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HomeMy WebLinkAbout07.a.2) Update on CCCERA7o.12) Central Contra Costa Sanitary District July 29, 2011 TO: HONORABLE BOARD OF DIRECTORS VIA: JAMES M. KELLY, GENERAL MANAGER FROM: RANDALL M. MUSGRAVES, DIRECTOR OF ADMINISTRATION SUBJECT: CONTRA COSTA COUNTY EMPLOYEES' RETIREMENT ASSOCIATION (CCCERA) 9/7/2011 BOARD MEETING Attached is a copy of the September 7, 2011 CCCERA Board meeting agenda. The meeting focused on a review of investments. Staff from Milliman, CCCERA's contracted investment advisors, provided the quarterly review. There was nothing significant impacting the District. Attached are selected pages from the report that might be of interest to the Board. Please note the fund totals on page 14. For the year, CCCERA's investments have earned 23.5% and 1.8% for the second quarter ending June 30, 2011. There was discussion that June and July were relatively flat with August and September much more volatile. Staff will be available to answer any questions the Board may have. RETIREMENT BOARD MEETING SPECIAL MEETING 9:00 a.m. September 7, 2011 lid'melid Asso CIcatioh suite 221 concord ca 94520 1.3960 fax 925.646.5747 Retirement Board Conference Room The Willows Office Park 1355 Willow Way Suite 221 Concord, California Page 1 of 1 THE RETIREMENT BOARD MAY DISCUSS AND TAKE ACTION ON THE FOLLOWING: Pledge of Allegiance. 2. Accept comments from the public. Approve minutes from the August 10 and August 17, 2011 meetings. 4. Review of total portfolio performance including: a. Consideration of any managers already under review or to be placed under review. b. Consideration of any changes in allocations to managers. 5. Consider and take possible action on staff recommendation regarding Real Estate allocation. 6. Review of Administrative Budget vs. Actual through June 30, 2011. CLOSED SESSION 7. The Board will go into closed session under Gov. Code Section 54956.9(b). OPEN SESSION 8. Consider authorizing the attendance of Board and /or staff: a. Fall Conference, CRCEA, October 24 — 26, 2011, Santa Rosa, CA. b. Investor Conference, Paladin, October 5, 2011, Washington, D.C. c. Investor Conference, Carpenter Community BancFunds, November 3 — 4, 2011, Laguna Beach, CA. d. Fall Conference, SACRS, November 15 — 18, 2011, Costa Mesa, CA. e. Annual Partners Meeting, Fidelity Real Estate, October 26 — 27, 2011, Chicago, IL (note conflict with Board meeting). f. Client Conference, Invesco, November 8 — 10, 2011, La Jolla, CA (note conflict with Board meeting). 9. Miscellaneous a. Staff Report b. Outside Professionals' Report c. Trustees' comments http: / /cccera.org/ agendas/ agendas %202011 /agenda`/`209.7.1 l .htm 9/6/2011 1 1 1 h 1 1 1 1 A 1 1 1 1 1 QUARTERLY REVIEW & PERFORMANCE MEASUREMENT REPORT for Contra Costa County Employees' Retirement Association FOR THE PERIOD ENDING June 30, 2011 August 29, 2011 © 2011, Milliman 650 California Street, 17th Floor San Francisco, CA 94108 Tel: (415) 403 -1333 Fax: (415) 986-2777 CUMULATIVE PERFORMANCE STATISTICS Performance through Second quarter, 2011 DOMESTIC EQUITY 3 Mo 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 7 Yr 10 Yr Delaware 1.9% 36.5 % 24.7 % 6.3 % 2.7 % 4.2 % - % - % Rank vs Equity 13 26 45 37 31 51 - - Rank vs Lg Growth 13 25 27 16 34 66 - - Emerald Advisors -0.2 50.6 35.7 11.7 3.8 5.6 7.7 - Rank vs Equity 56 2 5 9 21 35 33 - Rank vs Sm Cap Growth 51 17 21 29 51 76 77 - Intech - Enhanced Plus 1.5 32.6 23.7 4.0 0.1 3.5 5.4 - Rank vs Equity 17 44 53 58 56 62 62 - Rank vs Lg Core 12 16 23 31 22 32 28 - Intech - Large Core 2.0 32.6 23.6 4.2 0.4 - - - Rank vs Equity 12 45 54 55 53 - - - Rank vs Lg Core 7 19 24 27 16 - - - PIMCO Stocks Plus 0.1 33.5 27.7 4.6 -0.7 3.3 4.4 - Rank vs Equity 39 39 33 51 66 64 78 - Rank vs Lg Core 26 9 4 18 41 37 54 - Robeco Boston Partners -0.1 29.0 21.7 6.3 0.0 4.3 7.0 5.8 Rank vs Equity 54 72 77 37 57 49 41 44 Rank vs Lg Value 44 51 67 12 19 17 12 28 State Street/Rothschild -2.7 37.6 25.5 3.7 -0.2 3.8 7.3 - Rank vs Equity 87 23 41 61 60 56 38 - Rank vs Sin Cap Value 73 28 95 95 75 71 62 - Wentworth, Hauser -0.4 35.3 19.9 4.5 0.7 3.9 5.4 3.7 Rank vs Equity 60 31 84 51 50 54 61 66 Rank vs Lg Core 84 4 91 19 14 17 27 37 Total Domestic Equities 0.2 35.0 25.0 5.5 0.7 3.9 5.7 3.3 Rank vs Equity 37 32 43 43 50 54 56 71 Median Equity 0.0 32.0 24.1 4.7 0.7 4.3 6.1 5.2 S &P 500 0.1 30.7 22.3 3.3 -1.1 3.0 4.2 2.7 Russell 30000 0.0 32.4 23.8 4.0 -0.5 3.4 4.9 3.4 Russell 1000® Value -0.5 28.9 22.8 2.3 -3.5 1.2 4.4 4.0 Russell 1000® Growth 0.8 35.0 23.9 5.0 2.2 5.3 4.9 2.2 Russell 20000 -1.6 37.4 29.2 7.8 1.2 4.1 6.3 6.3 Russell 2000® Value -2.7 31.3 28.2 7.1 -1.0 2.2 5.6 7.5 Russell 2000® Growth -0.6 43.5 30.1 8.4 3.2 5.8 6.8 4.6 INT'L EQUITY GMO Intrinsic Value 3.3 33.8 16.8 -1.8 -4.1 1.5 - - Rank vs Intl Eq 8 22 83 77 83 84 - - William Blair 2.4 - - - - - - - Rank vs Intl Eq 21 - - - - - - - Total Intl Equities 2.9 30.4 16.8 -4.9 -5.7 0.6 6.7 6.1 Rank vs Intl Eq 15 51 83 93 93 91 80 80 Median Intl Equity 1.1 30.5 20.4 1.1 -1.5 4.1 9.1 8.0 MS CI EAFE Index 1.8 30.9 18.0 -1.3 -3.6 2.0 6.9 6.1 MSCI ACWI ex -US 0.6 30.3 20.2 0.1 -1.5 4.1 9.1 7.9 MS CI EAFE Value Index 1.0 29.4 15.5 -1.7 -5.5 0.7 6.3 6.4 MSCI ACWI ex -US Growth 0.9 30.9 21.0 -0.8 -0.9 4.4 8.9 7.2 otes: Returns for periods longer than one year are annualized. 12 7 J CUMULATIVE PERFORMANCE STATISTICS Performance through Second quarter, 2011 IDOMESTIC FIXED INCOME 3 M 1 Y 2 Y 3 Y 4 Y 5 Y 7 Y 10 Y 1.3% 28.9% 26 71 - 2.0 - - - - - - - 17 - - - - - - - -1.3 - - - - - - - 82 - - - - - - - 0.9 28.8 - - - - - - 30 73 - - - - - 0.6 30.8 21.3 % 1.4 % -1.4 % 4.1 % - - 0.4 30.8 21.2 1.5 -1.2 3.7 6.8 % - 0.7 31.2 20.6 1.1 -1.9 2.9 5.9 4.5 % GLOBAL EQUITY 2.2 J.P. Morgan Global 6.3 Rank vs Global Eq 7.1 First Eagle 5.9 Rank vs Global Eq Tradewinds 35 Rank vs Global Eq 70 Total Global Equity 43 Rank vs Global Eq Median Global Equity 41- MSCI ACWI Index MSCI World Index IDOMESTIC FIXED INCOME 3 M 1 Y 2 Y 3 Y 4 Y 5 Y 7 Y 10 Y 1.3% 28.9% 26 71 - 2.0 - - - - - - - 17 - - - - - - - -1.3 - - - - - - - 82 - - - - - - - 0.9 28.8 - - - - - - 30 73 - - - - - 0.6 30.8 21.3 % 1.4 % -1.4 % 4.1 % - - 0.4 30.8 21.2 1.5 -1.2 3.7 6.8 % - 0.7 31.2 20.6 1.1 -1.9 2.9 5.9 4.5 % 1 13 AFL -CIO Housing 2.2 4.7 6.3 7.0 7.1 7.0 5.9 6.3 Rank vs Fixed Income 35 52 70 44 43 41- 41- 33 Goldman Sachs 2.3 4.7 7.5 Rank vs Fixed Income 29 53 51 Torchlight H* -0.3 43.7 41.7 -2.3 -11.2 - - - Rank vs High Yield 95 1 1 98 98 -- Torchight III* 1.2 7.4 19.3 Rank vs High Yield 5 99 49 - - - - - Lord Abbett 2.3 6.2 10.0 - Rank vs Fixed Income 25 33 27 Allianz Global Investors 0.9 16.3 19.7 12.5 9.4 9.7 9.0 9.0 Rank vs High Yield 26 18 43 6 2 3 4 7 PIMCO 1.9 5.9 10.5 9.1 9.0 8.4 7.1 Rank vs Fixed Income 59 38 24 17 10 13 16 Workout (GSAM) 1.0 13.2 26.3 - - - - - Rank vs Fixed Income 78 10 1 - - - - - Total Domestic Fixed 1.8 8.0 12.1 8.1 6.9 7.1 6.4 6.7 Rank vs Fixed Income 60 21 18 26 49 36 26 23 Median Fixed Income 2.0 4.9 7.7 6.7 6.9 6.8 5.7 5.9 Median High Yield Mgr. 0.6 14.9 19.3 9.7 6.6 7.4 7.3 7.4 Barclays Universal 2.2 4.8 7.7 6.7 6.6 6.6 5.7 5.9 Barclays Aggregate 2.3 3.9 6.7 6.5 6.6 6.5 5.5 5.8 Merrill Lynch HY R 1.0 15.4 21.3 12.4 8.6 9.2 8.8 8.8 Merrill Lynch BBB 1.1 14.7 18.2 10.5 7.7 8.3 8.0 7.9 T -Bills 0.0 0.2 0.2 0.4 1.2 2.0 2.3 2.1 GLOBAL FIXED INCOME Lazard Asset Mgmt 2.2 13.4 10.8 6.3 Rank vs. Global Fixed 57 14 32 44 - - - _ Barclays Global Aggregate 3.1 10.5 7.7 6.0 7.7 7.1 6.2 - ALTERNATIVE INVESTMENTS* Adams Street ** 6.4 24.0 22.4 5.1 6.9 10.7 12.6 7.5 Bay Area Equity Fund ** 0.2 51.2 27.3 18.7 26.9 27.0 Carpenter Bancfund ** 0.1 8.6 3.6 6.8 Energy Investor Fund ** 0.2 -23.4 -4.6 19.6 49.8 44.4 44.5 Energy Investor Fund II ** 1.3 1.9 2.3 3.2 7.6 11.6 - - Energy Investor Fund III ** 0.5 -2.1 -6.4 0.4 - - - Nogales ** -0.2 21.5 18.9 -11.5 -23.6 -16.0 -8.3 Paladin IH ** 9.5 12.1 14.0 8.8 - - - - Pathway ** 9.9 23.1 22.7 4.5 7.3 13.2 17.5 7.8 Total Alternative 5.3 15.5 13.2 5.6 7.6 11.4 14.7 9.0 S &P 500 + 400 bps 1.1 35.8 27.1 7.5 2.9 7.1 8.4 6.8 1 13 CUMULATIVE PERFORMANCE STATISTICS Performance through Second quarter, 2011 * See also see Internal Rates of Return for closed -end funds on page 15. ** Performance as of March 31, 2011. Please note that the Total Fund Policy Benchmark shown above was constructed by weighting the various asset class benchmarks by their target allocations. From the third quarter of 2009 to the present period, the benchmark is 29.4% Russell 3000, 19.6% MSCI World (Gross), 25.6% Barclays U.S. Aggregate, 3.2% Bank of America High Yield Master II, 3.2% Barclays Global Aggregate, 8.4% Dow . Jones Wilshire REIT, 3.1 % NCREIF, 7% S &P 500 + 4% and 0.5% 91 -Day T- Bills. 14 3Mo 1Yr 2 Y 3 Y 4 Y 5 Y 7 Y 10 Y REAL ESTATE* Adelante Capital REIT 3.7 % 34.5 % 43.6% 2.5 % -25 % 0.5 % 83 % - % Rank vs REITs 48 30 37 82 87 81 52 - BlackRock Realty -1.2 0.8 -1.6 -23.9 -175 -11.6 - - Rank 93 92 86 97 98 98 - - DLJ RECP II ** -2.1 17.3 -3.6 -14.2 -6.7 1.0 11.0 13.3 Rank 94 66 88 90 88 39 8 7 DLJ RECP III ** 0.4 3.2 -11.2 -10.7 -4.8 0.1 - - Rank 87 89 94 86 61 46 - - DLJ RECP IV ** 2.7 22.5 11.3 -24.5 - - - - Rank 70 36 26 98 - - - - Fidelity II 4.0 11.8 2.0 -24.8 -19.0 -14.8 -6.2 - Rank 37 78 79 98 98 98 100 - Fidelity I1I 1.6 24.8 -8.7 -25.9 - - - - Rank 80 34 93 98 - - - Invesco Fund I 17.6 37.1 5.7 -15.5 -11.7 -5.1 - - Rank 1 3 53 91 94 93 - - Invesco Fund II 7.9 74.2 11.6 -48.8 - - - - Rank 4 1 26 100 - - - - Invesco Intl REIT 3.1 32.4 18.8 0.9 - - - - Rank vs REITs 74 68 99 93 - - - - Willows Office Property 2.3 -45.8 -24.5 -15.9 -3.8 -2.0 0.6 5.4 Rank 74 100 99 92 44 88 97 56 Total Real Estate 4.2 28.8 25.5 -4.3 -45 -0.6 7.1 9.6 Rank Median Real Estate 37 3.7 23 20.8 18 6.1 33 -7.3 61 4.1 61 -0.5 28 4.4 29 5.4 Real Estate Benchmark 3.9 21.6 17.1 1.2 1.5 4.2 8.8 9.2 Wilshire REIT 3.9 35.6 45.2 4.9 -0.6 1.8 8.6 10.6 NCREIF Property Index 3.9 16.7 7.2 -2.6 0.3 3.4 7.5 7.6 NCREIF Index + 300 bps 4.7 20.1 10.4 0.4 3.3 6.6 10.7 10.9 NCREIF Index + 500 bps 5.2 22.4 12.5 2.3 5.3 8.6 12.8 12.9 NCREIF Apartment 4.2 21.4 10.1 -1.4 0.5 2.9 7.0 7.7 NCREIF Apt + 300 bps 5.0 24.9 13.3 1.6 3.5 6.0 10.2 10.8 OPPORTUNISTIC Goldman Sachs -1.8 11.2 - - - - - - Oaktree PIF 2009 5.8 21.4 - - - - - Total Opportunistic -0.2 13.5 - - - - - - Total Fund 1.8 % 23.5 % 19.0% 4.8 % 2.4 % 5.1 % 7.2 % 6.5 % Rank vs. Total Fund 5 14 14 40 43 37 7 10 Rank vs. Public Fund 7 16 14 52 58 47 6 13 Median Total Fund 0.9 19.1 15.5 4.3 2.1 4.7 5.5 5.0 Median Public Fund 1.1 20.6 15.8 4.8 2.5 4.9 5.8 5.3 CPI + 400 bps 2.0 7.7 6.4 5.1 6.2 6.3 6.7 6.9 Policy Benchmark 1.4 23.1 19.6 - - - - - ' * See also see Internal Rates of Return for closed -end funds on page 15. ** Performance as of March 31, 2011. Please note that the Total Fund Policy Benchmark shown above was constructed by weighting the various asset class benchmarks by their target allocations. From the third quarter of 2009 to the present period, the benchmark is 29.4% Russell 3000, 19.6% MSCI World (Gross), 25.6% Barclays U.S. Aggregate, 3.2% Bank of America High Yield Master II, 3.2% Barclays Global Aggregate, 8.4% Dow . Jones Wilshire REIT, 3.1 % NCREIF, 7% S &P 500 + 4% and 0.5% 91 -Day T- Bills. 14