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HomeMy WebLinkAbout2007 01 04 Document Handed Out Regarding Regular 300Date: January 4, 2007 DOCUMENT HANDED OUT AT THE JANUARY 4, 2007 SPECIAL BOARD OF TRUSTEES MEETING REGARDING REGULAR AGENDA ITEM 3 00. BCJ~DAHN ~ONSULTIN~ LLC. simplifying your investment decisions City of Winter Springs Employees' Pension Plan Opportunistic Growth, Opportunistic Value and Core Fixed Income www.bogdahnconsulting.com 340 West Central Avenue, Suite 300 • Winter Haven, Florida 33880 Telephone (863) 293-8289 • Fax (863) 292-8717 Presented January 4, 2007 Investment Consulting and Performance Evaluation Services BOGDAHN CONSULTING, LLC. Dave West, CFA 863-293-8289 Table of Contents Opportunistic Growth Equity Opportunistic Value Equity Fixed Income Pages: 2-16 Pages: 17- 30 Pages: 31-38 ~ Bogdahn Consulting, LL Opportunistic Growth Equity Manager Fee Proposals/Product Delivery Argent Capital 0.84% ~ 528,560.00 f t Separate ~ 0.6 B 0.3 B DG Capital 1.00% $34,000.00 Commingled 2.0 B 1.2 B LateefAsset Management 1.00% $34,000.00 Separate 2.7 B 2.7 B Renaissance Investment Mgmt. 0.75% 1st $5M $25,500.00 Separate 5.3 B 3.8 B Rigel Capital 0.80% $27,200.00 Separate 2.0 B 1.8 B Sawgrass Asset Management 1.0% 1st $5M $34,000.00 Separate 1.2 B 0.4 B 2 Bogdahn Consulting, LL~ Manager Contribution Argent Capital Management LLC 7 Years Trailing ended 09/30/2006 Data calculated using quarterly returns Manager Contribution Index: Russell 1000 Growth 20 15 10J 5 0 -5 -10 -15 M)0 S00 MDt S01 MD2 S02 MD3 S03 Ivt•74 S04 Ivt)5 S05 IuD6 S06 G99 J00 D00 J01 DOt J02 D02 J03 D03 J04 D04 JO5 D05 J06 Quarter Ending F~rformance Calculations by PSWIv1-Search 3 Bogdahn Consulting, LL 1 1 r 1 1 r 1 r 1 Manager Contribution DG Capital Management, Inc. 7 Years Trailing ended 09/30!2006 Data calculated using Quarterly returns Manager Contribution Index: Russell 1000 Growth 50 40 30 20 10 0 -10 20 - WAO S00 MO1 S01 MJ2 S02 MD3 S03 MJ4 S04 MOS SOS MJ6 SO6 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 DOS J06 Quarter Ending Performance Calculations by PSW(v4Search 4 Bogdahn Consulting, LL~ 1 1 ~ 1 1 ~' 1 r Manager Contribution Lateef Investment Management 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russell 1000 Growth 40 35 30 25 20 15 10 5 0 5 - Iv100 S00 Iv101 S01 hA02 S02 M03 S03 Ivt~4 S04 tubs SOS MD6 SO6 099 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS D05 JO6 Quarter Ending F~rformance Calculations by PSWIu4Search 5 Bogdahn Consulting, LL ~ ~ `- .._ Manager Contribution Renaissance Investment Management 7 Years Trailing ended 09/30/2006 Data calculated using quarterly returns Manager Contribution Index: Russe111000 Growth 15 10 5 0 -5 -10 -15 -20 -25 MJO S00 M01 S01 AAD2 S02 M03 S03 MJ4 S04 MDS S05 M)6 SO6 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 DOS J06 Quarter Ending F~rformance Calculations by PSWIv1-Search 6 Bogdahn Consulting, LL Manager Contribution Rigel Capital, LLC 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russe111000 Growth 35 30 25 20 15 10 5 0 -5 -10 MDO S00 FAD1 S01 MJ2 S02 MD3 S03 MJ4 S04 IugS S05 MD6 S06 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS D05 J06 Quarter Ending Fl;rformance Calculations by PSWIvt-Search ~ Bogdahn Consulting, LL Manager Contribution Sawgrass Asset Management, LLC 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russell 1000 Growth 20 15 10 5 0 -5 -10 -15 -20 -25 M00 S00 M01 SO1 Ivg2 S02 AA03 S03 Ivp4 SD4 MDS SOS M)6 SO6 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 D05 J06 Quarter Ending Fti?rformance Calculations by PSWIv1-Search 8 Bogdahn Consulting, LL Performance: Index Relative Risk Statistics Benchmark: Fdlsse111000Growth 7 Years Trailing ending 09/30/2006 Alpha 0~ 7Vr Treynor Ratio e~ 8 2 0 8 8 4 2 0 r rr r r ~r r rr r rr r ~^r s rr r ~r r r~ r r~ 7Yr O.D 0.6 o. ~ o.e o. s o.a 0.3 0.2 0.1 0.0 Beta 7Yr Batting Average 7Vr R-Squared La 1.2 I.0 ).8 ).8 7.4 7.2 ).0 7Vr Alpha Beta R-Squared Treynor Ratio Batting Average hformation Ratio ^ Argent Capital -Argent Large Cap Equty -CARP-Gross Size 4.98 0.68 83.67 2.07 67.86 0.55 ^ DG Capital M9ml. -Opportunistic Grow th -Gross Size 13.48 0.55 47.51 18.13 67.86 0.81 ^ Lateef hvest -All Cap Growth Equity -Gross Size 15.94 0.67 75.68 17.90 82.14 1.43 ^ Renaissance -Large Cap Growth -Gross Size 7.23 0.82 83.54 3.02 67.86 0.80 ^ lagel Capital -Rigel Large Cap Growth -Gross Size 8.91 0.76 77.52 6.01 67.86 0.84 ^ Saw grass Asset -Large Cap Growth Equity -Gross Size 3.01 0.57 86.07 0.40 60.71 0.34 O IZlssell 1000 Grow th 0.00 1.00 100.00 -5.63 100.00 Timeframe: 7 Years Trailing hdex: I~ssell 1000 Growth Performance Calculations by PSWIu1-Search 9 Bogdahn Consulting, LL 7Vr Information Ratio r ~ ~ r ~ >: ~ ~ ~ r r ~r ~ ~ r ~ r r .~~:.. ~ Performance: Risk Analysis Benchmark: Russell 1000 Grow th 7 Years Trailing ending 09/30/2006 Returns Standard Deviation Sharpe Ratio 0 8 8 4 2 0 -2 4 7Yr Negative Quarters 7Yr 0 7Yr Worst Quarter 0 -5 10 15 25 7Yr 0.8 0.8 7Yr Worst 4 Quarters 15 20 25 30 35 40 45 50 7Yr Returns Standard Deviation Sharpe Ratio Negative Quarters Worst Quarter Worst 4 Quarters ^ Argent Capital -Argent Large Cap Equily - GARP-Gross Size 4.57 16.72 0.08 12 -16.63 -25.01 ^ DG Capital Mgnd. -Opportunistic Grow th -Gross Size 13.39 18.37 0.55 14 -6.14 -15.54 ~I ^ Lateef hvest -All Cap Growth Equity -Gross Size 15.46 17.61 0.68 8 -12.78 -14.77 ^ Renaissance -Large Cap Grow th -Gross Size 5.71 20.09 0.12 10 -18.38 -34.52 ^ Rigel Capital -Rigel Large Cap Grow th -Gross Size 7.83 19.73 0.23 11 -12.85 -25.12 ^ Saw grass Asset -Large Cap Growth Equity -Gross Size 3.37 13.91 0.02 13 -12.10 -19.75 ~ O Russell 1000 Cxowth _. __ _ -2.58 22.62 _0_25 12 -21.34 -45.64 Timeframe: 7 Years Trailing Performance Cahulations by PSWM7-Search 10 Bogdahn Consulting, LL Performance: Index Relative Rolling Risk Statistics Benchmark: Russell 1000 Grow th Alpha Index: Russell 1000 Growth Anatysis Period: 7 010 111 9 9 6.0913012006 3 2 1 0 _1 _2 20 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS D05 JO6 S99 IuDO S00 tviJt S01 ND2 S02 tuD3 S03 MD4 S04 MD5 S05 tvt76 SO6 12 Quarters Ending Information Ratio Index: Russell 1000 Growth Analysis Period: 10/0111996 - 09/30/2006 D99 J00 D00 J01 D01 J02 1702 J03 D03 J04 D04 J05 D05 JO6 S99 MDO S00 M71 S01 ivg2 S02 bU3 S03 MJ4 S04 tugs SOS Ivg6 S06 12 Quarters Ending ^ Argent Capital -Argent Large Cap Ezludy - GARP ^ Lateef Invest -All Cap Growth Equity ^ Rgel Capital - Rgel Large Cap Grow th ^ DG Capital M9mt. -Opportunistic Growth ^ Renaissance -large Cap Growth ^ Saw grass Asset -Large Cap Growth Equity Ftrrformance Calculations by PSWM-Search 11 Bogdahn Consulting, LL~ Performance: Index Relative Rolling Risk Statistics Benchmark: Russell 1000 Growth 10 Years Trailing Returns Analysis Period: 10101/1996 - 09!30/2006 60 50 40 30 20 10 0 -10 -20 30 - D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 D05 J06 S99 MDO S00 lul)1 SO1 M02 S02 IvD3 S03 bt)4 S04 M)5 S05 MD6 SO6 12 Quarters Ending Standard Deviation Analysis Period:l0/01/1996 • 09/30/2006 35 30 25 20 15 10 5 0 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 004 JOS D05 JO6 S99 MDO S00 luT)1 S01 MD2 S02 M03 S03 MD4 S04 lut)5 SOS AAD6 S06 12 Quarters Ending O Russell 1000 Growth ^ Lateef Invest -All Cap Growth Equity ^ Sawgrass Asset -Large Cap Growth Equity ^ Argent Capital -Argent Large Cap Equity- GARP ^ Renaissance - Large Cap Growth ^ DG Capital Mgmt -Opportunistic Growth ^ Rigel Capital -Rigel Large Cap Growth Performance Ca~ulations by PSWbt-Search ~ 2 Bogdahn Consulting, LL - 1 1 ' 1 1 ~ 1 r' ~? - - Performance: Index Relative Rolling Risk Statistics Benchmark:Russe111000 Growth 10 Years Trailing Up-Market Ratio Index: Russell 1000 Growth Anatysis Period: 1010111996 - 09/30/2006 iou 140 -20 D99 J00 D00 J01 001 J02 D02 J03 003 J04 D04 J05 005 .loti S99 MDO S00 MJ1 S01 AA)2 S02 MD3 S03 MD4 S04 Nq5 S05 MD6 S06 12 Quarters Ending Down-Market Ratio Index: Russell 1000 Growth Anatysis Period: 10/01N996 - 09130/2006 250 200 150 100 50 0 -50 D99 J00 000 J01 D01 J02 D02 J03 D03 J04 D04 J05 DOS JO6 S99 M00 S00 Ivg1 S01 A~D2 S02 MD3 S03 MD4 S04 MJS SOS MD6 S06 12 Quarters Ending ^ Argent Capital -Argent Large Cap Equity - GARP ^ DG Capital Mgmt. -Opportunistic Growth F~rformance Cak:ulations by PSWU.4Search ^ Lateef Invest -All Cap Growth Equity ^ Rigel Capital -Rigel Large Cap Growth ^ Renaissance -Large Cap Growth ^ Sawgrass Asset -Large Cap Growth Equity 13 Bogdahn Consulting, LLC~ Performance: Index Relative Rolling Risk Statistics Benchmark: Russell 1000 Grow th 10 Years Trailing 3i Downside Deviation Analysis Period: 10/01/1996 - 09/30/2006 2 2 1 1 L D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 DOS JO6 S99 tuDO S00 bp1 S01 MD2 S02 IuU3 S03 fvD4 S04 WD5 S05 M06 SO6 12 Quarters Ending ^ Argent Capital Management LLC -Argent Large Cap Equity - GARP ^ Renaissance Investment Management -Large Cap Growth ^ DG Capital Management, Inc. -Opportunistic Growth ^ Rigel Capital, LLC -Rigel Large Cap Growth ^ Lateef Investment Management -All Cap Growth Equity ^ Sawgrass Asset Management, LLC -Large Cap Growth Equity Ffrrformance Cak:ulations by PSWb4Search 14 Bogdahn Consulting, LLC Performance: Calendar-Year Universe: Mobius Broad Large Cap Growth Benchrnark IZ~ssell 1000 Growth l>ata ca~ulated ushg Quarterly returns Returns Universe: Mobius Broad Large Cap Growth _.,,... 2004 _--- 2002 - 2000 1998 ^ 5-25 %tNe ^ 25-50 %tie ^ 50-75 %tie ^ 75-95 %tile O l~ssell 1000 Growth Returnset Percentile: Returns for 2005 Percentile: Returns for 2004 Percentile: Returns for 2003 Percentile: Returns for 2002 Percentile: Returns for 2001 Percentile: Returns for 2000 Percentile: Returns for 1999 Percentile: Returns for 1998 Percentile: Returns for 1997 ^ Argent Capital -Argent Large Cap Equity - GAR° -Gross S¢e 18.0 57.0 48.0 48.0 19.0 41.0 56.0 WA WA •, ^ l)G Capital Mgrrt. -Opportunistic Grow th -Gross Size 3.0 7.0 27.0 9.0 21.0 9.0 2.0 44.0 88.0 ^ Lateef hvest - AN Cap Growth Equity -Gross Size 6.0 13.0 37.0 7.0 15.0 29.0 76.0 16.0 ^ Renaissance -Large Cap Grow th -Gross Size 28.0 8.0 3.0 6.0 37.0 83.0 93.0 50.0 16.0 ^ F3gel Capital - lagel Large Cap Grow th -Gross S¢e 14.0 37.0 69.0 17.0 27.0 28.0 21.0 WA WA ^ Sawgrass Asset -Large Cap Growth Equity -Gross Size 44.0 78.0 67.0 24.0 7.0 76.0 84.0 WA WA Universe: Mobius Broad Large Cap Growth 2005 2004 2003 2002 2001 2000 1999 1998 1997 Argent Capital Management LLC -Argent Large Cap Equity - GARP 11.55 10.10 30.12 -23.12 -5.45 -2.82 26.62 DG Capital Management, hc. -Opportunistic Growth 16.90 19.35 33.50 -15.17 -6.23 17.18 99.50 31.88 21.91 Lateef hvestment Management -All Cap Growth Equity 15.13 17.25 31.65 -3.22 1.72 12.74 37.96 21.39 36.56 Renaissance hvestment Management -Large Cap Growth 9.79 18.84 47.06 -14.09 -10.85 -14.34 10.74 30.41 36.59 Rgel Captal, LLC- Fagel Large Cap Growth 12.69 12.51 27.18 -17.83 -8.15 2.07 44.65 Saw grass Asset Management, LLC-Large Cap Growth Equity 8.15 7.14 27.45 -19.75 0.65 -12.12 15.79 R,usetl 1000 Grow th 5.26 6.30 29.75 -27.89 -20.42 -22.42 33.16 38.71 30.49 Returns Fi'rforrronce Cahulatior~s by PSWM-Search 15 Bogdahn Consulting, LL~ `< g 1 1 1 1 r 1 1 r - ~,~ ` . Performance: Calendar-Year Universe: Mobius Broad Large Cap Growth Benchmark: Fdissell 1000 Growth Data calculated using Quarterly returns Returns Universe: Mobius Broad Large Cap Growth -40 100 80 60 2005 2004 ^ 5-25 % the p Russell 1000 Growth 2003 2001 1999 1997 2002 2000 1998 ^ 25-50 % the ^ 50-75 % file ^ 75-95 % file Returnset Percentile: Returns for 2005 Percentile: Returns for 2004 Percentile: Returns for 2003 Percentile: Returns for 2002 Percentile: Returns for 2001 Percentile: Returns for 2000 Percentile: Returns for 1999 Percentile: Returns for 1998 Percentile: Returns for 1997 ^ Argent Capital -Argent Large Cap Equty - GARP-Gross Size 18.0 57.0 48.0 48.0 19.0 41.0 56.0 WA WA ^ DG Capital Mgmt. -Opportunistic Growth -Gross Size 3.0 7.0 27.0 9.0 21.0 9.0 2.0 44.0 88.0 ^ Lateef hvest -All Cap Growth Equity -Gross Size 6.0 13.0 37.0 7.0 15.0 29.0 76.0 16.0 ^ Renaissance -Large Cap Grow th -Gross Size 28.0 8.0 3.0 6.0 37.0 83.0 93.0 50.0 16.0 ^ Rigel Capital - lagel Large Cap Grow th -Gross Size 14.0 37.0 69.0 17.0 27.0 28.0 21.0 WA WA ^ Saw grass Asset -large Cap Growth Equity -Gross Size 44.0 78.0 67.0 24.0 7.0 76.0 84.0 WA WA Universe: IvUbius Broad Large Cap Growth 2005 2004 2003 2002 2001 2000 1999 1998 1997 Argenl Capital Management LLC -Argent Large Cap Equity - GARP 11.55 10.10 30.12 -23.12 -5.45 -2.82 26.62 lOG Captal Management, hc. -Opportunistic Grow lh 16.90 19.35 33.50 -15.17 -6.23 17.18 99.50 31.88 21.91 Lateef hveslment Management -All Cap Grow lh Equity 15.13 17.25 31.65 -3.22 1.72 12.74 37.96 21.39 36.56 Renaissance hvestment Management -Large Cap Growth 9.79 18.84 47.08 -14.09 -10.85 -14.34 10.74 30.41 36.59 Rigel Capital, LLC -Rigel Large Cap Grow th 12.69 12.51 27.18 -17.83 -8.15 2.07 44.65 Saw grass Asset Management, LLC -Large Cap Growth Esluity 8.15 7.14 27.45 -19.75 0.65 -12.12 15.79 Russell 1000 Growth 5.26 6.30 29.75 -27.89 -20.42 -22.42 33.16 38.71 30.49 Returns F~rformance Calculations by PSWM-Search 16 Bogdahn Consulting, LLC ~ ~ ~ s ~^ ~ ~ ~ ~ ~^ ~ ~ ~ ~ w ~ ~ ~ Opportunistic Value Equity Manager Fee Proposals/Product Delivery Dana Investment Advisors 0.75% $25,500.00 Separate 2.8 B 0.5 B Fifth Third Asset Management 0.80% $27,200.00 Separate 2.8 Bil 0.6 B Mesirow Financial Investment Mgmt. 1.00% $34,000.00 Separate 20.3 B 0.1 B Oppenheimer Capital 0.85% $28,900.00 Commingled 23.0 B 0.5 B Snow Capital Management 0.80% $27,200.00 Separate 5.4 Bil 5.0 B ~ ~ Bogdahn Consulting, LL~ ~ t t ~ t t '• t ,'' Manager Contribution Dana Investment Advisors, Inc. 7 Years Trailing ended 09/30/2006 Data ca~ulated using Quarterly returns Manager Contribution Index: Russell 3000 Value 20 15 10 5- 0{ ~~ i -5 10 - MJO S00 MD1 S01 frU2 S02 MD3 S03 A~U4 S04 lut)5 S05 MJ6 SO6 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 D05 J06 Quarter Ending Performance Calculations by PSW1~,4Search ~ $ Bogdahn Consulting, LL~ 1 t r t l r~ t r "'``-~ Manager Contribution Fifth Third Asset Management, Inc. 7 Years Trailing ended 09/30/2006 Data ca~ulated using Quarterly returns Manager Contribution Index: Russell 3000 Value 20 15 10 5 0 -5 AADO S00 MD1 S01 AA72 S02 MD3 S03 MD4 S04 hA05 S05 MJ6 SO6 D99 J00 D00 J01 DO1 J02 D02 J03 D03 J04 D04 J05 DOS JO6 Quarter Ending F~rformance Ca~ulations by PSWIuFSearch 19 Bogdahn Consulting, LL~ Manager Contribution Mesirow Financial Investment Mgmt. 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russell 3000 Value 10 B 6 4 2 0 _2 -4 MDO S00 M01 S01 I~D2 S02 M03 S03 Mp4 S04 M75 SOS MD6 S06 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS DO5 J06 Quarter Ending Performance Calculations by PSWIut_Search 20 Bogdahn Consulting, LL~ Manager Contribution Oppenheimer Capital 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russell 3000 Value 20 15 10 5 0 -5 bt)0 S00 PA01 S01 AAJ2 S02 AAD3 S03 M)4 S04 M05 SOS MD6 S06 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS D05 JO6 Quarter Ending F~rformance Calcufatans by PSWIvt-Search 21 Bogdahn Consulting, LL~ 1 1 ~ 1 1 r 1 r x °~fi F,' Manager Contribution Snow Capital Management, LP 7 Years Trailing ended 09/30/2006 Data calculated using Quarterly returns Manager Contribution Index: Russe113000 Value 35 30 25 20 15 10 5 0 -5 M)0 S00 MD1 S01 fu1D2 S02 MD3 S03 MD4 S04 MD5 S05 MJ6 SO6 D99 J00 D00 J01 001 J02 D02 J03 D03 J04 D04 J05 D05 J06 Quarter Ending R;rformance Calculations by PSWId-Search 22 Bogdahn Consulting, LL t ~ r t l r t r Performance: Index Relative Risk Statistics Benchmark: Russe113000 Value 7 Years Trailing ending 09/30/2006 Alpha 7 s 5 4 3 2 t 0 4 2 0 Beta so 30 20 10 0 R-Squared 7Yr Alpha Beta R-Squared Treynor Ratio Batting Average hformation Ratio ^ Dana hvestment -Dana Large Cap Equity -Gross Size 1.30 0.85 79.64 6.22 53.57 0.03 ^ Frfth Third Asse -All Cap Value -Gross Size 5.84 1.04 82.49 10.28 67.86 0.80 ^ Ivksirow Fnanc'I -All Cap Value F~udy -Gross Size 2.37 0.80 91.36 7.95 50.00 0.22 ^ Oppenheimer Cap -All Cap Equity -Gross Size 3.87 0.96 81.94 8.70 53.57 0.50 ^ Snow Cap MgrrA. -All Cap Value -Gross S¢e 6.74 1.12 82.86 10.61 67.86 0.91 O Russell 3000 Value 0.00 1.00 100.00 4.72 100.00 Timeframe: 7 Years Trailing hdex: Russell 3000 Value F~rformance Cahulations by PSWI~A-Search 23 Bogdahn Consulting, LL 7Vr Batting Average 7Vr Information Ratio 7Vr Treynor Ratio F 1 1 1 1 r 1 r `- ~ i Performance: Risk Analysis Benchmark: Russe113000 Value 7 Years Trailing ending 09/30!2006 Returns Standard Deviation Sharpe Ratio 18 __ 0.7 14 0.8 12 0.5 10 04 8 03 g 4 0.2 2 0.1 0 0.0 7Yr -s 10 is 20 2s 7Yr 7Yr Returns Standard Deviation Sharpe Ratio Negative Quarters Worst Quarter Worst 4 Quarters ^ Dana hvestmenl -Dana Large Cap Equity -Gross Sae 8.52 14.34 0.37 9 -16.44 -23.73 ^ Frfth Third Asse -All Cap Value -Gross Size 14.09 17.34 0.62 9 -15.41 -20.02 ^ tvtesirow Fnanc'I -All Cap Value Equity -Gross Size 9.58 12.56 0.50 7 -14.05 -21.28 ~ ^ Oppenheimer Ca -All Ca p p Equity -Gross Sae 11.67 16.03 0.52 8 -14.01 -20.29 ~ Snow Cap M9mt. -All Cap Value -Gross Size 15.21 18.53 0.64 6 -20.26 -24.44 O Russell 3000 Value 7.96 15.03 0.31 7 -18.96 -22.79 Timeframe: 7 Years Trailing F~rformance Cahulations by PSWbt-Search 24 Bogdahn Consulting, LL~ Worst d Quarters Negative Quarters 7Yr Worst Quarter ~ ~ r ~ r is ~ ~ ~s ~ ar r ~ ~ . w ~ r r 11R Performance: Index Relative Rolling Risk Statistics Benchmark: Russell 3000 Value Alpha Index: Russell 3000 Value Anatysis Period: 10101f1996.0913012006 sv 10~ 5 D99 J00 D00 J01 D01 J02 wz JV:i ws Jua wv Jvo wo uvo S99 IvDO S00 Iu101 S01 hAD2 S02 Ivp3 S03 MD4 S04 AADS S05 fvD6 S06 12 Quarters Ending Information Ratio Index: Russell 3000 Value Anatysis Period: 1010111996 - 09130/2006 ~.o r D99 J00 D00 J01 D01 JU2 w1 JU3 wa Juy ww Juv wo uvo S99 IuUO S00 MJ1 S01 h~p2 S02 A~TJ3 S03 MJ4 S04 MJ5 S05 Iug6 S06 12 Quarters Ending ^ Dana hvestment -Dana Large Cap Equity ^ Mesirow Fnanc'I -All Cap Value Equity ^ Snow Cap M9nd. -All Cap Value ^ Frfth Third Asse -All Cap Value ^ Oppenheimer Cap -All Cap Equity F~rformance Cahulatbns by PSWtuFSearch 25 Bogdahn Consulting, LL~ Returns Analysis Period: 10/01/1996 - 09/30/2006 30 25 20 15 10 5 0 -5 -10 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 D05 JO6 S99 iuDO S00 bp1 S01 tvg2 S02 MD3 S03 Aro4 S04 lub5 SOS MD6 SO6 12 Quarters Ending Standard Deviation Analysis Period: 10/01/1996 - 09/3012006 30 25 20 15 10 5 -' 0 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS D05 J06 S99 i~OO S00 MD1 S01 M)2 S02 MD3 S03 MD4 S04 M)5 SOS fUD6 S06 12 Quarters Ending o Russell 3000 Value ^ Fifth Third Asset Management, Inc. - All Cap Value ^ Oppenheimer Capital - All Cap Equity ^ Dana Investment Advisors, Inc. - Dana Large Cap Equity ^ Mesirow Financial Investment Mgmt. - All Cap Value Equity ^ Snow Capital Management, LP -All Cap Value Performance: Index Relative Rolling Risk Statistics Benchmark. Russell 3000 Value Performance Calculations by PSWtv4Search 26 Bogdahn Consulting, LL~ ~ r a.~ ~ ~ r ~ ~ r ~ ~ ~ r s~ ~ ~ ~ ~ ~ ~;~ :~. ~ ~ ~ ~ ~ '' ~ Performance: Index Relative Rolling Risk Statistics Benchmark: Russell 3000 Value 10 Years Trailing Up-Market Ratio Index: Russell 3000 Value 2 1 1 1 1 1 200 0 -200 -600 -1000 D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 J05 D05 J06 S99 MJO S00 IyD1 S01 MJ2 S02 IvD3 S03 M04 S04 M05 SOS AA06 S06 12 Quarters Ending ^ Dana Investment Adusors, Inc. -Dana Large Cap Equity ^ Oppenheimer Capital -All Cap Equity ^ Fifth Third Asset Management, Inc. -All Cap Value ^ Snow Capital Management, LP -All Cap Value ^ Mesirow Financial Investment Mgmt. -All Cap Value Equity F~rformance Ca~ulatans by PSWI~Search 27 Bogdahn Consulting, LL~ S99 tYDO S00 MJ1 S01 A~A2 S02 Fi03 S03 M04 5oa rovo sua riuo auo 12 Quarters Ending Down-Market Ratio Index: Russell 3000 Value Analysis Period: 10/01/1996 - 09/30/2006 i5- - 1 1 ' 1 1 ~ ' 1 ' _ w,.,,. , Performance: Index Relative Rolling Risk Statistics Benchmark: Russe113000 Value 10 Years Trailing Downside Deviation Analysis Period: 70/01/1996 - 09/30/2006 1~ 1, 1 ~~ ]~ D99 J00 D00 J01 D01 J02 D02 J03 D03 J04 D04 JOS o05 J06 S99 MJO S00 MD1 S01 MD2 S02 IvU3 S03 WU4 S04 MD5 S05 M06 S06 12 Gluuarters Ending ^ Dana Investment Advisors, Inc. -Dana Large Cap Equity ^ Oppenheimer Capital -All Cap Equity ^ Fifth Third Asset Management, Inc. -All Cap Value ^ Snow Capital Management, LP -All Cap Value ^ Mesirow Financial Investment Mgmt. -All Cap Value Equity Ffrformance Ca~ulations by PSWW4Search 28 Bogdahn Consulting, LL~ ~ ~ ~ r i ~ i ~ ~ r r ~ ~ r ~ ~ ~ r ~ y ~ ~ t r~ t r I •~ .+ . ....: Performance: Trailing Universe: Mobius Broad Value Benchmark: Russe113000 Value Data calculated using Quarterly returns Returns Universe: Mobius &oad Value YTD 3Yr 7Yr ^ 5-25 % the ^ 25-50 % the ^ 50-75 % file ^ 75-95 % file p Russell 3000 Value Returnset Percentile: f]tr. Percentile: YTD Percentile:l Yr. Percentile:3 Yrs. Percentile:5 Yrs. Percentile:? Yrs. Percentile: 10 Yrs. ^ Dena hveslment Advisors, hc. -Dana Large Cap Equity 50.0 52.0 45.0 50.0 63.0 59.0 WA ^ Frfth Third Asset Management, hc. -All Cap Value 23.0 11.0 12.0 22.0 25.0 29.0 31.0 ^ Mesirow Fnancial hvestment Mgmt. -All Cap Value Equity 46.0 45.0 53.0 51.0 61.0 52.0 WA ^ Oppenheimer Capital -All Cap Equity 35.0 48.0 12.0 34.0 39.0 41.0 WA ^ Snow Capital Management, LP-All Cap Value 55.0 61.0 35.0 17A 34.0 23.0 5.0 Universe: Mobius Broad Value l]tr YTD 1Yr 3Yr 5Yr 6Yr 7Yr 10Yr Dana hvestment Advisors, hc. -Dana Large Cap Equity 3.53 8.21 10.76 15.55 10.01 6.43 8.52 Frfth Third Asset Management, hc. -All Cap Value 5.70 13.47 15.36 18.93 15.95 12.54 14.09 13.42 Mesirow Fnancial hvestment Mgmt. -All Cap Value Equity 3.81 8.73 10.05 15.48 10.13 8.26 9.58 Oppenheimer Capital -All Cap Equity 4.91 8.56 15.23 17.37 13.40 9.53 11.67 Snow Capital Management, LP-All Cap Value 3.05 7.34 11.89 19.87 14.28 11.00 15.21 17.45 Russell 3000 Value 5.88 13.18 14.55 17.38 11.18 7.73 7.96 11.31 Returns F~rformance Cahulations by PSWM-Search 29 Bogdahn Consulting, LL~ Qtr 1Yr SYr 1UYr ~. .s r r~ i~ r. r~ ~.. r. r r ~ t r ~ t ' • t '.a-- ~ ~_ , Performance: Calendar-Year Universe: Mobius Broad Value Benchmark: Ru55e113000 Value Cata calculated using Quarterly returns Returns Universe: Mobius &oad Value 2004 2002 ^ 5-25 % file ^ 25-50 % file O Russe113000 Value 2000 1998 ^ 50-75 % the ^ 75-95 % the Rsturnset Percentile: Returns for 2005 Percentile: Returns for 2004 Percentile: Returns for 2003 Percentile: Returns for 2002 Percentile: Returns for 2001 Percentile: Returns for 2000 Percentile: Returns for 1999 Percentile: Returns for 1998 Percentile: Returns for 7997 ^ Dana hvestment -Dana Large Cap Equity -Gross Size 16.0 74.0 61.0 76.0 55.0 60.0 WA WA WA ^ Frfth Third Asse -All Cap Value -Gross Size 41.0 46.0 22.0 55.0 31.0 18.0 44.0 89.0 66.0 ^ Mesirow Fnanc'I -All Cap Value Equity -Gross S¢e 45.0 66.0 74.0 48.0 41.0 37.0 70.0 WA WA ^ Oppenheimer Cap -All Cap Equrfy -Gross Size 31.0 38.0 60.0 47.0 56.0 37.0 61.0 25.0 WA ^ Snow Cap Mgrnt. -All Cap Value -Gross S¢e 13.0 43.0 17.D 69.0 34.0 12.0 22.0 14.0 98.0 Universe: Mobius Broad Value 2005 2004 2003 2002 2001 2000 1999 1998 1997 Dana hvestment Advisors, hc. -Dana Large Cap Equf[y 13.13 12.20 30.50 -19.07 0.75 8.79 Frfth Third Asset Management, hc. -All Cap Value 9.09 16.95 42.52 -14.69 9.19 25.40 14.22 -8.75 28.15 Mesirow Fnancial hvestment Mgmt. -All Cap Value Equdy 8.52 13.57 28.25 -13.41 4.96 16.77 4.07 Oppenheimer Capital -All Cap Equity 10.71 18.38 30.57 -13.26 0.47 16.90 7.50 21.79 Snow Captal Management, LP-All Cap Value 13.93 17.29 44.86 -17.58 7.96 29.67 22.53 28.55 14.52 Russell 3000 Value 6.85 16.94 31.14 -15.18 -4.33 8.04 6.65 13.50 34.83 Returns Performance Calculations by PSWM-Search 30 Bogdahn Consulting, LL 2005 2003 2001 1999 1997 r s ^r r~ r~ ~~.~~ r ~ r~ r r~~ Fixed Income Manager Fee Proposals/Product Delivery Agincourt Capital Mgmt. 0.25% Bradford & Marzec, Inc. 0.30% Dwight Asset Mgmt. 0.25% Galliard Capital Mgmt. 0.25% MBIA Asset Mgmt. 0.40% 1st $5M' Pacific Income Advisors, Inc. 0.35% Sawgrass Asset Mgmt. 0.35% $12,000.00 Separate $10,000.00 Commingled $10,000.00 Commingled $16,000.00 Separate $14,000.00 Separate 3.0 B 1.8 B 4.2 B 0.4 B 57.0 B 1.0 B 21.4 B 3.2 B 58.3 B 0.07 B 4.3 B 0.6 B 1.2 B 0.4 B 31 Bogdahn Consulting, LL F - . Performance: Risk Analysis benchmark Lehman Aggregate Bond Returns 7 s 5 4 3 2 1 0 8Yr Negative Quarters 12 10 8 6 4 2 0 Standard Deviation 4 3 2 1 0 0.0 -0.5 Sharpe Ratio o.e 0.7 0.6 0.5 0.4 0.3 0.2 0.1 o.o 0.0 -0.2 -0.4 -0.6 -0.8 -1.0 -1.2 -1.4 -1.6 -1.8 8Yr 8Yr Returns Standard Deviation Sharpe Ratio Negative Quarters Worst Quarter Worst 4 Quarters ^ Agincourt Cap -Core/Total Retum -Gross Size 5.79 3.66 0.66 8 -2.43 -0.44 ^ Bradford Marzec -Core Composite -Gross Size 5.56 3.60 0.61 11 -2.17 -0.98 ^ Dwight Asset Mgt -Core Fixed Income -Gross Size 6.07 3.86 0.70 7 -2.23 -1.52 ^ Galliard Capital -Broad Market Core Composite -Gross Size 6.10 3.81 0.72 7 -2.21 -0.47 ^ MBIA -Core Fixed Income -Gross Size 5.70 3.48 0.67 7 -2.38 -0.20 ^ Pacific Income -Moderate Duration SMA -Gross Size 5.41 3.19 0.65 8 -2.08 -0.48 ^ Sawgrass Asset -Core Fixed Income -Gross Size 5.60 3.58 0.63 6 -2.13 -0.19 • Lehman Aggregate Bond 5.40 3.67 0.56 9 -2.44 -0.83 limeframe: 8 Years Trailing 32 Bogdahn Consulting, LL 8Yr Worst Quarter 8Yr Worst 4 Quarters Performance: Index Relative Risk Statistics Benchmark: Lehman Aggregate Bond Alpha 12 1.0 0.8 0.6 0.4 ' 0.2 0.0 - Beta 100 90 80 70 60 50 40 30 20 10 0 RSquared 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 8Yr Treynor Ratio 3.0 2.5 2.0 1.5 1.0 0.5 0.0 8Yr 8Yr Batting Average 80 70 60 50 40 30 20 10 0 8Yr 1.5 1.0 0.5 0.0 -0.5 -- 8Yr Alpha Beta RSquared Treynor Ratio Batting Average Information Ratio ^ Agincourt Cap - CorelTotal Retum -Gross Size 0.39 0.99 98.28 2.45 78.13 0.77 ^ Bradford Marzec -Core Composite -Gross Size 0.23 0.96 94.18 2.30 53.13 0.17 ^ Dwight Asset Mgt -Core Fixed Income -Gross Size 0.57 1.04 95.59 2.60 68.75 0.78 ^ Galliard Capital -Broad Market Core Composite -Gross Size 0.61 1.03 97.70 2.65 68.75 1.14 ^ MBIA -Core Fixed Income -Gross Size 0.45 0.92 95.08 2.54 65.63 0.34 ^ Pacific Income -Moderate Duration SMA -Gross Size 0.30 0.85 96.63 2.42 59.38 -0.01 ^ Savvgrass Asset -Core Fixed Income -Gross Size 0.25 0.97 98.92 2.31 53.13 0.49 • Lehman Aggregate Bond 0.00 1.00 100.00 2.05 100.00 Timeframe: 8 Years Trailing Index: Lehman Aggregate Bond 33 Bogdahn Consulting, LL~ 8Yr Informatlon Ratio - 1 1 r 1 1 ~' 1 r ~'~' k<. .. Performance: Market Capture Ratios Benchmark: Lehman Aggregate Bond 8 Years Trailing ending 09/30/2006 Up-Market Ratio 120 100 80 60 40 20 0 8Yr 90 80 70 60 50 40 30 20 10 0 Down-Market Ratio SYr 108 106 i 104 0 102 .~ d 100 m a 98 96 94 92 60 70 80 90 100 110 120 130 140 Down-Market Ratio Up-Market Ratio Down-Market Ratio ^ Agincourt Capital Management, LLC -Core/Total Retum -Gross Size 104.04 82.28 ^ Bradford & Marzec, Inc. -Core Composite -Gross Size 100.61 84.65 ^ Dwight Asset Management Company -Core Fixed Income -Gross Size 107.36 71.52 ® Galliard Capital Management -Broad Market Core Composite -Gross Size 107.17 66.93 ^ MBIA Asset Management Group -Core Fixed Income -Gross Size 100.73 67.69 ^ Pacific Income Advisers, Inc. - Moderate Duration SMA -Gross Size 96.33 70.38 ^ Sawgrass Asset Management, LLC -Core Fixed Income -Gross Size 99.19 68.73 • Lehman Aggregate Bond 100.00 100.00 Index: Lehman Aggregate Bond Timeframe: 8 Years Trailing 34 Bogdahn Consulting, LL Uo-Market vs Down-Market Performance: Index Relative Rolling Risk Statistics Lehman Aggregate Bond Information Ratio Index: Lehman Aggregate Bond Analysis Period: 10/01/1996 - 09/30/2006 3 2 1 0 _1 D99 ,100 D00 J01 D01 J02 D02 J03 D03 .104 D04 J05 D05 JO6 S99 M00 S00 M01 S01 M02 S02 M03 S03 M04 S04 M05 S05 M06 S06 12 Quarters Ending ^ Agincourt Capital Management, LLC - Core/Total Return ^ Bradford & Marzec, Inc. -Core Composite ^ Dwight Asset Management Company -Core Fixed Income ^ Galliard Capital Management -Broad Market Core Composite ^ MBIA Asset Management Group -Core Fixed Income ^ Pacific Income Advisers, Inc. -Moderate Duration SMA ^ Sawgrass Asset Management, LLC -Core Fixed Income 35 Bogdahn Consulting, LL v D99 J00 D00 J01 D01 .102 D02 .103 D03 .104 D04 J05 D05 .106 S99 M00 S00 M01 S01 M02 S02 M03 S03 M04 S04 M05 S05 MO6 S06 12 Quarters Ending Alpha Index: Lehman Aggregate Bond Analysis Period: 10/01/1996 - 09130/2006 ~n 1 1 ~ 1 1 ~ 1 1 ~ ~;;:~' ..: ra. Performance: Index Relative Rolling Statistics Lehman Aggregate Bond Returns Analysis Period: 10101/1996 -09/30/2006 12 10 8 6 4 2 0 D99 J00 D00 J01 D01 J02 D02 J03 D03 .104 D04 J05 D05 J06 S99 M00 S00 M01 S01 M02 S02 M03 S03 M04 S04 M05 S05 M06 S06 12 Quarters Ending Sharpe Ratio Analysis Period: 10/01/1996 -0913012006 3 2 _ 1 ~' 0 _1 D99 J00 D00 J01 D01 ,102 D02 J03 D03 .104 D04 .105 D05 ,106 S99 M00 S00 M01 S01 M02 S02 M03 S03 M04 S04 M05 S05 M06 S06 12 Quarters Ending ^ Agincourt Capital Management, LLC - Core/Total Return ^ MBIA Asset Management Group -Core Fixed Income ^ Bradford & Marzec, Inc. -Core Composite ^ Pacific Income Advisers, Inc. -Moderate Duration SMA ^ Dwight Asset Management Company -Core Fixed Income ^ Sawgrass Asset Management, LLC -Core Fixed Income D Galliard Capital Management -Broad Market Core Composite 36 Bogdahn Consulting, LL~ 1 1 r 1 1 r 1 r .. ,rte' Performance: Returns vs Universe Universe: Mobius Fixed Income: Irnestment Grade Benchmark: Lehman Aggregate Bond Returns Universe: Mobius Fixed Income: Investment Grade 7 6 5 4 3 2 5Yr 1Yr 3Yr ^ 5-25 %tile ^ 25-50 %tile • Lehman Aggregate Bond ^ 50-75 %tile ^ 75-95 %tile 8Yr Retumset Percentile: Retums for 1 Years Trailing Percentile: Retums for 3 Years Trailing Percentile: Retums for 5 Years Trailing Percentile: Retums for 8 Years Trailing ^ Agincourt Cap -Core/Total Retum -Gross Size 44.0 33.0 26.0 19.0 ^ Bradford Marzec -Core Composite -Gross Size 49.0 21.0 25.0 31.0 ^ Dwight Asset Mgt -Core Fixed Income -Gross Size 41.0 16.0 11.0 10.0 Galliard Capital -Broad Market Core Composite -Gross Size 29.0 18.0 15.0 10.0 ^ MBIA -Core Fixed Income -Gross Size 45.0 38.0 31.0 23.0 ^ Pacific Income -Moderate Duration SMA -Gross Size 40.0 39.0 39.0 39.0 ^ Sawgrass Asset -Core Fixed Income -Gross Size 36.0 38.0 33.0 28.0 Universe: Mobius Fixed Income: Investment Grade 37 Bogdahn Consulting, LL ~ ~ ~ i ~ ~ ~ ~ ~ ~ ~ i ~ ~ ~ ~ ~ ~ ~ ll~ Universe Comparison Calendar Years Universe: Mobius Fixed Income: Investment Grade Benchmark: Lehman Aggregate Bond Returns Universe: Mobius Fized Income: Investment Grade 25 20 15 10 5 0 -5 10 2005 "°~ 2003 2001 2004 2002 ^ 5-25 %tile ^ 25-50 %tile • Lehman Aggregate Bond ^ Agincourt Capital Management, LLC -Core/Total Retum -Gross Size ^ Bradford & Marzec, Inc. -Con; Composite -Gross Size ^ Dwight Asset Management Company -Core Fixed Income -Gross Size 1~` ^ 1999 1997 1995 2000 1998 1996 1994 ^ 50-75 %tile ^ 75-95 %tile D Galliard Capital Management -Broad Market Core Composite -Gross Size ^ MBIA Asset Management Group -Core Fixed Income -Gross Size ^ Pacific Income Advisers, Inc. -Moderate Duration SMA -Gross Size ^ Sawgrass Asset Management, LLC -Core Fixed Income -Gross Size 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 Agincourt Capital Management, LLC 2.63 4.65 4.96 10.23 9.55 10.84 -0.09 8.69 9.56 3.98 17.29 -1.68 Bradford & Marzec, Inc. 2.56 5.41 6.32 8.63 7.02 12.44 -0.98 9.73 10.62 2.91 20.07 -2.93 Dwight Asset Management Company 3.21 5.02 7.47 9.79 9.21 12.54 -1.41 9.29 9.87 3.67 18.35 -3.21 Galliard Capital Management 3.25 4.97 6.17 10.36 8.48 12.53 -0.13 8.47 9.77 4.23 MBIA Asset Management Group 2.43 4.17 5.62 9.09 9.78 11.28 0.25 7.21 8.73 2.95 16.75 -2.14 Pacific Income Advisers, Inc. 2.67 3.89 5.01 8.79 9.29 11.38 -0.48 8.52 9.60 4.46 18.86 -3.08 Sawgrass Asset Management, LLC 2.85 4.11 4.11 10.71 8.39 11.47 -0.19 Lehman Aggregate Bond 2.43 4.34 4.11 10.27 8.42 11.63 -0.83 8.67 9.68 3.62 18.48 -2.92 Retums 38 Bogdahn Consulting, LL