HomeMy Public PortalAbout2005 4th Quarter ReportFourth Quarter 2005 Fourth Quarter 2005 Investment Performance AnalysisInvestment Performance AnalysisExecutive SummaryExecutive SummaryFebruary 9, 2006February 9, 2006Craig SvendsenSenior ConsultantOne Main Street, Cambridge, Massachusetts 02142-1524(617) 374-1300; F: (617) 374-1313www.nepc.comMetropolitan St. Louis Sewer DistrictMetropolitan St. Louis Sewer District
1L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptActivities• PIMCO’s all absolute return strategy was funded in December from assets earmarked for real estate and from the Bond index fund Asset Allocation• At quarter end, the assets in the Fund totaled $157.7 million, an increase of approximately $3.5 million for the quarter– Positive return on investment of $2.6 million – Net cash inflows of $866,000.• The Fund’s allocation to equities was 54.3% above the target equity weighting of 50%• The Fund’s equity commitment ranked in the 76thpercentile of public fundsPerformance• The Total Fund earned 1.6% in the quarter, which ranked in the 77thpercentile of Public Funds.– Policy, most notably underweight to equities versus the median public fund, detracted from return in the quarter. Active management in the aggregate helped return in the quarter, especially large cap growth equities, small cap equities and high-yield. • For the trailing year, the Total Fund’s 5.9% return ranked in the 76thpercentile of Public Funds– Active management added 100 basis points to return for the year; Asset allocation detracted 50 basis points • For the three- and five-year periods, the Fund returned 12.0% and 5.1%, respectively, ranking in the 69thand 49th percentiles of Public Funds• Returns over the three- and five-year periods were earned with comparable levels of risk to the median Public FundExecutive Summary Executive Summary ––Total FundTotal Fund
2L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptKey 2006 NEPC Capital Market ObservationsKey 2006 NEPC Capital Market Observations• Cyclical bull market is aging– Earnings growth is slowing after three years of double digit gains– Fed has removed accommodative monetary policy– Fiscal stimulus is waning– Energy prices remain high and residential real estate is cooling• Yield curve is flat, global yields are low– Risk premiums for riskier bonds are low relative to higher quality bonds– Asian central banks have positively impacted demand– Could have additional demand impact at long end due to pension reforms?• Equity market valuations are reasonable, but growth expectations optimistic – P/E on S&P 500 forward earnings is 14.7x (vs. 15-17x long-term range)– Risk premium over bonds remains near long term averages– Chance of a negative surprise increasing as earnings expectations rise to >11%• International equity markets have had an extended run of out-performance– Opportunities are much less pronounced than in the past few years• Continued expectation of subdued long term returns across virtually all asset classes
3L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptActions for ClientsActions for Clients• Relative asset class opportunities have become limited– After several years of unusually good asset class opportunities (i.e. high yield, small cap, emerging markets), most asset classes are fairly priced relative to one another– Trim overweight allocations and rotate back to higher quality (core) asset classes– Ensure your full commitment to growth stocks by taking profits in value stocks– Maintain maximum diversification, utilize multi-asset class products • Opportunities exist at the strategy and manager specific level– Globally diversified asset allocation strategies– Financial engineering (portable alpha)– Non-core real estate opportunities and tactical exposures to “real” assets– Top tier hedge fund and private equity/debt managers• Big picture focus in 2006 – Taking your portfolio to the next level– Shift focus from asset class changes to maximizing opportunities within strategies– Asset/liability management (interest rate hedging techniques)– Portfolio construction (separating alpha from beta)– Generating manager value added (relaxed constraints)• Asset/liability management questions– How do the funding and accounting changes affect your risk profile?– What is the impact on long term interest rates?– How to extend duration while maintaining return expectations?
4L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptMarket Environment Market Environment ––Overview Overview (As of Fourth Quarter 2005)(As of Fourth Quarter 2005)
5L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptMarket Environment Market Environment ––Sector / Style RotationSector / Style Rotation(As of Fourth Quarter 2005)(As of Fourth Quarter 2005)
6L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptMarket Environment Market Environment ––Domestic Equity Domestic Equity (As of Fourth Quarter 2005)(As of Fourth Quarter 2005)
7L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptMarket Environment Market Environment ––Fixed Income Fixed Income (As of Fourth Quarter 2005)(As of Fourth Quarter 2005)
8L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptMarket Environment Market Environment ––International Equity International Equity (As of Fourth Quarter 2005)(As of Fourth Quarter 2005)
9L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptAsset Growth as of 12/31/05Asset Growth as of 12/31/05
10L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.ppt3.5%3%10.3%10%10.0%10%7.2%27%3.0% 10.2%9.9%27%18.6%4.9%5.0%7.7%8% 5.0%9.0%5.0%5.1%0.8%Equities 50.0%Fixed Income 40.0%Equities 54.3%Fixed Income 31.2%Int’l EquityDomestic EquityARK: 5.0% TS: 5.0%BD&H: 2.8% W&R: 7.4%Windsor II VGDomestic FICore FixedIncome ResearchCashInt’l EquityDomestic EquitySmall CapLarge Cap EquityDomestic FICore FixedCurrent Asset AllocationCurrent Asset AllocationPolicy Target Asset AllocationPolicy Target Asset AllocationVanguard AAAsset Allocation as of 12/31/05Asset Allocation as of 12/31/05EM Int’l DevHY GB RE Mk NeutGBBrandy-wineMorgan StanleyMk NeutEM Int’l DevSmall CapLC ValueLCCoreLC Growth TAAFidelityPennHYEq 100%AbsoluteReturnPIMCONote: Totals may not add to 100% due to rounding
11L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptAsset Allocation (as of 12/31/05)Asset Allocation (as of 12/31/05)Target Allocation Actual AllocationVariance from TargetEquity50.0% 54.3% 4.3%Large Cap Equity27.0% 30.3% 3.3%Small Cap Equity10.0% 10.0% 0.0%International Equity10.0% 10.3% 0.3%Emerging Markets Equity 3.0% 3.5% 0.5%Fixed Income40.0% 31.2% -8.8%Core Fixed Income27.0% 18.6% -8.4%High Yield5.0% 4.9% -0.1%Global Bonds8.0% 7.7% -0.3%Real Estate5.0% 0.0% -5.0%Absolute Return0.0% 9.0% 9.0%Market Neutral5.0% 5.1% 0.1%Cash0.0% 0.8% 0.8%Total100% 100%Asset Class
12L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEquity Weighting vs. Median Public FundEquity Weighting vs. Median Public FundAs of December 31, 2005
13L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptPolicy Index: Calculated by taking the target asset class weights times the return of the respective passive benchmark (re-balanced monthly). Measures the effectiveness of Plan Structure.Allocation Index: Calculated by taking the actual asset class weights times the return of the respective passive benchmark. Measures the effectiveness of deviating from Target Weights.Composite: Actual Plan results. When compared to the Allocation Index, it measures the effectiveness of the Managers.Total Fund PerformanceTotal Fund Performance**vs. Public Fund Universe vs. Public Fund Universe * ** ** Returns are gross of fees.**The public funds universe included 202 public funds with assets of $750 billion at the end of December 2005.As of December 31, 2005
14L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptTotal Fund Performance vs. Public Fund UniverseTotal Fund Performance vs. Public Fund UniverseAs of December 31, 2005Policy Index: Calculated by taking the target asset class weights times the return of the respective passive benchmark (re-balanced monthly). Measures the effectiveness of Plan Structure.Allocation Index: Calculated by taking the actual asset class weights times the return of the respective passive benchmark. Measures the effectiveness of deviating from Target Weights.Composite: Actual Plan results. When compared to the Allocation Index, it measures the effectiveness of the Managers.
15L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptTotal Fund Performance vs. Public Fund UniverseTotal Fund Performance vs. Public Fund UniverseAs of December 31, 2005Policy Index: Calculated by taking the target asset class weights times the return of the respective passive benchmark (re-balanced monthly). Measures the effectiveness of Plan Structure.Allocation Index: Calculated by taking the actual asset class weights times the return of the respective passive benchmark. Measures the effectiveness of deviating from Target Weights.Composite: Actual Plan results. When compared to the Allocation Index, it measures the effectiveness of the Managers.
16L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.ppt0%2%4%6%8%10%12%14%16%18%20%2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22%Risk (% Standard Deviation)Annualized ReturnTotal Public Funds Total Public Funds ––Total Return vs. Risk Total Return vs. Risk --3 Years Ending 12/31/05 3 Years Ending 12/31/05 ValueRankValueRankComposite12.0%697.5%56Allocation Index12.1%697.9%33Policy Index12.1%697.4%59S&P 50014.4%2511.1%1LB Aggregate3.6%1003.3%99Median Public Fund 13.3%7.6%Annualized ReturnStandard DeviationTotal Fund Risk/ReturnTotal Fund Risk/ReturnS&P 500LB AggregateMSD CompositeAllocation IndexMedian Public FundPolicy Index
17L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.ppt-8%-6%-4%-2%0%2%4%6%8%10%12%2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22%Risk (% Standard Deviation)Annualized ReturnTotal Public Funds Total Public Funds ––Total Return vs. Risk Total Return vs. Risk --5 Years Ending 12/31/05 5 Years Ending 12/31/05 S&P 500LB AggregateMSD CompositeAllocation IndexMedian Public FundPolicy IndexTotal Fund Risk/ReturnTotal Fund Risk/ReturnValueRankValueRankComposite5.1%499.5%65Allocation Index5.7%378.9%77Policy Index4.3%8010.5%36S&P 5000.6%10017.7%1LB Aggregate5.9%283.7%99Median Public Fund 5.1%10.1%Annualized ReturnStandard Deviation
18L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Stocks Style and Size MapDomestic Stocks Style and Size MapAs of December 31, 2005R 2000Times SquareSmall Cap EqtyArkWaddell & ReedLarge Cap GrowthS&P 500CompositeBDH&SLarge Cap EqtyVanguard Inst Fund
19L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptLastLast Last Last% of QuarterRank1 YearRank3 YearsRank5 YearsRankMarket Value PortfolioMSD Composite (GROSS)1.6%775.9%7612.0%695.1%49$157,704,162 100.0%Median Public Fund2.0%6.9%13.3%5.1% Allocation Index1.5%844.9% 88 12.1% 69 5.7% 37 Policy Index1.7%765.4% 84 12.1% 69 4.3% 80Balanced Manager / Tactical Asset AllocationVanguard Asset Allocation Fund2.2% 43 5.6% 56 N/AN/A$15,596,588 9.9% Custom Benchmark*1.7%5.5%11.3%3.1%Median Balanced Manager2.0%6.2%11.8%4.0%Large Cap EquityTotal Large Cap Equity$32,189,209 20.4%Windsor II0.2% 94 7.6% 60 18.6% 35 N/A$11,372,004 7.2% Russell 1000 Value1.3%7.1%17.5%5.3%Median Large Cap Value Manager1.9%9.0%17.6%6.1%Waddell & Reed6.1% 18 12.6% 22 13.0% 71 N/A$11,640,671 7.4% Russell 1000 Growth3.0%5.3%13.2%(3.6%)Median Large Cap Growth Manager4.3%7.7%15.9%(1.0%)BDH&S1.5% 92(1.7%)98 9.1% 98(2.9%)98$4,452,422 2.8%Vanguard Institutional Index Fund2.1% 51 5.0% 58 14.4% 59 0.6% 52 $4,724,112 3.0% Standard & Poors 5002.1%4.9%14.4%0.6%Median Large Cap Core Manager2.1%5.2%14.5%0.6%Small Cap EquityTotal Small Cap Equity$15,672,537 9.9%Ark1.3% 33 9.7% 19 22.3% 71 N/A$7,813,900 5.0% Russell 2000 Value0.7%4.7%23.2%13.6%Median Small Cap Value Manager0.1%7.7%24.0%16.3%TimesSquare3.0% 33 14.6% 11 21.3% 55 N/A$7,858,637 5.0% Russell 2000 Growth1.6%4.1%20.9%2.3%Median Small Cap Growth Manager1.6%7.3%21.9%7.2%Performance Summary (12/31/05)Performance Summary (12/31/05)* Benchmark – 65% S&P 500, 30% Long Treasury Bonds, 5% T-Bills
20L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptPerformance Summary (12/31/05)Performance Summary (12/31/05)LastLast Last Last% of QuarterRank1 YearRank3 YearsRank5 YearsRankMarket Value PortfolioInternational EquityTotal International Equity$21,769,607 13.8%Morgan Stanley International1.6% 93 N/AN/AN/A$16,201,002 10.3% MSCI EAFE4.1%13.5%23.7%4.6%Median International Developed Manager 4.3%15.3%25.0%8.7%Morgan Stanley Emerging7.7% 38 N/AN/AN/A$5,568,605 3.5% MSCI Emerging7.2%34.1%37.9%19.2%Median Emerging Manager6.9%33.2%37.7%20.2%Fixed IncomeTotal Fixed Income$49,097,467 31.1%Income Research & Management0.9% 6 2.8% 43 4.0% 52 6.1% 61 $29,343,595 18.6% Lehman Aggregate0.6%2.4%3.6%5.9%Median Core Fixed Income Manager0.6%2.7%4.1%6.3%Penn Capital1.7% 1 N/AN/AN/A$7,656,411 4.9% Merrill Lynch High Yield Cash Pay0.7%2.8%13.2%8.8%Median High Yield Manager1.1%3.2%10.5%8.4%Brandywine Global Bond Fund(0.4%)37(0.9%)38 N/AN/A$12,097,461 7.7% Citi World Gov't/Credit Int(1.9%)(6.9%)5.7%6.9%Median Global Bond Manager(0.9%)(3.8%)6.8%7.6%Alternative AssetsFidelity Market Neutral0.4% 74 N/AN/AN/A$7,970,172 5.1% 90 Day T-Bill + 300bps1.7%6.2%4.9%5.4%PIMCO All AssetN/AN/AN/AN/A$14,116,025 9.0%CPI + 500bps0.8%8.6%8.1%7.7%CashCash Account0.8% 79 2.7% 74 N/AN/A$1,292,523 0.8% 90 Day U.S. T-Bills0.9%3.1%1.8%2.3%
21L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBalanced Funds Total Rates of ReturnBalanced Funds Total Rates of ReturnAs Of December 31, 2005
22L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
23L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
24L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
25L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
26L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
27L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptDomestic Equity Total Rates of ReturnDomestic Equity Total Rates of ReturnAs Of December 31, 2005
28L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds Total Rates of ReturnBond Funds Total Rates of ReturnAs Of December 31, 2005
29L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds Total Rates of ReturnBond Funds Total Rates of ReturnAs Of December 31, 2005
30L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds Total Rates of ReturnBond Funds Total Rates of ReturnAs Of December 31, 2005
31L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds Total Rates of ReturnBond Funds Total Rates of ReturnAs Of December 31, 2005
32L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptGlobal Bond Funds Total Rates of ReturnGlobal Bond Funds Total Rates of ReturnAs Of December 31, 2005
33L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptASSET ALLOCATION HISTORYVanguard AA Fund Vanguard AA Fund --Domestic TAA*Domestic TAA*0%10%20%30%40%50%60%70%80%90%100%Jun-98Sep-98Dec-98Mar-99Jun-99Sep-99Dec-99Mar-00Jun-00Sep-00Dec-00Mar-01Jun-01Sep-01Dec-01Mar-02Jun-02Sep-02Dec-02Mar-03Jun-03Sep-03Dec-03Mar-03Jun-03Sep-04Dec-04Mar-05Jun-05Sep-05Dec-05Target0%20%40%60%80%100%CashDomesticFixedDomesticEquityEQUITY PORTFOLIO CHARACTERISTICSTOP TEN EQUITY PORTFOLIO HOLDINGSTEN BEST AND WORST PERFORMERS* 4* 4ththQtr 2005 will not be available until 45 days after the close oQtr 2005 will not be available until 45 days after the close of the quarter. f the quarter.
34L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptTOP TEN EQUITY PORTFOLIO HOLDINGSSECTOR OVER/UNDER WEIGHTS VS. RUSSELL 1000 VALUE**-1.1-0.74.15.30.6-2.20.0-3.44.8-9.63.4-1.2-20 -15 -10 -5 0 5 10 15 20Auto & TransportationCons DiscretionaryConsumer StaplesFinancialsHealth CareIntegrated OilsMaterials & ProcessingOther EnergyProducer DurablesTechnologyUtilitiesOtherManager Performance Manager Performance ––Windsor II Fund*Windsor II Fund*SecurityWeightConocoPhillips Co.2.8%Pfizer Inc.2.7%Wells Fargo & Co.2.6%Altria Group, Inc.2.6%Vanguard Total Stock Market VIPERs2.6%Occidental Petroleum Corp.2.5%Washington Mutual, Inc.2.5%Tyco International Ltd.2.4%Citigroup, Inc.2.3%Imperial Tobacco Group ADR2.1%* 4* 4ththQtr 2005 will not be available until 45 days after the close oQtr 2005 will not be available until 45 days after the close of the quarter. f the quarter.
35L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEQUITY PORTFOLIO CHARACTERISTICSTOP TEN EQUITY PORTFOLIO HOLDINGSTEN BEST AND WORST PERFORMERSSECTOR OVER/UNDER WEIGHTS VS. RUSSELL 1000 GROWTH-5.3-5.45.110.15.4-4.8-0.4-0.70.0-0.6-3.4-15 -10 -5 0 5 10 15Cons DiscretionaryConsumer StaplesEne rgyFinancialsHealth CareIndustrialsInfo TechnologyMaterialsTelecom ServicesUtilitiesMisc.Manager Performance Manager Performance ––Waddell & ReedWaddell & Reed
36L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEQUITY PORTFOLIO CHARACTERISTICSTOP TEN EQUITY PORTFOLIO HOLDINGSTEN BEST AND WORST PERFORMERSSECTOR OVER/UNDER WEIGHTS VS. RUSSELL 1000 GROWTH-4.9-3.92.8-9.31.17.14.810.2-0.6-7.3-25 -15 -5 5 15 25Cons DiscretionaryConsumer StaplesEne rgyFinancialsHealth CareIndustrialsInfo TechnologyMaterialsTelecom ServicesUtilitiesManager Performance Manager Performance ––BDH&SBDH&S
37L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEQUITY PORTFOLIO CHARACTERISTICSTOP TEN EQUITY PORTFOLIO HOLDINGSSector Over/Under Weights vs. Russell 2000 Value8.3-0.3-0.810.42.1-2.8-2.40.0-15.8-1.73.0-20 -15 -10 -5 0 5 10 15 20Cons DiscretionaryConsumer StaplesEne rgyFinancialsHealth CareIndustrialsInfo TechnologyMaterialsTelecom ServicesUtilitiesMiscellaneousManager Performance Manager Performance ––Ark Asset ManagementArk Asset ManagementTEN BEST AND WORST PERFORMERS
38L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEQUITY PORTFOLIO CHARACTERISTICSTOP TEN EQUITY PORTFOLIO HOLDINGSSector Over/Under Weights vs. Russell 2000 Growth-5.91.6-1.2-6.18.2-2.2-0.11.02.40.71.7-20 -15 -10 -5 0 5 10 15 20Cons DiscretionaryConsumer StaplesEne rgyFinancialsHealth CareIndustrialsInfo TechnologyMaterialsTelecom ServicesUtilitiesMiscellaneousTEN BEST AND WORST PERFORMERSManager Performance Manager Performance ––TimesSquareTimesSquare
39L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptManager Performance Manager Performance ––Morgan Stanley Intl. EquityMorgan Stanley Intl. EquityTOP TEN HOLDINGSSecurity%Nestle SA4.3France Telecom3.8Unilever NV3.0BP PLC2.8Total SA2.8Imperial Tobacco Group PLC2.8Reed Esevier PLC2.0Vodafone Group PLC2.0Cadbury Schweppes PLC2.0Novartis AG1.9COUNTRY ALLOCATIONAsia Ex Japan4.0%Cash2.1%France10.6%Japan18.7%Netherlands6.9%Other Europe8.5%UK31.8%Switzerland10.0%Ger many7.4%* 4* 4ththQtr 2005 will not be available until 45 days after the close oQtr 2005 will not be available until 45 days after the close of the quarter. f the quarter.
40L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptManager Performance Manager Performance ––Morgan Stanley Em. Morgan Stanley Em. MktsMkts.*.*TOP TEN HOLDINGSCOUNTRY ALLOCATIONSecurity%Lukoil Holding4.4Petroleo Brasilero4.3Wal-Mart de Mexico3.1America Movil S.A. de Cv2.8Samsung Electronics2.7Grupo Televisa S.A.2.5Companhia Vale DO Rio Doce2.5Banco Itau1.8Standard Bank Group1.6MTN Group Ltd1.5Cash3.4%South Africa12.0%Asia 26.5%Other12.5%Brazil13.1%South Korea11.2%Mexico10.3%Russia11.0%* 4* 4ththQtr 2005 will not be available until 45 days after the close oQtr 2005 will not be available until 45 days after the close of the quarter. f the quarter.
41L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptABS/CMBS/MBS25%Muni's8%Corporates50%Govt.16%CREDIT DISTRIBUTIONSECTOR ALLOCATION9.3%0.0%25.9%27.3%20.5%16.4%0.6%0% 20% 40% 60% 80% 100%Other / NRBelow BaaBaaAAaAaaGov'tPORTFOLIO ANALYSISAVERAGE MATURITY % HELD11.1%8.0%14.9%20.8%37.4%7.7%0% 20% 40% 60% 80% 100%10.0+7.0 - 10.05.0 - 7.03.0 - 5.01.0 - 3.00.0 - 1.0YearsManager Performance Manager Performance ––Income ResearchIncome ResearchTotal Number of Securities……………………73Total Market Value…………………………….. $34,088,752Average Coupon……………………………….. 5.317Yield to Maturity…………………………………5Average Maturity………………………………..6.5Duration…………………………………………..3.57Average Quality………………………………… Aa2
42L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptManager Performance Manager Performance ––Penn CapitalPenn CapitalAverage Maturity6.4Average Duration4.7Average Coupon9.1%Average Yield to Maturity8.8%Average Credit QualityB/B3Number of Issues9214.1%2.2%34.6%11.3%1.3%30.7%5.8%0% 20% 40% 60% 80% 100%Other10.0+8.0 - 10.06.0 - 8.04.0 - 6.02.0 - 4.01.0 - 2.0PORTFOLIO ANALYSISAVERAGE MATURITY % HELDCREDIT DISTRIBUTION11.4%1.0%74.2%1.3%6.3%5.8%0% 20% 40% 60% 80% 100%OtherNR1CaaBBaBaa
43L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptPORTFOLIO COUNTRY WEIGHTSManager Performance Manager Performance ––BrandywineBrandywinePORTFOLIO CHARACTERISTIC
44L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptManager Performance Manager Performance ––PIMCO All AssetPIMCO All AssetPORTFOLIOTotal Fund Net Assets ($US MM) 13,631.3Duration (Years)6.60Expense Ratio - Inst Class (%) 0.85PORTFOLIO CHARACTERISTICS
45L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEquity Funds 3 Year Risk AnalysisEquity Funds 3 Year Risk AnalysisTimesSquareARKR2000BDH&SVG Windsor IIVG Inst Index / S&P 500Waddell & Reed
46L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptEquity Funds 5 Year Risk AnalysisEquity Funds 5 Year Risk AnalysisR2000BDH&SVG Inst Index / S&P 500
47L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds 3 Year Risk AnalysisBond Funds 3 Year Risk AnalysisIncome ResearchGarner/LBIShareLB AggregateLB Govt/CR Int
48L:\Clients/St Louis MSD/IPA/Executive Reports /2005/MSD 3Q 2005 Executive Report.pptBond Funds 5 Year Risk AnalysisBond Funds 5 Year Risk AnalysisIncome ResearchGarner/LBIShareLB AggregateLB Govt/CR Int