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STATE STREET INVESTMENT ANALYTICS
Suffolk County Council
Performance Review
Period Ending March, 2012
Wednesday 25th July 2012
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STATE STREET INVESTMENT ANALYTICS
Agenda
Section 1 – Total Fund Performance versus Strategic Benchmark
Section 2 – Total Fund Performance versus WM Local Authority Universe
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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
% of
Manager
Total Fund
Performance Target
Mandate
Benchmark
(* 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
Return
%
3 Years
% pa
5 Years
% pa
10 Years
% pa
25
20
15
10
5
0
-5
-10
-15
-20
-25
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
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STATE STREET INVESTMENT ANALYTICS
Long Term Performance
3yrs 5yrs 10yrs
2012 % pa % pa % pa
2003
2004
2005
2006
2007
2008
2009
2010
2011
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
B enchmark
-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
Fund Returns
4
2
Relative
Return
%
0
-2
-4
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STATE STREET INVESTMENT ANALYTICS
Performance Attribution for year ending March 2012
UK
Eq uit y
N.
A mer ica
Eur o p e
ex U K
Jap an
Pacif ic
Ot her
Int l.
U K Go v
B o nd
U K C orp
B o nd
O/ S
B o nd s
U K IL
C ash
Pr ivat e
Eq
A ct ive
CCY
Inf r a.
Pr o p er t y
T o t al
F und
9.4
100.0
9.6
100.0
Asset Allocation
5 5
Relative
Weighting 0 0
%
-5 -5
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
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
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
-0.8
10.6
21.0
-0.2
n/a
5.6
1.7
0.4
Stock Selection
44
22
Relative
Return
%
00
-2
-2
-4
-4
Fund
-1.5
2.7
-5.1
-4.3
-1.9
-11.4
23.0
8.3
2.2
-6.6
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
-2.8
-0.7
-3.8
0.2
1.8
-0.2
-4.8
0.2
4.2
-0.1
-3.1
0.4
-0.1
-0.5
-0.1
1.7
-0.1
-2.6
-0.1552
-1.3
-2.0
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STATE STREET INVESTMENT ANALYTICS
Manager Performance
% of
Manager
Total Fund
Mandate
1 Year
3 Year
Performance
Relative
Relative
Target
Return %
Return % p.a.
(* 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 Performance
vs. WM Local Authority Universe
3yrs 5yrs 10yrs
2012 % pa % pa % pa
2003
2004
2005
2006
2007
2008
2009
2010
2011
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
B enchmark
-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)
Fund Returns
4
2
Relative
Return
%
0
-2
-4
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STATE STREET INVESTMENT ANALYTICS
Annual Attribution
vs. WM Local Authority Universe
T o t al
E q ui t y
B o nd s +
IL
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
0.4
0.9
-1.0
-1.9
-0.6
-0.1
0.1
2.3
0.3
0.0
Fund
-1.8
13.8
-0.2
-1.6
n/a
5.6
1.7
Benchmark
-0.1
12.7
0.8
2.0
7.2
5.5
2.6
Impact
-1.1
0.2
-
-0.2
-
-1.1
M ul t i
A sset
C ash
A l t er nat i
ves
C ur r
I nst r
P r o p er t y
T o t al
F und
Asset Allocation
5
Relative
Weighting 0
%
-5
Impact
Stock Selection
4
2
Relative
Return 0
%
-2
-4
-1.0
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STATE STREET INVESTMENT ANALYTICS
Contact details for further information
Nicola Dinnie – Client Manager
State Street Investment Analytics
525 Ferry Road, Edinburgh EH5 2AW
0131 315 5427
[email protected]
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