENCY PLUS FIVE 3.39 3.02 2.44 6.70 7.62 6.83 6.83
MORTGAGE36.16 8.01 PIMCO -MORT 2.18 2.74 3.92 **** **** **** ****2.15 0.48 MORTGAGE TRANSITION ACCOUNT **** **** **** **** **** **** ****38.30 8.49 ALL MORTGAGE-FIRE FIGHTERS 1.97 2.87 4.38 6.60 6.50 5.73 ****
CITIGROUP MORTGAGE INDEX 2.34 2.97 3.74 6.96 7.02 5.87 5.87
CREDIT29.58 6.55 TAPLIN, CANIDA -CREDIT 2.30 4.09 7.60 9.21 6.88 **** ****29.58 6.55 ALL INVESTMENT GRADE CREDIT-FIRE FIGHTERS 2.30 4.09 7.60 8.87 6.99 5.88 ****
NYC - INVESTMENT GRADE CREDIT 2.35 3.18 5.94 7.84 6.73 6.21 6.61
82.70 18.32 TOTAL STRUCTURED 2.32 3.39 5.24 7.93 7.24 6.30 ****NYC - CORE PLUS FIVE 2.57 3.05 4.15 7.32 7.19 6.27 6.77
ACTIVE TIPS MANAGERS10.84 2.40 PIMCO-TIPS-MTA 3.43 5.20 6.98 5.29 6.96 **** ****10.84 2.40 TOTAL ACTIVE TIPS MANAGERS 3.43 5.20 6.98 5.29 6.96 **** ****
BARCLAYS GLOBAL US TIPS INDEX 3.66 5.81 7.74 5.30 6.92 6.96 ****
ENHANCED YIELD23.96 5.31 SEIX 0.79 5.04 15.98 10.26 8.09 **** ****23.96 5.31 ALL ENHANCED YIELD 0.79 5.04 15.98 10.27 8.09 7.43 ****
CITIGROUP BB & B 1.05 4.88 14.60 8.14 6.73 7.36 6.64CITIGROUP BB & B CAPPED 0.98 4.79 14.15 8.71 7.30 **** ****ENHANCED YIELD MEDIAN 0.90 4.74 14.99 10.73 8.73 9.51 8.67
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Consolidated Performance Report
Through June 30, 2011
3 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 YrsAssets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11127.83 28.32 TOTAL FIXED INCOME 2.01 3.72 7.22 8.35 7.48 6.53 6.69
10.34 2.29 STATE STREET SHORT TERM 0.61 0.70 0.89 0.44 1.43 2.38 3.630.00 0.00 BNY - CD **** **** **** **** **** **** ****
0.58 0.13 SECURITIES LENDING **** **** **** **** **** **** ****
451.37 100.00 TOTAL FIREFIGHTERS 0.82 5.47 24.16 5.96 5.52 5.42 7.33FIREFIGHTERS POLICY BENCHMARK 1.00 5.34 24.06 4.97 5.03 5.37 ****
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New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Securities Lending Income
Through June 30, 2011
25
U.S. U.S. INTERNATIONAL
FIXED INCOME EQUITY EQUITY
2001 73,000 57,000 - 0 -
2002 34,000 36,000 - 0 -
2003 22,000 48,000 59,000
2004 45,000 93,000 45,000
2005 76,000 147,000 61,000
2006 79,000 192,000 63,000
2007 164,000 293,000 51,000
2008 451,000 492,000 65,000
2009 123,000 231,000 45,000
2010 49,000 204,000 31,000
2011 (6 Months) 31,000 103,000 33,000
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
• Effective 4/1/03 the name of the Core +5 benchmark index provider was changed from Salomon to Citigroup.
• Effective 7/1/09, the Core+5 program was restructured. • The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the
Citigroup Core+5 Treasury/Agency Index. • The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for
the new combined sector is the customized Citigroup Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector Index.
• There were no changes to the Mortgage sector Index. • The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to
include the old Corporate and Yankee sector returns.
Through June 30, 2011
Footnotes
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Glossary of Terms
Through June 30, 2011General Notes
• All Returns are Gross of investment advisory fees unless otherwise indicated.
Page Specific
Page 4 - Portfolio Asset Allocation
• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset Classes is necessary.
Page 5 - Performance Attribution: Total Plan
• Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)
• Allocation Effect = Total Plan Return minus Plan Return at Adjusted Policy Weights.
• Management Effect =Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy WeightsThis illustrates how the Managers have added or removed value based on their Security Selection decisions.
• Policy Index = Custom BenchmarkThe “policy index” is a custom benchmark representing the weighted average return of the benchmark indexes for each major investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs, such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each month. The indexes and most recent adjusted policy weights are as follows:U.S. Equity: Russell 3000 * 50%International Developed (EAFE) Markets: MSCI EAFE * 13%International Emerging Markets: MSCI Emerging Markets * 4%REITs: DJ US Select Real Estate Securities Index * 3%Domestic Fixed Income: NYC Core +5 * 21%TIPS: Barclays Capital U.S. TIPS * 3%Enhanced Yield: Citigroup BB&B * 6%
27
New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011
Glossary of Terms
Through June 30, 2011Page 8 - Management Effect - Asset Class Breakdown
• This chart aims to break down the Management Effect shown on the Performance Attribution pages. The aim of the Page is to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point effect that this is having on Plan performance.
Page 17 – Structured Fixed Income Asset Allocation
• Value Added By Sectors: This disaggregates out-performance or under-performance by Asset Allocation and Management Effect.
• Implied Policy = Retirement's System Asset Allocation.• Implied Return = Benchmark Return• Allocation = the Contribution to Performance resulting from an overweight or underweight to an asset class. E.g. an underweight
to an Asset Class that under-performs rests in a positive Allocation Effect and vice versa.• Management = Contribution to Performance from security selection versus the Benchmark, e.g., If the managers Actual Returns
are higher than the Implied Return there will be a positive Management Effect.
28