Ft Lauderdale 1st Qtr Book

8/9/2019 Ft Lauderdale 1st Qtr Book

1/106

231 South Bemiston Avenue, 14th Floor

St. Louis, Missouri 63105

(314) 862-4848

WWW.ACGNET.COM

Investment Performance Review

For the Periods Ending March 31, 2010

City of Fort Lauderdale Police and Fire

Retirement System

ASSET CONSULTING GROUPASSET CONSULTING GROUP


2/106

City of Fort Lauderdale Police and Fire Retirement System

Tab 1 Market Overview

Tab 2 Executive Summary

Investment Guidelines and Policy Statement

Tab 3 Total Fund Performance and Analysis

Tab 4 Equity Manager Performance and Analysis

Tab 5 Long/Short Equity Manager Performance and Analysis

Tab 6 International Manager Performance and Analysis

Tab 7 Fixed Income Manager Performance and Analysis

Tab 8 Real Estate Manager Performance and Analysis

Tab 9 International Exposure

Glossary Statistical Definitions

Table of Contents


3/106


Market Overview

2010 Asset Consulting Group All Rights Reserved 1


4/106


5/106


6/106


Equity Index ReturnsFor the Periods Ending March 31, 2010

5.4

%

11

.7%

49.7%

(4.2

)%

5.9

%

12

.2%

52

.4%

(4.0

)%

2.4

%6

.8%

11

.3%

53

.6%

(7.3

%)

1.0

%4

.6%

13

.0%

49.7%

(0.8%

)

3.4

%

9.1

%

15

.2%

(0.8%

)

5.2

%8

.8%

13

.1%

62

.8%

(4.0

%)

3.4

%

10

.0% 1

4.0

%

65

.1%

(5.7

%)

2.8

%

7.6

%12

.1%

60

.3%

(2.4

%)

3.8

%

0.9

% 3.2

%

55

.2%

(6.6

%)

4.2

%

1.6

%5

.5%

61

.7%

(3.7

%)

6.6

%

1.9

%

64

.1%

(20.00%)

(10.00%)

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

Quarter Two Quarters One Year Three Years Five Years

S&P 500 Russell 3000 Russell 1000 ValueRussell 1000 Growth S&P Midcap Russell 2000Russell 2000 Value Russell 2000 Growth EAFEMSCI All Country World ex U.S.



7/106


Equity Sector ReturnsFor the Periods Ending March 31, 2010

2.9

%

1.7%

(4.6

%)

10.0%

5.0%

0.1

%

10.8%

12.5%

2.4

%

(5.7

%)

31.7

%

56.4%

15.6

%

6

7.1%

31.7

%

26.7

%

80.4%

68.6%

53.0%

5.8%

(1.6

%)

2.3

%

(9.4

%)

(4.8

%)

1.9

%

(2.4

%)

(23.4%)

(5.6

%)

(4.5

%)

(13.1%)

1.4

% 4.3

%

0.4

%

(0.3

%)

4.0% 5.

0%

(10.9%)

(0.7

%)

2.0%

(1.7

%)

(40.00%)

(20.00%)

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

Healt

hcare

Info

rmatio

nTech

nolog

y

Utilit

ies

C

onsum

erDi

screti

onary

Consu

merS

taples

Energ

y

Finan

cials

Indust

rials

Mater

ials

Telec

ommu

nicati

ons

Quarter Two Quarters Three Years Five Years



8/106


Equity Style Spectrum - Median Returns


7.6

%8.9

%

8

.3%

6.2%

6.6%

4.2%

5.5

%

6.1%

16.3

%

14.2

%

14.5

%

12.9

%

12.6

%

12.1

%

12.0

%

12.1

%

11.8

%

12.3

%

77.4

%

59

.2%

63.4

%

60.0

%

57.8

%

51.7

%

52.5

%54.8%

47.2

%50.0

%53.6%

(0.4

)%

(1.0

)%

(2.3

)%

(0.8

)%

(3.7

)%

(6.1

)% (0.8

)%

(4.0

)%

(3.0

)%

4.7%

5.9

%

5.0

%

5.7

%

2.3% 5.0

%

2.7%

1.9% 4.0% 2

.2% 3.4%

10.2

%

7.0

%

5.6

%12.8

%

(5.3

)%(1.0

)%

(20.00%)

(10.00%)

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

Sma

llValu

e

Small

Grow

th

Small

Core

SMID

MidV

alue

Mid

Grow

th

MidC

ore

Larg

eValu

e

Large

Grow

th

L

argeC

ore

Equit

yManage

rUniv

erse




9/106


International Index Returns


4.4

%

(0.2

)%

2.0

%

1.6

%3.2

%

0.1

% 6.3

% 11.2

%

5.2

%5.5

%

55.2%

45.4

%59

.5%

51.2

%

81.5

%

37.9

%

61.7

%

(6.6

)%

(7.5

)%

(7.8

)%

(9.0

)% (3.7

)%

4.2

%

3.7

%3.8

%4.6

%

16.0

%

1.3

% 6.6

%

0.9

%2.4

%8.2

%7.9

%

5.5

%

(5.3

)%

(30.00%)

(10.00%)

10.00%

30.00%

50.00%

70.00%

90.00%

MSCI

EAFE

MSCI

EAFE

Local

Curre

ncy

MSCI

Valu

e

MSCI

Grow

th

MSCIE

mg.M

arkets

Free

MSCI

Japa

n

MSCI

AllCou

ntyW

orlde

xU.S.




10/106


Fixed Income Index Returns


0.8

%

0.0

%0.7

%0.8

%1.8

%2.0

%

0.8

%

0.1

%0.7

%1.3

%2.3

%2.6

%

11.0

%

2.3

%

0.2

%1.4

%5.9% 7.4

%

7.7% 1

0.4

%

55.7

%

2.0

%

2.0

%6.0% 6.2% 6.1% 6

.0% 6.3%

2.9

%4.2

% 7.5

%

4.8

%

1.8

%2.0

%4.6

%

2.4

% 5.5%

4.9% 5

.6%5.4%

0.00%

5.00%10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

45.00%

50.00%

55.00%

60.00%

65.00%

70.00%

CPI

90-D

ayUS

T-Bil

ls

Merril

lLynch1-3Y

earTr

easuri

es

Barcl

aysCap

ital5

Year

Mun

icipal

Barcl

aysCa

pitalInt

ermediat

eAggr

egate

Barclays

Capit

alAggr

egate

Barclays

Capit

alUniv

ersal

Merrill

Lync

hHigh

Yield




11/106


As of 3/31/10 1-Month QTR 1-Year 3-Year

Aggregate -0.12% 1.78% 7.69% 6.14%

Treasury -0.85% 1.12% -1.18% 6.02%

Gov't-Related -0.18% 1.44% 4.40% 6.27%

Corporate 0.30% 2.30% 23.80% 5.95%

MBS 0.03% 1.54% 5.21% 7.03%

CMBS 2.45% 9.10% 42.81% 5.03%ABS 0.06% 2.22% 18.53% 3.89%

High Yield (Corporate) 3.13% 4.62% 56.18% 6.65%


AAA -0.30% 1.51% 3.93% 6.15%

AA 0.38% 2.53% 14.73% 5.24%

A 0.51% 2.50% 21.72% 4.82%

BAA 0.60% 3.25% 30.01% 7.26%

BA 2.83% 4.50% 40.04% 7.98%

B 2.64% 3.54% 43.19% 3.34%

CAA 3.98% 5.26% 91.53% 2.30%


1-3 Yr. -0.03% 0.95% 4.72% 5.27%

3-5 Yr. -0.01% 1.73% 6.65% 6.11%

5-7 Yr. 0.10% 2.45% 9.45% 6.01%

7-10 Yr. -0.25% 2.32% 10.95% 7.00%

10+ Yr. -0.76% 1.45% 8.15% 5.30%1Relative to the duration neutral Treasury

Time periods over one year are annualized

Source: Barclays Capital

Nominal Returns by Maturity

Fixed Income Market EnvironmentFor the Periods Ending March 31, 2010

Nominal Returns by Sector

Nominal Returns by Quality

Excess Returns by Sector1

as of March 31, 2010

128 50314

56

384

78 52 114 69

795

133350

769

426

2,507

389

4,238

1,777

5,603

-13 -51

174057

-174

61

-162

39

-1,000

0

1,000

2,000

3,000

4,000

5,000

6,000

Aggregate Gov't-

Related

Corporate MBS CMBS ABS High Yield

(Corporate)

Excess

Return

(bps)

1-Month QTR 1-Year 3-Year*

Excess Returns by Qualityas of March 31, 2010

329141362

1,578

3,131

4,0194,299

9,106

-5

467150

36232 161127 134

334 246413

20556

2,304

-174

64 147

-312 -419-104

-1,000

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

AAA AA A BAA BA B CAA

ExcessReturn

(bps)

1-Month QTR 1-Year 3-Year*



12/106


3/31/2010 12/31/2009 3/31/2009

0.16% 0.06% 0.21%

0.24% 0.19% 0.43%

0.39% 0.44% 0.55%1.02% 1.14% 0.80%

1.57% 1.67% 1.13%

2.13% 2.19% 1.32%

2.55% 2.68% 1.66%

3.28% 3.38% 2.25%

3.83% 3.83% 2.67%

4.54% 4.56% 3.58%

4.72% 4.63% 3.54%

90 Days

180 Days

1 Year2 Years

3 Years

4 Years

5 Years

7 Years

10 Years

20 Years

30 Years

Interest Rate Term Structure

Government Issues - 3 Months to 30 Year Maturity

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

0 5 10 15 20 25 30

Years-to-Maturity

Yield-

to-Maturity

3/31/2010 12/31/2009 3/31/2009



13/106


Monthly Indices Report

Periods Ending March 31, 2010

ReturnsIndex Name Style Month Qtr 2 Qtrs 1 Year 3 Years 5 Years 10 Years

Domestic Equity IndicesS&P 500 Large Cap Core 6.03% 5.38% 11.74% 49.75% (4.17)% 1.92% (0.65)%

S&P Equal Weighted Large Cap Core 7.05% 8.09% 15.06% 75.07% (2.01)% 4.36% 6.38%

Russell 1000 Large Cap Core 6.14% 5.70% 12.11% 51.57% (3.99)% 2.30% (0.37)%

Russell 1000 Growth Large Cap Growth 5.78% 4.65% 12.96% 49.75% (0.78)% 3.42% (4.21)%

Russell 1000 Value Large Cap Value 6.51% 6.79% 11.29% 53.57% (7.33)% 1.05% 3.10%

Russell 2500 Mid Cap Core 7.64% 9.20% 14.74% 65.68% (3.16)% 4.04% 4.82%

Russell 2000 Small Cap Core 8.14% 8.85% 13.07% 62.77% (3.99)% 3.36% 3.68%

Russell 2000 Growth Small Cap Growth 7.94% 7.61% 12.06% 60.31% (2.42)% 3.82% (1.53)%

Russell 2000 Value Small Cap Value 8.32% 10.03% 14.01% 65.06% (5.71)% 2.75% 8.90%

Wilshire 5000 Broad Equities 6.23% 6.03% 12.16% 52.10% (3.83)% 2.58% (0.05)%

International Equity IndicesMSCI World Broad Global 6.25% 3.36% 7.68% 53.25% (4.85)% 3.46% 0.44%

MSCI World ex US Broad Global 6.50% 1.42% 3.94% 56.75% (5.66)% 4.84% 2.12%

MSCI EAFE Developed Markets Intl 6.31% 0.94% 3.19% 55.20% (6.55)% 4.24% 1.68%

MSCI EAFE Local Currency Developed Markets Intl 7.51% 4.37% 7.89% 45.41% (7.54)% 3.66% (0.47)%MSCI EAFE Growth Developed Markets Intl Growth 6.56% 2.03% 6.32% 51.16% (5.33)% 4.61% (0.94)%

MSCI EAFE Value Developed Markets Intl Value 6.04% (0.18)% 0.14% 59.46% (7.85)% 3.80% 4.20%

MSCI Emerging Markets Free Emerging Market 8.08% 2.45% 11.23% 81.53% 5.46% 16.00% 10.11%

MSCI All Country World ex US Emerging Market 6.85% 1.65% 5.50% 61.66% (3.72)% 6.58% 3.20%

Domestic Fixed Income IndicesTreasury Bills Cash 0.00% 0.01% 0.05% 0.17% 1.99% 2.91% 2.85%

Merrill Lynch 1-3 Yr Treasuries Treasuries (0.25)% 0.70% 0.72% 1.39% 4.62% 4.23% 4.42%

Barclays Capital Muni 5 Yr 5 Yr Municipal Bonds (0.82)% 0.76% 1.32% 5.91% 6.05% 4.90% 5.19%

Barclays Capital Aggregate Core Bonds (0.12)% 1.78% 1.99% 7.70% 6.14% 5.44% 6.29%Barclays Capital Government Government Bonds (0.75)% 1.10% 0.09% (0.13)% 5.98% 5.19% 5.93%

Barclays Capital U.S. Credit Corporate Bonds 0.30% 2.27% 3.33% 20.85% 6.00% 5.37% 6.73%

Barclays Capital Muni 10 Yr 10 Yr Municipal Bonds (0.73)% 1.39% 0.11% 7.72% 5.39% 5.01% 5.71%

Merrill Lynch High Yield High Yield Bonds 3.12% 4.84% 10.96% 55.66% 6.35% 7.54% 7.47%

Real Estate IndicesNCREIF Property Real Estate N/A 0.76% (1.37)% (9.60)% (4.32)% 4.18% 7.12%NFI ODCE (net) Real Estate N/A 0.57% (3.07)% (18.64)% (11.52)% (0.93)% 3.85%NAREIT Real Estate 10.18% 10.02% 20.36% 106.70% (10.60)% 3.79% 11.42%



14/106


Executive Summary



15/106


16/106


17/106


18/106


Investment Guidelines and Policy Statement



19/106



Investment Policy Statement

The Trustees of the Police & Fire Retirement System Pension Fund, in adopting the following Investment Policy Statement, intend its provisionsto act as guidelines for the investment managers employed by the Fund. It shall be the responsibility of the investment managers to bring to theattention of the Trustees any term of the Statement, which the investment managers believe to inhibit or in any way affect their exercise ofmanagement discretion.

I. PURPOSE OF STATEMENT

The Trustees are charged by law with the responsibility for the investment of assets of the Trust Fund. To discharge this function, the Trustees are

authorized by law to engage the services of Investment Managers who possess the necessary specialized research facilities and skilled personnel toprovide expertise with respect to investment of assets entrusted to them.

In keeping with the duties of Chapter 20 of Fort Lauderdale Ordinances, this statement of investment goals and objectives is set forth.

Its purpose is to:

Determine the Trust's projected financial needs.

Express the Trustees' position with respect to the funds risk-volatility posture.

Formulate an appropriate set of goals and objectives for the Fund's assets.

II. INVESTMENT OBJECTIVES

A. Assets of the Fund shall be invested in a manner consistent with the fiduciary's acceptable standards of Chapter 112, Florida Statutes,

namely:

1. The safeguards and diversity that a professional, prudent investment manager would adhere to must be present.

2. All transactions undertaken on behalf of the Trust must be for the sole interest of Plan participants and their beneficiaries.

B. The Fund shall be invested in a manner consistent with the primary emphasis upon consistency of performance to protect the Fund fromexcessive volatility in current market value.


20/106



C. The Fund shall be invested with emphasis upon capital protection, i.e., the achievement of adequate investment growth so that thepurchasing power of the principal amount of these assets is at least maintained and preferably increased.

DD..

The Plans total return will be expected to provide equal or superior results based on a five year investment horizon, relative to theobjectives enumerated below. It is anticipated that achievement of this rate of return will raise the funded status of the plan and lower thecontribution rate as a percent of payroll.

11.. TThhee RReettiirreemmeenntt SSyysstteemmss aannnnuuaalliizzeedd ttoottaall rreettuurrnn sshhoouulldd eeqquuaall oorr eexxcceeeedd tthhee RReettiirreemmeenntt SSyysstteemmss aaccttuuaarriiaall iinntteerreesstt rraattee aassssuummppttiioonn..22.. TThhee RReettiirreemmeenntt SSyysstteemmss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn ooffaann iinnddeexx ccoommppoosseedd aass ffoolllloowwss::

3355%%

SS&&PP5500001100%% RRuusssseellll 22000000

1155%% MMSSCCII EEAAFFEE

3300 %% BBaarrccllaayyss CCaappiittaall AAggggrreeggaattee BBoonndd IInnddeexx

1100%% NNCCRREEIIFF IInnddeexx

33.. TThhee RReettiirreemmeenntt SSyysstteemmss ttoottaall rreettuurrnn sshhoouulldd eexxcceeeedd tthhee ttoottaall rreettuurrnn oofftthhee mmeeddiiaann ppllaann iinn tthhee ccoonnssuullttaannttss ppeeeerr ggrroouupp uunniivveerrssee..III. INVESTMENT GUIDELINES

A. It shall be the policy of the Fund to invest the assets in accordance with the following asset allocation levels outlined below:

Asset Class Target Allocation Minimum MaximumDomestic Equity:

Large Cap Equity 25% 20% 30%

Large Cap Equity is further defined as:

Large Cap Core 12.5% 7.5% 17.5%Large Cap Value 6.25% 1% 12%Large Cap Growth 6.25% 1% 12%

Small Cap Equity 10% 5% 15%

Small Cap Equity is further defined as:

Small Cap Value 5% 2% 10%Small Cap Growth 5% 2% 10%


21/106


22/106


23/106



24/106



2. A direct loan or an extension of a line of credit between the Plan assets and any interested party.

3. A transfer of Plan assets to an interested party for the exclusive benefit or use of the interested party.

4. An acquisition of securities, which would exceed stated limitations, 5% in any one company. Any exceptions to the foregoingrestrictions would require written Board approval with the specifics detailed.

5. Instrumentalities which are or may be deemed in violation of prohibitive transaction standards as may be specified in the FloridaStatutes, specifically Chapters 112, 175 and 185.

IV. COMMUNICATIONS

A. Documentation

Statements are to be supplied at least quarterly by each investment manager and/or bank custodian to the Trustees indicating:

1. The Fund composition, i.e., at book or original cost and at current market value (by sector, including equity, fixed income, cashequivalents, and "pure" cash balances);

2. Position, by individually named securities, showing their respective book and market values, the number of shares by date securedor sold;

3. All income cash transactions, including sources of all interest and dividends in sufficient descriptive detail. The investmentmanager is expected to provide written confirmation and documentation of all principal transactions, with the exception of cashequivalent trades, within one week of occurrence.

B. Meetings

Investment managers are expected to meet on a quarterly basis, or more often upon request, with the Trustees to review the portfolio andto discuss investment results in terms of these goals, objectives and policies.

V. BASIS FOR MEASUREMENT

Performance of this Fund is to be measured, both currently and historically, in context with these goals and objectives. In order to ensure that

investment opportunities available over a specific time period are fairly evaluated, the Trustees will use comparative performance statistics toevaluate investment results.


25/106


26/106


Total Fund Performance and Analysis



27/106

2010 Asset Consulting Group All Rights Reserved

NorthPointe

(Small Cap Growth)

Current Portfolio Structure by Fund Manager

Agincourt

Mellon Bank

Fixed

Income

Domestic

Equ

ity

Int

l.Equ

ity

Artio International Systematic(Large Cap Value)

RhumbLineS&P 500 Pooled Fund

(Large Cap Index)

INTECH(Large Cap S&P 500 Index)

Sawgrass

(Large Cap Growth)

Lee Munder

(Small Cap Value)

Rea

lEstate

Prudential

American Realty


Thornburg International

25

K2 Long ShortMaster Fund

L

ong

/Short

Equ

ity

SSGA Passive Bond Market

Index Fund


28/106


INVESCO

Historical Portfolio Structure by Fund Manager

Systematic

(Large Cap Value)

RhumbLine

S&P 500 Pooled Fund(Large Cap Index)

INTECH

(Large Cap S&P 500 Index)

INVESCOTerminated 10/02

Montag & Caldwell(Large Cap Growth)

Terminated 07/04

Agincourt

Mellon Bank

Balance

dManager

Bon

dManager

D

omestic

Equ

ity

Int

l.Equ

ity

The Boston Company(International Equity)Terminated 10/07

Lazard Asset Mgmt.(International Equity)Terminated 01/06

Oechsle International

(Emerging Markets)Terminated 01/06

Sawgrass

(Large Cap Growth)

RhumbLine

(Mid Cap Index)Terminated 11/06

Lee Munder(Small Cap Value)

NorthPointe(Small Cap Growth)

Supplemental Account

Previous Management1) Fayez Sarofim 2) INVESCO

SovranTerminated 11/99

INVESCO Enhanced

S&P 500Terminated 03/04


Artio International Equity

Thornburg International

26

Essex Investment(Large Cap Growth)

Terminated 03/07

SSGA Passive Bond MarketIndex Fund


29/106


This Quarter Year-To-Date Last Twelve Months

Beginning Market Value

Net Additions

Return on Investment

Income Received

Gain/Loss

Ending Market Value

13,921

1,426

12,495

422,958

$417,484 $345,479

-8,447 -12,059

$417,484

-8,447

13,921 89,538

1,426 6,126

12,495 83,411

422,958 422,958


Total Portfolio

Total Portfolio Dollar Reconciliation (000s)



30/106

Ci f F L d d l P li d Fi R i S


31/106


Market Values % of Portfolio 1QTR Rank 01YR Rank 02YR Rank 03YR Rank 05YR Rank

Rates of Return Summary & Universe RankingsFor the Periods Ending March 31, 2010

Fixed Income 116,718,002 27.6% 2.2% 12.0% 6.4% 6.6% 5.8%

Core Fixed Income 116,718,002 27.6%

Agincourt 68,973,100 16.3% 2.6% 29 15.1% 36 6.6% 47 6.4% 62 5.7% 58

Mellon Aggregate Bond Index Fund 20,782,353 4.9% 1.6% 81 7.1% 82 5.2% 78 6.1% 74 5.4% 73

SSGA Passive Bond Market Index Fund 26,962,549 6.4% N/A -- N/A -- N/A -- N/A -- N/A --

Citigroup Broad Investment Grade 1.5% 6.4% 5.5% 6.5% 5.7%

Barclays Capital Aggregate 1.8% 7.7% 5.4% 6.1% 5.4%

Median Core Bond Manager 2.2% 12.3% 6.5% 6.7% 5.9%

Real Estate 25,239,561 6.0% -0.2% -22.0% -23.0% N/A N/A American Stable Value Fund 17,273,748 4.1% -0.7% 72 -20.4% 58 -19.6% 51 N/A -- N/A --

PRISA II 7,965,813 1.9% 0.8% 32 -26.1% 72 -31.8% 82 N/A -- N/A --

NCREIF Property 0.8% -9.6% -12.2% -4.3% 4.2%

NFI ODCE (net) 0.6% -18.6% -21.4% -11.5% -0.9%

Median Real Estate Funds 0.0% -15.2% -19.4% -10.4% 0.5%

Cash 3,640,620 0.9%Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.



32/106


Over/-Under

Market Value Target

Equity 277,359,392 5.6%

Large Cap 133,588,530 6.6%

Small/Mid Cap 46,438,460 1.0%

Long/Short Equity 42,045,610 -0.1%

International Equity 55,286,792 -1.9%

Fixed Income (Incl. Cash) 120,358,622 -1.5%

Real Estate 25,239,561 -4.0%

Total $422,957,575

28.5%

13.1%

9.9%

31.6%

11.0%

City of Fort Lauderdale Police and Fire Retirement SystemFor the Periods Ending March 31, 2010

55-65%

5-15%

20-30%

65.6%

Actual vs. Target Allocation

Current Allocation

25.0%

10.0%

Target RangeTarget Allocation

100.0%

25-35%

10-20%

30.0%

60.0%

15.0%

10.0% 5-15%

6.0% 10.0% 5-15%



33/106


Ranking 57 74 51 62 87 72

1 Quarter 1 Year 2 Years 3 Years 5 Years 10 Years

5th Percentile 4.89 42.59 4.06 4.03 5.85 5.38

25th Percentile 3.95 35.48 0.92 0.78 5.01 4.5350th Percentile 3.57 30.39 -0.62 -0.35 4.50 3.69

75th Percentile 3.13 26.36 -2.20 -1.34 3.91 3.21

95th Percentile 2.48 19.23 -5.05 -3.51 2.96 2.47

Observations 126 125 123 117 117 105

Total Portfolio


The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P

500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and

10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.

3.4

3.6

3.6

26.9

28.4 3

0.4

-0.6

-1.7

-0.6

-0.8

-1.1

-0.3

3.6

2.8 4

.5

3.3

2.0 3

.7

-10

-5

0

5

10

15

20

25

30

35

40

RateofReturn%


Total Portfolio Policy Index Master Trust Funds - Public Funds



34/106


Ranking 74 15 79 84 76

Mar 2010 Mar 2009 Mar 2008 Mar 2007 Mar 2006

5th Percentile 42.59 -13.14 4.72 13.27 17.1925th Percentile 35.48 -23.94 2.06 11.80 14.76

50th Percentile 30.39 -26.30 0.58 10.80 13.37

75th Percentile 26.36 -28.66 -0.90 9.94 11.69

95th Percentile 19.23 -30.83 -3.00 8.18 8.57

Observations 125 194 204 233 236

Total Portfolio

One Year Periods Ending March

The number above the bars represents the total portfolio's ranking for this portfolio versus the public fund universe. The rankings are on a scale of 1 to 100 with 1 being the best. Effective August 2009, the Policy Index is composed of 35% S&P

500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 2009, the Policy Index was composed of 60% S&P 500, 30% Barclays Capital Aggregate and10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.

26.9

28.4

30.4

-22.2

-24.7

-26.3

-1.3

0.1

0.6

9.4 9

.810.8 1

1.7

7.9

13.4

-50

-40

-30

-20

-10

0

10

20

30

40

50

RateofReturn%


Total Portfolio Policy Index Master Trust Funds - Public Funds



35/106


AnnualizedReturn

Sharpe Ratio

Total Portfolio 3.56 0.04

Policy Index 2.76 -0.04

Master Trust Funds - Public Funds 4.50 0.11

Risk vs. Return AnalysisFive Years Ending March 31, 2010

10.28

10.80

11.83

Effective August 2009, the Policy Index is composed of 35% S&P 500, 10% Russell 2000, 15% MSCI EAFE, 30% Barclays Capital

Aggregate Bond Index and 10% NCREIF Index. From June 2007 to July 31, 2009, the Policy Index was composed of 60% S&P 500, 30%

Barclays Capital Aggregate and 10% NCREIF Index. Prior to that the Policy Index was 60% S&P 500 and 40% Barclays Capital Aggregate.

Standard Deviation

Total Portfolio

Policy Index

Master Trust Funds -

Public Funds

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

5

10.2 10.4 10.6 10.8 11 11.2 11.4 11.6 11.8 12

Standard Deviation

Return



36/106


Equity Manager Performance and Analysis



37/106


This Quarter


Net Additions


Income

Gain/Loss

Ending Market Value

Systematic Financial ManagementFor the Period Ending March 31, 2010

Account Description Performance Goals

Benchmark: Russell 1000 Value

Fees: 38 bps for the first $50 million; 30 bps for the next $25 million; and 25

bps thereafter

Over a market cycle, performance in the upper third of appropriate universe (Large

Value); above median performance among style peers for shorter term periods.

Outperform the Russell 1000 Value Index over a full market cycle.

Strategy: Large Capitalization Value

Vehicle: Separate Account

Inception date: November 2002

0 -7,824

43,073 43,073

3,099 16,713

148 711

2,951 16,003

Dollar Growth Summary (in 000s) Growth of a Dollar

39,974 34,184

Last 12 Months

$0.00

$0.50

$1.00

$1.50

$2.00

$2.50

Sep-0

2

Mar-0

3

Sep-0

3

Mar-0

4

Sep-0

4

Mar-0

5

Sep-0

5

Mar-0

6

Sep-0

6

Mar-0

7

Sep-0

7

Mar-0

8

Sep-0

8

Mar-0

9

Sep-0

9

Mar-1

0

Systematic Financial Management Russell 1000 Value


Ci f F L d d l P li d Fi R i S


38/106


GENERAL ELEC CO 4.2% BANK OF AMERICA CORP 2.2%

WELLS FARGO & CO 3.3% AMERIPRISE FINL INC 2.2%

JPMORGAN CHASE & CO 2.7% HESS CORP 2.0%

CHEVRON CORP 2.5% WHITING PETE CORP NEW 2.0%

EXXON MOBIL CORP 2.5% COOPER INDUSTRIES PLC 1.8%

CLIFFS NATRES INC 54.2% WYNDHAM WORLDWIDE CORP 28.2%

REGIONS FINL CORP NEW 48.6% QWEST COMMUNICATIONS INTL INC 26.2%

KEYCORP NEW 39.8% FORD MTR CO DEL 25.7%

CUMMINS INC 35.5% WALTER ENERGY INC 22.7%

COMERICA INC 28.8% CITIGROUPINC 22.4%

HERTZ GLOBAL HLDGS INC -16.2% SMUCKER JM CO -1.9%

DEVON ENERGY CORPORATION -12.2% MICRON TECHNOLOGY INC -1.6%

CHESAPEAKEENERGY CORP -8.4% EXXON MOBIL CORP -1.1%

VERIZON COMMUNICATIONS -5.0% CELANESE CORP DE -0.7%

ADVANCED MICRO DEVICES INC -4.2% CHEVRON CORP -0.6%

Ten Worst Performers (Quarter)

Characteristics

Sector Allocation

Systematic Financial Management

Ten Largest Holdings (Weight)

Ten Best Performers (Quarter)

As of March 31, 2010, Systematic Financial Management held 87 securities in theirportfolio. Holdings and portfolio characteristics are as follows:

53.48

71.93

10.6

4

4.1

05.89

5.4

6

2.1

62.0

018.23 17

.20

1.35

2.1

3

0

10

20

30

40

50

60

70

80

90

Avg Mkt

Cap ($Bil)

Med Mkt

Cap ($Bil)

Erngs Grth P/B P/E Yield


10

.6

5.5

17

.6

26

.1

8.7 1

0.9

5

.0

4.1

5

.1 6.4

0.0

12

.6

1.9

14

.9

28

.4

9.7

13

.3

6.4 6

.8

2.7 2.1 1.2

0

5

10

15

20

25

30

35

40

ConsumerDiscretionary

ConsumerStaples

Energy

Financials

HealthCare

Industrials

InformationTechnology

Materials

TelecommunicationServices

Utilities

Other/Cash





39/106

y y

Return

Standard Deviation

Sharpe RatioBeta

Alpha

Up Capture

Down Capture

Correlation

R Square

Number of Months

Highest Monthly Return

Lowest Monthly ReturnNumber of Pos. Months

Number of Neg. Months

% Positive Months

All information calculated using monthly data.

Systematic

Financial

Management Russell 1000 Value

31

56

64.37%

87

10.72%

-17.31%56

31

64.37%

87

9.61%

-15.19%

Risk vs. Return (7 Year Annualized) Portfolio Statistics



Return Histogram (7 Years) Return Analysis

7 Years

--

0.96

0.16

Russell 1000 Value

15.9215.80

0.340.46

Systematic

Financial

Management

9.47 7.68

--

1.00

--

--

--

107.44

101.38

97.19

94.46

Systematic Financial

ManagementRussell 1000 Value

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

10.00%

15.78% 15.80% 15.82% 15.84% 15.86% 15.88% 15.90% 15.92% 15.94%

Standard Deviation

Rate

ofReturn

8

6

3

7

54

14

108 8

1110

1

5 5

8

4

20

810

1

12

0

5

10

15

20

25

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%




40/106


41/106


Ranking 68 39 26 43 31


5th Percentile 76.07 -33.95 0.00 18.63 19.94

25th Percentile 59.01 -37.69 -6.85 16.88 16.76

50th Percentile 54.83 -41.30 -10.42 15.68 15.03

75th Percentile 51.47 -43.73 -12.54 14.39 12.71

95th Percentile 38.38 -47.04 -20.51 11.54 10.78

Observations 288 390 362 321 285



The numbers above the bars are the rankings for this portfolio versus the large value equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.

53.2

53.6

54.8

-39.8

-42.4

-41.3

-6.9

-10.0

-10.4

16.0 16.8 15.7 1

6.213.3 1

5.0

-70

-50

-30

-10

10

30

50

70

RateofReturn%


Systematic Financial Management Russell 1000 Value Median Large Value Mgr




42/106


This Quarter


Net Additions


Income

Gain/Loss

Ending Market Value

INTECHFor the Period Ending March 31, 2010


Benchmark: S&P 500

Fees: 35 bps for the first $100 million, 30bps for the next $100 million, 25 bps

for the next $100 million, 20 bps for the next $200 million, & 17.5 bps for over

$500 million


Core); above median performance among style peers for shorter term periods.

Outperform the S&P 500 Index over a full market cycle.

Strategy: Large Capitalization Core Equity


Inception date: March 2004

0 -15,029

24,561 24,561

1,312 11,289

111 685

1,201 10,604


23,249 28,301

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

$1.40

$1.60

$1.80

Mar-0

4

Sep-0

4

Mar-0

5

Sep-0

5

Mar-0

6

Sep-0

6

Mar-0

7

Sep-0

7

Mar-0

8

Sep-0

8

Mar-0

9

Sep-0

9

Mar-1

0

INTECH S&P 500




43/106

y y

EXXON MOBIL CORP 3.9% GENERAL ELEC CO 1.8%

AT&T INC 2.3% JOHNSON & JOHNSON 1.8%

MICROSOFT CORP 2.2% CHEVRON CORP 1.7%

INTERNATIONAL BUSINESS MACHS 2.2% CISCO SYSINC 1.5%

APPLE INC 1.9% GOOGLE INC 1.4%

ZIONS BANCORPORATION 70.2% MARSHALL & ILSLEY CORP 47.9%

GENWORTH FINL INC 61.6% HUNTINGTON BANCSHARES INC 47.4%

TYSON FOODS INC 56.4% MILLIPORECORP 46.0%

JDS UNIPHASE CORP 51.9% KEY CORP 39.8%

REGIONS FINL CORP 48.6% FIFTH THIRD BANCORP 39.5%

BOSTON SCIENTIFIC CORP -19.8% PPL CORP -13.2%

AES CORP -17.4% MONSANTO CO -12.4%

SOUTHWESTERN ENERGY CO -15.5% DEVON ENERGY CORPORATION -12.2%

CABOT OIL & GAS CORP -15.5% WESTERN DIGITAL CORP -11.7%

KLA TENCOR CORP -14.1% ALCOA INC -11.5%


Characteristics

Sector Allocation

INTECH



As of March 31, 2010, INTECH held 402 securities in their portfolio. Holdings andportfolio characteristics are as follows:

78.01

82.1

2

11.0

5

9.60

6.79

6.67

3.5

1

3.3

718.91

18.84

1.7

31.8

7

0

10

20

3040

50

60

70

80

90

100

Avg Mkt

Cap ($Bil)

Med Mkt

Cap ($Bil)


INTECH S&P 500

10

.111

.3

10

.91

6.5

12

.2

10

.5

18

.9

3

.5

2.8

3

.4

0.0

13

.7

9.3 1

0.9 1

3.8

11

.4

8.1

23

.4

3.1

3

.5

2.2

0.505

10

15

20

25

30

35


ConsumerStaples

Energy

Financials

HealthCare

Industrials


Materials


Utilities

Other/Cash

INTECH S&P 500




44/106

Return

Standard Deviation

Sharpe RatioBeta

Alpha

Up Capture

Down Capture

Correlation

R Square

Number of Months




% Positive Months


INTECH S&P 500

25

48

65.75%

73

9.57%

-16.80%47

26

64.38%

73

9.27%

-17.16%


INTECH



6 Years

--

1.00

0.11

S&P 500

15.2115.26

0.020.10

INTECH

4.02 2.70

--

1.00

--

--

--

104.20

97.67

99.31

98.63

INTECH

S&P 500

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

15.21% 15.22% 15.23% 15.24% 15.25% 15.26% 15.27%

Standard Deviation

Rate

ofReturn

7

3

56

4

8

11

910

3

6

8

4

2

7

4

8

16

4

10

3

6

0

2

4

6

8

10

12

14

16

18

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%

INTECH S&P 500




45/106

Ranking 42 75 36 44 36 24


5th Percentile 7.56 65.31 1.55 -0.14 4.81 6.45

25th Percentile 6.12 52.32 -2.68 -3.09 3.00 3.9150th Percentile 5.47 49.97 -3.55 -4.02 2.18 3.18

75th Percentile 5.36 48.85 -3.88 -4.32 1.95 2.77

95th Percentile 3.98 41.60 -6.00 -7.16 1.09 2.19

Observations 661 609 559 506 391 339

INTECH


The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.

5.6

5.4

5.5

48.9

49.8

50.0

-3.2

-3.7

-3.5

-3.9

-4.2

-4.0

2.5

1.9 2

.2 4.0

2.7 3

.2

-20

-10

0

10

20

30

40

50

60

RateofReturn%


INTECH S&P 500 Median Large Core Mgr




46/106


Ranking 75 26 60 49 40


5th Percentile 65.31 -32.91 1.13 15.81 19.51

25th Percentile 52.32 -37.03 -4.55 13.57 15.42

50th Percentile 49.97 -37.97 -5.06 11.90 12.92

75th Percentile 48.85 -38.66 -6.59 11.59 11.76

95th Percentile 41.60 -44.89 -12.40 9.13 9.50

Observations 609 759 712 621 543

INTECH


The numbers above the bars are the rankings for this portfolio versus the large core equity universe. The rankings are on a scale of 1 to 100 with 1 being the best.

48.9

49.8

50.0

-37.1

-38.1

-38.0

-5.3

-5.1

-5.1

11.9

11.8

11.9 1

4.3

11.7

12.9

-60

-40

-20

0

20

40

60

RateofReturn%


INTECH S&P 500 Median Large Core Mgr



47/106


48/106


Rh bli L C F d


49/106

Return

Standard Deviation

Sharpe RatioBeta

Alpha

Up Capture

Down Capture

Correlation

R Square

Tracking Error

Number of Months


Lowest Monthly Return

Number of Pos. Months


% Positive Months


--

--

0.33

-0.43 -0.65

-0.190.99

--

-0.201.00

Rhumbline Large

Cap Fund S&P 500

59

115

66.09%

174

9.78%

-16.80%

109

65

62.64%

174

17.16%

-16.58%


Rhumbline Large Cap Fund



10 Years

--

99.96

S&P 500

15.9315.80

Rhumbline Large

Cap Fund

98.57

99.98

--

--

0.02

99.58

Rhumbline Large

Cap Fund

S&P 500

-0.70%

-0.60%

-0.50%

-0.40%

-0.30%

-0.20%

-0.10%

0.00%

15.78% 15.80% 15.82% 15.84% 15.86% 15.88% 15.90% 15.92% 15.94%

Standard Deviation

Rat

eofReturn

19

45

14

7

14

23

4

12

3

15

19

5 5

13

7

14

22

5

12

3

15

0

5

10

15

20

25

30

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%

Rhumbline Large Cap Fund S&P 500




50/106

Ranking 74 67 42 41 55 64


5th Percentile 7.56 65.31 1.55 -0.14 4.81 7.78

25th Percentile 6.12 52.32 -2.68 -3.09 3.00 4.64

50th Percentile 5.47 49.97 -3.55 -4.02 2.18 1.31

75th Percentile 5.36 48.85 -3.88 -4.32 1.95 -0.57

95th Percentile 3.98 41.60 -6.00 -7.16 1.09 -0.76

Observations 661 609 559 506 391 191



The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

5.4

5.4

5.5

49.7

49.8

50.0

-3.4

-3.7

-3.5

-3.9

-4.2

-4.0

2.1 1

.9 2.2

-0.4

-0.7

1.3

-30

-20

-10

0

10

20

30

40

50

60

70

RateofReturn%


Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr




51/106

Ranking 67 34 31 64 82


5th Percentile 65.31 -32.91 1.13 15.81 19.51

25th Percentile 52.32 -37.03 -4.55 13.57 15.42

50th Percentile 49.97 -37.97 -5.06 11.90 12.92

75th Percentile 48.85 -38.66 -6.59 11.59 11.76

95th Percentile 41.60 -44.89 -12.40 9.13 9.50

Observations 609 759 712 621 543



The numbers above the bars are the rankings for this portfolio versus the large core manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

49.7

49.8

50.0

-3

7.6

-3

8.1

-3

8.0

-4.9

-5.1

-5.1

11.9

11.8

11.9

11.7

11.7

12.9

-60

-40

-20

0

20

40

60

RateofReturn%


Rhumbline Large Cap Fund S&P 500 Median Large Core Mgr




52/106

This Quarter


Net Additions


Income

Gain/Loss

Ending Market Value

SawgrassFor the Period Ending March 31, 2010


Benchmark: Russell 1000 Growth

Fees: 50 bps up to $100 million and 40 bps above $100 million


Growth); above median performance among style peers for shorter term periods.

Outperform the Russell 1000 Growth Index over a full market cycle.

Strategy: Large Capitalization Growth


Inception Date: March 2007

0 -11,090

39,471 39,471

1,497 13,314

172 640

1,325 12,675


37,974 37,247

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

$1.40

Mar-0

7

Jun-0

7

Sep-0

7

Dec-0

7

Mar-0

8

Jun-0

8

Sep-0

8

Dec-0

8

Mar-0

9

Jun-0

9

Sep-0

9

Dec-0

9

Mar-1

0

Sawgrass Russell 1000 Growth




53/106

MICROSOFT CORP 4.5% GILEAD SCIENCES INC 3.1%

INTERNATIONAL BUSINESS MACHS 4.4% MCDONALDS CORP 3.0%

CISCO SYSINC 4.3% HEWLETT PACKARD CO 2.9%

CVS CAREMARK CORP 3.3% WAL MART STORES INC 2.9%

ABBOTT LABS 3.2% ELI LILLY & CO 2.8%

FAMILY DLR STORES INC 32.1% CVS CAREMARK CORP 13.8%

JACOBS ENGR GROUP INC 20.1% APPLE INC 11.4%

AFLAC INC 18.1% YUM BRANDS INC 10.3%

TJX COS INC 16.7% INTEL CORP 10.0%

GENERAL DYNAMICS CORP 13.9% PEPSICO INC 9.6%

PUBLIC SVC ENTERPRISE GROUP -10.2% QUEST DIAGNOSTICS INC -3.3%

QUALCOMM INC -8.8% ABBOTT LABS -1.7%

GOOGLE INC -8.6% INTERNATIONAL BUSINESS MACHS -1.6%

ARCHER DANIELS MIDLAND CO -7.2% EXXON MOBIL CORP -1.1%

MICROSOFT CORP -3.6% BAXTER INTL INC -0.3%


Characteristics

Sector Allocation

Sawgrass



As of March 31, 2010, Sawgrass held 47 securities in their portfolio. Holdings andportfolio characteristics are as follows:

81.5

8

76.3

9

34.8

9

4.80 7.

07

7.4

2

4.4

84.6

718.4

3

20.37

1.6

71.53

0

10

20

30

40

50

60

70

80

90

100

Avg Mkt

Cap ($Bil)

Med Mkt

Cap ($Bil)



10

.91

5.9

3.9 5

.2

15

.9

10

.7

32

.3

3.8

0.6 0.8 0.0

15

.4

12

.5

2.6

1.6

20

.2

10

.8

30

.4

1.4

0.0 0.94

.1

05

10

15

20

25

30

35

40


ConsumerStaples

Energy

Financials

HealthCare

Industrials


Materials


Utilities

Others/Cash




Sawgrass


54/106

Return

Standard Deviation

Sharpe Ratio

Beta

Alpha

Up Capture

Down Capture

Correlation

R Square

Number of Months




% Positive Months



15

21

58.33%

36

9.60%

-17.61%20

16

55.56%

36

6.84%

-16.69%


Sawgrass



3 Years

--

0.86

-0.15

Russell 1000 Growth

20.4617.80

-0.11-0.21

Sawgrass

-2.19 -0.78

--

1.00

--

--

--

82.02

88.23

98.71

97.44

Sawgrass

Russell 1000 Growth

-2.50%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

17.50% 18.00% 18.50% 19.00% 19.50% 20.00% 20.50% 21.00%

Standard Deviation

RateofReturn

7

2

0

4

2

1

3

6

5

2

4

8

1

0

5

2

0

4

1

5

4

6

0

1

2

34

5

6

7

8

9

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%




Sawgrass


55/106

Ranking 62 67 87 56 71

1 Quarter 2 Quarters 1 Year 2 Years 3 Years

5th Percentile 6.47 14.96 69.43 4.48 3.65

25th Percentile 5.09 13.10 50.55 0.93 1.43

50th Percentile 4.23 12.08 47.16 -1.18 -0.79

75th Percentile 3.49 10.90 42.98 -3.59 -2.76

95th Percentile 2.43 8.90 35.45 -7.92 -5.16

Observations 490 472 447 401 355

Sawgrass


The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

3.9

4.7

4.2

11.2

13.0

12.1

40.2

49.8

47.2

-1.9

-0.8

-1.2

-2.2

-0.8 -0

.8

-20

-10

0

10

20

30

40

50

60

RateofReturn%


Sawgrass Russell 1000 Growth Median Large Growth Mgr




56/106

Ranking 87 22 79


5th Percentile 69.43 -28.74 8.96 10.92 26.19

25th Percentile 50.55 -31.79 2.32 7.15 21.00

50th Percentile 47.16 -34.31 0.00 5.44 16.64

75th Percentile 42.98 -36.59 -1.79 2.27 12.85

95th Percentile 35.45 -41.04 -5.20 -1.57 8.61

Observations 447 593 549 456 379

Sawgrass


The numbers above the bars are the rankings for this portfolio versus the large growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

40.2

49.8

47.2

-31.4

-34.3

-34.3

-2.7

-0.8

0.0 7

.1

5.4

13.1 16.6

-60

-40

-20

0

20

40

60

RateofReturn%


Sawgrass Russell 1000 Growth Median Large Growth Mgr



Lee Munder Small Cap Value


57/106

This Quarter

Beginning Market ValueNet Additions


Income

Gain/Loss

Ending Market Value

Lee Munder Small Cap ValueFor the Period Ending March 31, 2010


Benchmark: Russell 2000 Value

Fees: 75 bps

Over a market cycle, performance in the upper third of appropriate universe (Small

Value); above median performance among style peers for shorter term periods.

Outperform the Russell 2000 Value Index over a full market cycle.

Strategy: Small Capitalization Value


Inception Date: November 2006

0 -2,500

24,124 24,124

2,139 11,055

81 330

2,058 10,725


21,985 15,569

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

$1.40

Dec-0

6

Mar-0

7

Jun-0

7

Sep-0

7

Dec-0

7

Mar-0

8

Jun-0

8

Sep-0

8

Dec-0

8

Mar-0

9

Jun-0

9

Sep-0

9

Dec-0

9

Mar-1

0

Lee Munder Small Cap Value Russell 2000 Value





58/106

EMPLOYERS HLDGS INC 2.1% PORTLAND GEN ELEC CO 1.5%

GREAT PLAINS ENERGY INC 2.1% ZORAN CORP 1.5%

TOWERS WATSON & CO 1.8% TRIUMPH GROUP INC 1.4%

PROASSURANCE CORP 1.6% SWIFT ENERGY CO 1.4%

AGL RES INC 1.5% KAYDON CORP 1.4%

ZIONS BANCORPORATION 70.2% BEBE STORES INC 42.0%

SYNOVUS FINANCIAL CORP 60.9% INTERFACE INC 39.4%

ETHAN ALLEN INTERIORS INC 54.3% RICHARDSON ELECTRS LTD 35.8%

TRIUMPH GROUP INC 45.4% ABERCROMBIE & FITCH CO 31.6%

CBL & ASSOC PPTYS INC 43.7% BE AEROSPACE INC 29.6%

GOODRICH PETE CORP -35.8% PANTRY INC -8.1%

ATC TECHNOLOGY CORP -28.0% CENTRAL GARDEN & PET CO -7.8%

DEAN FOODSCO NEW -13.0% KENSEY NASH CORP -7.5%

KADANT INC -9.7% CLEAN HBRS INC -6.8%

BANCORPSOUTH INC -9.6% COOPER TIRE & RUBR CO -4.6%


Characteristics

Sector Allocation




As of March 31, 2010, Lee Munder Small Cap Value held 110 securities in theirportfolio. Holdings and portfolio characteristics are as follows:

1.6

1

1.04

1.42

0.4

0 3.2

1

2.6

1

1.7

7

1.4

4

15.2

7

16.48

1.28

1.7

0

0

5

10

15

20

25

Avg Mkt

Cap ($Bil)

Med Mkt

Cap ($Bil)



12

.9

2

.7 5.8

34

.7

4.5

16

.1

10

.4

6.7

0.4

5.6

0.0

11

.2

7.3

5.1

27

.2

2

.9

16

.1

15

.2

5.7

0.0

6.8

2.5

05

10

15

20

25

30

35

40

45


ConsumerStaples

Energy

Financials

HealthCare

Industrials


Materials


Utilities

Other/Cash






59/106

Return

Standard Deviation

Sharpe Ratio

Beta

Alpha

Up Capture

Down Capture

Correlation

R Square

Number of Months




% Positive Months


Lee Munder Small

Cap Value Russell 2000 Value

15

26

63.41%

41

15.87%

-19.98%25

16

60.98%

41

17.10%

-19.16%




3 Years

--

0.89

0.61

Russell 2000 Value

26.6324.09

-0.270.03

Lee Munder Small

Cap Value

2.36 -5.71

--

1.00

--

--

--

101.00

80.64

98.62

97.25

Lee Munder Small Cap

Value

Russell 2000 Value

-7.00%

-6.00%

-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

23.50% 24.00% 24.50% 25.00% 25.50% 26.00% 26.50% 27.00%

Standard Deviation

RateofReturn

8

1

2 2 2

1

2

3 3

6 6

10

1

2

0

2

1

4

1

43

8

0

2

4

6

8

10

12

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%






60/106

Ranking 80 47 63 40 13


5th Percentile 16.25 22.32 126.90 12.87 3.34

25th Percentile 11.91 17.67 89.27 7.81 0.96

50th Percentile 10.24 16.30 77.40 5.74 -0.40

75th Percentile 9.79 14.49 70.77 1.48 -5.34

95th Percentile 7.36 13.04 59.03 -3.69 -8.27

Observations 95 93 89 80 68

p


The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

9.7

10.0

10.2

16.4

14.0 1

6.3

73.8

65.1

77.4

7.2

0.4

5.7

2.4

-5.7 -0

.4

-30

-10

10

30

50

70

90

RateofReturn%


Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr



L M d S ll C V l


61/106

Ranking 63 13 13


5th Percentile 126.90 -32.39 -2.08 18.25 30.94

25th Percentile 89.27 -34.92 -10.82 14.42 24.41

50th Percentile 77.40 -39.43 -15.47 11.47 20.88

75th Percentile 70.77 -42.88 -18.27 8.85 16.54

95th Percentile 59.03 -48.97 -23.98 4.06 11.85

Observations 89 118 106 93 76



The numbers above the bars are the rankings for this portfolio versus the small value manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

73.8

65.1

77.4

-33.9

-38.9

-

39.4

-6.7

-16.9

-15.5

10.4

11.5

23.8

20.9

-70

-50

-30

-10

10

30

50

70

90

RateofReturn%


Lee Munder Small Cap Value Russell 2000 Value Median Small Value Mgr



NorthPointe Small Cap Growth


62/106

This Quarter



Income

Gain/Loss

Ending Market Value

pFor the Period Ending March 31, 2010


Benchmark: Russell 2000 Growth

Fees: 43 bps plus performance fee

Over a market cycle, performance in the upper third of appropriate universe (Small

Growth); above median performance among style peers for shorter term periods.

Outperform the Russell 2000 Growth Index over a full market cycle.

Strategy: Small Capitalization Growth


Inception Date: November 2006

0 -2,432

22,314 22,314

1,209 9,035

5 55

1,203 8,981


21,106 15,711

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

$1.40

Dec-0

6

Mar-0

7

Jun-0

7

Sep-0

7

Dec-0

7

Mar-0

8

Jun-0

8

Sep-0

8

Dec-0

8

Mar-0

9

Jun-0

9

Sep-0

9

Dec-0

9

Mar-1

0

NorthPointe Small Cap Growth Russell 2000 Growth





63/106

WET SEAL INC 2.4% KRATON PERFORMANCE POLYMERS 2.2%

ICONIX BRAND GROUP INC 2.3% DICE HOLDINGS INC 2.0%

ATLAS AIRWORLDWIDE HLDGS INC 2.2% IMPAX LABORATORIES INC 2.0%

AEROPOSTALE 2.2% INTERDIGITAL INC 2.0%

HANES BRANDS INC 2.2% ACTUANT CORP 2.0%

CHINA INTEGRATED ENERGY 48.9% DECKERS OUTDOOR CORP 35.7%

ATLAS AIR WORLDWIDE HLDGS 42.4% VEECO INSTRS INC DEL 31.7%

WET SEAL INC 38.0% IMPAX LABORATORIES INC 31.5%

RADIANT SYSTEMS INC 37.2% CENTRAL EUROPEAN DISTR CORP 23.2%

LATTICE SEMICONDUCTOR CORP 35.9% EMULEX CORP 21.8%

GMX RESOURCES INC -40.2% WEB.COM GROUP INC -16.5%

MERGE HEALTHCARE INC -38.4% TEAM INC -11.8%

TTM TECHNOLOGIES -23.0% ULTRATECHINC -8.5%

SONIC SOLUTIONS -20.8% CENTRAL GARDEN & PET CO -7.8%

PETRO QUEST ENERGY INC -18.0% SURMODICS INC -7.6%


Characteristics

Sector Allocation

p



As of March 31, 2010, NorthPointe Small Cap Growth held 69 securities in theirportfolio. Holdings and portfolio characteristics are as follows:

1.1

01.19

0.62

0.4

5 2.8

6

2.95

2.70

3.76

19.18

21.2

6

0.0

8

0.49

0

5

10

15

20

25

30

Avg Mkt

Cap ($Bil)

Med Mkt

Cap ($Bil)



17

.3

3.6 4

.1 5.7

24

.0

14

.1

27

.2

2.4

1.4

0.2

0.0

16

.2

4.6

3.5 4

.3

20

.8

16

.4

27

.0

5.0

0.0 0.02

.3

0

5

10

15

20

25

30

35


ConsumerStaples

Energy

Financials

HealthCare

Industrials


Materials


Utilities

Others/Cash





For the Periods Ending March 31 2010


64/106

Return

Standard Deviation

Sharpe Ratio

Beta

Alpha

Up Capture

Down Capture

Correlation

R Square

Number of Months





% Positive Months


NorthPointe Small

Cap Growth Russell 2000 Growth

17

24

58.54%

41

15.05%

-21.70%25

16

60.98%

41

17.91%

-25.96%




3 Years

--

1.15

-0.58

Russell 2000 Growth

25.8530.50

-0.15-0.38

NorthPointe Small

Cap Growth

-10.08 -2.42

--

1.00

--

--

--

103.28

122.45

97.84

95.73

NorthPointe Small

Cap Growth

Russell 2000 Growth

-12.00%

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

25.00% 26.00% 27.00% 28.00% 29.00% 30.00% 31.00%

Standard Deviation

Ra

teofReturn

13

0 01 1

2

4

21

3

9

11

10 0

2 2

0

5

3 3

9

0

2

4

6

8

10

12

14

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%






65/106

Ranking 77 96 45 93 99


5th Percentile 11.19 18.32 77.67 8.47 3.51

25th Percentile 9.08 15.54 65.59 5.24 1.62

50th Percentile 7.57 12.80 59.23 1.97 -1.00

75th Percentile 5.92 11.19 53.11 -1.62 -3.61

95th Percentile 3.14 6.85 41.27 -7.41 -7.54

Observations 364 359 333 281 238


The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

5.7 7

.67.6 6

.7 12.1

12.8

60.1

60.3

59.2

-5.1

1.0 2

.0

-10.1

-2.4

-1.0

-30

-20

-10

0

10

20

30

40

50

60

70

RateofReturn%


NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr





66/106

Ranking 45 93 95


5th Percentile 77.67 -27.33 4.61 11.29 39.06

25th Percentile 65.59 -32.25 -3.18 6.68 33.4550th Percentile 59.23 -36.28 -7.74 2.66 27.88

75th Percentile 53.11 -39.53 -12.17 0.22 25.11

95th Percentile 41.27 -44.68 -19.31 -3.71 19.92

Observations 333 413 369 322 267

No thPointe S all Cap G owth


The numbers above the bars are the rankings for this portfolio versus the small growth manager universe. The rankings are on a scale of 1 to 100 with 1 being the best.

60.1

60.3

59.2

-43.8 -3

6.4

-36.3

-19.3

-8.9

-7.7

1.6

2.7

27.8

27.9

-70

-50

-30

-10

10

30

50

70

RateofReturn%


NorthPointe Small Cap Growth Russell 2000 Growth Median Small Growth Mgr




67/106

Long/Short Equity Manager Performance and Analysis



K2 Long Short Master Fund, LPF th P i d E di M h 31 2010


68/106

This Quarter



Income

Gain/Loss

Ending Market Value

For the Period Ending March 31, 2010


Inception Date: April 30, 2008

Fees: 100 bps flat fee

Absolute return target of 10% - 15% with lower volatility than the S&P 500.

Outperform the S&P 500 Index over a full market cycle.

Strategy: Equity Long/Short Hedge Fund of Funds

Vehicle: Commingled Fund

Benchmark: S&P 500

0 8,000

42,046 42,046

375 3,009

0 0

375 3,009


41,670 31,036

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

Mar-0

8

May-0

8

Jul-08

Sep-0

8

Nov-0

8

Jan-0

9

Mar-0

9

May-0

9

Jul-09

Sep-0

9

Nov-0

9

Jan-1

0

Mar-1

0

K2 Long Short Master Fund, LPS&P 500HFRI Equity Hedge



K2 Long Short Master Fund, LPFor the Period Ending March 31, 2010


69/106

% of Gross

Long Short Gross Net Exposure

Total Portfolio 91.7% 54.7% 146.4% 37.0% 100.0%

Region

North America 78.6% 45.8% 124.4% 32.8% 85.0%

Western Europe 7.6% 6.4% 14.0% 1.2% 9.6%

Japan 1.2% 0.5% 1.7% 0.7% 1.2%Asia Pacific - Emerging 2.7% 1.5% 4.2% 1.2% 2.9%

Latin America 0.5% 0.2% 0.7% 0.3% 0.5%

Other Emerging 1.1% 0.3% 1.4% 0.8% 1.0%

Total 91.7% 54.7% 146.4% 37.0% 100.0%

Sector .

Commodity 0.3% 0.3% 0.6% 0.0% 0.4%

Consumer Discretionary 13.5% 9.5% 22.9% 4.0% 15.6%

Consumer Staples 7.4% 2.5% 9.8% 4.9% 6.7%

Currency 0.1% 0.1% 0.2% 0.0% 0.1%

Energy 5.3% 2.1% 7.4% 3.2% 5.1%

Energy and Environment 0.0% 0.0% 0.0% 0.0% 0.0%

Equity 0.8% 6.1% 6.9% -5.4% 4.7% Gross Long Exposure: 91.7%

Financials 13.4% 10.9% 24.3% 2.5% 16.6% Gross Short Exposure: 54.7%

Government 0.1% 0.2% 0.3% -0.1% 0.2% Gross Exposure: 146.4%

Health Care 8.7% 2.9% 11.6% 5.8% 7.9% Net Exposure: 37.0%

IR & Credit 0.2% 0.0% 0.2% 0.2% 0.2%

Index Contracts 0.0% 0.0% 0.0% 0.0% 0.0%Industrials 8.5% 6.3% 14.8% 2.1% 10.1%

Information Technology 25.6% 8.7% 34.3% 16.8% 23.4%

Materials 4.8% 2.7% 7.5% 2.1% 5.1%

Metals and Industrials 0.0% 0.0% 0.0% 0.0% 0.0%

Other 0.3% 0.0% 0.3% 0.3% 0.2%

Telecommunication Services 1.5% 1.3% 2.8% 0.2% 1.9%

Utilities 1.3% 1.2% 2.5% 0.2% 1.7%

Total 91.7% 54.7% 146.4% 37.0% 100.0% All characteristic data provided by manager are as of 02/28/10.

Net & Gross Exposures at February 28, 2010

Long/Short Equity Exposure Historical Net & Gross Exposure

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

Aug-08

Sep-08

Oct-0

8

Nov-08

Dec-08

Jan-09

Feb-09

Mar-0

9

Apr-09

May-0

9

Jun-0

9

Jul-09Aug-0

9

Sep-09

Oct-0

9

Nov-09

Dec-09

Jan-10

Feb-10

Net ExposureGross ExposureGross LongsGross Shorts

Historical Average

Gross Exposure 136.15%

Net Exposure 42.26%


67


K2 Long Short Master Fund, LP



70/106

Return

Standard Deviation

Sharpe Ratio

BetaAlpha

Up Capture

Down Capture

Correlation

R Square

Number of Months





% Positive Months


K2 Long Short

Master Fund, LP S&P 500

11

12

52.17%

23

9.57%

-16.80%

14

9

60.87%

23

2.47%

-6.12%


Return Histogram (1 Year) Return Analysis

1 Year

--

0.190.09

S&P 500

13.343.67

3.722.52

K2 Long Short

Master Fund, LP

9.32 49.75

--

1.00--

--

--

23.20

36.14

69.12

47.77

K2 Long Short Master

Fund, LP

S&P 500

HFRI Equity Hedge

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00%

Standard Deviation

RateofReturn

0 0 0

1

2

3

5

1

0 0 00

1

0

1

0

1 1

0

3

0

5

0 0 0

1 1

2 2

1

3

0

2

0

1

2

3

4

5

6

Lessthan-4%

-4%to-3%

-3%to-2%

-2%to-1%

-1%to0%

0%to1%

1%to2%

2%to3%

3%to4%

4%to5%

Greaterthan5%

K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge



K2 Long Short Master Fund, LP


71/106


0.9

5.4

3.0

1.9

11.8

6.0 6

.4

29.2

14.4

9.3

49.8

28.6

0

10

20

30

40

50

60

Rateof

Return%

1 Quarter 2 Quarters 3 Quarters 1 Year

K2 Long Short Master Fund, LP S&P 500 HFRI Equity Hedge




72/106

International Manager Performance and Analysis



Artio International Equity II GTFor the Period Ending March 31, 2010


73/106

This Quarter



Income

Gain/Loss

Ending Market Value

g ,


Benchmark: MSCI ACWI (ex-US) / MSCI EAFE

Fees: 85 bps on the first $20 million, 65 bps on the next $20 million, 55 bps

on the next 60 million, & 45 bps thereafter

Over a market cycle, performance in the upper third of appropriate universe

(International Developed Markets Equity).

Over a market cycle, outperform the MSCI EAFE and MSCI ACWI (ex-US)

Indexes.

Strategy: International Equity

Vehicle: Group Trust

Inception Date: November 1, 2007

0 15,544

26,995 26,995

122 3,856

0 0

122 3,856


26,873 7,596

Last 12 Months

$0.00

$0.20

$0.40

$0.60

$0.80

$1.00

$1.20

Nov-0

7

Jan-0

8

Mar-0

8

May-0

8

Jul-08

Sep-0

8

Nov-0

8

Jan-0

9

Mar-0

9

May-0

9

Jul-09

Sep-0

9

Nov-0

9

Jan-1

0

Mar-1

0

Artio International Equity II GTMSCI All Country World Free ex US GrossMSCI EAFE



RIO TINTO 2 8% KOMERCNI BANKA 1 2%

Characteristics

Artio International Equity II GT


As of March 31, 2010, the Artio International Equity II GT Fund held 321 securities in their portfolio.

Holdings and portfolio characteristics are as follows:


74/106

RIO TINTO 2.8% KOMERCNI BANKA 1.2%

NOVARTIS AG 1.5% ROCHE HOLDING 1.2%

NESTLE SA 1.4% FRAPORT 1.1%

SBERBANK 1.3% BNP PARIBAS 1.0%

GLAXOSMITHKLINE PLC 1.3% BHP BILLITON 1.0%

MSCI Emerging Markets MSCI

Portfolio ACWI ex US Portfolio ACWI ex US

Australia 5.6% 8.7% 6.0% Argentina 0.0% 0.0%

Austria 1.4% 0.3% 0.2% Brazil 1.1% 3.7%

Belgium 0.5% 1.0% 0.7% Chile 0.0% 0.3%

Bermuda 0.0% 0.0% 0.0% China 1.7% 4.0%

Canada 5.8% 0.0% 7.6% Colombia 0.0% 0.2%

Cayman Islands 0.0% 0.0% 0.0% Cyprus 0.0% 0.0%

Denmark 0.8% 1.0% 0.7% Czech Republic 1.2% 0.1%

Finland 0.4% 1.2% 0.9% Egypt 0.0% 0.1%

France 7.7% 10.7% 7.4% Hungary 0.8% 0.1%

Germany 7.1% 7.8% 5.5% India 3.0% 1.7%

Greece 0.2% 0.4% 0.3% Indonesia 0.2% 0.5%

Hong Kong 0.0% 2.4% 1.7% Israel 0.5% 0.7%

Ireland 0.5% 0.3% 0.2% Jordan 0.0% 0.0%

Italy 2.4% 3.3% 2.3% Korea 2.2% 2.9%

Japan 10.5% 22.2% 15.5% Malaysia 0.0% 0.6%

Luxembourg 0.0% 0.0% 0.0% Mexico 1.8% 1.0%

Netherlands 5.0% 2.6% 1.8% Morocco 0.0% 0.0%

New Zealand 0.0% 0.1% 0.1% Pakistan 0.0% 0.0%

Norway 1.1% 0.7% 0.5% Peru 0.0% 0.1%

Portugal 0.1% 0.3% 0.2% Philippines 0.0% 0.1%

Singapore 0.0% 1.5% 1.0% Poland 1.4% 0.3%

Spain 0.6% 3.9% 2.7% Romania 0.0% 0.0%

Sweden 1.1% 2.8% 1.9% Russia 4.0% 1.5%

Switzerland 7.6% 7.9% 5.5% South Africa 1.1% 1.6%

United Kingdom 13.7% 21.0% 14.7% Taiwan 3.1% 2.4%

United States 1.2% 0.0% 0.0% Thailand 0.1% 0.3%

Cash 4.6% 0.0% 0.0% Turkey 0.0% 0.3%

Total 77.6% 100.0% 77.3% Ukraine 0.1% 0.0%

Characteristic data provided by manager. Total 22.4% 22.7%

Sector Allocation

Country AllocationDeveloped Markets MSCI

EAFE

52.9

2

54.3

6

53

.00

1.8

41.6

41

.76

18.1

0

16.9

9

17

.17

2.4

6

2.9

3

2.6

7

0

10

20

30

40

50

60

70

Avg Mkt Cap ($Bil) P/B Current P/E Ratio Dividend Yield

Artio International Equity II GT MSCI EAFE MSCI ACWI ex US

9.9 1

0.0

8.0

25

.3

8.1

11.8

5.3

10

.5

5.5 5

.6

0.0

7.0

12.2

0.0

4.6

1.9

4.3

15.2

6.5

10.5

8.0

22.6

7.8

11.1

7.7 8

.58.5

1

Ft Lauderdale 1st Qtr Book

Documents

Transcript of Ft Lauderdale 1st Qtr Book