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TABLE OF CONTENTS
Important Disclaimer Information Capital Markets Review Performance Review Total Fund Domestic Equity International Equity Fixed Income Alternative Investments Appendix
1 2 3 4 5 6 7 8
This report has been created as a courtesy for the clients of CapTrust Advisors. The information contained herein was taken from sources believed to be reliable, but no representation or warranty is made as to its accuracy or completeness. Performance Comparison Page Information: Shaded areas represent where the investment objective was achieved either by: 1) The investment return versus the index; 2) The investment return universe ranking (The lower the number the better the ranking) Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginning on the last day of an account's inception month. Results do not include the interim period from an account's inception date to an account's first month-end. For example, for an account that has an inception date of March 15, this report begins measuring performance as of March 31. Omission of performance during this interim period is likely to result in different performance figures than if the interim period's performance was included in this report. When applicable, investment results depicted represent historical net of fees performance. Past performance is no guarantee of future performance. This report is not the official record of your account. However, it has been prepared to assist you with your investment planning and is for information purposes only. Your Custodial Client Statement is the official record of your account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client Statement and call your Financial Advisors if you have any questions. Transactions requiring tax consideration should be reviewed carefully with your accountant or tax tax advisor. This is not a substitute for your own records and the year-end 1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors. Indices are unmanaged and you cannot invest directly in an index. For index definitions, please see the Capital Markets Review.
Index Domestic Fixed Income 3 Month T-Bill Barclays Capital 1-3 year Gov't Barclays Capital Interm Gov't Barclays Capital Interm Credit Barclays Capital Interm Govt/Cred Barclays Capital Aggregate Bond Domestic Equity Standard & Poor's 500 Dow Jones Industrial Average Dow Jones US Total Full Cap Dow Jones US Select REIT Russell 1000 - Large Cap Russell 1000 Growth - Large Cap Russell 1000 Value - Large Cap Russell Midcap Russell Midcap Growth Russell Midcap Value Russell 2000 - Small Cap Russell 2000 Growth - Small Cap Russell 2000 Value - Small Cap International Equity MSCI EAFE MSCI World MSCI EM Blended Benchmarks 30% S&P 500 / 70% Barclays Agg 40% S&P 500 / 60% Barclays Agg 50% S&P 500 / 50% Barclays Agg 60% S&P 500 / 40% Barclays Agg 70% S&P 500 / 30% Barclays Agg
QTR 0.00% 0.21% 0.69% 1.13% 0.84% 1.12% 11.82% 12.78% 11.97% 15.36% 11.84% 10.61% 13.11%
YTD 0.06% 1.56% 6.08% 5.37% 5.80% 7.84% 2.11% 8.38% 0.52% 9.37% 1.50% 2.64% 0.39%
1 Yr 0.06% 1.56% 6.08% 5.37% 5.80% 7.84% 2.11% 8.38% 0.52% 9.37% 1.50% 2.64% 0.39% -1.55% -1.65% -1.38% -4.18% -2.91% -5.50%
3 Yr 0.12% 1.79% 3.54% 9.59% 5.65% 6.77% 14.11% 14.89% 15.24% 21.63%
5 Yr 1.31% 3.80% 5.86% 6.21% 5.88% 6.50% -0.25% 2.37% 0.28% -2.04%
10 Yr 1.91% 3.39% 4.89% 5.79% 5.20% 5.78% 2.92% 4.57% 3.90% 10.12%
14.81% -0.02% 3.35% 18.02% 2.50% 2.60% 11.55% -2.64% 3.89% 20.17% 1.42% 22.06% 2.44% 18.19% 0.04% 6.99% 5.29% 7.67%
12.31% -1.55% 11.24% -1.65% 13.37% -1.38% 15.47% -4.18% 14.99% -2.91% 15.97% -5.50%
3.33% -12.14% -12.14% 7.65% -4.72% 4.67% 7.59% -5.54% -5.54% 11.13% -2.37% 3.62% 4.08% -20.41% -20.41% 17.35% 0.08% 11.19% 4.33% 5.40% 6.47% 7.54% 8.61% 6.12% 5.55% 4.98% 4.40% 3.83% 6.12% 5.55% 4.98% 4.40% 3.83% 8.97% 9.71% 10.44% 11.17% 11.91% 4.48% 3.80% 3.13% 2.45% 1.78% 4.92% 4.64% 4.35% 4.06% 3.78%
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Capital Markets Overview The U.S. markets shrugged off persistent concerns over the European debt crisis to end the quarter better than it began. The latest economic data indicates that the U.S. economy is not in a recession, and that economic activity probably expanded at its fastest pace of the year during the fourth quarter. Overseas markets remain mixed. In Europe, the debt crisis and austerity measures are the source of much consternation. European leaders must deal with the debt, but austerity demands may be forcing some countries into a recession. China is working through a government controlled economic slowdown. After a volatile third quarter the fixed income markets took a breather. However, most sectors of the fixed income market did see gains for the quarter. The exceptions were long dated Treasuries and international developed fixed income. Yields remain at historically low levels. Commodities declined during the quarter, led by metals. Gold ended below its August high, but finished the quarter and year with its 11th straight annual gain. Iranian military exercises and threats to close or restrict shipping lanes caused a late-in-the-quarter spike in crude oil. The U.S. Dollar Index is up 13% from its March 2008 low as investors perceived the dollar as a safe haven alternative to the Euro.
Fourth quarter ends much better than it started > U.S. economy more resilient than expected > Economic activity expands at faster pace of the year (4th quarter) > Recessionary fears subside
Bars = CAGR 10.0%
Real GDP
Line = Yr/Yr Percent Change 10.0%
GDP - CAGR: Q3 @ 1.8% GDP - Yr/Yr Percent Change: Q3 @ 1.5%
8.0% 6.0% 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% -8.0% -10.0% 2000 2002
8.0% 6.0% 4.0% 2.0% 0.0% -2.0% -4.0% -6.0% -8.0% -10.0%
2004
2006
2008
2010
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
> Consumer confidence jumps to eight month high > Investor sentiment improves > Jobs and employment numbers improve
160
140
140
120
120
100
100
80
80
60
Confidence Yr/Yr % Chg: Dec @ 1.8% Confidence: Dec @ 64.5 12-Month Moving Average: Dec @ 58.1
60
40
40
20 87 89 91 93 95 97 99 01 03 05 07 09 11
20
October rally sparks U.S. equities in fourth quarter > October marks best month for S&P 500 since 1991 > Energy and Industrials lead S&P 500 to 11.82% return in quarter > Dow Jones Industrial Average rallies more than 1000 points in October > Major market caps post gains better than 10% for the quarter, led by small caps (Russell 2000) up 15.47%
Broad Domestic Equity Performance
25.00%
S&P5004Q2011SectorReturns
18.20 Energy Industrials Materials ConsumerDiscretionary S&P500 Financials ConsumerStaples HealthCare InformationTechnology Utilities Telecommunication 16.52 15.39
20.00%
15.00%
Return (%)
Large Cap
10.00%
5.00%
0.00%
8.72 8.28
7.90
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Most sectors of the fixed income markets see gains during the quarter > Corporate, High Yield and Preferred sectors all rise > Yields remain at near historically low levels
Credit Performance
25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 4Q11 YTD 1YR 3YR 5YR
AAA AA A BBB BB
Long Treasuries see moderate declines > Benchmark 30-year Treasury yield drops to 2.89% from 2.91% > International developed fixed income markets trended lower
3YearTrailingTreasuryyields
6 5 4 3 2 1 0 1yr 5yr 10yr 30yr
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Global economy still threatened by debt and engineered slowdown > China in the midst of engineered economic slowdown to slow inflation > Emerging markets improved, but still pressured by slow growth > Europe struggling to contain debt crisis and calm fears
Eurozone Real GDP
Bars = Compound Annual Rate 8%
Compound Annual Growth: Q3 @ 0.6% Year-over-Year Percent Change: Q3 @ 1.4%
4%
Forecast
4%
0%
0%
-4%
-4%
-8%
-8%
-12%
7.5%
6.0%
Period Average
6.0%
4.5%
4.5%
3.0%
3.0%
1.5%
1.5%
0.0%
0.0%
-1.5% 1970 1975 1980 1985 1990 1995 2000 2005 2010
-1.5%
CAPITAL MARKETS REVIEW DECEMBER 31, 2011 CAPITAL MARKET INDEX RETURNS
B ES T
WOR S T
3 2 .9 4 % 8 .0 6 % Rus s ell Rus s ell S&P S&P S&P 2000 10 0 0 50 0 50 0 50 0 Value Gro wth 2 3 .8 4 % 2 .6 6 % 3 7.53 % 3 3 .3 5% 2 8 .57% Rus s ell DJ Rus s ell Rus s ell M SCI S&P 10 0 0 Wils hire 10 0 0 2000 EAFE 50 0 Value REIT Gro wth Value 18 .12 % 2 .6 6 % 3 7.19 % 2 2 .9 4 % 3 1.78 % 2 0 .3 3 % DJ Rus s ell Rus s ell Rus s ell Rus s ell S&P Wils hire 2000 10 0 0 10 0 0 10 0 0 50 0 REIT Gro wth Value Gro wth Value 15.14 % 1.3 1% 3 1.0 4 % 2 1.6 4 % 3 0 .4 9 % 15.6 3 % Rus s ell Rus s ell Rus s ell Rus s ell DJ Barclays S&P 2000 2000 2000 2000 Wils hire Ag g 50 0 Gro wt h Value Value Value REIT Bo nd 7.6 2 % 13 .3 7% -1.55% 2 5.75% 2 1.3 7% 19 .6 7% 8 .6 7% Barclays Rus s ell Barclays Rus s ell Rus s ell Rus s ell S&P Ag g 10 0 0 Ag g 2000 2000 2000 50 0 Bo nd Value Bo nd Gro wt h Gro wth Gro wth 7.4 0 % 10 .0 6 % -1.9 9 % 18 .4 8 % 11.2 6 % 12 .9 5% 1.2 3 % Rus s ell Barclays Rus s ell DJ M SCI Barclays Rus s ell 10 0 0 Ag g 2000 Wils hire Ag g 2000 EAFE Gro wth Bo nd Gro wth REIT Bo nd Value 5.0 0 % 9 .75% -2 .4 4 % 12 .2 4 % 6 .3 6 % 9 .6 8 % -6 .4 6 % Rus s ell Barclays DJ M SCI M SCI M SCI Barclays 10 0 0 Ag g Ag g Wils hire EAFE EAFE EAFE Gro wt h Bo nd Bo nd REIT -11.8 5% 2 .9 0 % -2 .9 2 % 11.55% 3 .6 1% 2 .0 6 % -17.0 0 %
19 9 2 Rus s ell 2000 Value 2 9 .15% DJ Wils hire REIT 15.13 % Rus s ell 10 0 0 Value 13 .8 1% Rus s ell 2000 Gro wth 7.77%
19 9 3 M SCI EAFE
19 9 4 M SCI EAFE
19 9 9 2000 Rus s ell DJ 2000 Wils hire Gro wth REIT 4 3 .0 9 % 3 1.0 4 % Rus s ell Rus s ell 10 0 0 2000 Gro wth Value 3 3 .16 % 2 2 .8 3 % M SCI Barclays Ag g EAFE Bo nd 2 7.3 0 % 11.6 3 % Rus s ell S&P 10 0 0 50 0 Value 2 1.0 4 % 7.0 1% Rus s ell S&P 10 0 0 50 0 Value 7.3 5% -9 .10 % DJ M SCI Wils hire EAFE REIT -2 .57% -13 .9 6 % Barclays Rus s ell Ag g 10 0 0 Bo nd Gro wt h -0 .8 3 % -2 2 .4 2 % Rus s ell Rus s ell 2000 2000 Value Gro wt h -1.4 9 % -2 2 .4 3 %
2001 2002 2003 2004 2005 2006 2007 2008 2009 2 0 10 2 0 11 Rus s ell Barclays Rus s ell DJ DJ DJ Rus s ell Barclays Rus s ell Rus s ell DJ 2000 Ag g 2000 Wils hire Wils hire Wils hire 10 0 0 Ag g 10 0 0 2000 Wils hire Value Bo nd Gro wt h REIT REIT REIT Gro wth Bo nd Gro wt h Gro wth REIT 13 .9 6 % 10 .2 7% 4 8 .53 % 3 3 .14 % 14 .0 0 % 3 6 .13 % 11.8 1% 5.2 4 % 3 7.2 1% 2 9 .0 9 % 9 .3 7% DJ DJ Rus s ell Rus s ell Rus s ell Rus s ell DJ Barclays M SCI M SCI M SCI Wils hire Wils hire 2000 2000 2000 2000 Wils hire Ag g EAFE EAFE EAFE REIT REIT Value Value Value Gro wt h REIT Bo nd 12 .3 6 % 3 .6 0 % 4 6 .0 2 % 2 2 .2 5% 13 .54 % 2 6 .3 4 % 11.17% -2 8 .9 2 % 3 4 .4 7% 2 8 .0 7% 7.8 4 % Barclays Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell M SCI M SCI M SCI Ag g 2000 10 0 0 2000 2000 10 0 0 2000 10 0 0 EAFE EAFE EAFE Bo nd Value Value Value Gro wth Value Value Gro wth 8 .4 4 % -11.4 2 % 3 9 .16 % 2 0 .2 5% 7.0 5% 2 3 .4 8 % 7.0 5% -3 6 .8 5% 3 1.78 % 2 4 .50 % 2 .6 4 % Rus s ell Rus s ell DJ Rus s ell Rus s ell Rus s ell Barclays DJ Rus s ell S&P S&P 10 0 0 10 0 0 Wils hire 10 0 0 10 0 0 10 0 0 Ag g Wils hire 10 0 0 50 0 50 0 Value Value REIT Value Gro wth Value Bo nd REIT Gro wth -5.59 % -15.52 % 3 6 .0 6 % 16 .4 9 % 5.2 6 % 2 2 .2 5% 6 .9 7% -3 7.0 0 % 2 8 .4 6 % 16 .71% 2 .11% Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell S&P S&P S&P M SCI S&P 2000 10 0 0 2000 10 0 0 10 0 0 10 0 0 50 0 50 0 50 0 EAFE 50 0 Gro wth Value Gro wth Gro wth Value Value -9 .2 2 % -15.9 4 % 3 0 .0 3 % 14 .3 1% 4 .9 1% 15.79 % 5.4 9 % -3 8 .4 4 % 2 6 .4 6 % 15.51% 0 .3 9 % Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell S&P S&P S&P S&P 10 0 0 2000 2000 10 0 0 2000 2000 2000 50 0 50 0 50 0 50 0 Gro wt h Value Gro wt h Value Gro wth Value Gro wth -11.8 8 % -2 2 .0 9 % 2 9 .76 % 10 .8 7% 4 .71% 13 .3 5% -0 .17% -3 8 .54 % 2 0 .58 % 15.0 6 % -2 .9 1% Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell Rus s ell DJ Rus s ell Rus s ell S&P M SCI 10 0 0 10 0 0 10 0 0 2000 10 0 0 2000 Wils hire 10 0 0 2000 50 0 EAFE Gro wth Gro wth Gro wth Gro wth Gro wt h Value REIT Value Value -2 0 .4 2 % -2 7.8 9 % 2 8 .6 7% 6 .3 0 % 4 .15% 9 .0 7% -9 .78 % -3 9 .2 0 % 19 .6 9 % 7.75% -5.50 % Rus s ell Barclays Barclays Barclays Barclays DJ Barclays Barclays M SCI M SCI M SCI 2000 Ag g Ag g Ag g Ag g Wils hire Ag g Ag g EAFE EAFE EAFE Gro wth Bo nd Bo nd Bo nd Bo nd REIT Bo nd Bo nd -2 2 .0 0 % -3 0 .2 7% 4 .11% 4 .3 4 % 2 .4 3 % 4 .3 3 % -17.56 % -4 5.0 9 % 5.9 3 % 6 .54 % -12 .14 %
Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth rates. Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields, and higher forecasted growth rates. Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russell 2000 Growth Index. Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell 2000 Value Index. MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the performance of developed stock markets in these areas. Barclays Agg Bond is the Lehman Brothers Aggregate Bond Index. This index includes U.S. government, corporate and mortgage-backed securities rated investment grade or higher with maturities up to 30 years. S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy. DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index is comprised of companies whose charter is the equity ownership and operation of commercial real estate.
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
CAPITAL MARKETS REVIEW DECEMBER 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES
Asian Crisis
Invasion of Iraq
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
CAPITAL MARKETS REVIEW DECEMBER 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
10
CAPITAL MARKETS REVIEW DECEMBER 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
11
CAPITAL MARKETS REVIEW DECEMBER 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & Poors Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
12
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
13
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
14
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
15
16
City of Ft. Lauderdale Police and Fire Asset Allocation vs Target & Policy
Total Fund Composite As of 12/31/11
Manager Systematic Financial Management Intech Large Core Rhumbline Large Cap Fund Sawgrass Lee Munder Small Cap Value Eagle Asset Management Franklin Portfolio Advisors Rhumbline Mid Cap Fund Total Domestic Equity Thornburg Lazard International Equity Total International Equity Agincourt Atlanta Capital Boyd Watterson Total Domestic Fixed Income Cash Total Short Term Core Realty Fund Prudential RE Investors PRISA II Total Real Estate K2 Advisors Long/Short PIMCO All Asset Total Special Investments Total Fund Composite Market Value 30,728,927.64 21,839,045.24 26,970,044.76 32,949,344.66 26,037,539.71 9,223,257.07 9,512,376.10 14,241,917.64 171,502,452.82 30,212,906.85 22,921,143.89 53,134,050.74 86,177,772.39 26,259,195.75 33,825,527.99 146,262,496.13 44,901,123.66 44,901,123.66 27,743,134.36 13,312,839.53 41,055,973.89 22,184,008.31 19,297,641.86 41,481,650.17 498,337,747.41 Actual % 6.17 4.38 5.41 6.61 5.22 1.85 1.91 2.86 34.41 6.06 4.60 10.66 17.29 5.27 6.79 29.35 9.01 9.01 5.57 2.67 8.24 4.45 3.87 8.32 100.00 Target % 6.25 6.25 6.25 6.25 2.50 2.50 2.50 2.50 35.00 7.50 7.50 15.00 20.00 5.00 5.00 30.00 0.00 0.00 6.67 3.33 10.00 5.00 5.00 10.00 100.00
17
Large Cap Composite Intech Large Core Standard & Poors 500 Rhumbline Large Cap Fund Standard & Poors 500 Sawgrass Russell 1000 Growth Systematic Financial Management Russell 1000 Value Small/Mid Cap Composite Eagle Asset Management Russell 2000 Growth Franklin Portfolio Advisors Russell 2000 Growth Lee Munder Small Cap Value Russell 2000 Value Rhumbline Mid Cap Fund S&P Midcap 400
11.76 12.48 11.81 11.77 11.81 10.78 10.60 12.30 13.11 14.23 11.13 14.99 15.79 14.99 15.54 15.97 12.93 12.99
-5.66 -3.57 -3.69 -3.69 -3.69 -0.99 -3.93 -12.96 -5.22 -10.51 -14.88 -10.60 -7.79 -10.60 -10.37 -8.93 -9.52 -9.47
-4.64 -2.15 -3.59 -3.08 -3.59 1.82 -3.20 -13.28 -5.70 -12.92
1.29 3.95 2.12 2.48 2.12 8.49 2.63 -7.69 0.39 -7.23
13.74 14.73 14.10 14.22 14.10 15.67 18.02 10.74 11.55 18.76
-0.24 4.85 3.53 6.90 6.75 1.66 2.38 7.13 5.73 1.32 -14.88 -10.60 -7.79 -10.60 3.73 -1.68 -9.52 -9.47
1/31/07 3/31/04 3/31/04 9/30/95 9/30/95 3/31/07 3/31/07 11/30/02 11/30/02 10/31/06 6/30/11 6/30/11 6/30/11 6/30/11 11/30/06 11/30/06 6/30/11 6/30/11
-11.37 -11.35
-7.26 -5.50
17.13 12.36
3.66 -1.87
International Equity Composite Lazard International Equity MSCI EAFE (Net) Thornburg MSCI EAFE (Net)
3.23
-20.32
-20.03
-17.57
5.67
-6.01
4.35 3.33
-17.93 -16.30
-17.30 -15.00
-13.84 -12.14
9.52 7.65
Total Domestic Fixed Income Agincourt Barclays U.S. Aggregate Atlanta Capital Barclays Int Govt/Credit Boyd Watterson Barclays Int Govt/Credit Cash Citigroup 3-month T-Bill
44,901
9.0
0.15 0.04
0.18 0.08
0.66 0.12
2.21
41,056
8.2
2.46
5.96
10.15
15.04
-4.44
-3.40
6/30/07
18
22,184 19,298
4.5 3.9
19
Total Fund Composite Net Ret 5.60 -0.54 Rank 62 81 1 Policy Index Net Ret 6.82 2.79 Rank 26 13
5.70 79 7.73 19
8.75 80 10.38 50
0.06 81 0.99 62
1.48 83 2.03 67
2.96 86 3.49 76
3.50 89 3.56 89
4.34 85 4.14 92
5.78 82 5.66 84
4.23 87 4.04 92
20
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of Total Fund Public Sponsors Years Ending December
30% 25% 20% 15% 10% 5% 0% -5% -10% -15% -20% -25% -30% -35%
1 1 1 1 1 1 1 1
2011 High 1st Qt Median 3rd Qt Low 5.17 1.92 1.10 0.06 -1.83
Total Fund Composite Net Ret -0.54 12.33 Rank 81 55 1 Policy Index Net Ret 2.79 12.92 Rank 13 40
15.13 78 15.86 72
-22.08 35 -22.66 39
7.38 56 6.30 78
10.66 71 11.14 64
6.81 44 3.93 95
10.42 40 8.35 75
18.01 66 18.64 60
-8.68 59 -9.50 73
21
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 8.75 80 10.38 50 10.38 Standard Deviation Value Rank 12.58 48 13.26 54 13.08
5 Years Ending 12/31/11 7.0 6.1 5.2 Annualized Rate of Return 4.3 3.4 2.5 1.5 0.6 -0.2 -1.1 -2.0 6.0 7.4 8.8 10.2 11.6 13.0 14.4 15.8 17.2 18.6 20.0 Median Return Median Risk
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 1.48 83 2.03 67 2.75 Standard Deviation Value Rank 12.25 38 12.93 49 13.05
22
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
23
24
City of Ft. Lauderdale Police and Fire Intech Large Core as of 12/31/11
Portfolio Performance (%) 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/04
Net of Fee Returns Intech Large Core Standard & Poors 500
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
Top Equity Holdings GICS Sector Exxon Mobil Corp Apple Inc Chevron Corp At&T Inc Intl Business McHn General Elec Co Pfizer Inc Procter & Gamble Co Johnson & Johnson Philip Morris Intl I Energy Information Technology Energy Telecom Services Information Technology Industrials Health Care Consumer Staples Health Care Consumer Staples % Port 4.38 2.24 2.19 2.10 1.95 1.55 1.39 1.32 1.21 1.20
% Port Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities 14.19 3.29 9.59 11.29 14.19 15.05 8.33 14.64 3.82 5.61
25
City of Ft. Lauderdale Police and Fire Intech Large Core as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 3/04 to 12/11 Alpha Beta R-Squared 5.0 Annualized Return% 4.5 4.0 3.5 3.0 2.5 2.0 0.0 0.33 0.98 0.99
T
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 17.15 17.48 0.99 Sharpe Ratio 0.16 0.08 0.00 Info Ratio 0.63
i Intech Large Core 1 Standard & Poors 500 T 91-Day Treasury Bill
26
City of Ft. Lauderdale Police and Fire Large Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
20% 18% 16% 14% 12% i 1 10% 8% 6% 4% 2% 0% -2% -4% -6% Last Qtr High 1st Qt Median 3rd Qt Low 13.28 12.10 11.81 11.64 8.23
i1 i 1 i 1 i i1 1 i1
i Intech Large Core Net Ret 12.48 Rank 13 1 Standard & Poors 500 Net Ret 11.81 Rank 63
3.95 11 2.12 36
9.70 14 8.39 52
14.73 35 14.10 72
-1.08 33 -1.64 80
0.60 22 -0.25 77
2.84 21 2.27 74
3.73 19 2.64 85
27
City of Ft. Lauderdale Police and Fire Large Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios Years Ending December
50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 6.19 2.20 2.08 1.09 -5.69 2010 21.22 17.07 15.13 14.94 12.16 2009 39.27 29.85 26.78 26.47 21.28 2008 -27.80 -35.89 -36.95 -37.19 -41.46 2007 10.93 6.14 5.54 5.25 0.65 2006 19.93 15.93 15.78 15.46 11.16 2005 11.98 8.40 5.10 4.90 3.97 i1 i1 i1 i1 i1 i1 i 1
i Intech Large Core Net Ret 3.95 Rank 11 1 Standard & Poors 500 Net Ret 2.12 Rank 36
15.77 38 15.05 69
25.49 86 26.45 75
-36.60 32 -36.99 68
7.61 13 5.52 53
14.84 80 15.81 43
9.24 18 4.89 76
28
i 1
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 14.73 35 14.10 72 14.24 Standard Deviation Value Rank 20.93 15 21.27 38 21.28
i 1
5 Years Ending 12/31/11 2.5 2.0 1.5 Annualized Rate of Return 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0 Median Risk
i 1
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 0.60 22 -0.25 77 -0.15 Standard Deviation Value Rank 20.80 18 21.14 41 21.14
i 1
29
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
30
Ten Largest Holdings Exxon Mobil Corp Apple Inc Chevron Corp At&T Inc Intl Business McHn General Elec Co Pfizer Inc Procter & Gamble Co Johnson & Johnson Philip Morris Intl I
Market Value 949,312 486,000 474,438 454,114 422,924 336,708 301,683 286,853 262,320 258,984
% of Portfolio 4.38 2.24 2.19 2.10 1.95 1.55 1.39 1.32 1.21 1.20
Quarterly Ret 17.39 6.25 15.92 7.64 5.48 18.63 23.62 6.44 3.89 27.07
Ten Best Performers Pulte Homes Corp El Paso Corp Masco Corp Lennar Corp- Cl A Helmerich & Payne In Nabors Industries Lt Goodyear Tire & Rubr D R Horton Inc Fmc Technologies Inc Williams Cos
Quarterly Ret 59.75 52.06 48.62 45.52 43.93 41.44 40.44 39.93 38.91 36.71
Ten Worst Performers Sears Hldgs Corp Netflix Com Inc Abercrombie & Fitch Amazon Com Inc BMC Software Inc Nrg Energy Inc Frontier Communicati Chesapeake Energy Co Federated Invs Inc P Watson Pharmaceutica
Quarterly Ret -44.39 -38.77 -20.35 -19.95 -14.99 -14.57 -12.77 -12.76 -12.48 -11.59
31
Ten Best Contributors Exxon Mobil Corp Chevron Corp Pfizer Inc Philip Morris Intl I General Elec Co Cbs Corp National-Oilwell Inc Lauder Estee Cos Inc Oneok Inc New Honeywell Intl Inc
Market Value 949,312 474,438 301,683 258,984 336,708 146,556 142,779 146,016 112,697 141,310
% of Portfolio 4.38 2.19 1.39 1.20 1.55 0.68 0.66 0.67 0.52 0.65
Quarterly Ret 17.39 15.92 23.62 27.07 18.63 33.67 32.96 29.12 32.22 24.64
Ten Worst Contributors Netflix Com Inc Baxter Intl Inc Oracle Systems Corp Watson Pharmaceutica Abercrombie & Fitch Cerner Corp Teradata Corp Del Nrg Energy Inc Chesapeake Energy Co St Jude Med Inc
Market Value 41,574 133,596 112,988 102,578 48,840 85,750 87,318 32,616 35,664 85,750
% of Portfolio 0.19 0.62 0.52 0.47 0.23 0.40 0.40 0.15 0.16 0.40
Quarterly Ret -38.77 -11.28 -10.57 -11.59 -20.35 -10.61 -9.38 -14.57 -12.76 -4.64
32
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Intech Large Core Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 14.27 11.63 4.17 3.36 10.51 10.27 9.91 10.57 13.73 11.76 13.11 12.14 9.19 13.59 15.14 19.44 4.51 3.29 5.45 3.97 100.00 100.00
Return Portfolio Index 20.15 18.22 14.97 15.32 18.25 16.61 12.42 12.68 11.00 10.26 8.27 10.07 13.67 10.83 8.59 8.78 7.73 7.62 11.28 8.25 12.77 11.86
Stock 0.27 -0.01 0.17 -0.03 0.10 -0.24 0.26 -0.03 0.01 0.16 0.68
Selection Sector 0.17 0.03 0.01 -0.01 -0.03 -0.02 0.05 0.13 -0.05 -0.05 0.23
Total 0.44 0.01 0.18 -0.03 0.07 -0.25 0.31 0.10 -0.05 0.11 0.90
Index - Standard & Poors 500 Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.09% [ Actual Return 12.68% ] - [ Buy Hold Return 12.77% ]
33
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Chart
Intech Large Core Quarter Ending 12/11
% Allocation 14.27 11.63 4.17 3.36 10.51 10.27 9.91 10.57 13.73 11.76 13.11 12.14 9.19 13.59 15.14 19.44 4.51 3.29 5.45 3.97 % Return 20.15 18.22 14.97 15.32 18.25 16.61 12.42 12.68 11.00 10.26 8.27 10.07 13.67 10.83 8.59 8.78 7.73 7.62 11.28 8.25 -0.05 -0.25 -0.03 % Variance
Energy
0.44
Materials
0.01
Industrials
0.18
Con. Discretionary
Consumer Staples
0.07
Health Care
Financials
0.31
Infomation Tech.
0.10
Telecom. Services
Utilities
0.11
34
City of Ft. Lauderdale Police and Fire Rhumbline Large Cap Fund as of 12/31/11
Portfolio Performance (%) 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/95
Net of Fee Returns Rhumbline Large Cap Fund Standard & Poors 500
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
35
City of Ft. Lauderdale Police and Fire Rhumbline Large Cap Fund as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 9/95 to 12/11 Alpha Beta R-Squared 7.0 6.5 Annualized Return% 6.0 5.5 5.0 4.5 4.0 3.5 3.0 T 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 0.04 0.99 1.00
l 1
Annualized Standard Deviation% Annualized Net Ret l Rhumbline Large Cap Fund 1 Standard & Poors 500 T 91-Day Treasury Bill 6.90 6.75 3.21 Std. Dev. 17.84 18.08 1.07 Sharpe Ratio 0.21 0.20 0.00 Info Ratio 0.15
36
City of Ft. Lauderdale Police and Fire Large Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
20% 18% 16% 14% 12% l1 10% 8% 6% 4% 2% 0% -2% -4% -6% Last Qtr High 1st Qt Median 3rd Qt Low 13.28 12.10 11.81 11.64 8.23
l1
l1 l1 l1 l1 l1 l1 l1 l1 l1
Last 9 Last 10 Years Years 9.26 7.17 6.48 6.17 5.81 7.21 4.02 3.20 2.94 2.86
l Rhumbline Large Cap Fund Net Ret 11.77 2.48 8.53 Rank 70 20 35 1 Standard & Poors 500 Net Ret 11.81 2.12 8.39 Rank 63 36 52
14.22 50 14.10 72
-1.40 45 -1.64 80
-0.04 42 -0.25 77
2.45 38 2.27 74
2.80 51 2.64 85
3.77 50 3.63 88
6.28 56 6.16 83
3.05 54 2.92 87
37
City of Ft. Lauderdale Police and Fire Large Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios Years Ending December
50% 40% 30% l1 20% 10% 0% l1 -10% -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 6.19 2.20 2.08 1.09 -5.69 2010 21.22 17.07 15.13 14.94 12.16 2009 39.27 29.85 26.78 26.47 21.28 2008 -27.80 -35.89 -36.95 -37.19 -41.46 2007 10.93 6.14 5.54 5.25 0.65 2006 19.93 15.93 15.78 15.46 11.16 2005 11.98 8.40 5.10 4.90 3.97 2004 19.81 12.56 10.92 10.82 8.99 2003 41.03 31.54 28.73 28.60 24.65 2002 -6.83 -20.89 -22.00 -22.08 -23.79 l1 l1 l1 l1 l1 l1 l1 l1
l Rhumbline Large Cap Fund Net Ret 2.48 14.93 26.51 Rank 20 75 74 1 Standard & Poors 500 Net Ret 2.12 15.05 26.45 Rank 36 69 75
-36.56 31 -36.99 68
5.60 37 5.52 53
15.86 31 15.81 43
4.90 75 4.89 76
10.85 71 10.87 66
28.59 77 28.69 58
-21.92 44 -22.12 84
38
l 1
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 14.22 50 14.10 72 14.24 Standard Deviation Value Rank 21.14 21 21.27 38 21.28
l 1
5 Years Ending 12/31/11 2.5 2.0 1.5 Annualized Rate of Return 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0 Median Risk
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank -0.04 42 -0.25 77 -0.15 Standard Deviation Value Rank 20.98 23 21.14 41 21.14
l 1
39
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
40
Sawgrass
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
Top Equity Holdings GICS Sector Google Inc Apple Inc Intl Business McHn Microsoft Corp Exxon Mobil Corp McDonalds Corp Coca Cola Co Celgene Corp Abbott Labs Mastercard Inc Information Technology Information Technology Information Technology Information Technology Energy Consumer Discretionary Consumer Staples Health Care Health Care Information Technology % Port 5.11 4.59 4.39 4.00 3.78 3.69 3.39 3.24 3.11 2.83
% Port Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities 10.95 5.07 10.46 17.16 13.32 10.15 2.65 28.29 1.96 0.00
41
Risk/Return Analysis Periods from 3/07 to 12/11 Alpha Beta R-Squared 2.5 2.4 2.3 2.2 2.1 2.0 1.9 1.8 1.7 1.6 1.5 1.4 1.3 T 1.2 0.0 2.0 -0.20 0.85 0.96
Annualized Return%
4.0
6.0
Annualized Standard Deviation% Annualized Net Ret s Sawgrass 1 Russell 1000 Growth T 91-Day Treasury Bill 1.66 2.38 1.29 Std. Dev. 18.81 21.85 0.93 Sharpe Ratio 0.02 0.05 0.00 Info Ratio -0.29
42
City of Ft. Lauderdale Police and Fire Large Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
30% 25% 20% 1 15% 10% 5% 1 0% -5% -10% Last Qtr High 1st Qt Median 3rd Qt Low 13.36 10.87 9.73 8.29 6.71 Last Year 6.73 2.02 -0.35 -4.06 -8.86 Last 2 Years 12.75 9.69 7.30 5.97 2.74 Last 3 Years 24.26 17.49 15.57 14.39 11.34 Last 4 Years 3.11 0.53 -0.68 -2.87 -4.31 s 1 s 1 s s 1 s
s Sawgrass Net Ret 10.78 Rank 26 1 Russell 1000 Growth Net Ret 10.60 Rank 31
8.49 3 2.63 20
9.58 27 9.45 29
15.67 49 18.02 22
-0.39 45 0.30 33
43
City of Ft. Lauderdale Police and Fire Large Growth Consecutive Performance Comparisons
Total Returns of Equity Portfolios Years Ending December
60% 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% -60% 2011 High 1st Qt Median 3rd Qt Low 6.73 2.02 -0.35 -4.06 -8.86 2010 26.12 19.23 16.90 13.38 9.66 2009 54.26 40.87 34.60 30.98 24.07 2008 -28.78 -35.37 -38.47 -42.20 -49.17 s 1 s 1 s 1 s 1
s Sawgrass Net Ret 8.49 Rank 3 1 Russell 1000 Growth Net Ret 2.63 Rank 20
10.69 91 16.72 53
28.88 83 37.21 35
-36.37 34 -38.44 49
44
1 s
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 15.67 49 18.02 22 15.57 Standard Deviation Value Rank 16.14 3 19.72 38 20.35
s 1
45
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
46
Ten Largest Holdings Google Inc Apple Inc Intl Business McHn Microsoft Corp Exxon Mobil Corp McDonalds Corp Coca Cola Co Celgene Corp Abbott Labs Mastercard Inc
Market Value 1,647,045 1,478,250 1,415,876 1,290,212 1,217,154 1,188,911 1,091,532 1,044,420 1,003,706 913,409
% of Portfolio 5.11 4.59 4.39 4.00 3.78 3.69 3.39 3.24 3.11 2.83
Quarterly Ret 25.57 6.25 5.48 5.08 17.39 15.10 4.30 9.17 10.96 17.61
Ten Best Performers Occidental Pete Corp Home Depot Inc Google Inc Dover Corp Starbucks Corp Caterpillar Inc Boeing Co Cvs Corp Ross Stores Inc Yum Brands Inc
Quarterly Ret 31.68 28.85 25.57 25.33 23.86 23.37 21.98 21.88 21.11 20.14
Ten Worst Performers Thermo Fisher Scient Directv Sigma Aldrich Corp Costco Whsl Corp New E M C Corp Mass Dr Pepper Snapple Gr Coca Cola Co United Technologies Microsoft Corp Intl Business McHn
Quarterly Ret -11.20 1.21 1.38 1.75 2.62 2.66 4.30 4.52 5.08 5.48
47
Ten Best Contributors Google Inc Occidental Pete Corp Exxon Mobil Corp Starbucks Corp Ross Stores Inc McDonalds Corp Medco Health Solutio Caterpillar Inc Cvs Corp Mastercard Inc
Market Value 1,647,045 749,600 1,217,154 816,678 903,070 1,188,911 893,003 714,834 762,994 913,409
% of Portfolio 5.11 2.33 3.78 2.53 2.80 3.69 2.77 2.22 2.37 2.83
Quarterly Ret 25.57 31.68 17.39 23.86 21.11 15.10 19.22 23.37 21.88 17.61
Ten Worst Contributors Thermo Fisher Scient Sigma Aldrich Corp Costco Whsl Corp New Directv E M C Corp Mass Dr Pepper Snapple Gr United Technologies Coca Cola Co American Express Co Intel Corp
Market Value 331,879 293,562 272,456 615,316 753,900 815,262 814,954 1,091,532 855,711 354,050
% of Portfolio 1.03 0.91 0.85 1.91 2.34 2.53 2.53 3.39 2.65 1.10
Quarterly Ret -11.20 1.38 1.75 1.21 2.62 2.66 4.52 4.30 5.49 14.68
48
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Sawgrass Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 9.82 10.34 4.94 5.11 9.00 12.08 16.45 14.45 14.39 13.03 13.00 11.05 2.85 3.74 27.94 28.87 1.61 1.24 0.00 0.09 100.00 100.00
Return Portfolio Index 19.30 18.73 13.29 15.61 13.95 15.94 15.30 9.43 5.60 8.97 8.57 7.36 5.49 12.18 9.51 7.11 10.55 8.15 3.86 11.23 10.62
Stock 0.06 -0.11 -0.18 0.97 -0.49 0.16 -0.19 0.67 0.04 0.00 0.92
Selection Sector -0.04 -0.01 -0.16 -0.02 -0.02 -0.06 -0.01 0.03 -0.01 0.01 -0.31
Total 0.01 -0.12 -0.34 0.94 -0.51 0.09 -0.20 0.70 0.03 0.01 0.61
Index - Russell 1000 Growth Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.27%
49
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Chart
Sawgrass Quarter Ending 12/11
% Allocation 9.82 10.34 4.94 5.11 9.00 12.08 16.45 14.45 14.39 13.03 13.00 11.05 2.85 3.74 27.94 28.87 1.61 1.24 0.00 0.09 % Return 19.30 18.73 13.29 15.61 13.95 15.94 15.30 9.43 5.60 8.97 8.57 7.36 5.49 12.18 9.51 7.11 10.55 8.15 -0.20 -0.51 % Variance
Energy
0.01
Materials
-0.12
Industrials
-0.34
Con. Discretionary
0.94
Consumer Staples
Health Care
0.09
Financials
Infomation Tech.
0.70
Telecom. Services
0.03
Utilities
0.01 3.86
Sawgrass
50
City of Ft. Lauderdale Police and Fire Systematic Financial Management as of 12/31/11
Portfolio Performance (%) 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 11/30/02
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
Top Equity Holdings GICS Sector Chevron Corp Pfizer Inc General Elec Co Unitedhealth Group I At&T Inc Discover Finl Svcs J P Morgan Chase & C PNC Financial Corp First Energy Corp Freeport-McMoran Cop Energy Health Care Industrials Health Care Telecom Services Financials Financials Financials Utilities Materials % Port 3.63 3.33 3.16 3.12 2.82 2.77 2.72 2.66 2.63 2.16
% Port Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities 13.50 4.90 10.20 10.88 5.20 13.78 24.34 9.37 2.82 5.01
51
City of Ft. Lauderdale Police and Fire Systematic Financial Management as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 11/02 to 12/11 Alpha Beta R-Squared 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 T 1.5 0.0 0.24 1.01 0.94
s 1
Annualized Return%
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
Annualized Standard Deviation% Annualized Net Ret s Systematic Financial Man 1 Russell 1000 Value T 91-Day Treasury Bill 7.13 5.73 1.97 Std. Dev. 17.04 16.22 0.55 Sharpe Ratio 0.30 0.23 0.00 Info Ratio 0.20
52
City of Ft. Lauderdale Police and Fire Large Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
20% 18% 16% 14% 12% s1 10% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% Last Qtr High 1st Qt Median 3rd Qt Low 14.86 13.10 12.16 11.01 6.66
s 1 s 1
1 s s1 s1 1
s1 1 s s1
s Last Year 11.59 3.62 0.36 -2.82 -7.48 Last 2 Years 12.33 8.96 7.36 5.61 2.89 Last 3 Years 18.95 14.35 12.63 11.59 8.53 Last 4 Years 1.76 -1.09 -2.55 -3.35 -5.10 Last 5 Years 3.20 -0.22 -1.38 -2.48 -4.86 Last 6 Years 4.58 2.81 1.83 0.98 -0.72 Last 7 Years 5.15 3.54 2.93 2.12 0.73 Last 8 Years 6.49 5.19 4.63 3.72 2.69 Last 9 Years 9.15 8.08 7.39 6.39 5.17
s Systematic Financial Management Net Ret 12.30 -7.69 4.69 Rank 48 95 84 1 Russell 1000 Value Net Ret 13.11 0.39 7.68 Rank 23 49 43
10.74 85 11.55 75
-4.61 93 -3.24 73
-2.01 60 -2.64 79
1.14 72 1.12 72
2.56 57 1.95 80
4.12 65 3.66 75
7.20 53 6.30 79
53
City of Ft. Lauderdale Police and Fire Large Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios Years Ending December
50% 40% 30% 20% 10% 0% -10% s -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 11.59 3.62 0.36 -2.82 -7.48 2010 22.86 16.54 14.46 12.60 9.91 2009 42.52 29.44 24.33 20.58 14.71 2008 -26.75 -33.62 -36.24 -38.45 -43.31 2007 13.10 7.02 3.26 0.01 -3.02 2006 23.98 21.89 19.09 16.34 10.00 2005 13.76 11.61 9.38 6.98 4.21 2004 22.06 19.67 16.51 13.65 9.13 2003 41.17 34.97 31.43 28.30 22.89 s1 1 s s 1 1 s 1 s 1 s 1 s1 s 1
s Systematic Financial Management Net Ret -7.69 18.73 23.93 Rank 95 10 54 1 Russell 1000 Value Net Ret 0.39 15.51 19.69 Rank 49 39 83
-39.03 78 -36.85 60
9.10 13 -0.17 79
18.45 60 22.21 19
11.54 26 7.04 74
15.67 57 16.49 51
35.36 22 30.03 63
54
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 10.74 85 11.55 75 12.63 Standard Deviation Value Rank 26.05 88 24.32 68 23.51
s 1
5 Years Ending 12/31/11 4.0 3.0 2.0 Annualized Rate of Return 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 12.0 14.2 16.4 18.6 20.8 23.0 25.2 27.4 29.6 31.8 34.0 Median Return Median Risk
s 1
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank -2.01 60 -2.64 79 -1.38 Standard Deviation Value Rank 24.03 77 22.77 54 22.73
s 1
55
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
56
Ten Largest Holdings Chevron Corp Pfizer Inc General Elec Co Unitedhealth Group I At&T Inc Discover Finl Svcs J P Morgan Chase & C PNC Financial Corp First Energy Corp Freeport-McMoran Cop
Market Value 1,101,240 1,010,588 959,976 947,716 855,792 840,000 824,600 807,380 797,400 656,702
% of Portfolio 3.63 3.33 3.16 3.12 2.82 2.77 2.72 2.66 2.63 2.16
Quarterly Ret 15.92 23.62 18.63 10.26 7.64 5.33 11.30 20.53 -0.17 21.66
Ten Best Performers Seagate Technology P Oil Sts Intl Inc Nabors Industries Lt Cbs Corp Wyndham Worldwide Co National-Oilwell Inc Owens Corning New Hertz Global Holding Signet Jewelers Limi Keycorp
Quarterly Ret 61.30 49.98 41.44 33.67 33.29 32.96 32.47 31.69 30.36 30.26
Ten Worst Performers Watson Pharmaceutica Broadcom Corp Lear Corp Symantec Corp Herbalife Ltd First Energy Corp Cigna Corp Electronic Arts Agrium Inc Verifone Hldgs Inc
Quarterly Ret -11.59 -11.54 -6.95 -3.99 -3.26 -0.17 0.14 0.73 1.01 1.43
57
Ten Best Contributors Pfizer Inc National-Oilwell Inc General Elec Co Chevron Corp Seagate Technology P PNC Financial Corp Oil Sts Intl Inc Cbs Corp Freeport-McMoran Cop Fifth Third Bancorp
Market Value 1,010,588 591,513 959,976 1,101,240 283,720 807,380 328,391 477,664 656,702 483,678
% of Portfolio 3.33 1.95 3.16 3.63 0.94 2.66 1.08 1.57 2.16 1.59
Quarterly Ret 23.62 32.96 18.63 15.92 61.30 20.53 49.98 33.67 21.66 26.74
Ten Worst Contributors Broadcom Corp Watson Pharmaceutica Lear Corp Herbalife Ltd Symantec Corp First Energy Corp Cigna Corp Verifone Hldgs Inc Electronic Arts Agrium Inc
Market Value 325,896 283,598 426,537 347,481 261,355 797,400 285,600 161,616 387,280 332,195
% of Portfolio 1.07 0.93 1.41 1.15 0.86 2.63 0.94 0.53 1.28 1.09
Quarterly Ret -11.54 -11.59 -6.95 -3.26 -3.99 -0.17 0.14 1.43 0.73 1.01
58
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Systematic Financial Management Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 11.53 11.81 5.11 2.56 9.41 8.79 11.85 8.60 3.40 8.33 13.38 13.20 24.91 24.72 11.48 8.80 3.26 5.07 5.67 8.12 100.00 100.00
Return Portfolio Index 22.94 18.45 8.10 17.75 20.30 18.14 18.65 17.51 14.63 10.85 13.75 11.64 13.24 11.02 -0.82 13.29 7.64 7.28 3.60 8.62 13.17 13.14
Stock 0.52 -0.49 0.20 0.14 0.13 0.28 0.55 -1.62 0.01 -0.28 -0.57
Selection Sector -0.01 0.12 0.03 0.14 0.11 -0.00 -0.00 0.00 0.11 0.11 0.60
Total 0.50 -0.38 0.23 0.28 0.24 0.28 0.55 -1.61 0.12 -0.17 0.04
Index - Russell 1000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.57% [ Actual Return 12.60% ] - [ Buy Hold Return 13.17% ]
59
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Chart
Systematic Financial Management Quarter Ending 12/11
% Allocation 11.53 11.81 5.11 2.56 9.41 8.79 11.85 8.60 3.40 8.33 13.38 13.20 24.91 24.72 11.48 8.80 3.26 5.07 5.67 8.12 -0.82 13.29 7.64 7.28 3.60 8.62 -0.17 0.12 8.10 17.75 20.30 18.14 18.65 17.51 14.63 10.85 13.75 11.64 13.24 11.02 -1.61 % Return 22.94 18.45 % Variance
Energy
0.50
Materials
-0.38
Industrials
0.23
Con. Discretionary
0.28
Consumer Staples
0.24
Health Care
0.28
Financials
0.55
Infomation Tech.
Telecom. Services
Utilities
60
City of Ft. Lauderdale Police and Fire Rhumbline Mid Cap Fund as of 12/31/11
Portfolio Performance (%) 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11
Net of Fee Returns Rhumbline Mid Cap Fund S&P Midcap 400
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
61
City of Ft. Lauderdale Police and Fire Rhumbline Mid Cap Fund as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis (Number of returns < 12) Periods from 6/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 -7.0 -8.0 -9.0 -10.0 -5.0
Annualized Return%
1 R
0.0 5.0 10.0 15.0 20.0 25.0 30.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 29.11 29.12 0.03 Sharpe Ratio -0.33 -0.33 0.00 Info Ratio
R Rhumbline Mid Cap Fund 1 S&P Midcap 400 T 91-Day Treasury Bill
62
City of Ft. Lauderdale Police and Fire Midcap Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
25% 20% 15% R 1 10% 5% 0% -5% -10% -15% Last Qtr High 1st Qt Median 3rd Qt Low 20.22 16.35 14.54 12.34 5.46 Last 2 Qtrs -2.03 -3.05 -8.84 -10.70 -14.29 R 1
R Rhumbline Mid Cap Fund Net Ret 12.93 Rank 67 1 S&P Midcap 400 Net Ret 12.99 Rank 63
-9.52 63 -9.47 56
63
City of Ft. Lauderdale Police and Fire Lee Munder Small Cap Value as of 12/31/11
Portfolio Performance (%) 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 11/30/06
Net of Fee Returns Lee Munder Small Cap Value Russell 2000 Value
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
Top Equity Holdings GICS Sector Great Plains Energy Corn Prods Intl Inc Employers Holdings I Swift Energy Co Tetra Tech Inc New Coherent Inc Zions Bancorp Key Energy Svcs Inc Kaydon Corp Teledyne Technologie Utilities Consumer Staples Financials Energy Industrials Information Technology Financials Energy Industrials Industrials % Port 2.81 1.82 1.74 1.57 1.55 1.53 1.53 1.49 1.49 1.49
% Port Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities 5.40 7.95 18.55 10.75 6.47 4.75 27.15 13.26 0.00 5.71
64
City of Ft. Lauderdale Police and Fire Lee Munder Small Cap Value as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 11/06 to 12/11 Alpha Beta R-Squared 4.0 3.5 3.0 2.5 2.0 1.5 T 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 0.0 2.0 1.32 0.96 0.97
Annualized Return%
1
4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 23.07 24.67 0.60 Sharpe Ratio 0.10 -0.13 0.00 Info Ratio 1.26
l Lee Munder Small Cap Val 1 Russell 2000 Value T 91-Day Treasury Bill
65
City of Ft. Lauderdale Police and Fire Small Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
25% 20% 15% 10% l 1 5% 0% -5% l -10% Last Qtr High 1st Qt Median 3rd Qt Low 19.25 17.88 16.19 15.13 13.81 Last Year 1.95 -0.63 -4.03 -6.21 -8.96 Last 2 Years 14.56 13.05 11.13 9.21 7.66 Last 3 Years 21.20 19.04 17.38 15.77 13.12 Last 4 Years 6.16 4.77 2.85 0.94 0.42 Last 5 Years 4.93 3.21 2.21 0.03 -1.82 1 l 1 1 l l 1 l 1
l Lee Munder Small Cap Value Net Ret 15.54 -7.26 Rank 59 83 1 Russell 2000 Value Net Ret 15.97 -5.50 Rank 55 68
8.41 85 8.47 85
17.13 59 12.36 99
4.42 29 0.21 96
3.66 17 -1.87 97
66
City of Ft. Lauderdale Police and Fire Small Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios Years Ending December
60% 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 1.95 -0.63 -4.03 -6.21 -8.96 2010 33.58 30.90 27.62 24.82 21.40 2009 55.19 36.04 32.28 25.37 20.58 2008 -23.17 -28.21 -30.75 -33.26 -38.96 2007 5.01 0.79 -2.59 -7.82 -11.30 l 1 l 1 l 1 l 1 l 1
l Lee Munder Small Cap Value Net Ret -7.26 Rank 83 1 Russell 2000 Value Net Ret -5.50 Rank 68
26.73 60 24.51 79
36.72 21 20.57 96
-26.01 20 -28.92 27
0.66 27 -9.77 83
67
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 17.13 59 12.36 99 17.38 Standard Deviation Value Rank 28.55 49 29.28 57 28.84
l 1
5 Years Ending 12/31/11 7.0 6.1 5.2 Annualized Rate of Return 4.3 3.4 2.5 1.5 0.6 -0.2 -1.1 -2.0 16.0 Median Risk
l
Median Return
1
18.2 20.4 22.6 24.8 27.0 29.2 31.4 33.6 35.8 38.0 Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 3.66 17 -1.87 97 2.21 Standard Deviation Value Rank 25.86 39 26.53 51 26.77
l 1
68
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
69
Ten Largest Holdings Great Plains Energy Corn Prods Intl Inc Employers Holdings I Swift Energy Co Tetra Tech Inc New Coherent Inc Zions Bancorp Key Energy Svcs Inc Kaydon Corp Teledyne Technologie
Market Value 700,314 451,853 432,007 391,115 386,224 381,571 381,326 371,744 370,453 370,073
% of Portfolio 2.81 1.82 1.74 1.57 1.55 1.53 1.53 1.49 1.49 1.49
Quarterly Ret 14.07 34.54 42.28 22.10 15.21 21.67 15.78 63.01 7.05 12.26
Ten Best Performers Courier Corp Ethan Allen Interior Key Energy Svcs Inc Wesco Intl Inc Hhgregg Inc Xyratex Ltd Employers Holdings I Cbl & Assoc Pptys In First Midwest Bancor Pacwest Bancorp Del
Quarterly Ret 83.25 75.07 63.01 58.00 48.21 44.27 42.28 40.07 38.54 37.26
Ten Worst Performers School Specialty Inc Digital Riv Inc Ferro Corp Om Group Inc Dole Food Co Inc New Federated Invs Inc P Tns Inc Interface Flooring Pantry Inc Rti Intl Metals Inc
Quarterly Ret -64.94 -27.54 -20.49 -13.79 -13.50 -12.48 -5.74 -2.54 -1.32 -0.47
70
Ten Best Contributors Key Energy Svcs Inc Employers Holdings I Ethan Allen Interior Corn Prods Intl Inc Wesco Intl Inc First Midwest Bancor Cooper Tire & Rubr Pacwest Bancorp Del Great Plains Energy Firstmerit Corp
Market Value 371,744 432,007 235,322 451,853 269,026 301,560 343,357 267,574 700,314 269,828
% of Portfolio 1.49 1.74 0.95 1.82 1.08 1.21 1.38 1.07 2.81 1.08
Quarterly Ret 63.01 42.28 75.07 34.54 58.00 38.54 29.66 37.26 14.07 34.82
Ten Worst Contributors Digital Riv Inc Dole Food Co Inc New Ferro Corp School Specialty Inc Om Group Inc Federated Invs Inc P Tns Inc Interface Flooring Pantry Inc Rti Intl Metals Inc
Market Value 221,154 178,787 116,299 35,933 156,260 167,726 241,205 134,245 196,284 197,796
% of Portfolio 0.89 0.72 0.47 0.14 0.63 0.67 0.97 0.54 0.79 0.79
Quarterly Ret -27.54 -13.50 -20.49 -64.94 -13.79 -12.48 -5.74 -2.54 -1.32 -0.47
71
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Lee Munder Small Cap Value Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 4.84 4.76 8.54 4.98 17.37 14.35 9.44 11.41 6.78 3.11 4.72 5.38 27.09 36.24 15.19 11.12 0.00 0.72 6.04 7.93 100.00 100.00
Return Portfolio Index 28.96 13.93 9.68 16.64 17.16 20.28 22.58 18.01 15.36 12.83 13.23 14.22 19.24 16.23 11.08 14.15 9.22 10.77 10.36 16.55 15.96
Stock 0.73 -0.59 -0.54 0.43 0.17 -0.05 0.81 -0.47 0.00 0.02 0.52
Selection Sector -0.00 0.02 0.13 -0.04 -0.12 0.01 -0.02 -0.07 0.05 0.11 0.07
Total 0.73 -0.57 -0.41 0.39 0.06 -0.04 0.79 -0.54 0.05 0.13 0.58
Index - Russell 2000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.38% [ Actual Return 16.17% ] - [ Buy Hold Return 16.55% ]
72
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Chart
Lee Munder Small Cap Value Quarter Ending 12/11
% Allocation 4.84 4.76 8.54 4.98 17.37 14.35 9.44 11.41 6.78 3.11 4.72 5.38 27.09 36.24 15.19 11.12 0.00 0.72 6.04 7.93 % Return 28.96 13.93 9.68 16.64 17.16 20.28 22.58 18.01 15.36 12.83 13.23 14.22 19.24 16.23 11.08 14.15 -0.54 -0.04 % Variance
Energy
0.73
Materials
-0.57
Industrials
-0.41
Con. Discretionary
0.39
Consumer Staples
0.06
Health Care
Financials
0.79
Infomation Tech.
Telecom. Services
Utilities
73
City of Ft. Lauderdale Police and Fire Eagle Asset Management as of 12/31/11
Portfolio Performance (%) 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
8,284 17 922 9,223 GICS Sector Allocation % Port 4.66 3.37 2.60 2.31 2.28 2.26 2.18 2.12 2.09 2.04 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities
Top Equity Holdings GICS Sector Genesco Inc Lufkin Inds Inc Huron Consulting Gro Quality Sys Inc Vitamin Shoppe Inc Robbins & Myers Inc Centene Corp Del Sirona Dental System Coherent Inc Bjs Restaurants Inc Consumer Discretionary Energy Industrials Health Care Consumer Discretionary Industrials Health Care Health Care Information Technology Consumer Discretionary
% Port 8.45 5.69 18.53 16.31 2.99 19.04 6.30 22.69 0.00 0.00
74
City of Ft. Lauderdale Police and Fire Eagle Asset Management as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis (Number of returns < 12) Periods from 6/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -5.0
Annualized Return%
1 E
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 31.36 33.22 0.03 Sharpe Ratio -0.48 -0.32 0.00 Info Ratio
75
City of Ft. Lauderdale Police and Fire Small Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
20% 15% 10% 5% 0% -5% -10% -15% -20% Last Qtr High 1st Qt Median 3rd Qt Low 17.86 15.33 13.82 12.42 9.98 Last 2 Qtrs -3.95 -7.31 -9.51 -11.65 -16.66 E 1 E 1
E Eagle Asset Management Return 11.13 Rank 87 1 Russell 2000 Growth Return 14.99 Rank 32
-14.88 92 -10.60 63
76
Ten Largest Holdings Genesco Inc Lufkin Inds Inc Huron Consulting Gro Quality Sys Inc Vitamin Shoppe Inc Robbins & Myers Inc Centene Corp Del Sirona Dental System Coherent Inc Bjs Restaurants Inc
Market Value 423,351 306,261 236,314 209,622 207,615 205,367 197,950 192,675 190,315 185,178
% of Portfolio 4.66 3.37 2.60 2.31 2.28 2.26 2.18 2.12 2.09 2.04
Quarterly Ret 19.81 26.75 24.45 -23.35 6.52 40.02 38.09 3.84 21.67 2.74
Ten Best Performers Approach Resources I Zoll Med Corp Quaker Chem Corp Boston Beer Inc Bally Technologies I Cornerstone Ondemand Apogee Enterprises Colfax Corp Robbins & Myers Inc Korn Ferry Intl
Quarterly Ret 73.10 67.41 51.23 49.33 46.63 45.45 43.90 40.57 40.02 39.95
Ten Worst Performers Meritor Inc Universal Display Co Quality Sys Inc Francescas Hldgs Cor Dfc Global Corp Veeco Instrs Inc Del Ezchip Semiconductor Biolase Technology I Seattle Genetics Inc Neogen Corp
Quarterly Ret -24.65 -23.47 -23.35 -18.43 -17.35 -14.75 -14.72 -13.48 -12.30 -11.75
77
Ten Best Contributors Zoll Med Corp Genesco Inc Robbins & Myers Inc Lufkin Inds Inc Quaker Chem Corp Centene Corp Del Oyo Geospace Corp Bally Technologies I Huron Consulting Gro Approach Resources I
Market Value 149,294 423,351 205,367 306,261 148,754 197,950 183,272 143,405 236,314 63,173
% of Portfolio 1.64 4.66 2.26 3.37 1.64 2.18 2.02 1.58 2.60 0.70
Quarterly Ret 67.41 19.81 40.02 26.75 51.23 38.09 37.38 46.63 24.45 73.10
Ten Worst Contributors Quality Sys Inc Universal Display Co Ezchip Semiconductor Meritor Inc Dfc Global Corp Ezcorp Inc Informatica Corp Geo Group Inc Cash Amer Invts Inc Veeco Instrs Inc Del
Market Value 209,622 92,385 113,320 54,796 68,682 154,686 118,176 97,385 95,592 56,222
% of Portfolio 2.31 1.02 1.25 0.60 0.76 1.70 1.30 1.07 1.05 0.62
Quarterly Ret -23.35 -23.47 -14.72 -24.65 -17.35 -7.60 -9.82 -9.75 -8.80 -14.75
78
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Eagle Asset Management Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 7.71 7.72 5.73 4.04 17.05 15.80 18.45 14.73 2.28 4.55 19.86 20.52 6.43 8.00 22.50 23.32 0.00 1.23 0.00 0.09 100.00 100.00
Return Portfolio Index 35.46 28.15 12.44 15.22 16.52 20.63 12.63 11.85 1.69 6.88 7.35 11.37 0.81 12.24 9.27 14.82 7.69 11.87 12.23 14.98
Stock 0.56 -0.16 -0.70 0.14 -0.12 -0.80 -0.74 -1.25 0.00 0.00 -3.05
Selection Sector -0.00 0.00 0.07 -0.12 0.18 0.02 0.04 0.00 0.09 0.00 0.30
Total 0.56 -0.16 -0.63 0.03 0.07 -0.78 -0.69 -1.25 0.09 0.00 -2.75
Index - Russell 2000 Growth Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.58% [ Actual Return 11.64% ] - [ Buy Hold Return 12.23% ]
79
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Chart
Eagle Asset Management Quarter Ending 12/11
% Allocation 7.71 7.72 5.73 4.04 17.05 15.80 18.45 14.73 2.28 4.55 19.86 20.52 6.43 8.00 22.50 23.32 0.00 1.23 0.00 0.09 12.44 15.22 16.52 20.63 12.63 11.85 1.69 6.88 7.35 11.37 0.81 12.24 9.27 14.82 -0.78 % Return 35.46 28.15 % Variance
Energy
0.56
Materials
-0.16
Industrials
-0.63
Con. Discretionary
0.03
Consumer Staples
0.07
Health Care
Financials
-0.69
Infomation Tech.
-1.25
Telecom. Services
Utilities
80
City of Ft. Lauderdale Police and Fire Franklin Portfolio Advisors as of 12/31/11
Portfolio Performance (%) 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
8,200 18 1,294 9,512 GICS Sector Allocation % Port 5.18 4.10 3.92 3.58 3.51 3.45 3.24 3.05 3.00 2.65 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities
Top Equity Holdings GICS Sector Shuffle Master Inc Bottomline Tech Del Casella Waste Sys In Coherent Inc Computer Programs & Sunopta Inc Cogent Comm Group In Faro Technologies In Big 5 Sporting Goods Impax Laboratories I Consumer Discretionary Information Technology Industrials Information Technology Health Care Consumer Staples Telecom Services Information Technology Consumer Discretionary Health Care
% Port 5.90 2.61 11.12 16.17 4.07 12.51 3.11 41.27 3.24 0.00
81
City of Ft. Lauderdale Police and Fire Franklin Portfolio Advisors as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis (Number of returns < 12) Periods from 6/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 -7.0 -8.0 -9.0 -10.0 -11.0 -5.0
Annualized Return%
F 1
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 29.16 33.22 0.03 Sharpe Ratio -0.27 -0.32 0.00 Info Ratio
82
City of Ft. Lauderdale Police and Fire Small Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios Periods Ending 12/11
20% 15% 10% 5% 0% -5% -10% -15% -20% Last Qtr High 1st Qt Median 3rd Qt Low 17.86 15.33 13.82 12.42 9.98 Last 2 Qtrs -3.95 -7.31 -9.51 -11.65 -16.66 F 1 F 1
F Franklin Portfolio Advisors Net Ret 15.79 Rank 20 1 Russell 2000 Growth Net Ret 14.99 Rank 32
-7.79 33 -10.60 63
83
Ten Largest Holdings Shuffle Master Inc Bottomline Tech Del Casella Waste Sys In Coherent Inc Computer Programs & Sunopta Inc Cogent Comm Group In Faro Technologies In Big 5 Sporting Goods Impax Laboratories I
Market Value 453,564 359,135 343,040 313,620 306,660 301,732 283,752 266,800 262,044 231,955
% of Portfolio 5.18 4.10 3.92 3.58 3.51 3.45 3.24 3.05 3.00 2.65
Quarterly Ret 39.36 15.04 21.67 21.67 -22.20 -2.23 25.58 45.80 73.20 12.62
Ten Best Performers Petroleum Dev Corp Big 5 Sporting Goods Cost Plus Inc Calif Boston Beer Inc Faro Technologies In Pacer Intl Inc Tenn Shuffle Master Inc Viasat Inc Ixia Fei Co
Quarterly Ret 81.07 73.20 54.76 49.33 45.80 42.67 39.36 38.46 37.03 36.11
Ten Worst Performers Meru Networks Inc Citi Trends Inc Computer Programs & Athenahealth Inc Reald Inc Polycom Inc Lionbridge Technolog Barrett Bill Corp Universal Technical Gaiam Inc
Quarterly Ret -49.33 -25.40 -22.20 -17.51 -15.08 -11.27 -6.91 -5.99 -5.96 -4.42
84
Ten Best Contributors Big 5 Sporting Goods Shuffle Master Inc Petroleum Dev Corp Faro Technologies In Cost Plus Inc Calif Pacer Intl Inc Tenn Casella Waste Sys In Cogent Comm Group In Coherent Inc Rightnow Technologie
Market Value 262,044 453,564 175,550 266,800 193,050 176,015 343,040 283,752 313,620 209,377
% of Portfolio 3.00 5.18 2.01 3.05 2.21 2.01 3.92 3.24 3.58 2.39
Quarterly Ret 73.20 39.36 81.07 45.80 54.76 42.67 21.67 25.58 21.67 29.29
Ten Worst Contributors Computer Programs & Reald Inc Meru Networks Inc Athenahealth Inc Lionbridge Technolog Citi Trends Inc Sunopta Inc Universal Technical Barrett Bill Corp Polycom Inc
Market Value 306,660 128,628 35,518 93,328 206,787 43,900 301,732 112,464 88,582 29,340
% of Portfolio 3.51 1.47 0.41 1.07 2.36 0.50 3.45 1.29 1.01 0.34
Quarterly Ret -22.20 -15.08 -49.33 -17.51 -6.91 -25.40 -2.23 -5.96 -5.99 -11.27
85
City of Ft. Lauderdale Police and Fire Equity Sector Attribution Analysis
Franklin Portfolio Advisors Quarter Ending 12/11
GICS Sectors Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities
Weight Portfolio Index 4.48 7.72 3.24 4.04 12.32 15.80 15.76 14.73 4.58 4.55 14.67 20.52 3.06 8.00 38.88 23.32 3.00 1.23 0.00 0.09 100.00 100.00
Return Portfolio Index 23.63 28.15 20.55 15.22 24.82 20.63 29.29 11.85 3.20 6.88 1.33 11.37 8.09 12.24 16.39 14.82 25.58 7.69 11.87 17.13 14.98
Stock -0.20 0.17 0.52 2.75 -0.17 -1.47 -0.13 0.61 0.54 0.00 2.61
Selection Sector -0.43 -0.00 -0.20 -0.03 -0.00 0.21 0.14 -0.03 -0.13 0.00 -0.46
Total -0.63 0.17 0.32 2.72 -0.17 -1.26 0.01 0.58 0.41 0.00 2.15
Index - Russell 2000 Growth Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.43%
86
Large Value
0.00
Large Neutral
0.00
Large Growth
0.00
Midcap Value
Midcap Neutral
0.21
Midcap Growth
Small Value
0.33
Small Neutral
0.15
Small Growth
2.51
Unclassified
87
88
Thornburg
Net of Fee Returns Thornburg MSCI EAFE (Net) MSCI ACWI ex US (Net)
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
89
Risk/Return Analysis Periods from 11/07 to 12/11 Alpha Beta R-Squared 0.22 0.92 0.98
1.0 T 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 t -7.0 2 -8.0 1 -9.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 22.65 24.60 25.54 0.34 Sharpe Ratio -0.32 -0.38 -0.32 0.00 Info Ratio 0.27
Annualized Return%
t 1 2 T
90
t Thornburg Net Ret 4.35 Rank 42 1 MSCI EAFE (Net) Net Ret 3.33 Rank 67 2 MSCI ACWI ex US (Net) Net Ret 3.72 Rank 60
91
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of International Equity Portfolios Years Ending December
80% 70% 60% 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% -60%
2 t 1 t 1 2
t 1 2
t 1 2
2011 High 1st Qt Median 3rd Qt Low -2.87 -10.52 -13.27 -15.60 -21.88
t Thornburg Net Ret -13.84 Rank 59 1 MSCI EAFE (Net) Net Ret -12.14 Rank 40 2 MSCI ACWI ex US (Net) Net Ret -13.71 Rank 57
92
2 1
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 9.52 62 7.65 79 10.70 48 10.50 Standard Deviation Value Rank 24.63 17 27.20 45 27.25 47 27.58
t 1 2
93
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
94
Agincourt
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
Top Fixed Income Holdings Sector United States Treas FNMA Pool Ae0981 FNMA Pool Ab2092 United States Treas FNMA Pool #ah2366 Fhlm Pool J11722 United States Treas Fhgld Pool #a91538 FNMA Pool #ah2659 FNMA Pool 745418 Government Mortgage Mortgage Government Mortgage Mortgage Government Mortgage Mortgage Mortgage % Port 5.39 3.66 3.34 3.33 3.33 1.94 1.81 1.76 1.46 1.41 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous
Sector Allocation % Port 15.73 12.58 22.91 39.72 1.80 6.46 0.00 0.60 0.20
95
Risk/Return Analysis Periods from 12/95 to 12/11 Alpha Beta R-Squared 6.5 6.0 Annualized Return% 5.5 5.0 4.5 4.0 3.5 3.0 T 1.0 1.5 2.0 2.5 3.0 3.5 4.0 0.10 0.94 0.81
a 1
Annualized Standard Deviation% Annualized Net Ret a Agincourt 1 Barclays U.S. Aggregate T 91-Day Treasury Bill 6.39 6.15 3.17 Std. Dev. 3.64 3.55 1.07 Sharpe Ratio 0.89 0.84 0.00 Info Ratio 0.13
96
City of Ft. Lauderdale Police and Fire Fixed Income Core Cumulative Performance Comparisons
Total Returns of Fixed Income Portfolios Periods Ending 12/11
18% 16% 14% 12% 10% 8% 6% 4% 2% 0% -2% Last Qtr High 1st Qt Median 3rd Qt Low 2.62 1.63 1.26 0.99 0.00 Last Year 17.24 8.27 7.47 6.52 3.38 Last 2 Years 10.82 7.96 7.29 6.41 3.69 Last 3 Years 13.09 9.53 8.08 6.76 3.49 Last 4 Years 10.23 7.26 6.65 6.04 3.88 Last 5 Years 9.19 7.24 6.69 6.21 4.07 Last 6 Years 8.55 6.76 6.28 5.87 3.97 Last 7 Years 8.07 6.21 5.81 5.50 4.28 Last 8 Years 7.69 6.03 5.64 5.45 4.80 Last 9 Last 10 Years Years 7.93 5.95 5.53 5.26 4.34 8.28 6.36 6.03 5.72 4.65 a1 1 a a1 a 1 a1 a1 a1
a1
a1
a1
a1
a Agincourt Net Ret 1.37 7.27 Rank 38 55 1 Barclays U.S. Aggregate Net Ret 1.12 7.84 Rank 65 36
7.68 32 7.19 51
9.71 22 6.77 73
6.75 44 6.39 64
6.70 48 6.50 63
6.36 43 6.14 62
5.81 50 5.60 67
5.67 48 5.44 75
5.61 41 5.29 70
6.03 50 5.78 70
97
City of Ft. Lauderdale Police and Fire Fixed Income Core Consecutive Performance Comparisons
Total Returns of Fixed Income Portfolios Years Ending December
25% 20% 15% 10% a1 5% 0% a -5% -10% 2011 High 1st Qt Median 3rd Qt Low 17.24 8.27 7.47 6.52 3.38 2010 11.14 8.90 7.36 6.37 2.65 2009 20.72 12.76 9.84 7.17 0.17 2008 12.49 5.54 3.26 -1.48 -6.26 2007 9.18 7.44 6.67 6.04 4.44 2006 6.00 4.87 4.54 4.21 3.38 2005 4.16 3.06 2.72 2.44 1.89 2004 7.03 5.09 4.50 4.05 2.59 2003 10.87 5.47 4.64 3.56 2.37 2002 12.17 11.00 9.97 8.55 2.17 a 1 1 1 a1 a1 a1 a1 a
a a1 1
a Agincourt Net Ret 7.27 8.10 Rank 55 36 1 Barclays U.S. Aggregate Net Ret 7.84 6.54 Rank 36 72
13.88 16 5.93 83
-1.67 78 5.24 27
6.49 58 6.96 36
4.71 36 4.33 64
2.57 61 2.43 75
4.66 41 4.34 58
5.13 30 4.11 67
9.88 51 10.26 40
98
a 1
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 9.71 29 6.77 65 7.87 Standard Deviation Value Rank 3.85 53 3.22 35 3.78
a 1
5 Years Ending 12/31/11 10.9 10.0 9.2 Annualized Rate of Return 8.3 7.4 6.5 5.6 4.7 3.8 2.9 2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Median Risk
1 a
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank 6.70 43 6.50 52 6.55 Standard Deviation Value Rank 4.05 48 3.46 31 4.23
a 1
99
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
100
City of Ft. Lauderdale Police and Fire Fixed Income, Mortgage and Municipals Summary Statistics
Agincourt Quarter Ending 12/11
Portfolio Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity 222 85,359,264 13.09 14.33 5.22 4.89 -0.05 4.78 6.26 Barclays U.S. Aggregate 7,829 2.24 7.13 4.01 5.18 -0.45 4.95 7.13
Yield to Maturity
Time to Maturity
Coupon
0- 1
4.6%
0- 1 1- 3 3- 5 5- 7
0- 3 3- 5 5- 7 7- 9 9 - 11 11+
Quality GOVT 12.0% AAA 38.6% AA A BAA BA B CAA NR 6.8% 18.1% 22.4% 1.0% 0.5% 0.2% 0.3% 8+ 10.9% 4-6 6-8 27.3% 10.0% 1-3 3-4 31.7% 18.3%
Duration
Effective Duration
0-1
1.6%
0- 1
1.1%
101
City of Ft. Lauderdale Police and Fire Percent Invested by Sector and Quality
Agincourt As of 12/31/11
Name Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total Aaa 12.58 11.46 1.12 ------------38.07 --10.91 21.69 5.48 ------50.65 Aa ------6.22 1.80 0.13 3.68 0.60 --0.58 ------0.58 ------6.80 Moodys Quality Ratings A Baa Ba ------------------17.28 6.24 3.99 7.05 --0.51 0.29 ------0.29 ------18.08 21.16 14.34 1.82 5.00 --1.29 ----------------22.45 1.05 0.53 0.52 ----------------------1.05 B ------------------0.53 ------0.53 ------0.53 Other ------------------0.17 ------0.17 ------0.17 NR ------------------0.07 ------0.07 ----0.20 0.28 Total 12.58 11.46 1.12 45.71 22.91 6.46 15.73 0.60 1.80 39.71 --10.91 21.69 7.12 ----0.20 100.00
102
City of Ft. Lauderdale Police and Fire Fixed Income Sector Attribution Analysis
Agincourt Quarter Ending 12/11
Weight Portfolio Index 15.60 0.00 13.29 0.00 22.55 10.80 39.60 0.00 1.80 0.00 6.33 2.24 0.00 0.00 0.61 0.00 0.21 0.00 100.00 100.00
Return Portfolio Index 1.44 0.00 1.18 0.00 1.90 0.00 1.44 0.00 -0.52 0.00 2.39 0.00 0.00 0.00 0.90 0.00 0.00 1.53 0.00
Security 0.22 0.16 0.43 0.57 -0.01 0.15 0.00 0.01 0.00 1.53
Selection Sector 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total 0.22 0.16 0.43 0.57 -0.01 0.15 0.00 0.01 0.00 1.53
Index - Barclays U.S. Aggregate Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.09% [ Actual Return 1.44% ] - [ Buy Hold Return 1.53% ]
103
Atlanta Capital
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
26,095 11 153 26,259 Sector Allocation % Port 6.34 5.80 4.78 3.32 2.52 2.50 2.47 2.43 2.36 2.31 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous
Top Fixed Income Holdings Sector United States Treas United States Treas United States Treas United States Treas Freddie Mac FNMA Pool 725027 FNMA Pool 735288 FNMA Pool #ab1066 FNMA Pool #930849 FNMA Pool #890297 Government Government Government Government Mortgage Mortgage Mortgage Mortgage Mortgage Mortgage
% Port 20.42 23.25 5.62 46.54 0.00 0.00 0.00 0.00 4.18
104
Risk/Return Analysis (Number of returns < 12) Periods from 3/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 T -0.5 0.0
1 A
Annualized Return%
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
Annualized Standard Deviation% Annualized Net Ret A Atlanta Capital 1 Barclays Int Govt/Credit T 91-Day Treasury Bill 3.84 4.27 0.03 Std. Dev. 1.32 2.30 0.03 Sharpe Ratio 2.89 1.84 0.00 Info Ratio
105
City of Ft. Lauderdale Police and Fire Intermediate Gov/Corp Cumulative Performance Comparisons
Total Returns of Fixed Income Portfolios Periods Ending 12/11
2.0% 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% Last Qtr High 1st Qt Median 3rd Qt Low 1.90 1.32 1.10 0.93 0.65 A 1
A Atlanta Capital Net Ret 0.59 Rank 96 1 Barclays Int Govt/Credit Net Ret 0.84 Rank 81
106
City of Ft. Lauderdale Police and Fire Fixed Income, Mortgage and Municipals Summary Statistics
Atlanta Capital Quarter Ending 12/11
Portfolio Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity 57 25,079,039 1.78 9.67 3.71 4.00 0.18 3.78 4.75 Barclays Int Govt/Credit 4,113 1.50 4.40 3.17 3.97 0.20 3.97 4.40
Yield to Maturity
Time to Maturity
Coupon
0- 1 1- 3 3- 5 5- 7
0- 3 3- 5 5- 7 7- 9 9 - 11 11+
Quality
Duration
Effective Duration
6 - 8 12.9% 8+ 14.0%
107
City of Ft. Lauderdale Police and Fire Percent Invested by Sector and Quality
Atlanta Capital As of 12/31/11
Name Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total Aaa 23.25 23.25 --13.79 0.93 --12.86 ----41.42 --8.98 26.74 5.70 ----3.02 81.48 Aa ------4.61 3.52 --1.09 --------------------4.61 Moodys Quality Ratings A Baa Ba ------------------4.48 1.17 --3.31 --------------------4.48 0.93 ----0.93 --------------------0.93 ------------------------------B ------------------------------------Other ------------------------------------NR ------2.23 ----2.23 ----5.11 --1.06 --4.05 ----1.16 8.51 Total 23.25 23.25 --26.04 5.62 --20.42 ----46.53 --10.04 26.74 9.75 ----4.18 100.00
108
City of Ft. Lauderdale Police and Fire Fixed Income Sector Attribution Analysis
Atlanta Capital Quarter Ending 12/11
Weight Portfolio Index 21.12 0.00 23.03 0.00 4.51 14.20 47.01 0.00 0.00 0.00 0.00 2.51 0.00 0.00 0.00 0.00 4.32 0.00 100.00 100.00
Return Portfolio Index 0.49 0.00 0.85 0.00 2.37 0.00 1.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.95 0.00
Security 0.10 0.20 0.11 0.54 0.00 0.00 0.00 0.00 0.00 0.95
Selection Sector 0.00 0.00 -0.00 0.00 0.00 -0.00 0.00 0.00 0.00 0.00
Total 0.10 0.20 0.11 0.54 0.00 0.00 0.00 0.00 0.00 0.95
Index - Barclays Int Govt/Credit Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.28% [ Actual Return 0.67% ] - [ Buy Hold Return 0.95% ]
109
Boyd Watterson
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
33,459 14 352 33,826 Sector Allocation % Port 5.09 4.93 4.92 4.35 4.04 3.86 2.92 2.59 2.38 2.03 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous
Top Fixed Income Holdings Sector United States Treas United States Treas United States Treas United States Treas United States Treas Federal Natl Mtg Ass Federal Natl Mtg Ass United States Treas United States Treas Federal Home Ln Mtg Government Government Government Government Government Government Government Government Government Government
% Port 28.37 43.32 19.80 3.67 0.00 3.84 0.00 0.99 0.00
110
Risk/Return Analysis (Number of returns < 12) Periods from 3/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 T -0.5 0.0
1 B
Annualized Return%
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
2.4
Annualized Standard Deviation% Annualized Net Ret B Boyd Watterson 1 Barclays Int Govt/Credit T 91-Day Treasury Bill 3.42 4.27 0.03 Std. Dev. 2.18 2.30 0.03 Sharpe Ratio 1.55 1.84 0.00 Info Ratio
111
City of Ft. Lauderdale Police and Fire Intermediate Gov/Corp Cumulative Performance Comparisons
Total Returns of Fixed Income Portfolios Periods Ending 12/11
2.00% 1.90% 1.80% 1.70% 1.60% 1.50% 1.40% 1.30% 1.20% 1.10% 1.00% 0.90% 0.80% 0.70% 0.60%
B 1
Last Qtr High 1st Qt Median 3rd Qt Low 1.90 1.32 1.10 0.93 0.65
B Boyd Watterson Net Ret 1.05 Rank 61 1 Barclays Int Govt/Credit Net Ret 0.84 Rank 81
112
City of Ft. Lauderdale Police and Fire Fixed Income, Mortgage and Municipals Summary Statistics
Boyd Watterson Quarter Ending 12/11
Portfolio Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity 67 33,519,836 1.79 4.73 3.66 3.98 0.21 3.91 4.34 Barclays Int Govt/Credit 4,113 1.50 4.40 3.17 3.97 0.20 3.97 4.40
Yield to Maturity
Time to Maturity
Coupon
0- 1 1- 3 3- 5 5- 7
0- 3 3- 5 5- 7 7- 9 9 - 11 11+
Quality
Duration
Effective Duration
0- 1
0.8%
26.6% 17.7%
6-8 8+
113
City of Ft. Lauderdale Police and Fire Percent Invested by Sector and Quality
Boyd Watterson As of 12/31/11
Name Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total Aaa 43.32 28.82 14.49 ------------3.67 --0.62 3.05 --------46.99 Aa ------8.72 3.64 --5.07 --------------------8.72 Moodys Quality Ratings A Baa Ba ------------------26.55 5.88 2.93 16.75 0.99 ------------------26.55 17.74 10.28 0.91 6.55 --------------------17.74 ------------------------------B ------------------------------------Other ------------------------------------NR ------------------------------------Total 43.32 28.82 14.49 53.01 19.80 3.84 28.37 0.99 --3.67 --0.62 3.05 --------100.00
114
City of Ft. Lauderdale Police and Fire Fixed Income Sector Attribution Analysis
Boyd Watterson Quarter Ending 12/11
Weight Portfolio Index 29.61 0.00 41.47 0.00 19.85 14.20 4.20 0.00 0.00 0.00 3.86 2.51 0.00 0.00 1.00 0.00 0.00 0.00 100.00 100.00
Return Portfolio Index 1.18 0.00 0.81 0.00 1.54 0.00 1.01 0.00 0.00 0.00 1.24 0.00 0.00 0.00 1.23 0.00 0.00 1.09 0.00
Security 0.35 0.34 0.31 0.04 0.00 0.05 0.00 0.01 0.00 1.09
Selection Sector 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total 0.35 0.34 0.31 0.04 0.00 0.05 0.00 0.01 0.00 1.09
Index - Barclays Int Govt/Credit Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.01%
115
116
City of Ft. Lauderdale Police and Fire Core Realty Fund as of 12/31/11
Portfolio Performance (%) 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/07 NCREIF ODCE Fund Index
Net of Fee Returns Core Realty Fund NCREIF Prop Index NCREIF ODCE Fund Index
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
117
City of Ft. Lauderdale Police and Fire Core Realty Fund as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 7/07 to 12/11 Alpha Beta R-Squared 2.0 1.5 1.0 T 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 0.0 1.0 -1.14 1.25 0.89
Annualized Return%
2 a
2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 11.42 8.09 11.85 0.48 Sharpe Ratio -0.32 0.08 -0.27 0.00 Info Ratio -1.10
a 1 2 T
Core Realty Fund NCREIF Prop Index NCREIF ODCE Fund I 91-Day Treasury Bill
118
a Core Realty Fund Net Ret 2.26 Rank 66 1 NCREIF Prop Index Net Ret 2.96 Rank 47 2 NCREIF ODCE Fund Index Net Ret 2.97 Rank 47
119
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios Years Ending December
50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 24.98 16.67 12.45 5.59 -13.92 2010 30.69 18.42 13.91 3.61 -23.52 2009 38.04 -3.87 -28.19 -31.21 -45.86 2008 13.80 -4.55 -10.40 -25.50 -45.77 a 1 2 a 1 2 2 a 1 a 1 2
a Core Realty Fund Net Ret 12.88 Rank 47 1 NCREIF Prop Index Net Ret 14.26 Rank 33 2 NCREIF ODCE Fund Index Net Ret 15.99 Rank 26
120
1 a 2
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank -4.37 74 2.43 29 -1.77 46 -1.82 Standard Deviation Value Rank 12.11 22 8.20 8 13.02 33 15.61
a 1 2
Core Realty Fund NCREIF Prop Index NCREIF ODCE Fund Index Median
121
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
122
City of Ft. Lauderdale Police and Fire Prudential RE Investors PRISA II as of 12/31/11
Portfolio Performance (%) 20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/07 NCREIF ODCE Fund Index
Net of Fee Returns Prudential RE Investors PRISA II NCREIF Prop Index NCREIF ODCE Fund Index
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
123
City of Ft. Lauderdale Police and Fire Prudential RE Investors PRISA II as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis Periods from 7/07 to 12/11 Alpha Beta R-Squared 2.0 1.0 T 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 -7.0 -8.0 0.0 -2.00 2.23 0.93
Annualized Return%
p
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 18.48 8.09 11.85 0.48 Sharpe Ratio -0.43 0.08 -0.27 0.00 Info Ratio -0.71
p 1 2 T
Prudential RE Inve NCREIF Prop Index NCREIF ODCE Fund I 91-Day Treasury Bill
124
p Prudential RE Investors PRISA II Net Ret 2.84 19.23 Rank 49 13 1 NCREIF Prop Index Net Ret 2.96 14.26 Rank 47 33 2 NCREIF ODCE Fund Index Net Ret 2.97 15.99 Rank 47 26
125
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios Years Ending December
50% 40% 30% 20% 10% 0% -10% -20% -30% -40% -50% 2011 High 1st Qt Median 3rd Qt Low 24.98 16.67 12.45 5.59 -13.92 2010 30.69 18.42 13.91 3.61 -23.52 p 1 2 p 1 2 p p 1 2 1 2
p Prudential RE Investors PRISA II Net Ret 19.23 Rank 13 1 NCREIF Prop Index Net Ret 14.26 Rank 33 2 NCREIF ODCE Fund Index Net Ret 15.99 Rank 26
126
1 2 p
Median Return
Historical Standard Deviation of Return Annualized Net of Fee Return Value Rank -6.36 81 2.43 29 -1.77 46 -1.82 Standard Deviation Value Rank 20.46 66 8.20 8 13.02 33 15.61
p 1 2
Prudential RE Investors PRISA II NCREIF Prop Index NCREIF ODCE Fund Index Median
127
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
128
K2 Advisors Long/Short
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
129
Risk/Return Analysis Periods from 4/08 to 12/11 Alpha Beta R-Squared 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 -0.8 -1.0 -1.2 -1.4 -1.6 -1.8 -2.0 -0.73 0.31 0.72
T 1
Annualized Return%
2
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 6.78 21.09 0.21 Sharpe Ratio -0.29 -0.04 0.00 Info Ratio -0.40
130
Risk Measures Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio
131
City of Ft. Lauderdale Police and Fire PIMCO All Asset as of 12/31/11
Portfolio Performance (%) 6.0 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 -2.0 -3.0 -4.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/11
YTD
1 Year
3 Year
5 Year
10 Year
Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value
132
City of Ft. Lauderdale Police and Fire PIMCO All Asset as of 12/31/11
Asset Allocation ($000)
Risk/Return Analysis (Number of returns < 12) Periods from 9/11 to 12/11 Alpha N/A Beta N/A R-Squared N/A 3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 -4.0 -2.0
1 T
Annualized Return%
P
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Annualized Standard Deviation% Annualized Net Ret Std. Dev. 14.61 0.79 0.03 Sharpe Ratio -0.24 3.00 0.00 Info Ratio
133
134
Dow Jones Industrial Average: This index is comprised of 30 "blue-chip" US stocks selected for their history of successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US stocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisor adjusted to reflect stock splits and the occasional stock switches in the index. NASDAQ Composite: A cap-weighted index comprised of all common stocks listed on the NASDAQ Stock Market (National Association of Securities Dealers Automated Quote system). S&P 500: A broad-based measurement of changes in stock market conditions based on the average performance of 500 widely held common stocks. This index does not contain the 500 largest companies or the most expensive stocks traded in the US. While many of the stocks are among the largest, this index also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation, and 70 financial companies listed on the US market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total return basis with dividend reinvested. Russell 1000: The 1000 largest companies in the Russell 3000 index, based on market capitalization. Russell 1000 Growth: A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Growth index. Russell 1000 Value: Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companies in this index have low price-to book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth index. Russell Mid-Cap: This index consists of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and represents over 35% of the Russell 1000 total market cap. Russell Mid-Cap Growth: The Russell Mid-cap Growth Index offers investors access to the mid-cap growth segment of the U.S. equity universe. The Russell Midcap Growth Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. Based on ongoing empirical research of investment manager behavior, the methodology used to determine growth probability approximates the aggregate mid-cap growth manager's opportunity set. Russell Mid-Cap Value: Measures the performance of the Russell 3000 Index extended to include micro-cap securities of the Russell Micro-cap Index. The index represents approximately 99% of the U.S. Equity Market. As of the latest reconstitution, the average market capitalization was approximately $3.8 billion; the median market capitalization was approximately $612 million. The index had a total market capitalization range of approximately $368.5 billion to $67.3 million. Russell 2000: the 2000 smallest companies in the Russell 3000 index. Russell 2000 Growth: A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in this index have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index.
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Russell 2000 Value: A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index. Russell 2500: This index consists of the bottom 500 stocks in the Russell 1000 (as ranked by market capitalization) and all of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stock performance. Russell 2500 Growth: A segment of the Russell 2500 with a greater-than-average growth orientation. Companies in this index have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2500 Value index. Russell 2500 Value: A segment of the Russell 2500 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2500 Growth index. Russell 3000: is composed of the 3,000 largest U.S. securities, as determined by total market capitalization. Russell 3000 Growth: This index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell 1000 Growth or the Russell 2000 Growth indexes. Russell 3000 Value: This index measures the performance of those Russell 3000 Index companies with lower price-to-book ratios and lower forecasted growth values. The stocks in this index are also members of either the Russell 1000Value or the Russell 2000 Value indexes. MSCI EAFE: A market capitalization-weighted index representing all of the MSCI developed markets outside North America. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries in the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 different country indexes, all of which are created separately. MSCI World: A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. MSCI World ex U.S.: The MSCI World index excluding the U.S. portion of the index. MSCI All Country World Index: a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of January 2009 the MSCI ACWI consisted of 46 country indices comprising 23 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru,
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MSCI All Country World Index ex U.S.: The MSCI All Country World Index excluding the U.S. portion of the index. MSCI Emerging Markets Free (EMF): A market capitalization-weighted index representing 2 of the emerging markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different country indexes, all of which are created separately. Barclays Capital U.S. Aggregate Bond: This index is made up of the Barclays Capital U.S. Government/Credit, the Mortgage-Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment grade or higher, have at least on year maturity, and have an outstanding par value of at least $100 million. Barclays Capital U.S. Government/Credit: This index includes all bonds that are in the Barclays Capital U.S. Government Bond and the Barclays Capital U.S. Credit Bond indices. Barclays Capital U.S. Government/Credit Intermediate: All bonds by the Barclays Capital U.S. Government/Credit Bond index with maturities of 1 to 10 years. Barclays Capital Municipal Bond: This market capitalization-weighted index includes investment grade tax-exempt bonds and is classified into four main sectors General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index, the original transaction size of a bond must have been greater than $50 million. Barclays Capital U.S. Treasury Index: This index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to the U.S. Aggregate, U.S. Universal and Global Aggregate Indices. Barclays Capital U.S. TIPS: This index measures the performance of U.S. Treasury Inflation Protection Securities. Merrill Lynch Convertibles: The convertible securities used in this index span all corporate sectors and must have a par amount outstanding of $25 million or more. The maturity must be at least on year. The coupon range must be equal to or greater than zero and all equity of bonds are included. Excluded from this index are preferred equity redemption stocks. When the component bonds of this index convert into common stock, the converted securities are dropped from the index. Merrill Lynch Corp/Govt 1-3 Years A or Better: An unmanaged index of government and corporate fixed-rate debt issues with maturities between one and 3 years. Merrill Lynch High Yield Master: Market capitalization weighted index providing a broad-based measure of bonds in the US domestic bond market rated below investment grade, but not in default. Includes only issues with a credit rating of BB1 or below as rated by Moody's and/or S&P, at least $100 million in face value outstanding and a remaining term to final maturity equal to or greater than one year. Dow Wilshire REIT: A measurement of equity REITs and Real Estate operating Companies. No special-purpose or health care REITs are included. It is a market capitalization weighted index for which returns are calculated monthly
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Alpha: A risk-adjusted measure of 'excess return' on an investment. That is, it measures an active manager's performance in excess of a benchmark index or 'risk-free' investment. An alpha of 1.0 means the manager outperformed the market 1.0%. A positive alpha is the extra return awarded to the investor for taking additional risk rather than accepting the market return. Batting Average: The percent of periods the manager has beaten the benchmark. A high average for the fund (e.g. over 50) is desirable, indicating the fund has beaten the policy frequently. Beta: A measure of systematic risk, or the sensitivity of a manager to movements in the benchmark. A beta of 1 implies that you can expect the movement of a manager's return series to match that of the benchmark used to measure beta. Down Market Capture Ratio: A measure of a manager's performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0. It tells you what percentage of the down-market was captured by the manager. Information Ratio: The Information Ratio measures the consistency with which a manager beats a benchmark. R-squared: The R-Squared (R2) of a manager versus a benchmark is a measure of how closely related the variance of the manager returns and the variance of the benchmark returns are. Sharpe Ratio: The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk. It is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. Standard Deviation: Standard deviation of return measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager. Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. Treynor Ratio: The Treynor Ratio is a risk-adjusted measure of return which uses beta to represent risk. It is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the portfolio's beta value. Up Market Capture Ratio: A measure of a manager's performance in up markets. An up-market is defined as those periods (months or quarters) in which market return is greater than 0. It tells you what percentage of the up-market was captured by the manager.
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