new england pension consultants oklahoma state pension commission investment performance analysis...

New England Pension ConsultantsNew England Pension Consultants

Oklahoma State Pension Commission Investment Performance Analysis

Quarter Ending 9/30/2001

2New England Pension Consultants

Table of ContentsTable of Contents

> Market Environment

> Asset Allocation / Investment Policy Targets

> Performance Summary

> Performance Detail

1. Teachers

2. PERS

3. Firefighters

4. Police

5. Law Enforcement

6. Judges & Justices

7. Department of Wildlife


DOMESTIC MARKETS INTERNATIONAL MARKETS

Market Environment – Third Quarter 2001Market Environment – Third Quarter 2001

• The defining moment of the third quarter was unquestionably the terrorist attacks on September 11th. Domestic equity markets began the third quarter on a strong note, but were marred by continued concerns of economic weakness and lackluster market performance.

• The S&P 500 lost 14.7%, while the Nasdaq Composite suffered its worst decline in the history of the index (30.6%).

• As investors sought safety in traditionally stable companies, value stocks outperformed growth stocks. The Russell 1000 Growth Index returned –19.4%, while the Russell 1000 Value returned –11.0% during the third quarter.

• Small cap stocks were down 20.8% for the quarter. The Russell 2000 Growth Index posted a loss of 28.1%, compared to a loss of 13.3% for the Russell 2000 Value Index.

• Bonds rallied during the third quarter in the face of fears of economic recession, coupled with concerns over declining corporate profits.

• The Lehman Aggregate Index returned 4.6% in the third quarter with Treasuries, Agencies and Mortgages leading the way.

• International equity markets lost ground due to concerns over mixed signals about the global economy prior to the terrorist attacks.

• The MSCI EAFE Index fell 14.0%, despite the world’s central banks adding liquidity to their respective markets and a rally in the final week of the quarter.

• The financials, consumer cyclicals and capital goods sectors led the fall and most countries participated in the drop.

• Despite repeated action by the Bank of Japan to inspire growth, their equity market fell 21.9% in local currency.

• The MSCI Emerging Markets Index returned –21.6% for the quarter. Emerging markets underperformed the developed markets during the third quarter as risk aversion on a global scale drove the market.

• Global bonds returned 7.2% for the quarter as the U.S. dollar’s strength finally began to wane. While European bonds provided the best quarterly returns due to the strong rally in the euro, all countries posted positive returns in U.S. dollars.


Growth versus ValueGrowth versus Value

Equity Fixed Income

-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

S&P 500 Russell 2000 MSCI EAFE LB Aggr LB High

Yield

SB Wld

Govt

Ann

ualize

d Ret

urn

(%)

3Q01 One Year


Key Policy Items Teachers PERS Firefighters Police Law Judges Wildlife

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

Actual 56.2% 51.7% 56.8% 52.0% 52.9% 39.8% 57.1%

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

Large Cap Target 28.0% 38.0% 40.0% 55.0% 30.0% 30.0% - Actual 25.0% 32.4% 31.6% 24.8% 33.0% 25.2% 44.1% Range 23-33 35-41 35-45 - 25-35 27-33 30-50

MidCap Target 13.0% - - - - - - Actual 11.7% 2.9% - 10.6% - 2.6% - Range 8-18 - - - - - -

Small Cap Target 10.0% 9.0% 15.0% 10.0% 20.0% 8.0% - Actual 9.0% 5.1% 12.9% 3.1% 10.7% 4.6% 9.1% Range 5-15 7-11 10-20 - 15-25 6-10 0-10

Int'l Equity Target 13.0% 14.0% 15.0% 10.0% 10.0% 12.0% - Actual 10.5% 11.3% 12.3% 13.5% 9.2% 7.4% 3.9% Range 8-18 12-16 10-20 7-13 5-15 10-14 0-10

TOTAL FIXED INC. Target 35.0% 39.0% 30.0% 10.0% 30.0% 50.0% 50.0% Actual 42.9% 47.9% 38.5% 35.4% 41.9% 59.4% 41.5% Range 30-40 35-43 25-35 5-15 25-35 45-55 45-55

Dom. Fixed Inc. Target 30.0% 39.0% 30.0% 10.0% - 50.0% - Actual 42.9% 47.9% 38.5% 31.1% 41.9% 59.4% 41.5% Range 25-35 35-43 25-35 5-15 19-35 45-55 -

Int'l Fixed Inc. Target 5.0% - - - - - - Actual - - - 4.3% - - - Range 0-10 - - - 0-6 - -

Real Estate Target - - - - 10.0% - - Actual - - - 0.2% 5.3% - 0.1% Range - 0-1 - - 5-15 - 0-10

Alternative Inv. Target - - - 15.0% - - - Actual - - 4.6% 12.4% - - - Range - - - 10-20 - - -

Cash Target 1.0% 0.5% - - - 0.0% - Actual 0.8% 0.6% 0.3% 0.0% 0.0% 0.7% 1.3% Range 0-6 0-5 - - - 0-5 -

Investment Policy Asset Allocation TargetsInvestment Policy Asset Allocation Targets


Relative Size - All FundsRelative Size - All Funds

$5,527

$4,432

$1,182 $1,135

$490$167 $47

$0

$750

$1,500

$2,250

$3,000

$3,750

$4,500

$5,250

$6,000

$6,750

$7,500

Teach

ers 4

2.6%

PERS 34.1%

Firefig

hters 9

.1%

Police

8.7%

Law 3.

8%

Judges 1.3

%

Wild

life 0

.4%

September 30, 2001

(Dollars in 000,000)


Equity CommitmentEquity Commitment

59.7%

63.9%

53.6%56.0%

45.5%

57.2%

56.2%

35%

40%

45%

50%

55%

60%

65%

70%

75%

1996 1997 1998 1999 2000 1Q01 2Q01 3Q01

Teachers PERS Firefighters Police Law Judges Wildlife Median Public Fund

(as of 9/30/01)(as of 9/30/01)


Risk / Return Analysis Risk / Return Analysis

6%

7%

8%

9%

10%

11%

12%

2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

Risk (% Standard Deviation)

An

nu

aliz

ed R

etu

rnTotal Public Funds – Total Return vs. Risk - 5 Years Ending 9/30/01 Total Public Funds – Total Return vs. Risk - 5 Years Ending 9/30/01

S&P 500

LB Aggregate

Teachers

PERS

FirefightersPolice

Law

Judges Wildlife

Value Rank Value Rank Value RankTeachers 9.9 17 11.4 36 0.4 22PERS 7.7 60 11.4 54 0.3 59Firefighters 6.8 75 12.9 10 0.2 78Police 7.2 71 11.5 32 0.2 76Law 7.9 57 10.2 66 0.3 57Judges 9.0 33 10.6 58 0.4 38Wildlife 9.0 32 12.7 11 0.3 46

S&P 500 10.2 16 19.2 2 0.3 47LB Aggregate 8.1 55 3.4 97 0.8 2

Median 8.3 10.8 0.3

Annualized Return Standard Deviation Sharpe Ratio


Composite Performance Composite Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Teachers (8.1) 72 (9.3) 60 (10.7) 59 6.0 34 9.9 17 11.3 27PERS (7.6) 64 (9.8) 68 (12.7) 76 4.1 69 7.7 63 9.9 67Firefighters (9.1) 83 (12.3) 88 (15.8) 92 3.0 82 6.8 75 9.2 76Police (7.2) 56 (10.4) 71 (11.2) 62 4.6 58 7.2 71 9.3 73Law (6.4) 40 (6.4) 28 (6.4) 31 5.5 44 7.9 57 10.5 46Judges (5.6) 27 (7.3) 38 (9.4) 54 5.9 36 9.0 33 11.1 30Wildlife (7.1) 54 (10.3) 70 (13.5) 79 6.1 32 9.0 32 11.7 21

Med Tot Public Fund (6.9) (8.2) (8.7) 4.9 8.3 10.4

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

7 Year3Q01 YTD 5 Year3 Year1 Year

Periods Ending September 30, 2001 Periods Ending September 30, 2001


Composite Performance Composite Performance

%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Teachers (10.7) 59 15.2 19 16.0 35 6.6 31 26.1 20 11.7 64 18.2 72P ERS (12.7) 76 12.8 41 14.6 52 3.2 55 24.4 44 12.1 53 19.5 47Firefighters (15.8) 92 14.5 22 13.4 66 3.2 55 23.1 57 13.1 33 17.7 82P olice (11.2) 62 10.9 65 16.3 32 1.2 78 22.2 69 10.7 79 18.8 62Law (6.4) 31 11.7 55 12.3 73 1.4 76 23.0 60 13.7 22 20.9 23J udges (9.4) 54 13.7 30 15.3 46 3.4 52 25.3 32 12.6 41 20.4 28Wildlife (13.5) 79 18.7 8 16.2 33 1.0 81 27.7 8 15.6 10 21.6 17

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Med Tot P ub Fund

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

Years Ending September 30, 2001Years Ending September 30, 2001


For each Total Fund actual return we report to you, if we have available information, we also construct two hypothetical returns: A Policy Index return and an Allocation Index return.These two hypothetical returns are useful in diagnosing to what factors the total return can be attributed.The Policy Index is merely the return the Fund would have had if the policy target allocation had been strictly adhered to and each asset class investment would have been in an index fund for that class, rather than with an active manager.The Allocation Index is the return the Fund would have had using the actual allocation of the Fund and index returns, as above with the Policy Index.NOTE: These tools are most useful over longer time periods and are not particularly useful over the short run. Looking at the Policy Index for longer term returns gives us a base-line. What part of the Fund’s return can be attributed to being in the right asset classes? For example, the Teachers Fund ( following page) Policy Index “return” of 8.1% for the last five years accounted for the majority of the actual return of 9.9% for that time period. This is not surprising and is as it should be. Policy decisions (what asset classes to be in and to what extent) are the most important decisions a Fund’s Board makes. Turning to the Allocation Index. What information does this add? Remember, that the only difference between it and the Policy Index is that we let the allocation “drift” away from the target to the same extent as actually occurred. Then, the difference in return (in this example 9.7%-8.1%) can be attributed to this allowed drift. In this time period, letting asset classes drift beyond their targets added considerable value.Lastly, we compare actual return to the hypothetical Allocation Index return to see what contribution was made by active management.. Here we see that very little value was added during this time period (9.9%-9.7%). This is not an indictment of the Fund’s managers but a reflection of the type of market that we have just been through, where indexing was a very successful strategy, as was letting one’s winners “run” (asset class drift).

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


Teachers Total Return Teachers Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Teachers (8.1) 72 (9.3) 60 (10.7) 59 6.0 34 9.9 17 11.3 27Allocation Index (7.8) 67 (9.3) 60 (11.1) 61 4.8 53 9.7 19 11.7 22Policy Index (8.7) 77 (10.6) 73 (12.6) 76 5.1 45 8.1 55 N/A




Periods Ending September 30, 2001Periods Ending September 30, 2001

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Teachers (10.7) 59 15.2 19 16.0 35 6.6 31 26.1 20 11.7 64 18.2 72Alloc. Index (11.1) 61 11.3 62 16.5 28 10.1 7 25.4 28 12.6 41 20.8 24P olicy Index (12.6) 76 13.8 28 16.7 27 3.0 60 23.8 50 11.7 62 N/A

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Med Tot P ub Fund




Teachers Total Return vs. RiskTeachers Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001 Total Public Funds 5 Years Ending September 30, 2001


PERS Total Return PERS Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

PERS (7.6) 64 (9.8) 68 (12.7) 76 4.1 69 7.7 63 9.9 67Allocation Index (6.0) 32 (7.9) 45 (9.5) 55Policy Index (8.1) 71 (10.4) 71 (12.6) 76 4.4 65 7.7 64 10.0 67





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

P ERS (12.7) 76 12.8 41 14.6 52 3.2 55 24.4 44 12.1 53 19.5 47Allocation Index (9.5) 55 15.5 42 9.1 10 26.2 18 13.0 33 19.4 48P olicy Index (12.6) 76 11.1 63 17.1 24 2.9 61 23.8 49 12.2 52 19.8 39

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Sep-99

Med Tot P ub Fund

Sep-96 Sep-95Sep-01 Sep-00 Sep-97Sep-98



PERS Total Return vs. RiskPERS Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001 Total Public Funds 5 Years Ending September 30, 2001


Firefighters Total Return Firefighters Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Firefighters (9.1) 83 (12.3) 88 (15.8) 92 3.0 82 6.8 75 9.2 76Allocation Index (8.3) 73 (10.6) 73 (13.6) 81 3.3 80 9.4 24 11.5 23Policy Index (10.0) 89 (12.5) 89 (15.3) 89 3.8 72 7.7 65 N/A --



3Q01 YTD 7 Year3 Year1 Year 5 Year


%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Firefighters (15.8) 92 14.5 22 13.4 66 3.2 55 23.1 57 13.1 33 17.7 82Allocation Index (13.6) 81 10.6 68 15.5 42 10.3 7 28.7 4 13.8 21 20.4 27P olicy Index (15.3) 89 11.9 53 18.1 18 3.0 60 25.5 26 12.9 34 N/A

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Med Tot P ub Fund




Firefighters Total Return vs. RiskFirefighters Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001Total Public Funds 5 Years Ending September 30, 2001


Police Total Return Police Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Police (7.2) 56 (10.4) 71 (11.2) 62 4.6 58 7.2 71 9.3 73Allocation Index (11.1) 93 (13.6) 94 (18.9) 96 1.4 93 6.7 75 9.4 73Policy Index (10.0) 89 (14.4) 95 (17.6) 95 N/A - N/A - N/A -





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

P olice (11.2) 62 10.9 65 16.3 32 1.2 78 22.2 69 10.7 79 18.8 62Alloc. Index (18.9) 96 12.9 39 13.7 61 6.1 33 25.4 30 12.9 34 19.9 38P olicy Index (17.6) 95 10.7 67 N/A - N/A - N/A - N/A - N/A -

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Sep-99

Med Tot P ub Fund




Police Total Return vs. RiskPolice Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001 Total Public Funds 5 Years Ending September 30, 2001


Law Total Return Law Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Law Enforcement (6.4) 40 (6.4) 28 (6.4) 31 5.5 44 7.9 57 10.5 46Allocation Index (6.8) 47 (8.7) 54 (11.6) 62 4.4 63 9.2 28 11.3 28Policy Index (8.7) 77 (9.1) 57 (11.2) 62 5.2 45 N/A - N/A -





%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Law Enforcement (6.4) 31 11.7 55 12.3 73 1.4 76 23.0 60 13.7 22 20.9 23Allocation Index (11.6) 62 10.3 69 16.7 27 8.2 16 25.9 21 13.0 33 20.6 25P olicy Index (11.2) 62 13.0 39 16.1 35 3.3 55 N/A - N/A - N/A -

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Sep-99

Med Tot P ub Fund




Law Total Return vs. RiskLaw Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001Total Public Funds 5 Years Ending September 30, 2001


Judges Total Return Judges Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Judges (5.6) 27 (7.3) 38 (9.4) 54 5.9 36 9.0 33 11.1 30Allocation Index (4.1) 13 (5.8) 23 (7.8) 41Policy Index (5.8) 29 (7.0) 35 (8.1) 44 5.9 36 8.8 36 11.0 33





%

Return%

Rank% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

J udges (9.4) 54 13.7 30 15.3 46 3.4 52 25.3 32 12.6 41 20.4 28Allocation Index (7.8) 41 16.6 28 7.6 21 24.7 41 11.1 72 20.4 28P olicy Index (8.1) 44 10.5 68 17.1 24 3.0 60 24.2 45 12.6 42 20.9 23

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Med Tot P ub Fund




Judges Total Return vs. RiskJudges Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001Total Public Funds 5 Years Ending September 30, 2001


Wildlife Total Return Wildlife Total Return

%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Wildlife (7.1) 54 (10.3) 70 (13.5) 79 6.1 32 9.0 32 11.7 21Allocation Index (7.5) 63 (8.9) 55 (12.4) 75 6.2 32 10.8 7 12.9 4Policy Index (5.3) 22 (6.7) 33 (8.4) 47 4.6 58 9.6 20 N/A -





%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Wildlife (13.5) 79 18.7 8 16.2 33 1.0 81 27.7 8 15.6 10 21.6 17Allocation Index (12.4) 75 14.4 24 19.5 9 9.1 10 27.8 7 15.2 11 21.3 19P olicy Index (8.4) 47 10.4 69 13.1 67 10.9 3 24.4 44 12.5 45 N/A -

(8.7) 12.3 14.8 3.5 23.8 12.2 19.4


Sep-99

Med Tot P ub Fund




Wildlife Total Return vs. RiskWildlife Total Return vs. RiskTotal Public Funds 5 Years Ending September 30, 2001 Total Public Funds 5 Years Ending September 30, 2001


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

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

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

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

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

Size and Style Size and Style


Style Analysis Style Analysis Equity Style Analysis as of September 30, 2001Equity Style Analysis as of September 30, 2001


Teachers Performance Teachers Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Eq Only Composite (16.6) 60 (18.9) 48 (24.8) 51 5.2 54 11.8. 34 14.2 51S&P 500 (14.7) 44 (20.4) 54 (26.6) 57 2.0 79 10.2 54 14.2 50Eq Only Median (15.2) (19.6) (23.9) 5.9 10.5 14.2

Int'l Only Composite (14.1) 42 (22.9) 39 (19.5) 19 6.5 28EAFE (14.0) 38 (26.5) 62 (28.5) 56 (1.1) 84Int'l Only Median (14.8) (24.9) (27.1) 3.3

Fixed Inc Only Comp 4.2 61 7.6 69 12.0 66 6.0 65 7.7 66 7.9 71Lehman Aggregate 4.6 46 8.4 51 13.0 51 6.4 48 8.1 49 8.4 50Fixed Inc Only Med 4.5 8.4 13.0 6.3 8.1 8.4





PERS Performance PERS Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Composite (17.2) 64 (20.6) 58 (27.6) 62 2.5 76 7.7 77 11.4 82S&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52 14.2 46Equity Funds Median (14.9) (18.9) (22.2) 6.4 10.4 14.0

Int'l Composite (15.0) 61 (26.2) 60 (30.1) 63 (1.7) 90 (0.7) 96 2.4 87EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94 1.9 93Int'l Funds Median (14.2) (24.9) (26.5) 3.4 4.6 6.2

Fixed Income Comp 5.0 21 7.9 60 13.1 42 6.1 68 8.8 17 9.1 22Lehman Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49 8.4 52Fixed Inc Fnd Median 4.2 8.3 12.8 6.5 8.1 8.5





Firefighters Performance Firefighters Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Eq Only Composite (16.6) 60 (20.2) 52 (27.9) 62 0.6 88 5.3 88 10.1 90S&P 500 (14.7) 44 (20.4) 54 (26.6) 57 2.0 79 10.2 54 14.2 50Eq Only Median (15.2) (19.6) (23.9) 5.9 10.5 14.2

Int'l Only Composite (14.9) 50 (29.2) 81 (30.9) 62 (0.5) 77 3.3 59EAFE (14.0) 38 (26.5) 62 (28.5) 56 (1.1) 84 (0.1) 87Int'l Only Median (14.8) (24.9) (27.1) 3.3 4.4 5.6






Police Performance Police Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank


Int'l Only Composite (14.1) 42 (26.3) 61 (26.5) 45 3.1 53 3.8 53EAFE (14.0) 38 (26.5) 62 (28.5) 56 (1.1) 84 (0.1) 87Int'l Only Median (14.8) (24.9) (27.1) 3.3 4.4






Law Performance Law Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank


Int'l Only Composite (13.6) 26 (25.1) 52 (25.4) 37 3.7 43 4.7 43 7.6 24EAFE (14.0) 38 (26.5) 62 (28.5) 56 (1.1) 84 (0.1) 87 1.9 91Int'l Only Median (14.8) (24.9) (27.1) 3.3 4.4 5.6






Judges Performance Judges Performance

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Composite (18.9) 70 (22.4) 63 (30.2) 66 1.8 83 7.2 80 11.2 84S&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52 14.2 46Equity Funds Median (14.9) (18.9) (22.2) 6.4 10.4 14.0

Int'l Composite (16.9) 86 (30.8) 89 (33.4) 80 (1.7) 89 0.8 88 3.8 72EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94 1.9 93Int'l Funds Median (14.2) (24.9) (26.5) 3.4 4.6 6.2






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

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Equity Only Comp (13.5) 35 (21.2) 59 (28.3) 63 4.5 59 8.9 71 13.6 60S&P 500 (14.7) 44 (20.4) 54 (26.6) 57 2.0 79 10.2 54 14.2 50Equity Only Median (15.2) (19.6) (23.9) 5.9 10.5 14.2

Int'l Only Composite (20.3) 92 (32.4) 93 (40.9) 94 (2.4) 94 (0.9) 89 1.3 92EAFE (14.0) 38 (26.5) 62 (28.5) 56 (1.1) 84 (0.1) 87 1.9 91Int'l Only Funds Median (14.8) (24.9) (27.1) 3.3 4.4 5.6






Teachers Retirement SystemTeachers Retirement System

0.1%

45.8%

10.5%

42.9%

0.7%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Allocation by Manager Type as of 9/30/01

3.5%

2.0%3.4%

5.2%

0.1%

16.4%

0.7%

4.2% 4.4%

1.9%

8.0%

2.1% 2.8%

12.4%14.1%

0.0%

8.4%

2.6% 2.5% 3.3%

1.9%

0%

5%

10%

15%

20%

25%

30%

Allocation by Manager as of 9/30/01

44.8%

10.1%

41.5%

3.7%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed In

come

Cash

Allocation by Asset Class as of 9/30/01

12/31/2000 $6,124,310

Withdrawals ($33,921)

Investment Return $563,825

9/30/2001 $5,526,564

Change in AssetsYear to Date as of 9/30/01

Assets in ($000)



Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Goldman Sachs (17.9) 67 (24.1) 67 (29.7) 65 4.9 60 13.6 16Hotchkis/Wiley (9.3) 14 1.4 7 10.9 5 5.1 58 10.2 55Aronson Mid Cap (13.2) 36 (10.4) 28 (3.6) 24 8.0 41 N/AKopp (34.0) 97 (48.2) 98 (65.4) 98 21.8 1 N/AShapiro Capital (13.7) 39 (2.9) 14 (0.9) 21 5.3 57 N/ABT S&P 500 (14.6) 46 (20.3) 55 (26.4) 58 2.1 80 N/AMAS Value (20.1) 74 (18.5) 49 (19.0) 44 10.2 27 N/AMAS Growth (27.3) 90 (39.9) 93 (50.1) 90 8.4 39 N/AWellington (13.9) 40 (10.4) 28 (11.6) 34 6.7 47 N/AArtemis (14.4) 44 (12.1) 32 (22.2) 49 N/A N/ATocqueville (14.8) 49 (1.2) 11 (0.3) 20 N/A N/AEquity Composite (16.3) 60 (18.4) 49 (24.1) 52 N/A N/AS&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52


3Q01 YTD 5 Year3 Year1 Year




International Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Brandes (12.9) 18 (20.2) 25 (15.7) 12 11.7 8 14.3 1Bank of Ireland (13.7) 34 (25.3) 53 (25.6) 40 3.4 49 N/ANTGI (3.8) 3 (12.9) 4 N/A N/A N/AEAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Bond Managers

Neuberger 4.3 47 7.5 66 12.0 60 5.9 72 7.4 74Mellon Bond 4.5 39 8.3 48 13.0 44 6.8 34 8.2 42Loomis Sayles 1.8 82 5.4 82 7.6 84 N/A N/APimco 5.7 11 8.7 36 14.4 12 N/A N/ABond Composite 4.2 52 7.6 65 11.9 61 N/A N/ALB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

RankLarge ValueHotchkis/Wiley (9.3) 31 10.9 12 5.1 79 10.2 80Median Large Value Fund (10.3) 0.3 8.0 12.0Large CoreBT S&P 500 (14.6) 63 (26.4) 72 2.1 81 N/AMedian Large Core Fund (13.7) (22.1) 4.5 N/ALarge GrowthGoldman Sachs (17.9) 39 (29.7) 10 4.9 23 13.6 14Median Large Growth Fund (18.9) (40.9) 1.9 9.5Medium ValueAronson Mid Cap (13.2) 81 (3.6) 81 8.0 61 N/AMAS Value (20.1) 99 (19.0) 99 10.2 42 N/AMedian Mid Value Fund (10.3) 2.9 9.8 N/AMedium GrowthMAS Growth (27.3) 72 (50.1) 57 8.4 51 N/AWellington (13.9) 4 (11.6) 1 6.7 63 N/AMedian Mid Growth Fund (23.4) (46.3) 8.6 N/ASmall ValueShapiro Capital (13.7) 63 (0.9) 80 5.3 95 N/ATocqueville (14.8) 67 (0.3) 79 N/A N/AMedian Small Value Fund (12.1) 6.0 11.7 N/ASmall GrowthKopp (34.0) 91 (65.4) 98 21.8 8 N/AArtemis (14.4) 4 (22.2) 19 N/A N/AMedian Small Growth Fund (27.6) (43.9) 10.3 N/A


3Q01 5 Year3 Year1 Year

Equity Managers Ranked Against Their Peer GroupsEquity Managers Ranked Against Their Peer GroupsPeriods Ending September 30, 2001Periods Ending September 30, 2001


PERSPERS

40.2%

11.3%

47.9%

0.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quities

Int'l

Equiti

es

Dom F

ixed In

com

e

Cash


4.5% 5.5%3.4%

0.1%1.6%

14.7%

7.7%

4.2%2.9% 3.5%

0.0%

3.6%

0.2%

10.3%

28.3%

9.1%

0.6% 0.0%0%

5%

10%

15%

20%

25%

30%

35%


12/31/2000 $4,982,415


Investment Return ($486,586)

9/30/2001 $4,432,092


Assets in ($000)

40.1%

11.1%

45.5%

3.4%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Cash




Domestic Equity

% Return

% Ran

k

% Return

% Ran

k

% Return

% Ran

k

% Return

% Ran

k

% Return

% Ran

k

Aeltus (13.3) 37 (20.0) 53 (26.5) 58 N/A N/ATCW (25.5) 86 (35.1) 87 (46.9) 86 3.6 71 10.9 42DFA (16.6) 61 2.2 6 1.6 18 N/A N/ADavid L. Babson (1.9) 3 3.7 4 6.1 12 13.2 15 11.8 32Loomis Sayles (40.1) 98 N/A N/A N/A N/ABGI S&P 500 (14.7) 47 (20.4) 56 (26.6) 58 2.7 75 10.7 44BGI R1000 Value (11.0) 24 (12.1) 32 (8.9) 31 N/A N/AEquity Composite (17.2) 64 (20.6) 58 (27.6) 62 2.5 76 7.7 77S&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

BGI EAFE Index (13.7) 35 (26.1) 60 (28.2) 58 (1.0) 81 0.8 88Cap Guard (15.3) 67 (25.6) 54 (30.9) 66 N/A N/AEAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Int'l Emerging

Cap Guard (10.3) 2 (11.1) 2 (25.5) 22 7.2 12 N/AMSCI Emerging Free (21.6) 38 (22.9) 41 (33.2) 39 1.6 63 (10.2) 95

Bond Managers

Loomis (0.1) 90 5.0 84 7.4 85 5.2 84 N/ABlackrock 5.0 23 8.9 31 13.7 24 N/A N/AHoisington 6.8 1 4.0 86 13.0 45 3.5 93 10.6 3LB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49






Real Estate

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

AEW 6.4 6 25.8 2 25.8 3 6.1 83 9.9 74Russell NCREIF 2.4 18 7.3 25 10.6 25 12.0 28 13.3 35






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

RankLarge Value

BGI R1000 Value (11.0) 60 (8.9) 83 N/A N/AMedian Large Value Fund (10.3) 0.3 N/A N/A

Large Core

Aeltus (13.3) 46 (26.5) 73 N/A N/ABGI S&P 500 Fund (14.7) 66 (26.6) 75 2.7 71 N/AMedian Large Core Fund (13.7) (22.1) 4.5 N/A

Large Growth

TCW (25.5) 84 (46.9) 72 3.6 35 10.9 31Median Large Growth Fund (18.9) (40.9) 1.9 9.5

Small Value

DFA (16.6) 84 1.6 69 N/A N/ADavid L. Babson (1.9) 1 6.1 14 13.2 41 11.8 48Median Small Value Fund (12.1) 6.0 11.7 11.6

Small Growth

Loomis Sayles (40.1) 98 N/A N/A N/AMedian Small Growth Fund (27.6) (43.9) 10.3 4.6





FirefightersFirefighters

7.7%

40.3%

11.2%

36.2%

0.1%

4.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

TAA

Equities

Int'l

Equ

ities

Fixed

Inco

me

Cash

Privat

e Equity


0.7%

6.1%7.7%

3.7%5.1%

9.0%

0.1%

10.0%

5.0% 4.6% 4.2%

10.0%

16.2%13.8%

3.9%

0%

5%

10%

15%

20%

25%

30%


`

12/31/2000 $1,360,980


Investment Return ($166,827)

9/30/2001 $1,181,836


Assets in ($000)

47.3%

11.9%

37.2%

3.5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed In

come

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Oppenheimer (9.5) 15 (7.4) 23 2.4 17 6.0 52 9.1 66Provident (26.6) 89 (41.1) 94 (55.1) 93 (10.5) 99 1.7 96SSgA (14.7) 46 (20.4) 56 (26.6) 58 0.2 89 5.4 87David L. Babson (13.7) 39 (7.6) 23 (4.9) 27 9.3 32 9.7 60Waddell & Reed (22.8) 81 (20.7) 58 (29.5) 65 N/A N/AAmerindo (62.8) 99 (73.0) 99 (85.3) 99 N/A N/AS&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Bank of Ireland (13.7) 32 (25.2) 53 (25.6) 40 3.4 50 4.6 50Credit Suisse (15.2) 66 (32.3) 94 (34.9) 85 (4.3) 96 2.5 71EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Balanced

Bankers Trust (12.4) 92 (15.4) 85 (18.4) 82 3.1 82 N/ATAA Index (10.3) 83 (12.2) 73 (15.0) 74 4.0 69 7.4 76

Bond Managers

Invesco 4.3 49 7.8 63 12.3 56 5.6 77 7.8 60Provident 4.3 47 9.0 29 13.9 19 6.1 68 8.3 34SSGA Bond Index 4.6 35 8.3 50 12.9 48 N/A N/ALB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49






Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Large Value

Oppenheimer (9.5) 35 2.4 38 6.0 78 9.1 91Median Large Value Fund (10.3) 0.3 8.0 12.0

Large Core

SSgA Equity Index (14.7) 64 (26.6) 74 0.2 93 5.4 96Median Large Core Fund (13.7) (22.1) 4.5 10.7

Large Growth

Provident (26.6) 91 (55.1) 86 (10.5) 96 1.7 95Amerindo (62.8) 99 (85.3) 99 N/A N/AMedian Large Growth Fund (18.9) (40.9) 1.9 9.5

Small Value

David L. Babson (13.7) 64 (4.9) 83 9.3 75 9.7 71Median Small Value Fund (12.1) 6.0 11.7 11.6

Small Growth

Waddell & Reed (22.8) 23 (29.5) 12 N/A N/AMedian Small Growth Fund (27.6) (43.9) - -





PolicePolice

38.4%

13.5%

31.1%

4.3%

0.2%

12.5%

0.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Glo

bal Fixe

d

Real E

state

Altern

ative

Ass

ets

Cash


23.8%

13.5%

10.6%

1.1%

3.1%

0.2% 0.0%

4.3%

5.6%

0.4%

7.2%9.0%

1.1%

7.3%

0.2%0.5%

0.0% 0.3% 0.7%0.5%

8.6%

0.5%0.2%1.3%

0%

5%

10%

15%

20%

25%

30%


12/31/2000 $1,290,746



9/30/2001 $1,134,938


Assets in ($000)

37.4%

13.1%

30.2%

4.2%0.2%

12.4%

2.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Int'l

Fix

ed In

com

e

Real E

state

Alt In

vestm

ents

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Mellon (15.2) 52 (21.2) 60 (28.3) 63 2.5 76 N/AMontag Caldwell (10.0) 18 (20.8) 59 (18.1) 44 4.1 66 N/ATom Johnson (14.3) 43 (19.8) 53 (19.7) 45 1.2 85 9.9 58Boston Partners (10.4) 21 (2.7) 13 3.0 16 7.2 44 N/ACapital Works (27.1) 89 (38.8) 92 (56.5) 94 N/A N/AS&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52


Bank of Ireland (13.6) 30 (25.4) 54 (25.5) 39 3.7 42 4.9 39EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94






Fixed Income

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Agincourt 5.3 15 9.5 13 13.9 19 N/A N/AOaktree (4.3) 95 (0.6) 95 (3.3) 96 3.9 92 N/ALB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49

Int'l Fixed Income

Fischer Francis 7.3 22 1.0 74 5.9 89 N/A N/ASalomon WGBI 7.2 25 2.3 53 6.7 80 1.0 58 3.3 66

Real Estate

Columbus Square 8.7 2 19.0 4 24.2 4 28.0 2 21.9 6Russell NCREIF 2.4 18 7.3 25 10.6 25 12.0 28 13.3 35






Venture Capital

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Oaktree Opp II 2.6 16.9 15.8 15.0 N/AOaktree Opp III 5.5 13.2 11.3 N/A N/APrudential (0.5) (0.1) 3.1 5.7 7.6TCW/Crescent 0.0 10.6 14.9 N/A N/AMarathon Fund 1.5 0.8 0.8 N/A N/AWeiss Peck V (7.2) (26.7) (6.1) N/A N/AWeiss Peck VI (9.0) (13.3) (13.3) N/A N/ACap Works (12.1) (11.5) (14.4) N/A N/AFocus (9.7) (9.5) (13.5) N/A N/A

WP&G Hedge (2.1) 9.5 10.5 N/A N/AMount Lucas (0.2) 3.9 19.5 3.5 12.9






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Tom Johnson (14.3) 91 (19.7) 99 1.2 97 9.9 83Median Large Value Fund (10.3) 0.3 8.0 12.0

Large Core

Montag Caldwell (10.0) 19 (18.1) 39 4.1 57 N/AMellon Index Fund (15.2) 76 (28.3) 87 2.5 73 N/AMedian Large Core Fund (13.7) (22.1) 4.5 -

Medium Value

Boston Partners (10.4) 51 3.0 49 7.2 67 N/AMedian Mid Value Fund (10.3) 2.9 9.8 -

Small Growth

Cap Works Equity (27.1) 46 (56.5) 88 N/A N/AMedian Small Growth Fund (27.6) (43.9) - -





Law Enforcement Law Enforcement

43.7%

9.2%

41.8%

5.3%

0.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Real E

state

Cash


9.2%

3.4% 3.5%

20.6%

0.0%

3.8%

12.4%

27.6%

5.3%

14.3%

-3%

2%

7%

12%

17%

22%

27%

32%


12/31/2000 $527,131

Cont / Withdrawals $4,163


9/30/2001 $489,797


Assets in ($000)

42.0%

9.2%

39.8%

5.3% 3.8%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ites

Dom F

ixed In

come

Real E

state

Cash




Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Hotchkis Wiley (9.4) 15 1.0 7 11.1 5 5.4 56 10.6 46Kennedy Capital (8.0) 9 10.5 1 14.3 2 10.0 29 12.1 29Mackay Shields (18.0) 67 (31.3) 81 (39.8) 77 1.3 85 8.2 73David L. Babson (13.9) 40 (8.0) 24 (5.3) 27 8.5 38 9.0 67Constitution (32.9) 96 N/A N/A N/A N/AS&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52







% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Bank of Ireland (13.6) 30 (25.1) 52 (25.4) 38 3.7 41 4.8 44EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Bond Managers

TCW 4.5 39 9.4 16 14.0 18 7.3 12 8.7 19Munder 4.6 38 8.1 54 12.9 47 6.7 40 8.2 39LB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49

Real Estate

RREEF 2.3 21 5.0 45 8.4 51 N/A N/ARussell NCREIF 2.4 18 7.3 25 10.6 25 12.0 28 13.3 35






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Hotchkis Wiley (9.4) 34 11.1 11 5.4 77 10.6 69Median Large Value Fund (10.3) 0.3 8.0 12.0

Large Growth

Mackay Shields (18.0) 40 (39.8) 43 1.3 55 8.2 64Median Large Growth Fund (18.9) (40.9) 1.9 9.5

Small Value

Kennedy Capital (8.0) 9 14.3 11 10.0 69 12.1 45David L. Babson (13.9) 64 (5.3) 84 8.5 81 9.0 84Median Small Value Fund (12.1) 6.0 11.7 11.6





Judges & JusticesJudges & Justices

32.4%

7.4%

59.5%

0.7%

-5%

5%

15%

25%

35%

45%

55%

65%

Equities

Int'l

Equ

ities

Fixed

Inco

me

Cash


7.4%

2.6%

5.6%

13.6%

35.6%

0.7% 0.1%

2.8%

11.6%

1.7%0.2%

12.0%

6.0%

0%

5%

10%

15%

20%

25%

30%

35%

40%


12/31/2000 $183,171

Cont / Withdrawals $2,612


9/30/2001 $167,111


Assets in ($000)

32.3%

7.4%

57.6%

2.8%

-5%

5%

15%

25%

35%

45%

55%

65%



Judges & Justices Performance Judges & Justices Performance

Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

DFA (16.6) 61 2.2 6 1.6 18 N/A N/ATCW (25.3) 86 (35.1) 87 (47.1) 86 3.5 71 10.7 44BGI R1000 Value (11.0) 24 (12.1) 32 (8.9) 31 N/A N/ABGI S&P 500 (14.7) 47 (20.4) 56 (26.6) 58 2.7 75 10.7 45Loomis Sayles (40.1) 98 N/A N/A N/A N/AS&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52






% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

BGI EAFE Fund N/A -- N/A -- N/A -- N/A -- N/A --EAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Bond Managers

Loomis 0.4 89 5.3 82 7.7 84 5.3 82 N/ABlackrock 5.0 21 9.1 24 14.0 19 N/A N/AHoisington 6.8 1 4.0 86 13.0 44 N/A N/ALB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49






Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

BGI R1000 Value (11.0) 59 (8.9) 83 N/A N/AMedian Large Value Fund (10.3) 0.3 - -

Large Core

BGI S&P 500 Fund (14.7) 66 (26.6) 75 2.7 71 10.7 50Median Large Core Fund (13.7) (22.1) 4.5 10.7

Large Growth

TCW (25.3) 84 (47.1) 73 3.5 36 10.7 34Median Large Growth Fund (18.9) (40.9) 1.9 9.5

Small Value

DFA (16.6) 84 1.6 69 N/A N/AMedian Small Value Fund (12.1) 6.0 - -

Small Growth

Loomis Sayles (40.1) 97 N/A N/A N/AMedian Small Growth Fund (27.6) (25.2) - -






Department of WildlifeDepartment of Wildlife

13.2%

41.5%

10.4%

3.9%1.3% 0.1%

9.1%

20.5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Allocation by Aeltus Fund as of 9/30/01

12/31/2000 $52,510

Cont / Withdrawals $360


9/30/2001 $46,782


Assets in ($000)

53.2%

3.9%

41.5%

0.1% 1.3%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Dom E

quiti

es

Int'l

Equ

ities

Dom F

ixed

Inco

me

Mor

tgag

es

Cash

Allocation by Asset Class as of 9/30/0153.2%

3.9%

41.5%

0.1% 1.3%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

Equities

Int'l

Equ

ities

Fixed I

ncom

e

Mor

tgag

es

Cash



Wildlife Performance Wildlife Performance

Domestic Equity

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

% Return

% Rank

Growth Equity (18.6) 69 (32.2) 83 (47.1) 86 (1.0) 92 7.8 76ENH (13.6) 38 (20.3) 55 (26.8) 60 N/A N/AValue (10.3) 20 (14.6) 39 (11.1) 34 5.3 56 8.1 74Small Cap (14.4) 44 (15.6) 42 (21.8) 49 7.0 45 7.8 76S&P 500 (14.7) 47 (20.4) 56 (26.6) 59 2.0 81 10.2 52


Int'l Equity (20.3) 97 (32.4) 94 (40.9) 96 N/A N/AEAFE (14.0) 44 (26.5) 61 (28.5) 59 (1.1) 83 (0.1) 94

Bond Managers

Fixed Income 4.0 55 8.3 48 13.1 41 6.6 42 7.9 59LB Aggregate 4.6 37 8.4 47 13.0 45 6.4 54 8.1 49

Mortgages

PMSA 0.8 4.1 7.2 10.2 13.8





Domestic Equity%

Return%

Rank%

Return%

Rank%

Return%

Rank%

Return%

Rank

Large Value

Aeltus Value Equity (10.3) 50 (11.1) 88 5.3 77 8.1 94Median Large Value Fund (10.3) 0.3 8.0 12.0

Large Core

Aeltus Enhanced Core Equity (13.6) 48 (26.8) 80 N/A N/AMedian Large Core Fund (13.7) (22.1) - -

Large Growth

Aeltus Growth Equity (18.6) 47 (47.1) 72 (1.0) 76 7.9 69Median Large Growth Fund (18.9) (40.9) 1.9 9.5

Small Growth

Aeltus Small Cap Equity (14.4) 2 (21.8) 16 7.0 64 7.8 24Median Small Growth Fund (27.6) (43.9) 10.3 4.6




Wildlife Performance Wildlife Performance

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