1 state street investment analytics suffolk county council performance review period ending march,...
TRANSCRIPT
1
STATE STREET INVESTMENT ANALYTICS
Suffolk County Council Performance Review
Period Ending March, 2012
Wednesday 25th July 2012
2
STATE STREET INVESTMENT ANALYTICS
Agenda
Section 1 – Total Fund Performance versus Strategic Benchmark
Section 2 – Total Fund Performance versus WM Local Authority Universe
This document has been produced for general information only and solely for client use and it may not be copied, reproduced, distributed, published, transmitted, stored in a retrieval system or relied upon by any other person without WM's prior written consent. Except as and where expressly mandated, no representation is given in respect of the information in this document and the reporting sent herewith and no responsibility is accepted by State Street Corporation and its affiliates (including WM and the State Street Investment Analytics division) for any losses or actions or omissions taken by any party in reliance of the same and the results obtained from its use. All statistics quoted are sourced by the State Street Investment Analytics division unless otherwise stated. All rights reserved.
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DIVISION NAME OR PRODUCT
Section 1
Total Fund Performance versus Strategic Benchmark
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STATE STREET INVESTMENT ANALYTICS
Fund Structure as at end March 2012
Manager
% of
Total Fund Mandate Benchmark
Performance Target
(* net of fees)
Legal & General 29 Multi Asset Passive Composite n/a
Alliance Bernstein 11 UK Equities FTSE All Share +2.5*
BlackRock 9 UK Equities FTSE All Share +2.0
JP Morgan 14 Global Equities MSCI AC World NDR +3.0
Newton 13 Global Equities MSCI AC World NDR +2.5
Aberdeen 7 Bonds Composite +0.75*
Schroders 10 Property IPD UK Property Pooled +0.75*
Internally Managed 4 Private Equity FTSE World -
Millenium 2 Active Currency FTSE 100 -
KKR 0 Infrastructure - -
Partners 0 Infrastructure - -
Millenium 0 Currency Overlay - -
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STATE STREET INVESTMENT ANALYTICS
Performance Summary
12 Months 3 Years 5 Years 10 Years% pa % pa % pa
Fund 1.7 13.2 1.9 5.3
Benchmark 3.8 15.7 3.3 6.1
Relative Return -2.0 -2.2 -1.4 -0.8
-25
-20
-15
-10
-5
0
5
10
15
20
25
Return%
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STATE STREET INVESTMENT ANALYTICS
Long Term Performance
3yrs 5yrs 10yrs2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 % pa % pa % pa
Fund Returns
Fund -18.4 23.9 11.0 26.2 8.3 -2.6 -22.2 32.9 7.2 1.7 13.2 1.9 5.3
Benchmark -18.3 24.1 11.9 26.4 7.7 -3.6 -21.3 37.6 8.5 3.8 15.7 3.3 6.1
Relative -0.1 -0.1 -0.8 -0.2 0.5 1.0 -1.2 -3.4 -1.2 -2.0 -2.2 -1.4 -0.8
-4
-2
0
2
4
RelativeReturn
%
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STATE STREET INVESTMENT ANALYTICS
Performance Attribution for year ending March 2012
UK Equity
N. America
Europe ex UK J apan Pacific
Other Intl.
UK Gov Bond
UK Corp Bond
O/S Bonds UK IL Cash
Private Eq
Active CCY Infra. Property
Total Fund
Asset Allocation
Fund Start 23.0 17.6 10.4 3.7 5.5 4.6 3.5 10.7 0.1 4.2 0.8 4.0 2.6 9.4 100.0
Fund End 21.8 17.9 10.4 3.4 5.0 4.2 3.4 11.2 0.1 4.2 1.6 4.4 2.4 0.4 9.6 100.0
BM Start 22.8 17.5 9.6 3.3 4.1 5.5 4.0 11.0 4.0 5.0 3.2 10.0 100.0
BM End 22.8 18.2 9.9 3.5 4.3 5.8 3.6 10.6 3.7 5.1 3.0 9.5 100.0
Impact - - -0.2 - -0.1 0.1 -0.2 -0.1 - - -0.1 - - - -0.1 -0.8Diff 0.154 0.117 0.822 0.358 1.367 -0.874 -0.488 -0.335 0.069 0.176 0.824 -1.012 -0.561 -0.613-0.948 -0.238 0.428 -0.114 0.743 -1.547 -0.251 0.591 0.074 0.550 1.632 -0.758 -0.633 0.396 0.082
Stock Selection
Fund -1.5 2.7 -5.1 -4.3 -1.9 -11.4 23.0 8.3 10.6 21.0 -0.2 2.2 -6.6 n/a 5.6 1.7
Benchmark 1.4 6.7 -6.7 0.6 -5.9 -8.5 22.5 8.9 21.1 0.4 -4.1 5.7 3.8
Impact -0.6 -0.7 0.2 -0.2 0.2 -0.1 - -0.1 - - -0.1 - -1.3-2.8 -3.8 1.8 -4.8 4.2 -3.1 0.4 -0.5 -0.1 1.7 -2.6 -0.1552 -2.0
-5
0
5
-4
-2
0
2
4
Relative Weighting
%
RelativeReturn
%
-5
0
5
-4
-2
0
2
4
Relative Weighting
%
RelativeReturn
%
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STATE STREET INVESTMENT ANALYTICS
Manager Performance
Manager
% of
Total Fund Mandate
1 Year
Relative
Return %
3 Year
Relative
Return % p.a.
Performance
Target
(* net of fees)
Legal & General 29 Multi Asset Passive -0.5 -0.2 n/a
Alliance Bernstein 11 UK Equities -3.3 -4.0 +2.5*
BlackRock 9 UK Equities -2.0 +0.5 +2.0
JP Morgan 14 Global Equities -1.8 +0.7 +3.0
Newton 13 Global Equities -4.1 -3.8 +2.5
Aberdeen 7 Bonds -1.2 +1.7 +0.75*
Schroders 10 Property -0.3 -1.1 +0.75*
Internally Managed 4 Private Equity +1.7 -17.3 -
Millenium 2 Active Currency -2.6 -4.8 -
KKR 0 Infrastructure - - -
Partners 0 Infrastructure - - -
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STATE STREET INVESTMENT ANALYTICS
Section 2
Total Fund Performance versus WM Local Authority Universe
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STATE STREET INVESTMENT ANALYTICS
Long Term Annual Performancevs. WM Local Authority Universe
3yrs 5yrs 10yrs2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 % pa % pa % pa
Fund Returns
Fund -18.4 23.9 11.0 26.2 8.3 -2.6 -22.2 32.9 7.2 1.7 13.2 1.9 5.3
Benchmark -19.5 23.4 11.7 24.9 7.0 -2.8 -19.9 35.2 8.2 2.6 14.5 3.2 5.7
Relative 1.3 0.4 -0.7 1.1 1.2 0.2 -2.9 -1.7 -0.9 -0.8 -1.2 -1.2 -0.3
Ranking (21) (50) (60) (26) (13) (37) (72) (70) (74) (80) (82) (77) (61)
-4
-2
0
2
4
RelativeReturn
%
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STATE STREET INVESTMENT ANALYTICS
Annual Attributionvs. WM Local Authority Universe
Total Equity
Bonds + IL
Multi Asset Cash
Alternatives
Curr Instr Property
Total Fund
Asset Allocation
Fund Start 64.7 18.4 0.8 6.6 -0.0 9.4 100.0
Fund End 62.7 18.9 1.6 7.2 -0.0 9.6 100.0
BM Start 64.8 17.0 0.5 3.3 8.0 0.1 6.7 100.0
BM End 62.4 18.0 1.0 3.5 7.7 0.1 7.3 100.0
Impact - - - - - - 0.1 0.3Diff 0.0 1.4 -0.5 -2.5 -1.4 -0.1 2.6 0.00.4 0.9 -1.0 -1.9 -0.6 -0.1 2.3 0.0
Stock Selection
Fund -1.8 13.8 -0.2 -1.6 n/a 5.6 1.7
Benchmark -0.1 12.7 -1.0 0.8 2.0 7.2 5.5 2.6
Impact -1.1 0.2 - -0.2 - -1.1-1.7 1.0 -1.0 -3.5 n/a 0.0 -0.8
-5
0
5
-4
-2
0
2
4
Relative Weighting
%
RelativeReturn
%
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STATE STREET INVESTMENT ANALYTICS
Contact details for further information
Nicola Dinnie – Client Manager
State Street Investment Analytics525 Ferry Road, Edinburgh EH5 2AW
0131 315 5427