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CITY OF FT. LAUDERDALE POLICE AND FIRE RETIREMENT SYSTEM
PERFORMANCE REVIEW MARCH 31, 2011
TABLE OF CONTENTS
Important Disclaimer Information 1 Capital Markets Review 2 Performance Review Total Fund 3 Domestic Equity 4 International Equity 5 Fixed Income 6 Alternative Investments 7 Appendix 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 ismade 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 beginningon the last day of an account's inception month. Results do not include the interim period from an account's inceptiondate to an account's first month-end. For example, for an account that has an inception date of March 15, this reportbegins measuring performance as of March 31. Omission of performance during this interim period is likely to result indifferent performance figures than if the interim period's performance was included in this report.
Any 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 you investmentplanning and is for information purposes only. Your Custodial Client Statement is the official record of you account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the ClientStatement and call your Financial Advisors if you have any questions. Transactions requiring tax consideration should bereviewed carefully with your accountant or tax tax advisor. This is not a substitute for your own records and the year-end1099 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.
City of Ft. Lauderdale Police and FireImportant Disclaimer Information
1
2
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Index QTR YTD 1 Yr 3 Yr 5 Yr 10 YrDomestic Fixed Income3 Month T-Bill 0.03% 0.03% 0.15% 0.43% 2.08% 2.14%Barclays Capital 1-3 year Gov't 0.06% 0.06% 1.73% 2.48% 4.24% 3.79%Barclays Capital Interm Gov't 0.02% 0.02% 3.83% 3.54% 5.48% 4.81%
Barclays Capital Interm Credit 0.99% 0.99% 6.32% 6.59% 6.36% 5.91%Barclays Capital Interm Govt/Cred 0.34% 0.34% 4.63% 4.49% 5.68% 5.20%Barclays Capital Aggregate Bond 0.42% 0.42% 5.12% 5.30% 6.03% 5.57%
Domestic EquityStandard & Poor's 500 5.92% 5.92% 15.65% 2.36% 2.62% 3.29%Dow Jones Industrial Average 7.07% 7.07% 16.51% 3.12% 4.87% 4.73%Dow Jones US Total Full Cap 6.06% 6.06% 17.50% 3.83% 3.27% 4.62%Dow Jones US Select REIT 6.70% 6.70% 24.44% 1.48% 0.66% 11.25%
Russell 1000 - Large Cap 6.24% 6.24% 16.69% 2.98% 2.93% 3.83%Russell 1000 Growth - Large Cap 6.03% 6.03% 18.26% 5.19% 4.34% 2.99%Russell 1000 Value - Large Cap 6.46% 6.46% 15.15% 0.60% 1.38% 4.54%
Russell Midcap 7.63% 7.63% 24.27% 7.25% 4.67% 8.52%Russell Midcap Growth 7.85% 7.85% 26.60% 7.63% 4.93% 6.94%Russell Midcap Value 7.43% 7.43% 22.26% 6.62% 4.04% 9.24%
Russell 2000 - Small Cap 7.94% 7.94% 25.79% 8.57% 3.35% 7.87%Russell 2000 Growth - Small Cap 9.24% 9.24% 31.04% 10.16% 4.34% 6.44%Russell 2000 Value - Small Cap 6.60% 6.60% 20.63% 6.76% 2.23% 9.01%
International EquityMSCI EAFE 3.37% 3.37% 10.42% -3.02% 1.30% 5.39%MSCI World 4.80% 4.80% 13.45% -0.25% 2.08% 4.21%MSCI EM 1.69% 1.69% 15.89% 1.96% 8.25% 14.10%
Blended Benchmarks30% S&P 500 / 70% Barclays Agg 2.07% 2.07% 8.28% 4.42% 5.01% 4.89%40% S&P 500 / 60% Barclays Agg 2.62% 2.62% 9.33% 4.12% 4.67% 4.66%50% S&P 500 / 50% Barclays Agg 3.17% 3.17% 10.39% 3.83% 4.33% 4.43%60% S&P 500 / 40% Barclays Agg 3.72% 3.72% 11.44% 3.54% 3.98% 4.20%70% S&P 500 / 30% Barclays Agg 4.27% 4.27% 12.49% 3.24% 3.64% 3.97%
3
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData 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 Summary
Price volatility, consolidation, and even reversals are considered normal following periods of strong market performance. Generally, these market actions are triggered by an unforeseen or unpredictable event with price volatility and consolidation often the result of tactical risk management. The first quarter of 2011 provided several triggering mechanisms.
Inflation, in the form of rising food (agricultural/livestock commodities) and materials (metal/lumber) prices threaten to slow global growth. Geo-political events in the Middle East and North Africa threaten to disrupt adequate oilsupplies and inflate energy costs. The earthquake and resulting tsunami that devastated Japan late in the quarter threaten the regional economies leading some economists to predict a global economic slowdown.
Domestically, the Federal Reserve has stated its comfort with the current level of inflation (presumably ex-energy), but recent commentary from several Federal Reserve Bank Presidents would indicate not all decision makers fully agree with this position. Chinese and European leaders are already taking steps to slow economic growth and manage inflationary pressures. Investors wary of impending interest rate hikes chose to begin reducing security positions of interest rate sensitive economies.
Investors then had to evaluate the economic impact of the political unrest in the Middle East and Libya. Protracted unrest or the threat of more widespread unrest in this region would likely disrupt oil supplies and further increase prices which could drain consumer resources and further stymie economic growth. Investors responded to this uncertainty by tactically managing risk and sold assets considered at political, regional, or supply risk.
MCG Equities
SC Equities
MC Equities
MCV Equities
SCV Equities
Intl Emerging Equities
LCG Equities
LC Equities
S&P 500
LCV Equities
High Yield Bonds
Intl Developed Equities
Corporate Bonds
Long Term Treasury Bonds
Foreign Bonds
Intl Frontier Equities
Mortgage Backed Bonds
Municipal Bonds
3-Month T-Bill
26.6%
25.8%
24.3%
22.3%
20.6%
18.8%
18.3%
16.7%
15.7%
15.2%
14.1%
10.9%
7.5%
7.3%
6.5%
5.5%
4.4%
1.6%
0.2%
One Year Performance of Asset Classes As Of March 31, 2011
4
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData 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 Summary
The earthquake and tsunami that hit Japan on March 11 created immeasurable hardship for its people, and grabbed the world’s attention for two reasons. First and foremost is the human tragedy. Second is the damage caused to the Japanese economy that has struggled with anemic growth for the past two decades. The infrastructure damage caused by this disaster has threatened Japan’s manufacturing capacity and the effects have already been felt in the electronic and automotive sectors. Investors managed risk by reducing exposure to companies strongly tied to the Japanese economy.
Despite these triggers and the resulting volatility the domestic markets continued to move cautiously higher this quarter. The Dow Jones Industrial Average (DJIA) was up 7.07% and the S&P 500 Index ended the quarter with a gain of 5.92%, its best quarter in 13 years. The NASDAQ Composite Index gained 5.02%. The S&P400 Mid-cap Index gained 9.36%, and the S&P 600 Small Cap Index was up 7.71% for the quarter. Domestic growth is slow, but steady. Manufacturing is expanding, albeit very slowly. The labor market is showing gradual improvement. Wage growth is slow and inflation is low.
After having adjusted to post-recession estimates and predictions, investors had little to get excited about this earnings season. Investor confidence was encouraged by the number of companies that initiated, reinstated or increased dividends. With the economy remaining sluggish and upside earnings surprises likely peaked, some institutional investors now consider profit forecasts for the S&P to be the best case scenario.
Mergers and acquisitions remained strong during the quarter as company executives continued to pursue large acquisitions. Global M&A activity for the first three months of the year totaled $716.3 billion. That is up 16% from $618.5 billion a year ago.
In international markets, the most indebted countries in the Eurozone are leading market returns. Italy, Greece and Spain were each up better than 7.0% this quarter despite fears the European debt crisis is worsening. The European market is struggling with many of the same issues as the U.S. domestic market. Expansion is slow. The job market is weak and unemployment remains high. Inflation is a concern. Debt is growing. The French CAC40 was up 5.6% and kept pace with Western markets. The German DAX was up 3.0%.
BC Agg
BC Int GC
R 1000
R Mid
R 2000
MSCI EAFE
MSCI EM
T‐Bills
ML HYM
0
2
4
6
8
10
12
0 5 10 15 20 25 30
Ret
urn
(%
)
Risk (Standard Deviation %)
Risk/Return ComparisonFive Years Ending March 31, 2011
5
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData 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 Summary
Japan was the focal point in Asian markets. It will be some time before the full impact of the devastation to the world’s third largest economy is known. Japan must first provide services to its affected people and deal with a potential nuclear disaster. The rebuilding process will be lengthy, and require considerable capital and resources. The Nikkei 225 Index dropped immediately following the disaster, but was making a modest recovery by the end of the quarter finishing down 5.0%. China’s manufacturing growth accelerated for the first time in four months easing concerns that monetary tightening would lead to a slowdown in the world’s second largest economy. Although volatile, the China CSI 300 Index gained 4.6% for the quarter.
In the domestic fixed income markets the Federal Reserve kept interest rates unchanged during the quarter, however, comments from several regional Fed Presidents indicate differing opinions on this position. This dissention supported the opinion of many investors who have been liquidating U.S. debt in advance of an anticipated rate hike. PIMCO, the world’s largest bond fund, announced this quarter that it had sold all of its long-term U.S. debt holdings in search of higher yields elsewhere. Corporations continued to take advantage of the low interest rate environment by issuing a record $259.4 billion in new issuance for the quarter.
Unlike the U.S. market, European economic leaders have the additional burden of managing an interest rate that must accommodate and foster growth for weak economies and not overheat stronger economies. Portugal, Ireland, and Greece need rates to remain low to avoid a sovereign debt crisis. By not raising rates, the European Central Bank risks inflationary damage to the German and French economies. Nervous bond investors hedged positions ahead of a scheduled ECB meeting in early April. Less risk adverse investors actively sought higher yields in emerging market country debt.
On a final note of interest; Last quarter China expressed its financial support for Spain and other European country debt. This quarter the Financial Times reported that China surpassed the World Bank in providing loans to developing countries.
6
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Domestic Equity
The U.S. equity market remained resilient during the first quarter despite a number of event-driven risks. All major U.S. equity indices rose over 5% led by the Dow Jones Industrial Average, which posted a 7.07% return for its best first quarter since 1998. In a quarter where disaster struck Japan, social unrest escalated in the Middle East, oil and gas prices increased significantly, and the threat of a federal government shutdown the major indices ended each month of the quarter
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
1Q11 1 year 3 years 5 years 10 years
Ret
urn
(%
)
Broad Domestic Equity Performance
Large Cap
Mid Cap
Small CapRu
ssel
l 10
00 6.24
Russ
ell
Mid
cap
7.63
Russ
ell
2000 7.94
-10 -5 0 5 10
9.246.60
7.42
6.46
First Quarter Domestic Equity Returns
Value Growth
6.03
7.85
higher than they began. While February was particularly strong (with all indices up over 3% in the month), January and March also added to a strong start to the year.
Small cap stocks again outperformed large caps as the Russell 2000 rose 7.94% and the Russell 1000 rose 6.24%. Style results were mixed as the Russell 1000 Value (up 6.46%) outpaced the Russell 1000 Growth (6.03%) while the Russell 2000 Growth (9.24%) significantly outperformed the Russell 2000 Value (6.60%).
7
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Domestic Equity
In sector returns, the S&P 500 Energy sector continued its blistering pace as it posted a 16.80% gain for the quarter, easily outpacing the runner-up Industrial sector’s 8.75% return. Though it did slow down to 1.54% in March, Energy had six straight months of returns eclipsing 5% from September 2010 to February 2011. The sector has now posted a 60.25% cumulative return over the past 3 quarters. Energy and Industrials were the big winners of the first three months of 2011, as all other sectors trailed the overall S&P 500 but were still all able to post positive gains for the quarter.
In U.S. mergers and acquisitions, while the total number of deals announced in first quarter 2011 declined from the first quarter of 2010, the dollar value of those deals more than doubled. Notable deals announced during the quarter were AT&T’s (T) proposed acquisition of T-Mobile USA
0
50
100
150
200
250
300
Style Performance10 Year Growth of $100
R1000 Value R1000 Growth R2000 Value R2000 Growth
2.522.743.043.47
4.544.714.855.625.92
8.7516.80
Consumer StaplesUtilitiesFinancialsInformation TechnologyMaterialsConsumer DiscretionaryTelecommunication ServicesHealth CareS&P 500IndustrialsEnergy
S&P 500 1Q 2011 Sector Returns
for $39 billion from Deutsche Telekom, and Duke Energy’s (DUK) bid for Progress Energy (PGN) at slightly more than $26 billion. Additionally, in February, the NYSE Euronext (NYX) agreed to be acquired by Deutsche Boerse for a friendly all-stock offer valued at nearly $10 billion ($35.75/ share). (However, it was announced on April 1st that NASDAQ (NDAQ) and Intercontinental Exchange (ICE) jointly made an unsolicited bid for NYSE that valued the company at $42.50/ share ($11.3 billion) and included a cash payout of $14.24 per share. The NYSE rejected this unsolicited bid in favor of keeping its deal with Deutsche Boerse (which also carries a $362 million breakup fee), though the speculation of further overtures from NDAQ and ICE remained as of this writing.) In IPOs, first quarter 2011 proceeds were $12.4 billion, a sizeable increase from the $4.2 billion received during the same quarter in 2010. HCA Holdings (HCA), Kinder Morgan (KMI), and Nielsen Holdings (NLSN) each recorded proceeds greater than $1 billion from their IPOs.
8
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
International Markets
The international markets started the quarter full of uncertainty as investors tried to gauge the impact of regional unrest in the Middle East and North Africa. Demonstrations that started in Tunisia have spread through most of the region. In three months we have witnessed the overthrow of governments in Egypt and Tunisia, civil war in Libya and half a dozen other countries facing protest. Some governments have promised reform, while others have used military, police and Marshall Law in attempts to stop the protests. Saudi Arabia is being watched closely, as any major unrest there will affect oil prices and possibly broader markets. The political upheaval has put a premium on oil prices that have recently traded above $110 per barrel compared to $91 at the beginning of the quarter. The turmoil has slashed over 23% from Egypt’s index as the Middle East returns trail all other regional returns for the quarter. Economists believe prolonged increased oil prices will impact world growth during the recovery.
The second major event this past quarter was the earthquake and resulting tsunami in Japan. The March 11th event has left over 12,000 confirmed dead with estimates that could go well above 20,000. The tsunami washed over the northern part of Japan causing devastation in its manufacturing sector as well as the lives and homes lost. Besides the quake, tsunami, and power outage Japan is also dealing with a nuclear reactor crises that rivals Chernobyl. In the days following the event the Japan index lost roughly 15% of its value and ended the quarter down 4.85%. Japan’s auto and electronics manufacturing was severely impaired as Sony, Toyota, Nissan, Honda and Mazda have all been impacted. All auto plants in Japan were shut down for at least a week to conserve energy and assess damage to plants and suppliers. The largest supplier of auto safety devices Autoliv Inc. was in the affected area as well as many global suppliers of parts that will affect all major auto supply chains. Some economists believe world auto production will be down 30% or 100,000 units per day in the near term. The international central banks have pledged to intervene to maintain stable Yen prices as Japan recovers and global companies headquartered in Japan bring money home to rebuild.
Japan
India
China
Brazil
United Kingdom
Australia
Mexico
Germany
South Africa
Russia
1.6%
9.5%
9.6%
9.7%
13.6%
15.0%
19.1%
20.7%
26.0%
30.1%
One Year International (Gross) ReturnsAs Of March 31, 2011
9
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
International Markets
With Japan and the Middle East grabbing headlines this quarter, less attention has been paid to debt and banking problems of Europe. After denying the need for a bailout for quite some time, Portugal has finally officially requested assistance from the EU and IMF. Portugal has been trying to clean up its own fiscal problems and to avoid the austerity measures that come attached to a bailout. The Portuguese government has not been able to agree on any meaningful moves to balance the budget, and the interest rate on its debt is too high to support long term. After a downgrade from Moody’s, the annual interest on its one year note jumped 1.6% to 5.9%, adding huge costs for the government. Spain and Italy are the only two remaining infamous “PIIGS” countries that have not received a bailout. Both Spain and Italy have declared their finances are good enough to avoid external assistance. Greece, Ireland and Portugal all declared the same for months until debt markets proved otherwise. The EU has also declared its first interest rate hike since the great recession. While Europe’s inflation is not nearly as high as China’s it must delicately balance the inflation problems of its core manufacturing countries , such as Germany and the slow growth and fiscal problems of countries such as Portugal.
Despite the economic problems in Europe, the MSCI Europe Index gained 6.56% this quarter. Germany, considered Europe’s current economic leader, posted market declines during the final month of the quarter, however, the MSCI Germany Index still managed a gain of 7.57%. Higher energy prices and political stability are moving the Russian markets higher. The MSCI Russia Index advanced 16.29% this quarter. The trailing one year return is 30.06%. China continued monetary tightening and chose to raise interest rates again this quarter. The MSCI China Index advanced 2.88% this quarter and is up 9.58% year over year.
Fixed Income
All things considered, the fixed income market managed to navigate a difficult first quarter with most sectors posting moderate gains. The Barclays Capital U.S. Aggregate Bond index was up 0.42% for the quarter with monthly returns of 0.12%, 0.25%, and 0.05%. The Barclays Capital U.S. Government Intermediate index was barely up at 0.01% for the quarter with monthly returns of 0.28%, -0.23%, and -0.04%. The Barclays Capital U.S. Corporate Investment Grade index increased 0.86% for the quarter with monthly returns of 0.20%, 0.79%, and -0.13%.
10
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Fixed Income
Revolution in the Middle East, destruction in Japan, and uncertainty in Europe over sovereign debt all led investors to the safety of Treasury bonds, even as U.S. economic news pressured yields higher. The benchmark 10 Year Treasury rose 15 bps during the quarter, and the 5 Year climbed 22 bps plumping up the belly of the yield curve the Fed has been fighting to keep down during QE2. Fear of rising inflation built during the quarter, even as increasing food and fuel prices have yet to materialize in the headline CPI numbers. Agencies continue to perform somewhat better than Treasuries. Demand has easily absorbed the relatively low levels of issuance in Agency mortgage-backed securities.
Corporate bond returns continue to be driven by healthy earnings, solid credit fundamentals, and strong demand for new issuance. Also, the Moody’sspeculative grade default rate 12 month trailing number is below 3% compared to 11.7 % this time last year, and they reported no defaults in the month of January for the first time since June 2007. High Yield bonds were the big performer of the quarter with a return of 3.88% according to the Barclays Capital U.S. Corporate High Yield index. All high yield sectors were positive, with food and drug retailers, technology, and energy gaining the most.
0.00%1.00%2.00%3.00%4.00%5.00%
3 MO 6 MO 2 YR 5 YR 10 YR 30 YR
Tre
asu
ry Y
ield
Cu
rve
12/31/2008 12/31/2009 12/31/2010 3/31/2011
0.00%
5.00%
10.00%
15.00%
1Q11 YTD 1 YR 3 YR 5 YR
Cre
dit
Per
form
ance AAA
AA
A
BBB
BB
‐2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
1Q11 YTD 1 YR 3 YR 5 YR 10 YRSec
tor
Per
form
ance
Govts Corps Mortgages Munis
11
CAPITAL MARKETS REVIEW – MARCH 31, 2011
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 , Barclay’s Capital, MSCI Barra & Standard & Poor’sData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Commodities
Commodity prices were mixed during the quarter. Oil grabbed the most attention as it closed at a two and half year high above $106 per/bbl and advanced 16.8% for the quarter. Gold closed above $1,438, but only advanced 1.3%, the second weakest quarter since 2008. Silver increased 22.5%, closing above $37. Silver is now up more than 100% from the first quarter of last year. Aluminum advanced 6.6% during the quarter.
In addition to oil and metals, inflationary concerns helped agricultural commodities post strong gains for the quarter. Cotton was up more than 38% (up 17% in February), and corn rose more than 10%. Wheat, which was up more than 47% last year, declined slightly less than 4% during the quarter.
Currency
In March, the New York Federal Reserve Bank took the extraordinary measure of intervening in the currency markets following the earthquake and tsunami that devastated Japan and threaten to hyper-inflate the Japanese Yen. A Fed spokesperson confirmed the intervention, supported by the Group of seven major industrialized nations, but refused any specific details, saying the action was necessary as the Yen surged to post-war levels and threatened to depress the country’s exports. The action proved effective as the Yen stabilized and allowed the Dollar and Euro to advance.
A lack of monetary policy change in the U.S. and a change in investor opinion helped the Euro gain on the dollar. Much of this gain is attributed to the current U.S. monetary policy and economic stimulus program. However, there appears to have been a change in investor opinion on the status of the dollar’s value as a safe-haven. Typically, the dollar has been sought by investors during times of political or financial turmoil. The Dollar Index lost 3.8% versus a basket of six major currencies this quarter. Recently, investors have been shunning the dollar and buying the Swiss franc, Japanese Yen and Euro. The Euro closed the quarter above $1.41 with a 6% move upward from its February 14 low of $1.34.
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
U.K.
Japan
Europe
Canada
Australia
13.6%
1.6%
13.1%
23.1%
15.0%
11.3%
14.9%
3.6%
9.2%
19.8%
1 Year Country And Currency ReturnsAs of March 31, 2011
Currency Country Return
12
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.
CAPITAL MARKETS REVIEW – MARCH 31, 2011CAPITAL MARKET INDEX RETURNS
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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
19 9 2 19 9 3 19 9 4 19 9 5 19 9 6 19 9 7 19 9 8 19 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 10 2 0 11Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell Russell
B ES T 2000 1000 Wilshire 1000 1000 2000 Wilshire 2000 Agg 2000 Wilshire Wilshire Wilshire 1000 Agg 1000 2000 2000Value Value REIT Value Growth Growth REIT Value Bond Growth REIT REIT REIT Growth Bond Growth Growth Growth
29 .15% 32 .94% 8 .06% 38 .35% 37.04% 35.18% 38 .71% 43 .09% 31.04% 13 .96% 10 .27% 48 .53% 33 .14% 14 .00% 36 .13% 11.81% 5.24% 37.21% 29 .09% 9 .24%DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ DJ
Wilshire 2000 1000 1000 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire Wilshire REIT Value Growth Growth Growth Value REIT REIT Value Value Value Growth REIT REIT
15.13% 23 .84% 2 .66% 37.53% 23 .12% 33 .35% 28 .57% 33 .16% 22 .83% 12 .36% 3 .60% 46 .02% 22 .25% 13 .54% 26 .34% 11.17% -28 .92% 34 .47% 28 .07% 6 .70%Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russell
1000 1000 Wilshire 1000 2000 Agg Agg 2000 1000 2000 2000 1000 2000 2000Value Value REIT Growth Value Bond Bond Value Value Value Growth Value Value Value13 .81% 18 .12% 2 .66% 37.19% 22 .94% 31.78% 20 .33% 27.30% 11.63% 8 .44% -11.42% 39 .16% 20 .25% 7.05% 23 .48% 7.05% -36 .85% 31.78% 24 .50% 6 .60%
Russell DJ Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell Barclays DJ Russell Russell 2000 Wilshire 2000 1000 1000 1000 1000 1000 1000 Wilshire 1000 1000 1000 Agg Wilshire 1000 1000
Growth REIT Growth Value Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth Value7.77% 15.14% 1.31% 31.04% 21.64% 30 .49% 15.63% 21.04% 7.01% -5.59% -15.52% 36 .06% 16 .49% 5.26% 22 .25% 6 .97% -37.00% 28 .46% 16 .71% 6 .46%
Russell Russell Russell Russell DJ Barclays Russell Russell Russell Russell Russell Russell Russell 2000 2000 2000 2000 Wilshire Agg 1000 2000 1000 2000 1000 1000 1000
Growth Value Value Value REIT Bond Value Growth Value Growth Growth Value Growth7.62% 13 .37% -1.55% 25.75% 21.37% 19 .67% 8.67% 7.35% -9 .10% -9 .22% -15.94% 30 .03% 14 .31% 4 .91% 15.79% 5.49% -38 .44% 26 .46% 15.51% 6 .03%
Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell Russell Agg 1000 Agg 2000 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000
Bond Value Bond Growth Growth Growth REIT Growth Value Growth Value Growth Value7.40% 10 .06% -1.99% 18 .48% 11.26% 12 .95% 1.23% -2 .57% -13 .96% -11.88% -22 .09% 29 .76% 10 .87% 4 .71% 13 .35% -0 .17% -38 .54% 20 .58% 15.06% 5.92%
Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell 1000 Agg 2000 Wilshire Agg 2000 Agg 1000 1000 1000 1000 2000 1000 2000 Wilshire 1000
Growth Bond Growth REIT Bond Value Bond Growth Growth Growth Growth Growth Growth Value REIT Value5.00% 9 .75% -2 .44% 12 .24% 6 .36% 9 .68% -6 .46% -0 .83% -22 .42% -20 .42% -27.89% 28 .67% 6 .30% 4 .15% 9 .07% -9 .78% -39 .20% 19 .69% 7.75% 3 .37%
Russell Barclays Barclays DJ Russell Russell Russell Barclays Barclays Barclays Barclays DJ Barclays Barclays Barclays1000 Agg Agg Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg Agg
WOR S T Growth Bond Bond REIT Value Growth Growth Bond Bond Bond Bond REIT Bond Bond Bond-11.85% 2 .90% -2 .92% 11.55% 3 .61% 2 .06% -17.00% -1.49% -22 .43% -22 .00% -30 .27% 4 .11% 4 .34% 2 .43% 4.33% -17.56% -45.09% 5.93% 6 .54% 0 .42%
S&P 500
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
MSCI EAFE
S&P 500
S&P 500
S&P 500
MSCI EAFE
MSCI EAFE
S&P 500
S&P 500
S&P 500
MSCI EAFE
MSCI EAFE
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
S&P 500
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
MSCI EAFE
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
MSCI EAFE
S&P 500
MSCI EAFE
S&P 500
MSCI EAFE
MSCI EAFE
MSCI EAFE
S&P 500
13
Equity vs. Fixed
-60
-40
-20
0
20
40
60
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Equity vs. Fixed Mean 1 Standard Deviation 2 Standard Deviations
Equity Outperforming
Fixed Outperforming
Domestic vs. Foreign
-60
-40
-20
0
20
40
60
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Domestic vs. Foreign Mean 1 Standard Deviation 2 Standard Deviations
Foreign Outperforming
Domestic Outperforming
CAPITAL MARKETS REVIEW – MARCH 31, 2011RELATIVE 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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Aug '82 –DJIA 776
Black Monday - Oct '87
Asian Crisis
Invasion of Iraq
14
CAPITAL MARKETS REVIEW – MARCH 31, 2011RELATIVE 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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Large vs. Small
-60
-40
-20
0
20
40
60
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Large vs. Small Mean 1 Standard Deviation 2 Standard Deviations
Large Outperforming
Small Outperforming
Large Value vs. Large Growth
-60
-40
-20
0
20
40
60
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Large Value vs. Large Growth Mean 1 Std Deviation 2 Std Deviations
Value Outperforming
Growth Outperforming
15
CAPITAL MARKETS REVIEW – MARCH 31, 2011RELATIVE 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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Small Value vs. Small Growth
-60
-40
-20
0
20
40
60
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Small Value vs. Small Growth Mean 1 Standard Deviation 2 Standard Deviations
Value Outperforming
Growth Outperforming
Equity vs. REIT
-80
-60
-40
-20
0
20
40
60
80
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Equity vs. REIT Mean 1 Standard Deviation 2 Standard Deviations
Equity Outperforming
REIT Outperforming
16
CAPITAL MARKETS REVIEW – MARCH 31, 2011RELATIVE 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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Fixed Income vs. REIT
-120
-80
-40
0
40
80
120
12/7
9 - 1
2/80
12/8
0 - 1
2/81
12/8
1 - 1
2/82
12/8
2 - 1
2/83
12/8
3 - 1
2/84
12/8
4 - 1
2/85
12/8
5 - 1
2/86
12/8
6 - 1
2/87
12/8
7 - 1
2/88
12/8
8 - 1
2/89
12/8
9 - 1
2/90
12/9
0 - 1
2/91
12/9
1 - 1
2/92
12/9
2 - 1
2/93
12/9
3 - 1
2/94
12/9
4 - 1
2/95
12/9
5 - 1
2/96
12/9
6 - 1
2/97
12/9
7 - 1
2/98
12/9
8 - 1
2/99
12/9
9 - 1
2/00
12/0
0 - 1
2/01
12/0
1 - 1
2/02
12/0
2 - 1
2/03
12/0
3 - 1
2/04
12/0
4 - 1
2/05
12/0
5 - 1
2/06
12/0
6 - 1
2/07
12/0
7 - 1
2/08
12/0
8 - 1
2/09
12/0
9 - 1
2/10
Fixed Income vs. REIT Mean 1 Standard Deviation 2 Standard Deviations
Fixed Income Outperforming
REIT Outperforming
17
FIRM: Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE.
CONFLICTS OF INTEREST: To review important information about certain relationships and potential conflicts of interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned in this report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosures or call your Financial Advisor.
STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and are subject to change without notice. The report herein is not a complete analysis of every material fact in respect to any company, industry or security. Any market prices are only indications of market values and are subject to change. The material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any security or instrument or to participate in any trading strategy. Additional information is available upon request.
ASSET CLASS SUITABILITY: Stocks of small companies are typically more volatile than stocks of larger companies. They often involve higher risks because they may lack the management expertise, financial resources, product diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest payments. Global/International investing involves risks not typically associated with US investing, including currency fluctuations, political instability, uncertain economic conditions and different accounting standards.
PAST PERFORMANCE: Past performance is not an indication of future results.
ASSET CLASS PERFORMANCE REPRESENTATIONS: Long Term Treasuries = BC Treasury Long; Municipals = BC Municipal; Foreign Bonds = Salomon World BIG – IB; US Govt/Credit = BC Govt/Credit; Mtge Backed Securities = ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks = RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks = RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US Growth = RU 2000 Growth
BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE
DATA SOURCES: Information found in this document was derived from the following sources: Zephyr Associates StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, and Standard & Poor’s.
CAPITAL MARKETS REVIEW – MARCH 31, 2011GENERAL DISCLOSURE STATEMENT
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.
18
CAPITAL MARKETS REVIEW – MARCH 31, 2011GENERAL DISCLOSURE STATEMENT
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 that are listed on the NASDAQ Stock Market (National Association of Securities Dealers Automated Quotation 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 nor the most expensive stocks traded in the U.S. 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 U.S. market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total return basis with dividends reinvested.
S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 with lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the S&P 500.
S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to-price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than the S&P 500.
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-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Value 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-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth Index.
Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and it represents over 35% of the Russell 1000 total market cap.
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-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index.
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-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index.
Russell 2500 - The index consisting 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, and it represents over 22% of the Russell 3000 total market cap.
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.
19
CAPITAL MARKETS REVIEW – MARCH 31, 2011GENERAL DISCLOSURE STATEMENT
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 if which are created separately.
MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world. It is created by aggregating the 22 different country indexes, all if which are created separately.
MSCI Emerging Markets Free (EMF) - A market capitalization-weighted index representing 26 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 if which are created separately.
Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bond and the Barclays Capital Credit Bond indices.
Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index with maturities of 1 and 10 years.
Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital 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 one year to maturity, and have an outstanding par value of at least $100 million.
Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index with maturities of 10 years or greater.
Barclays Capital Municipal Bond - This market cap 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.
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 one year. The coupon range must be equal to or greater than zero and all quality 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 High Yield Master - Market-cap 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 Jones Wilshire REIT Index - 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 using buy and hold methodology; it is rebalanced monthly.
Citigroup 3 Month Treasury Bill - Representing the monthly return equivalents of yield averages that are not marked to market, this index is an average of the last three three-month Treasury bill issues.
50/50 Blend (S&P 500/BCIGC) – A blended benchmark consisting of 50% S&P 500 and 50% Barclays Capital Government/Credit Intermediate 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.
20
City of Ft. Lauderdale Police and FireAsset Allocation vs Target & Policy
Total Fund CompositeAs of 3/31/11
Manager
Market
Value
Actual %
Target %
Systematic Financial Management
Intech Large Core
Rhumbline Large Cap Fund
Sawgrass
Lee Munder Small Cap Value
NorthPointe Small Cap Growth
Total Domestic Equity
Agincourt
Mellon Aggregate Bond Index Fund
SSgA Passive Bond Index Fund
Transition Account
Total Domestic Fixed Income
Cash
Total Short Term
Artio IE II Group Trust
Thornburg
Total International Equity
American Stable Value Fd Am Realty
Prudential RE Investors PRISA II
Total Real Estate
K2 Advisors Long/Short
Total Special Investments
Total Fund Composite
35,336,920.70
22,259,117.70
36,411,200.47
32,242,592.33
29,207,205.20
30,567,659.84
186,024,696.24
80,754,483.87
5,184.75
0.00
50,065,247.80
130,824,916.42
24,747,401.44
24,747,401.44
29,748,938.16
33,041,089.89
62,790,028.05
20,037,762.84
11,635,527.31
31,673,290.15
44,206,900.88
44,206,900.88
480,267,233.18
7.36
4.63
7.58
6.71
6.08
6.36
38.73
16.81
0.00
0.00
10.42
27.24
5.15
5.15
6.19
6.88
13.07
4.17
2.42
6.59
9.20
9.20
100.00
6.25
6.25
6.25
6.25
5.00
5.00
35.00
20.00
0.00
0.00
10.00
30.00
0.00
0.00
7.50
7.50
15.00
6.67
3.33
10.00
10.00
10.00
100.00
21
City of Ft. Lauderdale Police and FireSources of Fund Growth
Total Fund Composite12/31/10 - 3/31/11
Manager Name
Beginning
Value
$(000)
Net
Contrib
$(000)
Invest
Fees
$(000)
Invest
Gain/Loss
$(000)
Ending
Value
$(000)
Net of
Fees
Return(%)
Systematic Financial Management
Intech Large Core
Rhumbline Large Cap Fund
Sawgrass
Lee Munder Small Cap Value
NorthPointe Small Cap Growth
Managed Equity
Agincourt
Mellon Aggregate Bond Index Fund
SSgA Passive Bond Index Fund
Transition Account
Managed Fixed
Cash
Managed Short Term
Artio IE II Group Trust
Thornburg
International Equity Composite
American Stable Value Fd Am Realty
Prudential RE Investors PRISA II
Real Estate Composite
K2 Advisors Long/Short
Special Investments
Total Fund Composite
37,396
26,915
41,073
33,515
27,861
28,121
194,881
80,168
12,933
36,988
0
130,089
11,732
11,732
29,143
31,714
60,858
19,217
11,028
30,245
43,460
43,460
471,264
-4,500
-6,300
-7,000
-3,500
0
0
-21,300
0
-12,967
-37,248
50,215
0
13,011
13,011
0
0
0
43
0
43
0
0
-8,246
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
61
61
41
0
41
0
0
101
2,441
1,644
2,338
2,228
1,346
2,447
12,444
587
40
260
-150
736
4
4
606
1,388
1,993
819
608
1,427
747
747
17,351
35,337
22,259
36,411
32,243
29,207
30,568
186,025
80,754
5
0
50,065
130,825
24,747
24,747
29,749
33,041
62,790
20,038
11,636
31,673
44,207
44,207
480,267
6.54
6.34
5.76
6.68
4.83
8.70
0.73
0.31
0.80
NA
0.03
2.08
4.18
3.18
4.04
5.51
4.58
1.72
3.71
22
City of Ft. Lauderdale Police and FireExecutive Summary Table
Periods Ending March 31, 2011Net of Fee Return
Name
Value
$(000)
% of
Fund
Periods Ending 3/31/11
Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs
Since Inception
Ret Date
Total Fund Composite
Policy Index
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 Cap Composite
Lee Munder Small Cap Value
Russell 2000 Value
NorthPointe Small Cap Growth
Russell 2000 Growth
International Equity Composite
Artio IE II Group Trust
MSCI EAFE (Net)
Thornburg
MSCI EAFE (Net)
Total Domestic Fixed Income
Agincourt
Barclays U.S. Aggregate
Mellon Aggregate Bond Index Fund
Barclays U.S. Aggregate
SSgA Passive Bond Index Fund
Barclays U.S. Aggregate
Transition Account
Real Estate Composite
American Stable Value Fd Am Realty
NCREIF Prop Index
Prudential RE Investors PRISA II
NCREIF Prop Index
Cash
Citigroup 3-month T-Bill
480,267
126,250
22,259
36,411
32,243
35,337
59,775
29,207
30,568
62,790
29,749
33,041
80,760
80,754
5
0
50,065
31,673
20,038
11,636
24,747
100.0
26.3
4.6
7.6
6.7
7.4
12.4
6.1
6.4
13.1
6.2
6.9
16.8
16.8
0.0
0.0
10.4
6.6
4.2
2.4
5.2
3.71
3.83
6.31
6.34
5.92
5.76
5.92
6.68
6.02
6.54
6.46
6.77
4.83
6.59
8.70
9.24
3.18
2.08
3.36
4.18
3.36
0.69
0.73
0.42
0.31
0.42
0.80
0.42
4.58
4.04
3.36
5.51
3.36
0.03
0.04
10.29
10.54
17.40
17.06
17.32
16.99
17.32
14.61
18.57
20.78
17.68
28.49
19.80
22.97
38.06
27.92
10.60
8.50
10.20
12.56
10.20
-0.65
-0.63
-0.88
-1.09
-0.88
-0.45
-0.88
9.41
7.66
8.14
12.55
8.14
-0.15
0.07
18.76
20.13
30.40
30.43
30.57
30.15
30.57
25.75
33.99
35.48
29.60
42.48
34.86
34.92
50.61
44.33
27.22
25.39
28.35
28.93
28.35
2.14
2.45
1.57
1.11
1.57
1.98
1.57
15.43
12.58
12.31
20.69
12.31
-0.11
0.11
12.67
13.27
15.68
16.53
15.64
15.34
15.64
13.60
18.25
17.40
15.16
28.72
21.07
20.63
36.99
31.03
13.63
10.19
10.42
16.94
10.42
5.81
6.18
5.12
4.63
5.12
5.58
5.12
21.01
16.25
16.03
30.62
16.03
-0.06
0.15
3.61
3.36
2.82
2.96
2.36
2.49
2.36
3.01
5.19
2.68
0.61
9.99
11.65
6.76
7.24
10.16
-1.66
-4.16
-3.01
0.88
-3.01
6.11
6.45
5.30
5.03
5.30
-10.44
-9.10
-3.63
-15.26
-3.63
1.68
0.47
3.74
3.95
2.95
2.63
2.74
2.63
3.19
1.37
3.77
6.39
6.44
6.02
5.90
6.02
2.73
7.42
7.16
0.88
5.72
4.46
7.47
7.34
1.54
3.67
9.67
7.01
4.83
7.39
0.80
0.33
5.18
3.83
-6.61
-6.05
-2.62
-6.05
5.45
6.28
5.97
5.56
5.64
5.58
5.12
-6.48
-5.34
-0.78
-11.41
-0.78
2.78
9/30/95
9/30/95
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
11/30/06
11/30/06
11/30/06
11/30/06
11/30/00
11/30/07
11/30/07
11/30/07
11/30/07
5/31/05
12/31/95
12/31/95
5/31/01
5/31/01
3/31/10
3/31/10
6/30/07
7/31/07
7/31/07
7/31/07
7/31/07
1/31/06
1/31/06
23
City of Ft. Lauderdale Police and FireExecutive Summary Table
Periods Ending March 31, 2011Net of Fee Return
Name
Value
$(000)
% of
Fund
Periods Ending 3/31/11
Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs
Since Inception
Ret Date
K2 Advisors Long/Short
Standard & Poors 500
44,207 9.2 1.72
5.92
6.42
17.32
10.44
30.57
5.18
15.64
0.65
0.77
4/30/08
4/30/08
24
City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of Total Fund Public SponsorsPeriods Ending 3/11
High1st QtMedian3rd QtLow
Total Fund Composite Net Ret Rank1 Policy Index Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
Last 5Years
Last 6Years
Last 7Years
Last 8Years
Last 9Years
Last 10Years
4.914.233.602.991.46
3.7144
3.83
41
15.5214.2812.7411.069.10
12.6751
13.27
42
27.8123.3921.0817.7513.15
19.5667
21.06
51
6.334.984.193.200.86
3.6165
3.36
71
5.464.263.372.350.53
2.3872
2.55
69
6.135.264.583.872.54
3.7477
3.95
72
7.096.145.695.094.03
5.0378
4.60
89
7.026.115.735.194.26
5.1975
4.59
91
9.548.477.897.115.98
7.1872
6.71
85
7.426.385.855.194.72
5.0981
4.59
95
7.156.205.565.054.35
5.0475
4.42
92
0%
5%
10%
15%
20%
25%
30%
1
1
1
1 11 1 1
1
1 1
25
City of Ft. Lauderdale Police and Fire Calendar Year Performance ComparisonTotal Returns of Total Fund Public Sponsors
Years Ending December
High1st QtMedian3rd QtLow
Total Fund Composite Net Ret Rank1 Policy Index Net Ret Rank
3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
4.914.233.602.991.46
3.7144
3.83
41
17.2413.9712.6711.239.33
12.3354
12.92
42
27.3721.6019.1115.609.61
15.1378
15.86
73
-9.71-20.20-24.04-27.21-30.38
-22.0836
-22.66
40
10.778.697.526.384.36
7.3854
6.30
76
16.3214.0512.0810.286.63
10.6671
11.14
65
10.348.116.525.333.91
6.8144
3.93
94
13.9111.799.908.405.70
10.4240
8.35
75
26.0422.5619.7217.0411.34
18.0166
18.64
59
1.58-5.91-8.28-9.76
-12.76
-8.6859
-9.50
72
4.40-0.68-2.68-4.76-8.99
-2.2742
-3.34
58
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
1
11
1
1
1
11
1
1
1
26
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Total Fund Public Sponsors
Ann
ualiz
ed R
ate
of R
etur
n
2.0 4.6 7.2 9.8 12.4 15.0 17.6 20.2 22.8 25.4 28.00.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
8.0
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
Total Fund Composite1 Policy Index
Median
3.61 65 13.75 363.36 71 15.10 484.19 15.17
Ann
ualiz
ed R
ate
of R
etur
n
2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.02.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
5 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
Total Fund Composite1 Policy Index
Median
3.74 77 11.29 373.95 72 12.18 454.58 12.33
27
City of Ft. Lauderdale Police and FireRisk Measure Summary
Total Fund CompositeQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
0.930.900.75
-5.137.68
12.7212.72
13
-5.718.68
13.2713.27
57
0.920.900.58
-11.3310.07
-22.1826.8813.760.910.111.000.233.431.660.04
57
-12.6111.10
-24.6429.3815.10
0.19
812
0.940.950.60
-11.3310.07
-22.1826.8811.290.92
-0.030.990.141.661.64
-0.18
812
-12.6111.10
-24.6429.3812.18
0.14
1844
0.980.920.71
-11.3314.12
-22.1833.5710.200.950.110.960.404.272.040.09
1844
-12.6112.93
-24.6432.8610.55
0.36
28
City of Ft. Lauderdale Police and FireIntech Large Core as of 3/31/11
Exxon Mobil Corp At&T Inc Apple Computer Inc Intl Business McHn Chevron Corp General Elec Co Johnson & Johnson Procter & Gamble Co Microsoft Corp Coca Cola Co
GICS Sector % Port
EnergyTelecom Services
Information TechnologyInformation Technology
EnergyIndustrials
Health CareConsumer Staples
Information TechnologyConsumer Staples
3.312.332.211.771.731.631.391.341.221.14
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities
% Port
11.136.60
12.8113.7811.276.559.93
17.604.525.80
-2.00.02.04.06.08.0
10.012.014.016.018.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 3/31/04
Intech Large Core Standard & Poors 500
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/04
Intech Large Core
Standard & Poors 500
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
6.34
5.92
26,915
-6,300
1,644
22,259
6.34
5.92
26,915
-6,300
1,644
22,259
16.53
15.64
24,561
-6,300
3,998
22,259
2.96
2.36
44,980
-23,829
1,108
22,259
2.95
2.63
40,747
-21,419
2,931
22,259
5.72
4.46
33,478
-23,426
12,206
22,259
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
29
City of Ft. Lauderdale Police and FireIntech Large Core as of 3/31/11
Cash & Equiv$116 0.52%
Domestic Equity$22,144 99.48%
Periods from 3/04 to 3/11AlphaBetaR-Squared
0.320.970.99
Ann
ualiz
ed R
etur
n%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.02.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0i
1
T
Annualized Standard Deviation%
i Intech Large Core1 Standard & Poors 500 T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
5.72 4.46 2.33
16.50 16.99 0.98
0.21 0.13 0.00
0.57
Asset Allocation ($000)
Risk/Return Analysis
30
City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow i Intech Large Core Net Ret Rank1 Standard & Poors 500 Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
Last 5Years
Last 6Years
Last 7Years
7.616.385.935.883.09
6.3431
5.92
55
20.7117.0715.6314.6811.31
16.5331
15.64
49
37.1633.1431.6731.3126.95
31.7243
31.59
66
6.913.752.572.401.13
2.9640
2.36
80
4.381.390.590.47
-1.17
0.8242
0.45
77
5.903.262.702.641.74
2.9538
2.63
78
6.745.054.234.103.68
4.7536
4.09
84
7.105.744.824.474.22
5.7227
4.46
85
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
i 1
i 1
i 1
i 1i 1
i 1i 1
i 1
31
City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow i Intech Large Core Net Ret Rank1 Standard & Poors 500 Net Ret Rank
3/31/11YTD 2010 2009 2008 2007 2006 2005
7.616.385.935.883.09
6.3431
5.92
55
20.2116.6415.0914.5111.23
15.7732
15.05
62
38.9329.4426.7026.2918.60
25.4979
26.45
71
-27.87-35.51-36.93-37.21-42.02
-36.6036
-36.99
68
12.445.915.515.01
-0.20
7.6112
5.52
49
20.5016.4815.8015.6011.42
14.8484
15.81
49
12.809.095.044.883.44
9.2423
4.89
74
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
i 1
i 1
i 1
i 1
i 1
i 1i1
32
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
19.0 20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0 28.0 29.0-2.0
-1.1
-0.2
0.6
1.5
2.5
3.4
4.3
5.2
6.1
7.0
i1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
i Intech Large Core1 Standard & Poors 500
Median
2.96 40 23.75 222.36 80 24.36 522.57 24.35
Ann
ualiz
ed R
ate
of R
etur
n
16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.00.5
0.9
1.4
1.8
2.3
2.7
3.2
3.6
4.1
4.5
4.9
i1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
5 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
i Intech Large Core1 Standard & Poors 500
Median
2.95 38 19.16 172.63 78 19.73 442.70 19.73
33
City of Ft. Lauderdale Police and FireRisk Measure Summary
Intech Large CoreQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.000.930.75
-10.6611.4116.5316.53
13
-11.4311.30
57
0.990.970.58
-21.6215.35
-37.0848.8923.750.970.141.000.102.521.070.43
57
-21.9315.93
24.36
0.08
812
0.970.950.60
-21.6215.35
-37.0848.8919.160.970.070.990.040.752.050.09
812
-21.9315.93
19.73
0.02
919
1.010.910.64
-21.6215.35
-37.0848.8916.500.970.320.990.213.521.990.57
1018
-21.9315.93
16.99
0.13
34
City of Ft. Lauderdale Police and FireEquity Summary Statistics
Intech Large CorePeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Standard & Poors 500
36522,143,53174,816,77113,433,559
1.9717.8018.471.002.46
52.165.76
500
93,108,41211,907,412
1.8917.0817.851.002.22
47.884.30
Ten Largest Holdings
Exxon Mobil Corp At&T Inc Apple Computer Inc Intl Business McHn Chevron Corp General Elec Co Johnson & Johnson Procter & Gamble Co Microsoft Corp Coca Cola Co
Market Value % of Portfolio Quarterly Ret
731,931514,600487,830391,368382,343360,900308,100295,680268,816252,130
3.312.332.211.771.731.631.391.341.221.14
15.675.698.03
11.5518.6110.37-3.34-3.54-8.631.61
Ten Best Performers
Marathon Oil Corp Jds Uniphase Corp Helmerich & Payne InNetflix Com Inc Rockwell Automation Cbs Corp El Paso Corp Whole Foods Mkt Inc Cb Richard Ellis GroDiscover Finl Svcs
Quarterly Ret
44.7043.9241.8335.0832.5231.7230.8930.5330.3730.17
Ten Worst Performers
American Intl Group F5 Networks Inc Akamai Technologies Target Corp Motorola Mobility HlCisco Sys Inc Marriott Intl Inc NeFrontier CommunicatiComerica Inc Netapp Inc
Quarterly Ret
-27.32-21.20-19.23-16.44-16.15-14.93-14.15-13.52-12.85-12.34
35
City of Ft. Lauderdale Police and FireEquity Contribution to Return
Intech Large CorePeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Standard & Poors 500
36522,143,53174,816,77113,433,559
1.9717.8018.471.002.46
52.165.76
500
93,108,41211,907,412
1.8917.0817.851.002.22
47.884.30
Ten Best Contributors
Exxon Mobil Corp Chevron Corp Intl Business McHn Apple Computer Inc General Elec Co Rockwell Automation Marathon Oil Corp Conocophillips Deere & Co At&T Inc
Market Value % of Portfolio Quarterly Ret
731,931382,343391,368487,830360,900113,58069,303
165,710174,402514,600
3.311.731.772.211.630.510.310.750.792.33
15.6718.6111.558.03
10.3732.5244.7018.2917.105.69
Ten Worst Contributors
Cisco Sys Inc Microsoft Corp Netapp Inc Ford Mtr Co Del Qwest CommunicationsAkamai Technologies F5 Networks Inc Merck & Co Inc New Procter & Gamble Co Johnson & Johnson
Market Value % of Portfolio Quarterly Ret
217,805268,816168,630152,082183,04483,60061,542
171,718295,680308,100
0.981.220.760.690.830.380.280.781.341.39
-14.93-8.63
-12.34-11.20-9.23
-19.23-21.20-7.34-3.54-3.34
36
City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
Intech Large CoreQuarter Ending 3/11
GICS Sectors
WeightPortfolio Index
ReturnPortfolio Index
SelectionStock Sector Total
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom. ServicesUtilities
9.453.87
13.1412.5212.6210.7510.9716.903.785.99
100.00
11.963.72
10.8810.5710.5710.8415.9719.133.093.28
100.00
17.299.418.805.203.716.944.102.062.886.23
6.30
16.734.538.724.712.475.653.043.664.872.81
5.92
0.050.190.010.060.160.140.12
-0.27-0.080.21
0.59
-0.27-0.000.06
-0.02-0.070.000.140.05
-0.01-0.08
-0.20
-0.220.190.070.040.090.140.26
-0.22-0.080.12
0.38
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 0.15%
[ Actual Return 6.45% ] - [ Buy Hold Return 6.30% ]
37
City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
Intech Large CoreQuarter Ending 3/11
% Allocation
Energy 9.45 11.96
Materials 3.87 3.72
Industrials 13.14 10.88
Con. Discretionary 12.52 10.57
Consumer Staples 12.62 10.57
Health Care 10.75 10.84
Financials 10.97 15.97
Infomation Tech. 16.90 19.13
Telecom. Services 3.78 3.09
Utilities 5.99 3.28
Intech Large Core Standard & Poors 500
% Return
17.29 16.73
9.41 4.53
8.80 8.72
5.20 4.71
3.71 2.47
6.94 5.65
4.10 3.04
2.06 3.66
2.88 4.87
6.23 2.81
% Variance
-0.22
0.19
0.07
0.04
0.09
0.14
0.26
-0.22
-0.08
0.12
38
City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 3/31/11
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 9/30/95
Rhumbline Large Cap Fund Standard & Poors 500
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
9/30/95
Rhumbline Large Cap Fund
Standard & Poors 500
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
5.76
5.92
41,073
-7,000
2,338
36,411
5.76
5.92
41,073
-7,000
2,338
36,411
15.34
15.64
26,484
4,400
5,528
36,411
2.49
2.36
44,965
-11,411
2,857
36,411
2.74
2.63
38,716
-6,686
4,381
36,411
3.38
3.29
17,596
4,343
14,472
36,411
7.47
7.34
8,000
18,417
9,995
36,411
Portfolio Performance (%)
39
City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 3/31/11
Cash & Equiv$13 0.04%
Domestic Equity$36,398 99.96%
Periods from 9/95 to 3/11AlphaBetaR-Squared
0.040.991.00
Ann
ualiz
ed R
etur
n%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.03.03.54.04.55.05.56.06.57.07.58.0
l1
T
Annualized Standard Deviation%
l Rhumbline Large Cap Fund1 Standard & Poors 500 T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
7.47 7.34 3.36
17.64 17.89 1.04
0.23 0.22 0.00
0.11
Asset Allocation ($000)
Risk/Return Analysis
40
City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow l Rhumbline Large Cap Fund Net Ret Rank1 Standard & Poors 500 Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
Last 5Years
Last 6Years
Last 7Years
Last 8Years
Last 9Years
Last 10Years
7.616.385.935.883.09
5.7679
5.92
55
20.7117.0715.6314.6811.31
15.3469
15.64
49
37.1633.1431.6731.3126.95
31.3972
31.59
66
6.913.752.572.401.13
2.4953
2.36
80
4.381.390.590.47
-1.17
0.5850
0.45
77
5.903.262.702.641.74
2.7448
2.63
78
6.745.054.234.103.68
4.1954
4.09
84
7.105.744.824.474.22
4.5457
4.46
85
11.379.428.407.887.43
7.9459
7.87
80
7.065.094.113.663.47
3.7260
3.64
85
7.824.603.673.313.19
3.3858
3.29
83
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
l1
l1
l1
l1l1
l1l1 l1
l1
l1 l1
41
City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow l Rhumbline Large Cap Fund Net Ret Rank1 Standard & Poors 500 Net Ret Rank
3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
7.616.385.935.883.09
5.7679
5.92
55
20.2116.6415.0914.5111.23
14.9367
15.05
62
38.9329.4426.7026.2918.60
26.5170
26.45
71
-27.87-35.51-36.93-37.21-42.02
-36.5635
-36.99
68
12.445.915.515.01
-0.20
5.6034
5.52
49
20.5016.4815.8015.6011.42
15.8638
15.81
49
12.809.095.044.883.44
4.9073
4.89
74
19.9712.8410.9310.828.16
10.8571
10.87
66
39.4931.4828.7328.5924.60
28.5975
28.69
57
-11.66-20.66-22.00-22.08-23.79
-21.9244
-22.12
83
8.89-6.89
-11.77-11.93-12.38
-11.6848
-11.88
66
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
l1
l1
l1
l1
l1
l1
l1l1
l1
l1
l1
42
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
19.0 20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0 28.0 29.0-2.0
-1.1
-0.2
0.6
1.5
2.5
3.4
4.3
5.2
6.1
7.0
l1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
l Rhumbline Large Cap Fund1 Standard & Poors 500
Median
2.49 53 24.14 312.36 80 24.36 522.57 24.35
Ann
ualiz
ed R
ate
of R
etur
n
16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.00.5
0.9
1.4
1.8
2.3
2.7
3.2
3.6
4.1
4.5
4.9
l1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
5 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
l Rhumbline Large Cap Fund1 Standard & Poors 500
Median
2.74 48 19.57 252.63 78 19.73 442.70 19.73
43
City of Ft. Lauderdale Police and FireRisk Measure SummaryRhumbline Large Cap Fund
Quarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
0.991.000.75
-11.3811.2515.3415.34
13
-11.4311.30
57
0.990.990.58
-21.6215.88
-37.6449.6824.140.990.031.000.082.000.260.30
57
-21.9315.93
24.36
0.08
812
1.000.990.60
-21.6215.88
-37.6449.6819.570.990.021.000.030.530.200.38
812
-21.9315.93
19.73
0.02
2042
0.990.980.68
-21.6221.07
-37.6449.6817.640.990.041.000.234.160.680.11
2042
-21.9321.32
17.89
0.22
44
City of Ft. Lauderdale Police and FireSawgrass as of 3/31/11
Intl Business McHn Exxon Mobil Corp Apple Computer Inc Google Inc Microsoft Corp Abbott Labs McDonalds Corp Directv Wal Mart Stores Inc Oracle Systems Corp
GICS Sector % Port
Information TechnologyEnergy
Information TechnologyInformation TechnologyInformation Technology
Health CareConsumer DiscretionaryConsumer Discretionary
Consumer StaplesInformation Technology
5.104.574.103.693.523.463.203.113.072.94
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities
% Port
12.112.41
14.8515.578.54
10.955.38
30.200.000.00
-2.00.02.04.06.08.0
10.012.014.016.018.020.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 3/31/07
Sawgrass Russell 1000 Growth
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/07
Sawgrass
Russell 1000 Growth
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
6.68
6.02
33,515
-3,500
2,228
32,243
6.68
6.02
33,515
-3,500
2,228
32,243
13.60
18.25
39,471
-11,000
3,771
32,243
3.01
5.19
55,601
-25,955
2,596
32,243
1.54
3.67
51,428
-19,955
770
32,243
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
45
City of Ft. Lauderdale Police and FireSawgrass as of 3/31/11
Cash & Equiv$1,205 3.74%
Domestic Equity$31,038 96.26%
Periods from 3/07 to 3/11AlphaBetaR-Squared
-0.500.840.97
Ann
ualiz
ed R
etur
n%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.01.41.61.82.02.22.42.62.83.03.23.43.63.8
s
1
T
Annualized Standard Deviation%
s Sawgrass1 Russell 1000 Growth T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
1.54 3.67 1.52
19.04 22.22 0.97
0.00 0.10 0.00
-0.57
Asset Allocation ($000)
Risk/Return Analysis
46
City of Ft. Lauderdale Police and FireLarge Growth Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow s Sawgrass Net Ret Rank1 Russell 1000 Growth Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
8.336.715.864.732.79
6.6825
6.02
45
26.5919.9517.2313.847.33
13.6077
18.25
37
40.4033.4830.4528.7824.86
26.1889
33.07
32
8.885.833.912.40
-0.28
3.0165
5.19
32
7.324.863.211.98
-0.09
1.5479
3.67
45
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
s 1
s
1
s
1
s1
s1
47
City of Ft. Lauderdale Police and FireLarge Growth Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow s Sawgrass Net Ret Rank1 Russell 1000 Growth Net Ret Rank
3/31/11YTD 2010 2009 2008
8.336.715.864.732.79
6.6825
6.02
45
26.4518.6915.5012.657.14
10.6986
16.72
43
54.2639.3834.4329.6820.58
28.8877
37.21
33
-29.47-35.21-38.55-42.41-49.09
-36.3733
-38.44
49
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
s 1s
1
s1
s 1
48
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Growth Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
s
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
s Sawgrass1 Russell 1000 Growth
Median
3.01 65 20.59 35.19 32 24.65 513.91 24.66
49
City of Ft. Lauderdale Police and FireRisk Measure Summary
SawgrassQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
0.760.820.75
-9.669.72
13.6013.60
13
-11.7413.00
57
0.750.870.67
-21.1213.15
-31.3540.1520.590.82
-0.420.970.123.035.47
-0.56
48
-22.7916.32
24.65
0.19
79
0.780.910.63
-21.1213.15
-36.3740.1519.040.84
-0.500.970.000.024.96
-0.57
610
-22.7916.32
22.22
0.10
50
City of Ft. Lauderdale Police and FireEquity Summary Statistics
SawgrassPeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Growth
4031,037,815
103,407,91840,544,309
1.4317.3419.150.873.97
36.6013.08
626
91,252,4826,491,236
1.4318.6619.831.003.74
38.159.64
Ten Largest Holdings
Intl Business McHn Exxon Mobil Corp Apple Computer Inc Google Inc Microsoft Corp Abbott Labs McDonalds Corp Directv Wal Mart Stores Inc Oracle Systems Corp
Market Value % of Portfolio Quarterly Ret
1,581,7791,417,5911,271,8431,143,1101,090,4801,073,705
992,975964,080952,515911,001
5.104.574.103.693.523.463.203.113.072.94
11.5515.678.03
-1.31-8.633.33
-0.0617.21-3.496.78
Ten Best Performers
Halliburton Co CSX Corp Chevron Corp Directv E M C Corp Mass Exxon Mobil Corp Starbucks Corp Dover Corp Ross Stores Inc TJX Cos Inc New
Quarterly Ret
22.3022.0918.6117.2115.9415.6715.4612.9612.7912.37
Ten Worst Performers
Microsoft Corp Aflac Inc Wal Mart Stores Inc Intel Corp Celgene Corp Hewlett Packard Co Google Inc McDonalds Corp Thermo Fisher ScientCostco Whsl Corp New
Quarterly Ret
-8.63-5.98-3.49-3.28-2.72-2.50-1.31-0.060.341.82
51
City of Ft. Lauderdale Police and FireEquity Contribution to Return
SawgrassPeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Growth
4031,037,815
103,407,91840,544,309
1.4317.3419.150.873.97
36.6013.08
626
91,252,4826,491,236
1.4318.6619.831.003.74
38.159.64
Ten Best Contributors
Exxon Mobil Corp Intl Business McHn CSX Corp Directv Halliburton Co Chevron Corp E M C Corp Mass Apple Computer Inc Starbucks Corp Dover Corp
Market Value % of Portfolio Quarterly Ret
1,417,5911,581,779
774,210964,080707,728794,982809,775
1,271,843655,863709,992
4.575.102.503.112.282.562.614.102.112.29
15.6711.5522.0917.2122.3018.6115.948.03
15.4612.96
Ten Worst Contributors
Microsoft Corp Aflac Inc Wal Mart Stores Inc Celgene Corp Hewlett Packard Co Google Inc Intel Corp McDonalds Corp Thermo Fisher ScientCostco Whsl Corp New
Market Value % of Portfolio Quarterly Ret
1,090,480849,230952,515716,249737,460
1,143,110294,482992,975738,815454,584
3.522.743.072.312.383.690.953.202.381.47
-8.63-5.98-3.49-2.72-2.50-1.31-3.28-0.060.341.82
52
City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
SawgrassQuarter Ending 3/11
GICS Sectors
WeightPortfolio Index
ReturnPortfolio Index
SelectionStock Sector Total
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom. ServicesUtilities
11.142.42
14.1414.046.80
13.615.98
31.880.000.00
100.00
10.875.26
13.3114.699.409.924.77
30.860.850.08
100.00
15.406.96
10.698.120.536.89
-0.353.84
6.71
16.602.588.352.704.416.736.173.88
-0.6814.11
6.03
-0.130.110.330.76
-0.260.02
-0.39-0.010.000.00
0.42
0.030.100.020.020.040.030.00
-0.020.06
-0.01
0.27
-0.100.200.350.78
-0.220.05
-0.39-0.030.06
-0.01
0.68Index - 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 0.38%
[ Actual Return 7.09% ] - [ Buy Hold Return 6.71% ]
53
City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
SawgrassQuarter Ending 3/11
% Allocation
Energy 11.14 10.87
Materials 2.42 5.26
Industrials 14.14 13.31
Con. Discretionary 14.04 14.69
Consumer Staples 6.80 9.40
Health Care 13.61 9.92
Financials 5.98 4.77
Infomation Tech. 31.88 30.86
Telecom. Services 0.00 0.85
Utilities 0.00 0.08
Sawgrass Russell 1000 Growth
% Return
15.40 16.60
6.96 2.58
10.69 8.35
8.12 2.70
0.53 4.41
6.89 6.73
-0.35 6.17
3.84 3.88
-0.68
14.11
% Variance
-0.10
0.20
0.35
0.78
-0.22
0.05
-0.39
-0.03
0.06
-0.01
54
City of Ft. Lauderdale Police and FireSystematic Financial Management as of 3/31/11
Chevron Corp J P Morgan Chase & CUnitedhealth Group IGeneral Elec Co Pfizer Inc At&T Inc Hess Corp Citigroup Inc PNC Financial Corp Wells Fargo & Co New
GICS Sector % Port
EnergyFinancials
Health CareIndustrials
Health CareTelecom Services
EnergyFinancialsFinancialsFinancials
4.283.683.193.072.712.692.692.622.522.50
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities
% Port
14.347.35
10.159.244.50
11.7327.029.414.561.69
-2.00.02.04.06.08.0
10.012.014.016.018.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept11/30/02
Systematic Financial Management Russell 1000 Value
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/02
Systematic Financial Management
Russell 1000 Value
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
6.54
6.46
37,396
-4,500
2,441
35,337
6.54
6.46
37,396
-4,500
2,441
35,337
17.40
15.16
43,073
-13,208
5,472
35,337
2.68
0.61
55,731
-23,533
3,139
35,337
3.19
1.37
71,239
-46,142
10,240
35,337
9.67
7.01
42,609
-49,200
41,928
35,337
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
55
City of Ft. Lauderdale Police and FireSystematic Financial Management as of 3/31/11
Cash & Equiv$334 0.95%
Domestic Equity$35,003 99.05%
Periods from 11/02 to 3/11AlphaBetaR-Squared
0.530.980.95
Ann
ualiz
ed R
etur
n%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.02.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0s
1
T
Annualized Standard Deviation%
s Systematic Financial Man1 Russell 1000 Value T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
9.67 7.01 2.14
16.15 15.97 0.55
0.47 0.30 0.00
0.45
Asset Allocation ($000)
Risk/Return Analysis
56
City of Ft. Lauderdale Police and FireLarge Value Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow s Systematic Financial Management Net Ret Rank1 Russell 1000 Value Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
Last 5Years
Last 6Years
Last 7Years
Last 8Years
9.397.206.195.041.89
6.5438
6.46
44
21.2116.9414.7012.828.06
17.4019
15.16
43
43.9136.7533.3829.9925.14
34.0943
32.98
55
5.713.482.011.03
-1.07
2.6839
0.61
84
3.610.82
-0.61-2.02-4.05
0.2136
-2.16
79
6.183.692.341.11
-0.74
3.1930
1.37
74
6.815.144.313.342.05
5.2619
3.27
78
7.636.335.674.582.88
6.4816
4.63
72
11.5710.899.878.736.83
10.4333
8.58
83
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
s1
s1
s1
s1 s
1
s1
s1
s1
s1
57
City of Ft. Lauderdale Police and FireLarge Value Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow s Systematic Financial Management Net Ret Rank1 Russell 1000 Value Net Ret Rank
3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003
9.397.206.195.041.89
6.5438
6.46
44
21.2216.3413.9511.849.48
18.7310
15.51
32
41.4429.5424.4920.9416.32
23.9355
19.69
86
-26.51-34.31-36.88-39.77-44.44
-39.0369
-36.85
49
12.546.412.38
-0.72-4.00
9.1011
-0.17
72
24.5422.0319.2616.6010.33
18.4562
22.21
20
13.9811.319.286.384.16
11.5424
7.04
70
21.8219.5015.9313.2710.02
15.6753
16.49
46
41.0434.1831.6829.2224.27
35.3618
30.03
64
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
s1
s1
s1
s1
s
1
s1
s1
s1
s1
58
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Value Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
19.0 20.5 22.0 23.5 25.0 26.5 28.0 29.5 31.0 32.5 34.0-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0
7.0
s
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
s Systematic Financial Management1 Russell 1000 Value
Median
2.68 39 26.03 490.61 84 26.16 542.01 26.11
Ann
ualiz
ed R
ate
of R
etur
n
14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0-2.0
-1.1
-0.2
0.6
1.5
2.5
3.4
4.3
5.2
6.1
7.0
s
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
5 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
s Systematic Financial Management1 Russell 1000 Value
Median
3.19 30 21.17 511.37 74 21.11 492.34 21.17
59
City of Ft. Lauderdale Police and FireRisk Measure Summary
Systematic Financial ManagementQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.201.200.75
-13.3513.3717.4017.40
13
-11.1410.54
57
1.070.980.58
-19.8519.48
-39.7853.1726.030.970.520.950.082.245.880.31
57
-22.1718.24
26.16
0.00
812
1.060.960.60
-19.8519.48
-39.7853.1721.170.970.450.940.051.005.190.32
812
-22.1718.24
21.11
-0.04
924
1.070.940.73
-19.8519.48
-39.7853.1718.290.980.530.950.427.804.230.45
924
-22.1718.24
18.25
0.30
60
City of Ft. Lauderdale Police and FireEquity Summary Statistics
Systematic Financial ManagementPeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Value
7135,002,61468,748,26322,714,305
1.5115.8517.391.251.50
57.61-2.54
666
73,692,3815,293,233
2.2116.9416.761.031.58
56.14-1.17
Ten Largest Holdings
Chevron Corp J P Morgan Chase & CUnitedhealth Group IGeneral Elec Co Pfizer Inc At&T Inc Hess Corp Citigroup Inc PNC Financial Corp Wells Fargo & Co New
Market Value % of Portfolio Quarterly Ret
1,495,9631,286,1901,116,4401,072,675
948,477942,480941,571918,034881,860874,920
4.283.683.193.072.712.692.692.622.522.50
18.618.80
25.5210.3717.215.69
11.47-6.553.912.67
Ten Best Performers
Alcatel-Lucent Marathon Oil Corp Jds Uniphase Corp Cbs Corp Discover Finl Svcs Unitedhealth Group IKbr Inc Capital One Finl CorCaterpillar Inc Chevron Corp
Quarterly Ret
96.2844.7043.9231.7230.1725.5224.1422.2119.4318.61
Ten Worst Performers
Constellation BrandsMedco Health SolutioXerox Corp Freeport-McMoran CopCitigroup Inc Fifth Third Bancorp Macys Inc. Huntington BancshareAmgen Lear Corp
Quarterly Ret
-8.44-8.34-7.18-7.11-6.55-5.04-3.91-3.20-2.64-0.74
61
City of Ft. Lauderdale Police and FireEquity Contribution to ReturnSystematic Financial Management
Period Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Value
7135,002,61468,748,26322,714,305
1.5115.8517.391.251.50
57.61-2.54
666
73,692,3815,293,233
2.2116.9416.761.031.58
56.14-1.17
Ten Best Contributors
Unitedhealth Group IChevron Corp Alcatel-Lucent Discover Finl Svcs Marathon Oil Corp Pfizer Inc Caterpillar Inc J P Morgan Chase & CGeneral Elec Co Viacom Inc New -B
Market Value % of Portfolio Quarterly Ret
1,116,4401,495,963
282,947844,200537,098948,477656,965
1,286,1901,072,675
614,064
3.194.280.812.411.542.711.883.683.071.76
25.5218.6196.2830.1744.7017.2119.438.80
10.3717.85
Ten Worst Contributors
Citigroup Inc Freeport-McMoran CopMedco Health SolutioFifth Third Bancorp Macys Inc. Constellation BrandsXerox Corp Huntington BancshareLear Corp Amgen
Market Value % of Portfolio Quarterly Ret
918,034661,045342,576472,267487,626206,856211,935185,256615,762144,315
2.621.890.981.351.390.590.610.531.760.41
-6.55-7.11-8.34-5.04-3.91-8.44-7.18-3.20-0.74-2.64
62
City of Ft. Lauderdale Police and FireEquity Style Attribution Analysis
Systematic Financial ManagementQuarter Ending 3/11
Style
WeightPortfolio Index
ReturnPortfolio Index
SelectionStock Style Total
Large ValueLarge NeutralLarge GrowthMid ValueMid NeutralMid GrowthSmall ValueSmall NeutralSmall GrowthUnclassified
33.2914.3024.9713.195.306.570.000.000.002.39
100.00
46.2111.3122.0910.842.004.331.190.070.261.71
100.00
4.319.83
11.116.664.63
12.15
-1.45
7.50
4.934.599.007.348.01
11.748.636.480.37
22.99
6.75
-0.210.750.53
-0.09-0.180.030.000.000.00
-0.58
0.24
0.24-0.060.070.010.040.11
-0.020.000.020.11
0.51
0.030.680.59
-0.08-0.140.14
-0.020.000.02
-0.47
0.75
Index - Russell 1000 Value
Stock Selection Return Attribution
[ Portfolio Market Value Style Percentage ] * [ Portfolio Style Return - Index Style Return]
Style Selection Return Attribution
[ Portfolio Style Percentage - Index Style Percentage ] * [ Index Style Return - Index Total Return ]
Trading Effect -0.85%
[ Actual Return 6.65% ] - [ Buy Hold Return 7.50% ]
63
City of Ft. Lauderdale Police and FireEquity Sector Attribution ChartSystematic Financial Management
Quarter Ending 3/11
% Allocation
Energy 12.99 12.41
Materials 7.30 3.08
Industrials 8.60 9.12
Con. Discretionary 12.06 7.58
Consumer Staples 5.86 9.73
Health Care 10.54 12.35
Financials 26.76 27.36
Infomation Tech. 8.74 6.52
Telecom. Services 4.26 5.10
Utilities 2.88 6.76
Systematic Financial Management Russell 1000 Value
% Return
15.37 16.92
3.94 9.12
10.68 9.65
5.66 9.47
-0.77 1.48
11.55 6.17
4.50 3.02
9.61 3.86
2.51 5.34
10.04 3.87
% Variance
-0.14
-0.27
0.07
-0.33
0.06
0.57
0.42
0.44
-0.11
0.28
64
City of Ft. Lauderdale Police and FireLee Munder Small Cap Value as of 3/31/11
Great Plains Energy Key Energy Svcs Inc Corn Prods Intl Inc Agl Res Inc Employers Holdings ITeledyne TechnologieGoodrich Pete Corp Coherent Inc Proassurance Corp Portland Gen Elec Co
GICS Sector % Port
UtilitiesEnergy
Consumer StaplesUtilities
FinancialsIndustrials
EnergyInformation Technology
FinancialsUtilities
2.011.721.691.651.641.641.611.591.571.57
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities
% Port
6.296.89
19.558.885.244.22
26.8215.560.006.55
-2.00.02.04.06.08.0
10.012.014.016.018.020.022.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept11/30/06
Lee Munder Small Cap Value Russell 2000 Value
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/06
Lee Munder Small Cap Value
Russell 2000 Value
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
4.83
6.59
27,861
0
1,346
29,207
4.83
6.59
27,861
0
1,346
29,207
21.07
20.63
24,124
0
5,083
29,207
11.65
6.76
23,541
-2,500
8,167
29,207
7.39
0.80
26,182
-4,580
7,605
29,207
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
65
City of Ft. Lauderdale Police and FireLee Munder Small Cap Value as of 3/31/11
Cash & Equiv$588 2.01%
Domestic Equity$28,619 97.99%
Periods from 11/06 to 3/11AlphaBetaR-Squared
1.590.940.97
Ann
ualiz
ed R
etur
n%
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 26.00.51.01.52.02.53.03.54.04.55.05.56.06.57.07.58.0
l
1T
Annualized Standard Deviation%
l Lee Munder Small Cap Val1 Russell 2000 Value T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
7.39 0.80 1.80
22.58 24.77 0.62
0.25 -0.04 0.00
1.46
Asset Allocation ($000)
Risk/Return Analysis
66
City of Ft. Lauderdale Police and FireSmall Value Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow l Lee Munder Small Cap Value Net Ret Rank1 Russell 2000 Value Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
12.408.807.385.894.34
4.8390
6.59
69
31.5825.3423.4121.2618.28
21.0779
20.63
87
56.6350.5744.8941.6734.69
45.0647
41.11
78
14.5011.699.157.772.91
11.6526
6.76
88
6.945.372.851.12
-1.34
6.758
0.2890
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
60%
l 1
l 1
l1
l
1 l
1
67
City of Ft. Lauderdale Police and FireSmall Value Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow l Lee Munder Small Cap Value Net Ret Rank1 Russell 2000 Value Net Ret Rank
3/31/11YTD 2010 2009 2008 2007
12.408.807.385.894.34
4.8390
6.59
69
33.4430.9028.0824.1521.47
26.7360
24.51
71
53.3035.7226.2423.6218.36
36.7221
20.57
93
-23.21-28.67-30.43-33.57-38.47
-26.0116
-28.92
28
7.22-1.48-5.10-9.60
-11.83
0.6618
-9.77
76
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
l 1
l 1
l
1
l1
l
1
68
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Small Value Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
18.0 20.4 22.8 25.2 27.6 30.0 32.4 34.8 37.2 39.6 42.00.0
1.8
3.6
5.3
7.2
9.0
10.8
12.6
14.4
16.2
18.0
l
1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
l Lee Munder Small Cap Value1 Russell 2000 Value
Median
11.65 26 28.37 246.76 88 29.50 469.15 29.72
69
City of Ft. Lauderdale Police and FireRisk Measure Summary
Lee Munder Small Cap ValueQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.000.970.75
-10.2314.2821.0721.07
13
-10.5915.36
48
1.070.900.67
-23.2822.56
-33.8673.8128.370.951.160.980.39
11.714.660.89
48
-24.8922.70
29.50
0.21
710
1.150.840.59
-23.2822.56
-33.8673.8124.420.941.590.970.235.984.301.46
710
-24.8922.70
25.53
-0.04
70
City of Ft. Lauderdale Police and FireEquity Summary StatisticsLee Munder Small Cap Value
Period Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 2000 Value
10728,618,7251,885,7891,538,064
1.3228.9516.791.131.52
44.53-1.52
1,296
1,256,473507,737
1.8632.9215.051.231.37
50.48-1.69
Ten Largest Holdings
Great Plains Energy Key Energy Svcs Inc Corn Prods Intl Inc Agl Res Inc Employers Holdings ITeledyne TechnologieGoodrich Pete Corp Coherent Inc Proassurance Corp Portland Gen Elec Co
Market Value % of Portfolio Quarterly Ret
575,535492,484482,496470,431469,499469,217461,287453,723448,279447,589
2.011.721.691.651.641.641.611.591.571.57
4.3619.8012.9712.4418.5517.6025.9628.734.57
10.75
Ten Best Performers
Lawson Software Inc Coherent Inc Innophos Holdings InGoodrich Pete Corp Belo A H Corp Littelfuse Inc Amsurg Corp Healthsouth Corp Key Energy Svcs Inc Terex Corp New
Quarterly Ret
30.8128.7328.4425.9624.4321.6921.4320.6219.8019.33
Ten Worst Performers
Hhgregg Inc Xyratex Ltd Talbots Inc Pantry Inc Tns Inc Schweitzer-Mauduit ICallaway Golf Co Platinum UnderwriterIntermec Inc Firstmerit Corp
Quarterly Ret
-36.09-31.45-29.11-25.33-25.14-19.35-15.38-15.14-14.77-12.96
71
City of Ft. Lauderdale Police and FireEquity Contribution to Return
Lee Munder Small Cap ValuePeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 2000 Value
10728,618,7251,885,7891,538,064
1.3228.9516.791.131.52
44.53-1.52
1,296
1,256,473507,737
1.8632.9215.051.231.37
50.48-1.69
Ten Best Contributors
Coherent Inc Goodrich Pete Corp Key Energy Svcs Inc Employers Holdings ITeledyne TechnologieLawson Software Inc Innophos Holdings InAmsurg Corp Berry Pete Co Corn Prods Intl Inc
Market Value % of Portfolio Quarterly Ret
453,723461,287492,484469,499469,217264,688262,873308,384417,726482,496
1.591.611.721.641.640.930.921.081.461.69
28.7325.9619.8018.5517.6030.8128.4421.4315.6412.97
Ten Worst Contributors
Xyratex Ltd Hhgregg Inc Schweitzer-Mauduit IPantry Inc Tns Inc Talbots Inc Platinum UnderwriterIntermec Inc Emulex Corp Callaway Golf Co
Market Value % of Portfolio Quarterly Ret
247,469188,411308,721212,929194,641149,834272,077198,924332,403173,971
0.870.661.080.740.680.520.950.701.160.61
-31.45-36.09-19.35-25.33-25.14-29.11-15.14-14.77
-8.49-15.38
72
City of Ft. Lauderdale Police and FireEquity Style Attribution Analysis
Lee Munder Small Cap ValueQuarter Ending 3/11
Style
WeightPortfolio Index
ReturnPortfolio Index
SelectionStock Style Total
Large ValueLarge NeutralLarge GrowthMid ValueMid NeutralMid GrowthSmall ValueSmall NeutralSmall GrowthUnclassified
0.000.000.00
14.343.60
12.5636.8610.4222.210.00
100.00
0.000.000.004.651.461.22
56.1314.0520.721.76
100.00
5.8713.729.206.655.79
-0.80
5.37
0.000.000.005.876.79
15.065.087.539.95
-27.54
6.04
0.000.000.000.000.25
-0.740.58
-0.18-2.390.00
-2.48
-0.00-0.00-0.00-0.020.021.020.19
-0.050.060.59
1.80
0.000.000.00
-0.020.270.290.77
-0.23-2.330.59
-0.67
Index - Russell 2000 Value
Stock Selection Return Attribution
[ Portfolio Market Value Style Percentage ] * [ Portfolio Style Return - Index Style Return]
Style Selection Return Attribution
[ Portfolio Style Percentage - Index Style Percentage ] * [ Index Style Return - Index Total Return ]
Trading Effect -0.45%
[ Actual Return 4.92% ] - [ Buy Hold Return 5.37% ]
73
City of Ft. Lauderdale Police and FireStyle Attribution Chart
Lee Munder Small Cap ValueQuarter Ending 3/11
% Allocation
Large Value 0.00 0.00
Large Neutral 0.00 0.00
Large Growth 0.00 0.00
Midcap Value 14.34 4.65
Midcap Neutral 3.60 1.46
Midcap Growth 12.56 1.22
Small Value 36.86 56.13
Small Neutral 10.42 14.05
Small Growth 22.21 20.72
Unclassified 0.00 1.76
Lee Munder Small Cap Value Russell 2000 Value
% Return
5.87 5.87
13.72 6.79
9.20 15.06
6.65 5.08
5.79 7.53
-0.80 9.95
-27.54
% Variance
0.00
0.00
0.00
-0.02
0.27
0.29
0.77
-0.23
-2.33
0.59
74
City of Ft. Lauderdale Police and FireNorthPointe Small Cap Growth as of 3/31/11
Ttm Technologies InAir Trans Hldgs Inc Intrepid Potash Inc Web Com Group Inc Air Methods Corp World Fuel Svcs CorpHealthsouth Corp G-III Apparel Group Abraxas Pete Corp Globe Specialty Meta
GICS Sector % Port
Information TechnologyIndustrialsMaterials
Information TechnologyHealth Care
EnergyHealth Care
Consumer DiscretionaryEnergy
Materials
2.842.682.552.522.502.492.452.412.412.39
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities
% Port
13.795.95
16.0214.582.05
18.861.06
27.690.000.00
-5.00.05.0
10.015.020.025.030.035.040.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept11/30/06
NorthPointe Small Cap Growth Russell 2000 Growth
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/06
NorthPointe Small Cap Growth
Russell 2000 Growth
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
8.70
9.24
28,121
0
2,447
30,568
8.70
9.24
28,121
0
2,447
30,568
36.99
31.03
22,314
0
8,253
30,568
7.24
10.16
20,926
1,568
8,074
30,568
0.33
5.18
26,159
1,318
3,090
30,568
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
75
City of Ft. Lauderdale Police and FireNorthPointe Small Cap Growth as of 3/31/11
Cash & Equiv$460 1.51%
Domestic Equity$30,107 98.49%
Periods from 11/06 to 3/11AlphaBetaR-Squared
-1.141.180.95
Ann
ualiz
ed R
etur
n%
0.0 5.0 10.0 15.0 20.0 25.0 30.00.00.51.01.52.02.53.03.54.04.55.05.5
n
1
T
Annualized Standard Deviation%
n NorthPointe Small Cap Gr1 Russell 2000 Growth T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
0.33 5.18 1.80
28.26 24.15 0.62
-0.05 0.14 0.00
-0.42
Asset Allocation ($000)
Risk/Return Analysis
76
City of Ft. Lauderdale Police and FireSmall Growth Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow n NorthPointe Small Cap Growth Net Ret Rank1 Russell 2000 Growth Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
13.3910.639.077.985.78
8.7059
9.24
44
42.1033.7730.8526.4921.55
36.9918
31.03
46
54.4347.1544.2341.8237.83
48.0721
44.93
40
15.2913.2110.798.453.81
7.2487
10.16
55
10.157.785.724.61
-0.62
-0.1093
5.04
66
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
60%
n 1
n
1
n1
n1
n
1
77
City of Ft. Lauderdale Police and FireSmall Growth Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High1st QtMedian3rd QtLow n NorthPointe Small Cap Growth Net Ret Rank1 Russell 2000 Growth Net Ret Rank
3/31/11YTD 2010 2009 2008 2007
13.3910.639.077.985.78
8.7059
9.24
44
43.3831.5528.4025.3321.69
33.2416
29.07
45
49.0439.2634.0526.8515.40
41.3019
34.48
47
-24.64-31.75-37.44-41.13-48.21
-52.0898
-38.53
56
21.9912.268.202.93
-1.15
3.6668
7.05
57
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
n 1
n1
n1
n
1
n1
78
City of Ft. Lauderdale Police and FireRisk Measure Summary
NorthPointe Small Cap GrowthQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.140.980.75
-9.0527.0136.9936.99
13
-9.2217.11
48
1.031.120.67
-31.8227.01
-43.7560.0633.991.15
-0.790.950.205.869.00
-0.17
48
-27.4423.38
28.78
0.34
611
1.051.230.65
-31.8227.01
-52.0860.0630.831.18
-1.140.95
-0.04-1.148.56
-0.42
611
-27.4423.38
25.32
0.14
79
City of Ft. Lauderdale Police and FireEquity Summary Statistics
NorthPointe Small Cap GrowthPeriod Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 2000 Growth
6130,107,1651,253,892
843,1810.06
35.7020.221.462.63
32.894.40
1,269
1,620,950594,636
0.4739.4516.631.273.34
22.945.83
Ten Largest Holdings
Ttm Technologies InAir Trans Hldgs Inc Intrepid Potash Inc Web Com Group Inc Air Methods Corp World Fuel Svcs CorpHealthsouth Corp G-III Apparel Group Abraxas Pete Corp Globe Specialty Meta
Market Value % of Portfolio Quarterly Ret
855,209805,784767,433757,615752,259750,676738,384725,256724,727719,102
2.842.682.552.522.502.492.452.412.412.39
21.806.96
-6.6272.6619.5112.4220.626.91
28.0133.18
Ten Best Performers
Ista PharmaceuticalsWeb Com Group Inc Depomed Inc Gulfmark Offshore InGlobal Inds Ltd Georesources Inc Amerigon Inc Global Geophysical STrinity Inds Inc Magma Design Automat
Quarterly Ret
97.4772.6657.8646.4141.2740.7940.3539.3138.2136.13
Ten Worst Performers
Quantum-Dlt&Storage Axcelis TechnologiesPacer Intl Inc Tenn Kid Brands Inc Bioscript Inc Radiant Systems Inc Intrepid Potash Inc Akorn Inc Nve Corp Wabash Natl Corp
Quarterly Ret
-32.26-23.41-23.10-14.04-9.94-9.56-6.62-4.94-2.58-2.28
80
City of Ft. Lauderdale Police and FireEquity Contribution to ReturnNorthPointe Small Cap Growth
Period Ending 3/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 2000 Growth
6130,107,1651,253,892
843,1810.06
35.7020.221.462.63
32.894.40
1,269
1,620,950594,636
0.4739.4516.631.273.34
22.945.83
Ten Best Contributors
Web Com Group Inc Depomed Inc Trinity Inds Inc Georesources Inc Globe Specialty MetaAbraxas Pete Corp Ttm Technologies InPatriot Coal Corp Ista PharmaceuticalsAtlas Air Worldwide
Market Value % of Portfolio Quarterly Ret
757,615675,421690,313637,158719,102724,727855,209550,825186,625689,182
2.522.242.292.122.392.412.841.830.622.29
72.6657.8638.2140.7933.1828.0121.8033.3597.4724.88
Ten Worst Contributors
Quantum-Dlt&Storage Axcelis TechnologiesPacer Intl Inc Tenn Bioscript Inc Intrepid Potash Inc Kid Brands Inc Radiant Systems Inc Wabash Natl Corp Akorn Inc Nve Corp
Market Value % of Portfolio Quarterly Ret
294,213300,868255,210529,277767,433344,862266,084677,523190,670301,532
0.981.000.851.762.551.150.882.250.631.00
-32.26-23.41-23.10
-9.94-6.62
-14.04-9.56-2.28-4.94-2.58
81
City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
NorthPointe Small Cap GrowthQuarter Ending 3/11
GICS Sectors
WeightPortfolio Index
ReturnPortfolio Index
SelectionStock Sector Total
EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom. ServicesUtilities
10.907.55
16.3416.251.92
12.722.84
31.470.000.00
100.00
5.054.95
17.7416.913.11
18.904.93
27.061.300.06
100.00
12.7011.157.404.91
15.7417.24-9.809.11
9.32
19.7110.528.414.154.526.908.04
13.513.601.56
9.25
-0.760.05
-0.160.120.221.32
-0.51-1.390.000.00
-1.12
0.610.030.010.030.060.150.030.190.070.00
1.18
-0.150.08
-0.150.160.271.46
-0.48-1.200.070.00
0.06
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 -0.35%
[ Actual Return 8.97% ] - [ Buy Hold Return 9.32% ]
82
City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
NorthPointe Small Cap GrowthQuarter Ending 3/11
% Allocation
Energy 10.90 5.05
Materials 7.55 4.95
Industrials 16.34 17.74
Con. Discretionary 16.25 16.91
Consumer Staples 1.92 3.11
Health Care 12.72 18.90
Financials 2.84 4.93
Infomation Tech. 31.47 27.06
Telecom. Services 0.00 1.30
Utilities 0.00 0.06
NorthPointe Small Cap Growth Russell 2000 Growth
% Return
12.70 19.71
11.15 10.52
7.40 8.41
4.91 4.15
15.74 4.52
17.24 6.90
-9.80 8.04
9.11 13.51
3.60
1.56
% Variance
-0.15
0.08
-0.15
0.16
0.27
1.46
-0.48
-1.20
0.07
0.00
83
84
City of Ft. Lauderdale Police and FireArtio IE II Group Trust as of 3/31/11
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept11/30/07
Artio IE II Group Trust MSCI EAFE (Net) MSCI ACWI ex US (Net)
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/07
Artio IE II Group Trust
MSCI EAFE (Net)
MSCI ACWI ex US (Net)
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
2.08
3.36
3.41
29,143
0
606
29,749
2.08
3.36
3.41
29,143
0
606
29,749
10.19
10.42
13.15
26,995
0
2,753
29,749
-4.16
-3.01
-0.85
10,091
18,044
1,614
29,749
-6.61
-6.05
-4.00
11,160
18,044
545
29,749
Portfolio Performance (%)
85
City of Ft. Lauderdale Police and FireArtio IE II Group Trust as of 3/31/11
Intl Equity$29,749 100.00%
Periods from 11/07 to 3/11AlphaBetaR-Squared
-0.460.920.99
Ann
ualiz
ed R
etur
n%
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 28.0-7.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
a1
2
T
Annualized Standard Deviation%
a Artio IE II Group Trust1 MSCI EAFE (Net) 2 MSCI ACWI ex US (NT 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
-6.61 -6.05 -4.00 0.81
23.75 25.37 26.27 0.37
-0.31 -0.27 -0.18 0.00
-0.42
Asset Allocation ($000)
Risk/Return Analysis
86
City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of International Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow a Artio IE II Group Trust Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
6.644.103.242.07
-0.90
2.0874
3.36
47
3.4145
23.6316.7513.2711.646.38
10.1984
10.42
83
13.1550
48.9140.5233.3429.8621.40
27.3387
30.59
71
34.9441
7.311.950.16
-2.77-7.48
-4.1688
-3.01
79
-0.8559
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
a 1 2
a 12
a1
2
a 12
87
City of Ft. Lauderdale Police and Fire Calendar Year Performance ComparisonTotal Returns of International Equity Portfolios
Years Ending December
High1st QtMedian3rd QtLow a Artio IE II Group Trust Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank
3/31/11YTD 2010 2009 2008
6.644.103.242.07
-0.90
2.0874
3.36
47
3.4145
24.7817.0211.988.452.37
8.4375
7.75
80
11.1555
75.5742.1935.6926.179.83
23.8581
31.77
63
41.4427
-24.16-40.27-43.33-47.40-57.57
-41.6435
-43.38
50
-45.5263
-60%-50%-40%-30%-20%-10%
0%10%20%30%40%50%60%70%80%
a 1 2a 1 2
a1
2
a 1 2
88
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of International Equity Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0-10.0
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
a1
2
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
a Artio IE II Group Trust1 MSCI EAFE (Net) 2 MSCI ACWI ex US (Net)
Median
-4.16 88 28.27 30-3.01 79 30.58 45-0.85 59 31.59 570.16 30.93
89
City of Ft. Lauderdale Police and FireRisk Measure Summary
Artio IE II Group TrustQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
0.900.870.75
-12.1215.5610.1910.19
13
-13.9716.48
57
0.880.970.58
-21.5319.60
-45.7047.1428.270.92
-0.420.99
-0.17-5.094.27
-0.42
57
-20.5625.43
30.58
-0.12
67
0.880.970.54
-21.5319.60
-45.7047.1427.520.92
-0.460.99
-0.27-8.014.09
-0.42
67
-20.5625.43
29.72
-0.21
90
City of Ft. Lauderdale Police and FireThornburg as of 3/31/11
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept11/30/07
Thornburg MSCI EAFE (Net) MSCI ACWI ex US (Net)
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/07
Thornburg
MSCI EAFE (Net)
MSCI ACWI ex US (Net)
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
4.18
3.36
3.41
31,714
-61
1,388
33,041
4.18
3.36
3.41
31,714
-61
1,388
33,041
16.94
10.42
13.15
28,291
-117
4,866
33,041
0.88
-3.01
-0.85
9,620
18,330
5,091
33,041
-2.62
-6.05
-4.00
10,826
18,297
3,918
33,041
Portfolio Performance (%)
91
City of Ft. Lauderdale Police and FireThornburg as of 3/31/11
Intl Equity$33,041 100.00%
Periods from 11/07 to 3/11AlphaBetaR-Squared
0.510.890.98
Ann
ualiz
ed R
etur
n%
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 28.0-7.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
t
1
2
T
Annualized Standard Deviation%
t Thornburg1 MSCI EAFE (Net) 2 MSCI ACWI ex US (NT 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
-2.62 -6.05 -4.00 0.81
22.60 25.37 26.27 0.37
-0.15 -0.27 -0.18 0.00
0.45
Asset Allocation ($000)
Risk/Return Analysis
92
City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of International Equity PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow t Thornburg Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
6.644.103.242.07
-0.90
4.1822
3.36
47
3.4145
23.6316.7513.2711.646.38
16.9424
10.42
83
13.1550
48.9140.5233.3429.8621.40
32.8852
30.59
71
34.9441
7.311.950.16
-2.77-7.48
0.8839
-3.01
79
-0.8559
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
t 1 2
t
12
t1
2
t1
2
93
City of Ft. Lauderdale Police and Fire Calendar Year Performance ComparisonTotal Returns of International Equity Portfolios
Years Ending December
High1st QtMedian3rd QtLow t Thornburg Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank
3/31/11YTD 2010 2009 2008
6.644.103.242.07
-0.90
4.1822
3.36
47
3.4145
24.7817.0211.988.452.37
14.2337
7.75
80
11.1555
75.5742.1935.6926.179.83
33.4756
31.77
63
41.4427
-24.16-40.27-43.33-47.40-57.57
-42.0338
-43.38
50
-45.5263
-60%-50%-40%-30%-20%-10%
0%10%20%30%40%50%60%70%80%
t 1 2
t1 2
t 12
t 1 2
94
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of International Equity Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0-10.0
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
t
1
2
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
t Thornburg1 MSCI EAFE (Net) 2 MSCI ACWI ex US (Net)
Median
0.88 39 26.87 15-3.01 79 30.58 45-0.85 59 31.59 570.16 30.93
95
City of Ft. Lauderdale Police and FireRisk Measure Summary
ThornburgQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.030.670.75
-9.3014.5417.2317.23
13
-13.9716.48
57
0.970.870.58
-19.6823.51
-41.8551.0026.890.870.790.990.020.524.940.60
57
-20.5625.43
30.58
-0.12
67
0.970.890.54
-19.6823.51
-42.0351.0026.510.890.530.98
-0.12-3.584.880.47
67
-20.5625.43
29.72
-0.21
96
City of Ft. Lauderdale Police and FireAgincourt as of 3/31/11
United States TreasUnited States TreasFNMA Pool #ah2366GNMA I Pool #747834Fhlm Pool J11722FNMA Pool #ah2659Fhgld Pool #a91538FNMA Pool 745418Federal Natl Mtg AssFNMA Pool 254868
Sector % Port
GovernmentGovernment
MortgageMortgageMortgageMortgageMortgageMortgage
GovernmentMortgage
5.764.253.743.072.472.172.051.821.771.66
FinanceGovernmentIndustrialsMortgageTransportationUtilitiesMunicipalsForeignMiscellaneous
% Port
14.1714.7019.6142.612.075.630.000.960.25
-0.50.00.51.01.52.02.53.03.54.04.55.05.56.06.57.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept12/31/95
Agincourt Barclays U.S. Aggregate
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
12/31/95
Agincourt
Barclays U.S. Aggregate
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
0.73
0.42
80,168
0
587
80,754
0.73
0.42
80,168
0
587
80,754
6.18
5.12
68,973
7,600
4,181
80,754
6.45
5.30
76,976
-7,950
11,729
80,754
6.44
6.02
79,284
-20,650
22,121
80,754
5.97
5.57
58,657
-16,650
38,748
80,754
6.28
5.97
48,077
-25,055
57,732
80,754
Portfolio Performance (%)
Top Fixed Income Holdings Sector Allocation
97
City of Ft. Lauderdale Police and FireAgincourt as of 3/31/11
Cash & Equiv$89 0.11%
Domestic Fixed$80,665 99.89%
Periods from 12/95 to 3/11AlphaBetaR-Squared
0.110.950.81
Ann
ualiz
ed R
etur
n%
1.0 1.5 2.0 2.5 3.0 3.5 4.03.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5a
1
T
Annualized Standard Deviation%
a Agincourt1 Barclays U.S. Aggregate T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
6.28 5.97 3.32
3.71 3.59 1.04
0.80 0.74 0.00
0.17
Asset Allocation ($000)
Risk/Return Analysis
98
City of Ft. Lauderdale Police and FireFixed Income Core Cumulative Performance Comparisons
Total Returns of Fixed Income PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow a Agincourt Net Ret Rank1 Barclays U.S. Aggregate Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
Last 4Years
Last 5Years
Last 6Years
Last 7Years
Last 8Years
Last 9Years
Last 10Years
1.760.990.690.36
-0.52
0.7348
0.42
69
9.216.785.594.631.78
6.1839
5.12
64
14.5510.948.455.862.02
10.5525
6.40
69
8.236.856.125.173.62
6.4535
5.30
73
8.097.016.405.644.18
6.3252
5.89
70
7.726.986.475.994.24
6.4450
6.02
69
6.926.215.835.424.17
5.7850
5.39
78
6.675.535.184.804.51
5.1550
4.77
76
6.905.665.224.814.11
5.2845
4.85
72
7.286.295.875.594.44
6.0140
5.59
75
7.046.155.795.514.63
5.9737
5.57
69
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
a1
a1
a
1 a1
a1a1 a1 a1
a1a1 a1
99
City of Ft. Lauderdale Police and FireFixed Income Core Consecutive Performance Comparisons
Total Returns of Fixed Income PortfoliosYears Ending December
High1st QtMedian3rd QtLow a Agincourt Net Ret Rank1 Barclays U.S. Aggregate Net Ret Rank
3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
1.760.990.690.36
-0.52
0.7348
0.42
69
12.208.807.296.072.47
8.1033
6.54
65
18.3812.089.257.200.34
13.8814
5.93
83
11.426.003.290.01
-6.03
-1.6783
5.24
28
9.387.446.756.024.62
6.4959
6.96
42
5.654.844.514.143.33
4.7133
4.33
63
4.363.112.682.371.84
2.5759
2.43
71
5.984.724.333.722.10
4.6629
4.34
48
6.854.914.513.492.35
5.1318
4.11
62
15.1210.989.938.395.38
9.8850
10.26
32
9.818.918.447.814.76
9.4311
8.43
50
-8%-6%-4%-2%0%2%4%6%8%
10%12%14%16%18%20%
a1
a1
a
1
a
1a1
a1a1
a1 a1
a1 a1
100
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Fixed Income Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
a1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
a Agincourt1 Barclays U.S. Aggregate
Median
6.45 37 5.01 515.30 61 3.91 295.79 5.04
Ann
ualiz
ed R
ate
of R
etur
n
0.0 1.2 2.4 3.6 4.8 6.0 7.2 8.4 9.6 10.8 12.02.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
a1
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
5 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
a Agincourt1 Barclays U.S. Aggregate
Median
6.44 45 4.21 546.02 61 3.52 316.32 4.06
101
City of Ft. Lauderdale Police and FireRisk Measure Summary
AgincourtQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
1.181.040.75
-1.353.646.186.18
13
-1.303.49
39
1.291.620.75
-2.415.72
-1.3015.105.010.940.360.521.196.353.700.29
39
-1.304.57
3.91
1.23
515
1.121.520.75
-2.415.72
-1.6715.104.210.950.150.591.004.442.890.13
515
-1.304.57
3.52
1.08
1447
1.050.990.75
-2.415.72
-1.6715.103.710.950.110.810.803.101.680.17
1546
-2.444.62
3.59
0.74
102
City of Ft. Lauderdale Police and FireFixed Income, Mortgage and Municipals Summary Statistics
AgincourtQuarter Ending 3/11
Total Number Of SecuritiesTotal Market ValueYield to MaturityTime to MaturityCurrent CouponDurationEffective ConvexityEffective DurationEffective Maturity
Portfolio Barclays U.S. Aggregate
22580,665,217
3.5314.185.205.03
-0.064.796.45
7,98915,093,100,183,552
3.087.254.205.350.045.127.25
Yield to Maturity
5+ 8.7%
4 - 5 18.1%
3 - 4 41.1%
2 - 3 22.1%
1 - 2 9.2%
0 - 1 0.8%
Time to Maturity
10+ 45.7%
7 - 10 15.9%
5 - 7 19.7%
3 - 5 9.5%
1 - 3 8.5%
0 - 1 0.7%
Coupon
11+ 0.0%
9 - 11 2.6%
7 - 9 8.0%
5 - 7 53.0%
3 - 5 28.3%
0 - 3 8.0%
Quality
NR 0.6%
BA 0.3%
BAA 20.0%
A 17.2%
AA 6.5%
AAA 43.2%
GOVT 12.3%
Duration
8+ 13.5%
6 - 8 3.6%
4 - 6 42.6%
3 - 4 18.6%
1 - 3 19.3%
0 - 1 2.4%
Effective Duration
8+ 12.8%
6 - 8 3.8%
4 - 6 40.7%
3 - 4 14.6%
1 - 3 25.8%
0 - 1 2.4%
103
City of Ft. Lauderdale Police and FirePercent Invested by Sector and Quality
AgincourtAs of 3/31/11
Name
Moody’s Quality RatingsAaa Aa A Baa Ba B Other NR
Total
Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash OtherTotal
14.7011.463.24
0.05
------
0.05---
---
40.653.59
13.7118.015.34
---
---
---
55.41
---------
5.631.860.143.020.62
0.27
0.61
---------
0.61
---
---
---6.50
---------
16.385.593.387.41
---
0.51
0.31---------
0.31
---
---
---17.21
---------
18.0011.862.113.680.34
1.29
0.73
---------
0.73
---
---
---20.02
---------
0.310.31
---------
---
---------------
---
---
---
0.31
---------
---------------
---
---------------
---
---
------
---------
---------------
---
---------------
---
---
------
---------
---------------
---
0.30
---------
0.30
---
---
0.250.55
14.7011.463.24
40.3719.625.63
14.160.96
2.07
42.603.59
13.7118.017.29
---
---
0.25
100.00
104
City of Ft. Lauderdale Police and FireFixed Income Sector Attribution Analysis
AgincourtQuarter Ending 3/11
WeightPortfolio Index
ReturnPortfolio Index
SelectionSecurity Sector Total
FinanceGovernmentIndustrialsMortgageTransportationUtilitiesMunicipalsForeignMiscellaneous
13.4420.1818.6939.322.075.320.000.720.25
100.00
0.000.009.940.000.002.120.000.000.00
100.00
1.500.021.041.271.960.670.00
-2.18
0.96
0.000.000.000.000.000.000.000.000.00
0.00
0.200.000.190.500.040.040.00
-0.020.00
0.96
0.000.000.000.000.000.000.000.000.00
0.00
0.200.000.190.500.040.040.00
-0.020.00
0.96
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 -0.22%
[ Actual Return 0.74% ] - [ Buy Hold Return 0.96% ]
105
106
City of Ft. Lauderdale Police and FireAmerican Stable Value Fd Am Realty as of 3/31/11
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 7/31/07
American Stable Value Fd Am Realty NCREIF Prop Index NCREIF ODCE Fund Index
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
7/31/07
American Stable Value Fd Am Realty
NCREIF Prop Index
NCREIF ODCE Fund Index
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
4.04
3.36
4.12
19,217
2
819
20,038
4.04
3.36
4.12
19,217
2
819
20,038
16.25
16.03
20.25
17,274
-118
2,882
20,038
-9.10
-3.63
-8.92
27,033
-356
-6,639
20,038
-5.34
-0.78
-5.48
24,999
-532
-4,430
20,038
Returns of NFI-ODCE are preliminary.
Portfolio Performance (%)
107
City of Ft. Lauderdale Police and FireAmerican Stable Value Fd Am Realty as of 3/31/11
Real Estate$20,038 100.00%
Periods from 7/07 to 3/11AlphaBetaR-Squared
-1.061.270.88
Ann
ualiz
ed R
etur
n%
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
a
1
2
T
Annualized Standard Deviation%
a American Stable Value Fd1 NCREIF Prop Index 2 NCREIF ODCE Fund IT 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
-5.34 -0.78 -5.48 1.20
11.56 8.35 12.51 0.51
-0.57 -0.24 -0.53 0.00
-1.09
Asset Allocation ($000)
Risk/Return Analysis
Returns of NFI-ODCE are preliminary.108
City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of Real Estate PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow a American Stable Value Fd Am Realty Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
7.164.753.121.08
-9.14
4.0429
3.36
40
4.1226
27.4123.7517.959.93
-10.75
16.2564
16.03
64
20.2533
62.3630.42-0.31-3.93
-27.22
-3.8174
2.42
33
-0.7153
5.67-1.53-8.67
-10.97-30.78
-9.1053
-3.63
29
-8.9253
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
a 1 2
a 12
a1
2
a1
2
109
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of Real Estate PortfoliosYears Ending December
High1st QtMedian3rd QtLow a American Stable Value Fd Am Realty Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank
3/31/11YTD 2010 2009 2008
7.164.753.121.08
-9.14
4.0429
3.36
40
4.1226
30.1118.6615.4910.65
-12.72
10.9974
13.11
66
16.3644
36.12-5.52
-28.27-30.79-45.55
-30.1971
-16.86
30
-29.7666
13.79-4.56
-10.40-25.50-44.90
-5.7331
-6.46
31
-10.0044
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
a 1 2
a 12
a
1
2
a 12
110
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Real Estate Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
0.0 4.4 8.8 13.2 17.6 22.0 26.4 30.8 35.2 39.6 44.0-30.0
-25.5
-21.0
-16.5
-12.0
-7.5
-3.0
1.5
6.0
10.5
15.0
a
1
2
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
a American Stable Value Fd Am Realty1 NCREIF Prop Index 2 NCREIF ODCE Fund Index
Median
-9.10 53 12.00 20-3.63 29 8.87 5-8.92 53 13.39 37-8.67 15.26
111
City of Ft. Lauderdale Police and FireRisk Measure Summary
American Stable Value Fd Am RealtyQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
04
1.04
1.003.264.57
16.7416.74
04
3.314.62
75
1.011.540.50
-12.884.57
-32.6016.7412.081.27
-1.060.88
-0.79-7.444.85
-1.09
66
-8.294.62
8.87
-0.47
78
1.021.540.60
-12.884.68
-32.6016.7411.561.29
-0.910.88
-0.55-4.954.51
-0.93
69
-8.294.62
8.45
-0.24
112
City of Ft. Lauderdale Police and FirePrudential RE Investors PRISA II as of 3/31/11
-20.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 7/31/07
Prudential RE Investors PRISA II NCREIF Prop Index NCREIF ODCE Fund Index
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
7/31/07
Prudential RE Investors PRISA II
NCREIF Prop Index
NCREIF ODCE Fund Index
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
5.51
3.36
4.12
11,028
0
608
11,636
5.51
3.36
4.12
11,028
0
608
11,636
30.62
16.03
20.25
7,966
1,017
2,653
11,636
-15.26
-3.63
-8.92
7,783
7,425
-3,572
11,636
-11.41
-0.78
-5.48
3,000
11,981
-3,346
11,636
Returns for NFI-ODCE are preliminary.
Portfolio Performance (%)
113
City of Ft. Lauderdale Police and FirePrudential RE Investors PRISA II as of 3/31/11
Real Estate$11,636 100.00%
Periods from 7/07 to 3/11AlphaBetaR-Squared
-1.652.310.93
Ann
ualiz
ed R
etur
n%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0-12.0-11.0-10.0-9.0-8.0-7.0-6.0-5.0-4.0-3.0-2.0-1.00.01.02.0
p
1
2
T
Annualized Standard Deviation%
p Prudential RE Inve1 NCREIF Prop Index 2 NCREIF ODCE Fund IT 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
-11.41 -0.78 -5.48 1.20
19.82 8.35 12.51 0.51
-0.64 -0.24 -0.53 0.00
-0.84
Asset Allocation ($000)
Risk/Return Analysis
Returns for NFI-ODCE are preliminary.114
City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of Real Estate PortfoliosPeriods Ending 3/11
High1st QtMedian3rd QtLow p Prudential RE Investors PRISA II Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank
LastQtr
LastYear
Last 2Years
Last 3Years
7.164.753.121.08
-9.14
5.5123
3.36
40
4.1226
27.4123.7517.959.93
-10.75
30.622
16.0364
20.25
33
62.3630.42-0.31-3.93
-27.22
-1.7256
2.42
33
-0.7153
5.67-1.53-8.67
-10.97-30.78
-15.2684
-3.63
29
-8.9253
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
p 1 2
p
12
p1
2
p
12
115
City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison
Total Returns of Real Estate PortfoliosYears Ending December
High1st QtMedian3rd QtLow p Prudential RE Investors PRISA II Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank
3/31/11YTD 2010 2009 2008
7.164.753.121.08
-9.14
5.5123
3.36
40
4.1226
30.1118.6615.4910.65
-12.72
24.7912
13.11
66
16.3644
36.12-5.52
-28.27-30.79-45.55
-44.8293
-16.86
30
-29.7666
13.79-4.56
-10.40-25.50-44.90
-16.1468
-6.46
31
-10.0044
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
p 1 2
p
12
p
1
2
p
12
116
City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Real Estate Portfolios
Ann
ualiz
ed R
ate
of R
etur
n
0.0 4.4 8.8 13.2 17.6 22.0 26.4 30.8 35.2 39.6 44.0-30.0
-25.5
-21.0
-16.5
-12.0
-7.5
-3.0
1.5
6.0
10.5
15.0
p
1
2
Med
ian
Ris
k
MedianReturn
Historical Standard Deviation of Return
3 Years Ending 3/31/11
Annualized Net of Fee Return Standard DeviationValue Rank Value Rank
p Prudential RE Investors PRISA II1 NCREIF Prop Index 2 NCREIF ODCE Fund Index
Median
-15.26 84 21.56 69-3.63 29 8.87 5-8.92 53 13.39 37-8.67 15.26
117
City of Ft. Lauderdale Police and FireRisk Measure Summary
Prudential RE Investors PRISA IIQuarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
04
1.91
1.005.518.23
30.6230.62
04
3.314.62
57
1.852.450.50
-24.788.23
-51.1730.6221.562.35
-1.350.94
-0.73-6.7113.11-0.83
66
-8.294.62
8.87
-0.47
510
1.422.450.60
-24.788.23
-51.1730.6219.632.29
-1.770.93
-0.63-5.4311.71-0.82
69
-8.294.62
8.45
-0.24
118
City of Ft. Lauderdale Police and FireK2 Advisors Long/Short as of 3/31/11
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept 4/30/08
K2 Advisors Long/Short Standard & Poors 500
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
4/30/08
K2 Advisors Long/Short
Standard & Poors 500
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
1.72
5.92
43,460
0
747
44,207
1.72
5.92
43,460
0
747
44,207
5.18
15.64
42,032
-35
2,210
44,207
0.65
0.77
35,000
7,965
1,242
44,207
Portfolio Performance (%)
119
City of Ft. Lauderdale Police and FireK2 Advisors Long/Short as of 3/31/11
Special Invest$44,207 100.00%
Periods from 6/08 to 3/11AlphaBetaR-Squared
N/AN/AN/A
Ann
ualiz
ed R
etur
n%
-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.00.4
0.5
0.6
0.7
0.8
2
1
T
Annualized Standard Deviation%
2 K2 Advisors Long/Short1 Standard & Poors 500 T 91-Day Treasury Bill
Annualized
Net Ret
Std. Dev.
SharpeRatio
Info
Ratio
0.65 0.77 0.49
6.36 22.04 0.23
0.03 0.01 0.00
Asset Allocation ($000)
Risk/Return Analysis (Number of returns < 12)
120
City of Ft. Lauderdale Police and FireRisk Measure SummaryK2 Advisors Long/Short
Quarterly Periods Ending 3/31/11
Risk Measures
1 YearPortfolio Bench
3 YearsPortfolio Bench
5 YearsPortfolio Bench
InceptionPortfolio Bench
Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio
13
0.340.420.75
-4.774.715.265.26
13
-11.4311.30
39
0.24-90.16
0.58-7.37
10,107.43-8.72
8,966.585,835.37
-24.75871.15
0.010.06
-14.955,837.92
0.06
57
-21.9315.93
24.36
0.08
39
0.24-90.16
0.58-7.37
10,107.43-8.72
8,966.585,835.37
-24.75871.15
0.010.06
-14.955,837.92
0.06
57
-21.9315.93
24.36
0.08
121
122
Dow Jones Industrial Average: This index is comprised of 30 "blue-chip" US stocks selected for their history ofsuccessful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all USstocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisoradjusted 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 500widely held common stocks. This index does not contain the 500 largest companies or the most expensive stocks tradedin 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 onthe 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 thisindex have higher price-to-book and price-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 1000 Growth index.
Russell 1000 Value: Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companiesin this index have low price-to book and price-to-earnings ratios, higher dividend yields and lower forecasted growthvalues 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 marketcapitalization, 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 ofthe U.S. equity universe. The Russell Midcap Growth Index is constructed to provide a comprehensive and unbiasedbarometer of the mid-cap growth market. Based on ongoing empirical research of investment manager behavior, themethodology used to determine growth probability approximates the aggregate mid-cap growth manager's opportunityset.
Russell Mid-Cap Value: Measures the performance of the Russell 3000 Index extended to include micro-cap securitiesof the Russell Micro-cap Index. The index represents approximately 99% of the U.S. Equity Market. As of the latestreconstitution, the average market capitalization was approximately $3.8 billion; the median market capitalization wasapproximately $612 million. The index had a total market capitalization range of approximately $368.5 billion to $67.3million.
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 thisindex have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 2000 Value index.
City of Ft. Lauderdale Police and FireAppendix
Russell 2000 Value: A segment of the Russell 2000 with a less-than-average growth orientation. Companies in thisindex have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth valuesthan the Russell 2000 Growth index.
Russell 2500: This index consists of the bottom 500 stocks in the Russell 1000 (as ranked by market capitalization) andall of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stockperformance.
Russell 2500 Growth: A segment of the Russell 2500 with a greater-than-average growth orientation. Companies in thisindex have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 2500 Value index.
Russell 2500 Value: A segment of the Russell 2500 with a less-than-average growth orientation. Companies in thisindex have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth valuesthan 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 higherprice-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell1000 Growth or the Russell 2000 Growth indexes.
Russell 3000 Value: This index measures the performance of those Russell 3000 Index companies with lowerprice-to-book ratios and lower forecasted growth values. The stocks in this index are also members of either the Russell1000Value or the Russell 2000 Value indexes.
MSCI EAFE: A market capitalization-weighted index representing all of the MSCI developed markets outside NorthAmerica. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countriesin the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20different 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 marketperformance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developedmarket 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 UnitedKingdom, 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 measurethe equity market performance of developed and emerging markets. As of January 2009 the MSCI ACWI consisted of 46country indices comprising 23 developed and 23 emerging market country indices. The developed market countryindices 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 UnitedKingdom 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,
City of Ft. Lauderdale Police and FireAppendix
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 marketsin the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, themost common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes onlysecurities that are allowed to be purchased by global investors. This index is created by aggregating the 26 differentcountry 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, theMortgage-Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment gradeor 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/CreditBond index with maturities of 1 to 10 years.
Barclays Capital Municipal Bond: This market capitalization-weighted index includes investment grade tax-exemptbonds and is classified into four main sectors General Obligation, Revenue, Insured, and Pre-refunded. To be includedin 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 areexcluded 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 areexcluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to theU.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 paramount outstanding of $25 million or more. The maturity must be at least on year. The coupon range must be equal toor greater than zero and all equity of bonds are included. Excluded from this index are preferred equity redemptionstocks. When the component bonds of this index convert into common stock, the converted securities are dropped fromthe index.
Merrill Lynch Corp/Govt 1-3 Years A or Better: An unmanaged index of government and corporate fixed-rate debtissues with maturities between one and 3 years.
Merrill Lynch High Yield Master: Market capitalization weighted index providing a broad-based measure of bonds inthe US domestic bond market rated below investment grade, but not in default. Includes only issues with a credit ratingof BB1 or below as rated by Moody's and/or S&P, at least $100 million in face value outstanding and a remaining termto 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 orhealth care REITs are included. It is a market capitalization weighted index for which returns are calculated monthly
City of Ft. Lauderdale Police and FireAppendix
Alpha: A risk-adjusted measure of 'excess return' on an investment. That is, it measures an active manager'sperformance in excess of a benchmark index or 'risk-free' investment. An alpha of 1.0 means the manager outperformedthe market 1.0%. A positive alpha is the extra return awarded to the investor for taking additional risk rather thanaccepting the market return.
Batting Average: The percent of periods the manager has beaten the benchmark. A high average for the fund (e.g. over50) 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 impliesthat 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 asthose periods (months or quarters) in which market return is less than 0. It tells you what percentage of the down-marketwas 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 ofthe 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 iscalculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standarddeviation of the portfolio returns.
Standard Deviation: Standard deviation of return measures the average deviations of a return series from its mean, andis often used as a measure of risk. A large standard deviation implies that there have been large swings in the returnseries of the manager.
Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of abenchmark.
Treynor Ratio: The Treynor Ratio is a risk-adjusted measure of return which uses beta to represent risk. It is calculatedby subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the portfolio's betavalue.
Up Market Capture Ratio: A measure of a manager's performance in up markets. An up-market is defined as thoseperiods (months or quarters) in which market return is greater than 0. It tells you what percentage of the up-market wascaptured by the manager.
City of Ft. Lauderdale Police and FireAppendix