MPRA Portfolio Performance

Home

New to the WebPage Sick Call

Contact Us

2008 Death Notices

2008 

Membership
Statistics

Schedule

Gun Qualification

2008 Hospitalization Rates

January 1, 2008 to October 14, 2008

Unit Values

November 16, 2000

Third Quarter 2000 Review
Investment Consultant Michael J. Howard reported that the September 30, 2000 market 
value of the Total Fund was $389.9 million.  Gains from positive investment performance 
were offset by withdrawals during the quarter, accounting for the $6.0 million decline from 
June 30, 2000.  

The Total Fund finished the third quarter market environment with a gain of 0.5%, ranking 
slightly below the Mercer Universe median (the actively managed benchmark).  However 
the return did outperform the Reference Index (the passive benchmark) by 10 basis points.  
Year-to-date, the Fund gained 2.8%, also outperforming the passive benchmark, however 
in this case the return exceeded the benchmark by 70 basis points.  Over the trailing periods 
measured, the Total Fund under performed it comparative measures.

Individually, the managers performed well during the third quarter.  Performance was above 
or near each manager’s respective Mercer Universe median for the quarter, with the 
exception of Alliance (Equity) and SBI International.  During the quarter and for much of 
2000, active market volatility and inefficiencies remain high.  The Total Fund, with over 33% 
of its assets passively managed, was unable to keep pace with the Universe median of the 
actively managed portfolios.  However, the Total fund’s out performance of the passive 
Reference Fund indicates that the active managers added value to a passive strategy.

The rates of return for each of the investment managers for the Third Quarter of 2000 were 
as follows:

Investment Funds	Rates of Return	Benchmark Return
Domestic Large Cap Equity
Alliance Capital, Equity	-4.7%	-8.8% (S&P/BARRA Growth Index)
SBI Stock Index Fund	0.3%	0.2%  (Willshire 5000 Index)
State Street Global	8.8%	8.8%  (S&P/BARRA Value Index)
Domestic Small Cap Equity
Brandywine Asset Management	9.1%	7.3%  (Russell 2000 Value Index)
Fidelity Management Trust	0.7%	-4.0%  (Russell 2000 Growth Index)
International Equity
Nicholas Applegate	6.8%	-11.5%  (MSCI EAFE Growth Index)
SBI International	-7.7%	-8.0% (MSCI EAFE Index)
Domestic Fixed Income
Alliance Capital	3.2%	3.0%  (LB Aggregate Index)
Galliard	2.9%	3.0%  (LB Intermediate Aggregate Index)
SBI Bond Market Fund	3.2%	3.0% (LB Aggregate Index)

---

August 8, 2000

Second Quarter 2000 Review
Investment Consultant Michael J. Howard reported that the June 30, 2000 market value 
of the Total Fund was $395.9 million, a reduction of $14.6 million from March 31, 2000.  
Net withdrawals of $18.1 million more than offset the modestly positive investment return 
experienced during the second quarter of 2000.

During the second quarter, the Total Fund returned 1.0%.  While this return was modest 
in absolute returns, it placed in the top decile of the Mercer Composite Universe and 
outperformed the Total Fund’s Reference Index by 260 basis points.  Over the past six 
months, the Total Fund gained 2.3%, ranking in the top half of the Universe and 
outperforming the Reference Index by 60 basis points.

While most investment managers posted slightly negative results during the quarter, Alliance 
Capital’s equity segment, Brandywine, and Nicholas Applegate also posted weak relative 
results.  The Alliance fixed income segment, Fidelity and the combination of Brinson and the 
large cap value index fund had strong performance for the quarter.  The remaining investment 
managers performed generally in line with their benchmarks.

Regarding the implementation of the MPRA investment strategy, assets were transferred in 
May from the terminated Brinson Partners and IAI International portfolios to the newly 
established State Street Global Advisors Index and SBI International portfolios, respectively.

The rates of return for each of the investment managers for the Second Quarter of 2000 
were as follows:

Investment Funds	Rate of Return
Domestic Large Cap Equity
Alliance Capital, Equity	-3.9%
SBI Stock Index Fund	-4.0%
Domestic Small Cap Equity
Brandywine Asset Management	-1.8%
Fidelity Management Trust	1.6%
International Equity
Nicholas Applegate	-9.9%
Domestic Fixed Income
Alliance Capital	1.9%
Galliard	1.9%
SBI Bond Market Fund	1.5%

 Back to Top

---

August 8, 2000

Rite-Aid Pharmacy Bond Rating Status

Richard Merriam of Galliard Capital Management addressed the Board on the Galliard 
fixed income portfolio which is invested in diversified bonds that offer a yield premium 
to U.S. Treasuries.  Merriam said bonds were purchased in the amount of $500,000 
on March 18, 1999, from Rite-Aid, a Fortune 500 Company with $12 billion in sales 
and the third largest pharmacy retailer in the U.S.  At the time of purchase, the bonds 
had a BAA1/BBB investment rating and an attractive yield spread to U.S. Treasuries. 
The purchase was under 1.5 percent of the total MPRA portfolio and the senior debt 
offered asset protection. 

Rite-Aid recently experienced massive accounting irregularities that resulted in multiple 
debt rating downgrades prompting Galliard to reduce its position by $75,000 on April 28, 
2000 at $44 per share and by  $75,000 on August 1, 2000 at $53 per share.  Merriam 
stated Galliard plans to sell more if the bond price continues to strengthen.  The current 
holding is $350,000 which is just .75 percent of the total Galliard portfolio that has had 
a positive return to the index for the past year. 

Merriam said the company is under new management.  If it cannot be turned around, Rite 
Aid may have to file bankruptcy, either Chapter 11 to reorganize or Chapter 7 to liquidate.  
Either scenario could offer positive results for investors, according to Merriam, who said 
he would like to manage rather than immediately sell out of the present position.

Howard said that he has been in discussions with Galliard throughout this process and 
agrees with Galliard that it would be appropriate to continue to hold Rite-Aid from a pure 
investment perspective.

 Back to Top

---

June 30, 2000

Recent Account Transfers

The in-kind transfer of $16,556,454.59 in securities from the IAI International Account into the International 
Share Account State Board of Investment (SBI) was completed on April 28, 2000.  On May 1, 2000 these 
securities were exchanged for 3,932,649.55 investment interest units at $4.10 per unit.

 The transfer of $34,886,473 from the Brinson Partners Large Cap Value Equity Account to State Street 
Global Advisors was completed on May 31, 2000.  These securities were exchanged for 2,125,798.11 units 
valued at $16.411 each.

Portfolio Distribution 
as of June 30, 2000

	SBI	Alliance	Galliard	State Street Global	Nicholas Applegate	Brandywine	Fidelity	Payroll Cash	Real Estate	Total	% of Assets	Asset Target	% + or -
Equity	70.66	80.5		34.89		17.36	23.35			226.76	58%	55%	3%
Fixed	18.67	46.54	47.08							112.29	29%	30%	-1%
Cash		0.45	0.44		1.18	0.47	1.18	4.22		7.94	2%	0%	2%
Int Equity	16.12				24.08					40.20	10%	10%	0%
Real Estate									5.30	5.30	1%	5%	-4%
Mgr. Totals	105.45	127.49	47.52	34.89	25.26	17.83	24.53	4.22	5.30	392.49
Total Portfolio										392.49	100%	100%

 

                   Portfolio Distribution as of June 30, 2000

 Back to Top

---

May 9, 2000

First Quarter 2000 Review

The equity market reacted well during the first quarter of the year, according to Investment Consultant 
Michael J. Howard. Technology was the industry sector that had a double-digit rate of return and was 
almost the only sector that earned a positive return for the quarter.  

It was the second quarter in a row that small companies did better than large companies.  The Russell 
2000 index (small cap) returned a positive 7.1 percent for the year as the S&P 500 (large cap) 
returned just 2.3 percent.  Value stocks continued to have a lackluster performance with the Large 
Cap Value Index returning just 20 basis points for the quarter while the Growth Index returned 
4.1 percent.  

The month of March ended up being a month for value investing.  This reversal demonstrates the 
importance of diversification (having both growth and value in the pension fund portfolio), said 
Howard.  Brinson Partners, the pension fund’s large cap value manager, was up about 16 percent 
and Brandywine, our small cap value manager, returned about 7 percent from their respective lows.  

On the fixed income side, short-term Treasury Bills returned 1.3 percent for the quarter.  Long term 
government bonds, the place to be during the Treasury’s announced $30 million long-term government 
security buyback program, returned 5.6 percent for the quarter during a period of time when the FED 
was raising interest rates, said Howard. 

Howard said mid-size growth companies performed best during the first quarter with a 12.7 percent 
rate of return.  Growth managers in the pension fund’s universe took advantage of this opportunity 
with a median return up 10.6 percent for the quarter. Long-term government Treasury securities 
also did very well in a market that was more geared to the equity investor.  

At the end of the first quarter, the pension fund portfolio was worth $410 million.  It grew a little, 
but significant benefit payments reduced its overall value by about $2 million.  The total portfolio 
returned 1.3 percent (the aggregate of the following):   

Alliance Capital, the pension fund’s one balanced manager, had a 5 percent rate of return 
for the quarter.  

Brinson Partners returned a negative 9.4 percent for the quarter while up over 10 percent 
for the month of March.  

In the small cap arena, Brandywine was off 7.2 percent for the quarter, compared to the 
Russell Value Index that was at 3.8 percent.  Fidelity outperformed its index by 210 basis 
points, returning 11.4 percent.  

Nicholas Applegate, which earned a 50 percent rate of return in the last six months of 
1999, gave a little bit of those investment earnings back during the quarter. Nicholas 
Applegate was off 1 percent with the typical manager up 70 basis points, the index had 
a whopping 0.0 percent rate of return during the quarter.  Nicholas Applegate initiated 
a positive restructuring to take the profits of some companies that did well as to invest 
more heavily in European multi-national exporters to take advantage of the sterling dollar.

On the fixed income side of the portfolio, the benchmark return of 1.7 percent was topped 
by Alliance at 2.5 percent. Galliard underperformed with a return rate of 1.3 percent due to 
an underweight in Treasury securities.  The State Board of Investment (SBI) bond market 
portfolio earned a 2.3 percent rate of return, outperforming the Lehman Aggregate 
benchmark by 10 basis points.    

 Back to Top

---

April 26, 2000

Investment changes underway

At the April 11 meeting, the Board made two major investment decisions.  First, in keeping with its current 
asset allocation policy, the Board decided to transfer, if possible, its entire large cap domestic stock portfolio 
with Brinson Partners to a value index fund with State Street Global Advisors.  The Board was greatly 
dissatisfied with its Brinson portfolio because of poor performance.

After exploring a variety of value index products presented by the MPRA investment consultant at the 
April 11 meeting, the Board decided on State Street Global Advisors based on its size and proven value index
product. 

A second decision was to transfer all IAI International assets to the International Share Account managed by 
the State Board of Investment (SBI).  Howard Bicker, SBI’s executive director, thoroughly reviewed the 
international securities and agreed to absorb them into the SBI Supplemental Fund on May 1, 2000. 
This in-kind transfer of securities avoids the cost incurred by a sale.

 Back to Top

---

March 9, 2000

Mercer Performance Evaluation Report

Investment Consultant Michael J. Howard reported that the total portfolio performance of the pension fund 
portfolio for 1999 was 11.6 percent with a 9.8 percent (slightly below median) return in the fourth quarter to 
cap off the calendar year.  This rate of return improved the portfolio’s ranking of 98^th to other similar portfolios 
for two years compared to 78^th for 1999. 

 It was again a good year for the U.S. stock market led by growth stocks that continue to do better than value 
stocks, according to Howard.  The equity market added value to the pension fund portfolio as small companies 
came back a little during the quarter.  Large cap growth stocks returned 20 percent whereas large cap value 
stocks returned 10 percent.  The 1000 growth stocks in the Russell 2000 (a small cap index) were up over 
33 percent for the fourth quarter with value investments rising just 1.5 percent.

 Howard said that fixed income did fair in a rising interest rate environment.  The combination of price and yield 
for fixed income returned a negative one percent for 1999. 

Howard said it was a good time to be diversified in the international arena because for the first time in five years, 
the international equity rate of return exceeded the domestic equity rate of return.  The Morgan Stanley Capital 
Index for EAFE (Europe, the Far East and Australia) earned 17.1 percent in the fourth quarter and 27.3 percent 
for the calendar year compared to the 21 percent return of the Standard & Poor index.   

Howard said one of the year’s accomplishments was approval of an asset allocation for the pension fund portfolio.
The specific asset allocation targets are 70 percent of the portfolio in equity, 10 percent in international equities, 
5 percent in real estate and 30 percent in bonds.

In reviewing the portfolio’s individual investment advisors, he observed that Alliance Capital is the only balanced 
money manager for the pension fund with stocks and bond holdings that earned 13.2 percent for the year and 
17.4 for the fourth quarter.  Alliance’s investments are 70 percent in equities compared to its comparable 
benchmark of a 60/40 split.  This additional risk for the year for the year was rewarded as Alliance’s total fund 
return ranked in the top quartile compared to its benchmark.  In equities, Alliance continued to invest in very 
large growth companies while selling some of its technology stocks to buy stocks in the financial sector that 
did not do as well.  Their stock return compared to other growth managers ranking 42^nd for the year.      

 Brinson Partners performed poorly ranking 89^th compared to its universe of value managers for the quarter, 
reported Howard.  The investment advisor was down 15 percent for the past six months.  This performance 
varied widely from Brinson’s previous record immediately prior to being retained by the Board in which it had 
outperformed its counterparts for seven out of the previous nine years ranking in the top ten percent for that 
time period. 

 The portfolio’s dollars in the State Board of Investment indexed fund held their own during the year and the 
fourth quarter.  As long as large companies do better than small companies, passive investing will outperform 
active management because indexes are weighted toward larger companies.   

 In the small cap value equity arena, Brandywine garnered a negative 1.8 percent rate of return during the first 
full quarter at the fund.  By contrast, Fidelity, the pension fund’s new small cap growth stock investment advisor, 
pulled in a rate of return of 10 percent even though it was not fully invested in the marketplace until December.  
Fidelity’s initial performance outpaced its index by five percent putting it up $1 million for the fourth quarter.

International opportunities were missed by IAI, Inc., the pension fund’s international large cap value equity 
manager, according to Howard.  The company had difficulty finding good value stocks to buy and 
underperformed others in its field.  Strong performance was seen by large cap growth stocks outside the 
United States with Nicholas Applegate returning an extraordinary 43 percent during the fourth quarter.  
The investment advisor ranked 16^th in its universe.

The overall performance of fixed income during the year was about zero.  The Alliance fixed income portfolio 
ranked 88^th in this universe.  Because equity holdings increased its performance as a balanced money manager, 
Alliance looked much better when compared to other balanced managers.  As an intermediate fixed income 
investor, Galliard provided some diversification protections for a period of time in 1999.

 Back to Top

---