Download 25 November 2005 - Lancashire County Council

Pension Fund Committee
25 November 2005
Appendix A
Valuation and performance of the investments of the Fund and presentation by
the Investment Managers and Advisers
Information
1.
Introduction
The allocation of the Fund, at 30 September, over asset classes and
investment managers is shown below and reflects the move to a
predominantly specialist investment management structure from December
2004. Each manager is measured against a specific benchmark allocation for
each asset class agreed by the Investment Panel and Pension Fund
Committee, which best matches the asset/liability profile of the Fund.
Managers are allowed some discretion around the benchmark allocation and
the Fund's index tracking manager, Legal and General act as a 'swing
manager' for the Fund who, through their pooled funds, rebalance the total
fund in line with the benchmark on a quarterly basis. The table below shows
the allocation of the Fund prior to rebalancing.
Allocation of the Fund by Asset Class at 30 September 2005.
Asset Class
UK equities
Overseas equities
- North America
- Europe
- Japan
- Pacific
- Emerging Markets
Bonds
- Government
- Corporate
- Index Linked
Property
Private Equity
Cash
Total Fund
Value (£m)
Benchmark
allocation
(%)
1094.856
37
Actual
allocation at 30
September
(%)
36.0
250.689
355.022
148.059
143.946
71.902
10
10
5
2.5
2.5
8.2
11.7
4.9
4.7
2.4
219.246
346.195
104.795
170.435
84.919
52.098
*3042.162
10
10
5
5
3
0
100
7.2
11.4
3.4
5.6
2.8
1.7
100.0
* In addition there is £81.539m of internal cash used for pension fund
administrative cash flow purposes. This is invested along with the County
Council's cash balances in the money market.
2
Allocation of the Fund by Manager at 30 September 2005.
Manager
Value
(£m)
Newton
Legal and General
800.287
742.960
UBS
412.350
J P Morgan
Schroder
Knight Frank
Capital Dynamics
Henderson
Total
393.299
378.756
170.435
84.919
59.156
3042.162
Percentage
Asset Class(es)
of Total
Fund
(%)
26.3 Global equities
24.4 Index Tracking- Global
Equities and Bonds
13.6 Bonds- Government,
Corporate, Index Linked
12.9 UK equities
12.5 UK equities
5.6 Property
2.8 Private equity
1.9 UK equities (SRI)*
100.0
*This holding is now transferred to Legal and General, pending investment in
hedge funds.
Performance Returns
The performance returns of the managers who will be presenting to the
Committee are as follows:
Returns for the period 1 January 2005 to 30 September 2005.
Manager
Newton
UBS
J P Morgan
Schroder
Portfolio return Benchmark Return Relative Return
(%)
(%)
(%)
(a)
(b)
(c)
20.6
18.9
+1.39
6.1
5.5
+0.57
18.3
17.0
+1.11
17.7
17.0
+0.60
The column showing relative return reflects the ratio of the actual return
against the benchmark return and is weighted to reflect that an outperformance of say 1% on a benchmark return of 5% is worth more to the
Fund than an out-performance of 1% on a benchmark return of 20%.
All four managers have outperformed the benchmark return during the first 9
months. The overall performance target of the equities managers is to outperform the benchmark by 1.5% (net of fees) over rolling three-year periods.
The performance target of the Bonds manager is an out-performance of
0.75%(net of fees) over rolling three-year periods. Although it is still early
days, the potential for the achievement of the targets over three years looks
encouraging.
3
2.
Reports of Advisers
The Advisers are asked to give their views of the performance and activity of
the Fund managers.
3.
Reports of the Managers
The investment managers will present their reports to the Committee at the
following times:
11.30 am J P Morgan Asset Management
11.50 am Schroder Investment Management
12.10 pm UBS Global Asset Management
12.30 pm Newton Investment Management