Investment performance analysis third quarter 11/2011 |
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Oklahoma State Pension Commission Investment Performance Analysis November 2011 Allan Martin, Partner Don Stracke, CFA, Senior Consultant Tony Ferrara, Senior Analyst Table of Contents Market Environment Asset Allocation / Investment Policy Targets Performance Summary Performance Detail • Teachers 1 • PERS 2 • Firefighters 3 • Police 4 • Law Enforcement 5 • Judges & Justices 6 • Department of Wildlife 7 • Appendix 8 Tab 2 Period Ending 9/30/2011 Period Ending 9/30/2011 Market Environment – Overview 3 Note: Cambridge Private Equity and Cambridge Venture Capital Indexes are lagged by one quarter. Performance shown as of June 30, 2011. $ 10 ,07 5 ,593,538 $ 6,78 5 ,18 9 ,768 $ 1,798,14 7 ,531 $ 1,729,469 ,789 $ 708,72 5 ,602 $ 247,762,273 $ 73 ,757,154 $ 21,533,700 ,328 $0 $5,000,000,000 $10,000,000,000 $15,000,000,000 $20,000,000,000 $25,000,000,000 Teachers PERS Police Firefighters Law Judges Wildlife Composite Period Ending 9/30/2011 Asset Growth Summary 4 46.4% 32.2% 8.6% 8.0% 3.3% 1.2% 0.4% 6/30/2011 $10,147,903 6/30/2011 $6,827,935 6/30/2011 $1,798,148 6/30/2011 $1,729,470 Net Ext Growth ($154,162) Net Ext Growth ($43,487) Net Ext Growth ($8,880) Net Ext Growth ($14,517) Investment Return ($1,126,773) Investment Return ($624,422) Investment Return ($151,351) Investment Return ($180,015) 9/30/2011 $8,866,968 9/30/2011 $6,160,026 9/30/2011 $1,637,917 9/30/2011 $1,534,938 9/30/2010 $9,090,405 9/30/2010 $6,261,465 9/30/2010 $1,647,915 9/30/2010 $1,578,605 Net Ext Growth ($214,791) Net Ext Growth ($169,523) Net Ext Growth ($34,144) Net Ext Growth ($83,729) Investment Return ($8,646) Investment Return $68,084 Investment Return $24,146 Investment Return $40,062 9/30/2011 $8,866,968 9/30/2011 $6,160,026 9/30/2011 $1,637,917 9/30/2011 $1,534,938 46.4% 32.2% 8.6% 8.0% Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Police Fire Fighters Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Teachers Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 PERS Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 6/30/2011 $708,726 6/30/2011 $247,762 6/30/2011 $73,757 6/30/2011 $21,533,701 Net Ext Growth ($4,840) Net Ext Growth ($2,172) Net Ext Growth $21 Net Ext Growth ($228,037) Investment Return ($64,247) Investment Return ($23,164) Investment Return ($5,266) Investment Return ($2,175,238) 9/30/2011 $639,639 9/30/2011 $222,426 9/30/2011 $68,512 9/30/2011 $19,130,426 9/30/2010 $643,932 9/30/2010 $229,622 9/30/2010 $69,170 9/30/2010 $19,521,114 Net Ext Growth ($20,194) Net Ext Growth ($8,697) Net Ext Growth $527 Net Ext Growth ($530,551) Investment Return $15,901 Investment Return $1,501 Investment Return ($1,185) Investment Return $139,863 9/30/2011 $639,639 9/30/2011 $222,426 9/30/2011 $68,512 9/30/2011 $19,130,426 3.3% 1.2% 0.4% 100.0% Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Composite Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Judges Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Wildlife Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Law Key Policy Items Teachers^ PERS* Firefighters Police ** Law Judges Wildlife TOTAL EQUITY Target 55.0% 64.0% 62.5% 60.0% 60.0% 64.0% 50.0% Actual 55.3% 61.6% 64.4% 50.8% 55.9% 61.5% 45.2% Range 50-60 59-69 57-68 50-70 55-65 59-69 40-55 Large Cap Target 17.5% 35.0% 22.5% 15.0% 25.0% 35.0% 35.0% Actual 21.2% 34.4% 32.7% 18.9% 30.4% 34.5% 31.6% Range 16-19 32-38 17-28 10-20 20-30 32-38 30-40 M idCap Target 12.5% - - - - - - Actual 11.7% Range 11-14 - - - - - - Small Cap Target 10.0% 5.0% 10.0% 5.0% 15.0% 5.0% 10.0% Actual 8.7% 4.8% 11.7% 8.6% 6.7% 5.0% 7.3% Range 9-11 2-8 5-15 0-10 10-20 2-8 5-15 Int'l Equity Target 15.0% 24.0% 10.0% 15.0% 10.0% 24.0% 10.0% Actual 13.7% 22.4% 11.6% 9.2% 8.7% 22.0% 6.3% Range 14-17 21-27 5-15 5-25 5-15 21-27 5-15 Long/Short Eq Target - - 10.0% 15.0% 10.0% - - Actual 8.3% 14.1% 10.1% Range - - 6-14 10-20 5-15 - - TOTAL FIXED INC. Target 30.0% 36.0% 27.5% 25.0% 30.0% 36.0% 40.0% Actual 33.7% 38.1% 21.4% 21.1% 34.6% 38.5% 48.8% Range 27-33 32-40 22-33 15-35 25-35 32-40 35-55 Dom. Fixed Inc./High Yield Target 30.0% 36.0% 15.0% - 30.0% 36.0% 40.0% Actual 33.7% 38.1% 11.7% 34.6% 38.5% 48.8% Range 27-33 32-40 8-27.5 - 25-35 32-40 35-55 Int'l/Global Fixed Inc. Target - - 5.0% 15.0% - - - Actual 9.7% 21.1% Range - - 0-10 10-20 - - - TOTAL ALTERNATIVES Target 15.0% - 10.0% 35.0% 10.0% - 5.0% Actual 11.2% 14.1% 27.0% 9.5% 4.6% Range 14-17 - 5-15 22.5-32.5 5-15 - 0-5 Low Vol. Hedge Funds Target - - 7.5% 10.0% - - - Actual 8.0% 9.2% Range - - 2-10 5-15 - - - Private Equity/MLP's Target 10.0% - 10.0% 10.0% 3.0% - - Actual 7.8% 13.3% 3.6% Range 9-11 - 0-15 5-15 0-5 - - Real Estate/Real Assets Target 5.0% - 10.0% 15.0% 7.0% - - Actual 3.3% 6.1% 4.5% 5.9% Range 4-6 - 0-18 10-20 2-12 - - CASH Actual -0.2% 0.2% 0.1% 1.1% 0.1% 0.1% 1.4% Period Ending 9/30/2011 Asset Allocation Summary ^Master Limited Partnerships included in Private Equity allocation. *The Russell 3000 index was broken down into Large Cap & Small Cap allocations for the PERS retirement plan **Real Assets are included in Real Estate Please note that allocations may not add to 100% due to rounding. Out of Range 5 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% Teachers Firefighters Wildlife Law PERS Police Judges Median Public Fund Period Ending 9/30/2011 Equity Commitment 61.5%* 55.3% 50.8% 64.4% 55.9%* 50.6% 45.2%* 61.6% *Cash allocations not broken out for individual managers. 6 Plan Performance Period Ending 9/30/2011 Total Fund Performance 8 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (11.2)% 89 (0.2)% 87 5.3% 24 2.6% 31 5.3% 18 PERS (9.2)% 56 0.9% 69 5.2% 26 2.5% 35 4.9% 42 Firefighters (10.4)% 79 0.3% 79 2.5% 86 1.5% 78 4.2% 77 Police (8.4)% 38 1.4% 57 3.6% 67 2.5% 35 4.9% 42 Law (9.1)% 54 2.3% 30 4.5% 44 1.8% 64 4.3% 75 Judges (9.4)% 62 0.4% 75 5.1% 30 2.4% 40 4.5% 63 Wildlife (7.3)% 23 1.6% 52 2.8% 82 1.6% 74 3.7% 92 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Year Ending December Performance 9 % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k Te a ch e rs (0 .2)% 87 1 2 .9% 9 4.1% 20 (1 5 .2)% 61 1 5 .0% 53 9 .4% 55 14.9% 24 P ERS 0 .9% 69 9 .7% 69 5 .3% 15 (1 5 .0)% 60 1 4 .4% 62 9 .2% 60 12.7% 63 Fire fig hte rs 0 .3% 79 9 .0% 82 (1 .6 )% 73 (1 3 .8)% 42 1 5 .8% 34 8 .5% 77 14.3% 34 P o lice 1 .4% 57 9 .0% 87 0 .6% 55 (1 2 .8)% 28 1 6 .7% 21 9 .5% 51 13.4% 49 Law 2.3% 30 1 1 .1% 31 0 .5% 58 (1 5 .4)% 66 1 3 .1% 81 8 .1% 81 13.9% 40 Jud g e s 0 .4% 75 1 0 .1% 57 5 .1% 16 (1 4 .5)% 51 1 3 .0% 82 8 .8% 68 11.4% 79 W ild life 1 .6% 52 7 .8% 98 (1 .1 )% 71 (1 1 .2)% 14 1 2 .1% 89 8 .1% 81 10.5% 84 1 .7% 1 0 .3% 0 .9% (1 4 .5)% 1 5 .1% 9 .6% 13.3% Gre e n = 1 s t Q u a rtile Ye llow = 2 n d Q u a rt ile Blu e = 3 rd Q u a rtile Re d = 4 th Q u a rtile S ep-07 Sep-06 S ep-05 Me d To t P ub Fu n d S ep-11 Sep-10 S ep-09 S ep-08 Period Ending 9/30/2011 3 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Teachers PERS Police Firefighters MSCI EAFE 60% S&P/ 40% BC AGG 5.3 24 5.2 26 3.6 67 2.5 86 10 Period Ending 9/30/2011 3 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Wildlife Law Judges MSCI EAFE 60% S&P/ 40% BC AGG 4.5 44 5.1 30 2.8 82 11 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Teachers Police PERS Firefighters MSCI EAFE 60% S&P/ 40% BC AGG 2.6 31 2.5 35 1.5 78 12 2.5 35 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds Law Judges Wildlife BC Aggregate 60% S&P/ 40% BC AGG 13 1.8 64 2.4 40 1.6 74 MSCI EAFE S&P 500 Oklahoma Teachers Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 15 6/30/2011 $10,147,903 Net Ext Growth ($154,162) Investment Return ($1,126,773) 9/30/2011 $8,866,968 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 16 2.6 31 2.1 51 1.5 78 Total Fund Performance 17 Period Ending 9/30/2011 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (11.2)% 89 (0.2)% 87 5.3% 24 2.6% 31 5.3% 18 Allocation Index (10.6)% 83 0.2% 83 4.6% 41 2.1% 51 4.6% 60 Policy Index (11.3)% 90 0.1% 85 3.8% 63 1.5% 78 4.4% 72 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (0.2)% 87 12.9% 9 4.1% 20 (15.2)% 61 15.0% 53 9.4% 55 14.9% 24 Alloc. Index 0.2% 83 10.4% 46 3.3% 26 (14.7)% 54 13.9% 69 9.3% 58 12.7% 64 Policy Index 0.1% 85 10.4% 47 1.2% 48 (15.6)% 68 14.2% 67 9.8% 47 14.1% 36 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 18 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (19.1)% 59 (2.9)% 70 1.9% 55 (0.6)% 65 3.1% 68 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (20.2)% 51 (10.5)% 53 (0.5)% 70 (2.3)% 69 4.2% 68 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Equity Median (20.1)% (10.2)% 1.0% (1.2)% 5.5% Fixed Inc Comp 2.7% 26 6.1% 17 12.7% 11 9.3% 13 7.7% 16 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Med 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 19 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value Hotchkis & Wiley Large Cap 3.7% (16.9)% 45 (4.0)% 61 3.1% 7 (5.2)% 83 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core Sawgrass 5.1% (10.5)% 2 5.8% 3 3.1% 13 0.6% 13 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Goldman Sachs 4.7% (13.6)% 39 (2.3)% 87 1.6% 78 1.0% 55 Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Medium Value AJO Mid Cap 3.0% (20.2)% 45 1.0% 13 4.5% 34 0.9% 28 Hotchkis & Wiley Mid Cap 2.8% (26.5)% 98 (10.4)% 87 8.0% 9 (2.5)% 63 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Medium Core Frontier 3.2% (17.7)% 17 1.3% 22 5.0% 40 5.0% 6 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Medium Growth Wellington 2.8% (26.3)% 98 (6.9)% 96 2.7% 72 0.3% 82 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Small Value Shapiro Capital 4.7% (21.0)% 43 (3.7)% 29 5.9% 14 3.0% 11 Tocqueville 3.9% (28.2)% 100 (14.8)% 100 (3.6)% 98 (2.4)% 90 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% All Cap Advisory 3.7% (14.0)% 19 2.8% 21 1.8% 56 (0.8)% 67 Epoch 4.1% (18.3)% 53 (1.0)% 54 1.1% 66 0.6% 47 Russell 3000 (15.3)% 0.6% 1.5% (0.9)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 20 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Brandes - Value 4.4% (17.2)% 44 (9.6)% 61 (2.1)% 85 (3.2)% 80 Causeway - Value 2.9% (22.2)% 90 (10.9)% 67 1.0% 21 (2.3)% 60 Capital Guardian 3.5% (21.3)% 74 (12.1)% 78 (1.1)% 72 (3.2)% 77 Thornburg 2.9% (21.1)% 72 (9.4)% 51 1.9% 31 2.0% 12 MSCI EAFE (19.0)% 7.9% (6.6)% 4.3% Bond Managers Core Bonds Loomis Sayles 6.5% 1.1% 84 5.0% 46 13.7% 1 9.6% 1 Mackay Shie lds 6.5% 0.8% 87 5.3% 35 9.7% 40 7.7% 15 Stephens Capital 3.4% 1.5% 82 2.6% 93 6.6% 95 6.6% 64 Lord Abbett 6.5% 2.7% 51 5.5% 27 10.5% 19 7.7% 15 LB Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 3.4% 35.8% 1 22.0% 2 15.2% 27 12.0% 5 Lehman Long 24.7% 17.1% 13.0% 10.7% High Y ield Loomis Sayles HY 2.4% (11.3)% 97 (3.2)% 97 n/a n/a Lord Abbett HY 2.5% (6.3)% 72 3.0% 51 n/a n/a Mackay Shie lds HY 2.5% (3.0)% 18 4.8% 12 n/a n/a ML High Yield II (6.3)% 1.3% 13.7% 6.9% Private Equity Chicksaw Capital 1.4% (4.8)% n/a n/a n/a Swank Capital 1.3% (8.6)% n/a n/a n/a Fiduciary 2.6% (6.0)% n/a n/a n/a Alerion MLP Index (8.6)% 4.3% 22.2% 12.6% Pimco Distressed 0.9% (5.0)% 16.0% 10.2% n/a Mackay PE 0.0% (6.6)% 0.9% n/a n/a Aldus PE 0.6% 0.7% (3.0)% (6.8)% n/a Pimco Distressed 0.6% (3.4)% 23.0% n/a n/a Pimco Bravo 0.4% 2.7% n/a n/a n/a OK- OTRS/FP 0.1% (17.2)% n/a n/a n/a Real Estate L & B Real Estate 1.1% 0.1% n/a n/a n/a Heitman Real Estate 1.2% 1.0% n/a n/a n/a AEW Real Estate1 1.0% n/a n/a n/a n/a NCREIF ODCE 3.5% 18.3% (6.4)% 0.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 Funded in July 2011 (n/a due to partial returns). Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma PERS Allocation by Manager Allocation by Asset Class Asset Growth Summary Fund Snapshot 22 Period Ending 9/30/2011 6/30/2011 $6,827,935 Net Ext Growth ($43,487) Investment Return ($624,422) 9/30/2011 $6,160,026 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 2.3 43 23 2.4 40 2.5 35 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank PERS (9.2)% 56 0.9% 69 5.2% 26 2.5% 35 4.9% 42 Allocation Index (9.7)% 65 (0.1)% 87 4.8% 37 2.4% 40 4.4% 72 Policy Index (9.2)% 56 0.4% 75 4.6% 41 2.3% 43 4.8% 48 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Total Fund Performance 24 Period Ending 9/30/2011 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank PERS 0.9% 69 9.7% 69 5.3% 15 (15.0)% 60 14.4% 62 9.2% 60 12.7% 63 Allocation Index (0.1)% 87 9.2% 78 5.4% 13 (14.1)% 45 13.7% 73 8.5% 77 10.9% 83 Policy Index 0.4% 75 10.6% 41 3.3% 25 (13.7)% 40 14.6% 60 9.2% 60 13.2% 53 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 25 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (15.7)% 34 0.8% 38 1.3% 63 (1.3)% 75 2.4% 80 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (18.0)% 30 (8.5)% 40 1.3% 38 (1.2)% 41 5.2% 46 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Comp 5.8% 10 7.1% 13 9.7% 41 7.6% 23 6.7% 27 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 26 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value AJO 2.1% (17.1)% 48 (0.4)% 32 0.1% 42 (2.6)% 43 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core Mellon1 4.7% (13.7)% 13 3.7% 6 1.1% 49 (1.8)% 68 Blackrock Russell 1000 20.7% (14.6)% 35 0.9% 36 n/a n/a SSgA Equity Index 4.6% (14.8)% 38 3.0% 8 0.7% 59 (2.1)% 73 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth BlackRock Russell 1000 Growth 2.3% (13.1)% 29 n/a n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Core UBS 1.8% (19.6)% 100 6.2% 100 4.0% 94 0.8% 99 Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Small Value Barrow Hanley 1.5% (31.0)% 100 (14.0)% 100 5.3% 17 2.3% 17 DePrince Race & Zollo 1.5% (18.4)% 12 n/a n/a n/a Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 As of January 1, 2010 Franklin Portfolio Associates has been rebranded under the MCM name. Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 27 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Mondrian 8.0% (14.6)% 14 (4.9)% 20 1.6% 32 (0.5)% 31 Blackrock ACW ex US 7.1% (19.8)% 50 (10.5)% 62 n/a n/a Blackrock ACW ex US Growth 7.4% (19.8)% 50 (10.2)% 59 n/a n/a CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Bond Managers Core Bonds Met West 10.6% 1.8% 81 5.1% 6 10.8% 4 8.5% 12 BlackRock 19.6% 3.1% 5 5.0% 5 8.6% 23 6.3% 80 BC Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 4.2% 35.2% 1 21.5% 2 15.1% 3 12.2% 2 BC Long 24.7% 17.1% 13.0% 10.7% TIPS Blackrock TIPS 3.7% 4.6% 2 10.1% 1 n/a n/a BS US TIPS 1-5 yr (0.3)% 4.8% 4.3% 5.2% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Firefighters Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 29 6/30/2011 $1,729,470 Net Ext Growth ($14,517) Investment Return ($180,015) 9/30/2011 $1,534,938 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 30 1.5 78 Period Ending 9/30/2011 Total Fund Performance 31 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Firefighters (10.4)% 79 0.3% 79 2.5% 86 1.5% 78 4.2% 77 Allocation Index (10.4)% 79 1.1% 64 3.0% 77 1.2% 87 3.8% 88 Policy Index (9.3)% 61 2.0% 39 3.7% 66 1.8% 64 3.9% 86 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Firefighters 0.3% 79 9.0% 82 (1.6)% 73 (13.8)% 42 15.8% 34 8.5% 77 14.3% 34 Allocation Index 1.1% 64 9.4% 78 (1.2)% 71 (15.1)% 61 14.6% 59 10.0% 43 11.0% 82 Policy Index 2.0% 39 9.4% 78 0.6% 56 (13.2)% 34 12.5% 87 9.1% 64 11.6% 79 Med Tot Pub 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-11 Sep-10 Sep-09 Sep-08 Sep-07 Sep-06 Sep-05 Period Ending 9/30/2011 Composite Performance 32 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (14.9)% 26 (0.3)% 48 1.8% 56 0.1% 54 3.5% 60 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (21.8)% 80 (13.3)% 85 (2.7)% 84 (4.1)% 89 3.4% 87 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 3.5% 17 6.5% 17 8.6% 57 7.0% 41 5.9% 56 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Med 1.0% 4.3% 9.1% 6.7% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 33 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value AJO 3.3% (16.8)% 44 (0.5)% 33 (0.3)% 52 (2.6)% 43 Brandywine 3.2% (16.0)% 28 (6.0)% 79 (2.8)% 94 (4.9)% 77 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core SSgA Equity Index 5.8% (13.9)% 17 1.2% 27 1.3% 42 (1.1)% 51 SSgA EQ Wtd S&P 6.4% (17.8)% 79 (0.5)% 50 5.8% 3 0.7% 12 Intech 7.5% (14.1)% 28 2.4% 13 1.9% 26 (0.5)% 31 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Fred Alger Management 6.5% (15.1)% 61 2.2% 51 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Value Earnest Partners 2.7% (21.3)% 47 (7.2)% 78 (0.5)% 83 (0.4)% 52 River Road 2.5% (15.0)% 1 (1.7)% 13 (0.3)% 81 n/a Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Small Growth Lord Abbet 3.1% (20.8)% 52 n/a n/a n/a Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Delaware 3.4% (15.6)% 7 n/a n/a n/a Russell 2500 Growth (21.4)% 0.6% 4.6% 1.9% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 34 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Artio 5.6% (22.7)% 86 (16.2)% 90 (4.3)% 90 (4.3)% 82 Thornburg 5.9% (21.0)% 71 (10.4)% 61 n/a n/a Citi PMI EPAC (19.2)% (8.9)% 0 (2.6)% Long/Short Equity Pequot Capital 0.0% (2.9)% 25 2.1% 41 (2.2)% 96 3.9% 35 Grosvenor 5.0% (8.4)% 65 (3.5)% 78 1.6% 70 0.3% 88 Attalus 3.2% (5.1)% 52 0.5% 46 1.3% 73 n/a Azul Holdings Co. 0.1% 0.0% 12 0.0% 47 n/a n/a Hedge Fund Private Advisor 8.0% (2.1)% 33 3.5% 31 3.7% 45 3.5% 37 Real Estate JP Morgan 3.6% 3.2% 35 18.1% 35 (4.8)% 36 1.1% 29 TA Associates 1.1% 2.1% 48 1.4% 81 (14.4)% 73 (2.3)% 60 Portfolio Advisors III 0.7% 0.0% 63 8.4% 66 (18.0)% 80 n/a Portfolio Advisors IV1 0.0% n/a n/a n/a n/a Realty Associates 0.6% 4.1% 25 11.1% 59 n/a n/a NCREIF 3.3% 16.1% (1.5)% 3.4% Bond Managers Core Bonds SSGA NL Fixed Income 5.3% 3.8% 18 5.4% 31 n/a n/a BC Aggregate 3.8% 5.3% 8.0% 6.5% Intermediate SSgA Barclays IM 6.4% 2.3% 16 4.2% 31 7.1% 34 6.2% 36 Barclays Intermediate 2.4% 3.4% 7.0% 5.9% Global Fixed Brandywine Global FI 9.7% 4.1% 4 8.6% 6 n/a n/a Citi WGBI 2.4% 4.6% 7.7% 7.5% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 Funded in July 2011 (n/a due to partial returns). Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Police Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 36 6/30/2011 $1,798,148 Net Ext Growth ($8,880) Investment Return ($151,351) 9/30/2011 $1,637,917 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 37 1.3 85 1.6 74 2.5 35 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Police (8.4)% 38 1.4% 57 3.6% 67 2.5% 35 4.9% 42 Allocation Index (11.1)% 87 0.6% 73 3.7% 66 1.6% 74 3.5% 95 Policy Index (9.7)% 65 1.7% 50 3.3% 71 1.3% 85 3.8% 88 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 38 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Police 1.4% 57 9.0% 87 0.6% 55 (12.8)% 28 16.7% 21 9.5% 51 13.4% 49 Alloc. Index 0.6% 73 9.7% 67 0.9% 51 (16.0)% 74 15.7% 38 9.6% 50 7.4% 100 Policy Index 1.7% 50 9.9% 65 (1.3)% 71 (14.5)% 52 13.2% 80 8.8% 67 11.5% 79 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 39 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (16.4)% 40 0.6% 40 2.2% 37 (1.0)% 70 2.8% 73 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (18.9)% 35 (10.5)% 62 (2.2)% 81 (3.0)% 75 4.6% 53 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc. Composite (1.2)% 75 3.6% 66 9.6% 42 6.0% 71 5.7% 67 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 40 Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Core Mellon Index Fund 18.9% (14.7)% 36 1.0% 34 1.7% 32 (0.9)% 45 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Small Value Boston Partners 4.8% (20.5)% 32 (3.6)% 27 3.6% 37 0.6% 39 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Small Growth William Blair 3.8% (19.3)% 26 4.4% 37 n/a n/a Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Long/Short Equity Grosvenor 9.6% (8.8)% 72 (3.4)% 77 1.7% 68 0.7% 73 Attalus 4.5% (5.1)% 52 (2.3)% 70 1.4% 72 1.5% 57 S&P 500 (13.9)% 1.1% 1.2% (1.2)% International Equity Artio - Growth 4.1% (24.4)% 96 (18.0)% 76 (5.3)% 97 (4.7)% 93 Mondrian 5.1% (14.0)% 13 (3.5)% 2 0.5% 50 (1.6)% 52 CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 41 Fixed Income % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Agincourt 9.5% 2.9% 46 4.7% 55 9.3% 50 6.6% 64 Oaktree 6.2% (6.4)% 100 0.0% 99 10.4% 22 6.1% 84 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% Global Fixed Income Loomis Sayles 5.3% (1.6)% 66 2.9% 58 10.3% 42 n/a CITI WGBI 2.4% 4.6% 7.7% 7.5% Hedge Funds PAAMCO 9.1% (6.0)% 69 (0.7)% 65 1.7% 63 3.0% 43 Real Assets Mount Lucas Peak 1.4% (9.3)% (19.3)% (2.3)% 5.5% Real Estate Columbus Square 0.2% 3.8% 28 26.4% 16 15.1% 2 13.7% 3 JP Morgan 2.6% 3.2% 35 18.1% 35 (4.9)% 39 n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Private Equity Allocations 42 % Inception Private Equity Manager Market Value Allocation Date Accel Europe $4,801,970 0.29% Jun-01 Arsenal Partners I $3,290,937 0.20% Jan-03 Arsenal Partners II $15,524,374 0.95% Sep-06 Calera Partners III (Fremont) $5,440,421 0.33% Jan-02 Hicks Muse Tate & Furst $1,331,294 0.08% Oct-01 HM Capital $6,830,286 0.42% May-07 Knightsbridge VI $9,968,515 0.61% Dec-04 Levine Leichtman III $5,120,916 0.31% Jan-03 Lexington VI $14,754,929 0.90% Dec-05 Marathon IV $411,860 0.03% Dec-04 Marathon V $12,405,591 0.76% Apr-99 Newstone $2,448,975 0.15% Oct-06 Newstone II $2,037,807 0.12% Dec-10 Oaktree II $530 0.00% Feb-98 Oaktree Opp III $71,847 0.00% Sep-99 Oaktree Opp IV $30,490 0.00% Dec-01 Oaktree Opp V $982,192 0.06% Jun-04 Oaktree Opp VI $2,675,602 0.16% Aug-05 Oaktree Opp VII A $5,485,868 0.33% Mar-07 Pequot II $39,128 0.00% Feb-00 Pequot III $5,485,828 0.33% Oct-00 Pequot IV $4,720,413 0.29% Nov-05 Siguler Guff I $9,357,604 0.57% Jan-03 Siguler Guff II $14,147,185 0.86% Sep-05 Sun Capital V $6,701,678 0.41% Apr-07 TCW Cresent III $1,189,899 0.07% Jul-01 TCW Cresent IV $5,762,047 0.35% Jun-06 Thompson Street CP II $8,294,243 0.51% Dec-06 Venture Lending III $411,480 0.03% May-01 Weathergage VC $5,005,601 0.31% Mar-07 Weatherage VC II $1,125,000 0.07% Mar-11 Weiss Peck Greer V $804,273 0.05% Jul-99 Weiss Peck Greer VI (Lightspeed) $3,761,071 0.23% Oct-00 Warburg $12,164,086 0.74% Nov-07 TCW Mezzanine Fund $5,798,086 0.35% Jan-08 Calera Capital Fund IV $6,425,984 0.39% Jan-08 Oaktree Opportunities VII B $7,118,801 0.43% May-08 Levine Leichtman IV $5,149,267 0.31% Sep-08 Siguler Guff III $13,407,869 0.82% Sep-08 Oaktree VIII $7,279,319 0.44% Dec-09 Firstmark V $375,000 0.02% Aug-11 % Inception Real Estate Manager Market Value Allocation Date Siguler Guff Distressed Real Estate $3,500,000 0.21% Aug-11 Oklahoma Law Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 44 6/30/2011 $708,726 Net Ext Growth ($4,840) Investment Return ($64,247) 9/30/2011 $639,639 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 45 4.4 72 2.1 51 2.1 51 1.8 64 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Law Enforcement (9.1)% 54 2.3% 30 4.5% 44 1.8% 64 4.3% 75 Allocation Index (8.7)% 45 2.2% 33 3.8% 63 2.1% 51 4.3% 75 Policy Index (8.5)% 41 2.1% 36 3.6% 67 2.1% 51 4.7% 55 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 46 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Law Enforcement 2.3% 30 11.1% 31 0.5% 58 (15.4)% 66 13.1% 81 8.1% 81 13.9% 40 Allocation Index 2.2% 33 9.1% 79 0.4% 61 (12.8)% 29 13.8% 70 9.7% 49 10.3% 85 Policy Index 2.1% 36 9.5% 74 (0.5)% 67 (11.8)% 16 13.2% 80 10.1% 41 12.6% 64 Med Tot Pub Fund 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-11 Sep-10 Sep-09 Sep-08 Sep-07 Sep-06 Sep-05 Period Ending 9/30/2011 Composite Performance 47 Quarter 1 Year 3 Year 5 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (17.6)% 49 0.6% 40 3.0% 40 (1.6)% 78 2.2% 84 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (19.1)% 37 (10.8)% 64 (2.3)% 82 (3.2)% 77 n/a CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 2.1% 32 4.9% 35 9.2% 49 7.1% 37 6.1% 45 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 6.7% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 7 Year Period Ending 9/30/2011 Manager Performance 48 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value Hotchkis & Wiley 7.5% (16.9)% 45 (4.0)% 61 3.2% 6 (5.3)% 84 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core NTGI S&P 500 7.8% (14.0)% 26 0.9% 36 1.2% n/a S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Waddell and Reed 8.2% (13.2)% 32 3.5% 33 n/a n/a Columbus Circle 6.9% (22.1)% 97 5.2% 20 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Value Kennedy Capital 6.7% (22.3)% 69 (4.7)% 51 2.3% 42 1.7% 27 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 49 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Mondrian 4.7% (14.0)% 12 (3.5)% 11 0.5% 58 (1.6)% 59 Artio 4.1% (24.4)% 92 (18.0)% 89 (5.3)% 97 (4.9)% 95 CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Long/Short Equity Grosvenor 10.1% (9.5)% 75 (3.6)% 78 1.4% 72 n/a Bond Managers Core Bonds TCW (Core Plus) 19.4% 0.7% 36 4.7% 28 10.5% 44 8.1% 38 NTGI Bond 15.2% 3.9% 16 5.3% 35 8.2% 74 6.4% 74 BC Aggregate 3.8% 5.3% 8.0% 6.5% Real Estate Colcord Center 0.5% 3.1% 39 3.1% 77 4.8% 10 n/a RREEF 5.3% 2.3% 46 15.4% 48 (6.8)% 47 (1.1)% 53 NCREIF 3.3% 16.1% (1.5)% 3.4% Private Investment AMR Private Equity 0.4% -0.3% 76 7.2% 70 (4.6)% 84 3.8% 65 Knightsbridge VI 1.5% 10.2% 7 31.6% 17 7.7% 31 4.2% 62 American II 1.1% 1.5% 40 7.0% 71 0.1% 69 4.6% 59 Knightsbridge VII 0.5% 6.6% 13 12.3% 58 (9.3)% 89 n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Judges Allocation by Manager Allocation by Asset Class Asset Growth Summary Fund Snapshot 51 Period Ending 9/30/2011 6/30/2011 $247,762 Net Ext Growth ($2,172) Investment Return ($23,164) 9/30/2011 $222,426 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 52 1.9 60 2.0 54 2.4 40 Quarter 1 Year 3 Year 5 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Judges (9.4)% 62 0.4% 75 5.1% 30 2.4% 40 4.5% 63 Allocation Index (8.7)% 46 0.5% 74 4.1% 56 2.0% 54 4.0% 82 Policy Index (9.2)% 56 0.4% 75 4.1% 56 1.9% 60 4.1% 81 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 7 Year Period Ending 9/30/2011 Total Fund Performance 53 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Judges 0.4% 75 10.1% 57 5.1% 16 (14.5)% 51 13.0% 82 8.8% 68 11.4% 79 Allocation Index 0.5% 74 8.6% 87 4.1% 26 (13.2)% 33 12.8% 83 8.3% 79 9.7% 87 Policy Index 0.4% 75 9.2% 78 2.9% 30 (13.8)% 43 12.4% 88 8.5% 77 11.2% 82 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 54 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (15.6)% 32 0.5% 40 1.7% 57 (0.7)% 66 2.9% 72 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (19.8)% 50 (10.5)% 62 0.2% 53 (2.5)% 66 4.1% 65 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 6.3% 8 7.3% 14 9.9% 47 7.6% 28 6.7% 29 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 0.8% 4.0% 9.7% 6.9% 6.1% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 55 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Core BGI Russell1000 34.5% (14.7)% 36 1.0% 34 n/a n/a Russell 1000 (14.7)% 0.9% 1.6% (0.9)% Small Core BGI Russell 2000 5.0% (21.8)% 61 (3.6)% 62 n/a n/a Russell 2000 (21.9)% (3.5)% (0.4)% (1.0)% International Equity BGI ACW ex US 22.0% (19.8)% 50 (10.5)% 62 n/a n/a MSCI ACW ex US (19.9)% (10.8)% 0.5% (1.6)% Bond Managers Core Bonds BlackRock 19.2% 3.1% 5 4.8% 6 8.7% 22 6.4% 79 Met West 10.7% 1.9% 80 5.2% 5 10.8% 4 8.2% 13 BC Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 4.7% 35.6% 1 21.6% 1 15.2% 2 12.3% 1 BC Long 24.7% 17.1% 13.0% 10.7% TIPS Blackrock TIPS 3.9% 4.6% 2 10.1% 1 n/a n/a BC US TIPS 4.5% 9.9% 8.1% 7.1% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Wildlife Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 57 6/30/2011 $73,757 Net Ext Growth $21 Investment Return ($5,266) 9/30/2011 $68,512 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 1.6 74 58 2.5 35 22..99 2211 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Wildlife (7.3)% 23 1.6% 52 2.8% 82 1.6% 74 3.7% 92 Allocation Index (6.8)% 16 1.8% 46 4.2% 52 2.5% 35 4.2% 77 Policy Index (5.5)% 5 3.3% 13 4.8% 37 2.9% 21 4.1% 81 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 59 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Wildlife 1.6% 52 7.8% 98 (1.1)% 71 (11.2)% 14 12.1% 89 8.1% 81 10.5% 84 Allocation Index 1.8% 46 8.6% 87 2.5% 34 (10.4)% 9 11.6% 91 7.4% 88 9.4% 89 Policy Index 3.3% 13 9.4% 78 2.0% 42 (9.9)% 9 10.8% 94 7.3% 89 7.6% 99 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 60 % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Comp (15.9)% 35 (0.7)% 51 (0.5)% 85 n/a S&P 500 (13.9)% 1.1% 1.2% (1.2)% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% Int'l Equity Composite (21.8)% 80 (12.9)% 84 (2.5)% 83 (3.7)% 84 Citigroup PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% Int'l Developed Funds Median (19.8)% (9.3)% 0.5% (1.5)% Large Cap Growth Composite (12.6)% 24 3.8% 29 n/a n/a Multi-Cap Growth Comoposite (7.8)% 2 7.5% 11 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Large Cap Growth Median (14.7)% 2.3% 3.3% 1.6% Fixed Income Composite 3.5% 19 6.1% 19 6.2% 83 4.5% 88 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% Fixed Income Funds Median 0.8% 4.0% 9.7% 6.9% Alternative Investments (6.0)% (0.5)% n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Years 5 Years Manager Performance 61 Period Ending 9/30/2011 Quarter 1 Year 3 Years % Portfolio % Return % Rank % Return % Rank % Return % Rank Large Core Core Equity1 8.0% (16.1)% 58 (5.8)% 92 (0.9)% 87 S&P 500 (13.9)% 1.1% 1.2% Large Growth Growth Equity1 6.5% (13.3)% 36 5.5% 19 3.2% 53 Russell 1000 Growth Fund 3.9% (13.1)% 29 3.5% 33 n/a S&P 500 Growth Index Fund 1.9% (11.5)% 14 4.3% 26 n/a Multi-Cap Growth Index Fund 0.8% (7.8)% 2 7.5% 11 n/a Russell 1000 Growth (13.1)% 3.8% 4.7% Large Value Value Equity1 5.5% (16.3)% 35 (1.7)% 43 (3.5)% 98 Russell 1000 Value Fund 5.0% (16.2)% 34 (2.3)% 48 n/a Russell 1000 Value (16.2)% (1.9)% (1.5)% Small Cap Small Cap Equity 7.3% (20.9)% 48 (1.6)% 51 0.2% 80 Russell 2000 (21.9)% (3.5)% (0.4)% International International Equity 5.1% (20.6)% 61 (10.5)% 62 (2.4)% 83 Citigroup PMI EPAC (19.2)% (8.9)% 0.0% Emerging International Emerging 1.0% (26.3)% 92 (20.3)% 84 2.8% 89 MSCI BRIC 0.2% (29.1)% 99 (27.7)% 100 n/a MSCI Emerging (16.3)% (14.7)% 8.4% Fixed Income Fixed Income1 48.8% 3.5% 20 6.1% 19 6.2% 83 BC Aggregate 3.8% 5.3% 8.0% Alternative Investments Alternative Investments 4.6% (6.0)% (0.5)% n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 1 Portfolio percentages and returns include cash. Appendix Index 2008 2009 2010 QTR 1 Apr May Jun QTR 2 July Aug Sep QTR 3 Oct 2011 BC Muni (unadj) -2.5% 12.9% 2.4% 0.5% 1.8% 1.7% 0.4% 3.9% 1.0% 1.7% 1.0% 3.8% -0.4% 8.0% Citigroup WGBI 10.9% 2.6% 5.2% 0.7% 3.2% -0.1% 0.2% 3.3% 2.3% 2.1% -2.0% 2.4% 0.5% 7.1% BC Aggregate 5.2% 5.9% 6.5% 0.4% 1.3% 1.3% -0.3% 2.3% 1.6% 1.5% 0.7% 3.8% 0.1% 6.8% BC Emerging ($US) -14.8% 34.2% 12.8% 1.6% 1.4% 1.3% 0.7% 3.4% 2.0% -0.3% -4.5% -2.9% 4.8% 6.8% BC HY -26.2% 58.2% 15.1% 3.9% 1.6% 0.5% -1.0% 1.1% 1.2% -4.0% -3.3% -6.1% 6.0% 4.5% Diversified* -26.9% 24.8% 14.4% 3.9% 2.9% -0.6% -1.3% 1.0% -0.6% -4.2% -6.9% -11.3% 8.0% 1.6% S&P 500 -37.0% 26.5% 15.1% 5.9% 3.0% -1.1% -1.7% 0.1% -2.0% -5.4% -7.0% -13.8% 10.9% 1.3% DJ UBS Commodity -35.7% 18.9% 16.8% 4.4% 3.5% -5.1% -5.0% -6.7% 3.0% 1.0% -14.7% -11.3% 6.6% -7.9% EAFE (net) -43.4% 31.8% 7.8% 3.4% 6.0% -3.0% -1.3% 1.6% -1.6% -9.0% -9.5% -19.0% 9.6% -6.8% Russell 2000 -33.8% 27.2% 26.9% 7.9% 2.6% -1.9% -2.3% -1.6% -3.6% -8.7% -11.2% -21.9% 15.1% -4.5% EM (net) -53.3% 78.5% 18.9% 2.1% 3.1% -2.6% -1.5% -1.1% -0.4% -8.9% -14.6% -22.5% 13.2% -11.5% R1000 Value -36.8% 19.7% 15.5% 6.5% 2.7% -1.1% -2.1% -0.5% -3.3% -6.2% -7.6% -16.2% 11.4% -1.1% R1000 Growth -38.4% 37.2% 16.7% 6.0% 3.4% -1.1% -1.4% 0.8% -1.0% -5.3% -7.4% -13.2% 11.0% 3.0% Russell 1000 -37.6% 28.4% 16.1% 6.2% 3.0% -1.1% -1.8% 0.1% -2.2% -5.8% -7.5% -14.8% 11.2% 0.9% R2500 -36.8% 34.4% 26.7% 8.7% 2.9% -1.2% -2.2% -0.6% -3.8% -8.2% -10.8% -21.2% 14.6% -3.4% R2000 Growth -38.5% 34.5% 29.1% 9.2% 3.6% -2.0% -2.1% -0.6% -3.9% -8.6% -11.5% -22.3% 15.9% -2.2% R2000 Value -28.9% 20.6% 24.5% 6.6% 1.6% -1.8% -2.5% -2.7% -3.3% -8.8% -10.9% -21.4% 14.4% -6.8% PERFORMANCE THROUGH 10/31/2011 Supplemental Performance 10/31/2011 Investment Market Update: As of October 31, 2011 Sources: Lehman Live, Bloomberg, Wilshire 10/31/2011 Economic Environment 10/31/2011 Components of U.S. GDP 10/31/2011 Key Economic Indicators 10/31/2011 Economic Environment 10/31/2011 Market Environment – U.S. Equity U.S. Stock Market Performance 10/31/2011 10/31/2011 Non – U.S. Stock Market Performance 10/31/2011 Market Environment – Interest Rates 10/31/2011 Fixed Income Performance 10/31/2011 Market Environment – Commodities • NEPC uses, as its data source, the plan’s custodian bank or fund service company, and NEPC relies on those sources for security pricing, calculation of accruals, and all transactions, including income payments, splits, and distributions. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. • The Investment Performance Analysis (IPA) is provided as a management aid for the client’s internal use only. Portfolio performance reported in the IPA does not constitute a recommendation by NEPC. • Information in this report on market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur. • S&P Index data is provided courtesy of Standard & Poor’s Financial Services LLC. Information Disclosure 74
Object Description
Okla State Agency |
Pension Commission, Oklahoma State |
Okla Agency Code | 'PEN' |
Title | Investment summary, 11/2011 |
Alternative title | Quarterly performance report |
Authors | Oklahoma State Pension Commission. |
Publisher | Oklahoma State Pension Commission |
Publication Date | 2008; 2009; 2010; 2011 |
Frequency | Quarterly |
Publication type | Financial report |
Serial holdings | Electronic holdings: 2008-3rd qtr 2011 |
Subject |
Investment analysis. Investment of public funds--Oklahoma--Periodicals. Oklahoma--Officials and employees--Retirement--Periodicals. |
Contents | Based on 4th Qtr 2008;Market environment;Asset Allocation/Investment Policy Targets;Performance Summary;Performance Detail;* 1. Teachers;* 2. PERS;* 3. Firefighters;* 4. Police;# 5. Law Enforcement;* 6. Judges & Justices;*7. Department of Wildlife;* 8. Appendix |
Notes | issues through 3rd qtr 2011 |
OkDocs Class# | P920.6 I62p 11/2011 |
For all issues click | P920.6 I62p |
Digital Format | PDF, Adobe Reader required |
ODL electronic copy | Downloaded from agency website: http://www.ok-pension.state.ok.us/reports.html |
Rights and Permissions | This Oklahoma state government publication is provided for educational purposes under U.S. copyright law. Other usage requires permission of copyright holders. |
Language | English |
Month/year uploaded | October 2012 |
Date created | 2016-03-22 |
Date modified | 2016-03-22 |
OCLC number | 317711841 |
Description
Title | Investment performance analysis third quarter 11/2011 |
OkDocs Class# | P920.6 I62p 11/2011 3rd Qtr |
Digital Format | PDF, Adobe Reader required |
ODL electronic copy | Downloaded from agency website: http://www.ok-pension.state.ok.us/reports/invest/2011%20Q3%20OK%20State%20Pension%20Commission%20Exec%20IPA.pdf |
Rights and Permissions | This Oklahoma state government publication is provided for educational purposes under U.S. copyright law. Other usage requires permission of copyright holders. |
Language | English |
Full text | Oklahoma State Pension Commission Investment Performance Analysis November 2011 Allan Martin, Partner Don Stracke, CFA, Senior Consultant Tony Ferrara, Senior Analyst Table of Contents Market Environment Asset Allocation / Investment Policy Targets Performance Summary Performance Detail • Teachers 1 • PERS 2 • Firefighters 3 • Police 4 • Law Enforcement 5 • Judges & Justices 6 • Department of Wildlife 7 • Appendix 8 Tab 2 Period Ending 9/30/2011 Period Ending 9/30/2011 Market Environment – Overview 3 Note: Cambridge Private Equity and Cambridge Venture Capital Indexes are lagged by one quarter. Performance shown as of June 30, 2011. $ 10 ,07 5 ,593,538 $ 6,78 5 ,18 9 ,768 $ 1,798,14 7 ,531 $ 1,729,469 ,789 $ 708,72 5 ,602 $ 247,762,273 $ 73 ,757,154 $ 21,533,700 ,328 $0 $5,000,000,000 $10,000,000,000 $15,000,000,000 $20,000,000,000 $25,000,000,000 Teachers PERS Police Firefighters Law Judges Wildlife Composite Period Ending 9/30/2011 Asset Growth Summary 4 46.4% 32.2% 8.6% 8.0% 3.3% 1.2% 0.4% 6/30/2011 $10,147,903 6/30/2011 $6,827,935 6/30/2011 $1,798,148 6/30/2011 $1,729,470 Net Ext Growth ($154,162) Net Ext Growth ($43,487) Net Ext Growth ($8,880) Net Ext Growth ($14,517) Investment Return ($1,126,773) Investment Return ($624,422) Investment Return ($151,351) Investment Return ($180,015) 9/30/2011 $8,866,968 9/30/2011 $6,160,026 9/30/2011 $1,637,917 9/30/2011 $1,534,938 9/30/2010 $9,090,405 9/30/2010 $6,261,465 9/30/2010 $1,647,915 9/30/2010 $1,578,605 Net Ext Growth ($214,791) Net Ext Growth ($169,523) Net Ext Growth ($34,144) Net Ext Growth ($83,729) Investment Return ($8,646) Investment Return $68,084 Investment Return $24,146 Investment Return $40,062 9/30/2011 $8,866,968 9/30/2011 $6,160,026 9/30/2011 $1,637,917 9/30/2011 $1,534,938 46.4% 32.2% 8.6% 8.0% Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Police Fire Fighters Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Teachers Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 PERS Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 6/30/2011 $708,726 6/30/2011 $247,762 6/30/2011 $73,757 6/30/2011 $21,533,701 Net Ext Growth ($4,840) Net Ext Growth ($2,172) Net Ext Growth $21 Net Ext Growth ($228,037) Investment Return ($64,247) Investment Return ($23,164) Investment Return ($5,266) Investment Return ($2,175,238) 9/30/2011 $639,639 9/30/2011 $222,426 9/30/2011 $68,512 9/30/2011 $19,130,426 9/30/2010 $643,932 9/30/2010 $229,622 9/30/2010 $69,170 9/30/2010 $19,521,114 Net Ext Growth ($20,194) Net Ext Growth ($8,697) Net Ext Growth $527 Net Ext Growth ($530,551) Investment Return $15,901 Investment Return $1,501 Investment Return ($1,185) Investment Return $139,863 9/30/2011 $639,639 9/30/2011 $222,426 9/30/2011 $68,512 9/30/2011 $19,130,426 3.3% 1.2% 0.4% 100.0% Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Composite Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Judges Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Wildlife Qtr Ending 9/30/2011 1-Year Ending 9/30/2011 Law Key Policy Items Teachers^ PERS* Firefighters Police ** Law Judges Wildlife TOTAL EQUITY Target 55.0% 64.0% 62.5% 60.0% 60.0% 64.0% 50.0% Actual 55.3% 61.6% 64.4% 50.8% 55.9% 61.5% 45.2% Range 50-60 59-69 57-68 50-70 55-65 59-69 40-55 Large Cap Target 17.5% 35.0% 22.5% 15.0% 25.0% 35.0% 35.0% Actual 21.2% 34.4% 32.7% 18.9% 30.4% 34.5% 31.6% Range 16-19 32-38 17-28 10-20 20-30 32-38 30-40 M idCap Target 12.5% - - - - - - Actual 11.7% Range 11-14 - - - - - - Small Cap Target 10.0% 5.0% 10.0% 5.0% 15.0% 5.0% 10.0% Actual 8.7% 4.8% 11.7% 8.6% 6.7% 5.0% 7.3% Range 9-11 2-8 5-15 0-10 10-20 2-8 5-15 Int'l Equity Target 15.0% 24.0% 10.0% 15.0% 10.0% 24.0% 10.0% Actual 13.7% 22.4% 11.6% 9.2% 8.7% 22.0% 6.3% Range 14-17 21-27 5-15 5-25 5-15 21-27 5-15 Long/Short Eq Target - - 10.0% 15.0% 10.0% - - Actual 8.3% 14.1% 10.1% Range - - 6-14 10-20 5-15 - - TOTAL FIXED INC. Target 30.0% 36.0% 27.5% 25.0% 30.0% 36.0% 40.0% Actual 33.7% 38.1% 21.4% 21.1% 34.6% 38.5% 48.8% Range 27-33 32-40 22-33 15-35 25-35 32-40 35-55 Dom. Fixed Inc./High Yield Target 30.0% 36.0% 15.0% - 30.0% 36.0% 40.0% Actual 33.7% 38.1% 11.7% 34.6% 38.5% 48.8% Range 27-33 32-40 8-27.5 - 25-35 32-40 35-55 Int'l/Global Fixed Inc. Target - - 5.0% 15.0% - - - Actual 9.7% 21.1% Range - - 0-10 10-20 - - - TOTAL ALTERNATIVES Target 15.0% - 10.0% 35.0% 10.0% - 5.0% Actual 11.2% 14.1% 27.0% 9.5% 4.6% Range 14-17 - 5-15 22.5-32.5 5-15 - 0-5 Low Vol. Hedge Funds Target - - 7.5% 10.0% - - - Actual 8.0% 9.2% Range - - 2-10 5-15 - - - Private Equity/MLP's Target 10.0% - 10.0% 10.0% 3.0% - - Actual 7.8% 13.3% 3.6% Range 9-11 - 0-15 5-15 0-5 - - Real Estate/Real Assets Target 5.0% - 10.0% 15.0% 7.0% - - Actual 3.3% 6.1% 4.5% 5.9% Range 4-6 - 0-18 10-20 2-12 - - CASH Actual -0.2% 0.2% 0.1% 1.1% 0.1% 0.1% 1.4% Period Ending 9/30/2011 Asset Allocation Summary ^Master Limited Partnerships included in Private Equity allocation. *The Russell 3000 index was broken down into Large Cap & Small Cap allocations for the PERS retirement plan **Real Assets are included in Real Estate Please note that allocations may not add to 100% due to rounding. Out of Range 5 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% Teachers Firefighters Wildlife Law PERS Police Judges Median Public Fund Period Ending 9/30/2011 Equity Commitment 61.5%* 55.3% 50.8% 64.4% 55.9%* 50.6% 45.2%* 61.6% *Cash allocations not broken out for individual managers. 6 Plan Performance Period Ending 9/30/2011 Total Fund Performance 8 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (11.2)% 89 (0.2)% 87 5.3% 24 2.6% 31 5.3% 18 PERS (9.2)% 56 0.9% 69 5.2% 26 2.5% 35 4.9% 42 Firefighters (10.4)% 79 0.3% 79 2.5% 86 1.5% 78 4.2% 77 Police (8.4)% 38 1.4% 57 3.6% 67 2.5% 35 4.9% 42 Law (9.1)% 54 2.3% 30 4.5% 44 1.8% 64 4.3% 75 Judges (9.4)% 62 0.4% 75 5.1% 30 2.4% 40 4.5% 63 Wildlife (7.3)% 23 1.6% 52 2.8% 82 1.6% 74 3.7% 92 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Year Ending December Performance 9 % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k % Re turn % Ra n k Te a ch e rs (0 .2)% 87 1 2 .9% 9 4.1% 20 (1 5 .2)% 61 1 5 .0% 53 9 .4% 55 14.9% 24 P ERS 0 .9% 69 9 .7% 69 5 .3% 15 (1 5 .0)% 60 1 4 .4% 62 9 .2% 60 12.7% 63 Fire fig hte rs 0 .3% 79 9 .0% 82 (1 .6 )% 73 (1 3 .8)% 42 1 5 .8% 34 8 .5% 77 14.3% 34 P o lice 1 .4% 57 9 .0% 87 0 .6% 55 (1 2 .8)% 28 1 6 .7% 21 9 .5% 51 13.4% 49 Law 2.3% 30 1 1 .1% 31 0 .5% 58 (1 5 .4)% 66 1 3 .1% 81 8 .1% 81 13.9% 40 Jud g e s 0 .4% 75 1 0 .1% 57 5 .1% 16 (1 4 .5)% 51 1 3 .0% 82 8 .8% 68 11.4% 79 W ild life 1 .6% 52 7 .8% 98 (1 .1 )% 71 (1 1 .2)% 14 1 2 .1% 89 8 .1% 81 10.5% 84 1 .7% 1 0 .3% 0 .9% (1 4 .5)% 1 5 .1% 9 .6% 13.3% Gre e n = 1 s t Q u a rtile Ye llow = 2 n d Q u a rt ile Blu e = 3 rd Q u a rtile Re d = 4 th Q u a rtile S ep-07 Sep-06 S ep-05 Me d To t P ub Fu n d S ep-11 Sep-10 S ep-09 S ep-08 Period Ending 9/30/2011 3 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Teachers PERS Police Firefighters MSCI EAFE 60% S&P/ 40% BC AGG 5.3 24 5.2 26 3.6 67 2.5 86 10 Period Ending 9/30/2011 3 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Wildlife Law Judges MSCI EAFE 60% S&P/ 40% BC AGG 4.5 44 5.1 30 2.8 82 11 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds BC Aggregate S&P 500 Teachers Police PERS Firefighters MSCI EAFE 60% S&P/ 40% BC AGG 2.6 31 2.5 35 1.5 78 12 2.5 35 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds Law Judges Wildlife BC Aggregate 60% S&P/ 40% BC AGG 13 1.8 64 2.4 40 1.6 74 MSCI EAFE S&P 500 Oklahoma Teachers Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 15 6/30/2011 $10,147,903 Net Ext Growth ($154,162) Investment Return ($1,126,773) 9/30/2011 $8,866,968 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 16 2.6 31 2.1 51 1.5 78 Total Fund Performance 17 Period Ending 9/30/2011 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (11.2)% 89 (0.2)% 87 5.3% 24 2.6% 31 5.3% 18 Allocation Index (10.6)% 83 0.2% 83 4.6% 41 2.1% 51 4.6% 60 Policy Index (11.3)% 90 0.1% 85 3.8% 63 1.5% 78 4.4% 72 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Teachers (0.2)% 87 12.9% 9 4.1% 20 (15.2)% 61 15.0% 53 9.4% 55 14.9% 24 Alloc. Index 0.2% 83 10.4% 46 3.3% 26 (14.7)% 54 13.9% 69 9.3% 58 12.7% 64 Policy Index 0.1% 85 10.4% 47 1.2% 48 (15.6)% 68 14.2% 67 9.8% 47 14.1% 36 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 18 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (19.1)% 59 (2.9)% 70 1.9% 55 (0.6)% 65 3.1% 68 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (20.2)% 51 (10.5)% 53 (0.5)% 70 (2.3)% 69 4.2% 68 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Equity Median (20.1)% (10.2)% 1.0% (1.2)% 5.5% Fixed Inc Comp 2.7% 26 6.1% 17 12.7% 11 9.3% 13 7.7% 16 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Med 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 19 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value Hotchkis & Wiley Large Cap 3.7% (16.9)% 45 (4.0)% 61 3.1% 7 (5.2)% 83 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core Sawgrass 5.1% (10.5)% 2 5.8% 3 3.1% 13 0.6% 13 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Goldman Sachs 4.7% (13.6)% 39 (2.3)% 87 1.6% 78 1.0% 55 Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Medium Value AJO Mid Cap 3.0% (20.2)% 45 1.0% 13 4.5% 34 0.9% 28 Hotchkis & Wiley Mid Cap 2.8% (26.5)% 98 (10.4)% 87 8.0% 9 (2.5)% 63 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Medium Core Frontier 3.2% (17.7)% 17 1.3% 22 5.0% 40 5.0% 6 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Medium Growth Wellington 2.8% (26.3)% 98 (6.9)% 96 2.7% 72 0.3% 82 S&P 400 (19.9)% (1.3)% 4.1% 2.2% Small Value Shapiro Capital 4.7% (21.0)% 43 (3.7)% 29 5.9% 14 3.0% 11 Tocqueville 3.9% (28.2)% 100 (14.8)% 100 (3.6)% 98 (2.4)% 90 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% All Cap Advisory 3.7% (14.0)% 19 2.8% 21 1.8% 56 (0.8)% 67 Epoch 4.1% (18.3)% 53 (1.0)% 54 1.1% 66 0.6% 47 Russell 3000 (15.3)% 0.6% 1.5% (0.9)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 20 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Brandes - Value 4.4% (17.2)% 44 (9.6)% 61 (2.1)% 85 (3.2)% 80 Causeway - Value 2.9% (22.2)% 90 (10.9)% 67 1.0% 21 (2.3)% 60 Capital Guardian 3.5% (21.3)% 74 (12.1)% 78 (1.1)% 72 (3.2)% 77 Thornburg 2.9% (21.1)% 72 (9.4)% 51 1.9% 31 2.0% 12 MSCI EAFE (19.0)% 7.9% (6.6)% 4.3% Bond Managers Core Bonds Loomis Sayles 6.5% 1.1% 84 5.0% 46 13.7% 1 9.6% 1 Mackay Shie lds 6.5% 0.8% 87 5.3% 35 9.7% 40 7.7% 15 Stephens Capital 3.4% 1.5% 82 2.6% 93 6.6% 95 6.6% 64 Lord Abbett 6.5% 2.7% 51 5.5% 27 10.5% 19 7.7% 15 LB Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 3.4% 35.8% 1 22.0% 2 15.2% 27 12.0% 5 Lehman Long 24.7% 17.1% 13.0% 10.7% High Y ield Loomis Sayles HY 2.4% (11.3)% 97 (3.2)% 97 n/a n/a Lord Abbett HY 2.5% (6.3)% 72 3.0% 51 n/a n/a Mackay Shie lds HY 2.5% (3.0)% 18 4.8% 12 n/a n/a ML High Yield II (6.3)% 1.3% 13.7% 6.9% Private Equity Chicksaw Capital 1.4% (4.8)% n/a n/a n/a Swank Capital 1.3% (8.6)% n/a n/a n/a Fiduciary 2.6% (6.0)% n/a n/a n/a Alerion MLP Index (8.6)% 4.3% 22.2% 12.6% Pimco Distressed 0.9% (5.0)% 16.0% 10.2% n/a Mackay PE 0.0% (6.6)% 0.9% n/a n/a Aldus PE 0.6% 0.7% (3.0)% (6.8)% n/a Pimco Distressed 0.6% (3.4)% 23.0% n/a n/a Pimco Bravo 0.4% 2.7% n/a n/a n/a OK- OTRS/FP 0.1% (17.2)% n/a n/a n/a Real Estate L & B Real Estate 1.1% 0.1% n/a n/a n/a Heitman Real Estate 1.2% 1.0% n/a n/a n/a AEW Real Estate1 1.0% n/a n/a n/a n/a NCREIF ODCE 3.5% 18.3% (6.4)% 0.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 Funded in July 2011 (n/a due to partial returns). Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma PERS Allocation by Manager Allocation by Asset Class Asset Growth Summary Fund Snapshot 22 Period Ending 9/30/2011 6/30/2011 $6,827,935 Net Ext Growth ($43,487) Investment Return ($624,422) 9/30/2011 $6,160,026 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 2.3 43 23 2.4 40 2.5 35 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank PERS (9.2)% 56 0.9% 69 5.2% 26 2.5% 35 4.9% 42 Allocation Index (9.7)% 65 (0.1)% 87 4.8% 37 2.4% 40 4.4% 72 Policy Index (9.2)% 56 0.4% 75 4.6% 41 2.3% 43 4.8% 48 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Total Fund Performance 24 Period Ending 9/30/2011 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank PERS 0.9% 69 9.7% 69 5.3% 15 (15.0)% 60 14.4% 62 9.2% 60 12.7% 63 Allocation Index (0.1)% 87 9.2% 78 5.4% 13 (14.1)% 45 13.7% 73 8.5% 77 10.9% 83 Policy Index 0.4% 75 10.6% 41 3.3% 25 (13.7)% 40 14.6% 60 9.2% 60 13.2% 53 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 25 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (15.7)% 34 0.8% 38 1.3% 63 (1.3)% 75 2.4% 80 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (18.0)% 30 (8.5)% 40 1.3% 38 (1.2)% 41 5.2% 46 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Comp 5.8% 10 7.1% 13 9.7% 41 7.6% 23 6.7% 27 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 26 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value AJO 2.1% (17.1)% 48 (0.4)% 32 0.1% 42 (2.6)% 43 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core Mellon1 4.7% (13.7)% 13 3.7% 6 1.1% 49 (1.8)% 68 Blackrock Russell 1000 20.7% (14.6)% 35 0.9% 36 n/a n/a SSgA Equity Index 4.6% (14.8)% 38 3.0% 8 0.7% 59 (2.1)% 73 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth BlackRock Russell 1000 Growth 2.3% (13.1)% 29 n/a n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Core UBS 1.8% (19.6)% 100 6.2% 100 4.0% 94 0.8% 99 Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Small Value Barrow Hanley 1.5% (31.0)% 100 (14.0)% 100 5.3% 17 2.3% 17 DePrince Race & Zollo 1.5% (18.4)% 12 n/a n/a n/a Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 As of January 1, 2010 Franklin Portfolio Associates has been rebranded under the MCM name. Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 27 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Mondrian 8.0% (14.6)% 14 (4.9)% 20 1.6% 32 (0.5)% 31 Blackrock ACW ex US 7.1% (19.8)% 50 (10.5)% 62 n/a n/a Blackrock ACW ex US Growth 7.4% (19.8)% 50 (10.2)% 59 n/a n/a CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Bond Managers Core Bonds Met West 10.6% 1.8% 81 5.1% 6 10.8% 4 8.5% 12 BlackRock 19.6% 3.1% 5 5.0% 5 8.6% 23 6.3% 80 BC Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 4.2% 35.2% 1 21.5% 2 15.1% 3 12.2% 2 BC Long 24.7% 17.1% 13.0% 10.7% TIPS Blackrock TIPS 3.7% 4.6% 2 10.1% 1 n/a n/a BS US TIPS 1-5 yr (0.3)% 4.8% 4.3% 5.2% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Firefighters Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 29 6/30/2011 $1,729,470 Net Ext Growth ($14,517) Investment Return ($180,015) 9/30/2011 $1,534,938 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 30 1.5 78 Period Ending 9/30/2011 Total Fund Performance 31 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Firefighters (10.4)% 79 0.3% 79 2.5% 86 1.5% 78 4.2% 77 Allocation Index (10.4)% 79 1.1% 64 3.0% 77 1.2% 87 3.8% 88 Policy Index (9.3)% 61 2.0% 39 3.7% 66 1.8% 64 3.9% 86 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Firefighters 0.3% 79 9.0% 82 (1.6)% 73 (13.8)% 42 15.8% 34 8.5% 77 14.3% 34 Allocation Index 1.1% 64 9.4% 78 (1.2)% 71 (15.1)% 61 14.6% 59 10.0% 43 11.0% 82 Policy Index 2.0% 39 9.4% 78 0.6% 56 (13.2)% 34 12.5% 87 9.1% 64 11.6% 79 Med Tot Pub 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-11 Sep-10 Sep-09 Sep-08 Sep-07 Sep-06 Sep-05 Period Ending 9/30/2011 Composite Performance 32 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (14.9)% 26 (0.3)% 48 1.8% 56 0.1% 54 3.5% 60 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (21.8)% 80 (13.3)% 85 (2.7)% 84 (4.1)% 89 3.4% 87 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 3.5% 17 6.5% 17 8.6% 57 7.0% 41 5.9% 56 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Med 1.0% 4.3% 9.1% 6.7% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 33 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value AJO 3.3% (16.8)% 44 (0.5)% 33 (0.3)% 52 (2.6)% 43 Brandywine 3.2% (16.0)% 28 (6.0)% 79 (2.8)% 94 (4.9)% 77 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core SSgA Equity Index 5.8% (13.9)% 17 1.2% 27 1.3% 42 (1.1)% 51 SSgA EQ Wtd S&P 6.4% (17.8)% 79 (0.5)% 50 5.8% 3 0.7% 12 Intech 7.5% (14.1)% 28 2.4% 13 1.9% 26 (0.5)% 31 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Fred Alger Management 6.5% (15.1)% 61 2.2% 51 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Value Earnest Partners 2.7% (21.3)% 47 (7.2)% 78 (0.5)% 83 (0.4)% 52 River Road 2.5% (15.0)% 1 (1.7)% 13 (0.3)% 81 n/a Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Small Growth Lord Abbet 3.1% (20.8)% 52 n/a n/a n/a Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Delaware 3.4% (15.6)% 7 n/a n/a n/a Russell 2500 Growth (21.4)% 0.6% 4.6% 1.9% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 34 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Artio 5.6% (22.7)% 86 (16.2)% 90 (4.3)% 90 (4.3)% 82 Thornburg 5.9% (21.0)% 71 (10.4)% 61 n/a n/a Citi PMI EPAC (19.2)% (8.9)% 0 (2.6)% Long/Short Equity Pequot Capital 0.0% (2.9)% 25 2.1% 41 (2.2)% 96 3.9% 35 Grosvenor 5.0% (8.4)% 65 (3.5)% 78 1.6% 70 0.3% 88 Attalus 3.2% (5.1)% 52 0.5% 46 1.3% 73 n/a Azul Holdings Co. 0.1% 0.0% 12 0.0% 47 n/a n/a Hedge Fund Private Advisor 8.0% (2.1)% 33 3.5% 31 3.7% 45 3.5% 37 Real Estate JP Morgan 3.6% 3.2% 35 18.1% 35 (4.8)% 36 1.1% 29 TA Associates 1.1% 2.1% 48 1.4% 81 (14.4)% 73 (2.3)% 60 Portfolio Advisors III 0.7% 0.0% 63 8.4% 66 (18.0)% 80 n/a Portfolio Advisors IV1 0.0% n/a n/a n/a n/a Realty Associates 0.6% 4.1% 25 11.1% 59 n/a n/a NCREIF 3.3% 16.1% (1.5)% 3.4% Bond Managers Core Bonds SSGA NL Fixed Income 5.3% 3.8% 18 5.4% 31 n/a n/a BC Aggregate 3.8% 5.3% 8.0% 6.5% Intermediate SSgA Barclays IM 6.4% 2.3% 16 4.2% 31 7.1% 34 6.2% 36 Barclays Intermediate 2.4% 3.4% 7.0% 5.9% Global Fixed Brandywine Global FI 9.7% 4.1% 4 8.6% 6 n/a n/a Citi WGBI 2.4% 4.6% 7.7% 7.5% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile 1 Funded in July 2011 (n/a due to partial returns). Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Police Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 36 6/30/2011 $1,798,148 Net Ext Growth ($8,880) Investment Return ($151,351) 9/30/2011 $1,637,917 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 37 1.3 85 1.6 74 2.5 35 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Police (8.4)% 38 1.4% 57 3.6% 67 2.5% 35 4.9% 42 Allocation Index (11.1)% 87 0.6% 73 3.7% 66 1.6% 74 3.5% 95 Policy Index (9.7)% 65 1.7% 50 3.3% 71 1.3% 85 3.8% 88 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 38 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Police 1.4% 57 9.0% 87 0.6% 55 (12.8)% 28 16.7% 21 9.5% 51 13.4% 49 Alloc. Index 0.6% 73 9.7% 67 0.9% 51 (16.0)% 74 15.7% 38 9.6% 50 7.4% 100 Policy Index 1.7% 50 9.9% 65 (1.3)% 71 (14.5)% 52 13.2% 80 8.8% 67 11.5% 79 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 39 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (16.4)% 40 0.6% 40 2.2% 37 (1.0)% 70 2.8% 73 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (18.9)% 35 (10.5)% 62 (2.2)% 81 (3.0)% 75 4.6% 53 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc. Composite (1.2)% 75 3.6% 66 9.6% 42 6.0% 71 5.7% 67 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 7.3% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 40 Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Core Mellon Index Fund 18.9% (14.7)% 36 1.0% 34 1.7% 32 (0.9)% 45 S&P 500 (13.9)% 1.1% 1.2% (1.2)% Small Value Boston Partners 4.8% (20.5)% 32 (3.6)% 27 3.6% 37 0.6% 39 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Small Growth William Blair 3.8% (19.3)% 26 4.4% 37 n/a n/a Russell 2000 Growth (22.3)% (1.1)% 2.1% 1.0% Long/Short Equity Grosvenor 9.6% (8.8)% 72 (3.4)% 77 1.7% 68 0.7% 73 Attalus 4.5% (5.1)% 52 (2.3)% 70 1.4% 72 1.5% 57 S&P 500 (13.9)% 1.1% 1.2% (1.2)% International Equity Artio - Growth 4.1% (24.4)% 96 (18.0)% 76 (5.3)% 97 (4.7)% 93 Mondrian 5.1% (14.0)% 13 (3.5)% 2 0.5% 50 (1.6)% 52 CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 41 Fixed Income % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Agincourt 9.5% 2.9% 46 4.7% 55 9.3% 50 6.6% 64 Oaktree 6.2% (6.4)% 100 0.0% 99 10.4% 22 6.1% 84 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% Global Fixed Income Loomis Sayles 5.3% (1.6)% 66 2.9% 58 10.3% 42 n/a CITI WGBI 2.4% 4.6% 7.7% 7.5% Hedge Funds PAAMCO 9.1% (6.0)% 69 (0.7)% 65 1.7% 63 3.0% 43 Real Assets Mount Lucas Peak 1.4% (9.3)% (19.3)% (2.3)% 5.5% Real Estate Columbus Square 0.2% 3.8% 28 26.4% 16 15.1% 2 13.7% 3 JP Morgan 2.6% 3.2% 35 18.1% 35 (4.9)% 39 n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Private Equity Allocations 42 % Inception Private Equity Manager Market Value Allocation Date Accel Europe $4,801,970 0.29% Jun-01 Arsenal Partners I $3,290,937 0.20% Jan-03 Arsenal Partners II $15,524,374 0.95% Sep-06 Calera Partners III (Fremont) $5,440,421 0.33% Jan-02 Hicks Muse Tate & Furst $1,331,294 0.08% Oct-01 HM Capital $6,830,286 0.42% May-07 Knightsbridge VI $9,968,515 0.61% Dec-04 Levine Leichtman III $5,120,916 0.31% Jan-03 Lexington VI $14,754,929 0.90% Dec-05 Marathon IV $411,860 0.03% Dec-04 Marathon V $12,405,591 0.76% Apr-99 Newstone $2,448,975 0.15% Oct-06 Newstone II $2,037,807 0.12% Dec-10 Oaktree II $530 0.00% Feb-98 Oaktree Opp III $71,847 0.00% Sep-99 Oaktree Opp IV $30,490 0.00% Dec-01 Oaktree Opp V $982,192 0.06% Jun-04 Oaktree Opp VI $2,675,602 0.16% Aug-05 Oaktree Opp VII A $5,485,868 0.33% Mar-07 Pequot II $39,128 0.00% Feb-00 Pequot III $5,485,828 0.33% Oct-00 Pequot IV $4,720,413 0.29% Nov-05 Siguler Guff I $9,357,604 0.57% Jan-03 Siguler Guff II $14,147,185 0.86% Sep-05 Sun Capital V $6,701,678 0.41% Apr-07 TCW Cresent III $1,189,899 0.07% Jul-01 TCW Cresent IV $5,762,047 0.35% Jun-06 Thompson Street CP II $8,294,243 0.51% Dec-06 Venture Lending III $411,480 0.03% May-01 Weathergage VC $5,005,601 0.31% Mar-07 Weatherage VC II $1,125,000 0.07% Mar-11 Weiss Peck Greer V $804,273 0.05% Jul-99 Weiss Peck Greer VI (Lightspeed) $3,761,071 0.23% Oct-00 Warburg $12,164,086 0.74% Nov-07 TCW Mezzanine Fund $5,798,086 0.35% Jan-08 Calera Capital Fund IV $6,425,984 0.39% Jan-08 Oaktree Opportunities VII B $7,118,801 0.43% May-08 Levine Leichtman IV $5,149,267 0.31% Sep-08 Siguler Guff III $13,407,869 0.82% Sep-08 Oaktree VIII $7,279,319 0.44% Dec-09 Firstmark V $375,000 0.02% Aug-11 % Inception Real Estate Manager Market Value Allocation Date Siguler Guff Distressed Real Estate $3,500,000 0.21% Aug-11 Oklahoma Law Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 44 6/30/2011 $708,726 Net Ext Growth ($4,840) Investment Return ($64,247) 9/30/2011 $639,639 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 45 4.4 72 2.1 51 2.1 51 1.8 64 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Law Enforcement (9.1)% 54 2.3% 30 4.5% 44 1.8% 64 4.3% 75 Allocation Index (8.7)% 45 2.2% 33 3.8% 63 2.1% 51 4.3% 75 Policy Index (8.5)% 41 2.1% 36 3.6% 67 2.1% 51 4.7% 55 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 46 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Law Enforcement 2.3% 30 11.1% 31 0.5% 58 (15.4)% 66 13.1% 81 8.1% 81 13.9% 40 Allocation Index 2.2% 33 9.1% 79 0.4% 61 (12.8)% 29 13.8% 70 9.7% 49 10.3% 85 Policy Index 2.1% 36 9.5% 74 (0.5)% 67 (11.8)% 16 13.2% 80 10.1% 41 12.6% 64 Med Tot Pub Fund 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-11 Sep-10 Sep-09 Sep-08 Sep-07 Sep-06 Sep-05 Period Ending 9/30/2011 Composite Performance 47 Quarter 1 Year 3 Year 5 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (17.6)% 49 0.6% 40 3.0% 40 (1.6)% 78 2.2% 84 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (19.1)% 37 (10.8)% 64 (2.3)% 82 (3.2)% 77 n/a CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 2.1% 32 4.9% 35 9.2% 49 7.1% 37 6.1% 45 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 1.0% 4.3% 9.1% 6.7% 6.0% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 7 Year Period Ending 9/30/2011 Manager Performance 48 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Value Hotchkis & Wiley 7.5% (16.9)% 45 (4.0)% 61 3.2% 6 (5.3)% 84 Russell 1000 Value (16.2)% (1.9)% (1.5)% (3.5)% Large Core NTGI S&P 500 7.8% (14.0)% 26 0.9% 36 1.2% n/a S&P 500 (13.9)% 1.1% 1.2% (1.2)% Large Growth Waddell and Reed 8.2% (13.2)% 32 3.5% 33 n/a n/a Columbus Circle 6.9% (22.1)% 97 5.2% 20 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Small Value Kennedy Capital 6.7% (22.3)% 69 (4.7)% 51 2.3% 42 1.7% 27 Russell 2000 Value (21.5)% (6.0)% (2.8)% (3.1)% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Period Ending 9/30/2011 Manager Performance 49 International Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Mondrian 4.7% (14.0)% 12 (3.5)% 11 0.5% 58 (1.6)% 59 Artio 4.1% (24.4)% 92 (18.0)% 89 (5.3)% 97 (4.9)% 95 CITI PMI EPAC (19.2)% (8.9)% 0 (2.6)% Long/Short Equity Grosvenor 10.1% (9.5)% 75 (3.6)% 78 1.4% 72 n/a Bond Managers Core Bonds TCW (Core Plus) 19.4% 0.7% 36 4.7% 28 10.5% 44 8.1% 38 NTGI Bond 15.2% 3.9% 16 5.3% 35 8.2% 74 6.4% 74 BC Aggregate 3.8% 5.3% 8.0% 6.5% Real Estate Colcord Center 0.5% 3.1% 39 3.1% 77 4.8% 10 n/a RREEF 5.3% 2.3% 46 15.4% 48 (6.8)% 47 (1.1)% 53 NCREIF 3.3% 16.1% (1.5)% 3.4% Private Investment AMR Private Equity 0.4% -0.3% 76 7.2% 70 (4.6)% 84 3.8% 65 Knightsbridge VI 1.5% 10.2% 7 31.6% 17 7.7% 31 4.2% 62 American II 1.1% 1.5% 40 7.0% 71 0.1% 69 4.6% 59 Knightsbridge VII 0.5% 6.6% 13 12.3% 58 (9.3)% 89 n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Judges Allocation by Manager Allocation by Asset Class Asset Growth Summary Fund Snapshot 51 Period Ending 9/30/2011 6/30/2011 $247,762 Net Ext Growth ($2,172) Investment Return ($23,164) 9/30/2011 $222,426 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 52 1.9 60 2.0 54 2.4 40 Quarter 1 Year 3 Year 5 Year % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Judges (9.4)% 62 0.4% 75 5.1% 30 2.4% 40 4.5% 63 Allocation Index (8.7)% 46 0.5% 74 4.1% 56 2.0% 54 4.0% 82 Policy Index (9.2)% 56 0.4% 75 4.1% 56 1.9% 60 4.1% 81 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 7 Year Period Ending 9/30/2011 Total Fund Performance 53 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Judges 0.4% 75 10.1% 57 5.1% 16 (14.5)% 51 13.0% 82 8.8% 68 11.4% 79 Allocation Index 0.5% 74 8.6% 87 4.1% 26 (13.2)% 33 12.8% 83 8.3% 79 9.7% 87 Policy Index 0.4% 75 9.2% 78 2.9% 30 (13.8)% 43 12.4% 88 8.5% 77 11.2% 82 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 54 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Composite (15.6)% 32 0.5% 40 1.7% 57 (0.7)% 66 2.9% 72 S&P 500 (13.9)% 1.1% 1.2% (1.2)% 2.3% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% 4.1% International Equity Composite (19.8)% 50 (10.5)% 62 0.2% 53 (2.5)% 66 4.1% 65 CITI PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% 4.2% International Developed Equity Median (19.8)% (9.3)% 0.5% (1.5)% 4.9% Fixed Inc Composite 6.3% 8 7.3% 14 9.9% 47 7.6% 28 6.7% 29 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% 5.6% Fixed Income Funds Median 0.8% 4.0% 9.7% 6.9% 6.1% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Manager Performance 55 Domestic Equity % Portfolio % Return % Rank % Return % Rank % Return % Rank % Return % Rank Large Core BGI Russell1000 34.5% (14.7)% 36 1.0% 34 n/a n/a Russell 1000 (14.7)% 0.9% 1.6% (0.9)% Small Core BGI Russell 2000 5.0% (21.8)% 61 (3.6)% 62 n/a n/a Russell 2000 (21.9)% (3.5)% (0.4)% (1.0)% International Equity BGI ACW ex US 22.0% (19.8)% 50 (10.5)% 62 n/a n/a MSCI ACW ex US (19.9)% (10.8)% 0.5% (1.6)% Bond Managers Core Bonds BlackRock 19.2% 3.1% 5 4.8% 6 8.7% 22 6.4% 79 Met West 10.7% 1.9% 80 5.2% 5 10.8% 4 8.2% 13 BC Aggregate 3.8% 5.3% 8.0% 6.5% Long Bonds Hoisington 4.7% 35.6% 1 21.6% 1 15.2% 2 12.3% 1 BC Long 24.7% 17.1% 13.0% 10.7% TIPS Blackrock TIPS 3.9% 4.6% 2 10.1% 1 n/a n/a BC US TIPS 4.5% 9.9% 8.1% 7.1% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year Oklahoma Wildlife Allocation by Manager Allocation by Asset Class Asset Growth Summary Period Ending 9/30/2011 Fund Snapshot 57 6/30/2011 $73,757 Net Ext Growth $21 Investment Return ($5,266) 9/30/2011 $68,512 Qtr Ending 9/30/2011 Period Ending 9/30/2011 5 Year Return/Volatility vs. Public Funds 1.6 74 58 2.5 35 22..99 2211 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Wildlife (7.3)% 23 1.6% 52 2.8% 82 1.6% 74 3.7% 92 Allocation Index (6.8)% 16 1.8% 46 4.2% 52 2.5% 35 4.2% 77 Policy Index (5.5)% 5 3.3% 13 4.8% 37 2.9% 21 4.1% 81 Med Tot Public Fund (8.9)% 1.7% 4.3% 2.2% 4.8% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Year 5 Year 7 Year Period Ending 9/30/2011 Total Fund Performance 59 % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank % Return % Rank Wildlife 1.6% 52 7.8% 98 (1.1)% 71 (11.2)% 14 12.1% 89 8.1% 81 10.5% 84 Allocation Index 1.8% 46 8.6% 87 2.5% 34 (10.4)% 9 11.6% 91 7.4% 88 9.4% 89 Policy Index 3.3% 13 9.4% 78 2.0% 42 (9.9)% 9 10.8% 94 7.3% 89 7.6% 99 1.7% 10.3% 0.9% (14.5)% 15.1% 9.6% 13.3% Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Sep-07 Sep-06 Sep-05 Med Tot Pub Fund Sep-11 Sep-10 Sep-09 Sep-08 Period Ending 9/30/2011 Composite Performance 60 % Return % Rank % Return % Rank % Return % Rank % Return % Rank Domestic Equity Comp (15.9)% 35 (0.7)% 51 (0.5)% 85 n/a S&P 500 (13.9)% 1.1% 1.2% (1.2)% U.S. Equity Funds Median (17.7)% (0.6)% 2.3% 0.4% Int'l Equity Composite (21.8)% 80 (12.9)% 84 (2.5)% 83 (3.7)% 84 Citigroup PMI EPAC (19.2)% (8.9)% 0.0% (2.6)% Int'l Developed Funds Median (19.8)% (9.3)% 0.5% (1.5)% Large Cap Growth Composite (12.6)% 24 3.8% 29 n/a n/a Multi-Cap Growth Comoposite (7.8)% 2 7.5% 11 n/a n/a Russell 1000 Growth (13.1)% 3.8% 4.7% 1.6% Large Cap Growth Median (14.7)% 2.3% 3.3% 1.6% Fixed Income Composite 3.5% 19 6.1% 19 6.2% 83 4.5% 88 Barclays Aggregate 3.8% 5.3% 8.0% 6.5% Fixed Income Funds Median 0.8% 4.0% 9.7% 6.9% Alternative Investments (6.0)% (0.5)% n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile Quarter 1 Year 3 Years 5 Years Manager Performance 61 Period Ending 9/30/2011 Quarter 1 Year 3 Years % Portfolio % Return % Rank % Return % Rank % Return % Rank Large Core Core Equity1 8.0% (16.1)% 58 (5.8)% 92 (0.9)% 87 S&P 500 (13.9)% 1.1% 1.2% Large Growth Growth Equity1 6.5% (13.3)% 36 5.5% 19 3.2% 53 Russell 1000 Growth Fund 3.9% (13.1)% 29 3.5% 33 n/a S&P 500 Growth Index Fund 1.9% (11.5)% 14 4.3% 26 n/a Multi-Cap Growth Index Fund 0.8% (7.8)% 2 7.5% 11 n/a Russell 1000 Growth (13.1)% 3.8% 4.7% Large Value Value Equity1 5.5% (16.3)% 35 (1.7)% 43 (3.5)% 98 Russell 1000 Value Fund 5.0% (16.2)% 34 (2.3)% 48 n/a Russell 1000 Value (16.2)% (1.9)% (1.5)% Small Cap Small Cap Equity 7.3% (20.9)% 48 (1.6)% 51 0.2% 80 Russell 2000 (21.9)% (3.5)% (0.4)% International International Equity 5.1% (20.6)% 61 (10.5)% 62 (2.4)% 83 Citigroup PMI EPAC (19.2)% (8.9)% 0.0% Emerging International Emerging 1.0% (26.3)% 92 (20.3)% 84 2.8% 89 MSCI BRIC 0.2% (29.1)% 99 (27.7)% 100 n/a MSCI Emerging (16.3)% (14.7)% 8.4% Fixed Income Fixed Income1 48.8% 3.5% 20 6.1% 19 6.2% 83 BC Aggregate 3.8% 5.3% 8.0% Alternative Investments Alternative Investments 4.6% (6.0)% (0.5)% n/a Green = 1st Quartile Yellow = 2nd Quartile Blue = 3rd Quartile Red = 4th Quartile 1 Portfolio percentages and returns include cash. Appendix Index 2008 2009 2010 QTR 1 Apr May Jun QTR 2 July Aug Sep QTR 3 Oct 2011 BC Muni (unadj) -2.5% 12.9% 2.4% 0.5% 1.8% 1.7% 0.4% 3.9% 1.0% 1.7% 1.0% 3.8% -0.4% 8.0% Citigroup WGBI 10.9% 2.6% 5.2% 0.7% 3.2% -0.1% 0.2% 3.3% 2.3% 2.1% -2.0% 2.4% 0.5% 7.1% BC Aggregate 5.2% 5.9% 6.5% 0.4% 1.3% 1.3% -0.3% 2.3% 1.6% 1.5% 0.7% 3.8% 0.1% 6.8% BC Emerging ($US) -14.8% 34.2% 12.8% 1.6% 1.4% 1.3% 0.7% 3.4% 2.0% -0.3% -4.5% -2.9% 4.8% 6.8% BC HY -26.2% 58.2% 15.1% 3.9% 1.6% 0.5% -1.0% 1.1% 1.2% -4.0% -3.3% -6.1% 6.0% 4.5% Diversified* -26.9% 24.8% 14.4% 3.9% 2.9% -0.6% -1.3% 1.0% -0.6% -4.2% -6.9% -11.3% 8.0% 1.6% S&P 500 -37.0% 26.5% 15.1% 5.9% 3.0% -1.1% -1.7% 0.1% -2.0% -5.4% -7.0% -13.8% 10.9% 1.3% DJ UBS Commodity -35.7% 18.9% 16.8% 4.4% 3.5% -5.1% -5.0% -6.7% 3.0% 1.0% -14.7% -11.3% 6.6% -7.9% EAFE (net) -43.4% 31.8% 7.8% 3.4% 6.0% -3.0% -1.3% 1.6% -1.6% -9.0% -9.5% -19.0% 9.6% -6.8% Russell 2000 -33.8% 27.2% 26.9% 7.9% 2.6% -1.9% -2.3% -1.6% -3.6% -8.7% -11.2% -21.9% 15.1% -4.5% EM (net) -53.3% 78.5% 18.9% 2.1% 3.1% -2.6% -1.5% -1.1% -0.4% -8.9% -14.6% -22.5% 13.2% -11.5% R1000 Value -36.8% 19.7% 15.5% 6.5% 2.7% -1.1% -2.1% -0.5% -3.3% -6.2% -7.6% -16.2% 11.4% -1.1% R1000 Growth -38.4% 37.2% 16.7% 6.0% 3.4% -1.1% -1.4% 0.8% -1.0% -5.3% -7.4% -13.2% 11.0% 3.0% Russell 1000 -37.6% 28.4% 16.1% 6.2% 3.0% -1.1% -1.8% 0.1% -2.2% -5.8% -7.5% -14.8% 11.2% 0.9% R2500 -36.8% 34.4% 26.7% 8.7% 2.9% -1.2% -2.2% -0.6% -3.8% -8.2% -10.8% -21.2% 14.6% -3.4% R2000 Growth -38.5% 34.5% 29.1% 9.2% 3.6% -2.0% -2.1% -0.6% -3.9% -8.6% -11.5% -22.3% 15.9% -2.2% R2000 Value -28.9% 20.6% 24.5% 6.6% 1.6% -1.8% -2.5% -2.7% -3.3% -8.8% -10.9% -21.4% 14.4% -6.8% PERFORMANCE THROUGH 10/31/2011 Supplemental Performance 10/31/2011 Investment Market Update: As of October 31, 2011 Sources: Lehman Live, Bloomberg, Wilshire 10/31/2011 Economic Environment 10/31/2011 Components of U.S. GDP 10/31/2011 Key Economic Indicators 10/31/2011 Economic Environment 10/31/2011 Market Environment – U.S. Equity U.S. Stock Market Performance 10/31/2011 10/31/2011 Non – U.S. Stock Market Performance 10/31/2011 Market Environment – Interest Rates 10/31/2011 Fixed Income Performance 10/31/2011 Market Environment – Commodities • NEPC uses, as its data source, the plan’s custodian bank or fund service company, and NEPC relies on those sources for security pricing, calculation of accruals, and all transactions, including income payments, splits, and distributions. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. • The Investment Performance Analysis (IPA) is provided as a management aid for the client’s internal use only. Portfolio performance reported in the IPA does not constitute a recommendation by NEPC. • Information in this report on market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur. • S&P Index data is provided courtesy of Standard & Poor’s Financial Services LLC. Information Disclosure 74 |
Date created | 2011-12-02 |
Date modified | 2011-12-08 |
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