quarterly investment commentary report ssga.pdfaug 15, 2012 · state street global advisors...

State Street Global Advisors

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Quarterly Investment Commentary ReportAs of 30 Jun 2012

Oklahoma Municipal Retirement Fund

Report ID: 650468.1 Published: 24 Jul 2012

http://www.ssga.com

Quarterly Investment Commentary ReportAs of 30 Jun 2012Oklahoma Municipal Retirement Fund

Broad Global Overview and Outlook2nd Quarter 2012

Overview and OutlookGlobal investors endured a difficult spring of 2012, which felt all the more frustrating after the promising strength that financial markets had enjoyed in the earlymonths of the year. But in a world beset by decelerating activity and onerous obligations, maintaining double-digit gains over an extended period seems like anincreasingly tall order. Seen in this light, the reversals that afflicted portfolios during the second quarter merely served to adjust the evolution of returns in 2012to a more sensible pace. While healthy first-quarter earnings reports countered the hesitant tone of incoming economic indicators during April, share priceshad little buffer left in May when US employment figures lost momentum, Chinese trade data looked soft, and financial pressures once again started topercolate through the eurozone. Greek elections on May 6 became unsettling when centrist parties could not win enough seats to form a government, and afresh set of elections was planned for June 17. The possibility that new leadership might formally reject the euro led to fears that bank deposits couldeventually face involuntary devaluation, not only in Greece, but also in other heavily indebted peripheral nations. Spanish banks attracted particular scrutiny,prompting the country to seek access to bailout funding from European rescue facilities. Unfortunately, concern that such support might prove senior toexisting sovereign obligations quickly unleashed a fresh rout in Spanish bonds. Nevertheless, selling of equities seemed to lose vigor after a torrential month ofMay. Collapsing oil prices diminished inflation risks considerably, and as share buyers began contemplating the potential for new and concerted central bankmeasures, volatility ebbed and even the most downtrodden equity markets gingerly lifted off their 2012 lows. The US Federal Reserve accommodated byextending its Operation Twist through to year end, though some felt disappointed in the absence of fresh asset purchases. But a European summit during thefinal days of June provided for direct recapitalization of Spanish banks without subordination of existing lenders, sparking equities worldwide to finish the firsthalf of the year with a flourish. Commodity prices also enjoyed their strongest daily surge in over a year. Still, the stunning drop in major bond yields during thesecond quarter reminded investors that a rapid return to resilient global growth prospects remained unlikely. Even though corporate results for the first quarter showed sales and profits holding up nicely, macroeconomic concerns led investors to continue tilting equityportfolios to more defensive positions throughout April. Lackluster activity reports remained a persistent theme through the second quarter, but during May,fresh financial tremors in Europe became the critical focus. As peripheral eurozone bond yields embarked on a fresh surge, the euro tumbled quickly to itslowest levels in nearly two years. The currency weakness was widespread, afflicting exchange rates in Latin America and Asia as well, and taking a particulartoll on unhedged dollar-based investors in international equities. The Japanese yen was a notable exception to the May meltdown, but shares of Japanesecompanies with a global presence wound up taking the hit instead. The disarray in global equities seemed to instill a greater sense of urgency amongmonetary and political authorities, who began to address risks to the Spanish banking system more proactively in June. Investors remained skeptical asequities tried to stake out steadier ground above their springtime lows, but better prospects for policy response combined with an even greater temptation todividend income allowed share prices to hold. Bolder buyers even started sifting through the rubble of resource-related names, which had been crumblingsince March. On the last day of June, after the latest European summit had eased immediate pressure on Spain, equities enjoyed their most powerful rally ofthe entire 2012 first half, demonstrating how ingrained investor caution had become amid the financial and economic turmoil of the spring. The late surgeflattered the MSCI World Index of developed equity markets with a 5.1% June return, but the brutal currency weakness of May still left the benchmark with5.1% loss for the second quarter as a whole. The MSCI Emerging Markets (EM) Free Index added 3.9% in June, but it too suffered from currency depreciationin May, leaving MSCI EM with an 8.9% decline for the full second quarter. The latter indignity dropped MSCI EM back to a 3.9% gain over the first half of 2012,for which it also slipped behind the 5.9% year-to-date return of MSCI World.


Away from southern Europe, bonds did not suffer any similar volatility during the second quarter. Benchmark yields in the US, the UK, Germany, and Japanreversed their March gains during April before tumbling to fresh lows in May, when equity disarray once again pushed investors to bid aggressively for saferhavens. Even for unhedged dollar-based investors, steady gains in debt prices mitigated the effects of currency fluctuations. Most bond yields hit their lows forthe quarter in early June, when US employment data for May showed an unexpectedly poor gain in non-farm payrolls, but subsequent ascent from those levelswas hardly uniform or enthusiastic. Indeed, as equities began to stabilize, corporate bonds were able to rebound from mild weakness during May. AndJapanese government bond yields actually touched fresh nine-year lows late in June, before a huge equity rally in the final trading session of the first halfclipped off a small portion of the ample gains that most fixed income investors enjoyed over the course of the second quarter. What was good for bonds wasrough on commodities, as faltering growth expectations during the spring led to daunting declines in oil and metal prices. Inflation expectations eroded as wellin the absence of any clear indication that central banks would move to a dramatic expansion of asset purchase programs. Like equities, commodities obtaineda meaningful dose of redemption at the end of the second quarter, when European leaders seemed more willing to cooperate on protecting the region fromincreasingly tenuous confidence in troubled banks. The effervescent finish to the second quarter should put a much more hopeful complexion on near-term investment prospects, especially after the ugliness inMay led many portfolios to cower defensively out of harm's way. Equity prices have faded to levels that seem to be attracting new classes of bargain hunters,whether income-hungry value types that are finding ample dividends, or aggressive players looking to profit from despair in economically sensitive issues.Brightening their prospects is the potential for supportive policy actions during the summer. Disappointment in US employment data and easier inflation couldprompt the US Federal Reserve to undertake fresh quantitative easing measures, while European leaders might agree to expanded fiscal union in order toforestall capital flight from troubled banks. Greater downside risks may not arrive until later in the year, after cautious investors have rebuilt equity exposureand share prices will require better underlying fundamentals to justify further appreciation. Major government bond markets should provide an important clueas the third quarter progresses. If yields can rise enough to recapture levels that prevailed at the end of the first quarter, economic activity may be gainingenough traction to support earnings estimates into 2013. But if bond yields continue to fluctuate around current low levels with little sign of sustained levitation,investors may begin to worry that even aggressive policy actions may be losing their power to inspire. In the meantime, though, we should probably thinkgratefully about the damage that equity portfolios endured in May, since those harrowing declines may have already exhausted a good portion of the sellingthat might otherwise stand ready to afflict summer trading. Sources: Bloomberg, FactSet, Morgan Stanley, JPMorgan, RBS, Credit Suisse, Citigroup, SSgA Performance Group, MSCI Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties orrepresentations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties oforiginality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, inno event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct,indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distributionor dissemination of the MSCI data is permitted without MSCI's express written consent. This material is solely for the private use of SSgA clients and is not intended for public dissemination. The MSCI indices are trademarks of MSCI Inc. The Standard & Poor's indices are registered trademarks of Standard & Poor's Financial Services LLC. TheBarclays Capital US Treasury Index is a trademark of Barclays Capital, Inc. Russell Investment Group is the source and owner of the trademarks, servicemarks and copyrights related to the Russell Indexes. Russell 2000®, Russell 1000® Growth and Russell 1000® Value are trademarks of Russell InvestmentGroup. Dow Jones and Dow Jones US Select REIT IndexSM are service marks of Dow Jones & Company, Inc. and have been licensed for use for certainpurposes by State Street Global Advisors (SSgA). S&P GSCI® is a trademark of Standard & Poor's Financial Services LLC and has been licensed for use byGoldman, Sachs & Co. SSgA may have or may seek investment management or other business relationships with companies discussed in this material or affiliates of thosecompanies, such as their officers, directors and pension plans.


The views expressed in this material are the views of SSgA's Multi Asset Class Solutions Team through the period ended June 30, 2012 and are subject tochange based on market and other conditions. The information provided does not constitute investment advice and it should not be relied on as such. Allmaterial has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. This document contains certain statements that may bedeemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developmentsmay differ materially from those projected. Past performance is not a guarantee of future results. Investing involves risk including the risk of loss of principal. Risks associated with equity investing include stock values which may fluctuate in response to the activities of individual companies and general market andeconomic conditions. In general, fixed income securities carry interest rate risks; the risk of issuer default; and inflation risk. This effect is usually pronounced for longer-termsecurities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Government bonds and corporate bondshave more moderate short-term price fluctuations than stocks, but provide lower potential long-term returns. U.S. Treasury Bills maintain a stable value if heldto maturity, but returns are generally only slightly above the inflation rate. Investing in commodities' entail significant risk and is not appropriate for all investors. 90-day U.S. Treasury bills are insured and guaranteed by the U.S. government. U.S. Treasury Bills maintain a stable value if held to maturity, but returns aregenerally only slightly above the inflation rate. Investing in REITs involves certain distinct risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may beaffected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of credit extended.REITs are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs, especially mortgage REITs, are also subject to interestrate risk (i.e., as interest rates rise, the value of the REIT may decline). Investing in foreign domiciled securities may involve risk of capital loss from unfavorable fluctuation in currency values, withholding taxes, from differences ingenerally accepted accounting principles or from economic or political instability in other nations. Please review your own account performance via www.ssga.com or contact your Relationship Manager.


Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number238276). Registered office: Level 17, 420 George Street, Sydney, NSW 2000, Australia Telephone: 612 9240-7600 o Facsimile: 612 9240-7611. Belgium :State Street Global Advisors Belgium, Office Park Nysdam, 92 Avenue Reine Astrid, B-1310 La Hulpe, Belgium. Telephone: 32 2 663 2036, Facsimile: 32 2672 2077. Belgium is a branch of State Street Global Advisors Limited. Canada : State Street Global Advisors, Ltd., 770 Sherbrooke Street West Suite 1200,Montreal, Quebec H3A 1G1 Canada and 161 Bay Street, T.D. Canada Trust Tower, Suite 4530, Toronto, Ontario M5J 2S1. Dubai : State Street Bank andTrust Company (Representative Office), Suite 404 4th Floor, Building 4, Emaar Square, Dubai, United Arab Emirates. Telephone: 971 (0)4-4372800,Facsimile: 971 (0)4-4372818. France : State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with theRegister of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon,92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany : State Street Global Advisors GmbH, BriennerStrasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F,Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200. Japan : State Street GlobalAdvisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho#345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers' Association. Ireland: State Street GlobalAdvisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2.Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Viadei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155. Netherlands : State Street Global Advisors Netherlands, AdamSmith Building, Thomas Malthusstraat 1-3, 1066 JR Amsterdam, Netherlands. Telephone: 31 20 7085600, Facsimile 31 20 7085601. SSgA Netherlands is abranch of State Street Global Advisors Limited. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower,Singapore 068912 (Company Reg. No: 200002719D). Telephone: 65 6826-7500, Facsimile: 65 6826-7501. Switzerland : State Street Global Advisors AG,Beethovenstr. 19, CH-8027 Zurich. Telephone 41 (0)44 245 70 00. Facsimile Fax: 41 (0)44 245 70 16. United Kingdom : State Street Global AdvisorsLimited. Authorised and regulated by the Financial Services Authority. Registered in England. Registered No. 2509928. VAT No. 5776591 81. Registeredoffice: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. United States : State Street GlobalAdvisors, One Lincoln Street, Boston, MA 02111-2900.


US Equities Investment Commentary2nd Quarter 2012

Stocks stumbled in early April when March payroll figures came in much lower than expected, but another season of solid earnings reports allowed them torecover their equilibrium within the month. Alas, the stability quickly vanished when May brought a new set of soggy employment figures and elections inEurope fostered growing concerns that Greece might wind up leaving the eurozone. Although the turmoil overseas spurred a rally in the dollar that made USequities global outperformers on an unhedged basis, and a steep retreat in oil prices promised welcome summer relief for many US consumers, the Maypayroll gains that were reported on June 1 reminded investors that the US economy was hardly a panacea. Share prices nevertheless began to find support asEuropean authorities sought to assemble bailout mechanisms for the Spanish banking system and new measures from the US Federal Reserve seemedincreasingly likely. In the event, the Fed decided to extend Operation Twist, using its balance sheet to keep long yields low. Despite mild disappointment thatthe Fed did not announce more outright asset purchases, US equities still ended the quarter strong after Europe outlined cooperative plans to recapitalizetroubled eurozone banks. Thanks to a 4.1% gain in June, more than half of which came on the last day of the month, the S&P 500® pared its loss for thesecond quarter to a manageable 2.8%, and it retains an impressive 9.5% advance since the start of 2012. Only a handful of equity markets around the worldcould keep pace with this resilience, especially given the backdrop of a firm US dollar. Although the unhedged MSCI EAFE® benchmark of developed marketsbested the S&P 500 by nearly 300 basis points in June, the S&P lost less than half as much as EAFE did during the full second quarter, and on a year-to-datebasis, the S&P has gained more than three times as much as MSCI EAFE. Equity in larger US companies performed best for most of the second quarter, but during June, as sluggish activity at home and banking turmoil in Europedrove hopes for more aggressive policy responses, stock in smaller firms began to attract renewed interest. Having broadly fizzled since they kicked off 2012with several weeks of outperformance, secondary issues may have started signaling an improvement in market conditions during the summer. The Russell2000® Index began its relative rebound early enough to return 5.0% in June and outpace the S&P 500 for the month. But midcap stocks were slower on theuptake, and the S&P Midcap 400 IndexTM added only 1.9% in June. The S&P 500 outpaced both the Russell 2000 and the Midcap 400 for the second quarteras well as for the full first half. The Russell 2000 lost 3.5% in the latest three months, but retains a year-to-date gain of 8.5%. As for the S&P 400, it conceded4.9% for the second quarter, but still shows a 7.9% advance since the beginning of the year. Growth-oriented portfolios also started to exhibit a change in character during the second quarter. Having outpaced value names handily early in 2012, growthissues found progress tougher as the spring progressed. A number of popular consumer-related stocks stumbled badly, with several falling by more than 40%over the course of the quarter. The damage was stark enough that a few big winners in the biotechnology area could not offset it. Value stocks, on the otherhand, began to attract buyers in search of a boost from accommodative policy. If central banks were to act aggressively, the best equity gainers might arisefrom downtrodden cyclical issues, and not from the steadier growers that already had attracted ample capital. Reflecting enhanced potential, the Russell1000® Value Index climbed 5.0% in June and limited its second-quarter loss to 2.2%. But the Russell 1000® Growth Index only gained 2.7% for June, and itsloss for the second quarter was 4.0%. Still, Russell 1000 Growth retains a 10.1% year-to-date return, against an 8.7% gain for Russell 1000 Value. Similartrends unfolded in the small cap arena, but the differences between value and growth were less pronounced. Even though the Russell 2000® Value Indexreturned 4.8% in June against 5.2% for the Russell 2000® Growth Index, the former limited its second-quarter decline to 3.0%, while the latter slipped 3.9%.Russell 2000 Growth retains a small year-to-date advantage, having gained 8.8% over the first six months of the year, while Russell 2000 Value was adding amore modest 8.2%. While economically sensitive sectors like energy, materials, and industrials started to interest bargain hunters during June, they could not recover fully fromweak relative performance earlier in the second quarter, which belonged primarily to defensive issues. As the growth outlook stalled, commodity pricestumbled, and policy makers showed little clear intention or capacity to boost longer-term prospects, income producers like telecommunications services andutilities were among the quarterly winners. But the best performance in June came from the healthcare sector, which rallied 5.8% on the month, barely edgingout energy and telecommunications. Financials and materials also bounced back strongly and outperformed the S&P 500 in June. The weakest sector in Junewas consumer discretionary, but it still produced a 1.9% gain for the month, and the discretionary sector remained an outperformer for both the second quarterand the full first half.


For the second quarter as a whole, telecommunications services surged by 14.1%, more than doubling the performance of all other sectors. The utilitiesgained 6.6%, and healthcare and consumer staples were the only other sectors to finish the second quarter in the black. Financials and information technologywere weakest for the quarter, each losing more than 6%, but energy, materials, and industrials also lagged the S&P 500. Over the full first half of 2012, five outof ten sectors achieved double-digit returns and outperformed the S&P. Telecommunications led the way with a 16.5% advance, but financials and technologyclimbed more than 13% each. Consumer discretionary and healthcare rounded out the first-half leaders. The six-month laggards included a mix of defensiveissues, like consumer staples and utilities, and more aggressive plays, like materials and industrials. But the worst performer in the first half, and the onlysector to finish in negative territory for the period, was energy. Even though natural gas prices bounced back in the second quarter, the sharp reversal in crudeoil weighed on the group, with service names faltering badly. Sources: Bloomberg, FactSet, Morgan Stanley, JPMorgan, RBS, Credit Suisse, Citigroup, SSgA Performance Group, MSCI Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties orrepresentations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties oforiginality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, inno event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct,indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distributionor dissemination of the MSCI data is permitted without MSCI's express written consent. This material is solely for the private use of SSgA clients and is not intended for public dissemination. The MSCI indices are trademarks of MSCI Inc. The Standard & Poor's indices are registered trademarks of Standard & Poor's Financial Services LLC. TheBarclays Capital US Treasury Index is a trademark of Barclays Capital, Inc. Russell Investment Group is the source and owner of the trademarks, servicemarks and copyrights related to the Russell Indexes. Russell 2000®, Russell 1000® Growth and Russell 1000® Value are trademarks of Russell InvestmentGroup. Dow Jones and Dow Jones US Select REIT IndexSM are service marks of Dow Jones & Company, Inc. and have been licensed for use for certainpurposes by State Street Global Advisors (SSgA). S&P GSCI® is a trademark of Standard & Poor's Financial Services LLC and has been licensed for use byGoldman, Sachs & Co. SSgA may have or may seek investment management or other business relationships with companies discussed in this material or affiliates of thosecompanies, such as their officers, directors and pension plans. The views expressed in this material are the views of SSgA's Multi Asset Class Solutions Team through the period ended June 30, 2012 and are subject tochange based on market and other conditions. The information provided does not constitute investment advice and it should not be relied on as such. Allmaterial has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. This document contains certain statements that may bedeemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developmentsmay differ materially from those projected. Past performance is not a guarantee of future results. Investing involves risk including the risk of loss of principal. Risks associated with equity investing include stock values which may fluctuate in response to the activities of individual companies and general market andeconomic conditions. In general, fixed income securities carry interest rate risks; the risk of issuer default; and inflation risk. This effect is usually pronounced for longer-termsecurities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Government bonds and corporate bondshave more moderate short-term price fluctuations than stocks, but provide lower potential long-term returns. U.S. Treasury Bills maintain a stable value if heldto maturity, but returns are generally only slightly above the inflation rate. Investing in commodities' entail significant risk and is not appropriate for all investors.


90-day U.S. Treasury bills are insured and guaranteed by the U.S. government. U.S. Treasury Bills maintain a stable value if held to maturity, but returns aregenerally only slightly above the inflation rate. Investing in REITs involves certain distinct risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may beaffected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of credit extended.REITs are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs, especially mortgage REITs, are also subject to interestrate risk (i.e., as interest rates rise, the value of the REIT may decline). Investing in foreign domiciled securities may involve risk of capital loss from unfavorable fluctuation in currency values, withholding taxes, from differences ingenerally accepted accounting principles or from economic or political instability in other nations. Please review your own account performance via www.ssga.com or contact your Relationship Manager.Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number238276). Registered office: Level 17, 420 George Street, Sydney, NSW 2000, Australia Telephone: 612 9240-7600 o Facsimile: 612 9240-7611. Belgium :State Street Global Advisors Belgium, Office Park Nysdam, 92 Avenue Reine Astrid, B-1310 La Hulpe, Belgium. Telephone: 32 2 663 2036, Facsimile: 32 2672 2077. Belgium is a branch of State Street Global Advisors Limited. Canada : State Street Global Advisors, Ltd., 770 Sherbrooke Street West Suite 1200,Montreal, Quebec H3A 1G1 Canada and 161 Bay Street, T.D. Canada Trust Tower, Suite 4530, Toronto, Ontario M5J 2S1. Dubai : State Street Bank andTrust Company (Representative Office), Suite 404 4th Floor, Building 4, Emaar Square, Dubai, United Arab Emirates. Telephone: 971 (0)4-4372800,Facsimile: 971 (0)4-4372818. France : State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with theRegister of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon,92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany : State Street Global Advisors GmbH, BriennerStrasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F,Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200. Japan : State Street GlobalAdvisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho#345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers' Association. Ireland: State Street GlobalAdvisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2.Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Viadei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155. Netherlands : State Street Global Advisors Netherlands, AdamSmith Building, Thomas Malthusstraat 1-3, 1066 JR Amsterdam, Netherlands. Telephone: 31 20 7085600, Facsimile 31 20 7085601. SSgA Netherlands is abranch of State Street Global Advisors Limited. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower,Singapore 068912 (Company Reg. No: 200002719D). Telephone: 65 6826-7500, Facsimile: 65 6826-7501. Switzerland : State Street Global Advisors AG,Beethovenstr. 19, CH-8027 Zurich. Telephone 41 (0)44 245 70 00. Facsimile Fax: 41 (0)44 245 70 16. United Kingdom : State Street Global AdvisorsLimited. Authorised and regulated by the Financial Services Authority. Registered in England. Registered No. 2509928. VAT No. 5776591 81. Registeredoffice: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. United States : State Street GlobalAdvisors, One Lincoln Street, Boston, MA 02111-2900.


S&P 500 Index Performance AnalysisAs of June 30, 2012

Q2 Return: -2.75%Past 12 Months Return: 5.45%

S&P 500 Index Sector Returns

Ending Percent Total Contribution Ending Percent Total ContributionOf Total Return To Return Of Total Return To Return

Economic Sector Economic SectorConsumer Discretionary 10.96 -2.60 -0.31 Consumer Discretionary 10.96 10.66 1.18Consumer Staples 11.29 2.88 0.33 Consumer Staples 11.29 14.61 1.66Energy 10.80 -5.99 -0.67 Energy 10.80 -8.18 -1.12Financials 14.41 -6.83 -1.04 Financials 14.41 -2.33 -0.70Health Care 11.99 1.75 0.23 Health Care 11.99 9.80 1.23Industrials 10.46 -3.56 -0.38 Industrials 10.46 -1.22 -0.10Information Technology 19.74 -6.68 -1.42 Information Technology 19.74 13.74 2.55Materials 3.41 -4.19 -0.14 Materials 3.41 -7.22 -0.26Telecommunication Services 3.22 14.13 0.41 Telecommunication Services 3.22 14.52 0.43Utilities 3.73 6.55 0.24 Utilities 3.73 15.26 0.59

S&P 500 Index Constituent Returns

Top 5 and Bottom 5 Stocks Ranked by Contribution to Return


Top 5 Companies Top 5 Companies

AT&T Inc. 1.70 15.81 0.24 Apple Inc. 4.44 73.98 1.94Verizon Communications Inc. 1.03 17.79 0.16 Philip Morris International Inc. 1.21 36.00 0.36Wal-Mart Stores Inc. 0.98 14.69 0.14 Microsoft Corp. 1.86 20.87 0.35Merck & Co Inc 1.03 9.91 0.10 Exxon Mobil Corp. 3.25 7.82 0.32General Electric Co. 1.79 4.74 0.09 Wal-Mart Stores Inc. 0.98 34.80 0.31

Q2 2012 Last 12 Months



S&P 500 Index Strategy Investment Commentary

Bottom 5 Companies Bottom 5 Companies

Google Inc. Cl A 1.20 -9.54 -0.13 Halliburton Co. 0.21 -43.77 -0.21Cisco Systems Inc. 0.75 -18.51 -0.17 Schlumberger Ltd. 0.70 -23.77 -0.28QUALCOMM Inc. 0.78 -17.83 -0.17 Bank of America Corp. 0.72 -24.94 -0.32Citigroup Inc. 0.65 -24.98 -0.21 Hewlett-Packard Co. 0.32 -43.59 -0.32JPMorgan Chase & Co. 1.11 -21.78 -0.31 Citigroup Inc. 0.65 -34.09 -0.41

Top 5 and Bottom 5 Stocks Ranked by Total Return


Top 5 Stocks Top 5 Stocks

Expedia Inc. 0.04 44.04 0.01 Expedia Inc. 0.04 74.54 0.02Edwards Lifesciences Corp. 0.10 42.03 0.03 Apple Inc. 4.44 73.98 1.94Dean Foods Co. 0.03 40.63 0.01 Lennar Corp. Cl A 0.04 71.72 0.02Cabot Oil & Gas Corp. 0.07 26.47 0.01 TJX Cos. 0.26 65.46 0.12TripAdvisor Inc. 0.03 25.29 0.01 D.R. Horton Inc. 0.04 61.48 0.02

Bottom 5 Stocks Bottom 5 Stocks

J.C. Penney Co. Inc. 0.03 -33.83 -0.01 Peabody Energy Corp. 0.05 -58.00 -0.09First Solar Inc. 0.01 -39.88 >-0.01 MetroPCS Communications Inc. 0.01 -64.85 -0.03Netflix Inc. 0.03 -40.47 -0.02 Netflix Inc. 0.03 -73.93 -0.09Alpha Natural Resources Inc. 0.02 -42.74 -0.01 Alpha Natural Resources Inc. 0.02 -80.83 -0.08Fossil Inc. 0.03 -43.05 -0.02 First Solar Inc. 0.01 -88.61 -0.07

Note: Total returns for period held in indexSource: FactSet, Index Provider, SSgAThe Standard & Poor's 500 ® Index is a registered trademark of Standard & Poor's Financial Services LLC.

This material is solely for the private use of SSgA clients and is not intended for public dissemination.

SSgA may have or may seek investment management or other business relationships with companies discussed in this material or affiliates of those companies, such as their officers, directors and pension plans.

This performance analysis is provided as a courtesy to our clients and does not contain any specific performance information relating to any particular client investment account. Accordingly, the performance does not reflect any fees to which an actual investment account would be subject. The general performance of the unmanaged index shown is based on data developed by third parties (including FactSet and the benchmark provider) and may be subject to revision and update. The performance reflects the reinvestment of dividends and other corporate actions. The performance is calculated in U.S. dollars.



INTR-0162© 2012 State Street Corporation - All Rights Reserved

The information contained herein does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. Past performance is no guarantee of future results.

Netherlands: State Street Global Advisors Netherlands, Adam Smith Building, Thomas Malthusstraat 1-3, 1066 JR Amsterdam, Netherlands. Telephone: 31 20 7085600, Facsimile 31 20 7085601. SSgA Netherlands is a branch of State Street Global Advisors Limited. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower, Singapore 068912 (Company Reg. No: 200002719D). Telephone: 65 6826-7500, Facsimile: 65 6826-7501. Switzerland: State Street Global Advisors AG, Beethovenstr. 19, CH-8027 Zurich. Telephone 41 (0)44 245 70 00. Facsimile Fax: 41 (0)44 245 70 16. United Kingdom: State Street Global Advisors Limited. Authorised and regulated by the Financial Services Authority. Registered in England. Registered No. 2509928. VAT No. 5776591 81. Registered office: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. United States: State Street Global Advisors, One Lincoln Street, Boston, MA 02111-2900.

Performance returns for less than one year are not annualized. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss, and the reinvestment of dividends and other income.

Holdings and sectors shown are as of the date indicated and are subject to change. This information should not be considered a recommendation to invest in a particular sector or to buy or sell any security shown. It is not known whether the sectors or securiteis shown will be profitable in teh future. The holdings are taken from the accounting records of SSgA which may differ from the official books and records of the custodian.

Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number 238276). Registered office: Level 17, 420 George Street, Sydney, NSW 2000, Australia Telephone: 612 9240-7600 o Facsimile: 612 9240-7611. Belgium: State Street Global Advisors Belgium, Office Park Nysdam, 92 Avenue Reine Astrid, B-1310 La Hulpe, Belgium. Telephone: 32 2 663 2036, Facsimile: 32 2 672 2077. Belgium is a branch of State Street Global Advisors Limited. Canada: State Street Global Advisors, Ltd., 770 Sherbrooke Street West Suite 1200, Montreal, Quebec H3A 1G1 Canada and 161 Bay Street, T.D. Canada Trust Tower, Suite 4530, Toronto, Ontario M5J 2S1. Dubai: State Street Bank and Trust Company (Representative Office), Suite 404 4th Floor, Building 4, Emaar Square, Dubai, United Arab Emirates. Telephone: 971 (0)4-4372800, Facsimile: 971 (0)4-4372818.

France: State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with the Register of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon, 92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany: State Street Global Advisors GmbH, Brienner Strasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F, Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200.

Japan: State Street Global Advisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho #345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers’ Association. Ireland: State Street Global Advisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2. Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Via dei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155.


Russell Small Cap Completeness Index Performance AnalysisAs of June 30, 2012

Q2 Return: -4.89%Past 12 Months Return: -2.68%

Russell Small Cap Completeness Index Sector Returns


Economic Sector Economic SectorConsumer Discretionary 16.30 -7.69 -1.33 Consumer Discretionary 16.30 -2.41 -0.43Consumer Staples 3.32 -4.14 -0.13 Consumer Staples 3.32 -0.74 -0.07Energy 5.65 -15.08 -1.01 Energy 5.65 -20.81 -1.91Financials 22.40 0.41 0.15 Financials 22.40 5.43 1.36Health Care 11.49 3.48 0.42 Health Care 11.49 8.27 0.91Industrials 14.33 -6.14 -0.95 Industrials 14.33 -4.19 -0.34Information Technology 15.65 -9.94 -1.57 Information Technology 15.65 -10.32 -1.52Materials 6.11 -8.29 -0.54 Materials 6.11 -7.79 -0.80Telecommunication Services 1.03 -5.64 -0.05 Telecommunication Services 1.03 -9.05 -0.18Utilities 3.72 2.84 0.11 Utilities 3.72 5.52 0.27

Russell Small Cap Completeness Index Constituent Returns




Vertex Pharmaceuticals Inc. 0.42 36.36 0.10 Alexion Pharmaceuticals Inc. 0.00 97.96 0.33Onyx Pharmaceuticals Inc. 0.15 76.35 0.07 Pharmasset 0.00 144.06 0.26American Capital Agency Corp. 0.36 18.16 0.06 Regeneron Pharmaceuticals Inc. 0.31 101.41 0.15SXC Health Solutions Corp. 0.24 32.35 0.06 Monster Beverage Corp. 0.00 69.59 0.15Annaly Capital Management Inc. 0.58 9.56 0.05 PetroHawk Energy Corp 0.00 56.91 0.14




Russell Small Cap Completeness Index Strategy Investment Commentary


Herbalife Ltd. 0.20 -29.31 -0.08 Dendreon Corp. 0.04 -81.24 -0.18Green Mountain Coffee Roasters Inc. 0.11 -53.50 -0.10 Illumina Inc. 0.18 -46.25 -0.18Tempur-Pedic International Inc. 0.05 -72.30 -0.14 NII Holdings Inc. 0.06 -75.86 -0.23General Motors Co. 0.53 -23.12 -0.16 General Motors Co. 0.53 -35.05 -0.31Las Vegas Sands Corp. 0.61 -24.04 -0.20 Green Mountain Coffee Roasters Inc. 0.11 -75.60 -0.36




Arena Pharmaceuticals Inc. 0.07 224.39 0.04 Arena Pharmaceuticals Inc. 0.07 633.46 0.05Osiris Therapeutics Inc. 0.01 114.26 < 0.01 Inhibitex Inc 0.00 563.27 0.06Willbros Group Inc. 0.01 99.38 < 0.01 Pharmacyclics Inc. 0.10 423.08 0.08Pharmacyclics Inc. 0.10 96.72 0.05 Medivation Inc. 0.12 326.50 0.08Supernus Pharmaceuticals Inc. < 0.01 81.75 < 0.01 VIVUS Inc. 0.10 250.61 0.07


Tempur-Pedic International Inc. 0.05 -72.30 -0.14 AMR Corp. 0.00 -95.56 -0.07APCO Oil & Gas International Inc. 0.01 -73.51 -0.02 PMI Group Inc. 0.00 -96.26 -0.01Jaguar Mining Inc. 0.00 -74.30 -0.01 Geokinetics Inc. 0.00 -96.74 > -0.01Patriot Coal Corp. < 0.01 -80.45 -0.02 MF Global Holdings Ltd. 0.00 -96.77 -0.05Geokinetics Inc. 0.00 -85.40 > -0.01 General Maritime Corp. 0.00 -97.69 -0.01

Note: Total returns for period held in indexSource: FactSet, Index Provider, SSgA


Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. The Russell Small Cap Completeness® Index is a trademark of Russell Investment Group.




INTR-0160

© 2012 State Street Corporation - All Rights Reserved

This performance analysis is provided as a courtesy to our clients and does not contain any specific performance information relating to any particular client investment account. Accordingly, the performance does not reflect any fees to which an actual investment account would be subject. The general performance of the unmanaged index shown is based on data developed by third parties (including FactSet and the benchmark provider) and may be subject to revision and update. The performance reflects the reinvestment of dividends and other corporate actions. The performance is calculated in U.S. dollars.The information contained herein does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. Past performance is no guarantee of future results.





France: State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with the Register of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon, 92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany: State Street Global Advisors GmbH, Brienner Strasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F, Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200. Japan: State Street Global Advisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho #345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers’ Association. Ireland: State Street Global Advisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2. Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Via dei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155.


MSCI EAFE Index Strategy Investment Commentary2nd Quarter 2012

Stock markets outside the US endured a particularly volatile second quarter, slipping lower in April, tumbling in May, and then chopping through June beforefinishing with a celebratory surge. The epicenter of the challenges was the eurozone, where the liquidity injections of early 2012 began to lose their buzz inearly April, and Spanish and Italian bond yields pushed higher again. The strains increased after Greek elections in early May brought defeat to the centristruling parties. As the probability of fracture within the eurozone seemed to grow, focus turned to banking risks in other vulnerable nations, with Spain inparticular suffering heavy withdrawals of deposits. European leaders moved swiftly during June to develop plans for shoring up troubled lenders, but not untilthe end of the month, when a Brussels summit envisioned direct aid from joint rescue facilities to troubled banks, did investors deem official intentions credibleenough to brake the downturn in confidence. The change led to a ferocious equity rally on the last day of June that converted a disastrous second quarter intomerely a downbeat one. The biggest losses and subsequent rebounds during the quarter came within the eurozone, but equities in the broader Europeanregion and the Pacific area as well mimicked the overall pattern. In total, the MSCI EAFE® Index of developed market equities scored a 7.0% advance forJune, but still showed a 7.1% loss for the second quarter as a whole. Still, the late June flurry was enough to get EAFE back into the black on a year-to-datebasis. For the first half of 2012, EAFE posted a gain of 3.0%. Because this result was more than 650 basis points behind that of the S&P 500®, EAFE will needseveral more strong months like June if it intends to catch up with the US benchmark during the second half. On average, equity markets in the eurozone have underperformed during 2012, and weakness in the euro itself has detracted from unhedged returns, but therelative damage has not seemed as dramatic as the financial challenges confronting the common currency area. Because many eurozone shares appearcheap, their rallies during relief periods can prove as powerful as their declines in times of stress. June was a case in point, as MSCI Europe jumped 7.9%while MSCI Pacific had to settle for a 5.6% advance. But for the second quarter as a whole, MSCI Pacific only conceded 6.4%, against a 7.5% decline forMSCI Europe. On a year-to-date basis, MSCI Pacific retains a modest lead with a six-month gain of 4.2%. Over the same period, MSCI Europe has returned2.4%. Every constituent market in MSCI Pacific gained ground in June, but all nonetheless lagged EAFE. By contrast, for the full first half of 2012, every market inMSCI Pacific outpaced EAFE. For the second quarter alone, MSCI Japan and MSCI New Zealand lagged EAFE slightly, but the other regional markets wereoutperformers. MSCI Singapore remains a 2012 standout, in part because the Singapore dollar has been one of the few currencies to hold value against theUS greenback. Solid performances by banks and real estate firms helped MSCI Singapore limit losses to 3.8% in the second quarter and retain an impressive14.8% gain on a year-to-date basis, the latter result second only to MSCI Belgium among EAFE constituents. MSCI Hong Kong has also outperformed in2012, if less dramatically. With China moving to ease monetary policy, property names helped MSCI Hong Kong limit its second-quarter loss to 4.9% and hangonto a 7.9% year-to-date advance. MSCI Australia slumped 5.1% in the second quarter but remains ahead by 3.4% since the start of 2012. The Reserve Bankcut interest rates in both May and June, prompting defensive issues to rally and to mitigate losses in the energy and mining sectors. The Aussie dollar held uprelatively well through the rate cuts and was close to unchanged over the first six months of 2012. MSCI Japan has tracked the performance of MSCI EAFE remarkably closely during 2012, losing 7.3% in the second quarter and gaining 3.1% on a year-to-date basis. Both results are within 20 basis points of the EAFE return for the same period. The correlation has come despite considerable volatility in theJapanese yen, which tumbled during the first quarter when it appeared that the Bank of Japan was poised to expand quantitative measures aggressively, butthen rebounded sharply in the spring when the BoJ held its ground and global investors again sought out safe haven vehicles. Unfortunately, the freshcurrency strength exacerbated profit worries for exporters and the Topix average of Japanese stocks sank to multi-decade lows. Bond yields tumbled as well,reflecting worrisome economic prospects as Prime Minister Noda pursued an increase in the consumption tax, but Japanese equities still managed a solidrebound in line with the other global markets that found fresh inspiration during the June recovery in sentiment.


The equity rebound in June was strong enough that all EAFE markets save one gained ground for the month. The pariah was MSCI Israel, which slipped 3.2%for June and 13.9% for the full second quarter. Telecommunication names were off sharply on concerns about pricing power, and the Israeli shekel eroded invalue in advance of a fresh interest rate cut in late June. MSCI New Zealand saw only a modest 0.8% gain for the month, entirely on the back of a strongcurrency rebound, but beyond that result, all other EAFE markets delivered monthly returns exceeding 3% to unhedged dollar-based investors. Three EAFEconstituents achieved double-digit results in June. Best of all was MSCI Spain, which soared by 21.0% as shares of larger banks enjoyed a huge relief rally.MSCI Italy climbed 14.6% for the month, also helped by a rebound in financial names, and MSCI Belgium advanced by 11.8%. Despite the June prosperity,MSCI Spain and MSCI Italy were still losers for the full second quarter, during which they shed more than 12% each. MSCI Belgium, on the other hand, wasthe only developed market not to lose ground during the second quarter, hanging onto a thin three-month gain of 0.3%. Brewer Anheuser-Busch InBev hasbeen a stalwart all year, and lender KBC rebounded nicely in June to finish a strong first half. MSCI Belgium is easily the top EAFE market on a year-to-datebasis, with a 19.3% gain since the start of 2012. Beyond Belgium, other bright spots in the second quarter included MSCI Switzerland and MSCI UK, which have been among the steadier European marketsin 2012. Both earned June returns that were close to the EAFE result, and both outperformed in the second quarter despite their proximity to eurozone turmoil.MSCI Switzerland lost 6.1% in the latest three months, with its franc still tied to the sinking euro, and MSCI UK retreated 4.0%, given a less encumbered Britishpound. On a year-to-date basis, both MSCI Switzerland and MSCI UK have added 3.4%, each modestly ahead of EAFE. MSCI Denmark also proved resilientin the second quarter, limiting its loss to 3.1%, and finishing the first half with a 14.2% gain. MSCI Denmark was the only developed market after MSCI Belgiumand MSCI Singapore to stay in double digits on a year-to-date basis. Among the key gainers in Denmark thus far in 2012 have been several healthcarenames. Less happily, much of peripheral Europe experienced daunting declines in the second quarter, even after rebounding strongly in June. MSCI Greece faredworst, dropping 28.3% in the latest three months amid electoral turmoil and contracting activity. Further deterioration at device maker Nokia plunged MSCIFinland to a 21.6% second-quarter loss, in an ironically poor showing for a country that remains one of the few AAA credits left in Europe. And MSCI Portugallost 18.4% in the second quarter. MSCI Greece, MSCI Portugal, and MSCI Spain are the three weakest EAFE markets on a year-to-date basis, each havinggiven back more than 15% over six months. Their closest rival in decline has been MSCI Finland, whose 8.4% year-to-date loss is barely half as painful. All 10 EAFE sectors gained ground during the June rebound, with banks leading the financials to a strong 11.0% surge, and telecommunications services alsoclimbing by double digits in the latest month. Cyclical sectors were well represented among the June underperformers, with materials and informationtechnology faring the worst, but still adding more than 3% for the month. There was considerably greater differentiation for the second quarter as a whole.Materials and technology were still the laggards, hurt in turn by mining and hardware names that led these groups to respective three-month losses of 13.2%and 14.2%. Industrials, consumer discretionary, and energy each lagged EAFE by roughly two percentage points for the quarter, and financials were a milderunderperformer. But consumer staples and telecommunications services only suffered small losses for the period, and the healthcare sector actually eked outa second-quarter gain of 0.8%. Consumer discretionary remains the sector leader on a year-to-date basis with a six-month return of 8.6%, and financials,consumer staples, and healthcare are also outperforming EAFE nicely. Energy is the poorest performing EAFE sector on a year-to-date basis, with a 5.4%decline since the start of 2012, but materials and technology also remain firmly in negative territory. Sources: Bloomberg, FactSet, Morgan Stanley, JPMorgan, RBS, Credit Suisse, Citigroup, SSgA Performance Group, MSCI Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties orrepresentations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties oforiginality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, inno event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct,indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distributionor dissemination of the MSCI data is permitted without MSCI's express written consent. This material is solely for the private use of SSgA clients and is not intended for public dissemination.


The MSCI indices are trademarks of MSCI Inc. The Standard & Poor's indices are registered trademarks of Standard & Poor's Financial Services LLC. TheBarclays Capital US Treasury Index is a trademark of Barclays Capital, Inc. Russell Investment Group is the source and owner of the trademarks, servicemarks and copyrights related to the Russell Indexes. Russell 2000®, Russell 1000® Growth and Russell 1000® Value are trademarks of Russell InvestmentGroup. Dow Jones and Dow Jones US Select REIT IndexSM are service marks of Dow Jones & Company, Inc. and have been licensed for use for certainpurposes by State Street Global Advisors (SSgA). S&P GSCI® is a trademark of Standard & Poor's Financial Services LLC and has been licensed for use byGoldman, Sachs & Co. SSgA may have or may seek investment management or other business relationships with companies discussed in this material or affiliates of thosecompanies, such as their officers, directors and pension plans. The views expressed in this material are the views of SSgA's Multi Asset Class Solutions Team through the period ended June 30, 2012 and are subject tochange based on market and other conditions. The information provided does not constitute investment advice and it should not be relied on as such. Allmaterial has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. This document contains certain statements that may bedeemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developmentsmay differ materially from those projected. Past performance is not a guarantee of future results. Investing involves risk including the risk of loss of principal. Risks associated with equity investing include stock values which may fluctuate in response to the activities of individual companies and general market andeconomic conditions. In general, fixed income securities carry interest rate risks; the risk of issuer default; and inflation risk. This effect is usually pronounced for longer-termsecurities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Government bonds and corporate bondshave more moderate short-term price fluctuations than stocks, but provide lower potential long-term returns. U.S. Treasury Bills maintain a stable value if heldto maturity, but returns are generally only slightly above the inflation rate. Investing in commodities' entail significant risk and is not appropriate for all investors. 90-day U.S. Treasury bills are insured and guaranteed by the U.S. government. U.S. Treasury Bills maintain a stable value if held to maturity, but returns aregenerally only slightly above the inflation rate. Investing in REITs involves certain distinct risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may beaffected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of credit extended.REITs are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs, especially mortgage REITs, are also subject to interestrate risk (i.e., as interest rates rise, the value of the REIT may decline). Investing in foreign domiciled securities may involve risk of capital loss from unfavorable fluctuation in currency values, withholding taxes, from differences ingenerally accepted accounting principles or from economic or political instability in other nations. Please review your own account performance via www.ssga.com or contact your Relationship Manager.


Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number238276). Registered office: Level 17, 420 George Street, Sydney, NSW 2000, Australia Telephone: 612 9240-7600 o Facsimile: 612 9240-7611. Belgium :State Street Global Advisors Belgium, Office Park Nysdam, 92 Avenue Reine Astrid, B-1310 La Hulpe, Belgium. Telephone: 32 2 663 2036, Facsimile: 32 2672 2077. Belgium is a branch of State Street Global Advisors Limited. Canada : State Street Global Advisors, Ltd., 770 Sherbrooke Street West Suite 1200,Montreal, Quebec H3A 1G1 Canada and 161 Bay Street, T.D. Canada Trust Tower, Suite 4530, Toronto, Ontario M5J 2S1. Dubai : State Street Bank andTrust Company (Representative Office), Suite 404 4th Floor, Building 4, Emaar Square, Dubai, United Arab Emirates. Telephone: 971 (0)4-4372800,Facsimile: 971 (0)4-4372818. France : State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with theRegister of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon,92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany : State Street Global Advisors GmbH, BriennerStrasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F,Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200. Japan : State Street GlobalAdvisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho#345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers' Association. Ireland: State Street GlobalAdvisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2.Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Viadei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155. Netherlands : State Street Global Advisors Netherlands, AdamSmith Building, Thomas Malthusstraat 1-3, 1066 JR Amsterdam, Netherlands. Telephone: 31 20 7085600, Facsimile 31 20 7085601. SSgA Netherlands is abranch of State Street Global Advisors Limited. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower,Singapore 068912 (Company Reg. No: 200002719D). Telephone: 65 6826-7500, Facsimile: 65 6826-7501. Switzerland : State Street Global Advisors AG,Beethovenstr. 19, CH-8027 Zurich. Telephone 41 (0)44 245 70 00. Facsimile Fax: 41 (0)44 245 70 16. United Kingdom : State Street Global AdvisorsLimited. Authorised and regulated by the Financial Services Authority. Registered in England. Registered No. 2509928. VAT No. 5776591 81. Registeredoffice: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. United States : State Street GlobalAdvisors, One Lincoln Street, Boston, MA 02111-2900.


MSCI All Country World (ACWI) ex-US Index Performance AnalysisAs of June 30, 2012

Q2 Return: -7.61%Past 12 Months Return: -14.57%

MSCI All Country World (ACWI) ex-US Index Sector Returns


Economic Sector Economic SectorConsumer Discretionary 9.37 -9.17 -0.93 Consumer Discretionary 9.37 -13.23 -1.32Consumer Staples 10.38 -1.98 -0.19 Consumer Staples 10.38 3.02 0.32Energy 10.85 -11.15 -1.28 Energy 10.85 -17.62 -1.90Financials 24.06 -7.53 -1.70 Financials 24.06 -17.71 -4.21Health Care 7.29 0.53 0.06 Health Care 7.29 0.18 0.14Industrials 10.61 -9.26 -1.00 Industrials 10.61 -17.66 -1.94Information Technology 6.44 -11.80 -0.84 Information Technology 6.44 -11.35 -0.83Materials 11.03 -12.44 -1.46 Materials 11.03 -27.03 -3.71Telecommunication Services 6.06 -1.42 -0.07 Telecommunication Services 6.06 -8.19 -0.49Utilities 3.91 -5.19 -0.19 Utilities 3.91 -16.75 -0.63

MSCI All Country World (ACWI) ex-US Index Constituent Returns




Vodafone Group PLC 0.99 6.10 0.06 Samsung Electronics Co. Ltd. 0.82 36.08 0.18SoftBank Corp. 0.23 26.16 0.05 Vodafone Group PLC 0.99 14.46 0.14Anheuser-Busch InBev 0.44 8.38 0.04 Anheuser-Busch InBev 0.44 36.33 0.12Diageo PLC 0.46 7.28 0.03 British American Tobacco PLC 0.71 20.90 0.11Commonwealth Bank of Australia 0.61 4.87 0.03 Diageo PLC 0.46 29.99 0.11




MSCI All Country World ex-US Investment Commentary


BHP Billiton Ltd. 0.74 -10.09 -0.09 BNP Paribas S.A. 0.26 -48.44 -0.19Siemens AG 0.49 -16.62 -0.09 Rio Tinto PLC 0.45 -32.62 -0.20Barclays PLC 0.21 -31.73 -0.09 Telefonica S.A. 0.38 -40.14 -0.22BASF SE 0.45 -18.17 -0.10 Siemens AG 0.49 -37.03 -0.23Petrobras Petroleo Brasileiro (Pfd) 0.27 -28.72 -0.10 BHP Billiton Ltd. 0.74 -29.30 -0.29




Progress Energy Resources Corp. 0.03 98.04 0.01 Advanced Info Service PCL 0.04 81.09 0.01Shimao Property Holdings Ltd. 0.01 45.33 0.01 Radiant Opto-Electronics Corp. 0.01 71.07 0.01Huaneng Power International Inc. 0.02 39.42 0.01 Medipal Holdings Corp. 0.01 63.12 0.01Alimentation Couche Tard Inc. Cl B 0.04 33.09 0.01 Orascom Telecom Media & Technology Holding SAE < 0.01 60.37 < 0.01China Railway Construction Corp. Ltd. 0.01 32.83 0.00 Charoen Pokphand Indonesia 0.02 59.17 0.01


Nokia Corp. 0.05 -59.97 -0.08 Dexia S.A. 0.00 -83.78 -0.01Grupo Elektra S.A. de C.V. 0.00 -62.13 -0.03 EFG Eurobank Ergasias S.A. 0.00 -86.23 -0.01Hellenic Telecommunications Organization S.A. 0.00 -62.16 0.00 Elpida Memory Inc 0.00 -99.26 -0.02OGX Petroleo e Gas Participacoes S/A 0.02 -67.08 -0.05 Sino-Forest Corp. 0.00 -99.69 -0.01BANKIA S.A. 0.01 -67.58 -0.02 Chaoda Modern Agriculture (Holdings) Ltd. 0.00 -99.70 -0.01

Note: Total returns for period held in index


The MSCI All Country World ex US Index is a trademark of MSCI Inc.

Source: FactSet, SSgA and MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.



INTR-0180© 2012 State Street Corporation - All Rights Reserved


France: State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with the Register of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon, 92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany: State Street Global Advisors GmbH, Brienner Strasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F, Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200.

Japan: State Street Global Advisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho #345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers’ Association. Ireland: State Street Global Advisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2. Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Via dei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155.


The information contained herein does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. Past performance is no guarantee of future results.


This performance analysis is provided as a courtesy to our clients and does not contain any specific performance information relating to any particular client investment account. Accordingly, the performance does not reflect any fees to which an actual investment account would be subject. The general performance of the unmanaged index shown is based on data developed by third parties (including FactSet and the benchmark provider) and may be subject to revision and update. The performance reflects the reinvestment of dividends and other corporate actions. The performance is calculated in U.S. dollars.




US Aggregate Bond Index Strategy Investment Commentary2nd Quarter 2012

Index PerformanceThe Barclays Capital U.S. Aggregate Bond Index (hereinafter referred to as "Aggregate Index") posted a return of +2.06% for the second quarter of 2012 and+2.37% for the year-to-date. Excess returns (returns compared to comparable duration Treasuries) were -0.51% for the quarter and +0.88% for the year-to-date period. Quarterly Market RecapEurope again led the way for the markets as the Long Term Refinancing Operation (LTRO) came to an end and investors were left wondering if buyers wouldemerge for Spanish and Italian government debt. When May came, markets were fully digesting the concerns over the breakup of the Eurozone. Governmentmarkets considered safe havens were awash with cash, driving treasury notes like the German 10-Year and the US 10-Year Note down. The Frenchpresidential election and the Greek parliamentary election gave austerity opponents new platforms in Europe and by the end of May, even ECB PresidentMario Draghi had joined critics about the pace of EU stabilization efforts. The market saw a bit of a reprieve late in the month of June as the most recentEuropean Summit saw leaders make some policy changes that should make it easier for banks to access emergency funding vehicles directly (instead ofcountries accessing the vehicles thereby increasing their debt levels). Leaders also put in place plans to create a new Euro-wide banking regulator. While themarket agreed these changes aren't a cure-all for the region, they did help lend some stability to markets. The Aggregate Index was unable to emulate the success of the first quarter's performance, posting a -0.51% excess return for the second quarter. The yieldpremium to comparable duration Treasuries for the Mortgage-Backed Index (approximately 1/3rd of the Aggregate) widened by roughly 6 basis points, whilethe yield premium for the Investment Grade Corporate Bond Index (approximately 1/5th of the Aggregate) widened by 20 basis points. The US Treasury YieldCurve flattened during the second quarter as financial turmoil gripped Europe, sending investors fleeing to safer assets. The yield on the 2-Year Treasury fell 3basis points, and the yield on the 10-Year Treasury fell 57 basis points to end at the quarter at 1.65%. Treasury rates rose in June as investors evaluated the1.45% all-time low of the US 10-Year Treasury on June 1st. Economic data in the US was softer than anticipated as well. The Non-Farm Payroll number consistently missed expectation and averaged only 75,000 newjobs per month after an average of 225,000 per month during the first quarter. Jobless claims and industrial production also came in weaker than expectationsleading investors to compare 2012 to 2011 where a strong first quarter was followed by a sluggish 2nd half of the year. Personnel ChangesThere were no personnel changes this quarter.Sources: Barclay's Capital, Citigroup, Wall Street Journal, Financial Times, Bloomberg, US Department of Treasury, SSgA Source: Barclays Capital POINT/Global Family of Indices. ©2012 Barclays Capital Inc. Used with permission. This material is solely for the private use of SSgA clients and is not intended for public dissemination. The views expressed in this material are the views of SSgA's Global Fixed Income Group only through the period ended June 30, 2012 and are subject tochange based on market and other conditions. The information provided does not constitute investment advice and it should not be related on as such. Allmaterial has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. This document contains certain statements that may bedeemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developmentsmay differ materially from those projected. Past performance is not a guarantee of future results. Investing involves risk including the risk of loss of principal.


In general, fixed income securities carry interest rate risks; the risk of issuer default; and inflation risk. This effect is usually pronounced for longer-termsecurities. Any fixed income security sold or redeemed prior to maturity may be subject to a substantial gain or loss. Government bonds and corporate bondshave more moderate short-term price fluctuations than stocks, but provide lower potential long-term returns. U.S. Treasury Bills maintain a stable value if heldto maturity, but returns are generally only slightly above the inflation rate. Please review your own account performance via www.ssga.com or contact your Relationship Manager. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and thereinvestment of dividends and other income. Australia: State Street Global Advisors, Australia, Limited (ABN 42 003 914 225) is the holder of an Australian Financial Services Licence (AFSL Number238276). Registered office: Level 17, 420 George Street, Sydney, NSW 2000, Australia Telephone: 612 9240-7600 o Facsimile: 612 9240-7611. Belgium :State Street Global Advisors Belgium, Office Park Nysdam, 92 Avenue Reine Astrid, B-1310 La Hulpe, Belgium. Telephone: 32 2 663 2036, Facsimile: 32 2672 2077. Belgium is a branch of State Street Global Advisors Limited. Canada : State Street Global Advisors, Ltd., 770 Sherbrooke Street West Suite 1200,Montreal, Quebec H3A 1G1 Canada and 161 Bay Street, T.D. Canada Trust Tower, Suite 4530, Toronto, Ontario M5J 2S1. Dubai : State Street Bank andTrust Company (Representative Office), Suite 404 4th Floor, Building 4, Emaar Square, Dubai, United Arab Emirates. Telephone: 971 (0)4-4372800,Facsimile: 971 (0)4-4372818. France : State Street Global Advisors France. Authorised and regulated by the Autoritdes March Financiers. Registered with theRegister of Commerce and Companies of Nanterre under the number 412 052 680. Registered office: Immeuble Dense Plaza, 23-25 rue Delarivie-Lefoullon,92064 Paris La Dense Cedex, France. Telephone: (33) 1 44 45 40 00. Facsimile: (33) 1 44 45 41 92. Germany : State Street Global Advisors GmbH, BriennerStrasse 59, D-80333 Munich. Telephone 49 (0)89-55878-400, Facsimile 49 (0)89-55878-440. Hong Kong: State Street Global Advisors Asia Limited, 68/F,Two International Finance Centre, 8 Finance Street, Central, Hong Kong, Telephone: 852 2103-0288, Facsimile: 852 2103-0200. Japan : State Street GlobalAdvisors, Japan, 9-7-1 Akasaka, Minato-ku, Tokyo Telephone 813-4530-7380 Financial Instruments Business Operator, Kanto Local Financial Bureau (Kinsho#345). Japan Securities Investment Advisers Association, Investment Trust Association, Japan Securities Dealers' Association. Ireland: State Street GlobalAdvisors Ireland Limited is regulated by the Central Bank of Ireland. Incorporated and registered in Ireland at Two Park Place, Upper Hatch Street, Dublin 2.Registered number 145221. Member of the Irish Association of Investment Managers. Italy: State Street Global Advisors Ltd., Sede Secondaria di Milano - Viadei Bossi, 4 20121 Milan, Italy. Telephone: 39 02 32066 100, Facsimile: 39 02 32066 155. Netherlands : State Street Global Advisors Netherlands, AdamSmith Building, Thomas Malthusstraat 1-3, 1066 JR Amsterdam, Netherlands. Telephone: 31 20 7085600, Facsimile 31 20 7085601. SSgA Netherlands is abranch of State Street Global Advisors Limited. Singapore: State Street Global Advisors Singapore Limited, 168, Robinson Road, #33-01 Capital Tower,Singapore 068912 (Company Reg. No: 200002719D). Telephone: 65 6826-7500, Facsimile: 65 6826-7501. Switzerland : State Street Global Advisors AG,Beethovenstr. 19, CH-8027 Zurich. Telephone 41 (0)44 245 70 00. Facsimile Fax: 41 (0)44 245 70 16. United Kingdom : State Street Global AdvisorsLimited. Authorised and regulated by the Financial Services Authority. Registered in England. Registered No. 2509928. VAT No. 5776591 81. Registeredoffice: 20 Churchill Place, Canary Wharf, London, E14 5HJ. Telephone: 020 3395 6000. Facsimile: 020 3395 6350. United States : State Street GlobalAdvisors, One Lincoln Street, Boston, MA 02111-2900. INTR-0535


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