Fresno County Employees Retirement System Core Plus & MSFD - - PowerPoint PPT Presentation
Fresno County Employees Retirement System Core Plus & MSFD November 2, 2011 PRESENTED BY Stephanie S. Lord, CFA, CIC Vice President, Client Portfolio Manager One Financial Center Boston, Massachusetts 02111 617 482-2450
www.loomissayles.com
PRESENTED BY Stephanie S. Lord, CFA, CIC Vice President, Client Portfolio Manager
BOSTON CHICAGO DETROIT SAN FRANCISCO WASHINGTON DC One Financial Center Boston, Massachusetts 02111 617 482-2450
Fresno County Employees Retirement System – Core Plus & MSFD
November 2, 2011
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EXPERIENCED PROFESSIONALS AND DEEP RESOURCES
Since 1926, Loomis Sayles has established one of the richest investment management traditions in the industry
– 205 investment professionals – 115 CFA charterholders
As of 6/30/2011.
Firm Overview
LEGREV0811
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Global Broad Market Short Term Intermediate Term Core Core Plus Multisector Absolute Return Absolute Strategies Credit Long/Short Multi Asset Real Return
As of 09/30/2011; Several Portfolio Managers participate in more than one Product Team
INSTITUTIONAL PRODUCT OFFERINGS
Sector Specific Corporate Securitized High Yield Bank Loans Credit Asset Global Bond Global Credit Global High Yield Emerging Markets Debt Growth Small Cap Mid Cap All Cap Large Cap Small/Mid Cap Equity Research Core Focused Research Small Cap Mid Cap Focused Value Large Cap
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Firm Overview
Fixed Income Equity
Global Global Equity Opportunities LDI Custom LDI Corporate Long Duration Long Duration
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Total Assets Under Management is $156.6 Billion Expansion and Enhancement of Investment Strategies
– Long Duration and LDI Strategies – Loomis Sayles Senior Floating Rate and Fixed Income Fund
Loomis Sayles opens offices in London and Singapore Loomis Sayles Credit Long/Short Strategy has exceeded $1 Billion in assets Loomis Sayles named Top Fixed Income Fund Family by Lipper two years running (2009,2010) Institutional Investor Magazine announced Loomis Sayles as the Top High Yield Fixed Income Manager
As of 09/30/2011.
Firm Overview
LEGREV0811
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2.79 18.47 10.95 0.94 (0.80) 5.22 5.24 5.93 6.54 3.82 0.73 6.65
0.0 5.0 10.0 15.0 20.0 YTD Sep 11 3Q11 2010 2009 2008 Fresno County Employees Retirement Association (Gross) Benchmark
The current benchmark is Barclays Aggregate. (1) Barclays U.S. Universal from 7/31/2001 to 6/30/2003; and Barclays Aggregate from 6/30/2003 to 9/30/2011. Returns over one year are
CALENDAR YEAR RETURNS (%) AS OF 9/30/2011
Fresno County Employees Retirement Association
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6.47 9.17 13.37 9.20 4.98 5.85 6.53 7.97 6.70 5.26 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 1 year 2 years 3 years 5 years 07/31/2001 - 9/30/2011 Fresno County Employees Retirement Association(Gross) Benchmark
The current benchmark is Barclays Aggregate. (1) Barclays U.S. Universal from 7/31/2001 to 6/30/2003; and Barclays Aggregate from 6/30/2003 to 9/30/2011. Returns over one year are
ANNUALIZED RETURNS (%) AS OF 9/30/2011
Fresno County Employees Retirement Association
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The Attribution benchmark is Barclays Aggregate. Figures on bar charts may not add up to total excess return as they exclude impact of trading and pricing differences. Data Source: Barclays Capital 0.02
0.11
0.16 1.10
0.0 1.0 2.0 US Treasuries US Agencies Gov Related MBS Total ABS CMBS US Invest Grade US High Yield Emerging Markets Non-US Dollar Preferreds Cash & Equivalents No Category
Account Return 5.22 Benchmark Return 6.65 Excess Return (1.43)
1.79 1.32 0.47
0.0 2.0 4.0 Yield Curve Allocation Selection Total Parallel Non-Parallel
Total Returns Excess Return Attribution Excess Return Attribution by Sector
12/31/2010 THROUGH 9/30/2011 (%)
Fresno County Employees Retirement Association
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14.06 (5.12) (3.88) (0.33) 6.54 3.82 0.73 6.65
0.0 5.0 10.0 15.0 20.0 YTD Sep 11 3Q11 2010 Fresno County Employees Retirement System - MSFD (Gross) Benchmark
The current benchmark is Barclays Aggregate. Returns over one year are annualized. Information is reported on a trade date basis. Data Source: Barclays Capital
CALENDAR YEAR RETURNS (%) AS OF 9/30/2011
Fresno County Employees Retirement System - MSFD
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12.21 8.55 0.35 7.58 6.70 5.26 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 1 year 2 years 05/18/2009 - 9/30/2011 Fresno County Employees Retirement System - MSFD(Gross) Benchmark
The current benchmark is Barclays Aggregate. Returns over one year are annualized. Information is reported on a trade date basis. Data Source: Barclays Capital
ANNUALIZED RETURNS (%) AS OF 9/30/2011
Fresno County Employees Retirement System - MSFD
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The Attribution benchmark is Barclays Aggregate. Figures on bar charts may not add up to total excess return as they exclude impact of trading and pricing differences. Data Source: Barclays Capital
0.01
0.00 0.32
0.10
0.0 2.0 4.0 US Treasuries US Agencies Gov Related MBS Total ABS CMBS US Invest Grade US High Yield Emerging Markets Non-US Dollar Convertibles Preferreds Other Cash & Equivalents No Category
Account Return (0.33) Benchmark Return 6.65 Excess Return (6.98)
2.76 2.10 0.65
0.0 7.0 14.0 Yield Curve Allocation Selection Total Parallel Non-Parallel
Total Returns Excess Return Attribution Excess Return Attribution by Sector
12/31/2010 THROUGH 9/30/2011 (%)
Fresno County Employees Retirement System - MSFD
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Duration used is Effective. Data Source: Barclays Capital
Fresno County Employees Retirement Association 9/30/2010 Fresno County Employees Retirement Association 9/30/2011 Barclays Aggregate 9/30/2011 Yield to Maturity 4.19% 4.42% 2.34% Maturity 8.65 years 8.87 years 7.01 years Duration 5.75 years 5.94 years 4.89 years Coupon Rate 5.65% 5.77% 4.13% Average Price $104.39 $101.23 $108.96 Average Quality A3 A2 Aa2
Fresno County Employees Retirement Association
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Data Source: Barclays Capital
0.71 0.19 0.16 4.28 0.64 18.09 2.19 17.41 7.88 27.48 11.31 3.05 0.32 18.64 1.28 20.24 2.25 0.00 11.62 0.00 0.00 0.00 0.00 0.00 0.00 2.24 10.80 6.70 19.73 2.08 0.25 1.02 27.22 4.17 32.41 5.27 5.95 34.30 0.0 10.0 20.0 30.0 US Treasuries US Agencies Gov Related MBS Total MBS - 15 Year MBS - 30 Year MBS - Other ABS CMBS US Invest Grade IG - Financial IG - Industrial IG - Utility US High Yield Emerging (IG & HY) Non USD (IG & HY) Preferreds Cash & Equivalents No Category Fresno County Employees Retirement Association Barclays Aggregate
SECTOR DISTRIBUTION (%) AS OF 9/30/2011
Fresno County Employees Retirement Association
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0.71
0.28 0.00
3.30
7.80
6.73 0.90 0.00
0.0 5.0 10.0 US Treasuries US Agencies Gov Related MBS Total MBS - 15 Year MBS - 30 Year MBS - Other ABS CMBS US Invest Grade IG - Financial IG - Industrial IG - Utility US High Yield Emerging (IG & HY) Non USD (IG & HY) Preferreds Cash & Equivalents No Category
Data Source: Barclays Capital
Account Final Weight US Treasuries 11.62 US Agencies 0.00 Gov Related 2.25 MBS Total 20.24
MBS - 15 Year 1.28 MBS - 30 Year 18.64 MBS - Other 0.32
ABS 3.05 CMBS 11.31 US Invest Grade 27.48
IG - Financial 7.88 IG - Industrial 17.41 IG - Utility 2.19
US High Yield 18.09 Emerging Markets 0.64 Non-US Dollar 4.28 Preferreds 0.16 Cash & Equivalents 0.19 No Category 0.71
9/30/2010 TO 9/30/2011 (%)
Fresno County Employees Retirement Association
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For split rated securities in the quality distribution, the higher of Moody and S&P is used. The account's split rating treatment is based on client guidelines. The benchmark follows the vendor's methodology. Cash, Government & Agencies, and Aaa rated positions are reflected in the Aaa category. Data Source: Barclays Capital 0.00 4.52 13.22 23.11 12.56 5.33 41.25 0.00 0.00 0.00 8.55 10.19 6.28 74.98 0.0 20.0 40.0 60.0 80.0 Aaa Aa A Baa Ba B Caa & Lower Fresno County Employees Retirement Association Barclays Aggregate
QUALITY DISTRIBUTION (%) AS OF 9/30/2011
Fresno County Employees Retirement Association
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0.00
3.43 1.84
0.0 2.0 4.0 Aaa Aa A Baa Ba B Caa & Lower Other No Rating
For split rated securities in the quality distribution, the higher of Moody and S&P is used. The account's split rating treatment is based on client guidelines. The benchmark follows the vendor's methodology. Cash, Government & Agencies, and Aaa rated positions are reflected in the Aaa category. Data Source: Barclays Capital
Account Final Weight Aaa 41.25 Aa 5.33 A 12.56 Baa 23.11 Ba 13.22 B 4.52 Caa & Lower 0.00 Other 0.00 No Rating 0.00
9/30/2010 TO 9/30/2011 (%)
Fresno County Employees Retirement Association
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Fresno County Employees Retirement Association U S Dollars 95.72 Mexican Peso 4.28
Mex Peso-4.3% U S Dollar-95.7% Data Source: Barclays Capital
AS OF 9/30/2011 (%)
Fresno County Employees Retirement Association
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Fresno County Employees Retirement System - MSFD U S Dollars 79.43 Canadian Dollar 8.26 Brazilian Real 1.80 Mexican Peso 1.54 New Zealand Dollar 1.51 Philippine Peso 1.49 Euro 1.27 Indonesian Rupiah 1.22 South Korean Won 1.21 Indian Rupee 0.81 Australian Dollar 0.42 Malaysian Ringgit 0.39 Colombian Peso 0.35 Chilean Peso 0.24 Japanese Yen 0.06
Euro-1.3% Phil Peso-1.5% N Z Dollar-1.5% Mex Peso-1.5% Brazil Real-1.8% Can Dollar-8.3% U S Dollar-79.4%
Data Source: Barclays Capital
AS OF 9/30/2011 (%)
Fresno County Employees Retirement System - MSFD
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0.66 19.90 0.61 0.23 2.07 2.68 0.20 0.48
0.67
0.0 12.0 24.0 US Treasuries US Agencies Gov Related MBS Total ABS CMBS US Invest Grade IG - Financial IG - Industrial IG - Utility US High Yield HY - Financial HY - Industrial HY - Utility Emerging (IG & HY) Non USD (IG & HY) Converts (IG & HY) Preferreds Other Cash & Equivalents No Category
Data Source: Barclays Capital
Account Final Weight US Treasuries 0.00 US Agencies 1.05 Gov Related 0.80 MBS Total 1.08 ABS 0.47 CMBS 0.84 US Invest Grade 22.64
IG - Financial 5.55 IG - Industrial 13.55 IG - Utility 3.54
US High Yield 16.76
HY - Financial 1.83 HY - Industrial 13.93 HY - Utility 1.00
Emerging Markets 0.32 Non-US Dollar 20.51 Convertibles 11.82 Preferreds 0.23 Other 0.61 Cash & Equivalents 22.23 No Category 0.66
9/30/2010 TO 9/30/2011 (%)
Fresno County Employees Retirement System - MSFD
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Duration used is Effective. Data Source: Barclays Capital
Fresno County Employees Retirement System - MSFD 9/30/2010 Fresno County Employees Retirement System - MSFD 9/30/2011 Barclays Aggregate 9/30/2011 Yield to Maturity 4.87% 5.05% 2.34% Maturity 9.78 years 8.29 years 7.01 years Duration 6.27 years 5.03 years 4.89 years Coupon Rate 5.85% 4.50% 4.13% Average Price $95.35 $88.78 $108.96 Average Quality Baa2 Baa1 Aa2
Fresno County Employees Retirement System - MSFD
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0.00 0.61 0.88
23.37
0.0 14.0 28.0 Aaa Aa A Baa Ba B Caa & Lower Other No Rating
For split rated securities in the quality distribution, the higher of Moody, and S&P is used. Unrated securities are rated by Loomis Sayles Research. The account's split rating treatment is based on client
Account Final Weight Aaa 9.92 Aa 26.82 A 14.01 Baa 25.07 Ba 13.03 B 7.55 Caa & Lower 2.99 Other 0.61 No Rating 0.00
9/30/2010 TO 9/30/2011 (%)
Fresno County Employees Retirement System - MSFD
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Chart illustrates 10 Year Treasury Yields from 1/02/62 – 9/30/2011 Data source: Bloomberg
10-YEAR US TREASURY YIELDS
2 4 6 8 10 12 14 16 18 Jan-62 Jan-65 Jan-68 Jan-71 Jan-74 Jan-77 Jan-80 Jan-83 Jan-86 Jan-89 Jan-92 Jan-95 Jan-98 Jan-01 Jan-04 Jan-07 Jan-10 10 Year Treasury
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PERIPHERAL EUROPEAN SOVEREIGN ANXIETY
Data source: Bloomberg. Sovereign 10yr Yields through 9/30/11 2 4 6 8 10 12 14 16 18 20 11/1/07 1/1/08 3/1/08 5/1/08 7/1/08 9/1/08 11/1/08 1/1/09 3/1/09 5/1/09 7/1/09 9/1/09 11/1/09 1/1/10 3/1/10 5/1/10 7/1/10 9/1/10 11/1/10 1/1/11 3/1/11 5/1/11 7/1/11 9/1/11 Yield %
Portugal Ireland Italy Greece Spain Germany
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The opinions expressed are based upon subjective judgments and will evolve as future events unfold. Data source: Loomis Sayles Economics, Bloomberg, Moody’s Investors Services, Consensus Economics As of 9/20/2011
cycle perhaps as soon as next year.
weaker dollar
capital controls and managed exchange rates.
MACRO ENVIRONMENT
Credit Cycle Global Rebalancing Will Support US Growth Over the Long Run
periphery and in the UK. The debt ceiling debate started the US down a similar path although it continues to avoid addressing its long-term structural issues.
dramatically at some point (health care, defense, agriculture, oil sector, personal tax rates).
difficult if not impossible.
Fiscal Uncertainty Across Advanced Economies US Economy
diminishing as confidence falters, wealth has deteriorated and surveys of capital expenditures are fading
tightening and the European debt crisis.
weak job and wage growth.
aggravates pressure on European fiscal budgets.
pushed credit spreads wider.
may be needed in order to achieve meaningful resolution, politically.
rates if a recession were to occur. Spreads are likely to compensate for future defaults.
2010 2011 2012 2010 2011 2012 2010 2011 2012 2010 2011 2012 2010 2011 2012 GDP Growth 3.0% 1.6% 2.1% 4.2% 3.1% 3.5% 1.7% 1.7% 1.4% 7.8% 6.5% 6.0% 6.2% 4.9% 4.0% CPI Inflation 1.6% 3.2% 2.2% 2.8% 3.8% 3.1% 1.8% 2.7% 2.0% 2.6% 3.6% 3.0% 7.3% 7.6% 7.1% Current Account Balance (Billions $) (471) (480) (433)
179.0 218.0 598 510 510 (56.5) (71.3) (101.5) Interest Rates (10-Year); end of year 3.40% 2.00% 2.75%
Year-end Forecast
U.S. Domestic Global Western Europe Asia Pacific
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CONSENSUS FORECASTED 2011 CPI
Source: Bloomberg; Consensus data as of 09/30/2011
2.55 3.00 3.50 5.20 6.00 6.30
1 2 3 4 5 6 7 Brazil Indonesia China Australia United States Euro Zone Japan
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US DOLLAR INDEX
Source: Bloomberg; data through 9/30/2011
65 75 85 95 105 115 125 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 DXY Index
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US HIGH GRADE CORPORATE SPREADS
Data source: Barclays Capital. Averages computed by Loomis Sayles. Data through 09/30/2011
100 200 300 400 500 600 700 Sep-96 Sep-97 Sep-98 Sep-99 Sep-00 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 OAS (bps) US Corp IG 10yr avg 15yr avg
9/30/2011 10 Yr Average 15 Yr Average Current Spread to 10 Yr Avg Current Spread to 15 Yr Avg US Corp IG 238 174 154 64 85 Aaa 87 93 84 (6) 2 Aa 187 117 105 70 82 A 224 158 140 66 84 Baa 283 223 198 60 85
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US HIGH YIELD CORPORATE SPREADS
Data source: Barclays Capital. Averages computed by Loomis Sayles. Data through 09/30/2011
200 400 600 800 1000 1200 1400 1600 1800 2000 Sep-96 Mar-97 Sep-97 Mar-98 Sep-98 Mar-99 Sep-99 Mar-00 Sep-00 Mar-01 Sep-01 Mar-02 Sep-02 Mar-03 Sep-03 Mar-04 Sep-04 Mar-05 Sep-05 Mar-06 Sep-06 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Sep-10 Mar-11 Sep-11
US CORP HY 10yr Avg 15yr Avg
Basis Points
9/30/2011 10 Yr Average 15 Yr Average Current Spread to 10 Yr Avg Current Spread to 15 Yr Avg US Corp HY 807 601 560 206 248 Ba 616 419 374 197 243 B 783 571 547 212 236 Caa 1180 976 1000 204 179
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US HIGH YIELD NEW ISSUANCE – USE OF PROCEEDS
For Institutional Client Use Only – Not For Further Distribution. Data Source: JP Morgan 09/30/2011
0.00 50.00 100.00 150.00 200.00 250.00 300.00 350.00 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 High Yield New Issuance ($billions) Refinancing Acquisition Finance General Corp Other
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This report is a service provided to customers of Loomis Sayles for informational purposes and is not a recommendation to purchase or sell securities. The performance shown is gross of management fees. Past performance is not a guarantee of future results. Loomis Sayles believes the information contained in this report is reliable but we do not guarantee its accuracy.
Dante Cunningham Portfolio Analyst 617-748-1736 DCunningham@LoomisSayles.com Risa Y. Sampson Portfolio Assistant 415-364-5326 RSampson@loomissayles.com Brian Kennedy Product Manager Laurie Gallagher Client Administration Manager Stephanie S. Lord, CFA, CIC Client Portfolio Manager 312-960-3525 SLord@loomissayles.com
RELATIONSHIP MANAGEMENT
Matthew J. Eagan, CFA Portfolio Manager
INVESTMENT MANAGEMENT
Fresno County Employees Retirement System - MSFD
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