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2006 04 25 Document Presented Regarding Add-On Regular Agenda Item
Date: Apri125, 2006 DOCUMENT PRESENTED TO THE BOARD OF TRUSTEE MEMBERS AT THE APRIL 25, 2006 REGULAR MEETING REGARDING THE ADD-ON REGULAR AGENDA ITEM. TRUSCO CAPITAL MANAGEMENT Prepared Exclusively For: City of Winter Springs General Employees' Pension Plan Investment Review First Quarter 2006 ,~ The Hurt Building -Atlanta, GA Molly Halcom Investment Manager 407-237-4372 molly.halcom @truscocapital.com Dianne Garcia Relationship Manager 407-237-4513 dianne.garcia c~ suntrust.com TABLE OF CONTENTS Table of Contents I. Market Update II. City of Winter Springs General Employees' Pension Plan • Account Activity Summary • Portfolio Composition ^ Investment Performance III. Appendix ;.z.:~~ . .;~ . City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT 1 SECTION I Period Ending March 31, 2006 Please refer to appendix for full disclosure. Key Themes in the First Quarter, 2006 Bond Yields & Oil Prices Higher in Q1 $70 $65 U ~L a $60 $55 WTI OiP <10-Yr T-Note 4.9 4.7 4.5 4.3 09/30/05 12/31 /05 03/31 /06 Date • Stocks Rose /Bonds Fell: Equities rose in the first quarter amid evidence of stronger growth, while bond yields increased on fears of higher future inflation and the need for additional -~ Federal Reserve rate hikes. d • Energy Prices and Bond Yields Up: Hopes for a respite from high energy prices faded, and 10-yr. bond yields rose to the highest level since 2002, creating headwinds for future growth. • Housing Weaker: Rising mortgage rates, a flatter yield curve, and tighter lending guidelines finally began to slow housing activity. • Overall Inflation Moderate: Core inflation remained moderate, helped by strong productivity growth and limited increases in unit labor costs, but shrinking production capacity, elevated energy costs, and a firming labor market are concerns. • Fed Not Finished Tightening: The Federal Reserve raised short-term interest rates two more times to 43/a% and indicated that more rate increases might be needed to keep inflation contained. This contrasted sharply with earlier speculation of a pause. • Bottom Line: Better than expected growth, inflation low but fears remain, increased risks for the economy and markets. '_.~ti City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 2 Period Ending Economy: Moderate Growth & Inflation Rates Up March 31, 2006 7 Post-hurricane economic rebouzzd boosted growth izz Ql, but monzezztuzn likely to slow to a sub par pace. Inflation "mosaic" suggests on a moderate rise in overall prices despite recent oil increases. Stronger hear-term growth and global monetary tiglztening expected to keep Federal Reserve leaning to restraizzt, risking a policy overshoot. Recessiozz risks have izzcreased but are not high. ~. - - -. - '• - - - Neutral Neutral / Fading Cyclical job gains expected to continue post- e _ Fading Katrina and offset diminishing rate and tax stimulus but not accelerate sales. High energy prices will be a near-term drag on discretionary spending. Housing has peaked. High Positive Neutral Above-average profit growth, strong cash flow, • ~ profits repatriation, and need for productivity .- . gains should continue to support current CAPEX, though slowing earnings growth will curb pace of future investment. _ _ Neutral Neutral / Positive Recent declines in federal deficit likely to be • Positive temporarily reversed as federal dollars go to help rebuild the gulf region following Hurricanes Katrina and Rita. _ Low Weak Positive Stubborn trade deficit likely to narrow. Exports • are improving. China policy a key focus. Low but Headline Core Q1 oil price increases keeping headline Rising Inflation Moderately inflation elevated though still historically low. • Firm Higher Core inflation expected to rise moderately and remain a policy concern. Capacity is tighter, but wage growth is relatively restrained. Neutral Somewhat Moderately 15 Fed rate hikes since 6/30/04 put funds rate ' • Restrictive Restrictive at 43/a%, which is "neutral". Anti-inflation rhetoric and new chairman suggest additional rate hikes, but peak may be relatively close. Tax cut impact fading, but new stimulus from Stimulative Stimulative Stimulative hurricane relief could exceed $200 billion. ,~ }z City of Winter Springs General Employees' Pension Plan TRLISCO CAC'ITAL MANAGEMENT 3 Period Ending ~ Equity Markets in the First Quarter, 2006 March 31, 2006 Value 30 outperformed 2s% Growth in the zo% Large-Cap space is% 13.1°i° 73.2% 13.3% during the flYSt 'S% 3.1% 4'S°~° 59% quarter but was °% roughly evezz over 1st Quarter 2006 1 Year Ending 3/31/2006 the past year. ^ Russell 1000 Growth Index ^ Russell 1000 Core Index ^ Russell 1000 Value Index Mid-caps 30 outperformed 25% 22.5°i° 215°i° ° Large-Caps foz° 2o.s i° 20°'° the quarter and u% ,°% 7.s°i° 7.s°i° 7.3°i° past I2-months. s % Growth o% outperformed izt 1st puarter 2006 1 Year Ending 3/31/2006 both periods. ^ Russell Md-Cap Growth Index ^ Russell Mid-Cap Core Index ^ Russell Mid-Cap Value Index Small-caps d 3s % ezz o e a strozz .~ y g ° 3°% 27 8~ QI gain led by . ° 25.9% 25% 23.8°~° OutperfOYmanCB psi 14.4% 13.9% 13.5% in Growth. 10% s•i o% Past Performance is not 1st Quarter 2006 1 Year Ending 3/31/2006 IndlCatlVe Of future results. Please refer to appendix ^ Russell 2000 Growth Index ^ Russell 2000 Core Index ^ Russe112000 Value Index for full disclosure. City of Winter Springs General Employees' Pension Plan. • Drivers of Return • Durables, Materials, Energy • Detractors from Return • Staples, Health Care, Consumer Discretionary Drivers of Return • Materials, Technology, Transportation, Financials Detractors from Return • Utilities, Health Care, Consumer Staples, Energy Drivers of Return • Materials, Durables, Technology, Energy Detractors from Return • Transportation, Consumer Staples, Financials, Health Care Source: FactSet TRUSCO CAPITAL MANAGEMENT ~ 4 Period Ending March 31, 2006 Internatio~zal Large-Cap MSCI EAFE index outperformed the S&P 500 in the first quarter, while the Small- Cap SAFE index trailed its domestic counterpart. Economic growth continued to rmprove overseas. Past Performance is not indicative of future results. Please refer to appendix for full disclosure. International Markets in the First Quarter, 2006 ^MSCI EAFE Index ^MSCI EAFE Index Small Cap Index { City of Winter Springs General Employees' Pension Plan International Large Cap Core Drivers of Return • Norway, Portugal, Finland, Sweden, Germany Detractors from Return • New Zealand, Switzerland, Australia, Hong Kong International Small Cap Drivers of Return • Norway, Sweden, Netherlands, France, Italy Detractors from Return • Japan, New Zealand, Ireland, Australia Source: Morningstar TRUSCO CAPITAL MANAGEMENT 15 1 st Gluarter 2006 1 Year Ending 3/31/2006 1st Quarter 2006 1 Year Ending 3/31/2006 Period Ending I Bond Markets in the first Quarter, 2006 March 31, 2006 5.0 Past Performance is not indicative of future results. Please refer to appendix for full disclosure. ua ~ reasury t~enchmark Security Yields 4.0 3.0 2.0 - 3/31 /2006 -12/30/2005 - 3/31 /2005 0 5 10 15 20 25 Years to Maturity Intermediate Fxed Income Sector Returns an 30 7.0 5.0 3.0 i.o -1 0 . Agg-Int Govt Credit MBS HY ^ 3-Nbs -0.26 -0.30 -0.53 -0.07 2.77 ^ 1-Y r 2.32 2.07 2.08 2.67 7.30 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 ^ 3-Mos. ~~ 7-Yr. - iU rr i 3U Yr -2.82 j -5.90 ' ,- _ __ 0.40 i 0.38 ~ • High Yield benefited from stronger economic growth and rising stock prices and led Intermediate Fixed Income Sector returns for both the quarter and one- year periods. High Yield spreads, however, remain historically narrow. • Investment grade Credit spreads, in contrast, widened during the quarter, causing the sector to underperform for the quarter and year. • Mortgage-backed securities outperformed on a relative basis during the quarter, as rates stabilized and new issuance slowed. Spreads are more attractive but remain relatively narrow. ~_~,. City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT s US Treasury Benchmark Returns Period Ending ~ Asset Allocation: Current Strategy March 31, 2006 ~-March 31, 2006 ®December 31, 2005 Shift back to neutral. Higher bond yields, inverted yield curve, increased energy prices, and excessive confidence raising risks of a pullback. Attractive relative valuation. Flatter yield curve. Extended value outperformance. Slowing earnings growth favors consistent growers. Improved foreign growth prospects, especially in Asia. Projected weaker dollar. Extended outperformance by high yield. Historically narrow credit spreads. Slowing. economic momentum. Rising federal deficit. Chinese yuan revaluation. • We expect the economic growth to moderate to asub-average pace following near-term strength. Recession probability higher but still low. Imbalances, particularly in the business sector, are limited. Housing will continue to slow and the pace of consumer spending will soften, but CAPEX growth is likely to remain firm. Profits growth will slow. • Post-hurricane inflation surge moderating, though core likely to trend somewhat higher in 2006. • Economic volatility around slower growth rates could generate market volatility. • Despite reasonable valuations near-term risks include: •Inverted yield curve /Higher bond yields •Increased energy prices •Possible Fed policy overshoot •Excessive positive sentiment • Neutral weighting in Equities, but still favoring quality: Large-Cap and Growth. Overweight International. • We favor increased cash positions where appropriate. Bonds, as with stocks, emphasize quality and inflation protection. Underweight Corporates and High Yield. Reduced underweight in Mortgages. City of Winter Springs General Employees' Pension Plan TRllSCO CAPITAL MANAGEMENT Period Ending Market Snapshot: March 3~ 2006 March 31, 2006 7 1294.83 4.2 6.4 11.7 9.2 17.2 1 i 109.32 ,' 4.4 6.4 8.4 6.1 14:2 2339.79 6.1 8.7 17.0 8.3 20.4 1358.58 , 4.5 ' 6.7 13.2` t0.2 iS'~3 2095.25 9.3 11.5 20.7 14.0 28.8 13155:42 5.1 ` 7:0 13.0 9.2 17:8 1827.65 9.5 14.0 24.9 20.1 31.7 608.16 2.9 4.4 8.5 6.3 12.; 682.54 - 5.4 8.3 14.9 12.0 2if 349.14 3.1 6.2 13.1 7.0 14.f 445.99 5.9 7.3 1.3.3 13.4 22:( 593.72 1.4 4.2 9.6 4.2 11.f 741.40 5.2 6.5 -1:0.3 10.9 T9 327.88 7.9 13.2 22.5 15.5 23.5 301.84 7.3 -. 9.1 .20.6: 16.2 2f3:4 865.48 7.6 11.3 22.7 15.3 25.7 1040.38' 7.6 9.1 , .20.3 59.5 29:5 261.18 11.3 11.5 23.4 18.3 28.2 .293.96 14.4 < ' 15.1 ..24.8 18.6 31.7 2432.67 14.4 16.2 27.8 13.6 28.1 4059.84 13.5 14.3 23.8 1fi:7 $1;1 587.75 3.1 3.7 4.6 3.3 11.0 956.08 7.6 ' 11.2 21.6 .':15.9 26:0 394.83 12.8 13.3 24.1 18.4 29.9 2401.14 7.6 .i D. i 21:5 17.7 27.9 1901.60 13.9 15.2 25.8 15.3 29.8 54&.92 3.2 5.3 '9.9 Z.4 15.2 265.34 3.0 4.2 2.2 3.9 15.0 242.53 1.6 ;2.0 ;4.5 3.8 10:7 404.78 9.0 1.0 21.8 33.9 33.0 437.45 3.2 1 t:7 17,4 7:8 19.0 370.66 1.3 2.7 8.4 5.0 7.6 309.53 7.0 .12.4 i 1.3 14:3 21.6 344.07 4.2 5.3 13.5 5.2 16.8 199.86 7.4 19.5 10.2 ' 13:7 23.7 133.14 14.5 14.3 17.1 11.1 17.4 ''156.4D `-1.2 -6.6 9.6 16.8 23:2 City of Winter Springs General Employees' Pension Plan 5.47 - -0.65 . -0.06 2.26 1.71 2.93 :5.28 -1.01 -0:42 2.02 1:20 2.83 5.19 -0.38 0.13 2.08 0.86 2.32 `5.09 0.19 0.76 2.28 0:87 1.85 4.85 0.39 1.08 2.32 0.98 1.42 4.89 -1.23 -0.50 1.95 0.99 2.10 5:8T -2:25. -2.15 0:86 1:83 4.74 4.89 -1.23 -0.51 1.95 1.47 2.52 5:730. -1:1.7 -0.75 1.63 1.26 3.79 5.77 -0.10 0.49 2.61 2.47 3.06 8:13 2.f39 3:59 7.44 7.39 13:59 4.06 0.13 0.79 3.33 2.82 3.82 5:48 ` -0:70, -0.05 2.5T '1.52 3.17 5.51 -0.83 -0.23 2.22 1.26 2.62 5.73 -1.24 -0.75 1.91 1'.50 3.36 6.07 -1.02 -0.67 1.43 1.34 4.75 4.63 1.03 1.97 3.56 2.59 2.08 4.82 0.98 2.00 3.55 2:52 2.09 4.82 0.27 0.93 2.07 0.67 1.32 4:8f -1:20 -1:05 0.44., -0:91.. 0.81 4.85 -2.82 -2.53 0.40 -0.28 1.40 4.90 -5.90 -4.53 0:38 2.71 3.78 ~. 4.63 ~ 4.08 ~ ~ 3.55 ~ 2.71 ~• 0.95 1.12 4.71 4.37 3.93' 3.1 f 1:02 1.14 4.82 4.40 4.18 3.79 1.58 1.51 4.f31 4:36 4.19 4.18x.. 2:78 2.74 4.85 4.40 4.33 4.50 3.84 3.82 4 90'.'" 4.55 . , 4.57 4.77 4.7f3 4.84 121.02 2.6 0.4 -6.9 -0.8 3.5 ' 84.75 0.0 -3.9. -93 - -6.1 0.2 581.80 12.5 24.1 35.7 16.7 20.1 ....66:63. 9.2 0.6 :20:3 36.5 29.0 361.75 3.1 8.7 15.6 13.4 16.2 TRIISCO CAPITAL MANAGEMENT ~ s SECTION II Period Ending Account Activity Summar March 31, 2006 ~ Beginning Portfolio Market Value 12/31/05 Portfolio Additions/Withdrawals Additions Withdrawals Total Additionsl+Withdrawals Portfolio Earnings Net Accrued Income Interest and Dividends Gains/Losses Total Portfolio Earnings Ending Portfolio Market Value 3/31/06 Net Change Please refer to appendix for full disclosure. $ 11, 811, 048.40 $ 396, 827.43 $ (66,120.49) $ 330, 706.94 $ (654.31) $ 5,219.16 $ 360, 952.16 $ 365, 517.01 $ 12, 507, 272.35 $ 696, 223.95 `Source of data is the First Rate investment performance system. Data includes accrued income. City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT s Period Ending gccount Activity Summar March 31, 2006 \/ Beginning Portfolio Market Value 9/30/05 Portfolio Additions/Withdrawals Additions Withdrawals Total Additions/Withdrawals Portfolio Earnings Net Accrued Income Interest and Dividends Gains/Losses Total Portfolio Earnings Ending Portfolio Market Value 3/31/06 Net Change Please refer to appendix for full disclosure. $ 11,251,700.38 $ 753, 426.01 $ (124, 749.09 ) $ 628,676.92 $ 181.25 $ 93, 430.74 $ 533, 283.06 $ 626, 895.05 $ 12, 507, 272.35 $ 1, 255, 571.97 'Source of data is the First Rate investment performance system. Data includes accrued income. City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT 1 ~ Period Ending Portfolio Composition March 31, 2006 Total C°°h 0.2° Fixed Income 31.0°io Total Equity 3% Total Portfolio $ 12,506,667.9'1. 100.0% Please refer to appendix for full disclosure. Total Equity $ 8,608;63021' 68.8% SunTrust Retirement High Grade Growth $ 3,015,969.53 24.1 SunTrust Retirement High Grade Relative Value $ 2,965,530.75 23.7% STI Classic International Index $ 1,330,711.64 10.6% SunTrust Retirement Mid Cap Equity $ 663,654.92 5.3% STI Classic Small Cap Growth $ 343,028.33 2.7% STI Classic Small Cap Value $ 289,735.04 2.3% Total Fixed Income. ~ $ 3.,87,395:75 ~ 31;:0% SunTrust Retirement High Grade Bond $ 3,875,395.76 31.0% Total Cash $ 22,641:.94 0.2% City of Winter Springs General Employees' Pension Plan TRlISCO CAPITAL MANAGEMENT 11 Period Ending I Performance Comparisons March 31, 2006 Past Performance is not indicative of future results. Please refer to appendix for full disclosure. 3 Months 6 Months 12 months 36 months 60 months 120 months TOTAL PORTFOLIO. 3.0'5% 5.40% 9.32% 14.43% $.61% ` `8.96% TotalEquity 4:89% 8.08% 13.07% 20.1.1% 6.63%- 9.91% SunTrust Retirement High Grade Growth 2.19% 5.38% 6.46% 10.54% 1.87% 10.07% S & P 500 Barra Growth Index 2.92% 4.41% 8.50% 12.71% 2.77% 8.11% S & P 500 Index 4.21% 6.38% 11.72% 17.22% 3.97% 8.95% SunTrust Retirement High Grade Relative Valuc 4.00% 6.66% 12.15% 19.98% 6.11% 9.44% S & P 500 Barra Value Index 5.42% 8.27% 14.89% 21.85% 5.03% 9.32% S & P 5001ndex 4.21% 6.38% 11.72% 17.22% 3.97% 8.95% STI Classic International Equity Index 9.79% 14.77% 25.06% 31.87% 8.91% 7.96% MSCI EAFE Index 9.40% 13.87% 24.43% 31.13% 9.59% 6.46% STI Classic Small Cap Growth 12.78% 15.58% 27.55% 31.20% 12.62% - Russell 2000 Growth Index 14.36% 16.20% 27.84% 28.14% 8.59% 5.51% STI Classic Small Cap Value 14.02% 18.07% 30.69% 33.06% 20.01% 15.66% Russell 2000 Value Index 13.51% 14.26% 23.77% 30.75% 16.24% 14.02% SunTrust Retirement Mid Cap Equity 5.98% 7.84% 20.49% 24.95% 6.14% - Russell Mic Cap Index 7.61% 10.14% 21.54% 27.87% 12.52% 12.66% Total Fixed Income -1.14% -0.44% 1.4.6% 2.3~%. 4.99% 62t%° SunTrust Retirement High Grade Bond -1.15% -0.40% 1.68% 2.56% 5.13% 6.30% Lehman Govt Credit Bond Index -1.01% -0.42% 2.02% 2.83% 5.23% 6.18% Lehman Aggregate Bond Index -0.65% -0.06% 2.26% 2.92% 5.11% 6.29% ` Account Inception is 148 months. " -Inception 6/30/2002. Longer term results are linked to the STI Classic Growth and Income Fund to show results prior to inception. - °,r City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT 12 . SECTION III Period Ending I SunTrust Retirement High Grade Growth Fund March 31, 2006 Fund Description Value Blend Grow[h Cusip: 990001273 Large NAV: $57.57 Medium Assets (mil): $42.0 Small The Fund seeks capital appreciation by investing primarily in large, well- established domestic corporations. The Fund is designed to comply with guidelines that are based principally on Florida laws governing the investment of municipal retirement plans for fire, police and general government employees. Cash: 1.2% U.S. Stocks: 98.8% Investment Category Large Growth .. - Security Equity Security Equity Microsoft Corp. 3.6% Baxter International 2.4% NCR Corp. 2.5% Raytheon Co. 2.4% Procter & Gamble 2.5% Lockheed Martin 2.3% AIG Inc 2.5% Wells Fargo & Co. 2.2% American Express ' 2.5% Chubb Corp. 2.2% • . • Characteristics - Fund S&P 500 Index iAS. Storks caa, se.s% f.zvs Consumer Discretionary 14.1 10.3 Consumer Staples 6.3 9.3 Energy 7~0% 9.8 Financials 12.7 % 21.0 Healthcare 16.3 13.0 Industrials 16.3 Dividend Yield 1.1 % ° 1.9 /0 11'6''° Information T h l 24.1 % Market Capitalization ($bil) 74.2 88.4 ec no ogy 15.4% ROE 20.9 19.7 Materials 3.3 3., % Est 3-5 Yr EPS Growth 14.3 12.1 Telec om Services °0/3.3% ^ Fund Price to Book 3.4x 2.8x utilities ° °% ^ S&P 500 Index 3.2 Price to Earnings (FY1) 17.1 x 15.1 x - -. - Annualized Three One Three Fivle Ten Inception Months Year Year Year Year 4/1/1990 Fund 2.19% 6.46% 10.54% 1.87% 10.07% 11.56% S&P 500 Index 4.21°%° 11.72% 17.22% 3.97% 8.95% 11.04`;° Lipper Large Cap Growth Index 2.32% 15.36% 15.11 % 1.07% 9.17% This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. .~. ~:G~ City of Winter Springs General Employees' Pension Plan TRllSCO CAPITAL MANAGEMENT ® . 13 . Period Ending I SunTrust Retirement High Grade Growth Fund March 31, 2006 ' The stock market continued to rise in the first quarter with the S&P 500 up 4.2% and the Fund up 2.2%. The same trend of value outperforming growth and small cap over large cap persisted. Overweight sectors that helped performance included Industrials and Technology while the overweights in Healthcare and Consumer Discretionary were a drag on return. While the large cap growth style continued to lag, the widely expected slowdown in economic growth and the high valuation being placed on other asset classes will lead investors to begin to seek the defensive nature and extreme attractiveness of valuations of the stocks which the Fund emphasizes. Fund Manager: Elliott Perny, CFA ~ - .. - 1999 2000 2001 2002 2003 2004 2005 2006 First Quarter 5.57% 0.22% -4.82% 2.39% -2.02% 1.30% -3.60% 2.19% Second Quarter 5.10% 0.62% 5.83% -10.89% 9.57% 0.96% 0.12% Third Quarter -7.69% 2.57% -13.63% -14.94% 2.03% -3.40% 0.91% Fourth Quarter 14.77% -1.74% 12.33% 4.03% 10.41% 7.91% 3.12% Fund 17.55% 1.63% -2.27% -19.26% 20.94% 6.62% 0.43% 2.19% S& P 500 Index 21.04% -9.10% -11.89% -22.10°% 28.68°i° 10.88°/ 4.91 °~0 4.21 °~o Lipper Large Cap Growth 27.96% -10.69% -17.99% -24.20% 26.97% 7.50% 7.58% 2.32% $60,000 $50,000 $40,000 $30,000 $20,000 $10,000 $0 I ~ Apr-90 Apr-92 Apr-94 Apr-96 Apr-98 ~ Apr-00 Apr-02 Apr-04 Fund S&P 500 • - - - 3 Year Alpha Beta R-Squared Sharpe Ratio Std. Deviation Fund -0.36 0.89 89.00 1.04 8.17 S&P 500 Index 0.00 1.00 100.00 1.76 8.66 This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 14 Period Ending I SunTrust Retirement High Grade Relative Value Fund March 31, 2006 • - iiilii Value Blend Grow[h CUS~p: Large NAV: Medium Assets (mil): Small Investment Cateoory Large Value 990001182 The Fund seeks long-term capital $14.56 appreciation with a secondary goal of $42.5 current income by using a value- oriented investment strategy. The Fund is designed to comply with guidelines that are based principally on Florida laws governing the investment of municipal retirement plans for fire, police and general government employees. .. - Securitv %Eauity Securitv %Eauity Citigroup 2.0% Applied Materials 1.8% Exxon Mobil 1.9% Pfizer 1.8% Microsoft 1.9% Burlington Resources 1.8% Berkshire Hathaway 81.9% Wal-Mart 1.7% Wachovia • • • 1.8% - First Data 1.7% Cash: 0.8% Stocks: 99.2% sion: ss z. Gsn o~. Consumer Discretionary 10'2 B.s % Consumer staples 8.8 % s.s% Energy ., •~ 13.8 Financials Healthcare 12'3% 7.1 36.6 RUSSeI l Industrials 10.9 % Characteristic Fund Value 7~0% Dividend Yield (Current) 1 9% 2 5°% Inf orrtation Technology 13.4% . . 48% 5 Year EPS Growth (Hist.) 10.7% 13.4°~0 Materials 31, Market Capitalization ($bil) 74.9 B 83.5 B 4.3 Price-to-Book 2 7X 2 2X Telecom services z.~% . . 5.8 P/E (12 months trailing) 16.6x 13.3x 3.,~r ^ Fund Return on Equity - 19.5% 17.3°o Utilities s.s% ^ Russell Value Index -. - - - Annualized Three One Three Inception Months Year Years 6/30/02 Fund 4.00°~0 12.14% 19.99% 10.55% Russell Value Index 5.93 %~ 13.31 % 21.77% 11.89°6 S&P 500 4.21 % 11.72% 17.22% 9.37% This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. ts~ City of Winter Springs General Employees' Pension Plan TRllSCO CAPITAL MANAGEMENT ~ 15 . Period Ending SunTrust Retirement High Grade Relative Value Fund - March 31, 2006 continued Focused on the potential for the economic cycle to stay stronger longer than expected and continued strength in corporate profits, the stock market started the year strongly. Given the economic backdrop and ongoing merger and acquisition activity, many of the themes from 2005 continued in the first quarter with smaller companies outperforming larger ones and value outperforming growth. Leading sectors were energy, materials, industrials, technology, and telecommunications. The Russell 1000 Value Index gained 5.9% while the S&P 500 gained 4.2%. The Fund gained a respectable 4.0%, but is increasingly positioned for decelerating growth and thus did not fully leverage the positive first quarter. The Fund's current strategy anticipates a favorable 2006 market environment and a gradual leadership transition driven by economic deceleration to more sustainable levels. Fund Manager: Charles B. Arrington, CFA ~ _ ~ _ 2002 2003 2004 2005 2006 First Quarter N/A -4.11 % 2.36% 1.68% 4.00% Second Quarter N/A 13.45% 2.59% 1.16% N/A Third Quarter -17.45% 2.10% 0.05% 3.94% N/A Fourth Quarter 6.53% 14.05% 9. 14% 2.57% N/A Fund -12.05% 26.68% 14.67% 9.65% 4.00% Russell Value -11.29% 30.03% 16.49% 7.05% 5.93% S&P 500 -10.30% 28.68% 10.88% 4.91 % 4.21 $15,000 $14,000 'i $13,000 $12,000 $11,000 $10,000 $g,ooo 1 $a,ooo $~,ooo Dec Mar Jun Sept Dec March June Sept Dec March June Sept Dec Mar - SunTrust Retirement High Grade Relative Value - S&P/Russell Value This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. ~, City of Winter Springs General Employees' Pension Plan TRIISCO CAP[TAL MANAGEMENT is Period Ending ~ STI Classic Small Cap Growth Stock Fund March 31, 2006 Small capitalization funds t}nically carry additional risks since snealler companies generally have a higher risk o f failure. Equity securities (stocks) m•e more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share vJ' this Fund will fluctuate as• the value of the securities is the portfolio changes. Value Blend Growth Ticker: SSCTX Large Expense Ratio: 1.19% Madium NAV: $23.65 Assets (mil): $1 644.20 Small , Investment Category Small Growth .. - . . - Security %Equity .- Security %Equity Flow International Corp. 1.07% Too Inc. 0.7g°/ Jos. A. Bank Clothiers Inc. 0.95% Arena PharrrBCeuticals Inc. 0.77% PDL BioPharma Inc. 0.91% Carpenter Technology Corp. 0.75% Genlyte Group Inc. 0.85% NICE-Systems Ltd. 0.74° Ventiv Health Inc. • • 0.61°/ Aeroflex Inc. 0.73% Russell The fund seeks long-term Cash: 2,75% capital appreciation by U.S. Stocks: 97.25% investing in the stocks of companies with market x.5.5,°~~ 97.25 capitalization between $50 million and $2 billion at the time of purchase. cash 275% - - Consumer Discretionary 14.50% 15.13 z.1 z % Consumer Staples 2 09 3.65 Energy 7.99 Financials 7.67 % 9.31 % Healthcare 17.41 % 1 s.7o Characteristic Fund 2000 Growth Industrials ,7.s3% Dividend Yield (Current) 0.24% 0.42% ,s.o3% EPS Growth (3 yr est.) 19.50% 20.20% Information Technology 32.67 % zs.s7 Market Capitalization ($bil) 1.08 1.37 3.as% Ivtaterials Price-to-Book 3.03x 3.70x 3.sa% o.as % P/E (FY1 Est) 20.40x 21.80x Telecom Services 1.00 % ^ Fund Return on Equity 13.20% 12.20% o.oo°r> Ll[ildies ^ Russell 2000 Growth Index 30 Day SEC Yield n/a o.,o% -. - - - Annualized Three One ZYtree Four Five Inception Months Year Years Years Years 10/08/1998 FUnd 12.78% 27.55% 31.20% 12.75% 12.62% 16.80% Russell 2000 Growth Index 14.36% 27.84°a 28.14% 9.52% 8.59% 7.80% Lipper Small Cap Growth Classification 13.03% 26.11 % 25.87% 8.54% 8.23% 13.84% Past performance does not guarantee future results. The performance data quoted represents past performance, and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment velum and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. For performance data current to the most recent month end, visit our website at www.sticlassicfunds.com > ;. City of Winter Springs General Employees' Pension Plan TRLISCO CAI'1TAL MANAGEMENT 17 Period Ending March 31, 2006 STI Classic Small Cap Growth Stock Fund -continued Driven by better than expected corporate earnings growth and strong performance from Materials and Technology stocks, small cap growth stocks kicked off 2006 with an impressive first quarter. The Russell 2000 Growth posted a 14.4% return, besting the large cap S&P 500's 4.2% return. The Small Cap Growth Fund rose a solid 12.8% during the quarter, slightly trailing the Lipper peer group return of 13.0%. The Fund achieved these double digit gains through strong stock selection in the Industrial, Consumer Discretionary, and Energy sectors, along with an overweight Technology position. However, weaker stock selection in the Healthcare and Technology sectors offset these positives, resulting in modest underperformance versus the benchmark. Fund Manager: Mark Garfinkel, CFA 2000 2001 2002 2003 2004 2005 First Quarter 16.37% -10.60% 1.10% -6.40% 8.08% -4.58% Second Quarter -0.10% 16.00% -10.20% 24.19% -0.61% 3.25° Third Quarter 0.27% -22.80% -19.90% 9.74% -3.54% 6.88% Fourth Quarter -4.12% 23.90% 6.20% 14.21% 15.06% 2.49% Fund 11.80% -0.80°6 -22.70% 45.63% 19.21% 7.92% Russell 2000 Growth Index -22.43% -9.23°% -30.26% 48.54% 14.31% 4.15°i Lipper Small Cap Growth Classification -6.20% -11.30% -29.72% 44.36% 10.65% 5.66% $30, 000 $2s,ooo $20,000 $is,ooo $t o, o00 $s, o00 $o o, Zoos 12.78% 12.78% 14.36~~, 13.03% ~° -~v~-~~ man-u, vc[-ui Jul-02 Apr-03 Jan-04 Oct-04 Jul-05 Fund Russell 2000 Grow th Index • - - - 3Year Sharpe Std. Alpha Beta R-Squared Ratio Deviation Fund 0.37 0.91 0.95 1.87 15.62 Russell 2000 Growth Index 0.00 1.00 1.00 1.55 16.82 Past performance does not guarantee future results. The performance data quoted represents past performance, and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. For pertormance data current to the most recent month end, visit our website at www.sticlassicfunds.com ~. ~n~A City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT ~ $ Period Ending I STI Classic Small Cap Value Fund March 31, 2006 Small capitalization funds typically carry addraiw:ul risks since smaller companies generally have a higher risk of failure. Equity securities (s•tocks) tine uzore volatile ar:d carry more. risk than other fornu• of investments, ir:cluding invesbments in high-grade • fixed income securities. The net asset vahte per share this Fund will fluctuate as the value of the securities in the portfolio changes. balue-eased irtvestmertts ar•c subject to the risk that the broad market may not recognize their intrinsic value. The perfornzauce quoted represents• past perfornarzce of the Sur:Trust Bank's internally managed conrn:on trust.fund, adjusted for fees artd cxpertses•for periods prier to 1/31/97. T'he conunon trust•fund was riot registered under the 1940 Act and therefore was• not subject to certain irtvcshnemt restrictions which may have adversely affected performance. Value Blend Growth Ticker: SCETX Large Expense Ratio: 1.20% Medium NAV: $20.53 Assets (mil): $762 4 small . Investment Cat ego ry Small Value Securi % E ui Securi % E ui Graco Inc. 3.2% Cooper Cos. 2.0% Airgas Inc. 2.6% Hub International 1.9% CHC Helicopter 2.3% Agnico-Eagle Mines 1.6% Wabtec 2.0% HCC Insurance 1.6% Grupo Aeroportuario • 2.0% - Walter Industries 1.6% . Russell The fund seeks long-term capital appreciation and income by investing in the stocks of companies with a market capitalization between $50 million and $3 billion. Consumer Discretionary Consumer Staples Energy Financials Healthcare 32.3 % Characteristic Fund 2000 Value Industrials 76.0<,, 32.5 Dividend field (Current) 1.4% 1.6% Inform ation T echnology 8.°~ 131 Est. 3-5 Yr EPS Growth 13.8% 11.6% Market Capitalization ($bil) 1.9 1.3 Materials ~'3 % 6.5% Price to Book 2.5x 2.Ox Teleco m Services o.o 0 Price to Earnings 19.9x 19.1 x 2'" ^ Fund 30 Day SEC Yield 0.09% utilities z.6% 4.6% ^ Russell 2000 Value Index - . ~ -a a . - Annualized Three One Three Five Ten Inception Months Year Year Year Year 8/31/1994 Fund 14.02% 30.70% 33.06% 20.01 % 15.67% 16.94% Russell 2000 Value Index 13.51°% 23.77% 30.75% 16.24% 14.02°i° 14.25°0 Lipper Small Cap Value Index 11.56% 22.00% 31.32% 16.73% 13.68% 13.73% Past performance does not guarantee future results. The performance data quoted represents past performance, and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. For performance data current to the most recent month end, visit our website at www.sticlassicfunds.com City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT ~ ~ 9 - Cash: 1.1 U.S. Stocks: 83.8% Non-U.S. Stocks 15.1% +~+x us. so~xs Nm-U.s. Sacks a'f.a% +s.+x March 31, 2006 Period Ending ~ STI Classic Small Cap Value Fund -continued Manager's Quarterly Perspective ', The STI Classic Small Cap Value Equity Fund retuned 14.02% during the first quarter versus 13.51% for the Russell 2000 Value Index. The Fund benefited from superior stock selection within the Consumer Discretionary sector. The Fund ccntinues to maintain its overweigh- stance within the Industrial and Material sectors, due to improving economic fundamentals. Strict discipline adherence drives Fund performarn~e over long time periods, directed r~y our bottoms-up, dividend paying investment process preferring quality undervalued stocks over more risky, unprofitable companies. Fund Manager: Brett Barner, CFA ~ - - . . - 1999 2000 2001 2002 2003 2004 2005 2006 First Quarter -13.31% -4.13% 5.49% 9.71% -6.40% 5.69% -1.90% 14.02° Second Quarter 19.82% 5.86% 8.86% -1.82% 17.10% 3.94% 1.43% Third Quarter -8.14% 6.67% -8.14% -12.57% 7.88% 0.15% 9.14% Fourth Quarter 1.94% 8.97% 14.89% 4.33% 15.92% 14.05% 3.55% Fund -2.73% 17.96% 21.20% -1.74% 37.05% 25.47% 12.46% 14.02% Russell 2000 Vatue Index -1.49% 22.83°io 14.02% -11.42% 46.03% 22.25°ro 4.71 °io i 3.51 °'a Lipper Small Cap Value Index 1.89% 16.10% 17.20% -11.21% 47.53% 20.65% 7.46% 11.56% • • 1 111 • •~ • 11. sss,ooor .._.- i SSS 000 'i - sas.oo~~, ---...__- I 935.W0 ~---- 515,000{- ___...___ _-.__._.. SiS.OJO j - --_ SS.WOi ...., -.. __. _._---.. Sep91 Sep99 Sep9fi Sep9] Sg98 $ey99 $p00 Sop01 $pOZ Sep-03 SBo-09 SeD~05 Fund -~ Russell 2000 Value • - - - 5 Year Alpha Beta R-Squared Sharpe Std. Deviation Fund 0.55 0.77 89.71 1.31 13.63 Russell 2000 Value Index 0.00 1.00 100.00 0.84 16.76 Past performance does not guarantee future results. The performance data quoted represents past performance, and current returns may be Tower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor's sr~ares, when redeemed, may be worth more or less than the original cost. For performance data current to the most recent month end, visit our website at wwH~.sticlassicfunds.com City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 20 Period Ending ~ STI Classic International Equity Index Fund March 31, 2006 htterrtational investing involves increased risk. and volatility. Equity securities (stocks) are mare volatile acrd carry more risk than otltcr forms of invcstmeuts, including investnterzts in high-grade fixed income securities. The nCt asset Valne per tihar'e Of t]:is Fund will fluctuate as -the value of the securities in the portfolio chmtges. It is important to renteuzber that there are risks associated with ir:dex investing, including the potential risk of market decline, as well as tfte risks associated with investing in specific companies. Value BleM Growth Ticker: SIEIX The Fund seeks to provide Cash: 2.75% Large Expense Ratio: 0.66% diversification and capital Non-U.S. Stocks: 97.25% appreciation by investing in U.S. Stocks: 0.0% Medium NAV: $15.81 securities of companies Small Assets (mil): $777.15 headquartered or based in foreign countries to replicate Investment Cateoory the Morgan Stanley EAFE °ash Non-U. S. Stocks Foreign Stock GDP Index. 2.~5% 9'ZS% Security %Epuity Security %Eguity .. • • . • .- Japan 2s.os% Toyota Motor Corp. 1.59% EON AG 1 28% 2s.os% ENIS.p.A. 1.46% Allianz AG Holding 1.21% Germany 1as~% 1as~% Total S.A. 1.43% Unicredito Raliano S.p.A. 1.13% ,o.es% Siemens AG 1.40% Deutsche Bank AG 1.07% UndedfGngdom 1o.ss% Mitsubishi UFJ Financia', 1.33% Banco Santander Central 1 00% 10.20% . France 10.20% • • • - holy 8.55°/, Characteristic Fund MSCI EAFE GDP a.ss% Dividend field (Current) 2.34% 2.34% Spain s.oa% s.oa % EPS Growth (5 yr est.) 11.29% 1129% Australia Market Capitalization ($bil) 46.61 44.61 3.37/ Price-to-Book 2.45X 2.45X 2.as% Netherlands z.as% P/E (12 m~~nths trailing) 15.92x 15.92x Switzerland 1.s2% Return on Equity 19.33% 19.33% 1.92 % ^ Fund 30 Day SEC Yield n/a , jai SweCa" 1.~a% ^ MSCI EAFE GDP Weighted Three One Three Five Ten Inception Months Year Years Years Years 6/01/1994 Fund 9.79% 25.06% 31.87% 8.91 % 7.96% 7.56% MSCI EAFE GDP Weighted -Price Only 9.67°~0 23.14% 30.79% 8.19% 6.64% 6.54°0 Lipper International Funds Average 9.70% 26.31% 29.79% 9.10% 7.52% 7.31% Past pertormance does not guarantee future results. The pertormance data quoted represents past performance, and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor's spares, when redeemed, may be worth more or less than the original cost. For pertormance data current to the most recent month end, visit our website at www.sticlassicfunds.com City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 21 , Period Ending STI Classic International Equity Index Fund -continued March 31, 2006 Manager's quarterly Perspective The MSCI EAFE GDP was up 9.7% in the first quarter. While all sectors were positive for the quarter; the best performing sectors were Financials +12.7%, Materials +12.6%, and Utilities +11.6%. The weakest sectors were Telecom Services +1.4%, Energy 7.1 %, and Consumer Staples +7.3%. From a country standpoint, Norway led the way up +23.4% and was followed by Portugal +21.6% and Finland +20.7%. The worst performing markets were New Zealand -4.2%, Australia +6.2% and Japan +6.9%. Investors preferred stocks that were trading at high valuation multiples over those trading at low value. Small and mid-cap stocks continued to outperform larger cap stocks. Fund Manager: Chad Deakins, CFA Co-Manager: Andrew Atkins ~ - - - 1999 2000 2001 2002 2003 2004 2005 2006 First Quarter 1.90% -0.60% - 12.20% 0.85% -8.20% 4.77% -1.00°/ 9.79% Second Quarter 4.30% -4.30% -1.40% -1.47% 20.08% 0.17% -1.71 Third Quarter 5.70% -8.50% - 15.50% -20.53% 8.90% -0.90 % 10.86% Fourth Quarter 16.40% -4.70% 4.50% 5.70% 17.02% 16.36% 4.53% Fund 30.70°/ -17.10% -23.50% -16.50% 40.54% 21.06 % 12.76% 9.79% MSCI EAFE GDP Weighted 29.50% -15.40% -23.30% -17.30% 40.00% 20.15% 10.19ib 9.67°~~ Lipper Intemational Funds A~era~ 37.80% -14.70% -19.30% -16.70% 34.70% 18.05% 14.70% 9.70% ~ ~~~ ~ ~~. $25,000 $20,000 $15,000 $10, 000 $5,000 Jun- Jun- Jun- Jun- Jun- Jun- Jun- Jun- Jun- Jun- Jun- Jun- 94 95 96 97 98 99 00 01 02 03 04 05 Fund MSCI EAFE GDP Weighted ~ - - - - 3 Year Alpha Beta R-Squared Sharpe Ratio Std. Deflation Fund 0.17 0.96 0.98 2.74 10.89 MSCI SAFE GDP Weighted 0.00 1.00 1.00 2.54 11.18 Lipper Intemational Funds -0.08 1.00 0.91 0.64 11.09 Past performance does not guarantee future results. The performance data quoted represents past performance, and current returns may be lower or higher. Total return figures include change in share price, reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. For performance data current to the most recent month end, visit our website at www.sticlassicfunds.com ~~ City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 22 Period Ending I SunTrust Retirement Mid-.Cap Equity Fund December 31, 2005 Fund Description FundxPhilosophy Please refer to appendix for full disclosure. Value Blend Growth NAV: Large Assets (mil): Medium Small Investment Category Mid-Cap Blend Market Capitalization ($bil) 9.3 7.6 Price-to-Book 2.4x 2.Ox P/E (12 months trailing) 14.8x 18.3x Return on Equity 19.5% 16.4% $32.85 $33.85 .. - Security Equity Security Equity McGraw -Hill Cos. 1.7% Lincoln National Corp. 1.3% Bear Stearns Cos. 1.7% Edison International 1.2% American Electric Pow er C 1.4 % Pilgrim's Pride Corp. 1.2°/ Cn" Group Inc. 1.4% Smithfield Foods Inc. 1.2% Coventry Health Care Inc. ' 1.3% Timken Co. 1.2% • • • - Russell Characteristic Fund Mid-Cap Dividend Yield 1.1 % 1.4% EPS Growth (5 yr est.) 13.5% 13.9% The Fund seeks long-term capital growth Cash: 0.0% by investing in domestic corporations with Stocks: 100.0% a market capitalization between $1 billion and $10 billion. The Fund is designed to comply with guidelines that are based principally on Florida laws governing the u.s.sl«v~ investment of municipal retirement plans ,m.o~ for fire, police and general government can oox employees. Consumer Discretionary Consumer Staples Energy Fnancials Healthcare Industrials Infornntion Technology tvtaterials Telecom Services Utiltties 16.7 % 17.4 4.7% s.o % s.o % 7.a % r7.o% 21.0 13.1 10.7 1os % 9.8 18.2 14.5 4.6 4.9 o.e % I 1.7% ~/ 7.6 - • ~ - • • - - Annualized Three One Three Five Seven Inception Months Year Years Years Years 12/1996 Fund 1.8% 15.5% 20.5% 4.3% 11.6% 14.1 Russell Mid-Cap Index 2.4% 12.7% 23.8% 8.5% 9.8% 11.8% Lipper Mid Cap Core Funds Avg 2.5% 10.3% 20.1 % 6.5% 7.1 % 10.6% ~ ~ ..~~ . City of Winter Springs General Employees' Pens ion Plan TRLISCO CAPITAL MANAGEMENT 23 Period Ending SunTrust Retirement Mid-Cap Equity Fund -continued December 31, 2005 Manager's Duarterly Perspective The Russell Mid Cap was up 1.9% in the 4th quarter of 2005. Materials stocks had the best performance, advancing 8.2%. The Telecommunications sector was up 6.5%, while the Industrial and Financials sector each advanced about 4.9%. The worst performance came from Utilities, which declined 5.7%. Energy was down 3.6% and Staples down 2.4%. The Russell Mid Cap Growth index returned 3.2% and the Russell Mid Cap Value index returned 0.7%. The Mid Cap Equity Fund trailed the Russell Mid Cap index by 0.6%. During the quarter we added to the Healthcare, Information Technology, and Materials sectors and reduced the weighting of Consumer Discretionary and Utilities sectors. Fund Manager: Chad Deakins, CFA Please refer to appendix for full disclosure. ~ - .. - 1998 1999 2000 2001 2002 2003 2004 2005 First Quarter 13.8% -0.6°/ 21.5% -11.7% -5.5% -4.9% 3.8% 1.6% Second~uarter -1.3°/ 19.1% -1.5% 16.5% -13.4% 14.1% 0.5% 5.4% Third Quarter -17.9% -3.1% 6.0% -21.0% -15.3% 4..5% 0.2% 6.0% Fourth Quarter 25.9% 35.8% -11.6% 24.5% 0.5% 13.2% 13.0% 1 8% Fund 16.0% 55.9% 12.2% 1.2% -30.4% 28.4°,'0 18.0°,'0 15.5°,'0 Russell Mid-Cap Index 10.1°'0 18.2°io 8.3°.b -5.6% -16.2°,% 40.1°,6 20.2°<~ 12.7°,~, Lipper Mid Cap Core Funds Avg 7.8% 28.2% 6.3% -4.9% -17.4% 36.1% 15.5% 10.3% i ~~~ ~~ $35,000 $30,000 $25, 000 $20,000 $ 7 5, 000 $10,000 $s,ooo $o $ In ~ A~ PR ~ A? R R ~ ~ W PI A R X st sp u 5 ~ 5 ~ 5 ~ ~ ~ ~ ~ ~ ~ 5 ~ ~ ~ ~ Fund Russell Midcap Index • - - - - 3Year Alpha Beta R-S uared Sharpe Ratio Std. Deviation Fund -0.21 0.99 0.92 1.61 11.63 Russell Mid-Cap Index 0.00 1.00 1.00 2.07 11.77 Lipper Mid Cap Core Funds -0.28 1.01 0.91 0.42 11.92 City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT 24 Period Ending ~ SunTrust Retirement High Grade Bond Fund March 31, 2006 sh°n ,°~. ~°„ Unit Value: $32.69 The fund seeks to provide a High Assets (mil): $231.83 high level of total return through current income and Medium capital appreciation by ~°W investing in domestic corporate investment grade bonds rated Investment Category A or higher by major credit Intermediate-Term Bond rating agencies and U.S. Government securities. ~ - - ~ Sector Fund ML GIC A+ US Treasury 70.7% 50.0°0 0-1 Year TIPS 5.1 % 0.0°-~ AgencylGov Related 0.0% 25.0°0 Mortgages 9.8% 0.0°~0 1-3 Years Corporate Bond 10.9% 25.0°0 Cash 3.5% 0.0°io 3-5 Years Characteristic Fund ML G/C A+ 5-7 Years Average Rating AGY AAA Average Coupon 4.3% 5.2 7-10 Years Current Yeld 4.4% 5.1 Yeld-to-Maturity Average Maturity 5.0% 7.2 5.2 10 + Years 7.1 Effective Duration 4.7 4.8 ~.~°~° 38.5% ~ iwL u/C A+ Annualized Three One Three Five Ten Inception Months Year Years Years Years 8/31/1989 Fund -1.15% 1.68% 2.56% 5.13% 6.30% 7.56% Merrill Lynch G/C A Rated and Above Index -0.93% 2.12% 2.42% 5.00% 6.23% 7.28% This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. ~~~ Cash: Bonds: 3.5% 96.5% Bonds ss.s r Cash 3.5% City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT ( 25 . Period Ending SunTrust Retirement High Grade Bond Fund March 31, 2006 The economy rebounded from the weak, hurricane impacted, final quarter of 2005. First quarter GDP is predicted to exceed 4%. Employment and manufacturing sectors are healthy, and housing has slowed only slightly. The Fed raised the Funds target twice in the quarter to 4.75%. Interest rates rose approximately 50 basis points in the quarter and returns of bond indexes were slightly negative, similar to last year's third quarter. Because credit spreads are extremely narrow, driven by strong demand and limited supply, we maintained our defensive strategy in the quarter. Despite this cautious posture and bias towards Treasuries, we are making active decisions regarding security selection and sector allocations. We are significantly underweight the corporate and mortgage sectors, continue to opportunistically own TIPS and, as always, are neutral duration to the index. The resulting performance for the fund modestly lagged the index's results. We believe that current valuations are not sustainable and do not justify the greater risk of overweighting corporates and mortgages. We think the more likely outcome will be wider yield spreads and better buying opportunities as we move into the latter stages of the current economic expansion. 2000 2001 2002 2003 2004 2005 2006 First Quarter 2.26% 3.15% -0.49% 1.56% 2.90% -0.1 1 % -1.15% Second quarter 0.73% 0.17% 4.21 % 2.52% -2.96% 3.01 Third Quarter 2.50% 5.15% 5.74% -0.41% 3.27% -0.88% Fourth Quarter 4.88% -0.09% 1.53% -0.06% 0.97% 0.76% Fund 10.73% 8.55% 11.33% 3.63% 4.12% 2.76% -1.15°% Merrill Lynch G/C A+ Index 12.44°io 8.16°0 11.63% 3.20°i° 3.73°i° 2.62°~ -0.93' $35,000 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 Aug-89 Aug-92 Aug-95 Aug-98 Aug-01 Aug-04 Fund ML G/C A+ Fund Managers: John Talty, CFA Perry Troisi This fund is a collective fund managed by Trusco Capital Management and trusteed by SunTrust Bank. ~, City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 2s Period Ending March 31, 2006 FUCICI AttrlbUtlOCI SUCYII'Yla,r~/ -Appreciated more than 15% SunTrust Retirement High Grade Growth'Plund Please refer to Appendix for full disclosure. CISCO SYS INC COM NCR CORP NEW COM WALT DISNEY CO COM UNION PACIFIC CORP COM HEWLETT PACKARD COM $ $ $ $ $ 663,947.84 1,020,575.80 679,789.20 1,004,764.80 905,280.60 $ $ $ $ $ 928,602.84 1,070,241.90 673,822.40 592,772.50 885,997.00 26.58 23.13 16.35 16.32 15.19 SunTrust Retirement Mid Ca Fund MEMC ELECTRONIC MATERIALS $ 174,322.71 $ 367,501.68 66 53 NVIDIA CORP COM $ 222,467.60 $ 496 615.98 . 56 62 SOTHEBYS HLDG CORP CL A C $ - $ , 371,305.44 . 46 10 CORNING INC COM $ 166,303.94 $ 288,690.08 . 36 93 ARCHER DANIELS MIDLAND CO $ 198,956.88 $ 416,856.20 . 36 87 BROADCOM CORP CL A COM $ 219,341.80 $ 378,038.44 . 36 76 GRANITE CONSTR INC COM $ 149,996.07 $ 358,236.12 . 35 84 CITRIX SYS INC COM $ 272,791.35 $ 455,558.00 . 31.92 ALLIANCE DATA SYS CORP CO $ 221,182.80 $ 351,383.01 31.38 AMERICAN EAGLE OUTFITTERS $ 164,720.64 $ 258,647.32 30 27 E TRADE FINL CORP COM $ 244,354.04 $ 555,383.30 . 29 34 HUGHES SUPPLY INC COM $ 289,596.30 $ - . 27.53 MARATHON OIL CORP COM $ 331,737.77 $ 476,291.01 25 47 CLAIRES STORES INC COM $ 196,153.86 $ 344,945.00 . 24 62 NCR CORP NEW COM $ 288,014.84 $ 449,367.87 . 23 13 HARSCO CORP COM $ 227,643.72 $ 439,125.30 . 23.00 LAM RESH CORP COM $ 258,430.24 $ 394,869.00 20 52 BEAR STEARNS COS INC COM $ 572,335.62 $ 660,628.10 . 20 30 SOUTHERN COPPER CORP DEL $ - $ 270,167.04 . 18 94 CSX CORP COM $ 250,245.33 $ 397,909.20 . 18 04 AMPHENOL CORP COM CL A $ 308,713.50 $ 460,331.96 . 17 96 CUMMINS INC COM $ 267,933.78 $ 379,411.00 . 17 46 CIGNA CORP COM $ 338,562.70 $ 483,163.38 . 16 96 FMC CORP COM NEW $ 260,373.49 $ 208,686.66 . 16 91 VALERO ENERGY CORP NEW CO $ 330,910.80 $ 361,071.20 . 15 97 WEATHERFORD INTL LTD COM $ 192,004.80 $ - . 15 52 PHELPS DODGE CORP COM $ 383,701.29 $ 379,296.30 . 15 21 MILLER HERMAN INC COM $ 137,257.11 $ 285,897.60 . 15 21 THOMAS 8 BETTS CORP COM $ - $ 304,786.16 . 15.04 SunTrustRetiremenLlii kf Grade E a~ Income fund' MSC INDUSTRIAL DIRECT CO $ 90,495.00 $ 118,844.00 34 66 BELLSOUTH CORP BLS GROUP $ 233,060.00 $ - . 27 73 ENGELHARD CORP COM $ 101,454.75 $ - . 25.89 MARATHON OIL CORP COM $ 249,977.00 $ 312,297.00 25 47 TEKTRONIX INC COM $ 98,735.00 $ - . 24 30 PARKER HANNIFIN CORP COM $ 93,399.36 $ 122,204.76 . 22.56 ROCKWELL AUTOMATION INC C $ 156,774.00 $ 190,561.50 21.93 BEAR STEARNS COS INC COM $ 207,954.00 $ 235,790.00 20 30 HENRY JACK & ASSOC INC CO $ 95,850.89 $ 120,547.77 . 20.09 OFFICEMAX INC DEL COM $ 60,407.52 $ 79,407.44 19 56 WASTE MANAGEMENT INC COM $ 104,707.50 $ 121,785.00 . 17.03 MERRILL LYNCH & CO INC CO $ 105,116.96 $ 130,111.52 16 66 PALL CORP COM $ 112,140.50 $ 102,147.25 . 16 53 AT & T INC COM $ 117,552.00 $ - . 15 94 HONEYWELL INTL INC COM $ 240,560.50 $ 259,100.66 . 15.43 SunTlrustRetiremenfHi h°Gri~de°Bond fund` NO SECURITIES APPRECIATED MORE THAN 15% - - SunTrust RetiremenYHi h'Grade ntermediate Bond Fund NO SECURITIES APPRECIATED MORE THAN 15 0 - _ SunTrusf Retirement Hi h Grade Relative'Value fund. ARCHER DANIELS MIDLAND CO $ 594,799.20 $ 521,575.00 36 87 CISCO SYS INC COM $ 773,173.44 $ 717,103.64 . 26 58 BELLSOUTH CORP BLS GROUP $ - $ 614,171.25 . 25 32 GOLDMAN SACHS GROUP INC C $ 730,118.07 $ 605,865.60 . 23 08 TEXTRON INC COM $ 583,893.30 $ 416,519.40 . 21 82 DOVER CORP COM $ 425,145.00 $ 620,111.20 . 20 35 ~ WALT DISNEY CO COM $ 602,917.41 $ 522,323.92 . 16.35 HEWLETT PACKARD COM $ 347,711.35 $ 379,008.00 15.19 ~ '1 City of Winter Springs General Employees' Pension Plan TRLISCO CAPITAL MANAGEMENT 27 March 31, 2006 p Period Ena~ng I F U n CI Att CI b U t I O n S U n'1 I"1'1 a ry -Appreciated more than 15 /p SunTrusf Retirement Smalt Cap`'Equity Fund SunTrust'ReUiement SmalCCap Equity fu~tf`fContintied Please refer to Appendix for full disclosure. ILLUMINA INC COM $ 69,090.00 $ 73,625.00 68.44 AEROFLEX INC COM $ 185,437.50 $ 219 748 65 27 72 ART TECHNOLOGY GROUP INC $ 34,252.96 $ 50,076.00 63.78 ARENA PHARMACEUTICALS INC $ 192,545.50 $ , . 212 792 50 . 27 45 XYRATEX LTD $ - $ 96,768.00 57.81 SUPERIOR ENERGY SVCS INC $ 110 512.50 $ , . 135 289 50 . 27 27 FLOW INTL CORP COM $ 157,875.00 $ 236,401.50 56.47 GENLYTE GROUP INC COM $ , 206 244.50 $ , . 238 490 00 . 27 20 DOVER DOWNS GAMING & ENTM $ 65,090.00 $ 64,221.50 54.27 NEOWARE INC COM $ , 30,290.00 $ , . 161 606 72 . 27 12 TTM TECHNOLOGIES INC COM $ 43,428.00 $ 120,267.00 54.15 NATUS MEDICAL INC COM $ 131,541.00 $ , . 171 175 00 . 27 01 TETRA TECHNOLOGIES INC DE $ 111,398.00 $ 103,488.00 54.13 TRIMBLE NAV LTD COM $ 173,901.00 $ , . 198 220 00 . 26 94 GENERAL CABLE CORP DEL NE $ 179,270.00 $ 198,661.50 53.96 CAVCO INDS INC DEL COM $ 90,225.96 $ , . 121 815 13 . 26 93 NETLOGIC MICROSYSTEMS INC $ 123,942.00 $ 168,013.77 51.28 ANSYS INC COM $ 125,935.50 $ , . 154 327 50 . 26 84 WOODWARD GOVERNOR CO COM $ - $ 107,464.00 50.21 TIDEWATER INC COM $ 160,056.00 $ , . - . 26 59 SFBC NTL INC COM $ 101,663.50 $ - 50.21 AFFILIATED MANAGERS GROUP $ 134,017.50 $ - . 25 89 NUANCE COMMUNICATIONS INC $ - $ 98,837.89 49.44 ANADIGICS INC COM $ - $ 102 700 00 . 25 80 PACKETEER INC COM $ 88,205.04 $ 64,983.20 49.29 PETMED EXPRESS INC COM $ 119,523.95 $ , . 78 809 95 . 25 41 ALERTS INTL INC COM $ 156,331.76 $ 185,069.50 49.10 PACER INTL INC TENN COM $ 119 876.00 $ , . 148 694 00 . 25 40 ENCORE WIRE CORP COM $ 187,770.00 $ 64,372.00 48.86 DITECH COMMUNICATIONS COR $ , 86 422.50 $ , . 103 977 50 . 25 15 KENDLE INTL INC COM $ - $ 134,895.80 48.45 DJ ORTHOPEDICS INC COM $ , $ , . 115 304 00 . 24 98 EMGOR GROUP INC COM $ 91,975.86 $ 112,926.84 47.08 BOTrOMLINE TECHNOLOGIES I $ 134,961!94 $ , . 174 329 81 . 24 59 HOLOGIC INC COM $ 141,289.92 $ 178,559.10 45.97 PHOTRONICS INC COM $ 100 149.00 $ , . 109 746 00 . 24 57 NCI BLDG SYS INC COM $ 157,176.00 $ 164,367.50 40.70 DRESS BARN INC COM $ , 158,301.00 $ , . 170 222 50 . 24 19 VENTIV HEALTH INC COM $ 184,755.64 $ 225,896.00 40.64 CORN PRODUCTS INTL INC CO $ 109,894.D0 $ , . 130 108 00 . 24 11 INFOCROSSWG INC COM $ 44,341.50 $ 104,835.00 39.95 SEROLOGICALS CORP COM $ 154,959.00 $ , . 184 673 00 . 23 91 ROGERS CORP COM $ 94,032.00 $ 125,304.00 39.05 MULTI-FINELINE ELECTRONIX $ - $ , . 35 094 00 . 22 76 JOS A BANK CLOTHIERS INC $ 238,755.00 $ 258,930.00 38.07 ANSOFT CORP COM $ 108,960.00 $ . , 104 225 00 . 22 44 TAAN~MONTAIGNE INC COM $ 32,610.60 $ - 37.45 CARRIER ACCESS CORP COM $ 80 522.00 $ , . 17 927 56 . 21 86 COLDWATER CREEK INC COM $ 116,594.07 $ 143,253.40 36.59 TOO INC COM $ , 197,470.00 $ , . 231 862 50 . 21 77 PIPER JAFFRAY COS COM $ 115,140.00 $ 140,250.00 36.14 TEXAS INDS INC COM $ 174 440.00 $ , . 202 641 50 . 21 52 TOLLGRADE COMMUNICATION I $ 110,393.00 $ 116,808.00 36.14 STEVEN MADDEN LTD COM $ , 92 074.50 $ , . 89 708 50 . 21 45 EURONET WORLDWIDE INC COM $ 58,380.00 $ 115,381.50 36.08 WABTEC CORP COM $ , 153,330.00 $ , . 179 300 00 . 21 23 PW EP.GLE INC COM $ 42,824.50 $ 33,054.20 35.98 CBIZ INC COM $ - $ , . iD1 600 00 . 20 39 MICROTUNE INC COM $ 80,064,00 $ - 35.80 METROLOGIC INSTRS INC COM $ 161,784.00 $ , . 135 310 50 . 20 09 ULTIMATE SOFTWARE GROUP I $ 183,072.00 $ 196,460.00 35.55 STELLENT INC COM $ 125,118.00 $ , . 103 182 00 . 19 74 MERIDIAN BIOSCIENCE INC C $ 107,749.00 $ 138,947.00 34.53 POWER ONE INC COM $ 127,624.00 $ , . 131 4D0 00 . 19 60 CARPENTER TECHNOLOGY CORP $ 170,889.75 $ 200,855.00 34.34 PHOENIX COMPANIES INC COM $ 93,434.00 $ , . 107 580 00 . 19 50 GARDNER DENVER INC COM $ 128,377.20 $ 114,360.80 32.25 SIMPSON MANUFACTURING CO $ 112,975.80 $ , . 112 926 40 . 19 34 PRESSTEK INC COM $ 126,108.00 $ 145,156.20 31.64 COPART INC COM $ 166,032.00 $ , . 164 700 00 . 19 04 MIPS TECHNOLOGIES INC COM $ 40,328.00 $ 59,500.96 31.34 CYPRESS SEMICONDUCTER COR $ 152,475.00 $ , . 148 312 50 . 18 95 MUELLER INDS INC COM $ 72,663.00 $ 119,561.50 30.52 LIFEGELL CORP COM $ 95,200.00 $ , . 156 722 50 . 18 43 MOBIL= MINI INC COM $ 182,490.00 $ 148,416.OD 30.46 TECHNITROL INC COM $ - $ , . 63 547 00 . 18 08 CREE NC COM $ 123,676.00 $ 172,252.50 29.99 PHILLIPS VAN HEUSEN CORP $ 160,360.00 $ , . 196 781 50 . 18 05 LIVEPERSON INC COM $ 63,112.50 $ 78,192.00 29.06 CHEMED CORP NEW COM $ $ , . 133 515 00 . 17 67 ASV INC COM $ 113,659.00 $ 152,497.26 28.98 MOLECULAR DEVICES COM $ - $ , . 134 298 00 . 17 47 AARON RENTS INC COM $ 134,912.00 $ 171,171.00 28.96 ORANGE 21 INC COM $ 63,065.60 $ , . 33 553 00 . 17 41 SCIENTIFIC GAMES CORP CL $ 108,710.80 $ 46,898.55 28.78 TRIPATH IMAGING INC COM $ 86,933.72 $ , . 69 451 00 . 15 56 GIBRA_TAR INDS INC COM $ 50,468.00 $ 61,866.00 28.64 KONA GRILL INC COM $ 13,166.50 $ , . - . 15 38 ACCESS INTEGRATED TECHNOL $ $ 79,695.70 28.50 RLI CORP COM $ 98,443.38 $ 107 380 20 . 15 24 AMCOL INTL CORP COM $ - $ 58,752.00 28.46 MILLER HERMAN INC COM $ 122,626.50 $ , . 136 080 00 . 15 21 CHILDREN-S PLACE COM $ - $ 153,435.00 28.17 OCEANEERING INTL INC COM $ 47,291.00 $ , . 57 300 00 . 15 11 CYMER INC COM $ 131,387.00 $ 147,680.OD 27.96 LABOR READY INC COM $ 108,264.00 $ , . 107,775.00 . 15.03 City of Winter Springs General Employees' Pension Plan TRlISCO CAPITAL MANAGEMENT 2$ Period Ending I FUCICI Attf IbUtlOn SUYI'1C71a1'y -Depreciated more than 15% March 31, 2006 Please refer to Appendix for full disclosure. SunTrust Retirement Hi h Grade Growth Fund NO SECURITIES DEPRECIATED MORE THAN 15 % - _ SunTrustRetirement Hi h Grade E ui Income Fund NO SECURITIES DEPRECIATED MORE THAN 15% - - SunTrust Retirement Hi h Grade'Relative Value Fund- INTEL CORP COM $ 758,908.80 $ 435,904.00 -21.67 SunTrusYRetirementMidCa 'Fund PILGRIMS PRIDE CORP COM $ 406,408.96 $ - -35.53 GOODYEAR TIRE 8 RUBR CO C $ - $ - -26.06 AUTODESK INC COM $ 210,357.00 $ - -17.05 SunTrust Retirement Hi h Grade Bond Fund NO SECURITIES DEPRECIATED MORE THAN 15% - _ SunTrust Retirement Hi h Grade Intermediate Bond Fund NO SECURITIES DEPRECIATED MORE THAN 15% - - SunTrustRetirementSmalfCa E ui .Fund MERGE TECHNOLOGIES INC CO $ 76,372.00 $ 36,299.81 -36.22 VIROPHARMA INC COM $ 146,150.00 $ 99,695.00 -31.35 IRIS INTL INC COM $ 107,114.00 $ 49,234.50 -28.50 MIKOHN GAMING CORP COM $ 128,665.32 $ - -23.68 STANDARD MICROSYSTEMS COR $ - $ 27,279.00 -23.52 PORTALPLAYER INC COM $ 73,632.00 $ 78,916.50 -21.50 SMBA COM $ 60,490.50 $ 45,825.00 -21.02 ASPECT MEDICAL SYS INC CO $ 235,057.05 $ 186,399.92 -20.12 BENTLEY PHARMACEUTICALS I $ 146,459.25 $ 112,761.25 -19.87 AMEDISYS INC COM $ 171,072.00 $ 123,362.50 -17.73 MODINE MFG CO COM $ 60,291.50 $ - -17.48 VASCO DATA SEC INTL INC C $ 78,317.98 $ 69,530.00 -17.04 WEBSENSE INC COM $ 164,100.00 $ 162,722.00 -15.97 M-SYSTEMS FLASH DISK PION $ 102,672.00 $ - -15.81 O2MICR0 INTL LTD SPONS AD $ - $ 69,626.50 -15.20 City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 12s Period Ending March 31, 2006 Please refer to Appendix for full disclosure. Corporate Governance • What is CGQ? • Corporate Governance Quotient (CGQ) is a rating system designed to assist institutional investors in evaluating the quality of corporate boards and the impact their governance practices may have on performance. The CGQ uses a comprehensive set of objective and consistently applied criteria to each of the companies rated. • What companies are covered in the CGQ database? • The database features corporate governance ratings on more than 5, 500 U. S. companies. • How are CGQ scores determined? ~ Ratings are calculated on the basis of eight core categories: > Board of Directors > Audit > Charter and bylaw provisions > Anti-takeover provisions > Executive and director compensation > Progressive practices > Ownership > Director education All scores are expressed on a relative basis compared to a company's industry and index group. Source: ISS .:.~: City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT 30 Period Ending March 31, 2006 .Top Quartile ®2nd Quartile 3rd Quartile Bottom Quartile High Grade Fund's Corporate Governance Ratings es.s% 81.1 % 62.9 % Average Score 87.4 Average Score 85.7 Average Score 87.0 .. - - - .. 2.6 % 6.9 % ow ca_ . e.. 32.0 Please refer to Appendix for full disclosure. Average Score 60.2 ..- :. .- oo% _ __ , o00 oo.o°r, Average Score 95.., City of Winter Springs General Employees' Pension P 71.1 Average Score 8y .7 ..- :. 0.0 % 4.2 % z.7 % 14.9 % 4.9% 12.2 Period Ending March 31, 2006 ^Top Quartile ^2nd Quartile 3rd Quartile Bottom Quartile High Grade Fund's Corporate Governance Ratings High Grade Growth es s % • • - - - - 2.7 % 4.9 a, ., % Please refer to Appendix for full disclosure. ..- • 4.9 12.2 % Bottom Quartile CGp NONE Bottom Quartile C.GQ New York Community Bancorp Inc. 23.40 Bottom Quartile CG© NONE 82.9 ;r ""-'° __ '_. ~_ City of Winter Springs General Employees' Pension Plan TRUSCO CAPITAL MANAGEMENT s2 Period Ending I High Grade Fund's Corporate Governance Ratings March 31, 2006 ^Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile .• • e.aw. 2<0~ 32.0 35.1 Y 2 6Y 2a.6°ie 1 BY. >> ,Y .. - :. o.o•e ioo.o e o.o o.o ~ <.z% 95.8 0 Please refer to Appendix for full disclosure. ooe Small Cap Bottom Quartile CGS ' Li~Person Inc. 23.0 Hi-Tech Pharmacal Co. Inc. 20.6 Hologic Inc. 20.5 W Holding Co. tnc. 20.3 Rocky Shoes & Boots Inc. 19.7 Conn's Inc. 19.3 Atmel Corp. 18.9 Genlyte Group Inc. 18.3 Central European Distribution Corp. 18.2 Entrust Inc. 18.2 Performance Technologies Inc. 18.2 Aaron Rents Inc. 17.3 Radyne Corp. 15.8 Escala Group Inc. 15.7 Gibraltar Industries Inc. 14.6 PortalPlayer Inc. 10.7 Palomar Medical Technologies Inc. 9.7 Mid Gap`Bottom Duartile cc4 Southern Copper Corp. 20.3 Dillard's Inc. 8.2 HG`Bond Bottom Qluartile CGQ: `- None HG lint. Bond Bottom f~ualrtile CGS None City of Winter Springs General Employees' Pension Plan TRlISCO CAPITAL MANAGEMENT ~ 33 Q~~~3 ~aJ Table of Contents Page I. SCOPE ........................................................................................ . 3 II. INVESTMENT OBJECTIVES ............................................................ 3 III. PERFORMANCE MEASUREMENT .................................................... 3 IV. INVESTMENT AND FIDUCIARY STANDARDS ................................... 4 V. AUTHORIZED INVESTMENTS ..........:.............................................. 5 VI. MATURITY AND LIQUIDITY REQUIREMENTS .................................. 6 VII. PORTFOLIO COMPOSITION ............................................................ 7 VIII. RISK AND DIVERSIFICATION ......................................................... 8 IX. EXPECTED ANNUAL RATE OF RETURN .......................................... 8 X. THIRD PARTY CUSTODIAL AGREEMENTS ....................................... 8 XI. MASTER REPURCHASE AGREEMENT .............................................. 8 XII. BID REQUIREMENT ....................................................................... 8 XIII. INTERNAL CONTROLS .................................................................. 9 XIV. CONTINUING EDUCATION ............................................................. 9 XV. REPORTING .................................................................................. 9 XVI. FILING OF INVESTMENT POLICY ................................................... 9 XVII. VALUATION OF ILLIQUID INVESTMENTS ...:................................... 9 Retirement System Investment Policy City of Winter Springs Page 2 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' RETIREMENT SYSTEM INVESTMENT POLICY STATEMENT I. Scope A. The City Commission of Winter Springs ("City") has adopted this investment policy statement for the investment of the General Employees' Retirement System ("Plan") assets to be administered by the Board of Trustees ("Board") of the General Employees' Retirement System in accordance with applicable Florida State Statutes and City Ordinances. To that end, this investment policy is intended to set forth the investment objectives and parameters for the management of those assets in a manner designed to fulfill the requirements of the Board's fiduciary investment responsibilities. B. The Board recognizes their responsibility for the investment of the Plan's assets, and in order to implement this function, the Board is authorized by law to retain the services of Investment Managers who possess the necessary skilled personnel and facilities to provide the expertise with respect to the investment of the Plans funds. C. This investment policy will be reviewed annually by the Board and may be revised upon the City's approval. II. Investment Objectives A. The foremost obj ective of this investment policy is the proper investment of the assets of the Plan in order to provide ongoing pension benefits to the Plan's members and their beneficiaries. B. The Board will strive to increase the Plan's total rate of return through capital appreciation and income while limiting the amount of risk exposure to the Plan. The methodology to determine the Plan's risk/return characteristics is through a diversification of investments across various asset classes detailed in Section V. C. Additionally, the Board will try to keep losses at a minimum due to erosion of market value or from security defaults. To that end, investment managers will trade securities from time to time to improve yield, maturity, quality, credit risk, and total return potential. D. The assumed actuarial rate of return, over a market cycle (3-5 years), along with the annualized total return for the Plan should exceed the rate of inflation as measured by the Consumer Price Index ("CPI") by 4 percent. III. Performance Measurements A. The Board shall adopt performance measurements for the Plan's assets to be reviewed on a quarterly basis and evaluated based on a market cycle of 3-5 years. The Board may retain the services of an independent investment consultant to assist in monitoring the investment Retirement System Investment Policy City of Winter Springs Page 3 performance of the Plan's individual investment managers. Such performance is measured to determine the following: If the investment manager has performed according to this investment policy. 2. If the investment manager has performed within the appropriate investment style. How the manager has performed in relation to the performance measurements for the appropriate asset class. B. The performance measurement indexes on the asset categories are as follows: 1. The Plan's total fund return will be compared to the CPI Index as an inflationary measurement and the actuarial interest assumption as described in Section IX. 2. The Plan's fixed income portfolio return will be compared to the weighted average return of the Lehman Aggregate Bond Index or equivalent. The Plan's domestic equity portfolio return will be compared to the weighted average return of the Standard and Poor's 500 Index or equivalent. 4. The Plan's international portfolio return will be compared to the weighted average return of the Morgan Stanley Europe, Australia, & Far East (EAFE) Index or equivalent. The Plan's emerging markets portfolio return will be compared to the weighted average return of the MSCI Index for Emerging Markets or equivalent. IV. Investment and Fiduciary Standards A. The Plan's assets will be invested in a manner consistent with the standards set forth in: The Employee Retirement Income Security Act of 1974 at 29 U.S.C. s. 1104(a)(1)(A)- (C). Chapters 112 and 518, Florida Statutes. City of Winter Springs Ordinances. 4. The Plan's Investment Policy Statement. The Pension Plan document. 6. In the event of a conflict within these provisions or any other provisions of law authorizing investments, the investment and fiduciary standards set forth in Section 112.661(4), Florida Statutes and item 1 above shall prevail. B. The Board will adhere to the Prudent Person standard and this standard shall be applied in the context of managing the overall Plan. The Prudent Person standard is as follo~.'s: Retirement System Investment Policy City of Winter Springs Page 4 "Investments shall be made with judgment and care, under circumstances then prevailing, which persons of prudence, discretion and intelligence exercise in the management of their own affairs, not for speculation, but for investment, considering the probable safety of their capital as well as the probable income to be derived from the investment." C. Any person or firm hired or retained to invest, monitor, or advise concerning these assets shall be held to the higher standard of Prudent Expert. The standard shall be that in investing and reinvesting moneys and in acquiring, retaining, managing, and disposing of investments of these funds, the contractor shall exercise: the judgment, care, skill, prudence, and diligence under the circumstances then prevailing, which persons of prudence, discretion, and intelligence, acting in alike capacity and familiar with such matters would use in the conduct of an enterprise of like character and with like aims by diversifying the investments of the funds, so as to minimize the risk, considering the probable income as well as the probable safety of their capital. V. Authorized Investments A. Funds placed with investment managers are to be invested only in those authorized classes of investments as contained in this investment policy. Investments should be made subject to the Plan's cash flow needs and such cash flows are subject to revision due to changes in the Plan's needs and market conditions. Investments not listed in the investment policy are prohibited. B. The authorized classes of investments for the Plan are as follows: Obligations guaranteed as to principal and interest by the United States government. 2. Bonds, securities, and certificates of indebtedness of United States government agencies. Obligations guaranteed as to principal and interest by government-sponsored agencies of the United States government. 4. The Florida Local Government Surplus Funds Trust Fund (SBA). Commercial Paper rated in the highest category by a nationally recognized rating service. If a Letter of Credit (LOC) backs the Commercial Paper, the long-term debt of the LOC provider must be rated A or better by at least two nationally recognized rating services. 6. Bankers Acceptances of United States banks or a federally chartered domestic office of a foreign bank, which are eligible for purchase by the Federal Reserve System, rated in the highest category by a nationally recognized rating service. 7. Corporate bonds or notes, registered or unregistered under Rule 144A, issued by firms organized and operating within the United States or by depository institutions licensed by the United States rated (A) or equivalent by a nationally recognized rating service at the time of purchase. Rule 144A bonds or notes must include rights ofregistration. Any bond or note that falls below investment quality must be eliminated immediately. Retirement System Investment Policy City of Winter Springs Page 5 General Obligation and/or Revenue Bonds of state or local government taxable or tax- exempt debt rated A, for long term debt, by a nationally recognized rating service or rated MIG-2 or SP-2, for short term debt, by a nationally recognized rating service. 9. Intergovernmental investment pools authorized pursuant to the Florida Interlocal Cooperation Act provided in Section 163.01, Florida Statutes. 10. Common and preferred stocks from domestic or foreign corporations. 11. Real estate and real estate securities as deemed proper investments by the Board. 12. Repurchase Agreements The Plan's investment managers may invest in repurchase agreements composed of only those investments authorized in numbers 1, 2, and 3 (above). All firms are required to sign the Plan's Master Repurchase Agreement prior to the execution of a repurchase agreement transaction. b. A third party custodian with whom the Plan has a current custodial agreement will hold the collateral for all repurchase agreements with a term longer than one (1) business day. A clearly marked receipt that shows evidence of ownership must be supplied to and retained by the Plan's investment manager. Securities authorized for collateral must have maturities less than 10 years with a market value for the principal and accrued interest of 102% of the value and for the term of the repurchase agreement. Immaterial short-term deviations from 102% requirement are permissible only upon the approval of the Pension Plan Administrator. 13. Mutual funds registered under the Investment Company Act of 1940. VI. Maturity and Liquidation Requirements A. The Plan's maximum investment maturities for the following securities are as follows: The overall duration of the principal return for the Plan will be less than 140% of the Lehman Aggregate Bond Index. 2. For commercial paper, 180 days or less from the date of purchase. For bankers' acceptances, 180 days or less from the date of purchase. 4. For repurchase agreements, 90 days or less from the date of purchase. B. On a quarterly basis, the Plan's Actuary will notify the investment manager of the plan's liquidity requirements for the payroll and administrative expenses. Retirement System Investment. Policy City of Winter Springs Page 6 VII. Portfolio Composition The Board has adopted the following long-term target asset mix for the Plan as shown below. 70% of the Plan's assets market value will be allocated to equity investments. Based on market fluctuations, the Board will accept variances of up to five percent (between 65% and 75%) from the above asset target. This target is further allocated as follows: Stock CateEOry Target Range Large Cap Growth* 10% - 30% Large Cap Value* 10% - 30% Small Caps 5% - 20% Mid Caps 5% - 20% International 5% - 20% *2 to 1 Ratio Constraint: the ratio of Large Cap Growth to the Large Cap Value or the ratio of Large Cap Value to Large Cap Growth can be no larger than 2 to 1. This ratio does not apply to the other stock asset categories. 2. 30% of the Plan's asset market value will be allocated to fixed income securities. Cash equivalents are considered part of this asset category and have a target range of 0% to 10% of the allowable 30%. Based on market fluctuations, the Board will accept variances of up to five percent (between 25% and 35%) from the above asset target. Quarterly, the Investment Manager will review the investment portfolio for the purpose of rebalancing assets within the individual asset class target ranges. If the percentage of assets invested in any of the asset classes within the stock or fixed income categories described above falls outside their applicable ranges, the categories would be rebalanced such that the percentage of assets once again falls within the range specified above. The Investment Manager will provide a quarterly rebalancing report to the Board detailing any changes that were required to be made. In addition, the Board will also review the investment portfolio for the purpose of potentially reallocating assets within the individual asset class target ranges based on changes within the capital market environment. 4. Annually, the Board will review these asset allocation targets and will revise the targets if any significant changes occur within the capital market environment. 5. The Plan should have the opportunity to review any changes in proposed investment options as described above. If any new options have higher fees than those originally proposed, Investment Manager should not pass on these higher fees along to the Plan. Any lower fee options employed should result in a fee reduction. Retirement System Investment Policy City of Winter Springs Page 7 VIII. Risk and Diversification A. The Board has adopted a strategy, described in Section VII, whereby the Plan's assets will be diversified to the extent practicable in order to control the risk of loss which might result from an over-concentration of investments in a specific security, maturity, issuer, dealer, or bank through which financial instruments are bought or sold. B. In a further effort to control the risk of loss and assure adequate diversification, the following limitations are imposed upon the investment of the Plan's assets: A maximum of 5% investment in the outstanding common stock of any one company or organization. 2. A maximum of 5% investment in the outstanding debt issuance of any one company or organization. IX. Expected Annual Rate of Return The Board has set the Plan's current expected rate of return at 9% and to the extent the actual rate of return varies from the expected rate of return the gains or losses will be spread over a 5 year moving average period. The short term expected rate of return is 9%, and long term expected rate of return to be at least the actuarial interest assumption rate of 9% along with an additional annualized return that exceeds the rate of inflation measured by the CPI. X. Third-Party Custodial Agreements All securities will be held with the custodial bank under a contractual agreement with the Board. All securities purchased by and all collateral obtained by the investment managers and/or the Board are designated as assets of the Plan. No withdrawal of securities, or transfer of funds, in whole or in part, can be made from safekeeping except by authorization of the Board and written execution by any one of the following: the Board Chairman, Vice-Chairman, or the Plan Administrator. Securities transactions between abroker/dealer and the custodial bank involving the purchase or sale of securities by transfer of money or securities must be made on a "delivery vs. payment" basis, if applicable, to ensure that the custodial bank will have the security or money, as appropriate, in hand at the conclusion of the transaction. XI. Master Repurchase Agreement All approved institutions and dealers transacting repurchase agreements will execute and perform as stated in the Master Repurchase Agreement. All repurchase agreement transactions will adhere to the requirements of the Master Repurchase Agreement. XII. Bid Requirements Each investment manager shall obtain competitive bids and offers on investment transac±ions to the fullest extent possible. The investment managers will make periodic reports to the Board reflecting purchases, sales, or other activity. Retirement System Investment Policy City of Winter Springs Page 8 XIII. Internal Controls A. The Plan Administrator will establish a system of internal controls and written operational procedures to be a part of the Plan's operational procedures. The internal controls should be designed to prevent losses of funds, which might arise from fraud, employee error, and misrepresentation by third parties, or imprudent actions by employees. The written procedures should include reference to safekeeping, repurchase agreements, separation. of transaction authority from accounting and record keeping, wire transfer agreements, banking service contracts, collateral/depository agreements, and "delivery-vs. -payment" procedures. No person may engage in an investment transaction except as authorized under the terms of this investment policy. B. Independent auditors, as a normal part of their annual financial audits, will conduct a review of the system of internal controls to ensure compliance with policies and procedures. Additionally, the Plan's Actuary, Investment Consultant, and the City auditors will complete an annual system review. XIV. Continuing Education Annually, members of the Board have the responsibility for completing continuing education programs in matters relating to the Plan's investments by reading the appropriate materials and by attending the appropriate local and national conferences and seminars as authorized by the Board. XV. Reporting On an annual basis, the Board will provide the City with an investment report regarding the Plan's investment portfolio. The annual report shall provide all, but not limited to, the following: name and type of securities in which the funds are invested, the amount invested, income earned, the book value and the market value of the investment portfolio. Investment reports shall be available to the public. XVI. Filing of Investment Policy A. Upon adoption, the Board will promptly file this investment policy statement with the State of Florida's Department of Management Services, the City of Winter Springs, and the Plan's Actuary. B. The effective date of this investment policy shall be the 30`'' calendar day following the date filed with the City of Winter Springs. XVII. Valuation of Illiquid Investments All illiquid investments for which a generally recognized market is not available or for which there is no consistent or generally recognized pricing mechanism will be given an actuarial valuation by the Plan's Actuary on an annual basis. For each actuarial valuation, the Board must verify the determination of a fair market val~we for those investme *s and ascertain that th ~ a ~~~ e:r ..e~e.:rination co...plies vr'i*u all applicable state and federal requirements. The Board will disclose each illiquid investment to the State of Florida's Department of Management Services and to the City of Winter Springs. Retirement System Investment Policy City of Winter Springs Page 9 Important Disclosure Information For use with STI Classic Funds This material must be preceded or accompanied by a prospectus. An investor should consider the fund's investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information about the STI Classic Funds can be found in the fund's prospectus. To obtain a prospectus, please call 1-800-STI-FUND, or by visiting www.sticlassicfunds.com. Please read the prospectus carefully before investing. Mutual fund investing involves risk, including possible loss of principal. STI Classic Funds are advised by Trusco Capital Management, Inc., which receives a fee for its services, and are distributed by BISYS Fund Services, LP, which is not affiliated with Trusco Capital Management, Inc. MPT STATISTICS/OTHER MEASUREMENTS Alpha - is defined as the difference between the average realized return of a portfolio manager with private information and the expected return of the passive strategy based upon public information with equal systematic risk. Beta - is a measure of an investment's volatility, relative to an appropriate asset class. R-Squared - a statistical measure of how well a regression line approximates real data points; an r-squared of 1.0 (100%) indicates a perfect fit. r-squared measures how well the Capital Asset Pricing Model predicts the actual performance of an investment or portfolio. Sharpe Ratio -also known as Reward-to-Volatility-Ratio, indicates the excess return per unit of risk associated with the excess return. The higher the Sharpe Ratio, the better the performance. Standard Deviation - a statistical measurement of dispersion about an average, which, for a mutual fund, depicts how widely the returns varied over a certain period of time. PORTFOLIO CHARACTERISTICS DEFINITIONS 30 Day SEC Yield - is calculated by dividing the net investment income per share for the 30 days ended on the date of calculation by the offering price per share on that date. The figure is compounded and annualized. 5 Year EPS Growth - is the five-year reported earnings per share growth rate for each company in percent per year. Price-to-Book - is used to compare a stock's market value to its book value. This ratio gives some idea of whether you're paying too much for what would be left if the company went bankrupt immediately. P/E (12 months trailing] - is the price of a stock divided by its historical earnings per share. Return on Equity- is a measure of a corporation's profitability, calculated by taking a company's net income and dividing it by the shareholder's equity. Investments in the STI Classic Funds are not insured by the FDIC or any other Federal agency nor are they guaranteed by any bank, and may lose value. City of Winter Springs General Employees' Pension Plan TRlISCO CAPITAL MANAGEMENT 34 For use with Trusco Separately Managed Accounts, Common and Collective Trust Funds, and SunTrust Retirement Accounts Important Disclosure Information INVESTMENT PERFORMANCE Past performance is not indicative of future results. Performance data related to accounts managed by Trusco represents returns gross of investment management fees. See Trusco's Form ADV, Part II for a description of investment advisory fees. The performance information reported herein may be for a variety of products which have different methods of presenting performance data, i.e. net of fees, gross of fees, or a combination of these. This information should not be evaluated independent of or without reference to the investment advisory agreement that more specifically addresses applicable investment advisory fees. Fees have a compounding effect on cumulative results. For example, assume the account achieves a 10% annual return prior to the deduction of fees each year for a period of ten years. If an annual fee of 0.5% of assets under management were charged each of the ten years, the resulting annual average return net of fees would be reduced to 9.48%. YIELD INFORMATION Yield information more closely reflects the current earnings of the Fund than the total return. In the absence of current fee waivers the yield would be reduced. A SEC Yield relates aggregate net earnings of a fund to its aggregate net assets. In any given period a fund may distribute more or less than its actual income. SECTOR WEIGHTINGS AND PORTFOLIO CHARACTERISTICS The sector weightings and portfolio characteristics are presented as of the date shown in the left-hand corner of this presentation, and may change without notice. A complete list of sector weightings and individual security positions for any specific period are available upon request. ECONOMIC AND MARKET REVIEW This perspective was prepared for clients and prospective clients of Trusco Capital Management, Inc. Neither Trusco nor any affiliations make any representation or warranties as to the accuracy or merit of this analysis for individual use. Comments and projections are based on information available at the time of writing and believed to be accurate, are for informational purposes only, and may not be relied upon for future investing. Investors are advised to consult with their investment professional about their specific circumstances before making any investment decisions. COMMON AND COLLECTIVE FUNDS Are operated by SunTrust Bank as Trustee and managed by Trusco Capital Management, in accordance with the laws of Georgia and applicable banking regulations. They open to investment only by trusts for which SunTrust Bank serves as trustee or qualified retirement plans which adopt the terms of a collective trust. They are not subject to direct regulation by the United States Securities and Exchange Commission and are exempt from registration as securities. The Plan and Declaration documents which govern their operations are available upon request. The sheets should not be used by anyone who is a registered rep absent approval from the compliance office of the broker through whom they are registered. Recent experience suggests that such approval is unlikely. City of Winter Springs General Employees' Pension Plan T TRl1SC0 CAPITAL MANAGEMENT 35