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Home My WebLink About2010 11 09 Regular 602 Bogdahn Consultant Group Report Ending September 30, 2010I LI Winter Springs General Employees General Plan and Trust 3rd Quarter 2010 --A THE BOGDAHN GROUP W W W, $ Q G D A H N {; R O U R C O M simplifying your investment raid fiduciary decisions 3rd Quarter 2010 Market Environment THF BOGDAHN GROUP The Market Environment Major Market Index Performance Period Ended: September 30, 2010 Portfolio Attribution (Reference pages 26 -29 of the Bogdahn Group September 2010 Report) ■ The Plan investments closed the fiscal year well above the actuarial required rate of return, and policy benchmarks. While supported by an exceptional period of high absolute returns , most notably in equities, the program's active managers provided additional value across all mandates exceeding benchmark results. ■ Fiscal year net results (10.92 %) put the Plan in the top quintile (23rd percentile) of peers. Attribution shows numerous positive active management elements affecting results. Overall equity performance exceeded policy for the quarter (14.37% vs. 12.67 %), and for the fiscal year (13.61% vs. 9.34 %). Combined domestic equity results were top (6th) percentile for the fiscal year, with foreign equity results finishing in the top (15th) percentile having achieved 798 basis points of out performance to the index. Active fixed income management continues to capture incremental value out performing bench marks for the quarter (2.76% vs. 2.07 %), and the fiscal year (9.27% vs. 7.52 %). ■ The most notable active manager contributions, again came from RBC where performance continues to exceeded already outsized benchmark returns impressively. Results for the quarter (19.39% vs. 16.53 %), and for the fiscal year (11.69% vs. 3.71 %). Foreign equity returns were a beneficiary of the weaker dollar during this investment period. ■ A sampling of peer data suggests that fund rankings have been heavily impacted by bond manager performance. Many active managers distinguished themselves capturing "once in a career opportunities" for value added management. Galliard performed admirably in the fixed income mandate. Generally strong relative performance coming from all mandates, provided an additional boost to peer group results. • Plan allocation remains on target policy with monthly investment of net Plan contributions providing for full market exposure. • Additional Real Estate Mandate funding was completed per the policy directive during October. What helped? Strong performance across all active management mandates: • Active management for the quarter from DGHM (11.94% vs. 10.10 %). • Active management for the quarter from RBC Global (19.39% vs. 16.53 %) • Active management from Galliard Core Fixed Income (2.92% vs. 2.07 %). • Marginal active management contribution from Lateef (5.33% vs. 4.65 %). What hurt? ■ There were no notable performance detractors for the quarter ■ Recommendations: -No recommended actions at this time FI IF � BOGDAHN ✓ GROUP The Market Environment Major Market Index Performance Period Ended: September 30, 2010 ■ The economic recovery's on -again / off -again gyrations left investors searching for direction during the third quarter. Using the S &P 500 as a market proxy, the equity market managed to rally 7.0% in July after giving up more than 13.0% in May and June. July's strong performance was followed by close to a 5.0% pullback in August before managing to close out the quarter with the strongest September (8.9 %) since 1939. Despite the quarter's extreme moves, equity investors that managed to "hold on tight" through the market's volatility were rewarded with strong index performance. ■ The domestic and international equity benchmark returns for the 3rd quarter of 2010 represented the strongest performance for any of the indices since the 3rd quarter of 2009. Much like that period a year ago, investor portfolios that extended beyond domestic investments were rewarded with stronger international performance as a result of continued U.S. Dollar weakness. ■ In contrast to the equity market's whipsaw movement, broad market fixed income performance was largely smooth. The Barclays Aggregate index return of 2.5% for the quarter was the additive result of positive returns in July, August and September. The fixed income benchmark's solid performance was largely attributable to the 4.7% return for the corporate segment of the benchmark. Despite very attractive refinancing conditions, ongoing structural issues and concerns over potential political intervention was a hindrance to returns for mortgage- backed bonds (0.6 %). ■ Although the one -year performance of the various equity and fixed income benchmarks masks the interim impact of the uneven global recovery and several event - driven market swings, a well- designed and stable portfolio structure should have produced solid results over this period. Source: Barclays Capital, MSCI Capital Markets, Russell Investments MSCI ACwxUS MSCI EAFE MSCI Emerg Mkts S &P 500 Russell 3000 Russell 1000 Russell MidCap Russell 2000 Barclays US Agg Barclays US Govt Barclays MBS Barclays Corp IG 3 -Month T -Bill 0.0% Quarter Performance 2.5% 2.5% 0.6% 4.7% 0.0% 5.0% 10.0% 1 -Year Performance MSCI ACwxUS MSCI EAFE MSCI Emerg Mkts 16.7% 16.5% - 118.2% 11.3% 11.5% 11.6% 13.3% 11.3% - 8.0% 3.7% 10.2% 11.0% 10.8% 8.2 % 7.0% 5.7% 15.0% 20.0% 25.0% 20.5% 17.5% 13.4% S &P 500 Russell 3000 Russell 1000 Russell MidCap Russell 2000 Barclays US Agg Barclays US Govt Barclays MBS Barclays Corp IG 3 -Month T -Bill 12.3% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% THE BOGDAHN GROUP The Market Environment Domestic Equity Style Index Performance Period Ended: September 30, 2010 Quarter Performance - Russell Style Series ■ Growth managed to outpace value by roughly 3% for the quarter at each capitalization level of the Russell data series. Whereas investors were faced with a "nowhere" to hide scenario during the 2nd quarter's market pullback, the 3rd quarter represented a much broader spectrum of investment opportunities. In the large cap space, growth -style managers had the benefit of performance in the heavily- weighted ( > 30 %) information technology sector, which posted a return of 11.9% vs. 11.6% for the broad Russell 1000 index. This technology sector advantage was further enhanced by strong performance in the "growth- favored" industrial (14.0 %) and consumer discretionary (15.8 %) sectors, which collectively represented an additional 27% weight of the growth index. In contrast, value -style performance for the quarter was hampered by its roughly 27% weight to the financial sector. This sector's 5.4% return represented the quarter's weakest result. ■ The advantage of growth over value for the Russell data series during the 3rd quarter persists in the one -year style index results. However, the spectrum of performance between growth and value over the period is more varied, ranging from a narrow 140 basis points for the Russell MidCap style benchmarks to 380 basis points for the Russell 1000 series. Much like the breakdown of the 3rd quarter's style attribution, the advantage of growth over value in the one -year period is largely the result of the 1,200 basis point return range between the technology sector return of 11.1% and the financial sector return of -0.9 %. Source: Russell Investments 3000 Value 3000 Index 3000 Growth 1000 Value 1000 Index 1000 Growth MidCap Value MidCap Index MidCap Growth 2000 Value 2000 Index 2000 Growth 3000 Value 3000 Index 3000 Growth 1000 Value 1000 Index 1000 Growth 1 -Year Performance - Russell Style Series 9.2% 11.0% - 12.8% 8.9% 10.8% 12.7% MidCap Value MidCap Index MidCap Growth 2000 Value 2000 Index 2000 Growth 11.8% 13.4% _ 14.8% 0.0% 5.0% 10.0% 15.0% 20.0% THE BOGDAHN GROUP 0.0% 5.0% 10.0% 15.0% 20.0% The Market Environment GICS Sector Performance & (Quarter -End Sector Weight) Period Ended: September 30, 2010 ■ Large cap stock performance was positive across the various Energy (10.6 %) Global Industry Classification Standard (GICS) sectors for the quarter. Large cap sector performance was more varied than Materials (4.0 %) last quarter with seven of the ten GICS sectors outperforming Industrials (11.0 %) the broad Russell 1000 index return of 11.6 %. The performance of the financial (5.4 %), health care (8.7 %) and Consumer Disc (11.1 %) consumer staples (10.9 %) sectors fell short of the broad large Consumer Staples (10.2 %) cap return for the quarter. Although they collectively represent less than 10% of the benchmark weight (81 names), Health Care (11.8 %) telecommunication services (20.4 %) and industrials (18.1 %) Financials (15.9%) posted the quarter's strongest sector returns in the Russell Info Technology (18.5 %) 1000. While there is some variation between the GICS sector results for large and small cap issues, a very similar Telecom Services (3.1 %) performance story is visible in the Russell 2000 sector returns Utilities (3.7 %) for the quarter. Russell 1000 1 ■Quarter Ell-Year 13.0% 5.1% 18.1% 12.8% 14.0% 18.7% 15.8% 24.2% 10.9% 12.8% 8.7% 9.3 5.4 -0.9% 11.9% 11.1% 20.4% 19.6% 12.0% 11.7% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% ■ With the exception of the financial sector's return of -0.9% in Energy (5.5 %) the large cap space, each of the ten GICS sectors in both the Russell 1000 and Russell 2000 indices posted positive Materials (5.3 %> performance over the trailing one -year period. While the one- Industrials (15.3 %) year results were very strong In most sectors, some of last Consumer Disc (13.9 %) year's volatility is clearly evident in the performance differentials of 3rd quarter and one -year returns for several Consumer Staples (3.1 %) sectors, particularly consumer staples and telecommunication Health Care (13.0 %) services. Financials (20.9 %) Info Technology (18.7 %) Telecom Services (1.0 %) Utilities (3.3 %) Russell 2000 ■Quarter Ell-Year 15.3% 9.9% 19.9% 21.6% 10. 7% 12.4% 11.7% 18.5% 7.4% 16.6% 7.7% 7.2% .0% 8.7% 17.8% 18.5% 10.4% 3.2% 11.5% 18.4% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% THE Source: Thompson Financial B4GDAHN GROUP The Market Environment Top 10 Index Weights & 3rd Quarter Performance for the Russell 1000 & 2000 Period Ended: September 30, 2010 Russell ,,, Symbol Weight Return Sector Exxon Mobil Corp XOM 2.72% 9.1% Energy Apple Inc AAPL 2.09% 12.8% Information Technology Microsoft Corp MSFT 1.68% 7.0% Information Technology Procter & Gamble Co PG 1.55% 0.8% Consumer Staples General Electric Co GE 1.47% 13.5% Industrials International Business IBM 1.46% 9.2% Information Technology Johnson & Johnson JNJ 1.45% 5.9% Health Care At &T Inc T 1.39% 20.3% Telecomm Service Jpmorgan Chase & Co JPM 1.37% 4.1% Financials Chevron Corp New CVX Top r Perform Symbol 1.35% 20.5% WeiaMEIIIIIIIIIIIIIIIIIIIIIIII Energy Priceline Com Inc PCLN 0.12% 97.3% Consumer Discretionary Mbia Inc MBI 0.01% 79.1% Financials Atmel Corp ATML 0.02% 65.8% Information Technology Cnh Global N V CNH 0.01% 61.8% Industrials Nbty Inc NTY 0.03% 61.7% Consumer Staples Citrix Sys Inc CTXS 0.09% 61.6% Information Technology Informatica Corp INFA 0.03% 60.8% Information Technology Anadarko Pete Corp APC 0.22% 58.4% Energy Las Vegas Sands Corp LVS 0.08% 57.4% Consumer Discretionary Fossil Inc Russell rrr Tfs Finl Corp FOSL Bottom r Symbol Ineight TFSL 0.02% 0.01% 55.0% Return - 25.9% Consumer Discretionary Sector Financials Capitol Fed Finl CFFN 0.01% -24.4% Financials Lincare Hldgs Inc LNCR 0.02% - 22.3% Health Care Fti Consulting Inc FCN 0.01% - 20.4% Industrials Bancorpsouth Inc BXS 0.01% -19.5% Financials Wilmington Trust Corp WL 0.01% -18.9% Financials Comstock Res Inc CRK 0.01% - 18.9% Energy Aeropostale ARO 0.02% -18.8% Consumer Discretionary Beckman Coulter Inc BEC 0.03% - 18.8% Health Care Vistaprint N V VPRT 0.01% -18.6% Information Technology Source: Thompson Financial Russell rrr Tibco Software Inc T.p10 Weighted Symbol TIBX Stocks Weight 0.25% If Return 47.1% Sector Information Technology Salix Pharmaceuticals SLXP 0.24% 1.8% Health Care Riverbed Technology In RVBD 0.24% 65.0% Information Technology Nordson Corp NDSN 0.23% 31.8% Industrials Highwoods Pptys Inc HIW 0.23% 18.6% Financials Henry Jack & Assoc Inc JKHY 0.22% 7.2% Information Technology Mfa Financial Inc MFA 0.22% 5.8% Financials Parametric Technology PMTC 1 0.21% 24.7% Information Technology Omega Healthcare Invs OHI 0.21% 14.5% Financials Verifone Sys Inc PAY 0.21% 64.1% Information Technology 3Par Inc PAR 0.08% 254.2% Information Technology Virnetx Holding Corp VHC 0.03% 148.0% Information Technology Keithley Instrs Inc KEI 0.01% 144.4% Information Technology Zymogenetics Inc ZGEN 0.03% 131.0% Health Care Unica Corp UNCA 0.03% 119.0% Information Technology Travelzoo Inc TZOO 0.01% 108.1% Information Technology Allis Chalmers Energy ALY 0.01% 102.4% Energy Netezza Corp NZ 0.09% 97.0% Information Technology Sycamore Networks Inc SCMR 0.05% 95.0% Information Technology Aresight Inc Russell 000 Lecg Corp ARST Bottom 10 XPRT 0.08% Performing 0.00% 94.6% Stocks Return - 57.7% Information Technology A Sector AIIIIIIIIIIIIIIII Industrials Alphatec Holdings Inc ATEC 0.02% -54.1% Health Care Amag Pharmaceuticals I AMAG 0.06% - 49.9% Health Care Dynavox Inc DVOX 0.01% -49.3% Health Care Arena Pharmaceuticals ARNA 0.06% - 48.9% Health Care Aspenbio Pharma Inc APPY 0.00% -48.0% Health Care First Bancorp P R FBP 0.00% - 47.2% Financials Green Bankshares Inc GRNB 0.01% -46.8% Financials Network Engines Inc NENG 0.01% - 46.1% Information Technology Amedisys Inc AMED 0.08% -45.9% Health Care 1 7 THE `✓ BQGDAHN GRQUP The Market Environment International and Regional Market Index Performance (# Countries) Period Ended: September 30, 2010 Quarter Performance • After suffering relative to domestic markets in the 2nd quarter's AC World x US (44) "flight to safety ", the U.S. Dollar (USD) performance for each of the broad international indices shown in the chart WORLD x US (23) (ACWxUS, EAFE & EM) outpaced domestic equity results for EAFE (22) the 3rd quarter. In fact, in a complete reversal of last quarter's EAFE (22) results where the best country return was Singapore's 0.0 %, Europe (16) 43 of the 44 countries in the MSCI - ACWxUS index posted positive results. Ireland (- 3.4 %), whose market had to digest Pacific (5) multiple credit agency downgrades during the quarter, was the Emerging Mkt (21) only country to post a negative return for the quarter in USD. one -year performance of several of the countries that have EM Europe (5) • Investors that are only focused on the USD return of their EM Asia (8) foreign portfolios would be missing one of the biggest EM Asia (8) contributors to the quarter's performance: "the currency EM Latin Amer (5) 1 8.6% 7.4% 7.2 % 9.1 % 3.7% ■USD ❑Local Currency 16.7% 16.2% 16.5% 19.4% 11.6% 18.2% 12.9% 20.1 13.2% 16.0% 12 .3% 21.0% 14.1% 15.0% 20.0% 25.0% ■USD ❑Local Currency effect . The return d between USD and local 0.0% 5.0% 10.0% currency returns for the broad international indices was seismic in nature. In simple terms, every un- hedged dollar invested overseas for the quarter returned close to 10% 1 -Year Performance through USD depreciation before investing in a single AC World x US (44) company. WORLD x US (23) ■ Over the one -year period, the 20.5% return of emerging EAFE (22) markets continues to represent the strongest trailing broad equity market performance. In contrast, the developed market Europe (16) returns for the one -year period were muted in both USD and local currency terms. Developed market performance for the Pacific (5) trailing one -year period was clearly weighed down by credit Emerging Mkt (21) concerns in Europe. This concern is visibly reflected in the one -year performance of several of the countries that have EM Europe (5) been in the news such as Greece (- 52.3 %), Ireland (- 24.8 %), EM Asia (8) Italy (- 14.3 %), Spain (- 12.5 %), and Portugal (- 9.5 %). EM Latin Amer (5) 8.0 6.2 % . 4.6% 3.5% 3.7% 3.0% 3.2 6.4% M 5.0% 20.5% 16.0% �7.9% 19.2% - 19.1% 15.2% 21. 15.0% -2.4% -5.0% Source: MSC/ Capital Markets 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% THE BOGDAHN GROUP The Market Environment U.S. Dollar International Index Attribution & Country Detail Period Ended: September 30, 2010 Source: MSCI Capital Markets, & Franklin/Templeton United Kingdom En ding Weight 3rd Qtr Return 1 -Year Return Energy 7.4% 22.4% -2.0% Materials 10.4% 19.3% 13.3% Industrials 12.2% 15.9% 10.8% Consumer Discretionary 10.4% 18.7% 13.3% Consumer Staples 10.4% 14.6% 17.4% Health Care 8.5% 11.2% 4.7% Financials 24.8% 17.8% -7.1% Information Technology 4.8% 8.6% 1.0% Telecommunication Services 5.8% 20.3% 6.1% Utilities 5.2% 11.3% -6.8% Source: MSCI Capital Markets, & Franklin/Templeton United Kingdom En ding Weight 3rd Qtr Return 1 -Year Return Energy 10.4% 16.8% 2.3% Materials 12.2% 20.3% 18.7% Industrials 10.5% 17.4% 13.7% Consumer Discretionary 9.1% 19.6% 17.6% Consumer Staples 9.0% 15.8% 21.4% Health Care 6.1% 11.4% 6.9% Financials 25.7% 17.5% -0.4% Information Technology 6.4% 10.7% 5.0% Telecommunication Services 6.1% 18.0% 9.7% Utilities Total 4.5% r r r' 11.2% -3.1% r' Source: MSCI Capital Markets, & Franklin/Templeton United Kingdom 21.5% 14.8% 19.8% 9.7% Japan 21.1% 14.5% 5.9% 0.2% France 10.1% 0.8% 20.9% -2.9% Australia 8.6% 5.9% 23.7% 9.6% Germany 8.0% 7.0% 16.7% 2.0% Switzerland 7.8% 5.4% 13.3% 9.0% Spain 3.8% 2.6% 27.7% -12.5% Sweden 3.2% 2.2% 24.7% 30.1% Italy 2.9% 2.0% 20.0% -14.3% Hong Kong 2.7% 0.2% 21.9% 21.8% Netherlands 2.6% 1.8% 16.4% 4.1% Singapore 1.7% 1.2% 15.8% 25.6% Finland 1.1% 0.1% 26.5% 1.7% Denmark 1.0% 0.7% 17.7% 19.0% Belgium 1.0% 0.7% 19.6% 5.6% Israel 0.8% 0.6% 11.6% 14.4% Norway 0.8% 0.6% 29.4% 14.9% Austria 0.3% 0.2% 28.4% - 10.6% Greece 0.3% 5.5% 18.9% - 52.3% Portugal 0.3% 0.2% 20.6% -9.5% Ireland 0.2% 0.2% -3.4% -24.8% New Zealand 0.1% 0.1% 13.6% -1.9% Canada De veloped Total 7.6% 13.4% 13.5% China 4.3% 10.7% 14.1% Brazil 3.9% 21.8% 16.6% Korea 3.2% 17.2% 15.3% Taiwan 2.5% 19.9% 13.0% India 1.9% 15.4% 27.4% Hong Kong 1.8% 21.9% 21.8% South Africa 1.8% 25.4% 29.7% Russia 1.4% 13.4% 13.2% Mexico 1.0% 11.5% 24.3% Malaysia 0.7% 18.9% 38.6% Indonesia 0.6% 17.9% 42.6% Turkey 0.4% 31.9% 43.7% Chile 0.4% 32.6% 57.9% Thailand 0.4% 32.5% 49.2% Poland 0.4% 35.6% 25.1% Colombia 0.2% 32.3% 49.6% Peru 0.2% 24.9% 32.0% Philippines 0.1% 29.6% 54.2% Hungary 0.1% 27.0% 3.3% Czech Republic 0.1% 17.4% -5.2% Morocco Total Emerging Countries Total ACWIxUS Countries IL 0.0% 25.4% ••• 8.3% W 18.2% 3.1% 20.5% �J THE BOGDAHN GRovP The Market Environment Domestic Credit Sector & Broad Market Maturity Performance Period Ended: September 30, 2010 ■ Using the Barclays Aggregate index as a proxy for the broad fixed income market, bonds provided investors with a solid 2.5% return for the quarter. However, individual fixed income portfolio results have the potential for significant variation based on their specific bond segment concentration. Keeping duration relative to the benchmark at a neutral level, portfolios that were over - weighted to corporate issues during the 3rd quarter had the greatest potential to provide outperformance relative to the broad market index. In contrast, a portfolio that was focused in the mortgage (0.7 %) segment of the market would have had a difficult time adding value relative to the same benchmark. ■ The trailing one -year returns for the various broad and sector - based bond indices were very strong but likely unrepeatable in the forward- looking year given the extremely low level of interest rates. The one -year performance of the broad index benchmarks clearly show the impact of duration as the term to maturity increases. While yields in the 3 -7 year range (81- 104 basis point reduction) fell more than yields in the 10 -30 year range (34 -78 basis point reduction), the magnifying effect on the total return is larger for the longer -dated indices. In addition to the general reduction in the yield curve over the last year, prospects of increasing corporate strength clearly had a positive impact on the various credit sector indices. Whether it was a reach for additional yield or an overall increase in investors' appetite for risk, the return premium earned increased as quality decreased. AAA AA A BBB <BBB Govt Mort 1 -3yr G /M /C 1 -5yr G /M /C 1 -10yr G /M /C 10 +yr G /M /C AAA AA A BBB <BBB Govt Mort 1 -3yr G /M /C 1 -5yr G /M /C 1 -10yr G /M /C 10 +yr G /M /C Quarter Performance 3.3% 4.0% 4.8% 5.4% 6.7% 2.6% . 0.7% G /M /C = Broad Market (Government + Mortgage + Corporate) - 0.7% 1.2% 2.1% 5.9% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 1 -Year Performance 9.6% 10.0% 12.0% 14.7% 7.0% 18.5% 5.9 % 4.1% 5.4% 7.2% 14.0% 0.0% 5.0% 10.0% 15.0% 20.0% Source: Merrill Lynch Index System �� THE BOGDAHN GROUP The Market Environment Market Rate & Yield Curve Comparison Period Ended: September 30, 2010 ■ The Fed kept its target for the fed funds rate steady at 0.0% to 0.25% during the quarter, which marked the 21St month of its current policy. Although there was no substantial change in the language of Fed's statement regarding their target rate, there was a rather significant announcement regarding the various securities held on their balance sheet. The Fed indicated that it would maintain the current level of $1.8 trillion in securities purchased during its quantitative easing program by reinvesting the principal payments from its agency and MBS securities holdings into longer -dated Treasuries. The unchanged fed funds rate target combined with the reinvestment announcement led investors to surmise that the current rate environment is likely to persist for the immediate future. While credit spreads remained relatively steady during the quarter, the continued decline of 10yr Treasury and TIPS yields is clearly visible. The TED spread, a general indication of credit risk in the global economy, also recorded a sizable reduction during the quarter as Europe's ongoing sovereign support efforts eased investor worries. ■ The yield curve continued to drift downward throughout the quarter and maintained its significant steepness. The largest yield reductions were realized in the 5 to 7 year range where rates fell just over 50 basis points during the quarter. Short - term rates remained extremely low with the 2 -year rate reaching an all time low of 0.37% during the quarter. The 10- year Treasury bond closed the quarter with a yield of 2.53 %, which was down 44 basis points from the 2.97% yield on 6/30/10 and 132 basis points from the 3.85% yield on 12/31/09. 5.50 5.00 4.50 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 1 -Year Trailing Market Rates Fed Funds Rate TED Spread 3 -Month Libor BAA/10yr Spread 10yr Treasury 10yr TIPS 0.00 4— Sep -09 5.50 5.00 4.50 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 0.00 Dec -09 Mar -10 Jun -10 Sep -10 Treasury Yield Curve 0 9/30/2009 X12/31/2009 X6/30/2010 X9/30/2010 O 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr THE Source: Mortgage -X. com , US Department of Treasury & St. Louis Fed BoGDAHN GROUP O O 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr THE Source: Mortgage -X. com , US Department of Treasury & St. Louis Fed BoGDAHN GROUP The Market Environment "Shock & Awe" - Bond Price Change Implications by Maturity for Rising & Falling Interest Rates Period Ended: September 30, 2010 ■ The chart to the right illustrates what the potential "price - shock" would be from an immediate 1% parallel shift in interest rates on a Treasury bond at each maturity on the yield curve. To create this example, we used the Treasury yield curve as of 9/30/10 and assumed that each bond would be issued at par with a semi - annual coupon payment based on its respective yield. Each bond's price change was then calculated based on its duration (price sensitivity) and convexity (curvature of price /yield relationship). While the bond's duration has the largest impact on the resulting price change, a non - callable bond's positive convexity is why bond prices rise more for a rate decrease than they fall for an equivalent rate increase. ■ While the price impact on bonds for a shift in interest rates is unavoidable, the total return implications are more complex. The chart below illustrates that the actual "total return" impact on the Barclays Aggregate Bond index (diversified portfolio proxy) during a period of rising interest rates is not as ominous as the "price change" chart implies. The total return impact on a diversified portfolio during periods of rising interest rates is mitigated by a number of factors including: $1,250 Bond Price $ $1,200 $1,150 $1,100 $1,050 Original Price $1,000 $950 $900 $850 $800 4.96% $1,050 $953 -4.70% $868 15% Interest Rates Rise by 1% -13.23% 7- 20% 1 -Year 2 -Year 3 -Year 5 -Year 7 -Year 10 -Year 20 -Year 30 -Year Yield Curve 9/30/10 ✓ Holding Period: The impact of bond price sensitivity on total return diminishes as the holding period increases. ✓ Reinvestment: As interest rates rise both coupons and bond proceeds can be reinvested at higher rates. ✓ Roll Down: The aging effect of bonds "rolling down" a positively sloped yield curve will provide an offset to rising interest rates. ✓ Yield Spreads: Bond spreads between Treasury & non - Treasury issues tend to narrow during rising interest rate environments, which will reduce the impact of the rate change on the prices of non - Treasury holdings. ✓ Yield Curve: Periods of rising interest rates are typically associated with a flattening yield curve (short rates rising more than long rates). As a result, the largest rate change will typically be concentrated on a portfolio's shorter- maturity bonds. ✓ Diversification: While an individual bond's price change will largely be determined by its duration, a diversified portfolio's duration represents the weighted- average duration of individual bonds that make up the portfolio. As a result, any portfolio price impact will represent the combined impact of the various bond durations and corresponding mitigating factors. THE Source: US Department of Treasury & St. Louis Fed B4GDAHN GROUP 1.92% 0.27% 0.84% $1,019 $1,003 $1,008 ■ $990 $1,206 -0.99% — $971 - 1.96% 1.96 -2.92% 4.96% $1,050 $953 -4.70% $868 15% Interest Rates Rise by 1% -13.23% 7- 20% 1 -Year 2 -Year 3 -Year 5 -Year 7 -Year 10 -Year 20 -Year 30 -Year Yield Curve 9/30/10 ✓ Holding Period: The impact of bond price sensitivity on total return diminishes as the holding period increases. ✓ Reinvestment: As interest rates rise both coupons and bond proceeds can be reinvested at higher rates. ✓ Roll Down: The aging effect of bonds "rolling down" a positively sloped yield curve will provide an offset to rising interest rates. ✓ Yield Spreads: Bond spreads between Treasury & non - Treasury issues tend to narrow during rising interest rate environments, which will reduce the impact of the rate change on the prices of non - Treasury holdings. ✓ Yield Curve: Periods of rising interest rates are typically associated with a flattening yield curve (short rates rising more than long rates). As a result, the largest rate change will typically be concentrated on a portfolio's shorter- maturity bonds. ✓ Diversification: While an individual bond's price change will largely be determined by its duration, a diversified portfolio's duration represents the weighted- average duration of individual bonds that make up the portfolio. As a result, any portfolio price impact will represent the combined impact of the various bond durations and corresponding mitigating factors. THE Source: US Department of Treasury & St. Louis Fed B4GDAHN GROUP Change in Price 25% 20.50% $1,206 — 20% 15.84% $1,158 — 15% 9.24% 6.77% $1,092 10 ° /o $1,068 5% 0% -5% $937 - 6.29% $916 -10% -8.36% The Market Environment Historical Total Return Impact of Interest Rate Changes on Aggregate Bond Index Performance Period Ended: September 30, 2010 Rate % Growth of $100 12.00% 1,100 18 9 16 13 12 25 Duration (Months) 3.00% 1.44% 3.19% 3.00% 1.75% 4.25% Fed Rate Increase % 11.00% 6.49% (2.88 %) 7.73% 0.01% 1.21% 3.09% Barclays AggregateRetur 1,000 10.00% Rising Rate 9.00% Environment 900 8.00% 800 7.00% 6.00% 700 5.00% 600 4.00% 500 3.00% 2.00% n 400 1.00% 300 - 1 a a 200 - 2.00% 100 - 3.00% 'annualized for periods > 12 months - 4.00% - O ry �� 00 O O� O"° O 04j O ro O '� OQ O� ^O \� 0 l \`�O '1 10 1 0 l 0 \` ^ti �ti �ti �.`! ^ti ^ti �.`! '1 101 .`�' 10 ^ti ^ti ' 1 101 , 1 16, .`�' 10 0 ti Barclays Aggregate Monthly Performance Target Fed Funds Rate Barclays Aggregate Growth of $100 (Y2 -Axis) Target Fed Funds Rate represents lower -band series from 1/2009. � +"� THE Source: Zephyr, US Department of Treasury & St. Louis Fed ' L ` BOGDAHN \"` GRovP The Market Environment The Recession is Over US Business Cycle Expansions and Contractions Period Ended: September 30, 2010 BUSINESS CYCLE Peak Quarterly dates are REFERENCE DATES Trough in parenthesis December 1854 (IV) Contraction Peak to Trough -- Expansion Previous Trough to this Peak -- Cycle Trough from Previous Trough -- Peak from Previous Peak -- June 1857(11) December 1858 (IV) 18 30 48 -- October 1860(111) June 1861 (111) 8 22 30 40 April 1865(1) December 1867 (1) 32 46 78 54 June 1869(11) December 1870 (IV) 18 18 36 50 October 1873(111) March 1879 (1) 65 34 99 52 March 1882(1) May 1885 (11) 38 36 74 101 March 1887(11) April 1888 (1) 13 22 35 60 July 1890(111) May 1891 (11) 10 27 37 40 January 1893(1) June 1894 (11) 17 20 37 30 December 1895(IV) June 1897 (11) 18 18 36 35 June 1899(111) December 1900 (IV) 18 24 42 42 September 1902(IV) August 1904 (111) 23 21 44 39 May 1907(11) June 1908 (11) 13 33 46 56 January 1910(1) January 1912 (IV) 24 19 43 32 January 1913(1) December 1914 (IV) 23 12 35 36 August 1918(111) March 1919 (1) 7 44 51 67 BUSINESS CYCLE Peak Quarterly dates are January 1920(1) REFERENCE DATES Trough in parenthesis July 1921 (111) Contraction Peak to Trough 18 Expansion Previous Trough to this Peak 10 Cycle Trough from Previous Trough 28 Peak from Previous Peak 17 May 1923(11) July 1924 (111) 14 22 36 40 October 1926(111) November 1927 (IV) 13 27 40 41 August 1929(111) March 1933 (1) 43 21 64 34 May 1937(11) June 1938 (11) 13 50 63 93 February 1945(1) October 1945 (IV) 8 80 88 93 November 1948(IV) October 1949 (IV) 11 37 48 45 July 1953(11) May 1954 (11) 10 45 55 56 August 1957(111) April 1958 (11) 8 39 47 49 April 1960(11) February 1961 (1) 10 24 34 32 December 1969(IV) November 1970 (IV) 11 106 117 116 November 1973(IV) March 1975 (1) 16 36 52 47 January 1980(1) July 1980 (111) 6 58 64 74 July 1981(111) November 1982 (IV) 16 12 28 18 July 1990(111) March 1991 (1) 8 92 100 108 March 2001 (1) November 2001 (IV) 8 120 128 128 December 2007 (IV) Jun 2009 (II) 18 73 91 81 AVERAGE, ALL CYCLES Source: NBER 1854 -2009 (33 cycles) 16 42 56 55* 1854 -1919 (16 cycles) 22 27 48 49 ** 1919 -1945 (6 cycles) 18 35 53 53 1945 -2009 (11 cycles) 11 59 73 66 * 32 cycles, * *15 cycles THE `✓ BOGDAHN GROUP The Market Environment US Business Cycle Facts Period Ended: September 30, 2010 ■ The Length: At 18 months, the recession that just ended represented the longest since the great depression. ■ The Damage: From peak to trough, real GDP declined at an annualized rate of 2.8% and unemployment increased by 4.1%, which resulted in a net loss of 7 million jobs. ■ The Reality: The NBER's announcement of the end of the downturn in June of 2009 is not a conclusion that economic conditions have been favorable since that time or that the economy is now operating at normal capacity. The trough simply marks the end of the declining phase and the start of the rising phase. ■ The Definition: While the "rule of thumb" is that a recession is defined as two consecutive quarters of negative GDP, the National Bureau of Economic Research (NBER) uses a broader definition of a recessionary period. The NBER defines a recession as "a period of falling economic activity spread across the economy, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale - retail sales ". ■ Double -Dip ?: Growth has clearly not returned to pre- crisis levels and several economic indicators such as unemployment might likely go higher before recovering. However, by the NBER's definition, should there be a further downturn in economic activity from here resulting in a newly defined recessionary period, that downturn would be considered a new recession by the NBER, not a double -dip. THF BOGDAHN GROUP Winter Springs General Employees General Plan and Trust September 30, 2010 June 30, 2010 : $18,301,384 September 30, 2010 : $20,946,948 Segments Market Value Allocation Segments Market Value Allocation (S) (%) (S) (%) ■ Domestic Equity 8,608,272 47.0 ■ Domestic Equity 9,606,937 45.9 ❑ International Equity 2,580,041 14.1 ❑ International Equity 3,127,979 14.9 ❑ Fixed Income 5,985,504 32.7 ❑ Fixed Income 4,954,005 23.7 ■ Real Estate 607,888 3.3 ■ Real Estate 628,316 3.0 ■ Cash Equivalent 519,679 2.8 ■ Cash Equivalent 2,629,711 12.6 THE BOGDAHN t GROUP Winter Springs General Employees General Plan and Trust September 30, 2010 June 30, 2010 : $18,301,384 ■ Galliard Core Fixed Income ■ Dalton, Greiner, Hartman, Maher & Co ■ Lateef Asset Mgmt.Equity ■ RBC Global (Voyageur) ■ Galliard TIPS ❑ American Core Realty Fund ❑ Receipt & Disbursement ■ Galliard Cash September 30, 2010 : $20,946,948 Market Value Allocation Market Value Allocation (S) ( %) (S) ( %) 5,072,689 27.7 ■ Dalton, Greiner, Hartman, Maher & Co. 5,209,926 24.9 4,589,911 25.1 ■ Lateef Asset Mgmt.Equity 5,015,554 23.9 4,342,057 23.7 ■ Galliard Core Fixed Income 3,995,403 19.1 2,580,041 14.1 ■ RBC Global (Voyageur) 3,127,979 14.9 946,372 5.2 ■ Receipt & Disbursement 1,958,745 9.4 607,888 3.3 ❑ Galliard TIPS 978,912 4.7 141,924 0.8 ❑ American Core Realty Fund 628,316 3.0 20,502 0.1 ■ Galliard Cash 32,112 0.2 THE BOGDAHN GRoup Winter Springs General Employees General Plan and Trust Asset Allocation vs. Target Allocation As of September 30, 2010 lulu Domestic Large Cap Value Equity Domestic Broad Cap Growth Equity Foreign Equity Broad Market Fixed Income TIPS Real Estate Receipt & Disbursement Galliard Cash -0.1 0 -1.1% -0.1% -5.9% -0.3 -2.0% 9.4° 0.2% - 10.0 -8.0% -4.0% 0.0% 4.0% 8.0% 10.0 Allocation Differences September 30, 2010 't'11e BOGDAHN GROUP Market Value Allocation Target Domestic Large Cap Value Equity 5,209,926 24.9 25.0 Domestic Broad Cap Growth Equity 5,015,554 23.9 25.0 Foreign Equity 3,127,979 14.9 15.0 Broad Market Fixed Income 3,995,403 19.1 25.0 TIPS 978,912 4.7 5.0 Real Estate 628,316 3.0 5.0 Receipt & Disbursement 1,958,745 9.4 - Galliard Cash 32,112 0.2 - Total Fund 20,946,948 100.0 100.0 't'11e BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Asset Allocation History As of September 30, 2010 Asset Allocation History by Portfolio Total Domestic Equity Snow Capital Mgmt. Equity Dalton, Greiner, Hartman, Maher & Co Lateef Asset Mgmt.Equity Total International Equity RBC Global (Voyageur) Total Fixed Income Galliard Core Fixed Income Galliard TIPS American Core Realty Fund Receipt & Disbursement Galliard Cash Total Fund Portfolio Asset Allocation History by Segment 1 0 0 U O 10,225,481 48.82 5,209,926 24.87 5,015,554 23.94 3,127,979 14.93 3,127,979 14.93 4,974,315 23.75 3,995,403 19.07 978,912 4.67 628,316 3.00 1,958,745 9.35 32,112 0.15 20,946,948 100.00 8,931,968 48.80 4,589,911 25.08 4,342,057 23.73 2,580,041 14.10 2,580,041 14.10 6,019,062 32.89 5,072,689 27.72 946,372 5.17 607,888 3.32 141,924 0.78 20,502 0.11 18,301,384 100.00 9,856,099 51.14 4,968,701 25.78 4,887,399 25.36 2,910,875 15.10 2,910,875 15.10 5,781,283 30.00 4,865,111 25.24 916,171 4.75 595,761 3.09 88,424 0.46 40,600 0.21 19,273,042 100.00 8,825,671 48.31 3,971,638 21.74 4,854,033 26.57 2,431,014 13.31 2,431,014 13.31 6,265,208 34.29 5,123,295 28.04 1,141,913 6.25 605,618 3.31 141,982 0.78 18,269,494 100.00 8,076,514 46.61 3,596,107 20.75 4,480,407 25.86 2,318,143 13.38 2,318,143 13.38 6,205,557 35.81 5,089,040 29.37 1,116,517 6.44 639,006 3.69 88,380 0.51 17,327,600 100.00 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 Domestic Equity International Equity Fixed Income RealEstate Cash Equivalent � THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Financial Reconciliation Quarter to Date 1 Quarter Ending September 30, 2010 Total Domestic Equity 8,931,968 150,000 1,836 - - 19,461 -1,110 28,669 1,133,579 10,225,481 Lateef Asset Mgmt.Equity 4,342,057 75,000 - - - 10,855 -536 10,260 599,628 5,015,554 Dalton, Greiner, Hartman, Maher & Co. 4,589,911 75,000 1,836 - -8,606 -574 18,409 533,951 5,209,926 Total International Equity 2,580,041 51,451 - - -6,451 -585 807 502,717 3,127,979 RBC Global (Voyageur) 2,580,041 51,451 - - -6,451 -585 807 502,717 3,127,979 Total Fixed Income 6,019,062 - 1,209,600 - - -355 -114 4,506 160,817 4,974,315 Galliard Core Fixed Income 5,072,689 - 1,224,600 - - - - 147,314 3,995,403 Galliard TIPS 946,372 15,000 - - -355 -114 4,506 13,503 978,912 American Core Realty Fund 607,888 - - -5,828 -1,489 - 5,828 21,917 628,316 Receipt & Disbursement 141,924 993,379 1,089,596 - 230,143 - - 36,013 4 - 1,958,745 Galliard Cash 20,502 14,770 - - -3,170 - 9 - 32,112 Total Fund Portfolio 18,301,384 - 1,091,432 - 235,972 - 30,926 - 37,823 39,823 1,819,030 20,946,948 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Financial Reconciliation Fiscal Year to Date October 1, 2009 To September 30, 2010 Total Domestic Equity 8,076,514 1,007,700 1,836 - - 78,097 -4,379 125,240 1,096,666 10,225,481 Lateef Asset Mgmt.Equity 4,480,407 50,800 - - - 46,408 -2,232 50,153 482,833 5,015,554 Dalton, Greiner, Hartman, Maher & Co. 3,596,107 956,900 1,836 - - 31,689 -2,147 75,087 613,833 5,209,926 Total International Equity 2,318,143 512,976 - - - 23,776 -2,000 53,579 269,058 3,127,979 RBC Global (Voyageur) 2,318,143 512,976 - - - 23,776 -2,000 53,579 269,058 3,127,979 Total Fixed Income 6,205,557 - 1,760,687 - - -8,482 -1,280 18,018 521,190 4,974,315 Galliard Core Fixed Income 5,089,040 - 1,551,387 - - -7,243 -843 - 465,837 3,995,403 Galliard TIPS 1,116,517 - 209,300 - - -1,239 -437 18,018 55,352 978,912 American Core Realty Fund 639,006 -9,035 - - 11,495 -6,251 - 25,132 -9,042 628,316 Receipt & Disbursement 88,380 210,215 2,597,720 - 878,507 - - 59,074 11 - 1,958,745 Galliard Cash - 38,832 - - -6,513 -217 10 - 32,112 Total Fund Portfolio 17,327,600 - 2,599,556 - 890,002 - 123,118 - 66,950 221,990 1,877,872 20,946,948 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Comparative Performance Trailing Returns As of September 30, 2010 otal Fund (Net) 9.92 (13) 10.92 (27) 10.92 (27) -2.41 (84) 1.24 (88) 2.53 (86) 3.31 N/A 11/01/2000 otal Fund Policy 9.08 (32) 9.13 (76) 9.13 (76) -1.27 (55) 1.88 (71) 3.37 (63) 2.55 N/A ifference 0.84 1.79 1.79 -1.14 -0.64 -0.84 0.76 .11 Public Plans -Total Fund Median 8.65 9.98 9.98 -1.00 2.43 3.64 N/A otal Fund (New Mgrs) (Net) 9.60 (20) 10.66 (32) 10.66 (32) -2.50 (85) N/A N/A -2.50 N/A 10/01/2007 otal Fund Policy 9.08 (32) 9.13 (76) 9.13 (76) -1.27 (55) 1.88 (71) 3.37 (63) -1.27 N/A ifference 0.52 1.53 1.53 -1.23 N/A N/A -1.23 .11 Public Plans -Total Fund Median 8.65 9.98 9.98 -1.00 2.43 3.64 N/A otal Fund (Gross) 10.11 (11) 11.71 (16) 11.71 (16) -1.81 (70) 1.91 (70) 3.22 (68) 4.02 N/A 11/01/2000 otal Fund Policy 9.08 (32) 9.13 (76) 9.13 (76) -1.27 (55) 1.88 (71) 3.37 (63) 2.55 N/A ifference 1.03 2.58 2.58 -0.54 0.03 -0.15 1.47 .11 Public Plans -Total Fund Median 8.65 9.98 9.98 -1.00 2.43 3.64 N/A otal Fund (New Mgrs) (Gross) 9.78 (16) 11.40 (20) 11.40 (20) -1.92 (73) N/A N/A -1.92 N/A 10/01/2007 otal Fund Policy 9.08 (32) 9.13 (76) 9.13 (76) -1.27 (55) 1.88 (71) 3.37 (63) -1.27 N/A ifference 0.70 2.27 2.27 -0.65 N/A N/A -0.65 .11 Public Plans -Total Fund Median 8.65 9.98 9.98 -1.00 2.43 3.64 N/A Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. I(� Bo G DAHN GROUP Winter Springs General Employees General Plan and Trust Comparative Performance Trailing Returns As of September 30, 2010 otal Equity 14.37 13.61 13.61 -5.80 -0.23 1.89 2.75 01/01/2001 otal Equity Policy 12.67 9.34 9.34 -7.39 -1.94 0.80 0.79 ifference 1.70 4.27 4.27 1.59 1.71 1.09 1.96 otal Domestic Equity 12.92 (10) 14.19 (6) 14.19 (6) -5.04 (29) 0.17 (27) 1.93 (35) 2.38 (22) 11/01/2000 otal Domestic Equity Policy 11.53 (32) 10.96 (32) 10.96 (32) -6.94 (63) -1.57 (61) 0.78 (62) -0.32 (81) ifference 1.39 3.23 3.23 1.90 1.74 1.15 2.70 S Core/LC Equity (SA +CF) Median 11.08 9.90 9.90 -6.31 -1.22 1.15 0.70 otal International Equity 19.39 (8) 11.69 (15) 11.69 (15) -8.93 (76) -1.70 (74) 2.27 (81) 3.99 (98) 11/01/2000 iSCI EAFE Index 16.53 (38) 3.71 (72) 3.71 (72) -9.06 (76) -1.45 (73) 2.45 (80) 3.27 (100) ifference 2.86 7.98 7.98 0.13 -0.25 -0.18 0.72 Al Active Value Equity (SA +CF) Median 15.74 7.19 7.19 -6.38 0.58 4.22 8.14 otal Fixed Income 2.76 9.27 9.27 6.72 6.28 5.67 6.22 11/01/2000 otal Fixed Policy 2.07 7.52 7.52 7.10 6.65 6.03 6.31 ifference 0.69 1.75 1.75 -0.38 -0.37 -0.36 -0.09 Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. I(� Bo G DAHN GROUP Winter Springs General Employees General Plan and Trust Comparative Performance Trailing Returns As of September 30, 2010 alton, Greiner, Hartman, Maher & Co. 11.94 (20) 16.63 (10) 16.63 (10) N/A N/A N/A 30.00 (15) 05/01/2009 ussell 3000 Value Index 10.10 (68) 9.15 (70) 9.15 (70) -9.04 (97) -3.81 (91) -0.39 (87) 24.27 (70) ifference 1.84 7.48 7.48 N/A N/A N/A 5.73 S All Cap Value Equity (SA +CF) Median 10.77 10.49 10.49 -5.64 0.15 1.84 26.17 ateef Asset Mgmt.Equity 13.95 (25) 11.93 (41) 11.93 (41) -1.52 (10) N/A N/A -1.52 (10) 10/01/2007 ussell 1000 Growth Index 13.00 (40) 12.65 (33) 12.65 (33) -4.36 (36) 1.08 (45) 2.06 (49) -4.36 (36) ifference 0.95 -0.72 -0.72 2.84 N/A N/A 2.84 S Growth/LC Equity (SA +CF) Median 12.33 11.13 11.13 -4.99 0.73 2.00 -4.99 BC Global (Voyageur) 19.39 (8) 11.69 (15) 11.69 (15) N/A N/A N/A N/A 10/01/2007 [SCI EAFE Index 16.53 (38) 3.71 (72) 3.71 (72) -9.06 (76) -1.45 (73) 2.45 (80) -9.06 (76) ifference 2.86 7.98 7.98 N/A N/A N/A N/A itl Active Value Equity (SA +CF) Median 15.74 7.19 7.19 -6.38 0.58 4.22 -6.38 alliard Core Fixed Income 2.92 (29) 9.63 (16) 9.63 (16) 6.51 (86) N/A N/A 6.51 (86) 10/01/2007 arclays Capital Intermediate Aggregate 2.07 (89) 7.52 (78) 7.52 (78) 7.10 (72) 6.65 (72) 6.09 (73) 7.10 (72) ifference 0.85 2.11 2.11 -0.59 N/A N/A -0.59 S Int Fixed Income (SA +CF) Median 2.75 8.22 8.22 7.71 7.18 6.50 7.71 alliard TIPS 1.89 (97) 7.28 (95) 7.28 (95) 6.31 (98) N/A N/A 6.31 (98) 10/01/2007 arclays Capital U.S. TIPS 2.48 (58) 8.89 (66) 8.89 (66) 6.91 (77) 6.42 (84) 5.50 (85) 6.91 (77) ifference -0.59 -1.61 -1.61 -0.60 N/A N/A -0.60 S TIPS (SA +CF) Median 2.56 9.28 9.28 7.44 6.96 6.02 7.44 merican Core Realty Fund 4.56 N/A 2.71 N/A 2.71 N/A -10.09 N/A N/A N/A -10.09 N/A 10/01/2007 CREIF Property Index 3.86 N/A 5.84 N/A 5.84 N/A -4.61 N/A 0.45 N/A 3.67 N/A -4.61 N/A ifference 0.70 -3.13 -3.13 -5.48 N/A N/A -5.48 S Private RE -Open End (SA +CF) Median N/A N/A N/A N/A N/A N/A N/A Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. /[ B4GDAHN GRoup Winter Springs General Employees General Plan and Trust Comparative Performance Fiscal Year Returns As of September 30, 2010 al Fund (Net) 10.92 (27) 0.73 (59) -16.82 (91) 13.03 (76) 7.89 (67) 11.07 (67) 12.18 (36) a1 Fund Policy 9.13 (76) 0.33 (63) -12.11 (30) 11.97 (90) 9.55 (33) 10.76 (70) 11.65 (46) erence 1.79 0.40 - 4.71 1.06 - 1.66 0.31 0.53 Public Plans -Total Fund Median 9.98 1.34 -13.67 14.43 8.70 12.54 11.19 al Fund (New Mgrs) (Net) 10.66 (32) 0.68 (59) -16.82 (91) N/A N/A N/A N/A A Fund Policy 9.13 (76) 0.33 (63) -12.11 (30) 11.97 (90) 9.55 (33) 10.76 (70) 11.65 (46) erence 1.53 0.35 - 4.71 N/A N/A N/A N/A Public Plans -Total Fund Median 9.98 1.34 -13.67 14.43 8.70 12.54 11.19 al Fund (Gross) 11.71 (16) 1.44 (49) -16.46 (89) 13.92 (60) 8.62 (52) 11.82 (61) 13.05 (24) A Fund Policy 9.13 (76) 0.33 (63) -12.11 (30) 11.97 (90) 9.55 (33) 10.76 (70) 11.65 (46) erence 2.58 1.11 -4.35 1.95 -0.93 1.06 1.40 Public Plans -Total Fund Median 9.98 1.34 -13.67 14.43 8.70 12.54 11.19 otal Fund (New Mgrs) (Gross) 11.40 (20) 1.39 (50) -16.46 (89) N/A N/A N/A N/A otal Fund Policy 9.13 (76) 0.33 (63) -12.11 (30) 11.97 (90) 9.55 (33) 10.76 (70) 11.65 (46) ifference 2.27 1.06 -4.35 N/A N/A N/A N/A ll Public Plans -Total Fund Median 9.98 1.34 -13.67 14.43 8.70 12.54 11.19 Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. I(� Bo G DAHN GROUP Winter Springs General Employees General Plan and Trust Comparative Performance Fiscal Year Returns As of September 30, 2010 otal Equity 13.61 -1.09 -25.61 18.52 10.83 15.40 17.60 otal Equity Policy 9.34 -6.91 -21.98 16.44 12.51 14.30 15.14 ifference 4.27 5.82 -3.63 2.08 -1.68 1.10 2.46 otal Domestic Equity 14.19 (6) -4.29 (28) -21.66 (56) 17.58 (36) 9.29 (75) 13.77 (59) 16.77 (20) otal Domestic Equity Policy 10.96 (32) -6.91 (61) -21.98 (65) 16.44 (58) 10.79 (51) 12.25 (80) 13.87 (59) ifference 3.23 2.62 0.32 1.14 -1.50 1.52 2.90 S Core/Large Cap Equity (SA +CF) Median 9.90 -6.42 -21.11 16.67 10.80 14.32 14.19 otal International Equity 11.69 (15) 11.87 (20) -39.55 (100) 23.63 (59) 19.84 (68) 26.83 (56) 22.94 (76) iSCI EAFE Index 3.71 (72) 3.80 (58) -30.13 (75) 25.38 (45) 19.65 (71) 26.32 (64) 22.52 (77) ifference 7.98 8.07 -9.42 -1.75 0.19 0.51 0.42 iternational Active Value Equity (SA +CF) Median 7.19 4.77 -27.04 24.45 20.96 27.15 25.40 otal Fixed Income 9.27 10.53 0.64 4.96 3.27 2.81 2.68 otal Fixed Policy 7.52 9.69 4.16 5.33 3.55 2.80 3.68 ifference 1.75 0.84 -3.52 -0.37 -0.28 0.01 -1.00 Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. I(� Bo G DAHN GROUP Winter Springs General Employees General Plan and Trust Comparative Performance Fiscal Year Returns As of September 30, 2010 ton, Greiner, Hartman, Maher & Co. sell 3000 Value Index erence All Cap Value Equity (SA +CF) Median eef Asset Mgmt.Equity sell 1000 Growth Index erence Growth/Large Cap Equity (SA +CF) Median C Global (Voyageur) Cl EAFE Index erence rnational Active Value Equity (SA +CF) Median Iiard Core Fixed Income clays Capital Intermediate Aggregate erence Intermediate Fixed Income (SA +CF) Median Iiard TIPS clays Capital U.S. TIPS erence TIPS (SA +CF) Median erican Core Realty Fund REIF Property Index erence Private Real Estate -Open End (SA +CF) Median 16.63 (10) N/A N/A N/A N/A N/A N/A 9.15 (70) -10.79 (94) -22.70 (69) 13.73 (72) 14.55 (12) 16.78 (61) 20.89 (56) 7.48 N/A N/A N/A N/A N/A N/A 10.49 -3.49 -20.42 16.50 10.41 19.36 21.13 11.93 (41) 0.53 (19) -15.13 (15) N/A N/A N/A N/A 12.65 (33) -1.85 (34) -20.88 (52) 19.35 (55) 6.04 (59) 11.60 (71) 7.51 (74) -0.72 2.38 5.75 N/A N/A N/A N/A 11.13 -3.25 -20.62 19.92 6.80 14.04 10.05 11.69 (15) 11.87 (20) N/A N/A N/A N/A N/A 3.71 (72) 3.80 (58) -30.13 (75) 25.38 (45) 19.65 (71) 26.32 (64) 22.52 (77) 7.98 8.07 N/A N/A N/A N/A N/A 7.19 4.77 -27.04 24.45 20.96 27.15 25.40 9.63 (16) 12.08 (40) -1.68 (95) N/A N/A N/A N/A 7.52 (78) 9.69 (81) 4.16 (34) 5.33 (67) 3.84 (58) 2.23 (42) 3.39 (27) 2.11 2.39 -5.84 N/A N/A N/A N/A 8.22 11.44 3.24 5.46 3.91 2.09 2.87 7.28 (95) 3.97 (88) 7.72 (17) N/A N/A N/A N/A 8.89 (66) 5.67 (68) 6.20 (63) 4.97 (60) 1.91 (79) 5.32 (52) 7.52 (38) -1.61 -1.70 1.52 N/A N/A N/A N/A 9.28 6.18 6.35 5.02 2.08 5.36 7.50 2.71 N/A -32.42 (39) 4.72 (39) N/A N/A N/A N/A 5.84 N/A -22.09 (8) 5.27 (28) 17.31 (67) 17.62 (53) 19.19 (67) 12.41 (52) -3.13 -10.33 -0.55 N/A N/A N/A N/A N/A -33.41 3.47 18.34 17.92 19.86 12.50 Returns for periods greater than one year are annualized. Returns are expressed as percentages. 10/1/2007 inception date represents the date new managers were * THE hired. Total Fund Policy represents new policy beginning 10/1/2009. Old policy geometrically linked to new policy. See benchmark history for details. /( BoGDAHN GRoup Page Intentionally Left Blank fC THE )e BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total Fund (Net) September 30, 2010 Financial Reconciliation 1 Quarter Market Value Net Capital Market Value As of Transfers Contributions Distributions Fees Expenses Income Apprec.// Deprec. As of 6/30/2010 9/30/2010 Total Fund (Net) 18,301 - 1.()1 236 -31 -38 40 1,819 20,947 Financial Reconciliation October 009 To September Market Value Net Capital Market Value As of Transfers Contributions Distributions Fees Expenses Income Apprec.// Deprec. As of 9/30/2009 9/30/2010 Total Fund (Net) 17,328 2,600 -890 -123 -67 ___ 1,878 20,947 Peer Group Public Plans-Total Plans-Total Fund Cummulative Performance 1!) 00 a 0.00 L 7 a -10.00 -2000 $145.0 $137.5 133.5 $130.0 $115.0 $100.0 1 Oct -2009 1 2 3 4 5 $85.0 Quarter To Year Years Years Years Years Sep -2010 ■ Total Fund (Net) 9.92 (13) 10.92 (27) 10.92 (27) 5.70 (54) -2.41 (84) 1.24 (88) 2.53 (86) • Total Fund Policy 9.08 (32) 9.13 (76) 9.13 (76) 4.64 (74) -1.27 (55) 1.88 (71) 3.37 (63) $70.0 12/00 12/02 12/04 12/06 12/08 9/10 Median 8.65 9.98 9.98 5.85 -1.00 2.43 3.64 -Total Fund (Net) -Total Fund Policy Comparative Performance 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Total Fund (Net) -6.34 (71) 4.32 (20) 3.28 (64) 11.36 (52) 11.59 (34) -4.27 (25) Total Fund Policy -6.63 (79) 3.63 (67) 3.40 (53) 10.55 (68) 10.13 (58) -6.14 (58) All Public Plans -Total Fund Median -5.84 3.84 3.43 11.45 10.63 -5.80 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total Fund (Net) September 30, 2010 30.0 Over 0.00 Performance 20.0 c 25.00 a 10.0 = F 50.00 • ■ • • z a 75.00 w -10.0- ■ ■ ■ Under a c Performance 100.00 F -20.0 12;05 12/06 12/07 12/08 12/09 9/10 -20.0 -10.0 0.0 10.0 20.0 30.0 Total Period 5 -25 25- Median Median -75 75 -95 Total Fund Policy( %) Count Count Count Count ■ Total Fund (Net) 0 (0 %) 4 (20 %) 4 (20 %) 12 (60 %) -W Over Perfnnnance -W Under Performance Dec -2005 Sep -2010 • Total Fund Policv 0 (0 %) 9 (45 %) 10 (50 %) 1 (5 %) 10.00 5.00 0.00 a L � -5.00 a 10.00 8.00 6.00 4.00 = 2.00 L 0.00 a 0 2.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 0.00 5.00 10.00 15.00 20.00 25.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Total Fund (Net) -2.41 16.06 ■ Total Fund (Net) 2.53 12.96 • Total Fund Policy -1.27 14.20 • Total Fund Policy 3.37 11.52 - Median -1.00 14.49 - Median 3.64 11.78 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total Fund (Net) 3 14 110.03 116.70 -0.83 -0.28 -0.14 1.12 11.31 Total Fetid Policy 0 00 100.00 100.00 0.00 N/A -0.10 1.00 9.72 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total Fund (Net) 2.53 106.30 117.86 -1.07 -0.25 0.06 1.11 8.78 Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.13 1.00 7.54 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total Domestic Equity September 30, 2010 Financial Reconciliatio $80.0 Market Value 1 Oct -2009 1 2 Market Value 4 5 Net Capital Quarter To As of Years Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers Sep -2010 Apprec.// Deprec. 9/30/2010 Total Domestic Equity 8,932 1 !) 2 -19 -1 29 1,134 10,225 Financial Reconciliation Oct11' 009 To Septembe -5.04 (29) 0.17 (27) 1.93 (35) • Total Domestic Equity Policy 11.53 (32) 10.96 (32) 10.96 (32) 1.64 (50) -6.94 (63) -1.57 (61) Market Value $60.0 Market Value Net Capital 12/02 12/04 12/06 12/08 9/10 As of 11.08 Contributions Distributions Fees Expenses Income -6.31 As of 1.15 9/30/2009 Transfers -Total Domestic Equity Policy C omparative Perfo Apprec.// Deprec. 9/30/2010 Total Domestic Equity 8,077 1.008 2 -78 -4 1'� 1,097 10,225 Peer Group Core/Large Cap Equity (SA+CF) 1 Cumulative Perfo 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending 1!) pp a 0.00 L 7 a -10.00 -2000 $140.0 $1176 $120.0 $ 104.7 $1 00.0 .J $80.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ Total Domestic Equity 12.92 (10) 14.19 (6) 14.19 (6) 4.55 (12) -5.04 (29) 0.17 (27) 1.93 (35) • Total Domestic Equity Policy 11.53 (32) 10.96 (32) 10.96 (32) 1.64 (50) -6.94 (63) -1.57 (61) 0.78 (62) $60.0 12/00 12/02 12/04 12/06 12/08 9/10 Median 11.08 9.90 9.90 1.61 -6.31 -1.22 1.15 -Total Domestic Equity -Total Domestic Equity Policy C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Total Domestic Equity -10.12 (15) 5.72 (32) 6.43 (26) 15.75 (33) 17.93 (15) -7.99 (24) Total Domestic Equity Policy -11.32 (40) 5.94 (24) 5.90 (54) 15.61 (38) 15.93 (42) -11.01 (69) US Core/Large Cap Equity (SA +CF) Median -11.45 5.40 6.00 15.28 15.58 -10.42 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total Domestic Equity September 30, 2010 30.0 Over 0.00 25.00 Performance 35.00 5.00 10.00 15.00 20.00 25.00 18.0 25.00- (Standard Deviation %) R Risk (Standard Deviation %) MEN F 6.0- Return Standard Deviation 1' a 50.00 Return Standard Deviation W -6.0 P. • • • • - L 75.00 . 1.93 19.09 -18.0 • Total Domestic Equity Policy -6.94 23.05 o Under a 0.78 18.69 G Performance 100.00 -6.31 22.60 3 -30.0 - Median 12/05 12/06 12/07 12/08 1.15 12/09 9/10 0 F -30.0 -18.0 -6.0 6.0 18.0 30.0 Hist Total Period 5 -25 25- Median Median -75 75 -95 Total Domestic EquityPolicy( %) Count Count Count Count ■ Total Domestic Equity 20 0 (0 %) 9 (45 %) 6 (30 %) 5 (25 %) f Under Performance f Over Performance Dec -2005 Sep -2010 • Total Domestic Equity Polic, 0 (0 %) 0 (0 %) 15 (75 %) 5 (25 %) 5.00 10.00 0.00 -5.00 L � -10.00 a -15.00 5.00 L 0.00 a 5.00 10.00 15.00 20.00 25.00 30.00 35.00 5.00 10.00 15.00 20.00 25.00 30.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Total Domestic Equity -5.04 23.79 ■ Total Domestic Equity 1.93 19.09 • Total Domestic Equity Policy -6.94 23.05 • Total Domestic Equity Policy 0.78 18.69 - Median -6.31 22.60 - Median 1.15 18.45 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total Domestic Equity 5 57 104.35 97.07 2.29 0.40 -0.16 1.01 17.23 Total Domestic Equity Policy 0 Oti 100.00 100.00 0.00 N/A -0.27 1.00 17.04 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total Domestic Equity 43.93 132.28 95.49 9.13 0.20 0.19 0.93 24.25 Total Domestic Equity Policy 0.00 100.00 100.00 0.00 N/A -0.01 1.00 13.40 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Lateef Asset Mgmt.Equity September 30, 2010 Financial Reconciliation 1 Q uarter Market Value Net Capital Market Value As of Transfers Contributions Distributions Fees Expenses Income Apprec.// Deprec. As of 6/30/2010 9/30/2010 Lateef Asset Mgmt.Equity 4,342 7� - -11 -1 10 600 5,016 Financial Reconciliation October 009 To Septembe Quarter To Year Years Years Years Years Market Value Net Capital Market Value Sep -2010 As of Transfers Contributions Distributions Fees Expenses Income Apprec.// Deprec. As of 9/30/2009 ■ Lateef Asset Mgmt.Equity 13.95 (25) 9/30/2010 Lateef Asset Mgmt.Equity 4,480 1 -46 -2 5!) 483 5,016 Peer Group Growth/Large Cap Equity Perfo 12.65 (33) 12.65 (33) 5.15 (30) -4.36 (36) 1.08 (45) 2.06 (49) $50.0 $1100 ;n nn 20.00 e a L 0.00 a -10.00 -2000 $100.0 $95.5 $90.0 $ 87.5 $80.0 $70.0 1 Oct -2009 1 2 3 4 5 $60.0 Quarter To Year Years Years Years Years Sep -2010 ■ Lateef Asset Mgmt.Equity 13.95 (25) 11.93 (41) 11.93 (41) 6.08 (23) -1.52 (10) N/A N/A • Russell 1000 Growth Index 13.00 (40) 12.65 (33) 12.65 (33) 5.15 (30) -4.36 (36) 1.08 (45) 2.06 (49) $50.0 9/07 6/08 3/09 12/09 9/10 Median 12.33 11.13 11.13 3.79 -4.99 0.73 2.00 - LateefAssetMgmt .Equity - Russell 1000 Growth Index C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 LateefAsset Mgmt.Equity -11.88 (57) 5.33 (32) 5.83 (77) 15.34 (25) 14.76 (54) -5.85 (66) Russell 1000 Growth Index -11.75 (54) 4.65 (52) 7.94 (29) 13.97 (53) 16.32 (34) -4.12 (44) US Growth/Large Cap Equity (SA +CF) Median -11.63 4.69 7.06 14.03 15.01 -4.67 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Lateef Asset Mgmt.Equity September 30, 2010 -1.0 Uv er 0.00 30.00 40.00 5.00 10.00 15.00 20.00 Performance O 30.00 35.00 Risk (Standard Deviation %) 1.8 c 25.00 Deviation %) F, R a • z6 50.00 ■ Lateef Asset Mgmt.Equity -1.52 21.67 ■ Lateef Asset Mgmt.Equity N/A N/A • • •••••• -3.4 23.42 � • Russell 1000 Growth Index • • • 2.06 18.86 P 75.00 • • • • 23.61 - Median 2.00 • • • Hist -4.2- Down Under a Tracking d' Performance 100.00 i Downside Error Market Market 12/05 12/06 12/07 12/08 12/09 9/10 a -5.0 -4.2 -3.4 -2.6 -1.8 -1.0 Capture Capture Total Period 5 -25 25- Median Median -75 75 -95 Russell 1000 Growth Index(%) 92.39 85.21 Count Count Count Count ■ Lateef Asset Mgmt.Equity 14.06 I 1 (100 %) 0 (0 %) 0 (0 %) 0 (0 %) f Under Performance • Russell 1000 Growth Index 20 0 (0 %) 6 (30 %) 10 (50 %) 4 (20 %) 10.00 0.00 -10.00 a L � -20.00 a -30.00 0 15.00 10.00 5.00 = 0.00 L -5.00 a 10.00 0.00 10.00 20.00 30.00 40.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Lateef Asset Mgmt.Equity -1.52 21.67 ■ Lateef Asset Mgmt.Equity N/A N/A • Russell 1000 Growth Index -4.36 23.42 • Russell 1000 Growth Index 2.06 18.86 - Median -4.99 23.61 - Median 2.00 19.20 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Lateef Asset Mgmt.Equity 7.91 92.39 85.21 2.17 0.31 -0.03 0.85 14.06 Russell 1000 Growth Index 0.00 100.00 100.00 0.00 N/A -0.14 1.00 16.86 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Lateef Asset Mgmt.Equity N/A N/A N/A N/A N/A N/A N/A N/A Russell 1000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.06 1.00 13.25 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Dalton, Greiner, Hartman, Maher & Co. September 30, 2010 Financial Reconciliatio 1 Oct -2009 1 2 3 Market Value 5 Market Value Net Year Capital Years As of Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers Apprec.// Deprec. 9/30/2010 Dalton, Greiner, Hartman, Maher & Co. 4,590 7� 2 -9 -1 18 534 5,210 Financial Reconciliation Oct11' 1 Septembe 16.63 (10) N/A N/A N/A N/A $100.0 Market Value 10.10 (68) 9.15 (70) 9.15 (70) -1.32 (97) Market Value -3.81 (91) Net Capital 3/10 6/10 9/10 As of Contributions Distributions Fees Expenses Income As of 9/30/2009 Transfers Apprec.// Deprec. 9/30/2010 Dalton, Greiner, Hartman, Maher & Co. 3,596 957 Peer Group Analysis - US All Cap Value Equity (SA +CF) Cumulative Performance e a L 0.00 a -10.00 -2000 $135.6 $130.0 $129.4 $120.0 $110.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ Dalton, Greiner, Hartman, Maher & Co. 11.94 (20) 16.63 (10) 16.63 (10) N/A N/A N/A N/A $100.0 • Russell 3000 Value Index 10.10 (68) 9.15 (70) 9.15 (70) -1.32 (97) -9.04 (97) -3.81 (91) -0.39 (87) 6/09 9/09 12/09 3/10 6/10 9/10 - Dalton, Greiner, Hartman, Maher & Co. Median 10.77 10.49 10.49 2.72 -5.64 0.15 1.84 - Russell 3000 Value Index C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Dalton, Greiner, Hartman, Maher & Co. -8.39 (17) 6.12 (60) 7.17 (3) 16.26 (68) N/A N/A Russell 3000 Value Index -11.09 (64) 7.05 (43) 4.17 (78) 18.59 (47) 16.81 (80) -17.00 (98) US All Cap Value Equity (SA +CF) Median -10.50 6.52 5.06 18.23 18.28 -10.56 THE BOGDAHN GROUP Page Intentionally Left Blank fC THE )e BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total International Equity September 30, 2010 Financial Reconciliatio Market Value Market Value Net Capital As of Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers Apprec.// Deprec. 9/30/2010 Total International Equity 2,580 51 - -6 -1 1 503 3,128 Financial Reconciliation Oct11' 009 To Septembe Market Value Market Value Net Capital As of Contributions Distributions Fees Expenses Income As of 9/30/2009 Transfers Apprec.// Deprec. 9/30/2010 Total International Equity 2,318 X13 - - -24 -2 �4 269 3,128 Peer Group 1 1 Perfo ;n nn 10.00 a L 0.00 a -10.00 -2000 $150.0 141.8 137.9 $100.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ Total International Equity 19.39 (8) 11.69 (15) 11.69 (15) 11.78 (20) -8.93 (76) -1.70 (74) 2.27 (81) • MSCI EAFE Index 16.53 (38) 3.71 (72) 3.71 (72) 3.75 (69) -9.06 (76) -1.45 (73) 2.45 (80) $50.0 12/00 12/02 12/04 12/06 12/08 9/10 Median 15.74 7.19 7.19 7.01 -6.38 0.58 4.22 - TotalInternationalEquity - MSCIEAFEIndex C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Total International Equity -12.31 (59) 5.07 (5) 1.54 (63) 27.00 (3) 31.73 (9) -9.63 (20) MSCI EAFE Index -13.75 (84) 0.94 (66) 2.22 (50) 19.52 (46) 25.85 (30) -13.85 (61) International Active Value Equity (SA +CF) Median -12.04 1.96 2.06 19.27 23.57 -12.99 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Total International Equity September 30, 2010 DUM 30.0 F � 10.0 4 W -10.0 C O -30.0 -50.0 Over P erformancc Under Performance R c -50.0 -30.0 -10.0 10.0 F MSCI EAFE Index( %) f OverPerfonnance f Under Performance Dec -2005 5.00 0.00 -5.00 a -10.00 a -15.00 30.0 50.0 -#- Sep -2010 0.00 25.00 30.00 c 25.00 40.00 a 20.00 25.00 30.00 50.00 L Qi a 75.00 L Risk (Standard Deviation %) a 100.00 Deviation 12/05 12/06 Total Period 5 -25 Count ■ Total International Equity 20 0 (0 %) • MSCI EAFE Index 20 0 (0 %) 15.00 10.00 5.00 a 0.00 a 5.00 15.00 20.00 25.00 30.00 35.00 40.00 10.00 15.00 20.00 25.00 30.00 35.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Total International Equity -8.93 35.90 ■ Total International Equity 2.27 28.80 • MSCI EAFE Index -9.06 29.38 • MSCI EAFE Index 2.45 23.97 - Median -6.38 27.98 - Median 4.22 22.92 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total International Equity 114.46 107.96 2.47 0.17 -0.18 1.14 23.34 MSCI EAFE Index 0 00 100.00 100.00 0.00 N/A -0.27 1.00 20.03 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Total International Equity 7.52 108.76 107.54 0.15 0.10 0.12 1.12 18.24 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.10 1.00 15.69 THE BOGDAHN GROUP 12/07 12/08 12/09 9/10 25- Median Median -75 75 -95 Count Count Count 0 (0 %) 8 (40 %) 12 (60 %) 1 (5 %) 15 (75 %) 4 (20 %) Winter Springs General Employees General Plan and Trust RBC Global (Voyageur) September 30, 2010 Financial Reconciliation 1 Q uarter Market Value Net Capital Market Value As of Transfers Contributions Distributions Fees Expenses Income Apprec.// Deprec. As of 6/30/2010 9/30/2010 RBC Global (Voyageur) 2,580 51 - -6 -1 1 503 3,128 Financial Reconciliation October 009 To Septembe 5 $20.0 Quarter To Year Years Market Value Years Years Market Value Net Capital Sep -2010 As of Contributions Distributions Fees Expenses Income As of Transfers 9/30/2009 Apprec.// Deprec. 9/30/2010 RBC Global (Voyageur) 2,318 513 -24 -2 �4 269 3,128 Peer Group 1 1 Perfo • MSCI EAFE Index 16.53 (38) 3.71 (72) 3.71 (72) 3.75 (69) -9.06 (76) -1.45 (73) 2.45 (80) $1,00 ;n nn 10.00 e a L 0.00 a -10.00 -2000 $100.0 $80.0 $ 75.2 $60.0 $40.0- 1 Oct -2009 1 2 3 4 5 $20.0 Quarter To Year Years Years Years Years Sep -2010 ■ RBC Global (Voyageur) 19.39 (8) 11.69 (15) 11.69 (15) 11.78 (20) N/A N/A N/A • MSCI EAFE Index 16.53 (38) 3.71 (72) 3.71 (72) 3.75 (69) -9.06 (76) -1.45 (73) 2.45 (80) $0.0 9/07 6/08 3/09 12/09 9/10 Median 15.74 7.19 7.19 7.01 -6.38 0.58 4.22 -RBC Global (Voyageur) - MSCIEAFEIndex C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 RBC Global (Voyageur) -12.31 (59) 5.07 (5) 1.54 (63) 27.00 (3) 31.73 (9) -9.63 (20) MSCI EAFE Index -13.75 (84) 0.94 (66) 2.22 (50) 19.52 (46) 25.85 (30) -13.85 (61) International Active Value Equity (SA +CF) Median -12.04 1.96 2.06 19.27 23.57 -12.99 THE BOGDAHN GROUP Page Intentionally Left Blank fC THE )e BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Galliard Core Fixed Income September 30, 2010 Financial Reconciliation 1 Oct -2009 9.00 Market Value 3 L Market Value Net Capital 6.00 As of Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers Apprec.// Deprec. 9/30/2010 Galliard Core Fixed Income x.073 -1,225 - 147 3,995 Financial Reconciliation Oct11' 009 To September Sep -2010 Market Value Market Value ■ Galliard Core Fixed Income Net Capital 9.63 (16) As of Contributions Distributions Fees Expenses Income As of 9/30/2009 Transfers Apprec.// Deprec. 9/30/2010 Galliard Core Fixed Income 5,089 -1, -7 -1 466 3,995 Peer Group Analysis - US Intermediate Fixed Income (SA +CF) Cumulative Performance $122.9 $120.8 $120.0 $110.0 $100.0 1 Oct -2009 9.00 F 3 L 5 6.00 a Quarter To 3.00 Years 000 $122.9 $120.8 $120.0 $110.0 $100.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ Galliard Core Fixed Income 2.92 (29) 9.63 (16) 9.63 (16) 10.85 (28) 6.51 (86) N/A N/A $90.0 • Barclays Capital Intermediate Aggregate 2.07 (89) 7.52 (78) 7.52 (78) 8.60 (84) 7.10 (72) 6.65 (72) 6.09 (73) 9/07 6/08 3/09 12/09 9/10 - Galliard Core Fixed Income Median 2.75 8.22 8.22 9.83 7.71 7.18 6.50 - BarclaysCapitalIntermediateAggregate Comparative Performance 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Galliard Core Fixed Income 2.63 (67) 3.01 (4) 0.76 (36) 5.22 (18) 4.80 (17) 2.34 (5) Barclays Capital Intermediate Aggregate 2.92 (49) 1.81 (56) 0.53 (57) 3.21 (69) 1.68 (75) 0.91 (38) US Intermediate Fixed Income (SA +CF) Median 2.90 1.84 0.59 3.59 2.64 0.75 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Galliard Core Fixed Income September 30, 2010 S.V 7.6 7.2 0 9 6.8 YG 'w 6.4 U 9 R 6.0 Over P erforman ce Under Performance 6.0 6.4 6.8 7.2 R C7 Barclays Capital Intermediate Aggregate ( %) f Under Performance -+-Sep-2010 12.00 10.50 9.00 7.50 L 6.00 7 a 4.50 3.00 7.6 8.0 0 JUU c 25.00 a 50.00 L Pr L 75.00 0 a 100.00 12/05 12/06 12/07 12/08 12/09 9/10 Total Period 5 -25 25- Median Median -75 75 -95 Count Count Count Count ■ Galliard Core Fixed Income 1 0 (0 %) 0 (0 %) 0 (0 %) 1 (100 %) • Barclays Capital Intermediate Aggregate 20 0 (0 %) 10 (50 %) 10 (50 %) 0 (0 %) 900 8.00 7.00 = 6.00 L 5.00 a 4.00 0 2.00 4.00 6.00 8.00 10.00 12.00 1.50 3.00 4.50 6.00 7.50 9.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Galliard Core Fixed Income 6.51 4.58 ■ Galliard Core Fixed Income N/A N/A • Barclays Capital Intermediate Aggregate 7.10 2.69 ® Barclays Capital Intermediate Aggregate 6.09 2.72 - Median 7.71 3.76 - Median 6.50 3.39 Historical Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Galliard Core Fixed Income 2.79 99.15 124.12 -0.38 -0.19 1.20 0.98 2.70 Barclays Capital Intermediate Aggregate 0.00 100.00 100.00 0.00 N/A 1.77 1.00 1.47 Historical Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Galliard Core Fixed Income N/A N/A N/A N/A N/A N/A N/A N/A Barclays Capital Intermediate Aggregate 0.00 100.00 100.00 0.00 N/A 1.15 1.00 1.25 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Galliard TIPS September 30, 2010 Financial Reconciliation 10.00 Market Value 7.50 L Market Value 7 Net Capital 5.00 As of Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers Apprec.// Deprec. 9/30/2010 Galliard TIPS 946 15 5 14 979 Financial Reconciliation Oct11' 1 September Years Years Market Value Market Value Net Capital As of Contributions Distributions Fees Expenses Income As of 9/30/2009 Transfers Apprec.// Deprec. 9/30/2010 Galliard TIPS 1,117 -209 -1 is 55 979 Peer Group Analysis - US TIPS (SA +CF) Cumulative Performance i $122.2 $120.0 $120.1 $115.0 $110.0 10.00 7.50 L $105.0 7 x 5.00 Oct -2009 2.50 2 000 $122.2 $120.0 $120.1 $115.0 $110.0 $105.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ Galliard TIPS 1.89 (97) 7.28 (95) 7.28 (95) 5.61 (100) 6.31 (98) N/A N/A • Barclays Capital TIPS 2.48 (58) 8.89 (66) 8.89 (66) 7.27 (64) 6.91 (77) 6.42 (84) 5.50 (85) $100.0 9/07 6/08 3/09 12/09 9/10 Median 2.56 9.28 9.28 7.59 7.44 6.96 6.02 - Galliard TIPS - Barclays Capital TIPS Comparative Performance 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 Galliard TIPS 2.21 (93) 0.68 (58) 2.32 (18) 2.85 (85) 0.48 (91) 4.15 (79) Barclays Capital TIPS 3.82 (54) 0.56 (75) 1.76 (86) 3.08 (59) 0.66 (63) 5.52 (21) US TIPS (SA +CF) Median 3.85 0.70 1.90 3.08 0.69 4.95 r J. THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Galliard TIPS September 30, 2010 7.0 Over 0.00 Performance 6.8 c 25.00 a 6.6 = • er 50.00 • • H ♦ L 75.00 • • R 6.2- Und a jPerformance 100.00 6.0 1 1 1 12/05 12/06 12/07 12/08 12/09 9/10 6.0 6.2 6.4 6.6 6.8 7.0 Total Period 5 -25 25- Median Median -75 75 -95 Barclays Capital TIPS ( %) Count Count Count Count ■ Galliard TIPS 1 0 (0 %) 0 (0 %) 0 (0 %) 1 (100 %) f Under Performance -+-Sep-2010 • Barclays Capital TIPS 0 (0 %) 2 (10 %) 14 (70 %) 4 (20 %) 10.00 9.00 8.00 a 7.00 a 6.00 40 8.00 7.50 7.00 6.50 L 6.00 a sso 5.00 4.00 5 00 6.00 7.00 8.00 9.00 4.50 5.00 5.50 6.00 6.50 7.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ Galliard TIPS 6.31 5.37 ■ Galliard TIPS N/A N/A • Barclays Capital TIPS 6.91 5.91 • Barclays Capital TIPS 5.50 5.48 - Median 7.44 5.55 - Median 6.02 5.22 Historical Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Galliard TIPS 2.77 78.99 68.87 1.11 -0.26 0.79 0.74 4.49 Barclays Capital TIPS 0.00 100.00 100.00 0.00 N/A 0.69 1.00 6.01 Historical Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture Galliard TIPS N/A N/A N/A N/A N/A N/A N/A N/A Barclays Capital TIPS 0.00 100.00 100.00 0.00 N/A 0.42 1.00 4.94 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust American Core Realty Fund September 30, 2010 Financial Reconciliatio Market Value $70.0 Market Value Net Oct -2009 1 Capital 3 As of Contributions Distributions Fees Expenses Income As of 6/30/2010 Transfers To Year Apprec.// Deprec. 9/30/2010 American Core Realty Fund 608 - ( -1 6 22 628 Financial Reconciliation Oct11' 009 To Septembe Sep -2010 Market Value 4.56 (N /A) 2.71 (N /A) 2.71 (N /A) -16.69 (N /A) Market Value N/A Net Capital As of Contributions Distributions Fees Expenses Income -9.20 (N /A) As of 9/30/2009 Transfers $60.0 Apprec.// Deprec. 9/30/2010 American Core Realty Fund 639 ') -11 -6 25 -9 628 $1100 10 00 0.00 e a L 7 -10.00 -2000 111 $100.0 $90.0 $80.0 72 7 $70.0 1 Oct -2009 1 2 3 4 5 Quarter To Year Years Years Years Years Sep -2010 ■ American Core Realty Fund 4.56 (N /A) 2.71 (N /A) 2.71 (N /A) -16.69 (N /A) -10.09 (N /A) N/A N/A • NCREIF Property Index 3.86 (N /A) 5.84 (N /A) 5.84 (N /A) -9.20 (N /A) -4.61 (N /A) 0.45 (N /A) 3.67 (N /A) $60.0 9/07 6/08 3/09 12/09 9/10 Median N/A N/A N/A N/A N/A N/A N/A - American Core Realty Fund - NCREIF Property Index C omparative Perfo 1 1 1 1 1 1 Quarter Quarter Quarter Quarter Quarter Quarter Ending Ending Ending Ending Ending Ending Jun -2010 Mar -2010 Dec -2009 Sep -2009 Jun -2009 Mar -2009 American Core Realty Fund 3.25 (57) -0.67 (75) -4.23 (65) -9.62 (68) -7.20 (46) -12.86 (39) NCREIF Property Index 3.31 (50) 0.76 (41) -2.11 (20) -3.32 (24) -5.20 (18) -7.33 (15) US Private Real Estate -Open End (SA +CF) Median 3.30 0.64 -3.52 -7.55 -8.06 -14.81 r J. THE BOGDAHN �` GROUp Winter Springs General Employees General Plan and Trust American Core Realty Fund September 30, 2010 -4.0 0 00 18.00 8.00 10.00 12.00 14.00 16.00 Over . Risk (Standard Deviation %) . • • • • • -5.0 Performance Risk (Standard Deviation %) Return c 25.00 Return F ■ American Core Realty Fund -10.09 10.82 a N/A N/A 9 y 7.96 • • NCREIF Property Index 7 0 7. �, � .� 50.00 L � -13.83 YM1i - Median -1.70 13.74 a -9.0 L L 75.00 � Up Down U *nder a Tracking n Performance 100.00 Sharpe = -11.0 1 1 L Downside 12/05 12/06 12/07 12/08 12/09 9/10 -11.0 -9.0 -7.0 -5.0 -4.0 Ratio Beta Risk Q , Capture Total Period 5 -25 25- Median Median -75 75 -95 NCREIFProperty Index I%) Count Count Count Count 158.06 ■ American Core Realty Fund 1 N/A N/A N/A N/A f Under Performance -0-Sep-2010 • NCREIF Property Index 20 7 (35 %) 6 (30 %) 6 (30 %) 0 (0 %) 5.00 0.00 -5.00 _ -10.00 L -15.00 a -20.00 lJ 0 4 pp 2.00 0.00 _ -2.00 L -4.00 a 6.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00 8.00 10.00 12.00 14.00 16.00 18.00 Risk (Standard Deviation %) Risk (Standard Deviation %) Return Standard Deviation Return Standard Deviation ■ American Core Realty Fund -10.09 10.82 ■ American Core Realty Fund N/A N/A • NCREIF Property Index -4.61 7.96 • NCREIF Property Index 3.67 8.04 - Median -13.83 14.27 - Median -1.70 13.74 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture American Core Realty Fund 4.58 90.95 158.06 -4.38 -1.20 -1.04 1.26 11.33 NCREIF Property Index 0.00 100.00 100.00 0.00 N/A -0.71 1.00 7.41 Hist Up Down Tracking Sharpe Downside Error Market Market Alpha IR Ratio Beta Risk Capture Capture American Core Realty Fund N/A N/A N/A N/A N/A N/A N/A N/A NCREIF Property Index 0.00 100.00 100.00 0.00 N/A 0.19 1.00 5.74 THE BOGDAHN GROUP Winter Springs General Employees General Plan and Trust Benchmark History As of September 30, 2010 Total Fund Effective Date: Jan -1976 S &P 500 Index Barclays Capital Aggregate MSCI EAFE Effective Date: Oct -2003 S &P 500 Index Barclays Capital Aggregate MSCI EAFE Effective Date: Sep -2006 S &P 500 Index Barclays Capital Intermediate Aggregate Effective Date: Oct -2009 Russell 3000 Index Barclays Capital Intermediate Aggregate MSCI EAFE Barclays Capital U.S. Treasury: U.S. TIPS NCREIF Property Index Total E Effective Date: Jan -1970 65.00 S &P 500 Index 90.00 30.00 MSCI EAFE 10.00 5.00 5.00 Allocation Effective Date: Oct -2003 5.00 S &P 500 Index 85.00 60.00 MSCI EAFE 15.00 30.00 Russell 3000 Index 100.00 10.00 Effective Date: Sep -2006 S &P 500 Index 100.00 60.00 Effective Date: Oct -2009 40.00 Russell 3000 Index 77.00 MSCI EAFE 23.00 50.00 25.00 Total Domestic Equity Policy 15.00 5.00 Allocation Effective Date: Jan -1926 5.00 S &P 500 Index 100.00 Effective Date: Oct -2009 Russell 3000 Index 100.00 Total Fixed Effective Date: Nov -2000 Barclays Capital Aggregate Effective Date: Sep -2006 Barclays Capital Intermediate Aggregate 100.00 100.00 THE BOGDAHN GROUP City of Winter Springs General Employee Retirement System Compliance Checklist as of September 30, 2010 1. The Total Plan return equaled or exceeded the 8% actuarial earnings assumption over the trailing three and five year periods. ✓ 2. The Total Plan return equaled or exceeded the total plan benchmark over the trailing three and five year periods. ✓ 3. The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three and five year periods. ✓ 1. Total equity returns meet or exceed the benchmark over the trailing three and five year periods. ✓ 2. Total equity returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods. 3. The total equity allocation was less than 75% of the total plan assets at market. ✓ 4. Total foreign equity was less than 25% of the total plan assets at market. ✓ 1. Total fixed income returns meet or exceed the benchmark over the trailing three and five year periods. 2. Total fixed income returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods. 3. All fixed income investments had a minimum rating of investment grade or higher. 1. Manager outperformed the index over the trailing three year period. 2. Manager outperformed the index over the trailing five year period.. 3. Manager ranked within the top 40th percentile over trailing three and five year periods 4. Manager ranked within the top 40th percentile over trailing three and five year periods 5. Less than four consecutive quarters of under performance relative to the benchmark. 6. Three and five -year down - market capture ratios less than the index. City of Winter Springs General Employee Retirement System Compliance Checklist as of March 31, 2010 1. Manager outperformed the index over the trailing three year period. ✓ 2. Manager outperformed the index over the trailing five year period. ✓ 3. Manager ranked within the top 50th percentile over trailing three year period. ✓ 4. Manager ranked within the top 50th percentile over trailing five year period. ✓ 5. Less than four consecutive quarters of under performance relative to the benchmark. ✓ 6. Three -year down- market capture ratio less than the index. ✓ Statistics Definitions Statistics Description Return -- Compounded rate of return for the period. Standard Deviation -- A statistical measure of the range of a portfolio's performance, the variability of a return around its average return over a specified time period. Sharpe Ratio -- Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk- adjusted performance. Alpha -- A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's non - systematic return. 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 systematic risk. R- Squared -- The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R- Square means a higher correlation of the portfolio's performance to the appropriate benchmark. Treynor Ratio -- Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over the risk free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk- adjusted performance. Downside Risk -- A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product. Tracking Error -- A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark. Information Ratio -- Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value -added contribution by the manager. Consistency -- The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Excess Return -- Arithmetic difference between the managers return and the risk -free return over a specified time period. Active Return -- Arithmetic difference between the managers return and the benchmark return over a specified time period. Excess Risk -- A measure of the standard deviation of a portfolio's performance relative to the risk free return. Market Capture -- The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. ;vn Market Capture -- The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Calculation based on monthly periodicity. THE BOGDAHN GROUP Z£6L'OtZ ZOZ£S UtSUOaStAk `aax"n 111 0081 alms an'V UISUOOSiAk .d OSZ BbZSL SeXaZ `SEIIEQ i06 a;?nS `AuAi SUIIUQ OLLSI sviiva 118Z£ uP«old `OPUE1. 009 ajinS `pt'O-d PUVPUTA 106V OPUBIJO suoss:oap kizwnp 'puv ivaut4sanuz enoCfft ziCf!ldtuzs d nox1 ) NfIvaDoq JHJL SSS09 StoutilI `aiitnUaiiEAk OOZ ajinS PUOU platJutm OZ£t oii p01gD