ft.lauderdale 3rd 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 REVIEWSEPTEMBER30,2011
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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 Police and Fire
Important Disclaimer Information
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CAPITAL MARKETS REVIEW SEPTEMBER 30, 2011
Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr
Domestic Fixed Income
3 Month T-Bill 0.01% 0.05% 0.09% 0.15% 1.57% 1.96%
Barclays Capital 1-3 year Gov't 0.47% 1.35% 1.23% 2.74% 3.96% 3.44%Barclays Capital Interm Gov't 3.19% 5.36% 3.72% 5.38% 5.91% 4.80%
Barclays Capital Interm Credit 0.94% 4.19% 2.92% 10.16% 6.24% 5.71%
Barclays Capital Interm Govt/Cred 2.39% 4.92% 3.40% 7.03% 5.92% 5.12%
Barclays Capital Aggregate Bond 3.82% 6.65% 5.26% 7.97% 6.53% 5.66%
Domestic Equity
Standard & Poor's 500 -13.87% -8.68% 1.14% 1.23% -1.18% 2.82%
Dow Jones Industrial Average -11.50% -3.90% 3.84% 3.15% 1.37% 4.67%Dow Jones US Total Full Cap -15.32% -10.23% 0.31% 1.75% -0.57% 3.93%
Dow Jones US Select REIT -14.54% -5.20% 1.87% -2.16% -3.18% 9.08%
Russell 1000 - Large Cap -14.68% -9.25% 0.91% 1.61% -0.91% 3.28%
Russell 1000 Growth - Large Cap -13.14% -7.20% 3.78% 4.69% 1.62% 3.01%
Russell 1000 Value - Large Cap -16.20% -11.24% -1.89% -1.52% -3.53% 3.36%
Russell Midcap -18.90% -12.34% -0.88% 3.97% 0.56% 7.45%
Russell Midcap Growth -19.33% -11.59% 0.80% 5.89% 1.64% 6.70%
Russell Midcap Value -18.46% -13.01% -2.36% 1.98% -0.84% 7.54%
Russell 2000 - Small Cap -21.87% -17.02% -3.53% -0.37% -1.02% 6.12%
Russell 2000 Growth - Small Cap -22.25% -15.57% -1.12% 2.07% 0.96% 5.45%
Russell 2000 Value - Small Cap -21.48% -18.51% -5.99% -2.78% -3.08% 6.47%
International Equity
MSCI EAFE -19.01% -14.98% -9.36% -1.13% -3.46% 5.03%
MSCI World -16.61% -12.20% -4.35% -0.07% -2.23% 3.71%
MSCI EM -23.19% -23.53% -18.14% 3.81% 2.50% 13.35%
Blended Benchmarks
30% S&P 500 / 70% Barclays Agg -1.49% 2.05% 4.02% 5.95% 4.22% 4.81%
40% S&P 500 / 60% Barclays Agg -3.26% 0.52% 3.61% 5.27% 3.45% 4.52%
50% S&P 500 / 50% Barclays Agg -5.03% -1.02% 3.20% 4.60% 2.68% 4.24%
60% S&P 500 / 40% Barclays Agg -6.79% -2.55% 2.79% 3.93% 1.90% 3.96%
70% S&P 500 / 30% Barclays Agg -8.56% -4.08% 2.38% 3.25% 1.13% 3.67%
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 SEPTEMBER 30, 2011
Capital Markets Summary
Concerns over the fate of the global economy
increased this quarter. Weighing heavily onthe markets was a steady supply of mixed
economic reports from the U.S., continuing
debt problems in Europe, and indications of a
softening economy in China.
Investors gained little confidence from the
possibility of another round of easing in the
U.S. or the announcement of a $400 billion
bond buy/sell program. Operation Twist
received mixed reviews from economists and
market watchers on its ability to change the
current economic landscape. Market stability
was further hampered by the Feds assessment
of significant downside economic risk that
raised the fear of a double-dip recession.
While the U.S. economy continued to plod
along, European leaders met to discuss Greeces potential default. This was in addition to a previou
announcement that the established EuroZone bailout fund may not be enough to resolve the Europea
debt dilemma. China provided no relief this quarter as key manufacturing data from the pacific rimleader showed a decline for the third straight month. Korea also missed factory production estimate
and Japan, of course, is still suffering from infrastructure damage caused by the tsunami earlier thi
year.
In domestic markets, the major averages all finished decidedly lower this quarter and are now in
negative territory for the year. The Dow Jones Industrial Average (DJIA) is down 3.9% YTD. Th
S&P 500 lost for the fifth straight month. The total return for the index is down 8.7% for the year. The
NASDAQ Composite (NASDAQ) is down 8.2% YTD.
Small and mid-cap stocks each suffered double digit loses in September. The S&P Mid-Cap 400 los
10.58%, and is down 13.02% YTD. The S&P 600 lost 10.28%, and is down 13.8% YTD. Jobles
claims, unemployment, S&Ps lowered credit rating, political posturing debt ceiling and job
package, and the renewed threat of a recession all weighed heavily on consumer confidence thi
quarter.
Long Term Treasury Bonds
Mortgage Backed Bonds
Corporate Bonds
Foreign Bonds
Municipal Bonds
LCG Equities
High Yield Bonds
S&P 500
LC Equities
MCG Equities
3-Month T-Bill
MC Equities
SCG Equities
LCV Equities
MCV Equities
SC Equities
SCV Equities
Intl Developed Equities
Intl Frontier Equities
Intl Emerging Equities
17.1%
5.6%
4.5%
3.9%
3.9%
3.8%
1.4%
1.1%
0.9%
0.8%
0.1%
-0.9%
-1.1%
-1.9%
-2.4%
-3.5%
-6.0%
-8.9%
-10.1%
-15.9%
One Year P erformance of Asset Classes As Of
September 30, 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.
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CAPITAL MARKETS REVIEW SEPTEMBER 30, 2011
Capital Markets Summary
European leaders continue to work on solutions to a
debt problem that threatens not only the European,but the global economy. Greece is the face of the
debt problem, but its extension into other countries
is causing economic and political problems for
Germany and France. European Union leaders are
seeking additional financial stimulus, however,
Germany is reluctant to sponsor moves that could
threaten its economy.
Emerging markets suffered losses across all indices
this quarter. Moving these markets lower wereconcerns over a global economic slowdown that
could hurt commodities and exports. The MSCI EM Index lost just under 22.5% this quarter, and i
now down more than 21.6% for the year.
Domestic equity underwritings are at their lowest levels since the failure of Lehman Brothers Holding
in 2008. Offerings are down 32% from the year ago period, and 31% from the second quarter
Globally, IPOs are down 16% from the year ago period, and at their lowest levels since 2009. Fixe
income offerings are at a yearly low. Corporations issued $157.9 billion of investment grade bond
during the quarter, the slowest pace since the second quarter of 2010.
For the quarter, rates on the 10-year Treasury bond fell 122 basis points from 3.16%, the bigges
decline since the fourth quarter of 2008. Thirty-year bond yields are down 146 basis points since th
beginning of the quarter and yields are near the lowest levels since 2009.
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 SEPTEMBER 30, 2011
Domestic Equity
The month of September is historically the
worst performing month of the year for equity
markets. This September repeated history asall the major averages were down at least 5%
for the month, extending the streak of
consecutive negative monthly returns to five.
After falling 2% in July, the DJIA fell 4% in
August, and then ended the quarter with a 6%
loss in September. This story repeated
throughout the other domestic indices. While
all the indices entered the third quarter with
positive year-to-date returns, by the end of thequarter each was in negative territory with
small caps especially hard hit.
Looking at the major indices, the DJIA was down 11.5% for the quarter and is now down 3.9% for th
year. Likewise, the S&P 500 Index extended its own losing streak to 5 months as it fell 13.87% in th
quarter (7% in September alone) and is now down 8.68% for the year. The Russell 3000 was down
15.28% for the quarter and is down 9.90% for the year. The NASDAQ Composite faired just as poorl
as it fell 6.3% in September on its way to an 12.69% loss for the quarter and -8.24% the year.
-25.00%
-20.00%
-15.00%
-10.00%
-5.00%
0.00%
5.00%
10.00%
3Q11 1 year 3 years 5 years 10 years
Return(%)
Broad Domestic Equity Per formance
Large Ca
Mid Cap
Small Ca
Russell
1000
-14.68
Russell
Midcap
-18.90
Russell
2000
-21.87
-10 -5 0 5 10
ThirdQuarter
-22.25-21.47
-18.5
-16.20
DomesticEquityReturnsValue Growth
-13.14
-19.33
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 SEPTEMBER 30, 2011
Domestic Equity
For market caps, small caps were
particularly hard hit this quarter as the
Russell 2000 was down 11.2% in
September and 21.87% for the quarter,
pushing its year-to-date return into negative
territory with a 17.02% decline. As market
caps increased, returns improved. The
Russell Midcap lost 18.90% in the quarter,
the Russell 1000 lost 14.68% and the
Russell Top 200 Megacap lost 12.8%.
In comparing styles, returns were mixed aslarge cap growth stocks outperformed large
cap value stocks. The Russell 1000 Growth
fell 13.14% for the quarter compared to a
decline of 16.20% for the Russell 1000
Value. Although the Russell 1000 Growth
outperformed its value counterpart in all
three months of the quarter, this differential
narrowed from a 2.3% gap in July, to a
1.0% gap in August, to a 0.3% gap in
September. In smaller caps, The Russell2000 Value slightly outperformed with a
21.47% loss versus a 22.25% loss for the
Russell 2000 Growth in the quarter. Year-
to-date, growth has outperformed value by
3% in small caps and 4% in large caps.
Sector returns in the S&P 500 were mostly down for the quarter. Utilities were the only bright spot a
steady returns from the Multi-Utilities and Electric Utilities industries helped the sector post a 1.6%
gain for the quarter. All other sectors of the S&P 500 were down during the quarter. ConsumeStaples, Information Technology, Telecommunication, Health Care, and Consumer Discretionary a
outperformed the broader index. The remaining four sectors all posted losses of greater than 20% as th
Materials sector was hit the hardest with a 24.5% decline. Within Materials, the Metals and Minin
subsector was a battle of extremes as it had the best performing industry within the S&P 500 (Gold u
17.1%) but also three of the worst industries in the quarter (Steel down 38.9%, Aluminum down 39.5%
and Diversified Metals & Mining down 41.4%).
0
50
100
150
200
250
300
Style P erformance
10 Year Growth of $100
R1000 Va lue R1000 G ro wth R2000 Va lue R2000 G ro wth
24.52
22.80
21.02
20.46
13.87
12.98
10.02
8.01
7.70
4.19
1.55
Materials
Financials
Industrials
Energy
S&P500
ConsumerDiscretionary
HealthCare
Telecommunication
InformationTechnology
ConsumerStaples
Utilities
S&P5003Q2011SectorReturns
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 SEPTEMBER 30, 2011
International Markets
Fear of a possible global economic recession and anxiety over Greece hit all equity markets hard an
took an especially large toll on international indices. The MSCI Emerging Markets led all majo
indices lower with a loss of 22.46%. The MSCI Frontier Markets only lost about half of that coming i
at -12.04% and the MSCI EAFE Index returned -18.95%.
Germany had so far weathered the recession and recovery better than most of its peers. The Europea
Unions industrial giant did not fare so well this quarter. A slowing economy and forecasts that som
believe will suffer further downward revision hit the MSCI Germany Index for a 31% loss this quarter
Leading think-tanks now believe that the German economy will grow .8% in 2012, 1% shy of curren
government estimates of 1.8%. The MSCI Japan Index has been resilient comparatively in the pos
tsunami timeframe reporting a 6.37% loss for the quarter while maintaining a slight positive one-yea
return of .07%.
Greece is old news but still remains in the headlines and continued to have an impact on markets an
volatility this quarter. The inability for the individual European countries to come to consensus o
backing indebted countries such as Greece with euro issued bonds, or letting them fail, allows Gree
debt to continue to overhang the market. Some believe the best scenario is to continue to buy time fo
banks to continue to raise capital and try to insulate themselves from an eventual Greek default on it
bonds.
Brazil
India
China
Germany
Russia
South Africa
Australia
Mexico
United Kingdom
Japan
-25.5%
-25.1%
-23.9%
-13.0%
-11.5%
-9.5%
-8.9%
-6.3%
-5.3%
0.1%
One Year International (Gross) Returns
As Of Septem ber 30, 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.
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CAPITAL MARKETS REVIEW SEPTEMBER 30, 2011
Fixed Income
The U.S. fixed income markets saw significant
movements in the third quarter of 2011. Fears of a
double dip recession and poor economic news set
the tone. A highly publicized debt ceiling debate
led Standard and Poors to downgrade U.S. credit
from its top triple-A rating to AA+. As the initial
shock wore off, Treasuries became the big winner
for their perceived safety and liquidity. Economic
uncertainty continued through the quarter as
European debt concerns filled the headlines. The
BofA Merrill Lynch US Treasury Master Index had
a total return for the quarter of 6.36%.
In an attempt to further stimulate the economy the
Federal Reserve announced its plans for a $400
billion program labeled Operation Twist. This
program is similar in structure to a 1960s program
of selling short-term Treasury securities and
purchasing longer-term Treasuries with the
proceeds. "This program should put downward
pressure on longer-term interest rates and help
make broader financial conditions moreaccommodative" the Fed said in its official
statement. Treasury yields fell across the board,
amplified in products with a longer maturity. Two-
year Treasuries moved 36 basis points lower to
yield 0.24% as 10-year Treasuries fell 101 basis
points to yield 1.97%.
Corporate bonds performed well in the third quarter, but widening credit spreads brought down lowe
rated securities. The BofA Merrill Lynch US Corporate Master Bond Index had a total return for th
quarter of 2.26%. High yield securities were the worst performing bonds of the quarter, with the BofA
Merrill Lynch High Yield Master II Index losing -6.32%.
The international bond markets did not fare as well as the U.S. market as investors remain cautious o
the global economy and the Euro nations in particular. The Citigroup Non-USD World Governmen
Bond Index returned a modest 0.95%.
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
3MO 6MO 2YR 5YR 10YR 30YRTreasuryYieldCurve
12/ 31/200 8 12/31/20 09 12/31 /2010 9/3 0/2011
0.00%
5.00%
10.00%
15.00%
3Q11 YTD 1YR 3YR 5YR 10YR
SectorPerformance
G ov ts C or ps M or tg ag es M un is
5.00%
0.00%
5.00%
10.00%
15.00%
3Q11 YTD 1YR 3YR 5YRCreditPerformance
AAA
AA
A
BBB
BB
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 SEPTEMBER 30, 2011
Commodities
The global economic slowdown is taking its toll on commodities. Oil finished the quarter below $79
per barrel, and is down more than 13% YTD. Natural Gas lost more than 14% during the quarter and i
now down more than 16% for the year. In metals, copper ended the quarter down after declining morethan 24% in September, losing 7% in one trading session, and is now down more than 30% for the
year. Silver was also volatile this quarter losing 27.86% in September and is now nearly flat for the
year, up .44%. Palladium and platinum are down more than 24% and 14%, respectively, for the year
Gold set a new high over $1,900 per ounce early in September before pulling back, but is still up more
than 16% YTD.
Currency
The Dollar Index is at its highest levels since January and the Dollar continued its gain against the
Euro finishing the quarter at an eight month high. The Dollar gained more than 7% against the Eurothis quarter and is now up 2.37% for the year. The Yen gained against the Dollar and Euro as a flight
to safety trade. The Yen is now trading near a ten year high against Euro.
15.00% 10.00% 5.00% 0.00% 5.00% 10.00%
U.K.
Japan
Europe
Canada
Australia
-5.3%
0.1%
-14.2%
-6.2%
-8.9%
6.0%
9.3%
-1.1%
4.9%
9.9%
1 Year Country And Currency Returns
As of September 30, 2011
Currency CountryReturn
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 Russe
2000 Value Index.
MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure th
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 SEPTEMBER 30, 2011
CAPITAL MARKET INDEX RETURNS
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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
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
Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell Barc
B E S T 2000 1000 Wilshire 1000 10 00 2 0 00 W ils hire 2 00 0 Ag g 2 00 0 W ils hire Wils hire Wils hire 10 00 Ag g 10 00 2 00 0 Ag
Value Value REIT Value Gro wt h Gro wt h R EIT Value B ond Gro wt h R EIT R EIT R EIT Gro wt h B ond Gro wt h Gro wt h B o
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 % 6 .6DJ Russ ell Russ ell Russ ell Russ ell Russ ell DJ DJ Russ ell Russ ell Russ ell Russ ell DJ DJ
Wilshire 2000 1000 1000 1000 2 000 Wilshire Wilshire 2000 200 0 2000 2000 Wilshire Wilsh
REIT Value Growth Growth Gro wth Value REIT REIT Value Value Value Growth REIT RE
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% - 28 .9 2 % 3 4 . 4 7% 2 8 .0 7% - 5.2
Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russ10 00 10 00 Wilshire 1000 2000 Ag g Agg 2000 1000 20 00 2 000 100 0 2 00 0 10 0
Value Value REIT Growth Value Bond Bond Value Value Value Growth Value Value Grow
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% -7.2
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% -8.6
Russ ell Russ ell Russ ell Russ ell DJ Barclays Russell Russell Russell Russell Russell Russell Russ2 00 0 2 00 0 2 00 0 2 00 0 Wils hire Ag g 1000 2000 1000 2000 1000 10 00 10 0
Gro wt h Value Value Value R EIT B ond Value Growth Value Growth Growth Value Val
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% -11.2
Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell RussellAgg 1000 Agg 2000 2000 200 0 Wilshire 1000 20 00 2 000 100 0 2000 2000
Bond Value Bo nd Growth Growth Growth REIT Growth Value Gro wth Value Growth Value
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% -14.9
Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Russ
1000 Ag g 2000 Wilshire Agg 200 0 Agg 1000 1000 1000 1000 200 0 1000 2 000 Wilshire 1000 200Gro wth Bo nd Gro wth REIT Bo nd Value Bo nd Gro wth Gro wth Gro wth Gro wth Gro wth Gro wth Value REIT Value Grow
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 % - 20 .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% -15.5
Rus s e ll Ba rc lays Barc lays DJ Rus s e ll Rus s e ll Rus s e ll Ba rc lays Barc lays Barc lays Barc lays DJ Barc lays Barc lays Rus1000 Agg Agg Wilshire 2 000 2000 2000 Agg A gg Agg Agg Wilshire Agg A gg 200
WORS T Growth Bond Bond REIT Value Gro wth Growth Bond B ond B o nd B ond REIT Bond B ond Val
- 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 % - 22 .0 0 % - 3 0.2 7% 4 .11% 4 .3 4 % 2 .4 3 % 4 .3 3 % - 17.56 % - 4 5.0 9 % 5.9 3 % 6 .54 % - 18 .5
MSCI
EAFE
MSCI
EAFE
S&P
500
S&P
500
MSCI
EAFE
S&P
500
MSCI
EAFE
S&P
500
MSCI
EAFE
S&P
500
S&P
500
MSCI
EAFE
S&P
500
S&P
500
S&P
500
S&P
500
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
MSCI
EAFE
S&P
500
S&P
500
S&P
500
MSCI
EAFE
MSCI
EAFE
MSCI
EAFE
MSCI
EAFE
S&P
500
MSCI
EAFE
MSCI
EAFE
S&P
500
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CAPITAL MARKETS REVIEW SEPTEMBER 30, 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: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.
Aug '82 DJIA 776
Black Monday - Oct '87 Asian Crisis
Invasion of Iraq
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CAPITAL MARKETS REVIEW SEPTEMBER 30, 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: MorningstarData 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 SEPTEMBER 30, 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: MorningstarData 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 SEPTEMBER 30, 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: MorningstarData 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 SEPTEMBER 30, 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 SEPTEMBER 30, 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 SEPTEMBER 30, 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 simportant 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 9/30/11
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
Artio IE II Group Trust
Thornburg
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
27,337,357.64
19,398,412.11
24,125,848.95
29,707,302.24
22,494,120.96
8,283,952.28
8,200,389.86
12,608,750.57
152,156,134.61
22,487,181.04
28,954,542.86
51,441,723.90
84,965,103.58
26,095,212.58
33,459,157.33
144,519,473.49
12,339,922.26
12,339,922.26
26,009,761.82
12,912,247.82
38,922,009.64
21,632,414.27
18,502,395.54
40,134,809.81
439,514,073.71
6.22
4.41
5.49
6.76
5.12
1.88
1.87
2.87
34.62
5.12
6.59
11.70
19.33
5.94
7.61
32.88
2.81
2.81
5.92
2.94
8.86
4.92
4.21
9.13
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 FireSources of Fund Growth
Total Fund Composite6/30/11 - 9/30/11
Manager Name
BeginningValue
$(000)
NetContrib
$(000)
InvestFees
$(000)
InvestGain/Loss
$(000)
EndingValue
$(000)
Net ofFees
Return(%)
Systematic Financial Management
Intech Large Core
Rhumbline Large Cap Fund
Sawgrass
Lee Munder Small Cap Value
Eagle Asset Management
Franklin Portfolio Advisors
Rhumbline Mid Cap Fund
Managed Equity
Artio IE II Group Trust
Thornburg
International Equity Composite
Agincourt
Atlanta Capital
Boyd Watterson
Total Domestic Fixed Income
CashManaged Short Term
Core Realty Fund
Prudential RE Investors PRISA II
Real Estate Composite
K2 Advisors Long/Short
PIMCO All Asset
Special Investments
Total Fund Composite
35,237
22,607
27,994
33,196
28,934
10,795
10,278
13,182
182,225
29,769
36,814
66,583
82,656
25,468
25,519
133,643
11,53211,532
25,267
12,278
37,545
43,693
0
43,693
475,224
25
18
4
37
47
15
15
2,502
2,664
48
0
48
45
11
7,514
7,570
801801
51
41
93
-20,000
20,000
0
11,175
0
0
0
0
0
0
0
0
0
0
62
62
0
0
0
0
00
0
0
0
0
0
0
62
-7,925
-3,227
-3,873
-3,525
-6,487
-2,527
-2,093
-3,075
-32,732
-7,330
-7,797
-15,127
2,264
617
426
3,306
77
692
593
1,285
-2,061
-1,498
-3,559
-46,823
27,337
19,398
24,126
29,707
22,494
8,284
8,200
12,609
152,156
22,487
28,955
51,442
84,965
26,095
33,459
144,519
12,34012,340
26,010
12,912
38,922
21,632
18,502
40,135
439,514
-22.49
-14.27
-13.83
-10.62
-22.42
-23.41
-20.36
-19.88
-24.62
-21.35
-22.81
2.74
2.42
1.47
2.39
0.07
2.73
4.83
3.42
-8.68
NA
-9.74
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City of Ft. Lauderdale Police and FireExecutive Summary Table
Periods Ending September 30, 2011Net of Fee Return
NameValue$(000)
% ofFund
Periods Ending 9/30/11Cur 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 400/Citigroup Growth Index
International Equity Composite
Artio IE II Group Trust
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
439,514
100,569
19,398
24,126
29,707
27,337
51,587
8,284
8,200
22,494
12,609
51,442
22,487
28,955
144,519
84,965
26,095
33,459
12,340
38,922
100.0
22.9
4.4
5.5
6.8
6.2
11.7
1.9
1.9
5.1
2.9
11.7
5.1
6.6
32.9
19.3
5.9
7.6
2.8
8.9
-9.74
-8.41
-15.58
-14.27
-13.86
-13.83
-13.86
-10.62
-13.14
-22.49
-16.21
-21.66
-23.41
-22.26
-20.36
-22.26
-22.42
-21.47
-19.88
-18.83
-22.81
-24.62
-19.01
-21.35
-19.01
2.39
2.74
3.82
2.42
2.40
1.47
2.40
0.07
0.01
3.42
-9.11
-7.33
-14.68
-13.01
-13.78
-13.29
-13.78
-8.09
-12.48
-22.78
-16.63
-23.77
-23.29
-23.56
-22.53
-24.72
-17.74
-20.75
-17.74
5.05
5.10
6.20
0.10
0.04
7.51
-5.81
-3.77
-9.37
-7.58
-8.67
-8.31
-8.67
-2.07
-7.21
-17.80
-11.25
-18.79
-19.73
-18.52
-20.15
-23.31
-14.98
-17.43
-14.98
5.73
5.81
6.65
0.13
0.07
12.29
0.16
2.44
0.09
1.74
1.15
1.43
1.15
5.22
3.78
-6.82
-1.90
-2.28
-8.27
-6.00
-14.41
-18.48
-9.36
-10.80
-9.36
4.33
4.38
5.26
-0.05
0.11
17.47
2.60
3.23
1.32
1.72
1.23
1.48
1.23
3.29
4.69
-1.03
-1.52
2.32
2.18
-2.79
-2.40
-5.34
-1.13
0.37
-1.13
8.72
9.38
7.97
1.26
0.20
-8.65
1.32
1.58
-0.56
-1.18
-0.96
-1.18
-2.87
-3.53
-4.41
6.65
6.69
6.53
2.47
6.53
6.42
-2.60
3.38
2.11
6.27
6.11
-0.54
0.24
5.94
4.43
-1.32
-23.41
-22.26
-20.36
-22.26
0.87
-4.73
-19.88
-18.83
1.22
-12.55
-9.98
-8.03
-9.98
5.82
6.41
6.18
3.23
3.40
2.34
3.40
2.55
-4.15
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
11/30/07
11/30/07
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 September 30, 2011Net of Fee Return
NameValue$(000)
% ofFund
Periods Ending 9/30/11Cur 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%
26,010
12,912
21,632
18,502
5.9
2.9
4.9
4.2
2.73
3.30
4.83
3.30
-8.68
-13.86
6.09
7.37
10.25
7.37
-9.74
-13.78
10.38
10.98
15.93
10.98
-8.19
-8.67
14.22
16.10
23.67
16.10
-3.95
1.15
-7.60
-1.45
-13.03
-1.45
-0.18
1.23
-3.35
1.03
-8.06
1.03
-2.41
-3.62
-7.49
1.26
7/31/07
7/31/07
7/31/07
7/31/07
4/30/08
4/30/08
7/31/11
7/31/11
22
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City of Ft. Lauderdale Police and FireCumulative Performance Comparison
Total Returns of Total Fund Public SponsorsPeriods Ending 9/11
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
0.94
-7.55
-9.15-10.57
-12.09
-9.74
60
-8.41
37
4.54
1.95
0.73-0.16
-2.04
0.16
64
2.44
19
7.28
6.00
5.114.26
3.13
4.15
76
5.62
32
6.41
4.71
4.113.03
1.86
2.60
85
3.23
72
2.87
1.30
-0.37-1.52
-2.92
-1.44
73
-0.86
57
4.55
3.27
2.361.46
0.56
1.32
81
1.58
71
5.11
4.00
3.352.74
1.95
2.36
85
2.61
81
5.69
4.97
4.403.92
3.34
3.69
85
3.43
94
6.53
5.60
5.114.64
4.21
4.53
81
4.22
94
7.86
6.74
6.285.71
4.90
5.62
79
5.54
84
6.66
5.68
5.014.59
3.84
4.31
81
4.00
93
-14%
-12%
-10%-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
1
1
1
1
1
11
11
1
1
23
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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
9/30/11
YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
2.32
-3.28
-4.66-5.87
-7.71
-5.81
74
-3.77
32
17.24
13.97
12.6711.23
9.33
12.33
54
12.92
42
27.37
21.60
19.1115.60
9.61
15.13
78
15.86
73
-9.71
-20.20
-24.04-27.21
-30.38
-22.08
36
-22.66
40
10.77
8.69
7.526.38
4.36
7.38
54
6.30
76
16.32
14.05
12.0810.28
6.63
10.66
71
11.14
65
10.34
8.11
6.525.33
3.91
6.81
44
3.93
94
13.91
11.79
9.908.40
5.70
10.42
40
8.35
75
26.04
22.56
19.7217.04
11.34
18.01
66
18.64
59
1.58
-5.91
-8.28-9.76
-12.76
-8.68
59
-9.50
72
4.40
-0.68
-2.68-4.76
-8.99
-2.27
42
-3.34
58
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%25%
30%
1
11
1
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
2.0 4.6 7.2 9.8 12.4 15.0 17.6 20.2 22.8 25.4 28.0
0.0
0.9
1.8
2.6
3.6
4.5
5.4
6.3
7.2
8.1
9.0
1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
Total Fund Composite
1 Policy Index
Median
2.60 85 14.61 39
3.23 72 15.60 52
4.11 15.55
AnnualizedRateofReturn
6.0 7.4 8.8 10.2 11.6 13.0 14.4 15.8 17.2 18.6 20.0
0.0
0.4
0.9
1.3
1.8
2.2
2.7
3.1
3.6
4.0
4.5
1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
Total Fund Composite
1 Policy Index
Median
1.32 81 12.18 39
1.58 71 12.74 45
2.36 13.24
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City of Ft. Lauderdale Police and FireRisk Measure Summary
Total Fund CompositeQuarterly Periods Ending 9/30/11
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
0.93
1.16
0.00
-9.73
6.38
0.24
0.24
1
3
-8.41
6.45
2.44
2.44
4
8
0.91
0.96
0.25
-11.33
10.07
-0.42
26.88
14.61
0.93
-0.11
0.99
0.17
2.59
1.67
-0.44
4
8
-12.61
11.10
-1.39
29.38
15.60
0.19
8
12
0.95
0.98
0.40
-11.33
10.07
-22.18
26.88
12.18
0.95
-0.07
0.99
-0.03
-0.42
1.62
-0.20
8
12
-12.61
11.10
-24.64
29.38
12.74
-0.01
19
45
0.98
0.94
0.48
-11.33
14.12
-22.18
33.57
10.46
0.96
0.06
0.96
0.31
3.42
2.04
0.03
19
45
-12.61
12.93
-24.64
32.86
10.70
0.30
26
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City of Ft. Lauderdale Police and FireIntech Large Core as of 9/30/11
Exxon Mobil CorpApple Computer Inc
At&T Inc
Intl Business McHn
Chevron Corp
General Elec Co
Procter & Gamble Co
Pfizer Inc
Johnson & Johnson
Coca Cola Co
GICS Sector % Port
EnergyInformation Technology
Telecom Services
Information Technology
Energy
Industrials
Consumer Staples
Health Care
Health Care
Consumer Staples
4.262.38
2.23
2.09
2.05
1.69
1.58
1.34
1.32
1.19
EnergyMaterials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecom Services
Utilities
% Port
14.274.17
10.51
9.91
13.73
13.11
9.19
15.14
4.51
5.45
-16.0-14.0-12.0-10.0
-8.0-6.0-4.0
-2.00.02.04.0
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
-14.27
-13.86
22,607
18
-3,227
19,398
-7.58
-8.67
26,915
-6,241
-1,276
19,398
1.74
1.15
24,448
-6,241
1,191
19,398
1.72
1.23
33,682
-15,770
1,485
19,398
-0.56
-1.18
40,136
-19,470
-1,268
19,398
3.38
2.11
33,478
-23,366
9,286
19,398
Portfolio Performance (%)
Top Equity Holdings GICS Sector Allocation
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City of Ft. Lauderdale Police and FireIntech Large Core as of 9/30/11
Cash & Equiv$123 0.63%
Domestic Equity$19,276 99.37%
Periods from 3/04 to 9/11
Alpha
Beta
R-Squared
0.31
0.97
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
2.2
2.4
2.6
2.8
3.0
3.2
3.4
3.6
i
1T
Annualized Standard Deviation%
i Intech Large Core
1 Standard & Poors 500
T 91-Day Treasury Bill
AnnualizedNet Ret
Std.Dev.
SharpeRatio
InfoRatio
3.38
2.11
2.18
16.95
17.32
0.99
0.07
-0.00
0.00
0.59
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 9/11
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
-8.22
-13.86
-13.99-15.24
-19.03
-14.27
55
-13.86
27
5.27
1.23
1.110.46
-5.28
1.74
16
1.15
36
9.30
5.83
5.564.52
0.74
6.65
17
5.55
61
3.77
1.72
1.291.04
-1.04
1.72
25
1.23
70
-0.96
-4.51
-5.09-5.22
-7.19
-4.06
17
-5.15
71
1.51
-0.61
-1.13-1.33
-3.24
-0.56
21
-1.18
70
3.06
1.13
0.760.46
-0.54
1.31
17
0.73
70
4.66
3.00
2.422.31
1.70
3.36
18
2.29
82
-20%
-15%
-10%
-5%
0%
5%
10%
15%
i 1
i 1
i1
i 1
i1
i 1
i 1
i1
29
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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
9/30/11
YTD 2010 2009 2008 2007 2006 2005
-3.10
-8.61
-8.70-9.86
-15.75
-7.58
15
-8.67
37
20.21
16.64
15.0914.51
11.23
15.77
32
15.05
62
38.93
29.44
26.7026.29
18.60
25.49
79
26.45
71
-27.87
-35.51
-36.93-37.21
-42.02
-36.60
36
-36.99
68
12.44
5.91
5.515.01
-0.20
7.61
12
5.52
49
20.50
16.48
15.8015.60
11.42
14.84
84
15.81
49
12.80
9.09
5.044.88
3.44
9.24
23
4.89
74
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
i 1
i 1
i 1
i 1
i 1
i 1
i1
30
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
AnnualizedRateofReturn
16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0
-2.0
-1.3
-0.5
0.1
0.8
1.5
2.2
2.9
3.6
4.3
5.0
i1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Intech Large Core
1 Standard & Poors 500
Median
1.72 25 24.80 16
1.23 70 25.24 40
1.29 25.25
AnnualizedRateofReturn
14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
i1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Intech Large Core
1 Standard & Poors 500
Median
-0.56 21 20.23 15
-1.18 70 20.68 35
-1.13 20.69
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City of Ft. Lauderdale Police and FireRisk Measure Summary
Intech Large CoreQuarterly Periods Ending 9/30/11
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
1.07
1.03
0.50
-14.27
10.09
1.74
1.74
1
3
-13.86
10.76
1.15
1.15
4
8
1.01
0.99
0.67
-21.62
15.35
-7.47
48.89
24.80
0.98
0.12
1.00
0.06
1.53
1.23
0.31
4
8
-21.93
15.93
-6.90
49.75
25.24
0.04
8
12
0.99
0.96
0.60
-21.62
15.35
-37.08
48.89
20.23
0.97
0.13
0.99
-0.11
-2.35
2.11
0.25
8
12
-21.93
15.93
-38.07
49.75
20.68
-0.14
10
20
1.02
0.93
0.67
-21.62
15.35
-37.08
48.89
16.95
0.97
0.31
0.99
0.07
1.23
1.98
0.59
11
19
-21.93
15.93
-38.07
49.75
17.32
-0.00
32
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City of Ft. Lauderdale Police and FireEquity Summary Statistics
Intech Large CorePeriod Ending 9/11
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
35119,275,65871,904,93511,572,017
2.5013.5814.550.982.01
51.035.51
500
86,962,3489,792,575
2.3813.5314.221.001.92
47.466.13
Ten Largest Holdings
Exxon Mobil CorpApple Computer IncAt&T IncIntl Business McHn
Chevron CorpGeneral Elec CoProcter & Gamble CoPfizer IncJohnson & JohnsonCoca Cola Co
Market Value % of Portfolio Quarterly Ret
820,719457,416428,285402,569
394,043326,136303,264257,085254,840229,704
4.262.382.232.09
2.051.691.581.341.321.19
-10.1413.56-7.952.49
-9.32-18.44
0.20-13.22-3.371.08
Ten Best Performers
Motorola Mobility HlGoodrich B F CoApple Computer IncCerner CorpProgress Energy IncBristol Myers SquibbConsolidated EdisonAutozone IncKimberly Clark CorpDuke Energy Corp New
Quarterly Ret
71.4226.7813.5612.13
9.128.368.278.267.787.70
Ten Worst Performers
Alpha Natural ResourNetflix Com IncNabors Industries LtMetropcs CommunicatiPulte Homes CorpCb Richard Ellis GroRegions Finl CorpCliffs Natural ResouBank Amer CorpSprint Nextel Corp
Quarterly Ret
-61.07-56.92-50.24-49.39-48.43-46.40-46.15-44.44-44.09-43.60
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City of Ft. Lauderdale Police and FireEquity Contribution to Return
Intech Large CorePeriod Ending 9/11
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
35119,275,65871,904,93511,572,017
2.5013.5814.550.982.01
51.035.51
500
86,962,3489,792,575
2.3813.5314.221.001.92
47.466.13
Ten Best Contributors
Apple Computer IncIntl Business McHnGoodrich B F CoAutozone Inc
Consolidated EdisonMcDonalds CorpAltria Group IncCerner CorpDominion Res Inc VaBristol Myers Squibb
Market Value % of Portfolio Quarterly Ret
457,416402,569
36,20495,757
85,530140,512198,394
47,96471,07843,932
2.382.090.190.50
0.440.731.030.250.370.23
13.562.49
26.788.26
8.274.853.10
12.136.228.36
Ten Worst Contributors
Exxon Mobil CorpGeneral Elec CoCaterpillar IncDu Pont E I De NemouNational-Oilwell IncAgilent TechnologiesRockwell AutomationChevron CorpAt&T IncPfizer Inc
Market Value % of Portfolio Quarterly Ret
820,719326,136177,216183,862128,050106,250117,600394,043428,285257,085
4.261.690.920.960.670.550.612.052.231.34
-10.14-18.44-30.34-25.40-34.40-38.86-35.01-9.32-7.95
-13.22
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis
Intech Large CoreQuarter Ending 9/11
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
14.49
6.01
11.33
11.56
11.84
8.528.87
16.71
4.80
5.86
100.00
12.17
3.69
11.32
10.70
10.71
11.7815.23
17.90
3.11
3.40
100.00
-21.24
-24.75
-21.80
-14.84
-4.78
-12.79-21.11
-9.21
-11.12
0.26
-14.34
-20.57
-24.06
-21.02
-12.96
-4.26
-10.06-22.86
-7.56
-7.98
1.55
-13.83
-0.10
-0.04
-0.09
-0.22
-0.06
-0.230.16
-0.28
-0.15
-0.08
-1.09
-0.16
-0.24
-0.00
0.01
0.11
-0.120.57
-0.07
0.10
0.38
0.58
-0.25
-0.28
-0.09
-0.21
0.05
-0.360.73
-0.35
-0.05
0.30
-0.51
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 0.06%
[ Actual Return -14.28% ] - [ Buy Hold Return -14.34% ]
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City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart
Intech Large CoreQuarter Ending 9/11
% Allocation
Energy 14.49 12.17
Materials 6.01 3.69
Industrials 11.33 11.32
Con. Discretionary 11.56
10.70
Consumer Staples 11.84 10.71
Health Care 8.52 11.78
Financials 8.87 15.23
Infomation Tech. 16.71 17.90
Telecom. Services 4.80 3.11
Utilities 5.86 3.40
Intech Large Core Standard & Poors 500
% Return
-21.24
-20.57
-24.75
-24.06
-21.80
-21.02
-14.84
-12.96
-4.78
-4.26
-12.79
-10.06
-21.11
-22.86
-9.21
-7.56
-11.12
-7.98
0.26
1.55
% Variance
-0.25
-0.28
-0.09
-0.21
0.05
-0.36
0.73
-0.35
-0.05
0.30
36
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City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 9/30/11
-16.0
-14.0
-12.0
-10.0
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
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
-13.83
-13.86
27,994
4
-3,873
24,126
-8.31
-8.67
41,073
-15,663
-1,285
24,126
1.43
1.15
26,110
-4,263
2,279
24,126
1.48
1.23
34,145
-13,074
3,055
24,126
-0.96
-1.18
38,848
-13,909
-813
24,126
2.95
2.81
15,906
-4,320
12,539
24,126
6.27
6.11
8,000
9,754
6,372
24,126
Portfolio Performance (%)
37
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City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 9/30/11
Cash & Equiv$13 0.06%
Domestic Equity$24,113 99.94%
Periods from 9/95 to 9/11
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
l1
T
Annualized Standard Deviation%
l Rhumbline Large Cap Fund
1 Standard & Poors 500
T 91-Day Treasury Bill
AnnualizedNet Ret
Std.Dev.
SharpeRatio
InfoRatio
6.27
6.11
3.26
17.82
18.06
1.06
0.17
0.16
0.00
0.16
Asset Allocation ($000)
Risk/Return Analysis
38
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City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons
Total Returns of Equity PortfoliosPeriods Ending 9/11
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
-8.22
-13.86
-13.99-15.24
-19.03
-13.83
18
-13.86
27
5.27
1.23
1.110.46
-5.28
1.43
20
1.15
36
9.30
5.83
5.564.52
0.74
5.72
32
5.55
61
3.77
1.72
1.291.04
-1.04
1.48
36
1.23
70
-0.96
-4.51
-5.09-5.22
-7.19
-4.90
38
-5.15
71
1.51
-0.61
-1.13-1.33
-3.24
-0.96
36
-1.18
70
3.06
1.13
0.760.46
-0.54
0.92
32
0.73
70
4.66
3.00
2.422.31
1.70
2.46
46
2.29
82
6.24
4.58
3.843.68
3.06
3.81
50
3.67
82
8.24
6.61
6.075.80
5.31
5.92
52
5.79
80
6.07
4.41
2.942.82
2.66
2.95
49
2.81
83
-20%
-15%
-10%
-5%
0%
5%
10%
15%
l1
l1
l1
l1
l1
l1
l1l1
l1
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
9/30/11
YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
-3.10
-8.61
-8.70-9.86
-15.75
-8.31
19
-8.67
37
20.21
16.64
15.0914.51
11.23
14.93
67
15.05
62
38.93
29.44
26.7026.29
18.60
26.51
70
26.45
71
-27.87
-35.51
-36.93-37.21
-42.02
-36.56
35
-36.99
68
12.44
5.91
5.515.01
-0.20
5.60
34
5.52
49
20.50
16.48
15.8015.60
11.42
15.86
38
15.81
49
12.80
9.09
5.044.88
3.44
4.90
73
4.89
74
19.97
12.84
10.9310.82
8.16
10.85
71
10.87
66
39.49
31.48
28.7328.59
24.60
28.59
75
28.69
57
-11.66
-20.66
-22.00-22.08
-23.79
-21.92
44
-22.12
83
8.89
-6.89
-11.77-11.93
-12.38
-11.68
48
-11.88
66
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
l1
l1
l1
l1
l1
l1
l1
l1
l1
l1
l1
40
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City of Ft. Lauderdale Police and FireReturn vs Risk
Total Returns of Large Neutral Portfolios
AnnualizedRateofReturn
16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0
-2.0
-1.3
-0.5
0.1
0.8
1.5
2.2
2.9
3.6
4.3
5.0
l1
Media
n
Risk
Median
Return
Historical Standard Deviation of Return
3 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
l Rhumbline Large Cap Fund
1 Standard & Poors 500
Median
1.48 36 25.05 23
1.23 70 25.24 40
1.29 25.25
AnnualizedRateofReturn
14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0
-6.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
l1
Median
Risk
Median
Return
Historical Standard Deviation of Return
5 Years Ending 9/30/11
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
l Rhumbline Large Cap Fund
1 Standard & Poors 500
Median
-0.96 36 20.53 20
-1.18 70 20.68 35
-1.13 20.69
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City of Ft. Lauderdale Police and FireRisk Measure SummaryRhumbline Large Cap Fund
Quarterly Periods Ending 9/30/11
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
10.62
1.43
1.43
1
3
-13.86
10.76
1.15
1.15
4
8
1.00
0.99
0.50
-21.62
15.88
-6.51
49.68
25.05
0.99
0.06
1.00
0.05
1.27
0.40
0.50
4
8
-21.93
15.93
-6.90
49.75
25.24
0.04
8
12
1.00
0.99
0.65
-21.62
15.88
-37.64
49.68
20.53
0.99
0.04
1.00
-0.13
-2.72
0.31
0.59
8
12
-21.93
15.93
-38.07
49.75
20.68
-0.14
21
43
1.00
0.99
0.64
-21.62
21.07
-37.64
49.68
17.82
0.99
0.04
1.00
0.17
3.05
0.68
0.16
21
43
-21.93
21.32
-38.07
49.75
18.06
0.16
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City of Ft. Lauderdale Police and FireSawgrass as of 9/30/11
Intl Business McHnApple Computer Inc
Microsoft Corp
Coca Cola Co
McDonalds Corp
Google Inc
Directv
Celgene Corp
Exxon Mobil Corp
American Express Co
GICS Sector % Port
Information TechnologyInformation Technology
Information Technology
Consumer Staples
Consumer Discretionary
Information Technology
Consumer Discretionary
Health Care
Energy
Financials
5.294.87
4.33
3.69
3.64
3.51
3.38
3.35
3.24
2.85
EnergyMaterials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Information Technology
Telecom Services
Utilities
% Port