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2007 08 22 Handout - Bogdahn Report June 2007
August 22, 2007 HAND OUT GIVEN BY MR. DAVE WEST, BOGDAHN CONSULTING, LLC. TO THE BOARD OF TRUSTEES BEFORE THE REGULAR MEETING ON AUGUST 22,2007. .' lit L L BOGDAHN CONSULTING, LLC. simplifying your investment decisions . .. L l L l .. DEFINED BENEFIT PLAN & TRUST FOR EMPLOYEES OF THE CITY OF WINTER SPRINGS .' II L L L L L l L L L L . ~June, 2007~ www.bogdahnconsulting.com 340 W. Central Ave. Ste 300 . Winter Haven, Florida 33880 Telephone (863) 293-8289 . Facsimile (863) 292-8717 /' .. .. .. III ill ... Performance Evaluation for Defined Benefit Plan & Trust for Employees of the City of Winter Springs Trusco Capital Management .. .. .. For the Period Ending June 30, 2007 .. .. .. .. ... ill Presented by: Bogdahn Consulting, LLC .. .. .. .. I o o o o o D o D o o D o ~ ~ D o ~ ~ . MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 HFR- Diversified FOF Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill The Market Environment Asset Class Performance Period Ended: June 30, 2007 I Quarter Returns I -3.0% 0.0% 3.0% 9.0% 12.0% 6.0% Source: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC. MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 HFR- Diversified FOF Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill I One Year Market Performance I 5.1% : . I I 1d% I 15.0% I 41.8% I 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% Bogdahn Consulting, LLC. + D D o o o o o I D o ~ D D D D D ~ D ~ . MSCIEAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 HFR- Diversified FOF Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit The Market Environment Asset Class Performance Period Ended: June 30, 2007 I Five Year Annualized Performance I 3mos. T-Bill 2.7%i 0.0% 5.0% 10.0% 20.0% 25.0% 15.0% .<:::nllrr.I'I' M.<:::r.1 r./:/nit::tl M::trkl'lt.C:: RI/.c::.C::1'I1I rJl HFR Il'Ihm::tn r.itir.nm R. Rnnrl::thn rJln.C::llltinn " r. MSCI EAFE MSCI Emerg. Mkts. S&P 600 Russell 3000 Russell 1000 Russell 2000 HFR- Diversified FOF Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill I Ten Year Annualized Performance I 9.1% 3.7% 0.0% 3.0% 6.0% 9.0% 12.0% Bogdahn Consulting, LLC. + . I I 27.1%1 I I i I 30.0% 15.0% o D Q o o o o o o o D I U o D D o U D The Market Environment Equity Style Performance Period Ended: June 30, 2007 . . Source: Russell Co. I Russell All Cap Style Performance I 21S o 21.3 20 -.-----... . ._ .0..______.__._ __. _ _..~-- --.--.----.--~.-. ..... ...-....---.-.- --'--, I I .-0---- 1 i .i lIS 10 IS .-- Qtr lyr Syr 5yr IOyr 103000 Growth .SOOO Index .SOOO Value I I Russell Large Cap Style Performance I 21S 20 lIS 10 IS -.. o Qtr lyr 3yr 5yr IOyr 101000 Growth .1000 Index .1000 Value I I Russell Small Cap Style Performance I 20 4 -- I . -13:5-15.0._- --13 1'-13:9-14.-6--.--- .-------.--~ 11.8' 12.1 I j 16.8 16 - 12 ---.-.---- 8 - ..' ..6.-7---.. ... --.. ---...- 4.4 o Qtr lyr 3yr 5yr IOyr 102000 Growth. 2000 Index. 2000 Value I Bogdahn Consulting, LLC. + D ~ D · o a o o Q o o e I E o D a a o D The Market Environ.ment Treasury Yield Curve Period Ended: June 30, 2007 . Treasury Yield Curve 7.00 6.00 5.00 / ---- . ----: : : : : 4.00 3.00 2.00 1.00 0.00 1 Mo 3Mo 6Mo 1 Yr 2Yr 3 Yr 5 Yr 10Yr 30Yr 1-+-0107 ---02071 Source: Federal Reserve Bogdahn Consulting, LLC. + - Defined Benefit Plan & Trust for Employees of the City of Winter Springs 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 Polley: 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 .. .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs Executive Summary . - - Account Reconciliation 06/30/2007 Qtr 2007 10/31/2000 YTD Incept Index Weight .. . ,... ... ..............,.. .. ...................... ::~Wtln~~.Y~I~~::::::::::::.:.::::::}~~n~::.: .:: }~~~~:::.::::':.:::::::1:i~~~.: .:~~fFI~~$>.:: :::<':'::'. :.::.}~>: ':. :<::::~~::::/::/::t~;?~~:. ..JrtV~#~~:~M.::.'::::':::::::"',.',".::~,~:,: ::: ':':::::~~:.::::::.::.::::.:~~4~~.. :~~iilQ::Y~14~:::::::.:::::::::.::::::::::1~@P.::: .:: :1~:;@::::.::::::::::1:$;~~~:: .. .. Trailing Returns through June 30, 2007 1 Yr 2Yr 5Yr 3Yr 4 Yr .. .......... ............. '....................... '.... '.............. : F\i~~:::::::: ::::: :1~~~::::::::: ~:~;~t::::::.:::: ~<tt:::::::: Jr~~::::::::::. :~:~t::::: ~81fll~::;~:!~~%.[~ .. Investment Policy . . . . . . . . . . . . ::$&~:S9(t ........... . ...,...... . .::60;OC):: ........ .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ''''0'''0''0''' >:':;;J';' .:- ........ .. ......... . ......... . ......... . ........ .. . . '1' " .. . <:: :0:00< . . . . . . . . . . ........ .. . . . . . . . . . . >1<O:'O<:l;iO'>: ...... . .'!~' .'. .... .-..... ....... ..... ...... ::~~h~~r.fA$~#~t~($~n~:::. ::~P.t:~F:E..:.:.'::.::::::::.:..:.'.;... '.:. ::t~~i<<" : . .. '.' .......:.:.. .... 6Yr 10/31/2000 9 Yr 10 Yr Incept 7Yr 8Yr ........ . }P:~:-::.>. >>::::<::<:::::<<::.>:::.. .... .l1:~/:./:))H>.><))))))< . . . : :~;g3:>>:<:<:<:<:<>:.....:<<<:::.'.'. . . . .... . . . . . . . . . . .. . .....:..::..:..:.:::.:.::.:::::~:~~:: .......... . . .. -:'.:'.:-:-:-:-:-:'~.3' '2"-:' .:.:.::::..:.:.:::.:::::<\:.:::: ..::.:::::::.:..::::::::::fsi:. .. Calendar Year Returns 06/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 - 2000 1999 1998 .Fur~::.,.::.,.,:'.::..:::::.":::.:.:':1*:.:.:::.:.::~;~~::':..:::'1~~~~::::'..'::.:~~~::.:.::::1:1}~:::..:.:.:1~:11:::::.:.~1:~;~1::: :::::::::~A~::':: ~~SH.:~::~~:~]:~;::;~~-l:::~j:# .. - Returns in Up Markets .. 1 0/31/2000 3 Yr 5 Yr 6 Yr Incept R<~[~~':i-~~~'~ - .. Inception date is October 31, 2000 All dollar values are shown in thousands. .. Returns for periods exceeding one year are annualized. Returns are net of fees. .. .. Returns in Down Markets 3Yr 1 0/31/2000 6 Yr Incept 5Yr }i{J~f .~~1i~: :~W~f :~2;~( :~3t: t~tt: · :: ::~1{2: . ....... . ... .... .. ::::1-:2"-:2"-: :~::::-:~:-:: )J~:;~: "1' 5' "S' ............. ......~.2. '.' n:::/<:/ ,). nt... ...11...7:....... ....... ...1.9.1... ::$t:~U:. :;.::; ..:t4;~;: 2 .. .. - City of Winter Springs General Employees' Defined Benefit Plan & Trust Asset Allocation as of June 30,2007 - .. At Market .. Fixed Income 28% .. .. .. ., .. At Cost .. Cash & Equiv 3% ... Fixed Income 34% - ... .. .. .. 3 .. - .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs 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. .. .. III - .. III - .. - 4 - Defined Benefit Plan & Trust for Employees of the City of Winter Springs Universe Comparisons 600,10 Lg Cap Core, 30% Hg Quality Bd, 10% Int'l Trailing Returns through June 3D, 2007 2 Qtrs 3 Qtrs 1 Yr 3 Yr 4 Yr 5 Yr - ... ... .. lit Return %-tile 6.01 41 .. :P:~iey:: .. . , . . . . . . . . . ........... . ... Return %-tile 5.58 11.29 16.79 12.04 10.45 11.38 66 72 53 67 55 51 9.74 44 86 10.93 15.50 10.67 59 . . . . . . . . . . . . . . . . . . . . . . . . . . . .......... . ..... ........... 9.77 11.22 8.81 84 6.16 51 6.19 49 .. ,- .. .......... .. .. : U.riiv~$.~::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: :::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: - 5th %-tiIe 25th %-tiIe 50th %-tiIe 75th %-tile 95th %-tiIe 94 96 85 . . . . . . . . . . . . . . . . . ............... . ......... ..,..... .... ........,..... 7.58 14.77 19.73 15.05 13.30 13.72 11.82 6.39 12.55 17.87 13.11 11.36 12.09 10.23 5.84 11.79 16.84 12.37 10.55 11.40 9.61 - 5.46 11.22 16.32 11.79 10.07 10.90 4.68 10.21 15.28 10.72 8.98 9.72 .. ... Calendar Year Returns Qtr 9.05 8.03 8.31 7.05 6.16 5.65 4.93 . . . . . . . . . . . ....... ... .......... . . . . . . . . . . . . ... .. .... ........ . . . . . . . . . . ...... ..... . . . . . . . . . . . . . . . . . . . . . . . . ... . 8.22 5.54 4.23 3.68 2.39 7.30 5.82 4.62 4.06 2.92 .. Return 4.48 53 %-tiIe - }~~1ic.f:::::::::::::.: :: Return 4.27 6.01 41 10.58 95 4.50 11.46 19.41 -12.21 86 14 88 55 1.48 5 -6.28 %-tile 71 66 44 60 42 46 65 60 .:Y.Hi~~:.:::!:::.:.:.:i:::::::::::::.:::!:::i:::::::::!:::::::!:i:!:::.:::::::!:.:::..::::.:.:::!:::::!:.:i:i:::!:::!:!:::.:.:::.:.:::::::::::::::::!:::.:!:::i:::.:::!:::.:::::::::::::::::.:::::::::::::::::::::.:::::.:.:::::::.:::!: ...:.:.:.:.::.:.:...:.:. .. 5th %-tile 5.76 7.58 17.25 8.82 12.70 25.22 -6.21 0.24 12.08 25.92 .. .. .. 25th %-tile 50th %-tile 75th %-tiIe 95th %-tiIe 4.92 4.52 4.17 3.64 .. ......,.. . ........ ., 5.58 13.33 6.39 14.20 5.84 13.21 5.46 12.47 4.68 9.92 ......... . . ....,.... 5.14 9.89 21.74 -12.62 6.43 10.69 22.88 -10.62 5.46 9.61 21.57 -12.09 4.78 3.81 -3.72 -5.96 8.89 20.50 -13.04 -6.84 6.29 18.34 -14.66 -11.50 Retums are In percent. "%-tlle" is the percentile ranking within the universe. Retums for periods exceeding one year are annualized. Incept is October 31.2000 to June 30.2007 .. .. 5 3.94 16.86 -2.55 14.86 -3.96 11.88 -7.10 1.64 - City of Winter Springs General Employees Fixed Income Executive Summary .. .... ... Account Reconciliation 06/30/2007 Qtr :~~MiiffiY~'HW: : :><:.:}~~::: :N~(F!~~~C::<'>> '>>>>>:::&0::: ,'~&~##1f~/~:::':::::' ::::::::.:::::::::':h~1:: ':~i#~:Y~@(>:<< >>>A>$!( .. .. Investment Policy 2007 10/31/2000 YTD Incept Index Weight : joo;ocf ........ .. :}~:: >>>:<.:~~~:: //~~~:: :.:::'::<AiM~:: ~S~(4,k: ......,.... . : ~~~rJ1~~:}\~gr~~~ :~~~~:::::: . . . . . . , . . . . . ....,...... . ........ . . . . . . . . . . .. .. .... .... '" .. .. .... .... .,. . .... ... .. <'1' :0'. '0.' -:jO;O''':: .:.:.:.....:~~...:. .: Total::::::::::::::::::::::::::::::::::::::::::::: ... ......". ..,.............. . ,..... .. .. Trailing Returns through June 30, 2007 1 Yr 2Yr :>:>:::5:14:: .....,'.... . .. 3Yr 4 Yr 7Yr 1 0/31/2000 9 Yr 10 Yr Incept 5Yr 6Yr 8Yr ........,.......,..... .........,.. ,....................',...... '..'......"........,..............,................',.... ..... :~~~?::::":::::':::::: ~~14::::::'::: ::~;J~::::'::::::: ~::~1::::::::::: ::~;~~:::::':::.: '~~~1:::'::::: :. ~;~?:::::::::::::::::::::.:': :::::::::: ::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: :~~I!~~K:::::::::-:~~1:~</.:..:~;~~)):::.~::~:.:::):~;p~/<"'f1f)::.~;1f'::://:::<<:....:.:,:......:':::::::::':':": :. ..:::::-.. :Diff<::::<<<~:;~(::<~;~i>:::::~~3t>::~;$~:::::>~pjt<< :~)f: ..,...., : :-:-:::-:-:-:->.' . ...::........::.:.:. : : . . . . ... . .......,._, >><5;i~{ .......... .. ............ . ........... . . . . . . . . . . . . . . .......... .. : : : ;::<);()(:\:: ... Calendar Year Returns 06/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 .. 2000 1999 1998 ..~;..............................~i..........~~]..........~;E...........~i..........~.~..........]i.........;~::~............:ts...... ... ................................................ - - Returns in Up Markets ... 3Yr 5Yr F'iiri~:><::::ti: <:At5::::<::::::::e~6>:::::::..:.:.9.f. ::F~~W : p: :j ~ . . : : ::..:,. :,:.',: '.: ~ :,:4\ :, :,>, :.: :,: :.::, :,: :,':, :,: :.: :.: :,' '8:.:: .~: -.:!,' "... '.: :.',.',: :,:.. :,.::,:, :.: :.: :.::, :.::.8:.:: .~: -.:!.: ,::, ',: :.: :,: :,: :,: :.: :,: :.: :,: :,: :,: :.: :.: :,: :':.:':':':." ..9::. :.',:,0:.:,:, :,:.' 'l'l";'{I' . . .:..~i~}:::..<. . . . . ~ . . . . . . . . . , . . . ~.. .... :"~"" . . . . . i~:~: :~iat~::::<:>::j~ttf:::::<:~$~t, . . ><::9~(l:>:::::>> tot;t }~~~::: - - Returns in Down Markets 1 0/31/2000 6 Yr Incept 5Yr 1 0/31/2000 6 Yr Incept 3Yr ::)(f<< :>~~;t:: ::: .........", ........ :>~t~:::>> >~~;~::: ::: .. , )~~y< ::,<'<~~} '~~:~:/. :..:>.+~;~. o.~;~(<: . .:jQ~;~: ..,.... .. .. '... ... . ,.,... . :J~1A::::::: 109;g:: ::: Inception date is October 31, 2000 All dollar values are shown in thousands. _ Returns for periods exceeding one year are annualized. Returns are gross of fees. .. ... 6 - City of Winter Springs General Employees Total Equity Executive Summary ... - - Account Reconciliation 06/30/2007 Otr Investment Policy 2007 10/31/2000 YTD Incept Index - :~~MM~:Y~'Hf::.::).:..:/~~~~~~r .:Net:~,i;j~::::::::::::::::::::::::::::::::::::::::::::tt4::: ........... ........ .................... ....................................... . }~~~%nt:~/H:>/:>'/:>>h*:' :~fuli~Yal~~::::.::::::::::::::.:::::::::j:1~~~:. ... lO'I..................::i:. .1:t323:.:...:.:.:.:.: 1.1:.:323.: ......................................'........... - Trailing Returns through June 30, 2007 ::~~~:!p~// )))<. ::~Pf:i;:~fg: :<>>> Weight ::::8.5;OJi ......... .. . . . . . . . . . . . ......... .. . . . . . . . . . . . .:::.:::1:5;00: . . . . . . .. . )t.otat>::.. :.... ........ . . . . . . . . . , ........ . ........ . : 1:()O;Q(): 1 Yr 2Yr 6Yr 7Yr 10/31/2000 9 Yr 10 Yr Incept - 3Yr 4 Yr 5 Yr 8Yr ..................,.,.... .......,.,.,..........................................,.......................................... ': F:u~~:::::::::.::::: ~.:~~::::::. ::~:~i~~::::.:':: :'~:tr:::.:::: :1f3:1::::::::.: 1P?~:::::::':: ::~;~~.:::.::':':::::.':.::::::::::::: .:::::::::::::::::::::.:::::::::::::.:::::::.:::::.:.:.:::.....::.::::::::.::::: :~:~!:: .p..;.;...(...:...:~1....6...3. .......;..:~..3..3...:....:13..36:....:t5.1:3..:...:...1.f&.f..:......a:4.6.::::........:..:.:..........:..::....:.:..:....::. . . . . . . .343' ::..:~ :~::::::::::::: f::. ~::::::::::.:::: :~:~:::::.:::::::::::::::.:~:::.:::::::::::::::::::::::::::::::::::::.:~::::::::::::::::::::::;:::::::::::::.::::.::.::.:.::.: :::::::::::::::::::::::::::::::::::::::::::::.::: .:.......:..:.:....:..::::.::..::.:.:..;.:.::.:: :piff><>>>~9)(r<<~~:;~~::::>~~:~::::><~;1:~<<)1)~<:<>~;~5:::::::::::><><<<>>>:><:>:::.'. ........ ':>>~:~4:: - Calendar Year Returns 06/30/2007 2007 Otr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 :,~!~.~~[:!~!;~~~!:~:~-~:~ - - ... - Returns in Up Markets - 3Yr :: ~U~d::',:::::::::::::::,:.::':: 1:~;~:.. .: f:~i~y:":-::,: >-: )~O:;~:: ..RStu{........ ::::96;8:: . .. .. 5Yr 10/31/2000 6 Yr Incept .. .......................... . :'::::. :'~f:;~:':':':::::.:.: :~~~1:::.:::.:':::::::::. ::~~;A:: :.:.:.:.:... 24: 9:':':':'.':':':' 24:"":':':':'.':':':':': '24 :5:' :::::::::!::~~[+:::./!.::::!.~i[~/::::.:::::)~.~i;o.: .. .. 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. ... - Returns in Down Markets 3Yr 10/31/2000 6 Yr Incept 5Yr ~{j~%: ~~1icy:: : ~~~> .........9. "g:' '.' :':::~:1::::~::::: :>:1~;~:: :)09;~:: ......2.7..k . . . ~ . .:::l~i[M/ .......... .. .......... . A~5;5:: :t~~}:: :::8.~;~:: :.:.:::::::.:4:7::: ...,....... , . ,_..,'...,.. ...,....... . >><:~~~::: .. . :>:~!;~(< ::::::104;~t: ".,...,'.. . 7 City of Winter Springs General Employees Total Equity Universe Comparisons 850.10 Pure Large Cap Core & 150.10 International Trailing Returns through June 30, 2007 2 Qtrs 3 Qtrs 1 Yr 2 Yr - ... ... - ... Return 8.44 15.41 20.63 14.85 12.77 15.31 10.74 6.35 %-tiIe 29 57 80 90 70 41 84 52 :~~io/::j:::::'::'::::::::::::':,:::,:::::::::::::::::::::::::::::::::::::::::::::j:':':':j:::::::::::::::::::::::::::::::,::::::::::::::::::.::::::::::::::::.:::.::::::::::::j:'::::::.::::..::,::::::::::::::::::.':::::::::::.:::::::::: Return 7.58 15.38 21.63 16.33 13.30 15.13 11.84 6.40 ... %-tiIe ... 57 59 46 52 52 45 45 50 ........ ..... ..... ......... . ......,.,......,............. ........... :(jriiY#$(}}:><::>.>>>>::::::<>><<<<<<<>>}>><<<<>:::>:::'.:':::::::...... . : . . :.:.::: : . . . , .' . : : . . . . Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 : F.~n~:::.:: Return 6.76 8.44 13.89 5.86 14.76 27.59 -22.09 -2.31 %-tiIe 38 29 91 74 10 75 76 7 : P:~1!!;y::.:::::::::::::::::::::::::::::::::::::::::::::::::::::::::.:::::::::::::::: Return 6.34 7.58 17.42 6.27 12.32 30.00 -21 .44 -12.84 %-tiIe 66 57 38 61 41 33 60 64 tiniY.etSe::: .......... . 5th %-tiIe 8.55 10.39 21 .36 1 1 .19 1 5.45 33.20 -13.51 -1 .21 1 1 .19 37.89 25th %-tile 7.20 8.57 18.07 8.1 7 1 3.54 30.61 -19.06 -8.37 1 .19 25.08 50th %-tiIe 6.55 7.78 16.98 6.74 1 1 .96 29.13 -20.94 -12.18 -8.83 21 .61 75th %-tiIe 6.20 7.30 1 5.88 5.76 10.95 27.42 -22.09 -13.30 -10.35 18.33 95th %-tlle 5.43 6.35 12.1 1 4.39 7.39 25.05 -24.00 -21 .12 -14.37 4.63 .. 5th %-tiIe 25th %-tiIe 50th %-tile 75th %-tiIe 95th %-tile 10.39 8.57 7.78 7.30 6.35 ... .. Calendar Year Returns .. .. .. .. - ... - 19.47 25.65 16.84 22.83 15.63 21.46 14.93 20.82 13.73 19.10 19.43 17.32 16.39 15.64 13.80 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 June 30. 2007 .. ... 16.98 14.37 13.37 12.66 10.68 8 18.17 15.92 14.96 14.31 12.32 14.76 12.52 11.69 11.12 9.79 9.50 7.85 6.38 5.71 4.42 10.01 5.37 3.33 2.50 0.14 8Yr 7.84 6.01 3.99 3.21 1.70 - City of Winter Springs General Employees Domestic Equity Executive Summary - - Account Reconciliation 06/30/2007 Qtr Investment Policy - 2007 10/31/2000 YTD Incept Index ...-... ... .;i.l[i~I:1 ::~&i=n59():: :::: Weight . :1:00:00. - ............ . ........... . . .......... ........ . ..... ,"... . . . . . . . . . . . . . . . . . . . ........ . ......... . ........ . - )t.~v<::.:<, : . .. ... .....,.... .. ,.. .... ,...... . . . . . . . . . . . . .....". . >1..0.:.0.';:0.. .0.:. ...... . .'~ . . .' .. Trailing Returns through June 30, 2007 1 Yr 2Yr 3Yr 4 Yr 5Yr 6Yr 7Yr 8 Yr 1 0/31/2000 9 Yr 10 Yr Incept .. !W<~~~j~~:;:::8:'~;!~:~ .. .. Calendar Year Returns 06/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 - . ........ .. ,....... ........... .......... ............... '.... .;r~r~//.;/::...:/.>.:.~:t'>>>t~~/:>M71::.:).;.:}~:./<1:~tt/)m:~}t)>~~;~n)>t~t<::/./////////:::::.)<: :~Qi!~::.::....:.::.:.:...::::.......:.e~~:.:..::::.:.1t$$::...:...1$:$O::...::..::.4~i)~:..:.:.:.:~.b;aa.::....::$:;~..:::::~2Z::1:b::.::.:.~1t:$..:.:::::::.:..:.::.::..:.:.:..::::::.......:...::.:..:::..:::: .:1)I~.)././:.:::::..).//9:;~r/:H~;~4).:)4:~::://@~~{/.:.::.';~~~~:://:#~W//:::~:~W\:<-1Q.i~t<///::')<.:.:.<:::.::.:.::::.::::::. - - Returns in Up Markets Returns in Down Markets . 3Yr 5Yr 10/31/2000 6 Yr Incept 3Yr 5Yr 1 0/31/2000 6 Yr Incept .F. ......d..............................1. .....0. ................2. ......,. ................2. .~.~..................2. .~.~.. : .tltf :::::::::::::::::::::::::::: :8;. :::::::::::::::: .1:;: .:::::::::::::::: .,,;:r.:::::::::::::::::::::: ."';1:1:: . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...................... ............ ................ ..... ....... '.. ... @~<~'~~~:f~jij': ...... ,- ............. -,..... .,'.... 1~~:~Ji:~I=~I!: .. - 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 June 30, 2007 2 Qtrs 3 Qtrs 1 Yr - .. ... ... ... Return %-tiIe :~~i~W Return 7.90 23 ... ........ . . . . . . . . . . ........ . 6.96 50 ... %-tiIe :qriiV~s.~< ...,..... . . ... .......... . . . ., ... .. ............ ..... '.'.... .. 5th %-tiIe 25th %-tiIe 50th %-tiIe 75th %-tiIe 95th %-tiIe 9.90 7.74 6.95 6.72 5.50 .. .. Calendar Year Returns ... - .. - - .. .. 13.98 57 19.28 85 12.76 92 11.22 72 . . . . . . . . . . . .........,. . 39 14.45 11.68 42 ,... ..... ......... ., ........,...... . ............... . 17.66 15.05 14.31 13.81 12.04 Returns are In percent. "%.tlle" Is the percentile ranking within the universe. Returns for periods exceeding one year are annualized. Incept Is October 31, 2000 to June 30, 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 :fun~:<:: Return 6.77 7.90 1 1 .74 4.90 13.71 26.1 1 -22.27 -1 .61 %-tile 25 23 79 56 12 68 52 6 : R()1i~:::.::::::::::: ::::::::::::::::::::.: Return 6.28 6.96 1 5.80 4.91 1 0.88 28.68 -22.10 -1 1 .88 %-tile 48 50 30 55 34 29 46 48 .O...j................................................................................................................................................................... ::.:.~.~~:::::::::::::::.:::::::::::::.::::::::::::::::::::::::.:::::..::::::::::::::::::::::::::::::::::::::::.:::::::::::::::::.::::.::.::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: 5th %-tiIe 8.40 9.90 20.97 1 1 .33 15.14 33.34 -15.55 -1 .49 1 3.61 35.03 25th %-tiIe 6.76 7.74 16.19 7.20 1 1 .51 28.99 -20.13 -9.35 -0.20 22.80 50th %-tiIe 6.26 6.95 1 5.48 5.09 10.39 27.83 -22.23 -12.08 -7.39 20.27 75th %-tiIe 6.09 6.72 12.74 4.22 8.38 24.97 -23.39 -1 3.51 -9.63 16.39 95th %-tiIe 5.18 5.50 4.79 1 .07 5.14 20.58 -26.60 -19.10 -14.67 6.1 3 ... .. 14.12 20.59 48 ......... . ........... ..... 18.61 24.34 15.15 21.19 14.06 20.37 13.72 12.33 19.85 17.89 . . . . . . . . . . . . . . . . . . 15.33 12.68 11.60 11.13 8.90 10 13.83 37 .........', . . . . . . . . . . . . . . 49 13.49 40 . ..-..... . . . . . . . . . . . 16.76 14.55 13.33 12.85 10.55 9.58 85 10.71 39 13.13 11.48 10.50 10.05 8.52 5.38 40 5.31 43 . . . . . . . . . ...... ,". ........ . . . . . . . . . . ........ . ........ . . . . , . . . . . 8.84 6.53 5.15 4.64 3.16 9.28 4.12 2.11 1.74 -0.00 8Yr 7.25 4.29 2.82 2.28 -0.79 .. City of Winter Springs General Employees International Equity Executive Summary - - .. Account Reconciliation 06/30/2007 Qtr :~M~~Y~'~~.< ....... >:::>1~~02'> :~r;;fF.16~: . ......::::<::::::::}}-11/ :~~~#~I.~I.~:::::::.:...:.:.:..: .::.:.::::1:1~::: :~~I~:Y~ly~:.:::::::::::::::.::::::::::::::1~~t::: Investment Policy 2007 10/31/2000 YTD Incept Index - 1j# o:.")~f.:.": ::::::1~~t:::::::: >:>':>3~t ........... . .......... . ........... . .......... . >>:326:: .......... . ........ . >>>~6f .................. . .. . :M"'S' CI..i::i'il-lZ:e....................... ::........,::~~,.::::::::::::::::::::::: .. . .. . Weight . .' :: joo;O({ .. ...,.. . . . .. . . .. . ... ." ......... . ........ .. .. .:J:i~r ::t#f'}:: ....::.. . . . .':.:. ......... . ..: lPO;OC( .... ..... .. Trailing Returns through June 30, 2007 1 Yr 2Yr 3Yr 4 Yr 5Yr 6Yr 7Yr 8Yr 1 0/31 /2000 9 Yr 10 Yr Incept - ...... .. ......... .......,.. .i............~~........:;,~........;E........i~.........;;~........!l~.......................................... ................................................... ...............:!: .. .. Calendar Year Returns 06/30/2007 2007 Qtr YTD 2006 2005 2004 2003 2002 2001 2000 1999 1998 .. .. .....,................. . :t=~n~t::: ........ .::::::~~~:::.:::::1t~~:::::::::~~;4~::::::::}~;t~::::.::::~1:;~~::::::::::~:;j~:::::::~1:~;~f}::~1t1~::::::::::::::::::::::,::::::::::::::::::::::::':::::'::":::':: ...:;;...........................:Z.......1::::.......~:~........lt~...~:~......:i":::....."~:::....?........................................>...... Returns in Up Markets Returns in Down Markets .. .. 3Yr 5Yr 1 0/31/2000 6 Yr Incept 3Yr 5Yr 1 0/31 /2000 6 Yr Incept .-....... ................... ... .........,...... :~~~::::::::.::::.:::.:::::::::~~;O::::::::::::::::~~~?::::::::::::::::3~;t::::::::.::::::::::.:~~?:: : P()licy::: ::':::::::'::::::::: :~~n j::::::.:.::::'; ~~:~:::: .:::"': :.:: ~~:)':; :..:::::"::;:.::: "~~j~:: : ~atiQ.:: :::::::::::::::::: :W~~~::::::::::::::~ 9~P::::::::::::: :190.::6::::::::::::::::::: :1:()O~~:: :F.i.iniif::>:::::::::: :: ......"..,.. -, :::>~;t:<: ::::::~*1}::::::::::::::~~~;4:::::::::::::::::: :~~Z;~:: .......... .'.......................,......,...... ........... ...... ......... ............... .' -".. :::. :~~:;f::::: ::::: ;2~;~:::::::.::::: ~2~;~::::::::::::::::: :~rl~;( ........... .............................. ....... :~o.~i:::::: .:: :j~1:;~:: :::.::::::: jQ~H:::::':::::::::::: :: :9S; 1::: .. m~lcy;))/) ::RatKf::::::::::::::: ............... . . . .. 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 International Equity Universe Comparisons International Equity Trailing Returns through June 30, 2007 2 Qtrs 3 Qtrs 1 Yr .. .. .. .. 47 46 47 59 .. Return %-tile 11.09 22.64 27.53 27.30 22.75 25.20 50 54 47 49 42 42 18.21 41 13.12 49 .. ::UMiv.~~~: ......... . . . . . . . . . , ....... .......... . . ..... . .... . ........ .. .. .......... ..... ......... . . . . . . . . . . . . ........ , ........... . .. .......... . . .......... ......', .. 5th %-tiIe 25th %-tiIe 50th %-tiIe 75th %-tiIe 95th %-tiIe 19.84 38.95 42.78 40.72 37.13 35.26 29.17 12.38 25.90 30.57 29.77 24.81 26.84 20.06 11.07 22.96 27.13 27.14 22.26 24.40 17.55 24.61 15.84 12.95 11.13 8.69 .. 9.79 20.57 25.15 25.29 20.35 22.32 7.69 17.68 21.70 21.96 17.40 20.21 15.24 13.60 .. Calendar Year Returns Qtr .. .. 43 .. Return 6.67 63 11.09 26.86 50 39 14.02 20.70 39.17 -15.66 -21.21 67 39 50 59 63 %-tiIe .. )jni~e:::::::: ... ... ......... . .... ..... .,.... ..,.,.......,.. . .... .... .. 5th %-tile 25th %-tiIe 50th %-tiIe 75th %-tiIe 95th %-tiIe 18.65 12.22 8.35 7.19 6.18 4.45 19.84 35.29 38.92 32.32 65.72 1.26 2.71 17.31 10.23 7.10 4.58 1.27 8Yr 19.22 12.55 9.14 7.33 5.24 1999 2.11 117.71 12.38 28.37 23.76 23.60 48.59 -8.48 -10.53 -8.63 67.62 11.07 25.65 16.31 19.34 38.92 -14.41 -18.53 -15.84 47.72 .. 9.79 22.79 13.13 9.40 16.57 33.20 -18.10 -23.29 -24.08 29.01 17.12 12.66 27.55 -23.32 -29.32 -34.43 7.69 .. 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 June 30, 2007 .. 12 - . Defined Benefit Plan & Trust for Employees of the City of Winter Springs - - Up Market Returns 25.00% - 20.000/0 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- 15.00% - 10.00% 5.00% .. 0.00% - Fund (%) Policy (%) Difference (%) Ratio # Up Qtrs 3Yr 5Yr 6Yr Incept 14.68 16.43 16.63 17.06 15.40 18.22 17.93 17.87 -0.72 -1.79 -1.30 -0.81 95.32 90.18 92.75 95.47 9.00 15.00 17.00 18.00 . - - 0.00% Down Market Returns - -5.00% ---------- - -10.00% ---------- - -15.00% ------------------- -20.00% 3Yr 5Yr - 6Yr Incept Fund (%) -2.80 -11.18 -15.53 -14.19 POlicy (%) -2.37 -12.20 -17.67 -19.05 . Difference (%) -0.43 1.02 2.14 4.86 Ratio 118.14 91.64 87.89 74.49 # Down Qtrs 3.00 5.00 7.00 8.66 - - I 0 Fund (%) . - . Policy (%) I 13 .. .. ... .. .. .... .. .. v .. a I u e .. .. .. .. .. .. .. .. .. - Defined Benefit Plan & Trust for Employees of the City of Winter Springs Objective Comparison ------------~------------------------------------------------------------------.--------------.------------------------.-------------- -------------~/ $m~~~m~~~~~~~e~~~_~~~m Quarter Ending o Fund -* Policy + Nominal 9% B CPI + 4% Inception date is October 31, 2000 All dollar values are shown in thousands. 14 . Defined Benefit Plan & Trust for Employees of the City of Winter Springs Attributions of Returns Report Explanation . III ... 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. III 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. - . - .... - . . . . III - . 15 - .. ... Defined Benefit Plan & Trust for Employees of the City of Winter Springs Attribution of Returns Attribution of Performance to show Manager Contribution .. .. Policy :::::::::::::::: :~~~~~(q~ntf.i~Qt!9r.(: Fund Current Quarter 4.27 :::::::::::::::::::::::O;2t: ..,.............'. ..... 4.48 .. Year to Date 5.58 ::>0;43:: 6.01 ... 3 Years 10.45 ::~i);6If 9.77 ... 5 Years 9.74 :~i);9tf 8.81 6 Years 6.19 '~:Q~:: 6.16 .. Incept 4.32 5.83 .. Policy + Manager Contribution = Fund .. Attribution of Manager Contribution between Asset Allocation and Security Selection .. Asset Allocation ... ..,. . . ." ... Security Selection ::::: <<~~g~t.:~~~~i~~I~ri:: ........ . .,.. .......... ..,........ . - Current Quarter -2.04 2.25 :>: : :: >:: :;<: ::: : :;<:::;<:::0;21::: ...................... '.... -2.91 3.34 :::> ........... . .. ........ . . . . ........... - Year to Date ;< ::: :>:: >:::>::::0;4:3:: . .. ... ............ . .. . . . .....",.... , . . . . . , . . . . . . . . . . . . . . . . . ... .. .......... 3 Years -5.82 5.14 :;< ... .. :<<~();~8:: - ,. ... .... ,-..... 5 Years -5.26 4.33::: '" :: >>(j;~3:: - 6 Years -3.64 : >:;;0;03: ...... ..... - Incept -2.83 4.34 _ Asset Allocation + Security Selection = Manager Contribution - 16 - .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs .. .. 10.00% .. .. p e r c e n t 0.00% 5.00% .. .. E f f e -5.00% c t .. .. Asset Allocation Effect -10.00% 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 505 005 M06 J06 506 006 M07 J07 Quarter Ending .. 10.00% .. .. p e r c e n t E f f e -5.00% c t 5.00% .. 0.00% .. .. III Security Selection Effect -10.00% 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 505 005 M06 J06 506 006 M07 J07 .. Quarter Ending .. .. I . Quarterly Effect - Cumulative Effect I 17 .. .. ... .. .. .. III II .. .. III .. .. .. III .. .. .. - Defined Benefit Plan & Trust for Employees of the City of Winter Springs Asset Allocation vs Targets 80.00% 70.00011 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - -- - - - - - - - - - - - -- - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - -- 60.00% - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - -- 50.00% - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - -- - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - -- - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - -- - --- 40.00% - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - -- - - - - - - - - - - - -- - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - -- 30.00011 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- 20.00% - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - -- - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - -- - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - -- - - - - - - - - - - - - - - -- 1 0.00011 - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - -- - - - - - - - - - - - -- - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -- I "* Target 80.00011 70.00% - -- - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - - - - - - -- - -- - - - -- - - - - - - - - - - - -- - - - - - - -- - -- - - - -- - - - - - - - - - - - - - - - - - - -- - - -- - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - -- - - - - - - - - - - - - - - - - - - - - - - - - - - - -- 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 505 Quarter Ending I . Equity "* Target I 005 M06 J06 506 006 M07 J07 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00011 0.00% 502 002 M03 J03 503 - - - - - - - - - - .-- ~ ,-- - ~ .u - --'-"- - .-- - - - -.-- - - - - I , , , , I I 003 M04 J04 504 004 M05 J05 Quarter Ending I 0 Fixed Income "* 505 005 M06 J06 506 006 M07 J07 Target ~ 18 - - Defined Benefit Plan & Trust for Employees of the City of Winter Springs Asset Allocation vs Targets - .. 80.00% 70.00% - -- - - -... -- - - -- - - - -. - -.. - - -.... -- - - -- - - - -. - - - -... - - -- - - - -. - -- - - - - - - - -... n - -- - - - - - - - -. -' - - - -. - - - - - - - - - -. --. - - - - - - -. -. - - - - - - - -... - - - - - - -- -. - - - -- - -. - - -- -' - - - - - - - - - - -- - -. - - --- 60.00% . _. - - - - - _... -. -- - - - - --... - - - - - - - - - - -- - - - - - - - - -. -. - - - -. - -- - - - - - -. --. --. - - - - - -- -- -- - - - - -- -. - - - - - -. - -' - - -- -- - - - - -- - - -. - - - - - - - -' - -. -- --- - n - -. - - - -.-..... -' - - - - - - - - - - - - - - - -. - - -- 50.00% --. - - - - - - - - - - - - -. - - - - - - - - - - -. - - - - - - -- - - - -.. - - - - - - -. -- - - - - - - - -' -. - - - -- - - - - - - --. - --. - - - -- - -- - - - - -. -- - - - -- - - - - - - -- - -. - - - - - -... -. - - - - - - - - - - - - - -. -. -. - - - - - - - - - - - - - -' - - - - - - -" -. -- 40.00% -. -' -. - - - -- - - - - - - - -. - -... -' -- -. -. - - -- - - -. -. - - - - - - - - -- -. - - - - -- - -.. -.. - - - - -- - - -. - -. -. - - - - - - - - - - - - - - - - - -. -.-- - - - -- -. -. - - -- - - - - - - -. - - - - -. - -. -- -- - - - - - - - - - - - - - - - - - -. --.. - -. -- - - -- 30.000/0 - -. - - - --. -- - - -.. - - - - - - - - - - - -.. -- - - - -- - - -. - - - - - -.. - - - - - - - - - - -. - - - -... - - - - - - - - - - - - -. - - -. -. - - - - - - - - -- - - - -... - -. - -. - -.. - - - - - - - - - - - - - -.. - - - - - - - -- - - - - - - - - - - - - - - - - - - - -- - -. - -. -' -.. 20.00% .. - - -. - - - - - - - - -- - - - -" - - - - - - - - -- - -. -- - - - - - - - -.. - - -. --. -... - -- - - - - - - - - - - - - - - --.... - - - - -- - - -- - - - - -...... - - -- -- - --. - - - - - - - - - - - - - - - h -.. - - -... -- - - - - - - - - - -. - - - -- - - - -- - -- - - - - - - -- ... 10.00% --- ---------.--.-- _______n_________..__.__ ... J04 504 004 M05 J05 505 005 M06 J06 506 006 M07 J07 lit Quarter Ending I . Int'l ""* Target I .. ... - .. lit lit .. .. .. .. .. 19 ... - Defined Benefit Plan & Trust for Employees of the ... City of Winter Springs Manager Contribution ... ... .. ... ... ... .. .. - .. - V a .. I u e iii .. .. .. - 4.00% 3.00% 2.00% R 1.00% e t 0.00% u r -1.00% n -2.00% -3.00% \ ------_._~ -_\nn:2-nn---nnnnn---:---:----------n:n \\/ -4.00% 502 002 M03 J03 503 003 M04 J04 504 004 M05 J05 505 DOS M06 J06 506 006 M07 J07 Quarter Ending I. Quarterly - Cumulative I Growth of $100 Fund vs Policy - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - -. - -.. - -..... -.. - - - - - - - - - - - - - - -. -... - -. - - -- - - - - - - - - -- - -. - - - -- - - - - - - -.. - - - - - - - - - - - - - - - - - - - - - - - -. - - - - - - -. - - - - - - -. - - - - - - - -;:.0- -- ----------------.-..-....-..--....-........................--.......------.---........-.--..-..--.......--.----..._.__.._._....._....._.__.._.__.__....~~ / )2{/ ......... -....... -. -. -.-.... -. - - - - - - -. - - - - - -.. - - - - - -........... - -'. - - - -.... --....... -.... -............ --....... -' - -..--...........- - - -......./ -. -.... $11 ----.-------------------------------.---.--.---- $8 M04 J04 504 004 M05 J05 505 DOS M06 J06 506 006 M07 J07 Quarter Ending I 0 Fund -B- Policy I 20 .. .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs - Quarterly Comparison Analysis ($) .... Period Fund Policy Diff Nominal 9% Diff CPI + 4% Diff Ending Oct 2000 1,292 1,292 0 1,292 0 1,292 0 Dee 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 Dee 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 Dee 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 Dee 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 Sap 2004 8,942 8,418 525 10,462 -1,520 9,699 -756 Dee 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 Dee 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 Dee 2006 14,538 14,159 379 15,985 -1,447 14,478 59 Mar 2007 15,178 14,765 412 16,763 -1,585 15,302 -124 Jun 2007 16,290 15,827 464 17,561 -1 ,271 16,103 188 .... .... .. .. .. .. .. .. .. .. All dollar values are shown in thousands. .. .. .. .. 21 .... . Defined Benefit Plan & Trust for Employees of the City of Winter Springs . - 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 Dee 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 Dee 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 Dee 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 Dee 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 Dee 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 Jun 2007 4.48 4.27 0.21 2.18 2.30 2.39 2.09 Incept. 5.83 4.32 1.51 9.00 -3.17 6.77 -0.94 ... .. - . - - . .. .. .. Returns for periods exceeding one year are annualized. .. .. - . 22 - .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs 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. - . Alpha/BelaiR-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 RatlofTreynor 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. lit .. - 23 .. . Defined Benefit Plan & Trust for Employees of the City of Winter Springs Risk Measures .. - 3Y............ ::::::: Foocf: }}:p:0I~: ::::::::::::::o.lf1:: :: ::. .r::::::::::::::.::::: . . .. ....... '.,... ... . . ... . .. . ....,...... . ..,........ . # of Negative Qtrs 3.00 3.00 0.00 # of Positive Qtrs 9.00 9.00 0.00 Batting Average 41.67 58.33 -16.66 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 5.44 5.10 0.34 Beta 1.04 1.00 0.04 Annualized Alpha -0.85 0.00 -0.85 R-Squarad 0.94 1.00 -0.06 Sharpe Ratio 1.12 1.33 -0.21 Traynor Ratio 5.86 6.77 -0.91 Tracking Error 1.31 0.00 1.31 Information Ratio -0.52 - - - - - - - . .$.Yi....................... .. .. ::/:::Fund:: :: : :: : : POliCY.: ::::::::::::t~i(f :. :::.r.:::::::::::::::::::::: ... . .. . ..,. . # 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 7.47 8.60 -1.13 Beta 0.82 1.00 -0.18 Annualized Alpha 0.54 0.00 0.54 R-Squarad 0.90 1.00 -0.10 Sharpe Ratio 0.47 0.41 0.06 Treynor Ratio 4.29 3.55 0.74 Tracking Error 2.78 0.00 2.78 Information Ratio -0.01 - .. .. .. .. - .. - :~::vr.:::::::::::::::::.............. # of Negative Qtrs # of Positive Qtrs Batting Average Worst Qtr Best Qtr Range Worst 4 Qtrs Standard Deviation Beta Annualized Alpha R-Squarad Sharpe Ratio Traynor Ratio Tracking Error Information Ratio .:::: >~~~(f::: 5.00 15.00 45.00 -9.07 9.23 18.30 -0.30 6.81 0.81 0.39 0.89 0.90 7.58 2.73 -0.34 >~y.: ::::::<<D.if( 5.00 0.00 15.00 0.00 55.00 -10.00 -11.13 2.06 11.64 -2.41 22.77 -4.47 3.43 -3.73 7.94 -1.13 1.00 -0.19 0.00 '0.39 1.00 -0.11 0.89 0.01 7.07 0.51 0.00 2.73 :1ncepf:: ::::::::::::::::: . . . . ::::: ::F.urnf :::::}&.QfiCY.: :::::::oiff:: .... .. . . . . # of Negative Qtrs 8.00 8.66 -0.66 # of Positive Qtrs 18.66 18.00 0.66 Batting Average 54.99 45.01 9.98 WorstQtr -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 7.90 9.26 -1.36 Beta 0.79 1.00 -0.21 Annualized Alpha 1.70 0.00 1.70 R-5quared 0.87 1.00 -0.13 Sharpe Ratio 0.37 0.15 0.22 Traynor Ratio 3.70 1.41 2.29 Tracking Error 3.44 0.00 3.44 Information Ratio 0.44 24 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Return vs Risk through June 30,2007 - - - 11.00% - - 10.00% .. 9.00% .. A 8.00% - n n u .. a I 7.00% i z .. e d 6.00% R .. e t u - r 5.00% n - 4.00% - 3.00% - .. 2.00% 0 u. OYo .. - - * Int'l * * LB Agg. Fund * 3 Mo TBiII * S&P 500 I I I 0 5.00% 10.00% Risk (Annualized Std Dev) I-t- POliCY' 15.00% 20.00% 25 - - - - - .. - - - - . . - - . - .. . .. Defined Benefit Plan & Trust for Employees of the City of Winter Springs Return vs Risk through June 30, 2007 3 Years 5 Years 30.00% 25.00% 25.00% * Int'I 20.00% * 20.00% Int'I R R 15.00% e e t 15.00% t u u r * r 10.00% n 10.00% * n *i s Fund s f1,Jnd , 5.00% I * I 5.00% * I * 3 Mo TBiI'-B Agg~ LB Agg~ 0.00% *3 Mo TBill 1.00% 3.00% 5.00% 7.00% 9.00% 11.00% O.OOo~.OO% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 5.00% 10.00% 15.00% 20.00% Risk (Annualized Std Dey) Risk (Annualized Std Dey) 6 Years Inception 11.00% 10.00% 9.00% * Int'l 8.00% R e 7.00% I t I u 6.00% r * * ~ n LB Agg. F nd s 5.00% I 4.00% 20.00% 15.00% R e t 10.00% u r n s *lnt'l 5.00% * nd * LB Agg. I sap 500 I * 3 Mo TBiII 0.000/6.00% 3.00% 3 Mo TBill * 2.000/6.00% 5.00% 10.00% 15~0~o50020.00% Risk (Annualized Std Dey) 5.00% 10.00% 15.00% 20.00% Risk (Annualized Std Dey) I-+- Policy I 26 - Defined Benefit Plan & Trust for Employees of the - City of Winter Springs .. Policy: 10/31/2000-09/30/2003 65.00 S&P 500 30.00 Lehman Aggregate Bond 5.00 MSCI EAFE .. I % I /2003-06/30/2007 60.00 S&P 500 30.00 Lehman Aggregate Bond 10.00 MSCI EAFE .. .. First Objective: 10/31/2000-06/30/2007 Annual Return of 9.00% Second Objective: 10/31/2000-06/30/2007 100.00 US Consumer Price Index + 4.00 annual adder .. Universe Data: 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 10/01/2003-06/30/2007 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 & Trustfor Employees of the City of Winter Springs Suntrust Trusco Capital Mgmt. From 04-01-07 To 06-30-07 WITHDRAWALS 10 04-02-07 04-02-07 Cash Benefit payments 10 04-03-07 04-03-07 Cash Benefit payment 10 05-01-07 05-01-07 Cash Benefit payments 10 05-03-07 05-03-07 Cash Benefit payment 10 06-01-07 06-01-07 Cash Benefit payments 10 06-05-07 06-05-07 Cash Benefit payments 10 06-18-07 06-18-07 Cash Participant lump sum distribution .. .. .. Tran Trade Code Date Settle Date - CONTRIBUTIONS Ii 04-09-07 04-09-07 EE Ii 04-09-07 04-09-07 ER Ii 04-23-07 04-23-07 EE Ii 04-23-07 04-23-07 ER Ii 05-07-07 05-07-07 EE Ii 05-07-07 05-07-07 ER Ii 05-21-07 05-21-07 EE Ii 05-21-07 05-21-07 ER Ii 06-04-07 06-04-07 EE Ii 06-04-07 06-04-07 ER Ii 06-20-07 06-20-07 EE Ii 06-20-07 06-20-07 ER Ii 06-29-07 06-29-07 EE Ii 06-29-07 06-29-07 ER .. .. .. .. .. .. .. .. .. .. .. EXPENSE ACCOUNTS - .. - Security Cash Cash Cash Cash Cash Cash Cash Cash Cash Cash Cash Cash Cash Cash Amount Quantity 13,217.49 55,072.90 13,015.56 54,231.69 13,502.17 56,258.98 14,679.54 61,164.46 13,559.11 56,4%.13 13,269.21 55,288.31 13,229.56 55,123.24 488,108.35 15,382.44 835.65 16,218.09 1,500.35 17,718.44 5,795.73 1,111.20 58,561.90 0.00 Broker Code Commission - - Bogdahn Consulting, LLC. CONTRIBUTIONS/WITHDRA W ALS DB Plan & Trust for Employees of the City of Winter Springs Suntrust Trusco Capital Mgmt. From 04-01-07 To 06-30-07 - - Quantity Broker Code COmmUsnon Tran Trade Code Date Settle Date Security Amount - ..... AFTER FEE PERFORMANCE EXPENSE ACCOUNTS dp 04-06-07 04-06-07 Administration Fee dp 04-06-07 04-06-07 Administration Fee dp 04-06-07 04-06-07 Administration Fee dp 05-10-07 05-10-07 Administration Fee Quarterly management fee to SunTrost thro 3/31107 -144.19 -284.46 -686.12 24,574.90 23,460.13 - PORTFOUO NET TOTAL 406,086.32 - EXPENSE ACCOUNTS PAID BY CLIENT 0.00 - AFTER FEE PERFORMANCE EXPENSE ACCOUNTS PAID BY CLIENT 0.00 - GRAND TOTAL 406,086.32 - - - - - - - 2 - - - - Bogdahn Consulting, LLC. PORTFOLIO APPRAISAL DB Plan & Trust for Employees of the City of Winter Springs - Sun trust Trusco Capital Mgmt. June 30, 2007 - (Excluding Reinvested D1Vs.) Unit Total Market Pet. Quantity Security Cost Cost Price Value GainlLoss Assets DOMESTIC EQUITIES - Mutual Funds Large Cap 221,202.000 STI High Grade Relative 11.60 2,566,290.20 17.47 3,864,841.34 1,298,551.14 23.7 Value Fd .. 56,475.000 Sun Trust High-Grade 51.35 2,900,041.39 67.88 3,833,523.00 933,481.61 23.5 Equity/Growth 5,466,331.59 7,698,364.34 2,232,032.75 47.3 .. Mid Cap 32,132.000 Mid Cap Equity Fundi 28.07 901,870.81 40.05 1,286,983.00 385,112.19 7.9 was STI Ud. Cap. Fd. - Small Cap 7,890.705 STI Classic Fd-Sm Cap 18.96 149,603.87 22.61 178,408.84 28,804.97 1.1 Growth Stock 17.888.402 STI Classic Fd-Sm Cap 16.79 300,311.17 18.55 331,829.86 31,518.68 2.0 Value Equity - 449,915.04 510,238.70 60,323.66 3.1 6,818,117.44 9,495,586.04 2,677,468.60 58.3 6,818,117.44 9,495,586.04 2,677,468.60 58.3 .. INTERNATIONAL EQUITIES Global Funds Foreign .. 91,816.662 STI Int'l Index Equity 10.93 1,003,341.02 19.90 1,827,151.57 823,810.55 11.2 Fund T shares 1,003,341.02 1,827,151.57 823,810.55 11.2 1,003,341.02 1,827,151.57 823,810.55 11.2 .. FIXED INCOME Bond Funds Corporate Bond Fund 132,895.000 Sun Trust High-Grade 31.22 4,148,787.61 34.44 4,577,169.59 428,381.98 28.1 - Bond 4,148,787.61 4,577,169.59 428,381.98 28.1 4,148,787.61 4,577,169.59 428,381.98 28.1 - CASH & EQUlV. Money Markets Cash & Equiv. 390,536 Suntrust Retirement 1.00 390,536.49 1.00 390,536.49 0.00 2.4 .. Reserve Fund 390,536.49 390,536.49 0.00 2.4 390,536.49 390,536.49 0.00 2.4 - TOTAL PORTFOLIO 12,360,782.56 16,290,443.69 3,929,661.13 100.0 - - -