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HomeMy WebLinkAbout2006 05 24 Document Corresponding to Regular 300 (2)Date: May 24, 2006 DOCUMENT CORRESPONDING TO REGULAR AGENDA ITEM 3 00 FOR THE MAY 24, 2006 SPECIAL BOARD OF TRUSTEES MEETING. Institutional Investment Advisor CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Presentation May 24, 2006 Burgess B. Chambers, M.B.A. and Sidney H. Taylor, M.B.A. 1~CA CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN About BCA ^ BCA has evolved during the past 18 years with a business model focused upon defined benefit pension plans now representing $0.8 billion. The firm's average client is $20 million. The largest is $158 million. With local clients like Kissimmee Fire, Cocoa Police, Port Orange Fire & Rescue, and Tavares Police & Fire dating back more than 12 years, BCA has shown that its advisory approach has been successful. ^ BCA receives no commissions or other forms of compensation from managers ^ BCA would be a fiduciary of your Plan and is registered with the S.E.C. ^ BCA is expected to point out ways to improve the investment performance, reduce risk, identify better investment opportunities, manage costs, and alert the Board of inappropriate activities among the managers. ^ BCA serves 39 clients (20 per consultant) and attends nearly 100 Board meetings per year. The firm works closely with nearly all of the lawyers, actuaries and administrators serving the Florida defined benefit pension market. ^ BCA carries E&O Insurance and a Fidelity Bond. ^ Client information is filed electronically and backed-up each day both on and off-site. The BCA client reporting system is web based. 2 BCA CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN ®CA Clierrt Profile $0.8 Billion, as of Ntrdi 31, 2006 M.r1lClpal ~% Fa,rx~iais 5% Tads Hartley 3% 3 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN President SEC Compliance Operating Procedures Administration Client Reporting Client Consulting Group Operations Reports Administration & Research 8~ Strategy Client Meetings IPS Compliance 4 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN References ^ Boca Raton General Employees Pension Fund -John Reilly ^ Cocoa Beach General Employees Pension Fund -Ken Killgore ^ Lynx Retirement Fund -Desna Hunte ^ Leesburg Firefighters Retirement Fund -Jerry Ponds ^ Lake Mary Firefighters Retirement System -Chief Ed Koch 5 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Burgess B. Chambers, M.B.A President Mr. Chambers oversees all aspects of the firm and reviews and approves all client recommendations. He founded the firm at age 32 and has developed the strategic and operational methods and practices of the firm since 1988. Mr. Chambers established BCA following afour-year rise to Executive Vice President of a nationally recognized investment counseling firm. He serves on the faculty of the Investment Management Institute in Greenwich, Connecticut, and the Florida Public Pension Trustees Association. Mr. Chambers has served as an arbitrator and judge for the National Association of Securities Dealers (NASD) in Tampa and has served on the Florida Bar Grievance Committee in Orlando. He is an associate member of the Association of Investment Management and Research (AIMR) and the Orlando Chapter. Mr. Chambers has published numerous articles, and has been quoted in U.S. News and World Report and Investment Management Weekly. He was formerly an Executive Vice President of an investment counseling firm (1983-1987) and an executive with a major Texas based oil and gas exploration and production company (1981-1983). Mr. Chambers received his M.B.A. and B.S. degrees from Tulane University in 1980 and 1978. He was a research fellow of the department of physics from 1978 to 1979. Mr. Chambers studied at the Goethe Institute in Germany in 1980. He is the registered principal of the firm. 6 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Sidney H. Taylor, M.B.A. Consultant and Chief Compliance Officer Mr. Taylor leads the firm's technology area and manages client reporting data bases and the client reporting system. He develops and tests asset allocation models and carries out due diligence analysis of prospective and current investment managers. Mr. Taylor assists in capital market research in order to determine the relative valuations and risks associated with various classes at any time, an essential part of the asset allocation and rebalancing process. Previously, he was employed by an internationally recognized $70 billion investment management firm, serving in a number of capacities, including; portfolio specialist, asset allocation design, portfolio team member, consultant relations, client reporting support, and information technology. Previously, he served as a mutual fund specialist at the Bank of New York and was assigned as an equity trader and portfolio manager at KCM Asset Management, Inc.. He earned his M.B.A. and B.A. degrees from Stetson University in 2001 and 1999. CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Melissa M. Holdcraft Client Reporting Operations Ms. Holdcraft is responsible for supervising the preparation of all client performance measurement reports for final review and approval. She is the team leader for all administrative related matters and money manager conversions. Ms. Holdcraft has extensive experience in areas that include, bank trust, regulatory compliance, securities transactions and support services with non-profit and retirement plans. Ms. Holdcraft is currently completing a bachelor's degree in finance from the University of Central Florida. She is a level II candidate for the Certified Trust Financial Advisor, has pension administration certifications from the American Society of Pension Actuaries, and has customer service and legal banking certifications from the American Institute of Banking. Melanie M. Winslow Client Reporting Operations Ms. Winslow has been a key member of the firm's client performance measurement team since 1999. Her responsibilities include reconciling account data that is provided in electronic form from both banks and managers and she coordinates the production of client reports. Ms. Winslow's professional experience includes 401(k) administration and education. s CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN A Successful Investment Program is Research Based ^ Investment Objective -Achievable ^ Confidence Probability -Reduce uncertainty and risk ^ Risk Management -Diversification & limited exposure to each asset class ^ Model Asset Allocation -Efficient frontier ^ Identify Manager Team -Low correlation of returns ^ Transparency -Investment programs, commissions, trading, and fees ^ Rebalancing Procedure -Manage exposure 9 Allocation & Manager Analysis 10 CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Opportunities Current Situation and Performance at Winter Springs ^ Large Cap Growth -below average (3 and 5 years) ^ Large Cap Value -average (3 and 5 years) ^ Mid Cap -Below average (3 and 5 years) ^ Small Cap Growth -above average (3 and 5 years) ^ Small Cap Value -above average (3 and 5 years) ^ International -above average (3 and 5 years) ^ Fixed Income (Bonds) -above average (3 years) ^ Total Plan -above average (3 and 5 years, top 33rd and 44th percentile) ^ Total Plan -below average (Most recent 12 months, 57th percentile) Conclusion ^ The total performance of your Pension Plan during the most recent 3 and 5 year periods has performed above average due to the superior results experienced by both small cap and the international allocations. ^ Both large cap equity portfolios experienced less volatility and lower returns, as compared to their respective benchmarks. Recommendation ^ Replace both large cap equity managers 11 QUARTILE RANKING BAR PSN BALANCED MODERATE UNIVERSE MARCH 31, 2001 TO MARCH 31, 2006 25 ~ - - 20 ' ~ 15 ! - ~' w ° , ~ ~ ____~. U w ~. 5 ~ ~ I - - - - - ~ - I I~ - .~ - -5 12/2005-3/2006 3/2005-3/2006 3/2003-3/2006 3/2001-3/2006 HIGH (0.05) 5.90 16.64 18.41 10.95 FIRST QUARTILE 3.95 11.47 15.12 7.63 MEDIAN 3.09 9.69 12.92 6.12 THIRD QUARTILE 2.37 7.77 10.63 4.37 LOW (0.95) 1.01 4.41 8.06 2.75 MEAN 3.21 9.91 12.94 6.14 VALID COUNT 98 98 98 94 ~ 12/2005-3/2006 3/2005-3/2006 I 3/200_3-3/2006 3/2001-3/2006 VALUE RANK VALUE RANK VALUE RANK VALUE T RANK -- _ Winter Springs Winter Springs 3.05 51 9.32 _ 57 14.43 33 6.6_1 44 'Deerfield Firefigh Total Fund 4.70 10 15.17 4 16.38 8 9.12 6 `Sanibel Police Total Fund 5.70 ~ 2 - 13.73 11 15.27 ~ 20 7.56 ~ 26 12 Program Allocations °~°All°~. ^ Deerfield ^ Sanibel ^ Winter Springs 40 35 30 25 -- - - - 20 - - 15 10 sue. r«'_ r 5 ;*~~ ~~~ ~_~ =. 0 ~,_, - LargeCapGrowth Large Cap Value Mid Cap Small Cap International 13 Bonds ~, . ~~.. ..b , Real Estate ~~ ~~ ~ ~ ~ Program Allocations 100.0% 100.0% 100.0% 14 ~ ' ~ R, ,t ~~~ . Large Cap Growth Large Cap Value Lotsoff 18.3% Mid Cap SSGA 10.2% Small Cap Growth Small Cap Value Small Cap Core iShare ETF 5.2% SSGA 7.5% International CS Mckee 3.0% Sawgrass 23.3% Bonds Sawgrass TIPS 4.1 SSGA 2.2% Real Estate Adelante 4.5% ,. ETF Russell 1000 Growth 3.2% Trusco Equity Income 14.5% SSGA Midcap 10.1 Trusco Small Cap Value 9.3% Trusco Intemational Index 10.5% Trusco High Grade Bonds 31.2% SSGA 8.9% . ~~ ; ..~„~, -~.;~~~, Jrade Growth . 24.1 Trusco Relative Value 23.7% Trusco Mid Cap 5.3% Trusco Small Cap Growth 2.7% Trusco Small Cap Value 2.3% Trusco Intemational Index 10.6% Trusco High Grade Bonds 31.0% ~ ~ i ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ TRUSCO CAP MGMT CORE GROWTH PERFORMANCE BAR DECEMBER 31, 1985 TO MARCH 31, 2006 20 18 _ _ r - - - - - - 16 _ _ _ _ _ _ _ _ _ - _ _ _ _ _ _ _ _ 14 j. ____- -_, -- ___. -. z 712- -`---_--- r - -- ---. rc10! --_ ___ _- - i ____. O m8- __ ___ - ___. a 4 2i ' , ' _ . 0 I ~. 122WS320 3200532006 32004-32006 3200332006 32001-312000 12/19853120 Tlusco Cap Mgmt Cwe Gr 4.80 9.39 5.16 Russell 1000 4.49 13.21 10.18 TRUSCO CAP MGMT CORE GROWTH STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 1ao eo z w j ~I ~ ", o ~_ .~ - fem.-„ _. w 20 1211991 12/1993 ivlc~:c ,_- _... ___ _. ~.~ _2D05 ~. 3N 991 32006 MIN MAX MEAN- - ~ %IN %OIfT '~ TWILLS 5.52 23.31 0.00 24.01 4.20 39.34 _60.66 '~ LARGE VALUE 3.87 4.76 I 0.00 55.54 21.40 ~ 81.97 18.03 LARGE GROWTH 65.76 _ 50.95 28.14 88.17 ~ 59.73 ~ 100.00 0.00 -_ ~ MEDIUM VALID ~ 0.00 4.48 0.00 22.65 3.85 37.70 62.30 '~ MEDIUM GROWTH 24.85 0.00 0.00 24-85 6.78 55.74 44.26 ~ SMALL VALUE 0.00 14.86 0.00 15.21 1.19 13.11 86.89 SMALL GROWTH 0.00 164 0.00 17.44 2.86 54.10 45.90 TRUSCO CAP MCMT CORE GROWTH QUARTILE RANKING BAR PSN LARGE CAP UNIVERSE DECEMBER 31, 1985 TO MARCH 31, 2006 35 Z ~ '~,~ ]25-~' ___ - __ 1-20 __ __. ___ ~ , O 10 X15 ~ __~ _ ~ 5 ¢-5- - _--_.._- ~ - - 122W5320 3200532006 312004-31'10(16 3f2003-3!2006 3/2001-3/'1006 12I198S3120 122005320 320053/'2006 312004-32006 3200332006 3/'1001312006 1211985320 HIGH (0.05) 7.93 23.98 16.75 25.88 11.58 15.10 FIRST QUARTILE 5.34 16.16 12.89 21.25 7.51 13.47 MEDIAN 4.38 13.52 10.58 18.63 5.37 12.69 THIRD QUARTILE 3.59 11.35 8.60 16.43 3.71 12.05 LOW (0.95) 1.40 6.16 4.75 12.02 0.86 10.76 MEAN 4.47 13.84 10.75 18.83 5.59 12.75 VALID COUNT 1082 1077 1053 1017 935 126 122005320 __ 320053/20D6 312W4-32006 31200332006 3/2(!01-3J1000 12/1985320 (VALUE RANK 'VALUE RANK VALUE RANK VALUE (RANK VALUE (RANK VALUE RANK • Trusco Cap Mgmt 4.80 37 9.39 89 5.16 99 11.31 99 1.76 _ 95 _ 12.74 47 ~ Russell 1000 4.49 45 13.21 53 ~ 10.18 54 18.30 54 _ 4.74 57 12.03 75 TRUSCO CAP MGMT CORE GROWTII TOTAL RISK REWARD MARCH 31, 2003 TO MARCH 31, 2006 ~ ; ' More Retum More Retum Less Risk More Risk - - -~, 17 ' ' RUS 1000 z I rc . F12~ lu i le o I w 7 a a 2 ~' I Less Return Less Retum ~, Less Risk More Risk 0 5 10 STANDARD DEVIATION ROR ~ STD DEV ~I ALPHA _ BETA R-SQUARED ~~ Trusco Cap Mgmt Cwe GroMh 11.31 8.98 _ -3.50 0.61 0.90 ~ Russell 1000 18.30 10.42 0.00 1-00 1.00 RISK Ii1~N('I (MARK I ISLU F(Mt Il IlS ANN.YSIS. RIIS 1000 _ 15 zo~ - ---- -- ----- - ---- -- -- ----- 18- ~ ---- -~'---- ----~. ~- ---- 16~ ____. _.. _- _ - - _____ _____ z14- __ -__. - __,___________~_____ 7 - w12._ __ _.. ~ ____ __ _____ 01D. ___ - - _ __ _, _ w a 8~ _.. - - -__; ~ 6 4 -- 2_ 0 __ 12/2005320 3J200532006 3200432006 32003-32006 32001-32006 6/199&32006 122005320 31200532006 3200432006 32003312006 32001-31'1006 6!1996-32 TrusTb Cap Mgmt Large C 8.17 12.80 12.63 21.03 7.99 6.02 Russell 1000 Value 5.92 13.29 13.22 21.76 7.79 6.44 TRUSCO CAP MGMT LARGE CAP VALUE STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 100 eo z o: F 60 o ~ w 20 0 122003 612004 122004 62005 122005 92003 32006 ~ MIN I MAX ~. MEAN %IN % OUT _ '~ TBILLS 1.58 _ ~ 1.05 ~ 0.00 ~ 4.08 - 1.50 ~ 81.82 18.18 - !~ LARGE VALUE 56.21 90.78 55.87 90.78 65.05 100.00 0.00 J LARGE GROWTH ~ 0.00 ~ 0.00 ~ 0.00 0.00 _ _ 0.00 _ i 0.00 100.00 I MEDIUM VALUE 40.20 0.00 0.00 43.10 32.71 90.91 9.09 ~L MEDIUM GROWTH 0.00 0.00 ~ 0.00 0.00 0.00 0.00 100.00 I~ SMALL VALUE 0.00 8.17 - ~ 0.00 8.17 0 74 9.09 90.91 'SMALL GROWTH 0.00 0.00 0.00 0.00 0.00 0.00 100.00 '1'RUSCO CAP MGMT LARGE CAP VALUE QUARTILE RANKING BAR PSN LARGE CAP VALUE UNIVERSE JUNE 30, 1998 TO MARCH 31, 2006 3s - - Z 30 ~ I 'I ~ zo ~ 1s _-.~.-r.:_ LLtO ~J - --- -- 0 w 5 ~ ---- --- - ~ 0 - -____ ____ _ _____ ' 12Y2005-320 320053!2006 31200432006 31200&312006 32001-312006 61199&32006 122005320 3200532006 3200432006 3200332006 32001-32006 6/1998-32006 HIGH (0.05) 7.91 21.44 18.00 2822 14.14 12.31 "' ~ FIRST QUARTILE 6.02 15.82 14.68 23.52 9.42 8.78 I MEDIAN 5.10 13.53 12.72 2145 7.98 7.14 THIRD QUARTILE 4.32 11.23 10.73 19.75 6.44 6.14 LOW (0.95) 2.97 7.26 6.77 14.68 3.86 3.86 MEAN 5.17 13.65 12.57 21.53 8.01 7.38 VALID COUNT 337 335 329 315 292 221 122005-3120 13200532006 1312004-3!2006 32003-32006 -32001-32006 611998-32006 VALUE RANK VALUE RANK VALUE RANK VALUE RANK VALUE RANK VALUE RANK ~i; ~ Tmsco Cap Mgmt 8.17 1 12.80 61 12.63 51 21.03 57 7.99 49 6.02 76 ~• Russell 1000 Value ~ 5.92 28 13.29 54 13.22 43 21.76 46 7.79 _ 52 ~ 644 66 TRUSCO CAP MGMT LARGE CAP VALUE TOTAL RISK REWARD MARCH 3I, 2003 TO MARCH 31, 2006 zz z 171 ., F I- ¢121. Less Risk More Return More Risk • .~. RUS 1000 Value I I i Less Return More Risk O ii w , K 7';~ ~ 1 6 11 STANDARD DEVIATION } ROR STD DEV I ALPHA BETA R-SQUARED ~ Trusco Cap Mgmt Large Cap I 21.03 10.09 ~ 1.25 0.89 0.93 ~ Russell 1000 Value ~. 21.76 ~ 10.90 ~ 0.00 1.00 ~ 1.00 WSK I11iNT.11MARK IISI?U hT)R'ITIIS N~AI.YSLS: RUS IWU VN.U73 TRUSCO CAP MGMT LARGE CAP VALUE PERFORMANCE BAR JUNE 30, 1998 TO MARCH 3l, 2006 28 24 Z~. rc w ~ _. 0 12 1 81 Olt- 1. 122005320 3200532006 32004-32006 3200332008 32001-32006 3/1994-32008 ' 17I200S320 32005320063200432006 32003-32008 32001-32006 3/199432008 ~ Trusoo Cap AAOmt Mid Cap 6.37 21.00 18 28 25.32 1006 10 89 ~ S1aMald b Poofs 400 Mid 7.63 21.61 15.69 26 OS 12.76 15.09 TRUSCO CAP MGMT MID CAP CORE STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 100 - _..n..~.._~. ._ --z.,._~~~ -~~.__._-.~._~ T. __ __.~.- ~ z ~ ¢ ~ 60 w K u_ O 40 Q~ K 20 o -- 12/1999 122000 122001 122002 122003 122004 122005 6/1999 32006 MIN MAX MEAN ~ % 94 % OUT 1 TRILLS ~ 1.83 _' 18.91 0.00 20.45 ~ 8.89 I 8429 ~ 35.71 7 LARGE VALUE 24.14 0.00 ~ 0.00 34.80 3.58 17.86 82.11 '~ LARGE GROWTH 16.54 4.36 0.00 32.29 14.43 78.57 21.43 I~ MEDIUM VALUE ~ 0.00 8.89 0.00 13.17 2.84 67.86 32.14 MEDIUM GROWTH ~ 38.18 32.93 15.91 43.53 ~ 28.48 100.00 0.00 ]_15MALL VALUE 0.00 000 0.00 1982 349 25.00 75.00 Y7 Sh' _ .. _ _ - _... 3851 10000 0.00 TRUSCO CAP MGMT MID CAP CORE QUARTILE RANKING BAR PSN MID CAP CORE UNIVERSE MARCH 31, 1994 TO M:1RC11 31, 2006 40- -_ __ Z35~ _- ___ - - - - I w 20 X15 ?^ _ __ -- - - O10 i ~ -- d- --- ~u 5 '_ - __ __. __ _5 _- ~.- - ~--_ - - -- 122005320 3200532008 3200'1-32006 32003-32008 32001-32008 311994-32008 122005320 3200532008 32004-32006 32003-32006 32001-32008 3/1994-32006 HIGH (0.05) 10.53 29.70 22.01 33.92 17.07 18.71 FIRST QUARTILE 8.84 23.82 18.37 28.61 14.88 15.43 MEDIAN 7.89 21.27 16.48 2828 13.42 14.80 THIRD QUARTILE 6.58 19.58 15.28 24.85 12.42 13.46 LOW (0.95) 4.55 14.25 1228 20.77 9.43 10.89 MEAN 7.58 2159 18.83 26.64 13.41 14.35 VALID COUNT 63 63 59 54 48 18 122005320 3200532006 32004-32006 32003-32006 32001-32006 3/1994-32006 ~~ 6.37 79 21.00 53 18 28 27 25.32 68 10.08 97 10.69 99 7.63 52 21 61 49 15.89 61 26.05 59 12 76 65 15.09 44 TRUSCO CAP MGMT MID CAP CORE 'T07'AL RISK REWARD MARCH 31, 2003 TO MARCH 31, 2006 ' More Return More Return z7 ~ !Less Risk _ _ _ _ ` • More Risk S8P 400 Mid Cap ~' ~ z ~17 K 012 ~ ¢ K 7 I -~ Less Retum Less Retum 2 '~ ' Less Risk ~ More Risk -4 1 8 11 18 STANDARD DEVIATION ROR STD DEV ALPHA BETA R-SQUARED ~ Trusco Cap Mgmt Mid CaP Co ~ 25.32 ~ ~ 9.85 i 2.62 0.85 0.92 l~ Slandani 8 Poofs 400 Mid Cap 28.05 W SK nI:NIIIMAkK IISFI) F()R fl II.S NJN.Y515 SRf' Mp MII> CN' 11.14 0.00 1.00 1.00 17 TRUSCO CAP MGMT MID CAP CORE PERFORMANCE BAR MARCH 31, 1994 TO MARCH 31, 2006 STI CLASS INTL EQ IDX I PERFORMANCE BAR JUNE 30, 1994 TO MARCH 31, 2006 ~_ 32~ __T__ ____ _ _ _. _ - ~ __ __ _ _ _ _~ ___ 28-- ____ - - - ____ _____ Z24 __ __ __ ___ _____ _____ ~20. __ ____ -. __~___________ _____ w w F ~12 8 4 ,:, _' o~ !. i 122005320 3200532006 32004-32006 32003-32008 32001-32006 8/1994-32006 i 122005320 3200532006 32004-32006 3200332008 132001-32006 '6/1994-32 STl Classic Intl Equity Ind 9.79 25.06 19.61 31.87 8.91 768 MSCI All Country World X 9 76 28.12 ~ 21 99 33.51 _ 11.77 7.38 STI CLASS INTL EQ H)X 1 STYLE ALLOCATION fi1STORY PERIODS ENDING MARCIi 31, 2006 100 ~ e6 z ~ ~ O 40 w a K 20 0 12/1999 122000 122001 122002 122003 122004 122005 9/1999 32006 MIN MAX MEAN % IN % OUT !/ TBILLS 0.84 ~. 0.00 _ i, 0.00 122 ~ 0.16 25.93 74.07 _ ~ EUROPE 68.38 6526 62.44 70.68 88.48 100.00 0.00 -~ "~. PACIFIC 30.78 34.74 29.16 37.15 32.84 100.00 0.00 Il• NORTH AMERICA I 0.00 0.00 0.00 2.35 0.44 ~, 33.33 68 87 '~ ASIA EMERGING ~ 0.00 0.00 0.00 0.51 0.06 14.61 ~ 85.19 'D EUROPE ME EMERGI 0.00 0.00 0 00 0 DO 0 00 0 00 100 00 I,~ LATIN AMERICA D.DO 0.00 ... STI CLASS IN'1'L EQ IDX 1 QUARTILE RANKING BAR FOREIGN LARGE BLEND UNIVERSE JUNE 30, 1994 TO MARCH 31, 2006 35 ~ rc30 __ - - _ _ _ . ___ __ ___ F25 -_. ___ - ~ w20.~ ~15 15 ~ __ __ ~ _ __.. _. ____- -_ ~ ~ m ~ _ _ _ - _ _ - - _ _ - _ _ _ - _ _ 0 U _5 ~ _..__.. _. _ ~ -~ - _..._.- 122005320 3200532008 32004-32008 3200&32008 32001-32008 8/1994-32008 122005320 3/200532008 32004-32008 32003-32008 32001-32008 6/1994-32006 HIGH (0.05) 11.91 32.90 24.14 33.70 12.77 11.17 FIRST QUARTILE 10.52 28.40 20.08 30.89 9.44 7.98 MEDIAN 9.50 26.12 18.84 28.99 8.13 7.19 THIRD QUARTILE 8.99 23.98 17.39 2722 6.78 8.38 LOW (0.95) 7.34 18.50 15.22 24.88 3.79 4.04 MEAN 9.65 28.20 18.90 28.93 8.12 728 VALID COUNT 517 480 439 398 304 73 122005-320 3200532006 32004-32006 3200 3-32006 32001-32008 6/1994-32008 'i • STI Classic Inll E ~ MSCI All Country STI CLASS IN'1'L EQ IDX 1 TOTAL RISK REWARD MARCH 31, 2003 TO MARCH 31, 2006 37 ' More Retum Less Risk - - - - More Retum More-Risk ~ az L . I MSCI AC World X US z7 z ~~1 w w 17 O ~t2 I' 71' Less Retum Less Retum 2 i l Less Risk i More Risk '~ a-_:_-___.- __ 4 1 _- 6 11 _-._. _.. __- _. _.-~ 18 STANDARD DEVIATION ROR STD DEV ALPHA BETA R-SQUARED • STI Classic In8 Equdy Index I 31.87 14.64 -2.91 1.06 0.99 --I ~,~ MSCI All Country Wond X USF 33.51 KLSK ISI'NCIIMAFK IISt:II Fi)K n ILti ANALYSIS K1S(:I AC WOKIl) %US ~ 13.74 0.00 1.00 1.00 18 32- _ _ - -. 28 24 i ~ 20 w ¢ 76 O ~ 72 . 81 4- 0-'- 1711005320 3200532006 32004-32008 32003-32006 32001-32006 1211998-320 122005320 b 200S32008 .3200432006 3 2003-3200832001-32008 .12/1998-320 STI Classic Small Cap Gr 12.78 ~ 27.55 15.86 3120 12.62 17.37 SlanCarl7 8 Poofs 600 S 11.34 23 46 _ 18.33 28.22 14.38 10.37 STI CLASS SM CAP GR 1 STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 100 80 rc so w O 40 F zo 0 62 004 122004 62005 122005 32004 32008 MIN MAX ' ~ ~ - MEAN %IN %OUT ~~ TBILLS '~ 0.00 I, 0.00 0.00 i 0.00 T ~ 0.00 0.00 100.00 1 LARGE VALUE 0.00 0.00 0.00 0.00 0.00 0.00 100.00 '- LARGE GROWTH 0.00 0.00 0.00 0.00 0.00 0.00 100.00 ~ '~ MEDIUM VALUE 0.00 8.57 0.00 22.93 7.05 44.44 55.56 'I MEDIUM GROWTH 15.94 4.52 1.91 15.94 7.54 100.00 0.00 m SMALL VALUE 38 35 25 16 16 68 39.76 31 65 100.00 0.00 '~ St^: - -,_ .-, 53 76 100.00 0.00 S'CI CLASS SM CAP GR 1 QUARTILE RANKING BAR SMALLGROWTII UNIVERSE DECEMBER 31, 1998 TO MARCH 31, 2006 45 ~, 40 'r' -- _. _. _. _ X35 __ _. _ X30 _.. _ --. W25 -__ - __- - ¢ 20 010 I __ __ 2q -5 ri_ - - - _ _ _ _ -°. __.__ _._-_°- 122005320 3200532008 32004-32006 32003-32006 32001-32006 12/1998.320 122005320 3200532008 32004-32008 3200332006 32001-32006 12/1998-320 HIGH (0.05) 17.11 35.95 20.14 34.58 16.72 17.04 FN25T QUARTILE 14.31 28 82 15.86 26.85 11.38 11.38 MEDIAN 12.53 25.37 13.60 28.34 8.92 8.97 THIRD QUARTILE 11.38 22.42 10.73 2422 6.19 5.90 LOW (0.95) 8.45 1783 5.14 18.53 0.60 021 MEAN 12.72 25.65 13.35 28.38 6.77 8.73 VALID COUNT 630 595 534 494 392 250 122005-320 3200532006 32004-32006 32003-32008 32001-32006 12/1998-320 • STI Classic Small ~ Slandartl8 Poofs STI CLASS SM CAP GR I TOTAL RISK REWARD MARC1131, 2003 TO MARCH 31, 2006 ri More Retum More Retum ' 3z ; I Less Risk • More Risk 27 ~ S8P 600 Small Growth I ~~' ' I it n LL O 12 ~: ~, 7 ': Less Retum Less Retum 2 -', Less Risk More Risk < 1 8 11 18 21 STANDARD DEVIATION ROR STD DEV ALPHA BETA R-SQUARED • STI Classic Small Cap Growth 3120 7624 J -3.74 ~ 128 ~ 0.92 ~ SlaMard &Poofs 600 Small 2822 12.13 0.00 { 1.00 1.00 a11K a1NCI1MAAK IISFJJF(1K ll Iiti ANN.Vti15. S&P fiOD SMN.1. (iK()Wlll - ~ - - 19 STI CLASS SM CAP GR 1 PERFORMANCE BAR UECEMBF.R 31, 1998 TO MARCH 31, 2006 STI CLASS SM CAP VAL EQ I PERFORMANCE BAR MARCH 31, 1997 TO MARCH 31, 2006 3~2. -__T_____- ,_-- _______ _____ -- __________ _____ 28-~____-______ _______. ~- _____ ____~___-____ r_____ X20 _,______ .._ ______ __._ w tr p16 _-. ______ ___ _ - w t- ~12 8 4- 0 ~ } I _ 122005320 3200532006 32004-312006 3/2003-32006 3!2001-3/2006 3/1997-3/2006 STI Classic Small Cap Val StandaN 8 Pools 600 S 14.02 30 69 23.38 33.06 _ 20.01 14.19 14.28 .~ 24.60 _ _ 16.55 31.63 _ _. 1544 _ 14.05 STI CLASS SM CAP VAL EQ I STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 100 '- .,.. cis ~'=_. .,s e, . w'Z ~, n #c" :~i' - a - 80 rc I F 60 w K ~ K ~ ~ 20 .~ 0 ~ 62002 122002 62003 122003 62004 122004 62005 122005 62002 32006 _ MIN _ _. MAX MEAN % IN ~ % OUT 1 TBILLS 0.00 15.32 0.00 19.31 12.13 I 93.75 625 1 LARGE VALUE 0.00 0.00 i 0.00 0.00 0.00_ 0.00 _ _ , 100.00 . LARGE GROWTH ~ 0.00 0.00 0.00 0.00 0.00 0.00 100.00 ~ MEDIUM VALUE 2.78 25.94 2.78 34.47 25.72 100.00 0.00 MEDIUM GROWTH 0.00 0.00 ~ 0.00 I 0.00 0.00 0.00 100.00 SMALL VALUE ~ 97.22 58.74 ~ _. 47.54 97.22 82.15 100.00 I 0.00 i~ SMALL GROWTH 0.00 0.00 0.00 _ 0.00 0.00 - __ 0.00 100.00 STl CLASS SM CAP VAL EQ 1 QUARTILE RANKING BAR SMALL VALUE UNIVERSE MARCH 31, 1997 TO MARCH 31, 2006 45 j Z40~ _ ___ _-- _ -- - __ w25~ __- __. _.__ __ _ ~~ - ~ 20 ~ - - u_ 015 ^- ,.. __. _ ,., F10 {-.~ -. _ ~ _ ____ - ___ __ 5-n ~ ________-. - ~ - qa 0~-_ .._._ __ ~ .._. _ _ 122005320 3200532006 32004-32006 32003-32006 32001-32006 3/1997-32006 122005320 3200532006 3/2004-32008 3200332008 32001-32006 3/1997-3/2006 HIGH (0.05) 15.01 28.96 20.69 36.55 20.96 17.00 FIRST QUARTILE 12.62 23.09 17.41 31.29 17.28 14.19 ' MEDIAN 10.82 20.09 15.85 27.93 15.78 13.11 THIRD QUARTILE 9.35 17.17 13.98 26.03 13.69 11.44 LOW (0.95) 624 9.40 8.37 22.42 11.27 9.53 MEAN 10.88 20.00 15.60 28.60 15.64 12.89 VALID COUNT 308 287 255 223 159 66 122005320 I3200S32006 32004-32008 3200332006 32001-32006 3/1997-32006 VALUE RANK VALUE RANK ..VALUE RANK VALUE RANK ~VALUE~RANK ~ VALUE RANK ~ STI Classic Small _ 14.02 ~ 8 30.69 ~. 1 23.38 ~ 1 33.06 ~ 9 20.01 5 14.19 24 ~ SlandaN 8 Pools ~ 14.28 _ 5 _ 24.60 13 .18.55 13 _ 31.63 ~ 22 _ 15.44 52 14 OS 25 STI CLASS SM CAP VAL EQ I TOTAL RISK REWARD MARCH 31, 20031'0 MARCH 31, 2006 37 ,,~ snore Kerurn ,I Less Risk K f~ ~~ t- u_ 17 41 O w 12 7 .,:I Less Retum 2 Less Risk More Retum More Risk S8~P 600 Small 1 Less Return More Risk -4 1 8 11 18 STANDARD DEVIATKNI ROR • STI Classic Small Cap Value E 33.06 ~ Standard 8 Pools 800 Small _ 31.63 USK UI:NCIIMARK USEU FOR TI05 ANALYSIS: SAP 6W SMALI, VALUE 'D DEV ALPHA BETA 12.41 8.31 0.80 14.45 0.00 1.00 20 8 6 z ~ 4 w w O w 2 H 0 SEIX ADVISORS CORE BOND PERFORMANCE BAR JUNE 30,1993 TO MARCH 31, 2006 _2 12200S3J20 3200532006 32004312006 312003-3!2006 3/2001-312006 6/19933/2006 1220053/20 ~ 20053/2006 kY20043J2006 3. 1200332006 3/2001-3/2006 6l1 Seix Advisors Core Bond -0.37 2.43 2.24 II 3.95 5.06 Lehman Bros Aggregate B -0.64 _ 2.26 ~ 1.71 2.93 5.11 _ __ 6.28 6.13 SEIX ADVISORS CORE BOND STYLE ALLOCATION HISTORY PERIODS ENDING MARCH 31, 2006 100 80 , I z 7 W R' w w 40 a _ ..,. a , ~; . . 20 0 12/1998 1211999 122000 122001 12/2002 12/2003 12/2004 12/2005 911998 312006 MIN MAX MEAN YO IN % OUT ^ TRILLS 14.30 8.49 ~ 1.52 15.07 8.01 700.00 0.00 INTERMEDIATE BON 0.00 ~ 0.00 0.00 15.33 ~ 1.10 32.26 67.74 ^ LONG BONDS i 4.41 2.22 222 } 17.02 9.15 -_ 100.00 0.00 CORPORATE BONDS 72.62 _ I I ' 63.20 20.02 72.82 50.48 I 100.00 0.00 MORTGAGE BONDS _ 8.46 _. _ 26.08 8.46 57.82 31.26 100.00 -, 0.00 SEIX ADVISORS CORE BOND QUARTILE RANKING BAR PSN CORE FIXED INCOME UNIVERSE JUNE 30, 1993 TO MARCH 31, 2006 8-: z g ~ i {~ _ ~ 5 ` I . ,. -' w 4 3 .. _ - _-- -__-_'_ O 1 - __ ___ __ __ F 0 ___ _ _.. _ ____ _ ___ 1 g - ___ ___ _____ ___-- __ __ a -2 12/20053/20 3200532006 3200432006 3/20033/2006 3J2001-312006 6/19933/2006 122005320 3/20053!2006 3120043/2006 3/20033/2006 3/2001-32006 6/19933/2006 HIGH (0.05) 0.57 3.35 2.66 4.30 6.05 6.97 FIRST QUARTILE -0.26 2.74 2.19 3.50 5.54 6.49 MEDIAN -0.44 2.49 1.92 3.07 5.22 6.26 THIRD QUARTILE -0.62 2.30 1.55 2.69 4.94 6.08 LOW (0.95) -0.96 1.84 0.97 1.97 3.79 5.52 MEAN -0.41 2.53 1.88 3.09 5.19 6.26 VALID COUNT 277 277 272 267 252 137 12/20053!20 320053/2006 32004-312006 3200332006 3/2001-32006 6/199332006 ~ VALUE RANK VALUE 7 RANK VALUE RANK VALUE RANK VALUE RANK ~VALUE RANK ail. Seix Advisors Cor -0.3 35 ~ 2 43 58 2.24 21 3.95 5 5.06 62 '. 6.26 ~. 48 '~ Lehman Bros Agg -0.64 81 2.26 80 1.71 65 2.93 61 5.11 61 I 6.13 67 SEIX ADVISORS CORE BOND TOTAL RISK REWARD MARCH 31, 2003 TO MARCH 31, 2006 Less Risk More Risk 4 " • Z Y3 K 7 w3 ~~~ _ ~ ~~ W ~ LB Aggregate !'~ z Less Return Less Return Less Risk More Risk ,. 0 1 2 3 4 STANDARD DEVIATION ROR STD DEV ', ALPHA BETA R-SQUARED • Seix Advisors Core Bond 3.95 3.90 0_92 1.13 0.97 ~ Lehman Bros Aggregate Bond ~- ~~ 2.93 _ 3.39- - { ~ ~ ~ 0.00 1.00 1.00 iISK IiI~:NI'I IMnI<K I ISI:U I~OR 17 US ANALYSIS Ld AGGRL'!)A'IE Sample Mid Cap Core Manager Search Analysis '' 22 I ' QUARTILE RANKING BAR PSN MID CAP CORE UNIVERSE MARCH 31, 1996 TO MARCH 31, 2006 45 40~ --- - -- - - - --------- - ------ --- ----- - --- ------ ~ - -- --- - 35 - - ~-- Z y --. -_.~ -~ X25 ~ `~ ~~. O X15 w 20 - - -- ~10 ~ -- - -- ~' -- - 5 -- - - --- - -- -- - 5 _. 1z12oos3/zaos 3/zoo5-3rz oos 3izoo4-3rzoos HIGH (0.05) 10.39 29.70 22.01 FIRST QUARTILE 8.64 23.82 18.41 MEDIAN 7.69 21.27 16.66 THIRD QUARTILE 6.56 19.58 15.30 LOW (0.95) 4.55 14.25 12.28 MEAN 7.55 21.56 16.89 VALID COUNT 61 61 58 12/2005-3/2006 312005-_3/2 006 ~ 3/2004-_312 006 VALUE RANK VALUE RANK VALUE RAN Chicago EquRy Mid Cap Core Eq 34 81 18.61 81 15.52 72 Franklin Portf. Mid Cap Core ~ 8.64 T 24 19.74 72 15.30 75 Freeman Associat MidCap Core _ 5.39 90 _ _ 18.45 83 16.04 _ 56 Los Angeles Cap MidCap Plus 9.23 14 25-25 18 '~ 18.52 20 Martingale Assel MidCap Core ~ 8.04 37 23.22 31 20.25 10 NCM Capdal Mid Cap Core ~ 6.60 _ 72 27.34 6 21.35 8 NYLIM Mid-Cap Core 7.88 40 23.27 29 21.55 6 Weiss Peck Discip Eq Med Cp 6.82 i 68 26.35 _ 11 21.56 I 5 3/zoo3-3rzoos 3i2oo1-3/zoos 3,1ssE-3/zoos 33.92 17.07 16.46 28.61 14.88 15.07 26.24 1342 14.55 24.85 12.52 12.70 20.77 9.43 10.46 26.62 13.47 14.00 53 45 21 3/2003-3/2 006 ~, 312001-3/2006 _ 3/1996-3!2006 i /ALUE RANK VALUE RANK VALUE _ RANK_ 26.44 45 14.02 31 15.07 ~ 23 26.94 ~ 41 14.88 22 16.46 __ 1 26.35 47 13.76 ~ 40 14.96 33 28.24 28 14.88 24 WA WA 31.18 11 16.47 4 14.58 42 36.41 1 20.05 1 ~ 16.51 1 29.49 15 14-01 33 N/A WA 31.54 9 -- 17.07 ~ 1 WA WA 23 TOTAL RISK REWARD MARCH 31, 2003 TO MARCH 31, 2006 Z H W LL O W H Q -4 Chicago Equdy Md Cap Core Eq. • Franklin Portf. Mid Cap Core ' ~ Freeman Associat MidCap Core Martingale Asset MidCap Core NCM Capital Mid Cap Core NYLIM Mid-Cap Core Weiss Peck Discip Eq Med Cp RISK BENCHMARK USED FOR THIS ANALYSIS: RUS MID CAP 1 ROR 26.44 26.94 26.35 28.24 31.18 36.41 29_.49 31.54 ~RUS Mid Cap More Retum More Risk Less Retum More Risk 6 11 16 STANDARD DEVIATION S_TD DEV ALPHA ~ BETA R-SQUARED 10.38 1.25 0.89 0.97 11.24 - 0.66 0.94 0.92 10.12 1.89 0.86 0.94 11.47 1.64 0.94 0.90 1207 2.08 1.03 0.96 _13.39 ~ _ 7.07 1.00 0.74 10.00 4.73 0.85 0.96 11.04 4.23 0_95 0.97 24 EXCESS PERFORMANCE MARCH 31, 1996 TO MARCH 31, 2006 30 2 Z z 1 w 1 w U X w -1 -15 -- 6/1996 12/1997 6/1999 ~ 12/2000 6/2002 J 12/2003 6/2005 1v2oos3/zoos 3rzoos3f2oos i _ 3,zooa-3,zaos - Chicago Equdy Mid Cap Core Eq. -1.28 -2.58 -2.10 Franklin Portf. Mid Cap Core 1.02 -1.60 -2.24 - Freeman Associat MidCap Core -2.23 -2.76 -1.70 Los Angeles Cap MidCap Plus 1.61 3.29 0.62 - Martingale Asset MidCap Core 0.43 1.45 2.24 - NCM Capdal Mid Cap Core -1.02 4.67 3.07 - NYLIM Mid-Cap Core _ 0.26 _ ._ _ 1.52 3.35 Weiss Peck Discip Eq Med Cp_ _ -0.79 _ 4.07 3.37 RISK BENCI (MARK USED FOR THIS ANALYSIS: RUS MID CAY 0o3-3~zoos ~zoo1-3rzoos 3r1ss6-3/zaos~ -1.32 0.80 2.08 -0B5 1.85 3.57 -1.44 0.52 1.96 0.23 1.76 WA 2.78 3.53 1.96 7.09 6-84 4.00 1.16 0.77 WA 2.99 3.80 WA __ 25 GROWTH OF AN INVESTMENT MARCH 31, 1996 TO MARCH 31, 2006 5,000 - 4, 500 4,000 3, 500 ~_ cn 3,000 g ~ 2,500 0 2,000 1,500 1,000 500 3/1996 - lzrzoos3,2oos 1 3r2oo5-3rzoos 3rzao4-3r2oos 3/2003-3rzoos ! ~2oo1-3rzoos 3rlsss-3rzoos -Chicago Equity Mid Cap Core Eq. ~~~ 1063 1,186 1,334 _ _ 2,022 1,927 4,071 - Franklin Portf. Mid Cap Core 1086 1,197 1,329 2,046 2,001 4,588 ~ - Freeman Associat MidCap Core 1,054 1,185 1,347 2,017 1,905 I 4,031 Los Angeles Cap MidCap Plus 1,092 1,253 1,405 2,109 2,001 _ WA - Martirx,~ale Asset MidCap Core 1,080 1,232 1,446 2,257 2,143 3,900 - NCM CapRal Mid Cap Core - NYLIM Mid-Cap Core - Weiss Peck Discip Eq Med Cp 1,066 I - ~ ~ 1,079 I __ _ 1,068 1,273 1,233 1,264 1,473 1,477 1,478 2,538 2,171 _ 2,276 _ 2,494 1,926_ ~ 2,199 4,608 I WA L WA 26 9/1997 3/1999 9/2000 3/2002 9/2003 3/2005 CHICAGO EQUITY MID CAP CORE EQ. STYLE SUMMARY RETURN VARIANCE 3/2001 - 3/2006 SMALL GROWTH ----- ~ -------- ~ ---..~..---- ~ ------ --- SMALL VALUE MEDIUM GROWTH MEDIUM VALUE - LARGE GROWTH `-------------- LARGE VALUE - I- - - TBILLS. - - ~---- --- ~------- ---- ----- ---- 0 10 20 30 --- 40 ---- 50 ALLOCATION °~ 312001 - 312006 ~,so- ~ ~ ~ ~ ~ Z ~ ~ ~ 40 ~ ___ ___ __ -. ~___.. _- - - --.~ '~ g o I ~ 10' ~- -- ---~ - ----~ - --- --- ^- ~----- ~--- V 0. _ -_ - ___ - _- _. ___ -10~ --. '. -.-_. - '. -. - - ~ - -- ..__. ?/2001 9/2001 312002 9/2002 312003 9/2003 312004 9/2004 3/2005 9/2005 3/2006 STYLE ~ SELECTION ~ TOTAL 'I'RIS GRAPH IS GENERATED STATICALLY, WITH A ROLLING INl'ERVAL Of 20 PERIODS. RETURN VARIANCE 3/2001 -3/2006 ~ ~ ~ - z ~; ^!~ W w J 312001 9/2001 3Y2002 9/2002 3!2003 9/2003 3/2004 9/2004 3/2005 9/2005 3/2006 m8 z ~ 4 - - ® ~ ~ O i ~ ---- - --- -- - w-0 I J '. W _ (A~ - - z-r -- --_- -. ~ 3/2001 9/2001 3/2002 9/2002 3/2003 9/2003 312004 9/2004 312005 9!2005 3/2006 27 STYLE (98.25 %~ SELECTION (1.75 %) FRANKLIN PORTF. MID CAP CORE STYLE SUMMARY RETURN VARIANCE 3/2001 - 3/2006 SMALL GROWTH ----- ~ - ---- ~ - ~ --- ----~ - SMALL VALUE MEDIUM GROWTH MEDIUM VALUE LARGE GROWTH - ---. '----- ----`------ ,`-------------- LARGE VALUE - I- ----- ------------ TRILLS - - 0 10 20 30 0 40 - ~ -----_-_ 50 ALLOCATION % 312001 -312006 701 '--- - z .. v~60~ ~ -- - -- -- -- -. 5 30 ~ zo' U 10 r OI 3!2001 912001 312002 9/2002 3/2003 9/2003 3/2004 9!2004 312005 9/2005 3/2006 ~ STYLE ~ SELECTION ~ TOTAL 'T'HIS GKAPH IS GIsNERA'I'ED STATICALLY, WITH A ROLLING INTERVAL OF 20 PERIODS. RETURN VARIANCE 3/2001 - 3/2006 ~ - z ~_ ~. -- ~--~ r~ __..- 3/2001 9/2001 ' 3/2002 9/2002 3/2003 9/2003 3!'20049/2004 312005 9/2005 3/2006 ~n1zi I z ~ 6 F 0 v g `~-12 ~~ z_, r - - - - ?l2001 9/2001 3/2002 9/2002 3/2003 9/2003 3/2004 9/2004 3/200 9/2005 312006 28 STYLE (98.08 %~ SELECTION (1.92 %) FREEMAN ASSOCIAT MIDCAP CORE STYLE SUMMARY RETURN VARIANCE 3/2001 - 3/2006 SMALL GROWTH - - ~ - SMALL VALUE - - - - - MEDIUM GROWTH - - MEDIUM VALUE LARGE GROWTH - - - - - - - - LARGE VALUE - --~-------- - -I- ---------~-------------- TBILLS 0 10 20 30 40 50 ALLOCATION °,6 312001 - 312006 80 70 - --- ---'-- --- I 60' ----- --- ---------- --- --- --- ---,------ --~, - ---- ----- ~ 40 I - ~- gill ~ 20 c7 10 3/2001 9/2001 3/2002 9/2002 3/2003 9/2003 3/2004 9/2004 3!2005 9/2005 3/2006 STYLE ~ SELECTION ~ TOTAL THIS GKAPH IS GGNGRATL?D STATICALLY. WITH A ROLLING INTERVAL. OF' 20 PERIODS. 20 z ~ 0 w -20 RETURN VARIANCE 3/2001 - 3/2006 312001 9/2001 3/2 002 9/2002 3J2003 9/2003 312004 9/2004 3!2005 9/200.5 3!2006 ~16~ ~ ~ - ~ z ~ ~~ ~ ~~ ~~ z 0 ~'®~~r~ ~ ~ a _~ w h-16 --- -- z --- - --- --T- ~ 3/2001 9/2001 3!2 9/2003 3/2004 9/2004 3!'2005 9/2005 3/2006 002 9Y2002 3/2003 29 ~ STYLE (97.62 %~ SELECTION (2.38 %) MARTINGALE ASSET MIDCAP CORE STYLE SUMMARY RETURN VARIANCE 3/2001 - 3/2006 SMALL GROWTH - '.- - --~- --..- _' .. SMALL VALUE - `-. -~------------~------- MEDIUM GROWiH ' MEDIUM VALUE LARGE GROWTH - -----~`---------- -------I--------- - ------', LARGE VALUE - + TBILLS --- - ~----------- ----- ~ - 0 10 20 30 40 50 60 ALLOCATION °~ 312001 - 3/2006 80 ~ ~ ~ ~ ~ ___r-----__~___ ~---,---.---. ---. ---.---- __ - 70 __r -_ - - r_ r N zso _ r ~ ~ , ~ 40 = 30 , I ~ 20 - -- --- ~ ~ -- --~ - -- - - ~ 10 ~.. - -- -- - ~ ~ --- U 10~~ 32001 92001 3/2002 92002 32003 9/2003 3/2004 9/2004 3/2005 92005 32006 ~ STYLE ~ SELECTION ~ TOTAL THIS GRAPH IS GENERATED STATICALLY, WITH A ROLLING INTERVAL OF 20 PERIODS. RETURN VARIANCE 3/2001 -3/2006 40 ~ 20 ~ f 203/2001 9/2001 3/2002 9/2002 3/2003 9/2003 32004 9/2004 3/2005 y 9/2005 3/2006 ~ 12 - - ~ 6 I - O 1 J W 4, 3/2001 9/2001 3/2002 92002 32003 9/2003 32004 9/2004 3/2005 9/2005 3/2006 30 STYLE (98.03 %~ SELECTION (1.97 %) ~ ~ ~ ~ r NCM CAPITAL MID CAP CORE STYLE SUMMARY RETURN VARIANCE 3/2001 - 3!2006 SMALL GROWTH -- -- ----- ~--------~---------~------ ~------ *------ ~--------- SMALL VALUE - ------ - ----- ~-- ---~ MEDIUM GROWTH MEDIUM VALUE ----` --------~~------ - * ~-------- LARGE GROWTH ,` ----`-- -'---------`-- - '---------'--------- LARGE VALUE -----`- - -' -' ------ ----- --- TRILLS ---•-- -----~ -- - %------ - -~----- :-. -- ---- ~- -~------ -sue 0 10 20 30 40 50 60 70 80 ALLOCATION °~ 3/2001 - 3/2006 125 100 ~ ~ - 5 So ,--- ; ~ 25 U OI - -~ - '. ---- ~ -- ,--- -25- ' I- ~. -. i 3!200, 9,200, 3/2002 9,2002 312003 9,2003 3/2DD4 9/2004 3/2005 9/2005 3/2006 STYLE ~ SELECTION ~ TOTAL THIS GRAPH IS GENERATED STATICALLY, WITH A ROLLING IN'T'ERVAL OF 20 PERIODS. RETURN VARIANCE 312001 -3/2006 40 ~ 20 n _ ---- ---. --- o . ~ ~~~~~~-~~~ls~ w ~_ ~~ J~~ 3!2001 912001 3/2002 9/2002 3/2003 9/20D3 3/2004 9/2004 3/2005 9/20 3!2006 m12i- W D, ~ r ~ ~~ J W ~ ~ -_ 312001 9/2001 3/2002 9/2002 312003 9/2003 3!2004 9/2004 3/2005 9/2005 31200E 31 STYLE (92.67 %~ SELECTION (7.33 %) NYLIM MID-CAP CORE STYLE SUMMARY SMALL GROWTH SMALL VALUE MEDIUM GROWTH MEDIUM VALUE LARGE GROWTF RETURN VARIANCE 912002 -3/2006 LARGE VALUE - - - - -'- - - -I T81LLS 0 ~~ ~~ 10 20 30 40 50 60 70 ALLOCATION °6 912002 - 312006 70 z 60. -~----------~----- --- ~,---- ----- --,-- ~---- ~ - ~ ~ ' 40~ ------------ - --, ------- - - -- -- g 30 ~ 1 ~ zo ~ 10 ~ - 0 122002 6/2003 12/2003 ~ 6/2004 122004 612005 12/2005 STYLE ~ SELECTION ~ TOTAL THIS GRAPH IS GENERATED STATICALLY, WITH A ROLLING INTERVAI.OF 20 PERIODS. 8 ~ 4 H ~ 0 w ~~ RETURN VARIANCE 9/2002 -3/2006 1212002 62003 12/2003 62004 12/2004 6J2005 12/2005 Z6~ - ~a F Z 2 ~ ~~ 00 w -2 w _ _ w~ - - - - ,- _ -~ - --~__~--> 12/2002 _- 6!2003 12/2003 612004 12/2004 6/2005 12/2005 32 STYLE (95.12 %~ SELECTION (4.88 %) WEISS PECK DISCIP EQ MED CP STYLE SUMMARY RETURN VARIANCE 1212002 - 3/2006 SMALL GROWTH - -^- t-- ------ -----~----------~------------ SMALL VALUE ---- _. -... _ ,------- MEDIUM GROWTH - MEDIUM VALUE LARGE GROWTH LARGE VALUE --- --~------------`------------'------------'-------- -- - -------- TRILLS - - 0 10 20 30 40 50 60 ALLOCATION 12!2002 - 3/2006 80 i - ~ 50 j 40~ ---, --- ---- ~, -- ---, ---- j30, ~ ____~ -__,-. ~~ -- -- ___ __-- ~ - --.----- o' 312003 6/2003 12/2003 6/2004 9/2004 312005 9/2005 32006 ~ STYLE ~ SELECTION ~ TOTAL THIS GRAPH IS GENERATF,D STATICALLY, WITH A ROLLING INTERVAL, OF 20 PERIODS. 18 X12 ~ 6 w }J RETURN VARIANCE 12/2002 - 3/2006 32003 9/2003 3/2004 9/2004 3!2005 9/2005 312006 Z ~ _ X16 -- w ~ I z ea 0 w w _ 32003 9/2003 32004 r 912004 3/2005 9/2005 3/2006 33 STYLE (96.64 %~ SELECTION (3.16 %) ~ ~ ~ ~ ^~ ~ ~ ~ ~ ~ .w ~ w ~ ~ ~ ~ ~ ~ DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Investment Performance Evaluation For the Quarter Ended March 31, 2006 Presented on May 12, 2006 NOTE: For a free copy of Part II of Burgess Chambers and Associates, Inc.'s most recent Form ADV which details pertinent business procedures, please write or call: 601 North New York Avenue, Suite 200, Winter Park, Florida 32789, 407-644-0111. Part II will be mailed within five (5) business days upon receipt of the request. CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 BCA First Quarter 2006 Market Review The Case for Long-Short Hedge Funds By Burgess B. Chambers Market risk is the uncertainty in predicting future results. Traditional blending of equity only asset classes eliminates only some degree of risk since they are highly correlated. Market risk is best managed through diversification among low correlating asset classes. Bonds represent the best negative correlating asset class to stocks, but their low coupon makes them less attractive than in past years. Along-short hedge fund eliminates the down-side risk of 50% of the equity portfolio. For example, if the stock market declines by 20%, the portfolio's shorted stocks rise in value by 20%. The remaining one-half of the portfolio declines by 20%. The net change of the portfolio is zero. In this example, bonds would be expected to rise in value, but not enough to match the shorted stocks. Earning equity returns similar to the broad domestic market (Russell 3000) is a challenge for long-short hedge funds during periods when most stocks are rising in value. Successful firms have developed active trading practices that capture short-term trading opportunities. Harvesting small but consistent monthly returns over time achieves market like results, but with much lower risk. narrowed the band of market uncertainty and market value losses. Pension plans that are dependent upon achieving an actuarial rate of return over one to five-year periods would be well served in adopting along-short program. For many years until recently, the bond returns of these programs nearly matched the actuarial rate of return assumption, thereby eliminating most of the actuarial uncertainty. In today's market environment this is no longer the case. The public's impression of hedge funds is mixed and varied. In the past, such firms were not registered with the Securities and Exchange Commission, lacked transparency of holdings and transactions and demanded high fees. They were viewed as mysterious and risky alternative investments sought by the wealthy. Many required long-term lock-in periods which offered little or no liquidity. Today, hedge funds are becoming registered and offer liquidity and transparency. Competition has brought down fees, and is making hedge funds a more viable asset class. Effective management of market risk should include an allocation to long-short hedge funds. Colleges and Foundations with strict annual spending policies embraced such hedge funds since this approach dramatically ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ r ~ ~ ~ ~ ~ CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Investment Summary and Review of Managers ^ For the quarter, the total Fund earned 4.7% (net of fees) and ranked in the top 14th percentile; out-performing 86% of the peer group. Results did not achieve the benchmark (+4.7°lo vs. +5.1 %), since the REIT allocation was below that of the benchmark (+6.7% vs. +10.0%). ^ For the past year, performance was driven by domestic mid-caps (+21.8%), international (+26.7%) and the REIT (Adelante: +47.5%, SSGA: +40.5%). ^ The decision to shift the REIT emphasis from SSGA to Adelante in 2005 has been successful. ^ The TIPS did detract from performance during the year and is expected to perform well when CPI data reported by the Commerce Department reveals inflation. ^ For the one, two, three, five and seven-year periods, total Fund performance has outperformed the benchmark. During the past three and five-year periods, results ranked in the top 20th percentile. ^ The Fund has averaged 16.3% and 9.1% for the past three and five year periods, respectively. Historical Rankings 1Q06 4Q05 3Q05 2Q05 1Q05 4Q04 3Q04 2Q04 1Q04 4Q03 3Q03 2Q03 Saw rass Asset M mt.O 47th 93rd 34th 79th 1st 70th 69th 22nd 90th 67th 34th 62nd INTECH ® 55th 42nd 54th 98th 8th 98th 12th 6th 6th 27th 58th 76th Lotsoff OO 95th 28th 34th 21st 84th 88th 7th 76th 15th 22nd 35th 15th SSGA Mid Cap © 55th 66th 11th 35th 40th 14th 27th 82nd 22nd 81st 11th 10th SSGA REIT ® 30th 87th 82nd 16th 63rd N/A N/A N/A N/A N/A N/A N/A SSGA International ® 38th 43rd 48th 50th 60th N/A N/A N/A N/A N/A N/A N/A Russell Small Ca Value O 20th 68th N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Adelante REITO 26th 47th 6th 1st 99th 37th 88th 34th N/A N/A N/A N/A Cz~ A Mobius Intermediate Hieh Grade Fixed Income Universe ®A Mobius REIT Universe ® Mobius Pure Large Cap Growth Moderate Universe ®Mobius World Equity: International Developed OO Mobius Pure Large Cap Value Moderate Universe OO Mobius Pure Small Cap Value Moderate Universe © Mobius Midcap Universe ®A Mobius REIT Universe 2 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Asset Allocation Table Based on Market Values, as of March 31, 2006 Manager Investment Approach Target (%) Actual (%) Min (%) Max (%) Lotsoff Large Cap Core Value Lquity 17.5 18.3 14.0 25.0 INTECH Large Cap Core Growth Equity 17.5 21.6 14.0 25.0 SSGA Mid Cap Core E uity 10.0 10.2 5.0 16.0 iShare Small Cap Value 7.0 5.2 5.0 15.0 SSGA International Equity Al ha (10% cost) 4.0 7.5 3.0 5.0 CS McKee International Equity Fund 4.0 3.0 3.0 5.0 Total Equity (70% max) 60.0 65.8 44.0 SSGA Wilshire REIT Index 4.0 2.2 2.5 7.5 Adelante REIT 4.0 4.5 2.5 7.5 Total REIT 8.0 6.7 5.0 15.0 Sawgrass Core Fixed 27.0 23.3 20.0 45.0 Sawgrass TIPS 5.0 4.2 2.0 7.0 Total Fixed 32.0 27.5 22.0 52.0 R&D Cash Total R&D 0.0 Total Fund 100.0 100.0 Limitations set forth in the Investment Policy Statement. Total equities may not exceed 70% of total assets at market value. If either domestic large cap equity strategy rises to an allocation above 26% or falls below 16%, this would trigger a rebalancing to 21%. If the domestic mid cap core equity strategy reaches an allocation of 16% or drops below ] 0%, this would trigger a rebalancing to 13%. The international allocation may not exceed 10% at cost. If the combined international strategies reach an allocation of 12% or falls below 8%, each approach would be rebalanced to equal weights that total 10%. The fixed income allocation would be adjusted commensurate with the above. 3 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Compliance Checklist Yes No 1. The total Fund's annualized three-year performance beat the Benchmark Objective's three-year annualized performance ® ^ (+16.3% vs. +14.6%). 2. The total Fund's annualized three-year performance ranked in the top 40th percentile in a balanced universe of managers ® ^ investing in both equity and fixed income securities (ranked 17th). 3. The total Fund's annualized three-year performance achieved the actuarial assumption rate of 7.58%; the three year ® ^ annualized return is +16.3%. 4. The total equity portfolio's annualized three-year performance beat the three-year annualized return for the total equity ® ^ benchmark (+22.8% vs. +19.0%). 5. The annualized three-year bond performance achieved the return for the bond benchmark index, (+2.5% vs. +2.7%). ^ 6. The annualized three-year fixed income performance ranked in the top 40th percentile in an intermediate fixed income ^ universe (ranked 67th). 7. Investments in equity securities (65.8%) did NOT exceed 70% of Fund's assets at market value. ® ^ 8. No more than 5% of the total Fund's assets at cost were invested in the common stock or capital stock of one issuing ® ^ company. 9. No more than 5% of the fixed income portfolio at cost was invested in the securities of any single corporate issuer. ® ^ 10. No more than 10% of the total Fund's assets at cost were invested in foreign equity investments. ® ^ 4 ~ . . .r r . 1~ . . ~ . r ~ r . . ~ r CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended Marcl: 31, 2006 Total Fund Performance (Annualized Percent Returns) Qtr. 1 Year 3 Yrs. 5 Yrs. 7 Yrs. 7 Yr. Std. Dev Ranking OO 14th 9th 17th 11th 45th N/A TOTAL FUND, Nct ~1.7 1S.U 1G.3 9.1 5.5 10.0 Benchmark Objective z0 5.1 13.5 14.6 6.2 4.4 10.6 Value Added -0.4 +1.5 +1.7 +2.9 +1.1 -0.6 OO A MSbius 60/40 balanced moderate manager universe. OO Benchmark: Effective July 6, 2004, 47% S&P 500, 8% MSC[ EAFE, ]0% Wilshire RE[T, and 35% Lehman Intermediate Aggregate. From September 30, 2003 to July 6, 2004 it was, 55% S&P 500 Index, 10% MSCI EAFE, and 35% Lehman Intermediate Aggregate. From April 1, 2003, 65% S&P 500 Index /35% Lehman Intermediate Aggregate. Previously, it was 65% S&P 500 and 35% Lehman Brothers Aggregate (LBAB). Total Fund Performance (For the One-Year Period Ending September 30th) 2005 2004 2003 2002 2001 2000 1999 TOTAL FUND, Nct 13.5 12.8 17.2 -5.0 -13.7 9.3 11.G Benchmark Objective OO 11.5 11.6 17.6 -10.3 -13.8 11.3 17.8 Value Added +2.0 +1.2 -0.4 +5.3 +0.1 -2.0 -6.2 5 rr r ~lr r r r r r r rr rr~ r ~^n r r ~r ~^r rr r CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Investment Performance April 1, 2005 -March 31, 2006 Dollars uarter 12 Months Beginning Market Value 67,193,484 60,474,375 Ending Market Value 70,337,447 70,337,447 Net Contributions (+/-) -8,259 +810,889 Investment Gain (+/-) +3,152,222 +9,052,184 Investment Return, Net +4.7`% +1.5.0 Benchmark Objective +5.1% +13.5 Value Added -U 4 pts. +1.5 pts. Fee estimate: 40 to 50 basis points. BCA believes these costs to be lower than the industry average. 6 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Equity Performance (Annualized Percent Returns) Qtr. 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 7 Yr. Std. Dev. %~ +/-~ Total Equity 5.6 17.4 22.8 10.0 9.1 17.9 Total Equity Benchmark ~ 4.9 13.4 19.0 4.9 2.3 17.2 Value Added +0.7 +4.0 +3.8 +5.1 +6.8 +0.7 Ranking 67th 56th 52nd 41st 46th N/A Domestic Equity 4.8 15.9 22.2 9.6 8.9 17.9 S&P 500 4.2 11.7 17.2 4.0 1.7 17.0 Value Added +0.6 +4.2 +5.0 +5.6 +7.2 +0.9 ~ Benchmark as of 3Q03 is 90% S&P 500/10% MSCI EAFE. Prior was 100% S&P 500. 7 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Equity Performance Annua/[Zed E'ercent tceturns Qtr. 1 1 Yr. 3 Yrs. ( S Yrs. I 5 Yr. Std. Ranking ® 55th 78th 28th 3rd N/A INTECH OO 3.5 12.6 18.6 9.3 13.9 50%S&P 500/50%BARRA Growth Index 3.4 10.0 14.9 3.4 16.7 Ranking O 95th 34th 38th 75th N/A Lotsoff Capital O 3.5 14.3 21.6 6.4 17.8 50%S&P 500/50%BARRA Value Index 5.0 13.6 19.6 4.6 18.0 Ranking © 55th 31st 20th 15th N/A SSGA Mid Cap Index Fund O 6.6 21.8 28.5 15.d 18.0 S&P MidCap 400 Index 7.6 21.6 26.1 12.8 19.5 Ranking OO 20th N/A N/A N/A N/A IShares Russell Small Cap Value ® 13.8 N/A N/A N/A N/A Russe112000 Value 13.5 N/A N/A N/A N/A Ranking OO 38th 52nd N/A N/A N/A ~SC.~~ International Alpha ® 10.2 2G.7 Iv/~~ N/;1 N/A MSCI EAFE 9.5 24.9 N/A N/A N/A ® Advisor began on December 26, 2000. O Mobius Pure Small Cap Value Moderate Universe ® Mobius Pure Large Cap Growth Universe ®Account added to the portfolio on September 2, 2005. O Mobius Pure Large Cap Value Universe O PSN EAFE Universe since 4/1/06 © Mobius Midcap Universe ®Advisor began on December 20, 2004. 8 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 REIT Performance (Annualized Percent Returns) Qtr. l Yr. Ranking O 26th 16th Adclantc REIT A 1 G.2 -17.5 Dow Jones Wilshire REIT 15.8 42.2 Value Added +0.4 +5.3 Ranking O 30th 58th SSGA RCIT © 15.7 40.5 Dow Jones Wilshire REIT 15.8 42.2 Value Added -0.1 -1.7 D A Mobius REIT Universe ® Adelante began on April 1, 2004 © SSGA Wilshire REIT was funded on September 27, 2004 9 ~ r ~ 1~ s• ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ .s ~ ~ ~ CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Total Equity Risk Statistics Performance Relative to the Total Equity Benchmark Index For aFive-Year Trailing Period Total Equity Benchmark Difference Return (%) 10.0 4.9 +5.1 Standard Deviation (%, +/-) 16.1 17.5 -1.4 Sharpe Ratio 0.5 0.2 +0.3 Worst Quarter (%) -14.9 -17.3 +2.4 Worst 4 Consecutive Quarters (%) -20.7 -24.8 +4.1 Number Negative Quarters 6 6 0 Up Mkt. Capture Ratio (%) 114.7 100.0 +14.7 Down Mkt. Capture Ratio (%) 79.8 100.0 -20.2 Annualized Alpha (%) 5.0 0.0 +5.0 Beta 0.9 1.0 -0.1 R-Squared (%) 98.7 100.0 -1.3 ~ Benchmark as of 3Q03 is 90% S&P 500/10% MSCI EAFE. Prior was 100% S&P 500. 10 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Fixed-Income Performance (Annualized Percent Returns) Bond Manager Qtr. 1 Year 3 Yrs. 5 Yrs. 7 Yr. 7 Yr. Std. Dev. (%, +/-) Ranking OO 47th 20th 67th 54th 87th N/A Total Fixed Income -11.2 3.0 2.5 4.9 S.l 3.~ Bond Benchmark t0 -0.3 2.3 2.7 5.0 5.6 3.5 Value Added +0.1 +0.7 -0.2 -0.1 -0.5 0.0 Ranking 20 31st 3rd 54th 47th N/A N/A Sawgrass Core Fixed Income -0.1 3.1 2.5 4.9 N/A N/A Lehman Aggregate Intermediate -0.3 2.3 2.7 5.0 N/A N/A Value Added +0.2 +0.8 -0.2 -0.1 N/A N/A Sawgrass TIPS -0.7 N/A N/A N/A N/A N/A Lehman Intermediate TIPS -1.2 N/A N/A N/A N/A N/A Value Added +0.5 N/A N/A N/A N/A N/A O Bond Benchmark: Effective 4/1/03, the Lehman Intermediate Aggregate Index; previously, LBAB. OO A Mobius Fixed Income Intermediate Investment Grade Universe CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Fixed Income Performance (For t/ze One-Year Periods Ended September 30th) 2005 2004 2003 2002 2001 2000 1999 1998 Ranking 16th 61st 73rd 32nd 52nd 99th 38th 66th Corc Bond Portfolio 2.8 2.6 4.8 8.7 13.1 5.5 0.6 10.5 Bond Benchmark ® 2.2 3.4 5.1 8.6 13.0 7.0 -0.4 11.5 Value Added +0.6 -0.8 -0.3 +0.1 +0.1 -1.5 +1.0 -1.0 . ~ r i ~ ~ r ~ ~ r ~ ~ ~ r ~ ~ r ~ ~ Fixed-Income Characteristics Relative to the Lehman Intermediate Aggregate Bond Index For the Quarter Sawgrass Core Fixed Income LIAB Difference Return (%) -0.1 -0.3 +0.2 Average Credit Quality AAA AAA N/A Average Duration (Yrs) 3.2 3.1 -0.1 12 ~ i ~ ~ ~ ~ ~ r ~ ~ ~ ~ ~ ~ ^~ ~ ~ ~ ~ CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 Fixed Income Risk Statistics Performance Relative to the Bond Benchmark Index For aFive-Year Trailing Period Total Fixed Income Bond Benchmark Difference Return (%) 4.9 5.0 -0.1 Standard Deviation (%,+/-) 3.-1 3.5 -0.1 Sharpe Ratio 0.8 0.8 0.0 Worst Quarter (%) -1.6 -2.0 +0.4 Worst 4 Consecutive Quarters (%) 0.4 0.9 -0.5 Number Negative Quarters 4 4 0 Up Mkt. Capture Ratio (%) 92.1 100.0 -7.9 Down Mkt. Capture Ratio (%) 42.1 100.0 -57.9 Annualized Alpha (%) 0.1 0.0 +0.1 Beta 09 1.0 -0.1 Bond Benchmark: Et~ective 4/1103, the Lehman intermediate Aggregate Index; previously, LBAB. NOTE: The down market capture ratio is N/A because the benchmark has not had a negative quarter during the last three-year period 13 CITY OF DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN For the Quarter Ended March 31, 2006 GLOSSARY OF TERMS ACCRUED INTEREST Bond interest eamed since the last interest payment, but not yet received. ALPHA A linear regressive constant that measures the manager's expected return independent of beta. ASSET ALLOCATION The optimal division of portfolio asset classes in order to achieve an expected investment objective. BETA A measure of portfolio sensitivity (volatility) in relation to the market, based upon past experience. BOND DURATION A measure of portfolio sensitivity to interest rate risk. COMMINGLED FUND An investment fund, offered by a bank or insurance company, which is similar to a mutual fund in that investors are permitted to purchase and redeem units that represent ownership in a pool of securities. CORE A type of investment strategy that has approximately an equal weighting in both growth and value stocks in order to achieve a return that is comparable to the broad market performance (i.e., the S&P 500). CORRELATION COEFFICIENT A statistical measure of how two assets move together. The measure is bounded by +1 and -l; +l means that the two assets move together positively, while a measure of -1 means that the assets are perfectly negatively correlated. INDEXES Indexes arc used as "independent representations of markets" (e.g., S&P 500 and LBGC). INFORMATION RATIO Annualized excess return above the benchmark relative to the annualized tracking error. GROWTH MANAGER A growth manager generally invests in companies that have either experienced above- average growth rates and/or are expected to experience above-average growth rates in the future. Growth portfolios tend to have high price/earnings ratios and generally pay little to no dividends. LARGE CAP Generally, the term refers to a company that has a market capitalization that exceeds $5 billion. MANAGER UNIVERSE A collection of quarterly investment returns from various investment management firms that may be subdivided by style (e.g. growth, value, core). MID CAP Generally, the term refers to a company that has a market capitalization between $1 and $5 billion. RATE OF RETURN The percentage change in the value of an investment in a portfolio over a specified time period. RISK MEASURES Measures of the investment risk level, including beta, credit, duration, standard deviation, and others that are based on current and historical data R-SQUARED Measures how closely portfolio returns and those of the market are correlated, or how much variation in the portfolio retums may be explained by the market. An R2 of 40 means that 40% of the variation in a fund's price changes could be attributed to changes in the market index over the time period. SHARPE RATIO The ratio of the rate of return earned above the risk-free rate to the standard deviation of the portfolio. It measures the number of units of return per unit of risk. STANDARD DEVIATION Measure of the variability (dispersion) of historical returns around the mean. It measures how much exposure to volatility was experienced by the implementation of an investment strategy. SYSTEMATIC RISK Measured by beta, it is the risk that cannot be diversified away (market risk). TRACKING ERROR A measure of closely a manager's performance tracks an index; it is the annualized standard deviation of the differences between the quarterly returns for the manager and the benchmark. UP-MARKET CAPTURE RATIO Ratio that illustrates how a manager performed relative to the market during rising market periods; the higher the ratio, the better the manager performed (i.e., a ratio of 1 10 implies the manager performed 10% better than the market). VALUE MANAGER A value manager generally invests in companies that have low price-to-earnings and price-to-book ratios and/or above-average dividend yields. 14 ~ ~ ~ ~ ~ ~ ~ ~ ~ i ~ ~ ~ ~ ~ ~ ~ ~ ~ Chart 1 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Asset Allocation TIPS 4.3% $2,916,541 Accrued Interest " """ $212,198 Bonds 23.7% $16,144,786 Bonds $16,631,587 27. Total Equity 64.5% $44,004,065 Total Cash $230,90 REIT 6.9% $4,727,500 Market Value: $70,337,447 SSGA International 7.5% $5,241,558 Adelante REIT 4.5% $3,165,914 ~~~. 1 Sawgrass TIPS 4.1% $2,916,541 iShare Small Cap ETF 5.2% $3,638,313 CSMcKee Int'I 3.0% $2,101,449 SSGA REIT 2.2% --%,~-'~ $1,561,586 ~ i' R8~D Cash 0.0%,~ $33,302 SSGA Mid Cap 10.2% $7,202,270 __--- Lotsoff 18.3% $12,888,382 INTECH 21.6% $15,181,849 Market Value: $70,337,447 REIT $3,212,956 5.3% Intl. Equity $5,999,775 9.8% TIPS $2,951,135 4.8% Total Cash '$230,821 0.4% Sawgrass Bonds 23.3% $16,406,283 Domestic Equity $31,888,200 52.3% Cost Basis: $60,914,474 Chart 2 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Returns 200 '-Fund 180 160 'Benchmark Objective 140 -Acturial Rate 7.625% 120 100 80 60 40 20 Cumulative Investment Performance 0 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 97 98 99 00 01 02 03 04 05 06 Qtr./Yr. All data prior to 20/97 was obtained from WHRS Investment Management. NOTE: Effective December 2000, the managers are Sawgrass Asset (bonds); INTECH, Lotsoff Capital, and State Street Global Advisors (equity managers). Benchmark Objective: Effective April 1, 2003, 65% S&P 500!35% LB Intermediate Aggregate Bond Index; previously, it was 65% S8P 500 and 35% LBAB. Chart 3 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Total Equity Performance ROR 200 - - 190 ~ Total Equity ~ Total Equity Benchmark - Total Equity cum -Total Equity Benchmark cum 180 170 160 150 140 130 120 110 100 90 80 70 60 50 40 30 20 10 0 -10 -20 -30 NOTE: Effective December 2000, the equity managers are INTECH, Lotsoff Capital Management, and State Street Global Advisors. The Evergreen International equity fund was added on June 16, 2003. Previously, the equity manager was WHRS. 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 97 98 99 00 01 02 03 04 05 '06~ Qtr./Yr. Chart 4 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Equity Performance ROR Lotsoff Capital Large-Cap Value Equity Performance 25 _ - ~~~~. f 20 ! i ®Lotsoff Benchmark ^~°-Lotsoff cum -Benchmark cum ~-~" 15 - '~~ _. __ , ~. 5 -5 ~.,.~,.,~ .,.~,.-,-, ~..o.~ ~.. -10 -15 ~ I -20 -25 I -30 ~-.~,~, ~ -35 ~ 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 01 ' 02 03 04 05 06 ~ NOTE: Benchmark is 50% S8P 500 index and 50% 500/BARRA Value index. Otr./Yr. ROR INTECH Large-Cap Growth Equity Performance 30 ~ ~INTECH Benchmark ~INTECH cum -Benchmark cum 25 20 15 I I -5 I -15 -20 -25 35 -40 - _ - i - 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 01 02 03 04 05 I 06 ~I I NOTE: Benchmark is 50% S8P 500 index and 50% 500/BARRA Growth index. Otr./Yr. II Chart 5 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Equity Performance ROR State Street Global Advisors Mid-Cap Equity Performance 80 -r 75 70 ~~ SSGA ~S&P 400 °°-SSGA cum -S&P 400 cum 65 60 55 50 45 40 35 30 II 25 20 -- 15 10 5 ~ ~ ~' o -. - -5 -10 { -15 -20 ,, 1 2 3 4 1 2 3 4 1 2 3 I 01 i 02 03 Qtr./Yr. ~~ 3~ ~ i 1 ~ 4 1 2 3 4 1 2 3 4 1 04 05 06 Chart 6 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Sawgrass Bond Performance 35 30 - 25 20 15 10 5 0 -5 ~ - 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 01 02 03 I 04 Otr./Yr. 1 2 3 4 1 05 06 NOTE: Effective December 2000, the bond manager is Sawgrass Asset Management. Benchmark: Effective 4/1/03, the Lehman Brothers Intermediate Aggregate index; previously, it was the LBAB. ROR I Sawgrass Benchmark Index -Sawgrass cum -Benchmark Index cum Chart 7 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Allocation % Maturity Distribution 80.0 71.7 ~ 12/31 /05 ~ 03/31 /06 65.3 60.0 40.0 33.7 22.0 .E>F, 20.0 1.0 3.2 0.0 3.1 0.0 0-01 1-05 5-10 > 10 Years Allocation % Sector Distribution vs. the LIAB 40.0 ~Sawgrass ~LIAB 32.9 35.0 31.3 29.3 28.6 30.0 25.0 22.s 19.3 20. 20.0 15.4 15.0 10.0 5.0 0.1 0.5 0.0 0.0 0.0 Cash Treasury Agencies Corporates MBS ABS Sectors Chart 8 DEERFIELD BEACH FIREFIGHTERS' PENSION PLAN Returns vs. Volatility 3-Year Average % Return 30 25 20 15 10 5 0 -5 -10 -1 i i it i ~ ~~ i i 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 Avg. Annual Standard Deviation % (+/_) _________________More Risk ----- -> 5-Year Average % Return 12 - - 10 - BEST Quadrant 8 - 6 - ^ 4 2 - ~ 0 - -2 -4 ~ 6 :: • Fund +Total Fund Benchmark ~ Equity ~ Benchmark ^ Fixed Income ^ Fixed Income Benchmark r~ T-bills - WORST Quadrant -8 ~ ~ Bond Benchmark: Effective 4/1/03, the Lehman 0 2 4 6 8 10 12 14 16 118 20 22 24 Intermediate Aggregate Index; previously, LBAB. Avg. Annual Standard Deviation % (+/-) -----------More Risk -----> CITY OF WINTER SPRINGS GENERAL EMPLOYEES' PENSION PLAN Fee Options Option 1 Annual fixed fee of $16,000 Additional fee of $5,000 for manager searches (waived in year one). Option 2: Asset based fee of 0.12%. Example: $15,000 per year, based on $12 million dollar market value. All services included. Consultant Level •Initial program-level status and recommendations •Determination of program objectives •Determination of unique program attributes •Actuarial assumptions review and recommendations •Asset allocation review and optimization analysis •Probability analysis of expected returns •Custom benchmark creation •Investment Policy Statement creation/maintenance •Risk management •Manager assessments and site visits •Manager blending and optimization •Tactical strategy (allocation shifting) •Rebalancing approach •Ongoing progress assessment and review •Capital markets assessment •Additional special projects and presentations •Cost assessment and containment •Trading and commission analysis •Introduction of new products •Searches: Managers, Custodian, Attorney, and Actuary Monitor Level •Quarteriy reporting and review of program progress •Program compliance with statutes and local law •Program compliance with Investment Policy Statement •Program progress to actuarial objectives •Program peer review •Manager compliance •Manager regulatory status •Manager peer review •Manager performance to benchmarics •Manager attribution analysis •Manager adherence to mandate (style analysis) •Manager searches •Trustee education programs •Security level reconciliation 34