oklahoma municipal retirement fund 2q09.pdf · 20/08/2009 · hon cheung china market development...
TRANSCRIPT
Presented on July 31, 2009
Gregory Balewicz
A presentation to:
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Oklahoma Municipal Retirement Fund
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1 OMRS Relationship Review
2 SSgA Overview
3 S&P 500® Index Strategy
Appendix A: Important Disclosures
Appendix B: GIPS® Presentation
Appendix C: Biography
Contents
OMRS Relationship Review
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S&P 500 Index SL Fund (DB) $68,043,929 $6,043,500 $(224,505) $(17,806,159) $56,056,765 S&P 500 Index SL Fund (DCA) 13,907,700 463,000 (55,865) (3,635,144) 10,679,692 S&P 500 Index SL Fund (DCO) 11,323,986 919,100 (1,146,900) (2,978,062) 8,118,124 Total $93,275,615 $7,425,600 $(1,427,269) $(24,419,365) $74,854,581
S&P 500 Index SL Fund (DB) 0.20% 15.94% 3.22% -26.10% -8.15% -3.88% Dec-04S&P 500 Index 0.20 15.93 3.16 -26.21 -8.22 -3.98
S&P 500 Index SL Fund (DCA) 0.20 15.94 3.22 -26.10 -8.15 -3.88 Dec-04S&P 500 Index 0.20 15.93 3.16 -26.21 -8.22 -3.98
S&P 500 Index SL Fund (DCO) 0.20 15.94 3.22 -26.10 -8.15 -3.92 Dec-04S&P 500 Index 0.20 15.93 3.16 -26.21 -8.22 -3.98
S&P 500 Index SL Fund (DB) $56,056,765 S&P 500 Index SL Fund (DCA) 10,679,692 S&P 500 Index SL Fund (DCO) 8,118,124 Total $74,854,581
Market Value
Investment Summary As of June 30, 2009
Statement of Asset ChangesThe following changes took place in the The Oklahoma Municipal Retirement Fund Since 6/30/08:
Starting Balance Appreciation/ Ending Balance6/30/08 Contributions Withdrawals Depreciation* 6/30/09
Summary of PerformanceThe following are returns for the Oklahoma Municipal Retirement Fund portfolio versus the benchmark as of June 30, 2009
One Three Year Last 12 Three Since InceptionMonth Months to Date Years Years Inception Date
Oklahoma Municipal Retirement Fund Account Summary
* Includes dividends, interest, and realized/unrealized gains and losses.Past performance is not a guarantee of future results.Return periods of less than one year are not annualized.
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Public Funds Relationship Management Team
Public Funds Team Leader
Jim Thorsen, CFA 617-664-2342 617-664-2031 [email protected]
Senior Relationship Manager
Craig DeGiacomo 617-664-6266 617-664-2031 [email protected]
Senior Relationship Manager
Mary Guy 617-664-2044 617-664-2031 [email protected]
Senior Relationship Manager
Greg Balewicz 617-664-3768 617-664-2031 [email protected]
Senior Relationship Manager
Jennifer McCarthy 617-664-2018 617-664-2031 [email protected]
Administrative Assistant
Drew Tewksbury 617-664-3537 617-664-2031 [email protected]
Reporting Analyst
Megan Gibber 617-664-6335 617-664-6012 [email protected]
Reporting Analyst
Nicole Weckesser 617-664-5012 617-664-6012 [email protected]
Contacts Telephone Number Fax Number Email Address
Oklahoma Municipal Retirement Fund Service Team
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SSgA Overview
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State Street Corporation:Leading Provider of Financial Services to Institutional Investors
Global Advisors
$1.4 trillion* in assets under management
Largest worldwide institutional assets***
Investment choices across the risk/return spectrum
Fiduciary heritage since 1792More than 27,500 employees in 27 countries*Core business managing and servicing financial assets
Operating-basis earnings per share growth consecutively for the past 31 yearsOperating-basis earnings per share growth of 15% compounded annually over the 10 years of 1998-2008
$11.3 trillion* inassets under custody
Leading provider of investment manager operations outsourcing
Premiere hedge fund service provider
Global MarketsSecurities FinanceInvestor Services
Asset Servicing Asset Management
* As of March 31, 2009** As of December 31, 2008*** Pensions & Investments, May 18, 2009‡ Past performance is not a guarantee of future results.
Investment Research and
Trading
Over $14 trillion in volume traded across asset classes in 2008*
Transitioned assets of more than $433 billion in value**
Trading relationships with 88 of the world’s 100 largest asset managers**
Approximately $2 trillion in lendable assets*
More than $400 billion in assets on loan*
Lending across multiple asset classes for 45+ markets*
More than 450 customers and approximately 150 approved borrowers, worldwide*
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Strength of Relationships and Product Diversity
$1,395 Billion in Assets Under ManagementAs of March 31, 2009
Non-US equity$122,274 million
World equity$108,328 million
Alternative$12,978 million
Asset allocation/Balanced accounts†
$78,388 million
Company stocks/ESOPs$35,536 million
Currency$33,206 million
Assets passed to sub-advisors$4,101 million
Fixed income $262,545 million
US equity$250,400 million
Cash$487,255 million
$107 Billion ofActive/Enhanced AssetsUnder ManagementAs of March 31, 2009
Active AssetsStrategies (US$ Millions)
Equity $32,778
Fixed Income 30,307
Hedge Funds/Private Equity 5,452
Real Estate 1,959
Currency 3,297
Active Asset Allocation‡ 4,647
Total Active Assets $78,439
Total Enhanced $28,889
Total Active and Enhanced $107,328
Over 55% of clients have two or more strategies* 86% of new business comes from existing clients*
* Source: SSgA, as of March 31, 2009† Assets in Asset Allocation are not counted in their underlying asset class above‡ Includes TAA and GAA w/Active Underlying
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State Street Global Advisors
Scott Powers President and
Chief Executive Officer
Greg EhretEurope, Middle East,
Africa (EMEA)
Project & Data Mgmt. OfficeJim Cronan
Information Technology*Keith Dennelly
North AmericaInvestment OperationsKevin Griffin
SSgA Interactive
Peter Bennett
Finance*Tom Kelly
Intermediary Business & ETFs
InstitutionalBusiness UKMEA
Kanesh Lakhani
InstitutionalBusiness
Continental EuropeBenoit Fally
Head of Investments
EuropeMichael Karpik
FranceCarl Bang
US IntermediarySales &
Relationship Mgmt Tony Rochte
SSgA FundsManagement,
Inc., ETFsJim Ross
US Institutional Sales
Jerry Kelly
Global Consultant Relations
Maureen Fitzgerald
US Relationship ManagementLarry CarlsonStaci Reardon
Defined Contribution
CIO Global Equities
Arlene Rockefeller
CIOGlobal Fixed
Income Mark Marinella
CIOGlobal Asset Allocation &
CurrencyAli Lowe
CIOGlobal CashSteve Meier
AlternativesRic Thomas
TradingChris Rice
Passive Equities & Direct
ImplementationPaul Brakke
Advanced Research Center
Mark Hooker
AustraliaRob Goodlad
JapanKoji Yamamoto
Asia Ex-JapanKelly Driscoll
Asia PacificOfficial Institutions
GroupHon Cheung
ChinaMarket Development
Ting Li
Independent Fiduciary Group
Denise Sisk
Charitable AssetManagementJan Adams
Office of Fiduciary Advisor
Kathleen Mann
Global Alliance, LLCJared Chase
Product DevelopmentAndrew Astley
Product Engineering
Mergers & Acquisitions
Economists
Kathy HorganHuman Resources*
Marc BrownChief
Administrative Officer
PhilGillespie
Chief Legal Officer*
Jacques Longerstaey
Chief Risk Officer*
CanadaGregory Chrispin
CIOO InvestmentManagementRene Guilmet
July 15, 2009 * Note: Functions also report into corporate competency centers
Bernard ReillyAsia Pacific
Shawn JohnsonInvestment Committee
Chief Compliance Officer*
Cuan Coulter
James KaseGlobal Head of
Sales & Marketing
Rick LacailleGlobal
Chief Investment Officer
India, EMEA & APAC Investment
OperationsJames MacNevin
S&P 500® Index Strategy
In addition to the normal market risks associated with equity investing, investment in smaller companies typically exhibit higher volatility.
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Experienced Team Managing Index Strategies
COMP
ResearchEric Brandhorst,
CFA
Systems Sungsu Ahn
Paul BrakkeDirector, GSPGInvestment Committee & Senior Mgmt. Group Member27 years investment experience
Non US MarketsLynn Blake, CFA
Unit Head
US MarketsJohn Tucker, CFA
Unit Head
Juan AcevedoBailey Bishop, CFA
Kristin CarcioAmy Cheng
Chris CheungKala CroceGillian DunnShelli Edgar
Richard Hannam, ASIP / Hugh Wilson Frederic Jamet
David Chai
Michelle IpKwok-Shing Yip
Nobuya Endo
Masahiro AikawaHideo Baba
Shunsuke Ichinose
Susan Darroch
James AmattKeng Hin ChuahDaniel PennellVessela Tasker
Payal GuptaTed JanowskyMark KrivitskyChuck LeVine
As of March 31, 2009
TEMCDavid Arrighini, CFA
Unit Head
Melissa MarinaccioChris McKnettRami Morris
Robert Regan
Emerging Tom Coleman, CFA
ETFsDwayne Hancock, CFA
Synthetic BetaKarl Schneider
Alternative Weights David Chin
Richard BowersYvic Carr
Elaine CheungRafiq Choudhury
Rob Dowling
David EvansChristopher Flood, ASIP
Chris Handley, ASIPDominic Klee, CFA
Alex King, CFA
Ludovic BrancourtSelim Dekali
Bertrand GouezAnne Schwartz
Keith RichardsonHolly SabourinAndrew Simms
Dan SmithDavid Swallow, CFA
ImplementationRobert Rubano, CFA
Unit Head
Active Strategies Robert Luiso
Eric Viliott, CFA, CFP®
Shayne WhiteTaie Wang
Olga WinnerTeddy Wong
David LockMarie-Benedict Senou
Thomas SiwikAndrew SoperNatalie Waller
Emiliano RabinovichJames Wittebol
Boston
The GSPG Tool Kit
Global Trading — 23 global traders
Operations — 80 dedicated professionals
Data Group — 18 dedicated professionals
London Paris Montreal
Hong Kong Sydney Tokyo
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Leading Manager of Global Indexed Assets†
GSPG
$60 billion in average net new assets over past five years*
86% of new assets come from existing clients**
GSPG Assets Under Management$424,653 million as of March 31, 2009
S&P Indexes$200,321 million
Russell Indexes$63,253 million
FTSE® Indexes$26,003 million
MSCISM Global and Developed Indexes$123,442 million
S&P® Global$6,955 million
Derivatives$3,343 million
Local Indexes$29,209 million
Other US Indexes$7,194 million
Emerging MarketsIndex Strategies$13,053 million
Dow Jones / DJ Wilshire Indexes$19,802 million
New StrategiesSSgA Premia Strategy
Rules Based Strategies
Dow Jones Sustainability Index Strategy
BRIC and Emerging Markets ETFs
MSCI Small Cap Indices
† Pensions & Investments, May 2009 * As of December 31, 2008, includes GSPG institutional and ETF AUM only, updated annually** As of March 31, 2009, firm-wide
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SSgA Competitive Advantages
Experienced team
Leading manager of global indexed assets and fund offerings*
Customized products and investment strategies
Internal liquidity
Strong, proprietary research capability
Positive trends in indexing continue**
Dedication to index management
COMP
* Pensions & Investments, May 2009** As of March 31, 2009
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SSgA Index Experience
Managing money against the S&P indices since 1978
Currently managing against 13 S&P benchmarks
Strategy AssetsS&P 500® $57,984 M SPDRs 60,234Conservative S&P 500 225Equal Weighted S&P 500 309Screened S&P 500 2,443Tax-Efficient Market Capture S&P 2,395Tobacco-Free S&P 500 606S&P MidCap 400® 4,989S&P 500® Value 564S&P 500® Growth 45S&P 600® 303US Sector Index 22,384S&P 100® 270S&P High Yield Div. Aristocrat 463Total $153,214 M
US Index Assets Under Management$237,198 Million as of March 31, 2009
S&P Indexes$153,214 million
Dow Jones/DJ Wilshire IndexesSM
$15,750 million
Russell Indexes$59,273 million
Other$6,887 million
Derivatives$2,074 million
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Dow Jones & Company, Inc. is the owner of the trademarks and copyright relating to the Dow Jones IndexesThe Russell Indexes are trademarks of the Frank Russell Company. RussellTM is a trademark of the Frank Russell Company.Standard & Poor's S&P Indexes are registered trademark of Standard & Poor's, a division of The McGraw-Hill Companies, IncThe Wilshire Index names are trademarks of Wilshire Financial Services
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S&P 500® Index Strategy Overview
S&P 500 Index Strategy
Replication with additive offsets
Daily openings
May use exchange traded index futures to achieve equity exposure
S&P 500 Index: Exposure to 500 leading companies in leading industries
Large-cap equity covering about 80% of US market
Float-adjusted market capitalization
Continuous reconstitution
5 year average historical turnover: 4.5%
As of March 31, 2009Although some investments may exhibit certain characteristics of leverage transactions, SSgA will not borrow money or use derivatives for the S&P 500 Index Strategy in a manner that SSgA considers to have the purpose of creating investment leverage. Investments made by SSgA to hedge or reduce risk will not be considered to have been made for the purpose of creating investment leverage; SSgA generally will determine whether an investment has the effect of creating investment leverage by evaluating the effect of the investment on the exposure and risk profile of the Strategy's portfolio as a whole.Standard & Poor's S&P 500® is a registered trademark of Standard & Poor's, a division of The McGraw-Hill Companies, Inc.
Objective: Seeks to match the returns and characteristics of theS&P 500 index as closely as possible
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95% of the S&P 500 Index Strategy’s cash flows traded at low or no cost*
Cost Effective Trading
SP5
Total Cash Flows: $542.6 Billion Since 1995
Internal Cross37%
Futures22%
Unit Cross25%
Agency5%
External Cross11%
* From January 1995 to December 2008Source: SSgA
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S&P 500 Index Composite
Gross annualized returns for period ending March 31, 2009 in US dollars
Q1 09 1 Year 3 Years 5 Years 10 Years Since Inception†
S&P 500 Flagship Index Composite -10.97% -37.99% -13.00% -4.72% -2.96% 8.43%S&P 500 Index -11.01 -38.09 -13.06 -4.77 -3.00 8.41Difference 0.04 0.10 0.06 0.05 0.04 0.02
[%]
PR-SP5
† Inception date: January 1, 1986The performance shown is of a composite created 01/01/09 consisting of all discretionary accounts using this investment strategy. There is no minimum account size required for inclusion in the composite. New funds or accounts are added to the composite upon the first full month of operation and closed funds or accounts are removed from the composite upon the last full month of operation. The above information is considered supplemental. A complete description of this composite as well as a complete presentation that complies with the requirements of the GIPS standards is provided in the Appendix or was previously presented. A GIPS presentation is also available upon request. Historical performance is not necessarily indicative of future performance, which could differ substantially. The performance figures contained herein are provided on a gross of fees basis and do not reflect the deduction of advisory or other fees which could reduce the return. The performance includes the reinvestment of dividends and other corporate earnings and is calculated in US dollars.The index returns are unmanaged and do not reflect the deduction of any fees or expenses. The index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.Performance returns for less than one year are not annualized.S:SP5/C:gPASP500CM11
5.53
15.8110.88
-22.05
21.14
4.94
-11.91
-36.93
28.71
-9.07 -10.97 -11.01
-37.00
15.7910.87
-22.10
-11.89
21.04
4.915.49
-9.10
28.68
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 YTD
S&P 500 Composite Standard & Poor's 500 Index
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Performance Track Record
30 years of dedicated index management*
Indexed equity exposure at a low cost
Customized options
Timely research that provides clients with innovative guidance and options
Seeks to provide client with an organization with strong and lasting client relationships
COMP*Year end 2008
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Positive Trends in Indexing ContinueIndexing Still a Vital Component of Equity Exposure
Broad trends
Continued separation of beta from alpha (“portable beta”)
Continued growth in assets, especially in non-US markets
Clients broadening passive exposure (e.g., S&P 500® to Russell 3000®, EAFE to ACWI)
Index methodology changes/improvements
Russell methodology changes
MSCI Enhanced Standard and Small Cap Indexes
Specialty indexes
Hedge Fund Beta
Fundamental Indexing (RAFI and SSgA Valuation Weighted Index Strategies)
“Tilting” portfolios to express investors’ views (e.g., quality tilt)
Socially screened portfolios
Continued interest and pressure to divest Sudan exposure
Companies involved in Iran and other “terrorist” states gaining attention
Interest in socially screened MSCI EAFE®
More focused ETFs
Industry funds, sector funds, style funds
Smaller shops opening funds with quasi-active indices, leverage, or distinct weighting schemes
GSPG
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Appendix A: Important Disclosures
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Index Trademark Attribution
Dow Jones & Company, Inc. is the owner of the trademarks and copyright relating to the Dow Jones Indexes
FTSE Indexes are trademarks of the London Stock Exchange Plc and The Financial Times Limited, and is used by FTSE International Limited under license. “All-World”, “All-Share” and “All-Small” are trademarks of FTSE International Limited
The MSCI Indexes are trademarks of Morgan Stanley Capital International
The Russell Indexes are trademarks of the Frank Russell Company. Russell™ is a trademark of the Frank Russell Company.
Standard & Poor's S&P Indexes are registered trademark of Standard & Poor's, a division of The McGraw-Hill Companies, Inc
The Wilshire Index names are trademarks of Wilshire Financial Services
streetTRACKS® Funds is a registered service mark of State Street Corporation
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Appendix B: GIPS® Presentation
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gPASP500* Less than 5 accountsQuarterly and YTD returns are not annualized
No. of Composite Total Assets at % of Firm’s Total FirmYear Portfolios Dispersion End of Period Assets Assets ($M)
YTD 2009 14 0.02 57,357,271,613 6.36 901,4032008 13 0.02 63,475,691,593 6.66 952,7292007 13 0.07 105,916,299,878 9.03 1,172,4552006 15 0.1 105,498,089,610 10.53 1,002,2532005 15 0.05 102,507,256,676 11.02 930,5862004 18 0.05 101,019,651,849 12.01 841,2952003 19 0.08 109,663,641,800 13.47 814,0272002 21 0.06 82,541,159,751 13.05 632,2772001 24 0.09 105,014,958,406 13.55 775,0002000 23 0.18 114,394,682,093 16.09 711,000
1 3 5 10 InceptionQuarter YTD Year Years Years Years Jan 1986
Gross Annualized Returns
Year
YTD 2009 -10.97 -11.012008 -36.93 -37.002007 5.53 5.492006 15.81 15.792005 4.94 4.912004 10.88 10.872003 28.71 28.682002 -22.05 -22.102001 -11.91 -11.892000 -9.07 -9.10
-10.97 -10.97 -37.99 -13.00 -4.72 -2.96 8.43
-11.01 -11.01 -38.09 -13.06 -4.77 -3.00 8.41
S&P 500 Composite
Standard & Poor's 500 Index
Standard & Poor's 500 Index
Footnotes
S&P 500 Composite
GIPS® Report: S&P 500® CompositeAs of March 31, 2009
Composite description: The S&P 500 Composite seeks to replicate the returns and characteristics of the Standard & Poor's 500 Index.Firm definition: For the purpose of complying with the Global Investment Performance Standards (GIPS®), the firm('SSgA-Global') here is defined as all portfolios managed across the global offices of State Street Global Advisors (SSgA) and SSgA Funds Management, Inc., with the exception of the following:• Business units which are held out to the market place as distinct business entities - wrap-fee business (IntermediaryBusiness Group (IBG)), the Office of the Fiduciary Advisor (OFA), and Charitable Asset Management (CAM)• Assets accounted for on a book value basis - global cash and stable value assets.Compliance statement: SSgA-Global has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). The period prior to January 1, 2000 is not in compliance, as not all actual fee paying portfolios are in a composite.List available: A complete list of the firm's composites and their descriptions is available upon request.Creation Date: The composite was created on 01-JAN-09.Benchmark: The benchmark for the composite is the Standard & Poor's 500 Index. The index returns are unmanaged and do not reflect the deduction of any fees or expenses. The index returns reflect allitems of income, gain and loss.Currency: Performance is presented in USD.Use of Subadvisors: This composite contains portfolios that were managed on a sub-advised basis for the period from 01/09/02 to 31/08/08.Fees: Returns are expressed gross of all fees, and no other fees are deducted in addition to direct trading expenses.The standard fee schedule is shown. The results do not reflect the deduction of investment management fees. Theclient's return will be reduced by the management fee. For example, if an annualized gross return of 10% was achieved over a 5-year period and a management fee of 1% per year was charged and deducted annually, then the resulting total return would be reduced from 61% to 54%.For commingled funds, management fees are .05% of the first 50,000,000; .04% of the next $50,000,000; and .02%thereafter. The annual minimum management fee for these accounts is $10,000. For separately managed accounts,management fees are .05% of the first $50,000,000; .04% of the next $50,000,000 and .02% thereafter. The minimum annual management fee for separately managed accounts is $50,000. Management fees maybe adjusted based upon specific client requirements.Derivatives Use: SSgA uses futures, and may use other derivatives from time to time, in the management of the Strategy generally as a temporary substitute for cash investments or for hedging purposes and to equitize cash and not with the purpose of creating investment leverage.Calculation methodology: Additional information regarding policies for calculating and reporting returns is available upon request.Annualized returns: All returns for periods greater than one year have been annualized.Withholding taxes: N/A.Exchange Rates Differences Between Composite & Benchmark: None.Minimum Asset Level for Inclusion: None.Dispersion: Asset-Weighted standard deviation is calculated using the annual returns of the accounts that were included in the composite for all periods of the year.Material Personnel Changes: None.Past and future performance: Historic performance is not necessarily indicative of actual future investment performance, which could differ substantially. The performance figures contained herein are provided on a gross of fees basis only. Performance of certain portfolios within the composite is net of administrative costs.
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Appendix C: Biography
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Biography
Gregory Balewicz
Greg is a Vice President of State Street Global Advisors and a member of the Public Funds Relationship Management team. In his role, Greg is responsible for managing all aspects of clientrelationships for SSgA's existing Public Funds client base.
Prior to his current role, Greg was a Relationship Manager in SSgA's Private Wealth Management Group where he was responsible for managing relationships for SSgA's RIA and Family Office customers and the consultant community that services them. Before that, Greg held positions in our Client Reporting group and in our New Business Installation Unit. He has been involved in the investment services field since 1996.
Greg holds a Bachelor of Arts degree from Framingham State College and holds the ANRA series 7and 63 licenses.