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8/2/2019 Ft. Lauderdale 4th Qtr 11 Full Report
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102 W. Whiting Street, Suite 400, Tampa, FL 33602-5140 Tel: 813/218-5000 www.captrustadv.com
CITY OF FT.LAUDERDALE
POLICE AND FIRE RETIREMENT SYSTEM
PERFORMANCE REVIEWDECEMBER31,2011
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TABLE OF CONTENTS
Important Disclaimer Information 1
Capital Markets Review 2
Performance Review
Total Fund 3
Domestic Equity 4
International Equity 5
Fixed Income 6
Alternative Investments 7
Appendix 8
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This report has been created as a courtesy for the clients of CapTrust Advisors.
The information contained herein was taken from sources believed to be reliable, but no representation or warranty ismade as to its accuracy or completeness.
Performance Comparison Page Information:Shaded areas represent where the investment objective was achieved either by:
1) The investment return versus the index;2) The investment return universe ranking (The lower the number the better the ranking)
Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginningon the last day of an account's inception month. Results do not include the interim period from an account's inceptiondate to an account's first month-end. For example, for an account that has an inception date of March 15, this reportbegins measuring performance as of March 31. Omission of performance during this interim period is likely to result indifferent performance figures than if the interim period's performance was included in this report.
When applicable, investment results depicted represent historical net of fees performance.
Past performance is no guarantee of future performance.
This report is not the official record of your account. However, it has been prepared to assist you with your investmentplanning and is for information purposes only. Your Custodial Client Statement is the official record of your account.Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client
Statement and call your Financial Advisors if you have any questions. Transactions requiring tax consideration should bereviewed carefully with your accountant or tax tax advisor. This is not a substitute for your own records and the year-end1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors.
Indices are unmanaged and you cannot invest directly in an index.
For index definitions, please see the Capital Markets Review.
City ofFt. Lauderdale Policy and Fire
Important Disclaimer Information
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr
Domestic Fixed Income
3 Month T-Bill 0.00% 0.06% 0.06% 0.12% 1.31% 1.91%
Barclays Capital 1-3 year Gov't 0.21% 1.56% 1.56% 1.79% 3.80% 3.39%Barclays Capital Interm Gov't 0.69% 6.08% 6.08% 3.54% 5.86% 4.89%
Barclays Capital Interm Credit 1.13% 5.37% 5.37% 9.59% 6.21% 5.79%
Barclays Capital Interm Govt/Cred 0.84% 5.80% 5.80% 5.65% 5.88% 5.20%
Barclays Capital Aggregate Bond 1.12% 7.84% 7.84% 6.77% 6.50% 5.78%
Domestic Equity
Standard & Poor's 500 11.82% 2.11% 2.11% 14.11% -0.25% 2.92%
Dow Jones Industrial Average 12.78% 8.38% 8.38% 14.89% 2.37% 4.57%Dow Jones US Total Full Cap 11.97% 0.52% 0.52% 15.24% 0.28% 3.90%
Dow Jones US Select REIT 15.36% 9.37% 9.37% 21.63% -2.04% 10.12%
Russell 1000 - Large Cap 11.84% 1.50% 1.50% 14.81% -0.02% 3.35%
Russell 1000 Growth - Large Cap 10.61% 2.64% 2.64% 18.02% 2.50% 2.60%
Russell 1000 Value - Large Cap 13.11% 0.39% 0.39% 11.55% -2.64% 3.89%
Russell Midcap 12.31% -1.55% -1.55% 20.17% 1.42% 6.99%
Russell Midcap Growth 11.24% -1.65% -1.65% 22.06% 2.44% 5.29%
Russell Midcap Value 13.37% -1.38% -1.38% 18.19% 0.04% 7.67%
Russell 2000 - Small Cap 15.47% -4.18% -4.18% 15.63% 0.15% 5.62%
Russell 2000 Growth - Small Cap 14.99% -2.91% -2.91% 19.00% 2.09% 4.48%
Russell 2000 Value - Small Cap 15.97% -5.50% -5.50% 12.36% -1.87% 6.40%
International Equity
MSCI EAFE 3.33% -12.14% -12.14% 7.65% -4.72% 4.67%
MSCI World 7.59% -5.54% -5.54% 11.13% -2.37% 3.62%
MSCI EM 4.08% -20.41% -20.41% 17.35% 0.08% 11.19%
Blended Benchmarks
30% S&P 500 / 70% Barclays Agg 4.33% 6.12% 6.12% 8.97% 4.48% 4.92%
40% S&P 500 / 60% Barclays Agg 5.40% 5.55% 5.55% 9.71% 3.80% 4.64%
50% S&P 500 / 50% Barclays Agg 6.47% 4.98% 4.98% 10.44% 3.13% 4.35%
60% S&P 500 / 40% Barclays Agg 7.54% 4.40% 4.40% 11.17% 2.45% 4.06%
70% S&P 500 / 30% Barclays Agg 8.61% 3.83% 3.83% 11.91% 1.78% 3.78%
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
Capital Markets Overview
The U.S. markets shrugged off persistent concerns over the European debt crisis to end the quarte
better than it began. The latest economic data indicates that the U.S. economy is not in a recession, an
that economic activity probably expanded at its fastest pace of the year during the fourth quarter.
Overseas markets remain mixed. In Europe, the debt crisis and austerity measures are the source o
much consternation. European leaders must deal with the debt, but austerity demands may be forcin
some countries into a recession. China is working through a government controlled economi
slowdown.
After a volatile third quarter the fixed income markets took a breather. However, most sectors of th
fixed income market did see gains for the quarter. The exceptions were long dated Treasuries an
international developed fixed income. Yields remain at historically low levels.
Commodities declined during the quarter, led by metals. Gold ended below its August high, bu
finished the quarter and year with its 11th straight annual gain. Iranian military exercises and threats t
close or restrict shipping lanes caused a late-in-the-quarter spike in crude oil. The U.S. Dollar Index i
up 13% from its March 2008 low as investors perceived the dollar as a safe haven alternative to th
Euro.
Fourth quarter ends much better than it started
> U.S. economy more resilient than expected
> Economic activity expands at faster pace of
the year (4th quarter)
> Recessionary fears subside
-10
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
2000 2002 2004 2006 2008 2010
Real GDPBars = CAGR Line = Yr/Yr Percent Change
GDP - CAGR: Q3 @ 1.8%
GDP - Yr/Yr Percent Change: Q3 @ 1.5%
Percentage estimates for 4th quarter
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
2
4
6
8
1
1
1
1
20
40
60
80
100
120
140
160
87 89 91 93 95 97 99 01 03 05 07 09 11
Consumer Confidence IndexConference Board
Confidence Yr/Yr % Chg: Dec @ 1.8%
Confidence: Dec @ 64.5
12-Month Moving Average: Dec @ 58.1
> Consumer confidence jumps to eight month high
> Investor sentiment improves
> Jobs and employment numbers improve
October rally sparks U.S. equities in fourth quarter
> October marks best month for S&P 500 since 1991
> Energy and Industrials lead S&P 500 to 11.82% return in quarter
> Dow Jones Industrial Average rallies more than 1000 points in October
> Major market caps post gains better than 10% for the quarter, led by small caps (Russell 2000) up15.47%
7.90
8.28
8.72
9.96
10.26
10.82
11.82
12.58
15.39
16.52
18.20
Telecommunication
Utilities
InformationTechnologyHealthCareConsumer StaplesFinancials
S&P500ConsumerDiscretionaryMaterials
Industrials
Energy
S&P5004Q2011SectorReturns
-5.00%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
4Q11 1 year 3 years 5 years 10 years
Return(%
)
B road Dom es t i c Equ i t y P e r f o rm anc e
Large Cap
Mid Cap
Small Cap
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
Most sectors of the fixed income markets see gains during the quarter
> Corporate, High Yield and Preferred sectors all rise
> Yields remain at near historically low levels
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
4Q11 YTD 1YR 3YR 5YRC
reditPerformance
AAA
AA
A
BBB
BB
3YearTrailingTreasuryyields
0
1
2
3
4
5
6
1yr5yr10yr30yr
Long Treasuries see moderate declines
> Benchmark 30-year Treasury yield drops to 2.89% from 2.91%
> International developed fixed income markets trended lower
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
Global economy still threatened by debt and engineered slowdown
> China in the midst of engineered economic slowdown to slow inflation
> Emerging markets improved, but still pressured by slow growth
> Europe struggling to contain debt crisis and calm fears
-12%
-8%
-4%
0%
4%
8%
-12%
-8%
-4%
0%
4%
8%
2002 2004 2006 2008 2010
Eurozone Real GDPBars = Compound Annual Rate Line = Yr/Yr % Change
Compound Annual Growth: Q3 @ 0.6%
Year-over-Year Percent Change: Q3 @ 1.4%
Forecast
Percentage estimates for 4th quarterSource: HIS Global Insight
-1
0.
1.
3.
4.
6.
7.
-1.5%
0.0%
1.5%
3.0%
4.5%
6.0%
7.5%
1970 1975 1980 1985 1990 1995 2000 2005 2010
Real Global GDP GrowthYear-over-Year Percent Change, PPP Weights
Period Average
Percentage estimates for 4th quarter
Source: International Monetary Fund
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientatio
Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and low
forecasted growth rates.
Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average grow
orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yieldand higher forecasted growth rates.
Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average grow
orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russ
2000 Growth Index.
Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average grow
orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russ
2000 Value Index.
MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure t
performance of developed stock markets in these areas.
Barclays Agg Bond is the Lehman Brothers Aggregate Bond Index. This index includes U.S. government, corporate a
mortgage-backed securities rated investment grade or higher with maturities up to 30 years.
S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy.
DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index
comprised of companies whose charter is the equity ownership and operation of commercial real estate.
CAPITAL MARKETS REVIEW DECEMBER 31, 2011
CAPITAL MARKET INDEX RETURNS
19 9 2 19 9 3 19 9 4 19 9 5 19 9 6 19 9 7 19 9 8 19 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 10 2 0
Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell D
B E S T 2000 1000 Wilshire 1000 10 0 0 2 0 00 W ils hir e 2 0 00 Ag g 2 0 00 Wils hir e W ils hire W ils hire 10 0 0 Ag g 10 0 0 2 0 0 0 W ils
Value Value REIT Value Gro wt h Gro wt h R EIT Value B ond Gro wt h R EIT R EIT REIT Gro wt h B ond Gro wt h Gro wt h R
29.15% 32 . 94% 8 .06% 38.35% 37.04% 35.18% 3 8 .71% 4 3 .0 9 % 3 1.0 4 % 13 .9 6 % 10 .2 7% 4 8 .53 % 3 3 .14 % 14 .0 0 % 3 6 .13 % 11.8 1% 5.2 4 % 3 7.2 1% 2 9 .0 9 % 9 .3
DJ Russ ell Russ ell Russ ell Russ ell Russ ell DJ DJ Russ ell Russ ell Russ ell Russ ell DJ BarcWilshire 2000 1000 1000 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire A
REIT Value Growth Growth Growth Value REIT REIT Value Value Value Growth REIT Bo
15.13% 23 . 84% 2 .66% 37.53% 23.12% 33.35% 28.57% 3 3 .16 % 2 2 .8 3 % 12 .3 6 % 3 .6 0 % 4 6 .0 2 % 2 2 .2 5% 13 .54 % 2 6 .3 4 % 11.17% - 2 8.9 2 % 3 4 .4 7% 2 8 .0 7% 7.8
Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Rus10 00 10 00 Wilshire 1000 2000 Agg Agg 2000 1000 200 0 2000 1000 2 00 0 10
Value Value REIT Gro wth Value Bond Bo nd Value Value Value Growth Value Value Gro
13.81% 18.12% 2.66% 37.19% 22.94% 31. 78% 20 . 33% 27 .30% 11. 63% 8 .44% -11.42% 39 . 16% 20 .25% 7.05% 23.48% 7 .05% -36.85% 31.78% 24 .50% 2 .6
Russell DJ Russell Russell Russell Russ ell Russ ell Russ ell Russ ell DJ Russell Russell Russell Barclays DJ Russell2000 Wilshire 2000 1000 1000 1000 1000 1000 1000 Wilshire 1000 1000 1000 Agg Wilshire 1000
Growth REIT Growth Value Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth
7.77% 15.14% 1.31% 31.04 % 21.64 % 30.49% 15.63% 21.04% 7 .01% -5. 59% -15 .52% 36.06% 16.49 % 5.26% 22.25% 6.97% -37.00% 28.46% 16.71% 2.
Russ ell Russ ell Russ ell Russ ell DJ Barclays Russell Russell Russell Russell Russell Russell Rus2 00 0 2 00 0 2 00 0 2 00 0 Wils hire Ag g 1000 2000 1000 2 000 1000 10 00 10
Gro wt h Value Value Va lue R EIT B ond Value Growth Value Growth Growth Value Va
7.62% 13. 37% -1. 55% 25 .75% 21. 37% 19 . 67% 8 .67% 7.35% -9.10% -9.22% -15.94% 30.03% 14.31% 4. 91% 15. 79% 5 .49% -38.44% 26.46% 15 .51% 0 .3
Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell Russell RusAgg 1000 Agg 2 000 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000 20
Bond Value Bond Growth Growth Growth REIT Growth Value Growth Value Growth Value Gro
7.40% 10.06% -1.99% 18.48% 11.26% 12 . 95% 1. 23% -2 .57% -13 .96% -11.88% -22.09% 29.76% 10.87% 4.71% 13.35% -0.17% -38.54% 20.58% 15.06% -2.
Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Rus
1000 Agg 2000 Wilshire Agg 2000 Ag g 100 0 1000 1000 1000 2000 1000 2000 Wilshire 1000 20Gro wth Bond Gro wth REIT Bo nd Value Bo nd Gro wth Gro wth Gro wth Gro wth Growth Gro wth Value REIT Value Va
5.0 0 % 9 .75% - 2 .4 4 % 12 .2 4 % 6 .3 6 % 9 .6 8 % - 6 .4 6 % - 0 .8 3 % - 22 .4 2 % - 2 0.4 2 % - 2 7.8 9 % 28.67% 6 .3 0 % 4 .15% 9 .0 7% - 9.78 % - 39 .2 0 % 19.69% 7.75% -5.
Rus s ell Ba rc lays Barc lays DJ Rus se ll Rus s ell Rus s e ll Ba rc lays Barclays Barc lays Barc lays DJ Barc lays Barclays1000 Ag g Agg Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg
W ORS T Growth Bond Bond REIT Value Growth Growth Bond Bond Bond Bond R EIT Bond Bond
- 11.8 5% 2 .9 0 % - 2 .9 2 % 11.55% 3 .6 1% 2 .0 6 % - 17.0 0 % - 1.4 9 % - 2 2 .4 3 % - 2 2.0 0 % -3 0 .2 7% 4 .11% 4 .3 4 % 2 .4 3 % 4 .3 3 % - 17.56 % - 45.0 9 % 5.9 3 % 6 .54 % - 12
MSCI
EAFE
MSCI
EAFE
MSCI
EAFE
S&P
500
MSCI
EAFE
MSCI
EAFE
S&P
500
MSCI
EAFE
S&P
500
MSCI
EAFE
S&P
500
S&P
500
S&P
500
MSCI
EAFE
S&
50
MS
EA
S&P
500
MSCI
EAFE
MSCI
EAFE
MSCI
EAFE
S&P
500
S&P
500
MSCI
EAFE
MSCI
EAFE
MSCI
EAFE
S&P
500
S&P
500
MSCI
EAFE
S&P
500
S&P
500
S&P
500
S&P
500
MSCI
EAFE
MSCI
EAFE
S&P
500
S&P
500
MSCI
EAFE
S&P
500
MSCI
EAFE
S&P
500
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
RELATIVE PERFORMANCE OF KEY INDICES
Aug '82 DJIA 776
Black Monday - Oct '87 Asian Crisis
Invasion of Iraq
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
RELATIVE PERFORMANCE OF KEY INDICES
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
GENERAL DISCLOSURE STATEMENT
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
FIRM: CapTrust Advisors, LLC is a registered investment advisor with the SEC. CapTrust Advisors registration as an
investment advisor with the U.S. Securities and Ezchange Commission became effective on March 12, 2007. CapTrust is
not a legal or tax advisor.
STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sourceswhich are believed to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are
subject to change without notice. The report herein is not a complete analysis of every material fact in respect to any
company, industry or security. Any market prices are only indications of market values and are subject to change. The
material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any
security or instrument or to participate in any trading strategy. Additional information is available upon request.
ASSET CLASS SUITABILITY: Stocks of small companies are typically more volatile than stocks of larger companies.
They often involve higher risks because they may lack the management expertise, financial resources, product
diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds
are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest
payments. Global/International investing involves risks not typically associated with US investing, including currency
fluctuations, political instability, uncertain economic conditions and different accounting standards.
PAST PERFORMANCE: Past performance is not an indication of future results.
ASSET CLASS PERFORMANCE REPRESENTATIONS: Long Term Treasuries = BC Treasury Long; Municipals =
BC Municipal; Foreign Bonds = Salomon World BIG IB; US Govt/Credit = BC Govt/Credit; Mtge Backed Securities =
ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon
Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks =
RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks =
RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US
Growth = RU 2000 Growth
BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or
Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE
DATA SOURCES: Information found in this document was derived from the following sources: Zephyr Associates
StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, and Standard & Poors.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
GENERAL DISCLOSURE STATEMENT
Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history ofsuccessful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all USstocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisoradjusted to reflect stock splits and the occasional stock switches in the index.
NASDAQ Composite - A cap-weighted index comprised of all common stocks that are listed on the NASDAQ StockMarket (National Association of Securities Dealers Automated Quotation system).
S&P 500 - A broad-based measurement of changes in stock market conditions based on the average performance of 500widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks tradedin the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. Thiindex consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.Smarket exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on atotal return basis with dividends reinvested.
S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 withlower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios andmarket capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in theS&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than theS&P 500.
S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with highebook-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to-price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflectchanges in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than theS&P 500.
Russell 1000 - The 1000 largest companies in the Russell 3000 index, based on market capitalization.
Russell 1000 Growth - A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in thiindex have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values thanthe Russell 1000 Value index.
Russell 1000 Value - Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companiesin this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth valuesthan the Russell 1000 Growth Index.
Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total markecapitalization, and it represents over 35% of the Russell 1000 total market cap.
Russell 2000 - The 2000 smallest companies in the Russell 3000 index.
Russell 2000 Growth - A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in thisindex have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values thanthe Russell 2000 Value index.
Russell 2000 Value - A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this indexhave low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than theRussell 2000 Growth index.
Russell 2500 - The index consisting of the bottom 500 stocks in the Russell 1000(as ranked by market capitalization) andall of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stockperformance, and it represents over 22% of the Russell 3000 total market cap.
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
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CAPITAL MARKETS REVIEW DECEMBER 31, 2011
GENERAL DISCLOSURE STATEMENT
MSCI EAFE - A market capitalization-weighted index representing all of the MSCI developed markets outside NorthAmerica. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries inthe MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 differencountry indexes, all if which are created separately.
MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the worldIt is created by aggregating the 22 different country indexes, all if which are created separately.
MSCI Emerging Markets Free (EMF) - A market capitalization-weighted index representing 26 of the emergingmarkets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developedthe most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includesonly securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 differentcountry indexes, all if which are created separately.
Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bondand the Barclays Capital Credit Bond indices.
Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index withmaturities of 1 and 10 years.
Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital Government/Credit, the Mortgage
Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment grade or higher,have at least one year to maturity, and have an outstanding par value of at least $100 million.
Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index withmaturities of 10 years or greater.
Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and iclassified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index,the original transaction size of a bond must have been greater than $50 million.
Merrill Lynch Convertibles - The convertible securities used in this index span all corporate sectors and must have a paramount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to orgreater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks.When the component bonds of this index convert into common stock, the converted securities are dropped from the index.
Merrill Lynch High Yield Master - Market-cap weighted index providing a broad-based measure of bonds in the USdomestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 orbelow as rated by Moodys and/or S&P, at least $100 million in face value outstanding and a remaining term to finalmaturity equal to or greater than one year.
Dow Jones Wilshire REIT Index - A measurement of equity REITs and Real Estate Operating Companies. No specialpurpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculatedmonthly using buy and hold methodology; it is rebalanced monthly.
Citigroup 3 Month Treasury Bill - Representing the monthly return equivalents of yield averages that are not marked tomarket, this index is an average of the last three three-month Treasury bill issues.
50/50 Blend (S&P 500/BCIGC) A blended benchmark consisting of 50% S&P 500 and 50% Barclays CapitaGovernment/Credit Intermediate indices.
This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
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City of Ft. Lauderdale Police and FireAsset Allocation vs Target & Policy
Total Fund CompositeAs of 12/31/11
Manager
MarketValue
Actual %
Target %
Systematic Financial Management
Intech Large Core
Rhumbline Large Cap Fund
Sawgrass
Lee Munder Small Cap Value
Eagle Asset Management
Franklin Portfolio Advisors
Rhumbline Mid Cap Fund
Total Domestic Equity
Thornburg
Lazard International Equity
Total International Equity
Agincourt
Atlanta Capital
Boyd Watterson
Total Domestic Fixed Income
Cash
Total Short Term
Core Realty Fund
Prudential RE Investors PRISA II
Total Real Estate
K2 Advisors Long/Short
PIMCO All Asset
Total Special Investments
Total Fund Composite
30,728,927.64
21,839,045.24
26,970,044.76
32,949,344.66
26,037,539.71
9,223,257.07
9,512,376.10
14,241,917.64
171,502,452.82
30,212,906.85
22,921,143.89
53,134,050.74
86,177,772.39
26,259,195.75
33,825,527.99
146,262,496.13
44,901,123.66
44,901,123.66
27,743,134.36
13,312,839.53
41,055,973.89
22,184,008.31
19,297,641.86
41,481,650.17
498,337,747.41
6.17
4.38
5.41
6.61
5.22
1.85
1.91
2.86
34.41
6.06
4.60
10.66
17.29
5.27
6.79
29.35
9.01
9.01
5.57
2.67
8.24
4.45
3.87
8.32
100.00
6.25
6.25
6.25
6.25
2.50
2.50
2.50
2.50
35.00
7.50
7.50
15.00
20.00
5.00
5.00
30.00
0.00
0.00
6.67
3.33
10.00
5.00
5.00
10.00
100.00
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City of Ft. Lauderdale Police and FireExecutive Summary Table
Periods Ending December 31, 2011Net of Fee Return
NameValue$(000)
% ofFund
Periods Ending 12/31/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs
Since InceptionRet Date
Total Fund Composite
Policy Index
Large Cap Composite
Intech Large Core
Standard & Poors 500
Rhumbline Large Cap Fund
Standard & Poors 500
Sawgrass
Russell 1000 Growth
Systematic Financial Management
Russell 1000 Value
Small/Mid Cap Composite
Eagle Asset Management
Russell 2000 Growth
Franklin Portfolio Advisors
Russell 2000 Growth
Lee Munder Small Cap Value
Russell 2000 Value
Rhumbline Mid Cap Fund
S&P Midcap 400
International Equity Composite
Lazard International Equity
MSCI EAFE (Net)
Thornburg
MSCI EAFE (Net)
Total Domestic Fixed Income
Agincourt
Barclays U.S. Aggregate
Atlanta Capital
Barclays Int Govt/Credit
Boyd Watterson
Barclays Int Govt/Credit
Cash
Citigroup 3-month T-Bill
Real Estate Composite
498,338
112,487
21,839
26,970
32,949
30,729
59,015
9,223
9,512
26,038
14,242
53,134
22,921
30,213
146,262
86,178
26,259
33,826
44,901
41,056
100.0
22.6
4.4
5.4
6.6
6.2
11.8
1.9
1.9
5.2
2.9
10.7
4.6
6.1
29.4
17.3
5.3
6.8
9.0
8.2
5.60
6.82
11.76
12.48
11.81
11.77
11.81
10.78
10.60
12.30
13.11
14.23
11.13
14.99
15.79
14.99
15.54
15.97
12.93
12.99
3.23
4.35
3.33
1.16
1.37
1.12
0.59
0.84
1.05
0.84
0.05
0.01
2.46
-4.69
-2.17
-5.66
-3.57
-3.69
-3.69
-3.69
-0.99
-3.93
-12.96
-5.22
-10.51
-14.88
-10.60
-7.79
-10.60
-10.37
-8.93
-9.52
-9.47
-20.32
-17.93
-16.30
3.57
4.15
4.98
3.02
3.26
2.54
3.26
0.12
0.02
5.96
-4.02
-1.01
-4.64
-2.15
-3.59
-3.08
-3.59
1.82
-3.20
-13.28
-5.70
-12.92
-11.37
-11.35
-20.03
-17.30
-15.00
6.27
6.55
7.39
0.15
0.04
10.15
-0.54
2.79
1.29
3.95
2.12
2.48
2.12
8.49
2.63
-7.69
0.39
-7.23
-7.26
-5.50
-17.57
-13.84
-12.14
6.96
7.27
7.84
0.18
0.08
15.04
8.75
10.38
13.74
14.73
14.10
14.22
14.10
15.67
18.02
10.74
11.55
18.76
17.13
12.36
5.67
9.52
7.65
8.20
9.71
6.77
0.66
0.12
-4.44
1.48
2.03
0.60
-0.25
-0.04
-0.25
-2.01
-2.64
0.70
3.66
-1.87
-6.01
6.62
6.70
6.50
2.21
6.79
6.75
-0.24
4.85
3.53
6.90
6.75
1.66
2.38
7.13
5.73
1.32
-14.88
-10.60
-7.79
-10.60
3.73
-1.68
-9.52
-9.47
1.49
-1.31
-0.95
-6.59
-8.67
5.78
6.39
6.15
3.84
4.27
3.42
4.27
2.45
-3.40
9/30/95
9/30/95
1/31/07
3/31/04
3/31/04
9/30/95
9/30/95
3/31/07
3/31/07
11/30/02
11/30/02
10/31/06
6/30/11
6/30/11
6/30/11
6/30/11
11/30/06
11/30/06
6/30/11
6/30/11
11/30/00
11/30/11
11/30/11
11/30/07
11/30/07
5/31/05
12/31/95
12/31/95
4/30/11
4/30/11
4/30/11
4/30/11
1/31/06
1/31/06
6/30/07
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City of Ft. Lauderdale Police and FireExecutive Summary Table
Periods Ending December 31, 2011Net of Fee Return
NameValue$(000)
% ofFund
Periods Ending 12/31/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs
Since InceptionRet Date
Core Realty Fund
NCREIF Prop Index
Prudential RE Investors PRISA II
NCREIF Prop Index
K2 Advisors Long/Short
Standard & Poors 500
PIMCO All Asset
Consumer Price Index + 5%
27,743
13,313
22,184
19,298
5.6
2.7
4.5
3.9
2.26
2.96
2.84
2.96
2.55
11.81
4.30
0.71
5.06
6.36
7.81
6.36
-6.35
-3.69
8.50
10.55
13.39
10.55
-7.44
-3.59
12.88
14.26
19.23
14.26
-5.85
2.12
-4.37
2.43
-6.36
2.43
2.45
14.10
-2.68
1.64
-7.03
1.64
-1.58
-0.39
-3.51
1.97
7/31/07
7/31/07
7/31/07
7/31/07
4/30/08
4/30/08
7/31/11
7/31/11
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City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of Total Fund Public SponsorsPeriods Ending 12/11
High
1st Qt
Median3rd Qt
Low
Total Fund Composite
Net Ret
Rank
1 Policy Index
Net Ret
Rank
Last
Qtr
Last
Year
Last 2
Years
Last 3
Years
Last 4
Years
Last 5
Years
Last 6
Years
Last 7
Years
Last 8
Years
Last 9
Years
Last 10
Years
8.26
6.88
5.895.00
4.14
5.60
62
6.82
26
5.17
1.92
1.100.06
-1.83
-0.54
81
2.79
13
9.74
7.43
6.795.81
4.72
5.70
79
7.73
19
15.01
11.56
10.389.24
7.13
8.75
80
10.38
50
3.65
2.59
1.720.49
-1.32
0.06
81
0.99
62
4.66
3.63
2.751.76
0.57
1.48
83
2.03
67
5.61
4.73
4.073.54
2.61
2.96
86
3.49
76
5.73
4.93
4.453.97
3.14
3.50
89
3.56
89
6.34
5.49
5.034.57
3.79
4.34
85
4.14
92
8.33
6.98
6.506.01
5.08
5.78
82
5.66
84
6.60
5.64
5.124.70
3.93
4.23
87
4.04
92
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
1
1
1
1
1
1
1 11
1
1
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City of Ft. Lauderdale Police and FireCalendar Year Performance ComparisonTotal Returns of Total Fund Public Sponsors
Years Ending December
High
1st Qt
Median3rd Qt
Low
Total Fund Composite
Net Ret
Rank
1 Policy Index
Net Ret
Rank
2011 2010 2009 2008 2007 2006 2005 2004 2003 2002
5.17
1.92
1.100.06
-1.83
-0.54
81
2.79
13
16.54
13.94
12.5511.19
8.74
12.33
55
12.92
40
27.82
21.87
19.1615.50
9.58
15.13
78
15.86
72
-9.71
-20.21
-24.04-27.00
-30.37
-22.08
35
-22.66
39
10.77
8.76
7.606.40
4.61
7.38
56
6.30
78
16.43
14.05
12.1810.28
7.20
10.66
71
11.14
64
10.34
8.19
6.525.33
3.94
6.81
44
3.93
95
13.91
11.82
9.898.37
5.71
10.42
40
8.35
75
26.29
22.56
19.7217.04
11.34
18.01
66
18.64
60
1.58
-5.83
-8.21-9.72
-12.76
-8.68
59
-9.50
73
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%25%
30%
1
11
1
1
1
1
1
1
1
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Total Fund Public Sponsors
AnnualizedRateofReturn
7.0 8.2 9.4 10.6 11.8 13.0 14.2 15.4 16.6 17.8 19.0
6.0
6.9
7.8
8.7
9.5
10.4
11.3
12.2
13.1
14.0
14.9
1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
Total Fund Composite
1 Policy Index
Median
8.75 80 12.58 48
10.38 50 13.26 54
10.38 13.08
AnnualizedRateofReturn
6.0 7.4 8.8 10.2 11.6 13.0 14.4 15.8 17.2 18.6 20.0
-2.0
-1.1
-0.2
0.6
1.5
2.5
3.4
4.3
5.2
6.1
7.0
1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
Total Fund Composite
1 Policy Index
Median
1.48 83 12.25 38
2.03 67 12.93 49
2.75 13.05
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City of Ft. Lauderdale Police and FireRisk Measure Summary
Total Fund CompositeQuarterly Periods Ending 12/31/11
Risk Measures
1 Year
Portfolio Bench
3 Years
Portfolio Bench
5 Years
Portfolio Bench
Inception
Portfolio Bench
Negative Periods
Positive Periods
Up Market Capture
Down Market Capture
Batting Average
Worst Quarter
Best Quarter
Worst 4 Quarters
Best 4 Quarters
Standard Deviation
Beta
Alpha
R-Squared
Sharpe Ratio
Treynor Ratio
Tracking Error
Information Ratio
1
3
0.84
1.16
0.00
-9.73
5.61
-0.49
-0.49
1
3
-8.41
6.82
2.79
2.79
3
9
0.90
0.98
0.17
-9.73
10.07
-0.49
26.88
12.58
0.94
-0.24
0.99
0.69
9.17
1.49
-1.05
3
9
-8.41
11.10
2.44
29.38
13.26
0.77
8
12
0.93
0.98
0.35
-11.33
10.07
-22.18
26.88
12.25
0.94
-0.13
0.99
0.00
0.02
1.69
-0.36
8
12
-12.61
11.10
-24.64
29.38
12.93
0.04
19
46
0.97
0.94
0.48
-11.33
14.12
-22.18
33.57
10.42
0.96
0.05
0.96
0.34
3.75
2.04
-0.00
19
46
-12.61
12.93
-24.64
32.86
10.69
0.33
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City of Ft. Lauderdale Police and FireIntech Large Core as of 12/31/11
Exxon Mobil CorpApple Inc
Chevron Corp
At&T Inc
Intl Business McHn
General Elec Co
Pfizer Inc
Procter & Gamble Co
Johnson & Johnson
Philip Morris Intl I
GICS Sector % Port
EnergyInformation Technology
Energy
Telecom Services
Information Technology
Industrials
Health Care
Consumer Staples
Health Care
Consumer Staples
4.382.24
2.19
2.10
1.95
1.55
1.39
1.32
1.21
1.20
EnergyMaterials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecom Services
Utilities
% Port
14.193.29
9.59
11.29
14.19
15.05
8.33
14.64
3.82
5.61
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/04
Intech Large Core Standard & Poors 500
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/04
Intech Large Core
Standard & Poors 500
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
12.48
11.81
19,398
19
2,422
21,839
3.95
2.12
26,915
-6,222
1,146
21,839
3.95
2.12
26,915
-6,222
1,146
21,839
14.73
14.10
31,783
-21,251
11,307
21,839
0.60
-0.25
41,867
-18,731
-1,298
21,839
4.85
3.53
33,478
-23,347
11,708
21,839
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
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City of Ft. Lauderdale Police and FireIntech Large Core as of 12/31/11
Cash & Equiv$149 0.68%
Domestic Equity$21,690 99.32%
Periods from 3/04 to 12/11
Alpha
Beta
R-Squared
0.33
0.98
0.99
AnnualizedReturn%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
2.0
2.5
3.0
3.5
4.0
4.5
5.0i
1
T
Annualized Standard Deviation%
i Intech Large Core
1 Standard & Poors 500
T 91-Day Treasury Bill
AnnualizedNet Ret
Std.Dev.
SharpeRatio
InfoRatio
4.85
3.53
2.11
17.15
17.48
0.99
0.16
0.08
0.00
0.63
Asset Allocation ($000)
Risk/Return Analysis
26
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City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 12/11
High
1st Qt
Median3rd Qt
Low
i Intech Large Core
Net Ret
Rank
1 Standard & Poors 500
Net Ret
Rank
Last
Qtr
Last
Year
Last 2
Years
Last 3
Years
Last 4
Years
Last 5
Years
Last 6
Years
Last 7
Years
13.28
12.10
11.8111.64
8.23
12.48
13
11.81
63
6.19
2.20
2.081.09
-5.69
3.95
11
2.12
36
11.08
8.86
8.417.91
4.39
9.70
14
8.39
52
17.95
15.15
14.2414.07
11.81
14.73
35
14.10
72
2.52
-0.94
-1.50-1.61
-3.24
-1.08
33
-1.64
80
3.60
0.49
-0.15-0.23
-1.43
0.60
22
-0.25
77
5.54
2.72
2.322.23
1.22
2.84
21
2.27
74
5.02
3.37
2.822.65
2.08
3.73
19
2.64
85
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%18%
20%
i1
i
1
i1
i1
i 1
i 1
i 1i1
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City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High
1st Qt
Median3rd Qt
Low
i Intech Large Core
Net Ret
Rank
1 Standard & Poors 500
Net Ret
Rank
2011 2010 2009 2008 2007 2006 2005
6.19
2.20
2.081.09
-5.69
3.95
11
2.12
36
21.22
17.07
15.1314.94
12.16
15.77
38
15.05
69
39.27
29.85
26.7826.47
21.28
25.49
86
26.45
75
-27.80
-35.89
-36.95-37.19
-41.46
-36.60
32
-36.99
68
10.93
6.14
5.545.25
0.65
7.61
13
5.52
53
19.93
15.93
15.7815.46
11.16
14.84
80
15.81
43
11.98
8.40
5.104.90
3.97
9.24
18
4.89
76
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
i 1
i 1
i 1
i 1
i 1
i 1
i1
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
AnnualizedRateofReturn
15.0 16.2 17.4 18.6 19.8 21.0 22.2 23.4 24.6 25.8 27.0
10.0
10.9
11.7
12.6
13.5
14.4
15.3
16.2
17.1
18.0
18.9
i1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Intech Large Core
1 Standard & Poors 500
Median
14.73 35 20.93 15
14.10 72 21.27 38
14.24 21.28
AnnualizedRateofReturn
17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
i
1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Intech Large Core
1 Standard & Poors 500
Median
0.60 22 20.80 18
-0.25 77 21.14 41
-0.15 21.14
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City of Ft. Lauderdale Police and FireRisk Measure Summary
Intech Large CoreQuarterly Periods Ending 12/31/11
Risk Measures
1 Year
Portfolio Bench
3 Years
Portfolio Bench
5 Years
Portfolio Bench
Inception
Portfolio Bench
Negative Periods
Positive Periods
Up Market Capture
Down Market Capture
Batting Average
Worst Quarter
Best Quarter
Worst 4 Quarters
Best 4 Quarters
Standard Deviation
Beta
Alpha
R-Squared
Sharpe Ratio
Treynor Ratio
Tracking Error
Information Ratio
1
3
1.15
1.03
0.75
-14.27
12.48
3.95
3.95
1
3
-13.86
11.81
2.12
2.12
3
9
1.02
0.99
0.67
-14.27
15.35
1.74
48.89
20.93
0.98
0.19
1.00
0.70
14.85
1.27
0.39
3
9
-13.86
15.93
1.15
49.75
21.27
0.66
8
12
1.00
0.96
0.65
-21.62
15.35
-37.08
48.89
20.80
0.98
0.20
0.99
-0.04
-0.90
2.10
0.36
8
12
-21.93
15.93
-38.07
49.75
21.14
-0.08
10
21
1.02
0.93
0.68
-21.62
15.35
-37.08
48.89
17.15
0.98
0.33
0.99
0.16
2.81
1.95
0.63
11
20
-21.93
15.93
-38.07
49.75
17.48
0.08
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City of Ft. Lauderdale Police and FireEquity Summary Statistics
Intech Large CorePeriod Ending 12/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Standard & Poors 500
36421,689,58378,360,07912,883,270
2.2714.9015.920.942.23
50.926.18
500
95,291,39211,148,225
2.2214.3515.581.002.02
70.456.14
Ten Largest Holdings
Exxon Mobil CorpApple IncChevron CorpAt&T Inc
Intl Business McHnGeneral Elec CoPfizer IncProcter & Gamble CoJohnson & JohnsonPhilip Morris Intl I
Market Value % of Portfolio Quarterly Ret
949,312486,000474,438454,114
422,924336,708301,683286,853262,320258,984
4.382.242.192.10
1.951.551.391.321.211.20
17.396.25
15.927.64
5.4818.6323.626.443.89
27.07
Ten Best Performers
Pulte Homes CorpEl Paso CorpMasco CorpLennar Corp- Cl AHelmerich & Payne InNabors Industries LtGoodyear Tire & RubrD R Horton IncFmc Technologies IncWilliams Cos
Quarterly Ret
59.7552.0648.6245.5243.9341.4440.4439.9338.9136.71
Ten Worst Performers
Sears Hldgs CorpNetflix Com IncAbercrombie & FitchAmazon Com IncBMC Software IncNrg Energy IncFrontier CommunicatiChesapeake Energy CoFederated Invs Inc PWatson Pharmaceutica
Quarterly Ret
-44.39-38.77-20.35-19.95-14.99-14.57-12.77-12.76-12.48-11.59
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City of Ft. Lauderdale Police and FireEquity Contribution to Return
Intech Large CorePeriod Ending 12/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Standard & Poors 500
36421,689,58378,360,07912,883,270
2.2714.9015.920.942.23
50.926.18
500
95,291,39211,148,225
2.2214.3515.581.002.02
70.456.14
Ten Best Contributors
Exxon Mobil CorpChevron CorpPfizer IncPhilip Morris Intl I
General Elec CoCbs CorpNational-Oilwell IncLauder Estee Cos IncOneok Inc NewHoneywell Intl Inc
Market Value % of Portfolio Quarterly Ret
949,312474,438301,683258,984
336,708146,556142,779146,016112,697141,310
4.382.191.391.20
1.550.680.660.670.520.65
17.3915.9223.6227.07
18.6333.6732.9629.1232.2224.64
Ten Worst Contributors
Netflix Com IncBaxter Intl IncOracle Systems CorpWatson PharmaceuticaAbercrombie & FitchCerner CorpTeradata Corp DelNrg Energy IncChesapeake Energy CoSt Jude Med Inc
Market Value % of Portfolio Quarterly Ret
41,574133,596112,988102,578
48,84085,75087,31832,61635,66485,750
0.190.620.520.470.230.400.400.150.160.40
-38.77-11.28-10.57-11.59-20.35-10.61-9.38
-14.57-12.76-4.64
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
Intech Large CoreQuarter Ending 12/11
GICS Sectors
Weight
Portfolio Index
Return
Portfolio Index
Selection
Stock Sector Total
Energy
Materials
Industrials
Consumer Discretionary
Consumer Staples
Health CareFinancials
Information Technology
Telecom. Services
Utilities
14.27
4.17
10.51
9.91
13.73
13.119.19
15.14
4.51
5.45
100.00
11.63
3.36
10.27
10.57
11.76
12.1413.59
19.44
3.29
3.97
100.00
20.15
14.97
18.25
12.42
11.00
8.2713.67
8.59
7.73
11.28
12.77
18.22
15.32
16.61
12.68
10.26
10.0710.83
8.78
7.62
8.25
11.86
0.27
-0.01
0.17
-0.03
0.10
-0.240.26
-0.03
0.01
0.16
0.68
0.17
0.03
0.01
-0.01
-0.03
-0.020.05
0.13
-0.05
-0.05
0.23
0.44
0.01
0.18
-0.03
0.07
-0.250.31
0.10
-0.05
0.11
0.90
Index - Standard & Poors 500
Stock Selection Return Attribution
[ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ]
Sector Selection Return Attribution
[ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ]
Trading Effect -0.09%
[ Actual Return 12.68% ] - [ Buy Hold Return 12.77% ]
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
Intech Large CoreQuarter Ending 12/11
% Allocation
Energy 14.27 11.63
Materials 4.17 3.36
Industrials 10.51 10.27
Con. Discretionary 9.91
10.57
Consumer Staples 13.73 11.76
Health Care 13.11 12.14
Financials 9.19 13.59
Infomation Tech. 15.14 19.44
Telecom. Services 4.51 3.29
Utilities 5.45 3.97
Intech Large Core Standard & Poors 500
% Return
20.15
18.22
14.97
15.32
18.25
16.61
12.42
12.68
11.00
10.26
8.27
10.07
13.67
10.83
8.59
8.78
7.73
7.62
11.28
8.25
% Variance
0.44
0.01
0.18
-0.03
0.07
-0.25
0.31
0.10
-0.05
0.11
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City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 12/31/11
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
9/30/95
Rhumbline Large Cap Fund Standard & Poors 500
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
9/30/95
Rhumbline Large Cap Fund
Standard & Poors 500
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
11.77
11.81
24,126
4
2,840
26,970
2.48
2.12
41,073
-15,659
1,555
26,970
2.48
2.12
41,073
-15,659
1,555
26,970
14.22
14.10
27,771
-14,070
13,269
26,970
-0.04
-0.25
40,711
-13,185
-555
26,970
3.05
2.92
17,606
-4,315
13,680
26,970
6.90
6.75
8,000
9,758
9,212
26,970
Portfolio Performance (%)
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City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 12/31/11
Cash & Equiv$13 0.05%
Domestic Equity$26,957 99.95%
Periods from 9/95 to 12/11
Alpha
Beta
R-Squared
0.04
0.99
1.00
AnnualizedReturn%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0l1
T
Annualized Standard Deviation%
l Rhumbline Large Cap Fund
1 Standard & Poors 500
T 91-Day Treasury Bill
AnnualizedNet Ret
Std.Dev.
SharpeRatio
InfoRatio
6.90
6.75
3.21
17.84
18.08
1.07
0.21
0.20
0.00
0.15
Asset Allocation ($000)
Risk/Return Analysis
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City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 12/11
High
1st Qt
Median3rd Qt
Low
l Rhumbline Large Cap Fund
Net Ret
Rank
1 Standard & Poors 500
Net Ret
Rank
Last
Qtr
Last
Year
Last 2
Years
Last 3
Years
Last 4
Years
Last 5
Years
Last 6
Years
Last 7
Years
Last 8
Years
Last 9
Years
Last 10
Years
13.28
12.10
11.8111.64
8.23
11.77
70
11.81
63
6.19
2.20
2.081.09
-5.69
2.48
20
2.12
36
11.08
8.86
8.417.91
4.39
8.53
35
8.39
52
17.95
15.15
14.2414.07
11.81
14.22
50
14.10
72
2.52
-0.94
-1.50-1.61
-3.24
-1.40
45
-1.64
80
3.60
0.49
-0.15-0.23
-1.43
-0.04
42
-0.25
77
5.54
2.72
2.322.23
1.22
2.45
38
2.27
74
5.02
3.37
2.822.65
2.08
2.80
51
2.64
85
6.67
4.45
3.803.65
3.32
3.77
50
3.63
88
9.26
7.17
6.486.17
5.81
6.28
56
6.16
83
7.21
4.02
3.202.94
2.86
3.05
54
2.92
87
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%18%
20%
l1
l1
l1
l1
l1
l1
l1 l1l1
l1
l1
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City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High
1st Qt
Median3rd Qt
Low
l Rhumbline Large Cap Fund
Net Ret
Rank
1 Standard & Poors 500
Net Ret
Rank
2011 2010 2009 2008 2007 2006 2005 2004 2003 2002
6.19
2.20
2.081.09
-5.69
2.48
20
2.12
36
21.22
17.07
15.1314.94
12.16
14.93
75
15.05
69
39.27
29.85
26.7826.47
21.28
26.51
74
26.45
75
-27.80
-35.89
-36.95-37.19
-41.46
-36.56
31
-36.99
68
10.93
6.14
5.545.25
0.65
5.60
37
5.52
53
19.93
15.93
15.7815.46
11.16
15.86
31
15.81
43
11.98
8.40
5.104.90
3.97
4.90
75
4.89
76
19.81
12.56
10.9210.82
8.99
10.85
71
10.87
66
41.03
31.54
28.7328.60
24.65
28.59
77
28.69
58
-6.83
-20.89
-22.00-22.08
-23.79
-21.92
44
-22.12
84
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
l1
l1
l1
l1
l1
l1
l1
l1
l1
l1
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
AnnualizedRateofReturn
15.0 16.2 17.4 18.6 19.8 21.0 22.2 23.4 24.6 25.8 27.0
10.0
10.9
11.7
12.6
13.5
14.4
15.3
16.2
17.1
18.0
18.9
l1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
l Rhumbline Large Cap Fund
1 Standard & Poors 500
Median
14.22 50 21.14 21
14.10 72 21.27 38
14.24 21.28
AnnualizedRateofReturn
17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
l1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
l Rhumbline Large Cap Fund
1 Standard & Poors 500
Median
-0.04 42 20.98 23
-0.25 77 21.14 41
-0.15 21.14
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City of Ft. Lauderdale Police and FireRisk Measure SummaryRhumbline Large Cap Fund
Quarterly Periods Ending 12/31/11
Risk Measures
1 Year
Portfolio Bench
3 Years
Portfolio Bench
5 Years
Portfolio Bench
Inception
Portfolio Bench
Negative Periods
Positive Periods
Up Market Capture
Down Market Capture
Batting Average
Worst Quarter
Best Quarter
Worst 4 Quarters
Best 4 Quarters
Standard Deviation
Beta
Alpha
R-Squared
Sharpe Ratio
Treynor Ratio
Tracking Error
Information Ratio
1
3
1.02
1.00
0.50
-13.83
11.77
2.48
2.48
1
3
-13.86
11.81
2.12
2.12
3
9
1.00
1.00
0.42
-13.83
15.88
1.43
49.68
21.14
0.99
0.04
1.00
0.67
14.16
0.36
0.22
3
9
-13.86
15.93
1.15
49.75
21.27
0.66
8
12
1.00
0.99
0.65
-21.62
15.88
-37.64
49.68
20.98
0.99
0.04
1.00
-0.07
-1.53
0.31
0.56
8
12
-21.93
15.93
-38.07
49.75
21.14
-0.08
21
44
1.00
0.99
0.63
-21.62
21.07
-37.64
49.68
17.84
0.99
0.04
1.00
0.21
3.74
0.68
0.15
21
44
-21.93
21.32
-38.07
49.75
18.08
0.20
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City of Ft. Lauderdale Police and FireSawgrass as of 12/31/11
Google IncApple Inc
Intl Business McHn
Microsoft Corp
Exxon Mobil Corp
McDonalds Corp
Coca Cola Co
Celgene Corp
Abbott Labs
Mastercard Inc
GICS Sector % Port
Information TechnologyInformation Technology
Information Technology
Information Technology
Energy
Consumer Discretionary
Consumer Staples
Health Care
Health Care
Information Technology
5.114.59
4.39
4.00
3.78
3.69
3.39
3.24
3.11
2.83
EnergyMaterials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecom Services
Utilities
% Port
10.955.07
10.46
17.16
13.32
10.15
2.65
28.29
1.96
0.00
-2.00.02.04.06.08.0
10.012.0
14.016.018.020.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/07
Sawgrass Russell 1000 Growth
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
3/31/07
Sawgrass
Russell 1000 Growth
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
10.78
10.60
29,707
40
3,202
32,949
8.49
2.63
33,515
-3,342
2,777
32,949
8.49
2.63
33,515
-3,342
2,777
32,949
15.67
18.02
38,970
-21,932
15,912
32,949
1.66
2.38
51,428
-19,797
1,318
32,949
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
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City of Ft. Lauderdale Police and FireSawgrass as of 12/31/11
Cash & Equiv$693 2.10%
Domestic Equity$32,257 97.90%
Periods from 3/07 to 12/11
Alpha
Beta
R-Squared
-0.20
0.85
0.96
AnnualizedReturn%
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0
1.21.31.41.51.61.71.81.92.02.12.22.32.42.5
s
1
T
Annualized Standard Deviation%
s Sawgrass
1 Russell 1000 Growth
T 91-Day Treasury Bill
AnnualizedNet Ret
Std.Dev.
SharpeRatio
InfoRatio
1.66
2.38
1.29
18.81
21.85
0.93
0.02
0.05
0.00
-0.29
Asset Allocation ($000)
Risk/Return Analysis
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City of Ft. Lauderdale Police and FireLarge Growth Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 12/11
High
1st Qt
Median3rd Qt
Low
s Sawgrass
Net Ret
Rank
1 Russell 1000 Growth
Net Ret
Rank
Last
Qtr
Last
Year
Last 2
Years
Last 3
Years
Last 4
Years
13.36
10.87
9.738.29
6.71
10.78
26
10.60
31
6.73
2.02
-0.35-4.06
-8.86
8.49
3
2.63
20
12.75
9.69
7.305.97
2.74
9.58
27
9.45
29
24.26
17.49
15.5714.39
11.34
15.67
49
18.02
22
3.11
0.53
-0.68-2.87
-4.31
-0.39
45
0.30
33
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
s 1s
1
s 1
s
1
s 1
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City of Ft. Lauderdale Police and FireLarge Growth Consecutive Performance Comparisons
Total Returns of Equity PortfoliosYears Ending December
High
1st Qt
Median3rd Qt
Low
s Sawgrass
Net Ret
Rank
1 Russell 1000 Growth
Net Ret
Rank
2011 2010 2009 2008
6.73
2.02
-0.35-4.06
-8.86
8.49
3
2.63
20
26.12
19.23
16.9013.38
9.66
10.69
91
16.72
53
54.26
40.87
34.6030.98
24.07
28.88
83
37.21
35
-28.78
-35.37
-38.47-42.20
-49.17
-36.37
34
-38.44
49
-60%
-50%
-40%-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
s1
s1
s
1
s 1
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Growth Portfolios
AnnualizedRateofReturn
13.0 14.5 16.0 17.5 19.0 20.5 22.0 23.5 25.0 26.5 28.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
26.0
s
1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 12/31/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
s Sawgrass
1 Russell 1000 Growth
Median
15.67 49 16.14 3
18.02 22 19.72 38
15.57 20.35
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City of Ft. Lauderdale Police and FireRisk Measure Summary
SawgrassQuarterly Periods Ending 12/31/11
Risk Measures
1 Year
Portfolio Bench
3 Years
Portfolio Bench
5 Years
Portfolio Bench
Inception
Portfolio Bench
Negative Periods
Positive Periods
Up Market Capture
Down Market Capture
Batting Average
Worst Quarter
Best Quarter
Worst 4 Quarters
Best 4 Quarters
Standard Deviation
Beta
Alpha
R-Squared
Sharpe Ratio
Treynor Ratio
Tracking Error
Information Ratio
1
3
1.18
0.81
1.00
-10.62
10.78
8.49
8.49
1
3
-13.14
10.60
2.63
2.63
3
9
0.84
0.86
0.42
-10.62
13.15
5.22
40.15
16.14
0.80
0.24
0.97
0.96
19.29
4.92
-0.56
3
9
-13.14
16.32
2.63
49.75
19.72
0.91
8
11
0.47
-21.12
13.15
-36.37
40.15
7
12
-22.79
16.32
-38.44
49.75
8
11
0.83
0.89
0.47
-21.12
13.15
-36.37
40.15
18.81
0.85
-0.20
0.96
0.02
0.43
4.90
-0.29
7
12
-22.79
16.32
-38.44
49.75
21.85
0.05
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City of Ft. Lauderdale Police and FireEquity Summary Statistics
SawgrassPeriod Ending 12/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Growth
4132,256,528
111,830,60954,516,213
1.6515.5116.250.884.00
44.6612.68
588
96,512,0335,590,219
1.6216.2517.171.003.84
67.9011.64
Ten Largest Holdings
Google IncApple IncIntl Business McHnMicrosoft Corp
Exxon Mobil CorpMcDonalds CorpCoca Cola CoCelgene CorpAbbott LabsMastercard Inc
Market Value % of Portfolio Quarterly Ret
1,647,0451,478,2501,415,8761,290,212
1,217,1541,188,9111,091,5321,044,4201,003,706
913,409
5.114.594.394.00
3.783.693.393.243.112.83
25.576.255.485.08
17.3915.104.309.17
10.9617.61
Ten Best Performers
Occidental Pete CorpHome Depot IncGoogle IncDover CorpStarbucks CorpCaterpillar IncBoeing CoCvs CorpRoss Stores IncYum Brands Inc
Quarterly Ret
31.6828.8525.5725.3323.8623.3721.9821.8821.1120.14
Ten Worst Performers
Thermo Fisher ScientDirectvSigma Aldrich CorpCostco Whsl Corp NewE M C Corp MassDr Pepper Snapple GrCoca Cola CoUnited TechnologiesMicrosoft CorpIntl Business McHn
Quarterly Ret
-11.201.211.381.752.622.664.304.525.085.48
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City of Ft. Lauderdale Police and FireEquity Contribution to Return
SawgrassPeriod Ending 12/11
Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth
Portfolio Russell 1000 Growth
4132,256,528
111,830,60954,516,213
1.6515.5116.250.884.00
44.6612.68
588
96,512,0335,590,219
1.6216.2517.171.003.84
67.9011.64
Ten Best Contributors
Google IncOccidental Pete CorpExxon Mobil CorpStarbucks Corp
Ross Stores IncMcDonalds CorpMedco Health SolutioCaterpillar IncCvs CorpMastercard Inc
Market Value % of Portfolio Quarterly Ret
1,647,045749,600
1,217,154816,678
903,0701,188,911
893,003714,834762,994913,409
5.112.333.782.53
2.803.692.772.222.372.83
25.5731.6817.3923.86
21.1115.1019.2223.3721.8817.61
Ten Worst Contributors
Thermo Fisher ScientSigma Aldrich CorpCostco Whsl Corp NewDirectvE M C Corp MassDr Pepper Snapple GrUnited TechnologiesCoca Cola CoAmerican Express CoIntel Corp
Market Value % of Portfolio Quarterly Ret
331,879293,562272,456615,316753,900815,262814,954
1,091,532855,711354,050
1.030.910.851.912.342.532.533.392.651.10
-11.201.381.751.212.622.664.524.305.49
14.68
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
SawgrassQuarter Ending 12/11
GICS Sectors
Weight
Portfolio Index
Return
Portfolio Index
Selection
Stock Sector Total
Energy
Materials
Industrials
Consumer Discretionary
Consumer Staples
Health CareFinancials
Information Technology
Telecom. Services
Utilities
9.82
4.94
9.00
16.45
14.39
13.002.85
27.94
1.61
0.00
100.00
10.34
5.11
12.08
14.45
13.03
11.053.74
28.87
1.24
0.09
100.00
19.30
13.29
13.95
15.30
5.60
8.575.49
9.51
10.55
11.23
18.73
15.61
15.94
9.43
8.97
7.3612.18
7.11
8.15
3.86
10.62
0.06
-0.11
-0.18
0.97
-0.49
0.16-0.19
0.67
0.04
0.00
0.92
-0.04
-0.01
-0.16
-0.02
-0.02
-0.06-0.01
0.03
-0.01
0.01
-0.31
0.01
-0.12
-0.34
0.94
-0.51
0.09-0.20
0.70
0.03
0.01
0.61
Index - Russell 1000 Growth
Stock Selection Return Attribution
[ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ]
Sector Selection Return Attribution
[ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ]
Trading Effect 0.27%
[ Actual Return 11.50% ] - [ Buy Hold Return 11.23% ]
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
SawgrassQuarter Ending 12/11
% Allocation
Energy 9.82 10.34
Materials 4.94 5.11
Industrials 9.00 12.08
Con. Discretionary 16.45
14.45
Consumer Staples 14.39 13.03
Health Care 13.00 11.05
Financials 2.85 3.74
Infomation Tech. 27.94 28.87
Telecom. Services 1.61 1.24
Utilities 0.00 0.09
Sawgrass Russell 1000 Growth
% Return
19.30
18.73
13.29
15.61
13.95
15.94
15.30
9.43
5.60
8.97
8.57
7.36
5.49
12.18
9.51
7.11
10.55
8.15
3.86
% Variance
0.01
-0.12
-0.34
0.94
-0.51
0.09
-0.20
0.70
0.03
0.01
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City of Ft. Lauderdale Police and FireSystematic Financial Management as of 12/31/11
Chevron CorpPfizer Inc
General Elec Co
Unitedhealth Group I
At&T Inc
Discover Finl Svcs
J P Morgan Chase & C
PNC Financial Corp
First Energy Corp
Freeport-McMoran Cop
GICS Sector % Port
EnergyHealth Care
Industrials
Health Care
Telecom Services
Financials
Financials
Financials
Utilities
Materials
3.633.33
3.16
3.12
2.82
2.77
2.72
2.66
2.63
2.16
EnergyMaterials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecom Services
Utilities
% Port
13.504.90
10.20
10.88
5.20
13.78
24.34
9.37
2.82
5.01
-8.0-6.0-4.0-2.00.02.04.06.0
8.010.012.014.0
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/02
Systematic Financial Management Russell 1000 Value
Net of Fee Returns
Qtr
YTD
1 Year
3 Year
5 Year
10 Year
Incept
11/30/02
Systematic Financial Management
Russell 1000 Value
Asset Growth ($000)
Beginning Market Value
Net Contributions & Withdrawals
Gain/Loss + Income
Ending Market Value
12.30
13.11
27,337
29
3,363
30,729
-7.69
0.39
37,396
-4,379
-2,287
30,729
-7.69
0.39
37,396
-4,379
-2,287
30,729
10.74
11.55
39,205
-20,911
12,436
30,729
-2.01
-2.64
75,524
-41,982
-2,814
30,729
7.13
5.73
42,609