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 BOSTON CHICAGO DETROIT SAN FRANCISCO WASHINGTON DC
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firm overview EXPERIENCED PROFESSIONALS AND DEEP RESOURCES Since 1926, Loomis Sayles has established one of the richest investment management traditions in the industry • Serving institutional investors for more than 80 years • $162 billion in assets under management Firm Overview • $57 million committed to proprietary fixed income and equity research in 2011 • Offering a broad and comprehensive range of domestic and global fixed income and equity products • 540 employees: – 205 investment professionals – 115 CFA charterholders 3 As of 6/30/2011. LEGREV0811
firm overview INSTITUTIONAL PRODUCT OFFERINGS Fixed Income Equity Absolute Broad Market Growth Value Return Firm Overview Short Term Absolute Strategies Small Cap Small Cap Intermediate Term Credit Long/Short Mid Cap Mid Cap Core Multi Asset Real Return All Cap Focused Value Core Plus Large Cap Large Cap Multisector Global Sector Specific Core Global Global Bond Corporate Global Equity Opportunities Small/Mid Cap Global Credit Securitized Equity Research Core Global High Yield High Yield Focused Research Emerging Markets Debt Bank Loans Credit Asset LDI Custom LDI Corporate Long Duration Long Duration 4 As of 09/30/2011; Several Portfolio Managers participate in more than one Product Team
loomis sayles update Total Assets Under Management is $156.6 Billion Expansion and Enhancement of Investment Strategies • Additional Strategies: – Long Duration and LDI Strategies Firm Overview – 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 5 As of 09/30/2011. LEGREV0811
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investment results- Core Plus CALENDAR YEAR RETURNS (%) AS OF 9/30/2011 Fresno County Employees Retirement Association Fresno County Employees Retirement Association (Gross) Benchmark 20.0 18.47 15.0 10.95 10.0 6.65 6.54 5.93 5.22 5.24 3.82 5.0 2.79 0.94 0.73 0.0 (0.80) -5.0 YTD Sep 11 3Q11 2010 2009 2008 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. Information is reported on a trade date basis. Data Source: Barclays Capital 7
investment results – Core Plus ANNUALIZED RETURNS (%) AS OF 9/30/2011 Fresno County Employees Retirement Association Fresno County Employees Retirement Association(Gross) Benchmark 16.0 13.37 14.0 12.0 9.20 9.17 10.0 7.97 8.0 6.70 6.53 6.47 5.85 5.26 6.0 4.98 4.0 2.0 0.0 1 year 2 years 3 years 5 years 07/31/2001 - 9/30/2011 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. Information is reported on a trade date basis. Data Source: Barclays Capital 8
performance attribution – Core Plus 12/31/2010 THROUGH 9/30/2011 (%) Fresno County Employees Retirement Association Total Returns Excess Return Attribution by Sector Account Return 5.22 US Treasuries 1.10 Benchmark Return 6.65 0.16 US Agencies Excess Return (1.43) -0.03 Gov Related 0.11 MBS Total -0.13 ABS Excess Return Attribution CMBS -0.24 US Invest Grade -0.46 Total Parallel Non-Parallel -1.02 US High Yield 1.79 Emerging Markets -0.05 Yield Curve 1.32 Non-US Dollar -0.44 0.47 Preferreds -0.09 -0.66 -0.09 Allocation Cash & Equivalents No Category 0.02 -2.29 Selection -2.0 -1.0 0.0 1.0 2.0 -4.0 -2.0 0.0 2.0 4.0 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 9
investment results – Multi Sector CALENDAR YEAR RETURNS (%) AS OF 9/30/2011 Fresno County Employees Retirement System - MSFD Fresno County Employees Retirement System - MSFD (Gross) Benchmark 20.0 14.06 15.0 10.0 6.65 6.54 3.82 5.0 0.73 0.0 (0.33) -5.0 (3.88) (5.12) -10.0 YTD Sep 11 3Q11 2010 The current benchmark is Barclays Aggregate. Returns over one year are annualized. Information is reported on a trade date basis. Data Source: Barclays Capital 10
investment results – Multi Sector ANNUALIZED RETURNS (%) AS OF 9/30/2011 Fresno County Employees Retirement System - MSFD Fresno County Employees Retirement System - MSFD(Gross) Benchmark 14.0 12.21 12.0 10.0 8.55 7.58 8.0 6.70 5.26 6.0 4.0 2.0 0.35 0.0 1 year 2 years 05/18/2009 - 9/30/2011 The current benchmark is Barclays Aggregate. Returns over one year are annualized. Information is reported on a trade date basis. Data Source: Barclays Capital 11
performance attribution – Multi Sector 12/31/2010 THROUGH 9/30/2011 (%) Fresno County Employees Retirement System - MSFD Total Returns Excess Return Attribution by Sector Account Return (0.33) US Treasuries -0.72 US Agencies 0.10 Benchmark Return 6.65 Gov Related -0.09 Excess Return (6.98) MBS Total 0.32 0.00 ABS -0.05 CMBS Excess Return Attribution US Invest Grade -0.81 US High Yield -1.41 Total Parallel Non-Parallel -0.05 Emerging Markets -1.50 Non-US Dollar 2.76 -2.22 Convertibles Yield Curve 2.10 0.65 Preferreds -0.13 0.01 -0.85 Other Allocation -0.12 Cash & Equivalents -0.04 No Category -8.63 Selection -4.0 -2.0 0.0 2.0 4.0 -14.0 -7.0 0.0 7.0 14.0 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 12
historical characteristics- Core Plus Fresno County Employees Retirement Association Fresno County Fresno County Employees Employees Retirement Retirement Barclays Association Association Aggregate 9/30/2010 9/30/2011 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 Duration used is Effective. Data Source: Barclays Capital 13
characteristics summary – Core Plus SECTOR DISTRIBUTION (%) AS OF 9/30/2011 Fresno County Employees Retirement Association Barclays Aggregate Fresno County Employees Retirement Association 11.62 US Treasuries 34.30 0.00 US Agencies 5.95 2.25 Gov Related 5.27 20.24 MBS Total 32.41 1.28 MBS - 15 Year 4.17 18.64 MBS - 30 Year 27.22 0.32 MBS - Other 1.02 3.05 ABS 0.25 11.31 CMBS 2.08 27.48 US Invest Grade 19.73 7.88 IG - Financial 6.70 17.41 IG - Industrial 10.80 2.19 IG - Utility 2.24 18.09 US High Yield 0.00 0.64 Emerging (IG & HY) 0.00 4.28 Non USD (IG & HY) 0.00 0.16 Preferreds 0.00 0.19 Cash & Equivalents 0.00 0.71 No Category 0.00 0.0 10.0 20.0 30.0 Data Source: Barclays Capital 14
sector allocation change – Core Plus 9/30/2010 TO 9/30/2011 (%) Account Fresno County Employees Retirement Association Final Weight -5.06 US Treasuries US Treasuries 11.62 0.00 US Agencies US Agencies 0.00 0.90 Gov Related Gov Related 2.25 6.73 MBS Total MBS Total 20.24 -0.85 MBS - 15 Year MBS - 15 Year 1.28 7.80 MBS - 30 Year MBS - 30 Year 18.64 -0.22 MBS - Other MBS - Other 0.32 -0.28 ABS 3.05 ABS 3.30 CMBS 11.31 CMBS US Invest Grade 27.48 -4.60 US Invest Grade -0.33 IG - Financial 7.88 IG - Financial -4.00 IG - Industrial 17.41 IG - Industrial IG - Utility 2.19 -0.27 IG - Utility US High Yield 18.09 -1.41 US High Yield Emerging Markets 0.64 0.00 Emerging (IG & HY) Non-US Dollar 4.28 0.28 Non USD (IG & HY) Preferreds 0.16 -0.10 Preferreds Cash & Equivalents 0.19 Cash & Equivalents -0.44 No Category 0.71 0.71 No Category -10.0 -5.0 0.0 5.0 10.0 Data Source: Barclays Capital 15
characteristics summary – Core Plus QUALITY DISTRIBUTION (%) AS OF 9/30/2011 Fresno County Employees Retirement Association 41.25 Aaa 74.98 5.33 Aa 6.28 12.56 A 10.19 Fresno County Employees Retirement Association 23.11 Baa 8.55 Barclays Aggregate 13.22 Ba 0.00 4.52 B 0.00 0.00 Caa & Lower 0.00 0.0 20.0 40.0 60.0 80.0 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 16
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