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Home My WebLink About2008 10 28 Bogdahn Report - 3rd Quarter 2008Date: October 28, 2008 THE ATTACHED QUARTERLY REPORT WAS HANDED OUT UNDER REGULAR 601 BY BOGDAHN CONSULTING. Defined Benefit Plan & Trust for Employees of The City of Winter Springs 3rd Quarter 2008 ~~ 1k~'~Kf . ~ C7 U L] ;~ I-I N ~: R C7 [J P. C C7 ;~1 THE BOGDAHN GROUP sifraplifyzstg- your ifauestinent ~r~id fidxrci~r~+ tlecisQrxs Investment Market Summary 3rd Quarter 2008 Crisis of Confidence The events that are unfolding in the financial sector continue to generate a high level of uncertainty in the global marketplace. Despite the headline focus on financial companies and their underlying securities (Lehman, AIG, etc.), portfolio losses are widespread across most economic sectors and asset classes. Regardless of the ultimate outcome, September 2008 will certainly take its place in history with other periods of severe market dislocation where fear and volatility trump any consideration of the underlying current or future intrinsic value of a company or asset. The events of the Third Quarter resulted in the failure and/or restructuring of several iconic names in the investment industry. The volatility and uncertainty created by these headline events has caused governments and monetary authorities around the world to step in with a variety of programs and funding solutions to address what can only be categorized as a complete shutdown of the credit markets as banks are increasingly uneasy about lending to one another. These collective efforts have resulted in the largest global policy response on record. While it is too early to evaluate the details of many of these programs and what the ultimate long-term effects on the global marketplace will be, there appears to be a clear commitment to do whatever is necessary to return the world's financial markets to "normal." U.S. equities experienced a dramatic and sharp reversal of sector performance leadership from the June quarter. The S&P 500 posted double digit losses in five of the ten economic sectors of the index, and was particularly hurt by previous market leadership groups as the Energy (-24.7%), Materials (-22.5%) and Utilities (-18.0%) sectors suffered enormously. Despite grabbing much of the headline focus during the quarter, the Financials sector actually posted a positive result of +0.8%. The only other sectors that managed positive performance during the quarter were Health Care (+0.5%), and Consumer Staples (+4.8%). These two sectors are traditionally viewed as "defensive" equity plays and received favorable attention in the quarter's market disruption. Not surprisingly, results were negative across the capitalization spectrum for domestic equity. In the board market area the Russell 3000 returned -8.7%, while the S & P 500, a proxy for large cap issues, posted a return of -8.4%. Value stocks posted stronger results at all capitalization levels relative to growth with an average performance spread between the styles of more than 8%. At the composite level, the broad market Russell 3000 Value Index fell by -5.3% and the Russell 3000 Growth Index posted a loss of -11.9%. • Performance in the international equity markets was dominated by prospects for declining global economic growth in the third quarter, as well as, the impact of a worldwide credit crisis. As a result, the MSCI-EAFE Page 2 of 39 index declined sharply in both U.S. dollars (-20.5%) and local currency (-13.0%). After years of positive contribution to diversified portfolio returns, the index now stands at a disappointing -28.9% for the year in U.S. dollars. The "decoupling" of the world's markets from the U.S. slowdown and the "containment" of the sub-prime crisis are now merely distant memories in investor's minds. As the global markets came to grips with the developing crisis, lack of investor trust has become prominent across borders. Much like the U.S. market bailout headlines, overburdened financial institutions in many European countries have resulted in the rescues of banks Dexia and Fortis as well as the German lender Hypo Real Estate. In addition to the effects of the global credit crisis, the significant decline and negative sentiment for commodities exacerbated losses in emerging markets. The MSCI Emerging Market Index returned -26.9% in US dollars and -20.8% in local currency. For the year, the Emerging Market Index has posted a return of -35.4% in U.S. dollars. As is evidenced by the differences in U.S. dollar versus local currency returns, the dollar managed to strengthen during the quarter. This U.S. currency strength dilutes the performance of un-hedged international investments resulting in additional portfolio losses. Prospects for changes in the relationship between interest rates in the U.S. and Europe led to further speculation that the U.S. currency may have bottomed following a six year decline. Domestic Fixed Income markets, which are clearly at the epicenter of the current crisis, continue to bear the brunt of the massive de-leveraging that is occurring in the global markets. Despite the mild -0.5% return posted by the Lehman Aggregate Index, high quality domestic bond investments, other than investment in U.S. Treasuries, provided little opportunity to add value. The quarter's massive flight to quality was notable in the dramatic underperformance of corporate bonds for the quarter with the Lehman Credit Index posting a decline of 6.5% vs. a gain of 1.9% for the Lehman Treasury Index. U.S. Agencies, having recently received a full faith and credit government guarantee, underperformed Treasuries by a much smaller 0.8% for the quarter as the Lehman Agency index returned +1.1 %. Although inflation-protected bonds are directly linked U.S. Treasury issues, sharply reduced inflation expectations and forecasts for slower economic growth hurt the performance of inflation linked bonds (-3.5%). Structured products such as asset-back-securities (ABS: -3.7%) and commercial- mortgage-backed-securities (CMBS: -5.8%) also underperformed Treasuries on aduration-equivalent basis. During the quarter, concerns over "counterparty risk" became elevated. Asa result, risk aversion remains high, global in scope and carries major liquidity implications. The lack of confidence in the global banking system's willingness to lend is best depicted by Libor spreads, which have expanded to historically wide levels. ~~ $C}GDAHN `' GRaCTP Investment Market Summary 3rd Quarter 2008 Anatomy of a Market Crisis It may appear at first glance that this cycle is identical to those of the past; however, a brief review of the composition of the market over the last decade tells us that although the game may be the same, the rules and the players have most definitely changed this time around. The massive use of leverage by hedge funds and financial institutions during the last several years has been unprecedented in both size and scope, and will clearly define this cycle as markedly different than anything ever before witnessed in the global markets. Over the course of the last seven years, domestic debt levels in the U.S. have risen by a staggering $21 trillion due to a powerful combination of an abnormally long period of low interest rates, a breakdown of regulatory oversight, overly complacent lenders and borrowers, and the mass creation of loosely regulated derivative instruments by financial institutions. As the markets for these exotic derivative contracts have ballooned to the hundreds of trillions of dollars in recent years, institutional investors along with large financial institutions have engaged in the practice of using massive leverage to concentrate their investment bets in select segments of the global markets. This activity has caused investors and institutions to become entangled in a complex web of leverage, debt and counterparty risk without the underlying assets to support the hazardous structures that have been created. These events have combined to create the classic signs of mania and speculation which has led to the largest credit overshoot on record in the U.S. and developed countries worldwide. We are currently witnessing the violent unwinding of this speculative credit cycle as financial markets around the globe are swept into a massive attempt among market participants to deleverage their investment portfolios by selling assets in order reduce outstanding debt. This has impacted all markets and asset classes as leveraged investment strategies that relied heavily on concentrated bets are now being liquidated swiftly and chaotically. Over the recent past, we have observed markets and structures, which took many years to create, essentially collapse upon themselves in a matter of days or weeks. Despite the "hour-by-hour" and "blow-by-blow" coverage of current market events, the structural unwinding of credit bubbles has historically been a gradual, multi-year workout, with governments and regulatory agencies using the many tools at their disposal to ensure an orderly deleveraging process. It is important to remember that the unfortunate consequence of any deleveraging process, regardless of policy initiatives utilized to cushion the blow, is that asset prices must deflate across the board. Unfortunately, this corrective process is agnostic to asset class, market sector or individual security. As a result, assets across all markets will be exposed to Page 3 of 39 this unwinding process, and investors of all sizes and risk tolerances will be touched to some extent. Although it is difficult at such an early stage in the cycle to understand how this extraordinary financial crisis will ultimately be resolved, history tells us that the markets will stabilize in time. The history of speculation and excess in the financial markets dates back centuries, providing countless examples of bubbles that ultimately burst, booms which end in bust, and investor manias that collapse upon themselves. Following more than a decade of credit excesses both in the U.S. and abroad, the global financial system has now fallen victim to the classic unwinding of a speculative debt bubble, and only in hindsight will we know the ultimate damage that will be sustained throughout this process. However, the most important lesson to be learned from this period, as well as from the many others scattered throughout time, is that history rarely repeats itself and predicting the outcome of any financial crisis is a futile exercise. The unfortunate reality of extremes such as those we are currently witnessing is that every market cycle is different in its nature and characteristics, and attempting to forecast when or how the cycle will reverse has always been an unproductive and unfulfilling endeavor for investors. While it is fortunate that our institutional client base has managed to avoid a majority of the troubled areas of the market that have experienced the greatest magnitude of declines, no portfolio can be truly isolated from current events. However, wise investment policy decisions, proper risk controls, and diversification continue to be the best way to mitigate portfolio impact. Therefore, as the pundits and strategists engage in heated debates over the timing of market bottoms while trying to predict the madness of crowds, we will simply maintain our focus on guiding our clients through this extraordinary time with sound investment policy controls, heightened diligence over investment managers, a disciplined approach to asset allocation decisions, and the maintenance of a long term perspective of the capital markets. Our primary goal as fiduciaries is to ensure that our clients maintain a disciplined, long term approach to investing, and avoid the perils inherent in short-term decision making which almost always yields a negative outcome. ~~ $C}GDAHN `' GRaCTP The Market Environment Asset Class Performance Period Ended: September 30, 2008 Year-to-Date Market Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russel 13000 Russel 11000 Russel 12000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill -35.0% -30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% Five Year Annualized Performance MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russell 3000 Russell 1000 Russell 2000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Source: MSCI Capital Markets, Russell Co., HFR, Lehman, & Bogdahn Consulting, LLC. Page ~ of 39 MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russel 13000 Russell 1000 Russel 12000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill 40.0% MSCI EAFE MSCI Emerg. Mkts. S&P 500 Russel 13000 Russel 11000 Russel 12000 Lehman US Agg. Lehman US Gov. Lehman MBS Fixed Lehman US Credit 3mos. T-Bill 0.0% ~a.si 3.0% 6.0% 9.0% 12.0% 15.0% ""~ T'hfl; ~ r B-QGDAHN ~` GROUP -30.0% -20.0% -10.0% 0.0% 10.0% Quarter Performance Ten Year Annualized Performance The Market Environment Asset Class Performance Period Ended: September 30, 2008 S&P 500 Sector Performance as of 9/30/2008 ENERGY MATERIALS INDUSTRIALS CONSUMER DISCR CONSUMERSTAPLES HEALTH CARE FINANCIALS INFORMATION TECH TELECOM SVC UTILITIES Page 5 of 39 Source: Thompson Financial -24.7% -14.4% -22.5% -21.4% -8.6% -24.7% -0.7% -22.4% 4.8% 0.7% 0.5% -12.2% 0.8% -39.3% -11.9% -23.4% -14.8% -33.1 % ^ QTR -18.0% ^ 1YR -14.3% ~~ B4GDAHN ~ GROUP The Market Environment Asset Class Performance Period Ended: September 30, 2008 Russell All Cap Style Performance 10 5 0 -5 -10 -15 -20 -25 -30 1 1 _1 _1 _2 Source: Frank Russell Co. Page 6 of 39 7.3 5.7 5.9 4.0 3.8 0.2 0.3 0.2 0.9 -5.3 -8.7 -11.9 -19.9 -18.8 -17.8 -20.6.21.5 -22.7 ^3000 Growth ~30001ndex ^3000 Value Qtr YTD 1yr Syr Syr 10yr Small Cap Style Performance 10.1 8.2 9.5 7.8 6.6 5.0 4.7 1.5 1.8 2.0 -1.1 -5.4 -7.0 -10.4 -12.3 ^2000 Growth ®2000 Index ^2000 Value -15.3 -14.5 -17.1 Qtr YTD 1 yr 3yr Syr 10yr ~~ B4GDAHN ~ GROUP The Market Environment Asset Class Performance Period Ended: September 30, 2008 Growth vs. Value Russell 1000 Excess Return Rolling 12 Month Periods ,~ ~,o Style is In-Favor 20.0% 10.0% 0.0 -10.0 -20.0 Style is Out-of-Favor -Value -Growth -30.0 ~° a° ~^ e`~ ~`~ a°` a`' e6 e~ o~ a° a° a^ a`~ a`~ as a`' a6 a~ a$ a° o° o^ o`~ o`~ o°` o`' 06 0~ o`~ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 TreasuryYield Curve 7 6 5 4 3 2 1 0 Page 7 of 39 -^-12/31 /2007 6/30/2008 ~ 9/30/2008 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr Source: Frank Russell Co. & US Department of Treasury ~~ B4GDAHN ~ GROUP The Market Environment Historical Bear Markets Period Ended: September 30, 2008 Comparison of Strategies Through Historical Bear Markets as Defined by the S&P 500 Hold and Buy - - • ~ ~ ~ ~ ~ More* = • • (Recovered In) • - The Great Depression 34 months Lost 76% 150 months 42 months Gained 74% (1928-1935) World War I I 31 months Lost 30% 9 months 6 months Gained 61 (1939-1946) Oil Crisis 21 months Lost 44% 21 months 7 months Gained 38% (1972-1976) Crash of 1987 3 months Lost 30% 18 months 7 months Gained 23% (1987) Gulf War Crisis 4 months Lost 15% 5 months 2 months Gained 33% (1990-1991) Technology Bubble 25 months Lost 45% 49 months 16 months Gained 24% (2000-2002) Added Investment of Equal Amount Page 8 of 39 Source: Ibbotson Associates Yearbook & Zephyr Assoiciates ~~ B4GDAHN ~ GROUP Investment Market Summary 3rd Quarter 2008 Portfolio Attribution: (Reference pages: 15 and 23 of the Bogdahn Consulting LLC September 2008 Report) The investment program, despite being broadly diversified by asset type and investment manager, was subject to the well publicized broad market sell off. Results were negative with the September quarter experiencing the largest quarterly, absolute decline for the fiscal year. Aggregate investments finished below the Total Plan Policy Benchmark net of manager fees (-6.59% vs. -5.08%). Despite benchmark underperformance peer group ranking was favorable finishing in the top (24t") percentile as the median return for the peer group was (-8.04%). Fiscal year results were reflective of the sustained period of poor equity markets and troubled fixed income markets with the portfolio declining (-16.82%) in aggregate; Policy Benchmark performance for the period was (-12.11%); this resulted in the program slipping to the (72nd) percentile; the median peer group return was (-14.55%). Total program results faired better against Policy Allocation Targets which include the allocation to foreign equity (-30.13%: MSCI EAFE) which under performed domestic stocks (-21.98%: S & P 500) by a considerable margin over the last twelve months. Heavily influenced by four successive quarters of negative equity returns, the rolling three year return is (0.48%) vs. the Policy return of (2.54%); the rolling five year return is (4.80%) vs. a benchmark return of (5.92%). Peer group rankings are (54t" percentile) and (28t" percentile) respectively. Plan diversification in Core Real Estate (American Realty) provided a positive return of (4.03%), and the allocation to U.S. Treasury Inflation Protection Securities (TIPS) provided positive return of (7.22%) for the fiscal year. What helped? • Under allocation to equity (56%) relative to the Policy (60%) and current target (65%). • Allocations to TIPS while negative for the quarter (-2.89%) were positive contributors for the fiscal year returning (7.72%). • Allocations to Real Estate, while slightly negative for the quarter (-0.30%) were positive for the fiscal year (4.03%). • In a reversal of last quarter, Lateef finished well with results above the benchmark for the quarter (-0.5% vs. -12.33% Russell 1000 Growth). Fiscal year results while negative preserved assets relative to the benchmark decline (-15.13% vs. -20.88% Russell 1000 Growth). The majority of out- performance came during the September quarter. Page 9 of 39 What hurt? • Program results were heavily influenced by the effects of a negative equity market exhibiting an unusually high level of volatility, and across the board selling. • International stocks suffered the greatest decline as a sector and as managed in the Portfolio. The Voyageur strategy (International Equity) struggled for the second successive quarter resulting in sub bench mark performance for the quarter (-24.28% vs. -20.5% MSCI EAFE) and a fiscal year decline of (-39.55% vs. -30.13% MSCI EAFE). • The decline in asset value managed by Snow Capital was more than the benchmark with stock selection continuing to hurt performance. Performance for the September quarter was (-9.16% vs. -5.26% Russell 3000 Value). Results for the fiscal year were (-28.16% vs. Russell 3000 Value 22.7%). • Declines in Galliard fixed income returns for the September quarter resulted in negative absolute returns for the fiscal year (-1.68% vs. 4.16% Lehman Intermediate Aggregate). Recommendations: • Manager- The Bogdahn Group recommends consideration of replacing Snow Capital Management for the all cap value assignment. • Portfolio- Consideration of rebalancing Policy targets ~~ $C}GDAHN `' GRaCTP Total Fund Portfolio September 30, 2008 June 30, 2008:516,283,010 September 30, 2008:515,.560„>82 Segments Market Value Allocation Segments Market Value Allocation ~5) ~%) ~5) ~%) ^ Domesric Equit~° 6,490,171 399 ^ Domestic Equity- 6966,828 44.8 ^ Intei7~~rional Egiun~ 2,224,548 13.7 ^ Inten~arional Egiutti 1,7=15,816 11.2 ® Domestic Fred Income 5,202,767 32.0 ^ Domestic Filed Income 5,164,406 33.2 ^ Real Estate 1,001,256 6.1 ^ Real Estate 988,399 6.4 ^ Cash Equi~~alent 1,364.,267 8.4 ^ Cash Egni~~•alent 695,134 4.5 Page ll of 39 ~~ $C}GDAHN GRaCTP Total Fund Portfolio September 30, 2008 June 30, 2008: $16,283,010 September 30, 2008: $1,560,582 Mxna~er Marhet Value Allocation Manx;er Marhet Value Allocation ^ Galliard Core Filed Portfolio x,271,670 26.2 ^Galliard Core Fi.~ed Portfolio ~2~2,77=t 27.3 ^ Lateef Asset MgmtEgiut<~ 3,907,00 2~.0 ^Lateef Asset Mgmt.Egnitc~ 3,999,380 25.7 ^ Sno~~~ Capital Mgmt. Equity- 3,658,666 22.5 ^ Snotia~ Capital Mgmt. Equity 3,423,40 22.0 ^ Voti~ageur Asset Mgmt. Intennational 2,224,548 13.7 ^ Voy°ageur Asset Mgmt. International 1,745,816 11.2 ^ Galliard TIPS 1A12,994 6.2 ^Galliard TIPS 1,006,091 6.5 ^ American Stable Value Fund REIT 1,001,256 6.1 ^ American Stable Value Fnnd REIT 988,399 6.4 ^ R&D Account Cash 206,871 1.3 ^ R&D Account Cash 154,683 1.0 +'~ Ts[E ~ BC}GDAHN Page 12 of 39 ~ GROUP Defined Benefit Plan & Trust for Employees of the City of Winter Springs Asset Allocation As of September 30, 2008 Asset Allocation Domestic Equity Portfolio 7,422,820 47.70 Sno~ti Capital Mgmt. Equit<- 3,423,440 22.00 Lateef Asset MgmtEquin- 3,999,380 25.70 International Equity Portfolio 1,745,816 11.22 Vo~-ageiu Asset Mgmt. International 1,745,M6 11.22 7,565,670 -46.-46 3,658,666 22.47 3,907,004 23.99 2,224,548 13.66 2,224,548 13.66 7,881,519 47.32 3,765,219 22.61 4,116,300 24.71 2,-431,259 1.60 2,431,259 14.60 Total Filed Portfolio 5,248,864 33.73 Galliard Core Filed Portfolio -12~2,77~ 27.27 Galliard TIPS 1,006,091 6.47 American Stable Valise Fund REIT 988,399 6.35 R&D Account Cash 154,683 0.99 Total Fund Portfolio 15,560,582 100.00 Historical Asset Allocation B~ Segment 5,284,665 32.46 4,271,670 26.23 1,012,994 6.22 1,001,256 6.15 206, 871 1.27 16,283,010 100.00 5,194,673 31.19 4203,401 25.24 991,271 5.95 1,000J56 6.01 147,272 0.88 16,655,479 100.00 100.0 80.0 .~. 0 ~ 60.0 0 ~ 40.0 ~ ~ 20.0 0.0 9/ 07 10/07 11/07 12/07 1/08 2/08 3/08 4/08 5/08 6/08 7/08 8/08 9/ 08 Domestic Equity ~ Intemational Equity ~ Domestic Filed Income ~ Real Estate ~ Cash Equi~~alent Page 13 of 39 ~~ $C}GDAHN ~' CROUP Defined Benefit Plan & Trust for Employees of the City of Winter Springs Financial Reconciliation As of September 30, 2008 Financial Reconciliation Quarter Domestic Equit} Portfolio 7565,670 229,200 - - -6,813 -851 30,731 -395,117 7,422,820 Lateef Asset Msmt.Equitti 3,907,004 114,600 - - - -414 11,735 -33,>45 3,999,380 Sno~~ Capital Mgmt. Equih~~ 3,658,666 114,600 - - -6,813 -437 18,996 -361.572 3.423,440 Internafional Equih~ Portfolio 2,224,548 74,423 - - -5,723 - - -547,433 1,745,816 Vovaseur Asset M~mt. International 2.224,>48 73,423 - - -5,723 - - -547.433 1,745,816 Total Fiaed Portfolio 5,284,665 128,300 - - -3,013 -651 5,859 -166,295 5,248,864 Galliard Core Fred Portfolio 4.271,670 105,400 - - -3,013 -527 107 -130.864 4.242.774 Galliard TIPS 1.012.994 22,900 - - - -124 5,752 -35,432 1,006,091 American Stable Valise Fnnd REIT 1,001,256 -7,263 - - -2,633 - 9,896 -12,857 988.399 R&D Accomit Cash 206,871 -424,660 471,029 -99,397 - -413 1,252 - 154.683 Total Fund Portfolio 16,283,010 - 471,029 -99,397 -18,182 -1,915 47,738 -1,121,701 15 560,582 Financial Reconciliation Fiscal Year to Date Domestic Equip- Portfolio Lateef Asset M,mtEgnih~ Sno~~ Capital Mmt. Egnih' Internafional Equip Portfolio Von aseur Asset Msmt. International Galliard Core Fiied Portfolio Galliard TIPS American Stable Valise Fluid REIT R&D Accomit Cash Total Fund Portfolio Page 1~ of 39 - 767,200 49,476 -7,124 -4Q962 -2,416 138,075 6,518,572 7,422,820 - 383.600 4,324,400 -190 -20,582 -1,064 80.168 -766.952 3999,380 - 383,600 4,331,276 -7,227 -20,380 -1,353 80_935 -1,343,411 3,-123,440 - 235,823 12,800 - -5,723 - - 1,502,916 1,745,816 - 235.823 2,594,700 - -5,723 - - -1.078,984 1J45,816 - 429,600 23,900 -164 -8,001 -1,921 26,024 4,779,426 5,248,864 - 352,800 3,978,500 -168 -7,685 -1,560 19,524 -98,638 4,242,774 - 70,,800 865,000 -37 -316 -361 20,816 44,189 1,006,091 - 730,576 250,000 -11.860 -8,387 - 42,672 -14,601 988.399 - -2,092,818 18,979,311 -16,747J68 -9,398 -1,136 26,492 1 154.683 16,985,582 70,381 35,338,683 -33,781,286 -72,470 -5,473 283,563 -3,258,397 15,560,582 ~~ $C}GDAHN ~' CROUP Defined Benefit Plan & Trust for the Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 'otal Fund Portfolio (Net) -6.59 (24) -16.82 (72) -16.82 (72) 0.48 (54) 3.03 (41) 2J1 N/A 11/01/2000 otalFmrlYolic~ -~.(~£ (9) -P_ II (?~) -L 11 (23) 2S4 (ld) ~!_~~ (11) 2.(13 N/A Difference -1.51 -4.71 -4.71 -2.06 -1.50 0.68 Iized-Asset Target Alloc Moderate Funds (MF) Median -8.04 -14.» -14.5 0.62 2.66 N/A 'otal Fiord Portfolio (Gross) -6.48 -16.46 -16.46 1.11 3.69 3.41 11/lll/211(1(1 otalFmxlYolic~ -5_iiS -L_11 -12.11 2_~-I -dS3 3_i i3 Difference -1.40 -=1.35 -4.35 -1.43 -0.84 1.38 'otal Fund Portfolio (Net) -6.59 (24) -16.82 (72) -16.82 (72) 0.-48 (54) 3.03 (41) 2.71 N/A 11/01/2000 ofilFundFolic~ Tur~etAllocation~ -7.31 (3-4) -1-a.63 (31) -1-L~~3 (~1) 3.17 (1!~) d.23 (Id) I.S9 N/A Difference 0.72 -2.19 -2.19 -1.69 -1.22 0.82 Sized-Asset Target Alloc Moderate Funds (MF) Median -8.04 -14.» -14.» 0.62 2.66 N/A 'otal Fund Portfolio (Gross) -6.48 -16.46 -16.46 1.11 3.69 3.41 11/lll/20011 otal Fund Fohc~ Target Allor~tion~ -7.31 -1-k-b3 -Id 63 2.17 -1?3 LB~~ Difference 0.83 -1.83 -1.83 -1.06 -0.56 1.52 Rehnns for periods seater than one tiear are tuinualized. Refirns are eipressed as percentages ~'~ THE, Total Fend Police T u yet Allocations = 50° o S&P~00, 1 ~°o MSCI EAFE, 30° o LB Int. Assre~ate, & ~° o NCREIF ~ ~~~t~i~~ Total Fetid Policy = 60°o S&P X00, and d0°o LB Int. Aam~esate ~ CROUP Page 15 of 39 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 Total Equity Portfolio Total Equity Polio Total Equity Portfolio Total Equity Polio TuetAllocations Domestic Equity Portfolio SAP 5(1(i Difference US Core/Lane Cap Equit< ~ SA+CF 1 Median Lateef Asset Mgmt.Equity Kua~ell 1 i 1i i0 Growth Index Difference US Gro~~th/L.arge Cap Equity (SA+CF) Median Snow Capital Mgmt. Equity Ru~aell 3(100 Value Index Difference US All Cap Value Equit~% (SA+CF) Median MSCI EAFE ternation<il Active Value Equit<~ (SA+CF) Median oyageur Asset Mgmt. International [SCI EAFE Active Value Equit< (SA+CF) Median -9.14 -25.61 -25.61 -0.77 -5.37 -2 L95 -21 ~i8 0.7 3 -0.77 -3.63 -3.63 -L~0 -9.14 -25.61 -25.61 -0.77 -Il) 58 23 ri1 23.1;1 i1 3 1.7-1 -2.00 -2.00 -1.14 --4.69 (7) -21.66 (55) -21.66 (55) 0.22 (65) -5.37 (391 -? P95 I Ei> 1 -? L95 16;1 1 ~ 2_' 16(i l 3.68 0.32 0.32 0.00 -9.(il -?1.31 -21.31 07U -0.50 (5) -15.13 (14) -15.13 (14) N/A -13.3; 14S 1 -20.88 (301 -20 85 (3(~ 1 u 04 16111 11.83 5.75 5.7~ N/A -12.14 -20.89 -20.89 0.59 -9.16 (50) -28.16 (90) -28.16 (90) N/A -> 26 (1-G 1 -22.70 (731 -22.70 (731 0.24 (69 ) -3.90 -5.46 -5.=16 N/A -9.24 -20.38 -20.38 1.14 -2-4.28 (95) -39.55 (100) -39.55 (100 -3.61 (~6) -3(1 30 179) -30.13 ~ 78) -3i) li 1751 1 ;;; 169 ~ -3.78 -9.42 -9.42 -x.19 -17.37 -27.60 -27.60 3.08 -24.28 (95) -39.55 (100) -39.55 (100) N/A -2(1.>0 179) -30.13 (78) -30.13 (781 1 >5 (69) -3.78 -9.42 -9.-12 N/A -17.37 -27.60 -27.60 3.08 3.05 1.93 01/01/2001 3.97 (x.76 -0.92 1.17 3.05 1.93 01/01/2001 t;<; 0 6~ -0.64 1.31 3.45 (69) 1.84 N/A 11/01/2000 3.1(1 15 ; ~ -0.81 N/A 0.3~ 2.65 4.1(1 N/A N/A -15.13 N/A 10/01/2007 3.53 ~ 71) -20.88 N/A N/A ~.7~ 3.89 N/A N/A -28.16 N/A 10/01/2007 4.14 (711 -22.70 N/A N/A -5.46 x.71 N/A 3.24 (98) 2x.11 N/A 11/01/2000 ?? (691 3.1-1 N/A -4.03 -1.03 8.06 N/A N/A -39.55 N/A 10/01/2007 727 (691 -3U.13 N/A N/A -9.-42 8.06 N/A Rehnns Ior periodti ,reatei than one year are tuinualized. ~ THE, Rehu7is ue eipres5ed as peic enta,es. R (~7"~ h~ Total Egnitj, Polic,~ 100°o S&P ~O0 ' lJ~l3ll~~1~1 Total Egnit_a Polio- Tarset Allocations= 80°o S&P X00, & 20°o MSCI EAFE ~ CROUP Page 17 of 39 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 'otal Fred Portfolio otal Filed Polio otal Fixed Portfolio ~tal Fred Polio T<u,et Allocations ifference '~alliard Core Fred Portfolio Q Intermediate A~rre~ate ifference S Intermediate Fred Income (SA+CF) Median ~~illllilr(l TIPS L TJ S. Trea~t~r1 LrtlationNotes_ 1-10 Year ifference S TIPS (SA+CF) Median merican Stable Value Fund REIT eal Estate Polio ifference S Private Real Estate-Open End (SA+CF) Median -2.99 0,64 0,64 2.94 2.86 .5.31 11/01/2000 -0.13 4.16 4.16 4 ; 3.9(( 3.74 -2.86 -3.52 -3.52 -1.41 -1.04 -0.43 -2.99 0.64 0.6.4 2.94 2.86 5.31 11/01/2000 -0.34 4.73 4.73 4.33 4.01 3.51 -2.45 -4.09 -4.09 -1.~9 -1.15 -0.50 -3.02 (85) -1.68 (9~) -1.68 (9~) N/A N/A -1.68 N/A 10/01/2007 -0.13 (171 4.16 (30( 4.16 (30> 4.44 (33) 3.79 (231 4.16 N/A -2.89 -5.84 -5.84 N/A N/A -5.84 -1.27 3.09 3.09 4.08 3.44 N/A -2.89 (18) 7.72 (20) 7.72 (20) N/A N/A 7.72 N/A 10/01/2007 -2!i(( (1~~ 759 (1>) 7.59 (13) 3.14 (23) 3.(ui (x7~ 7.89 N/A 0.01 -0.17 -0.17 N/A N/A -0.17 -3.40 6.31 6.31 4.42 5.18 N/A -0.30 (52) 4.03 (43) 4.03 (43) N/A N/A 4.03 N/A 10/01/2007 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -0.17 3.23 3.23 12.41 N/A N/A Rehnns for periods ,reatei than one year are tumualized. ~ THE, Rehu7is are eipressed as peicenta,es ~ ~~~D A ~hT Total Filed Polio 100° o LB Intermediate A,gresate ri 1 V Total Fried Police Tarset Allocatirnis = 83°o LB Intermediate Assresate & 15° o LB US Tips 1-1O years ~ !~ R~T 7~ Page 18 of 39 'l~ V Defined Benefit Plan & Trust for the Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 'otal Fiord Portfolio (Net) -16.82 (72) 13.03 (33) 7.89 (40) 11.07 (26) 12.18 (ll) 12.49 (81) otalFundYolic~ -12.11 (33) IL97 (-14> 9.5~ (16) 10.76 (30~ 11-~;> (IS) 1S_84 (16~ Difference -4.71 1.06 -L66 0.31 0.53 -6.35 homed-Asset Target Alloc Moderate Funds (MF) Median -14.53 11.55 7.25 9.54 9.40 13.67 'otal Fund Portfolio (Gross) -16.-46 13.92 8.62 11.82 13.05 13.34 utal Fund P~lic~ -12.11 1 L97 ) ~~ 10.7i> 1 L65 IS$4 Difference -4.35 1.95 -0.93 1.06 1.40 -5.50 'otal Fund Portfolio (Net) -16.82 (72) 13.03 (33) 7.89 (40) 11.07 (26) 12.18 (ll) 12.-19 (81) otal Fund Yolic~ Target Allocations -14.6 3 (51) 14.-10 (14) 9.19 (20) 10.76 (30) I L65 (15) 1 S.S4 (16 ) Difference -2.19 -1.37 -1.30 0.31 0.53 -6.35 homed-Asset Target Alloc Moderate Funds (IVIF j Median -14.55 11.55 7.23 9.34 9.40 15.67 'otal Fund Portfolio (Gross) -16.=46 13.92 8.62 11.82 13.05 13.34 otal Fund Yolic~ Target Allocations -14.63 14.46 9-19 IU.76 11.65 15.4 Difference -1.83 -0.48 -0.57 1.06 1.40 -5.50 Rehuns for periods seater than one tiear are tuinualized. Refirns are eipressed as percentages ~'~ THE, Total Fnnd Police T u yet Allocations = 50° o S&P~00, 1 ~°o MSCI EAFE, 30° o LB Int. Assre~ate, & ~° o NCREIF ~ ~~~t~i~~ Total Fetid Policy = 60°o S&P 500, and 40°o LB Int. Aam~esate ~ CROUP Page 19 of 39 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 l Equity Portfolio F.gnii~ Polio 'otal Equity Portfolio otal Equity Policy Tar yet Allocations )omestic Equity Portfolio l&-I' SOii )ifference iS Core/Lar~se Cah Egt~it< 1 SA+CF) McJian ~ateef Asset Mgmt.Equity :ussell IOOii Gro«rth Indel )ifference IS Gro~~~th/L,ar~e Cap Equit<~ (SA+CF) Median snow Capital Mgmt. Equity ;ussell 3000 Valve Indel )ifference 7S All Cap Valise Equii~~ (SA+CF) Median EAFE ternational Active Value Equitc~ (SA+CF) Median oyageur Asset Mgmt. International [S('I EAFE Active Value Equine (SA+CF) Medi<ui Rehnns for periods ;neater than one ti~ear are tuinualized. Refirns ue eipres5ed as peicenta,es. Total EgnitS, Polio- 100° o S&P 500 Total Egnit_a Police Tarset Allocations= 80°o S&P 500, & 20°o MSCI EAFE Page 21 of 39 -25.61 18.52 10.83 -21 ~i8 16.44 l2 51 -3.63 2.08 -1.68 -25.61 18.52 10.83 -23.61 18 ~ 1 1 L9~% -2.00 0.31 -1.16 -21.66 (55) 1'7.58 (36) 9.29 (74) -2E9S ~65i 16.44 157) 10.79 (49i 0.32 1.14 -1.50 -2131 16.60 10.78 -15.13 (14) N/A N/A -2li 88 (5O) 19, 35 i 55) 6 (i4 ~ 57 5.75 N/A N/A -20.89 19.91 6.73 -28.16 (90) N/A N/A -22.70 (73) 1373 (6'ii 14.55 (1l1 -5.46 N/A N/A -20.38 16.50 1 Q28 -39.55 (100 23.63 (59~ 19.84 (6'7) -3i) l3 (78i ?5.38 (-Ili 19.65 i69) -9.42 -1.75 0.19 -27.60 24.33 20.76 -39.55 (100) N/A N/A -30.13 (78i 25,38 (411 19.65 i69i -9.-12 N/A N/A -27.60 21.33 20.76 15.40 17.60 18.76 143ii 15.14 24.64 1.10 2.-16 -5.88 15.40 17.60 18.76 1430 15-14 24.64 1.10 2.=16 -5.88 13.'77 (60) 16.'77 (19) 17.81 (91) 12?5 (821 13.57 c6iii 24.40 (441 1.52 2.90 -6.59 14.44 14?8 23.99 N/A N/A N/A 11.60 (71) 7.51 (741 25.92 (271 N/A N/A N/A 14.01 1Q02 22.10 N/A N/A N/A lip 78 (57> 20.89 147i 2-1.89 (70i N/A N/A N/A 18.76 20.75 27.99 26.83 (50) 2-294 (77) 27.32 (71) 2t; ;? (581 22.52 i 79 i 2i~ 54 (7i, ) 0.51 0.42 0.78 26.81 25.40 29.77 N/A N/A N/A 26.32 (581 22.52 179) 26.54 ~76i N/A N/A N/A 26.81 25.40 29.77 ~~ $C}GDAHN ~~oU~ Defined Benefit Plan & Trust for Employees of the City of Winter Springs Comparative Performance As of September 30, 2008 l Fred Portfolio Filed Polio 'otal Fred Portfolio otal Filed Polio Tar«et Allocations lliard Core Fred Portfolio Intermediate A„rre,ate ference Intermediate Fred Income (SA+CF) Median lliard TIPS i i_ S Treasoi-~ Iiitlation Notes: 1-10 Year ference TIPS (SA+CF) Median ierican Stable Value Fiord REIT ~1 Estate Polio ference Private Real Estate-Open End (SA+CF) Median 0.6 X96 3.27 2.81 2.68 5.2~ 4.16 3.80 3.68 ~.4ii -3.52 -0.37 -0.28 0.01 -1.00 -0.16 0.6 x.96 3.27 2.81 2.68 5.2~ 4.7; ; ,; ;.;; x.80 ;.65 ~ 40 -4.09 -0.37 -0.28 0.01 -L00 -0.16 -1.68 (9~) N/A N/A N/A N/A N/A 4.16 ~0> ;; ~6~~ 3.54 161 3?~ (41) ,. 3'i (371 4.94 (641 -5.84 N/A N/A N/A N/A N/A 3.09 x.46 3.91 2.08 2.87 x.51 7.72 (20) N/A N/A N/A N/A N/A 7.8'i 11>) ~;? i33) '?8 1;;1 3.84 ('i;) >7> (!i;l 7?~ (7(.) -0.17 N/A N/A N/A N/A N/A 6.31 4.98 2.08 5.31 7.50 7.42 -4.03 (~3) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 3.23 18.34 17.92 19.86 12.0 9.60 Rehnns for periods ,reatei than one ti~ear are tumualized. ~ THE, Rehu7is are eipressed as percentages ~ ~~~D A ~hT Total Filed Polio 100° o LB Intermediate A,gresate ri 1 V Total Fried Police Tarset Allocatirnis = 8~°o LB Intermediate Assresate & 1~° o LB US Tips 1-1O years ~ !~ R~T 7~ Page 22 of 39 ~ ~ ~ ~ 'l~ V Winter Springs General Employees Total Fund Portfolio (Net) September 30, 2008 ' 1 1 1 Market Value Net Ca ~tal Market Value ~s of Transfer Contributions Distributions Fees Expenses Income Apprec/pDeprec. ~s of 6/3U/20U8 9/3U/20U8 Total Fiord Portfolio (Net) 16 283 - X71 -99 -13 -_ ~8 -1,122 15,561 ~' 1 1 1 1 D-lancet Value Net As of Transfer Contributions Distributions Fees 9/30/2007 Expenses Income Ca ~tal ~ ~ecpDe sec. PP p D-lancet Value As of 9/30/2008 Total Fund Portfolio (Net) 16.986 70 3.339 -33J81 -72 S 23~ -3,28 li.~61 ~' 1 ~' 1 11' ~' 1 $160.0 1 ~~ ~~ 0.00 °.~.. -10.00 a L 7 a -zo.oo -~0 00 $1 d5.0 $1300 }~~' ~ ~iis.o ~iuuu 1 Oct-2007 1 2 3 ~ 5 $SS 0 Quarter To Year Fears Years Years Pears Sep-2008 ^ Total Fund Portfolio (Net) -6.i9 (2~) -16.82 (721 -16.82 U2) -3.0~ (C 11 0 ~8 (3~1 3.03 (~1) ~ 80 (281 •TotalFundPolicp -~08 (9) -12-11 (23) -13.11 (23) -0.80 l23) 2.5~ (1~) ~~3 U1) 592 (12) $700 1"''00 9'0^_ 6 0~ 3;'06 9%03 n~fedian ~ -8.0~ -l~ i< -1._56 -2 ~9 Q62 2.6C 3.91 -Total FundPortfilio (Net) Total Fund Policy 1 1. ' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun-2008 D1ar-2008 Dec-2007 Sep-2007 Jun-2007 Mar-2007 Total Fund Portfolio (1Vet) -x.79 (l0U) -x.35 (32) -2.22 (8~) 1.89 (52) 4.~8 (11) 1.~6 (69) Total FundPohcj- -190 (77) -x_81 (39) -0.8~ (~O) 23ti (3~) 3.62 (321 1.03 (8~) f,Ised-_~seet Target allot n-Iodera te Fmrds InIF) n- Iulian -1.03 -~.~0 -0 8~ 1.93 3-07 1 71 +`~ TI [kr, BC}GDAHN ~ ~~a~P Page 23 of 39 Winter Springs General Employees Total Fund Portfolio (Net) September 30, 2008 300 o 00 over 1~.0 Perfirmvrce ~ 25 00 • ~ • . a ~ i~ ~~~~• • .. $~ ~ ^ ^ ^ ~ ~ ^ ^ z 5000 ~ ~ ~ ~ ,.o ~ 0 a ~ ~ ~ ~5 00 • a -~_o a iLrder a, ~ t~x~ o0 Yerfirmcurce i ~ ~ ~~ ~ ~, R -10.0 1 2:03 1'i~ 1"'0~ 1006 12i7 903 o -10 0 -4 0 2.0 8.0 14.0 30.0 F; Total Period 5-25 25-Dledian D-Iedian-75 75-95 TotalF~ndPolic~~(%) Count Count Count Count ^ Total FundYortfolio(Net) 30 2 UO°o) 16 (30°0) 2 (10°-0) 0 (0°~0) fU~-erPeiformanee fIInderYerformance ~Deo-2003 {r Sep-2005 •TotalFrmdYolicv 20 9 (~5~:01 3 (~0°0) 3 (15°0) 0 (0°~0) 7 5~ 00 350 0.00 i -2-ti0 0 a -3.00 -750 10.00 750 5-00 _50 L 0.00 0 -250 -5-00 a.oo 6 0o s oo to.o o tzoo t~ o0 3.00 =DSO ~_oo z5o 9 0o to5o Risk (StandardDe~~iation %) Risk (StandardDe~~ia tion % ) Return Standard Deviation Return Standard Deviation ^ Total Fund Yrntfolio (Net) 0.~8 7.57 ^ Total Funs Portfolio (Net) ~ 80 7.29 • Total Fund Policj= 25~ 7.01 • Total Fuud Policj- 5.93 Ci.6~ - l~dedian Q62 75Ci - l~.feelian 3.91 7.01 1 Tracking r Dlarlcet own D4arket lpha R Sharpe eta Downside Error Capture Capture Ra6o Risk Total Fund Portfolio (Nell 257 36-82 106.13 -2 03 -277 -O a-4 1-02 6.23 Total Fund Yolicp 0.00 100.00 100.00 0.00 N'_~ -0.19 1.00 53~ 1 r own Tracking n'Iarket biarket Alpha IR Sharpe Beta Downside Error Capture Captnre Ra6o Rislc Total Fund Portfolio (Net) 230 96 ~2 108.0 -128 -0 a-4 0.~5 L0~ 52C, Total Fund Yohcj 0.00 100.00 100.00 0.00 NA 0 ~3 1 00 ~ ~5 Page 2~ of 39 ~~ $C}GDAHN CROUP Winter Springs General Employees Domestic Equity Portfolio September 30, 2008 bfarlcet Value Net Ca ~tal ~'Iarlcet Value ~s of Transfers Contributions Distributions Fees E3penses Income YpprecpDeprec As of G/311/2008 9/311/21108 Domestic Equip-~ Portfolio 7,56G 229 - - -7 -1 31 -395 7,823 D-larket Value As of Transfers Contributions Distributions 9/30/2007 Domestic Equih° Portfolio 20.00 10.00 0.00 °.~.. -10.00 L 7 ~ = o.oo -30.00 -ao 00 767 q9 -7 Nees Expenses -ql -~ $1600 1 Oct-2007 1 2 3 4 5 Quarter To Year Years Years Pears Years Sep-2008 ^ DomesticEquitF Yrntfolio -q-69 (7) -2LC,6 US) = 166 (55) -q 02 {521 0.22 (C,5) 3q5 (691 5.99 (53) • S,~P500 -8.37 (39) -'_1-9R (651 -'_1.98 (65> -q C,8 l66) 022 (6C,) 3-10 (83) 5.17 (83) ndedian -9.01 -2131 -21 31 -3.95 0.70 q 10 6.03 $1820 $ L0O ~ioo~~ ~;so c. nJarfetPalue Capital Income ~pprec/ Deprec' ~s of 9/30/2008 138 (,519 7,823 V ~/ $600 1"''00 9 0^_ 6 Oq 3106 -Domestic Equit}- Portfolio 5~P 500 $116.3 ~;ic,i 3 x)'08 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending .Jun-2008 blar-2008 Dec-2007 Sep-2007 .Jun-2007 D-far-2007 Domestic Equih Portfolio -6.34 (99) -9.30 (39) -3.24 (59) 2.68 (27) 6.93 (24) 1.22 (48) S,~Y500 -?73 (83) -9 q5 (q71 -333 (66) '_03 (q6) 628 ~q9) 0.6q (73) T1ti Core'Luge Cap Egmh° (SA+CF) f,fedian -125 -2q8 -2.88 196 6 27 1.18 Page 25 of 39 ~~ $C}GDAHN CROUP Winter Springs General Employees Domestic Equity Portfolio September 30, 2008 300 c>~ z~ pe~h~~~,~~~~z 200 o loo a o.o ~~ -loo w ?00 LLider F' erfirmeuice 20.0 30.0 Sep-2003 °o = 0 0 -10.0 0.0 10.1 A S~PSUU (% ) f U~-erPeiformanee f IIn~erYerformance ~Deo-2003 10 00 e ~.~~ a L '~ -l.oo a -lo_oo 00 0 00 25.00 ^ ~ a ~ ^ ~ '~ So_oo ~ ^ ~ ~ ^ ^ ^ ~ 75 00 ~ • • • • ~ ~ ~ • ~ ~ • ~ ~ ~ ~ ~ ~ • a ~ l 00.00 ~ ~ ~~ 12 03 12 iii 12 05 1 "' ii6 1 207 9 03 Total Period 5-25 25-1\-Iedian Median-75 75-95 Count Count Count Count ^ Domestic EquityF'ortYolio 20 1 (5°0) 8 (~0°-0) 6 (30°-0) i (2i°o) • S&F'S00 20 0 (0°0l 0 l0°0) 1~ (70°0~ 6 (30°-~l 1100 12.00 9.00 ~ 6.00 L ~ 3.00 a o_oo o.o0 5 00 to 0o IS.oo zo_oo 25 00 0.0o S.oo lo_o 0 15.0o zo.oo z5 00 Risk (StandardDe~~iation %) Risk (Sta ndardDe~~iation % ) Keturn Stan dard Deviation Keturn Standard Deviation ^ Domestic EquiK Portfolio 0 22 9 96 ^ Domestic Equit<- Portfolio 5.99 10.52 • S&F'300 0.22 10.37 • S,YP500 3.17 10.5 - l~,fediui 0.70 10.57 - l~.feelian 6.03 10.61 1 Tracking r own Sharpe Downside 1\-Iarket D4arket Alpha IR Beta Error Capture Capture Ra6o Risk DomeatieEquin-F'ortfolio 56.57 173-09 80.63 13.19 023 0-17 0-63 277 SAP 500 0.00 100.00 100.00 0.00 N'_~ -0.20 1.00 9.00 1 r own Tracking Sharpe Downside 1\4arket biarket Alpha IR Beta Error Capture Captnre Ra6o Ride Domestic Equih Portfolio X3.83 1~C,S5 9.90 10.06 0.19 0.25 0.73 21 ~8 S~F' 500 0.00 100.00 100.00 0.00 N _A 0 2~ 1.00 7 33 Page 26 of 39 ~~ $C}GDAHN CROUP Winter Springs General Employees Lateef Asset Mgmt.Equity September 30, 2008 Dlarket Value Net Ca ~tal Market Value As of Transfers Contributions Distributions Fees Espenses Income Apprec/pDeprec ~s of 6/30/2008 9/30/2008 Lateef asset 1~Igmt Equip 3,907 11 ~ - - - - 12 -3~ 3,999 Marl.et Value As of Transfers Contributions Distributions 9/30/2007 Lateef =lsset f Igmt Equin° 20.00 10.00 0.00 e L al -20.00 -30.00 -~~.~~ - ;8q g32q ~~~~~ Fees Espenses -21 -1 $105.0 $100.0 1 Oct-2007 1 2 3 4 5 Quarter To Year Years Yews Years Years Sep-2008 ^Lateef~ssetl~IgmtEquit<- -0.30 (5) -15.13 Uq) -15.13 Uql N,:A N/.~ N%~ N-A •Russe111000via~~rthIndes -1233 (q3) -20.38 (50) -20-88 (50) -2.82 (SC,) O.Oq (601 2.82 (7U 3Jq (R1) ndedian -1°_ ~~ -20 89 ~0 39 -'36 059 3 39 532 $ 95.0 ~9().() J~14) $ 30-0 $75 0 D'Iarl.et Value Capital Income Apprec/ Deprec' ~s of 9/30/2008 80 -767 3.999 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending .Juu-2008 Mar-2008 Dec-2007 Sep-2007 .Juu-2007 Mar-2007 Lateef asset Mgmt.Equih -7.28 (99) -9.70 (35) 1.87 (23) N/>~ N/A N/~ Russe111000~rro~~thIn~es 1.25 (Sq) -10.18 (ql) -OJ7 (58) q21 (Ci6) 6.36 (q8) 1.19 (58) Ti5 Cro«rtlvLarge Cap Equih° (SA+CF) f,fedian l qq -10.76 -021 522 6.71 1.q8 Page 27 of 39 ~~ $C}GDAHN CROUP 9:'07 12:'07 3:'03 6 03 9%03 -Lateef~saetI~igmtEquitj Russe111000UrowthUi~le1 Winter Springs General Employees Snow Capital Mgmt. Equity September 30, 2008 ' 1 1 ~ 1V~Iarlcet ~"aloe 1V'Iarket Value Net Ca ~tal p .1s of Contributions Dishributions Fees Expenses Income ~s of G/30/21108 Transfers >~pprec/ Deprec 9/311/2008 Sno«, Capit<~1blgmt. Equi15- 3.C 59 115 - - -7 - 19 -3C2 3,~2; ~' 1 1 1 1 Marleet Value Market Value Net Ca ~tal p As of Transfers Contributions Distributions Fees Expenses Income ~ ~ec./ De sec. PP p ~s of 9/30/2007 9/30/2008 Sno1~-Capitall~Igmt. Equip- - 38~ x,331 -7 -20 -1 81 -1,33 3,23 ~ 1 1 ~ 1 $110.0 30.00 15.00 $1020 0.00 °.~.. L ~ -1,00 a X90 0 -30.00 ^ ^ -as 00 ~ ~ ~ o ~ ~so.o 1 Oct-2007 1 2 3 d 5 Quarter To Pear Years Years Years Years Sep-2008 ^ Sno~3 Capital nlguit Equitp -9 16 150) -=8.16 19T) -28.10 19T) N _A N _A N,'A N,_A •Russell~000Calueliidz~ -5.26 (Iq) -2?70 (731 -2?70 (731 -6?q (731 02q (69) qlq (71) 7.29 (C,1) $70.0 9:'07 12%07 3 08 6 08 9:'08 n-fedian -9.2q -2038 -2038 -3 q6 l lq 5.71 8.16 - Sno~c Capital I~1gmt. Equity Kusse113000 ~"aloe Lidea 1 1. ~' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending .Jun-2U08 Mar-2UU8 Dec-20U7 Sep-2UU7 .Jun-2007 Mar-2UU7 Sno«-Capital Mgmt Equip- -5.30 (93) -8.87 (61) -8.35 (93) N/a N/A N/>~ Russe113000CalueIn~es -5.17 (92) -8.55 (52) -591 (73) -0.75 (q0) q.69 (95) 1.26 (77) US.111 Cap ti-alue Equity (Sa+CE)1~Iecfian -0 13 -837 -~ 53 -1.59 657 230 T ~ $C)GDAHN Page 28 of 39 ~ CROUP Winter Springs General Employees International Equity Portfolio September 30, 2008 ' 1 1 ~ Dlarket Value 1\Jarket Value Net Ca ~tal p .1s of Contributions Distributions Fees Expenses Income ~s of 6/311/21108 Transfers Apprec./ Deprec. 9/311/2008 Intemational Equip-Portfolio _,___ 7q - - -6 - - Sq7 1,786 ~' 1 1 1 1 Marl.et Value Market Value As of Contributions Distributions Fees u Expenses Income ~ ~sof 9/30/2007 T~a sfers ~ iec. De sec. PP p 9/30/2008 International Equip- Portfolio - 236 13 - -6 - ~' 1 1 1 $ 200 0 su uu 15.00 0.00 ° ~ .. . -1500 a L 7 ~ -30.00 -a5.oo -6o no - 1,503 1,786 $150.0 `~ ~ 128 1 1136 $100.0 1 Oct-2007 1 2 3 ~ 5 Quarter To Lear Years Years Years Years Sep-2008 ^ IntemationalEquiKPortfolio -2q "'8 (951 3951 (100) -39.5; (100) -13.55 (100) -361 (9<) 32q (93) 6.91 (99) • 1~dSCIEaFE -20.50 (791 -30.13 (78) -30.13 (78) -6-q0 (C,7) 1-58 (691 727 (69) 10.16 U7) $500 1"''00 9'0^_ 6 Oq 3;'06 9103 1v~fedian -1737 -27.60 -2260 -5.03 3.08 8.06 1132 -Intemational Equity Portfolio bISCI E.~FE 1 1. ~' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending .Jun-2008 Mar-2008 Dec-2007 Sep-2007 .Jun-2007 Mar-2007 International Equip Portfolio -10.94 (100) -0.22 (2) -10.17 (100) -U.26 (83) 6.84 (54) 4.43 (36) 1~,ISCIEAFE -1.93 (ql) -3.82 (65) -1.71 (51) 223 (29) 6.67 (56) q.li (ql) Intemational ~lctiae ~ aloe Equip- (S~+CF) l~iedian -39 -3 Iq -1 60 1 23 6.91 3-87 ~ 'rIII-. BC}GDAHN Page 29 of 39 ~ GROUP Winter Springs General Employees International Equity Portfolio September 30, 2008 60 0 ovar o.oo P erfirmvrce 44.0 ~ R 2 1 (1() o a 'o z8 0 ' ~ ~ Sn oo ~ ~ ^ ~ ~ l,o a / L 7~ 1.~~~ Q' -4.0 O ~ , * . ~ ~ , R IInaer a o Yerfirmemce 100 00 i~ ~ R -20.0 12 U3 12 U4 12 U5 12 U6 1 2 U7 9 U8 ~ = 0 0 -4 0 12.0 28.0 44.0 60.0 Total Period 5-25 25-b-Iedian b-Iedian-75 75-95 biSCI EAFE (%) Count Count Count Count ^ InternationalEquinrYortfolio 20 0 (0°0) 0 (0°'0) 9 (4i~o) 11 (i5°o) fU~erPeiformanee fIInBerYerformance ~Deo-2003 {r Sep-2005 •6-fSCIE~FE 20 0 (0°0) 1 ~5°-0l 9 (45°0l 10 (50°0l 15 00 25 00 10 00 e _ .vv C L 0 0.00 a s_oo 20-00 Ii 00 C L 0 10.00 a 5-00 ^ 5.00 10.00 13.00 20.00 _3.00 5.00 10.00 1>.00 20.00 25.00 Risk (StandardDe~~iation %) Risk (Sta ndardDe~~iation % ) Return Standard Deviation Return Standard Deviation ^ International Eq uip- Portfolio -3.61 19.46 ^ International Equip- Portfolio 6.91 18.85 • f.iSCIE~~FE 158 16._'9 • niSCIE?,FE 1Q16 IC,-1C, - l~fesiur 3.08 1529 - bfediui 11.32 IS-54 1 r own Tracking Sharpe Downside 1\-larket 1\-Iarket Alpha IR Beta Error Capture Capture Ra6o Risk International Equity Portfolio 632 89.35 114-07 -5.02 -0-77 -036 1.06 14.70 bISCI EAFE 0.00 100.00 100.00 0.00 N'_~ -0.09 1.00 11.97 1 r own Tracking Sharpe Downside Market 1\4arket Alpha IR Beta Error Capture Capture Ra6o Risk InternatirnralEquih-Portfolio 5.12 95.81 112.88 -3.38 -0.54 031 1.06 11.69 bfSCI EAFE 0.00 100.00 100 00 0 00 NA 0 55 1.00 9 >9 Page 30 of 39 ~~ $C}GDAHN CROUP Winter Springs General Employees Voyageur Asset Mgmt. International September 30, 2008 ' 1 1 1 Dlarket Value Market Value Net Capital As of Transfers Contributions Distributions Fees Expenses Income Apprec/ Deprec As of 6/30/2008 9/30/2008 Z"oj-ageur assetl~Igmt. International 2?25 7~ - - -6 - - S~7 1,7~< ~' 1 1 1 1 Market Value Market ~"aloe As of Transfers Contributions Distributions Fees Expenses Income ~ iec./p~De sec. As of 9/30/2007 pp p 9/30/2008 ti-opageur lssetl~Igmt International - 2~6 ?,~9~ - -6 - - -1,07) 1,76 ~' 1 1 1 ~' 1 $110.0 30.00 15.00 0 UO ° ~ .. . -15.00 L 7 ~ -30.00 -a5 00 -60 00 $100.0 $ 90.0 X80.0 ~ ~0 0 1 Oct-2007 1 2 3 ~ 5 Quarter To Pear Pears Years Yews Years Sep-2(108 ^ ~-o~-ageur?ssetl~Igmt.Intemational -228 (95) -39~> X100) -3955 (100) N:A N,:~ N%~ N%A $600 • 1~dSCIEaFE -20.50 (79) -30.13 1781 -30.13 (78) -6.~0 (67) 1.58 (69) 727 (691 IO.IC, (77) 9.'07 13'07 3'08 6'03 9%08 - ~'oc ageur .ass et I~Ig mt. tirtemational n~fedian ~ -1737 -27.00 -27.60 -5.03 3.08 8.06 1132 I~ISCIE~FE 1 1. ' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending .Jun-2008 Mar-2008 Dec-2007 Sep-2007 .Jun-2007 Mar-2007 t"ocageur Asset Mgmt.International -10.94 (100) -0.22 (2) -10.17 (100) N/A N/A N/A 1~,ISCIEAFE -1.93 (~1) -8.83 (65) -1.71 (51) 2.23 (29) 6.67 (56) ~.li (~1) International ~lctiae ~ aloe Equih (S~+CF ) l~iedian -39 -8 1~ -1 60 1 23 6.91 3-87 ~ 'rIII-. BC}GDAHN ~ ~~a~P Page 31 of 39 Winter Springs General Employees Galliard Core Fixed Portfolio September 30, 2008 ' 1 1 1 Dlarket Value Net C'a ~tal Market Value As of Transfers Contributions Distributions Fees Expenses Income ~pprec/pDeprec, -1s of 6/30/2008 )/311 /2 110 8 alliard Core Fred Portfolio ~?7°_ 105 - - -3 -1 - -131 ~?~3 ~' 1 1 1 1 Marl.etYalue Net Ca ~tal p Marl.etYalue As of Contributions Distributions Fees Expenses Income As of 9/311/2007 Transfers ~ ~ec/ De sec. PP ~ p ~ 9/311/2008 Galliard Core Filed Portfolio - 353 3.979 - -8 -_ 20 -99 ~?~3 ~ 1 1 1 1 ~ 1 $106> 7.,0 5.00 2.50 ° ~ .. . 0.00 a L 7 ~ -zso _; ~~ _7 ,~ $105.0 `S 103.5 ~io2n ~iuus 1 Oct-2007 1 2 3 ~ 5 $qq 0 Quarter To Lear Tears Fears Years Years Sep-2008 ^ GalliariCoreFisedYortfolio -3.02 (851 -LC8 (95) -1 68 (95) N-~ NAB NiA Na • LB lirtennediate aggregate -0.13 (17) ~.1C, (30) ~.1C, (30) ~J~ (3~) ~.~~ (33) 3.89 (33) 3.79 (25) $_975 9!07 12%07 3 0 3 6 03 9%03 n~fedian ~ -127 3.09 3.09 X23 x.08 3S9 3a-i -Galliard Core FiledPortfilio LBbrtenneBate.~ggregate 1 1. ' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun-2008 D1ar-2008 Dec-2007 Sep-2007 Jun-2007 Mar-2007 Galliard Core Fixed Portfolio -U.61 (2U) 0.20 (96) 1.81 (93) N/~ N/ ~ N/~ LB hrtennediate aggregate -0.96 (~0) 235 (58) 2.39 (~6) '76 X52) -035 (8C,) 1.57 (70) US hrtennediate Fled hrcome (S.1+ CF) n.Iedian -1 07 2.63 2 83 2J8 -O li 1 C,1 ~ 'r1~1, BC}GDAHN ~ ~~a~P Page 33 of 39 Winter Springs General Employees Galliard TIPS September 30, 2008 ' 1 1 1 Market ~"aloe Market Value As of T~ ansfers Contributions Distributions Fees Expenses Income Apprec/pDeprec. ~s of 6/3U/2U08 9/30/2008 Galliard TIPS 1,013 23 - - ~' 1 1 1 1 D-Iarl.et Value ~s of Tr usfers Contributions Distributions 9/30/20117 - - C -35 1,006 Capital D'Iarket Value Fees Expenses Income ~s of Apprec/ Deprec. 9/30/2008 Galliard TII'S - 77 365 $1150 21 a-4 1.006 luuu 500 ~®®~ $1120 °.~.. O O? a L 7 a -Soo ~ I o5 ~~ -looo 1 Oct-2UU7 1 2 3 ~ 5 Quarter To Pear Years Years Pears Years Sep-2008 ^ Galliard TIPS -2.89 (131 7 7°_ (20) 7.72 (20) N'a Nib NiA N%A $100.0 •LBU_STreasui~'InllarionNotes~l-IOYeu -2.90 (19) 7.89 (15) 7.89 (IS) 6.60 (19) 5.1~ (351 x.83 (27) 5.00 (87) 9107 13'07 3'03 6.03 9103 -Galliard TIP S n-fedian -3.~0 631 6 31 5.C 2 ~ ~2 ~ 62 i 13 LB II S. Treasury- Liflation Notes- 1-10 I ear 1 1. ~' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun-2008 Mar-2008 Dec-2007 Sep-2007 Jun-2007 Mar-2007 Galliard TIPS O.U3 (23) 5.67 (25) 4.9~ (66) N/A N/~ N/A LBU_S-Treaaur~rInllationNotes-l-IOleu 0?3 X13) 5.70 (23) X38 X82) 3.68 (9~) -0?0 X12) 2.70 U1) US TIPS (S=1+CFjn.Iedian -0?7 5-~0 x.99 ~5~ -0 72 2.51 T ~ $C)GDAHN Page 3~ of 39 ~ CROUP Winter Springs General Employees American Stable Value Fund REIT September 30, 2008 ' 1 1 ~ n~Iarket Value Market Value ~ As of Contributions Distributions Fees Espenses Income p As of 6/30/2008 Transfers ~~~rec. Deprec. 9/30/2008 ~nericui Sta61e ti-alue Fund REIT 1.001 -7 - - -3 - 10 -13 938 ~' 1 1 1 1 Market Value n-Iarleet ~"aloe p~ As of Contributions Distributions Fees u Espenses Income ~s of 9/30/2007 T~ a sfers Apprec/ Deprec J/3U/2008 ~meiicuiStable~-alueFundREIT - 731 2~0 -12 -8 - ~3 -1~ 988 $120 20.00 15.00 10.00 00 L 7 ~ o.oo -i00 -10 00 $100.0 $ 75.0 ~so_o $°5 0 1 Oct-2007 1 2 3 ~ 5 Quarter To Pear Years Years Pears Years Sep-2008 ^ ?,meriean Stable ~; aloe Fund KEIT -030 (52) ~ 03 (~31 x.03 (~3) NA Ni9 N:A N- ~ $0.0 • Real EstatePolicv N.~ N?, N~-1 N%.~ N_A N'_~ N~ 9107 13'07 3'08 6'08 9:'08 - Amencvi Stable Val ue Fwid RE IT n~fedian ~ -0.17 323 3 ~3 9.65 12 ~1 NA NiA Real Estate Policy 1 1. ' 1 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun-2008 D-tar-2008 Dec-2007 Sep-2007 .Jun-2007 Mar-2007 American Stable ~"aloe Fund REIT L52 (13) 1.19 (61) 1.58 (71) N/A N/A N/~ Real EstatePoliej IJI (11) 1.71 X26) 1.71 (6~) Nib N~ N;A US Yiivata Real Estate-Open End (Sa+CF )1~Iedian OJT 1.28 1.9~ 3.67 x.60 x.09 +~ Tltt-, BC}GDAHN ~ ~~a~P Page 35 of 39 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Benchmark History As of September 30, 2008 Benchmark Police Total Fund Effective Date: Nov-2000 S&P 500 Indel 65.00 LB Aggregate liidel 30.00 MSCI EAFE x.00 Effective Date: Oct-20[13 SAP 500 Indel 60.00 LB Aggregate Indel 30.00 MSCI EAFE 10.00 Effective Date: Sep-2006 S&P 500 Index 60.00 LB Intei7nediate Aggregate 40.00 Page 36 of 39 ~~ $C}GDAHN ~' G~QUP Page 37 of 39 Defined Benefit Plan & Trust for Employees of the City of Winter Springs Benchmark History Target Allocations As of September 30, 2008 Benchmark Police Total Epuit~~ Asset Allocations Effecti~-e Date: No~~-20110 S&P 500 Indel 90.00 MSCI EAFE 10.00 Effecti~~e Date: Oct-2003 S&P 500 Indel 8.00 MSCI EAFE 1.00 Effecti~-e Date: Sep-2006 S&P X00 Indel 80.00 MSCI EAFE 20.00 Benchmark Polio- Total Fred Tar6et Allocations Effecti~-e Date: Noy--21100 LB Agb egate Index Effecti~-e Date: Sep-2006 LB Intermediate Aggregate Effecti~-e Date: Oct-2007 LB Intermediate Aggregate LB U.S. Treasmti~ Inflation Notes: 1-10 Year 100.00 100.00 8.00 15.00 ~~ $C}GDAHN ~' G~QUP Statistics Definitions Page 38 of 39 Statistics Description Retm7i -- Compounded rate of returi for the period. Standard Deviation -- A statistical measure of the range of a portfolio's perTormance, the yaiiability of a return around its average return over a specified time period. Sharpe Ratio -- Represents the excess rate of rettu7i over the risk free rehu7i divided by the standard deviation of the excess rehu7i. The result is the absolute rate of reh~rn per Milt of risk. The lilgher the value, the better the producf s historical risk-adjusted peiTornance. Alpha -- A measure of the difference bet,yeen a portfolio's actual rehu7~s and its expected peiTonnance, given its level of risk as measured b~ beta. It is a measure of the portfolio's historical performance not elplained b~ movements of the market, or a portfolio's non-systematic rettu7i. Beta -- A measure of the sensitivity of a portfolio to the movements in the market It is a measure of a portfolio's non-diversifiable or s~ stematic risk. R-Squared -- The percentage of a portfolio's peiTornance elplained by the behavior of the appropriate benclnnark. High R-Square means a higher correlation of the portfolio's peii'ormance to the appropriate benclnnark. Treynor Ratio -- Sinillar to Sharpe ratio but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of rettu7i over the risk free rate divided by the beta The result is the absolute rate of return per milt of risk. The higher the value, the better the producf s lilstoiical risk-adjusted performance. Downside Risk -- A measure similar to standard deviation, but focuses oiily on the negative movements of the rehu7i series. It is calculated by taking the standard deviation of the negative quarterly set of rett~rns. The higher the factor, the riskier the product. Tracking Error -- A measure of the standard deviation of a portfolio's pei~ornance relative to the peiTonnance of an appropriate market benclnnark. Information Ratio -- Measured by dividing the active rate of rehu7i by- the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Consistency -- The percentage of quarters tl~zt a product achieved a rate of rehzrn higher than that of its benclnnark. The higher the consistency figare, the more valve a manager has contributed to the producf s peiTonnance. Excess Reh~rn -- Aritlmnetic difference beriyeen the managers rett~rn and the risk-free rehu7i over a specified time period. Active Rettun -- Aritlmnetic difference between the managers rehu7i and the benclnnark rehn7i over a specified time period. Excess Risk -- A measure of the standard deviation of a portfolio's pei~ornance relative to the risk free rettu7i. p Market Capture -- The ratio of average portfolio rehu7i over the benclnnark during periods of positive benclnnark rehu7i. Higher valves indicate better product perTormance. own Market Captt~re -- The ratio of average portfolio rehu7i over the benclmnarh dining periods of negative benclnnark rettu7i. Lower valves indicate better product pei~ormance. Calculation based on monthh' periodicity°. ~~-. TFIE $C}GDAHN G~aU~