HOLLYWOOD POLICE PDF
LOCK INVERNESS EQUITY EXECUTIVE HERE LOCK LOCK INVERNESS EQ. UNIVERSE HERE(p1) INVERNESS EQ. UNIVERSE HERE(p2) LOCK LOCK INVERNESS EQUITY RISK HERE LOCK LOCK DHJ EQUITY EXECUTIVE HERE LOCK LOCK DHJ EQUITY EXECUTIVE HERE(p1) DHJ EQUITY EXECUTIVE HERE(P2) LOCK LOCK DHJ EQUITY RISK HERE LOCK EAGLE SMALL CAP EXECUTIVE HERE LOCK LOCK EAGLE SMALL CAP UNIVERSE HERE(P1) EAGLE SMALL CAP UNIVERSE HERE(p2) LOCK LOCK EAGLE SMALL CAP RISK HERE LOCK
Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund % Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund % Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund Hollywood Police Pension Fund %
Inverness Stock Returns Inverness Stock Returns Inverness Stock Returns Inverness Stock Returns DHJ Total Gross Returns (Stocks + Cash) DHJ Total Gross Returns (Stocks + Cash) DHJ Total Gross Returns (Stocks + Cash) DHJ Total Gross Returns (Stocks + Cash) EAM Gross Total (Stocks + Cash) EAM Gross Total (Stocks + Cash) EAM Gross Total (Stocks + Cash) EAM Gross Total (Stocks + Cash)
Executive Summary Universe Comparisons Universe Comparisons Risk Measures Executive Summary Universe Comparisons Universe Comparisons Risk Measures Executive Summary Universe Comparisons Universe Comparisons Risk Measures
43 Broad Large Cap Core Broad Large Cap Core 51 53 Broad Large Cap Growth Broad Large Cap Growth 59 61 Broad Small Cap Core Broad Small Cap Core 67
Inception date is September 30, 1992 45 46 3 Yr Inception date is March 31, 2000 55 56 1 Yr Inception date is March 31, 2003 63 64 Incept Incept
All dollar values are shown in thousands. Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns are in percent. "%-tile" is the percentile ranking within the universe. # of Negative Qtrs All dollar values are shown in thousands. Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns are in percent. "%-tile" is the percentile ranking within the universe. # of Negative Qtrs All dollar values are shown in thousands. Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns are in percent. "%-tile" is the percentile ranking within the universe. # of Negative Qtrs
Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. # of Positive Qtrs Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. # of Positive Qtrs Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. Returns for periods exceeding one year are annualized. # of Positive Qtrs
Returns are gross of fees. Incept is September 30, 1992 to December 31, 2003 Calendar Year Returns Batting Average Returns are gross of fees. Incept is March 31, 2000 to December 31, 2003 Calendar Year Returns Batting Average Returns are gross of fees. Incept is March 31, 2003 to December 31, 2003 Calendar Year Returns Batting Average
Account Reconciliation Trailing Returns through December 31, 2003 5-25th %tile 25-50th %tile 50-75th %tile Worst Qtr Account Reconciliation Trailing Returns through December 31, 2003 5-25th %tile 25-50th %tile 50-75th %tile Worst Qtr Account Reconciliation Trailing Returns through December 31, 2003 5-25th %tile 25-50th %tile 50-75th %tile Worst Qtr
Beginning Value 5-25th %tile 25-50th %tile 50-75th %tile 75-95th %tile Fund S&P 500 Best Qtr Beginning Value 5-25th %tile 25-50th %tile 50-75th %tile 75-95th %tile Fund S&P500 Best Qtr Beginning Value 5-25th %tile 25-50th %tile 50-75th %tile 75-95th %tile Fund FR2000 Best Qtr
Net Flows 75-95th %tile Fund S&P 500 -30.00% Range Net Flows 75-95th %tile Fund S&P500 -50.00% Range Net Flows 75-95th %tile Fund FR2000 -30.00% Range
Investment G/L -10.00% -20.00% Worst 4 Qtrs Investment G/L -20.00% -25.00% Worst 4 Qtrs Investment G/L 0.00% -20.00% Worst 4 Qtrs
Ending Value -5.00% -10.00% Standard Deviation Ending Value -10.00% 0.00% Standard Deviation Ending Value 10.00% -10.00% Standard Deviation
12/31/2003 0.00% 0.00% Beta 12/31/2003 0.00% 25.00% Beta 12/31/2003 20.00% 0.00% Beta
Qtr 5.00% 10.00% Annualized Alpha Qtr 10.00% 50.00% Annualized Alpha Qtr 30.00% 10.00% Annualized Alpha
59,900 10.00% 20.00% R-Squared 17,136 20.00% 75.00% R-Squared 5,704 40.00% 20.00% R-Squared
-1,760 15.00% 30.00% Sharpe Ratio -18 30.00% 100.00% Sharpe Ratio -12 50.00% 30.00% Sharpe Ratio
7,230 20.00% 40.00% Treynor Ratio 1,533 40.00% Qtr YTD 2002 2001 2000 1999 1998 1997 1996 1995 Treynor Ratio 825 60.00% 40.00% Treynor Ratio
65,370 25.00% 50.00% Tracking Error 18,651 50.00% Calendar Year Returns Tracking Error 6,517 70.00% 50.00% Tracking Error
2003 30.00% 60.00% Information Ratio 2003 60.00% Fund Information Ratio 2003 80.00% 60.00% Information Ratio
YTD 35.00% Qtr YTD 2002 2001 2000 1999 1998 1997 1996 1995 Fund YTD 2 Qtrs Return Fund YTD Qtr YTD Incept 70.00% Fund Fund
47,998 40.00% Calendar Year Returns 5 14,381 3 Qtrs %-tile 1 0 Trailing Returns through December 31, 2003 Qtr YTD 2002 2001 2000 1999 1998 1997 1996 1995 0
2,739 45.00% Fund 7 953 1 Yr S&P500 3 4,789 Fund Calendar Year Returns 3
14,633 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr Return 58.33 3,317 2 Yr Return 50 1,728 Return Fund Batting Average 0
65,370 Trailing Returns through December 31, 2003 %-tile -15.47 18,651 3 Yr %-tile -1.65 6,517 %-tile Return 4.64
9/30/1992 Fund S&P 500 14.77 3/31/2000 4 Yr Universe 10.56 3/31/2003 FR2000 %-tile 14.47
Incept Return Return 30.24 Incept 5 Yr 5th %-tile 12.21 Incept Return FR2000 9.83
  18,638 %-tile %-tile -19.42 10,795 6 Yr 25th %-tile 22.53 4,822 %-tile Return 7.77
-13,092 S&P 500 Universe 18.03 11,645 7 Yr 50th %-tile 8.83 -33 Universe %-tile Standard Deviation 0.46
59,824 Return 5th %-tile 0.96 -3,788 8 Yr 75th %-tile 0.77 1,728 5th %-tile Universe Beta 15.3 0.153
65,370  65,370,000  %-tile 25th %-tile 3.71 18,651  18,651,000 Trailing Returns through December 31, 2003 95th %-tile 0.82 6,517    6,517,000 25th %-tile 5th %-tile Annualized Alpha 0.63
Investment Policy Universe 50th %-tile 0.93 Investment Policy Fund Qtr 0.9 Investment Policy 50th %-tile 25th %-tile R-Squared 4.53
Index 5th %-tile 75th %-tile -0.15 Index Return QU. FUND 8.95 0.0895 2.43 Index 75th %-tile 50th %-tile 76.46
S&P 500 25th %-tile 95th %-tile -2.78 S&P 500 %-tile UNIVERSE 87 27.87 Russell 2000 95th %-tile 75th %-tile 8.64
Total 50th %-tile Qtr 4.67 Total S&P500 POLICY 12.18 0.1218 3.71 Total Qtr 95th %-tile -2.11
Weight 75th %-tile QU. FUND 12.06 0.1206 0.78 Weight Return 16 -1.66 Weight 14.47 Qtr   FR2000
100 95th %-tile UNIVERSE 43 S&P 100 %-tile 13.22 S&P500 100 43 Qtr. FUND 14.47 0.1447 Policy 0
100 1 Yr POLICY 12.18 0.1218 500 100 Universe 11.73 1 100 14.52 UNIVERSE 43   3
Trailing Returns through December 31, 2003 1 Yr FUND 29.18 0.2918 35 5 Trailing Returns through December 31, 2003 5th %-tile 10.72 3 Trailing Returns through December 31, 2003 42 POLICY 14.52 0.1452 100
Fund UNIVERSE 29 14.64 7 Fund 25th %-tile 9.62 50 Fund 18.59 42 9.08
S&P 500 POLICY 28.68 0.2868 12.47 41.67 S&P500 50th %-tile 7.98 -3.15 FR2000 15.17 18.59 23.42
Diff 34 11.96 -17.28 Diff 75th %-tile YTD 15.39 Diff 14.08 15.17 14.34
1 Yr 35.07 10.81   15.39 1 Yr 95th %-tile 22.53 0.2253 18.54 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr 12.86 14.08   13.38
29.18 29.63 8.92 32.67 1/22/1900 2 Qtrs 86 28.68 3/31/2003 9.97 12.86 1
28.68 27.91 YTD   -24.76 28.68 12.68 28.68 0.2868 10.91 Incept YTD 9.97   Standard Deviation 0
0.5 25.2 29.18 18.07 -6.15 72 39 1 35.94 56.61 YTD 1
2 Yr 20.9 29 1 2 Yr 15.14 40.85 0 54.18 45.77 56.61 3.99
4.12 2 Yr 28.68 0 ############################## 35 31.14 1 ################################# 40.44 45.77 53.41
0.12 4.12 34 1 0.12 19.61 27.09 2.53 Calendar Year Returns 37.11 40.44 0
4 11 35.07 -0.35 -0.33 15.75 24.31 27.61 Fund 29.32 37.11 Diff
3 Yr 0.12 29.63 -6.33 3 Yr 14.16 20.51 0 FR2000 Incept 29.32 0
################################### 42 27.91 0 -5.11 12.46 2002 Diff Diff INCEPTION 35.94 0.3594 2002 0
Incept ROR -4.05 5.38 25.2 Diff   ############################## 10.22 2002 FUND -18.73 -0.1873 0 12/31/2003 UNIVERSE 94 -5.21 -100
Fund 3.66 1.49 20.9 0   -1.06 3 Qtrs UNIVERSE 10 0 Qtr POLICY 54.18 0.5418 -14.2 -4.44
Policy 4 Yr -0.14 2002 0   4 Yr 5 Yr 6 Yr 7 Yr 8 Yr 9 Yr 10 Yr 24.58 POLICY -22.1 -0.221 0 14.47 13 -16.62 -8.95
-4.44 -1.7 2002 FUND -16.08 -0.1608 16.66 3/31/2000 90 23 1.5 14.52 61.65 -20.99 -4.51
-5.34 -4.42 UNIVERSE 8 1.81 Incept 32.87 -15.75 -4.83 ################################# 52.34 -27.89 -5.61
0.9 3 Yr POLICY -22.1 -0.221 -0.62 -6.85 31 -22.7 -6.33 2003 48.36 2001 -0.54
5 Yr 3 Yr FUND -0.39 -0.0039 47 -2.43 -6.26 43.2 -25.58 -6.15 YTD 2002 2001 2000 1999 1998 1997 1996 1995 1994   41.77 28.33 15.3
1/1/1900 UNIVERSE 15 -15.02 5.34 ############################## 33.5 -29.64 -2.08 Returns in Up Markets 34.21 13.24 -0.37
################################### POLICY -4.05 -0.0405 -19.91 -0.04 Calendar Year Returns 30.03 -33.91 -0.23 Fund 4.74 0.54
1.99 45 -22.25 -0.04 Fund 27.08 2001 0.82 FR2000 -2.43 23.05
6 Yr 3.21 -23.64   3.71 S&P500 22.7 2001 FUND -14.21 -0.1421 -0.1 Ratio 3 Yr FUND -13.59   8.64
5.08 -2.5 -26.8 -0.07 Diff 1 Yr UNIVERSE 25 -0.1 3/31/2003 UNIVERSE 2000
3.79 -4.29 2001   0.2 12/31/2003 1 Yr FUND 22.53 0.2253 POLICY -11.88 -0.1188 0.26 Incept POLICY 32.01  
1.29 -5.71 2001 FUND -8.82 -0.0882 3.55 Qtr UNIVERSE 86 12 3.71 35.9 19.05
7 Yr -9.09 UNIVERSE 26 4.67 8.95 POLICY 28.68 0.2868 -9.66 2 Yr 54.2 10.3
8.63 4 Yr POLICY -11.88 -0.1188 5 Yr 5 Yr 12.18 39 -14.35 # of Negative Qtrs 66.3 3.7
1/7/1900 -4.44 48 # of Negative Qtrs ############################## 40.85 -18.9 # of Positive Qtrs Returns in Down Markets -7.1
1.04 41 0.69 # of Positive Qtrs 6/25/1905 31.14 -23.7 Batting Average Fund 1999
8 Yr -5.34 -8.82 Batting Average YTD 27.09 -32.02 Worst Qtr FR2000 44.2
1/10/1900   56 -12.07 Worst Qtr 1/22/1900 24.31 2000 Best Qtr Ratio 27.05
9.48   3.41 -13.76 Best Qtr 28.68 20.51 2000 FUND 0.19 Range 3/31/2003 16.64
0.57 -2.03 -19.6 Range -6.15 2 Yr UNIVERSE -6.84 Worst 4 Qtrs Incept 10
9 Yr -5.1 2000 Worst 4 Qtrs 2002 -0.21 N/A -11.51 Standard Deviation -3.23
11.88 -6.37 2000 FUND -15.65 -0.1565 Standard Deviation ############################## 31 -17.07 Beta 1998
12.28 -9.9 UNIVERSE 96 Beta -22.1 0.12 -25.75 Annualized Alpha 18.14
-0.4 5 Yr POLICY -9.11 -0.0911 Annualized Alpha 3.37 29 1999 R-Squared 5.24
10 Yr 5 Yr FUND 1.27 0.0127 65 R-Squared 2001 4.78 68.21 Sharpe Ratio 0.12
10.86 UNIVERSE 29 15.56 Sharpe Ratio -14.21 0.52 43.85 Treynor Ratio -6.16
1/11/1900 POLICY -0.72 -0.0072 0.06 Treynor Ratio ##############################   -2.58 32.83 Tracking Error -12.86
-0.37 55 -6.88 Tracking Error -2.33 -5.25 25.19 Information Ratio 1997
9/30/1992 7.14 -9.62   Information Ratio 2000 1999 1998 1997 1996 1995 1994 -7.63 1999 FUND 16.26   Fund 5 Yr FUND 37.54  
Incept 1.81 -15.34 Fund Fund Returns in Up Markets 3 Yr N/A 1998 3 N/A 31.27
11.84 -0.53 1999   9 Fund 3 Yr FUND -5.11 -0.0511   50.9   5   25.98  
11.34 -1.53 1999 FUND 27.75 0.2775 11 S&P500 UNIVERSE 25 37.71 62.5 20.2
0.5 -4.36 UNIVERSE 18 Batting Average 55 Ratio POLICY -4.05 -0.0405 31.26 -14.71 12.83
Calendar Year Returns 6 Yr POLICY 20.14 0.2014 -15.47 1 Yr 18 25.42 10.56 1996
Fund 5.08 53 19.48 1/24/1900 -1.78 14.09 25.27 38.3
S&P 500 23 40.15 34.95 32.9 -5.28 1997 -21.93 26.2
Diff 3.79 24.24 -31.06 74.8 -8.58 36.88 14.64 21.94
12/31/2003 43 20.43 Standard Deviation 16.88 2 Yr -10.98 31.69 0.82 18.47
Qtr 8.82 15.61 Beta 0.95   27.4 -15.07 1998 FUND 27.7 -0.49   10.81  
12.06 4.7 5.6 Annualized Alpha 2.03 0.0203 34.2 4 Yr N/A 23.28 0.95 1995
12.18 3.54 1998 R-Squared 0.91 80 -0.75   13.51 -0.11 48.22
-0.12 2.29 1998 FUND 26.36 0.2636 -0.13 3 Yr -6.24 1996 -1.95 36.89
2003 -0.43 UNIVERSE 45 -2.35 28.6 -8.97 27.88 4.64 29.88
YTD 7 Yr POLICY 29.62 0.2962 5 35.1 -11.99 22.51 -0.07 23.65
29.18 8.63 19 0.4 81.4 -17.2 20.03 S&P500 19.72
28.68 19 35.85 Policy S&P 3/31/2000 5 Yr 16.81 3
0.5 7.59 28.5 500 Incept 5 Yr FUND 6.38 10.66 5
2002 30 25.14 9 28.6 N/A 1.03 1995 37.5
-16.08 10.88 17.48 11 35.1 -1.74 47.05 -17.28
-22.1 7.81 7.55 45 81.4 -3.95 36.25 15.39
1/6/1900 6.98 1997 -17.28 Returns in Down Markets -8.19 32.85 32.67
2001 5.58 32.63 15.39 Fund 6 Yr 28.63 -24.76
-8.82 2.7 29 32.67 S&P500   9.36 23.39 17.45
################################### 8 Yr 33.5 -26.62 Ratio 4.9   1  
1/3/1900 10.05 18 Standard Deviation 16.97 1 Yr 3.06 0
2000 19 36.26 1 -1.6 0.95   1  
-15.65 9.48 32.81 0 -3.1 -2.47 -0.07
-9.11 25 30.27 1 52.4 7 Yr -1.27
-6.54 12.42 25.81 -0.25 2 Yr 10.73 0
1999 9.44 15.95 -4.22 -26.4 7.49 Diff
27.75 8.65 1996 0 -30.6 5.99 0
20.14 7.2 20.54 Diff 86.2 4.04 0
7.61 4.57 61 0 3 Yr 0.7 25
1998 9 Yr 23.66 0 -38 8 Yr 2.57
26.36 11.88 23 10 -40.6 12.37 -4.83
29.62 31 28.82   1.81 93.6 8.98   -7.4 QU. FUND  
-3.26 12.28 23.34 4.09 3/31/2000 7.56 2.83 UNIVERSE
1997 20 21.69   2.28 Incept 5.76   -2.81 POLICY  
32.63 14.34 18.67 -4.44 -29.7 2.95 -0.18
33.5 12 13.52 -0.09 -31.9 -0.49
-0.87 10.93 1995 -0.05 93.2 -0.05
1996 9.55 27.6 2.03 -0.04
20.54 7.12 83 -0.09 -0.68
23.66 10 Yr 37.44 0.12 4.64
################################### 10.86 14 1.87 3 Yr
1995 25 39.63 5 # of Negative Qtrs
27.6 11.23 36.82 10 Yr # of Positive Qtrs
37.44 19 34.21   # of Negative Qtrs   Batting Average
-9.84 12.86 29.37 # of Positive Qtrs Worst Qtr
1994 10.84 23.58   Batting Average   Best Qtr
2.1 9.87 Worst Qtr Range
2.15 8.4 Best Qtr Worst 4 Qtrs
-0.05 6.23 Range Standard Deviation
Returns in Up Markets Worst 4 Qtrs Beta
Fund Standard Deviation Annualized Alpha
S&P 500   Beta   R-Squared 2002 FUND  
Ratio Annualized Alpha Sharpe Ratio UNIVERSE
3 Yr   R-Squared   Treynor Ratio POLICY  
37.3 Sharpe Ratio Tracking Error
35.1   Treynor Ratio Information Ratio
106.3 Tracking Error Fund
5 Yr Information Ratio 5
35 Fund 7
33.7 11 58.33
103.9 29 -14.71
10 Yr   47.5   10.56 2001 FUND  
31.1 -15.47 25.27 UNIVERSE
32.3   22.14   -21.93 POLICY  
96.3 37.61 15.71
9/30/1992   -31.06   0.84
Incept 15.6   -1.89
29.4 0.96 0.94
29.1 0.19 -0.47
100.9 0.92 -8.8
Returns in Down Markets 0.42 4.65
Fund   6.84   -0.23 2000 FUND  
S&P 500 4.54 S&P500 UNIVERSE
Ratio   -0.08   5 POLICY  
3 Yr S&P 7
-36.4   500   41.67
-40.6 11 -17.28
89.8 29 15.39
5 Yr 52.5 32.67
-28.7 -17.28 -24.76
-31 21.13 18.07
92.7   38.41   1 1999 FUND  
10 Yr -26.62 0 N/A
-28.7   15.64   1    
-29.6 1 -0.35
97.2   0   -6.33
9/30/1992 1 0
Incept 0.44 Diff
-28.7 6.94 0
-29.6 0 0
97.2 Diff 16.66
0 2.57 1998 FUND
0 -4.83 N/A
  -5   -7.4    
1.81 2.83  
  1.01   -2.36  
-0.8 -0.16
-4.44 -1.89
-0.04 -0.06
-0.04 -0.12
0.19 -2.47
-0.08 4.65
Incept -0.02 Incept Incept
  -0.1   # of Negative Qtrs  
4.54 # of Positive Qtrs
  Incept   Batting Average  
# of Negative Qtrs Worst Qtr
# of Positive Qtrs Best Qtr
Batting Average Range
Worst Qtr Worst 4 Qtrs
Best Qtr Standard Deviation
Range Beta
Worst 4 Qtrs Annualized Alpha
Standard Deviation R-Squared
Beta Sharpe Ratio
Annualized Alpha Treynor Ratio
R-Squared Tracking Error
Sharpe Ratio Information Ratio
Fund Treynor Ratio Fund Fund
Tracking Error 7
  Information Ratio 8
Batting Average Fund Batting Average 60
11 -14.71
34 10.56
51.11 25.27
-15.47 -30.23
Standard Deviation 22.14 Standard Deviation 16.06
Beta 37.61 Beta 0.89
Annualized Alpha -31.06 -0.3106 Annualized Alpha -1.4 -0.014 0
R-Squared 14.93 R-Squared 0.91
0.96 -0.62
0.95 -11.11
0.91 5.16
0.51 -0.11
Policy 8 Policy S&P500
4.46 8
0.11 7
S&P 40
500 -17.28
11 15.39
34 32.67
48.89 -26.62
Standard Deviation -17.28 Standard Deviation 17.31
21.13 1
38.41 0
-26.62 1
14.86 -0.54
1 -9.3
0 0
1 Diff
0.48 -1
7.18 1
0 20
Diff 2.57
0 -4.83
0 -7.4
2.22 -3.61
1.81 -1.25
1.01 -0.11
-0.8 -1.4
-4.44 -0.09
0.07 -0.08
-0.04 -1.81
0.95 5.16
-0.09
0.03
0.82
4.46