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231 South Bemiston Avenue, 14th Floor
St. Louis, Missouri 63105
(314) 862-4848
WWW.ACGNET.COM
Investment Performance Review
For the Periods Ending December 31, 2009
City of Fort Lauderdale Police and Fire
Retirement System
ASSET CONSULTING GROUP ASSET CONSULTING GROUP
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City of Fort Lauderdale Police and Fire Retirement System
Tab 1 Market Overview
Tab 2 Executive Summary
Investment Guidelines and Policy Statement
Tab 3 Total Fund Performance and Analysis
Tab 4 Equity Manager Performance and Analysis
Tab 5 Long/Short Equity Manager Performance and Analysis
Tab 6 International Manager Performance and Analysis
Tab 7 Fixed Income Manager Performance and Analysis
Tab 8 Real Estate Manager Performance and Analysis
Tab 9 International Exposure
Glossary Statistical Definitions
Table of Contents
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City of Fort Lauderdale Police and Fire Retirement System
Equity Index ReturnsFor the Periods Ending December 31, 2009
6 . 0
%
2 2
. 6 %
2 6
. 4 %
( 5 . 6 ) %
5 . 9
%
2 3
. 2 %
2 8
. 3 %
( 5 . 4 ) %
0 . 8
% 4
. 2 %
2 3
. 2 %
1 9
. 7 %
( 9 . 0
% )
( 0 . 3
% )
7 . 9
%
2 3
. 0 %
3 7
. 2 %
( 1 . 9
% )
1 . 6
%
5 . 6
%
2 6
. 7 %
( 1 . 8
% )
3 . 3
% 3
. 9 %
2 3
. 9 % 2
7 . 2
%
( 6 . 1
% )
0 . 5
% 3
. 6 %
2 7
. 1 %
2 0
. 6 %
( 8 . 2
% )
( 0 . 0
% )
4 . 1
%
2 0
. 8 %
3 4 . 5
%
( 4 . 0 % )
0 . 9
% 2 . 2
%
2 2
. 2 %
3 2
. 5 %
( 5 . 6 %
)
4 . 0
%
3 . 8
%
2 4
. 3 %
4 2
. 2 %
( 3 . 0
% )
6 . 3
%
0 . 4
%
3 7
. 4 %
(20.00%)
(10.00%)
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
Quarter Two Quarters One Year Three Years Five Years
S&P 500 Russell 3000 Russell 1000 ValueRussell 1000 Growth S&P Midcap Russell 2000Russell 2000 Value Russell 2000 Growth EAFEMSCI All Country World ex U.S.
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City of Fort Lauderdale Police and Fire Retirement System
Equity Sector ReturnsFor the Periods Ending December 31, 2009
8 . 5
% 1 0 . 4 %
6 . 1 % 8
. 6 %
4 . 2 %
5
. 0 %
( 3 . 7 % )
4
. 8 % 6 . 9 %
5 . 9 %
1 7 . 1 %
5 9 . 9
%
6 . 8 %
3 8 . 8 %
1 1 . 2 %
1 1 . 3 %
1 4 . 8
% 1 7 . 3 %
4 5
. 2 %
2 . 6
%
( 2 . 3 % )
1 . 3 %
( 5 . 4 %
)
( 8 . 1 % )
0 . 7 %
( 1 . 9 % )
( 2 6 . 9 % )
( 9 . 0 %
) ( 2 . 6
% )
( 9 . 6 % )
0 . 6 % 2 . 4
%
2 . 1 %
( 3 . 4 %
)
2 . 9
%8 .
4 %
( 1 4 . 0 % )
( 3 . 5 % )
1 . 7 %
( 2 . 4 % )
(45.00%)
(30.00%)
(15.00%)
0.00%
15.00%
30.00%
45.00%
60.00%
75.00%
H e a l t h C a
r e
I n f o
r m a t i o
n T e c h
n o l o g
y
U t i l i t i e
s
C
o n s u m
e r D i
s c r e t i
o n a r y
C o n s u
m e r S t a
p l e s
E n e r g
y
F i n a n
c i a l s
I n d u s t
r i a l s
M a t e r
i a l s
C o m m
u n i c a
t i o n s
Quarter One Year Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
Equity Style Spectrum - Median Returns
For the Periods Ending December 31, 2009
5 . 2
%
4 . 9
% 5 . 3
% 5 . 7
%
4 . 8
% 7 . 4
%
6 . 1
%
5 . 9
%
2 9 . 8
%
2 4 . 8
%
2 4 . 7
% 2 8 . 5
%
2 5 . 5
%
2 6 . 0 %
2 4 . 2
%
2 2 . 4
%
2 2 . 6
%
2 3 . 1
%
3 6 . 7
%
3 6 . 0
%
2 9 . 3 %
3 5 . 6
% 3 8 . 8
% 4 2 . 8
%
3 5 . 5
%
2 5 . 4
%
3 4 . 4
%
2 6 . 7 % 3 0
. 2 %
( 3 . 4
) %
( 2 . 1
) %
( 4 . 0
) % ( 0 . 3
) %
( 1 . 8
) %
( 7 . 9
) %( 2 . 0
) %
( 5 . 4
) %
( 4 . 4
) %
3 . 0
% 3 . 1
%
2 . 9
% 3 . 3
% 3 . 4
% 4 . 9
%
3 . 4
%
0 . 5
% 2 . 0
%
0 . 7
% 1 . 5
% 5 . 1
% 5 . 3
% 6 . 2
%
2 2 . 4
%
( 3 . 8
) %
( 2 . 8
) %
(20.00%)
(10.00%)
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
S m a
l l V a l u e
S m a l l G
r o w t h
S m a l l C
o r e S M
I D
M i d V a
l u e
M i d G
r o w t h
M i d C o
r e
L a r g
e V a l u e
L a r g e
G r o w
t h
L
a r g e C
o r e
E q u i t y M a
n a g e r U n
i v e r s e
Quarter Two Quarters One Year Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
International Index Returns
For the Periods Ending December 31, 2009
3 . 4
%
0 . 3
% 4 . 2
%
3 . 8
%
2 2 . 2
%
2 2 . 6
%
2 1 . 7
% 3 1 . 4
%
3 . 6
%
2 4 . 3
% 3 2 . 5
%
2 5 . 4
% 3 5 . 0
%
2 9 . 9
%
7 9 . 0
%
6 . 3
%
4 2 . 2
%
( 5 . 6
) %
( 7 . 8
) %
( 6 . 8
) %
( 1 0 . 4
) % ( 3 . 0
) %
4 . 0
%
3 . 5
% 4 . 0
%
4 . 0
%
1 5 . 9
%
( 0 . 8
) %
6 . 3
%
2 . 2
%8 . 6
%
( 2 . 8
) %
1 8 . 8
%
5 . 4
%
( 4 . 4
) %
(30.00%)
(10.00%)
10.00%
30.00%
50.00%
70.00%
90.00%
M S C I
E A F E
M S C I
E A F E L o
c a l C u
r r e n c
y
M S C I
V a l u e
M S C I
G r o w
t h
M S C I E
m g . M a
r k e t s F r e
e
M S C I
J a p a n
M S C I
A l l C o u
n t y W o r l
d e x U .
S .
Quarter Two Quarters One Year Three Years Five Years
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City of Fort Lauderdale Police and Fire Retirement System
Fixed Income Index Returns
For the Periods Ending December 31, 2009
0
. 2 %
0
. 0 %
0
. 0 %
0 . 5
%
0 . 5
% 0 . 6
%
0 . 4
%
0
. 1 %
0 . 8
%
4 . 3
%
3 . 8
% 5 . 1
%
1 . 7
% 3 . 0
%
0
. 2 %
0 . 8
%
7 . 4
%
6 . 5
%
5 . 9
%8 . 6
%
3 1 . 1
%
2 . 4
% 2 . 4
%
6 . 1
%
6 . 1
%
6 . 0
%
5 . 8
%
( 0 . 4
) %
3 . 0
% 4 . 0
%
2 . 6
%
0 . 8
%
0 . 2
%
4 . 0
% 4 . 9
%
2 . 6
%5 . 0
%
4 . 5
% 5 . 0
%
5 . 0
%
(5.00%)
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
C P I
9 0 - D
a y U S
T - B i l l s
M e r r i l l L y n c h
1 - 3 Y e
a r T r
e a s u r i
e s
B a r c l
a y s C a p
i t a l 5
Y e a r
M u n i c
i p a l
B a r c l
a y s C a
p i t a l I n t
e r m e d i a t
e A g g r e g
a t e
B a r c l a y s
C a p i t
a l A g g r e g
a t e
B a r c l a y s
C a p i t
a l U n i v e
r s a l
M e r r i l l L y
n c h H i
g h Y i e l d
Quarter Two Quarters One Year Three Years Five Years
© 2010 Asset Consulting Group All Rights Reserved 8
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City of Fort Lauderdale Police and Fire Retirement System
As of 12/31/09 MTD QTD 1-Year 3-Year*
Aggregate -1.56% 0.20% 5.93% 6.04%
Treasury -2.61% -1.30% -3.57% 6.14%
Gov't-Related -1.47% -0.19% 2.48% 6.28%
Corporate -0.78% 1.35% 18.68% 5.66%
MBS -1.41% 0.57% 5.89% 7.04%
CMBS 0.34% 3.27% 28.45% 2.53% ABS -0.09% 1.34% 24.72% 3.62%
High Yield (Corporate) 3.28% 6.19% 58.21% 5.98%
As of 12/31/09 MTD QTD 1-Year 3-Year*
AAA -1.76% -0.10% 2.91% 6.15%
AA -1.48% 0.48% 8.09% 4.82%
A -0.96% 0.93% 15.21% 4.43%
BAA -0.44% 2.11% 27.49% 6.75%
BA 2.69% 4.76% 46.09% 7.03%
B 2.53% 4.76% 44.73% 3.07%
CAA 4.45% 8.71% 90.65% 1.95%
As of 12/31/09 MTD QTD 1-Year 3-Year*
1-3 Yr. -0.58% 0.48% 5.01% 5.45%
3-5 Yr. -1.34% 0.69% 6.14% 6.12%
5-7 Yr. -1.85% 0.51% 6.00% 5.71%
7-10 Yr. -2.28% 0.02% 5.82% 6.67%
10+ Yr. -3.30% -2.51% 0.08% 5.14%1Relative to the duration neutral Treasury
Time periods over one year are annualized
Source: Barclays Capital
Nominal Returns by Maturity
Fixed Income Market EnvironmentFor the Periods Ending December 31, 2009
Nominal Returns by Sector
Nominal Returns by Quality
Excess Returns by Sector1
as of December 31, 2009
222
-29
239 140
545
105 46307
75374
168
690746
393
2,276
495
2,960
2,496
5,955
-40 -92 -68
2943
-223
36
-431
21
-1,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
Aggregate Gov't-
Related
Corporate MBS CMBS ABS High Yield
(Corporate)
E x c e s s
R e t u r n
( b p s )
MTD QTD 1-Year 3-Year*
Excess Returns by Qualityas of December 31, 2009
456194382
1,183
3,155
4,789 4,599
9,151
-25
654206
512
-5
269125 266569 531
932
39251
1,940
-224
4 37
-359 -471-162
-1,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
AAA AA A BAA BA B CAA
E x c e s s R e t u r n
( b p s )
MTD QTD 1-Year 3-Year*
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City of Fort Lauderdale Police and Fire Retirement System
12/31/2009 9/30/2009 12/31/2008
0.06% 0.12% 0.09%
0.19% 0.18% 0.27%
0.44% 0.39% 0.35%1.14% 0.95% 0.77%
1.67% 1.43% 0.98%
2.19% 1.87% 1.30%
2.68% 2.32% 1.56%
3.38% 2.94% 1.61%
3.83% 3.31% 2.25%
4.56% 4.03% 3.07%
4.63% 4.05% 2.68%
7 Years
10 Years
20 Years
30 Years
2 Years
3 Years
4 Years
5 Years
90 Days
180 Days
1 Year
Interest Rate Term Structure
Government Issues - 3 Months to 30 Year Maturity
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
0 5 10 15 20 25 30
Years-to-Maturity
Y i e l d -
t o - M a t u r i t y
12/31/2009 9/30/2009 12/31/2008
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City of Fort Lauderdale Police and Fire Retirement System
Monthly Indices Report
Periods Ending December 31, 2009
ReturnsIndex Name Style Month Qtr YTD 1 Year 3 Years 5 Years 10 Years
Domestic Equity Indices S&P 500 Large Cap Core 1.93% 6.04% 26.45% 26.45% (5.63)% 0.42% (0.95)%
S&P Equal Weighted Large Cap Core 4.78% 6.61% 46.53% 46.53% (3.57)% 2.33% 5.20%
Russell 1000 Large Cap Core 2.43% 6.07% 28.42% 28.42% (5.36)% 0.79% (0.49)%
Russell 1000 Growth Large Cap Growth 3.09% 7.94% 37.21% 37.21% (1.88)% 1.64% (3.98)%
Russell 1000 Value Large Cap Value 1.77% 4.22% 19.69% 19.69% (8.96)% (0.26)% 2.47%
Russell 2500 Mid Cap Core 7.21% 5.07% 34.38% 34.38% (4.86)% 1.58% 4.91%
Russell 2000 Small Cap Core 8.05% 3.88% 27.19% 27.19% (6.06)% 0.51% 3.51%
Russell 2000 Growth Small Cap Growth 8.56% 4.14% 34.47% 34.47% (4.00)% 0.87% (1.38)%
Russell 2000 Value Small Cap Value 7.57% 3.62% 20.57% 20.57% (8.22)% (0.01)% 8.27%
Wilshire 5000 Broad Equities 2.70% 5.78% 28.30% 28.30% (5.25)% 0.93% (0.26)%
International Equity Indices MSCI World Broad Global 1.83% 4.18% 30.80% 30.80% (5.08)% 2.57% 0.22%
MSCI World ex US Broad Global 1.61% 2.48% 34.39% 34.39% (4.84)% 4.57% 2.04%
MSCI EAFE Developed Markets Intl 1.45% 2.23% 32.45% 32.45% (5.58)% 4.02% 1.58%
MSCI EAFE Local Currency Developed Markets Intl 5.56% 3.37% 25.37% 25.37% (7.83)% 3.47% (0.65)%MSCI EAFE Growth Developed Markets Intl Growth 1.99% 4.20% 29.91% 29.91% (4.41)% 4.02% (0.99)%
MSCI EAFE Value Developed Markets Intl Value 0.91% 0.32% 35.04% 35.04% (6.79)% 3.96% 4.03%
MSCI Emerging Markets Free Emerging Market 3.96% 8.57% 79.01% 79.01% 5.42% 15.89% 10.11%
MSCI All Country World ex US Emerging Market 2.13% 3.79% 42.16% 42.16% (3.04)% 6.30% 3.11%
Domestic Fixed Income Indices Treasury Bills Cash 0.01% 0.04% 0.21% 0.21% 2.41% 3.02% 2.99%
Merrill Lynch 1-3 Yr Treasuries Treasuries (0.79)% 0.02% 0.77% 0.77% 4.86% 4.03% 4.48%
Barclays Capital Muni 5 Yr 5 Yr Municipal Bonds (0.04)% 0.55% 7.41% 7.41% 6.11% 4.50% 5.23%
Barclays Capital Aggregate Core Bonds (1.56)% 0.20% 5.93% 5.93% 6.05% 4.97% 6.33%Barclays Capital Government Government Bonds (2.27)% (1.00)% (2.19)% (2.19)% 6.10% 4.87% 6.17%
Barclays Capital U.S. Credit Corporate Bonds (1.00)% 1.04% 16.05% 16.05% 5.74% 4.68% 6.64%
Barclays Capital Muni 10 Yr 10 Yr Municipal Bonds (0.32)% (1.27)% 9.87% 9.87% 5.17% 4.58% 5.80%
Merrill Lynch High Yield High Yield Bonds 0.27% 0.82% 31.14% 31.14% (0.38)% 2.56% 4.91%
Real Estate Indices NCREIF Property Real Estate N/A (2.11)% (16.86)% (16.86)% (3.43)% 4.74% 7.30%
NFI ODCE (net) Real Estate N/A (3.62)% (30.34)% (30.34)% (10.61)% (0.21)% 4.04%
NAREIT Real Estate 7.15% 9.40% 28.01% 28.01% (12.42)% 0.35% 10.62%
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City of Fort Lauderdale Police and Fire Retirement System
Executive Summary
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City of Fort Lauderdale Police and Fire Retirement System
Investment Guidelines and Policy Statement
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City of Fort Lauderdale Police and Fire Retirement System
© 2010 Asset Consulting Group All Rights Reserved 17
Investment Policy Statement
The Trustees of the Police & Fire Retirement System Pension Fund, in adopting the following Investment Policy Statement, intend its provisionsto act as guidelines for the investment managers employed by the Fund. It shall be the responsibility of the investment managers to bring to theattention of the Trustees any term of the Statement, which the investment managers believe to inhibit or in any way affect their exercise of management discretion.
I. PURPOSE OF STATEMENT
The Trustees are charged by law with the responsibility for the investment of assets of the Trust Fund. To discharge this function, the Trustees are
authorized by law to engage the services of Investment Managers who possess the necessary specialized research facilities and skilled personnel toprovide expertise with respect to investment of assets entrusted to them.
In keeping with the duties of Chapter 20 of Fort Lauderdale Ordinances, this statement of investment goals and objectives is set forth.
Its purpose is to:
Determine the Trust's projected financial needs.
Express the Trustees' position with respect to the funds risk-volatility posture.
Formulate an appropriate set of goals and objectives for the Fund's assets.
II. INVESTMENT OBJECTIVES
A. Assets of the Fund shall be invested in a manner consistent with the fiduciary's acceptable standards of Chapter 112, Florida Statutes,
namely:
1. The safeguards and diversity that a professional, prudent investment manager would adhere to must be present.
2. All transactions undertaken on behalf of the Trust must be for the sole interest of Plan participants and their beneficiaries.
B. The Fund shall be invested in a manner consistent with the primary emphasis upon consistency of performance to protect the Fund fromexcessive volatility in current market value.
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City of Fort Lauderdale Police and Fire Retirement System
© 2010 Asset Consulting Group All Rights Reserved 18
C. The Fund shall be invested with emphasis upon capital protection, i.e., the achievement of adequate investment growth so that thepurchasing power of the principal amount of these assets is at least maintained and preferably increased.
DD..
The Plan’s total return will be expected to provide equal or superior results based on a five year investment horizon, relative to theobjectives enumerated below. It is anticipated that achievement of this rate of return will raise the funded status of the plan and lower thecontribution rate as a percent of payroll.
11.. TThhee RReettiirreemmeenntt SSyysstteemm’’ss aannnnuuaalliizzeedd ttoottaall rreettuurrnn sshhoouulldd eeqquuaall oorr eexxcceeeedd tthhee RReettiirreemmeenntt SSyysstteemm’’ss aaccttuuaarriiaall iinntteerreesstt rraattee aassssuummppttiioonn..
22.. TThhee RReettiirreemmeenntt SSyysstteemm’’ss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn oof f aann iinnddeexx ccoommppoosseedd aass f f oolllloowwss::
3355%%
SS&&PP550000 1100%% RRuusssseellll 22000000
1155%% MMSSCCII EEAAFFEE
3300 %% BBaarrccllaayyss CCaappiittaall AAggggrreeggaattee BBoonndd IInnddeexx
1100%% NNCCRREEIIFF IInnddeexx
33.. TThhee RReettiirreemmeenntt SSyysstteemm’’ss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn oof f tthhee mmeeddiiaann ppllaann iinn tthhee ccoonnssuullttaannttss ppeeeerr ggrroouupp uunniivveerrssee..
III. INVESTMENT GUIDELINES
A. It shall be the policy of the Fund to invest the assets in accordance with the following asset allocation levels outlined below:
Asset Class Target Allocation Minimum MaximumDomestic Equity:
Large Cap Equity 25% 20% 30%
Large Cap Equity is further defined as:
Large Cap Core 12.5% 7.5% 17.5%Large Cap Value 6.25% 1% 12%Large Cap Growth 6.25% 1% 12%
Small Cap Equity 10% 5% 15%
Small Cap Equity is further defined as:
Small Cap Value 5% 2% 10%Small Cap Growth 5% 2% 10%
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City of Fort Lauderdale Police and Fire Retirement System
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City of Fort Lauderdale Police and Fire Retirement System
© 2010 Asset Consulting Group All Rights Reserved 22
2. A direct loan or an extension of a line of credit between the Plan assets and any interested party.
3. A transfer of Plan assets to an interested party for the exclusive benefit or use of the interested party.
4. An acquisition of securities, which would exceed stated limitations, 5% in any one company. Any exceptions to the foregoing restrictions would require written Board approval with the specifics detailed.
5. Instrumentalities which are or may be deemed in violation of prohibitive transaction standards as may be specified in the FloridaStatutes, specifically Chapters 112, 175 and 185.
IV. COMMUNICATIONS
A. Documentation
Statements are to be supplied at least quarterly by each investment manager and/or bank custodian to the Trustees indicating:
1. The Fund composition, i.e., at book or original cost and at current market value (by sector, including equity, fixed income, cashequivalents, and "pure" cash balances);
2. Position, by individually named securities, showing their respective book and market values, the number of shares by date securedor sold;
3. All income cash transactions, including sources of all interest and dividends in sufficient descriptive detail. The investmentmanager is expected to provide written confirmation and documentation of all principal transactions, with the exception of cashequivalent trades, within one week of occurrence.
B. Meetings
Investment managers are expected to meet on a quarterly basis, or more often upon request, with the Trustees to review the portfolio andto discuss investment results in terms of these goals, objectives and policies.
V. BASIS FOR MEASUREMENT
Performance of this Fund is to be measured, both currently and historically, in context with these goals and objectives. In order to ensure that
investment opportunities available over a specific time period are fairly evaluated, the Trustees will use comparative performance statistics toevaluate investment results.
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City of Fort Lauderdale Police and Fire Retirement System
Total Fund Performance and Analysis
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© 2010 Asset Consulting Group All Rights Reserved
NorthPointe
(Small Cap Growth)
Current Portfolio Structure by Fund Manager
Agincourt
Mellon Bank
F i x e d
I n c o m e
D o m e s t i c
E q u
i t y
I n t ’ l .
E q u
i t y
Artio International Systematic(Large Cap Value)
RhumbLineS&P 500 Pooled Fund
(Large Cap Index)
INTECH(Large Cap S&P 500 Index)
Sawgrass
(Large Cap Growth)
Lee Munder
(Small Cap Value)
R e a l
E s t a t e
Prudential
American Realty
City of Fort Lauderdale Police and Fire Retirement System
Thornburg International
25
K2 Long ShortMaster Fund
L
o n g
/ S h o r t
E q u
i t y
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© 2010 Asset Consulting Group All Rights Reserved
INVESCO
Historical Portfolio Structure by Fund Manager
Systematic
(Large Cap Value)
RhumbLine
S&P 500 Pooled Fund(Large Cap Index)
INTECH
(Large Cap S&P 500 Index)
INVESCO Terminated 10/02
Montag & Caldwell(Large Cap Growth)
Terminated 07/04
Agincourt
Mellon Bank
B a l a n c e d
M a n a g e r
B o n
d M a n a g e r
D
o m e s t i c
E q u
i t y
I n t ’ l .
E q u
i t y
The Boston Company (International Equity) Terminated 10/07
Lazard Asset Mgmt.(International Equity) Terminated 01/06
Oechsle International
(Emerging Markets) Terminated 01/06
Sawgrass
(Large Cap Growth)
RhumbLine
(Mid Cap Index) Terminated 11/06
Lee Munder(Small Cap Value)
NorthPointe(Small Cap Growth)
Supplemental AccountPrevious Management
1) Fayez Sarofim 2) INVESCO
Sovran Terminated 11/99
INVESCO Enhanced
S&P 500 Terminated 03/04
City of Fort Lauderdale Police and Fire Retirement System
Artio International Equity
Thornburg International
26
Essex Investment(Large Cap Growth)
Terminated 03/07
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City of Fort Lauderdale Police and Fire Retirement System
This Quarter Year-To-Date Last Twelve Months
Beginning Market Value
Net Additions
Return on Investment
Income Received
Gain/Loss
Ending Market Value
For the Periods Ending December 31, 2009
Total Portfolio
Total Portfolio Dollar Reconciliation (000s)
9,862 52,449
1,491 6,646
8,371 45,803
417,534 417,534
52,449
$382,555
13,298 -17,470
$382,555
-17,470
6,646
45,803
417,534
$394,375
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City of Fort Lauderdale Police and Fire Retirement System
Market Values % of Portfolio 1QTR Rank 01YR Rank 02YR Rank 03YR Rank 05YR Rank
Total Portfolio 417,534,045 2.5% 87 15.1% 78 -5.3% 55 -1.2% 55 2.6% 82
2.9% 15.4% -5.7% -1.9% 1.8%
3.3% 18.5% -5.0% -1.1% 3.4%
Domestic Equity 169,419,156 40.6% 5.7% 29.6% -10.6% -4.8% 1.3%
Russell 3000 5.9% 28.3% -10.3% -5.4% 0.8%
Large Cap Value 39,973,968 9.6%
Systematic Financial Management 39,973,968 9.6% 5.3% 38 23.9% 62 -13.1% 72 -6.2% 26 1.7% 21
Russell 1000 Value 4.2% 19.7% -13.1% -9.0% -0.3%
Median Large Cap Value Manager 4.8% 25.4% -12.0% -7.9% 0.5%Large Cap Core 48,380,128 11.6%
INTECH 23,249,039 5.6% 6.3% 21 25.5% 75 -10.8% 69 -5.1% 34 1.4% 31
Rhumbline Large Cap Fund 25,131,089 6.0% 6.1% 48 26.5% 65 -10.4% 43 -5.4% 50 0.6% 58
S&P 500 6.0% 26.5% -10.7% -5.6% 0.4%
Median Large Cap Core Manager 6.1% 26.7% -10.6% -5.4% 0.7%
Large Cap Growth 37,974,320 9.1%
Sawgrass 37,974,320 9.1% 7.0% 57 28.9% 74 -9.5% 62 N/A -- N/A --
Russell 1000 Growth 7.9% 37.2% -8.1% -1.9% 1.6%
Median Large Cap Growth Manager 7.4% 34.4% -8.3% -2.0% 2.0%
Small Cap Value 21,984,909 5.3%
Lee Munder Small Cap Value 21,984,909 5.3% 6.1% 23 36.7% 52 0.6% 18 0.6% 13 N/A --
Russell 2000 Value 3.6% 20.6% -7.4% -8.2% 0.0%
Median Small Cap Value Manager 5.1% 36.7% -3.3% -3.4% 3.0%
Small Cap Growth 21,105,830 5.1%
NorthPointe Small Cap Growth 21,105,830 5.1% 0.9% 96 41.3% 30 -17.7% 96 -11.1% 98 N/A --
Russell 2000 Growth 4.1% 34.5% -9.1% -4.0% 0.9%
Median Small Cap Growth Manager 5.2% 36.0% -7.6% -2.1% 3.1%Long/Short Equity 41,720,518 10.0% 1.2% 9.7% N/A N/A N/A
K2 Long Short Master Fund, LP 41,720,518 10.0% 1.2% 9.7% N/A N/A N/A
S&P 500 6.0% 26.5% -10.7% -5.6% 0.4%
International Equity 54,671,806 13.1% 3.3% 28.5% -13.6% -7.2% 5.3%
Artio International Equity II 26,873,114 6.4% 3.0% 42 23.9% 86 -15.0% 80 N/A -- N/A --
Thornburg International Equity Fund 27,798,692 6.7% 3.7% 29 33.5% 50 -12.0% 52 N/A -- N/A --
MSCI EAFE 2.2% 32.5% -13.2% -5.6% 4.0%
MSCI ACWI ex US 3.8% 42.2% -11.8% -3.0% 6.3%
Median Int'l Developed Markets Equity Manager 2.7% 33.4% -11.9% -4.4% 5.2%
Rates of Return Summary & Universe RankingsFor the Periods Ending December 31, 2009
Median Public Funds
Policy Index
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Ci f F L d d l P li d Fi R i S
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City of Fort Lauderdale Police and Fire Retirement System
Market Values % of Portfolio 1QTR Rank 01YR Rank 02YR Rank 03YR Rank 05YR Rank
Rates of Return Summary & Universe RankingsFor the Periods Ending December 31, 2009
Fixed Income 110,342,976 26.4% 0.7% 10.5% 6.1% 6.3% 5.2%
Core Fixed Income 110,342,976 26.4%
Agincourt 67,261,075 16.1% 1.1% 41 13.9% 37 5.8% 62 6.0% 72 5.1% 68
Mellon Aggregate Bond Index Fund 43,081,902 10.3% 0.2% 84 5.5% 87 5.6% 69 6.1% 72 5.0% 74
Citigroup Broad Investment Grade 0.0% 5.1% 6.0% 6.4% 5.2%
Barclays Capital Aggregate 0.2% 5.9% 5.6% 6.0% 5.0%
Median Core Bond Manager 0.9% 11.3% 6.4% 6.7% 5.4%
Real Estate 24,819,616 5.9% -5.2% -33.6% -22.1% N/A N/A
American Stable Value Fund 17,428,174 4.2% -4.5% 81 -30.2% 56 -18.9% 50 N/A -- N/A --PRISA II 7,391,441 1.8% -6.9% 86 -44.8% 86 -32.0% 87 N/A -- N/A --
NCREIF Property -2.1% -16.9% -11.8% -3.4% 4.7%
NFI ODCE (net) -3.6% -30.3% -21.1% -10.6% -0.2%
Median Real Estate Funds -0.8% -27.5% -18.9% -9.4% 1.5%
Cash 16,559,974 4.0%Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
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City of Fort Lauderdale Police and Fire Retirement System
Over/-Under
Market Value Target
Equity 265,811,479 3.7%
Large Cap 126,328,416 5.3%
Small/Mid Cap 43,090,739 0.3%
Long/Short Equity 41,720,518 0.0%
International Equity 54,671,806 -1.9%
Fixed Income (Incl. Cash) 126,902,950 0.4%
Real Estate 24,819,616 -4.1%
Total $417,534,045
30.4%
13.1%
10.0%
30.3%
10.3%
City of Fort Lauderdale Police and Fire Retirement SystemFor the Periods Ending December 31, 2009
55-65%
5-15%
20-30%
63.7%
Actual vs. Target Allocation
Current Allocation
25.0%
10.0%
Target Range Target Allocation
100.0%
25-35%
10-20%
30.0%
60.0%
15.0%
10.0% 5-15%
5.9% 10.0% 5-15%
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 87 78 55 55 82 75
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
5th Percentile 4.56 27.59 1.80 3.66 5.16 5.52
25th Percentile 3.72 22.07 -3.24 0.30 4.02 4.6250th Percentile 3.33 18.46 -5.03 -1.06 3.41 3.77
75th Percentile 2.78 15.27 -6.73 -1.87 2.82 3.10
95th Percentile 1.95 9.17 -9.73 -3.62 1.83 2.42
Observations 121 121 120 116 116 102
Total Portfolio
For the Periods Ending December 31, 2009
The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P
500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and
10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
2 . 5
2 . 9
3 . 3
1 5 . 1
1 5 . 4
1 8 . 5
- 5 . 3
- 5 . 7
- 5 . 0
- 1 . 2
- 1 . 9 - 1
. 1
2 . 6
1 . 8
3 . 4
3 . 1
1 . 9
3 . 8
-15
-10
-5
0
5
10
15
20
25
R a t e o f R e t u r n %
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
Total Portfolio Policy Index Master Trust Funds - Public Funds
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 78 16 65 88 58
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 27.59 -13.09 11.21 16.20 10.3525th Percentile 22.07 -23.34 9.60 14.80 8.32
50th Percentile 18.46 -25.56 8.15 13.69 7.21
75th Percentile 15.27 -27.61 6.85 12.24 5.96
95th Percentile 9.17 -30.30 5.28 9.15 4.26
Observations 121 190 205 227 235
Total Portfolio
One Year Periods Ending December
The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P
500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
1 5 . 1
1 5 . 4 1
8 . 5
- 2 2 . 1
- 2 2 . 9
- 2
5 . 6
7
. 4
6 . 3
8
. 1 1 0 . 7
1 1 . 1 1
3 . 7
6 . 8
4 . 0 7 . 2
-40
-30
-20
-10
0
10
20
30
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Total Portfolio Policy Index Master Trust Funds - Public Funds
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City of Fort Lauderdale Police and Fire Retirement System
AnnualizedReturn
Sharpe Ratio
Total Portfolio 2.63 -0.05
Policy Index 1.78 -0.13
Master Trust Funds - Public Funds 3.41 0.02
Risk vs. Return AnalysisFive Years Ending December 31, 2009
10.25
10.76
11.61
Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital
Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%
Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.
Standard Deviation
Total Portfolio
Policy Index
Master Trust Funds -
Public Funds
0
0.5
1
1.5
2
2.5
3
3.5
4
10 10.2 10.4 10.6 10.8 11 11.2 11.4 11.6 11.8
Standard Deviation
R e t u r n
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City of Fort Lauderdale Police and Fire Retirement System
Equity Manager Performance and Analysis
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City of Fort Lauderdale Police and Fire Retirement System
♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
42,907 39,205
Last 12 Months
-4,879 -7,824
39,974 39,974
1,946 8,593
161 835
1,785 7,758
Strategy: Large Capitalization Value
Vehicle: Separate Account
Inception date: November 2002
Benchmark: Russell 1000 Value
Fees: 38 bps for the first $50 million; 30 bps for the next $25 million; and 25
bps thereafter
Over a market cycle, performance in the upper third of appropriate universe (Large
Value); above median performance among style peers for shorter term periods.
Outperform the Russell 1000 Value Index over a full market cycle.
Systematic Financial ManagementFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
D e c - 0 2
J u n - 0
3
D e c - 0 3
J u n - 0
4
D e c - 0 4
J u n - 0
5
D e c - 0 5
J u n - 0
6
D e c - 0 6
J u n - 0
7
D e c - 0 7
J u n - 0
8
D e c - 0 8
J u n - 0
9
D e c - 0 9
Systematic Financial Management Russell 1000 Value
© 2010 Asset Consulting Group All Rights Reserved 35
Ci f F L d d l P li d Fi R i S
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City of Fort Lauderdale Police and Fire Retirement System
JPMORGAN CHASE & CO 3.8% WHITING PETE CORP 2.4%
WELLS FARGO & CO 3.1% EXXON MOBIL CORP 2.3%
PFIZER INC 3.0% NEWFIELD EXPL CO 2.2%
CHEVRON CORP 2.8% AMGEN INC 2.1%
AT&T INC 2.4% AMERIPRISE FINL INC 2.0%
CLIFFS NATRES INC 42.7% GANNETT INC 19.1%
WALTER ENERGY INC 25.6% SMUCKER JM CO 17.2%
WHITING PETE CORP 24.1% FREEPORT MCMORAN COPPER & GOLD 17.0%
UNITEDHEALTH GROUP INC 21.7% INGERSOLL RAND PLC 16.8%
SEAGATE TECHNOLOGY 19.6% SIMON PPTYGROUP INC 15.9%
CITIGROUPINC -31.6% DISCOVER FINL SVCS -9.2%
REGIONS FINL CORP -14.7% GOLDMAN SACHS GROUP INC -8.2%
FLUOR CORP -11.2% GENERAL ELEC CO -7.3%
BANK OF AMERICA CORP -10.9% AMGEN INC -6.1%
AES CORP -10.2% KOHLS CORP -5.5%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Systematic Financial Management
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, Systematic Financial Management held 82 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
5 1 . 9 3
6 8 . 3 9
1 0 . 1
3
3 . 8 8
2 . 1 8
4 . 8 7
2 . 0 7
1 . 8 4
1 7 . 1 0
1 7 . 0 0
1 . 5 3
2 . 2 3
0
10
20
3040
50
60
70
80
90
100
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Systematic Financial Management Russell 1000 Value
9 . 1
1 . 4
1 7
. 7
2 5
. 3
1 0
. 9 1 2
. 8
7 . 6
7 . 9
4 . 7
2 . 6
9 . 9
5 . 5
1 8
. 6 2 4
. 1
9 . 1 1
0 . 7
5 . 2
4 . 1 5
. 7 7 . 1
0
5
10
15
20
25
30
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
Systematic Financial Management Russell 1000 Value
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City of Fort Lauderdale Police and Fire Retirement System
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y y
Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Systematic
Financial
Management Russell 1000 Value
30
54
64.29%
84
10.72%
-17.31%54
30
64.29%
84
9.61%
-15.19%
Risk vs. Return (7 Year Annualized) Portfolio Statistics
Systematic Financial Management
For the Periods Ending December 31, 2009
Return Histogram (7 Years) Return Analysis
7 Years
--
0.96
0.18
Russell 1000 Value
15.7815.56
0.230.36
Systematic
Financial
Management
7.92 5.92
--
1.00
--
--
--
107.29
99.22
97.06
94.21
Systematic Financial
Management
Russell 1000 Value
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
15.50% 15.55% 15.60% 15.65% 15.70% 15.75% 15.80%
Standard Deviation
R a t e
o f R e t u r n
8
54
76
5
14
108
7
1010
1
65
8
5
20
89
1
11
0
5
10
15
20
25
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Systematic Financial Management Russell 1000 Value
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City of Fort Lauderdale Police and Fire Retirement System
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 38 62 72 26 21 18
1 Quarter 1 Year 2 Years 3 Years 5 Years 7 Years
5th Percentile 7.52 38.04 -7.86 -3.37 3.19 8.75
25th Percentile 5.87 30.15 -10.63 -6.24 1.39 7.7450th Percentile 4.81 25.35 -12.03 -7.89 0.48 6.77
75th Percentile 4.21 21.60 -13.27 -9.02 -0.19 5.87
95th Percentile 1.83 16.60 -15.38 -12.22 -2.48 4.50
Observations 305 292 267 248 198 148
Systematic Financial Management
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the large value equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
5 . 3
4 . 2
4 . 8
2 3 . 9
1 9 . 7
2 5 . 4
- 1 3 . 1
- 1 3 . 1
- 1 2 . 0
- 6 . 2
- 9 . 0
- 7 . 9
1 . 7
- 0 . 3
0 . 5
7 . 9
5 . 9 6
. 8
-25
-15
-5
5
15
25
35
R a t e o f R e t u r n %
1 Quarter 1 Year 2 Years 3 Years 5 Years 7 Years
Systematic Financial Management Russell 1000 Value Median Large Value Mgr
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City of Fort Lauderdale Police and Fire Retirement System
Ranking 62 63 6 74 20
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 38.04 -31.22 9.19 23.52 13.63
25th Percentile 30.15 -35.25 3.93 22.15 11.17
50th Percentile 25.35 -37.27 0.68 19.98 9.88
75th Percentile 21.60 -40.33 -0.90 18.16 7.14
95th Percentile 16.60 -45.90 -10.06 15.02 4.60
Observations 292 416 383 340 303
Systematic Financial Management
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the large value equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
2 3 . 9
1 9 . 7 2
5 . 4
- 3 9 . 0
- 3 6 . 9
- 3 7 . 3
9 . 1
- 0 . 2
0 . 7
1 8 . 5 2
2 . 3
2 0 . 0
1 1 . 5
7 . 1 9
. 9
-60
-50
-40
-30
-20
-10
0
10
20
30
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Systematic Financial Management Russell 1000 Value Median Large Value Mgr
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y y
♦ ♦
♦ ♦
♦
♦
♦
This QuarterBeginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
31,610 31,783Last 12 Months
-9,529 -15,029
23,249 23,249
1,168 6,495
162 797
1,006 5,698
Strategy: Large Capitalization Core Equity
Vehicle: Separate Account
Inception date: March 2004
Benchmark: S&P 500
Fees: 35 bps for the first $100 million, 30bps for the next $100 million, 25 bps
for the next $100 million, 20 bps for the next $200 million, & 17.5 bps for over
$500 million
Over a market cycle, performance in the upper third of appropriate universe (LargeCore); above median performance among style peers for shorter term periods.
Outperform the S&P 500 Index over a full market cycle.
INTECHFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
D e c - 0 4
A p r - 0 5
A u g - 0 5
D e c - 0 5
A p r - 0 6
A u g - 0 6
D e c - 0 6
A p r - 0 7
A u g - 0 7
D e c - 0 7
A p r - 0 8
A u g - 0 8
D e c - 0 8
A p r - 0 9
A u g - 0 9
D e c - 0 9
INTECH S&P 500
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y y
EXXON MOBIL CORP 4.2% GENERAL ELEC CO 1.9%
AT&T INC 2.6% CHEVRON CORP 1.8%
INTERNATIONAL BUSINESS MACHS 2.1% APPLE INC 1.5%
JOHNSON & JOHNSON 2.0% PROCTER AND GAMBLE CO 1.5%
MICROSOFT CORP 1.9% PFIZER INC 1.4%
ADVANCED MICRO DEVICES INC 71.0% MCGRAW HILL COS INC 34.3%
MASSEY ENERGY CORP 50.8% SANDISK CORP 33.6%
AMAZON COMINC 44.1% PIONEER NAT RES CO 32.7%
FORD MTR CO DEL 38.7% MOODYS CORP 31.5%
IMS HEALTH INC 37.5% JABIL CIRCUIT INC 30.2%
MARSHALL & ILSLEY CORP -32.3% J C PENNEY INC -20.7%
AMERICAN INTL GROUP INC -32.0% METROPCS COMMUNICATIONS INC -18.5%
CITIGROUPINC -31.6% JACOBS ENGR GROUP INC -18.1%
ZIONS BANCORP -28.5% MEMC ELECTR MATLS INC -18.1%
HUNTINGTONBANCSHARES INC -22.3% TELLABS INC -17.9%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
INTECH
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, INTECH held 407 securities in their portfolio. Holdingsand portfolio characteristics are as follows:
7 6 . 9 1
8 0 . 6
2
1 0 . 2
1
8 . 9
2
8 . 0 0
5 . 9
1
3 . 4 4
3 . 4 1
1 8 . 1 2
1 8 . 5 0
1 . 8 5
1 . 9 4
0
20
40
60
80
100
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
INTECH S&P 500
1 2
. 2
9 . 9 1
1 . 6
1 3
. 3
1 1
. 6
8 . 0
2 1
. 6
3 . 6
4 . 2
4 . 0
9 . 6 1
1 . 4
1 1
. 5 1 4
. 4
1 2
. 6
1 0
. 2
1 9
. 9
3 . 6
3
. 2 3
. 7
05
10
15
20
25
30
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
INTECH S&P 500
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Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
INTECH S&P 500
24
46
65.71%
70
9.57%
-16.80%45
25
64.29%
70
9.27%
-17.16%
Risk vs. Return (5 Year Annualized) Portfolio Statistics
INTECH
For the Periods Ending December 31, 2009
Return Histogram (5 Years) Return Analysis
5 Years
--
0.99
0.09
S&P 500
16.0516.01
-0.14-0.08
INTECH
1.44 0.42
--
1.00
--
--
--
102.20
97.13
99.36
98.72
INTECH
S&P 500
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
1.60%
16.00% 16.01% 16.01% 16.02% 16.02% 16.03% 16.03% 16.04% 16.04% 16.05% 16.05%
Standard Deviation
R a t e
o f R e t u r n
7
1
5 54
7
9
78
2
5
8
2 2
6
4
7
12
4
8
2
5
0
2
4
6
8
10
12
14
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
INTECH S&P 500
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Ranking 21 75 69 34 45 31
1 Quarter 1 Year 2 Years 3 Years 4 Years 5 Years
5th Percentile 7.88 37.85 -6.33 -1.62 2.42 4.01
25th Percentile 6.20 28.86 -9.79 -4.65 0.65 1.6950th Percentile 6.06 26.69 -10.58 -5.39 -0.50 0.73
75th Percentile 5.63 25.47 -10.98 -5.69 -0.71 0.47
95th Percentile 3.33 16.96 -12.94 -7.87 -2.09 -0.32
Observations 589 540 493 458 402 355
INTECH
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
6 . 3
6 . 0
6 . 1
2 5 . 5
2 6 . 5
2 6 . 7
- 1 0 . 8
- 1 0 . 7
- 1 0 . 6
- 5 . 1
- 5 . 6
- 5 . 4
- 0 . 4
- 0 . 7
- 0 . 5
1 . 4
0 . 4
0 . 7
-25
-15
-5
5
15
25
35
R a t e o f R e t u r n %
1 Quarter 1 Year 2 Years 3 Years 4 Years 5 Years
INTECH S&P 500 Median Large Core Mgr
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Ranking 75 32 18 84 21
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 37.85 -32.23 12.25 21.54 13.09
25th Percentile 28.86 -36.25 6.95 17.27 9.04
50th Percentile 26.69 -36.93 5.57 15.86 5.66
75th Percentile 25.47 -37.67 4.77 15.55 4.93
95th Percentile 16.96 -42.95 -0.35 12.85 3.55
Observations 540 720 667 593 524
INTECH
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
2 5 . 5
2 6 . 5
2 6 . 7
- 3 6 . 6
- 3 7 . 0
- 3 6 . 9
7 . 6
5 . 5
5 . 6
1 4 . 8
1 5 . 8
1 5 . 9
9 . 2
4 . 9
5 . 7
-60
-50
-40
-30
-20
-10
0
10
20
30
40
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
INTECH S&P 500 Median Large Core Mgr
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♦ ♦
♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
33,198 27,771
Last 12 Months
-9,873 -9,811
25,131 25,131
1,806 7,171
0 0
1,806 7,171
Strategy: Large Capitalization Core
Vehicle: Commingled Trust
Inception date: September 1995
Benchmark: S&P 500
Fees: 6.5 bps for the first $50 million, 5.5 bps for the next $50 million, and 4
bps thereafter
Match the S&P 500 Index.
Rhumbline Large Cap FundFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
$3.50
D e c - 9 5
D e c - 9 6
D e c - 9 7
D e c - 9 8
D e c - 9 9
D e c - 0 0
D e c - 0 1
D e c - 0 2
D e c - 0 3
D e c - 0 4
D e c - 0 5
D e c - 0 6
D e c - 0 7
D e c - 0 8
D e c - 0 9
Rhumbline Large Cap Fund S&P 500
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EXXON MOBIL CORP 3.3% INTL BUSINESS MACHINES 1.7%
MICROSOFT CORP 2.4% AT&T INC 1.7%
APPLE COMPUTER INC 1.9% J P MORGAN CHASE & CO 1.7%
JOHNSON & JOHNSON 1.8% GENERAL ELECTRIC CO 1.6%
PROCTER & GAMBLE CO 1.8% CHEVRON CO 1.6%
ADVANCED MICRO DEVIC 71.0% FORD MTR CO 38.7%
NEW YORK TIMES CO 52.2% IMS HEALTH INC 37.4%
MASSEY ENERGY CORP 50.9% MCGRAW HILL 34.3%
AMAZON COM INC 44.1% SANDISK CORP 33.6%
BLACK & DECKER 40.3% PIONEER NAT RES 32.7%
MARSHALL & ILSLEY CO -32.4% JC PENNEY CO -20.7%
AMERICAN INTL GROUP -32.0% METROPCS COMMUNICATION -18.5%
CITIGROUP INC -31.6% JACOBS ENGINEERING GROUP -18.2%
ZIONS BANCORP -28.6% MEMC ELECTR MATLS -18.1%
HUNTINGTON BANCSHARE -22.3% TELLABS INC -17.9%
Characteristics provided by manager.
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Rhumbline Large Cap Fund
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, Rhumbline Large Cap Fund held 500 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
8 1 . 9 5
8 1 . 9 3
9 . 5
2
9 . 5
2
1 . 9 8
1 . 9 8
3 0 . 8 1
3 0 . 7 9
1 . 9 4
1 . 9 4
0
10
20
3040
50
60
70
80
90
100
Avg Mkt Cap
($Bil)
Erngs Grth (5
Year)
P/B P/E Yield
Rhumbline Large Cap Fund S&P 500
9 . 6 1
1 . 4
1 1 . 5 1 4
. 4
1 2 . 6
1 0 . 2
1 9 . 9
3
. 6
3 . 2 3 .
7 3 . 7
3 . 2
3
. 6
1 9 . 9
1 0 . 2 1 2
. 7 1 4 . 4
1 1 . 5
1 1 . 3
9 . 6
0
5
10
15
20
25
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
Rhumbline Large Cap Fund S&P 500
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Return
Standard Deviation
Sharpe RatioBeta
Alpha
Up Capture
Down Capture
Correlation
R Square
Tracking Error
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
98.34
99.96
--
--
0.02
99.75
S&P 500
16.1316.01
Rhumbline Large
Cap Fund
Return Histogram (10 Years) Return Analysis
10 Years
--
99.93
Risk vs. Return (10 Year Annualized) Portfolio Statistics
Rhumbline Large Cap Fund
For the Periods Ending December 31, 2009
66.08%
171
9.78%
-16.80%
107
64
62.57%
171
17.16%
-16.58%
Rhumbline Large
Cap Fund S&P 500
58
113
--
--
0.46
-0.63 -0.95
-0.200.99
--
-0.221.00
Rhumbline LargeCap Fund
S&P 500-1.00%
-0.90%
-0.80%
-0.70%-0.60%
-0.50%
-0.40%
-0.30%
-0.20%
-0.10%
0.00%
16.00% 16.02% 16.04% 16.06% 16.08% 16.10% 16.12% 16.14% 16.16%
Standard Deviation
R a t
e o f R e t u r n
20
3
6
14
7
14
23
4
11
3
15
20
45
14
7
14
22
5
11
3
15
0
5
10
15
20
25
30
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Rhumbline Large Cap Fund S&P 500
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Ranking 48 65 43 50 58 59
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
5th Percentile 7.88 37.85 -6.33 -1.62 4.01 6.25
25th Percentile 6.20 28.86 -9.79 -4.65 1.69 3.70
50th Percentile 6.06 26.69 -10.58 -5.39 0.73 -0.21
75th Percentile 5.63 25.47 -10.98 -5.69 0.47 -0.87
95th Percentile 3.33 16.96 -12.94 -7.87 -0.32 -1.00
Observations 589 540 493 458 355 161
Rhumbline Large Cap Fund
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
6 . 1
6 . 0
6 . 1
2 6 . 5
2 6 . 5
2 6 . 7
- 1 0 . 4
- 1 0 . 7
- 1 0 . 6
- 5 . 4
- 5 . 6
- 5 . 4
0 . 6
0 . 4
0 . 7
- 0 . 6
- 1 . 0
- 0 . 2
-25
-15
-5
5
15
25
35
R a t e o f R e t u r n %
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr
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Ranking 65 30 45 50 82
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 37.85 -32.23 12.25 21.54 13.09
25th Percentile 28.86 -36.25 6.95 17.27 9.04
50th Percentile 26.69 -36.93 5.57 15.86 5.66
75th Percentile 25.47 -37.67 4.77 15.55 4.93
95th Percentile 16.96 -42.95 -0.35 12.85 3.55
Observations 540 720 667 593 524
Rhumbline Large Cap Fund
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
2 6 . 5
2 6 . 5
2 6 . 7
- 3 6 . 6
- 3 7 . 0
- 3 6 . 9
5 . 6
5
. 5
5
. 6
1 5 . 9
1 5 . 8
1 5 . 9
4
. 9
4
. 9 5 . 7
-60
-50
-40
-30
-20
-10
0
10
20
30
40
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr
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♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
40,374 38,970
Last 12 Months
-5,090 -11,090
37,974 37,974
2,690 10,095
147 630
2,543 9,464
Strategy: Large Capitalization Growth
Vehicle: Separate Account
Inception Date: March 2007
Benchmark: Russell 1000 Growth
Fees: 50 bps up to $100 million and 40 bps above $100 million
Over a market cycle, performance in the upper third of appropriate universe (Large
Growth); above median performance among style peers for shorter term periods.
Outperform the Russell 1000 Growth Index over a full market cycle.
SawgrassFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
M a r - 0 7
J u n - 0
7
S e p - 0
7
D e c - 0 7
M a r - 0 8
J u n - 0
8
S e p - 0
8
D e c - 0 8
M a r - 0 9
J u n - 0
9
S e p - 0
9
D e c - 0 9
Sawgrass Russell 1000 Growth
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INTERNATIONAL BUSINESS MACHS 4.6% CVS CAREMARK CORP 3.0%
MICROSOFT CORP 4.3% GOOGLE INC 3.0%
CISCO SYSINC 3.7% MCDONALDS CORP 3.0%
ABBOTT LABS 3.4% HEWLETT PACKARD CO 2.9%
DIRECTV 3.1% LILLY ELI & CO 2.9%
MASTERCARD INC 26.7% UNITED TECHNOLOGIES CORP 14.6%
GOOGLE INC 25.0% APPLE INC 13.8%
MICROSOFT CORP 18.3% BECTON DICKINSON & CO 13.6%
ORACLE CORP 18.0% BRISTOL MYERS SQUIBB CO 13.5%
QUEST DIAGNOSTICS INC 15.7% DANAHER CORP 11.8%
JACOBS ENGR GROUP INC -18.1% PRAXAIR INC -1.2%
APOLLO GROUP INC -17.8% EXXON MOBIL CORP 0.0%
FLUOR CORP -11.2% CISCO SYSINC 1.7%
CVS CAREMARK CORP -9.7% VERISIGN INC 2.3%
TJX COS INC -1.3% EMC CORP 2.5%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Sawgrass
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, Sawgrass held 46 securities in their portfolio. Holdings andportfolio characteristics are as follows:
8 6 . 0 2
7 6 . 4 3
3 5 . 5 1
4 . 3
3 1 6 . 3 6
6 . 4 8
4 . 5 7
4 . 8 4 1
7 . 4 9
1 9 . 6
5
1 . 7 5
1 . 5 3
0
10
20
30
40
50
60
70
80
90
100
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Sawgrass Russell 1000 Growth
1 0
. 01
6 . 1
3
. 4
1 . 5
1 9
. 3
1 1
. 2
3 3
. 5
1 . 5
2 . 4
1 . 2
1 0
. 5 1 5
. 7
4 . 1 5
. 0
1 5
. 8
1 0
. 2
3 3
. 2
3 . 9
0 . 6 0 . 905
10
15
20
25
30
35
40
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
Sawgrass Russell 1000 Growth
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Sawgrass Russell 1000 Growth
14
19
57.58%
33
9.60%
-17.61%18
15
54.55%
33
6.84%
-16.69%
Risk vs. Return (2 Year Annualized) Portfolio Statistics
Sawgrass
For the Periods Ending December 31, 2009
Return Histogram (2 Years) Return Analysis
2 Years
--
0.86
-0.25
Russell 1000 Growth
23.6020.48
-0.37-0.50
Sawgrass
-9.45 -8.09
--
1.00
--
--
--
79.63
88.99
98.88
97.78
Sawgrass
Russell 1000 Growth
-9.60%
-9.40%
-9.20%
-9.00%
-8.80%
-8.60%
-8.40%
-8.20%
-8.00%
20.00% 20.50% 21.00% 21.50% 22.00% 22.50% 23.00% 23.50% 24.00%
Standard Deviation
R a t e o f R e t u r n
7
0 0
2 2
0
3 3 3
0
4
7
0 0
3
1
0
3
1
2 2
5
0
1
2
3
4
5
6
7
8
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Sawgrass Russell 1000 Growth
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Sawgrass
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Ranking 57 62 83 74 62
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
5th Percentile 10.86 34.14 63.55 57.62 -4.48
25th Percentile 8.12 24.05 43.77 39.99 -6.11
50th Percentile 7.35 22.35 40.84 34.38 -8.30
75th Percentile 6.15 20.33 35.59 28.42 -11.56
95th Percentile 4.47 15.29 28.07 17.37 -15.94
Observations 421 420 407 394 371
Sawgrass
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
7 . 0
7 . 9
7 . 3
2 1 . 1
2 3 . 0
2 2 . 4
3 4 . 8
4 3 . 1
4 0 . 8
2 8 . 9
3 7 . 2
3 4 . 4
- 9 . 5
- 8 . 1
- 8 . 3
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n %
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
Sawgrass Russell 1000 Growth Median Large Growth Mgr
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Ranking 74 30
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 57.62 -32.08 24.14 15.24 16.02
25th Percentile 39.99 -35.51 19.52 10.58 12.41
50th Percentile 34.38 -38.67 14.31 7.96 8.76
75th Percentile 28.42 -42.32 11.15 4.20 5.87
95th Percentile 17.37 -48.45 5.10 -5.03 2.17
Observations 394 574 515 439 374
Sawgrass
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
2 8 . 9
3 7 . 2
3 4 . 4
- 3 6 . 4
- 3 8 . 4
- 3 8 . 7
1 1 . 8
1 4 . 3
9 . 1
8 . 0
5 . 3 8 . 8
-60
-40
-20
0
20
40
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Sawgrass Russell 1000 Growth Median Large Growth Mgr
© 2010 Asset Consulting Group All Rights Reserved 54
City of Fort Lauderdale Police and Fire Retirement System
Lee Munder Small Cap Value
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♦ ♦
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♦
♦
♦
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
23,254 18,038
Last 12 Months
-2,500 -2,500
21,985 21,985
1,231 6,447
75 349
1,156 6,098
Strategy: Small Capitalization Value
Vehicle: Separate Account
Inception Date: November 2006
Benchmark: Russell 2000 Value
Fees: 75 bps
Over a market cycle, performance in the upper third of appropriate universe (Small
Value); above median performance among style peers for shorter term periods.
Outperform the Russell 2000 Value Index over a full market cycle.
Lee Munder Small Cap ValueFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
D e c - 0 6
M a r - 0 7
J u n - 0
7
S e p - 0
7
D e c - 0 7
M a r - 0 8
J u n - 0
8
S e p - 0
8
D e c - 0 8
M a r - 0 9
J u n - 0
9
S e p - 0
9
D e c - 0 9
Lee Munder Small Cap Value Russell 2000 Value
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Lee Munder Small Cap Value
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GREAT PLAINS ENERGY INC 2.4% SWIFT ENERGY CO 1.5%
EMPLOYERS HLDGS INC 2.0% REINSURANCE GROUP AMER INC 1.5%
WATSON WYATT WORLDWIDE INC 1.8% PACWEST BANCORP DEL 1.5%
PORTLAND GEN ELEC CO 1.8% SIGNATUREBK NEW YORK NY 1.4%
COHERENT INC 1.6% ZORAN CORP 1.4%
XYRATEX LTD 40.0% PETSMART INC 23.2%
KADANT INC 31.6% LITTELFUSE INC 22.5%
COOPER COSINC 28.2% GARDNER DENVER INC 22.1%
COHERENT INC 27.5% FIRST FINL BANCORP 21.7%
KANSAS CITY SOUTHERN 25.7% ATC TECHNOLOGY CORP 20.7%
SYNOVUS FINL CORP -45.0% BEBE STORES INC -14.4%
ZIONS BANCORP -28.5% PANTRY INC -13.3%
ETHAN ALLEN INTERIORS INC -18.4% DIEBOLD INC -12.8%
EDUCATION RLTY TR INC -17.6% KENSEY NASH CORP -11.9%
MENS WEARHOUSE INC -14.4% BOSTON PRIVATE FINL HLDGS INC -11.2%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
Lee Munder Small Cap Value
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, Lee Munder Small Cap Value held 107 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
1 . 4 8
0 . 9 4
1 . 1 9
0 . 3 5 2 .
4 5
2 . 4 6
1 . 6 9
1 . 3
8
1 4 . 3
2 1 5 . 9 6
1 . 3 1
1 . 8 6
0
5
10
15
20
25
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
Lee Munder Small Cap Value Russell 2000 Value
8 . 4
7 . 8
4 . 9
2 5
. 1
4 . 9
1 9
. 8
1 5
. 9
6 . 1
0 . 0
7 . 3
1 1
. 8
2
. 8 6 . 0
3 3
. 8
4 . 7
1 6
. 7
1 0
. 5
7 . 0
0 . 5
6 . 1
05
10
15
20
25
30
35
40
45
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
Lee Munder Small Cap Value Russell 2000 Value
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly ReturnNumber of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Lee Munder Small
Cap Value Russell 2000 Value
14
24
63.16%
38
15.87%
-19.98%23
15
60.53%
38
17.10%
-19.16%
Risk vs. Return (3 Year Annualized) Portfolio Statistics
For the Periods Ending December 31, 2009
Return Histogram (3 Years) Return Analysis
3 Years
--
0.90
0.67
Russell 2000 Value
25.9823.66
-0.39-0.06
Lee Munder Small
Cap Value
0.61 -8.22
--
1.00
--
--
--
104.15
80.16
98.59
97.19
Lee Munder Small Cap
Value
Russell 2000 Value
-9.00%
-8.00%
-7.00%
-6.00%
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
23.50% 24.00% 24.50% 25.00% 25.50% 26.00% 26.50%
Standard Deviation
R a t e o f R e t u r n
8
1
2
1
2 2
34
2
6
5
10
1 1 1
2
1
6
1
4
2
7
0
2
4
6
8
10
12
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Lee Munder Small Cap Value Russell 2000 Value
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Ranking 23 44 52 18 13
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
5th Percentile 7.64 43.93 63.34 3.49 1.23
25th Percentile 6.06 32.42 47.15 -0.78 -0.95
50th Percentile 5.06 29.80 36.73 -3.34 -3.38
75th Percentile 3.29 27.32 32.36 -7.28 -7.94
95th Percentile 1.33 22.91 15.91 -10.03 -10.44
Observations 99 96 98 89 78
p
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
6 . 1
3 . 6 5
. 1
3 0 . 0
2 7 . 2 2
9 . 8
3 6 . 7
2 0 . 6
3 6 . 7
0 . 6
- 7 . 4 - 3
. 3
0 . 6
- 8 . 2 - 3
. 4
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n %
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr
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Ranking 52 12 15
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 63.34 -25.55 4.02 23.93 11.95
25th Percentile 47.15 -28.90 -0.66 21.74 10.25
50th Percentile 36.73 -30.66 -6.10 19.14 8.40
75th Percentile 32.36 -35.01 -11.21 16.74 4.54
95th Percentile 15.91 -41.90 -16.11 13.46 1.69
Observations 98 142 128 112 88
Lee Munder Small Cap Value
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
3 6 . 7
2 0 . 6
3 6 . 7
- 2 6 . 0
- 2 8 . 9
- 3 0 . 7
0 . 7
- 9 . 8 - 6
. 1
2 3 . 5
1 9 . 1
4 . 7 8
. 4
-50
-40
-30
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr
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City of Fort Lauderdale Police and Fire Retirement System
NorthPointe Small Cap Growth
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♦ ♦
♦
♦
♦
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
23,573 16,834
Last 12 Months
-2,432 -2,432
21,106 21,106
-35 6,704
16 84
-51 6,620
Strategy: Small Capitalization Growth
Vehicle: Separate Account
Inception Date: November 2006
Benchmark: Russell 2000 Growth
Fees: 43 bps plus performance fee
Over a market cycle, performance in the upper third of appropriate universe (Small
Growth); above median performance among style peers for shorter term periods.
Outperform the Russell 2000 Growth Index over a full market cycle.
pFor the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
D e c - 0 6
M a r - 0 7
J u n - 0
7
S e p - 0
7
D e c - 0 7
M a r - 0 8
J u n - 0
8
S e p - 0
8
D e c - 0 8
M a r - 0 9
J u n - 0
9
S e p - 0
9
D e c - 0 9
NorthPointe Small Cap Growth Russell 2000 Growth
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NorthPointe Small Cap Growth
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BRUKER CORP 2.1% COMTECH TELECOMMUNICATIONS 2.0%
RADIANT SYS INC 2.1% AECOM TECHNOLOGY CORP 2.0%
DECKERS OUTDOOR CORP 2.0% WEB COM GROUP INC 2.0%
TTM TECHNOLOGIES 2.0% MERGE HEALTHCARE INC 1.9%
HEALTH MGMT ASSOC 2.0% ATLAS AIRWORLDWIDE HLDGS INC 1.9%
BPZ ENERGYINC 26.3% INTERDIGITAL INC PA 14.6%
CIRRUS LOGIC INC 22.7% TETRA TECHNOLOGIES INC DEL 14.4%
HUB GROUPINC 17.4% BRUKER CORP 13.0%
ATLAS AIRWORLDWIDE HLDGS INC 16.5% TELEFLEX INC 12.3%
JDA SOFTWARE GROUP INC 16.1% MERIT MEDSYS INC 11.3%
BROADPOINTGLEACHER SECURITY -46.5% ERESEARCHTECHNOLOGY INC -14.1%
CLARIENT INC -37.1% CENTRAL EUROPEAN DISTR CORP -13.3%
SMITH MICRO SOFTWARE INC -26.1% GMX RES INC -12.5%
CRYOLIFE INC -19.5% HILL INTLINC -12.1%
MERGE HEALTHCARE INC -18.3% HORIZON LINES INC -10.5%
Ten Worst Performers (Quarter)
Characteristics
Sector Allocation
p
Ten Largest Holdings (Weight)
Ten Best Performers (Quarter)
As of December 31, 2009, NorthPointe Small Cap Growth held 69 securities in theirportfolio. Holdings and portfolio characteristics are as follows:
0 . 8 8
1 . 1 0
0 . 5
4
0 . 4 3
1 0 . 0 5
2 . 7 0
2 . 4 0 3 . 7 6
1 7 . 9 4 2
0 . 1 0
0 . 2 1
0 . 5 3
0
5
10
15
20
25
Avg Mkt
Cap ($Bil)
Med Mkt
Cap ($Bil)
Erngs Grth P/B P/E Yield
NorthPointe Small Cap Growth Russell 2000 Growth
1 0
. 6
3 . 1 6
. 9
1 . 9
2 8
. 7
1 4
. 1
3 4
. 8
0 . 0 0 . 0 0 . 0
1 6
. 0
4 . 1
4 . 3 5
. 8
2 3
. 6
1 4
. 6
2 7
. 4
2
. 5
1 . 5
0 . 2
05
101520253035404550
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
NorthPointe Small Cap Growth Russell 2000 Growth
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NorthPointe Small Cap Growth
For the Periods Ending December 31 2009
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Return
Standard Deviation
Sharpe Ratio
Beta
Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
NorthPointe Small
Cap Growth Russell 2000 Growth
16
22
57.89%
38
15.05%
-21.70%23
15
60.53%
38
17.91%
-25.96%
Risk vs. Return (3 Year Annualized) Portfolio Statistics
For the Periods Ending December 31, 2009
Return Histogram (3 Years) Return Analysis
3 Years
--
1.16
-0.51
Russell 2000 Growth
25.2029.90
-0.24-0.44
NorthPointe Small
Cap Growth
-11.13 -4.00
--
1.00
--
--
--
104.73
123.12
97.86
95.76
NorthPointe Small
Cap Growth
Russell 2000 Growth
-12.00%
-10.00%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
24.00% 25.00% 26.00% 27.00% 28.00% 29.00% 30.00% 31.00%
Standard Deviation
R a
t e o f R e t u r n
12
0 01
23
4
21
3
8
10
10 0
3 3
1
5
32
8
0
2
4
6
8
10
12
14
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
NorthPointe Small Cap Growth Russell 2000 Growth
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Ranking 96 66 30 96 98
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
5th Percentile 8.69 30.50 50.64 -0.68 2.59
25th Percentile 6.61 25.11 42.22 -5.46 0.29
50th Percentile 5.15 22.40 36.03 -7.59 -2.13
75th Percentile 3.98 19.77 30.00 -12.63 -4.67
95th Percentile 0.92 15.73 22.87 -16.94 -9.67
Observations 336 333 308 274 229
For the Periods Ending December 31, 2009
The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
0 . 9 4
. 1 5 . 2
2 0 . 6
2 0 . 8
2 2 . 4
4 1 . 3
3 4 . 5
3 6 . 0
- 1 7 . 7
- 9 . 1
- 7 . 6
- 1 1 . 1
- 4 . 0
- 2 . 1
-30
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n %
1 Quarter 2 Quarters 1 Year 2 Years 3 Years
NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr
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Ranking 30 96 74
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 50.64 -26.71 25.14 20.68 17.61
25th Percentile 42.22 -34.62 14.54 15.80 12.1850th Percentile 36.03 -39.17 9.72 13.03 8.08
75th Percentile 30.00 -43.44 3.45 9.47 5.98
95th Percentile 22.87 -50.33 -1.97 4.40 2.64
Observations 308 426 372 331 273
No thPointe S all Cap G owth
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
4 1 . 3
3 4 . 5
3 6 . 0
- 5 2 . 1
- 3 8 . 5
- 3 9 . 2
3 . 7 7
. 1 9 . 7 1
3 . 4
1 3 . 0
4 . 2 8
. 1
-75
-55
-35
-15
5
25
45
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr
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Long/Short Equity Manager Performance and Analysis
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K2 Long Short Master Fund, LPF th P i d E di D b 31 2009
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♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
33,282 30,702
Last 12 Months
8,000 8,000
41,721 41,721
439 3,018
0 0
439 3,018
Strategy: Equity Long/Short Hedge Fund of Funds
Vehicle: Commingled Fund
Benchmark: S&P 500
Inception Date: April 30, 2008
Fees: 100 bps flat fee
Absolute return target of 10% - 15% with lower volatility than the S&P 500.
Outperform the S&P 500 Index over a full market cycle.
For the Period Ending December 31, 2009
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
A p r - 0 8
J u n - 0
8
A u g - 0 8
O c t - 0 8
D e c - 0 8
F e b - 0
9
A p r - 0 9
J u n - 0
9
A u g - 0 9
O c t - 0 9
D e c - 0 9
K2 Long Short Master Fund, LPS&P 500HFRI Equity Hedge
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K2 Long Short Master Fund, LPFor the Period Ending December 31, 2009
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% of Gross
Long Short Gross Net Exposure
Total Portfolio 80.0% 49.8% 129.8% 30.2% 100.0%
Region
North America 67.7% 42.6% 110.3% 25.1% 85.0%
Western Europe 6.9% 5.2% 12.1% 1.7% 9.4%
Japan 1.0% 0.5% 1.5% 0.5% 1.2% Asia Pacific - Emerging 2.4% 1.1% 3.5% 1.3% 2.7%
Latin America 0.7% 0.2% 0.9% 0.5% 0.7%
Other Emerging 1.2% 0.2% 1.4% 1.0% 1.1%
Total 80.0% 49.8% 129.8% 30.2% 100.0%
Sector .
Basic Materials 4.0% 2.5% 6.5% 1.5% 5.0%
Communications 1.0% 1.0% 2.0% 0.0% 1.5%
Consumer, Cyclical 11.1% 8.5% 19.6% 2.6% 15.1%Consumer, Non-cyclical 7.4% 2.3% 9.7% 5.1% 7.5%
Derivatives 0.0% 0.0% 0.0% 0.0% 0.0%
Diversified 0.0% 0.0% 0.0% 0.0% 0.0%
Energy 3.9% 2.3% 6.2% 1.6% 4.8% Gross Long Exposure: 80.0%
Equity 0.8% 4.0% 4.8% -3.2% 3.7% Gross Short Exposure: 49.8%
Financial 12.6% 9.9% 22.5% 2.7% 17.3% Gross Exposure: 129.8%
Fixed Income 0.0% 0.0% 0.0% 0.0% 0.0% Net Exposure: 30.1%
Funds 0.0% 0.1% 0.1% -0.1% 0.1%
Government 0.1% 0.0% 0.1% 0.1% 0.1%
Industrial 7.0% 7.0% 14.0% 0.0% 10.8%
Private Placement 0.0% 0.0% 0.0% 0.0% 0.0%
Information Technology 22.1% 8.3% 30.4% 13.8% 23.4%
Utilities 1.3% 0.1% 1.4% 1.2% 1.1%
Not Classified 0.0% 0.0% 0.0% 0.0% 0.0%
Other 8.7% 3.8% 12.5% 4.9% 9.6%
Total 80.0% 49.8% 129.8% 30.2% 100.0% All characteristic data provided by manager are as of 11/30/09.
Net & Gross Exposures at November 30, 2009
Long/Short Equity Exposure Historical Net & Gross Exposure
0%
20%
40%
60%
80%
100%
120%
140%
160%
180%
A u g - 0 8
S e p - 0 8
O c t - 0 8
N o v - 0 8
D e c - 0 8
J a n - 0 9
F e b - 0 9
M a r - 0 9
A p r - 0 9
M a y - 0 9
J u n - 0 9
J u l - 0 9
A u g - 0 9
S e p - 0 9
O c t - 0 9
N o v - 0 9
Net ExposureGross ExposureGross LongsGross Shorts
Historical Average
Gross Exposure 135.72%
Net Exposure 42.48%
© 2010 Asset Consulting Group All Rights Reserved
67
City of Fort Lauderdale Police and Fire Retirement System
K2 Long Short Master Fund, LP
For the Periods Ending December 31, 2009
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Return
Standard Deviation
Sharpe Ratio
Beta Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
K2 Long Short
Master Fund, LP S&P 500
10
10
50.00%
20
9.57%
-16.80%
12
8
60.00%
20
2.47%
-6.12%
Risk vs. Return (1 Year Annualized) Portfolio Statistics
Return Histogram (1 Year) Return Analysis
1 Year
--
0.040.68
S&P 500
22.283.16
1.183.02
K2 Long Short
Master Fund, LP
9.65 26.45
--
1.00--
--
--
18.91
-1.96
29.73
8.84
K2 Long Short MasterFund, LP
S&P 500HFRI Equity Hedge
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
Standard Deviation
R a t e o f R e t u r n
0 0 0 0
3 3
5
1
0 0 0
2
0 0
1
0
1 1
0
2
0
5
0 0
1
0
2
1
2 2 2
0
2
0
1
2
3
4
5
6
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge
© 2010 Asset Consulting Group All Rights Reserved 68
City of Fort Lauderdale Police and Fire Retirement System
K2 Long Short Master Fund, LP
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For the Periods Ending December 31, 2009
1 . 2
6 . 0
3 . 4
5 . 6
2 2 . 6
1 1 . 6
8 . 5
4 2 . 1
2 5 . 4
9 . 7
2 6 . 5
2 5 . 1
0
5
10
15
20
25
30
35
40
45
R a t e o f
R e t u r n %
1 Quarter 2 Quarters 3 Quarters 1 Year
K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge
© 2010 Asset Consulting Group All Rights Reserved 69
City of Fort Lauderdale Police and Fire Retirement System
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International Manager Performance and Analysis
© 2010 Asset Consulting Group All Rights Reserved 70
City of Fort Lauderdale Police and Fire Retirement System
Artio International Equity II GTFor the Period Ending December 31, 2009
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♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market ValueNet Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
10,800 8,984
Last 12 Months
15,544 15,544
26,873 26,873
529 2,345
0 0
529 2,345
Strategy: International Equity
Vehicle: Group Trust
Inception Date: November 1, 2007
Benchmark: MSCI ACWI (ex-US) / MSCI EAFE
Fees: 85 bps on the first $20 million, 65 bps on the next $20 million, 55 bps
on the next 60 million, & 45 bps thereafter
Over a market cycle, performance in the upper third of appropriate universe
(International Developed Markets Equity).
Over a market cycle, outperform the MSCI EAFE and MSCI ACWI (ex-US)
Indexes.
g ,
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
O c t - 0 7
D e c - 0 7
F e b - 0
8
A p r - 0 8
J u n - 0
8
A u g - 0 8
O c t - 0 8
D e c - 0 8
F e b - 0
9
A p r - 0 9
J u n - 0
9
A u g - 0 9
O c t - 0 9
D e c - 0 9
Artio International Equity II GTMSCI All Country World Free ex US GrossMSCI EAFE
© 2010 Asset Consulting Group All Rights Reserved 71
City of Fort Lauderdale Police and Fire Retirement System
RIO TINTO LTD 1 8% FRAPORT AG 1 1%
Characteristics
Artio International Equity II GT
Ten Largest Holdings (Weight)
As of December 31, 2009, the Artio International Equity II GT Fund held 425 securities in their
portfolio. Holdings and portfolio characteristics are as follows:
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RIO TINTO LTD 1.8% FRAPORT AG 1.1%
RIO TINTO PLC 1.3% NESTLE S.A. 1.1%
KOMERCNI BANKA A.S. 1.3% TOTAL S.A. 1.1%
HABC HOLDINGS PLC 1.2% VODAFONE GROUP PLC 1.0%
BANCO SANTANDER S.A. 1.2% ROYAL DUTCH SHELL 1.0%
MSCI Emerging Markets MSCI
Portfolio ACWI ex US Portfolio ACWI ex US
Australia 6.0% 8.4% 5.9% Argentina 0.0% 0.0%
Austria 1.1% 0.3% 0.2% Brazil 2.4% 3.8%
Belgium 0.5% 1.0% 0.7% Chile 0.0% 0.3%
Bermuda 0.0% 0.0% 0.0% China 5.7% 4.0%
Canada 5.2% 0.0% 7.3% Colombia 0.0% 0.1%
Cayman Islands 0.0% 0.0% 0.0% Cyprus 0.0% 0.0%
Denmark 0.6% 0.9% 0.6% Czech Republic 1.3% 0.1%
Finland 0.4% 1.1% 0.8% Egypt 0.0% 0.1%
France 9.3% 11.1% 7.8% Hungary 0.6% 0.1%
Germany 6.9% 8.1% 5.7% India 2.1% 1.7%
Greece 0.1% 0.5% 0.4% Indonesia 0.3% 0.4%
Hong Kong 0.3% 2.3% 1.7% Israel 0.0% 0.6%
Ireland 0.4% 0.3% 0.2% Jordan 0.0% 0.0%
Italy 2.6% 3.5% 2.4% Korea 3.2% 2.9%
Japan 10.0% 20.7% 14.6% Malaysia 0.0% 0.6%
Luxembourg 0.0% 0.0% 0.0% Mexico 1.4% 1.0%
Netherlands 3.8% 2.7% 1.9% Morocco 0.0% 0.0%
New Zealand 0.0% 0.1% 0.1% Pakistan 0.0% 0.0%
Norway 1.5% 0.8% 0.6% Peru 0.0% 0.1%
Portugal 0.1% 0.3% 0.2% Philippines 0.0% 0.1%
Singapore 0.0% 1.5% 1.0% Poland 0.9% 0.3%
Spain 2.3% 4.6% 3.2% Romania 0.0% 0.0%
Sweden 1.1% 2.5% 1.8% Russia 4.4% 1.4%
Switzerland 5.6% 7.7% 5.4% South Africa 0.2% 1.6%
United Kingdom 13.9% 21.6% 15.2% Taiwan 2.9% 2.5%
United States 0.6% 0.0% 0.0% Thailand 0.0% 0.3%
Cash 2.1% 0.0% 0.0% Turkey 0.0% 0.3%
Total 74.7% 100.0% 77.6% Ukraine 0.1% 0.0%
Characteristic data provided by manager. Total 25.3% 22.4%
Sector Allocation
Country Allocation Developed Markets MSCI
EAFE
6 3 . 0
0
4 7 . 2
0
3 9
. 3 0
1 . 6
9 1 . 6
2 1
. 7 3
1 8 . 5
9
1 6 . 4
6
1 6
. 8 2
2 . 7
8
2 . 9
5
2 . 7
0
0
10
20
30
40
50
60
70
Avg Mkt Cap ($Bil) P/B Current P/E Ratio Dividend Yield
Artio International Equity II GT MSCI EAFE MSCI ACWI ex US
9 . 7 1
0 . 1
8 . 4
2 5
. 5
8 . 4
1 1 . 2
4 . 8
1 0
. 4
5 . 8
5 . 9
0 . 0
6 . 7
1 2 . 0
0 . 0
2 . 1
1 . 8
5 . 4
1 6 . 2
4 . 8
1 1 . 1
4 . 9
2 7 . 8
1 0 . 8
7 . 0 8
. 0 8 . 4
8 . 6
1 1 . 2
2 5 . 8
6 . 4
9 . 8
6 . 2
5 . 0
0
5
10
15
20
25
30
35
C o n s u m e r D i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n
e r g y
F i n
a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
C a s h
Artio International Equi ty II GT MSCI EAFE MSCI ACWI ex US
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City of Fort Lauderdale Police and Fire Retirement System
Artio International Equity II GT
For the Periods Ending December 31, 2009
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Return
Standard Deviation
Sharpe Ratio
Beta Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. Months
Number of Neg. Months
% Positive Months
All information calculated using monthly data.
Artio International
Equity II GT
MSCI All Country
World Free ex US
Gross
14
12
46.15%
26
13.75%
-22.01%
12
14
46.15%
26
11.40%
-18.09%
Risk vs. Return (2 Year Annualized) Portfolio Statistics
Return Histogram (2 Years) Return Analysis
2 Years
--
0.88-0.46
MSCI All Country
World Free ex US
Gross
30.4027.19
-0.41-0.58
Artio International
Equity II GT
-14.98 -11.78
--
1.00--
--
--
86.46
98.87
98.63
97.29
Artio International
Equity II GT
MSCI All Country
World Free ex US
Gross
MSCI EAFE
-16.00%
-14.00%
-12.00%
-10.00%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
27.00% 27.50% 28.00% 28.50% 29.00% 29.50% 30.00% 30.50% 31.00%
Standard Deviation
R
a t e o f R e t u r n
9
2
0
1
0 0
2 2
0
3
5
8
1 1
2
0 0
1
3
1
0
77
1
0
1
2
0
3
1 1
0
7
0
1
2
34
5
6
7
8
9
10
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Artio International Equity II GT MSCI All Country World Free ex US Gross MSCI EAFE
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City of Fort Lauderdale Police and Fire Retirement System
For the Periods Ending December 31, 2009
Artio International Equity II GT
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Ranking 42 55 86 80
1 Quarter 2 Quarters 1 Year 2 Years
5th Percentile 6.31 28.61 50.42 -3.26
25th Percentile 3.97 24.52 39.89 -9.62
50th Percentile 2.65 22.70 33.37 -11.9275th Percentile 1.61 21.37 25.76 -13.94
95th Percentile -0.38 16.50 21.47 -18.15
Observations 1168 1130 1106 1003
The numbers above the bars are the rankings for this portfolio versus the international developed markets equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
3 . 0
3 . 8
2 . 2
2 . 7
2 2 . 5
2 4 . 3
2 2 . 2
2 2 . 7
2 3 . 9
4 2 . 2
3 2 . 5
3 3 . 4
- 1 5 . 0
- 1 1 . 8
- 1 3 . 2
- 1 1 . 9
-30
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n
%
1 Quarter 2 Quarters 1 Year 2 Years
Artio International Equity II GT MSCI All Country World Free Ex US MSCI EAFE Median Intl Dev Mkt Eqty Mgr
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City of Fort Lauderdale Police and Fire Retirement System
Artio International Equity II GT
One Year Periods Ending December
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Ranking 86 41
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 50.42 -24.64 21.87 33.79 24.96
25th Percentile 39.89 -38.75 18.08 29.42 19.3850th Percentile 33.37 -42.42 12.43 26.45 15.54
75th Percentile 25.76 -45.87 9.49 23.51 12.76
95th Percentile 21.47 -51.64 4.09 18.82 8.25
Observations 1106 1684 1998 2144 2001
One Year Periods Ending December
The numbers above the bars are the rankings for this portfolio versus the international developed markets equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
2 3 . 9
4 2 . 2
3 2 . 5
3 3 . 4
- 4 1 . 6
- 4 5 . 2
- 4 3 . 1
- 4 2 . 4
1 7 . 1
1 1 . 6
1 2 . 4
2 7 . 2
2 6 . 9
2 6 . 5
1 7 . 1
1 4 . 0
1 5 . 5
-70
-50
-30
-10
10
30
50
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Artio International Equity II GT MSCI All Country World Free Ex US MSCI EAFE Median Intl Dev Mkt Eqty Mgr
© 2010 Asset Consulting Group All Rights Reserved 75
City of Fort Lauderdale Police and Fire Retirement System
Thornburg International Equity FundFor the Period Ending December 31, 2009
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♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
11,191 6,191
Last 12 Months
15,988 18,488
27,799 27,799
619 3,119
0 40
619 3,079
Strategy: International Equity
Vehicle: Commingled Fund
Inception Date: November 1, 2007
Benchmark: MSCI EAFE, MSCI ACWI (ex-US)
Fees: 80 bps for the first $10 million, 75 bps for the next $15 million, 70 bps
for the next $75 million and 60 bps for the remaining balance
Over a market cycle, performance in the upper third of appropriate universe
(International Developed Markets Equity).
Over a market cycle, outperform the MSCI EAFE and MSCI ACWI (ex-US)
Indexes.
Account Description Performance Goals
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
O c t - 0 7
D e c - 0 7
F e b - 0
8
A p r - 0 8
J u n - 0
8
A u g - 0 8
O c t - 0 8
D e c - 0 8
F e b - 0
9
A p r - 0 9
J u n - 0
9
A u g - 0 9
O c t - 0 9
D e c - 0 9
Thornburg International Equity FundMSCI All Country World Free ex US GrossMSCI EAFE
© 2010 Asset Consulting Group All Rights Reserved 76
City of Fort Lauderdale Police and Fire Retirement System
TEVA PHARMACEUTICAL 2.9% TOYOTA MOTOR CORP 2.3%
Thornburg International Equity Fund
Ten Largest Holdings (Weight)
As of December 31, 2009, the Thornburg International Equity Fund (Q.P.) LLC held 67 securities in their portfolio. Holdings and portfolio characteristics are as follows:
Characteristics
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KOMATSU 2.5% HONG KONG EXCHANGE 2.2%
INDUST. & COMM. BANK OF CHINA 2.4% SAP AG 2.2%
LVMH MOET HENNESSY LOUIS VUITTON 2.4% RECKITT BENCKISER GROUP 2.2%
NESTLE SA 2.3% BHP BILLITON 2.2%
Emerging Markets
Portfolio Portfolio
Australia 2.2% 5.9% 8.4% Argentina 0.0% 0.0%
Austria 0.0% 0.2% 0.3% Bermuda 0.0% 0.0%
Belgium 0.0% 0.7% 1.0% Brazil 4.6% 3.8%
Canada 6.4% 7.3% 0.0% Chile 0.0% 0.3%
Denmark 3.6% 0.6% 0.9% China 7.7% 4.0%
Finland 0.0% 0.8% 1.1% Colombia 0.0% 0.1%
France 9.3% 7.8% 11.1% Czech Republic 0.0% 0.1%
Germany 6.6% 5.7% 8.1% Egypt 0.0% 0.1%
Greece 1.8% 0.4% 0.5% Hungary 0.0% 0.1%
Hong Kong 2.3% 1.7% 2.3% India 0.0% 1.7%
Ireland 1.0% 0.2% 0.3% Indonesia 0.0% 0.4%
Italy 1.2% 2.4% 3.5% Israel 2.9% 0.6%
Japan 8.5% 14.6% 20.7% Jordan 0.0% 0.0%Luxembourg 0.0% 0.0% 0.0% Malaysia 0.0% 0.6%
Netherlands 2.4% 1.9% 2.7% Mexico 4.2% 1.0%
New Zealand 0.0% 0.1% 0.1% Morocco 0.0% 0.0%
Norway 0.0% 0.6% 0.8% Peru 0.0% 0.1%
Portugal 0.0% 0.2% 0.3% Philippines 0.0% 0.1%
Singapore 0.0% 1.0% 1.5% Poland 0.0% 0.3%
Spain 1.9% 3.2% 4.6% Russia 0.0% 1.4%
Sweden 1.9% 1.8% 2.5% South Africa 0.0% 1.6%
Switzerland 8.0% 5.4% 7.7% South Korea 0.8% 2.9%
United Kingdom 20.4% 15.2% 21.6% Taiwan 0.5% 2.5%
Cash 1.0% 0.0% 0.0% Thailand 0.0% 0.3%
Other 0.0% 0.0% 0.0% Turkey 1.0% 0.3%
Total 78.3% 77.6% 100.0% Total 21.7% 22.4%
Characteristic data provided by manager.
Sector Allocation
Country Allocation
Developed Markets
MSCI ACWI Ex-US MSCI ACWI Ex-US
MSCI
EAFE
5 3 . 8
1
3 9 . 3
0 4 7 . 2
0
1 9 . 4
5
1 6 . 8
2
1 6 . 4
6
2 . 3
0
1 . 7
3
1 . 6
2
2 . 7
0
2 . 7
0
2 . 9
5
0
10
20
30
40
50
60
70
Avg Mkt Cap ($Bil) Current P/E P/B Yield
Thornburg International Equity Fund MSCI All Country World Free Ex-US MSCI EAFE
8 . 4
8 . 6
1 1 . 2
2 5 . 8
6 . 4
9 . 8
6 . 7
1 2 . 0
6 . 2
5 . 0
9 . 7
1 0 . 1
8 . 4
2 5 . 5
8 . 4
1 1 . 2
4 . 8
1 0 . 4
5 . 8
5 . 9
1 . 0
5 . 8
7 . 8
7 . 6
7 . 9
1 3 . 5
2 1 . 4
8 . 3
1 2 . 4
1 3 . 4
0
5
10
15
20
25
30
C o n s u m e r D
i s c r e t i o n a r y
C o n s u m e r S t a p l e s
E n e r g y
F i n a n c i a l s
H e a l t h C a r e
I n d u s t r i a l s
I n f o r m a t i o n T e c h n o l o g y
M a t e r i a l s
T e l e c o m m u n i c a t i o n S e r v i c e s
U t i l i t i e s
Thornburg International Equity Fund MSCI All Country World Free Ex-US MSCI EAFE
© 2010 Asset Consulting Group All Rights Reserved 77
City of Fort Lauderdale Police and Fire Retirement System
Risk vs Return (2 Year Annualized) Portfolio Statistics
Thornburg International Equity Fund
For the Periods Ending December 31, 2009
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Return
Standard Deviation
Sharpe Ratio
Beta Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. MonthsNumber of Neg. Months
% Positive Months
All information calculated using monthly data.
Thornburg
International
Equity Fund
MSCI All Country
World Free ex US
Gross
1412
46.15%
26
13.75%
-22.01%
12
14
46.15%
26
11.99%
-18.25%
Risk vs. Return (2 Year Annualized) Portfolio Statistics
Return Histogram (2 Years) Return Analysis
2 Years
--
0.83-0.25
MSCI All Country
World Free ex US
Gross
30.4025.59
-0.41-0.50
Thornburg
International
Equity Fund
-12.04 -11.78
--
1.00--
--
--
76.69
84.36
99.12
98.25
Thornburg
International Equity
Fund
MSCI All Country
World Free ex US
Gross
MSCI EAFE
-13.40%
-13.20%
-13.00%
-12.80%
-12.60%
-12.40%
-12.20%
-12.00%
-11.80%
-11.60%
25.00% 26.00% 27.00% 28.00% 29.00% 30.00% 31.00%
Standard Deviation
R
a t e o f R e t u r n
8
0
1 1
2
1
3
1 1 1
5
8
1 1
2
0 0
1
3
1
0
77
1
0
1
2
0
3
1 1
0
7
0
1
2
3
4
5
6
7
8
9
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Thornburg International Equity Fund MSCI All Country World Free ex US GrossMSCI EAFE
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City of Fort Lauderdale Police and Fire Retirement System
For the Periods Ending December 31, 2009
Thornburg International Equity Fund
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Ranking 29 82 50 52
1 Quarter 2 Quarters 1 Year 2 Years
5th Percentile 6.31 28.61 50.42 -3.26
25th Percentile 3.97 24.52 39.89 -9.62
50th Percentile 2.65 22.70 33.37 -11.9275th Percentile 1.61 21.37 25.76 -13.94
95th Percentile -0.38 16.50 21.47 -18.15
Observations 1168 1130 1106 1003
The numbers above the bars are the rankings for this portfolio versus the international developed markets equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
3 . 7
3 . 8
2 . 2
2 . 7
2 0 . 1 2
4 . 3
2 2 . 2
2 2 . 7
3 3 . 5
4 2 . 2
3 2 . 5
3 3 . 4
- 1 2 . 0
- 1 1 . 8
- 1 3 . 2
- 1 1 . 9
-30
-20
-10
0
10
20
30
40
50
R a t e o f R e t u r n
%
1 Quarter 2 Quarters 1 Year 2 Years
Thornburg International Equity Fund MSCI All Country World Free Ex US MSCI EAFE Median Intl Dev Mkt Eqty Mgr
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City of Fort Lauderdale Police and Fire Retirement System
Thornburg International Equity Fund
One Year Periods Ending December
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Ranking 50 45
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 50.42 -24.64 21.87 33.79 24.96
25th Percentile 39.89 -38.75 18.08 29.42 19.3850th Percentile 33.37 -42.42 12.43 26.45 15.54
75th Percentile 25.76 -45.87 9.49 23.51 12.76
95th Percentile 21.47 -51.64 4.09 18.82 8.25
Observations 1106 1684 1998 2144 2001
g
The numbers above the bars are the rankings for this portfolio versus the international developed markets equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.
3 3 . 5 4
2 . 2
3 2 . 5
3 3 . 4
- 4 2 . 0
- 4 5 . 2
- 4 3 . 1
- 4 2 . 4
1 7 . 1
1 1 . 6
1 2 . 4
2 7 . 2
2 6 . 9
2 6 . 5
1 7 . 1
1 4 . 0
1 5 . 5
-70
-50
-30
-10
10
30
50
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Thornburg International Equity Fund MSCI All Country World Free Ex US MSCI EAFE Median Intl Dev Mkt Eqty Mgr
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City of Fort Lauderdale Police and Fire Retirement System
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Fixed Income Manager Performance and Analysis
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City of Fort Lauderdale Police and Fire Retirement System
AgincourtFor the Period Ending December 31, 2009
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♦ ♦
♦ ♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
66,544 61,497
Last 12 Months
0 -2,500
67,261 67,261
717 8,264
920 3,353
-203 4,911
Strategy: Core Bonds
Vehicle: Separate Account
Inception date: January 1990
Benchmark: Citigroup Broad Investment Grade
Fees: 25 bps for the first $25 million, 20 bps on the next $75 million, 15bps
on the next $100 million, & 10 bps thereafter
Over a market cycle, performance at least equal to the Citigroup Broad Investment
Grade Index.
Over a market cycle, "real" return of 2.5% over a cumulative five year period.
Account Description Performance Goals
$0.00
$0.50
$1.00
$1.50
$2.00
$2.50
$3.00
D e c - 9 5
D e c - 9 6
D e c - 9 7
D e c - 9 8
D e c - 9 9
D e c - 0 0
D e c - 0 1
D e c - 0 2
D e c - 0 3
D e c - 0 4
D e c - 0 5
D e c - 0 6
D e c - 0 7
D e c - 0 8
D e c - 0 9
AgincourtBarclays Capital AggregateCitigroup Broad Investment Grade
© 2010 Asset Consulting Group All Rights Reserved 82
City of Fort Lauderdale Police and Fire Retirement System
As of December 31, 2009, Agincourt held 201 securities in their portfolio. Holdings and portfolio characteristics are as follows:
Agincourt
Sector Allocation Characteristics
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Duration Quality
6 . 0 9
7 . 3 5
7 . 4 5
5 . 0 8
4 . 3 9
4 . 4 4
2 1 . 5 2
2 3 . 0 9
2 3 . 0 7
4 . 8
4
5 . 1 8
5 . 2 3
4 . 4 7
3 . 3 9
3 . 2 7
0
5
10
15
20
25
30
35
Avg Maturity
(yrs)
Avg Cpn (%) Avg Quality Duration (yrs) YTM (%)
Agincourt Barclays Capital Aggregate Citigroup Broad Investment Grade
5 . 1 %
1 5 . 0 %
4 3 . 3 %
3 7 . 6 %
2 0 . 4 %
2 5 . 8 %
2 1 . 3 %
1 0 . 6 %
1 . 9
% 3 . 2 %
6 . 8 %
2 . 5 %
1 . 2 %
5 . 5 %
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
0-2 Year 2-4 Years 4-6 Years 6-8 Years 8-10 Years 10-12 Years 12+ Years
Agincourt Barclays Capital Aggregate
9 . 1 %
2 7 . 7 %
7 . 5 %
9 . 0 %
3 8 . 8 %
1 6 . 7 %
3 . 8
%
2 . 2 %
3 3 . 0 %
3 6 . 8 %
7 . 7 %
3 . 2
%
0 . 0 %
0 . 4 %
0 . 0 % 4
. 3 %
0.0%
20.0%
40.0%
60.0%
T r e a s u r i e s
A g e n c i e s
C o r p o r a t e s
U t i l i t y
M o r t g a g e s
C M B S
A B S
F o r e i g n
Agincourt Barclays Capital Aggregate
4 5 . 6 %
7 3 . 3 %
8 . 2 %
4 . 8 %
6 . 6 %
4 . 1 %
1 9 . 2 %
9 . 7
% 1 9 . 2 %
8 . 2
%
0 . 2 %
0 . 0 %
0 . 9 %
0 . 0
%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
GOVT AAA AA A BAA BA B
Agincourt Barclays Capital Aggregate
© 2010 Asset Consulting Group All Rights Reserved 83
City of Fort Lauderdale Police and Fire Retirement System
Risk vs. Return (10 Year Annualized) Portfolio Statistics
Agincourt
For the Periods Ending December 31, 2009
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Return
Standard Deviation
Sharpe Ratio
Beta Alpha
Up Capture
Down Capture
Correlation
R Square
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. MonthsNumber of Neg. Months
% Positive Months
All information calculated using monthly data.
Agincourt
Barclays Capital
Aggregate
43126
74.56%
169
3.73%
-3.36%
11554
68.05%
169
4.04%
-3.86%
Return Histogram (10 Years) Return Analysis
10 Years
--
0.970.03
Barclays Capital
Aggregate
3.833.97
0.960.98
Agincourt
6.52 6.33
--
1.00--
--
--
101.73
99.03
93.18
86.83
Agincourt
Barclays Capital
Aggregate
Citigroup Broad
Investment Grade
6.30%
6.35%
6.40%
6.45%
6.50%
6.55%
3.82% 3.84% 3.86% 3.88% 3.90% 3.92% 3.94% 3.96% 3.98%
Standard Deviation
R
a t e o f R e t u r n
0 13
5
25
44
34
7
1 0 00 1 25
29
44
32
52
0 00 1 1
6
29
43
32
5
1 1 00
5
10
15
20
25
30
35
40
45
50
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Agincourt Barclays Capital Aggregate Citigroup Broad Investment Grade
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City of Fort Lauderdale Police and Fire Retirement System
Agincourt
For the Periods Ending December 31, 2009
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Ranking 41 37 62 72 68 57
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
5th Percentile 3.08 21.40 8.77 8.94 6.87 7.70
25th Percentile 1.68 15.00 7.38 7.32 5.87 7.18
50th Percentile 0.87 11.28 6.39 6.65 5.38 6.6175th Percentile 0.34 8.09 5.32 5.84 4.94 6.28
95th Percentile -0.37 1.59 2.95 3.43 3.69 5.49
Observations 250 244 232 227 200 100
The numbers above the bars are the rankings for this portfolio versus the core bond universe. The rankings are on a scale of 1 to 100 with 1 being the best.
1 . 1
0 . 2
0 . 0
0 . 9
1 3 . 9
5 . 9
5 . 1
1 1 . 3
5 . 8
5 . 6 6
. 0 6 . 4
6 . 0
6 . 0 6
. 4 6 . 7
5 . 1
5 . 0 5
. 2 5 . 4
6 . 5
6 . 3 6
. 5 6 . 6
0
2
4
6
8
10
12
14
R a t e o f R e t u r n %
1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years
Agincourt Barclays Capital Aggregate Citigroup Broad Investment Grade Median Core Bond Mgr
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Agincourt
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Ranking 37 78 71 42 61
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 21.40 9.96 10.94 6.71 3.76
25th Percentile 15.00 5.27 8.00 5.18 3.14
50th Percentile 11.28 1.81 7.01 4.62 2.72
75th Percentile 8.09 -1.44 6.20 4.32 2.36
95th Percentile 1.59 -11.06 3.91 3.91 1.71
Observations 244 244 238 222 209
The numbers above the bars are the rankings for this portfolio versus the core bond universe. The rankings are on a scale of 1 to 100 with 1 being the best.
1 3 . 9
5 . 9
5 . 1
1 1 . 3
- 1 . 7
5 . 2
7
. 0
1 . 8
6 . 5 7
. 0 7 . 2
7
. 0
4 . 7
4 . 3
4 . 3 4
. 6
2 . 6
2 . 4
2 . 6 2
. 7
-5
-3
-1
1
3
5
7
9
11
13
15
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Agincourt Barclays Capital Aggregate Citigroup Broad Investment Grade Median Core Bond Mgr
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City of Fort Lauderdale Police and Fire Retirement System
Mellon Aggregate Bond Index FundFor the Period Ending December 31, 2009
Account Description Performance Goals
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♦ ♦
♦
♦
♦
♦
This Quarter
Beginning Market Value
Net Additions
Return on Investment
Income
Gain/Loss
Ending Market Value
Dollar Growth Summary (in 000s) Growth of a Dollar
43,003 55,930
Last 12 Months
0 -15,046
43,082 43,082
79 2,198
0 -1
79 2,199
Strategy: Core Bonds
Vehicle: Commingled Account
Inception date: May 2001
Benchmark: Barclays Capital Aggregate
Fees: 5 bps
Match the performance of the Barclays Capital Aggregate Index.
$0.00
$0.20
$0.40
$0.60
$0.80
$1.00
$1.20
$1.40
$1.60
$1.80
D e c - 0 1
J u n - 0
2
D e c - 0 2
J u n - 0
3
D e c - 0 3
J u n - 0
4
D e c - 0 4
J u n - 0
5
D e c - 0 5
J u n - 0
6
D e c - 0 6
J u n - 0
7
D e c - 0 7
J u n - 0
8
D e c - 0 8
J u n - 0
9
D e c - 0 9
Mellon Aggregate Bond Index FundBarclays Capital Aggregate
© 2010 Asset Consulting Group All Rights Reserved 87
City of Fort Lauderdale Police and Fire Retirement System
As of December 31, 2009, Mellon Aggregate Bond Index Fund held 2,598 securities in their portfolio. Holdings and portfolio characteristics are as follows:
Mellon Aggregate Bond Index Fund
Sector Allocation Characteristics
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Characteristics provided by manager.
Duration Quality
6 . 8 1
6 . 8 0
4 . 8 1
4 . 6 7
2 2 . 0 0
2 2 . 0 0
4 . 5 0
4 . 5 7
3 . 5 3
3 . 6 7
0
5
10
15
20
25
30
Avg Maturity
(yrs)
Current Coupon Avg Quality Duration (yrs) YTM (%)
Mellon Aggregate Bond Index Barclays Capital Aggregate
1 6 . 1 %
1 5 . 0 %
3 7 . 8 %
3 7 . 4 %
2 5 . 1 %
2 5
. 8 %
1 0 . 2
%
1 0 . 6 %
2 . 9 %
3 . 2 %
2 . 4 %
2 . 5 %
5 . 5 %
5 . 5 %
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
0-2 Year 2-4 Years 4-6 Years 6-8 Years 8-10 Years 10-12 Years 12+ Years
Mellon Aggregate Bond Index Barclays Capital Aggregate
0 . 4 %
0 . 4 %
1 2 . 5 %
1 3 . 2 % 1 6 .
6 %
1 6 . 7 %
3 9 . 5
% 3 9 . 8 %
2 7 . 4 %
2 7 . 7 %
2 . 1 %
2 . 2 %
1 . 5 %
0 . 0 %
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
A B S
A g e n c i e s
C o r p o r a t e s
M o r t g a g e s
T r e a s u r i e s
U t i l i t y
C a s h
Mellon Aggregate Bond Index Barclays Capital Aggregate
3 9 . 9 %
4 0 . 9 %
3 9 . 9 %
3 7 . 1 %
4 . 1 %
4 . 1 % 8
. 7 % 9 . 7
%
7 . 4 %
8 . 2 %
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
GOVT AAA AA A BAA
Mellon Aggregate Bond Index Barclays Capital Aggregate
© 2010 Asset Consulting Group All Rights Reserved 88
City of Fort Lauderdale Police and Fire Retirement System
Risk vs. Return (8 Year Annualized) Portfolio Statistics
Mellon Aggregate Bond Index Fund
For the Periods Ending December 31, 2009
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Return
Standard Deviation
Sharpe Ratio
Beta Alpha
Up Capture
Down Capture
Correlation
R Square
Tracking Error
Number of Months
Highest Monthly Return
Lowest Monthly Return
Number of Pos. MonthsNumber of Neg. Months
% Positive Months
All information calculated using monthly data.
99.91
99.95
--
--
0.00
99.76
Barclays Capital
Aggregate
3.933.96
Mellon Aggregate
Bond Index Fund
Return Histogram (8 Years) Return Analysis
8 Years
--
99.91
67.31%
104
3.73%
-3.36%
7133
68.27%
104
3.79%
-3.40%
Mellon Aggregate
Bond Index Fund
Barclays Capital
Aggregate
3470
--
--
0.12
5.41 5.43
0.81
1.01
--
0.82
1.00Mellon Aggregate
Bond Index Fund
Barclays Capital
Aggregate
5.41%
5.41%
5.42%
5.42%
5.43%
5.43%
3.93% 3.94% 3.94% 3.95% 3.95% 3.96% 3.96% 3.97%
Standard Deviation
R a t e o f R e t u r n
0 1 24
25
39
21
2 20 00 1 2
4
24
37
24
2 20 0
0
5
1015
20
25
30
35
40
45
L e s s t h a n - 4 %
- 4 % t o - 3 %
- 3 % t o - 2 %
- 2 % t o - 1 %
- 1 % t o 0 %
0 % t o 1 %
1 % t o 2 %
2 % t o 3 %
3 % t o 4 %
4 % t o 5 %
G r e a t e r t h a n 5 %
Mellon Aggregate Bond Index Fund Barclays Capital Aggregate
© 2010 Asset Consulting Group All Rights Reserved 89
City of Fort Lauderdale Police and Fire Retirement System
R ki 84 85 87 69 74 79
Mellon Aggregate Bond Index Fund
For the Periods Ending December 31, 2009
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Ranking 84 85 87 69 74 79
1 Quarter 3 Quarters 1 Year 2 Years 5 Years 8 Years
5th Percentile 3.08 22.71 21.40 8.77 6.87 6.93
25th Percentile 1.68 14.33 15.00 7.38 5.87 6.25
50th Percentile 0.87 10.59 11.28 6.39 5.38 5.7475th Percentile 0.34 6.45 8.09 5.32 4.94 5.46
95th Percentile -0.37 1.06 1.59 2.95 3.69 4.51
Observations 250 248 244 232 200 140
The numbers above the bars are the rankings for this portfolio versus the core bond universe. The rankings are on a scale of 1 to 100 with 1 being the best.
0 . 2
0 . 2
0 . 9
5 . 4 5 . 8
1 0 . 6
5 . 5 5 . 9
1 1 . 3
5 . 6 5 . 6
6 . 4
5 . 0
5 . 0 5
. 4 5 . 4
5 . 4 5 . 7
0
2
4
6
8
10
12
R a t e o f R e t u r n %
1 Quarter 3 Quarters 1 Year 2 Years 5 Years 8 Years
Mellon Aggregate Bond Index Fund Barclays Capital Aggregate Median Core Bond Mgr
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City of Fort Lauderdale Police and Fire Retirement System
Mellon Aggregate Bond Index Fund
One Year Periods Ending December
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Ranking 87 20 52 76 73
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 21.40 9.96 10.94 6.71 3.76
25th Percentile 15.00 5.27 8.00 5.18 3.14
50th Percentile 11.28 1.81 7.01 4.62 2.72
75th Percentile 8.09 -1.44 6.20 4.32 2.36
95th Percentile 1.59 -11.06 3.91 3.91 1.71
Observations 244 244 238 222 209
The numbers above the bars are the rankings for this portfolio versus the core bond universe. The rankings are on a scale of 1 to 100 with 1 being the best.
5 . 5 5
. 9
1 1 . 3
5 . 7
5 . 2
1 . 8
7
. 0
7 . 0
7 . 0
4 . 3
4 . 3 4
. 6
2 . 4
2 . 4 2
. 7
0
2
4
6
8
10
12
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
Mellon Aggregate Bond Index Fund Barclays Capital Aggregate Median Core Bond Mgr
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City of Fort Lauderdale Police and Fire Retirement System
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Real Estate Manager Performance and Analysis
© 2010 Asset Consulting Group All Rights Reserved 92
City of Fort Lauderdale Police and Fire Retirement System
♦
American Core Realty Fund - American RealtyFor the Periods Ending December 31, 2009
Geographic Region Allocation Strategy & Objective
Diversified Core Real Estate Commingled Fund
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♦
Ft. Lauderdale Market Value
Ft. Lauderdale Inception Date
Gross Market Value
Cash BalanceDebt
Net Market Value
Quarterly Income Return
# of Properties
# of Participants
Characteristics based on preliminary data provided by manager.
Property Type Allocation
7/2/2007
326,344,592$
1.23%
1,447,317,191$
32,372,525$
g
17,428,174$
Achieve returns competitive with other asset classes with stable income and potential forappreciation.
167
Net Returns by Property Type
78
1,127,881,486$
East
32.5%
South
26.9%
Midwest
11.9%
West
28.7%
- 1 . 7
- 1 3 . 4
- 0 . 3
- 2 . 0
- 1 8 . 7
- 4 9 . 6
- 2 7 . 0
- 2
3 . 0
- 3 . 5
- 1 7 . 6
- 5 . 6
- 3 . 6
-70
-60
-50
-40-30
-20
-10
0
10
Q u a r t e r
1 Y e a r
3 Y e a r
Retail Office Industrial Residential
Industrial
23.5%
Office
36.8%
Retail
14.3%
Residential
25.4%
© 2010 Asset Consulting Group All Rights Reserved
93
City of Fort Lauderdale Police and Fire Retirement System
Ranking 81 74 57 56 50
American Core Realty Fund - American Realty
For the Periods Ending December 31, 2009
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g
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
5th Percentile 9.01 21.60 10.99 28.62 4.86
25th Percentile 0.19 0.00 -5.09 -13.68 -11.04
50th Percentile -0.75 -8.22 -15.13 -27.53 -18.87
75th Percentile -4.00 -13.89 -25.97 -38.50 -26.36
95th Percentile -13.70 -36.76 -56.94 -68.70 -51.10
Observations 446 440 422 433 386
The numbers above the bars are the rankings for this portfolio versus the real estate manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
- 4 . 5 - 2
. 1
- 3 . 6 - 0
. 8
- 1 3
. 7
- 5 . 4
- 1 0 . 9
- 8 . 2
- 1 9 . 9
- 1 0 . 3
- 1 9 . 1
- 1 5 . 1
- 3 0 . 2
- 1 6 . 9
- 3 0 . 3 - 2
7 . 5
- 1 8 . 9
- 1 1 . 8
- 2 1 . 1 - 1
8 . 9
-40
-35
-30
-25
-20
-15
-10
-5
0
R a t e o f R e t u r n %
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
American Core Realty Fund - American Realty NCREIF Property Index NFI ODCE (net) Median Real Estate Fds
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City of Fort Lauderdale Police and Fire Retirement System
American Core Realty Fund - American Realty
One Year Periods Ending December
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Ranking 56 36
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 28.62 15.83 49.27 44.24 57.97
25th Percentile -13.68 0.00 18.09 20.99 23.23
50th Percentile -27.53 -10.35 14.75 16.15 18.18
75th Percentile -38.50 -18.88 5.45 10.26 12.05
95th Percentile -68.70 -46.62 -15.66 -5.71 0.00
Observations 433 791 801 858 773
The numbers above the bars are the rankings for this portfolio versus the real estate manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
- 3 0 . 2
- 1 6 . 9
- 3 0 . 3
- 2 7 . 5
- 5 . 7
- 6 . 5
- 1 0 . 7
- 1 0 . 4
1 5 . 8
1 4 . 8
1 4 . 8
1 6 . 6
1 5 . 3
1 6 . 1 2
0 . 1
2 0 . 2
1 8 . 2
-45
-35
-25
-15
-5
5
15
25
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
American Core Realty Fund - American Realty NCREIF Property Index NFI ODCE (net) Median Real Estate Fds
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♦ Moderately Opportunistic Real Estate Portfolio
PRISA II - Prudential Real Estate InvestorsFor the Periods Ending December 31, 2009
Geographic Region Allocation Strategy & Objective
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♦
Ft. Lauderdale Market Value
Ft. Lauderdale Inception Date
Gross Market Value
Cash BalanceDebt
Net Market Value
Quarterly Income Return
# of Properties
# of Participants
Characteristics based on preliminary data provided by manager.
123
Net Returns by Property Type
212
3,321,653,394$
7,391,441$
Achieve superior income growth and appreciation potential while outperforming theNCREIF Index each year by at least 200 basis points (before fees).
7/1/2007
2,875,667,568$
1.80%
6,054,036,986$
298,800,000$
Property Type Allocation
East
38.5%
South
20.3%
Midwest
4.5%
West
36.7%
- 9 . 4
- 6 . 7
- 2 5 . 0
- 1 . 3
- 5 5 . 0 - 4 2 . 7
- 6 0 . 9
- 6 0 . 9
- 2 6 . 4 - 1
3 . 2
- 2 6 . 3
- 2 6 . 3
-100
-90
-80
-70
-60
-50
-40
-30
-20
-10
0
Q u a r t e r
1 Y e a r
3 Y e a r
Retail Office Residential Land, Self-Storage & Hotel
Office
34.8%
Retail
24.5%
Residential
18.9%
Land, Self-Storage, Hotel
21.8%
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96
City of Fort Lauderdale Police and Fire Retirement System
Ranking 86 81 77 86 87
PRISA II - Prudential Real Estate Investors
For the Periods Ending December 31, 2009
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1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
5th Percentile 9.01 21.60 10.99 28.62 4.86
25th Percentile 0.19 0.00 -5.09 -13.68 -11.04
50th Percentile -0.75 -8.22 -15.13 -27.53 -18.87
75th Percentile -4.00 -13.89 -25.97 -38.50 -26.36
95th Percentile -13.70 -36.76 -56.94 -68.70 -51.10
Observations 446 440 422 433 386
The numbers above the bars are the rankings for this portfolio versus the real estate manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
- 6 . 9
- 2 . 1
- 3 . 6 - 0
. 8
- 1 6 . 4
- 5 . 4
- 1 0 . 9 - 8
. 2
- 2 6 . 6
- 1 0 . 3
- 1 9 . 1 - 1
5 . 1
- 4 4 . 8
- 1 6 . 9
- 3 0 . 3 - 2
7 . 5
- 3 2 . 0
- 1 1 . 8
- 2 1 . 1
- 1 8 . 9
-60
-50
-40
-30
-20
-10
0
R a t e o f R e t u r n %
1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years
PRISA II - Prudential Real Estate Investors NCREIF Property Index NFI ODCE (net) Median Real Estate Fds
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R ki 86 72
PRISA II - Prudential Real Estate Investors
One Year Periods Ending December
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Ranking 86 72
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
5th Percentile 28.62 15.83 49.27 44.24 57.97
25th Percentile -13.68 0.00 18.09 20.99 23.23
50th Percentile -27.53 -10.35 14.75 16.15 18.18
75th Percentile -38.50 -18.88 5.45 10.26 12.05
95th Percentile -68.70 -46.62 -15.66 -5.71 0.00
Observations 433 791 801 858 773
The numbers above the bars are the rankings for this portfolio versus the real estate manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.
- 4 4 . 8
- 1 6 . 9
- 3 0 . 3
- 2 7 . 5
- 1 6 . 1
- 6 . 5
- 1 0 . 7
- 1 0 . 4
1 5 . 8
1 4 . 8
1 4 . 8
1 6 . 6
1 5 . 3
1 6 . 1 2
0 . 1
2 0 . 2
1 8 . 2
-60
-50
-40
-30
-20
-10
0
10
20
30
R a t e o f R e t u r n %
Dec 2009 Dec 2008 Dec 2007 Dec 2006 Dec 2005
PRISA II - Prudential Real Estate Investors NCREIF Property Index NFI ODCE (net) Median Real Estate Fds
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International Exposure
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City of Fort Lauderdale Police and Fire Retirement System
Analysis of International Exposure by Manager and Total PortfolioFor the Period Ending December 31, 2009
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Manager Name
Total Assets for
Manager
Managers
Percent of Total
Portfolio
Managers
Percentage of
International
Securities
Value of
International
Securities
Percentage
International of
Total Portfolio
Systematic Financial Mgmt 39,973,968$ 9.57% 9.28% 3,710,178$ 0.89%
INTECH 23,249,039$ 5.57% 1.18% 275,442$ 0.07%
Rhumbline Large Cap 25,131,089$ 6.02% 1.15% 289,008$ 0.07%Sawgrass 37,974,320$ 9.09% 0.00% -$ 0.00%
Lee Munder 21,984,909$ 5.27% 2.99% 656,373$ 0.16%
NorthPointe 21,105,830$ 5.05% 5.15% 1,086,843$ 0.26%
K2 Long Short Master Fund, LP 41,720,518$ 9.99% 17.70% 7,384,532$ 1.77%
Artio Global 26,873,114$ 6.44% 100.00% 26,873,114$ 6.44%
Thornburg 27,798,692$ 6.66% 100.00% 27,798,692$ 6.66%
Agincourt Capital 67,261,075$ 16.11% 7.13% 4,792,837$ 1.15%
Mellon Aggregate Bond Index Fund 43,081,902$ 10.32% 7.03% 3,027,365$ 0.73%
American Stable Value Fund 17,428,174$ 4.17% 0.00% -$ 0.00%PRISA II 7,391,441$ 1.77% 0.00% -$ 0.00%
Cash 16,559,974$ 3.97% 0.00% -$ 0.00%
TOTAL 417,534,045$ 100% 75,894,383$ 18.18%
* A foreign security is defined as a security issued by a corporation that is not organized under the laws of the United States Government, any U.S. state
government, or the District of Columbia, or domiciled outside of the United States. Such securities organized under the laws of foreign governments
shall be considered foreign securities, regardless of whether they are traded on United States stock exchanges, regardless of the ownership of the foreign
corporation and regardless of whether the security is denominated in United States dollars.
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Statistical Definitions
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risk vs. the benchmark (which is represented by beta, a measure that tracks volatility to an index).
Definitions of Statistical Measures
Alpha - the difference between the fund's actual return and the fund's expected return given its relative
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( p y , y )
Beta - measures the sensitivity of returns to market movements represented by the primary benchmark.
Correlation - measures how closely two portfolios move in relation to one another. A correlation of
100 indicates a perfect correlation, while a correlation of 0 indicates no correlation at all.
Down-Capture - demonstrates the ratio of manager's average returns relative to the benchmark
in quarters in which the benchmark had a negative return. For instance, a down-capture of 96%
indicates that, on average, the manager is down 96% when the benchmark is down 100%. Lower
manager down-capture is preferred.
R
2
- the amount of the manager's return that can be explained by the benchmark. A R
2
of 100indicates a perfect correlation, while a R
2of 0 indicates no correlation at all.
Sharpe Ratio - a measure of return per unit of risk. Higher Sharpe ratios are preferred while negative
ratios are generally meaningless and cannot be used for comparison purposes.
Standard Deviation - a measure of the manager's volatility. A large standard deviation relative to the
benchmark represents volatile manager returns.
Up-Capture - demonstrates the ratio of manager's average returns relative to the benchmark in
quarters in which the benchmark had a positive return. For instance, an up-capture of 96% indicates
that, on average, the manager is up 96% when the benchmark is up 100%. Higher manager up-capture
is preferred.
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Moody's
Rating S&P Rating
Prior to
1Q09
Beginning
1Q09
Moody's
Rating S&P Rating
Prior to
1Q09
Beginning
1Q09
Quality Rating Scale
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Rating S&P Rating 1Q09 1Q09 Rating S&P Rating 1Q09 1Q09
TSY TSY 10 26 Ba2 BB 6 13
AGY AGY 10 25 Ba BB 13
Aaa AAA 10 24 MIG4 6 13
Aa1 AA+ 9.3 23 Ba3 BB- 5.7 12
Aa2 AA 22 B1 B+ 5.3 11
Aa AA 9 22 B2 B 5 10
MIG1 9 22 B B 10
Aa3 AA- 8.7 21 B3 B- 4.7 9
A1 A+ 8.3 20 Caa1 CCC+ 4.3 8
A-1 20 Caa2 CCC 4 7
A2 A 8 19 Caa CCC 7
A A 19 Caa3 CCC- 3.7 6
MIG2 8 19 Ca CC 3 5 A3 A- 7.7 18 C C 2 4
Baa1 BBB+ 7.3 17 DDD 1 3
Baa2 BBB 7 16 DD 2
Baa BBB 16 D 1
MIG3 7 16 NR NR N/A -1
Baa3 BBB- 6.7 15 NA NA N/A
Ba1 BB+ 6.3 14 N/A N/A
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