New England Pension Consultants. 1 Table of Contents > Market Environment > Asset Allocation /...

Oklahoma State Pension CommissionOklahoma State Pension Commission

Investment Performance Analysis Investment Performance Analysis Quarter Ending 3/31/2001Quarter Ending 3/31/2001

New England Pension ConsultantsNew England Pension Consultants

2New England Pension Consultants

Table of ContentsTable of Contents

> Market Environment

> Asset Allocation / Investment Policy Targets

> Performance Summary

> Performance Detail

1. Teachers

2. PERS

3. Firefighters

4. Police

5. Law Enforcement

6. Judges & Justices

7. Department of Wildlife


DOMESTIC MARKETS INTERNATIONAL MARKETS

Market Environment – First Quarter 2001Market Environment – First Quarter 2001

• Domestic equity markets suffered through a dismal first quarter following a host of earnings warnings and negative economic news.

• The S&P 500 lost 11.9%, while the NASDAQ Composite suffered one of its worst quarterly declines of 25.5%, as technology stocks continued to get punished.

• Small cap stocks, lost 6.5% for the quarter outperforming their large cap counterparts, which lost 12.6%.

• Value continued its dominance over growth in the small cap sector as the Russell 2000 Value Index advanced slightly with a 1.0% return versus the 15.2% decline in the Russell 2000 Growth Index.

• Growth stocks continued to underperform value stocks during the first quarter as evidenced by the 5.9% loss in the Russell 1000 Value Index versus the 20.9% decline in the Russell 1000 Growth Index.

• Short-term Treasury rates fell rapidly in the quarter, while the thirty-year Treasury rate remained unchanged creating an upward sloping yield curve.

• International equity markets had a tough first quarter due to slowing global economic growth and downward corporate earnings revisions.

• Global economic growth slowed further than expected even though Japan, the United States and the United Kingdom cut interest rates during the quarter.

• The MSCI EAFE Index closed down 13.6% for the quarter.

– Technology and telecom stocks once again led the downturn, as investors were still concerned with equity valuations.

– Consumer cyclicals and energy were the top-performing sectors.

– International growth stocks returned –17.3% during the quarter.

• In the European markets, most major markets experienced losses as numerous corporate profit warnings were announced during the quarter.

• The MSCI Emerging Markets Index declined 5.5% for the quarter despite a strong gain of 13.7% in January.

• Global bonds returned –3.1% for the quarter primarily due to the strength of the US Dollar.


Growth versus ValueGrowth versus Value

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

One

-Yea

r R

elat

ive

Per

form

ance

for

Rus

sell

1000

Gro

wth

-

Rus

sell

1000

Val

ue

Growth Outperforms

Value Outperforms


Market Environment – First Quarter 2001Market Environment – First Quarter 2001Market Graphs

`

Equity Index Returns Quarter 1 Year 3 Yrs 5 Yrs

DJIA -8.0% -8.1% 5.7% 14.1%

S&P 500 -11.9% -21.7% 3.1% 14.2%

S&P Midcap 400 -10.8% -7.0% 8.9% 16.3%

Wilshire 5000-Cap Wtd -12.3% -24.7% 1.7% 12.4%

FR 1000 Growth -20.9% -42.7% -0.5% 11.6%

FR 1000 Value -5.9% 0.3% 3.9% 14.3%

FR 2000 Small Cap -6.5% -15.3% -0.9% 7.8%

FR 2000 Growth -15.2% -39.8% -5.2% 2.5%

FR 2000 Value 1.0% 19.4% 1.8% 11.9%

MSCI - EAFE -13.6% -25.8% -0.5% 3.5%

MSCI EAFE ex Japan -15.1% -22.1% -1.2% 8.9%

MSCI Emerg Mkt Free -5.5% -36.0% -8.5% -6.4%

Equity Index Returns

-8.0%

-10.8%

-5.9%0.3%

-15.3%

19.4%

-25.8%

-22.1%

-36.0%

-6.5%

-12.3%

1.0%

-5.5%

-15.1%

-13.6%

-15.2%

-11.9%

-20.9%

-8.1%

-7.0%

-39.8%

-42.7%

-24.7%

-21.7%

-55% -35% -15% 5% 25%

DJIA

S&P 500

S&P Midcap 400

Wilshire 5000-Cap Wtd

FR 1000 Growth

FR 1000 Value

FR 2000 Small Cap

FR 2000 Growth

FR 2000 Value

MSCI - EAFE

MSCI EAFE ex Japan

MSCI Emerg Mkt Free

Quarter 1 Year

Market Graphs

Fixed Income Index Returns Quarter 1 Year 3 Yrs 5 Yrs

LB Aggregate 3.0% 12.5% 6.9% 7.5%

LB Government 2.5% 12.3% 7.1% 7.5%

LB US Credit 4.3% 12.5% 6.2% 7.3%

LB Mtge Backed 2.7% 12.7% 7.0% 7.6%

LB High Yield 6.3% 2.5% 0.3% 5.2%

LB Cred/Govt Long 2.7% 13.0% 6.7% 8.5%

LB Cred/Govt Int 3.4% 12.2% 6.9% 7.0%

90 Day T-Bill 1.5% 6.3% 5.5% 5.4%

CPI (Adjusted) 1.0% 2.9% 2.9% 2.5%

SB World Govt Bond -3.0% -1.7% 2.6% 2.9%

Fixed Income Index Returns

3.0%

2.5%

4.3%

2.7%

6.3%

2.7%

3.4%

1.5%

1.0%

-3.0%

12.5%

12.3%

12.5%

12.7%

13.0%

12.2%

6.3%

2.9%

-1.7%

2.5%

-10% -5% 0% 5% 10% 15% 20%

LB Aggregate

LB Government

LB US Credit

LB Mtge Backed

LB High Yield

LB Cred/Govt Long

LB Cred/Govt Int

90 Day T-Bill

CPI (Adjusted)

SB World Govt Bond

Quarter 1 Year


Market Environment - First Quarter 2001Market Environment - First Quarter 2001Equity Manager & Sector Returns

Equity Only Style Median Quarter 1 Year 3 Yrs 5 Yrs

Small Value 0.4% 15.9% 3.1% 13.4%

Small Core -4.9% -1.6% 5.0% 13.8%

Small Growth -19.8% -41.5% 4.0% 8.9%

Medium Value -1.1% 19.3% 4.6% 15.4%

Medium Core -7.9% -5.6% 7.9% 16.6%

Medium Growth -22.0% -39.8% 7.7% 12.5%

Large Value -3.5% 8.0% 4.7% 14.3%

Large Core -11.8% -18.7% 3.7% 14.6%

Large Growth -20.0% -37.6% 3.8% 14.1%

Domestic Eqty Funds -11.3% -16.9% 4.0% 14.2%

Int'l Developed Eqty Funds -12.4% -23.9% 2.2% 8.6%

Int'l Emerging Eqty Funds -7.5% -38.8% -6.6% -2.0%

Equity Only Median

-19.8%

-1.1%

-22.0%

-3.5%

-11.8%

-20.0%

-7.5%

15.9%

-1.6%

-41.5%

19.3%

-39.8%

8.0%

-18.7%

-37.6%

-23.9%

-7.9%

0.4%

-11.3%

-12.4%

-4.9%

-5.6%

-16.9%

-38.8%

-55% -35% -15% 5% 25%

Small Value

Small Core

Small Growth

Medium Value

Medium Core

Medium Growth

Large Value

Large Core

Large Growth

Domestic Eqty Funds

Int'l Developed Eqty Funds

Int'l Emerging Eqty Funds

Quarter 1 Year

Equity Manager & Sector Returns

S&P 500 Sector Returns Weight Quarter 1 Year

Basic Material 2.4% -6.0% -5.7%

Capital Goods 9.0% -13.5% -10.3%

Communication 5.5% -0.8% -35.5%

Consumer Cyclicals 7.6% 0.8% -11.1%

Consumer Staples 11.3% -9.1% 3.9%

Energy 6.4% -6.3% 4.9%

Financials 17.3% -9.9% 10.9%

Health Care 14.0% -14.9% 15.2%

Technology 21.9% -24.3% -59.4%

Transportation 0.7% 0.3% 20.9%

Utilities 4.0% -7.9% 35.2%

S&P 500 Sector Returns

-6.0%

-13.5%

-0.8%

0.8%

-6.3%

-9.9%

-14.9%

-24.3%

-7.9%

-35.5%

-11.1%

4.9%

10.9%

15.2%

20.9%0.3%

-9.1%

-10.3%

-5.7%

3.9%

-59.4%

35.2%

-75% -55% -35% -15% 5% 25% 45%

Basic Material

Capital Goods

Communication

Consumer Cyclicals

Consumer Staples

Energy

Financials

Health Care

Technology

Transportation

Utilities

Quarter 1 Year


Market Environment - First Quarter 2001Market Environment - First Quarter 2001

Bond Manager Returns

Bond Only Style Median Quarter 1 Year 3 Yrs 5 Yrs

Short 2.8% 10.0% 6.7% 6.5%

Intermediate 3.2% 12.3% 6.9% 7.2%

Core 3.2% 12.8% 6.9% 7.6%

Long 3.2% 12.9% 6.8% 8.0%

High Yield 4.5% 5.1% 2.8% 7.3%

Domestic Bond Funds 3.1% 12.4% 6.9% 7.5%

Global Bond -1.6% 1.2% 2.2% 4.0%

Bond Only Style Median

2.8%

3.2%

3.2%

3.2%

4.5%

3.1%

-1.6%

10.0%

12.3%

12.8%

12.9%

5.1%

12.4%

1.2%

-5% 5% 15%

Short

Intermediate

Core

Long

High Yield

Domestic BondFunds

Global Bond

Quarter 1 Year

Bond Manager Returns

Treasury Yield Curve

4.00%

4.50%

5.00%

5.50%

6.00%

6.50%

7.00%

7.50%

8.00%

0 10 20 30Years To Maturity

Yie

ld (

%)

31-Mar-01 30-Dec-00 31-Mar-00


Key Policy Items Teachers PERS Firefighters Police Law Judges Wildlife

TOTAL EQUITY Target 64.0% 61.0% 70.0% 75.0% 60.0% 50.0% 50.0%

Actual 58.4% 55.3% 60.2% 54.2% 56.0% 43.9% 53.8%

Range 59-69 54-68 65-75 - 45-75 43-57 45-55

Large Cap Target 28.0% 38.0% 40.0% 65.0% 30.0% 30.0% - Actual 26.3% 34.1% 33.7% 26.1% 34.4% 27.2% 44.3% Range 23-33 35-41 35-45 - 25-35 27-33 30-50

MidCap Target 13.0% - - - - - - Actual 12.4% - - 10.0% - - - Range 8-18 - - - - - -

Small Cap Target 10.0% 9.0% 15.0% - 20.0% 8.0% - Actual 8.2% 8.6% 12.9% 3.4% 11.2% 8.1% 4.9% Range 5-15 7-11 10-20 - 15-25 6-10 0-10

Int'l Equity Target 13.0% 14.0% 15.0% 10.0% 10.0% 12.0% - Actual 11.5% 12.6% 13.6% 14.7% 10.4% 8.6% 4.6% Range 8-18 12-16 10-20 7-13 5-15 10-14 0-10

TOTAL FIXED INC. Target 35.0% 39.0% 30.0% 10.0% 30.0% 50.0% 50.0% Actual 39.2% 44.2% 35.4% 32.9% 38.9% 55.5% 42.3% Range 30-40 35-43 25-35 5-15 25-35 45-55 45-55

Dom. Fixed Inc. Target 30.0% 39.0% 30.0% 10.0% - 50.0% - Actual 39.2% 44.2% 35.4% 29.0% 38.9% 55.5% 42.3% Range 25-35 35-43 25-35 5-15 19-35 45-55 -

Int'l Fixed Inc. Target 5.0% - - - - - - Actual - - - 3.9% - - - Range 0-10 - - - 0-6 - -

Real Estate Target - - - - 10.0% - - Actual - - - 0.2% 5.1% - 0.2% Range - 0-1 - - 5-15 - 0-10

Alternative Inv. Target - - - 15.0% - - - Actual - - 4.0% 12.6% - - - Range - - - 10-20 - - -

Cash Target 1.0% 0.5% - - - 0.0% - Actual 2.3% 0.6% 0.4% 0.2% 0.1% 0.6% 3.6% Range 0-6 0-5 - - - 0-5 -

Investment Policy Asset Allocation TargetsInvestment Policy Asset Allocation Targets


Relative Size - All FundsRelative Size - All Funds

$5,754

$4,666

$1,257 $1,203

$503$173 $49

$0

$750

$1,500

$2,250

$3,000

$3,750

$4,500

$5,250

$6,000

$6,750

$7,500

Teach

ers 4

2.3%

PERS 34.3%

Firefig

hters 9

.2%

Police

8.8%

Law 3.

7%

Judges 1.3

%

Wild

life 0

.4%

March 31, 2001

(Dollars in 000,000)


Equity CommitmentEquity Commitment

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

1996 1997 1998 1999 2000 First Qtr2001

Teachers PERS Firefighters Police Law Judges Wildlife Median Public Fund

(as of 3/31/01)(as of 3/31/01)


Risk / Return Analysis Risk / Return Analysis

6%

7%

8%

9%

10%

11%

12%

13%

14%

15%

16%

2% 4% 6% 8% 10% 12% 14% 16% 18%

Risk (% Standard Deviation)

An

nu

alized

Retu

rnTotal Public Funds – Total Return vs. Risk - 5 Years Ending 3/31/01 Total Public Funds – Total Return vs. Risk - 5 Years Ending 3/31/01

S&P 500

LB Aggregate

Teachers

PERSFirefighters

Police

Law

JudgesWildlife

Value Rank Value Rank Value RankTeachers 11.8 16 10.2 42 0.6 17PERS 9.6 70 10.5 33 0.4 78Firefighters 9.2 72 11.8 16 0.4 89Police 9.2 72 10.7 31 0.4 86Law 9.7 68 9.4 68 0.5 67Judges 10.6 43 10.0 53 0.5 42Wildlife 11.4 26 12.0 14 0.5 45

S&P 500 14.2 2 17.3 2 0.6 40LB Aggregate 7.5 93 3.2 98 0.6 18

Median 10.4 10.0 0.5

Annualized Return Standard Deviation Sharpe Ratio


Composite Performance Composite Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Teachers (5.6) 63 (6.2) 55 5.7 35 11.8 16 12.3 25PERS (6.0) 71 (10.7) 85 3.6 81 9.6 70 10.7 71Firefighters (7.2) 87 (12.1) 89 2.6 89 9.2 72 10.4 76Police (6.2) 77 (9.2) 80 3.7 79 9.2 72 10.3 79Law (4.2) 35 (2.9) 29 4.1 71 9.7 68 11.2 55Judges (4.8) 48 (7.5) 63 4.9 56 10.6 43 11.7 42Wildlife (6.6) 82 (11.4) 89 4.9 56 11.4 26 12.7 19

Med Tot Public Fund (5.0) (5.2) 5.2 10.4 11.4

Green = 1st QuartileYellow = 2nd QuartileBlue = 3rd QuartileRed = 4th Quartile

7 Year1Q01 5 Year3 Year1 Year

Periods Ending March 31, 2001 Periods Ending March 31, 2001


Composite Performance Composite Performance

%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Teachers (6.2) 55 17.0 32 7.5 46 32.5 11 11.7 28 19.8 57 8.1 35P ERS (10.7) 85 16.8 34 6.4 63 30.4 29 9.1 67 23.1 13 4.5 94Firefighters (12.1) 89 18.2 20 4.0 84 32.2 13 8.9 73 20.7 44 6.6 63P olice (9.2) 80 14.9 46 7.0 53 27.7 63 9.0 70 19.9 53 6.7 60Law (2.9) 29 12.0 63 3.7 86 28.6 48 9.5 64 24.4 5 6.6 65J udges (7.5) 63 17.1 30 6.5 58 30.8 21 9.7 61 24.2 9 5.3 86Wildlife (11.4) 89 23.9 7 5.1 76 30.9 19 13.8 5 249.0 3 7.6 44

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


Med Tot P ub Fund

March-96 March-95March-01 March-00 March-97March-98March-99

Years Ending March 31, 2001Years Ending March 31, 2001


For each Total Fund actual return we report to you, if we have available information, we also construct two hypothetical returns: A Policy Index return and an Allocation Index return.These two hypothetical returns are useful in diagnosing to what factors the total return can be attributed.The Policy Index is merely the return the Fund would have had if the policy target allocation had been strictly adhered to and each asset class investment would have been in an index fund for that class, rather than with an active manager.The Allocation Index is the return the Fund would have had using the actual allocation of the Fund and index returns, as above with the Policy Index.NOTE: These tools are most useful over longer time periods and are not particularly useful over the short run. Looking at the Policy Index for longer term returns gives us a base-line. What part of the Fund’s return can be attributed to being in the right asset classes? For example, the Teachers Fund ( following page) Policy Index “return” of 10.1% for the last five years accounted for the majority of the actual return of 11.8% for that time period. This is not surprising and is as it should be. Policy decisions (what asset classes to be in and to what extent) are the most important decisions a Fund’s Board makes. Turning to the Allocation Index. What information does this add? Remember, that the only difference between it and the Policy Index is that we let the allocation “drift” away from the target to the same extent as actually occurred. Then, the difference in return (in this example 11.7%-10.1%) can be attributed to this allowed drift. In this time period, letting asset classes drift beyond their targets added considerable value.Lastly, we compare actual return to the hypothetical Allocation Index return to see what contribution was made by active management.. Here we see that very little value was added during this time period (11.8%-11.7%). This is not an indictment of the Fund’s managers but a reflection of the type of market that we have just been through, where indexing was a very successful strategy, as was letting one’s winners “run” (asset class drift).

Customized Indices: Policy and Allocation Customized Indices: Policy and Allocation


Teachers Total Return Teachers Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Teachers (5.6) 63 (6.2) 55 5.7 35 11.8 16 12.3 25Allocation Index (5.8) 66 (7.8) 66 5.5 40 11.7 19 12.7 20Policy Index (6.5) 81 (9.1) 79 4.6 62 10.1 59 N/A




Periods Ending March 31, 2001Periods Ending March 31, 2001

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Teachers (6.2) 55 17.0 32 7.5 46 32.5 11 11.7 28 19.8 57 8.1 35Alloc. Index (7.8) 66 11.8 64 13.9 5 32.4 12 12.0 24 20.6 46 9.8 11P olicy Index (9.1) 79 17.3 29 7.4 50 29.5 36 9.2 67 N/A N/A

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


Med Tot P ub Fund




Teachers Total Return vs. RiskTeachers Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001 Total Public Funds 5 Years Ending March 31, 2001


PERS Total Return PERS Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

PERS (6.0) 71 (10.7) 85 3.6 81 9.6 70 10.7 71Allocation Index (4.9) 49 (7.6) 64 5.3 43 11.6 23 12.5 21Policy Index (5.9) 70 (9.6) 82 4.0 75 9.8 66 11.2 56





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

P ERS (10.7) 85 16.8 34 6.4 63 30.4 29 9.1 67 23.1 13 4.5 94Allocation Index (7.6) 64 12.6 58 12.3 9 30.9 18 13.0 9 20.6 46 9.1 14P olicy Index (9.6) 82 15.1 45 8.1 40 28.7 46 10.2 55 20.6 46 9.2 14

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


March-99

Med Tot P ub Fund

March-96 March-95March-01 March-00 March-97March-98



PERS Total Return vs. RiskPERS Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001 Total Public Funds 5 Years Ending March 31, 2001


Firefighters Total Return Firefighters Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Firefighters (7.2) 87 (12.1) 89 2.6 89 9.2 72 10.4 76Allocation Index (6.4) 77 (11.0) 88 4.4 66 11.6 23 12.6 20Policy Index (6.9) 86 (11.9) 89 3.6 80 10.1 59 N/A --



1Q01 7 Year3 Year1 Year 5 Year


%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Firefighters (12.1) 89 18.2 20 4.0 84 32.2 13 8.9 73 20.7 44 6.6 63Allocation Index (11.0) 88 12.7 57 13.2 7 33.7 7 13.7 5 21.4 39 9.6 11P olicy Index (11.9) 89 17.2 30 7.9 41 31.3 17 10.4 53 N/A N/A

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


Med Tot P ub Fund




Firefighters Total Return vs. RiskFirefighters Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001Total Public Funds 5 Years Ending March 31, 2001


Police Total Return Police Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Police (6.2) 77 (9.2) 80 3.7 79 9.2 72 10.3 79Allocation Index (7.4) 90 (15.1) 96 3.5 81 9.4 71 11.0 61Policy Index (8.4) 94 (13.5) 94 N/A - N/A - N/A -





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

P olice (9.2) 80 14.9 46 7.0 53 27.7 63 9.0 70 19.9 53 6.7 60Alloc. Index (15.1) 96 15.2 44 13.5 6 23.9 85 13.9 4 19.8 55 10.6 5P olicy Index (13.5) 94 14.9 47 N/A - N/A - N/A - N/A - N/A -

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


March-99

Med Tot P ub Fund




Police Total Return vs. RiskPolice Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001 Total Public Funds 5 Years Ending March 31, 2001


Law Total Return Law Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Law Enforcement (4.2) 35 (2.9) 29 4.1 71 9.7 68 11.2 55Allocation Index (5.2) 55 (9.1) 78 4.8 58 11.0 33 12.2 31Policy Index (5.1) 51 (8.0) 66 4.7 60 N/A - N/A -





%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Law Enforcement (2.9) 29 12.0 63 3.7 86 28.6 48 9.5 64 24.4 5 6.6 65Allocation Index (9.1) 78 12.7 56 12.4 9 29.8 34 12.9 9 21.4 39 9.2 13P olicy Index (8.0) 66 17.2 30 6.5 60 N/A - N/A - N/A - N/A -

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


March-99

Med Tot P ub Fund




Law Total Return vs. RiskLaw Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001Total Public Funds 5 Years Ending March 31, 2001


Judges Total Return Judges Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Judges (4.8) 48 (7.5) 63 4.9 56 10.6 43 11.7 42Allocation Index (4.4) 39 (6.8) 56 5.1 51 10.9 35 11.9 33Policy Index (4.3) 36 (5.7) 52 4.9 56 10.5 47 11.9 34





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

J udges (7.5) 63 17.1 30 6.5 58 30.8 21 9.7 61 24.2 9 5.3 86Allocation Index (6.8) 56 11.4 65 11.8 10 29.7 35 11.5 33 19.6 60 9.7 11P olicy Index (5.7) 52 13.4 52 7.9 41 29.2 41 10.3 53 21.8 37 9.6 11

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


Med Tot P ub Fund




Judges Total Return vs. RiskJudges Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001 Total Public Funds 5 Years Ending March 31, 2001


Wildlife Total Return Wildlife Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Wildlife (6.6) 82 (11.4) 89 4.9 56 11.4 26 12.7 19Allocation Index (5.1) 52 (10.9) 86 6.6 16 13.0 6 14.0 2Policy Index (4.5) 41 (5.7) 53 5.4 42 11.2 31 N/A -





%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Wildlife (11.4) 89 23.9 7 5.1 76 30.9 19 13.8 5 24.9 3 7.6 44Allocation Index (10.9) 86 18.7 20 14.4 4 33.1 9 14.6 4 22.4 26 10.9 4P olicy Index (5.7) 53 9.9 73 13.0 7 29.1 43 12.3 19 N/A - N/A -

(5.2) 14.2 7.4 28.5 10.6 20.1 7.1


March-99

Med Tot P ub Fund




Wildlife Total Return vs. RiskWildlife Total Return vs. RiskTotal Public Funds 5 Years Ending March 31, 2001 Total Public Funds 5 Years Ending March 31, 2001


Each domestic equity manager’s portfolio is loaded into NEPC’s system (stock by stock) and the portfolio is compared to all other portfolios in the universe. The portfolio receives a “score” based on the overall size and style of its holdings.

Why?… --Size and style are two of the most important decisions a manager makes. --Acts as a check on manager consistency over time. --Offers an opportunity to compare relative performance with peers. --Assists in diversifying the overall fund equity exposure.

Calculations… --Size is measured by how far above or below the universe median a manager’s portfolio falls. --Style gives consideration to: book to price, earnings growth, earnings to price and yield. Each these factors is captured from the latest reported data.

Results… --The size and style scores allow each manager (or fund Composite, when summarizing) to be placed into one of nine peer groups (three by size times three by style).

Comment… --No methodology captures all of the complex decisions a manager makes but this exercise offers one more analytical tool.

Size and Style Size and Style


Style Analysis Style Analysis Equity Style Analysis as of March 31, 2001 Equity Style Analysis as of March 31, 2001


Teachers Performance Teachers Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Eq Only Composite (10.8) 48 (16.9) 50 4.9 42 15.3 34 16.7 43S&P 500 (11.9) 54 (21.7) 62 3.1 62 14.2 50 16.8 42Eq Only Median (11.3) (16.9) 4.0 14.2 16.5

Int'l Only Composite (11.3) 45 (9.7) 16 6.6 17EAFE (13.6) 66 (25.8) 54 (0.5) 76 3.5 90Int'l Only Median (2.9) (10.7) 10.4

Fixed Inc Only Comp 2.7 79 11.6 66 6.6 63 7.3 63 7.1 70Lehman Aggregate 3.0 57 12.5 47 6.9 48 7.5 49 7.6 43Fixed Inc Only Med 3.1 12.4 6.9 7.5 7.5





PERS Performance PERS Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Composite (11.7) 54 (20.8) 59 1.4 78 11.4 77 13.3 83S&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48 16.8 39Equity Funds Median (10.7) (16.3) 4.3 14.1 16.3

Int'l Composite (13.3) 58 (30.2) 79 (2.2) 93 3.3 93 5.1 88EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92 5.1 88Int'l Funds Median (12.4) (23.9) 2.2 8.6 8.4

Fixed Income Comp 2.8 71 11.7 58 7.1 30 8.1 23 8.1 26Lehman Aggregate 3.0 52 12.5 37 6.9 48 7.5 52 7.6 48Fixed Inc Fnd Median 3.1 12.2 6.8 7.5 7.6





Firefighters Performance Firefighters Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Eq Only Composite (11.7) 53 (21.4) 59 (0.6) 88 9.2 90 12.3 92S&P 500 (11.9) 54 (21.7) 62 3.1 62 14.2 50 16.8 42Eq Only Median (11.3) (16.9) 4.0 14.2 16.5

Int'l Only Composite (15.4) 81 (26.4) 55 1.1 58 8.0 53EAFE (13.6) 66 (25.8) 54 (0.5) 76 3.5 90Int'l Only Median (11.8) (25.2) 1.8 8.4






Police Performance Police Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank








Law Performance Law Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank








Judges Performance Judges Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Composite (12.5) 60 (22.9) 66 1.1 80 11.3 78 13.4 83S&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48 16.8 39Equity Funds Median (10.7) (16.3) 4.3 14.1 16.3

Int'l Composite (16.2) 83 (31.1) 82 0.0 74 5.7 75EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92Int'l Funds Median (12.4) (23.9) 2.2 8.6






Dep’t of Wildlife Performance Dep’t of Wildlife Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Only Comp (14.3) 66 (24.5) 68 2.5 68 12.9 69 15.5 67S&P 500 (11.9) 54 (21.7) 62 3.1 62 14.2 50 16.8 42Equity Only Median (11.3) (16.9) 4.0 14.2 16.5

Int'l Only Composite (16.9) 86 (40.6) 95 (0.1) 68 3.6 90 4.8 94EAFE (13.6) 66 (25.8) 54 (0.5) 76 3.5 90 5.1 91Int'l OnlyFunds Median (11.8) (25.2) 1.8 8.4 8.6






Teachers Retirement SystemTeachers Retirement System

0.1%

46.8%

11.5%

39.3%

2.2%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Allocation by Manager Type as of 3/31/01

3.6%

1.8%

3.8%

5.6%

0.1%

17.4%

2.2%

4.6% 4.3%

1.9%

7.5%

2.5% 3.0%

11.3%13.0%

2.1%

7.5%

2.3% 2.2% 3.3%

0%

5%

10%

15%

20%

25%

30%

Allocation by Manager as of 3/31/01

45.9%

11.5%

39.1%

0.0%3.4%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed In

come

Int'l

Fixe

d Inco

meCas

h

Allocation by Asset Class as of 3/31/01

12/31/2000 $6,124,310

Withdrawals ($27,072)

Investment Return $342,977

3/31/2001 $5,754,261

Change in AssetsYear to Date as of 3/31/01

Assets in ($000)



Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Goldman Sachs (13.4) 63 (19.1) 55 7.6 22 18.7 7Hotchkis/Wiley 1.5 8 16.2 12 0.5 83 11.1 81Aronson Mid Cap (5.3) 33 6.9 23 N/A N/AKopp (36.5) 99 (55.2) 97 15.0 1 N/AShapiro Capital 3.2 4 17.1 10 (1.2) 90 N/ABT S&P 500 (11.8) 55 (21.6) 62 3.1 64 N/AMAS Value (8.1) 42 (4.5) 38 N/A N/AMAS Growth (24.5) 91 (37.8) 81 N/A N/AWellington (7.1) 39 (3.1) 37 N/A N/AArtemis (6.6) 38 N/A N/A N/ATocqueville 4.3 2 N/A N/A N/AEquity Composite (10.6) 49 N/A N/A N/AS&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48


1Q01 5 Year3 Year1 YearPeriods Ending March 31, 2001Periods Ending March 31, 2001



International Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Brandes (10.1) 36 (1.1) 6 11.4 1 18.2 2Bank of Ireland (13.6) 64 (21.6) 45 3.1 35 N/ANTGI (10.9) 38 N/A N/A N/AEAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Bond Managers

Neuberger 2.8 71 12.4 42 6.3 71 7.1 74Mellon Bond 3.0 58 12.6 36 7.2 23 7.6 45Loomis Sayles 3.7 16 10.3 72 N/A N/APimco 1.1 95 11.4 65 N/A N/ABond Composite 2.7 76 N/A N/A N/ALB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52


1Q01 5 Year3 Year1 YearPeriods Ending March 31, 2001 Periods Ending March 31, 2001



Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

RankLarge ValueHotchkis/Wiley 1.5 4 16.2 26 0.5 90 11.1 85Median Large Value Fund (3.2) 9.0 5.0 14.1Large CoreBT S&P 500 (11.8) 54 (21.6) 73 3.1 69 N/AMedian Large Core Fund (11.7) (18.7) 3.8 N/ALarge GrowthGoldman Sachs (13.4) 8 (19.1) 3 7.6 21 18.7 8Median Large Growth Fund (19.7) (37.8) 4.3 14.1Medium ValueAronson Mid Cap (5.3) 91 6.9 77 N/A N/AMAS Value (8.1) 97 (4.5) 97 N/A N/AMedian Mid Value Fund (0.9) 20.1 N/A N/AMedium GrowthMAS Growth (24.5) 66 (37.8) 49 N/A N/AWellington (7.1) 7 (3.1) 1 N/A N/AMedian Mid Growth Fund (20.5) (37.9) N/A N/ASmall ValueShapiro Capital 3.2 22 17.1 41 N/A N/ATocqueville 4.3 16 N/A N/A N/AMedian Small Value Fund 0.4 15.5 N/A N/ASmall GrowthKopp (36.5) 99 (55.2) 98 N/A N/AArtemis (6.6) 2 N/A N/A N/AMedian Small Growth Fund (19.0) (40.7) N/A N/A


1Q01 5 Year3 Year1 Year

Equity Managers Ranked Against Their Peer GroupsEquity Managers Ranked Against Their Peer GroupsPeriods Ending March 31, 2001Periods Ending March 31, 2001


PERSPERS

42.6%

12.6%

44.2%

0.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quities

Int'l

Equiti

es

Dom F

ixed In

com

e

Cash


4.7%

0.0%

9.6%

25.9%

4.0%2.1%

7.8%

15.4%

0.7%

3.2%

0.6%2.1%3.3%

1.1% 0.6%

8.7%

4.1%6.2%

0%

5%

10%

15%

20%

25%

30%


12/31/2000 $4,982,415


Investment Return ($20,316)

3/31/2001 $4,666,159


Assets in ($000)

42.3%

12.3%

43.7%

1.7%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Aeltus (12.6) 60 (22.6) 65 N/A N/ATCW (22.1) 87 (36.1) 79 10.4 8 16.9 17Dresdner (22.9) 88 (49.9) 94 (13.2) 100 N/ADFA 4.9 2 7.5 23 N/A N/ADavid L. Babson (4.2) 30 4.5 27 1.0 80 11.3 78BGI S&P 500 (11.9) 56 (21.6) 62 3.8 55 N/ABGI R1000 Value (5.9) 35 0.7 32 N/A N/ABGI R2000 Growth (15.4) 69 (40.0) 85 N/A N/AEquity Composite (11.7) 54 (20.8) 59 1.4 78 11.4 77S&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

BGI EAFE Index (13.6) 64 (25.6) 56 (0.3) 81 N/ACap Guard (12.2) 48 (31.8) 84 N/A N/AScudder (15.7) 81 (31.1) 81 (0.4) 82 5.4 80EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Int'l Emerging

Cap Guard (7.4) 42 (40.7) 70 (6.7) 54 N/AGenesis (6.2) 24 (29.6) 12 (10.9) 94 N/AMSCI Emerging Free (5.5) 17 (36.0) 41 (8.5) 71 (6.4) 92

Bond Managers

Back Bay 4.3 8 10.5 71 6.6 63 N/ABlackrock 3.2 36 N/A N/A N/AHoisington 0.1 96 11.3 65 7.4 17 9.7 4LB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52






Real Estate

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

AEW 18.2 2 19.3 13 7.0 72 8.5 73Russell NCREIF 3.0 16 13.4 28 13.6 29 13.7 34






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

RankLarge Value

BGI R1000 Value (5.9) 83 0.7 78 N/A N/AMedian Large Value Fund (3.2) 9.0 N/A N/A

Large Core

Aeltus (12.6) 66 (22.6) 83 N/A N/ABGI S&P 500 Fund (11.9) 55 (21.6) 74 3.8 50 N/AMedian Large Core Fund (11.7) (18.7) 3.8 N/A

Large Growth

TCW (22.1) 67 (36.1) 42 10.4 10 16.9 20Median Large Growth Fund (19.7) (37.8) 4.3 14.1

Small Value

DFA 4.9 14 9.9 79 N/A N/ADavid L. Babson (4.2) 91 11.0 76 5.3 54 14.9 38Median Small Value Fund 0.4 18.6 5.9 14.0

Small Growth

Dresdner RCM (22.9) 71 (49.9) 85 (13.2) 98 N/ABGI R2000 Growth (15.4) 23 (40.0) 47 N/A N/AMedian Small Growth Fund (19.0) (40.7) 4.6 N/A





FirefightersFirefighters

7.9%

42.6%

12.5%

32.9%

0.0%

4.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

TAA

Equities

Int'l

Equ

ities

Fixed

Inco

me

Cash

Privat

e Equity


1.5%

6.7%7.9%

3.8%5.8%

8.9% 9.0%

5.0%4.0%

5.0%

9.0%

15.0%14.4%

4.0%

0%

5%

10%

15%

20%

25%

30%


`

12/31/2000 $1,360,980


Investment Return ($98,251)

12/31/2000 $1,257,156


Assets in ($000)

48.7%

13.2%

34.9%

3.2%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed In

come

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Oppenheimer (0.6) 14 12.2 18 3.8 53 12.5 68Provident (25.5) 93 (47.5) 92 (3.6) 96 8.8 90SSgA (11.9) 56 (21.6) 62 (1.7) 92 N/ADavid L. Babson (3.4) 26 5.8 25 1.8 75 11.9 73Waddell & Reed (12.6) 60 (27.9) 71 N/A N/AAmerindo (40.9) 99 (64.3) 99 N/A N/AS&P 500 (7.8) 60 (9.1) 72 12.3 51 18.3 45







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Bank of Ireland (13.6) 63 (21.8) 45 3.0 36 8.9 45Credit Suisse (17.0) 87 (30.4) 80 (0.8) 87 7.2 62EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Balanced

Bankers Trust (7.1) 63 (13.4) 83 5.2 50 N/ATAA Index (6.7) 58 (11.6) 76 3.5 81 9.8 72

Bond Managers

Invesco 3.0 51 12.3 46 7.1 34 7.2 70Provident 3.7 17 12.8 25 7.1 33 7.7 40LB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52






Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Large Value

Oppenheimer (0.1) 17 12.2 42 3.8 65 12.5 73Median Large Value Fund (3.2) 9.0 5.0 14.1

Large Core

SSgA Equity Index (11.9) 55 (21.6) 74 (1.7) 95 N/AMedian Large Core Fund (11.7) (18.7) 3.8 -

Large Growth

Provident (25.5) 83 (47.5) 83 (3.6) 92 8.8 91Amerindo (40.9) 98 N/A N/A N/AMedian Large Growth Fund (19.7) (37.8) 4.3 14.1

Small Value

David L. Babson (3.4) 83 5.8 82 1.8 63 11.9 58Median Small Value Fund 0.4 15.5 2.9 12.5

Small Growth

Waddell & Reed (12.6) 14 (27.9) 20 N/A N/AMedian Small Growth Fund (19.0) (40.7) - -





PolicePolice

39.5%

14.7%

29.0%

3.9%

0.2%

12.6%

0.2%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Glo

bal Fixe

d

Real E

state

Altern

ative

Ass

ets

Cash


21.8%

14.7%

10.0%

1.1%

3.4%

0.2% 0.2%

3.9%

5.6%

0.0% 0.2%

7.8%9.1%

1.2%

7.2%

0.3%0.4% 0.0% 0.2%

0.7%0.5%

9.2%

0.7%0.1%1.6%

0%

5%

10%

15%

20%

25%

30%


12/31/2000 $1,290,746



3/31/2001 $1,202,986


Assets in ($000)

38.3%

14.1%

27.3%

4.3%0.2%

12.6%

3.3%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Int'l

Fix

ed In

com

e

Real E

state

Alt In

vestm

ents

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Mellon (12.5) 60 (22.3) 64 N/A N/AMontag Caldwell (15.3) 69 (20.5) 58 N/A N/ATom Johnson (9.2) 46 (12.2) 46 3.1 63 13.8 53Boston Partners (2.7) 22 15.2 13 (2.1) 93 N/ACapital Works (26.5) 94 (56.7) 97 N/A N/AS&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48


Bank of Ireland (13.8) 66 (21.4) 43 3.1 36 9.2 39EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92






Fixed Income

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Agincourt 3.3 31 12.4 42 N/A N/AOaktree 3.1 44 3.9 94 N/A N/ALB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52

Int'l Fixed Income

Fischer Francis (3.7) 86 (4.0) 97 N/A N/ASalomon WGBI (3.0) 64 (1.7) 83 2.6 48 2.9 67

Real Estate

Columbus Square 3.9 10 30.7 1 25.1 1 22.4 1Russell NCREIF 3.0 16 13.4 28 13.6 29 13.7 34






Venture Capital

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Oaktree Opp II 5.9 8.2 N/A N/AOaktree Opp III 8.6 6.4 N/A N/APrudential 0.1 2.7 6.7 7.9TCW/Crescent 6.9 21.3 N/A N/AMarathon Fund 0.1 (2.9) N/A N/AWeiss Peck V 0.5 90.1 N/A N/AWeiss Peck VI (6.0) N/A N/A N/ACap Works (2.6) (0.5) N/A N/AFocus (3.8) N/A N/A N/A

WP&G Hedge 13.5 22.7 N/A N/AMount Lucas 11.5 43.9 11.8 15.5






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Tom Johnson (9.2) 98 (12.2) 98 3.1 71 13.8 55Median Large Value Fund (3.2) 9.0 5.0 14.1

Large Core

Montag Caldwell (15.3) 90 (20.5) 61 N/A N/AMellon Index Fund (12.5) 65 (22.3) 81 N/A N/AMedian Large Core Fund (11.7) (18.7) - -

Medium Value

Boston Partners (2.7) 65 (15.2) 61 (2.1) 89 N/AMedian Mid Value Fund (0.9) 20.1 4.5 -

Small Growth

Cap Works Equity (26.5) 86 (56.7) 99 N/A N/AMedian Small Growth Fund (19.0) (40.7) - -





Law Enforcement Law Enforcement

45.6%

10.4%

38.9%

5.1%

0.1%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Real E

state

Cash


10.4%

4.1% 3.6%

20.1%

0.1%

3.5%

14.3%

25.7%

5.1%

13.2%

0%

5%

10%

15%

20%

25%

30%


12/31/2000 $527,131

Cont / Withdrawals $2,054


3/31/2001 $502,891


Assets in ($000)

44.4%

10.4%

37.7%

5.1%2.5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ites

Dom F

ixed In

come

Real E

state

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Hotchkis Wiley 1.4 8 17.2 10 0.9 81 11.6 75Kennedy Capital 5.1 2 16.0 12 (0.4) 87 13.2 62Mackay Shields (18.9) 80 (29.3) 72 5.9 35 14.3 46David L. Babson (3.5) 26 4.7 27 1.0 80 11.3 78S&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Bank of Ireland (13.6) 63 (21.3) 43 3.2 34 9.1 40EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Bond Managers

TCW 3.8 13 13.2 13 7.6 10 8.0 27Munder 3.1 50 12.4 42 7.3 20 7.7 40LB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52

Real Estate

RREEF 0.0 63 12.4 36 N/A N/ARussell NCREIF 3.0 16 13.4 28 N/A N/A






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Hotchkis Wiley 1.4 5 17.2 20 0.9 87 11.6 80Median Large Value Fund (3.2) 9.0 5.0 14.1

Large Growth

Mackay Shields (18.9) 43 (29.3) 18 5.9 37 14.3 49Median Large Growth Fund (19.7) (37.8) 4.3 14.1

Small Value

Kennedy Capital 5.1 12 16.0 46 (0.4) 82 13.2 46David L. Babson (3.5) 84 4.7 84 1.0 70 11.3 73Median Small Value Fund 0.4 15.5 2.9 12.5





Judges & JusticesJudges & Justices

35.2%

8.6%

55.6%

0.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Cash


11.3%

5.8%

2.2%

14.5%

32.9%

0.6% 1.8%2.8%

1.3%

11.3%

8.6%6.9%

0%

5%

10%

15%

20%

25%

30%

35%


12/31/2000 $183,171


Investment Return $964

3/31/2001 $173,340


Assets in ($000)

35.0%

8.6%

55.0%

1.4%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%



Judges & Justices Performance Judges & Justices Performance

Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

David L. Babson (4.3) 30 4.2 27 1.0 80 11.3 78DFA 4.9 2 7.6 23 N/A N/ATCW (22.2) 87 (36.4) 80 10.2 9 16.8 18Dresdner (23.4) 90 (50.8) 95 (12.7) 99 N/ABGI R1000 Value (5.9) 35 0.6 32 N/A N/ABGI S&P 500 (11.9) 56 (21.6) 62 3.7 55 N/ABGI R2000 Growth (15.4) 69 (40.0) 85 N/A N/AS&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48






% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Scudder (16.2) 83 (31.1) 82 0.0 74 5.7 75EAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Bond Managers

Back Bay Advisors 4.2 8 10.5 71 6.6 63 N/ABlack Rock 3.3 29 N/A N/A N/AHoisington 0.0 97 11.2 66 N/A N/ALB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

BGI R1000 Value (5.9) 83 0.6 78 N/A N/AMedian Large Value Fund (3.2) 9.0 - -

Large Core

BGI S&P 500 Fund (11.9) 55 (21.6) 74 3.7 51 N/AMedian Large Core Fund (11.7) (18.7) 3.8 -

Large Growth

TCW (22.2) 68 (36.4) 44 10.2 12 16.8 21Median Large Growth Fund (19.7) (37.8) 4.3 14.1

Small Value

David L. Babson (4.3) 91 4.2 87 1.0 70 11.3 72DFA 4.9 14 7.6 77 N/A N/AMedian Small Value Fund 0.4 15.5 2.9 12.5

Small Growth

BGI R2000 Growth (15.4) 23 (40.0) 47 N/A N/ADresdner RCM (23.4) 74 (50.8) 88 (12.7) 97 N/AMedian Small Growth Fund (19.0) (40.7) 4.6 -



Equity Managers Ranked Against Their Peer GroupsEquity Managers Ranked Against Their Peer GroupsPeriods Ending March 31, 2001 Periods Ending March 31, 2001



Department of WildlifeDepartment of Wildlife

14.7%

42.3%

14.6%

4.6% 3.6%0.2%

4.9%

15.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Allocation by Aeltus Fund as of 3/31/01

12/31/2000 $52,510


Investment Return $295

3/31/2001 $48,740


Assets in ($000)

49.2%

4.6%

42.3%

0.2%3.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Mor

tgag

es

Cash


49.2%

4.6%

42.3%

0.2% 3.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed I

ncom

e

Mor

tgag

es

Cash



Wildlife Performance Wildlife Performance

Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Growth Equity (23.0) 89 (43.2) 89 2.3 71 12.7 67ENH (12.6) 60 (22.9) 66 N/A N/AValue (8.4) 43 6.3 25 0.4 84 11.4 77Small Cap (11.5) 53 (13.0) 47 (0.7) 88 11.5 76S&P 500 (11.9) 56 (21.7) 62 3.1 64 14.2 48


Int'l Equity (16.9) 86 (40.6) 98 N/A N/AEAFE (13.6) 63 (25.8) 57 (0.5) 84 3.5 92

Bond Managers

Fixed Income 3.5 20 12.5 37 6.7 57 7.4 55LB Aggregate 3.0 52 12.5 37 6.9 48 7.5 52

Mortgages

PMSA 2.0 12.2 13.0 15.0





Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Aeltus Value Equity (8.4) 96 6.3 56 0.4 91 11.4 81Median Large Value Fund (3.2) 9.0 5.0 14.1

Large Core

Aeltus Enhanced Core Equity (12.6) 66 (22.9) 85 N/A N/AMedian Large Core Fund (11.7) (18.7) - -

Large Growth

Aeltus Growth Equity (23.0) 72 (43.2) 73 2.3 66 12.7 69Median Large Growth Fund (19.7) (37.8) 4.3 14.1

Small Growth

Aeltus Small Cap Equity (11.5) 8 (13.0) 1 (0.7) 20 11.5 80Median Small Growth Fund (19.0) (40.7) 4.6 8.8



Equity Managers Ranked Against Their Peer GroupsEquity Managers Ranked Against Their Peer GroupsPeriods Ending March 31, 2001 Periods Ending March 31, 2001

Wildlife Performance Wildlife Performance

New England Pension Consultants. 1 Table of Contents > Market Environment > Asset Allocation /...

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