ft lauderdale 1st qtr book
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231 South Bemiston Avenue, 14th Floor
St. Louis, Missouri 63105
(314) 862-4848
WWW.ACGNET.COM
Investment Performance Review
For the Periods Ending March 31, 2010
City of Fort Lauderdale Police and Fire
Retirement System
ASSET CONSULTING GROUPASSET CONSULTING GROUP
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City of Fort Lauderdale Police and Fire Retirement System
Tab 1 Market Overview
Tab 2 Executive Summary
Investment Guidelines and Policy Statement
Tab 3 Total Fund Performance and Analysis
Tab 4 Equity Manager Performance and Analysis
Tab 5 Long/Short Equity Manager Performance and Analysis
Tab 6 International Manager Performance and Analysis
Tab 7 Fixed Income Manager Performance and Analysis
Tab 8 Real Estate Manager Performance and Analysis
Tab 9 International Exposure
Glossary Statistical Definitions
Table of Contents
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Market Overview
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City of Fort Lauderdale Police and Fire Retirement System
Equity Index ReturnsFor the Periods Ending March 31, 2010
5.4
%
11
.7%
49.7%
(4.2
)%
5.9
%
12
.2%
52
.4%
(4.0
)%
2.4
%6
.8%
11
.3%
53
.6%
(7.3
%)
1.0
%4
.6%
13
.0%
49.7%
(0.8%
)
3.4
%
9.1
%
15
.2%
(0.8%
)
5.2
%8
.8%
13
.1%
62
.8%
(4.0
%)
3.4
%
10
.0% 1
4.0
%
65
.1%
(5.7
%)
2.8
%
7.6
%12
.1%
60
.3%
(2.4
%)
3.8
%
0.9
% 3.2
%
55
.2%
(6.6
%)
4.2
%
1.6
%5
.5%
61
.7%
(3.7
%)
6.6
%
1.9
%
64
.1%
(20.00%)
(10.00%)
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
Quarter Two Quarters One Year Three Years Five Years
S&P 500 Russell 3000 Russell 1000 ValueRussell 1000 Growth S&P Midcap Russell 2000Russell 2000 Value Russell 2000 Growth EAFEMSCI All Country World ex U.S.
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City of Fort Lauderdale Police and Fire Retirement System
Equity Sector ReturnsFor the Periods Ending March 31, 2010
2.9
%
1.7%
(4.6
%)
10.0%
5.0%
0.1
%
10.8%
12.5%
2.4
%
(5.7
%)
31.7
%
56.4%
15.6
%
6
7.1%
31.7
%
26.7
%
80.4%
68.6%
53.0%
5.8%
(1.6
%)
2.3
%
(9.4
%)
(4.8
%)
1.9
%
(2.4
%)
(23.4%)
(5.6
%)
(4.5
%)
(13.1%)
1.4
% 4.3
%
0.4
%
(0.3
%)
4.0% 5.
0%
(10.9%)
(0.7
%)
2.0%
(1.7
%)
(40.00%)
(20.00%)
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
Healt
hcare
Info
rmatio
nTech
nolog
y
Utilit
ies
C
onsum
erDi
screti
onary
Consu
merS
taples
Energ
y
Finan
cials
Indust
rials
Mater
ials
Telec
ommu
nicati
ons
Quarter Two Quarters Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
Equity Style Spectrum - Median Returns
For the Periods Ending March 31, 2010
7.6
%8.9
%
8
.3%
6.2%
6.6%
4.2%
5.5
%
6.1%
16.3
%
14.2
%
14.5
%
12.9
%
12.6
%
12.1
%
12.0
%
12.1
%
11.8
%
12.3
%
77.4
%
59
.2%
63.4
%
60.0
%
57.8
%
51.7
%
52.5
%54.8%
47.2
%50.0
%53.6%
(0.4
)%
(1.0
)%
(2.3
)%
(0.8
)%
(3.7
)%
(6.1
)% (0.8
)%
(4.0
)%
(3.0
)%
4.7%
5.9
%
5.0
%
5.7
%
2.3% 5.0
%
2.7%
1.9% 4.0% 2
.2% 3.4%
10.2
%
7.0
%
5.6
%12.8
%
(5.3
)%(1.0
)%
(20.00%)
(10.00%)
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
Sma
llValu
e
Small
Grow
th
Small
Core
SMID
MidV
alue
Mid
Grow
th
MidC
ore
Larg
eValu
e
Large
Grow
th
L
argeC
ore
Equit
yManage
rUniv
erse
Quarter Two Quarters One Year Three Years Five Years
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International Index Returns
For the Periods Ending March 31, 2010
4.4
%
(0.2
)%
2.0
%
1.6
%3.2
%
0.1
% 6.3
% 11.2
%
5.2
%5.5
%
55.2%
45.4
%59
.5%
51.2
%
81.5
%
37.9
%
61.7
%
(6.6
)%
(7.5
)%
(7.8
)%
(9.0
)% (3.7
)%
4.2
%
3.7
%3.8
%4.6
%
16.0
%
1.3
% 6.6
%
0.9
%2.4
%8.2
%7.9
%
5.5
%
(5.3
)%
(30.00%)
(10.00%)
10.00%
30.00%
50.00%
70.00%
90.00%
MSCI
EAFE
MSCI
EAFE
Local
Curre
ncy
MSCI
Valu
e
MSCI
Grow
th
MSCIE
mg.M
arkets
Free
MSCI
Japa
n
MSCI
AllCou
ntyW
orlde
xU.S.
Quarter Two Quarters One Year Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
Fixed Income Index Returns
For the Periods Ending March 31, 2010
0.8
%
0.0
%0.7
%0.8
%1.8
%2.0
%
0.8
%
0.1
%0.7
%1.3
%2.3
%2.6
%
11.0
%
2.3
%
0.2
%1.4
%5.9% 7.4
%
7.7% 1
0.4
%
55.7
%
2.0
%
2.0
%6.0% 6.2% 6.1% 6
.0% 6.3%
2.9
%4.2
% 7.5
%
4.8
%
1.8
%2.0
%4.6
%
2.4
% 5.5%
4.9% 5
.6%5.4%
0.00%
5.00%10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
45.00%
50.00%
55.00%
60.00%
65.00%
70.00%
CPI
90-D
ayUS
T-Bil
ls
Merril
lLynch1-3Y
earTr
easuri
es
Barcl
aysCap
ital5
Year
Mun
icipal
Barcl
aysCa
pitalInt
ermediat
eAggr
egate
Barclays
Capit
alAggr
egate
Barclays
Capit
alUniv
ersal
Merrill
Lync
hHigh
Yield
Quarter Two Quarters One Year Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
As of 3/31/10 1-Month QTR 1-Year 3-Year
Aggregate -0.12% 1.78% 7.69% 6.14%
Treasury -0.85% 1.12% -1.18% 6.02%
Gov't-Related -0.18% 1.44% 4.40% 6.27%
Corporate 0.30% 2.30% 23.80% 5.95%
MBS 0.03% 1.54% 5.21% 7.03%
CMBS 2.45% 9.10% 42.81% 5.03%ABS 0.06% 2.22% 18.53% 3.89%
High Yield (Corporate) 3.13% 4.62% 56.18% 6.65%
As of 3/31/10 1-Month QTR 1-Year 3-Year
AAA -0.30% 1.51% 3.93% 6.15%
AA 0.38% 2.53% 14.73% 5.24%
A 0.51% 2.50% 21.72% 4.82%
BAA 0.60% 3.25% 30.01% 7.26%
BA 2.83% 4.50% 40.04% 7.98%
B 2.64% 3.54% 43.19% 3.34%
CAA 3.98% 5.26% 91.53% 2.30%
As of 3/31/10 1-Month QTR 1-Year 3-Year
1-3 Yr. -0.03% 0.95% 4.72% 5.27%
3-5 Yr. -0.01% 1.73% 6.65% 6.11%
5-7 Yr. 0.10% 2.45% 9.45% 6.01%
7-10 Yr. -0.25% 2.32% 10.95% 7.00%
10+ Yr. -0.76% 1.45% 8.15% 5.30%1Relative to the duration neutral Treasury
Time periods over one year are annualized
Source: Barclays Capital
Nominal Returns by Maturity
Fixed Income Market EnvironmentFor the Periods Ending March 31, 2010
Nominal Returns by Sector
Nominal Returns by Quality
Excess Returns by Sector1
as of March 31, 2010
128 50314
56
384
78 52 114 69
795
133350
769
426
2,507
389
4,238
1,777
5,603
-13 -51
174057
-174
61
-162
39
-1,000
0
1,000
2,000
3,000
4,000
5,000
6,000
Aggregate Gov't-
Related
Corporate MBS CMBS ABS High Yield
(Corporate)
Excess
Return
(bps)
1-Month QTR 1-Year 3-Year*
Excess Returns by Qualityas of March 31, 2010
329141362
1,578
3,131
4,0194,299
9,106
-5
467150
36232 161127 134
334 246413
20556
2,304
-174
64 147
-312 -419-104
-1,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
AAA AA A BAA BA B CAA
ExcessReturn
(bps)
1-Month QTR 1-Year 3-Year*
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3/31/2010 12/31/2009 3/31/2009
0.16% 0.06% 0.21%
0.24% 0.19% 0.43%
0.39% 0.44% 0.55%1.02% 1.14% 0.80%
1.57% 1.67% 1.13%
2.13% 2.19% 1.32%
2.55% 2.68% 1.66%
3.28% 3.38% 2.25%
3.83% 3.83% 2.67%
4.54% 4.56% 3.58%
4.72% 4.63% 3.54%
90 Days
180 Days
1 Year2 Years
3 Years
4 Years
5 Years
7 Years
10 Years
20 Years
30 Years
Interest Rate Term Structure
Government Issues - 3 Months to 30 Year Maturity
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
0 5 10 15 20 25 30
Years-to-Maturity
Yield-
to-Maturity
3/31/2010 12/31/2009 3/31/2009
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Monthly Indices Report
Periods Ending March 31, 2010
ReturnsIndex Name Style Month Qtr 2 Qtrs 1 Year 3 Years 5 Years 10 Years
Domestic Equity IndicesS&P 500 Large Cap Core 6.03% 5.38% 11.74% 49.75% (4.17)% 1.92% (0.65)%
S&P Equal Weighted Large Cap Core 7.05% 8.09% 15.06% 75.07% (2.01)% 4.36% 6.38%
Russell 1000 Large Cap Core 6.14% 5.70% 12.11% 51.57% (3.99)% 2.30% (0.37)%
Russell 1000 Growth Large Cap Growth 5.78% 4.65% 12.96% 49.75% (0.78)% 3.42% (4.21)%
Russell 1000 Value Large Cap Value 6.51% 6.79% 11.29% 53.57% (7.33)% 1.05% 3.10%
Russell 2500 Mid Cap Core 7.64% 9.20% 14.74% 65.68% (3.16)% 4.04% 4.82%
Russell 2000 Small Cap Core 8.14% 8.85% 13.07% 62.77% (3.99)% 3.36% 3.68%
Russell 2000 Growth Small Cap Growth 7.94% 7.61% 12.06% 60.31% (2.42)% 3.82% (1.53)%
Russell 2000 Value Small Cap Value 8.32% 10.03% 14.01% 65.06% (5.71)% 2.75% 8.90%
Wilshire 5000 Broad Equities 6.23% 6.03% 12.16% 52.10% (3.83)% 2.58% (0.05)%
International Equity IndicesMSCI World Broad Global 6.25% 3.36% 7.68% 53.25% (4.85)% 3.46% 0.44%
MSCI World ex US Broad Global 6.50% 1.42% 3.94% 56.75% (5.66)% 4.84% 2.12%
MSCI EAFE Developed Markets Intl 6.31% 0.94% 3.19% 55.20% (6.55)% 4.24% 1.68%
MSCI EAFE Local Currency Developed Markets Intl 7.51% 4.37% 7.89% 45.41% (7.54)% 3.66% (0.47)%MSCI EAFE Growth Developed Markets Intl Growth 6.56% 2.03% 6.32% 51.16% (5.33)% 4.61% (0.94)%
MSCI EAFE Value Developed Markets Intl Value 6.04% (0.18)% 0.14% 59.46% (7.85)% 3.80% 4.20%
MSCI Emerging Markets Free Emerging Market 8.08% 2.45% 11.23% 81.53% 5.46% 16.00% 10.11%
MSCI All Country World ex US Emerging Market 6.85% 1.65% 5.50% 61.66% (3.72)% 6.58% 3.20%
Domestic Fixed Income IndicesTreasury Bills Cash 0.00% 0.01% 0.05% 0.17% 1.99% 2.91% 2.85%
Merrill Lynch 1-3 Yr Treasuries Treasuries (0.25)% 0.70% 0.72% 1.39% 4.62% 4.23% 4.42%
Barclays Capital Muni 5 Yr 5 Yr Municipal Bonds (0.82)% 0.76% 1.32% 5.91% 6.05% 4.90% 5.19%
Barclays Capital Aggregate Core Bonds (0.12)% 1.78% 1.99% 7.70% 6.14% 5.44% 6.29%Barclays Capital Government Government Bonds (0.75)% 1.10% 0.09% (0.13)% 5.98% 5.19% 5.93%
Barclays Capital U.S. Credit Corporate Bonds 0.30% 2.27% 3.33% 20.85% 6.00% 5.37% 6.73%
Barclays Capital Muni 10 Yr 10 Yr Municipal Bonds (0.73)% 1.39% 0.11% 7.72% 5.39% 5.01% 5.71%
Merrill Lynch High Yield High Yield Bonds 3.12% 4.84% 10.96% 55.66% 6.35% 7.54% 7.47%
Real Estate IndicesNCREIF Property Real Estate N/A 0.76% (1.37)% (9.60)% (4.32)% 4.18% 7.12%NFI ODCE (net) Real Estate N/A 0.57% (3.07)% (18.64)% (11.52)% (0.93)% 3.85%NAREIT Real Estate 10.18% 10.02% 20.36% 106.70% (10.60)% 3.79% 11.42%
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Executive Summary
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Investment Guidelines and Policy Statement
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Investment Policy Statement
The Trustees of the Police & Fire Retirement System Pension Fund, in adopting the following Investment Policy Statement, intend its provisionsto act as guidelines for the investment managers employed by the Fund. It shall be the responsibility of the investment managers to bring to theattention of the Trustees any term of the Statement, which the investment managers believe to inhibit or in any way affect their exercise ofmanagement discretion.
I. PURPOSE OF STATEMENT
The Trustees are charged by law with the responsibility for the investment of assets of the Trust Fund. To discharge this function, the Trustees are
authorized by law to engage the services of Investment Managers who possess the necessary specialized research facilities and skilled personnel toprovide expertise with respect to investment of assets entrusted to them.
In keeping with the duties of Chapter 20 of Fort Lauderdale Ordinances, this statement of investment goals and objectives is set forth.
Its purpose is to:
Determine the Trust's projected financial needs.
Express the Trustees' position with respect to the funds risk-volatility posture.
Formulate an appropriate set of goals and objectives for the Fund's assets.
II. INVESTMENT OBJECTIVES
A. Assets of the Fund shall be invested in a manner consistent with the fiduciary's acceptable standards of Chapter 112, Florida Statutes,
namely:
1. The safeguards and diversity that a professional, prudent investment manager would adhere to must be present.
2. All transactions undertaken on behalf of the Trust must be for the sole interest of Plan participants and their beneficiaries.
B. The Fund shall be invested in a manner consistent with the primary emphasis upon consistency of performance to protect the Fund fromexcessive volatility in current market value.
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C. The Fund shall be invested with emphasis upon capital protection, i.e., the achievement of adequate investment growth so that thepurchasing power of the principal amount of these assets is at least maintained and preferably increased.
DD..
The Plans total return will be expected to provide equal or superior results based on a five year investment horizon, relative to theobjectives enumerated below. It is anticipated that achievement of this rate of return will raise the funded status of the plan and lower thecontribution rate as a percent of payroll.
11.. TThhee RReettiirreemmeenntt SSyysstteemmss aannnnuuaalliizzeedd ttoottaall rreettuurrnn sshhoouulldd eeqquuaall oorr eexxcceeeedd tthhee RReettiirreemmeenntt SSyysstteemmss aaccttuuaarriiaall iinntteerreesstt rraattee aassssuummppttiioonn..22.. TThhee RReettiirreemmeenntt SSyysstteemmss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn ooffaann iinnddeexx ccoommppoosseedd aass ffoolllloowwss::
3355%%
SS&&PP5500001100%% RRuusssseellll 22000000
1155%% MMSSCCII EEAAFFEE
3300 %% BBaarrccllaayyss CCaappiittaall AAggggrreeggaattee BBoonndd IInnddeexx
1100%% NNCCRREEIIFF IInnddeexx
33.. TThhee RReettiirreemmeenntt SSyysstteemmss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn oofftthhee mmeeddiiaann ppllaann iinn tthhee ccoonnssuullttaannttss ppeeeerr ggrroouupp uunniivveerrssee..III. INVESTMENT GUIDELINES
A. It shall be the policy of the Fund to invest the assets in accordance with the following asset allocation levels outlined below:
Asset Class Target Allocation Minimum MaximumDomestic Equity:
Large Cap Equity 25% 20% 30%
Large Cap Equity is further defined as:
Large Cap Core 12.5% 7.5% 17.5%Large Cap Value 6.25% 1% 12%Large Cap Growth 6.25% 1% 12%
Small Cap Equity 10% 5% 15%
Small Cap Equity is further defined as:
Small Cap Value 5% 2% 10%Small Cap Growth 5% 2% 10%
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2. A direct loan or an extension of a line of credit between the Plan assets and any interested party.
3. A transfer of Plan assets to an interested party for the exclusive benefit or use of the interested party.
4. An acquisition of securities, which would exceed stated limitations, 5% in any one company. Any exceptions to the foregoingrestrictions would require written Board approval with the specifics detailed.
5. Instrumentalities which are or may be deemed in violation of prohibitive transaction standards as may be specified in the FloridaStatutes, specifically Chapters 112, 175 and 185.
IV. COMMUNICATIONS
A. Documentation
Statements are to be supplied at least quarterly by each investment manager and/or bank custodian to the Trustees indicating:
1. The Fund composition, i.e., at book or original cost and at current market value (by sector, including equity, fixed income, cashequivalents, and "pure" cash balances);
2. Position, by individually named securities, showing their respective book and market values, the number of shares by date securedor sold;
3. All income cash transactions, including sources of all interest and dividends in sufficient descriptive detail. The investmentmanager is expected to provide written confirmation and documentation of all principal transactions, with the exception of cashequivalent trades, within one week of occurrence.
B. Meetings
Investment managers are expected to meet on a quarterly basis, or more often upon request, with the Trustees to review the portfolio andto discuss investment results in terms of these goals, objectives and policies.
V. BASIS FOR MEASUREMENT
Performance of this Fund is to be measured, both currently and historically, in context with these goals and objectives. In order to ensure that
investment opportunities available over a specific time period are fairly evaluated, the Trustees will use comparative performance statistics toevaluate investment results.
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Total Fund Performance and Analysis
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NorthPointe
(Small Cap Growth)
Current Portfolio Structure by Fund Manager
Agincourt
Mellon Bank
Fixed
Income
Domestic
Equ
ity
Int
l.Equ
ity
Artio International Systematic(Large Cap Value)
RhumbLineS&P 500 Pooled Fund
(Large Cap Index)
INTECH(Large Cap S&P 500 Index)
Sawgrass
(Large Cap Growth)
Lee Munder
(Small Cap Value)
Rea
lEstate
Prudential
American Realty
City of Fort Lauderdale Police and Fire Retirement System
Thornburg International
25
K2 Long ShortMaster Fund
L
ong
/Short
Equ
ity
SSGA Passive Bond Market
Index Fund
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INVESCO
Historical Portfolio Structure by Fund Manager
Systematic
(Large Cap Value)
RhumbLine
S&P 500 Pooled Fund(Large Cap Index)
INTECH
(Large Cap S&P 500 Index)
INVESCOTerminated 10/02
Montag & Caldwell(Large Cap Growth)
Terminated 07/04
Agincourt
Mellon Bank
Balance
dManager
Bon
dManager
D
omestic
Equ
ity
Int
l.Equ
ity
The Boston Company(International Equity)Terminated 10/07
Lazard Asset Mgmt.(International Equity)Terminated 01/06
Oechsle International
(Emerging Markets)Terminated 01/06
Sawgrass
(Large Cap Growth)
RhumbLine
(Mid Cap Index)Terminated 11/06
Lee Munder(Small Cap Value)
NorthPointe(Small Cap Growth)
Supplemental Account
Previous Management1) Fayez Sarofim 2) INVESCO
SovranTerminated 11/99
INVESCO Enhanced
S&P 500Terminated 03/04
City of Fort Lauderdale Police and Fire Retirement System
Artio International Equity
Thornburg International
26
Essex Investment(Large Cap Growth)
Terminated 03/07
SSGA Passive Bond MarketIndex Fund
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City of Fort Lauderdale Police and Fire Retirement System
This Quarter Year-To-Date Last Twelve Months
Beginning Market Value
Net Additions
Return on Investment
Income Received
Gain/Loss
Ending Market Value
13,921
1,426
12,495
422,958
$417,484 $345,479
-8,447 -12,059
$417,484
-8,447
13,921 89,538
1,426 6,126
12,495 83,411
422,958 422,958
For the Periods Ending March 31, 2010
Total Portfolio
Total Portfolio Dollar Reconciliation (000s)
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Market Values % of Portfolio 1QTR Rank 01YR Rank 02YR Rank 03YR Rank 05YR Rank
Rates of Return Summary & Universe RankingsFor the Periods Ending March 31, 2010
Fixed Income 116,718,002 27.6% 2.2% 12.0% 6.4% 6.6% 5.8%
Core Fixed Income 116,718,002 27.6%
Agincourt 68,973,100 16.3% 2.6% 29 15.1% 36 6.6% 47 6.4% 62 5.7% 58
Mellon Aggregate Bond Index Fund 20,782,353 4.9% 1.6% 81 7.1% 82 5.2% 78 6.1% 74 5.4% 73
SSGA Passive Bond Market Index Fund 26,962,549 6.4% N/A -- N/A -- N/A -- N/A -- N/A --
Citigroup Broad Investment Grade 1.5% 6.4% 5.5% 6.5% 5.7%
Barclays Capital Aggregate 1.8% 7.7% 5.4% 6.1% 5.4%
Median Core Bond Manager 2.2% 12.3% 6.5% 6.7% 5.9%
Real Estate 25,239,561 6.0% -0.2% -22.0% -23.0% N/A N/A American Stable Value Fund 17,273,748 4.1% -0.7% 72 -20.4% 58 -19.6% 51 N/A -- N/A --
PRISA II 7,965,813 1.9% 0.8% 32 -26.1% 72 -31.8% 82 N/A -- N/A --
NCREIF Property 0.8% -9.6% -12.2% -4.3% 4.2%
NFI ODCE (net) 0.6% -18.6% -21.4% -11.5% -0.9%
Median Real Estate Funds 0.0% -15.2% -19.4% -10.4% 0.5%
Cash 3,640,620 0.9%Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
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City of Fort Lauderdale Police and Fire Retirement System
Over/-Under
Market Value Target
Equity 277,359,392 5.6%
Large Cap 133,588,530 6.6%
Small/Mid Cap 46,438,460 1.0%
Long/Short Equity 42,045,610 -0.1%
International Equity 55,286,792 -1.9%
Fixed Income (Incl. Cash) 120,358,622 -1.5%
Real Estate 25,239,561 -4.0%
Total $422,957,575
28.5%
13.1%
9.9%
31.6%
11.0%
City of Fort Lauderdale Police and Fire Retirement SystemFor the Periods Ending March 31, 2010
55-65%
5-15%
20-30%
65.6%
Actual vs. Target Allocation
Current Allocation
25.0%
10.0%
Target RangeTarget Allocation
100.0%
25-35%
10-20%
30.0%
60.0%
15.0%
10.0% 5-15%
6.0% 10.0% 5-15%
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 57 74 51 62 87 72
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
5th Percentile 4.89 42.59 4.06 4.03 5.85 5.38
25th Percentile 3.95 35.48 0.92 0.78 5.01 4.5350th Percentile 3.57 30.39 -0.62 -0.35 4.50 3.69
75th Percentile 3.13 26.36 -2.20 -1.34 3.91 3.21
95th Percentile 2.48 19.23 -5.05 -3.51 2.96 2.47
Observations 126 125 123 117 117 105
Total Portfolio
For the Periods Ending March 31, 2010
The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P
500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and
10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
3.4
3.6
3.6
26.9
28.4 3
0.4
-0.6
-1.7
-0.6
-0.8
-1.1
-0.3
3.6
2.8 4
.5
3.3
2.0 3
.7
-10
-5
0
5
10
15
20
25
30
35
40
RateofReturn%
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
Total Portfolio Policy Index Master Trust Funds - Public Funds
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Ranking 74 15 79 84 76
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 42.59 -13.14 4.72 13.27 17.1925th Percentile 35.48 -23.94 2.06 11.80 14.76
50th Percentile 30.39 -26.30 0.58 10.80 13.37
75th Percentile 26.36 -28.66 -0.90 9.94 11.69
95th Percentile 19.23 -30.83 -3.00 8.18 8.57
Observations 125 194 204 233 236
Total Portfolio
One Year Periods Ending March
The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P
500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
26.9
28.4
30.4
-22.2
-24.7
-26.3
-1.3
0.1
0.6
9.4 9
.810.8 1
1.7
7.9
13.4
-50
-40
-30
-20
-10
0
10
20
30
40
50
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
Total Portfolio Policy Index Master Trust Funds - Public Funds
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City of Fort Lauderdale Police and Fire Retirement System
AnnualizedReturn
Sharpe Ratio
Total Portfolio 3.56 0.04
Policy Index 2.76 -0.04
Master Trust Funds - Public Funds 4.50 0.11
Risk vs. Return AnalysisFive Years Ending March 31, 2010
10.28
10.80
11.83
Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital
Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%
Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
Standard Deviation
Total Portfolio
Policy Index
Master Trust Funds -
Public Funds
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
10.2 10.4 10.6 10.8 11 11.2 11.4 11.6 11.8 12
Standard Deviation
Return
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City of Fort Lauderdale Police and Fire Retirement System
Equity Manager Performance and Analysis
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This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Systematic Financial ManagementFor the Period Ending March 31, 2010
Account Description Performance Goals
Benchmark: Russell 1000 Value
Fees: 38 bps for the first $50 million; 30 bps for the next $25 million; and 25
bps thereafter
Over a market cycle, performance in the upper third of appropriate universe (Large
Value); above median performance among style peers for shorter term periods.
Outperform the Russell 1000 Value Index over a full market cycle.
Strategy: Large Capitalization Value
Vehicle: Separate Account
Inception date: November 2002
0 -7,824
43,073 43,073
3,099 16,713
148 711
2,951 16,003
Dollar Growth Summary (in 000s) Growth of a Dollar
39,974 34,184
Last 12 Months
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
Sep-0
2
Mar-0
3
Sep-0
3
Mar-0
4
Sep-0
4
Mar-0
5
Sep-0
5
Mar-0
6
Sep-0
6
Mar-0
7
Sep-0
7
Mar-0
8
Sep-0
8
Mar-0
9
Sep-0
9
Mar-1
0
Systematic Financial Management Russell 1000 Value
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City of Fort Lauderdale Police and Fire Retirement System
GENERAL ELEC CO 4.2% BANK OF AMERICA CORP 2.2%
WELLS FARGO & CO 3.3% AMERIPRISE FINL INC 2.2%
JPMORGAN CHASE & CO 2.7% HESS CORP 2.0%
CHEVRON CORP 2.5% WHITING PETE CORP NEW 2.0%
EXXON MOBIL CORP 2.5% COOPER INDUSTRIES PLC 1.8%
CLIFFS NATRES INC 54.2% WYNDHAM WORLDWIDE CORP 28.2%
REGIONS FINL CORP NEW 48.6% QWEST COMMUNICATIONS INTL INC 26.2%
KEYCORP NEW 39.8% FORD MTR CO DEL 25.7%
CUMMINS INC 35.5% WALTER ENERGY INC 22.7%
COMERICA INC 28.8% CITIGROUPINC 22.4%
HERTZ GLOBAL HLDGS INC -16.2% SMUCKER JM CO -1.9%
DEVON ENERGY CORPORATION -12.2% MICRON TECHNOLOGY INC -1.6%
CHESAPEAKEENERGY CORP -8.4% EXXON MOBIL CORP -1.1%
VERIZON COMMUNICATIONS -5.0% CELANESE CORP DE -0.7%
ADVANCED MICRO DEVICES INC -4.2% CHEVRON CORP -0.6%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Systematic Financial Management
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of March 31, 2010, Systematic Financial Management held 87 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
53.48
71.93
10.6
4
4.1
05.89
5.4
6
2.1
62.0
018.23 17
.20
1.35
2.1
3
0
10
20
30
40
50
60
70
80
90
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Systematic Financial Management Russell 1000 Value
10
.6
5.5
17
.6
26
.1
8.7 1
0.9
5
.0
4.1
5
.1 6.4
0.0
12
.6
1.9
14
.9
28
.4
9.7
13
.3
6.4 6
.8
2.7 2.1 1.2
0
5
10
15
20
25
30
35
40
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
Other/Cash
Systematic Financial Management Russell 1000 Value
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y y
Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Systematic
Financial
Management Russell 1000 Value
31
56
64.37%
87
10.72%
-17.31%56
31
64.37%
87
9.61%
-15.19%
Risk vs. Return (7 Year Annualized) Portfolio Statistics
Systematic Financial Management
For the Periods Ending March 31, 2010
Return Histogram (7 Years) Return Analysis
7 Years
--
0.96
0.16
Russell 1000 Value
15.9215.80
0.340.46
Systematic
Financial
Management
9.47 7.68
--
1.00
--
--
--
107.44
101.38
97.19
94.46
Systematic Financial
ManagementRussell 1000 Value
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
10.00%
15.78% 15.80% 15.82% 15.84% 15.86% 15.88% 15.90% 15.92% 15.94%
Standard Deviation
Rate
ofReturn
8
6
3
7
54
14
108 8
1110
1
5 5
8
4
20
810
1
12
0
5
10
15
20
25
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
Systematic Financial Management Russell 1000 Value
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 68 39 26 43 31
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 76.07 -33.95 0.00 18.63 19.94
25th Percentile 59.01 -37.69 -6.85 16.88 16.76
50th Percentile 54.83 -41.30 -10.42 15.68 15.03
75th Percentile 51.47 -43.73 -12.54 14.39 12.71
95th Percentile 38.38 -47.04 -20.51 11.54 10.78
Observations 288 390 362 321 285
Systematic Financial Management
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the large value equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
53.2
53.6
54.8
-39.8
-42.4
-41.3
-6.9
-10.0
-10.4
16.0 16.8 15.7 1
6.213.3 1
5.0
-70
-50
-30
-10
10
30
50
70
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
Systematic Financial Management Russell 1000 Value Median Large Value Mgr
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City of Fort Lauderdale Police and Fire Retirement System
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
INTECHFor the Period Ending March 31, 2010
Account Description Performance Goals
Benchmark: S&P 500
Fees: 35 bps for the first $100 million, 30bps for the next $100 million, 25 bps
for the next $100 million, 20 bps for the next $200 million, & 17.5 bps for over
$500 million
Over a market cycle, performance in the upper third of appropriate universe (Large
Core); above median performance among style peers for shorter term periods.
Outperform the S&P 500 Index over a full market cycle.
Strategy: Large Capitalization Core Equity
Vehicle: Separate Account
Inception date: March 2004
0 -15,029
24,561 24,561
1,312 11,289
111 685
1,201 10,604
Dollar Growth Summary (in 000s) Growth of a Dollar
23,249 28,301
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
Mar-0
4
Sep-0
4
Mar-0
5
Sep-0
5
Mar-0
6
Sep-0
6
Mar-0
7
Sep-0
7
Mar-0
8
Sep-0
8
Mar-0
9
Sep-0
9
Mar-1
0
INTECH S&P 500
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y y
EXXON MOBIL CORP 3.9% GENERAL ELEC CO 1.8%
AT&T INC 2.3% JOHNSON & JOHNSON 1.8%
MICROSOFT CORP 2.2% CHEVRON CORP 1.7%
INTERNATIONAL BUSINESS MACHS 2.2% CISCO SYSINC 1.5%
APPLE INC 1.9% GOOGLE INC 1.4%
ZIONS BANCORPORATION 70.2% MARSHALL & ILSLEY CORP 47.9%
GENWORTH FINL INC 61.6% HUNTINGTON BANCSHARES INC 47.4%
TYSON FOODS INC 56.4% MILLIPORECORP 46.0%
JDS UNIPHASE CORP 51.9% KEY CORP 39.8%
REGIONS FINL CORP 48.6% FIFTH THIRD BANCORP 39.5%
BOSTON SCIENTIFIC CORP -19.8% PPL CORP -13.2%
AES CORP -17.4% MONSANTO CO -12.4%
SOUTHWESTERN ENERGY CO -15.5% DEVON ENERGY CORPORATION -12.2%
CABOT OIL & GAS CORP -15.5% WESTERN DIGITAL CORP -11.7%
KLA TENCOR CORP -14.1% ALCOA INC -11.5%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
INTECH
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of March 31, 2010, INTECH held 402 securities in their portfolio. Holdings andportfolio characteristics are as follows:
78.01
82.1
2
11.0
5
9.60
6.79
6.67
3.5
1
3.3
718.91
18.84
1.7
31.8
7
0
10
20
3040
50
60
70
80
90
100
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
INTECH S&P 500
10
.111
.3
10
.91
6.5
12
.2
10
.5
18
.9
3
.5
2.8
3
.4
0.0
13
.7
9.3 1
0.9 1
3.8
11
.4
8.1
23
.4
3.1
3
.5
2.2
0.505
10
15
20
25
30
35
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
Other/Cash
INTECH S&P 500
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Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
INTECH S&P 500
25
48
65.75%
73
9.57%
-16.80%47
26
64.38%
73
9.27%
-17.16%
Risk vs. Return (6 Year Annualized) Portfolio Statistics
INTECH
For the Periods Ending March 31, 2010
Return Histogram (6 Years) Return Analysis
6 Years
--
1.00
0.11
S&P 500
15.2115.26
0.020.10
INTECH
4.02 2.70
--
1.00
--
--
--
104.20
97.67
99.31
98.63
INTECH
S&P 500
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
15.21% 15.22% 15.23% 15.24% 15.25% 15.26% 15.27%
Standard Deviation
Rate
ofReturn
7
3
56
4
8
11
910
3
6
8
4
2
7
4
8
16
4
10
3
6
0
2
4
6
8
10
12
14
16
18
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
INTECH S&P 500
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Ranking 42 75 36 44 36 24
1 Quarter 1 Year 2 Years 3 Years 5 Years 6 Years
5th Percentile 7.56 65.31 1.55 -0.14 4.81 6.45
25th Percentile 6.12 52.32 -2.68 -3.09 3.00 3.9150th Percentile 5.47 49.97 -3.55 -4.02 2.18 3.18
75th Percentile 5.36 48.85 -3.88 -4.32 1.95 2.77
95th Percentile 3.98 41.60 -6.00 -7.16 1.09 2.19
Observations 661 609 559 506 391 339
INTECH
For the Periods Ending March 31, 2010
The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
5.6
5.4
5.5
48.9
49.8
50.0
-3.2
-3.7
-3.5
-3.9
-4.2
-4.0
2.5
1.9 2
.2 4.0
2.7 3
.2
-20
-10
0
10
20
30
40
50
60
RateofReturn%
1 Quarter 1 Year 2 Years 3 Years 5 Years 6 Years
INTECH S&P 500 Median Large Core Mgr
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Ranking 75 26 60 49 40
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 65.31 -32.91 1.13 15.81 19.51
25th Percentile 52.32 -37.03 -4.55 13.57 15.42
50th Percentile 49.97 -37.97 -5.06 11.90 12.92
75th Percentile 48.85 -38.66 -6.59 11.59 11.76
95th Percentile 41.60 -44.89 -12.40 9.13 9.50
Observations 609 759 712 621 543
INTECH
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
48.9
49.8
50.0
-37.1
-38.1
-38.0
-5.3
-5.1
-5.1
11.9
11.8
11.9 1
4.3
11.7
12.9
-60
-40
-20
0
20
40
60
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
INTECH S&P 500 Median Large Core Mgr
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Rh bli L C F d
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Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Tracking Error
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
--
--
0.33
-0.43 -0.65
-0.190.99
--
-0.201.00
Rhumbline Large
Cap Fund S&P 500
59
115
66.09%
174
9.78%
-16.80%
109
65
62.64%
174
17.16%
-16.58%
Risk vs. Return (10 Year Annualized) Portfolio Statistics
Rhumbline Large Cap Fund
For the Periods Ending March 31, 2010
Return Histogram (10 Years) Return Analysis
10 Years
--
99.96
S&P 500
15.9315.80
Rhumbline Large
Cap Fund
98.57
99.98
--
--
0.02
99.58
Rhumbline Large
Cap Fund
S&P 500
-0.70%
-0.60%
-0.50%
-0.40%
-0.30%
-0.20%
-0.10%
0.00%
15.78% 15.80% 15.82% 15.84% 15.86% 15.88% 15.90% 15.92% 15.94%
Standard Deviation
Rat
eofReturn
19
45
14
7
14
23
4
12
3
15
19
5 5
13
7
14
22
5
12
3
15
0
5
10
15
20
25
30
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
Rhumbline Large Cap Fund S&P 500
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Ranking 74 67 42 41 55 64
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
5th Percentile 7.56 65.31 1.55 -0.14 4.81 7.78
25th Percentile 6.12 52.32 -2.68 -3.09 3.00 4.64
50th Percentile 5.47 49.97 -3.55 -4.02 2.18 1.31
75th Percentile 5.36 48.85 -3.88 -4.32 1.95 -0.57
95th Percentile 3.98 41.60 -6.00 -7.16 1.09 -0.76
Observations 661 609 559 506 391 191
Rhumbline Large Cap Fund
For the Periods Ending March 31, 2010
The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
5.4
5.4
5.5
49.7
49.8
50.0
-3.4
-3.7
-3.5
-3.9
-4.2
-4.0
2.1 1
.9 2.2
-0.4
-0.7
1.3
-30
-20
-10
0
10
20
30
40
50
60
70
RateofReturn%
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr
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Ranking 67 34 31 64 82
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 65.31 -32.91 1.13 15.81 19.51
25th Percentile 52.32 -37.03 -4.55 13.57 15.42
50th Percentile 49.97 -37.97 -5.06 11.90 12.92
75th Percentile 48.85 -38.66 -6.59 11.59 11.76
95th Percentile 41.60 -44.89 -12.40 9.13 9.50
Observations 609 759 712 621 543
Rhumbline Large Cap Fund
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
49.7
49.8
50.0
-3
7.6
-3
8.1
-3
8.0
-4.9
-5.1
-5.1
11.9
11.8
11.9
11.7
11.7
12.9
-60
-40
-20
0
20
40
60
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr
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This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
SawgrassFor the Period Ending March 31, 2010
Account Description Performance Goals
Benchmark: Russell 1000 Growth
Fees: 50 bps up to $100 million and 40 bps above $100 million
Over a market cycle, performance in the upper third of appropriate universe (Large
Growth); above median performance among style peers for shorter term periods.
Outperform the Russell 1000 Growth Index over a full market cycle.
Strategy: Large Capitalization Growth
Vehicle: Separate Account
Inception Date: March 2007
0 -11,090
39,471 39,471
1,497 13,314
172 640
1,325 12,675
Dollar Growth Summary (in 000s) Growth of a Dollar
37,974 37,247
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
Mar-0
7
Jun-0
7
Sep-0
7
Dec-0
7
Mar-0
8
Jun-0
8
Sep-0
8
Dec-0
8
Mar-0
9
Jun-0
9
Sep-0
9
Dec-0
9
Mar-1
0
Sawgrass Russell 1000 Growth
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MICROSOFT CORP 4.5% GILEAD SCIENCES INC 3.1%
INTERNATIONAL BUSINESS MACHS 4.4% MCDONALDS CORP 3.0%
CISCO SYSINC 4.3% HEWLETT PACKARD CO 2.9%
CVS CAREMARK CORP 3.3% WAL MART STORES INC 2.9%
ABBOTT LABS 3.2% ELI LILLY & CO 2.8%
FAMILY DLR STORES INC 32.1% CVS CAREMARK CORP 13.8%
JACOBS ENGR GROUP INC 20.1% APPLE INC 11.4%
AFLAC INC 18.1% YUM BRANDS INC 10.3%
TJX COS INC 16.7% INTEL CORP 10.0%
GENERAL DYNAMICS CORP 13.9% PEPSICO INC 9.6%
PUBLIC SVC ENTERPRISE GROUP -10.2% QUEST DIAGNOSTICS INC -3.3%
QUALCOMM INC -8.8% ABBOTT LABS -1.7%
GOOGLE INC -8.6% INTERNATIONAL BUSINESS MACHS -1.6%
ARCHER DANIELS MIDLAND CO -7.2% EXXON MOBIL CORP -1.1%
MICROSOFT CORP -3.6% BAXTER INTL INC -0.3%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Sawgrass
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of March 31, 2010, Sawgrass held 47 securities in their portfolio. Holdings andportfolio characteristics are as follows:
81.5
8
76.3
9
34.8
9
4.80 7.
07
7.4
2
4.4
84.6
718.4
3
20.37
1.6
71.53
0
10
20
30
40
50
60
70
80
90
100
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Sawgrass Russell 1000 Growth
10
.91
5.9
3.9 5
.2
15
.9
10
.7
32
.3
3.8
0.6 0.8 0.0
15
.4
12
.5
2.6
1.6
20
.2
10
.8
30
.4
1.4
0.0 0.94
.1
05
10
15
20
25
30
35
40
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
Others/Cash
Sawgrass Russell 1000 Growth
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Sawgrass Russell 1000 Growth
15
21
58.33%
36
9.60%
-17.61%20
16
55.56%
36
6.84%
-16.69%
Risk vs. Return (3 Year Annualized) Portfolio Statistics
Sawgrass
For the Periods Ending March 31, 2010
Return Histogram (3 Years) Return Analysis
3 Years
--
0.86
-0.15
Russell 1000 Growth
20.4617.80
-0.11-0.21
Sawgrass
-2.19 -0.78
--
1.00
--
--
--
82.02
88.23
98.71
97.44
Sawgrass
Russell 1000 Growth
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
17.50% 18.00% 18.50% 19.00% 19.50% 20.00% 20.50% 21.00%
Standard Deviation
RateofReturn
7
2
0
4
2
1
3
6
5
2
4
8
1
0
5
2
0
4
1
5
4
6
0
1
2
34
5
6
7
8
9
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
Sawgrass Russell 1000 Growth
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Ranking 62 67 87 56 71
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
5th Percentile 6.47 14.96 69.43 4.48 3.65
25th Percentile 5.09 13.10 50.55 0.93 1.43
50th Percentile 4.23 12.08 47.16 -1.18 -0.79
75th Percentile 3.49 10.90 42.98 -3.59 -2.76
95th Percentile 2.43 8.90 35.45 -7.92 -5.16
Observations 490 472 447 401 355
Sawgrass
For the Periods Ending March 31, 2010
The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
3.9
4.7
4.2
11.2
13.0
12.1
40.2
49.8
47.2
-1.9
-0.8
-1.2
-2.2
-0.8 -0
.8
-20
-10
0
10
20
30
40
50
60
RateofReturn%
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
Sawgrass Russell 1000 Growth Median Large Growth Mgr
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Ranking 87 22 79
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 69.43 -28.74 8.96 10.92 26.19
25th Percentile 50.55 -31.79 2.32 7.15 21.00
50th Percentile 47.16 -34.31 0.00 5.44 16.64
75th Percentile 42.98 -36.59 -1.79 2.27 12.85
95th Percentile 35.45 -41.04 -5.20 -1.57 8.61
Observations 447 593 549 456 379
Sawgrass
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
40.2
49.8
47.2
-31.4
-34.3
-34.3
-2.7
-0.8
0.0 7
.1
5.4
13.1 16.6
-60
-40
-20
0
20
40
60
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
Sawgrass Russell 1000 Growth Median Large Growth Mgr
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Lee Munder Small Cap Value
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This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Lee Munder Small Cap ValueFor the Period Ending March 31, 2010
Account Description Performance Goals
Benchmark: Russell 2000 Value
Fees: 75 bps
Over a market cycle, performance in the upper third of appropriate universe (Small
Value); above median performance among style peers for shorter term periods.
Outperform the Russell 2000 Value Index over a full market cycle.
Strategy: Small Capitalization Value
Vehicle: Separate Account
Inception Date: November 2006
0 -2,500
24,124 24,124
2,139 11,055
81 330
2,058 10,725
Dollar Growth Summary (in 000s) Growth of a Dollar
21,985 15,569
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
Dec-0
6
Mar-0
7
Jun-0
7
Sep-0
7
Dec-0
7
Mar-0
8
Jun-0
8
Sep-0
8
Dec-0
8
Mar-0
9
Jun-0
9
Sep-0
9
Dec-0
9
Mar-1
0
Lee Munder Small Cap Value Russell 2000 Value
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EMPLOYERS HLDGS INC 2.1% PORTLAND GEN ELEC CO 1.5%
GREAT PLAINS ENERGY INC 2.1% ZORAN CORP 1.5%
TOWERS WATSON & CO 1.8% TRIUMPH GROUP INC 1.4%
PROASSURANCE CORP 1.6% SWIFT ENERGY CO 1.4%
AGL RES INC 1.5% KAYDON CORP 1.4%
ZIONS BANCORPORATION 70.2% BEBE STORES INC 42.0%
SYNOVUS FINANCIAL CORP 60.9% INTERFACE INC 39.4%
ETHAN ALLEN INTERIORS INC 54.3% RICHARDSON ELECTRS LTD 35.8%
TRIUMPH GROUP INC 45.4% ABERCROMBIE & FITCH CO 31.6%
CBL & ASSOC PPTYS INC 43.7% BE AEROSPACE INC 29.6%
GOODRICH PETE CORP -35.8% PANTRY INC -8.1%
ATC TECHNOLOGY CORP -28.0% CENTRAL GARDEN & PET CO -7.8%
DEAN FOODSCO NEW -13.0% KENSEY NASH CORP -7.5%
KADANT INC -9.7% CLEAN HBRS INC -6.8%
BANCORPSOUTH INC -9.6% COOPER TIRE & RUBR CO -4.6%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Lee Munder Small Cap Value
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of March 31, 2010, Lee Munder Small Cap Value held 110 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
1.6
1
1.04
1.42
0.4
0 3.2
1
2.6
1
1.7
7
1.4
4
15.2
7
16.48
1.28
1.7
0
0
5
10
15
20
25
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Lee Munder Small Cap Value Russell 2000 Value
12
.9
2
.7 5.8
34
.7
4.5
16
.1
10
.4
6.7
0.4
5.6
0.0
11
.2
7.3
5.1
27
.2
2
.9
16
.1
15
.2
5.7
0.0
6.8
2.5
05
10
15
20
25
30
35
40
45
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
Other/Cash
Lee Munder Small Cap Value Russell 2000 Value
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Lee Munder Small
Cap Value Russell 2000 Value
15
26
63.41%
41
15.87%
-19.98%25
16
60.98%
41
17.10%
-19.16%
Risk vs. Return (3 Year Annualized) Portfolio Statistics
For the Periods Ending March 31, 2010
Return Histogram (3 Years) Return Analysis
3 Years
--
0.89
0.61
Russell 2000 Value
26.6324.09
-0.270.03
Lee Munder Small
Cap Value
2.36 -5.71
--
1.00
--
--
--
101.00
80.64
98.62
97.25
Lee Munder Small Cap
Value
Russell 2000 Value
-7.00%
-6.00%
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
23.50% 24.00% 24.50% 25.00% 25.50% 26.00% 26.50% 27.00%
Standard Deviation
RateofReturn
8
1
2 2 2
1
2
3 3
6 6
10
1
2
0
2
1
4
1
43
8
0
2
4
6
8
10
12
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
Lee Munder Small Cap Value Russell 2000 Value
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Ranking 80 47 63 40 13
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
5th Percentile 16.25 22.32 126.90 12.87 3.34
25th Percentile 11.91 17.67 89.27 7.81 0.96
50th Percentile 10.24 16.30 77.40 5.74 -0.40
75th Percentile 9.79 14.49 70.77 1.48 -5.34
95th Percentile 7.36 13.04 59.03 -3.69 -8.27
Observations 95 93 89 80 68
p
For the Periods Ending March 31, 2010
The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
9.7
10.0
10.2
16.4
14.0 1
6.3
73.8
65.1
77.4
7.2
0.4
5.7
2.4
-5.7 -0
.4
-30
-10
10
30
50
70
90
RateofReturn%
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr
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Ranking 63 13 13
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 126.90 -32.39 -2.08 18.25 30.94
25th Percentile 89.27 -34.92 -10.82 14.42 24.41
50th Percentile 77.40 -39.43 -15.47 11.47 20.88
75th Percentile 70.77 -42.88 -18.27 8.85 16.54
95th Percentile 59.03 -48.97 -23.98 4.06 11.85
Observations 89 118 106 93 76
Lee Munder Small Cap Value
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
73.8
65.1
77.4
-33.9
-38.9
-
39.4
-6.7
-16.9
-15.5
10.4
11.5
23.8
20.9
-70
-50
-30
-10
10
30
50
70
90
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr
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NorthPointe Small Cap Growth
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This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
pFor the Period Ending March 31, 2010
Account Description Performance Goals
Benchmark: Russell 2000 Growth
Fees: 43 bps plus performance fee
Over a market cycle, performance in the upper third of appropriate universe (Small
Growth); above median performance among style peers for shorter term periods.
Outperform the Russell 2000 Growth Index over a full market cycle.
Strategy: Small Capitalization Growth
Vehicle: Separate Account
Inception Date: November 2006
0 -2,432
22,314 22,314
1,209 9,035
5 55
1,203 8,981
Dollar Growth Summary (in 000s) Growth of a Dollar
21,106 15,711
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
Dec-0
6
Mar-0
7
Jun-0
7
Sep-0
7
Dec-0
7
Mar-0
8
Jun-0
8
Sep-0
8
Dec-0
8
Mar-0
9
Jun-0
9
Sep-0
9
Dec-0
9
Mar-1
0
NorthPointe Small Cap Growth Russell 2000 Growth
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WET SEAL INC 2.4% KRATON PERFORMANCE POLYMERS 2.2%
ICONIX BRAND GROUP INC 2.3% DICE HOLDINGS INC 2.0%
ATLAS AIRWORLDWIDE HLDGS INC 2.2% IMPAX LABORATORIES INC 2.0%
AEROPOSTALE 2.2% INTERDIGITAL INC 2.0%
HANES BRANDS INC 2.2% ACTUANT CORP 2.0%
CHINA INTEGRATED ENERGY 48.9% DECKERS OUTDOOR CORP 35.7%
ATLAS AIR WORLDWIDE HLDGS 42.4% VEECO INSTRS INC DEL 31.7%
WET SEAL INC 38.0% IMPAX LABORATORIES INC 31.5%
RADIANT SYSTEMS INC 37.2% CENTRAL EUROPEAN DISTR CORP 23.2%
LATTICE SEMICONDUCTOR CORP 35.9% EMULEX CORP 21.8%
GMX RESOURCES INC -40.2% WEB.COM GROUP INC -16.5%
MERGE HEALTHCARE INC -38.4% TEAM INC -11.8%
TTM TECHNOLOGIES -23.0% ULTRATECHINC -8.5%
SONIC SOLUTIONS -20.8% CENTRAL GARDEN & PET CO -7.8%
PETRO QUEST ENERGY INC -18.0% SURMODICS INC -7.6%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
p
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of March 31, 2010, NorthPointe Small Cap Growth held 69 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
1.1
01.19
0.62
0.4
5 2.8
6
2.95
2.70
3.76
19.18
21.2
6
0.0
8
0.49
0
5
10
15
20
25
30
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
NorthPointe Small Cap Growth Russell 2000 Growth
17
.3
3.6 4
.1 5.7
24
.0
14
.1
27
.2
2.4
1.4
0.2
0.0
16
.2
4.6
3.5 4
.3
20
.8
16
.4
27
.0
5.0
0.0 0.02
.3
0
5
10
15
20
25
30
35
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
Others/Cash
NorthPointe Small Cap Growth Russell 2000 Growth
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NorthPointe Small Cap Growth
For the Periods Ending March 31 2010
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
NorthPointe Small
Cap Growth Russell 2000 Growth
17
24
58.54%
41
15.05%
-21.70%25
16
60.98%
41
17.91%
-25.96%
Risk vs. Return (3 Year Annualized) Portfolio Statistics
For the Periods Ending March 31, 2010
Return Histogram (3 Years) Return Analysis
3 Years
--
1.15
-0.58
Russell 2000 Growth
25.8530.50
-0.15-0.38
NorthPointe Small
Cap Growth
-10.08 -2.42
--
1.00
--
--
--
103.28
122.45
97.84
95.73
NorthPointe Small
Cap Growth
Russell 2000 Growth
-12.00%
-10.00%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
25.00% 26.00% 27.00% 28.00% 29.00% 30.00% 31.00%
Standard Deviation
Ra
teofReturn
13
0 01 1
2
4
21
3
9
11
10 0
2 2
0
5
3 3
9
0
2
4
6
8
10
12
14
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
NorthPointe Small Cap Growth Russell 2000 Growth
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NorthPointe Small Cap Growth
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Ranking 77 96 45 93 99
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
5th Percentile 11.19 18.32 77.67 8.47 3.51
25th Percentile 9.08 15.54 65.59 5.24 1.62
50th Percentile 7.57 12.80 59.23 1.97 -1.00
75th Percentile 5.92 11.19 53.11 -1.62 -3.61
95th Percentile 3.14 6.85 41.27 -7.41 -7.54
Observations 364 359 333 281 238
For the Periods Ending March 31, 2010
The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
5.7 7
.67.6 6
.7 12.1
12.8
60.1
60.3
59.2
-5.1
1.0 2
.0
-10.1
-2.4
-1.0
-30
-20
-10
0
10
20
30
40
50
60
70
RateofReturn%
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr
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NorthPointe Small Cap Growth
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Ranking 45 93 95
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
5th Percentile 77.67 -27.33 4.61 11.29 39.06
25th Percentile 65.59 -32.25 -3.18 6.68 33.4550th Percentile 59.23 -36.28 -7.74 2.66 27.88
75th Percentile 53.11 -39.53 -12.17 0.22 25.11
95th Percentile 41.27 -44.68 -19.31 -3.71 19.92
Observations 333 413 369 322 267
No thPointe S all Cap G owth
One Year Periods Ending March
The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
60.1
60.3
59.2
-43.8 -3
6.4
-36.3
-19.3
-8.9
-7.7
1.6
2.7
27.8
27.9
-70
-50
-30
-10
10
30
50
70
RateofReturn%
Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006
NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr
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Long/Short Equity Manager Performance and Analysis
2010 Asset Consulting Group All Rights Reserved 65
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K2 Long Short Master Fund, LPF th P i d E di M h 31 2010
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68/106
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
For the Period Ending March 31, 2010
Account Description Performance Goals
Inception Date: April 30, 2008
Fees: 100 bps flat fee
Absolute return target of 10% - 15% with lower volatility than the S&P 500.
Outperform the S&P 500 Index over a full market cycle.
Strategy: Equity Long/Short Hedge Fund of Funds
Vehicle: Commingled Fund
Benchmark: S&P 500
0 8,000
42,046 42,046
375 3,009
0 0
375 3,009
Dollar Growth Summary (in 000s) Growth of a Dollar
41,670 31,036
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
Mar-0
8
May-0
8
Jul-08
Sep-0
8
Nov-0
8
Jan-0
9
Mar-0
9
May-0
9
Jul-09
Sep-0
9
Nov-0
9
Jan-1
0
Mar-1
0
K2 Long Short Master Fund, LPS&P 500HFRI Equity Hedge
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K2 Long Short Master Fund, LPFor the Period Ending March 31, 2010
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% of Gross
Long Short Gross Net Exposure
Total Portfolio 91.7% 54.7% 146.4% 37.0% 100.0%
Region
North America 78.6% 45.8% 124.4% 32.8% 85.0%
Western Europe 7.6% 6.4% 14.0% 1.2% 9.6%
Japan 1.2% 0.5% 1.7% 0.7% 1.2%Asia Pacific - Emerging 2.7% 1.5% 4.2% 1.2% 2.9%
Latin America 0.5% 0.2% 0.7% 0.3% 0.5%
Other Emerging 1.1% 0.3% 1.4% 0.8% 1.0%
Total 91.7% 54.7% 146.4% 37.0% 100.0%
Sector .
Commodity 0.3% 0.3% 0.6% 0.0% 0.4%
Consumer Discretionary 13.5% 9.5% 22.9% 4.0% 15.6%
Consumer Staples 7.4% 2.5% 9.8% 4.9% 6.7%
Currency 0.1% 0.1% 0.2% 0.0% 0.1%
Energy 5.3% 2.1% 7.4% 3.2% 5.1%
Energy and Environment 0.0% 0.0% 0.0% 0.0% 0.0%
Equity 0.8% 6.1% 6.9% -5.4% 4.7% Gross Long Exposure: 91.7%
Financials 13.4% 10.9% 24.3% 2.5% 16.6% Gross Short Exposure: 54.7%
Government 0.1% 0.2% 0.3% -0.1% 0.2% Gross Exposure: 146.4%
Health Care 8.7% 2.9% 11.6% 5.8% 7.9% Net Exposure: 37.0%
IR & Credit 0.2% 0.0% 0.2% 0.2% 0.2%
Index Contracts 0.0% 0.0% 0.0% 0.0% 0.0%Industrials 8.5% 6.3% 14.8% 2.1% 10.1%
Information Technology 25.6% 8.7% 34.3% 16.8% 23.4%
Materials 4.8% 2.7% 7.5% 2.1% 5.1%
Metals and Industrials 0.0% 0.0% 0.0% 0.0% 0.0%
Other 0.3% 0.0% 0.3% 0.3% 0.2%
Telecommunication Services 1.5% 1.3% 2.8% 0.2% 1.9%
Utilities 1.3% 1.2% 2.5% 0.2% 1.7%
Total 91.7% 54.7% 146.4% 37.0% 100.0% All characteristic data provided by manager are as of 02/28/10.
Net & Gross Exposures at February 28, 2010
Long/Short Equity Exposure Historical Net & Gross Exposure
0%
20%
40%
60%
80%
100%
120%
140%
160%
180%
Aug-08
Sep-08
Oct-0
8
Nov-08
Dec-08
Jan-09
Feb-09
Mar-0
9
Apr-09
May-0
9
Jun-0
9
Jul-09Aug-0
9
Sep-09
Oct-0
9
Nov-09
Dec-09
Jan-10
Feb-10
Net ExposureGross ExposureGross LongsGross Shorts
Historical Average
Gross Exposure 136.15%
Net Exposure 42.26%
2010 Asset Consulting Group All Rights Reserved
67
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K2 Long Short Master Fund, LP
For the Periods Ending March 31, 2010
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70/106
Return
Standard Deviation
Sharpe Ratio
BetaAlpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
K2 Long Short
Master Fund, LP S&P 500
11
12
52.17%
23
9.57%
-16.80%
14
9
60.87%
23
2.47%
-6.12%
Risk vs. Return (1 Year Annualized) Portfolio Statistics
Return Histogram (1 Year) Return Analysis
1 Year
--
0.190.09
S&P 500
13.343.67
3.722.52
K2 Long Short
Master Fund, LP
9.32 49.75
--
1.00--
--
--
23.20
36.14
69.12
47.77
K2 Long Short Master
Fund, LP
S&P 500
HFRI Equity Hedge
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00%
Standard Deviation
RateofReturn
0 0 0
1
2
3
5
1
0 0 00
1
0
1
0
1 1
0
3
0
5
0 0 0
1 1
2 2
1
3
0
2
0
1
2
3
4
5
6
Lessthan-4%
-4%to-3%
-3%to-2%
-2%to-1%
-1%to0%
0%to1%
1%to2%
2%to3%
3%to4%
4%to5%
Greaterthan5%
K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge
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K2 Long Short Master Fund, LP
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For the Periods Ending March 31, 2010
0.9
5.4
3.0
1.9
11.8
6.0 6
.4
29.2
14.4
9.3
49.8
28.6
0
10
20
30
40
50
60
Rateof
Return%
1 Quarter 2 Quarters 3 Quarters 1 Year
K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge
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International Manager Performance and Analysis
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Artio International Equity II GTFor the Period Ending March 31, 2010
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73/106
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
g ,
Account Description Performance Goals
Benchmark: MSCI ACWI (ex-US) / MSCI EAFE
Fees: 85 bps on the first $20 million, 65 bps on the next $20 million, 55 bps
on the next 60 million, & 45 bps thereafter
Over a market cycle, performance in the upper third of appropriate universe
(International Developed Markets Equity).
Over a market cycle, outperform the MSCI EAFE and MSCI ACWI (ex-US)
Indexes.
Strategy: International Equity
Vehicle: Group Trust
Inception Date: November 1, 2007
0 15,544
26,995 26,995
122 3,856
0 0
122 3,856
Dollar Growth Summary (in 000s) Growth of a Dollar
26,873 7,596
Last 12 Months
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
Nov-0
7
Jan-0
8
Mar-0
8
May-0
8
Jul-08
Sep-0
8
Nov-0
8
Jan-0
9
Mar-0
9
May-0
9
Jul-09
Sep-0
9
Nov-0
9
Jan-1
0
Mar-1
0
Artio International Equity II GTMSCI All Country World Free ex US GrossMSCI EAFE
2010 Asset Consulting Group All Rights Reserved 71
City of Fort Lauderdale Police and Fire Retirement System
RIO TINTO 2 8% KOMERCNI BANKA 1 2%
Characteristics
Artio International Equity II GT
Ten Largest Holdings (Weight)
As of March 31, 2010, the Artio International Equity II GT Fund held 321 securities in their portfolio.
Holdings and portfolio characteristics are as follows:
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RIO TINTO 2.8% KOMERCNI BANKA 1.2%
NOVARTIS AG 1.5% ROCHE HOLDING 1.2%
NESTLE SA 1.4% FRAPORT 1.1%
SBERBANK 1.3% BNP PARIBAS 1.0%
GLAXOSMITHKLINE PLC 1.3% BHP BILLITON 1.0%
MSCI Emerging Markets MSCI
Portfolio ACWI ex US Portfolio ACWI ex US
Australia 5.6% 8.7% 6.0% Argentina 0.0% 0.0%
Austria 1.4% 0.3% 0.2% Brazil 1.1% 3.7%
Belgium 0.5% 1.0% 0.7% Chile 0.0% 0.3%
Bermuda 0.0% 0.0% 0.0% China 1.7% 4.0%
Canada 5.8% 0.0% 7.6% Colombia 0.0% 0.2%
Cayman Islands 0.0% 0.0% 0.0% Cyprus 0.0% 0.0%
Denmark 0.8% 1.0% 0.7% Czech Republic 1.2% 0.1%
Finland 0.4% 1.2% 0.9% Egypt 0.0% 0.1%
France 7.7% 10.7% 7.4% Hungary 0.8% 0.1%
Germany 7.1% 7.8% 5.5% India 3.0% 1.7%
Greece 0.2% 0.4% 0.3% Indonesia 0.2% 0.5%
Hong Kong 0.0% 2.4% 1.7% Israel 0.5% 0.7%
Ireland 0.5% 0.3% 0.2% Jordan 0.0% 0.0%
Italy 2.4% 3.3% 2.3% Korea 2.2% 2.9%
Japan 10.5% 22.2% 15.5% Malaysia 0.0% 0.6%
Luxembourg 0.0% 0.0% 0.0% Mexico 1.8% 1.0%
Netherlands 5.0% 2.6% 1.8% Morocco 0.0% 0.0%
New Zealand 0.0% 0.1% 0.1% Pakistan 0.0% 0.0%
Norway 1.1% 0.7% 0.5% Peru 0.0% 0.1%
Portugal 0.1% 0.3% 0.2% Philippines 0.0% 0.1%
Singapore 0.0% 1.5% 1.0% Poland 1.4% 0.3%
Spain 0.6% 3.9% 2.7% Romania 0.0% 0.0%
Sweden 1.1% 2.8% 1.9% Russia 4.0% 1.5%
Switzerland 7.6% 7.9% 5.5% South Africa 1.1% 1.6%
United Kingdom 13.7% 21.0% 14.7% Taiwan 3.1% 2.4%
United States 1.2% 0.0% 0.0% Thailand 0.1% 0.3%
Cash 4.6% 0.0% 0.0% Turkey 0.0% 0.3%
Total 77.6% 100.0% 77.3% Ukraine 0.1% 0.0%
Characteristic data provided by manager. Total 22.4% 22.7%
Sector Allocation
Country AllocationDeveloped Markets MSCI
EAFE
52.9
2
54.3
6
53
.00
1.8
41.6
41
.76
18.1
0
16.9
9
17
.17
2.4
6
2.9
3
2.6
7
0
10
20
30
40
50
60
70
Avg Mkt Cap ($Bil) P/B Current P/E Ratio Dividend Yield
Artio International Equity II GT MSCI EAFE MSCI ACWI ex US
9.9 1
0.0
8.0
25
.3
8.1
11.8
5.3
10
.5
5.5 5
.6
0.0
7.0
12.2
0.0
4.6
1.9
4.3
15.2
6.5
10.5
8.0
22.6
7.8
11.1
7.7 8
.58.5
1
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