louisiana school employees' retirement system€¦ · this report presents our updated...

Jeffrey Boucek, CFA

Copyright ©2013 by Segal Rogerscasey, Inc. All rights reserved

Senior Vice President

March 2013

Louisiana School Employees' Retirement System

ANALYSIS OF INVESTMENT PERFORMANCE

400 Galleria Parkway, Suite 1700 Atlanta GA, 30339

T 770.541.4825 www.segaladvisors.com

Jeffrey Boucek

[email protected]

May 15, 2013

Louisiana School Employees'

8660 United Plaza Boulevard

First Floor

Baton Rouge, LA 70809

Senior Vice President

Jeffrey BoucekSenior Vice President

Dear Trustees and Staff:

This report presents our updated analysis of the Louisiana School Employees'’s investment performance and traces the growth of assets

through March 31, 2013. It is based on data provided to us by your custodian and the various investment managers. The report illustrates

the investment performance of the overall Fund and also shows results by asset class and by individual manager in comparison with the

various performance benchmarks defined in the Fund’s statement of guidelines and objectives.

We hope you find this report useful as a tool for monitoring the performance of the Fund as well as a basis for discussion of the

investment issues surrounding the investment program. We look forward to reviewing this report with you and answering any questions

you may have.

Sincerely,

Table Of Contents

Financial Market Conditions ........................................................................

Overview ......................................................................................................

Total Fund ....................................................................................................

Investment Manager Performance ...............................................................

Section

This performance report ("Report") is based upon information obtained by Segal RogersCasey ("SRC") from third parties over which SRC does not exercise any control. Although the information collected by SRC is believed to be

reliable, SRC cannot verify or guarantee the accuracy or validity of such information or the uniformity of the manner in which such information was prepared. The rates of return reflected herein are time weighted and geometrically

linked on a monthly basis using a modified Dietz method. Monthly valuations and returns are calculated based on the assumptions that all transactions and prices are accurate from the custodian and /or investment manager. The client

to whom Segal RogersCasey delivers this Report ("Client") agrees and acknowledges that this Report has been prepared solely for the benefit of Client. SRC disclaims any and all liability that may arise in connection with Client’s

conveyance (whether or not consented to by SRC) of the this Report (in whole or in part) to any third party. Client further agrees and acknowledges that SRC shall have no liability, whatsoever, resulting from, or with respect to, errors

in, or incompleteness of, the information obtained from third parties. Client understands that the prior performance of an investment and /or investment manager is not indicative of such investment 's and/or investment manager's future

performance. This Report does not constitute an offer or a solicitation of an offer for the purchase or sale of any security nor is it an endorsement of any custodian , investment and/or investment manager.

Report Notes ................................................................................................

Fee Analysis .................................................................................................

1

2

3

4

5

6

Financial Market Conditions: Review of First Quarter (Q1) 2013 Investment Performance: Summary by Asset Class This section provides data on Q1 2013 investment performance for select market indices, as well as Segal Rogerscasey’s commentary.

Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year Equities MSCI World (Net of dividends) 7.73 7.73 11.85 8.46 2.23 8.88

Russell 3000 11.07 11.07 14.57 12.97 6.32 9.15

MSCI EAFE (Net of dividends) 5.13 5.13 11.26 5.00 -0.89 9.69

MSCI EM (Net of dividends) -1.62 -1.62 1.95 3.27 1.09 17.05

Fixed Income Barclays Capital Aggregate -0.12 -0.12 3.77 5.52 5.47 5.02 Citigroup Non-U.S. WGBI (Unhedged) -3.83 -3.83 -2.16 3.33 2.28 5.58 Other Commodity Splice* -0.29 -0.29 -4.00 2.23 -8.43 3.01 NCREIF NPI 2.57 2.57 10.52 13.30 2.33 8.51 Thomson Reuters Private Equity** 3.75 9.26 14.29 9.03 2.95 8.79

HFRI Fund of Funds Composite 3.46 3.46 4.88 2.13 -0.22 3.86 *Commodity Splice, a Segal Rogerscasey index, blends the DJ UBS Commodity Index (50%) and the S&P GSCI Index (50%), rebalanced monthly.

**Performance reported as of Q3 2012 because Q4 2012 and Q1 2013 performance data is not yet available.

Sources: eVestment Alliance, NCREIF, Thomson One and Hedge Fund Research, Inc.

World equity markets were positive in Q1. On a global-factor*** basis, price momentum and analyst recommendations fared well, while price/book and volatility dragged. U.S. equities posted strong gains. International equities suffered relatively from the Cyprus situation and pessimism on the viability of the euro, but they still performed well absolutely. Emerging market equities fell, impacted by slowing economic growth in China. Global fixed income ended Q1 in slightly negative territory. The U.S. market suffered from an uptick in yields, but was almost flat. The weak Japanese yen and the banking crisis in Cyprus weighed down non-U.S. fixed income. In the commodity markets, most of the Dow Jones UBS Commodity group subindices were down. Industrial metals, livestock, and precious metals underperformed significantly. Energy fared well, followed by petroleum. Funds of hedge funds gained in Q1, as measured by the HFRI Fund of Funds Composite (3.5 percent). ***Factors are attributes that explain differences in equity performance. Stocks are sorted based on their exposure to a particular factor, with the factor return being the difference in returns between stocks with high exposure and low exposure to a particular attribute.

-6%-4%-2%0%2%4%6%8%

10%12%14%16%

World Equities U.S. Equities InternationalEquities

EM Equities U.S. Fixed Income International FixedIncome

Commodities* Real Estate Private Equity** Funds of HedgeFunds

Asset Class Summary: Quarter to Date (QTD) and 1-Year Returns QTD 1-Year

1

World Economy: Key Indicators This section provides data on select United States and global economic indicators for Q1 2013 along with Segal Rogerscasey’s commentary.

GDP Growth

Real gross domestic product (GDP) in the U.S. grew at an annualized rate of 2.5 percent in Q1, up from 0.4 percent in Q4. The adjacent graph shows annualized U.S. GDP growth, along with the year-over-year (YoY) rolling percentage change in GDP. Positives for Q1’s growth included greater consumer spending despite a decrease in disposable income, and increases across the fixed investment categories of inventories, residential and nonresidential. While nonresidential investment growth was positive, it slowed significantly. Detractors to GDP growth were net exports and government spending, although government spending was less of a negative in Q1 versus Q4. The savings rate, or personal saving as a percentage of disposable personal income, declined from 4.7 percent to 2.6 percent. The Bureau of Economic Analysis emphasized that Q1 data is incomplete and will be subject to revisions. Revised data will be released on May 30.

Monetary Policy

As its March meeting, the Federal Open Market Committee (FOMC) announced that it would continue purchasing agency mortgage-backed securities (MBS) in the amount of $40 billion each month and long-term Treasuries in the amount of $45 billion per month. The FOMC committed to maintaining its exceptionally low target range for the Federal Funds Rate, between 0.0 and 0.25 percent, as long as unemployment is above 6.5 percent. Over the next one or two years, inflation is projected to be no more than 0.5 percent above the FOMC’s target of 2 percent. The European Central Bank (ECB) continued to keep its target rate at 0.75 percent. Unemployment remained fragmented in the region, with persistently high unemployment affecting countries such as Greece, Spain and Portugal, while counties such as Austria, Germany, Luxembourg and the Netherlands had low unemployment. Forecasted inflation decreased to 1.8 percent in Q1 from 2.5 percent in Q4 2012. The Bank of Japan (BoJ) continued its low interest rate policy, maintaining rates at 0.0 to 0.1 percent. The inflation target was changed to 2 percent with a time horizon of two years. The BoJ is proceeding with a major loosening in its monetary stance, intending to double the monetary base and the amount of outstanding Japanese government bonds and ETFs, and also to more than double the average remaining maturity of Japanese government bond purchases.

-10%

-5%

0%

5%

10%

Q1 20

03

Q3 20

03

Q1 20

04

Q3 20

04

Q1 20

05

Q3 20

05

Q1 20

06

Q3 20

06

Q1 20

07

Q3 20

07

Q1 20

08

Q3 20

08

Q1 20

09

Q3 20

09

Q1 20

10

Q3 20

10

Q1 20

11

Q3 20

11

Q1 20

12

Q3 20

12

Q1 20

13

Perc

ent C

hang

e

U.S. GDP Growth: Annualized Quarterly and Year-over-Year (YoY) Rolling (%)

GDP Growth Annualized YoY Rolling GDP Growth

0%

1%

2%

3%

4%

5%

6%

7%

Mar-0

1

Mar-0

2

Mar-0

3

Mar-0

4

Mar-0

5

Mar-0

6

Mar-0

7

Mar-0

8

Mar-0

9

Mar-1

0

Mar-1

1

Mar-1

2

Mar-1

3

Targ

et R

ate

Target Rates: U.S., Eurozone and Japan

U.S. Eurozone Japan

Sources: Segal Rogerscasey using data from the Federal Reserve Board, the European Central Bank and the Bank of Japan

Source: Bureau of Economic Analysis

2

Inflation

The headline Consumer Price Index (CPI)* was up 0.5 percent in Q1 and advanced 1.5 percent on a YoY basis. In March, gasoline, electricity and fuel oil declined while the food index was unchanged. CPI was flat for January, rose 0.7 percent in February, and declined 0.2 in March. Core CPI, which excludes both food and energy prices, rose 0.1 percent in March, bringing the YoY core CPI to 1.9 percent. Contributors for March included shelter, used cars and trucks, medical care, personal care and airline fares. Detractors included apparel, household furnishings and operations and tobacco. * Headline CPI is the CPI-U, the CPI for all urban consumers.

Break-Even Inflation

The adjacent graph shows the 10-year break-even inflation rate, which measures the difference in yield between a nominal 10-year Treasury bond and a comparable 10-year Treasury inflation-protected security bond (TIPS). The break-even inflation rate is an indicator of the market’s inflation expectations over the horizon of the bond. During Q1, the 10-year break-even rate at 2.52 percent remained very close to Q4 2012’s 2.45 percent. As noted on page 2 (see “Monetary Policy”), the FOMC is maintaining quantitative easing due to concerns over the slow growth in the labor market and the overall economy with the intent of keeping additional downward pressure on interest rates. The FOMC also noted that longer-term inflation is not projected to be more than 0.5 percent above its target of 2 percent.

-2%-1%0%1%2%3%4%5%6%

Mar-9

5

Mar-9

6

Mar-9

7

Mar-9

8

Mar-9

9

Mar-0

0

Mar-0

1

Mar-0

2

Mar-0

3

Mar-0

4

Mar-0

5

Mar-0

6

Mar-0

7

Mar-0

8

Mar-0

9

Mar-1

0

Mar-1

1

Mar-1

2

Mar-1

3

Perc

enta

ge C

hang

e

Headline CPI and Core CPI: Percentage Change YoY

YOY % Change in CPI YOY % Change in Core CPI

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Mar-0

8

Jun-

08

Sep-

08

Dec-0

8

Mar-0

9

Jun-

09

Sep-

09

Dec-0

9

Mar-1

0

Jun-

10

Sep-

10

Dec-1

0

Mar-1

1

Jun-

11

Sep-

11

Dec-1

1

Mar-1

2

Jun-

12

Sep-

12

Dec-1

2

Mar-1

3

Yield

10-Year Break-Even Inflation Rate

Source: Bloomberg

Source: Moody’s Economy.com using data from the Bureau of Labor Statistics

3

Labor Market and the Unemployment Rate

The labor market was flat during Q1. The unemployment rate, which is represented by the green area in the adjacent graph, fell to 7.6 percent in March from 7.8 percent in December. The decrease was due to workers exiting the labor force. (For additional information on the labor-force participation rate, see page 17.) On a net basis, nonfarm payroll increases were well below expectations in March, as a mere 88,000 jobs were added. January and February’s nonfarm payroll gains were revised upward to 148,000 jobs and 268,000 jobs respectively. The six-month average change in nonfarm payrolls is shown in the adjacent graph as an orange line. Construction contractors, service-producing industries and professional/business services experienced weak job growth in March as compared to February. Manufacturing and government employment declined. The one-month diffusion index* declined to 54.3 in March from 59.6 in February. The labor-force participation rate decreased slightly from Q4 2012’s 63.6 percent to 63.3 percent in Q1. The average workweek increased 0.1 from Q4 2012 to 34.6 in Q1. Average hourly earnings were unchanged. * Per the Bureau of Labor Statistics, figures are the percent of industries with employment increasing plus one-half of the industries with unchanged employment, where 50 percent indicates an equal balance between industries with increasing and decreasing employment.

Consumer Sentiment

The University of Michigan Index of U.S. Consumer Sentiment is an economic indicator that measures how confident individuals are about the stability of their incomes as well as the state of the economy. The Consumer Sentiment Index stood at 78.6 in Q1, up from Q4 2012’s 72.9. Consensus expectations for confidence were expected to decline, but actually rose in March, with the final better than the preliminary. The gains were due to a lack of negative effects from sequestration, equity market gains, increased housing recovery and lower gasoline prices. Consumer spending also was positive in Q1. One potential threat to confidence in the short-term future is the negative effect from potential fiscal austerity.

-1,000

-800

-600

-400

-200

0

200

400

0%

2%

4%

6%

8%

10%

12%

Mar-0

3

Mar-0

4

Mar-0

5

Mar-0

6

Mar-0

7

Mar-0

8

Mar-0

9

Mar-1

0

Mar-1

1

Mar-1

2

Mar-1

3

6-Month Avg. Change Nonfarm Payrolls

(,000)

Unem

ploy

men

t Rat

e (%

)

Unemployment and Nonfarm Payrolls

Unemployment Rate 10-Year Avg. Unemployment

6-Month Avg. Change Nonfarm Payrolls

40

50

60

70

80

90

100

Mar-0

7Ju

n-07

Sep-

07De

c-07

Mar-0

8Ju

n-08

Sep-

08De

c-08

Mar-0

9Ju

n-09

Sep-

09De

c-09

Mar-1

0Ju

n-10

Sep-

10De

c-10

Mar-1

1Ju

n-11

Sep-

11De

c-11

Mar-1

2Ju

n-12

Sep-

12De

c-12

Mar-1

3

Cons

umer

Sen

timen

t

U.S. Consumer Sentiment

Source: Bureau of Labor Statistics

Source: Moody’s Economy.com using data from the Thomson Reuters/University of Michigan Consumer Sentiment Index

4

Investor Sentiment: Mutual Fund Flows This page presents mutual fund flows across equity and fixed-income funds. Flow estimates are derived from data collected covering more than 95 percent of industry assets and are adjusted to represent industry totals. The graphs illustrate flows as of the end of Q1 2013.

Net Mutual Fund Flows

The adjacent graph shows net flows into equity and fixed-income mutual funds. In Q1, total inflows into mutual funds stood at $164.1 billion, the largest flows into equity mutual funds since 2007. After experiencing $146.9 billion in outflows in 2012, equity mutual funds rebounded in 2013 with $67.7 billion in net inflows. With $37.8 billion in net inflows, January 2013 now holds the record for largest inflows for equity mutual funds in a single month. This marks a potential shift in investors returning to the stock market, driven by a combination of positive stock market returns, strong housing and manufacturing indicators and an improving investor risk appetite. Fixed-income mutual funds also continued to be favored by investors seeking safety as well as those seeking higher-yielding alternatives to Treasuries, although high yield mutual funds suffered. Fixed-income funds experienced $70.4 billion in inflows during Q1. Hybrid mutual funds also experienced positive flows, with $26.1 billion in inflows.

Mutual Fund Flows vs. Exchange-Traded Funds

Mutual funds experienced their strongest quarter of inflows on record, with over $164.1 billion in net inflows. ETFs experienced net inflows of $39.5 billion year-to-date through February 2013. (March numbers have not yet been reported.) ETFs have experienced positive net inflows, on a month-by-month basis, since June 2011. Total assets have grown to $225.5 billion, a 19.1 percent increase since February 2012. All types of ETFs, including both equity and fixed income ETFs, experienced inflows in Q1, with continued strong inflows into bond ETFs, although high yield ETFs experienced their largest weekly outflow on record in January 2013. * Includes domestic equity, foreign equity, taxable bond, municipal bond and hybrid mutual funds.

020040060080010001200140016001800

-$70,000-$60,000-$50,000-$40,000-$30,000-$20,000-$10,000

$0$10,000$20,000$30,000$40,000$50,000

Mar-0

7Ju

n-07

Sep-

07De

c-07

Mar-0

8Ju

n-08

Sep-

08De

c-08

Mar-0

9Ju

n-09

Sep-

09De

c-09

Mar-1

0Ju

n-10

Sep-

10De

c-10

Mar-1

1Ju

n-11

Sep-

11De

c-11

Mar-1

2Ju

n-12

Sep-

12De

c-12

Mar-1

3

S&P 500 ®Level

Mont

hly N

et N

ew fl

ows

($

Milli

ons)

Monthly Mutual Fund Net Flows ($ Millions) Q1 2013

Total Equity MF Flows Total Fixed-Income MF Flows S&P 500® Index

-$40,000-$30,000-$20,000-$10,000

$0$10,000$20,000$30,000$40,000$50,000$60,000

Jan-

10Fe

b-10

Mar-1

0Ap

r-10

May-1

0Ju

n-10

Jul-1

0Au

g-10

Sep-

10Oc

t-10

Nov-1

0De

c-10

Jan-

11Fe

b-11

Mar-1

1Ap

r-11

May-1

1Ju

n-11

Jul-1

1Au

g-11

Sep-

11Oc

t-11

Nov-1

1De

c-11

Jan-

12Fe

b-12

Mar-1

2Ap

r-12

May-1

2Ju

n-12

Jul-1

2Au

g-12

Sep-

12Oc

t-12

Nov-1

2De

c-12

Jan-

13Fe

b-13

Mar-1

3

Mont

hly N

ew N

et F

lows

($ M

illion

s)

Mutual Fund Flows vs. ETFs ($ Millions): New Net Cash Flows

Net Issuance of Shares - ETFs Net New Cash Flow - Mutual Funds

Source: Investment Company Institute http://www.ici.org

Source: Investment Company Institute http://www.ici.org

5

Investment Performance: U.S. Equities This section presents data and Segal Rogerscasey’s commentary on United States equity index returns and sector performance for Q1 2013.

U.S. Equity Index Returns

The graph below illustrates Q1 2013 rates of return for selected U.S. equity indices. The table shows returns for the latest quarter, year-to-date, one-, three-, five- and 10-year annualized timeframes. All data in the table are percentages.

U.S. Equity Index Returns: Q1 2013

Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year S&P 500® 10.61 10.61 13.96 12.67 5.81 8.53 Russell 1000 10.96 10.96 14.43 12.93 6.15 8.97 Russell 1000 Growth 9.54 9.54 10.09 13.06 7.30 8.62 Russell 1000 Value 12.31 12.31 18.77 12.74 4.85 9.18 Russell 2000 12.39 12.39 16.30 13.45 8.24 11.52 Russell 2000 Growth 13.21 13.21 14.52 14.75 9.04 11.61 Russell 2000 Value 11.63 11.63 18.09 12.12 7.29 11.29 Russell 3000 11.07 11.07 14.57 12.97 6.32 9.15

Index and Sector Performance

QTD (%) YTD (%) Consumer Discretionary 12.2 12.2 Consumer Staples 14.6 14.6 Energy 10.2 10.2 Financials 11.4 11.4 Healthcare 15.8 15.8 Industrials 10.7 10.7 Information Technology 4.6 4.6 Materials 4.8 4.8 Telecommunications Services 9.5 9.5 Utilities 13.0 13.0

U.S. equities began 2013 strongly. Most indices posted double-digit returns in Q1. Although there were still political and economic uncertainties in the markets, particularly surrounding the ongoing European financial saga, increased merger activity and improved labor markets helped raise investor sentiment. Small-cap stocks slightly outperformed large-cap stocks but positive results were seen across the board. Growth and value had mixed performance, but small-cap growth stocks (13.2 percent) fared the best. Sector performance mirrored the positive performance of the broader market. Healthcare (15.8 percent) outperformed the S&P 500® Index, followed by Consumer Staples (14.6 percent) and Utilities (13.0 percent). Although still positive, Materials (4.8 percent) and Information Technology (4.6 percent) posted the lowest sector returns.

10.6% 11.0%9.5%

12.3% 12.4% 13.2%11.6% 11.1%

0%

3%

6%

9%

12%

15%

S&P 500 Index® Sector Performance – Q1 2013

This table shows quarter-to-date and year-to-date total returns for each sector. Source: Standard & Poor’s

S&P

500®

Russ

ell 10

00

Russ

ell 10

00

Grow

th

Russ

ell 10

00

Value

Russ

ell 20

00

Russ

ell 20

00

Grow

th

Russ

ell 20

00

Value

Russ

ell 30

00

Sources: Standard & Poor’s and Russell Investments

6

Equity Market Earnings and Volatility

The adjacent graph compares the total return and the earnings per share of companies in the S&P 500 Index® since March 1990. With the exception of the slight drops during Q4 2011 and Q4 2012, earnings per share of companies in the S&P 500 Index® have been trending upward since 2008, ending Q1 2013 at $25.45, a 10-year high. Q4 2012 earnings were revised downward to $23.15. Better-than-expected earnings boosted equity returns and remain well above Q4 2008 earnings, which bottomed at $-0.09. Earnings are perhaps the single most studied metric in a company's financial statements because they show a company's profitability. A company's quarterly and annual earnings are typically compared to analysts’ estimates and guidance provided by the company itself. In most situations, when earnings do not meet either of those estimates, a company's stock price will tend to drop. On the other hand, when actual earnings beat estimates by a significant amount, the share price will likely surge.

Growth vs. Value

The adjacent graph depicts the growth versus value differential for both large- and small-cap stocks. The large-cap differential shows the Russell 1000 Growth (R1000G) versus the Russell 1000 Value (R1000V) and the small-cap differential depicts the Russell 2000 Growth (R2000G) versus the Russell 2000 Value (R2000V). The R1000G has outpaced the R1000V on a monthly basis for each rolling three-year period since January 2009. Although the R1000V outperformed the R1000G over the 10-year period (54 bps), the R1000G outperformed the R1000V on a trailing three-year (39 bps) and five-year (246 bps) basis. Similar to large-cap stocks, the R2000G outpaced the R2000V on a monthly basis for each rolling three-year period since January 2009. In addition, the R2000G outpaced the R2000V on a trailing three-year (260 bps), five-year (174 bps), and 10-year (31 bps) basis.

-25%-20%-15%-10%-5%0%5%10%15%20%25%

-$5$0$5

$10$15$20$25$30

Mar-9

0Ma

r-91

Mar-9

2Ma

r-93

Mar-9

4Ma

r-95

Mar-9

6Ma

r-97

Mar-9

8Ma

r-99

Mar-0

0Ma

r-01

Mar-0

2Ma

r-03

Mar-0

4Ma

r-05

Mar-0

6Ma

r-07

Mar-0

8Ma

r-09

Mar-1

0Ma

r-11

Mar-1

2Ma

r-13

S&P 500 ®Total Return (%)

Earn

ings

Per

Sha

re ($

)

S&P 500®: Total Return and Earnings Per Share (Quarterly)

S&P Earnings Per Share S&P 500® Total Return

-35%-30%-25%-20%-15%-10%-5%0%5%

10%15%

Mar-0

2

Mar-0

3

Mar-0

4

Mar-0

5

Mar-0

6

Mar-0

7

Mar-0

8

Mar-0

9

Mar-1

0

Mar-1

1

Mar-1

2

Mar-1

3

Grow

th/V

alue D

iffer

entia

l

Growth Stocks vs. Value Stocks (Rolling 3-Year)

Large-Cap Growth/Value Differential Small-Cap Growth/Value Differential

Growth Outperforms

Value Outperforms

Source: Standard & Poor’s

Source: Russell Investments

7

7.7%

5.1%

2.8%

7.0%

2.5%

11.6%

0%

2%

4%

6%

8%

10%

12%

14%

World EAFE Europe ex U.K. Pacific ex Japan United Kingdom Japan

Investment Performance: Non-U.S. Equities This section presents data and Segal Rogerscasey’s commentary on international equity returns and analyzes sector performance for Q1 2013.

International Equity Returns

MSCI Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World 7.73 7.73 11.85 8.46 2.23 8.88

EAFE 5.13 5.13 11.25 5.00 -0.89 9.69

Europe ex U.K.

2.83 2.83 10.99 3.22 -3.43 10.01

Pacific ex Japan

7.02 7.02 19.82 9.66 5.98 15.57

United Kingdom

2.48 2.48 9.75 7.99 0.70 9.30

Japan 11.63 11.63 8.54 3.35 -0.52 6.96


MSCI EAFE Sector Performance – Q1 2013 QTD (%) YTD (%)

Consumer Discretionary 7.03 7.03 Consumer Staples 10.35 10.35 Energy -2.51 -2.51

Financials 4.42 4.42

Healthcare 10.54 10.54

Industrials 4.91 4.91

Information Technology 4.77 4.77

Materials -5.55 -5.55

Telecommunication Services 5.65 5.65 Utilities -1.57 -1.57

The Morgan Stanley Capital International (MSCI) EAFE Index rose 5.1 percent in Q1. An impressive 5.3 percent gain in January drove results, followed by two relatively flat months in February (-0.9 percent) and March (0.8 percent). February ended eight consecutive monthly gains for the index. Most countries comprising the MSCI EAFE Index posted gains during Q1; however, negative headlines out of Cyprus took center stage as persistent angst over the euro’s long-term prospects continued to plague select European markets. Austria (-4.7 percent), Italy (-9.7 percent) and Spain (-5.6 percent) each ended Q1 in negative territory, as positive January returns for each country were offset by poor returns in February and March. Japan (11.6 percent) was especially strong during Q1, reestablishing itself as a global equity safety net, while Germany (0.2 percent) posted two surprising losses in February and March, but was able to eke out a small quarterly gain due to its strong January return. Although risk continued to permeate Europe, absolute returns across developed markets were strong, led by Greece (14.0 percent), Ireland (12.6 percent), Japan (11.6 percent) and Switzerland (11.2 percent). With the exception of Energy (-2.5 percent), Materials (-5.6 percent) and Utilities (-1.6 percent), all sectors of the MSCI EAFE Index increased. Consumer Staples (10.4 percent) and Healthcare (10.5 percent) performed the best. All MSCI style indices gained, while small capitalization stocks outperformed mid- and large capitalization stocks across core, growth and value.

The graph below illustrates Q1 2013 rates of return for selected international equity indices. The table shows returns for the latest quarter, year-to-date, one-, three-, five- and 10-year annualized timeframes. All data in the table are percentages, and all are shown from the USD perspective.

Source: Morgan Stanley Capital International

This table shows quarter-to-date and year-to-date price changes for each sector.

MSCI Non-U.S. Equity Index Returns: Q1 2013

Source: Morgan Stanley Capital International 8

-1.6% -1.4%

-5.5%

0.9%

-6%

-4%

-2%

0%

2%

Emerging Markets Asia EMEA Latin America

Investment Performance: Emerging Market Equities This section presents data and Segal Rogerscasey’s commentary on emerging market (EM) equity returns and analyzes sector performance for Q1 2013.

Emerging Market Equity Returns

MSCI Emerging Market Equity Index Returns: Q1 2013

MSCI EM Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

EM (All) -1.62 -1.62 1.96 3.27 1.09 17.05

Asia -1.35 -1.35 5.21 4.94 2.20 15.69

EMEA -5.49 -5.49 -0.70 2.17 -0.94 15.46

Latin America 0.89 0.89 -4.34 -0.09 0.36 22.85


MSCI EM Index Sector Performance – Q1 2013

QTD (%) YTD (%) Consumer Discretionary -2.3 -2.3 Consumer Staples 2.0 2.0 Energy -5.8 -5.8 Financials 1.8 1.8 Healthcare 2.6 2.6 Industrials -1.1 -1.1 Information Technology 1.1 1.1 Materials -10.0 -10.0 Telecommunication Services -5.0 -5.0 Utilities 2.0 2.0

After rising 18.2 percent in 2012, the MSCI Emerging Markets (EM) Index started 2013 poorly, falling 1.6 percent in Q1. Currency negatively affected Q1’s performance, as the MSCI EM Index fell just 0.5 percent in local currency terms. Latin America (0.9 percent) was the only region to gain during Q1, while EMEA (-5.5 percent) and Asia (-1.4 percent) suffered losses. The Philippines (18.6 percent), Turkey (8.2 percent) and Mexico (6.1 percent) were the best-performing countries in their respective regions. The Philippines benefited from a large increase in domestic demand and exports to China; also, Fitch upgraded the country’s debt to investment grade at the end of March. After being the top-performing country in Asia in Q4 2012, China (-4.5 percent) was the worst performer in the region during Q1. The Czech Republic (-14.1 percent), which is currently in a recession and facing a possible deflationary environment, underperformed the broad index. Sector performance was mixed during Q1, although investors tended to favor defensive sectors over cyclical sectors. Healthcare (2.6 percent), Consumer Staples (2.0 percent), and Utilities (2.0 percent) performed the best. Materials (-10.0 percent) was by far the worst-performing sector during Q1. Energy (-5.8 percent) and Telecommunication Services (-5.0 percent) also posted losses.

This table shows quarter-to-date and year-to-date price changes for each sector.


The graph below illustrates Q1 2013 rates of return for selected emerging market equity indices. The table shows returns for the latest quarter, year-to-date, one-year, three-year, five-year and 10-year annualized timeframes. All data in the table are percentages, and all are shown from the USD perspective.


9

Investment Performance: U.S. Fixed Income This section focuses on selected United States fixed-income asset class data along with Segal Rogerscasey’s commentary on the yield curve and option-adjusted spreads (OAS) during Q1 2013.

Fixed-Income Index Returns

The graph below illustrates Q1 2013 total return for select fixed-income indices. Returns shown are percentages and annualized for periods greater than one year.

Fixed-Income Index Returns: Q1 2013

Fixed-Income Indices QTD YTD 1-Year 3-Year 5-Year 10-Year BarCap* Aggregate -0.12 -0.12 3.77 5.52 5.47 5.03

BarCap* Govt/Credit -0.16 -0.16 4.56 6.10 5.50 5.06

BarCap* Int Govt/Credit 0.26 0.26 3.53 4.75 4.61 4.49

BarCap* Long Govt/Credit -1.98 -1.98 8.94 12.31 9.55 7.52

BarCap* Government -0.16 -0.16 3.01 5.04 4.36 4.53

BarCap* Credit -0.17 -0.17 7.00 7.86 7.52 5.96

BarCap* Inv Grade CMBS 0.24 0.24 6.58 9.20 7.88 5.36

BarCap* Mortgage -0.05 -0.05 1.97 4.17 5.15 4.98

BofA ML US Hi Yld Master II 2.90 2.90 13.11 10.91 11.33 9.94

Citi Non-U.S. WGBI** (Unhdg) -3.82 -3.82 -2.16 3.33 2.28 5.58

Citi 3-Month T-Bill 0.02 0.02 0.08 0.09 0.3 1.66

Hueler Stable Value 0.48 0.48 2.14 2.59 3.01 3.81

Yield Curve

Source: Bloomberg In February, the Fed continued its monthly bond-buying program and held the federal funds rate at 0.0 to 0.25 percent until the outlook for the labor market substantially improves. The accommodative policies of the Fed kept short-term rates relatively unchanged; however, in response to growth in economic activity, intermediate- and long-term rates ticked up. The yield curve steepened in Q1, as the spread between two- and 30-year yields widened by 15 bps.

-0.1% -0.2%

0.3%

-2.0%-0.2% -0.2%

0.2%

-0.1%

2.9%

-3.8%

0.0% 0.5%

-6%

-4%

-2%

0%

2%

4%

BarC

ap A

ggre

gate

BarC

ap G

ovt/C

redit

BarC

ap In

t Gov

t/Cre

dit

BarC

ap Lo

ng G

ovt/C

redit

BarC

ap G

over

nmen

t

BarC

ap C

redit

BarC

ap In

v Gra

de C

MBS

BarC

ap M

ortga

ge

BofA

ML U

S Hi

Yld

Maste

r II

Citi N

on-U

.S. W

GBI

(Unh

dg)

Citi 3

-Mon

th T-

Bill

Huele

r Stab

le Va

lue

0.0%

0.4%

0.8%

1.2%

1.6%

2.0%

2.4%

2.8%

3.2%

1Y 2Y 3Y 5Y 7Y 10Y 30Y

Yield

Maturity

U.S. Treasury Yield Curve

12/31/2012 03/31/2013

* “BarCap” is an abbreviation for Barclays Capital ** “WGBI” stands for World Government Bond Index

-2 0 0

4 39

15

1Y 2Y 3Y 5Y 7Y 10Y 30YMaturity

Change in U.S. Treasury Yield Curve (bps): Q4 2012 to Q1 2013

Sources: Barclays Capital, Citigroup and Hueler Analytics

10

Option-Adjusted Spreads

The Fed’s ongoing quantitative easing policy along with positive economic data, such as increased existing home sales, fueled investor demand for risky assets. High-yield corporates and investment-grade financials were the top-performing sectors in Q1, with spreads that tightened by 54 and 13 bps, respectively. Spreads widened modestly in securitized sectors, with MBS, ABS and CMBS all experiencing single-digit up-ticks in OAS. Securitized spreads generally moved within a narrow range throughout Q1, although there was some differentiation in performance within the subsectors. For example, within MBS, shorter duration hybrid adjustable-rate mortgages outpaced fixed-rate mortgages.

OAS* in Bps

12/31/12 3/31/13 Change in OAS

10-Year Average

U.S. Aggregate Index 53 56 3 70 U.S. Agency (Non-mortgage) Sector 13 13 0 36 Securitized Sectors: Mortgage-Backed Securities 50 58 8 57 Asset-Backed Securities 43 49 6 147 Commercial Mortgage-Backed Securities 124 133 9 245 Corporate Sectors: U.S. Investment Grade 141 139 -2 172 Industrial 133 137 4 158 Utility 144 139 -5 161 Financial Institutions 155 142 -13 197 U.S. High Yield 511 457 -54 569

Credit Spreads Narrow Barclays Capital Corporate Bond Spreads

Investment-grade corporate spreads narrowed by 2 bps, ending Q1 with an OAS of 139 bps over Treasuries, as shown in the adjacent graph. Spreads remained below their 10-year average of 172 bps. Similar to securitized sectors, corporate spreads traded within a tight range throughout Q1. Within corporates, spreads tightened marginally for financials and utilities and widened for industrials. Below-investment-grade bonds extended their rally, as investors continued their demand for higher-yielding securities. High-yield spreads continued their impressive march downward, narrowing by 54 bps to end Q1 at 457 bps. While high-yield spreads stand well below the 10-year average of 569 bps, the sector continues to enjoy strong fundamentals, with default rates for 2013 and 2014 projected to be at 2 percent.

0

200

400

600

800

1000

1200

1400

1600

1800

2000

Mar-0

3

Sep-

03

Mar-0

4

Sep-

04

Mar-0

5

Sep-

05

Mar-0

6

Sep-

06

Mar-0

7

Sep-

07

Mar-0

8

Sep-

08

Mar-0

9

Sep-

09

Mar-1

0

Sep-

10

Mar-1

1

Sep-

11

Mar-1

2

Sep-

12

Mar-1

3

Bps

Inv-Grade OAS

10-Year Avg

High Yield OAS

10-Year Avg

* OAS is the yield spread of bonds versus Treasury yields taking into consideration differing bond options.Source: Barclays Capital

Source: Barclays Capital 11

Investment Performance: Non-U.S. Fixed Income This page focuses on international fixed-income asset class data and information on emerging markets debt for Q1 2013.

International Fixed Income

Citigroup WGBI: Returns of Major Constituents (%)

In Q1, global sovereign bonds, as measured by the Citigroup World Government Bond Index (WGBI), gained 0.9 percent in local currency terms and fell 2.8 percent in unhedged terms. Non-U.S. government bonds, as measured by the Citigroup Non-U.S. WGBI, outperformed U.S. government bonds by 148 bps in local currency terms, but underperformed by 365 bps in unhedged currency terms. The BarCap Global Aggregate Index, which includes spread sectors, fell 2.1 percent, outperforming the sovereign-only Citigroup WGBI Index by 67 bps on an unhedged basis. The ECB and European Union continued to provide support for troubled eurozone countries amidst headlines around Cyprus’ bailout request, Italy’s inconclusive election and continued recessionary economic conditions. Bond yields in weaker eurozone countries rose while those in healthier countries tightened. German bunds and UK gilts narrowed as investors sought safe-haven assets. S&P downgraded Italy’s credit rating to BBB+ and Italy’s 10-year bond yield closed the quarter at 4.8 percent. Japanese bonds were hurt from a sharp 8 percent depreciation of the yen against the USD, driven by the BoJ’s efforts to stimulate the economy and ignite inflation. However, Japanese bonds rallied at the end of Q1 as the BoJ signaled further monetary easing actions. The yield on 10-year Japanese bonds ended the quarter at 0.6 percent.

Country Local Currency Return (Qtr)

Currency Effect

Unhedged Total Return (Qtr)

United States -0.2 - -0.2 Canada 0.2 -2.0 -1.8 Australia -0.1 0.4 0.3 Japan 2.5 -8.2 -5.7 Austria 0.3 -2.6 -2.3 Belgium -0.1 -2.6 -2.7 France -0.2 -2.6 -2.8 Germany 0.4 -2.6 -2.2 Italy 0.1 -2.6 -2.5 Netherlands -0.6 -2.6 -3.2 Spain 2.7 -2.6 0.1 United Kingdom 0.7 -6.6 -5.9 Non-U.S. World Govt. Bond 1.3 -5.1 -3.8 World Govt. Bond 0.9 -3.7 -2.8

Emerging Markets Debt

J.P. Morgan EMBI Global Index Best and Worst Performing Markets In Q1, emerging markets debt (EMD), as measured by the J.P. Morgan EMBI Global Index, fell

2.3 percent. Emerging market sovereign yield spreads widened by 41 bps to finish Q1 at 307 bps. Mexico, Russia and Venezuela, the three largest components of the J.P. Morgan EMBI Global Index, posted mixed returns. Both Mexico and Russia fell 2.6 percent and Venezuela rose 1.2 percent. The three best- and worst-performing countries are shown in the chart at left. The J.P. Morgan GBI-EM Global Diversified (Unhedged) Index, the local currency debt benchmark, fell 0.1 percent. Although most EM currencies depreciated against the USD, the local currency index outperformed the USD-denominated EMD index. Accommodative monetary policy across global central banks, coupled with headlines of Cyprus’ debt problems and the death of Hugo Chavez of Venezuela, drove EMD markets in Q1. Venezuelan bonds were volatile, as investors were concerned about political stability after Chavez’ death, but they ended Q1 up 1.2 percent. Eastern European currencies and local bonds lagged while Mexican local bonds performed strongly due to currency appreciation and S&P lifting the country’s credit outlook.

-2.3%

51.2%

6.3% 6.2%

-5.3% -11.3% -17.9%-30%-20%-10%

0%10%20%30%40%50%60%

EMBI

Glob

al

Beliz

e

Ecua

dor

Ivory

Coas

t

Urag

uay

Egyp

t

Arge

ntina

Source: Citigroup, Barclays Capital

Source: J.P. Morgan

12

Investment Performance: Commodities and Currencies This page presents performance information about commodities and major world currencies as of Q1 2013.

Commodities

Q1 was an interesting quarter for commodities because the asset class did not benefit from the risk-on trade as it has since the financial crisis of 2008. In contrast to the last few years, energy and industrial metal prices did not find support from rising equity markets, which might indicate a shift back toward fundamentals of supply and demand. Gold, which has shown strong performance during major market events, such as quantitative easing by a central bank or debt crisis in one of the European countries, also had a negative quarter, although there were major events that occurred during Q1, such as the Cypriot bailout and Italian elections. Industrial metals continue to track Chinese economic growth, which had a lackluster Q1. The adjacent graph shows the major commodity indices, the S&P GSCI* Index and the Dow Jones-UBS Commodity** Index. * The S&P GSCI Index is calculated primarily on a world production-weighted basis and is composed of the principal physical commodities that are the subject of active, liquid futures markets. **The DJ-UBSCI is composed of futures contracts on physical commodities, with weighting restrictions on individual commodities and commodity groups to promote diversification.

Commodities Q1

Level QTD (%) YTD (%) 12-Month

Low 12-Month

High 5-Year

Average Copper (USD/tonne) 7,540 -4.9 -4.9 7,295 8,641 7,308 Corn (USc) 1,405 -1.0 -1.0 1,340 1,771 1,225 Gold (USD/oz) 1,597 -4.7 -4.7 1,540 1,790 1,300 Wheat (USc) 137 -4.6 -4.6 133 188 170 WTI Crude (/barrel) 97.2 5.9 5.9 77.7 106.2 86.0

Monthly Commodity Returns, Growth of $100: September 2003 – March 2013

Sources: eVestment Alliance and Deutsche Bank

Currencies Nominal Broad Dollar Index: USD vs. Basket of Major Trading Partners

The adjacent graph shows the USD against a basket of 16 major market currencies, including those listed in the table above: the Canadian dollar (CAD), the euro (EUR), the Japanese yen (JPY), the Swiss franc (CHF), the British pound-sterling (GBP). In Q1, the USD appreciated versus the CAD, EUR, JPY, CHF and GBP due to improving economic conditions in the U.S., ongoing problems in the eurozone and new monetary policies by the BoJ. A potential negative effect of a strengthening USD is weaker exports, considering companies in the S&P 500 Index® derive approximately 40 percent of their revenue outside of the U.S.

USD Major Trading Partners Pairs Q1 Level YTD (%) 5-Year AverageCanada USD/CAD 1.017 2.55 1.047 Eurozone USD/EUR 0.780 2.93 0.736 Japan USD/JPY 94.220 8.61 88.103 Switzerland USD/CHF 0.949 3.69 0.997 U.K. USD/GBP 0.658 6.92 0.624

0

50

100

150

200

250

300

Sep-

03

Mar-0

4

Sep-

04

Mar-0

5

Sep-

05

Mar-0

6

Sep-

06

Mar-0

7

Sep-

07

Mar-0

8

Sep-

08

Mar-0

9

Sep-

09

Mar-1

0

Sep-

10

Mar-1

1

Sep-

11

Mar-1

2

Sep-

12

Mar-1

3

S&P GSCI Total Return Index Dow Jones-UBS Commodity Index

70

90

110

130

150

Mar-0

2Se

p-02

Mar-0

3Se

p-03

Mar-0

4Se

p-04

Mar-0

5Se

p-05

Mar-0

6Se

p-06

Mar-0

7Se

p-07

Mar-0

8Se

p-08

Mar-0

9Se

p-09

Mar-1

0Se

p-10

Mar-1

1Se

p-11

Mar-1

2Se

p-12

Mar-1

3Nom

inal

Broa

d Do

llar I

ndex

Source: Bloomberg 13

Investment Performance: Hedge Funds This section provides an overview of hedge fund results along with an analysis of strategy performance during Q1 2013.

Hedge Fund Overview

The Hedge Fund Research, Inc. (HFRI) Fund Weighted Composite Index gained 3.9 percent in Q1 marking a third consecutive quarter of positive results. Hedge funds recorded three months of profits in Q1. All major hedge fund strategies posted positive performance. The best Q1 performers among the major hedge fund strategies were Equity Hedge (5.3 percent), Event-Driven (3.8 percent) and Relative Value (3.8 percent) while Global Macro (1.4 percent) continued to lag behind. Longer-term results were also positive, with hedge funds recording a gain of 4.1 percent over the three-year period ended March 31, 2013, as measured by the HFRI Fund Weighted Composite Index. Hedge funds of funds also gained in Q1, as represented by the HFRI Fund of Funds (FOF) Composite Index’s 3.5 percent increase. The HFRI FOF: Conservative Index underperformed this broader index with a 2.5 percent return while the HFRI FOF: Diversified Index essentially matched at 3.4 percent.

Hedge Fund Industry Performance

Strategy Analysis HFRI Index Returns – Q1 2013 (%)

Jan Feb Mar QTD YTD

Fund of Funds Composite 2.1 0.3 1.0 3.5 3.5 FOF: Conservative 1.7 0.3 0.5 2.5 2.5 FOF: Diversified 2.1 0.3 1.1 3.4 3.4 Fund Weighted Composite 2.5 0.2 1.2 3.9 3.9 Equity Hedge (Total) 3.4 0.4 1.5 5.3 5.3 Equity Market Neutral 1.3 0.7 0.7 2.6 2.6 Short Bias -3.2 0.0 -2.4 -5.5 -5.5 Event-Driven (Total) 2.3 0.4 1.0 3.8 3.8 Distressed/Restructuring 2.4 0.6 1.3 4.4 4.4 Merger Arbitrage -0.1 0.3 0.7 0.9 0.9 Relative Value (Total) 1.8 0.4 1.5 3.8 3.8 FI-Convertible Arbitrage 1.5 0.2 0.6 2.3 2.3 Global Macro (Total) 1.6 -0.7 0.5 1.4 1.4 Emerging Markets (Total) 3.4 0.0 -1.0 2.4 2.4

The HFRI Equity Hedge Index gained 5.3 percent in Q1. Equity hedge managers posted solid gains, trading in line with their net exposures. Long positions typically produced alpha while short positions slightly hurt performance. Strong gains came from exposure to Technology and Healthcare while Asian-focused managers also recorded outsized gains. Short-biased managers struggled and comprised the sole negatively performing sub-strategy in Q1. The HFRI Event-Driven Index rose 3.8 percent. Event-driven managers with exposure to special situation equities and idiosyncratic credit were among the best performers during the Q1. Specific company catalysts drove equity gains while credits saw spread compressions in a number of areas. Distressed/restructuring managers also performed strongly, fueled primarily by liquidation investments. Merger arbitrage returns remained muted, but managers expect the opportunity set to grow throughout 2013 with increased corporate activity. The HFRI Relative Value Index increased 3.8 percent. Relative-value managers performed well on a broad basis with their largest gains coming from quantitatively based managers looking to extract yield from securities. Additionally, managers playing the asset-backed space also recorded strong performance, benefiting primarily from a continued rally in the non-agency RMBS space. Convertible arbitrage managers saw modest gains as equity volatility declined. The HFRI Emerging Markets Index gained 2.4 percent. Emerging-market managers saw positive contributions from their equity positions, with Asia and Latin America among the best-performing regions. Currency trading was also positive. Managers were positioned short in currencies where they believed the bond markets rallies had overshot and maintained long positions in countries with continued policy of low interest rates. The HFRI Global Macro Index rose 1.4 percent. Macro funds’ Q1 gains were tempered by commodity declines, currency reversals and falling equity volatility. Systematic macro managers recorded gains in Q1, benefiting from prolonged trends in January and March stemming from increased risk-taking.

-5%

0%

5%

10%

15%

Hedg

e Fun

d Tota

l

Hedg

e Fun

d of

Fund

s

Equit

y Hed

ge

Emer

ging M

arke

ts

Even

t Driv

en

Distr

esse

d*

Glob

al Ma

cro

Relat

ive V

alue*

*

Retu

rns (

%) YTD (%) 1-Year (%) 3-Year (%)

* Distressed funds focus on companies that are close to or in bankruptcy.** Relative-value funds focus on arbitrage opportunities between equity and fixed income securities. Source: Hedge Fund Research, Inc.

Source: Hedge Fund Research, Inc.

14

Investment Performance: Private Equity This section provides data on private equity industry performance, fundraising, buyout funds, initial public offering (IPO) activity and venture capital. The information shown below reflects the most recent private equity data available.

Private Equity Industry Performance

The adjacent graph shows private equity fund performance for Q3 2012, calculated as pooled internal rates of return (IRRs) of funds reporting to Thomson One. Performance for 2006 through 2010 vintage-year* funds, as well as one-, five-, 10-, and 20-year returns are calculated for funds in the following categories: all private equity, venture capital and buyouts. While buyout strategies are posting positive returns for these vintage years, venture capital funds are still struggling. Private equity funds for all regions returned approximately 3.8 percent in Q3 2012. This includes performance across all venture capital (seed/early, later and balanced stages) and buyout funds (small, medium, large, mega and generalist). Over a 20-year period, all private equity, venture capital and buyout funds generated double-digit returns, returning 11.2 percent, 15.8 percent and 10.3 percent, respectively. * ”Vintage year” refers to the first year capital was committed in a particular fund. Vintage-year performance is calculated as the median percentile returns of all funds reporting as pooled IRRs.

Private Equity Performance by Vintage Year and Investment Horizon: All Regions

Source: Thomson Reuters

Private Equity Overview

Private Equity Commitments: United States

Source: The Private Equity Analyst

According to The Private Equity Analyst, private equity firms in the U.S. raised $160.4 billion across 426 funds through Q4 2012. This reflects a 20 percent increase in dollars raised when compared to the $133.2 billion raised by 453 funds in 2011. Despite the substantial upticks in 2011 and 2012, fundraising is still substantially lower than the pre-financial crisis levels, which peaked at $350 billion in 2007, as shown in the adjacent graph. Buyout funds gathered the most assets during the year, raising $114.3 billion, which represented more than 70 percent of the total capital raised. More than half of this amount was raised by funds targeting $2.5 billion or more. Venture capital funds raised $20.3 billion during the same period. Venture-backed IPO activity raised $1.4 billion in Q4, which was slightly higher than the $1.1 billion raised in Q3. The year was the strongest annual period since 2000, with $21.5 billion raised by 49 listings, due to the record-breaking Facebook IPO in Q2. In terms of buyout exit activity, 40 IPOs and 455 M&A transactions were completed in 2012 versus 21 IPOs and 324 M&A transactions in 2011. Venture capital firms invested $26.5 billion in 3,698 deals in 2012, which represents a 10 percent decrease in dollars and 6 percent decline in deals when compared to 2011.This is the first decline in investment dollars in the last three years. Meanwhile, buyout firms completed 1,178 transactions, which is in line with the 1,170 deals that occurred in 2011.

-8%-4%0%4%8%

12%16%

2010

2009

2008

2007

2006

1 Yea

r

5 Yea

r

10 Y

ear

20 Y

ear

Horiz

on R

etur

ns (P

ooled

IRRs

)

Vintage YearTotal PE Venture Capital Buyouts

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

$ Milli

ons

Other (Includes fund of funds, mezzanine, and secondaries) Venture Buyout/Corporate Finance

Investment Horizon

15

Investment Performance: Real Estate This section presents data and Segal Rogerscasey’s commentary on private, public, value-added and opportunistic real estate. The information in this section reflects the most recent data available.

Private Real Estate

The National Council of Real Estate Investment Fiduciaries (NCREIF) Property Index (NPI), which tracks private real estate in the U.S., gained 2.6 percent during Q1. The total return is composed of 1.4 percent income and 1.2 percent property-level appreciation. Over the trailing one-year period, the index gained 10.5 percent, composed of 4.5 percent property-level appreciation and 5.8 percent income. In the regions of the U.S., the South performed the best during Q1 while the West performed the best over the last 12 months, as shown in the adjacent table. On a global scale, most Western markets and Japan have been gradually improving, but risks such as the slow pace of the economic recovery remain. In the U.S., shorter-lease-term sectors such as apartments, hotels, storage and high-end malls have generated the strongest operating performance. Investor demand for high-quality assets with secure income streams remained strong while secondary assets continued to experience wide bid-ask spreads across most markets*. * A “bid” is the offer price from a buyer and an “ask” is the requested price from a seller. Currently, the bid-ask spread, or the difference between the two, is large enough that few secondary asset transactions have been taking place.

Returns as of Q1 2013Ending Weight (%) QTD (%) 1 Year (%)

NCREIF NPI Total Return 100.0 2.6 10.5 Sector Apartment 25.1 2.6 11.0 Hotel 2.5 1.2 7.9 Industrial 14.0 2.5 10.5 Office 34.9 1.9 9.0 Retail 23.5 3.7 12.6 NCREIF Region East 34.1 2.1 9.0 Midwest 9.7 2.5 9.7 South 21.6 3.0 11.4 West 34.7 2.8 11.7

Public Real Estate

The FTSE EPRA/NAREIT Global Developed Real Estate Index reached a total market capitalization of $1.1 trillion in Q1, broken down by North America at $542 billion, Europe at $134 billion and Asia at $378 billion. Property stocks rose 6.3 percent on a global basis during Q1, reflecting strong core private market transactions and the movements of the broader equity market. Asia (8.5 percent) outperformed the U.S. (8.2 percent) and Europe (-2.5 percent) as measured by the FTSE EPRA/NAREIT indices. Sector performance in the U.S. was positive across the board: Mixed Office and Industrial (18.4 percent), Manufactured Home Communities (17.3 percent), Net Lease (16.7 percent), Suburban Office (15.4 percent), Diversified/Financial (15.0 percent), Healthcare (14.7 percent), Lodging (13.7 percent), Shopping Centers (13.5 percent) and Industrial (11.6 percent) outperformed the broader index. Apartments (0.1 percent), Student Apartments (0.5 percent), Regional Malls (2.8 percent) and Central Business District Office (3.0 percent) gained the least. U.S. REITs were supported by strong fund flows as well as Federal Reserve policy. Global property stocks benefited from strength in Japan largely due to the BoJ’s accommodative policy. (See “Monetary Policy” on page 2.) In Europe, Greece (15.7 percent), Sweden (7.4 percent), Norway (2.2 percent) and Finland (1.9 percent) outperformed, while Austria (-9.6 percent), Germany (-5.8 percent), Switzerland (-3.8 percent) and the United Kingdom (-3.6 percent) fell. In Asia, Japan (24.6 percent) outperformed while Singapore (-1.6 percent), Hong Kong (0.0 percent), New Zealand (3.3 percent) and Australia (5.4 percent) lagged within the region.

-50%

-25%

0%

25%

50%

Q1 10 Q3 10 Q1 11 Q3 11 Q1 12 Q3 12 Q1 13

U.S. Europe Asia

Source: National Association of Real Estate Investment Trusts

Regional Real Estate Securities Performance

Source: National Council of Real Estate Investment Fiduciaries

National Property Index Sector and Region Performance

16

Value-Added and Opportunistic Real Estate

Following the financial crisis, investor demand shifted to relatively low-risk core strategies; however, some higher-risk strategies, such as opportunistic and distressed, remained attractive to investors. The chart at right illustrates the gradual shift in the strategies targeted by private real estate investors over the past three years to higher- risk/higher-return strategies such as value-added, opportunistic and core-plus. Investors are now returning to value-added strategies, which have traditionally been among the most commonly implemented strategies by private real estate investors. The performance of value-added funds, shown in graph at bottom right, has exceeded that of all private equity real estate funds for the 2008 and 2009 vintage years, which may have strengthened investors’ confidence and encouraged their return to this strategy. Investor concern over the pricing of core real estate assets as well as the need for many investors to pursue higher returning strategies has also contributed to the shift. Although fundraising for opportunistic strategies, shown in the graph below, declined more than 60 percent from 2007 to 2012, the $23 billion raised in 2012 is more than three times the amount raised in 2010 or in 2011. In 2012, value-added strategies raised $11 billion versus $8 billion in 2011 and $6 billion in 2010.

100

83

42 38 33 38

7

51 58

137 7

23

10

20

40

60

80

100

120

2007

2008

2009

2010

2011

2012

Jan-

Mar

2013

Number of Funds Closed Aggregate Capital Raised ($ billion)

46%

54%

27%

38%

0%

12%

47% 47%

26%

42%

8%5%

55%

45% 45% 44%

34%

25%

0%

10%

20%

30%

40%

50%

60%

Value-Added Core Core-Plus Opportunistic Debt Distressed

January 2011 January 2012 January 2013

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

All Private Equity Real Estate Value-Added

Median Net IRR by Vintage Year Source: Preqin Real Estate Online

Source: Preqin Real Estate Online

Private Real Estate Strategies Targeted over the Past Three Years

Opportunistic Fundraising

Source: Preqin Real Estate Online 17

Noteworthy Developments Segal Rogerscasey finds the following developments to be noteworthy for institutional investors.

Single-Family Housing Starts and the Unemployment Rate

The adjacent chart depicts single-family housing starts and the unemployment rate (inverted) through February 2013. Although numerous factors affect unemployment, the housing market tends to have an important correlation to the unemployment rate. Additionally, there tends to be a slight lag between the numbers, typically equaling 12 to 18 months with peak correlation at a lag of 16 months. As the Federal Reserve lowers interest rates toward the end of a recession, residential investment usually begins to increase, which leads to job creation and additional household formation, resulting in housing unit demand growth, an increase in jobs, and more households. The cycle described is influential during economic recovery. The latest recession saw a significant overhang of existing housing units, which caused a lack of participation for the sector across an extended period. As a result, housing starts had been relatively flat over the last two and one-half years, despite a slight increase in 2009 due to the homebuyer tax credit, which may help explain why the unemployment rate remained elevated during this time. However, single-family housing starts have increased on a more consistent basis starting near the end of 2011, which should lead to more construction employment and a possible decrease in the unemployment rate.

A Looming Headwind to the Unemployment Rate

The adjacent graph shows the historical trend of the labor-force participation rate. The rate’s 40-year average is 65.1 percent, but it ranged from 65 percent to 67 percent between 1985 and 2009. At the end of Q1, the labor-force participation rate stood at 63.3 percent. Although the U.S. unemployment rate has dropped from its October 2009 peak of 10.1 percent to 7.6 percent as of March 2013, the country’s labor-force participation rate has also fallen from 65.0 to 63.3 percent during the same period. The change in the labor-force participation rate can be explained by the discouraged worker effect, meaning that individuals have exited the labor force because they felt that they were unable to find suitable employment options. The discouraged worker effect typically continues beyond a recession, as many companies are slow to hire after such periods. A decrease in the labor-force participation rate can lead to a decline in the unemployment rate, as discouraged workers are no longer classified as unemployed workers. As more jobs become available, however, many of these workers will re-enter the labor force, which will strain further progress in lowering the unemployment rate. Thus, the economy will have to increase the number of jobs by even more than in the early post-recession years just to maintain the current unemployment rate level.

0

2

4

6

8

10

120200400600800

100012001400160018002000

Feb-

69Fe

b-71

Feb-

73Fe

b-75

Feb-

77Fe

b-79

Feb-

81Fe

b-83

Feb-

85Fe

b-87

Feb-

89Fe

b-91

Feb-

93Fe

b-95

Feb-

97Fe

b-99

Feb-

01Fe

b-03

Feb-

05Fe

b-07

Feb-

09Fe

b-11

Feb-

13

Unemploym

ent Rate, InvertedHous

ing

Star

ts, S

AAR

(000

s)

Recession One Unit Structures Unemployment Rate (Inverted)

60%

61%

62%

63%

64%

65%

66%

67%

68%

1973 1978 1983 1988 1993 1998 2003 2008 2013

Labor-Force Participation Rate below Historical Average

40-yr. average: 65.1%

Source: Federal Reserve Bank of St. Louis, Bureau of Labor Statistics, calculatedriskblog.com


Single Family Housing Starts and the Unemployment Rate

18

Traditional Equity Asset Class Fee Comparison

The adjacent graph shows a fee comparison between select global equity asset classes.* Higher fees typically coincide with more complex and inefficient asset classes, where active managers believe they have the best ability to outperform the market. This is illustrated in the graph, where international and domestic managers who delve in smaller capitalization stocks are those demanding the highest fees. Investing in U.S. passive equity carries a 95 percent discount to investing in the frontier markets. Multiple factors can contribute to higher fees within asset classes. Operationally, it can be more expensive to manage international assets, given the custody and registration costs required for ownership of foreign stocks. Also, many international strategies choose to locate investors in some of the markets in which they invest, requiring office space, while others choose to travel extensively to those markets, necessitating a large travel budget. Managers investing in smaller companies may incur higher costs for research when compared to larger cap strategies because less information is publicly available on small companies, so more legwork is required to analyze a prospective stock. Another reason for the higher fees in U.S. small cap, emerging markets and frontier markets is that managers quite rightly limit the amount of money they will manage in these areas, understanding that managing too many assets in less liquid stocks may result in trading that can move markets to the detriment of the strategy. By limiting capacity in lower volume asset classes that are nevertheless in high demand, asset managers can command higher fees for access to their talent. * Each represents the median fee on a $25 million investment via commingled fund, as reported in eVestment Alliance, as of December 31, 2012.

Global Wage Growth

Real global wage growth has been relatively stagnant since 2000; however, there are very different stories occurring between the underlying regions or countries. As shown in the graph at left, while the Middle East experienced wage deflation during 2000-2011, real wages in Eastern Europe and Central Asia and Asia almost doubled. China was a significant driver of global and Asian wage growth over this period. For instance, China contributed at least 23 percent and as much as 83 percent when referring to average global wage growth between 2006 and 2011 on an annual basis. During 2008-2009, with the exception of the Middle East, developed economies and Eastern Europe/Central Asia, all other regions experienced real wage growth. The real wage growth trend has numerous implications for each of these economies and globalization trends in general. As wages in developing countries increase significantly, especially in comparison to those in the developed world, labor cost advantages decrease, meaning that manufacturing jobs have the potential to shift to developing countries providing cheaper labor. These changes are already beginning to take place, as China, once considered the haven for cheap-labor outsourcing, is starting to lose its labor advantage. Real wages in China have increased significantly, especially versus wages in developed countries, which will have a significant impact on job growth, GDP and other factors there and in developing countries across the globe.

020406080

100120140160

U.S.

Pas

sive

Low

Volat

ility

U.S.

Larg

e Cap

U.S.

Mid

Cap

EAFE

U.S.

All C

ap

Glob

al

ACW

I ex-U

.S.

U.S.

SMI

D Ca

p

U.S.

Sma

ll Cap

Emer

ging M

arke

ts

Fron

tier M

arke

ts

Basis

Poi

nts

0

50

100

150

200

250

300

2000 2006 2007 2008 2009 2010 2011

Africa AsiaEastern Europe and Central Asia Developed EconomiesLatin America and Carribean Middle EastWorld

Cumulative Real Wage Growth

Source: eVestment Alliance


Traditional Equity Asset Class Fee Comparison

Copyright © 2013 by Segal Advisors. All rights reserved.

19


Investment Manager Roster

Investment Manager Inception DateBenchmarkAsset Class

Total Fund 54% Russell 3000, 10% MSCI EAFE, 20%

Barclays Aggregate, 10% Barclays Global

Aggregate (Unhedged) and 6% NCREIF

ODCE (EW)

08/01/2011RhumbLine Advisers Russell 1000 Growth Index

08/01/2011RhumbLine Advisers S&P 500 Index

08/01/2011RhumbLine Advisers S&P 500 Equal Weighted

12/01/2007Analytic Investors, LLC Russell 1000 Index

03/31/2006C.S. McKee Russell 1000 Value Index

07/16/2007RhumbLine Advisers S&P Midcap 400 Index

08/01/2010Wasatch Advisors, Inc. Russell 2000 Growth Index

08/31/2008Fisher Investments Russell 2000 Value Index

06/30/1995Walter Scott & Partners Limited MSCI EAFE Net Index

10/01/2006Thornburg Investment Management, Inc MSCI ACWI ex US

10/01/2011EARNEST Partners MSCI ACWI ex US

09/30/2006Pantheon Ventures S&P 500 + 4%

05/20/2008Pantheon Ventures MSCI AC Pacific (net) + 4%

09/24/2008Pantheon Ventures MSCI Europe (net) + 4%

03/31/2007Hamilton Lane Advisors S&P 500 + 4%

01/01/2013Hamilton Lane Advisors

20


Investment Manager Roster

Investment Manager Inception DateBenchmarkAsset Class

10/01/2010Perseus Realty Partners, LLC / Easterly Partners NCREIF NPI + 2%

12/01/2010Landmark Partners NCREIF NPI + 2%

07/01/2011FLAG Capital Management CPI + 3%

10/01/2012Summit Partners S&P 500 + 3%

09/30/1994Schroders Barclays Capital Aggregate Bond Index

12/31/1991Orleans Capital Management Barclays Capital Aggregate Bond Index

01/01/2011Schroders Barclays Capital Aggregarte + 3%

08/31/2009Mondrian Investment Partners Limited Barclays Capital Global Aggregate

03/31/2006Principal Global Investors, LLC NCREIF ODCE (Equal Weight)

09/30/2006Prudential Real Estate Investors NCREIF ODCE (Equal Weight)

07/01/2011Morgan Stanley Real Estate Advisor, Inc. NCREIF ODCE (Equal Weight)

12/31/1989Operating Account Citi Treasury Bill 3 Mon

21


Asset Class

Asset Allocation Policy

Minimum Target Maximum

US Equity 50%40%35%

International Equity 20%15%10%

Private Equity 10%8%2%

US Fixed Income 20%15%10%

Global Fixed Income 15%10%5%

Real Estate 10%8%2%

Alternatives 0% 4% 6%

22

March 31, 2013 : $1,573,684,184December 31, 2012 : $1,498,837,199

Market Value($)

Allocation(%)

¢£ US Equity Composite 745,692,699 47.39

¢£ Fixed Income Composite 364,988,444 23.19

¢£ International Equity Composite 236,891,447 15.05

¢£ Core Real Estate Composite 105,806,230 6.72

¢£ Private Equity Composite 77,082,876 4.90

¢£ Value Add Real Estate Composite 23,028,296 1.46

¢£ Real Assets Composite 11,345,102 0.72

¢£ Cash 8,849,090 0.56

Market Value($)

Allocation(%)

¢£ US Equity Composite 687,466,108 45.87

¢£ Fixed Income Composite 366,910,970 24.48

¢£ International Equity Composite 228,277,763 15.23

¢£ Core Real Estate Composite 103,126,419 6.88

¢£ Private Equity Composite 79,501,480 5.30

¢£ Value Add Real Estate Composite 21,239,648 1.42

¢£ Real Assets Composite 10,552,715 0.70

¢£ Cash 1,762,095 0.12

Louisiana School Employees' RetirementAsset Allocation Chart

As of March 31, 2013

23

Market Value($)

Allocation(%)

¢£ Mondrian 115,907,086 7.73

¢£ Rhumbline S&P 500 109,968,394 7.34

¢£ Rhumbline Equal Weighted Large Cap Fund 108,423,567 7.23

¢£ Schroder Core Fixed Income 107,780,271 7.19

¢£ C.S. McKee 104,519,328 6.97

¢£ Walter Scott International 104,151,363 6.95

¢£ Orleans Capital Management 102,254,069 6.82

¢£ Rhumbline Russell 1000 Growth 88,267,559 5.89

¢£ Fisher Investments 83,880,435 5.60

¢£ Wasatch 81,101,803 5.41

¢£ Rhumbline Mid Cap 79,208,497 5.28

¢£ Thornburg 73,345,941 4.89

¢£ Earnest Partners 50,780,459 3.39

¢£ Schroder Distressed Debt 40,969,544 2.73

¢£ Principal 36,972,767 2.47

¢£ Prudential PRISA 35,914,552 2.40

¢£ Analytic Investors 32,096,525 2.14

¢£ Morgan Stanley Prime Property Fund 30,239,100 2.02

¢£ Pantheon VII 23,304,136 1.55

¢£ Hamilton Lane Fund VI 21,293,119 1.42

¢£ Summit Partners Credit Fund 14,408,103 0.96

¢£ Easterly Partners US Gov't Properties Income and Growth Fund 13,616,847 0.91

¢£ Pantheon Asia 11,487,723 0.77

¢£ FLAG Energy & Resources II 10,552,715 0.70

¢£ Pantheon Europe 8,091,151 0.54

¢£ Landmark Real Estate Partners VI 7,622,801 0.51

¢£ In-house Cash Account 1,762,095 0.12

¢£ Hamilton Lane Fund VIII 917,248 0.06

¢£ Easterly Partners Real Estate Fund II - 0.00

December 31, 2012 : $1,498,837,199



24

Market Value($)

Allocation(%)

¢£ Rhumbline Equal Weighted Large Cap Fund 122,010,705 7.75

¢£ Rhumbline S&P 500 121,622,517 7.73

¢£ Mondrian 112,324,691 7.14

¢£ Walter Scott International 109,433,819 6.95

¢£ Schroder Core Fixed Income 108,163,269 6.87

¢£ Orleans Capital Management 102,546,185 6.52

¢£ C.S. McKee 99,084,920 6.30

¢£ Rhumbline Russell 1000 Growth 96,701,695 6.14

¢£ Fisher Investments 90,504,236 5.75

¢£ Rhumbline Mid Cap 89,839,712 5.71

¢£ Wasatch 89,684,384 5.70

¢£ Thornburg 75,196,619 4.78

¢£ Earnest Partners 52,261,009 3.32

¢£ Schroder Distressed Debt 41,954,299 2.67

¢£ Principal 38,042,685 2.42

¢£ Prudential PRISA 36,760,894 2.34

¢£ Analytic Investors 36,244,530 2.30

¢£ Morgan Stanley Prime Property Fund 31,002,651 1.97

¢£ Pantheon VII 23,004,136 1.46

¢£ Hamilton Lane Fund VI 19,893,887 1.26

¢£ Easterly Partners US Gov't Properties Income and Growth Fund 13,339,174 0.85

¢£ Summit Partners Credit Fund 12,526,691 0.80

¢£ FLAG Energy & Resources II 11,345,102 0.72

¢£ Pantheon Asia 11,187,723 0.71

¢£ In-house Cash Account 8,849,090 0.56

¢£ Landmark Real Estate Partners VI 8,560,090 0.54

¢£ Pantheon Europe 8,221,191 0.52

¢£ Hamilton Lane Fund VIII 2,249,248 0.14

¢£ Easterly Partners Real Estate Fund II 1,129,032 0.07

March 31, 2013 : $1,573,684,184



25

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

Jul-2012To

Mar-2013

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Total Composite 1,573,684,184 100.00 5.94 5.94 12.96 10.65 10.72 6.23 7.72 7.93 01/01/1990

Policy Index 6.34 6.34 12.54 10.60 10.27 5.32 7.31 7.73

Difference -0.40 -0.40 0.42 0.05 0.45 0.91 0.41 0.20

US Equity Composite 745,692,699 47.39 11.46 11.46 18.66 14.01 13.40 7.48 9.47 8.63 01/01/1990

Russell 3000 Index 11.07 11.07 18.29 14.56 12.97 6.32 9.15 9.13

Difference 0.39 0.39 0.37 -0.55 0.43 1.16 0.32 -0.50

Growth Composite 186,386,078 11.84 10.05 10.05 14.92 11.18 14.48 7.56 7.09 7.01 10/01/1994

Russell 3000 Growth Index 9.82 9.82 15.04 10.42 13.19 7.44 8.84 7.82

Difference 0.23 0.23 -0.12 0.76 1.29 0.12 -1.75 -0.81

Value Composite 189,589,157 12.05 11.52 11.52 18.90 12.77 12.67 6.36 10.48 7.64 01/01/1996

Russell 3000 Value Index 12.26 12.26 21.46 18.71 12.70 5.05 9.33 8.43

Difference -0.74 -0.74 -2.56 -5.94 -0.03 1.31 1.15 -0.79

International Equity Composite 236,891,447 15.05 3.82 3.82 17.99 11.36 7.76 4.13 12.12 8.36 07/01/1995

MSCI EAFE (Net) 5.13 5.13 19.80 11.25 5.00 -0.89 9.69 4.90

Difference -1.31 -1.31 -1.81 0.11 2.76 5.02 2.43 3.46

Fixed Income Composite 364,988,444 23.19 -0.32 -0.32 3.66 5.48 6.61 6.51 5.69 7.24 12/01/1989

Fixed Income Policy Index -0.62 -0.62 1.42 3.14 5.29 5.22 4.90 6.75

Difference 0.30 0.30 2.24 2.34 1.32 1.29 0.79 0.49

Core Real Estate Composite 105,806,230 6.72 2.92 2.92 7.94 11.09 16.06 -1.91 N/A 2.58 04/01/2006

NCREIF ODCE Equal Weighted 2.57 2.57 7.89 10.76 15.05 -1.23 6.41 3.07

Difference 0.35 0.35 0.05 0.33 1.01 -0.68 N/A -0.49

Private Equity Composite 77,082,876 4.90 0.00 0.00 4.21 4.31 9.76 4.72 N/A 3.73 04/01/2007

Value Add Real Estate Composite 23,028,296 1.46 0.00 0.00 7.35 10.40 N/A N/A N/A 16.55 10/01/2010

NPI + 2% 2.57 2.57 7.63 10.52 13.30 2.32 8.51 12.93

Difference -2.57 -2.57 -0.28 -0.12 N/A N/A N/A 3.62

Real Assets Composite 11,345,102 0.72 0.00 0.00 2.00 -7.33 N/A N/A N/A -9.03 07/01/2011

CPI + 3% 1.27 1.27 3.77 4.53 N/A N/A N/A 4.89

Difference -1.27 -1.27 -1.77 -11.86 N/A N/A N/A -13.92

Cash 8,849,090 0.56 0.53 0.53 1.32 1.52 2.36 2.58 2.88 4.82 01/01/1990

90 Day U.S. Treasury Bill 0.02 0.02 0.07 0.08 0.10 0.33 1.69 3.48

Difference 0.51 0.51 1.25 1.44 2.26 2.25 1.19 1.34

Louisiana School Employees' RetirementAsset Allocation & Performance


26


As of March 31, 2013Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

Jul-2012To

Mar-2013

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Rhumbline Russell 1000 Growth 96,701,695 6.14 9.56 9.56 14.61 10.03 N/A N/A N/A 12.95 08/01/2011


Difference 0.02 0.02 -0.09 -0.06 N/A N/A N/A -0.02

Rhumbline S&P 500 121,622,517 7.73 10.60 10.60 17.16 13.99 N/A N/A N/A 15.01 08/01/2011

S&P 500 10.61 10.61 17.19 13.96 12.67 5.81 8.53 14.95

Difference -0.01 -0.01 -0.03 0.03 N/A N/A N/A 0.06

Rhumbline Equal Weighted Large Cap Fund 122,010,705 7.75 12.53 12.53 22.34 17.45 N/A N/A N/A 15.28 08/01/2011

S&P 500 Equal Weighted 12.52 12.52 22.48 17.53 14.24 9.23 12.04 15.32

Difference 0.01 0.01 -0.14 -0.08 N/A N/A N/A -0.04

Analytic Investors 36,244,530 2.30 12.92 12.92 18.93 16.92 14.74 6.04 N/A 3.61 12/01/2007

Russell 1000 Index 10.96 10.96 18.11 14.43 12.93 6.15 8.97 3.67

Difference 1.96 1.96 0.82 2.49 1.81 -0.11 N/A -0.06

C.S. McKee 99,084,920 6.30 9.52 9.52 16.56 12.46 11.27 5.02 N/A 4.85 04/01/2006


Difference -2.79 -2.79 -4.87 -6.31 -1.47 0.17 N/A 0.66

Rhumbline Mid Cap 89,839,712 5.71 13.42 13.42 23.80 17.73 15.15 9.95 N/A 7.11 08/01/2007

S&P MidCap 400 13.45 13.45 23.94 17.83 15.12 9.85 12.45 7.02

Difference -0.03 -0.03 -0.14 -0.10 0.03 0.10 N/A 0.09

Wasatch 89,684,384 5.70 10.58 10.58 15.12 12.49 N/A N/A N/A 20.80 08/01/2010


Difference -2.63 -2.63 -4.10 -2.03 N/A N/A N/A 2.62

Fisher Investments 90,504,236 5.75 13.88 13.88 21.77 13.15 14.35 N/A N/A 9.28 09/01/2008


Difference 2.25 2.25 0.01 -4.94 2.23 N/A N/A 2.72

Walter Scott International 109,433,819 6.95 5.07 5.07 17.88 14.17 9.38 6.26 12.85 8.76 07/01/1995

MSCI EAFE (Net) 5.13 5.13 19.80 11.25 5.00 -0.89 9.69 4.90

Difference -0.06 -0.06 -1.92 2.92 4.38 7.15 3.16 3.86

Thornburg 75,196,619 4.78 2.68 2.68 15.16 7.36 5.22 0.45 N/A 4.09 10/01/2006

MSCI AC World ex USA (Net) 3.17 3.17 17.29 8.36 4.41 -0.39 10.93 2.24

Difference -0.49 -0.49 -2.13 -1.00 0.81 0.84 N/A 1.85

27


As of March 31, 2013Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

Jul-2012To

Mar-2013

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Earnest Partners 52,261,009 3.32 2.92 2.92 22.54 11.63 N/A N/A N/A 11.67 11/01/2011

MSCI AC World ex USA (Net) 3.17 3.17 17.29 8.36 4.41 -0.39 10.93 9.08

Difference -0.25 -0.25 5.25 3.27 N/A N/A N/A 2.59

Orleans Capital Management 102,546,185 6.52 0.29 0.29 3.08 4.60 6.45 7.04 5.97 6.75 01/01/1992

Barclays U.S. Aggregate -0.12 -0.12 1.68 3.77 5.52 5.47 5.03 6.31

Difference 0.41 0.41 1.40 0.83 0.93 1.57 0.94 0.44

Schroder Core Fixed Income 108,163,269 6.87 0.36 0.36 3.96 6.60 7.02 7.13 6.19 7.19 10/01/1994

Barclays U.S. Aggregate -0.12 -0.12 1.68 3.77 5.52 5.47 5.03 6.52

Difference 0.48 0.48 2.28 2.83 1.50 1.66 1.16 0.67

Schroder Distressed Debt 41,954,299 2.67 4.29 4.29 19.15 21.58 N/A N/A N/A 12.51 01/01/2011

Barclays Capital Aggregate + 3% 0.62 0.62 3.96 6.89 N/A N/A N/A 8.43

Difference 3.67 3.67 15.19 14.69 N/A N/A N/A 4.08

Mondrian 112,324,691 7.14 -3.09 -3.09 -0.96 0.19 4.11 N/A N/A 4.32 09/01/2009

Barclays Global Aggregate -2.10 -2.10 0.62 1.25 4.52 3.66 5.47 4.06

Difference -0.99 -0.99 -1.58 -1.06 -0.41 N/A N/A 0.26

Principal 38,042,685 2.42 2.89 2.89 8.21 12.15 15.49 -1.67 N/A 2.61 04/01/2006


Difference 0.32 0.32 0.32 1.39 0.44 -0.44 N/A -0.46

Prudential PRISA 36,760,894 2.34 3.29 3.29 7.13 9.68 16.98 -1.91 N/A 1.73 10/01/2006


Difference 0.72 0.72 -0.76 -1.08 1.93 -0.68 N/A -0.42

Morgan Stanley Prime Property Fund 31,002,651 1.97 2.53 2.53 8.61 11.57 N/A N/A N/A 13.08 07/01/2011


Difference -0.05 -0.05 0.72 0.81 N/A N/A N/A 1.36

In-house Cash Account 8,849,090 0.56 0.53 0.53 1.32 1.52 2.36 2.58 2.88 4.82 01/01/1990

90 Day U.S. Treasury Bill 0.02 0.02 0.07 0.08 0.10 0.33 1.69 3.48

Difference 0.51 0.51 1.25 1.44 2.26 2.25 1.19 1.34

28

Allocation

MarketValue

($)%

Performance(%)

2012 2011 2010 2009 2008 2007 2006

Total Composite 1,573,684,184 100.00 13.77 1.84 15.45 19.99 -24.97 7.60 11.08

Policy Index 12.60 2.61 13.20 17.93 -25.23 7.07 12.34

Difference 1.17 -0.77 2.25 2.06 0.26 0.53 -1.26

US Equity Composite 745,692,699 47.39 16.31 0.32 19.19 33.39 -37.55 4.92 13.98

Russell 3000 Index 16.42 1.03 16.93 28.34 -37.31 5.14 15.72

Difference -0.11 -0.71 2.26 5.05 -0.24 -0.22 -1.74

Growth Composite 186,386,078 11.84 14.97 3.66 19.71 38.56 -41.65 10.25 1.80

Russell 3000 Growth Index 15.21 2.18 17.64 37.01 -38.44 11.40 9.46

Difference -0.24 1.48 2.07 1.55 -3.21 -1.15 -7.66

Value Composite 189,589,157 12.05 15.96 -2.31 23.20 29.74 -37.56 6.55 15.62

Russell 3000 Value Index 17.55 -0.10 16.23 19.76 -36.25 -1.01 22.34

Difference -1.59 -2.21 6.97 9.98 -1.31 7.56 -6.72

International Equity Composite 236,891,447 15.05 19.43 -9.04 14.16 32.95 -34.95 17.94 20.85

MSCI EAFE (Net) 17.32 -12.14 7.75 31.78 -43.38 11.17 26.34

Difference 2.11 3.10 6.41 1.17 8.43 6.77 -5.49

Fixed Income Composite 364,988,444 23.19 8.12 5.82 8.90 12.94 -1.24 6.62 4.61

Fixed Income Policy Index 4.25 7.31 6.33 5.93 5.24 6.97 4.34

Difference 3.87 -1.49 2.57 7.01 -6.48 -0.35 0.27

Core Real Estate Composite 105,806,230 6.72 10.97 16.65 17.30 -32.82 -12.76 15.96 N/A

NCREIF ODCE Equal Weighted 11.03 15.96 16.14 -30.65 -10.37 16.09 16.15

Difference -0.06 0.69 1.16 -2.17 -2.39 -0.13 N/A

Private Equity Composite 77,082,876 4.90 8.31 8.04 17.34 10.62 -20.63 N/A N/A

Value Add Real Estate Composite 23,028,296 1.46 14.48 12.92 N/A N/A N/A N/A N/A

NPI + 2% 10.55 14.26 13.11 -16.86 -6.46 15.84 16.59

Difference 3.93 -1.34 N/A N/A N/A N/A N/A



29



Allocation

MarketValue

($)%

Performance(%)

2012 2011 2010 2009 2008 2007 2006

Real Assets Composite 11,345,102 0.72 -9.21 N/A N/A N/A N/A N/A N/A

CPI + 3% 4.81 N/A N/A N/A N/A N/A N/A

Difference -14.02 N/A N/A N/A N/A N/A N/A

Cash 8,849,090 0.56 1.00 2.25 9.81 16.71 -13.60 5.78 3.53

90 Day U.S. Treasury Bill 0.08 0.08 0.13 0.17 2.10 4.91 4.76

Difference 0.92 2.17 9.68 16.54 -15.70 0.87 -1.23

30



Allocation

MarketValue

($)%

Performance(%)

2012 2011 2010 2009 2008 2007 2006

Rhumbline Russell 1000 Growth 96,701,695 6.14 15.18 N/A N/A N/A N/A N/A N/A

Russell 1000 Growth Index 15.26 2.64 16.71 37.21 -38.44 11.81 9.07


Rhumbline S&P 500 121,622,517 7.73 16.01 N/A N/A N/A N/A N/A N/A

S&P 500 16.00 2.11 15.06 26.46 -37.00 5.49 15.79

Difference 0.01 N/A N/A N/A N/A N/A N/A

Rhumbline Equal Weighted Large Cap Fund 122,010,705 7.75 17.47 N/A N/A N/A N/A N/A N/A

S&P 500 Equal Weighted 17.64 -0.11 21.90 46.31 -39.72 1.53 15.80


Analytic Investors 36,244,530 2.30 19.75 4.22 11.09 26.66 -38.84 N/A N/A

Russell 1000 Index 16.42 1.50 16.10 28.43 -37.60 5.77 15.46

Difference 3.33 2.72 -5.01 -1.77 -1.24 N/A N/A

C.S. McKee 99,084,920 6.30 15.84 -1.51 17.08 24.79 -35.19 6.55 N/A

Russell 1000 Value Index 17.51 0.39 15.51 19.69 -36.85 -0.17 22.25

Difference -1.67 -1.90 1.57 5.10 1.66 6.72 N/A

Rhumbline Mid Cap 89,839,712 5.71 17.86 -1.64 26.61 37.43 -35.96 N/A N/A

S&P MidCap 400 17.88 -1.73 26.64 37.38 -36.23 7.98 10.32

Difference -0.02 0.09 -0.03 0.05 0.27 N/A N/A

Wasatch 89,684,384 5.70 14.52 5.03 N/A N/A N/A N/A N/A

Russell 2000 Growth Index 14.59 -2.91 29.09 34.47 -38.54 7.05 13.35

Difference -0.07 7.94 N/A N/A N/A N/A N/A

Fisher Investments 90,504,236 5.75 16.24 -3.37 31.20 36.82 N/A N/A N/A

Russell 2000 Value Index 18.05 -5.50 24.50 20.58 -28.92 -9.78 23.48

Difference -1.81 2.13 6.70 16.24 N/A N/A N/A

31



Allocation

MarketValue

($)%

Performance(%)

2012 2011 2010 2009 2008 2007 2006

Walter Scott International 109,433,819 6.95 22.07 -7.39 13.96 32.54 -30.69 13.28 20.24

MSCI EAFE (Net) 17.32 -12.14 7.75 31.78 -43.38 11.17 26.34

Difference 4.75 4.75 6.21 0.76 12.69 2.11 -6.10

Thornburg 75,196,619 4.78 16.65 -13.34 14.25 33.83 -42.29 28.13 N/A

MSCI AC World ex USA (Net) 16.83 -13.71 11.15 41.45 -45.53 16.65 26.65

Difference -0.18 0.37 3.10 -7.62 3.24 11.48 N/A

Earnest Partners 52,261,009 3.32 18.28 N/A N/A N/A N/A N/A N/A

MSCI AC World ex USA (Net) 16.83 -13.71 11.15 41.45 -45.53 16.65 26.65


Orleans Capital Management 102,546,185 6.52 5.54 8.73 7.34 13.52 2.06 6.34 4.53

Barclays U.S. Aggregate 4.21 7.84 6.54 5.93 5.24 6.97 4.34

Difference 1.33 0.89 0.80 7.59 -3.18 -0.63 0.19

Schroder Core Fixed Income 108,163,269 6.87 7.73 7.94 7.22 8.75 5.87 7.00 4.49

Barclays U.S. Aggregate 4.21 7.84 6.54 5.93 5.24 6.97 4.34

Difference 3.52 0.10 0.68 2.82 0.63 0.03 0.15

Schroder Distressed Debt 41,954,299 2.67 26.33 -1.05 N/A N/A N/A N/A N/A

Barclays Capital Aggregate + 3% 7.34 11.08 N/A N/A N/A N/A N/A

Difference 18.99 -12.13 N/A N/A N/A N/A N/A

Mondrian 112,324,691 7.14 5.50 3.38 8.05 N/A N/A N/A N/A

Barclays Global Aggregate 4.32 5.64 5.54 6.93 4.79 9.48 6.64

Difference 1.18 -2.26 2.51 N/A N/A N/A N/A

32



Allocation

MarketValue

($)%

Performance(%)

2012 2011 2010 2009 2008 2007 2006

Principal 38,042,685 2.42 11.69 15.57 16.14 -31.45 -12.15 14.44 N/A


Difference 0.66 -0.39 0.00 -0.80 -1.78 -1.65 N/A

Prudential PRISA 36,760,894 2.34 9.67 19.08 18.42 -34.24 -12.97 17.78 N/A


Difference -1.36 3.12 2.28 -3.59 -2.60 1.69 N/A

Morgan Stanley Prime Property Fund 31,002,651 1.97 11.68 N/A N/A N/A N/A N/A N/A



In-house Cash Account 8,849,090 0.56 1.00 2.25 9.81 16.71 -13.60 5.78 3.53

90 Day U.S. Treasury Bill 0.08 0.08 0.13 0.17 2.10 4.91 4.76

Difference 0.92 2.17 9.68 16.54 -15.70 0.87 -1.23

33

1Quarter

Jul-2012To

Mar-2013

1Year

Total Composite 5.86 12.68 10.28

Policy Index 6.34 12.54 10.60

Difference -0.48 0.14 -0.32

US Equity Composite 11.38 18.40 13.68

Russell 3000 Index 11.07 18.29 14.56

Difference 0.31 0.11 -0.88

Growth Composite 9.92 14.54 10.69

Russell 3000 Growth Index 9.82 15.04 10.42

Difference 0.10 -0.50 0.27

Value Composite 11.37 18.44 12.18

Russell 3000 Value Index 12.26 21.46 18.71

Difference -0.89 -3.02 -6.53

International Equity Composite 3.71 17.52 10.76

MSCI EAFE (Net) 5.13 19.80 11.25

Difference -1.42 -2.28 -0.49

Fixed Income Composite -0.38 3.48 5.24

Fixed Income Policy Index -0.62 1.42 3.14

Difference 0.24 2.06 2.10

Core Real Estate Composite 2.74 7.36 10.31

NCREIF ODCE Equal Weighted 2.57 7.89 10.76

Difference 0.17 -0.53 -0.45

Louisiana School Employees' RetirementNet of Fees Performance


Returns for periods greater than one year are annualized.Returns are expressed as percentages.

34

1Quarter

Jul-2012To

Mar-2013

1Year

Rhumbline Russell 1000 Growth 9.55 14.59 9.99


Difference 0.01 -0.11 -0.10

Rhumbline S&P 500 10.59 17.13 13.95

S&P 500 10.61 17.19 13.96

Difference -0.02 -0.06 -0.01

Rhumbline Equal Weighted Large Cap Fund 12.52 22.31 17.42

S&P 500 Equal Weighted 12.52 22.48 17.53

Difference 0.00 -0.17 -0.11

Analytic Investors 12.79 18.49 16.34

Russell 1000 Index 10.96 18.11 14.43


C.S. McKee 9.43 16.26 12.07


Difference -2.88 -5.17 -6.70

Rhumbline Mid Cap 13.41 23.77 17.69

S&P MidCap 400 13.45 23.94 17.83

Difference -0.04 -0.17 -0.14

Wasatch 10.33 14.31 11.43


Difference -2.88 -4.91 -3.09

Fisher Investments 13.67 21.11 12.33


Difference 2.04 -0.65 -5.76

Walter Scott International 4.94 17.45 13.60

MSCI EAFE (Net) 5.13 19.80 11.25

Difference -0.19 -2.35 2.35




35



1Quarter

Jul-2012To

Mar-2013

1Year

Thornburg 2.52 14.63 6.70

MSCI AC World ex USA (Net) 3.17 17.29 8.36

Difference -0.65 -2.66 -1.66

Earnest Partners 2.92 22.12 11.04

MSCI AC World ex USA (Net) 3.17 17.29 8.36

Difference -0.25 4.83 2.68

Orleans Capital Management 0.26 2.99 4.48

Barclays U.S. Aggregate -0.12 1.68 3.77


Schroder Core Fixed Income 0.32 3.83 6.43

Barclays U.S. Aggregate -0.12 1.68 3.77


Schroder Distressed Debt 4.19 18.80 21.09

Barclays Capital Aggregate + 3% 0.62 3.96 6.89

Difference 3.57 14.84 14.20

Mondrian -3.18 -1.23 -0.16

Barclays Global Aggregate -2.10 0.62 1.25

Difference -1.08 -1.85 -1.41

Principal 2.89 8.21 12.15



Prudential PRISA 3.06 6.41 8.68


Difference 0.49 -1.48 -2.08

Morgan Stanley Prime Property Fund 2.18 7.50 10.11


Difference -0.39 -0.39 -0.65


36

Manager Profile

Asset Allocation by Segment Performance Bar Chart

Cash allocation includes accrued income for the entire portfolio.

Gain / Loss Summary

Income includes income received and change in accrued income.

Benchmark: Policy Index

Peer Group: All Public Plans > $1B

Inception Date: January 1, 1990

1Quarter

YearTo

Date

1Year

Total Composite

Beginning Market Value 1,498,837,199 1,498,837,199 1,490,555,880

Net Contributions -12,772,019 -12,772,019 -65,037,161

Fees/Expenses -1,194,393 -1,194,393 -5,019,631

Income 6,669,957 6,669,957 29,047,536

Gain/Loss 82,143,439 82,143,439 124,137,561

Ending Market Value 1,573,684,184 1,573,684,184 1,573,684,184

March 31, 2013 : $1,573,684,184

SegmentsMarket Value

($)Allocation

(%)

¢£ Domestic Equity 737,266,308 46.85

¢£ Domestic Fixed Income 246,472,550 15.66

¢£ International Equity 233,199,738 14.82

¢£ Real Estate 120,274,436 7.64

¢£ Global Fixed Income 110,344,588 7.01

¢£ Private Equity 96,988,068 6.16

¢£ Cash 29,138,495 1.85Total Composite Policy Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

19.20

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

6.34 6.34

10.6010.27

5.32

12.60

2.61

13.20

5.94 5.94

10.65 10.72

6.23

13.77

1.84

15.45

Louisiana School Employees' Retirement

Total CompositeMarch 31, 2013

Monthly periodicity used in reports.

37

Passive Portfolios Weight (%)

Jan-1990

Barclays U.S. Aggregate 60.00

Russell 3000 Index 35.00

90 Day U.S. Treasury Bill 5.00

Nov-1995



Jul-1997



MSCI EAFE (Net) 5.00

Jan-2002




Jul-2004




Apr-2006




NCREIF ODCE Equal Weighted 3.00


Oct-2006





Jan-2010



Barclays Global Aggregate 10.00



Louisiana School Employees' RetirementHistorical Hybrid Composition

Policy Index


38


Dec-1989


Jan-2010


Barclays Global Aggregate 25.00

Louisiana School Employees' RetirementFixed Income Policy Index


39

Total Value Added:-2.9 %

0.0% 0.8%-1.0 %-2.0 %-3.0 %

Other

Manager Value Added

Asset Allocation

-0.1 %

-2.4 %

-0.4 %

Total Fund Performance

0.0% 4.0% 8.0% 10.5%-4.0 %

Total Fund

Total Fund Benchmark

Total Value Added

3.5%

6.3%

-2.9 %

Total Manager Value Added:-2.4 %

Manager Value Added

0.0% 1.1%-2.0 %-3.4 %

0.0%

0.0%

0.2%

-0.1 %

-2.4 %

-0.2 %

0.2%

Asset Allocation Value Added

0.0% 0.4%-0.4 %

-0.3 %

0.0%

0.2%

0.2%

0.0%

-0.1 %

-0.4 %

Total Asset Allocation:-0.4 %

0.0% 10.7%-12.0 %

Alternative Investments

In-house Cash Account

US Fixed Income Composite

Global Fixed Income Composite

Real Estate Composite

International Equity Composite

US Equity Composite

We

igh

t (%

)

5.1%

0.2%

-3.6 %

-2.5 %

0.8%

5.3%

-7.4 %

Louisiana School Employees' RetirementTotal Composite vs. TF Attribution Hybrid

1 Quarter Ending March 31, 2013

40

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

15.9

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

¢ Total Composite 5.94 (9) 5.94 (9) 10.65 (40) 10.72 (11) 6.23 (20)

Å Policy Index 6.34 (5) 6.34 (5) 10.60 (42) 10.27 (21) 5.32 (38)

5th Percentile 6.31 6.31 12.26 11.05 7.18

1st Quartile 5.44 5.44 11.22 10.13 5.84

Median 4.71 4.71 10.36 9.63 5.12

3rd Quartile 3.91 3.91 9.64 8.89 4.32

95th Percentile 2.01 2.01 8.35 7.53 3.07

Louisiana School Employees' RetirementPlan Sponsor Peer Group Analysis

All Public Plans > $1B-Total Fund


Parentheses contain percentile rankings.Calculation based on quarterly periodicity.

41

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

46.1R

etu

rn

2012 2011 2010 2009 2008 2007 2006

¢ Total Composite 13.77 (37) 1.84 (30) 15.45 (11) 19.99 (39) -24.97 (31) 7.60 (76) 11.08 (99)

Å Policy Index 12.60 (71) 2.61 (25) 13.20 (51) 17.93 (62) -25.23 (36) 7.07 (83) 12.34 (90)

5th Percentile 15.00 6.62 15.94 26.41 -3.27 13.06 17.56

1st Quartile 14.19 2.53 14.30 21.69 -24.09 10.42 15.53

Median 13.41 0.77 13.22 18.98 -26.65 8.61 14.65

3rd Quartile 12.35 -0.15 12.06 15.73 -28.10 7.64 13.20

95th Percentile 9.44 -1.60 9.92 9.64 -29.97 6.18 11.36

Louisiana School Employees' RetirementPlan Sponsor Peer Group Analysis




42

6.5

7.0

7.5

8.0

8.5

9.0

9.5

10.0

10.5

11.0

11.5

12.0

12.2

Re

turn

(%

)

Risk (Standard Deviation %)

ReturnStandardDeviation

¢£ Total Composite 10.72 11.31

Å� Policy Index 10.27 11.45

¾ Median 9.63 10.00

Louisiana School Employees' RetirementPlan Sponsor Scattergram


3 Years Ending March 31, 2013

Calculation based on quarterly periodicity. 43

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

Re

turn

(%

)



¢£ Total Composite 6.23 13.76

Å� Policy Index 5.32 14.23

¾ Median 5.12 13.79

Louisiana School Employees' RetirementPlan Sponsor Scattergram


5 Years Ending March 31, 2013

Calculation based on quarterly periodicity. 44

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

30.5

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

¢ US Equity Composite 11.46 (50) 11.46 (50) 14.01 (56) 13.40 (50) 7.48 (51)

Å Russell 3000 Index 11.07 (58) 11.07 (58) 14.56 (50) 12.97 (57) 6.32 (68)

p S&P 500 10.61 (67) 10.61 (67) 13.96 (57) 12.67 (63) 5.81 (76)

5th Percentile 15.51 15.51 23.40 18.94 13.23

1st Quartile 13.01 13.01 17.62 15.22 9.55

Median 11.46 11.46 14.56 13.36 7.52

3rd Quartile 10.00 10.00 11.03 11.68 5.82

95th Percentile 7.18 7.18 4.67 8.22 3.05

Louisiana School Employees' RetirementPeer Group Analysis

IM U.S. Equity (SA+CF)



45

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

95.2

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ US Equity Composite 16.31 (47) 0.32 (46) 19.19 (52) 33.39 (44) -37.55 (55) 4.92 (62) 13.98 (59)

Å Russell 3000 Index 16.42 (46) 1.03 (40) 16.93 (62) 28.34 (61) -37.31 (54) 5.14 (61) 15.72 (46)

p S&P 500 16.00 (51) 2.11 (31) 15.06 (74) 26.46 (69) -37.00 (51) 5.49 (59) 15.79 (45)

5th Percentile 23.42 8.13 35.64 57.97 -24.85 24.56 23.60

1st Quartile 18.48 2.80 27.02 39.21 -33.41 12.59 18.31

Median 16.03 -0.26 19.64 31.47 -36.97 6.60 15.20

3rd Quartile 13.15 -3.88 14.86 24.85 -40.80 1.79 10.67

95th Percentile 7.38 -10.24 10.44 15.55 -48.46 -7.82 4.77


IM U.S. Equity (SA+CF)



46

-4.0

-2.0

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

26.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

¢ Growth Composite 10.05 (59) 10.05 (59) 11.18 (48) 14.48 (40) 7.56 (54)

Å Russell 3000 Growth Index 9.82 (63) 9.82 (63) 10.42 (54) 13.19 (54) 7.44 (56)

5th Percentile 15.74 15.74 20.65 19.26 13.41

1st Quartile 12.57 12.57 14.38 15.79 9.91

Median 10.61 10.61 10.87 13.55 7.83

3rd Quartile 9.04 9.04 7.67 11.61 5.87

95th Percentile 6.73 6.73 2.27 8.07 2.64


IM U.S. Growth Equity (SA+CF)



47

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

94.5

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Growth Composite 14.97 (52) 3.66 (18) 19.71 (63) 38.56 (41) -41.65 (60) 10.25 (68) 1.80 (97)

Å Russell 3000 Growth Index 15.21 (49) 2.18 (28) 17.64 (71) 37.01 (48) -38.44 (36) 11.40 (61) 9.46 (59)

5th Percentile 22.46 7.47 37.73 56.89 -29.23 30.72 19.50

1st Quartile 18.11 2.42 29.31 44.42 -36.19 19.98 13.82

Median 15.08 -1.01 23.33 36.35 -40.24 13.79 10.44

3rd Quartile 12.19 -4.86 16.40 29.56 -44.30 8.44 7.10

95th Percentile 6.34 -10.41 11.54 17.47 -50.65 0.31 2.32


IM U.S. Growth Equity (SA+CF)



48

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

31.9

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

¢ Value Composite 11.52 (63) 11.52 (63) 12.77 (86) 12.67 (63) 6.36 (68)

Å Russell 3000 Value Index 12.26 (49) 12.26 (49) 18.71 (34) 12.70 (62) 5.05 (86)

5th Percentile 15.74 15.74 24.55 18.12 13.62

1st Quartile 13.47 13.47 19.70 14.98 10.05

Median 12.19 12.19 16.86 13.35 7.78

3rd Quartile 10.87 10.87 14.32 11.47 5.87

95th Percentile 8.67 8.67 9.96 8.73 3.51


IM U.S. Value Equity (SA+CF)



49

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Value Composite 15.96 (56) -2.31 (60) 23.20 (37) 29.74 (54) -37.56 (68) 6.55 (26) 15.62 (75)

Å Russell 3000 Value Index 17.55 (39) -0.10 (42) 16.23 (68) 19.76 (88) -36.25 (58) -1.01 (69) 22.34 (16)

5th Percentile 25.48 8.15 33.92 62.95 -24.02 13.29 25.81

1st Quartile 19.56 2.22 26.30 38.45 -30.95 6.57 21.08

Median 16.46 -1.09 19.95 30.46 -35.11 2.61 18.37

3rd Quartile 13.71 -4.79 14.73 23.87 -38.81 -2.20 15.55

95th Percentile 9.31 -11.23 11.19 15.85 -45.90 -11.52 10.76


IM U.S. Value Equity (SA+CF)



50

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

25.6

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

¢ International Equity Composite 3.82 (80) 3.82 (80) 11.36 (69) 7.76 (40) 4.13 (5)

Å MSCI EAFE (Net) 5.13 (52) 5.13 (52) 11.25 (69) 5.00 (88) -0.89 (86)

5th Percentile 10.76 10.76 18.44 11.92 4.08

1st Quartile 6.52 6.52 15.27 8.93 1.97

Median 5.18 5.18 12.64 7.22 0.79

3rd Quartile 4.20 4.20 10.56 5.78 -0.10

95th Percentile 2.31 2.31 7.07 3.26 -2.04


IM International Core Equity (SA+CF)



51

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ International Equity Composite 19.43 (55) -9.04 (19) 14.16 (31) 32.95 (53) -34.95 (6) 17.94 (16) 20.85 (95)

Å MSCI EAFE (Net) 17.32 (74) -12.14 (51) 7.75 (91) 31.78 (59) -43.38 (43) 11.17 (54) 26.34 (61)

5th Percentile 25.12 -6.22 25.43 49.81 -34.66 22.91 34.84

1st Quartile 21.96 -10.02 14.81 39.36 -41.83 15.60 30.64

Median 19.56 -12.11 11.64 33.55 -44.19 11.60 27.73

3rd Quartile 17.20 -14.23 9.51 29.21 -46.74 9.19 24.80

95th Percentile 14.52 -17.42 6.33 20.77 -50.37 2.59 20.82


IM International Core Equity (SA+CF)



52

Total Composite Policy Index Net Cash Flow

($600,000)

($400,000)

($200,000)

$0

$200,000

$400,000

$600,000

$800,000

$1,000,000

$1,200,000

$1,400,000

$1,600,000

$1,800,000

$2,000,000

$2,200,000

$2,330,000

Ma

rke

t V

alu

e(I

n T

ho

us

an

ds

)

3/96 3/97 3/98 3/99 3/00 3/01 3/02 3/03 3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13

($60,208)

$1,434,076

$1,573,684

Louisiana School Employees' RetirementTotal Composite vs. Policy Index

Since Inception Ending March 31, 2013

Gain/Loss includes income received and change in accrued income for the period. 53

Periods EndingBeginning

Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 12/1995 1,075,469,822 -33,435,328 119,179,102 1,161,213,596 11.30

1997 1,161,213,596 -37,308,899 199,948,768 1,323,853,465 16.80

1998 1,323,853,465 -42,357,131 190,640,704 1,472,137,038 14.62

1999 1,472,137,038 -55,104,199 145,910,790 1,562,943,629 10.18

2000 1,562,943,629 -67,718,993 37,539,882 1,532,764,518 2.43

2001 1,532,764,518 -78,485,349 -26,157,691 1,428,121,478 -1.72

2002 1,428,121,478 -80,156,053 -73,118,446 1,274,846,979 -5.27

2003 1,274,846,979 -74,846,013 221,171,089 1,421,172,055 17.96

2004 1,421,172,055 -70,185,664 141,540,623 1,492,527,014 10.30

2005 1,492,527,014 -64,363,243 69,585,531 1,497,749,302 4.77

2006 1,497,749,302 -83,073,037 166,254,264 1,580,930,529 11.08

2007 1,580,930,529 -82,143,622 120,427,447 1,619,214,354 7.60

2008 1,619,214,354 -67,877,255 -393,259,378 1,158,077,721 -24.97

2009 1,158,077,721 -71,179,081 217,959,288 1,304,857,928 19.99

2010 1,304,857,928 -73,087,865 193,186,612 1,424,956,675 15.45

2011 1,424,956,675 -76,365,919 27,194,546 1,375,785,302 1.84

2012 1,375,785,302 -64,023,730 187,075,627 1,498,837,199 13.77

To 03/2013 1,498,837,199 -13,966,412 88,813,397 1,573,684,184 5.94

1,075,469,822 -1,135,677,793 1,633,892,155 1,573,684,184 225.46

Louisiana School Employees' RetirementSchedule of Investable Assets

Total Composite

Since Inception Ending March 31, 2013

Gain/Loss includes income received and change in accrued income for the period. 54

Manager Profile



Gain / Loss Summary


Style: Large Cap Growth

Benchmark: Russell 1000 Growth

Peer Group: US Growth/Large Cap Equity (SA & CF)

Inception Date: August 1, 2011

1Quarter

YearTo

Date

1Year

Rhumbline Russell 1000 Growth

Beginning Market Value 88,267,559 88,267,559 107,960,180

Net Contributions 7,494 7,494 -19,967,897

Fees/Expenses -7,494 -7,494 -32,103

Income 393,073 393,073 2,374,946

Gain/Loss 8,041,062 8,041,062 6,366,568

Ending Market Value 96,701,695 96,701,695 96,701,695

March 31, 2013 : $96,701,695


($)Allocation

(%)

¢£ Domestic Equity 96,544,955 99.84

¢£ Cash 156,739 0.16Rhumbline Russell 1000 Growth Russell 1000 Growth Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

9.54 9.5410.09

13.06

7.30

15.26

2.64

16.71

9.56 9.5610.03

15.18


Rhumbline Russell 1000 GrowthMarch 31, 2013


55

Peer Group Analysis - IM U.S. Large Cap Growth Equity (SA+CF)

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

21.3

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Rhumbline Russell 1000 Growth 9.56 (42) 9.56 (42) 10.03 (43) N/A N/A N/A N/A

Å Russell 1000 Growth Index 9.54 (43) 9.54 (43) 10.09 (43) 13.06 (34) 7.30 (38) 6.08 (42) 8.62 (66)

5th Percentile 12.49 12.49 16.34 15.68 10.50 8.47 12.13

1st Quartile 10.27 10.27 12.00 13.58 7.89 6.80 10.26

Median 9.24 9.24 9.04 12.25 6.63 5.74 9.09

3rd Quartile 8.08 8.08 6.92 11.01 5.20 4.74 8.32

95th Percentile 6.05 6.05 2.25 8.03 2.18 2.50 6.99




56

Peer Group Analysis - IM U.S. Large Cap Growth Equity (SA+CF)

-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

85.4

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Rhumbline Russell 1000 Growth 15.18 (52) N/A N/A N/A N/A N/A N/A

Å Russell 1000 Growth Index 15.26 (52) 2.64 (27) 16.71 (46) 37.21 (35) -38.44 (48) 11.81 (61) 9.07 (53)

5th Percentile 21.62 7.76 26.64 50.46 -28.21 28.63 16.94

1st Quartile 18.04 2.85 19.58 39.24 -35.08 19.13 12.23

Median 15.35 -0.01 16.20 34.53 -38.56 13.52 9.38

3rd Quartile 12.95 -3.50 13.20 28.14 -41.84 9.30 5.91

95th Percentile 9.59 -7.98 9.87 17.77 -49.22 3.02 1.35




57

Peer Group Scattergram (08/01/11 to 03/31/13) Growth of a Dollar (08/01/11 to 03/31/13)

Style Analysis3 & 5 Year Up / Down Market Capture

Rhumbline Russell 1000 Growth Russell 1000 Growth Index

$80

$90

$100

$110

$120

$130

$136

7/11 10/11 1/12 4/12 7/12 10/12 1/13 3/13

$123$122

3.00

6.00

9.00

12.00

15.00

18.00

21.00

Re

turn

(%

)



¢£ Rhumbline Russell 1000 Growth 12.95 14.52

Å� Russell 1000 Growth Index 12.97 14.58

¾ Median 11.96 16.04

Style History Mar-2013 Average Style Exposure

Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth

Small Cap GrowthSmall Cap Value

Large Cap Value

No data found.




58

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 91,643,320,458 91,767,950,017

Median Mkt. Cap ($) 7,141,684,155 7,091,885,760

Price/Earnings ratio 18.75 18.76

Price/Book ratio 4.23 4.23

5 Yr. EPS Growth Rate (%) 13.79 13.78

Current Yield (%) 1.74 1.74

Beta N/A 1.00

Number of Stocks 576 574

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Apple Inc 5.37 5.37 0.00 -16.35

International Business Machines Corp 3.01 3.02 -0.01 11.83

Microsoft Corp 2.79 2.80 -0.01 7.98

Google Inc 2.66 2.67 -0.01 12.27

Coca-Cola Co (The) 2.04 2.04 0.00 12.37

Philip Morris International Inc 1.89 1.89 0.00 11.87

Verizon Communications Inc 1.81 1.81 0.00 14.95

PepsiCo Inc 1.61 1.61 0.00 16.43

Oracle Corp 1.60 1.60 0.00 -2.97

QUALCOMM Inc. 1.49 1.49 0.00 8.62

% of Portfolio 24.27 24.30

Sector Weights (%)

Russell 1000 Growth Index

Rhumbline Russell 1000 Growth

0.0 5.0 10.0 15.0 20.0 25.0 30.0 34.5

Other

Utilities

Telecommunication Services

Materials

Information Technology

Industrials

Health Care

Financials

Energy

Consumer Staples

Consumer Discretionary

0.0

0.2

2.3

3.9

28.9

12.9

12.8

4.9

4.2

12.9

16.9

0.4

0.2

2.3

3.9

28.8

12.9

12.8

4.8

4.2

12.9

16.8

Distribution of Market Capitalization (%)

Rhumbline Russell 1000 Growth Russell 1000 Growth Index

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

32.0

36.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

31.3

5.9

30.6

8.8

23.1

0.2

31.3

5.9

30.5

9.1

23.0

0.2




59

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Netflix Inc 0.14 0.14 0.00 104.43

Block (H&R) Inc 0.06 0.07 -0.01 59.56

Tempur-Pedic International Inc. 0.03 0.04 -0.01 57.61

Pandora Media Inc 0.02 0.02 0.00 54.25

LinkedIn Corp 0.14 0.15 -0.01 53.33

Liberty Media Corp 0.00 0.00 0.00 51.99

Cheniere Energy Inc. 0.05 0.05 0.00 49.10

HomeAway Inc 0.01 0.01 0.00 47.73

Celgene Corp 0.66 0.66 0.00 47.71

Safeway Inc 0.01 0.01 0.00 46.67


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Allied Nevada Gold Corp 0.02 0.02 0.00 -45.83

Molycorp Inc 0.00 0.00 0.00 -44.91

Rackspace Hosting Inc 0.07 0.07 0.00 -32.03

Verifone Systems Inc 0.03 0.03 0.00 -30.32

Fusion-io Inc 0.01 0.01 0.00 -28.61

Riverbed Technology Inc 0.03 0.03 0.00 -24.34

ITT Educational Services Inc 0.00 0.00 0.00 -20.39

Weight Watchers International Inc. 0.01 0.01 0.00 -19.24

Garmin Ltd 0.00 0.00 0.00 -17.84

Ulta Salon Cosmetics & Fragrance Inc 0.06 0.07 -0.01 -17.27





60

Buy-and-Hold Portfolio 9.58

Portfolio Trading -0.02

Actual Return 9.56

Benchmark Return 9.54

Actual Active Return 0.01

Stock Selection -0.01

Sector Selection 0.00

Interaction 0.00

Total Selection -0.01


Benchmark Trading -0.04

Total Trading -0.06

Buy & Hold Active Return -0.07

Allocation-01/01/2013

Portfolio Benchmark

Performance-1 Quarter Ending3/31/2013

Portfolio Benchmark

Attribution

Stock Sector Interaction Total

Consumer Discretionary 16.75 16.79 12.17 12.16 0.00 0.00 0.00 0.00

Consumer Staples 12.60 12.63 13.41 13.40 0.00 0.00 0.00 0.00

Energy 4.17 4.19 13.56 13.56 0.00 0.00 0.00 0.00

Financials 4.74 4.76 10.66 10.69 0.00 0.00 0.00 0.00

Health Care 12.25 12.24 17.05 17.06 0.00 0.00 0.00 0.00

Industrials 12.89 12.90 11.61 11.66 -0.01 0.00 0.00 -0.01

Information Technology 29.95 30.05 2.46 2.47 0.00 0.01 0.00 0.00

Materials 3.99 3.98 6.62 6.65 0.00 0.00 0.00 0.00

Other 0.21 0.00 4.90 0.00 0.00 0.00 0.00 0.00

Telecommunication Services 2.25 2.26 10.78 10.78 0.00 0.00 0.00 0.00

Utilities 0.20 0.20 14.39 14.57 0.00 0.00 0.00 0.00

Total 100.00 100.00 9.58 9.59 -0.01 0.00 0.00 -0.01




61

Gain/Loss includes income received and change in accrued income for the period.


Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 08/2011 104,916,698 - -3,065,651 101,851,047 -2.92

2012 101,851,047 -28,750,000 15,166,512 88,267,559 15.18

To 03/2013 88,267,559 - 8,434,135 96,701,695 9.56

104,916,698 -28,750,000 20,534,997 96,701,695 22.50




62

Manager Profile



Gain / Loss Summary


Style: Large Cap Core

Benchmark: S&P 500

Peer Group: US Core/Large Cap Equity (SA & CF)


1Quarter

YearTo

Date

1Year

Rhumbline S&P 500



Fees/Expenses -9,423 -9,423 -35,777

Income 614,909 614,909 2,853,117

Gain/Loss 11,039,214 11,039,214 12,096,033


March 31, 2013 : $121,622,517


($)Allocation

(%)

¢£ Domestic Equity 121,394,697 99.81

¢£ Cash 227,820 0.19Rhumbline S&P 500 S&P 500

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

10.61 10.61

13.96

12.67

5.81

16.00

2.11

15.06

10.60 10.60

13.99

16.01


Rhumbline S&P 500March 31, 2013


63

Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)

-2.0

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

24.9R

etu

rn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Rhumbline S&P 500 10.60 (57) 10.60 (57) 13.99 (49) N/A N/A N/A N/A

Å S&P 500 10.61 (56) 10.61 (56) 13.96 (51) 12.67 (50) 5.81 (64) 5.01 (70) 8.53 (83)

5th Percentile 13.61 13.61 19.33 15.92 8.99 8.29 11.69

1st Quartile 11.68 11.68 15.72 13.82 7.29 6.36 10.28

Median 10.70 10.70 13.97 12.67 6.34 5.47 9.31

3rd Quartile 9.67 9.67 11.50 10.80 5.27 4.81 8.64

95th Percentile 7.23 7.23 7.68 8.89 3.56 3.31 7.64




64


-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0R

etu

rn

2012 2011 2010 2009 2008 2007 2006

¢ Rhumbline S&P 500 16.01 (46) N/A N/A N/A N/A N/A N/A

Å S&P 500 16.00 (47) 2.11 (48) 15.06 (46) 26.46 (52) -37.00 (61) 5.49 (71) 15.79 (46)

5th Percentile 20.99 8.27 20.56 41.54 -25.03 16.55 20.91

1st Quartile 17.70 4.00 17.01 32.38 -33.27 10.73 17.31

Median 15.73 1.87 14.87 26.64 -36.19 7.17 15.57

3rd Quartile 13.85 -1.12 12.63 22.73 -38.29 4.58 13.26

95th Percentile 9.09 -6.54 9.15 15.56 -42.92 -0.36 8.30




65



Rhumbline S&P 500 S&P 500

$80

$90

$100

$110

$120

$130

$140

7/11 10/11 1/12 4/12 7/12 10/12 1/13 3/13

$126$126

8.00

10.00

12.00

14.00

16.00

18.00

20.0021.08

Re

turn

(%

)



¢£ Rhumbline S&P 500 15.01 14.05

Å� S&P 500 14.95 14.12

¾ Median 14.49 14.89


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

No data found.




66

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 106,005,247,956 105,490,690,477

Median Mkt. Cap ($) 14,036,392,160 14,020,919,680





Beta N/A 1.00


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Apple Inc 2.97 2.97 0.00 -16.35

Exxon Mobil Corp 2.89 2.89 0.00 4.78

General Electric Co 1.72 1.72 0.00 11.05

Chevron Corp 1.65 1.65 0.00 10.73

Johnson & Johnson 1.63 1.63 0.00 17.23

International Business Machines Corp 1.60 1.60 0.00 11.83

Microsoft Corp 1.54 1.54 0.00 7.98

Google Inc 1.52 1.52 0.00 12.27

Procter & Gamble Co (The) 1.50 1.51 -0.01 14.43

Pfizer Inc 1.48 1.48 0.00 16.08


Sector Weights (%)

S&P 500 Rhumbline S&P 500

0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0

Other

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


0.0

3.5

3.0

3.4

18.0

10.1

12.5

15.9

10.9

11.0

11.6

0.6

3.4

2.9

3.4

18.0

10.1

12.5

15.8

10.8

10.9

11.6


Rhumbline S&P 500 S&P 500

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

38.0

3.2

31.0

12.5

15.4

0.0

38.5

3.2

30.8

12.3

15.3

0.0




67

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Netflix Inc 0.07 0.08 -0.01 104.43

Best Buy Co. Inc. 0.04 0.04 0.00 88.35

Hewlett-Packard Co 0.33 0.33 0.00 68.35

Block (H&R) Inc 0.05 0.06 -0.01 59.56

Micron Technology Inc. 0.07 0.07 0.00 57.33

Celgene Corp 0.35 0.35 0.00 47.71

Safeway Inc 0.04 0.05 -0.01 46.67

Tenet Healthcare Corp 0.03 0.04 -0.01 46.53

Avon Products Inc. 0.06 0.06 0.00 44.79

Pitney Bowes Inc. 0.02 0.02 0.00 43.48


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Cliffs Natural Resources Inc 0.02 0.02 0.00 -50.44

J. C. Penney Company Inc. 0.02 0.02 0.00 -23.34

Peabody Energy Corp 0.04 0.04 0.00 -20.24

United States Steel Corp 0.02 0.02 0.00 -18.06

Garmin Ltd 0.03 0.03 0.00 -17.84

Apollo Group Inc 0.01 0.01 0.00 -16.92

Apple Inc 2.97 2.97 0.00 -16.35

Newfield Exploration Co 0.02 0.02 0.00 -16.28

Akamai Technologies Inc 0.04 0.04 0.00 -13.66

First Solar Inc 0.01 0.01 0.00 -12.63





68



Actual Return 10.60


Actual Active Return -0.01

Stock Selection 0.00


Interaction 0.00

Total Selection 0.00



Total Trading -0.06



Portfolio Benchmark


Portfolio Benchmark

Attribution



Consumer Staples 10.67 10.72 14.54 14.58 -0.01 0.00 0.00 -0.01

Energy 11.02 11.13 10.15 10.19 0.00 0.00 0.00 0.00

Financials 15.66 15.75 11.47 11.45 0.00 0.00 0.00 0.00

Health Care 12.15 12.18 15.85 15.83 0.00 0.00 0.00 0.00

Industrials 10.18 10.19 10.67 10.67 0.00 0.00 0.00 0.00

Information Technology 18.49 18.54 4.66 4.67 0.00 0.00 0.00 0.00

Materials 3.50 3.55 4.79 4.80 0.00 0.00 0.00 0.00

Other 0.53 0.00 10.50 0.00 0.00 0.00 0.00 0.00


Utilities 3.35 3.43 13.03 13.02 0.00 0.00 0.00 0.00

Total 100.00 100.00 10.63 10.63 0.00 0.00 0.00 0.00




69



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 08/2011 131,153,903 -21,500,388 -4,608,314 105,045,201 -1.61

2012 105,045,201 -11,300,000 16,223,193 109,968,394 16.01

To 03/2013 109,968,394 - 11,654,123 121,622,517 10.60

131,153,903 -32,800,388 23,269,002 121,622,517 26.24




70

Manager Profile



Gain / Loss Summary



Benchmark: S&P 500 Equal Weighted



1Quarter

YearTo

Date

1Year

Rhumbline Equal Weighted Large Cap Fund


Net Contributions 9,419 9,419 34,439

Fees/Expenses -9,419 -9,419 -34,439

Income - - -

Gain/Loss 13,587,138 13,587,138 18,129,678


March 31, 2013 : $122,010,705


($)Allocation

(%)

¢£ Domestic Equity 122,010,705 100.00


S&P 500 Equal Weighted

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

24.00

26.00

-2.00

-4.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

12.52 12.52

17.53

14.24

9.23

17.64

-0.11

21.90

12.53 12.53

17.45 17.47


Rhumbline Equal Weighted Large Cap FundMarch 31, 2013


71


-2.0

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

24.9

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Rhumbline Equal Weighted Large Cap Fund 12.53 (12) 12.53 (12) 17.45 (12) N/A N/A N/A N/A

Å S&P 500 Equal Weighted 12.52 (12) 12.52 (12) 17.53 (12) 14.24 (18) 9.23 (4) 6.68 (19) 12.04 (5)

5th Percentile 13.61 13.61 19.33 15.92 8.99 8.29 11.69

1st Quartile 11.68 11.68 15.72 13.82 7.29 6.36 10.28

Median 10.70 10.70 13.97 12.67 6.34 5.47 9.31

3rd Quartile 9.67 9.67 11.50 10.80 5.27 4.81 8.64

95th Percentile 7.23 7.23 7.68 8.89 3.56 3.31 7.64




72


-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

77.5

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Rhumbline Equal Weighted Large Cap Fund 17.47 (28) N/A N/A N/A N/A N/A N/A

Å S&P 500 Equal Weighted 17.64 (26) -0.11 (68) 21.90 (4) 46.31 (3) -39.72 (86) 1.53 (89) 15.80 (46)

5th Percentile 20.99 8.27 20.56 41.54 -25.03 16.55 20.91

1st Quartile 17.70 4.00 17.01 32.38 -33.27 10.73 17.31

Median 15.73 1.87 14.87 26.64 -36.19 7.17 15.57

3rd Quartile 13.85 -1.12 12.63 22.73 -38.29 4.58 13.26

95th Percentile 9.09 -6.54 9.15 15.56 -42.92 -0.36 8.30




73




S&P 500 Equal Weighted

$80

$90

$100

$110

$120

$130

$140

7/11 10/11 1/12 4/12 7/12 10/12 1/13 3/13

$127$127

8.00

10.00

12.00

14.00

16.00

18.00

20.0021.08

Re

turn

(%

)



¢£ Rhumbline Equal Weighted Large Cap Fund 15.28 16.54

Å� S&P 500 Equal Weighted 15.32 16.65

¾ Median 14.49 14.89


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

No data found.




74



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 08/2011 96,270,267 - -3,972,329 92,297,939 -4.13

2012 92,297,939 - 16,125,629 108,423,567 17.47

To 03/2013 108,423,567 - 13,587,138 122,010,705 12.53

96,270,267 - 25,740,438 122,010,705 26.74




75

Manager Profile



Gain / Loss Summary



Benchmark: Russell 1000


Inception Date: December 1, 2007

1Quarter

YearTo

Date

1Year

Analytic Investors



Fees/Expenses -44,279 -44,279 -164,831

Income - - -

Gain/Loss 4,148,005 4,148,005 5,246,825


March 31, 2013 : $36,244,530


($)Allocation

(%)

¢£ Domestic Equity 36,244,530 100.00Analytic Investors Russell 1000 Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

24.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

10.96 10.96

14.43

12.93

6.15

16.42

1.50

16.10

12.92 12.92

16.92

14.74

6.04

19.75

4.22

11.09


Analytic InvestorsMarch 31, 2013


76


-2.0

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

24.9R

etu

rn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Analytic Investors 12.92 (9) 12.92 (9) 16.92 (15) 14.74 (14) 6.04 (57) N/A N/A

Å Russell 1000 Index 10.96 (42) 10.96 (42) 14.43 (42) 12.93 (43) 6.15 (54) 5.20 (63) 8.97 (65)

5th Percentile 13.61 13.61 19.33 15.92 8.99 8.29 11.69

1st Quartile 11.68 11.68 15.72 13.82 7.29 6.36 10.28

Median 10.70 10.70 13.97 12.67 6.34 5.47 9.31

3rd Quartile 9.67 9.67 11.50 10.80 5.27 4.81 8.64

95th Percentile 7.23 7.23 7.68 8.89 3.56 3.31 7.64




77


-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0R

etu

rn

2012 2011 2010 2009 2008 2007 2006

¢ Analytic Investors 19.75 (12) 4.22 (24) 11.09 (88) 26.66 (50) -38.84 (79) N/A N/A

Å Russell 1000 Index 16.42 (40) 1.50 (56) 16.10 (31) 28.43 (40) -37.60 (67) 5.77 (66) 15.46 (52)

5th Percentile 20.99 8.27 20.56 41.54 -25.03 16.55 20.91

1st Quartile 17.70 4.00 17.01 32.38 -33.27 10.73 17.31

Median 15.73 1.87 14.87 26.64 -36.19 7.17 15.57

3rd Quartile 13.85 -1.12 12.63 22.73 -38.29 4.58 13.26

95th Percentile 9.09 -6.54 9.15 15.56 -42.92 -0.36 8.30




78



Analytic Investors Russell 1000 Index

$40

$60

$80

$100

$120

$140

$160

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$135$134

3.30

4.40

5.50

6.60

7.70

8.80

9.90

Re

turn

(%

)



¢£ Analytic Investors 6.04 19.53

Å� Russell 1000 Index 6.15 19.18

¾ Median 6.34 18.81


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

Up Market Capture

0.0

50.0

100.0

137.5

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

107.6 101.9

Down Market Capture

0.0

50.0

100.0

137.5

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

102.9 102.7




79



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 12/2007 30,336,084 - -114,007 30,222,077 -0.38

2008 30,222,077 -86,298 -11,713,745 18,422,034 -38.84

2009 18,422,034 - 4,912,058 23,334,092 26.66

2010 23,334,092 - 2,586,891 25,920,983 11.09

2011 25,920,983 -109,247 1,092,963 26,904,699 4.22

2012 26,904,699 -117,873 5,309,699 32,096,525 19.75

To 03/2013 32,096,525 - 4,148,005 36,244,530 12.92

30,336,084 -313,418 6,221,864 36,244,530 20.81




80

Manager Profile



Gain / Loss Summary


Style: Large Cap Value

Benchmark: Russell 1000 Value

Peer Group: US Value/Large Cap Equity (SA & CF)

Inception Date: April 1, 2006

1Quarter

YearTo

Date

1Year

C.S. McKee



Fees/Expenses - - -279,150

Income 562,788 562,788 2,333,755

Gain/Loss 9,002,805 9,002,805 10,019,133


March 31, 2013 : $99,084,920


($)Allocation

(%)


¢£ Cash 1,996,044 2.01C.S. McKee Russell 1000 Value Index

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

24.00

-2.00

-4.00

-5.81

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

12.31 12.31

18.77

12.74

4.85

17.51

0.39

15.51

9.52 9.52

12.46

11.27

5.02

15.84

-1.51

17.08


C.S. McKeeMarch 31, 2013


81

Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)

-4.0

-2.0

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

26.0

28.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ C.S. McKee 9.52 (92) 9.52 (92) 12.46 (86) 11.27 (68) 5.02 (73) 4.85 (58) N/A

Å Russell 1000 Value Index 12.31 (36) 12.31 (36) 18.77 (19) 12.74 (45) 4.85 (75) 4.19 (74) 9.18 (75)

5th Percentile 14.70 14.70 21.46 15.79 9.97 8.21 12.63

1st Quartile 12.69 12.69 18.07 13.70 7.20 6.28 10.94

Median 11.56 11.56 15.85 12.49 6.01 5.17 10.04

3rd Quartile 10.62 10.62 13.77 10.74 4.69 4.13 9.07

95th Percentile 9.15 9.15 10.21 8.28 2.73 2.33 7.59




82

Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

77.0

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ C.S. McKee 15.84 (49) -1.51 (66) 17.08 (24) 24.79 (57) -35.19 (47) 6.55 (30) N/A

Å Russell 1000 Value Index 17.51 (29) 0.39 (50) 15.51 (41) 19.69 (80) -36.85 (63) -0.17 (77) 22.25 (16)

5th Percentile 21.98 9.74 21.55 45.23 -25.04 13.12 24.29

1st Quartile 18.20 3.76 16.92 31.48 -32.59 7.32 21.09

Median 15.77 0.20 14.54 25.66 -35.51 3.97 18.89

3rd Quartile 13.07 -3.10 12.92 21.02 -38.59 0.18 16.49

95th Percentile 8.86 -8.82 10.05 13.66 -45.55 -6.73 12.70




83



C.S. McKee Russell 1000 Value Index

$40

$60

$80

$100

$120

$140

$158

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$127$128

2.00

4.00

6.00

8.00

10.00

11.83

Re

turn

(%

)



¢£ C.S. McKee 5.02 19.45

Å� Russell 1000 Value Index 4.85 20.06

¾ Median 5.99 19.48


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

Up Market Capture

0.0

50.0

100.0

125.0

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

97.8 95.2

Down Market Capture

0.0

50.0

100.0

137.5

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

104.293.7




84

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 89,508,289,596 95,813,199,802

Median Mkt. Cap ($) 43,316,808,350 5,792,106,880



5 Yr. EPS Growth Rate (%) 4.31 -1.07


Beta (5 Years, Monthly) 0.95 1.00


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

General Electric Co 4.38 2.94 1.44 11.05

Chevron Corp 4.03 2.81 1.22 10.73

Wells Fargo & Co 3.94 2.18 1.76 9.00

AT&T Inc 3.40 2.58 0.82 10.27

Wal-Mart Stores Inc 3.20 0.32 2.88 10.38

AmerisourceBergen Corp 3.20 0.00 3.20 19.69

Hess Corp 3.01 0.26 2.75 35.40

JPMorgan Chase & Co 2.99 2.17 0.82 8.66

Baxter International Inc 2.97 0.04 2.93 9.67

Dover Corp 2.85 0.16 2.69 11.45


Sector Weights (%)

Russell 1000 Value Index C.S. McKee

0.0 5.0 10.0 15.0 20.0 25.0 30.0 34.5

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


6.6

3.2

3.6

6.7

9.1

11.8

27.5

15.8

7.4

8.3

4.5

3.4

3.8

11.1

14.2

13.2

19.2

15.3

8.6

6.7


C.S. McKee Russell 1000 Value Index

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

>100 Bil 75 Bil - 100 Bil

25 Bil - 75 Bil

15 Bil - 25 Bil

2 Bil - 15 Bil

0 - 2 Bil

35.4

0.0

24.8

14.0

25.2

0.7

30.8

2.4

40.9

8.5

17.5

0.0




85

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Hess Corp 3.01 0.26 2.75 35.40

SanDisk Corp 1.98 0.16 1.82 26.35

CBS Corp 1.86 0.30 1.56 23.03

Allstate Corp (The) 2.01 0.29 1.72 22.83

AmerisourceBergen Corp 3.20 0.00 3.20 19.69

Honeywell International Inc. 2.49 0.00 2.49 19.41

American Express Co 2.68 0.29 2.39 17.76

Halliburton Co 1.96 0.30 1.66 16.85

Goldman Sachs Group Inc (The) 1.97 0.87 1.10 15.75

United Technologies Corp 2.38 0.00 2.38 14.61


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

EMC Corp 1.69 0.00 1.69 -5.57

Oracle Corp 1.68 0.00 1.68 -2.97

Freeport-McMoran Copper & Gold Inc. 2.39 0.38 2.01 -2.35

Apache Corp 1.98 0.36 1.62 -1.50

Time Warner Cable Inc 2.06 0.00 2.06 -0.42

Deere & Co 2.13 0.00 2.13 0.07

Agilent Technologies Inc 1.54 0.00 1.54 2.81

Occidental Petroleum Corp 2.33 0.76 1.57 3.10

Laboratory Corporation of America Holdings 1.48 0.00 1.48 4.13

Beam Inc 1.54 0.12 1.42 4.40





86



Actual Return 9.52





Interaction -0.89



Benchmark Trading 0.00

Total Trading -0.39



Portfolio Benchmark


Portfolio Benchmark

Attribution


Consumer Discretionary 6.69 8.24 8.86 12.44 -0.29 0.00 0.05 -0.24

Consumer Staples 8.61 7.22 10.47 16.80 -0.45 0.06 -0.09 -0.48

Energy 15.70 16.16 11.60 9.79 0.32 0.00 -0.04 0.28

Financials 17.15 27.49 12.30 12.11 0.06 0.02 -0.03 0.05

Health Care 13.83 11.61 9.01 14.61 -0.64 0.05 -0.16 -0.75

Industrials 14.47 9.17 11.24 12.50 -0.12 0.01 -0.07 -0.18

Information Technology 11.57 6.49 6.08 16.89 -0.70 0.23 -0.55 -1.02

Materials 4.12 3.79 0.52 3.01 -0.09 -0.03 -0.01 -0.14


Utilities 4.40 6.49 13.36 13.60 -0.01 -0.03 0.00 -0.03

Total 100.00 100.00 9.91 12.31 -1.82 0.30 -0.89 -2.41




87



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 04/2006 155,391,004 -31,757,798 14,672,437 138,305,643 10.46

2007 138,305,643 -42,000,000 9,921,988 106,227,631 6.55

2008 106,227,631 -1,000,000 -37,170,353 68,057,278 -35.19

2009 68,057,278 2,500,000 17,928,158 88,485,436 24.79

2010 88,485,436 - 15,112,846 103,598,282 17.08

2011 103,598,282 -5,000,000 -1,047,628 97,550,654 -1.51

2012 97,550,654 -8,250,000 15,218,674 104,519,328 15.84

To 03/2013 104,519,328 -15,000,000 9,565,593 99,084,920 9.52

155,391,004 -100,507,798 44,201,714 99,084,920 39.26




88

Manager Profile



Gain / Loss Summary


Style: Mid Cap Core

Benchmark: S&P MidCap 400

Peer Group: US Core/Mid Cap Equity (SA & CF)


1Quarter

YearTo

Date

1Year

Rhumbline Mid Cap



Fees/Expenses -6,923 -6,923 -25,199

Income - - -

Gain/Loss 10,631,215 10,631,215 13,527,235


March 31, 2013 : $89,839,712


($)Allocation

(%)

¢£ Domestic Equity 89,839,712 100.00Rhumbline Mid Cap S&P MidCap 400

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

32.75

-3.00

-6.00

-7.48

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

13.45 13.45

17.83

15.12

9.85

17.88

-1.73

26.64

13.42 13.42

17.73

15.15

9.95

17.86

-1.64

26.61


Rhumbline Mid CapMarch 31, 2013


89

Peer Group Analysis - IM U.S. Mid Cap Core Equity (SA+CF)

-2.0

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

26.0

27.3R

etu

rn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Rhumbline Mid Cap 13.42 (47) 13.42 (47) 17.73 (33) 15.15 (37) 9.95 (19) N/A N/A

Å S&P MidCap 400 13.45 (44) 13.45 (44) 17.83 (31) 15.12 (39) 9.85 (25) 7.08 (48) 12.45 (54)

5th Percentile 15.37 15.37 21.15 17.69 11.63 10.06 14.10

1st Quartile 14.50 14.50 17.91 15.30 9.83 7.61 13.56

Median 13.23 13.23 16.17 14.72 8.16 7.06 12.62

3rd Quartile 11.62 11.62 12.85 13.02 6.82 6.06 11.44

95th Percentile 10.56 10.56 10.05 8.97 3.75 3.67 10.43




90

Peer Group Analysis - IM U.S. Mid Cap Core Equity (SA+CF)

-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0R

etu

rn

2012 2011 2010 2009 2008 2007 2006

¢ Rhumbline Mid Cap 17.86 (32) -1.64 (43) 26.61 (21) 37.43 (42) -35.96 (22) N/A N/A

Å S&P MidCap 400 17.88 (32) -1.73 (48) 26.64 (20) 37.38 (43) -36.23 (30) 7.98 (52) 10.32 (86)

5th Percentile 21.33 5.38 28.64 62.00 -32.46 21.83 20.51

1st Quartile 17.96 -0.02 25.92 39.70 -36.08 12.34 15.54

Median 15.93 -2.07 24.49 36.10 -40.27 8.02 13.43

3rd Quartile 12.96 -4.74 22.10 32.37 -42.52 3.77 10.75

95th Percentile 8.73 -9.42 20.24 20.16 -48.18 -0.28 8.45




91



Rhumbline Mid Cap S&P MidCap 400

$40

$60

$80

$100

$120

$140

$160

$180

$197

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$160$161

4.00

6.00

8.00

10.00

12.00

13.05

Re

turn

(%

)



¢£ Rhumbline Mid Cap 9.95 22.39

Å� S&P MidCap 400 9.85 22.50

¾ Median 8.16 22.57


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

Up Market Capture

0.0

50.0

100.0

125.0

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

100.0 99.8

Down Market Capture

0.0

50.0

100.0

125.0

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

99.8 99.5




92



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 08/2007 46,393,852 - 352,027 46,745,879 0.76

2008 46,745,879 - -16,807,552 29,938,327 -35.96

2009 29,938,327 2,000,000 12,087,466 44,025,793 37.43

2010 44,025,793 10,000,000 14,305,717 68,331,510 26.61

2011 68,331,510 - -1,123,770 67,207,740 -1.64

2012 67,207,740 - 12,000,757 79,208,497 17.86

To 03/2013 79,208,497 - 10,631,215 89,839,712 13.42

46,393,852 12,000,000 31,445,860 89,839,712 47.62




93

Manager Profile



Gain / Loss Summary


Style: Small Cap Growth

Benchmark: Russell 2000 Growth

Peer Group: US Growth/Small Cap Equity (SA & CF)


1Quarter

YearTo

Date

1Year

Wasatch



Fees/Expenses -208,567 -208,567 -788,971

Income 57,418 57,418 1,019,937

Gain/Loss 8,525,163 8,525,163 8,949,873


March 31, 2013 : $89,684,384


($)Allocation

(%)


¢£ Cash 5,426,256 6.05Wasatch Russell 2000 Growth Index

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

33.00

36.00

-3.00

-6.00

-9.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

13.21 13.2114.52 14.75

9.04

14.59

-2.91

29.09

10.58 10.58

12.49

14.52

5.03


WasatchMarch 31, 2013


94

Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF)

-6.0

-4.0

-2.0

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

26.0

28.0

30.0

31.3

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Wasatch 10.58 (88) 10.58 (88) 12.49 (59) N/A N/A N/A N/A

Å Russell 2000 Growth Index 13.21 (47) 13.21 (47) 14.52 (44) 14.75 (61) 9.04 (57) 5.20 (60) 11.61 (70)

5th Percentile 17.44 17.44 23.26 20.80 14.69 9.26 15.74

1st Quartile 14.68 14.68 16.69 17.86 11.68 7.20 13.93

Median 13.01 13.01 13.50 15.78 9.66 5.79 12.68

3rd Quartile 11.53 11.53 9.97 13.32 7.22 4.17 11.34

95th Percentile 9.31 9.31 2.91 9.02 4.94 0.26 9.27




95

Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF)

-90.0

-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

98.2

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Wasatch 14.52 (52) 5.03 (11) N/A N/A N/A N/A N/A

Å Russell 2000 Growth Index 14.59 (51) -2.91 (57) 29.09 (50) 34.47 (63) -38.54 (26) 7.05 (63) 13.35 (43)

5th Percentile 24.21 7.29 41.22 59.10 -31.47 29.70 22.27

1st Quartile 18.30 2.26 33.26 47.45 -38.50 16.21 16.14

Median 14.67 -1.83 29.04 37.86 -41.70 11.02 12.55

3rd Quartile 11.60 -6.05 25.79 30.17 -45.54 4.03 8.90

95th Percentile 5.04 -13.07 19.28 14.53 -52.47 -3.33 2.99




96



Wasatch Russell 2000 Growth Index

$80

$100

$120

$140

$160

$180

$198

7/10 10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12 10/12 1/13 3/13

$156

$166

9.00

12.00

15.00

18.00

21.00

24.00

27.0028.50

Re

turn

(%

)



¢£ Wasatch 20.80 15.22

Å� Russell 2000 Growth Index 18.18 20.11

¾ Median 19.64 19.91


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

No data found.




97

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 3,498,025,398 1,760,591,521

Median Mkt. Cap ($) 1,568,803,210 673,006,485





Beta N/A 1.00

Number of Stocks 74 1,104

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Copart Inc 5.01 0.00 5.01 16.17

MSC Industrial Direct Co Inc. 4.81 0.00 4.81 13.80

Ultimate Software Group Inc (The) 4.04 0.43 3.61 10.33

Knight Transportation Inc 4.01 0.14 3.87 10.47

Power Integrations Inc 3.04 0.19 2.85 29.41

H D F C Bank Ltd 2.98 0.00 2.98 -8.10

LIFE TIME FITNESS Inc 2.39 0.26 2.13 -13.07

Seattle Genetics Inc 2.23 0.52 1.71 53.24

Waste Connections Inc. 2.14 0.00 2.14 6.78

Syntel Inc 1.92 0.16 1.76 25.90


Sector Weights (%)

Russell 2000 Growth Index Wasatch

0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


0.3

0.8

5.1

21.4

18.2

20.5

7.9

5.7

4.6

15.5

0.0

0.0

0.0

30.6

32.2

13.1

4.9

3.8

0.0

15.4


Wasatch Russell 2000 Growth Index

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

>3 Bil 1 Bil - 3 Bil

500 Mil - 1 Bil

200 Mil - 500 Mil

100 Mil - 200 Mil

0 - 100 Mil

12.4

60.5

17.5

7.9

1.4 0.2

32.4

53.6

9.4

4.3

0.4 0.0




98

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Zillow Inc 1.88 0.03 1.85 97.01

Angie's List Inc 1.26 0.11 1.15 64.80

Sangamo BioSciences Inc 0.66 0.08 0.58 59.07

hhgregg Inc 0.24 0.00 0.24 57.41

Seattle Genetics Inc 2.23 0.52 1.71 53.24

SciQuest Inc 1.00 0.07 0.93 51.58

Shutterfly Inc 0.86 0.06 0.80 47.87

Power Integrations Inc 3.04 0.19 2.85 29.41

Fluidigm Corp 0.85 0.07 0.78 29.35

ABAXIS Inc 1.26 0.16 1.10 27.55


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Millennial Media Inc 0.01 0.01 0.00 -49.32

Fusion-io Inc 1.11 0.00 1.11 -28.61

Higher One Holdings Inc 0.57 0.04 0.53 -15.65

Northern Oil and Gas Inc 0.76 0.14 0.62 -14.51

Polypore International Inc 1.71 0.00 1.71 -13.59

LIFE TIME FITNESS Inc 2.39 0.26 2.13 -13.07

Blue Nile Inc 1.70 0.07 1.63 -10.47

Chico's FAS Inc. 1.14 0.00 1.14 -8.72

H D F C Bank Ltd 2.98 0.00 2.98 -8.10

EXACT Sciences Corp 0.62 0.10 0.52 -7.46





99



Actual Return 10.58





Interaction -1.02



Benchmark Trading 0.00

Total Trading -0.63



Portfolio Benchmark


Portfolio Benchmark

Attribution


Consumer Discretionary 16.15 15.89 4.59 11.28 -1.09 -0.01 -0.02 -1.12

Consumer Staples 0.01 4.57 14.45 11.70 0.23 0.07 -0.23 0.07

Energy 4.18 5.69 5.18 11.33 -0.35 0.03 0.08 -0.24

Financials 4.63 7.90 15.77 14.85 0.08 -0.05 -0.04 -0.01

Health Care 12.64 20.39 18.66 15.15 0.70 -0.15 -0.27 0.28

Industrials 32.99 17.99 11.71 14.82 -0.55 0.24 -0.47 -0.79

Information Technology 29.40 21.45 11.46 12.48 -0.22 -0.06 -0.08 -0.35

Materials 0.00 4.99 0.00 12.21 0.00 0.05 0.00 0.05


Utilities 0.00 0.32 0.00 2.85 0.00 0.03 0.00 0.03

Total 100.00 100.00 11.21 13.21 -1.21 0.23 -1.02 -2.00




100



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 08/2010 55,783,732 425,208 13,744,152 69,953,093 24.45

2011 69,953,093 - 3,518,471 73,471,564 5.03

2012 73,471,564 -3,000,000 10,630,240 81,101,803 14.52

To 03/2013 81,101,803 - 8,582,580 89,684,384 10.58

55,783,732 -2,574,792 36,475,443 89,684,384 65.53




101

Manager Profile



Gain / Loss Summary


Style: Small Cap Value

Benchmark: Russell 2000 Value

Peer Group: US Value/Small Cap Equity (SA & CF)

Inception Date: September 1, 2008

1Quarter

YearTo

Date

1Year

Fisher Investments



Fees/Expenses -173,093 -173,093 -644,165

Income 246,872 246,872 1,263,409

Gain/Loss 11,376,929 11,376,929 9,667,484


March 31, 2013 : $90,504,236


($)Allocation

(%)


¢£ Cash 619,532 0.68Fisher Investments Russell 2000 Value Index

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

33.00

36.00

39.00

-3.00

-6.00

-9.00

-12.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

11.63 11.63

18.09

12.12

7.29

18.05

-5.50

24.50

13.88 13.8813.15

14.35

16.24

-3.37

31.20


Fisher InvestmentsMarch 31, 2013


102

Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF)

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

32.0

35.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Fisher Investments 13.88 (26) 13.88 (26) 13.15 (85) 14.35 (47) N/A N/A N/A

Å Russell 2000 Value Index 11.63 (65) 11.63 (65) 18.09 (50) 12.12 (82) 7.29 (85) 3.87 (88) 11.29 (91)

5th Percentile 16.13 16.13 27.40 20.00 15.12 10.48 17.19

1st Quartile 13.94 13.94 21.10 15.90 11.93 7.79 14.78

Median 12.56 12.56 18.09 14.11 9.78 6.52 13.45

3rd Quartile 11.10 11.10 15.20 12.80 8.02 4.96 12.39

95th Percentile 8.26 8.26 9.00 9.06 5.85 2.84 10.59




103

Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF)

-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

108.3

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Fisher Investments 16.24 (63) -3.37 (52) 31.20 (25) 36.82 (43) N/A N/A N/A

Å Russell 2000 Value Index 18.05 (48) -5.50 (66) 24.50 (73) 20.58 (88) -28.92 (25) -9.78 (83) 23.48 (16)

5th Percentile 28.24 5.49 38.98 68.44 -23.79 12.40 27.86

1st Quartile 21.42 0.38 31.17 46.33 -28.97 3.20 21.78

Median 17.59 -3.26 27.77 34.28 -33.00 -2.12 18.50

3rd Quartile 14.73 -6.76 23.87 25.81 -37.89 -7.86 15.03

95th Percentile 10.49 -13.29 18.06 17.50 -45.43 -15.17 9.67




104



Fisher Investments Russell 2000 Value Index

$20

$40

$60

$80

$100

$120

$140

$160

$180

8/08 2/09 8/09 2/10 8/10 2/11 8/11 2/12 8/12 3/13

$134

$150

4.00

6.00

8.00

10.00

12.00

14.00

16.00

17.50

Re

turn

(%

)



¢£ Fisher Investments 9.28 26.32

Å� Russell 2000 Value Index 6.56 25.01

¾ Median 9.56 24.70


Ca

pit

ali

za

tio

n

Manager Style

Large Cap Growth


Large Cap Value

Up Market Capture

0.0

50.0

100.0

137.5

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

Time Periods

107.0

Down Market Capture

0.0

50.0

100.0

137.5

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

Time Periods

100.8




105

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 3,022,741,430 1,360,394,076

Median Mkt. Cap ($) 2,320,469,690 510,413,855







PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Domino's Pizza Inc 2.48 0.00 2.48 18.59

Cabela's Inc 2.29 0.04 2.25 45.58

Ryland Group Inc 2.25 0.12 2.13 14.12

Fifth & Pacific Companies Inc 2.04 0.31 1.73 51.65

Waddell & Reed Financial Inc. 2.01 0.00 2.01 26.70

SVB Financial Group 2.00 0.00 2.00 26.75

FEI Co. 1.98 0.02 1.96 16.53

PAREXEL International Corp 1.93 0.00 1.93 33.63

Sally Beauty Holdings Inc 1.89 0.00 1.89 24.65

Veeco Instruments Inc 1.85 0.16 1.69 30.25


Sector Weights (%)

Russell 2000 Value Index Fisher Investments

0.0 10.0 20.0 30.0 40.0 46.0

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


6.1

0.5

5.5

11.7

12.6

4.4

37.8

6.5

2.6

12.2

2.2

0.0

2.7

17.0

7.5

10.2

29.5

2.8

8.2

19.8


Fisher Investments Russell 2000 Value Index

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

>3 Bil 1 Bil - 3 Bil

500 Mil - 1 Bil

200 Mil - 500 Mil

100 Mil - 200 Mil

0 - 100 Mil

4.5

55.1

23.1

13.5

3.60.2

31.9

65.0

3.20.0 0.0 0.0




106

PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Fifth & Pacific Companies Inc 2.04 0.31 1.73 51.65

Cabela's Inc 2.29 0.04 2.25 45.58

PAREXEL International Corp 1.93 0.00 1.93 33.63

Kansas City Southern 1.25 0.00 1.25 33.12

PMC-Sierra Inc. 1.56 0.00 1.56 30.33

Veeco Instruments Inc 1.85 0.16 1.69 30.25

Glacier Bancorp Inc 1.02 0.20 0.82 29.03

Vishay Intertechnology Inc. 1.35 0.00 1.35 28.03

SVB Financial Group 2.00 0.00 2.00 26.75

Waddell & Reed Financial Inc. 2.01 0.00 2.01 26.70


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Finisar Corp 1.33 0.17 1.16 -19.03

NETGEAR Inc 0.71 0.10 0.61 -15.01

Elizabeth Arden Inc 1.59 0.02 1.57 -10.58

Plexus Corp 0.63 0.07 0.56 -5.77

OmniVision Technologies Inc 0.95 0.10 0.85 -2.20

Fairchild Semiconductor International Inc. 1.33 0.00 1.33 -1.81

Scotts Miracle-Gro Company (The) 0.80 0.00 0.80 -1.11

Education Realty Trust Inc 0.70 0.17 0.53 -0.12

Northwest Natural Gas Co 0.26 0.17 0.09 0.11

Tech Data Corp 1.13 0.00 1.13 0.13





107



Actual Return 13.88


Actual Active Return 2.25

Stock Selection 1.69

Sector Selection -0.06

Interaction 0.77

Total Selection 2.40



Total Trading -0.17

Buy & Hold Active Return 2.23


Portfolio Benchmark


Portfolio Benchmark

Attribution



Consumer Staples 7.50 2.47 12.51 11.48 0.03 0.01 0.04 0.08

Energy 3.38 6.37 15.75 12.24 0.25 -0.03 -0.05 0.16

Financials 29.33 37.31 14.83 12.80 0.75 -0.09 -0.16 0.50

Health Care 10.03 4.41 20.52 10.79 0.42 -0.05 0.54 0.91

Industrials 7.29 12.92 15.84 13.21 0.35 -0.09 -0.16 0.10

Information Technology 16.74 12.01 5.90 7.86 -0.24 -0.18 -0.12 -0.54

Materials 3.40 5.67 -4.14 7.00 -0.67 0.10 0.28 -0.30

Telecommunication Services 0.00 0.53 0.00 -3.31 0.00 0.09 0.00 0.09

Utilities 2.35 6.22 12.30 10.76 0.10 0.04 -0.06 0.07

Total 100.00 100.00 14.04 11.64 1.69 -0.06 0.77 2.40




108



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 09/2008 71,112,625 313,357 -24,685,976 46,740,006 -34.59

2009 46,740,006 2,500,000 18,432,227 67,672,233 36.82

2010 67,672,233 - 21,110,588 88,782,821 31.20

2011 88,782,821 -8,500,000 -2,010,094 78,272,726 -3.37

2012 78,272,726 -7,000,000 12,607,709 83,880,435 16.24

To 03/2013 83,880,435 -5,000,000 11,623,801 90,504,236 13.88

71,112,625 -17,686,643 37,078,254 90,504,236 50.19




109

Manager Profile



Gain / Loss Summary


Style: International Core

Benchmark: MSCI EAFE (net)

Peer Group: International Core Equity (SA & CF)

Inception Date: July 1, 1995

1Quarter

YearTo

Date

1Year

Walter Scott International



Fees/Expenses -133,255 -133,255 -501,641

Income 772,830 772,830 2,469,213

Gain/Loss 4,509,626 4,509,626 11,109,099


March 31, 2013 : $109,433,819


($)Allocation

(%)


¢£ Cash 2,682,234 2.45Walter Scott International MSCI EAFE (Net)

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

-3.00

-6.00

-9.00

-12.00

-15.00

-18.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

5.13 5.13

11.25

5.00

-0.89

17.32

-12.14

7.75

5.07 5.07

14.17

9.38

6.26

22.07

-7.39

13.96


Walter Scott InternationalMarch 31, 2013


110

Peer Group Analysis - IM International Core Equity (SA+CF)

-8.0

-6.0

-4.0

-2.0

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

25.6

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Walter Scott International 5.07 (54) 5.07 (54) 14.17 (33) 9.38 (22) 6.26 (2) 6.57 (4) 12.85 (13)

Å MSCI EAFE (Net) 5.13 (52) 5.13 (52) 11.25 (69) 5.00 (88) -0.89 (86) 1.61 (86) 9.69 (89)

5th Percentile 10.76 10.76 18.44 11.92 4.08 6.40 14.73

1st Quartile 6.52 6.52 15.27 8.93 1.97 3.82 12.32

Median 5.18 5.18 12.64 7.22 0.79 3.03 11.16

3rd Quartile 4.20 4.20 10.56 5.78 -0.10 2.33 10.35

95th Percentile 2.31 2.31 7.07 3.26 -2.04 0.78 9.21




111


-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.084.9

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Walter Scott International 22.07 (23) -7.39 (13) 13.96 (32) 32.54 (55) -30.69 (2) 13.28 (39) 20.24 (97)

Å MSCI EAFE (Net) 17.32 (74) -12.14 (51) 7.75 (91) 31.78 (59) -43.38 (43) 11.17 (54) 26.34 (61)

5th Percentile 25.12 -6.22 25.43 49.81 -34.66 22.91 34.84

1st Quartile 21.96 -10.02 14.81 39.36 -41.83 15.60 30.64

Median 19.56 -12.11 11.64 33.55 -44.19 11.60 27.73

3rd Quartile 17.20 -14.23 9.51 29.21 -46.74 9.19 24.80

95th Percentile 14.52 -17.42 6.33 20.77 -50.37 2.59 20.82




112

Peer Group Scattergram (04/01/08 to 03/31/13)


Growth of a Dollar (04/01/08 to 03/31/13)

Walter Scott International MSCI EAFE (Net)

$20

$40

$60

$80

$100

$120

$140

$160

$172

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$96

$135

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

9.25

Re

turn

(%

)



¢£ Walter Scott International 6.26 17.50

Å� MSCI EAFE (Net) -0.89 23.01

¾ Median 0.79 23.25

Up Market Capture

0.0

40.0

80.0

112.5

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

80.2 82.6

Down Market Capture

0.0

30.0

60.0

87.5

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

61.1 63.7


Ca

pit

ali

za

tio

n

Manager Style

MSCI World ex USA Growth

MSCI World ex US Small CapMSCI World ex US in LC

MSCI World ex USA Value




113

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 79,060,689,587 58,430,520,998

Median Mkt. Cap ($) 75,363,767,500 8,026,976,063



5 Yr. EPS Growth Rate (%) 2.23 -1.44




PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Reckitt Benckiser Group PLC 31.45 0.41 31.04 12.51

Taiwan Semiconductor Manufacturing Co Ltd 26.87 0.00 26.87 0.18

Standard Chartered PLC 22.23 0.55 21.68 0.63

Suncor Energy Inc. 19.45 0.00 19.45 -8.55

Nestle SA, Cham Und Vevey 0.00 2.04 0.00 N/A

HSBC Holdings PLC 0.00 1.72 0.00 N/A

Roche Holding AG 0.00 1.43 0.00 N/A

Novartis AG 0.00 1.43 0.00 N/A

Toyota Motor Corp 0.00 1.25 0.00 N/A

Vodafone Group PLC 0.00 1.22 0.00 N/A


Sector Weights (%)

MSCI EAFE Index Walter Scott International

0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


3.7

4.9

8.9

4.3

12.5

10.3

24.9

7.2

12.3

11.0

0.0

0.0

0.0

26.9

0.0

0.0

22.2

19.5

31.4

0.0

Region Allocation (%)

MSCI EAFE Index Walter Scott International

0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0

United Kingdom

Europe ex UK

Japan

Pacific ex Japan

North America

Middle East

EM Asia

21.9

42.0

21.3

14.3

0.0

0.5

0.0

53.7

0.0

0.0

0.0

19.5

0.0

26.9




114



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 07/1995 49,500,000 -579,000 2,717,744 51,638,744 5.51

1996 51,638,744 -1,255,000 5,571,325 55,955,069 10.90

1997 55,955,069 - 2,844,020 58,799,089 5.08

1998 58,799,089 - 10,077,020 68,876,109 17.14

1999 68,876,109 - 38,923,628 107,799,737 56.51

2000 107,799,737 -11,000,000 -12,393,220 84,406,517 -12.80

2001 84,406,517 5,000,000 -18,006,539 71,399,978 -20.66

2002 71,399,978 13,000,000 -5,397,083 79,002,895 -6.99

2003 79,002,895 - 21,282,195 100,285,090 26.94

2004 100,285,090 - 20,592,841 120,877,931 20.53

2005 120,877,931 -18,000,000 19,282,500 122,160,431 18.11

2006 122,160,431 -20,000,000 22,966,008 125,126,439 20.24

2007 125,126,439 -19,000,000 15,570,221 121,696,660 13.28

2008 121,696,660 - -37,360,567 84,336,093 -30.69

2009 84,336,093 -7,000,000 27,249,830 104,585,923 32.54

2010 104,585,923 -2,750,000 14,157,795 115,993,719 13.96

2011 115,993,719 -21,548,061 -9,124,272 85,321,385 -7.39

2012 85,321,385 - 18,829,978 104,151,363 22.07

To 03/2013 104,151,363 - 5,282,455 109,433,819 5.07

49,500,000 -83,132,061 143,065,880 109,433,819 343.95




115

Manager Profile



Gain / Loss Summary



Benchmark: MSCI AC World ex USA (net)


Inception Date: October 1, 2006

1Quarter

YearTo

Date

1Year

Thornburg


Net Contributions - - -

Fees/Expenses -115,283 -115,283 -435,498

Income - - -

Gain/Loss 1,965,961 1,965,961 5,154,750


March 31, 2013 : $75,196,619


($)Allocation

(%)

¢£ International Equity 75,196,619 100.00Thornburg MSCI AC World ex USA (Net)

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

23.14

-3.00

-6.00

-9.00

-12.00

-15.00

-18.00

-19.85

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

3.17 3.17

8.36

4.41

-0.39

16.83

-13.71

11.15

2.68 2.68

7.36

5.22

0.45

16.65

-13.34

14.25


ThornburgMarch 31, 2013


116


-8.0

-6.0

-4.0

-2.0

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

25.6

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Thornburg 2.68 (94) 2.68 (94) 7.36 (95) 5.22 (86) 0.45 (57) N/A N/A

Å MSCI AC World ex USA (Net) 3.17 (88) 3.17 (88) 8.36 (92) 4.41 (92) -0.39 (80) 2.64 (67) 10.93 (59)

5th Percentile 10.76 10.76 18.44 11.92 4.08 6.40 14.73

1st Quartile 6.52 6.52 15.27 8.93 1.97 3.82 12.32

Median 5.18 5.18 12.64 7.22 0.79 3.03 11.16

3rd Quartile 4.20 4.20 10.56 5.78 -0.10 2.33 10.35

95th Percentile 2.31 2.31 7.07 3.26 -2.04 0.78 9.21




117


-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.084.9

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Thornburg 16.65 (83) -13.34 (67) 14.25 (30) 33.83 (47) -42.29 (33) 28.13 (3) N/A

Å MSCI AC World ex USA (Net) 16.83 (81) -13.71 (69) 11.15 (54) 41.45 (18) -45.53 (64) 16.65 (23) 26.65 (60)

5th Percentile 25.12 -6.22 25.43 49.81 -34.66 22.91 34.84

1st Quartile 21.96 -10.02 14.81 39.36 -41.83 15.60 30.64

Median 19.56 -12.11 11.64 33.55 -44.19 11.60 27.73

3rd Quartile 17.20 -14.23 9.51 29.21 -46.74 9.19 24.80

95th Percentile 14.52 -17.42 6.33 20.77 -50.37 2.59 20.82




118




Thornburg MSCI AC World ex USA (Net)

$40

$60

$80

$100

$120

$130

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$98$102

-2.00

0.00

2.00

4.00

5.50

Re

turn

(%

)



¢£ Thornburg 0.45 20.89

Å� MSCI AC World ex USA (Net) -0.39 23.68

¾ Median 0.79 23.25

Up Market Capture

0.0

40.0

80.0

113.8

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

90.5 89.4

Down Market Capture

0.0

40.0

80.0

112.5

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

87.9 85.9


Ca

pit

ali

za

tio

n

Manager Style







119



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2006 - 50,000,000 5,193,313 55,193,313 10.57

2007 55,193,313 - 15,212,435 70,405,748 28.13

2008 70,405,748 - -29,774,147 40,631,601 -42.29

2009 40,631,601 - 13,747,107 54,378,708 33.83

2010 54,378,708 10,000,000 8,970,062 73,348,770 14.25

2011 73,348,770 -329,320 -9,752,026 63,267,424 -13.34

2012 63,267,424 -426,720 10,505,237 73,345,941 16.65

To 03/2013 73,345,941 -115,283 1,965,961 75,196,619 2.68

- 59,128,677 16,067,943 75,196,619 29.75




120

Manager Profile



Gain / Loss Summary



Benchmark: MSCI AC World ex USA (net)


Inception Date: November 1, 2011

1Quarter

YearTo

Date

1Year

Earnest Partners


Net Contributions - - 244,667

Fees/Expenses - - -244,667

Income 314,679 314,679 869,171

Gain/Loss 1,165,872 1,165,872 4,573,624


March 31, 2013 : $52,261,009


($)Allocation

(%)


¢£ Cash 1,009,475 1.93Earnest Partners MSCI AC World ex USA (Net)

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

26.74

-3.00

-6.00

-9.00

-12.00

-15.00

-18.00

-20.45

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

3.17 3.17

8.36

4.41

-0.39

16.83

-13.71

11.15

2.92 2.92

11.63

18.28


Earnest PartnersMarch 31, 2013


121


-8.0

-6.0

-4.0

-2.0

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

25.6

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Earnest Partners 2.92 (92) 2.92 (92) 11.63 (67) N/A N/A N/A N/A

Å MSCI AC World ex USA (Net) 3.17 (88) 3.17 (88) 8.36 (92) 4.41 (92) -0.39 (80) 2.64 (67) 10.93 (59)

5th Percentile 10.76 10.76 18.44 11.92 4.08 6.40 14.73

1st Quartile 6.52 6.52 15.27 8.93 1.97 3.82 12.32

Median 5.18 5.18 12.64 7.22 0.79 3.03 11.16

3rd Quartile 4.20 4.20 10.56 5.78 -0.10 2.33 10.35

95th Percentile 2.31 2.31 7.07 3.26 -2.04 0.78 9.21




122


-80.0

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.084.9

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Earnest Partners 18.28 (67) N/A N/A N/A N/A N/A N/A

Å MSCI AC World ex USA (Net) 16.83 (81) -13.71 (69) 11.15 (54) 41.45 (18) -45.53 (64) 16.65 (23) 26.65 (60)

5th Percentile 25.12 -6.22 25.43 49.81 -34.66 22.91 34.84

1st Quartile 21.96 -10.02 14.81 39.36 -41.83 15.60 30.64

Median 19.56 -12.11 11.64 33.55 -44.19 11.60 27.73

3rd Quartile 17.20 -14.23 9.51 29.21 -46.74 9.19 24.80

95th Percentile 14.52 -17.42 6.33 20.77 -50.37 2.59 20.82




123




Earnest Partners MSCI AC World ex USA (Net)

$85

$90

$95

$100

$105

$110

$115

$120

$125

$129

10/11 1/12 4/12 7/12 10/12 1/13 3/13

$113

$117

9.00

12.00

15.00

18.00

21.00

22.75

Re

turn

(%

)



¢£ Earnest Partners 11.67 12.98

Å� MSCI AC World ex USA (Net) 9.08 14.92

¾ Median 13.58 14.39

No data found.


Ca

pit

ali

za

tio

n

Manager Style







124

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 36,506,049,739 52,167,273,864

Median Mkt. Cap ($) 20,316,233,000 6,531,480,993





Beta N/A 1.00


PortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)

Arm Holdings PLC 11.57 0.12 11.45 12.00

iShares Trust MSCI- EAFE Index 9.38 0.00 9.38 3.73

Core Laboratories NV 9.15 0.00 9.15 26.53

Icici Bank Ltd 6.07 0.05 6.02 -1.63

Everest Re Group Ltd 5.66 0.00 5.66 18.56

Icon PLC 5.25 0.00 5.25 N/A

Novartis AG 5.15 0.99 4.16 16.81

iShares MSCI Emerging Market Fund 4.78 0.00 4.78 -3.56

Transocean Ltd 4.70 0.11 4.59 16.35

BHP Billiton Ltd 4.69 0.67 4.02 -11.39


Sector Weights (%)

MSCI AC World ex USA Earnest Partners

0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 31.1

Other

Utilities


Materials


Industrials

Health Care

Financials

Energy

Consumer Staples


0.0

3.5

5.4

9.8

6.4

10.7

7.6

26.3

9.7

10.9

9.8

17.3

0.0

3.1

9.4

15.7

0.0

13.7

18.4

18.3

0.0

4.1

Region Allocation (%)

MSCI AC World ex USA Earnest Partners

0.0 10.0 20.0 30.0 40.0 50.0 54.0

United Kingdom

Europe ex UK

Japan

Pacific ex Japan

EM Mid East+Africa

North America

EM Latin America

EM Europe

Middle East

EM Asia

15.2

29.1

14.8

9.9

1.7

7.5

5.1

2.3

0.4

14.1

16.2

22.4

0.0

4.7

0.0

39.3

3.9

0.0

0.0

13.5




125



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 11/2011 44,694,519 - -1,763,386 42,931,133 -3.95

2012 42,931,133 - 7,849,325 50,780,459 18.28

To 03/2013 50,780,459 - 1,480,550 52,261,009 2.92

44,694,519 - 7,566,490 52,261,009 16.93




126

Manager Profile



Gain / Loss Summary


Style: Fixed Income

Benchmark: Barclays Capital Aggregate

Peer Group: US Broad Market Core Fixed Income (SA & CF)


1Quarter

YearTo

Date

1Year

Orleans Capital Management



Fees/Expenses -28,200 -28,200 -114,977

Income 1,174,785 1,174,785 4,890,270

Gain/Loss -882,669 -882,669 -52,144


March 31, 2013 : $102,546,185


($)Allocation

(%)


¢£ Cash Equivalent 4,040,475 3.94Orleans Capital Management Barclays U.S. Aggregate

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

10.82

-1.00

-1.95

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

-0.12 -0.12

3.77

5.52 5.47

4.21

7.84

6.54

0.29 0.29

4.60

6.45

7.04

5.54

8.73

7.34


Orleans Capital ManagementMarch 31, 2013


127

Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

10.6

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Orleans Capital Management 0.29 (27) 0.29 (27) 4.60 (62) 6.45 (40) 7.04 (21) 6.91 (22) 5.97 (19)

Å Barclays U.S. Aggregate -0.12 (88) -0.12 (88) 3.77 (93) 5.52 (89) 5.47 (90) 5.94 (83) 5.03 (86)

5th Percentile 0.79 0.79 7.41 7.80 7.67 7.58 6.35

1st Quartile 0.29 0.29 5.71 6.82 6.90 6.80 5.87

Median 0.11 0.11 4.89 6.20 6.24 6.44 5.46

3rd Quartile -0.05 -0.05 4.32 5.84 5.83 6.12 5.24

95th Percentile -0.23 -0.23 3.67 5.33 5.27 5.25 4.62




128

Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF)

-19.0

-16.0

-13.0

-10.0

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

28.9

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Orleans Capital Management 5.54 (60) 8.73 (13) 7.34 (49) 13.52 (21) 2.06 (57) 6.34 (64) 4.53 (46)

Å Barclays U.S. Aggregate 4.21 (91) 7.84 (52) 6.54 (86) 5.93 (88) 5.24 (32) 6.97 (45) 4.34 (69)

5th Percentile 8.67 9.14 10.36 18.83 8.72 8.16 5.48

1st Quartile 6.85 8.24 8.26 12.72 5.71 7.30 4.74

Median 5.85 7.85 7.23 9.84 3.04 6.87 4.48

3rd Quartile 5.11 7.26 6.78 7.12 -2.65 5.99 4.26

95th Percentile 3.87 6.11 6.04 4.82 -9.91 3.72 3.71




129



Orleans Capital Management Barclays U.S. Aggregate

$80

$90

$100

$110

$120

$130

$140

$150

$158

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$130

$141

5.00

5.50

6.00

6.50

7.00

7.50

8.00

8.33

Re

turn

(%

)



¢£ Orleans Capital Management 7.04 4.06

Å� Barclays U.S. Aggregate 5.47 3.50

¾ Median 6.24 3.77

Up Market Capture

0.0

50.0

100.0

150.0

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

109.5 112.8

Down Market Capture

0.0

40.0

80.0

100.0

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

77.3 76.3

Orleans Capital Management

0.0% 11.0% 22.0% 33.0% 44.0% 55.0% 66.0%

BC US Credit Index

BC 1-3yr Gov/Credit

BC U.S. Government

BC Long Term Bond Index




130



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

1992 63,129,963 -2,740 5,394,478 68,521,701 8.49

1993 68,521,701 119,352,846 10,550,261 198,424,808 10.53

1994 198,424,808 -5,395,856 -6,064,147 186,964,805 -3.08

1995 186,964,805 -24,154,979 32,573,635 195,383,461 18.43

1996 195,383,461 -4,525,800 7,745,904 198,603,565 4.07

1997 198,603,565 -10,100,000 18,641,207 207,144,772 9.93

1998 207,144,772 195,534,500 27,947,459 430,626,731 7.68

1999 430,626,731 - -1,130,812 429,495,919 -0.26

2000 429,495,919 121 47,653,520 477,149,560 11.10

2001 477,149,560 -110,300,000 32,051,673 398,901,233 7.29

2002 398,901,233 -112,000,000 35,023,292 321,924,525 9.59

2003 321,924,525 -110,247,162 19,242,946 230,920,309 5.85

2004 230,920,309 - 12,444,452 243,364,761 5.39

2005 243,364,761 -6,000,000 5,315,970 242,680,731 2.25

2006 242,680,731 -75,750,000 8,564,400 175,495,131 4.53

2007 175,495,131 -4,000,000 10,950,926 182,446,057 6.34

2008 182,446,057 -28,500,000 3,457,994 157,404,051 2.06

2009 157,404,051 -54,809,128 19,325,771 121,920,694 13.52

2010 121,920,694 -20,000,000 8,949,711 110,870,405 7.34

2011 110,870,405 -11,500,000 9,545,680 108,916,084 8.73

2012 108,916,084 -12,500,000 5,837,985 102,254,069 5.54

To 03/2013 102,254,069 - 292,116 102,546,185 0.29

63,129,963 -274,898,198 314,314,420 102,546,185 300.80




131

Manager Profile



Gain / Loss Summary


Style: Core Fixed Income

Benchmark: Barclays Capital Aggregate

Peer Group: US Broad Market Core Plus Fixed Income (SA &CF)


1Quarter

YearTo

Date

1Year

Schroder Core Fixed Income



Fees/Expenses -43,237 -43,237 -173,970

Income 1,100,121 1,100,121 4,960,035

Gain/Loss -717,122 -717,122 2,079,750


March 31, 2013 : $108,163,269


($)Allocation

(%)


¢£ Cash -1,072,722 -0.99Schroder Core Fixed Income Barclays U.S. Aggregate

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

9.62

-1.00

-1.75

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

-0.12 -0.12

3.77

5.52 5.47

4.21

7.84

6.54

0.36 0.36

6.60

7.02 7.13

7.737.94

7.22


Schroder Core Fixed IncomeMarch 31, 2013


132

Peer Group Analysis - IM U.S. Broad Market Core + Fixed Income (SA+CF)

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Schroder Core Fixed Income 0.36 (53) 0.36 (53) 6.60 (44) 7.02 (63) 7.13 (54) 7.11 (41) 6.19 (49)

Å Barclays U.S. Aggregate -0.12 (99) -0.12 (99) 3.77 (100) 5.52 (97) 5.47 (98) 5.94 (94) 5.03 (96)

5th Percentile 1.77 1.77 10.41 9.43 9.85 8.87 8.74

1st Quartile 0.72 0.72 7.53 7.94 8.05 7.53 6.84

Median 0.37 0.37 6.43 7.24 7.26 6.86 6.13

3rd Quartile 0.21 0.21 5.57 6.67 6.57 6.44 5.79

95th Percentile -0.05 -0.05 4.59 5.86 5.72 5.67 5.28




133

Peer Group Analysis - IM U.S. Broad Market Core + Fixed Income (SA+CF)

-30.0

-25.0

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

49.5

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Schroder Core Fixed Income 7.73 (57) 7.94 (30) 7.22 (92) 8.75 (91) 5.87 (8) 7.00 (24) 4.49 (86)

Å Barclays U.S. Aggregate 4.21 (99) 7.84 (34) 6.54 (98) 5.93 (100) 5.24 (10) 6.97 (25) 4.34 (95)

5th Percentile 12.59 8.93 13.25 32.35 6.56 7.84 7.98

1st Quartile 9.65 8.05 10.23 20.42 3.02 6.94 5.68

Median 7.94 7.46 8.97 14.90 -2.39 6.15 5.09

3rd Quartile 6.61 6.56 7.95 11.32 -8.22 5.26 4.69

95th Percentile 5.30 3.53 6.88 7.99 -16.78 2.65 4.32




134



Schroder Core Fixed Income Barclays U.S. Aggregate

$80

$90

$100

$110

$120

$130

$140

$150

$158

3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

$130

$141

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Re

turn

(%

)



¢£ Schroder Core Fixed Income 7.13 3.36

Å� Barclays U.S. Aggregate 5.47 3.50

¾ Median 7.26 4.52

Up Market Capture

0.0

50.0

100.0

150.0

Up

Mk

t C

ap

Ra

tio (

%)

3

Years

5

Years

Time Periods

117.4 111.2

Down Market Capture

0.0

40.0

80.0

100.0

Do

wn

Mk

t C

ap

Ra

tio

(%

)

3

Years

5

Years

Time Periods

76.868.2

Schroder Core Fixed Income

0.0% 10.0% 20.0% 30.0% 40.0% 50.0%

BC US Credit Index

BC 1-3yr Gov/Credit

BC U.S. Government





135



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/1994 192,334,216 154,056 194,135 192,682,407 0.07

1995 192,682,407 -24,470,407 34,078,577 202,290,577 18.69

1996 202,290,577 -4,687,625 6,127,846 203,730,798 3.11

1997 203,730,798 -11,740,000 18,858,080 210,848,878 9.62

1998 210,848,878 -10,500,000 16,737,554 217,086,432 8.25

1999 217,086,432 70,000,000 1,014,192 288,100,624 0.21

2000 288,100,624 - 32,794,607 320,895,231 11.38

2001 320,895,231 -64,400,000 26,508,986 283,004,217 8.98

2002 283,004,217 - 29,628,480 312,632,697 10.47

2003 312,632,697 -31,500,000 16,333,548 297,466,245 5.69

2004 297,466,245 -57,000,000 13,687,912 254,154,157 5.08

2005 254,154,157 -7,500,000 8,472,175 255,126,332 3.42

2006 255,126,332 -86,750,000 8,426,821 176,803,153 4.49

2007 176,803,153 -4,000,000 12,168,718 184,971,871 7.00

2008 184,971,871 -33,000,000 9,518,752 161,490,623 5.87

2009 161,490,623 -51,500,000 12,558,521 122,549,144 8.75

2010 122,549,144 -23,000,000 8,917,303 108,466,447 7.22

2011 108,466,447 -4,500,000 8,555,207 112,521,654 7.94

2012 112,521,654 -13,000,004 8,258,620 107,780,271 7.73

To 03/2013 107,780,271 - 382,999 108,163,269 0.36

192,334,216 -357,393,980 273,223,033 108,163,269 261.24




136

Manager Profile



Gain / Loss Summary


Style: Distressed Fixed Income

Benchmark: Barclays Capital Aggregate + 300 bps

Peer Group: US High Yield Bonds (SA & CF)


1Quarter

YearTo

Date

1Year

Schroder Distressed Debt


Net Contributions -708,053 -708,053 -1,591,543

Fees/Expenses -41,947 -41,947 -158,457

Income 552,814 552,814 2,172,063

Gain/Loss 1,181,940 1,181,940 5,394,378


March 31, 2013 : $41,954,299


($)Allocation

(%)


¢£ Cash 3,223,450 7.68Schroder Distressed Debt Barclays Capital Aggregate + 3%

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

32.61

-3.00

-6.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

0.62 0.62

6.897.34

11.08

4.29 4.29

21.58

26.33

-1.05


Schroder Distressed DebtMarch 31, 2013


137

Peer Group Analysis - IM U.S. High Yield Bonds (SA+CF)

-6.0

-4.0

-2.0

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

26.0

28.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Schroder Distressed Debt 4.29 (7) 4.29 (7) 21.58 (1) N/A N/A N/A N/A

Å Barclays Capital Aggregate + 3% 0.62 (100) 0.62 (100) 6.89 (97) N/A N/A N/A N/A

5th Percentile 4.36 4.36 16.82 14.65 13.05 10.79 12.47

1st Quartile 3.36 3.36 13.89 11.81 11.63 9.63 10.68

Median 2.93 2.93 12.67 11.29 10.89 9.06 9.84

3rd Quartile 2.43 2.43 11.13 10.55 9.77 8.30 9.22

95th Percentile 1.68 1.68 7.85 8.08 7.75 6.62 7.93




138

Peer Group Analysis - IM U.S. High Yield Bonds (SA+CF)

-70.0

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

110.0

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Schroder Distressed Debt 26.33 (1) -1.05 (95) N/A N/A N/A N/A N/A

Å Barclays Capital Aggregate + 3% 7.34 (99) 11.08 (2) N/A N/A N/A N/A N/A

5th Percentile 21.50 8.94 25.76 73.94 -12.81 6.98 18.27

1st Quartile 16.56 6.60 16.65 52.20 -18.16 4.23 11.92

Median 15.27 5.47 14.99 45.09 -20.82 3.54 10.52

3rd Quartile 13.80 3.66 13.72 37.93 -24.78 2.63 9.28

95th Percentile 9.48 -1.55 11.43 27.40 -35.23 -1.54 7.54




139



Schroder Distressed Debt Barclays Capital Aggregate + 3%

$90

$100

$110

$120

$130

$140

12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13

$120

$130

6.60

7.70

8.80

9.90

11.00

12.10

13.20

14.18

Re

turn

(%

)



¢£ Schroder Distressed Debt 12.51 5.79

Å� Barclays Capital Aggregate + 3% 8.43 2.19

¾ Median 10.38 6.23

No data found.

Schroder Distressed Debt

0.0% 30.0% 60.0% 90.0% 120.0%

BC US Credit Index

BC 1-3yr Gov/Credit

BC U.S. Government





140



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

2011 40,754,902 -7,000,000 -405,995 33,348,907 -1.05

2012 33,348,907 -1,000,000 8,620,637 40,969,544 26.33

To 03/2013 40,969,544 -750,000 1,734,755 41,954,299 4.29

40,754,902 -8,750,000 9,949,397 41,954,299 30.36




141

Manager Profile



Gain / Loss Summary


Style: Global Fixed Income

Benchmark: Barclays Capital Global Aggregate

Peer Group: Global Fixed Income (SA & CF)

Inception Date: September 1, 2009

1Quarter

YearTo

Date

1Year

Mondrian



Fees/Expenses -100,471 -100,471 -406,786

Income 865,384 865,384 3,666,404

Gain/Loss -4,447,780 -4,447,780 -3,448,215


March 31, 2013 : $112,324,691


($)Allocation

(%)

¢£ Global Fixed Income 110,344,588 98.24

¢£ Cash 1,980,103 1.76Mondrian Barclays Global Aggregate

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

-1.00

-2.00

-3.00

-4.00

-5.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

-2.10 -2.10

1.25

4.52

3.66

4.32

5.64 5.54

-3.09 -3.09

0.19

4.11

5.50

3.38

8.05


MondrianMarch 31, 2013


142

Peer Group Analysis - IM Global Fixed Income (SA+CF)

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

7Years

10Years

¢ Mondrian -3.09 (95) -3.09 (95) 0.19 (92) 4.11 (90) N/A N/A N/A

Å Barclays Global Aggregate -2.10 (79) -2.10 (79) 1.25 (85) 4.52 (83) 3.66 (84) 5.87 (79) 5.47 (82)

5th Percentile 2.90 2.90 14.43 11.44 11.33 10.35 12.18

1st Quartile 1.21 1.21 10.35 9.07 8.16 7.90 8.77

Median -0.10 -0.10 6.09 6.19 5.29 6.85 6.43

3rd Quartile -1.90 -1.90 2.10 4.79 4.03 6.02 5.71

95th Percentile -3.10 -3.10 -0.70 3.53 2.93 4.51 4.16




143

Peer Group Analysis - IM Global Fixed Income (SA+CF)

-60.0

-50.0

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

96.1

Re

turn

2012 2011 2010 2009 2008 2007 2006

¢ Mondrian 5.50 (73) 3.38 (73) 8.05 (48) N/A N/A N/A N/A

Å Barclays Global Aggregate 4.32 (82) 5.64 (42) 5.54 (83) 6.93 (76) 4.79 (31) 9.48 (43) 6.64 (48)

5th Percentile 20.47 11.23 17.30 63.38 12.52 12.74 17.78

1st Quartile 14.62 7.20 12.62 26.07 6.17 10.79 8.96

Median 7.97 5.27 7.81 12.72 0.27 8.79 6.47

3rd Quartile 5.14 2.63 5.86 7.05 -11.13 5.50 4.93

95th Percentile 1.28 -3.06 3.12 2.41 -30.24 1.07 2.47




144



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 09/2009 40,170,166 59,000,000 977,916 100,148,082 1.88

2010 100,148,082 - 8,066,101 108,214,184 8.05

2011 108,214,184 -2,000,000 3,653,731 109,867,915 3.38

2012 109,867,915 - 6,039,171 115,907,086 5.50

To 03/2013 115,907,086 - -3,582,395 112,324,691 -3.09

40,170,166 57,000,000 15,154,525 112,324,691 16.35




145

Manager Profile



Gain / Loss Summary


Style: REIT

Benchmark: NCREIF ODCE (ew)

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Principal


Net Contributions - - -

Fees/Expenses - - -

Income - - -

Gain/Loss 1,069,917 1,069,917 4,122,130


March 31, 2013 : $38,042,685


($)Allocation

(%)

¢£ Real Estate 38,042,685 100.00Principal NCREIF ODCE Equal Weighted

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

-2.00

-4.00

-5.41

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

2.57 2.57

10.76

15.05

-1.23

11.03

15.96 16.14

2.89 2.89

12.15

15.49

-1.67

11.69

15.5716.14


PrincipalMarch 31, 2013


146



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 04/2006 46,027,487 - 5,464,133 51,491,620 12.65

2007 51,491,620 -6,500,000 6,850,001 51,841,621 14.44

2008 51,841,621 -2,500,000 -6,426,523 42,915,098 -12.15

2009 42,915,098 - -13,496,329 29,418,769 -31.45

2010 29,418,769 -5,000,001 4,224,209 28,642,977 16.14

2011 28,642,977 - 4,459,509 33,102,486 15.57

2012 33,102,486 - 3,870,282 36,972,767 11.69

To 03/2013 36,972,767 - 1,069,917 38,042,685 2.89

46,027,487 -14,000,001 6,015,199 38,042,685 19.76


PrincipalMarch 31, 2013


147

Manager Profile



Gain / Loss Summary


Style: REIT


Peer Group: N/A


1Quarter

YearTo

Date

1Year

Prudential PRISA


Net Contributions -254,347 -254,347 -1,169,090

Fees/Expenses -80,943 -80,943 -331,083

Income - - -

Gain/Loss 1,181,632 1,181,632 3,321,846


March 31, 2013 : $36,760,894


($)Allocation

(%)

¢£ Real Estate 36,760,894 100.00Prudential PRISA NCREIF ODCE Equal Weighted

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

24.00

-2.00

-4.00

-6.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

2.57 2.57

10.76

15.05

-1.23

11.03

15.96 16.14

3.29 3.29

9.68

16.98

-1.91

9.67

19.0818.42


Prudential PRISAMarch 31, 2013

Quarterly periodicity used in reports.

148



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2006 45,000,000 - 1,617,858 46,617,858 3.81

2007 46,617,858 -423,593 8,143,684 54,337,949 17.78

2008 54,337,949 -7,214,289 -6,032,783 41,090,877 -12.97

2009 41,090,877 -918,920 -13,921,424 26,250,533 -34.24

2010 26,250,533 -1,107,946 4,773,771 29,916,358 18.42

2011 29,916,358 -1,399,374 5,621,431 34,138,415 19.08

2012 34,138,415 -1,483,438 3,259,575 35,914,552 9.67

To 03/2013 35,914,552 -335,290 1,181,632 36,760,894 3.29

45,000,000 -12,882,850 4,643,744 36,760,894 11.76


Prudential PRISAMarch 31, 2013


149

Manager Profile



Gain / Loss Summary


Style: Real Estate


Peer Group: N/A


1Quarter

YearTo

Date

1Year

Morgan Stanley Prime Property Fund



Fees/Expenses -105,160 -105,160 -392,467

Income - - -

Gain/Loss 763,551 763,551 3,215,664


March 31, 2013 : $31,002,651


($)Allocation

(%)

¢£ Real Estate 31,002,651 100.00Morgan Stanley Prime Property Fund NCREIF ODCE Equal Weighted

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

-2.00

-4.00

-4.88

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2012 2011 2010

2.57 2.57

10.76

15.05

-1.23

11.03

15.96 16.14

2.53 2.53

11.57 11.68


Morgan Stanley Prime Property FundMarch 31, 2013


150



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 07/2011 25,000,000 - 2,077,124 27,077,124 8.31

2012 27,077,124 - 3,161,976 30,239,100 11.68

To 03/2013 30,239,100 - 763,551 31,002,651 2.53

25,000,000 - 6,002,651 31,002,651 24.01


Morgan Stanley Prime Property FundMarch 31, 2013


151

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

Jul-2012To

Dec-2012

1Year

3Years

5Years

SinceInception

InceptionDate

Private Equity Composite 79,501,480 100.00 3.10 8.31 4.21 8.31 11.15 3.81 3.90 04/01/2007

Value Add Real Estate Composite 21,239,648 26.72 -2.75 14.48 7.35 14.48 N/A N/A 18.55 10/01/2010

NPI + 2% 2.54 10.55 4.94 10.55 12.63 2.13 13.19

Difference -5.29 3.93 2.41 3.93 N/A N/A 5.36

Hamilton Lane Fund VIII 917,248 1.15 N/A N/A N/A N/A N/A N/A N/A 01/01/2013

Hamilton Lane Fund VI 21,293,119 26.78 4.57 6.98 3.81 6.98 12.34 6.08 5.53 04/01/2007

S&P 500 + 4% 0.60 20.64 8.05 20.64 15.31 5.73 6.37

Difference 3.97 -13.66 -4.24 -13.66 -2.97 0.35 -0.84

Pantheon VII 23,304,136 29.31 2.48 11.05 5.05 11.05 11.37 2.71 1.65 10/01/2006

S&P 500 + 4% 0.60 20.64 8.05 20.64 15.31 5.73 7.39

Difference 1.88 -9.59 -3.00 -9.59 -3.94 -3.02 -5.74

Pantheon Asia 11,487,723 14.45 -0.36 2.12 -0.27 2.12 9.83 N/A 4.94 07/01/2008

MSCI AC Pacific (net) + 4% 7.21 21.07 13.83 21.07 9.61 N/A 5.27

Difference -7.57 -18.95 -14.10 -18.95 0.22 N/A -0.33

Pantheon Europe 8,091,151 10.18 3.90 12.56 8.66 12.56 6.93 N/A 2.10 10/01/2008

MSCI Europe (net) + 4% 8.07 23.89 18.63 23.89 7.38 -0.52 7.57

Difference -4.17 -11.33 -9.97 -11.33 -0.45 N/A -5.47

Easterly Partners US Gov't Properties Income and Growth Fund 13,616,847 17.13 -6.16 12.27 6.42 12.27 N/A N/A 12.38 10/01/2010

NPI + 2% 3.05 12.76 5.99 12.76 N/A N/A 15.45

Difference -9.21 -0.49 0.43 -0.49 N/A N/A -3.07

Landmark Real Estate Partners VI 7,622,801 9.59 3.93 18.05 8.95 18.05 N/A N/A 11.92 01/01/2011

NPI + 2% 3.05 12.76 5.99 12.76 N/A N/A 14.63

Difference 0.88 5.29 2.96 5.29 N/A N/A -2.71

FLAG Energy & Resources II 10,552,715 13.27 0.39 -9.21 2.00 -9.21 N/A N/A -10.45 07/01/2011

CPI + 3% 0.70 4.81 2.47 4.81 N/A N/A 4.84

Difference -0.31 -14.02 -0.47 -14.02 N/A N/A -15.29

Summit Partners Credit Fund 14,408,103 18.12 2.66 N/A N/A N/A N/A N/A 2.66 10/01/2012

S&P 500 + 3% 0.36 19.48 7.53 19.48 14.20 4.71 0.36

Difference 2.30 N/A N/A N/A N/A N/A 2.30


As of December 31, 2012

153

Allocation

MarketValue

($)%

Performance(%)

2011 2010 2009 2008 2007 2006 2005

Private Equity Composite 79,501,480 100.00 8.04 17.34 10.62 -20.63 N/A N/A N/A

Value Add Real Estate Composite 21,239,648 26.72 12.92 N/A N/A N/A N/A N/A N/A

NPI + 2% 14.26 13.11 -16.86 -6.46 15.84 16.59 20.06


Hamilton Lane Fund VIII 917,248 1.15 N/A N/A N/A N/A N/A N/A N/A

Hamilton Lane Fund VI 21,293,119 26.78 11.18 19.19 15.94 -18.29 N/A N/A N/A

S&P 500 + 4% 6.20 19.67 31.52 -34.48 9.71 N/A N/A

Difference 4.98 -0.48 -15.58 16.19 N/A N/A N/A

Pantheon VII 23,304,136 29.31 11.87 11.21 1.71 -18.66 3.99 N/A N/A

S&P 500 + 4% 6.20 19.67 31.52 -34.48 9.71 N/A N/A

Difference 5.67 -8.46 -29.81 15.82 -5.72 N/A N/A

Pantheon Asia 11,487,723 14.45 1.21 28.17 23.19 N/A N/A N/A N/A

MSCI AC Pacific (net) + 4% -10.47 21.50 40.90 N/A N/A N/A N/A

Difference 11.68 6.67 -17.71 N/A N/A N/A N/A

Pantheon Europe 8,091,151 10.18 0.52 8.05 -3.52 N/A N/A N/A N/A

MSCI Europe (net) + 4% -7.50 8.03 41.26 -44.28 18.42 39.07 13.79

Difference 8.02 0.02 -44.78 N/A N/A N/A N/A

Easterly Partners US Gov't Properties Income and Growth Fund 13,616,847 17.13 15.15 N/A N/A N/A N/A N/A N/A

NPI + 2% 16.54 N/A N/A N/A N/A N/A N/A


Landmark Real Estate Partners VI 7,622,801 9.59 6.12 N/A N/A N/A N/A N/A N/A

NPI + 2% 16.54 N/A N/A N/A N/A N/A N/A


FLAG Energy & Resources II 10,552,715 13.27 N/A N/A N/A N/A N/A N/A N/A

CPI + 3% N/A N/A N/A N/A N/A N/A N/A

Difference N/A N/A N/A N/A N/A N/A N/A



154



Allocation

MarketValue

($)%

Performance(%)

2011 2010 2009 2008 2007 2006 2005

Summit Partners Credit Fund 14,408,103 18.12 N/A N/A N/A N/A N/A N/A N/A

S&P 500 + 3% 5.17 18.52 30.26 -35.11 8.66 19.27 8.06

Difference N/A N/A N/A N/A N/A N/A N/A

155

Manager Profile



Gain / Loss Summary


Style: Private Equity

Benchmark: S&P 500 + 4%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Hamilton Lane Fund VI


Net Contributions 180,133 -780,557 -780,557

Fees/Expenses - - -

Income - - -

Gain/Loss 938,536 1,422,081 1,422,081


December 31, 2012 : $21,293,119


($)Allocation

(%)

¢£ Private Equity 21,293,119 100.00Hamilton Lane Fund VI S&P 500 + 4%

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

33.00

36.00

38.40

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

0.60

20.64 20.64

15.31

5.736.20

19.67

31.52

4.57

6.98 6.98

12.34

6.08

11.18

19.19

15.94


Hamilton Lane Fund VIDecember 31, 2012


156



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 04/2007 1,157,530 2,100,000 42,669 3,300,199 1.46

2008 3,300,199 7,200,000 -1,987,755 8,512,444 -18.29

2009 8,512,444 3,174,428 1,675,928 13,362,800 15.94

2010 13,362,800 2,427,014 2,771,596 18,561,410 19.19

2011 18,561,410 53,711 2,036,474 20,651,595 11.18

2012 20,651,595 -780,557 1,422,081 21,293,119 6.98

1,157,530 14,174,596 5,960,993 21,293,119 36.26


Hamilton Lane Fund VIDecember 31, 2012


157

Fund Information

Type of Fund: Fund Of Funds Vintage Year: 2006

Strategy Type: Industry Focused Management Fee: 1% of commitments

Size of Fund: $494,075,759 Preferred Return: 9.73%

Inception: 12/08/2006 General Partner: Hamilton Lane GP VI LLC

Final Close: 11/30/2007

Investment Strategy: • Primary Partnership Investments – placing capital with newly-formed partnerships focused on investing in underlying portfoliocompanies;• Co-investments – placing capital directly in portfolio companies alongside a sponsoring fund manager• Secondary Transactions – placing capital in newly-formed partnerships designed to purchase interests in funds from existing investors

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$10,000,000.0

$20,000,000.0

$30,000,000.0

$36,450,000.0

($9,450,000.0)

1/07 10/07 7/08 4/09 1/10 10/10 7/11 4/12 4/13

Cash Flow Summary

Capital Committed: $30,000,000

Capital Invested: $26,625,000

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $26,625,000

Remaining Capital Commitment: $5,358,223

Total Distributions: $12,349,635

Market Value: $19,893,887

Inception Date: 01/04/2007

Inception IRR: 6.82

TVPI: 1.21

Louisiana School Employees' RetirementHamilton Lane Fund VI

0 Month Rolling Periods From February 1, 2007 To March 31, 2013

158

Manager Profile



Gain / Loss Summary




Peer Group: N/A


1Quarter

YearTo

Date

1Year

Pantheon VII


Net Contributions 150,000 1,050,000 1,050,000

Fees/Expenses - - -

Income - - -

Gain/Loss 558,742 2,285,946 2,285,946


December 31, 2012 : $23,304,136


($)Allocation

(%)

¢£ Private Equity 23,304,136 100.00Pantheon VII S&P 500 + 4%

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

33.00

36.00

38.40

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

0.60

20.64 20.64

15.31

5.736.20

19.67

31.52

2.48

11.05 11.05 11.37

2.71

11.8711.21

1.71


Pantheon VIIDecember 31, 2012


159



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2006 226,392 300,000 -35,715 490,677 -6.78

2007 490,677 3,300,000 108,786 3,899,463 3.99

2008 3,899,463 4,650,000 -1,333,583 7,215,880 -18.66

2009 7,215,880 1,500,000 208,109 8,923,989 1.71

2010 8,923,989 4,200,000 1,331,355 14,455,344 11.21

2011 14,455,344 3,600,000 1,912,846 19,968,190 11.87

2012 19,968,190 1,050,000 2,285,946 23,304,136 11.05

226,392 18,600,000 4,477,744 23,304,136 10.80


Pantheon VIIDecember 31, 2012


160

Fund Information


Strategy Type: Buyouts Management Fee: 0.75% Scaled in Over Three Years

Size of Fund: $2,254,800,000 Preferred Return: 10%

Inception: 04/28/2006 Final Close: 06/29/2007

Investment Strategy: The strategy is to create a portfolio of high quality private equity funds, operating across the United States and diversified by stage, sector,manager and vintage year. The programme will mainly consist of primary commitments to buyout, venture and special situation funds and(subject to availability) some secondary interests.

Cash Flow Analysis


$0.0

$6,000,000.0

$12,000,000.0

$18,000,000.0

$24,000,000.0

$30,000,000.0

($6,000,000.0)

9/06 6/07 3/08 12/08 9/09 6/10 3/11 12/11 9/12 3/13

Cash Flow Summary



Management Fees: -

Expenses: -

Interest: -






Inception IRR: 5.75

TVPI: 1.21

Louisiana School Employees' RetirementPantheon VII

0 Month Rolling Periods From November 1, 2006 To March 31, 2013

161

Manager Profile



Gain / Loss Summary



Benchmark: MSCI AC Pacific (net) + 4%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Pantheon Asia



Fees/Expenses - - -

Income - - -

Gain/Loss -41,942 217,601 217,601


December 31, 2012 : $11,487,723


($)Allocation

(%)

¢£ Private Equity 11,487,723 100.00Pantheon Asia MSCI AC Pacific (net) + 4%

0.00

5.00

10.00

15.00

20.00

25.00

30.00

35.00

40.00

45.00

50.00

-5.00

-10.00

-15.00

-20.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

7.21

21.07 21.07

9.61

-10.47

21.50

40.90

-0.36

2.12 2.12

9.83

1.21

28.17

23.19


Pantheon AsiaDecember 31, 2012


162



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 07/2008 1,411,160 750,000 -487,678 1,673,482 -23.87

2009 1,673,482 2,700,000 929,543 5,303,025 23.19

2010 5,303,025 2,100,000 1,768,743 9,171,768 28.17

2011 9,171,768 1,275,000 73,354 10,520,122 1.21

2012 10,520,122 750,000 217,601 11,487,723 2.12

1,411,160 7,575,000 2,501,563 11,487,723 24.24


Pantheon AsiaDecember 31, 2012


163

Fund Information



Size of Fund: $808,000,000 Preferred Return: 10%


Investment Strategy: The strategy is to create a portfolio of high quality private equity funds operating across Asia (including Australia and New Zealand)diversified bymanager, geographic region, fund stage, vintage year and industry sector.The programme will mainly consist of primary commitments to buyout, growth capital, venture capital and special situations funds and(subject to availability) some secondary interests or co-investments.

Cash Flow Analysis


$0.0

$3,000,000.0

$6,000,000.0

$9,000,000.0

$12,000,000.0

$15,000,000.0

($3,000,000.0)

6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 3/13

Cash Flow Summary



Management Fees: -

Expenses: -

Interest: -






Inception IRR: 6.83

TVPI: 1.22

Louisiana School Employees' RetirementPantheon Asia

0 Month Rolling Periods From August 1, 2008 To March 31, 2013

164

Manager Profile



Gain / Loss Summary



Benchmark: MSCI Europe (net) + 4%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Pantheon Europe



Fees/Expenses - - -

Income - - -

Gain/Loss 304,033 868,994 868,994


December 31, 2012 : $8,091,151


($)Allocation

(%)

¢£ Private Equity 8,091,151 100.00Pantheon Europe MSCI Europe (net) + 4%

0.00

5.00

10.00

15.00

20.00

25.00

30.00

35.00

40.00

45.00

50.00

-5.00

-10.00

-15.00

-17.40

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

8.07

23.89 23.89

7.38

-0.52

-7.50

8.03

41.26

3.90

12.56 12.56

6.93

0.52

8.05

-3.52


Pantheon EuropeDecember 31, 2012


165



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2008 702,325 1,438,440 -158,318 1,982,447 -7.40

2009 1,982,447 738,773 -38,046 2,683,174 -3.52

2010 2,683,174 2,334,190 477,229 5,494,593 8.05

2011 5,494,593 969,600 6,680 6,470,873 0.52

2012 6,470,873 751,284 868,994 8,091,151 12.56

702,325 6,232,287 1,156,539 8,091,151 9.23


Pantheon EuropeDecember 31, 2012


166

Fund Information



Size of Fund: 1,075,900,000 Preferred Return: 10%


Investment Strategy: Pantheon’s investment strategy is designed to generate superior risk adjusted investment returns by creating a balanced and diversifiedportfolio of high-quality private equity funds. Asset allocation, diversification andmanager selection are critical factors in constructing superior, risk-weighted private equity portfolios.

* All values are stated in Euros.

Cash Flow Analysis


0.0

2,000,000.0

4,000,000.0

6,000,000.0

8,000,000.0

10,000,000.0

12,000,000.0

-2,000,000.0

-3,150,000.0

9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13

Cash Flow Summary

Capital Committed: 10,000,000

Capital Invested: 7,098,652

Management Fees: -

Expenses: -

Interest: -

Total Contributions: 7,098,652

Remaining Capital Commitment: 2,901,348

Total Distributions: -

Market Value: 8,221,191


Inception IRR: 5.25

TVPI: 1.16

Louisiana School Employees' RetirementPantheon Europe


167

Manager Profile



Gain / Loss Summary


Style: Private Real Estate

Benchmark: NCREIF Property Index + 2%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Easterly Partners US Gov't Properties Income and Growth Fund


Net Contributions -261,252 2,252,291 2,252,291

Fees/Expenses -56,250 -168,750 -168,750

Income - - -

Gain/Loss -897,093 1,568,380 1,568,380


December 31, 2012 : $13,616,847


($)Allocation

(%)

¢£ Real Estate 13,616,847 100.00

Easterly Partners US Gov't Properties Income and Growth Fund

NPI + 2%

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

21.63

-2.00

-4.00

-6.00

-8.00

-10.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

3.05

12.76 12.76

16.54

-6.16

12.27 12.27

15.15


Easterly Partners US Gov't Properties Income and Growth FundDecember 31, 2012


168



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2010 4,759,999 5,103,881 13,756 9,877,636 0.57

2011 9,877,636 -912,187 999,477 9,964,926 15.15

2012 9,964,926 2,252,291 1,399,630 13,616,847 12.27

4,759,999 6,443,985 2,412,863 13,616,847 30.02


Easterly Partners US Gov't Properties Income and Growth FundDecember 31, 2012


169

Fund Information

Type of Fund: Partnership Vintage Year: 2010

Strategy Type: Other Management Fee: 1.5% of Committed Capital

Size of Fund: $125,000,000 Preferred Return: 8%

Inception: 10/05/2010 General Partner: Federal Properties GP, LLC

Number of Funds:

Investment Strategy: The Fund is a real estate investment fund that targets investments in assets leased to the U.S. General Services Administration (“GSA”)and other Federal leases located in the United States to provide current income and potential asset appreciation.

Cash Flow Analysis


$0.0

$6,000,000.0

$12,000,000.0

$18,000,000.0

$24,000,000.0

$30,000,000.0

$35,100,000.0

($6,000,000.0)

($9,100,000.0)

10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12 10/12 1/13 4/13

Cash Flow Summary



Management Fees: $334,563

Expenses: -

Interest: -


Remaining Capital Commitment: -$10,468,864


Market Value: -


Inception IRR: N/A

TVPI: 0.56

Louisiana School Employees' RetirementEasterly Partners US Gov't Properties Income and Growth Fund


170

Manager Profile



Gain / Loss Summary


Style: Private Real Estate

Benchmark: NCREIF Property Index + 2%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

Landmark Real Estate Partners VI


Net Contributions -148,747 -344,649 -344,649

Fees/Expenses - - -

Income - - -

Gain/Loss 292,049 1,203,611 1,203,611


December 31, 2012 : $7,622,801


($)Allocation

(%)

¢£ Private Equity 7,622,801 100.00Landmark Real Estate Partners VI NPI + 2%

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

18.00

20.00

22.00

22.80

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

3.05

12.76 12.76

16.54

3.93

18.05 18.05

6.12


Landmark Real Estate Partners VIDecember 31, 2012


171



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

2011 4,485,744 1,925,152 352,943 6,763,839 6.12

2012 6,763,839 -344,649 1,203,611 7,622,801 18.05

4,485,744 1,580,503 1,556,554 7,622,801 25.27


Landmark Real Estate Partners VIDecember 31, 2012


172

Fund Information

Type of Fund: Secondary Vintage Year: 2010

Strategy Type: Secondaries Management Fee: 1%

Size of Fund: $605,050,505 Preferred Return: 8.0% preferred return

Inception: 12/31/2009 General Partner: Landmark Realty Advisors LLC

Final Close: 3/31/2011

Investment Strategy: Landmark Real Estate Fund VI ("Landmark VI") intends to invest in diversified real estate and real estate related entities via privatesecondary market transactions. The Partnership will seek to create a portfolio that is diversified by strategy, property type, geographiclocation, general partner/sponsoring firm, and vintage year. Landmark will attempt to leverage its brand name and investment expertise toprovide exposure to first tier investments at favorable valuations.

Cash Flow Analysis


$0.0

$2,000,000.0

$4,000,000.0

$6,000,000.0

$8,000,000.0

$10,000,000.0

$12,000,000.0

($2,000,000.0)

($3,150,000.0)

12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13

Cash Flow Summary



Management Fees: -

Expenses: -

Interest: -






Inception IRR: 29.34

TVPI: 1.42

Louisiana School Employees' RetirementLandmark Real Estate Partners VI

0 Month Rolling Periods From February 1, 2011 To March 31, 2013

173

Manager Profile



Gain / Loss Summary



Benchmark: CPI + 3%

Peer Group: N/A


1Quarter

YearTo

Date

1Year

FLAG Energy & Resources II


Net Contributions 1,800,000 4,502,256 4,502,256

Fees/Expenses - - -

Income - - -

Gain/Loss 39,260 -605,684 -605,684


December 31, 2012 : $10,552,715


($)Allocation

(%)

¢£ Private Equity 10,552,715 100.00FLAG Energy & Resources II CPI + 3%

0.00

2.00

4.00

6.00

7.84

-2.00

-4.00

-6.00

-8.00

-10.00

-12.00

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

0.70

4.81 4.81

0.39

-9.21 -9.21


FLAG Energy & Resources IIDecember 31, 2012


174



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 07/2011 4,260,987 2,641,627 -246,471 6,656,143 -6.66

2012 6,656,143 4,502,256 -605,684 10,552,715 -9.21

4,260,987 7,143,883 -852,155 10,552,715 -15.26


FLAG Energy & Resources IIDecember 31, 2012


175

Fund Information

Type of Fund: Partnership Vintage Year: 2010

Strategy Type: Energy & Natural Resources Management Fee: Fee differs on a per annum basis over the fund life. Itwill average no more than 0.60% of committed capitalper anum.

Size of Fund: $133,900,000 Preferred Return: Equal to increase in CPI from date of each contributionto date of its return.

Inception: 01/22/2010 General Partner: FLAG Energy & Resources Company II

Investment Strategy: FLAG Energy & Resources Partners II, L.P. (“FERP II” or the “Fund”) seeks to provide its investors access to a strategically diversifiedgroup of energy, energy infrastructure, and other resources related funds including timber, agriculture and metals/mining based principallyin North America. FERP II invests in natural resources and hard assets funds characterized by experienced sponsors with a specificexpertise in a particular asset type, industry or geography.FLAG intends for the Fund’s underlying assets to be diversified by sub-asset class within the real assets spectrum, including upstream oiland gas, midstream oil and gas, power generation, timberland, mining (metals and minerals), agriculture (farmland), infrastructure andrenewable energy. The Fund also provides geographic exposure on a global basis, primarily targeting managers in North America, aswell as both developed and emerging geographies internationally.

Cash Flow Analysis


$0.0

$3,000,000.0

$6,000,000.0

$9,000,000.0

$12,000,000.0

$15,000,000.0

$18,000,000.0

($3,000,000.0)

($4,900,000.0)

6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13

Cash Flow Summary



Management Fees: -

Expenses: -

Interest: -






Inception IRR: -6.28

TVPI: 0.95

Louisiana School Employees' RetirementFLAG Energy & Resources II

0 Month Rolling Periods From August 1, 2011 To March 31, 2013

176

Manager Profile



Gain / Loss Summary




Peer Group: N/A


1Quarter

YearTo

Date

1Year

Summit Partners Credit Fund

Beginning Market Value 9,314,435 - -

Net Contributions 4,750,000 - -

Fees/Expenses - - -

Income - - -

Gain/Loss 343,668 - -

Ending Market Value 14,408,103 - -

December 31, 2012 : $14,408,103


($)Allocation

(%)

¢£ Private Equity 14,408,103 100.00Summit Partners Credit Fund S&P 500 + 3%

0.00

3.00

6.00

9.00

12.00

15.00

18.00

21.00

24.00

27.00

30.00

33.00

36.00

37.20

Re

turn

(%

)

1

Quarter

Year

To

Date

1

Year

3

Years

5

Years

2011 2010 2009

0.36

19.48 19.48

14.20

4.715.17

18.52

30.26

2.66


Summit Partners Credit FundDecember 31, 2012


177



Market Value($)

NetCash Flow

($)

Gain/Loss($)

EndingMarket Value

($)%Return

From 10/2012 9,314,435 4,750,000 343,668 14,408,103 2.66

9,314,435 4,750,000 343,668 14,408,103 2.66


Summit Partners Credit FundDecember 31, 2012


178


Investment Manager Asset Class Market Value

Estimated

Annual Fee ($)

Annual Fee

(%)

Fee Analysis

RhumbLine Advisers $96,701,695 $48,351 0.05



Analytic Investors, LLC $36,244,530 $213,843 0.59

C.S. McKee $99,084,920 $346,797 0.35


Wasatch Advisors, Inc. $89,684,384 $878,907 0.98

Fisher Investments $90,504,236 $660,681 0.73

Walter Scott & Partners Limited $109,433,819 $547,169 0.50

Thornburg Investment Management, Inc $75,196,619 $466,219 0.62

EARNEST Partners $52,261,009 $365,827 0.70

Pantheon Ventures $23,004,136 $506,091 2.20



Hamilton Lane Advisors $19,893,887 $200,928 1.01

Hamilton Lane Advisors $2,249,248

Perseus Realty Partners, LLC / Easterly Partners $13,339,174 $200,088 1.50

Landmark Partners $8,560,090 $85,601 1.00

179


FLAG Capital Management $10,513,455 $63,081 0.60

Summit Partners $12,526,691

Schroders $41,954,299 $67,127 0.16

Orleans Capital Management $102,546,185 $112,801 0.11

Schroders $108,163,269 $432,653 0.40

Mondrian Investment Partners Limited $112,324,691 $404,369 0.36

Principal Global Investors, LLC $38,042,685 $361,406 0.95

Prudential Real Estate Investors $36,760,894 $477,892 1.30

Morgan Stanley Real Estate Advisor, Inc. $31,002,651 $279,024 0.90

Operating Account $8,849,090

$7,310,161$1,571,723,505 0.47

180


· The Earnest Partners International Equity portfolio was funded in November 2011.

· The Rhumbline 1000 Growth Index Fund, Rhumbline S&P 500 Index Fund, and the Rhumbline Equal Weighted Large Cap Funds were funded in

August 2011.

· The Morgan Stanley Prime Property Fund was funded on June 30, 2011.

· The FLAG Capital Managment private equity account was funded on May 20, 2011.

· The Schroder Distressed Debt account was funded in December 2010 from Commonwealth Advisors' distressed debt account.

· Landmark Real Estate Partners VI and Perseus Realty Partners were funded during the fourth quarter of 2010.

· AXA Rosenberg was terminated on June 28, 2010. $10 million in proceeds were transferred to the Rhumbline mid-cap portfolio and the remaining

proceeds were transferred to the Fund's cash accounts.

· Russell Investments was hired on March 11, 2010 to manage the transition from the terminated Riversource small cap growth equity portfolio.

· The Mondrian Global (un-hedged) fixed income strategy was funded on August 31, 2009 with $20 million in proceeds. Mondrian will be benchmarked

versus the Barclays Capital Global Aggregate (un-hedged) Index.

· Commonwealth Advisors, Inc. was hired as a distressed / opportunistic debt manager on May 11, 2009. Commonwealth will be benchmarked versus the

Barclays Capital Aggregate Index + 300 basis points.

· Orleans Capital Management received approximately $837,000 in proceeds from the Enron litigation on December 31, 2008.

· On September 24, 2008, the System invested $500,000 in the Pantheon Europe VI private equity fund. Through June 30, 2010, the System has

contributed $3.9 million. The Benefit System’s target commitment is $10 million.

· The Fisher small cap value portfolio was funded on August 13, 2008, with $70.5 million in proceeds from the terminated Brandywine portfolio.

· The System had $2.4 million in securities lending losses during the third quarter of 2008.

· On May 20, 2008, the System invested $1.7 million in the Pantheon Asia private equity fund. Through June 30, 2010, the System has contributed $5.95

million. The Benefit System’s target commitment is $15 million.

· The AXA Rosenberg 130/30 equity portfolio funded on November 13, 2007, with $30 million. The Analytic Investors 130/30 equity portfolio funded on

Report Notes

181


November 28, 2007, with $30 million.

· Schroder Investment Management received approximately $52,000 in proceeds from the WorldCom litigation during the first quarter of 2008.

· On July 16, 2007, $50 million was invested in the RhumbLine Mid-Cap 400 Index portfolio. Ark Asset, Northern Trust and C.S. McKee each

contributed $16.7 million to the funding.

· During the first quarter of 2007, the Retirement System funded the Hamilton Lane private equity portfolio with $1.5 million ($0.6 million on 1/8 and

$0.9 million on 1/23). Through June 30, 2010, the System has contributed $14.5 million, and received $1.2 million in distributions. The Benefit

System's targeted commitment is $30 million.

· On October 2, 2006, the Thornburg International Equity portfolio was funded with $50 million. The funding was accomplished by reallocating $20

million from C.S. McKee, $20 million from Walter Scott and $10 million from Brandywine.

· During the third quarter of 2006, the Retirement System funded the Prudential PRISA real estate portfolio with $45.0 million. Orleans and Schroder

each contributed $22.5 million on September 29, 2006.

· The Retirement System funded the Pantheon USA VII private equity investment with $0.3 million on September 28, 2006. Through March 31, 2010, the

System has contributed $10.7 million. The Benefit System’s targeted commitment is $30 million.

· The Growth Composite includes the historical Gobalt and Harbor Capital performance returns, combined with the current large cap growth manager, Ark

Asset.

· The Value Composite includes the historical Loomis, Sayles and Trinity performance returns, combined with the current large cap value manager, C.S.

McKee.

· During the first quarter of 2006, the Board of Trustees approved a broadening of the fixed income investment policy guidelines, permitting the tactical

constrained use of asset class sectors (i.e., non-dollar, emerging market, high yield) not currently represented in the Lehman Brothers Aggregate Index.

· Principal was funded during the first quarter of 2006, with $25 million in cash from Orleans and $20 million in cash from Schroder.

· C.S. McKee replaced Trinity during the first quarter of 2006, transferring assets and cash valued at $157.5 million.

· Evergreen was added to further diversify the fixed income holdings during the second quarter of 2003. A custodial error during the initial transfer from

182


Orleans to Evergreen required an operational adjustment to Evergreen’s July 2003 performance, to accurately reflect Evergreen’s performance for the

period.

· Asset replaced Harbor Capital during the first quarter of 2003, transferring assets and cash valued at $126.3 million.

· Brandywine replaced the Oppenheimer Small Value Fund during the third quarter of 1998, transferring assets and cash valued at $50.4 million.

· Trinity replaced Loomis, Sayles during the second quarter of 1998, transferring assets and cash valued at 162.5 million.

· The performance inception for Orleans Capital is the first quarter of 1992, and Orleans received an additional $204.2 million in assets and cash from the

terminated Alliance Capital portfolio during the second quarter of 1998.

· Segal Advisors has provided investment consulting services to the Louisiana School Employees’ Retirement System since the third quarter of 1996.

183

louisiana school employees' retirement system€¦ · this report presents our updated...

Documents