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8/14/2019 GTS Post Trade Analysis
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P o s t
T r a d eA n a l y s i s
City of Ft.Lauderdale Police & Fire11/18/2009
IndeTra
lewtown Square, PAPhone: 267-675-6
Fax:212-385-56imail: info@qtsadvis
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Ft. LauderdalePolice & Firefighters RetirementSystem
Executive Summary
As part of its brokerag e consulting servicesagreement, GTS Adv isors provided independeoversight and administration for the November 18 manager rebalancingof the Ft.LauderdFirefighters R etirement Sys tem.
GTS coordinated all processes with Plan Adm inistrator, Lynn Wenguer,Jason Pulos and Cthe Asset Consulting Group,the plan's custodian Northern Trust,the fund managers,interested parties associated with this transition.
GTS was respons ible for all administration, pre trade co ordination, broker selection, tratime trade oversight, settlement and post trade reporting.
This event involved the liquidation of assets held by managers INTECH,Sawgrass, SystematNorthpointe and LeeMunder.
This assignment required a high level of administrative and operational coordination.portfolio con tain ed U .S. large, mid a nd sm all cap equities, 590 ind ividual securities,managers. There was an exceptional level of coordination between all parties. All cash movfunded without issue in accordance with the projected timeline and completion dates.
The market environment on the trade date was negative. Overall, major avera
approximately (-70)basis points in early trading in respo nse to w eake r than ex pected hohigher than anticipated CPI. As a result, GTS instructed ITG, the top performing brokrecent quarterly rankings,to utilize a conservativeand patient trading strategy lookingfo rfor price improvement overthe remainder of the session. For the balance of the day, the minto a narrow trading rangeand moved little from th e opening prices on relatively light vthere were no liquidityissues in the transition portfolio, all orders were com pletedon the t
Total t ransact ioncosts fo r this event were ($176,539)or 70.8 basis points.
Total transaction costs are comprised of 3 components: 1. market impact = the bid o
exists between the prices at which a security can either be bought or sold 2. Timing market performance has on the price movement of the transition portfolio during tCommissioncost - the agreed rate as stated in our contract. Thisfee includes all clearing acosts as well as the co mm ission paid to the executing broker.Since all brokers inGTS' brreceive the sam e rate, GT S recom men ds executing brokers based exclusively on perform
Detailed transactioncosts fo r this assignment were:1. Market Impact ($7,905)or 3.2 basis points2. Timing Cost ($153,323) or 61.5 basis points3. Commissions($15,311) or 6.1 basis points.
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GTS to Provide Additional Brokerage Consulting Services:
part of its contract, GTS to provide additional brokerage consulting services at no cost to th
SFixed Income Stress Test:independent and comprehensive analysis and evaluation of liquidity, estimated transactionk-to-market valuation differentials in fixed income portfolios. The "Stress Test" is a
rt that will help clients achieve greater transparency and ensure best brokerage practices are ince in their fixed income portfolios by:
Evaluating liquidity at the portfolio, sector, asset class and individual security level Estimating transaction costs of potential changes to the underlying p
managers
Identifying mark-to-market valuation differentials between custodian, managermarket valuations
Calculating sector and sub sector exposures by asset class (corporate, asmortgage backed etc)
Computing credit quality and duration using latest available pricing information
S Execution Cost Management (ECM):S' unique tick based analysis isolates the cumulative impact of your trading decisions and h
into the specifics of trading activity by measuring execution and transaction costs: Uncover key drivers of trading costs Analyze brokers, managers, algorithms, strategies and trade destinations
confidence
Determine your trading related strengths and weaknesses Monitor your brokerage performance relative to your peers Fine tune your entire trade process and improve your competitive edge Demonstrate best execution
S University:S University was established for the purpose of providing education and information tards and investment staff on commonly misunderstood brokerage related matters. Theigned to acquaint fiduciaries with the terminology, methodologies, tools and processnage event based trading and to review and monitor transaction costs and execution performa
plan's investment managers, broker dealers and commission recapture providers. Interactive topicsude:
Determinants of brokerage costs
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C i t y of Ft L a u d e r d a l e P o l i c e & Fire R e t i r e m e n t S y
1. Executive Summary:GTS Advisors(GTS) has completed the following post-tradeanalysis for the domestic equity transitionon behalf ofthe Cityof FtLauderdale Police& Fire Retirement System.Th e transition involved:
> Th e liquidation of approximately$25 million in domestic equity securities. > GTScoordinated all pre-transition processes with the underlying custodian, fund managers,and other
interested parties as sociatedwith this transition.
2. Portfolio Summary:
Number of Securities
Total Value (USD) $Total Shares
In KindsIn Kind Value (USD) $Net Shares Traded
Cash $(T-l) Value (USD) $
Capitalization
Large (> 10B)
Mid(2B-10B)
Small (500M - 2B)
Managers
Liquidity
0%-5%5% - 10%10% - 15%
15% - 25%25% - 50%
100% - 200%
Legacy Target
590 0
50,594,681 $ - $1,020,763
-
$ - $1,020,763
25,656,016 $ $24,938,664 $ - $
59% 0%
24% 0%
17% 0%
INTECHSawgrass
SystematicNorthPointeLee Munder
Stocks | Sectors
548 Healthcare31 Industrials
9 Consumer Cyclicals
2 Financials
0 Technology
0
Total
590
50,594,681
1,020,763.
1,020,763
25,656,01624,938,664
59%
24%
17%
;
% of Portfolio 1
11%12%
13%
15%
18%
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C i t y of Ft L a u d e r d a l e Po l i ce & F i r e R e t i r e m e n t
3. Trading Strategy
GTS utilizedan implementation shortfall strategyfo r this assignment.The executing broker utilizdiscretion to employ institutional trading algorithmsto quantitatively "parcel"the portfolio relatito portfolio performance and m arket movem ent o n the trade date in order to achieve proceimprovement versusT-l valuations.
4. Broker Selection: GTS has developed the industry's only independent transition trade performance evalu
process geared specifically o wards selectingthe most qualified transition broker(s)." Our evalua tion model is a weighted blend of both quantitative and qualitativevariables that
determine the ranking m echanism under which the brokers are meas ured and tracked. GTS utilizedthe broker best qualifiedto trade the specific asset class.
GTS Broker Rankings
Broker NameBlended Large, Mid and Small Cap
ITGJefferies & Co.Knight Equity MarketsMorgan StanleyBarclays Capital
12
34
5
5. Market Environment:
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C i t y of Ft L a u d e r d a l e
6. Transition Costs:
IS EquityExplicit CostCommissions- 1,020,763 shares @ 1.5 cps
Total ExplicitCosts
Police &
$
$
Fire Ret i r em
(15,311.45)
(15,311.45)
e n t S y s
(6.1)
(6.1)
, Implicit Cost $ bps ^^^^^Market ImpactTiming Cost
Total Implicit Cost
Tofo/TransitionCost
$$
$
$
(7,905.00)(153,323.07)
(161,228.07)
(176,539.52)
(3.2)(61.5)
(64.6)
(70.8)
7. Benchmark Analysis:I Benchmark
Equity Performance vs. Pre Trade Estimate
Equity Performance vs. V WA P
Equity Performance vs. Implementation Shortfall
$ Savings/(Differential)
$
$$
50,924.75
(68,430.78)
(116,444.55)
bps ^^^^H20.4
(27.4)
(46.7)
Performance vs. Pre Trade Estimate: The market environment and portfolio performance on trade datewere within pre trade expectations.
VWAP Comparison: This benchmark compares the cumulative executed values of each security in the
transition portfolio versus the weighted average execution value at which that security traded over thecourse of the entire trading day.
Implementation Shortfall Comparison: This strategy seeks to minimize cost by managing the riskassociated with overnight market movement, estimated transaction costs, intra-day volatility andliquidity.
8. Performance Execution Details:
T-l (Close)Trade Ex ecutionsT (Close)
Date
11/17/0911/18/0911/18/09
Side
SellSellSell
$$$
PrincipalValue
24,938,664.1124,785,341.0424,901,785.59
I Timing Cost
$$
$
$ Change
(153,323.07)(36,878.52)
$(153,323.07)
% Change
-0.6%
-0.1%
%-0.61%
CO
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Ci ty of Ft L a u d e r d a l e Po l i ce & Fire R e t i r e m e n t S y
Portfolio DetailsTop Ten - Total Cost
mTHKCOM
Q QWS~ COMMUNICATIONS iNTLWC
C CITIGROUF INC COM
m PF.2EP, IHC CCW
NATL NATIONAL INTERSTATE CORFCOM
W7SLA w 7 SEAL INC CL A0 OENERALELECTRIC CO CO*
CSCO CISCOSYS IffC COW
MSFT MICROSOFTCORf COM
CLRT CLAPIEN7;NC COM
--
,4.
- i
276
-l
47B.2M
65.199
7],77fc
301,S92
1J620
50,400227.4M
IE.200
17.905
17,400
16.&00
.
14,400
M.200
13.800
13,700
12.200
-
H2
21*I
:
-
-
;-
I
72
Top Ten Largest Spread
T
C
IB-r-
NATIONALINTERSTATE CORPCOM
ttWI VETEP.iNWYSUPPLY iMCCOW,
HOWZONLINES WC COM
AT&TiNt COM.
QWtST COMMUNlCXnOKS !KTl NC
CHINA INTEGRATEDENERGYINC CD
PFtZE1?iNCCOM
TRIPLED MGMTCOfiP CL 6
WET SEAL !W CCL A
37,0
42,724
45.777
=78,2H
68,1S
73,7?6
29,197
J01.392
43,004
50,40C>
2 . 2 1 X 3
1,100
1, .
18,2GC
17,900
17,400
4.300
If.SOO
. -
14400
.
273
- -
261
- ;
252
.-
99
-
91
-
67
Top Ten Postion Size
Q
C
P FE
WTSU
AT&T INCCCW.
QWESTCOmUNfCATiONS INTL i^fC
CITICROUf INC COM
Pf 2fi ffJC COM
WET SEALINC CL A
GENERALELECTfifC CC COM
C i s c os rs IN CC O MMICROSOFTCOflP COW
CLARIENT tHCCOM
MEPC.E HEALTHCAREiNC COW
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