State of Oklahoma investment performance analysis

              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