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2007 04 24 Handout - Bogdahn Report March 2007
April 24, 2007 HANDOUT GIVEN TO THE BOARD OF TRUSTEE MEMBERS FROM BOGDAHN CONSULTING, LLC AT THE APRIL 24, 2007 REGULAR MEETING. BOGDAHN CONSULTING, LLC. simplifying your investment decisions City of Winter Springs GENERAL EMPLOYEES' DEFINED BENEFIT PLAN & TRUST ,..... .. .. ~March, 2007~ ". '" -'!lIIl ;//// "'l .. ... www.bogdahnconsulting.com .. .. 340 W. Central Ave. Ste 300 . Winter Haven, Florida 33880 Telephone (863) 293-8289 . Facsimile (863) 292-8717 ... oj Performance Evaluation for City of Winter Springs Employees' Defined Benefit Plan and Trust Trusco Capital Management For the Period Ending March 31,2007 Presented by: Bogdahn Consulting, LLC City of Winter Springs Employees' Defined Benefit Plan and Trust Executive Summary Report Explanation The Executive Summary provides an overview of the fund's performance. It shows the performance in dollars, percent, and relative to the investment policy. These are provided over different time periods including up and down markets. All rates of return are annualized if the period for which they are calculated exceeds one year. Account Reconciliation: This section shows the performance of the account in dollars, during the most recent quarter, the calendar year, and since the inception date. The Beginning Value is the value at the start of each period. The Ending Value shows the value as of the date of the report. Net contributions are the total contributions less the total withdrawals during the period. The Investment G/L is the gain or loss resulting from the investments. It is the difference between the beginning and ending values that cannot be explained by the net contributions. Positive investment G/L figures represent a profit, and negative values represent a loss. Investment Policy: This section defines the benchmark against which the fund is being compared. Generally, this is the most important objective for a fund to achieve. The performance of the fund relative to this measure over longer periods of time, such as market cycles, is the strongest indicator of the success or failure of the investment strategy. This objective should be reasonable, and the performance of the fund should be measured against the investment policy after adjusting for risk. Trailing Returns: This section shows the cumulative time weighted returns over the last 1 year, 2 years, and so on up through 10 years if available, as well as since the inception date. A positive difference indicates the fund has exceeded the policy's returns. The investor would prefer that this difference be positive for all time periods; however, it is more important for it to be positive for the longer periods rather than the shorter periods. Calendar Year Returns: This section gauges the consistency of performance over one year time periods. Each calendar year of performance represents the return from January 1st through December 31st. Watch out for a trend of declining relative performance in recent periods. Returns In Up/Down Markets: This section shows how the fund performed in both up and down markets. The methodology is to segregate the performance for each time period into the quarters in which the market, as defined by the policy, was positive and negative. Quarters with negative policy returns are treated as down markets, and quarters with positive policy returns are treated as up markets. Thus, in a 3 year or 12 quarter period, there might be 4 down quarters and 8 up quarters. Up market returns are calculated for the fund and the policy based on the up quarters. Down market returns are calculated for the fund and the policy based on the down quarters. The ratio of the fund's return in up markets to the policy's is the up market capture ratio. The ratio of the fund's return in down markets to the policy's is the down market capture ratio. Ideally, the fund would have a greater up market capture ratio than down market capture ratio. 1 City of Winter Springs Employees' Defined Benefit Plan and Trust Executive Summary Account Reconciliation 03/31/2007 Qtr I nvestment Policy 2007 10/31/2000 YTD Incept Index .. ~~~lfll1~~ :V~I~~r ..................1 ~;~~:..... '. '.1 ~;5.~...... .. Net .P!OW.~ .......................... .425 ............... .4~. .. <...-1i~9~. ........... . ............ . ........... . .......................... .... ......:.>W;1~~.: }rlY~#M~t:~/k...2:1~<>.>Z1~.. .... J,.71~': ~~(fl~\1~I~~ ........ )~;ft~........)~.;1.i:8.:>>> 1.$;#t( Trailing Returns through March 31,2007 .~&P5~o."" ............... . ............... . ............... . ............. . ......... . Weight .........,.................... . .............................. . ..~~hM~~.A~~r~~~.~~h~.. J~~~pr:~F~ .Total. .............. . .............. . .............. . .............. . .............. . ............. . ............ . ....... . .............6.0...0..0... :/:/:!~bjd6: ....... ....... ............. . ....... ....... ............. . .......... .............0. ... ............to;O. .. ............. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ............. . ...........1..0. .0.......0. ... ............;0.. .............. . .............. . .............. . .............. . .............. . . . . . . . . . . . . . . ........ .. 1 Yr 2Yr 3 Yr 4 Yr 5Yr :~H~~":": ......~..~~ p~licy>.:M"1.4 ............... . .............. . '.Oiff ..... ......:.::....~.;09 ... ,.........,....... ......... .......... tz;4~.<~A~< . . . . . . . . . . . . . . . . /)~.~~..fpf/ :::::: :~~84 :::::::: ~O~5:t::::::: ..........s;M.. .......... . .......... . . . . . . . . . . . . . . . . . . . . . . . .......... . ... '1'" '3' ....... .0;6 · . . . . . . . . . . . .......... . .......... . .......... . .......... . .......~UJ~. ......B22. ......... . ......... . ......... . . . . . . . . . . . <~tOO.. ......... . ........ .. ......... . ......... . ......... . ........;.(Lsa. 6Yr 7Yr 8 Yr 1 0/31/2000 9 Yr 10 Yr Incept '6' '.06' ...... :. .:~..;a. .> >:- ttt4 ......... . .......... . ......... . : 0;22......... . . . . . . . . . . . . . ............ . ............ . ............ . ........ . ......... . ........ . ......... . ........ . ......... . ........ . ......... . ........ . ......... . ........ . ......... . ........ . ......... . . ... . . . . . . . , ,....,..... . . . . . . . . . . . . .......... . ......... .. .......... . ........... . .......... . ........... . .......... . ........... . .......... . ........... . ......... . ........... . .......... . ........... . .......... . ........... . .......... . .......... . Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 .Fund....:.}.461,4~}O.~~:}$~:1}1~:1~:f1 :':-1~'~1.)HN PpiiGY::} :.2~< 1.2~ .1~:.~~. ::: .5.14 :9,8~" ~'7: 4 ..-1~.~~ < ~~~.2~. > Diff">..02{)...(t20.">~}5..::O.;~4..1.;~1..~~:~~3 ..<OA1< '. 1:76.. ......... . :><:':}~~ . . .....<.<.:S:8i. ............... . ............... . ............... . .............. . .......1...5. '3'.' ... . ... .... . . . .......... ..... 2000 1999 1998 ..... ..... ...... ..... ..... ..... ...... ..... ....... ..... ........ ..... ....... ..... ........ ..... ....... ..... ........ ..... ....... ..... ........ ..... ........ ....... ..... ........ ..... ....... ..... ........ ..... ....... ..... ........ ..... .... ....... ..... ........ .... . . . . . . . .. ........ . Returns in Up Markets 3 Yr 10/31/2000 6 Yr Incept 5 Yr F~ri~C<<<'''.. Returns in Down Markets 3Yr 5 Yr 12;5}~{...)~;~.>'1.~,~:: .FljntF "1a.A)~& <1i8:}r~: 'F<>tICY 9301.~~}j.<:~~:~> :":~4;9 .~~tlQ... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..Poiicy.................... .................. . ................. . ............... . .. R~tJo::'...::::::.......... Inception date is October 31, 2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. ~2:8 ~2A tir1 .$1;e. ~.1:~r2 ;;.t5;t 2 1 0/31 /2000 6 Yr Incept .~.15;5. ~ti;-;: .A4:2 .:;19;1. 74~5 . . J~T9< ., . ..., I I City of Winter Springs General Employees' Defined Benefit Plan & Trust 3 Asset Allocation as of March 31, 2007 I At Market I ,., Fixed Income I 30% . 1 . ~ .., iI .., . At Cost . Cash & Equiv 2% ..., . Fixed Income ,., 34% I . I ,., . ..., I .1 I " 3 .1 I City of Winter Springs Employees' Defined Benefit Plan and Trust Universe Comparison Report Explanation The universe compares the fund's returns to a group of other investment portfolios, called a universe. Ideally the universe is comprised of many other investment funds with similar investment profiles. Comparisons are provided over many different time periods. Trailing Returns: This section focuses on longer term returns. It shows the cumulative time weighted returns and percentile rankings for the last 1 year, 2 years, 3 years, and so on up through 10 years if available. The returns for the fund, the policy and the universe percentiles are displayed. A percentile ranking of 1 is the best, and 100 is the worst. For example, a ranking of 50 means that the fund outperformed half of the universe. A ranking of 25 means the fund was in the top 25% of the universe, outperforming 75%. Above 50 is acceptable. Above 25 is excellent. High rankings over all time periods are ideal; however, it is more important to rank highly over the longer periods rather than the shorter periods. Calendar Year Returns: This section focuses on shorter periods and gauges the consistency of performance over time. It shows the calendar year returns for the fund, the investment policy and the universe percentiles. Each full year of performance represents the return from January 1 st through December 31 st. Ideally the fund has performed well in the earlier years and in the most recent years. Watch out for a trend toward underperformance in recent periods. Note the performance in different market environments. A high policy return indicates a bull market, and a low policy return indicates a bear market. All rates of return are annualized if the period for which theyare calculated exceeds one year. 4 City of Winter Springs Employees' Defined Benefit Plan and Trust Universe Comparisons 600/0 Lg Cap Core, 300/0 Hg Quality Bd, 10010 Int'l Trailing Returns through March 31,2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 6 Yr 9.05 8.81 %-tile Return %-tiIe 33 52 8.22 82 12.46 82 6.49 68 6.36 39 9.05 47 13.30 52 6.14 46 7.06 46 5th %-tile 8.55 13.56 13.60 12.62 11.02 15.45 8.93 8.37 7.89 7.34 25th %-tile 7.41 12.60 11.51 11.36 9.73 14.21 7.77 6.86 4.47 5.62 50th %-tile 6.76 11.78 10.65 10.67 8.98 13.36 6.96 6.02 3.26 4.48 75th %-tile 6.41 11.11 9.79 10.17 8.46 12.68 6.31 5.43 2.49 3.88 95th %-tile 5.70 9.66 6.67 8.63 6.96 11.24 4.90 3.74 -0.05 1.97 Calendar Year Returns Qtr YTD 2006 2005 Return 1.46 35 10.58 86 1.46 35 4.50 87 %-tile Return 1.26 13.33 1.26 5.14 %-tile 11 .46 13 9.89 5th %-tile 2.55 2.55 16.65 8.19 12.69 24.52 -6.50 2.54 11.41 28.62 25th %-tiIe 1.61 1.61 14.20 6.48 10.70 22.46 -10.34 -4.35 2.47 17.25 50th %-tiIe 1.25 1.25 13.24 5.49 9.55 21.39 -12.17 -6.10 -2.95 14.88 75th %-tiIe 1.00 1.00 12.18 4.83 8.76 20.66 -13.33 -7.15 -4.17 8.18 95th %-tile 0.51 0.51 8.09 3.89 6.96 18.93 -15.94 -13.53 -8.25 0.86 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to March 31, 2007 5 City of Winter Springs General Employees Fixed Income Executive Summary Account Reconciliation 03/31/2007 Qtr Investment Policy 2007 10/31/2000 YTD Incept Index Weight >1.09;()9 '. f3.~9in.nrng. .v~I~e.... .. N~t .pililWs............ ......... ...... AAot( ... .. .........~7: 1s4p?. .. >.~~~ "L~hiJi~nA9gr~~t~:6~h~.:. .j}t .......:i~Q~f.......... .......... ........... ......... ........... .......... . ........ ........ . ..:tt2. ... ....".... .. .......... ... ........ .. ....... . . . . . . . . . .. . . . . . . . . . . . ............ . 'IAv~$~t'~/~........',., .......:.:::.:.:~f. Endl" .Villue.. . . . . .'A~?52. .......ng........... ......... ........5.~. ......... . ......... . . . . . . . . . . . . . . . . . . . 4:~~~2. . ......... . ......... . ......... . ......... . .. .>1;~~~...T6tal.. ....... ....... ... . .. .... . .. .' .. .. ... ....... ............. ....... .......... . ...-... ............. .. .-. ... ......... .. .......... ... ......... .. .......... ... ......... .. .......... ... ......... .. .......... . .. "00.' '0' ... . . .....t. ...0,., .. . ..... Trailing Returns through March 31,2007 1 Yr f:':(.ind... < 5~.25 2 Yr 3Yr 4 Yr 5 Yr 6Yr 7Yr 8 Yr 1 0/31 /2000 9 Yr 10 Yr Incept ......... ........... .......... ........... ......... ........... < p~licy $,5~ . .Oiff ....>,t:3.3 ........ . .3:06.... . . . . . . . . . ........... . .......... . ........... . .....40... .....A:. ....... .......... . ....~1;34..... ...~;H... ......... . ........ . ......... . ........ . .....3.... ....~.~...1..... ........ . ......... . ...~.1j.t.... . .l~~..}~~~. 4A~........ .......... ........... .3:83 >>5:35.> ........... . ............ . ........... . <:~1:~24 ::::::::~b~82::::: ........ . ................... . ................... . ................... . ................ . . ........... >.>5:32. ......... . ......... . ............................ ........................:. ....:.....:..~.()~. ........ . ........ .~O;i4 ....... .. ...S......5.......................................... ... .:3 ....................................... ...................... . ................... . .................. . ................ . ............... . ;.;0.:92. ..... ...... ..... ...... ..... ...... ..... ...... . .. ...... ......... . ........ . ......................... . .... ....................,..... Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 ........... . J~~cl.<.>1;2p ..t~~...2~8~1.87 ."3;02 ~j)Ii(:y..\~>{50{S~.2..4;f >. Ai;34 ...................... .......... ......... ..................... ........... P!ft.....~9.~30..A};3~... ..4:50.........1l:!){)........ ~1;~~ . . . . . . . . . . . . . ..........2....7..n... ::::::::::...:~.:~.::::: ......... . ......... . ......... . 41'1 :.1Jk.. . . . . . . . . . . . . ....... .... j~;1~ "1.0;27 ........ . ........ . ........ . .0;16 ........ . ..... ....... ..773..... ... .' .... : : : : : : : : : ~ : ~ : ~ : : : : : ~ : : : : : : : : .........K4.~t........ ............. . ........"... , ............. . ............. . .......;;O:t)g........ . . . . . . , . . . . . ............. .. .............. . ............. .. .............. ... . ...... Returns in Up Markets Returns in Down Markets 3 Yr 5 Yr 10/31 /2000 6 Yr Incept 3 Yr 5 Yr 1 0/31 /2000 6 Yr Incept .......... .............. ......... ......... ............................ ..ftilld.... ......................T?.... . ..........~~~........... ......7:,.4...... ............ .....~.~ r-~liPY. > }.f......... .9.~1 )..3 :~;R < RatJ9 > >a:t3>" < 92:0. a~A>93;O . . . . . . . . . F:iil1d . . . . . . . . . . . . . . . . . . . . . .....;;,t3.<> > <;;..:() . . ~3A. .~2;~( ........ . P<)Iicy ........ . RatlQ> . ........ .. ........ > ji5;t .... . 13itS · ..... ..... .~:o> ....~2;9.. 1$4;~ >4:0 <>~2;9 1.34~e . . . . . . . . . . . . . . . . . ................. . ........... . ........,.. . Inception date is October 31,2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 6 City of Winter Springs General Employees Total Equity Executive Summary Account Reconciliation 03/31/2007 Qtr "~~MM$Y~'~e ..::/.....)A.Mf .N~fP!~W:~(.:.: ...<.....:.<~~.. .. .iW~$if:ii.~t GiG... ......................... .1?~. .................,... . .~~(j.i~:y~l~~. ..........:...............19~~.. Investment Policy 2007 10/31/2000 YTD Incept Index Weight 1(};1:1~. .63 .. . .....?~~. j9;$~ .....<9fl sap 500 . . . . . . /~,~~b,~e<.. .. .. .. .............. . . . . . . . . . . . . . . . ............. .~i()t6. ........ . ........ . ........ . ........ . 1:0;3~~L .....1:00;00. .. ......... ... .... ... ..... ........... :a$i(je'-. ............. . ............ . ............. . ............1..5...0. '0'.' ....... .........-:<::;:. .', ......... . .... ........ ... ........ .... ........ ... ........ .... ........ . .. ........ . .............. .. ............ ........ . .rritaL .. Trailing Returns through March 31,2007 1 Yr 2Yr 3Yr 4 Yr 5 Yr 10/31/2000 9 Yr 10 Yr Incept ...... . . j;\jijd.. >..1 Q~$$ .. P~liCY..........'..1 ~~f1.. .. Qiff ................ .~~L29.: .......... . .....1..1. "4' '0' ..... )\~:~6/: . . . . . . . . . . . ........... . .......... . ........... . .......... . .....~:too..... ........ . 7 Yr 8 Yr 6Yr .1?:~!7...}tp4..}:~~< :~7~. . . · · · · · . · · · 1H~7..>tt-6:1.<:t~t~..~().\....:. .... ~O...80 <;.:0;57. ~O~nF 0,50.... < <. >..... < < ...:4:82 ........ . ........ . ........ . ........ . . . . . . . . . . >2:58 ......... . ........ . . . . . . . . . . . ........ . ........ . ........ . ......... . ............ . ............ . ............ . . . . . . . . . . . . . . ............ . . . . . . . . . . . . . . ............ . . . . . . . . . . . . . ............... . ............... . ............... . ............... . ............... . ............... . . . . . . . . . . . . . . . . . ............... . ........ . ........ . ..' ...... :2:24 ............. . ............. . Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 /::S~~~14:76" >2759<< .~3~;8( >}2,3t :~.~f)'~,~~ ::~::~:-~1}4_~*.~~:. ....:.....~..4.1.......... .:.~,44.... ...-~.A.1.. ... ....-0;65.: ......1(tS:3....... 2000 1999 1998 ........ ....... ....... ..... ........ .... ....... .. ........ . f\J~~..1'~7f;57A~;~~ p~iicii: >................ <. ~.1 ~ '. <1<1-6} t4~ Oiff> :....9.Af >..OA1 '>~~~:3 Returns in Up Markets Returns in Down Markets 3 Yr 5 Yr . . . . . . . . . ........ . fund · . . . . . . . . . ....... . :4:7 : ....... . ....... .. ....... . ....... .. ....... . <4:5 .. 1 0/31 /2000 6 Yr Incept 5Yr 1 0/31 /2000 6 Yr Incept 3 Yr .............. . ............. . .. .. .. . . '2. . 7: . ...............> -4;. ... ...... -....... .............. . . . . . . . . . . . . . . . ............. . ............. . ................24;3. ............. . .............. . ............. . .............. . "<<.>1:01.:7 ......... . FH~8 < > < .1.!.1. }~~~ > > ~1..:7 .. ~()Ii~Y... ................... .1.8.)................ 24;7.............:. ~4,.~.. f~~tk>::..)~J :>92;:7: ...:.1(rt:!. .~2:-io" ~23]... <96,8<< .~2i;o ~27;6. J~T9 ~25;5 ~29] }~;~ . P<;ticY." ......... . ........ . · RatlQ." ....... .. ....... . ....... .. :'t04~5. ... . ...... . . . . . . . . . . . . . . . . ............. . .............. . Inception date is October 31,2000 All dollar values are shown in thousands. Returns for periOds exceeding one year are annualized. Returns are net of fees. 7 City of Winter Springs General Employees Total Equity Universe Comparisons 85% Pure Large Cap Core & 150/0 International Trailing Returns through March 31, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7Yr 8 Yr Return 10.85 11 .40 78 93 %-tiIe 50 13.14 13.40 49 5th %-tile 11.13 16.63 17.00 16.02 14.06 20.59 10.07 9.41 8.63 8.18 25th %-tiIe 9.32 15.15 13.63 14.36 12.48 18.72 8.54 7.60 3.81 5.88 50th %-tile 8.50 14.06 12.43 13.37 11.37 17.54 7.55 6.18 1.62 4.13 75th %-tiIe 8.02 13.32 11.17 12.69 10.71 16.71 6.77 5.35 0.68 3.07 95th %-tile 7.14 11.72 7.29 10.78 8.62 14.60 4.78 3.04 -3.15 0.62 Calendar Year Returns %-tile 29 Return 1.16 50 50 37 64 43 31 %-tiIe 5th %-tile 3.01 3.01 21.82 10.21 15.42 32.91 -13.40 -1.39 11.55 40.48 25th %-tile 1.65 1.65 18.43 8.17 13.33 30.34 -18.86 -9.23 -1.28 25.79 50th %-tiIe 1.16 1.16 16.92 6.84 12.03 29.17 -21.34 -12.60 -8.89 21.45 75th %-tile 0.84 0.84 15.44 5.94 11.02 27.99 -22.21 -13.83 -10.46 14.95 95th %-tile 0.18 0.18 10.08 4.94 8.14 25.63 -25.76 -22.80 -17.31 3.26 Returns are in percent. "%-tiIe" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to March 31, 2007 8 City of Winter Springs General Employees Domestic Equity Executive Summary Account Reconciliation 03/31/2007 Qtr Investment Policy 2007 10/31/2000 YTD Incept Index Weight ,'......... .............. "S' '&' p' -"5' O' '0" . . .', .'. ...'.... . . . :::... ..:-:...... ,,::::::::::::::>::-: ... .J.09;90: .:E.#n{{Y~I~~. ..8..~. 8A83.... >.8si. ........ . ........ . .>m..>:$i$Sa:: .. .............. . ........ . . . . . . . . . . >>~:..>~m:l~. . . . ................. .. ...................... .. .~;~:.::...:::.::......~i$~1:. ............. . . .......... .......... . ..~~~M~~,Y~'~~....::...... .N~fP:!9W:~....>.. .. ". . ....... .liW~~r:n~t.~/L.. · ><>8A83 ...... ...... . . , . . . . . . . . . . . . . . . . . . . . . ...........:..:.62.. . . . . . . . . . . . . :99. . '........ ........ . ...... .,'. ......... . .... '....... . . . . . . . . . . . . . . . . . . . . . ::TO-tal:::::::::: ::::::::::::::::::::::::: ...... ..'"....... . . . . . . . . . . . . .........0. .0.......0. '.' . . . . . ......1......:0...> Trailing Returns through March 31,2007 1 Yr 2Yr 3Yr 4 Yr 5 Yr 6Yr 7Yr 8 Yr 1 0/31 /2000 9 Yr 10 Yr Incept ........... . =lf~1;j:r1::~.;:::~::=k~< :l?i~. . . . .:.:>~A4-..~2.:.1t .::>~.?t>.... "'~;1~., .....~(j;6~..~;5.~ . . .................. . ................. . .................. . ................. . .................. . ................. . ................ . .............. . ............. . ............ . ........... . ......... . ........ . ......... . . . . . . . . . . . ...........:3:99. ........ -,. . . . . . . . . . . . . ............. . . . . . . . . . . . . . . . . ... .......... ......... . ......... . ......... . ......... . ......... . ......... . ..... ,"... . . . . . . . . . . ........., ,....., .....:.:.:......j:~~.. ........... . >>... "2;37: .. ... .............,......, Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 ............ ............ .. Fund... ............................. .1.:~. .:...... .1'A~. ...... .11 ~~4...' ....... ~,90:... .'. .1.~;!.t. )~pi,~ <'.~.~~~.~4.)E~O.:'f~f "<1.~i~a .oiff..'<::... ....)>~2 >{);4~ ._'(Q6.::-O.qf. .ie~ ............ ............. \..~.-1r ..-~~.~t.>-T~r .........~:.(58:.... .~~~.1.~.:.... ~1:1..~$ .... >:>:~2:~57:: :::<:~O~1:1:::::: >10~2:7::::: ......... .. . ............ ............. . . ............ ............ . ............. . . ............ ............. . . ............ ............. . . ............ ............ . . .......... ........ .. ........ . . ....... ......... . . . ....... Returns in Up Markets Returns in Down Markets 3 Yr 5 Yr 1 0/31 /2000 6 Yr Incept 3 Yr 5 Yr 10/31/2000 6 Yr Incept Fond. ........ . >!):~ >5;4: 96;$. .~23:2 ~24;5 94:$ ~2i:2 ~28:2. 96:e ~25:1 .............. .......... F.ilri~ ">j5;3 >>~i;( ..23~4<>~3.A. .. .......... .. .. .. . . . . . . . . . . . .. ........... ........ . . . . . . .. r~licy. .................... .1.6..~.....;.;;;... .23..0............... ~~.~.................. ..~~;~ '. ~at~........................ '~3.~........... .. ai. -7:........:.:..1 ~1. ~O......'.'. ..... i.~i:P' Pc)1icy.. . ........ . ........ . . . . . . . . . . RatlO< < .. ....... :;3.0:3.. <84~6 . ..... . Inception date is October 31, 2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 9 City of Winter Springs General Employees Domestic Equity Universe Comparisons Pure Large Cap Core Trailing Returns through March 31, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr 3 Yr %-tile 31 41 42 Return 6.75 85 11.71 85 9.19 9.61 9.30 %-tile 83 93 81 Return 7.38 40 13.46 31 11.83 11.78 10.06 5th %-tiIe 9.44 15.61 16.30 14.01 12.83 18.51 8.95 8.54 8.64 7.37 25th %-tiIe 8.25 14.03 12.63 12.64 10.98 17.27 7.43 6.41 3.34 4.53 50th %-tiIe 7.30 13.25 11.49 11.59 9.91 15.69 6.11 5.03 0.75 2.79 75th %-tiIe 7.05 12.66 10.36 11.12 9.47 15.21 5.65 4.32 0.23 2.25 95th %-tile 5.94 10.85 5.98 9.04 6.97 13.01 3.47 1.25 -4.89 -0.75 Calendar Year Returns 2002 2001 1999 -22.27 -1.61 %-tiIe 31 79 56 12 52 6 Return 0.64 15.80 4.91 10.88 -22.10 -11.88 %-tile 34 29 46 48 5th %-tiIe 2.64 2.64 20.97 11.33 15.14 33.34 -15.55 -1 .49 13.61 35.03 25th %-tiIe 1.22 1.22 16.19 7.20 11.51 28.99 -20.13 -9.35 -0.20 22.80 50th %-tile 0.61 0.61 15.48 5.09 10.39 27.83 -22.23 -12.08 -7.39 20.27 75th %-tiIe 0.46 0.46 12.74 4.22 8.38 24.97 -23.39 -13.51 -9.63 16.39 95th %-tile -0.05 -0.05 4.79 1.07 5.14 20.58 -26.60 -19.10 -14.67 6.13 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is October 31, 2000 to March 31, 2007 10 City of Winter Springs General Employees International Equity Executive Summary Account Reconciliation 03/31/2007 Qtr Investment Policy 2007 10/31/2000 YTD Incept Index Weight . ......... .. ,_... ..,....... .. ..... .............. .... ........". .~~~flI1M~Y~'H~}. ....<:1~~32..U~~.<. .. .. ....35 '~Sm:E~F.E."':..."'",:,:: ......:.:.:. . . . . . . . . . ''')OQ;qp .N$t:P!ow~....."'><.<"'<> ...:<1.... .. ...1. .....8.14...... . . . . . .: :: : :: . : ..,::' .li:iV~Strt1i~@$l.i?:}...................:7~...<: <<10::.::'" ...~~~ . . . . . . . . .. . . ... .>::.::.:.::.>. .... :::........ :~~~~)f~i~~ <}<...::::<}j;##..:....>j4o.f...>J/l0~ dot~(........'.. . . . : ,....: :. . >>>.......:. .:'. .....> ......... . ......... . ......... . ......... . ......... . . . . . . . . . . . ......... . ......... . . .. .... . . . . . . . . . . ......... . . . . . . . . . . . ......... . ......... . ......... . ......... . . . . . . . . . . . ioo.:oo. Trailing Returns through March 31,2007 1 Yr 2Yr 3Yr 4 Yr 5 Yr 6Yr 7Yr 8 Yr 1 0/31/2000 9 Yr 10 Yr Incept .F~M.:>..~~.1t>}~;~.........~~::~t ....~~;~~...1.M~9:1:t;~t..<. ..... :p~j~:'} <2tt:6.lr < < 2i79<... 2(f3f <. J~;~~.. .1~;~4: ...1 (IS .P1ff...,.\&5f.::::~;~$::::::::~J~::.,.)t(6~..H:.2( <~;38'.. .... . ... . ...~t14 ........... . . . . . . . . . . . .. ......... ......... . . . .. .... ........... . .......,... . '..8:39 ........... . ........... . ........... . ........... . ............0....7.5. '. :-:-:-::::::.;: ....:- Calendar Year Returns 03/31/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 j:~iid''''..< .... "4:;2~:. ~~ii~y'>. .... .. <...i1.~... .. O~....:...............'. ............. .9.~1.1:...... "4'26" ::::::::::::::::: 4:1K< >:0.:11 ..~~.~~... ..2Iis6'" ........ . ...12.78 ........ . ........ . .'.14Ji2 ........ . ........ . ....~1~24 . . . . . . . . . . .. '16 64 ....~1}J~ :[1:~)~~/>~'{~( .............. . ....;0:98...> 4~02> Returns in Up Markets Returns in Down Markets 3 Yr 5 Yr 1 0/31 /2000 6 Yr Incept 3Yr 5Yr 10/31/2000 6 Yr Incept . . . . . . . . . . . . . ..... ........ ......33;9.. ....33~6. 10~~.~. ............. . ..................3. 'oS.' .....>>....<> a;9 . . . . . . . . . . . . . . . ........... . ............,. . ............. . .................j3;f) .............. . ............. . .............. . ............. . ...:.....tOO;9 . ...,.... . . . . . , . . . . .. .. f.:ond.> .' .\3:3 ........ . ........ . . . . ""1'1' : :::: ::~. :~. :: ~2;f3. ... >20;0. ...;.23~O ~21;9. jQ$;~ 8~;~. <23:4 9K1 ............ . Fund <... 29 3 <... 37:6 )"lIcY . . .28:6~,F> )~~tJ9<....<<..tij~:$....1ij~:3< . . . . - . . . . . . . .. .. ........... . ............ .. ..R()f,CX...... ........... . Ratio: . ..,...,... . ........... . . . . . . . . . . . . . .~Q4;1 121:;$ ....,... . Inception date is October 31, 2000 All dollar values are shown in thousands. Returns for periods exceeding one year are annualized. Returns are net of fees. 11 City of Winter Springs General Employees I nternational Equity Universe Comparisons International Equity Trailing Returns through March 31, 2007 2 Qtrs 3 Qtrs 1 Yr 3 Yr 4 Yr 5 Yr 6 Yr 7Yr 8 Yr Return 15.63 20.06 35 36 20.11 31 22.54 51 19.91 40 %-tile Return 22.79 20.31 47 37 %-tile 5th %-tile 22.89 27.67 24.92 34.10 28.41 38.94 27.23 23.41 14.55 19.74 25th %-tiIe 17.21 21.43 20.54 24.98 21.75 31.13 18.42 14.36 9.23 12.77 50th %-tile 14.63 18.95 18.45 22.56 19.33 27.64 15.29 11.69 4.93 8.93 75th %-tiIe 13.04 17.12 16.01 20.66 17.73 25.37 13.24 9.67 2.70 6.61 95th %-tile 10.99 14.06 12.56 17 .46 14.95 22.93 11.18 6.59 -0.70 2.54 Calendar Year Returns Qtr 1999 43 79 -16.64 -17.19 35 67 65 46 26.86 14.02 20.70 39.17 -15.66 -21.21 5th %-tiIe 6.96 6.96 35.29 38.92 32.32 65.72 1.26 2.71 2.11 117.71 25th %-tiIe 4.49 4.49 28.37 23.76 23.60 48.59 -8.48 -10.53 -8.63 67.62 50th %-tiIe 3.75 3.75 25.65 16.31 19.34 38.92 -14.41 -18.53 -15.84 47.72 75th %-tiIe 2.74 2.74 22.79 13.13 16.57 33.20 -18.10 -23.29 -24.08 29.01 95th %-tile 1.58 1.58 18.65 9.40 12.66 27.55 -23.32 -29.32 -34.43 17.12 Returns are in percent. "%-tile" is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept is October 31,2000 to March 31,2007 12 ..., . ..., . ,..., . City of Winter Springs Employees' Defined Benefit Plan and Trust Up Market Returns 25.00% ,.., . I 20.000/0 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- I . 15.00% ---------- 10.00% ., I 1 . 5.00% 0.00% Fund (%) Policy (%) Difference (%) Ratio # Up Qtrs ,., . .., I . I I .., . I ,., I . 0.00% -5.00% 3 Yr 12.51 13.44 ~0.93 93.08 9.00 Down Market Returns 5 Yr 16.24 18.22 -1.98 89.13 14.00 ., -10.00% ---------- - -15.00% - . -20.00% 1"'"\ Fund (%) Policy (%) Difference (%) Ratio # Down Qtrs . ., I . -, - .., .. I .., ~ I 3 Yr -2.80 -2.37 -0.43 118.14 3.00 5 Yr -13.19 -15.06 1.87 87.58 6.00 6 Yr 16.94 17.85 -0.91 94.90 17.00 Incept 16.94 17.85 -0.91 94.90 17.00 6 Yr -15.53 -17.67 2.14 87.89 7.00 Incept -14.19 -19.05 4.86 74.49 8.66 I 0 Fund (%) . Policy (%) I 13 ..., .. " . City of Winter Springs Employees' Defined Benefit Plan and Trust Objective Comparison .., ., ., $20,00 . .., II $17,50 - 00 __ - - - n_ - __n - -00- - 0000 - __ - - - - - - 00 - _. - - -00 - 00- 00 -0000 - ----.-0000 00 00000000 00- - 00 00 00- ___ ___ - - 00 00 00- - ____ - 00 00 ______ - n_ - _h_ 00 00 - - -00 - 00 00- __. -_ -- ____ 0000- ___ -00 00 ., . $15,00 / // _ __ _._ _ _ _ 00 _00_. _00 _ _ 00_ _ _ _ _ _ _ 00 00_ 00 _00 00_ _000000 00 _ _ ___ _ ___ ______ _ ___ _ 00 _ un 00 00__ _ _ _ __ _ 00 00 _00 _ ____00 00_ 00 00 _00__ 00 __h 00 _00 _Loon __. h ____ mnnn ~:B/: 00- 000000 un _00 00 00 00 _00 00 _0000__ _ _ _ _00 00 _ 00 _ 00 __ _ __ _ _00_ _ ___ _ 00_ _ 000000_ _ 00 0000_00 _000000 00 00_ __ _00 00_ un 00_ 00- - - - - - 00 - ~ - ~0 " ~ *,/ ., II ., III $12,50 I .., ~ l . V a I u e $10,00 $7,50 - moo mmum -00 __ __ n moon 00 --- -00 nm m m_ - m - - - -- -- n:;;; --;07 *'~ ^'~ ~G ...____/v G----- / ~~~~r/ / ' ~-G ~~~8~mm~~>~n / -- .)l( 00 / ., . .., . / *--- -~ ,. --* ~ *'-- ..... ..., - . ., I . .., $ M02 J02 502 002 M03 J03 503 003 M04 J04 504 004 MOS JOS 505 005 M06 J06 506 006 MO? Quarter Ending o Fund -)1(- Policy -t}- Nominal 9% -8- CPI + 4% ., I , . I -, Inception date is October 31,2000 All dollar values are shown in thousands. .. ., . 14 City of Winter Springs Employees' Defined Benefit Plan and Trust Attributions of Returns Report Explanation Performance attribution concentrates on evaluating the effect of the manager's decisions on asset allocation and security selection. This allows the investor to see whether the manager is adding value by adjusting the actual asset allocation or by picking individual securities. This information is valuable in helping determine the amount of freedom that might be given to the manager in regard to asset allocation ranges. The result of these skills are shown for multiple time periods. The top section shows the returns for both the account and the investment policy and the results of the manager's contribution. The fund's return is thus attributed to the policy and the manager. The bottom section divides the manager's contribution into two components: asset allocation and security selection. The asset allocation effect measures the value that was added by varying the actual asset allocation from the target allocation. This is done by assuming investments, in amounts equal to the actual asset allocation weights, were made in the policy's indices so that security selection has no effect. The difference between this return and the policy's return is the asset allocation effect. The security selection is the remainder of the manager's contribution that is not explained by asset allocation. 15 Current Quarter Year to Date 3 Years 5 Years 6 Years Incept City of Winter Springs Employees' Defined Benefit Plan and Trust Attribution of Returns Attribution of Performance to show Manager Contribution Policy Policy + Manager Contribution = Fund . . . . . . . . . . . . . . . . . . . . . . . . . . Mi:ih~. .~t .Cbhttlbiiti6i1'. .............~...'.',.,.............'.......... 1.26 ........... . ........... . ........ . . . . . . . . . . >O;8il Fund 0;20. 1.46 1.26 9.05 7.06 1.46 8.22 6.49 6.36 5.34 Attribution of Manager Contribution between Asset Allocation and Security Selection Current Quarter Year to Date 3 Years 5 Years 6 Years Incept Asset Allocation -0.83 -0.83 -5.02 -4.19 -3.56 -2.61 6.14 3.81 Security Selection Asset Allocation + Security Selection = Manager Contribution 16 ........................ . ~~~g~t~(}tltti~~@ri 1.03 1.03 4.19 3.62 3.78 4.14 P 10.000/0 .................................................. ......... ............... ............................................................................................. e r c e n t 15.00% 5.00% City of Winter Springs Employees' Defined Benefit Plan and Trust Asset Allocation Effect - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -. - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - ~. - - - - - - - - - - - - - -. - - - - - - - - - - - - - - ~ - - - - - - - - - - - -- E 0.00% f f e c -5.00% ..u..uu........__u.........u_ t P 10.00% -------.----..----------.------------------.------------ e r c e n t -10.00% 15.00% 5.00% E 0.00% f f e c -5.00% t -10.00% J02 S02 002 M03 J03 S03 003 M04 J04 S04 004 M05 J05 S05 005 M06 J06 S06 006 M07 Quarter Ending Security Selection Effect - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - . . - ~ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- J02 S02 002 M03 J03 S03 003 M04 J04 S04 004 M05 J05 S05 Quarter Ending I . Quarterly Effect I -- Cumulative Effect 17 City of Winter Springs Employees' Defined Benefit Plan and Trust Asset Allocation vs Targets 80.00% 70.000/0 -. - - - - - u - - - - - - - - - - - - u - - __ - - __ - - - __ - - - - - - - - - u - - - u - - - .__ u - - u - u - __ - - __ - u_ - - - - - - - - u - u _' - - - - - - u - __ - - - __ - - - - - - - u - - - - - u - - - __ u __ - - __ - u - - - -- - - - - - -- - - - - - - - - - - - - - - - -- 60.00o/c - - - - - - - - - - - - - - - - - - - - - -- - _u - - u - - - - - - ____ ___ - - - - - - - - - - - - - - - - __ _.. - - - - - - - - - - - - - - - - - - - - __ - - - - - - - - -. - - - - - - - - - - - - - - - - - -- - - - - - - -- - - - - - - - - - - - - - - - - - - - u - - - - - - - - - - - - u - - - -- -. - -- 50.000/0 - - - - -- - - - - - - - - u - - - - - - u - - - - - - __ _. - - - u_ u - - - - - - - - - - - ___ - __ - - __ u - - u - m_ - U - - - - - - - - - - - - - - - - - - __ - - - - u - __ - - - - u. - - - - u - - - - - - - - - - - - - - - u - u __ __ - - - __ __ - - - - - - - - - - u - - - - - - - - -- 40.000A - u - - - ___ __ - - u_ - - - u__u - - - - _u_ - - - - - - - - - - - - - __ - - - __ - - - - - - - u u u - - __ __ u u_ - - - _u - - - - - u - - - - - - - - - - - ___ - - - - - - - - u_ - u - - u_ - - - - __ - - - - __ - - - __ - u - - - ___ - - - - u - - - - - - - - - - u u - -- 30.000A - - - - - - u _ u _ _ _ __ _. _ _ ___ __ _ _ _ _ _ u _ _ _ u_ _ _ _ _ _ __ _ _ _ _ _ _ u _ _ _ _ u __ _ _ _ __ _ __ _ u u u _ _ u _ _ _ _ _ _ _ _ ___ __ _ _ _ __ - - - u_ - - u - __ - - - - u_ _. - - - __ h U - U U_ - - - U - __ - - - - - - U - - - _. u_ - u - - - __ - - - _- 20.000/0 - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - -- - - - -- - -- -- - - -- - -- - --- - - - - -- - - - - - -- - -- - - - -- --- -- - - - - - -- - - - - - - - - - - -- - - - -- - -- - - - -- - - - - - - ---- - -. - -- - - - -- - - - - - - - - - -- - - - -- - -- -- - -- -.- - - - - - - - - - - --- 10.000/0 - u - - - - - - - - - u - - u - - - - - - u - - - - u - __ - - - __u_ - u - - - - - - - - - - - - - - - - - - - - U - - - - - - - - _. - - - - h_ - - - - - - - u - - - - - - __ - U - - - - - - - - __ - __ - - - __ - __ - - - - - - - - - - - - - - - - - - - U - - - - u - - - - - - - - u_ - - -- - -- -* Target 80.00% 70.00o/c -------- - --------------------------- 60.000A 50.000A 40.000A 30.00o/c 20.00o/c 10.00o/c 0.00% J02 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 Quarter Ending [ . Equity -* Target I 505 005 M06 J06 506 006 M07 80.00o/c 70.00o/c 60.00o/c 50.00o/c 40.00o/c 30.00o/c 20.00o/c 10.00o/c 0.00% J02 502 002 M03 J03 0 0 0 - ~ ~ ,--- ---,-,-,-- ~ ... ~ .----'-"- ,--- ','K c==- - - -~ ~ I I I I I I I I I , I 503 003 M04 J04 504 004 M05 J05 505 005 M06 J06 506 006 M07 Quarter Ending I 0 Fixed Income -* Target I 18 City of Winter Springs Employees' Defined Benefit Plan and Trust Asset Allocation vs Targets 80.000f< 70.000f< h_ - - - n - - - _. ____ - - n - __ n - _ ____ h _ - n n _ _ _ _ _ _ _ _ _ _ _ ___ __ - - - n - - - n _ n _ _ _ _. - _n - - n - - n __ _ n _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ n _ n _ _ _ _ _h __ _ _ _ _ __. n - n n_ _ _ _ nn _ _ _ _ _ _ n _ _ _ _ __ _ - - n - __ - -- - _ _ __ 60.000/0 - - - - - - - - - __ - - - - - - - - _. - _h __ __ - __ - - ____ - - - - - n_ _n_ n_ - - - - - - - - - - - - - - - - - - - __ - __ - - - __ ___ _. - - - __ - - - - __ n n n n - - - n - n_ _ _ n _ __ n _ __ _ _u_ __ _ ___ ___ n n _ n _ _ _ n n n _ _ _ __ _ _ _ n n _ u 50.0001< - - - - - - - - - u - - - - - n - _. - - - - - - - - - - - - - - - - - n - - - n - n - - - __ - - - _. - n - n - - - - - - n n _ n _ _ _ n _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ h - _ u - - - n _ n _ _ _ _ n n _ _ _ _ _ _ _ _ _ _ u _ h _ _ - _ - n n - - - - - - - - - - - - n _ _ _ n _ __ 40.00010 - - - - - ___ - __ - - - n _ _ _ _ n n_ _ _ _ _ _ _ n_ _ nu_ _ _ _ h _ _u n n ___ _ _ _ __ _ _ _ _ h __ _ _ _ n _ n _ _ _ n n _ uu n _ _ _ _ _ _ _ _ _ n_ _ _ n_ _ h _ __ _ _ u_ __ _ __ _ ___ __ __ _ __ _ _ _ u_ u _ _ _ n n n _ _ n_ __ _ _ _ _ _ _ __ ___ __ 30.000/0 - n - - - u h_ - ___ _ h _ _ _ _ __ _ _ __ _ - __ - - - __u_ _ __ _____ __ - - _ - n - - __ - - - - - - - - - - - - __ - u _ - _u - - - - n u _ _ _ n _ _ _ _nn n_ _ _ _ n _ ___ _ _. - _ _ _ __ _u _ __ __ n - _ __ n_ n n _ n _ _ _ u _ _ _ _ _ _ _ _ _ n ___ _ _ n_ 20.000f< - - - - n - - - n __ _ __ _ _ _ _ _ _ _ _ _ _ _ _ __ _ ______ _ n_ n u _ _ _ _ _ _ ___ _ __ __ h_' ___ _ __ - - - n - u_ _ n _ _ _ _ _ _ _ _ _ _ _ _ _ n ___ _ __ u_n_ u__ __ - - u___ _ _ n n _ _ n_ _ n _ n u_ u _ n n _ _ _ _ _ _ __ _ _ _u _ __ ___ _ __ __ 10.000f< - - - - -- h - -- u_ n - - - - ____ ___ - n - n_ - n n_ u_ __ - ______ J04 504 004 MOS JOS Quarter Ending I_ lnt'l ""* Target I M07 19 City of Winter Springs Employees' Defined Benefit Plan and Trust Manager Contribution 5.00% 4.00% 3.00% 2.00% R e 1.00% t u 0.00% r n -1.00% -2.00% -3.00% - ...----.------------_..----- -- --------------. -------------------------- -------------- -.------ .-.--------------- ------- -- -- .----------- --- --------------------------------------------------------------------------.-------------------------------------------------------------------------------- -4.00% J02 502 002 M03 J03 503 J04 504 004 M05 J05 505 Quarter Ending Quarterly - Cumulative I I- Growth of $100 Fund vs Policy $16 V a I u e $11 ___n_nn_nnmn___u__nn_nnmn_____.IT._ _"Ono u uono_______~__o B $10 / --~:Etn $8 M02 J02 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 Quarter Ending I 0 Fund G Policy I 20 City of Winter Springs Employees' Defined Benefit Plan and Trust Quarterly Comparison Analysis ($) Period Fund Policy Diff Nominal 9% Diff CPI + 4% Diff Ending Oct 2000 1,292 1,292 0 1,292 0 1,292 0 Dec 2000 5,231 5,074 157 5,135 96 5,111 120 Mar 2001 5,115 4,781 335 5,340 -224 5,317 -201 Jun 2001 5,551 5,115 436 5,603 -52 5,575 -24 Sep 2001 5,267 4,807 460 5,894 -627 5,810 -543 Dec 2001 5,899 5,331 568 6,193 -294 5,983 -85 Mar 2002 6,099 5,545 554 6,527 -428 6,314 -216 Jun 2002 5,877 5,263 614 6,833 -956 6,584 -707 Sep 2002 5,534 4,865 669 7,183 -1,649 6,890 -1,356 Dec 2002 5,875 5,359 516 7,524 -1,649 7,141 -1,265 Mar 2003 5,927 5,445 482 7,886 -1,959 7,540 -1,613 Jun 2003 6,647 6,253 394 8,228 -1,580 7,761 -1,113 Sep 2003 7,040 6,606 434 8,628 -1,588 8,120 -1 ,080 Dec 2003 7,884 7,398 486 9,005 -1 ,120 8,347 -463 Mar 2004 8,355 7,789 566 9,426 -1,071 8,790 -435 Jun 2004 8,574 8,025 549 9,840 -1,266 9,192 -618 Sep 2004 8,942 8,418 525 1 0,462 -1,520 9,699 -756 Dec 2004 10,039 9,366 673 11,015 -977 10,137 -98 Mar 2005 10,187 9,479 708 11,505 -1,318 10,651 -464 Jun 2005 10,551 9,898 654 12,016 -1 ,465 11,090 -539 Sep 2005 11,251 10,651 600 12,735 -1 ,484 11,908 -657 Dec 2005 11,810 11,172 638 13,334 -1,524 12,223 -413 Mar 2006 12,507 11,892 614 13,980 -1,473 12,897 -391 Jun 2006 12,701 12,164 537 14,654 -1,954 13,603 -902 Sep 2006 13,527 13,069 458 15,273 -1,746 14,034 -507 Dec 2006 14,538 14,159 379 15,985 -1,447 14,4 78 59 Mar 2007 15,178 14,765 412 16,763 -1,585 15,302 -124 All dollar values are shown in thousands. 21 City of Winter Springs Employees' Defined Benefit Plan and Trust Quarterly Comparison Analysis (0/0) Period Fund Policy Diff Nominal 9% Diff CPI + 4% Diff Ending Mar 2001 -3.96 -7.57 3.61 2.18 -6.14 2.19 -6.15 Jun 2001 5.65 3.98 1.67 2.18 3.47 2.09 3.56 Sep 2001 -7.97 -9.10 1.13 2.18 -10.15 1.18 -9.15 Dee 2001 8.68 7.28 1.40 2.18 6.50 0.09 8.59 Mar 2002 0.03 0.29 -0.26 2.18 -2.15 2.19 -2.16 Jun 2002 -6.20 -7.88 1.68 2.18 -8.38 1.69 -7.89 Sep 2002 -9.07 -11.13 2.06 2.18 -11 .25 1.59 -10.66 Dec 2002 2.90 6.43 -3.53 2.18 0.72 0.98 1.92 Mar 2003 -2.44 -2.05 -0.39 2.18 -4.62 2.80 -5.24 Jun 2003 9.23 11.64 -2.41 2.18 7.05 0.69 8.54 Sep 2003 2.59 2.12 0.47 2.18 0.41 1.79 0.80 Dec 2003 9.22 9.02 0.20 2.18 7.04 0.49 8.73 Mar 2004 3.11 2.26 0.85 2.18 0.93 2.59 0.52 Jun 2004 0.10 0.33 -0.23 2.18 -2.08 2.19 -2.09 Sep 2004 -0.49 -0.19 -0.30 2.18 -2.67 1.08 -1.57 Dec 2004 8.52 7.31 1.21 2.18 6.34 1.18 7.34 Mar 2005 -0.98 -1 .42 0.44 2.18 -3.16 2.59 -3.57 Jun 2005 1.01 1.66 -0.65 2.18 -1.17 1.69 -0.68 Sep 2005 2.33 3.00 -0.67 2.18 0.15 3.20 -0.87 Dec 2005 2.09 1.86 0.23 2.18 -0.09 -0.01 2.10 Mar 2006 2.89 3.26 -0.37 2.18 0.71 2.59 0.30 Jun 2006 -1.35 -0.78 -0.57 2.18 -3.53 2.59 -3.94 Sep 2006 4.12 4.94 -0.82 2.18 1.94 0.98 3.14 Dec 2006 4.64 5.40 -0.76 2.18 2.46 0.49 4.15 Mar 2007 1.46 1.26 0.20 2.18 -0.72 2.69 -1.23 Incept. 5.34 3.81 1.53 9.00 -3.66 6.66 -1.32 Returns for periods exceeding one year are annualized. 22 City of Winter Springs Employees' Defined Benefit Plan and Trust Risk Measures Report Explanation The evaluation of a fund's performance should extend beyond return to encompass measures of risk. The next two pages are used to determine the level of risk to which the fund has been exposed, and whether the return has been commensurate with the risk taken. All measures are calculated for both the fund and the policy as well as the difference between the two. Up to four time periods are evaluated depending on the age of the fund. # Of Negative Qtrs/# Of Positive Qtrs: Number of negative quarters shows the number of quarters in which the return was less than zero, and the number of positive quarters is the number of quarterly returns which were greater or equal to zero. Batting Average: The batting average is a measure of consistency. It shows the percent of the quarters the fund has beaten the policy and the percent of the quarters the policy has beat the fund. A high average for the fund (e.g. over 50) is desirable, indicating the fund has beaten the policy frequently. Worst Quarter/Best Quarter/Range: The worst quarter is the lowest quarterly return experienced during the period, a measure of downside risk. The best quarter is the highest quarterly return, and the range is the difference of the high and low, and indicates dispersion. Standard Deviation: Standard deviation measures the total volatility of the fund, by measuring dispersion. Higher standard deviation indicates higher risk. If the quarterly or monthly returns are all the same the standard deviation will be zero. The more they vary from one another, the higher the standard deviation. Thus, it measures uncertainty, which is a measure of risk. AlphalBetalR-Squared: If the policy is appropriate, then the alpha should be positive, the beta close to one, and the r-squared should be high. Beta measures risk relative to the policy. A beta of 1 suggests risk equivalent to the policy. Higher betas indicate higher relative risk. A beta of 1.2 indicates 20% more risk than the policy. The alpha measures the return adjusting for beta. The higher the alpha, the better. R-squared measures the relationship between the policy and the fund. A high r-squared means the returns of the fund can largely be explained by movements of the policy. The higher the r-squared, the more reliable the alpha and the beta. R-squared may range from 0 to 100. Beta, alpha and r-squared are derived from regression analysis using the fund and policy returns as the dependent and independent variables respectively. Roughly, one would expect the fund's performance to equal the return of the policy multiplied by the beta plus the alpha. Sharpe RatiolTreynor Ratio: The Sharpe and Treynor ratios are similar. The Sharpe ratio is the excess return per unit of total risk as measured by standard deviation. The Treynor ratio is the excess return per unit of market risk as measured by beta. Both of these should be compared against the corresponding value for the policy. Higher numbers are better, indicating more return for the level of risk that was experienced. 23 City of Winter Springs Employees' Defined Benefit Plan and Trust Risk Measures ..3>(r...... . . .. ' . . . Fund < ....P.~ltcy. ......:......:.b.iff. . . . . . . . . . . . . . . . . . . . . . . . . . '. . .. . ....... ..." # of Negative Qtrs 3.00 3.00 0.00 # of Positive Qtrs 9.00 9.00 0.00 Batting Average 33.33 66.67 -33.34 Worst Qtr -1.35 -1.42 0.07 Best Qtr 8.52 7.31 1.21 Range 9.87 8.73 1.14 Worst 4 Qtrs 4.50 5.14 -0.64 Standard Deviation 5.51 4.99 0.52 Beta 1.08 1.00 0.08 Annualized Alpha -1.16 0.00 -1.16 R-Squared 0.94 1.00 -0.06 Sharpe Ratio 0.89 1.14 -0.25 Treynor Ratio 4.52 5.71 -1.19 Tracking Error 1.40 0.00 1.40 Information Ratio -0.59 6Y . . ..........j:\md. .......'.p,..f.~y. .' <<om ................. . ... ......r......... ................ . . . . . . . . ................. . ...........O.lC... .. ................ . . . . . . . . . . . . . . # of Negative Qtrs 7.00 7.00 0.00 # of Positive Qtrs 17.00 17.00 0.00 Batting Average 50.00 50.00 0.00 Worst Qtr -9.07 -11.13 2.06 Best Qtr 9.23 11.64 -2.41 Range 18.30 22.77 -4.47 Worst 4 Qtrs -14.38 -14.65 0.27 Standard Deviation 7.52 8.75 -1.23 Beta 0.81 1.00 -0.19 Annualized Alpha 0.80 0.00 0.80 R-Squared 0.90 1.00 -0.10 Sharpe Ratio 0.50 0.40 0.10 Treynor Ratio 4.63 3.53 1.10 Tracking Error 2.89 0.00 2.89 Information Ratio 0.08 .. ...... . .... .. .:5:Yr::: ....<....:............. . . # of Negative Qtrs # of Positive Qtrs Batting Average Worst Qtr Best Qtr Range Worst 4 Qtrs Standard Deviation Beta Annualized Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio .. )i:~nd.. 6.00 14.00 45.00 -9.07 9.23 18.30 -14.38 7.04 0.80 0.31 0.89 0.57 4.97 2.84 -0.20 . . . . Pril.iCY. 6.00 14.00 55.00 -11.13 11.64 22.77 -14.65 8.36 1.00 0.00 1.00 0.54 4.55 0.00 . ...........[)Iff.. 0.00 0.00 -10.00 2.06 -2.41 -4.47 0.27 -1.32 -0.20 0.31 -0.11 0.03 0.42 2.84 ..,~~P~. .... . ...... . ... . ........ . ......... . ......Furnf ....POfiW. ....Diff. . . . . . . . . . . . ., . . . . . . . . . . . . , .. , ....... .. . . ........ . # of Negative Qtrs 8.00 8.66 -0.66 # of Positive Qtrs 17.66 17.00 0.66 Batting Average 53.24 46.76 6.48 Worst Qtr -9.07 -11.13 2.06 Best Qtr 9.23 11.64 -2.41 Range 18.30 22.77 -4.47 Worst 4 Qtrs -14.38 -14.65 0.27 Standard Deviation 7.94 9.33 -1.39 Beta 0.79 1.00 -0.21 Annualized Alpha 1.64 0.00 1.64 R-Squared 0.87 1.00 -0.13 Sharpe Ratio 0.32 0.11 0.21 Treynor Ratio 3.19 0.99 2.20 Tracking Error 3.51 0.00 3.51 Information Ratio 0.44 24 City of Winter Springs Employees' Defined Benefit Plan and Trust Return vs Risk through March 31, 2007 10.00% 9.00% * Int'l 8.00% A 7.00% n n u a * I 6.00% LB Agg. i z e * d Fund 5.00% R e t u r 4.00% n 3.00% * 3 Mo TBiII 2.00% * S&P 500 1.000~.00% I 5.00% I 10.00% Risk (Annualized Std Dev) I_u+ Policy I I 15.00% 20.00% 25 City of Winter Springs Employees' Defined Benefit Plan and Trust Return vs Risk through March 31, 2007 3 Years 5 Years 30.00% 25.00% 20.00% R e t 15.00% u r n s 10.00% 25.00% 20.00% * Int'l * - --S&P-5Gg-- * Fund ,- R 15.00% e t u r 10.00% n s * Int'l 5.00% 5.00% * * * F nd S&P 500 LB Agg. *3 Mo -fBuB ,gg. I 0.000/6.00% 5.00% 10.00% Risk (Annualized Std Dev) 15.00% *3 Mo TBill 0.000/6.00% 5.0~% 10.~0% 15.~0% Risk (Annualized Std Dev) 20.00% 6 Years Inception 20.00% 15.00% R e t 10.00% u r n s ---- 5.00% * Int'l 10.00% 9.00% 8.00% 7.00% R e 6.00% t u 5.00% r n s 4.00% * Int'I * LB Agg. * F nd -*~ - --- --,-------,- * F~nd * LB Agg. S&P 500 --- ------- ---- - ',---- -- ---------- ----- 3.00% * 3 Mo TBill * 3 Mo TBiII 2.00% 0.000/6.00% I I I 5.00% 10.00% 15.00% Risk (Annualized Std Dev) 20.00% 1.000/6.00% * I I SI&P 500 5.00% 10.00% 15.00% 20.00% Risk (Annualized Std Dev) 1-+- Policy I 26 Policy: First Objective: Second Objective: Universe Data: City of Winter Springs Employees' Defined Benefit Plan and Trust 10/31/2000-09/30/2003 65.00 S&P 500 30.00 Lehman Aggregate Bond 5.00 MSCI EAFE 1 % 1/2003-03/31/2007 60.00 S&P 500 30.00 Lehman Aggregate Bond 10.00 MSCI EAFE 10/31/2000-03/31/2007 Annual Return of9.00% 10/31/2000-03/31/2007 100.00 US Consumer Price Index + 4.00 annual adder 60% Lg Cap Core, 30% Hg Quality Bd, 10% Int'l 10/31/2000-09/30/2003 30.00 High Quality Bond 65.00 Pure Large Cap Core 5.00 International Equity 1 % 1 /2003-03/31 /2007 30.00 High Quality Bond 60.00 Pure Large Cap Core 10.00 International Equity 27 Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRA W ALS DB Plan & Trust for Employees of the City of Winter Springs Sun trust Trusco Capital Mgmt From 01-01-07 To 03-31-07 Quantity Broker Code Commission Tran Trade Code Date Settle Date Security Amount CONTRIBUTIONS Ii 01-02-07 01-02-07 Cash 13,255.17 EE Ii 01-02-07 01-02-07 Cash 55,229.72 ER Ii 01-03-07 01-03-07 Cash 837.08 Reversal of benefit payments paid to J H Kennedy Sr-deceased Ii 01-12-07 01-12-07 Cash 13,383.51 EE Ii 01-12-07 01-12-07 Cash 55,764.39 ER Ii 01-30-07 01-30-07 Cash 13,349.40 EE Ii 01-30-07 01-30-07 Cash 55,622,43 ER Ii 02-12-07 02-12-07 Cash 12,710.42 EE Ii 02-12-07 02-12-07 Cash 52,959,97 ER Ii 02-26-07 02-26-07 Cash 13,169.53 EE Ii 02-26-07 02-26-07 Cash 54,873.27 ER Ii 03-09-07 03-09-07 Cash 13,078.36 EE Ii 03-09-07 03-09-07 Cash 54,493.52 ER Ii 03-29-07 03-29-07 Cash 13,180.79 EE Ii 03-29-07 03-29-07 Cash 54,920,02 ER 476,827.58 WITHDRAWALS 10 01-02-07 01-02-07 Cash Benefit payments 10 01-12-07 01-12-07 Cash Benefit payments 10 01-19-07 01-19-07 Cash Participant lump sum distribution 10 02-01-07 02-01-07 Cash Benefit payments 10 02-01-07 02-01-07 Cash Lump sum distribution to participant 10 02-09-07 02-09-07 Cash Lump sum distribution to participant 10 03-01-07 03-01-07 Cash Benefit payments 14,419.55 837.08 3,220.89 15,382,44 975,56 1,558.38 15,382,44 51,776.34 Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRAWALS DB Plan & Trust for Employees of the City of Winter Springs Suntrust Trusco Capital Mgmt. From 01-01-07 To 03-31-07 Quantity Broker Code Commission Tran Trade Code Date Settle Date Security Amount EXPENSE ACCOUNTS 0,00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS dp 02-09-07 02-09-07 Administration Fee Suntrust management fees 23,854,73 23,854.73 PORTFOLIO NET TOTAL 401,196.51 EXPENSE ACCOUNTS PAID BY CLIENT 0,00 AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT 0.00 GRAND TOTAL 401,196.51 2 Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL DB Plan & Trust for Employees of the City of Winter Springs Suntrust Trusco Capital Mgmt. March 31,2007 (Excluding Reinvested Divs.) Unit Total Market Pet. Quantity Security Cost Cost Price Value Gain/Loss Assets DOMESTIC EQUITIES Mutual Funds Large Cap 216,670.000 STI High Grade Relative 11.50 2,491,314.05 16,26 3,522,620.86 1,031,306,81 23.2 Value Fd 54,368,000 Sun Trust High-Grade 50.86 2,765,124.84 63.41 3,447,366.14 682,241.30 22,7 Equity/Growth 5,256,438.89 6,969,987.00 1,713,548.11 45.9 Mid Cap 31,611.000 Mid Cap Equity Fundi 27.90 881,905.28 38.32 1,211,396,74 329,491.46 8.0 was STI Ud. Cap. Fd, Small Cap 7,435.953 STI Classic Fd-Sm Cap 18,77 139.603.87 20,6] 153,254.99 13,651.13 1.0 Growth Stock ] 7,279.368 STI Classic Fd-Sm Cap 16,80 290,311.17 17.35 299,797,03 9,485.86 2.0 Value Equity 429,915.04 453,052.03 23,136.99 3,0 6,568,259.21 8,634,435.77 2,066,] 76.56 56.9 6,568,259.2] 8,634,435.77 2,066,176.56 56.9 INTERNATIONAL EQUITIES Global Funds Foreign 91,306,978 STI Int'I Index Equity 10.88 993,341.02 18.64 1,701,962,07 708,621.05 11.2 Fund T shares 993,341.02 1,701,962.07 708,621.05 11.2 993,341.02 1,701,962,07 708,621.05 11.2 FIXED INCOME Bond Funds Corporate Bond Fund 131,457.000 Sun Trust High-Grade 31.18 4,098,832.73 34.63 4,551,698,63 452,865.90 30,0 Bond 4,098,832.73 4,551,698.63 452,865,90 30.0 4,098,832.73 4,551,698,63 452,865,90 30.0 CASH & EQUlV. Money Markets Cash & Equiv. 289,525 Suntrust Retirement 1.00 289,524.57 1.00 289,524.57 0.00 1.9 Reserve Fund 289,524.57 289,524,57 0.00 1.9 289,524.57 289,524.57 0.00 1.9 TOTAL PORTFOLIO 11,949,957.53 15,177,621.04 3,227,663.51 100.0