All information is from the monthly reports of each county.
Yield = The daily average yield expressed on an annualized basis. Answers the question: how much interest did the portfolio earn?
Net Asset Value = Total Assets - Total Liabilities. Answers the question: what is a dollar in the pool worth?
Total Return = Yield + (1 - NAV). Answers the question: how much did the pool earn when adjusted for risk?
Weighted Average Maturity = The average maturity of bonds in the portfolio. A higher number indicates a higher market risk (i.e., interest rate risk). Answers the question: how much market risk is the pool taking?
Notes:
Market risk and credit risk are different types of risk. California code limits the degree of credit risk to high grade investments only; thus, credit risk is de minimus and market risk is the primary risk factor in the pool.
Net Asset Value (NAV) Variations are largely the result of market risk (i.e., interest rate risk), which is measured by the weighted average maturity (WAM).