GTS Post Trade Analysis

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

Documents

GTS Post Trade Analysis