Johnson Asset Management

510 views
458 views

Published on

0 Comments
0 Likes
Statistics
Notes
  • Be the first to comment

  • Be the first to like this

No Downloads
Views
Total views
510
On SlideShare
0
From Embeds
0
Number of Embeds
3
Actions
Shares
0
Downloads
2
Comments
0
Likes
0
Embeds 0
No embeds

No notes for slide

Johnson Asset Management

  1. 1. Johnson Asset Management June 30, 2007 International Value Equity Product Snapshot Asset Class: International Equity KEY FACTS eA Universes: eA International Large Cap Value eA International Equity - Unhedged Primary Capitalization: Large Cap Primary Style Emphasis: Value Marketing Contact: Joel Dykman Preferred Benchmark: MSCI ACWI ex-US (GD) Title: Director of Sales Total Product Assets ($Mil): $140.3 Phone/Fax: 800.407.5500 / 262.619.2758 Total Product Accounts:** 2 Product Offered As: SA,MF:Inst,MF:Retail Email Address: jdykman@johnsonasset.com Separate Account Minimum ($Mil): $5.00 ASSET & ACCOUNT INFORMATION Current Totals Assets ($Mil) Accounts Assets by Vehicle Type ($Mil) Total In Product $140.3 2 Separate Account: $25.8 Total Taxable 0 0 Commingled Fund: --- Total Tax-Exempt $140.3 2 Mutual Fund - Institutional: --- Total Institutional $140.3 2 Mutual Fund - Retail: $114.5 Accounts Gained Number Dollars ($Mil) % Product Assets Accounts Lost Number Dollars ($Mil) % Product Assets YTD 0 0 0.0% YTD 0 0 0.0% In 2006 0 0 0.0% In 2006 0 0 0.0% In 2005 1 $21.0 18.5% In 2005 0 0 0.0% PORTFOLIO CHARACTERISTICS Strategy Snapshot Fundamental Characteristics Key Country Allocations Preferred Benchmark: MSCI ACWI ex-US (GD) Current Number of Holdings: 130 Canada: 6.2% Primary Capitalization: Large Cap Annl. Turnover (By Wgt.): 21% France: 6.3% Primary Style Emphasis: Value Current Dividend Yield: 2.7% Germany: 7.6% Current Cash Position: 3.1% Current P/E (12-mo Trail): 15.6x Japan: 18.7% Number of Countries in Portfolio: 23 Current P/B (12-mo Trail): 2.1x Netherlands: 5.8% Approach Toward Hedging: Not Used Grw. in Earnings (Past 5 Yrs): 10.9% Switzerland: 2.2% Current % Hedged to US$: --- Wgtd. Avg. Mkt. Cap ($Mil): $47,515 United Kingdom: 16.7% Max Allow in Emerging Markets: --- Median Mkt. Cap ($Mil): $21,760 Emerging Markets: 1.6% PERFORMANCE INFORMATION Performance For: Institutional Mutual Fund - Gross of Fees Risk Benchmark: MSCI EAFE-ND Data Frequency: Quarterly Risk-Free Benchmark: Citigroup 3-Month T-Bill Returns Trailing Periods Product Bmrk Excess Std Dev Alpha Beta Tracking Error Info Ratio Sharpe Ratio 1 Year 27.90 27.01 0.89 --- --- --- --- --- --- 2 Year 26.84 26.78 0.06 --- --- --- --- --- --- 3 Year 23.72 22.24 1.48 9.60 3.34 0.90 2.42 0.61 2.09 4 Year 25.80 24.70 1.10 9.84 4.02 0.86 2.51 0.44 2.32 5 Year 20.23 17.73 2.50 15.69 4.03 0.89 2.95 0.85 1.12 6 Year 16.41 12.68 3.73 16.08 4.74 0.88 3.55 1.05 0.86 7 Year 11.94 6.60 5.34 16.07 5.86 0.86 3.87 1.38 0.55 8 Year 12.88 7.87 5.01 15.42 5.92 0.83 4.66 1.08 0.62 9 Year 12.25 7.84 4.42 16.07 5.38 0.82 4.96 0.89 0.55 10 Year --- --- --- --- --- --- --- --- --- Since Inception (4/1998) 11.64 7.74 3.90 Calendar Years MRQ YTD 2006 2005 2004 2003 2002 2001 2000 Product Returns: 7.23 11.56 28.15 13.03 24.68 39.04 -3.76 -15.71 0.80 Benchmark Returns: 6.40 10.74 26.35 13.53 20.25 38.60 -15.94 -21.44 -14.17 Excess Returns: 0.83 0.82 1.80 -0.50 4.43 0.44 12.18 5.74 14.97 FEE INFORMATION PROFESSIONAL INFORMATION Vehicle Type Available Min. Size ($Mil) Minimum Fee Team Description No. Avg. Yrs. Exp. Avg. Yrs. @ Firm Separate Account Open $5.0 $7,500 Portfolio Managers 3 15 0 Commingled Fund --- --- --- Analysts 6 11 0 Mutual Fund JFIEX $0.0 $0 Traders 3 15 0 Fees By Acct. Size $25M $50M $75M $100M Professional Turnover Port Mgrs. Analysts Separate Account $235,000 $385,000 $535,000 $685,000 Professionals Gained: YTD 0 0 94 bps 77 bps 71 bps 69 bps In 2006 0 0 Commingled Fund --- --- --- --- In 2005 0 0 --- bps --- bps --- bps --- bps Professionals Lost: YTD 0 0 Mutual Fund --- --- --- --- In 2006 0 0 --- bps --- bps --- bps --- bps In 2005 0 0 Created by eASE Analytics System
  2. 2. Johnson Asset Management June 30, 2007 International Value Equity Product Trends Asset Class: International Equity Key: KEY FACTS eA Universes: eA International Large Cap Value Quartiles eA International Equity - Unhedged 1st Primary Capitalization: Large Cap Primary Style Emphasis: Value Marketing Contact: Joel Dykman 2nd Preferred Benchmark: MSCI ACWI ex-US (GD) Title: Director of Sales Total Product Assets ($Mil): $140.3 3rd Total Product Accounts:** 2 Phone/Fax: 800.407.5500 / 262.619.2758 Product Offered As: SA,MF:Inst,MF:Retail Email Address: jdykman@johnsonasset.com 4th Separate Account Minimum ($Mil): $5.00 HISTORICAL PRODUCT ASSETS ($MIL) Category 2006 2005 2004 2003 2002 Total $129 $114 $117 $65 $37 Institutional $129 $114 $85 $62 $37 Taxable $0 $0 $29 $4 $1 Tax-Exempt $129 $114 $88 $62 $37 UNIVERSE RANKING ANALYSIS vs. eA INTERNATIONAL EQUITY UNIVERSE Annualized Returns (Periods Ending June 30, 2007) Percentile MRQ YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs 5th 11.60 16.97 38.30 33.33 28.77 19.03 17.64 25th 8.62 13.06 31.41 26.57 21.91 12.22 12.71 Median 7.30 11.56 28.64 23.88 19.19 8.88 10.33 75th 6.14 10.23 26.14 21.94 17.38 6.60 8.79 95th 3.74 7.35 21.32 18.79 14.76 3.54 7.74 Product 7.23 11.56 27.90 23.72 20.23 11.94 --- Rank (52) (50) (58) (52) (38) (27) (---) Calendar Year Returns 2006 2005 2004 2003 2002 Median 26.89 16.84 20.78 39.86 -13.62 Product 28.15 13.03 24.68 39.04 -3.76 Rank (39) (82) (25) (55) (12) 2001 2000 1999 1998 1997 Median -18.28 -11.78 38.77 15.95 7.85 Product -15.71 0.80 23.14 --- --- Rank (33) (11) (86) (---) (---) Rolling 3-Year Returns (Periods Ending) 6/2007 3/2007 12/2006 9/2006 6/2006 Median 23.88 20.91 21.32 23.35 25.12 Product 23.72 21.26 21.78 23.24 25.11 Rank (52) (45) (44) (51) (50) 3/2006 12/2005 9/2005 6/2005 3/2005 Median 32.68 25.20 26.21 13.40 12.93 Product 31.65 25.13 27.75 16.02 16.64 Rank (63) (51) (35) (27) (24) Created by eASE Analytics System
  3. 3. Johnson Asset Management June 30, 2007 International Value Equity Universe Rank Asset Class: International Equity KEY FACTS eA Universes: eA International Large Cap Value eA International Equity - Unhedged Primary Capitalization: Large Cap Primary Style Emphasis: Value Marketing Contact: Joel Dykman Preferred Benchmark: MSCI ACWI ex-US (GD) Title: Director of Sales Total Product Assets ($Mil): $140.3 Phone/Fax: 800.407.5500 / 262.619.2758 Total Product Accounts:** 2 Product Offered As: SA,MF:Inst,MF:Retail Email Address: jdykman@johnsonasset.com Separate Account Minimum ($Mil): $5.00 PEER GROUP STATISTICS AND RANKING vs. eA INTERNATIONAL EQUITY UNIVERSE YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Firm/Product Return Rank Return Rank Return Rank Return Rank Return Rank Johnson Asset Mgmt-International Value E... 11.56 50 27.90 58 23.72 52 20.23 38 --- --- Benchmark:MSCI EAFE-ND 10.74 68 27.01 68 22.24 71 17.73 68 7.66 96 Median 11.56 --- 28.64 --- 23.88 --- 19.19 --- 10.33 --- THREE YEAR STATISTICS vs. eA INTERNATIONAL EQUITY UNIVERSE vs. MSCI EAFE-ND Info Ratio Sharpe Ratio Alpha Standard Deviation Batting Avg. Excess Return Median 0.59 1.88 1.74 10.84 0.580 1.64 Product 0.61 2.09 3.34 9.60 0.580 1.48 Rank (49) (26) (32) (89) (45) (52) Created by eASE Analytics System
  4. 4. Johnson Asset Management June 30, 2007 International Value Equity Risk vs. Reward Asset Class: International Equity KEY FACTS eA Universes: eA International Large Cap Value eA International Equity - Unhedged Primary Capitalization: Large Cap Primary Style Emphasis: Value Marketing Contact: Joel Dykman Preferred Benchmark: MSCI ACWI ex-US (GD) Title: Director of Sales Total Product Assets ($Mil): $140.3 Phone/Fax: 800.407.5500 / 262.619.2758 Total Product Accounts:** 2 Product Offered As: SA,MF:Inst,MF:Retail Email Address: jdykman@johnsonasset.com Separate Account Minimum ($Mil): $5.00 RISK VS. RETURN AND MARKET CAPTURE ANALYSIS: 3 YEARS vs. eA INTERNATIONAL EQUITY UNIVERSE Returns Standard Deviation Product Product 23.72 9.60 Up Market Capture 98.51 # of Up Periods 9 Benchmark 22.24 10.39 Down Market Capture -207.09 # of Down Periods 3 MARKET CAPTURE ANALYSIS: 3 YEARS TRACKING ERROR: ROLLING 3-YEAR PERIODS Up Market Capture Down Market Capture End Trk Error End Trk Error End Trk Error Median 103.72 -37.54 2q07 2.42 1q06 3.01 4q04 4.43 Product 98.51 -207.09 1q07 2.41 4q05 3.45 3q04 4.40 Rank (71) (69) 4q06 2.44 3q05 3.37 2q04 4.31 3q06 2.90 2q05 3.45 1q04 4.32 2q06 2.88 1q05 3.97 4q03 4.60 Created by eASE Analytics System
  5. 5. Johnson Asset Management June 30, 2007 International Value Equity Style Analysis Asset Class: International Equity KEY FACTS eA Universes: eA International Large Cap Value eA International Equity - Unhedged Primary Capitalization: Large Cap Primary Style Emphasis: Value Marketing Contact: Joel Dykman Preferred Benchmark: MSCI ACWI ex-US (GD) Title: Director of Sales Total Product Assets ($Mil): $140.3 Phone/Fax: 800.407.5500 / 262.619.2758 Total Product Accounts:** 2 Product Offered As: SA,MF:Inst,MF:Retail Email Address: jdykman@johnsonasset.com Separate Account Minimum ($Mil): $5.00 Analysis As of Date: 6/2007 Data Frequency: Quarterly Created by eASE Analytics System
  6. 6. Johnson Asset Management International Value Equity Investment Strategy Through our international investment approach, you benefit from a process that: Takes into consideration regional and country-specific factors which may affect the risk profile of the portfolio. Is designed to identify attractively valued, high-quality companies that are likely to return to fair value throughout a market cycle. Relies on a blend of proprietary quantitative screens that assess value in each market's own way and are optimized to reflect changing market conditions. Uses solid qualitative research to identify catalysts that are likely to improve value. Facilitates diversification with minimal risk and greater consistency · Includes a well-defined sell discipline. Screening Process To bring the overall universe of potential holdings to a manageable size, the first step of our process uses our quantitative screens to identify inexpensively priced companies that exhibit high levels of quality. We screen a universe of about 2000 companies and assign each to one of 20 industry sectors within each country or region. Each stock is then valued based on a sector specific valuation model focused on price/earnings, price/book and price/cash flow as well as factor weightings. The initial sort identifies the companies that appear to have the most attractive value. These companies are then filtered for quality, looking for factors such as low outstanding debt to capitalization, positive free cash flow and stable earnings estimate revisions. As a last step, we screen for positive trends such as improved cash flow, margins and leverage to rule out companies that don't appear to be healthy, leaving us with approximately 500 stocks. Portfolio Construction Methodology Because we want to construct risk-controlled portfolios that offer more consistent returns than the broader market, diversification is an essential consideration. An important aspect of international investing is the diversification of assets across regions and countries. The country allocation decision is based on qualitative factors such as economic structure, political considerations, and differences in macroeconomic fundamentals. Our portfolio typically holds stocks in 26 different countries. Across regions, sector exposure is limited to 1.5 times that of MSCI All Country World ex USA Index. We also will not underweight a particular sector by more than two-thirds of the benchmark weight. Our sector weightings are driven by the process of finding attractive companies, rather than a top-down macro overview. A large number of attractive companies in a given sector will lead us to overweight that sector. Our portfolio typically holds 130-155 stocks. Buy/Sell Discipline A key element of our disciplined process is a well-defined sell discipline. A variety of situations can trigger the sale of a specific stock, or cause us to review the stock for possible action. Our value screening process indicates that the stock is fully valued within its sector. There is no indication a near-term catalyst is going to develop. Our holdings in the stock reach 5% of the total portfolio. The stock's performance causes the sector to become excessively overweighted versus its target weighting Company fundamentals are deteriorating. Trading/Execution Strategy Created by eASE Analytics System
  7. 7. Johnson Asset Management International Value Equity Investment Professionals Managing This Strategy Daniel Bagdasarian, Fundamental Analyst Eldene Doyle, Fundamental Analyst Primary Role: Equity Analyst Percentage Ownership: N/A Primary Role: Equity Analyst Percentage Ownership: N/A Start Year: Industry: 1987 Firm: 1998 Start Year: Industry: 1986 Firm: 2003 Prior Employer: Johnson Trust Company (1994-1997) Prior Employer: London Pacific Advisors (2001-2002) Prior Employer: Bank One Wisconsin Trust Company (1987-1994) Prior Employer: Financial Counselors (1991-2000) Education: Marquette University (BS-Business Admin., 1985) Education: University of Hawaii - Honolulu (Finance, 1983) Biography: Dan joined Johnson Asset Management in 1998 after Biography: Eldene joined the firm in 2003 with more than 15 years of three years as an Investment Officer for Johnson Trust Company. Prior investment experience. She is responsible for investment research to joining Johnson Financial Group, he worked at Bank One and the across several industries. Before joining the firm, Eldene worked as a Midwest Stock Exchange. Dan has a bachelor's degree in business research analyst for London Pacific Advisors and as an investment administration from Marquette University and is a Chartered Financial analyst at Financial Councelors, Inc. Eldene earned her BBA in finance Analyst. from the Univesrity of Hawaii-Honolulu and is a Chartered Financial Analyst. William Fitzpatrick, Fundamental Analyst Primary Role: Equity Analyst Percentage Ownership: N/A Michael Gandrud, Fundamental Analyst Start Year: Industry: 1997 Firm: 2004 Primary Role: Equity Analyst Percentage Ownership: N/A Prior Employer: Northern Trust (1997-2000) Start Year: Industry: 1987 Firm: 2004 Prior Employer: Thomas White Asset Management (2000-2001) Prior Employer: Waupaca Northwoods (2003-2003) Prior Employer: Mid States Credit Union (2003-2004) Prior Employer: Cedar Creek Partners (1998-2003) Education: Villanova University (BS-BA, 1997) Prior Employer: LaSalle Bank (1996-1998) Education: Notre Dame University (MBA, 2003) Education: University of Wisconsin-Whitewater (BA-Finance, 1987) Biography: Bill joined Johnson Asset Management in 2004. Prior to Education: Marquette University (MBA, 1990) joining our firm, Bill worked as a Fixed Income Research Analyst for Biography: Mike joined Johnson Asset Management in 2004 with Mid-States Corporate Credit Union in Warrenville, IL. Prior to Mid- more than 13 years of investment analysis experience. Prior to joining States Corporate Credit Union, Bill worked for Thomas White Asset the firm, Mike worked at Cedar Creek Partners, LaSalle Bank and Management and The Northern Trust Company. Bill is a graduate of Firstar Bank. He earned a bachelor's defree in business administration Villanova University where he earned a bachelor's degree in business from the University of Wisconsin-Whitewater, and MBA from Marquette administration and an MBA from the University of Notre Dame and is a University and is a Chartered Financial Analyst. Chartered Financial Analyst. Margaret McKay, Portfolio Manager Edward Maraccini, Portfolio Manager Primary Role: Portfolio Manager Percentage Ownership: N/A Primary Role: Portfolio Manager Percentage Ownership: N/A Start Year: Industry: 1992 Firm: 2000 Start Year: Industry: 1996 Firm: 1999 Prior Employer: Royal Bank Financial Group (1999-2000) Prior Employer: Robert W. Baird Inc. (1996-1999) Prior Employer: Royal Bank Financial Group (1998-1999) Education: University of Wisconsin-LaCrosse (BA-Finance and Prior Employer: Daiwa International Capital Management (1992-1995) Accounting, 1995) Education: McGill University (BA-Economics, 1992) Biography: Ed joined Johnson Asset Management in 1999 with three Education: University of British Columbia (MA-Economics, 1998) years of experience in investment analysis and portfolio management. Biography: Peggy joined Johnson Asset Management in 2000 and He previously worked for Robert W. Baird & COmpany and presently has over 10 years of experience in the financial industry. Prior to heads up the fundamental analyst team. He has a bachelor's degree in joining Johnson Asset Management, she held positions with the Royal finance and accounting from the University of Wisconsin - LaCrosse Bank Financial Group in Toronto as a Financial Analyst and Daiwa and is a Chartered Financial Anlayst. International Capital Management as an Assistant Portfolio Manager. Peggy earned a degree in economics from McGill University and a Wendell Perkins, Chief Investment Officer and Portfolio Manager master of economics from the University of British Columbia and is a Primary Role: Portfolio Manager Percentage Ownership: N/A Chartered Financial Analyst. Start Year: Industry: 1985 Firm: 1994 Prior Employer: Biltmore Investors Bank (1993-1994) Elizabeth Polzin, Quantitative Analyst Prior Employer: State of Wisconsin Investment Board (1991-1993) Primary Role: Equity Analyst Percentage Ownership: N/A Prior Employer: Westinghouse Credit Corporation (1987-1991) Start Year: Industry: 2002 Firm: 2004 Education: Colby College (BA-English, 1985) Prior Employer: Johnson Financial Group (2003-2004) Education: University of Wisconsin-Madison (MBA, 1992) Prior Employer: Johnson Financial Group (2002-2003) Biography: Wendell is responsible for equity research, strategy and Education: Mount Mary College (BS, 1997) implementation at Johnson Asset Management and has over 20 years Education: University of Wisconsin - Parkside (MBA, 2003) of expereince. Wendell joined the firm in 1993 after working for the Biography: Beth joined Johnson Asset Management in December of State of Wisconsin Investment Board in the Private Placement Division 2004. Prior to joining our firm, Beth worked as a Trust Investment and Westinghouse Credit. He is graduate of Colby College, earned an Specialist for Johnson Trust after completing a Financial Training MBA from the University of Wisconsin, and is a Chartered Financial positions with Johnson Financial Group. She earned the designation of Analyst. Certified Fiduciary Investment Manager. She earned a bachelor of science degree from Mount Mary College and an MBA from University David Stamm, Fundamental Analyst of Wisconsin - Parkside. Primary Role: Equity Analyst Percentage Ownership: N/A Start Year: Industry: 1997 Firm: 2000 Prior Employer: Johnson Bank (1997-2000) Education: Valparaiso University (BS-International Business, 1997) Biography: Dave joined Johnson Asset Management in 2000 after working as a credit analyst and senior analyst with Johnson Bank. Dave is a graduate of Valparaiso University with a bachelor of science degree in business administration-international business and is a Chartered Financial Analyst candidate.
  8. 8. Created by eASE Analytics System
  9. 9. Johnson Asset Management June 30, 2007 International Value Equity UNIVERSE RANKING ANALYSIS vs. eA INTERNATIONAL EQUITY UNIVERSE Manager Rank Index Rank MRQ 7.23 (52) 6.40 (70) 1 Yr 27.90 (58) 27.01 (68) 3 Yrs 23.72 (52) 22.24 (71) 5 Yrs 20.23 (38) 17.73 (68) 7 Yrs 11.94 (27) 6.60 (75) 10 Yrs --- (---) 7.66 (96) EXCESS RETURN ANALYSIS vs. MSCI EAFE (NET DVDS) INDEX Manager Index Excess MRQ 7.23 6.40 0.83 1 Yr 27.90 27.01 0.89 3 Yrs 23.72 22.24 1.48 5 Yrs 20.23 17.73 2.50 7 Yrs 11.94 6.60 5.34 10 Yrs --- 7.66 --- ROLLING QUARTERLY PERFORMANCE vs. MSCI EAFE (NET DVDS) INDEX Manager Index 2q07 7.23 6.40 1q07 4.04 4.08 4q06 10.70 10.35 3q06 3.56 3.93 2q06 1.18 0.70 1q06 10.48 9.40 4q05 2.20 4.08 3q05 10.11 10.38 2q05 0.47 -1.01 1q05 -0.03 -0.17 4q04 14.29 15.32 3q04 2.54 -0.28 Created by eASE Analytics System
  10. 10. Johnson Asset Management June 30, 2007 International Value Equity STANDARD DEVIATION ANALYSIS vs. eA INTERNATIONAL EQUITY UNIVERSE Manager Rank Index Rank 3 Yrs 9.60 (89) 10.39 (66) 5 Yrs 15.69 (94) 17.56 (55) 7 Yrs 16.07 (95) 18.35 (55) 10 Yrs --- (---) 18.72 (70) TRACKING ERROR ANALYSIS: ROLLING THREE YEAR PERIODS End Trk Error End Trk Error 2q07 2.42 4q04 4.43 1q07 2.41 3q04 4.40 4q06 2.44 2q04 4.31 3q06 2.90 1q04 4.32 2q06 2.88 4q03 4.60 1q06 3.01 3q03 4.11 4q05 3.45 2q03 3.97 3q05 3.37 1q03 3.79 2q05 3.45 4q02 3.87 1q05 3.97 3q02 5.59 MARKET CAPTURE ANALYSIS: 5 YEARS vs. MSCI EAFE (NET DVDS) INDEX Manager Upmarket Capture 100.06 Downmarket Capture 70.15 # of Up Periods 15 # of Down Periods 5 Created by eASE Analytics System
  11. 11. Johnson Asset Management June 30, 2007 International Value Equity 3 YEAR MPT STATISTICS vs. eA INTERNATIONAL EQUITY UNIVERSE vs. MSCI EAFE (NET DVDS) INDEX Excess Returns Tracking Error Information Ratio Sharpe Ratio Manager 1.48 2.42 0.61 2.09 Rank (52) (70) (50) (25) 5th Percentile 11.31 7.69 2.23 2.44 25th Percentile 4.45 4.67 1.34 2.09 Median 1.64 3.25 0.61 1.88 75th Percentile -0.28 2.23 -0.12 1.70 95th Percentile -3.47 1.15 -1.25 1.42 Annualized Alpha Jensen Alpha Sortino Ratio Treynor Ratio Manager 3.34 2.97 54.34 22.28 Rank (32) (35) (5) (33) 5th Percentile 9.00 8.99 56.23 29.12 25th Percentile 3.95 4.10 21.69 23.11 Median 1.75 1.70 14.29 20.56 75th Percentile -0.11 -0.15 9.11 18.37 95th Percentile -2.68 -2.53 5.26 15.73 Created by eASE Analytics System
  12. 12. Johnson Asset Management June 30, 2007 International Value Equity 5 YEAR MPT STATISTICS vs. eA INTERNATIONAL EQUITY UNIVERSE vs. MSCI EAFE (NET DVDS) INDEX Excess Returns Tracking Error Information Ratio Sharpe Ratio Manager 2.50 2.95 0.85 1.12 Rank (38) (69) (35) (22) 5th Percentile 11.36 8.46 1.89 1.44 25th Percentile 4.21 5.15 1.15 1.10 Median 1.46 3.66 0.48 0.93 75th Percentile -0.37 2.75 -0.12 0.82 95th Percentile -3.06 1.25 -0.85 0.67 Annualized Alpha Jensen Alpha Sortino Ratio Treynor Ratio Manager 4.03 3.72 2.09 19.84 Rank (27) (28) (29) (25) 5th Percentile 11.25 10.96 3.54 28.08 25th Percentile 4.41 4.39 2.19 19.97 Median 1.55 1.51 1.72 16.72 75th Percentile -0.26 -0.29 1.46 14.66 95th Percentile -2.50 -2.55 1.16 12.09 Created by eASE Analytics System
  13. 13. Side-By-Side Comparison Tables June 30, 2007 PORTFOLIO CHARACTERISTICS Wgtd. Avg. Median Firm Product Primary Cap Primary Style # Holdings P/E (Trail) P/B (Trail) Mkt. Cap Mkt. Cap % Cash Johnson Asset M... International Value Equity Large Cap Value 130 15.6x 2.1x $47,515 $21,760 3.1% SECTOR ALLOCATIONS: S&P/MSCI GICS Cons. Cons. Health Info. Tele Firm Product Disc. Stpls. Energy Financials Care Industrials Tech. Materials Svcs. Utilities Johnson Asset M... International Value Equity 13.8% 6.7% 8.9% 26.3% 8.5% 7.9% 6.1% 10.4% 3.4% 4.9% Created by eASE Analytics System

×