Ft. Lauderdale 4th Qtr 11 Full Report

8/2/2019 Ft. Lauderdale 4th Qtr 11 Full Report

1/142

102 W. Whiting Street, Suite 400, Tampa, FL 33602-5140 Tel: 813/218-5000 www.captrustadv.com

CITY OF FT.LAUDERDALE

POLICE AND FIRE RETIREMENT SYSTEM

PERFORMANCE REVIEWDECEMBER31,2011


2/142


3/142

TABLE OF CONTENTS

Important Disclaimer Information 1

Capital Markets Review 2

Performance Review

Total Fund 3

Domestic Equity 4

International Equity 5

Fixed Income 6

Alternative Investments 7

Appendix 8


4/142


5/142

This report has been created as a courtesy for the clients of CapTrust Advisors.

The information contained herein was taken from sources believed to be reliable, but no representation or warranty ismade as to its accuracy or completeness.

Performance Comparison Page Information:Shaded areas represent where the investment objective was achieved either by:

1) The investment return versus the index;2) The investment return universe ranking (The lower the number the better the ranking)

Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginningon the last day of an account's inception month. Results do not include the interim period from an account's inceptiondate to an account's first month-end. For example, for an account that has an inception date of March 15, this reportbegins measuring performance as of March 31. Omission of performance during this interim period is likely to result indifferent performance figures than if the interim period's performance was included in this report.

When applicable, investment results depicted represent historical net of fees performance.

Past performance is no guarantee of future performance.

This report is not the official record of your account. However, it has been prepared to assist you with your investmentplanning and is for information purposes only. Your Custodial Client Statement is the official record of your account.Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client

Statement and call your Financial Advisors if you have any questions. Transactions requiring tax consideration should bereviewed carefully with your accountant or tax tax advisor. This is not a substitute for your own records and the year-end1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors.

Indices are unmanaged and you cannot invest directly in an index.

For index definitions, please see the Capital Markets Review.

City ofFt. Lauderdale Policy and Fire

Important Disclaimer Information

1


6/142

2


7/142

CAPITAL MARKETS REVIEW DECEMBER 31, 2011

This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does not guarantee its accuracy. Please seimportant disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.

Data Sources: Zephyr StyleAdvisor , Barclays Capital, MSCI Barra & Standard & PoorsData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.

Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr

Domestic Fixed Income

3 Month T-Bill 0.00% 0.06% 0.06% 0.12% 1.31% 1.91%

Barclays Capital 1-3 year Gov't 0.21% 1.56% 1.56% 1.79% 3.80% 3.39%Barclays Capital Interm Gov't 0.69% 6.08% 6.08% 3.54% 5.86% 4.89%

Barclays Capital Interm Credit 1.13% 5.37% 5.37% 9.59% 6.21% 5.79%

Barclays Capital Interm Govt/Cred 0.84% 5.80% 5.80% 5.65% 5.88% 5.20%

Barclays Capital Aggregate Bond 1.12% 7.84% 7.84% 6.77% 6.50% 5.78%

Domestic Equity

Standard & Poor's 500 11.82% 2.11% 2.11% 14.11% -0.25% 2.92%

Dow Jones Industrial Average 12.78% 8.38% 8.38% 14.89% 2.37% 4.57%Dow Jones US Total Full Cap 11.97% 0.52% 0.52% 15.24% 0.28% 3.90%

Dow Jones US Select REIT 15.36% 9.37% 9.37% 21.63% -2.04% 10.12%

Russell 1000 - Large Cap 11.84% 1.50% 1.50% 14.81% -0.02% 3.35%

Russell 1000 Growth - Large Cap 10.61% 2.64% 2.64% 18.02% 2.50% 2.60%

Russell 1000 Value - Large Cap 13.11% 0.39% 0.39% 11.55% -2.64% 3.89%

Russell Midcap 12.31% -1.55% -1.55% 20.17% 1.42% 6.99%

Russell Midcap Growth 11.24% -1.65% -1.65% 22.06% 2.44% 5.29%

Russell Midcap Value 13.37% -1.38% -1.38% 18.19% 0.04% 7.67%

Russell 2000 - Small Cap 15.47% -4.18% -4.18% 15.63% 0.15% 5.62%

Russell 2000 Growth - Small Cap 14.99% -2.91% -2.91% 19.00% 2.09% 4.48%

Russell 2000 Value - Small Cap 15.97% -5.50% -5.50% 12.36% -1.87% 6.40%

International Equity

MSCI EAFE 3.33% -12.14% -12.14% 7.65% -4.72% 4.67%

MSCI World 7.59% -5.54% -5.54% 11.13% -2.37% 3.62%

MSCI EM 4.08% -20.41% -20.41% 17.35% 0.08% 11.19%

Blended Benchmarks

30% S&P 500 / 70% Barclays Agg 4.33% 6.12% 6.12% 8.97% 4.48% 4.92%

40% S&P 500 / 60% Barclays Agg 5.40% 5.55% 5.55% 9.71% 3.80% 4.64%

50% S&P 500 / 50% Barclays Agg 6.47% 4.98% 4.98% 10.44% 3.13% 4.35%

60% S&P 500 / 40% Barclays Agg 7.54% 4.40% 4.40% 11.17% 2.45% 4.06%

70% S&P 500 / 30% Barclays Agg 8.61% 3.83% 3.83% 11.91% 1.78% 3.78%

3


8/142


Capital Markets Overview

The U.S. markets shrugged off persistent concerns over the European debt crisis to end the quarte

better than it began. The latest economic data indicates that the U.S. economy is not in a recession, an

that economic activity probably expanded at its fastest pace of the year during the fourth quarter.

Overseas markets remain mixed. In Europe, the debt crisis and austerity measures are the source o

much consternation. European leaders must deal with the debt, but austerity demands may be forcin

some countries into a recession. China is working through a government controlled economi

slowdown.

After a volatile third quarter the fixed income markets took a breather. However, most sectors of th

fixed income market did see gains for the quarter. The exceptions were long dated Treasuries an

international developed fixed income. Yields remain at historically low levels.

Commodities declined during the quarter, led by metals. Gold ended below its August high, bu

finished the quarter and year with its 11th straight annual gain. Iranian military exercises and threats t

close or restrict shipping lanes caused a late-in-the-quarter spike in crude oil. The U.S. Dollar Index i

up 13% from its March 2008 low as investors perceived the dollar as a safe haven alternative to th

Euro.

Fourth quarter ends much better than it started

> U.S. economy more resilient than expected

> Economic activity expands at faster pace of

the year (4th quarter)

> Recessionary fears subside

-10

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

2000 2002 2004 2006 2008 2010

Real GDPBars = CAGR Line = Yr/Yr Percent Change

GDP - CAGR: Q3 @ 1.8%

GDP - Yr/Yr Percent Change: Q3 @ 1.5%

Percentage estimates for 4th quarter



4


9/142


2

4

6

8

1

1

1

1

20

40

60

80

100

120

140

160

87 89 91 93 95 97 99 01 03 05 07 09 11

Consumer Confidence IndexConference Board

Confidence Yr/Yr % Chg: Dec @ 1.8%

Confidence: Dec @ 64.5

12-Month Moving Average: Dec @ 58.1

> Consumer confidence jumps to eight month high

> Investor sentiment improves

> Jobs and employment numbers improve

October rally sparks U.S. equities in fourth quarter

> October marks best month for S&P 500 since 1991

> Energy and Industrials lead S&P 500 to 11.82% return in quarter

> Dow Jones Industrial Average rallies more than 1000 points in October

> Major market caps post gains better than 10% for the quarter, led by small caps (Russell 2000) up15.47%

7.90

8.28

8.72

9.96

10.26

10.82

11.82

12.58

15.39

16.52

18.20

Telecommunication

Utilities

InformationTechnologyHealthCareConsumer StaplesFinancials

S&P500ConsumerDiscretionaryMaterials

Industrials

Energy

S&P5004Q2011SectorReturns

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

4Q11 1 year 3 years 5 years 10 years

Return(%

)

B road Dom es t i c Equ i t y P e r f o rm anc e

Large Cap

Mid Cap

Small Cap



5


10/142


Most sectors of the fixed income markets see gains during the quarter

> Corporate, High Yield and Preferred sectors all rise

> Yields remain at near historically low levels

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

4Q11 YTD 1YR 3YR 5YRC

reditPerformance

AAA

AA

A

BBB

BB

3YearTrailingTreasuryyields

0

1

2

3

4

5

6

1yr5yr10yr30yr

Long Treasuries see moderate declines

> Benchmark 30-year Treasury yield drops to 2.89% from 2.91%

> International developed fixed income markets trended lower



6


11/142


Global economy still threatened by debt and engineered slowdown

> China in the midst of engineered economic slowdown to slow inflation

> Emerging markets improved, but still pressured by slow growth

> Europe struggling to contain debt crisis and calm fears

-12%

-8%

-4%

0%

4%

8%

-12%

-8%

-4%

0%

4%

8%

2002 2004 2006 2008 2010

Eurozone Real GDPBars = Compound Annual Rate Line = Yr/Yr % Change

Compound Annual Growth: Q3 @ 0.6%

Year-over-Year Percent Change: Q3 @ 1.4%

Forecast

Percentage estimates for 4th quarterSource: HIS Global Insight

-1

0.

1.

3.

4.

6.

7.

-1.5%

0.0%

1.5%

3.0%

4.5%

6.0%

7.5%

1970 1975 1980 1985 1990 1995 2000 2005 2010

Real Global GDP GrowthYear-over-Year Percent Change, PPP Weights

Period Average

Percentage estimates for 4th quarter

Source: International Monetary Fund



7


12/142

Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientatio

Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and low

forecasted growth rates.

Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average grow

orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yieldand higher forecasted growth rates.

Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average grow

orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russ

2000 Growth Index.

Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average grow

orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russ

2000 Value Index.

MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure t

performance of developed stock markets in these areas.

Barclays Agg Bond is the Lehman Brothers Aggregate Bond Index. This index includes U.S. government, corporate a

mortgage-backed securities rated investment grade or higher with maturities up to 30 years.

S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy.

DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index

comprised of companies whose charter is the equity ownership and operation of commercial real estate.


CAPITAL MARKET INDEX RETURNS

19 9 2 19 9 3 19 9 4 19 9 5 19 9 6 19 9 7 19 9 8 19 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 10 2 0

Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell D

B E S T 2000 1000 Wilshire 1000 10 0 0 2 0 00 W ils hir e 2 0 00 Ag g 2 0 00 Wils hir e W ils hire W ils hire 10 0 0 Ag g 10 0 0 2 0 0 0 W ils

Value Value REIT Value Gro wt h Gro wt h R EIT Value B ond Gro wt h R EIT R EIT REIT Gro wt h B ond Gro wt h Gro wt h R

29.15% 32 . 94% 8 .06% 38.35% 37.04% 35.18% 3 8 .71% 4 3 .0 9 % 3 1.0 4 % 13 .9 6 % 10 .2 7% 4 8 .53 % 3 3 .14 % 14 .0 0 % 3 6 .13 % 11.8 1% 5.2 4 % 3 7.2 1% 2 9 .0 9 % 9 .3

DJ Russ ell Russ ell Russ ell Russ ell Russ ell DJ DJ Russ ell Russ ell Russ ell Russ ell DJ BarcWilshire 2000 1000 1000 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire A

REIT Value Growth Growth Growth Value REIT REIT Value Value Value Growth REIT Bo

15.13% 23 . 84% 2 .66% 37.53% 23.12% 33.35% 28.57% 3 3 .16 % 2 2 .8 3 % 12 .3 6 % 3 .6 0 % 4 6 .0 2 % 2 2 .2 5% 13 .54 % 2 6 .3 4 % 11.17% - 2 8.9 2 % 3 4 .4 7% 2 8 .0 7% 7.8

Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Rus10 00 10 00 Wilshire 1000 2000 Agg Agg 2000 1000 200 0 2000 1000 2 00 0 10

Value Value REIT Gro wth Value Bond Bo nd Value Value Value Growth Value Value Gro

13.81% 18.12% 2.66% 37.19% 22.94% 31. 78% 20 . 33% 27 .30% 11. 63% 8 .44% -11.42% 39 . 16% 20 .25% 7.05% 23.48% 7 .05% -36.85% 31.78% 24 .50% 2 .6

Russell DJ Russell Russell Russell Russ ell Russ ell Russ ell Russ ell DJ Russell Russell Russell Barclays DJ Russell2000 Wilshire 2000 1000 1000 1000 1000 1000 1000 Wilshire 1000 1000 1000 Agg Wilshire 1000

Growth REIT Growth Value Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth

7.77% 15.14% 1.31% 31.04 % 21.64 % 30.49% 15.63% 21.04% 7 .01% -5. 59% -15 .52% 36.06% 16.49 % 5.26% 22.25% 6.97% -37.00% 28.46% 16.71% 2.

Russ ell Russ ell Russ ell Russ ell DJ Barclays Russell Russell Russell Russell Russell Russell Rus2 00 0 2 00 0 2 00 0 2 00 0 Wils hire Ag g 1000 2000 1000 2 000 1000 10 00 10

Gro wt h Value Value Va lue R EIT B ond Value Growth Value Growth Growth Value Va

7.62% 13. 37% -1. 55% 25 .75% 21. 37% 19 . 67% 8 .67% 7.35% -9.10% -9.22% -15.94% 30.03% 14.31% 4. 91% 15. 79% 5 .49% -38.44% 26.46% 15 .51% 0 .3

Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell Russell RusAgg 1000 Agg 2 000 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000 20

Bond Value Bond Growth Growth Growth REIT Growth Value Growth Value Growth Value Gro

7.40% 10.06% -1.99% 18.48% 11.26% 12 . 95% 1. 23% -2 .57% -13 .96% -11.88% -22.09% 29.76% 10.87% 4.71% 13.35% -0.17% -38.54% 20.58% 15.06% -2.

Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Rus

1000 Agg 2000 Wilshire Agg 2000 Ag g 100 0 1000 1000 1000 2000 1000 2000 Wilshire 1000 20Gro wth Bond Gro wth REIT Bo nd Value Bo nd Gro wth Gro wth Gro wth Gro wth Growth Gro wth Value REIT Value Va

5.0 0 % 9 .75% - 2 .4 4 % 12 .2 4 % 6 .3 6 % 9 .6 8 % - 6 .4 6 % - 0 .8 3 % - 22 .4 2 % - 2 0.4 2 % - 2 7.8 9 % 28.67% 6 .3 0 % 4 .15% 9 .0 7% - 9.78 % - 39 .2 0 % 19.69% 7.75% -5.

Rus s ell Ba rc lays Barc lays DJ Rus se ll Rus s ell Rus s e ll Ba rc lays Barclays Barc lays Barc lays DJ Barc lays Barclays1000 Ag g Agg Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg

W ORS T Growth Bond Bond REIT Value Growth Growth Bond Bond Bond Bond R EIT Bond Bond

- 11.8 5% 2 .9 0 % - 2 .9 2 % 11.55% 3 .6 1% 2 .0 6 % - 17.0 0 % - 1.4 9 % - 2 2 .4 3 % - 2 2.0 0 % -3 0 .2 7% 4 .11% 4 .3 4 % 2 .4 3 % 4 .3 3 % - 17.56 % - 45.0 9 % 5.9 3 % 6 .54 % - 12

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

MSCI

EAFE

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500

S&P

500

S&P

500

MSCI

EAFE

S&

50

MS

EA

S&P

500

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

S&P

500

S&P

500

S&P

500

S&P

500

MSCI

EAFE

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500



8


13/142


RELATIVE PERFORMANCE OF KEY INDICES

Aug '82 DJIA 776

Black Monday - Oct '87 Asian Crisis

Invasion of Iraq



9


14/142





10


15/142





11


16/142





12


17/142


GENERAL DISCLOSURE STATEMENT


FIRM: CapTrust Advisors, LLC is a registered investment advisor with the SEC. CapTrust Advisors registration as an

investment advisor with the U.S. Securities and Ezchange Commission became effective on March 12, 2007. CapTrust is

not a legal or tax advisor.

STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sourceswhich are believed to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are

subject to change without notice. The report herein is not a complete analysis of every material fact in respect to any

company, industry or security. Any market prices are only indications of market values and are subject to change. The

material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any

security or instrument or to participate in any trading strategy. Additional information is available upon request.

ASSET CLASS SUITABILITY: Stocks of small companies are typically more volatile than stocks of larger companies.

They often involve higher risks because they may lack the management expertise, financial resources, product

diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds

are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest

payments. Global/International investing involves risks not typically associated with US investing, including currency

fluctuations, political instability, uncertain economic conditions and different accounting standards.

PAST PERFORMANCE: Past performance is not an indication of future results.

ASSET CLASS PERFORMANCE REPRESENTATIONS: Long Term Treasuries = BC Treasury Long; Municipals =

BC Municipal; Foreign Bonds = Salomon World BIG IB; US Govt/Credit = BC Govt/Credit; Mtge Backed Securities =

ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon

Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks =

RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks =

RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US

Growth = RU 2000 Growth

BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or

Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE

DATA SOURCES: Information found in this document was derived from the following sources: Zephyr Associates

StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, and Standard & Poors.

13


18/142



Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history ofsuccessful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all USstocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisoradjusted to reflect stock splits and the occasional stock switches in the index.

NASDAQ Composite - A cap-weighted index comprised of all common stocks that are listed on the NASDAQ StockMarket (National Association of Securities Dealers Automated Quotation system).

S&P 500 - A broad-based measurement of changes in stock market conditions based on the average performance of 500widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks tradedin the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. Thiindex consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.Smarket exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on atotal return basis with dividends reinvested.

S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 withlower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios andmarket capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in theS&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than theS&P 500.

S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with highebook-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to-price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflectchanges in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than theS&P 500.

Russell 1000 - The 1000 largest companies in the Russell 3000 index, based on market capitalization.

Russell 1000 Growth - A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in thiindex have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values thanthe Russell 1000 Value index.

Russell 1000 Value - Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companiesin this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth valuesthan the Russell 1000 Growth Index.

Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total markecapitalization, and it represents over 35% of the Russell 1000 total market cap.

Russell 2000 - The 2000 smallest companies in the Russell 3000 index.

Russell 2000 Growth - A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in thisindex have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values thanthe Russell 2000 Value index.

Russell 2000 Value - A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this indexhave low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than theRussell 2000 Growth index.

Russell 2500 - The index consisting of the bottom 500 stocks in the Russell 1000(as ranked by market capitalization) andall of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stockperformance, and it represents over 22% of the Russell 3000 total market cap.


14


19/142



MSCI EAFE - A market capitalization-weighted index representing all of the MSCI developed markets outside NorthAmerica. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries inthe MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 differencountry indexes, all if which are created separately.

MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the worldIt is created by aggregating the 22 different country indexes, all if which are created separately.

MSCI Emerging Markets Free (EMF) - A market capitalization-weighted index representing 26 of the emergingmarkets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developedthe most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includesonly securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 differentcountry indexes, all if which are created separately.

Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bondand the Barclays Capital Credit Bond indices.

Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index withmaturities of 1 and 10 years.

Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital Government/Credit, the Mortgage

Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment grade or higher,have at least one year to maturity, and have an outstanding par value of at least $100 million.

Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index withmaturities of 10 years or greater.

Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and iclassified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index,the original transaction size of a bond must have been greater than $50 million.

Merrill Lynch Convertibles - The convertible securities used in this index span all corporate sectors and must have a paramount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to orgreater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks.When the component bonds of this index convert into common stock, the converted securities are dropped from the index.

Merrill Lynch High Yield Master - Market-cap weighted index providing a broad-based measure of bonds in the USdomestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 orbelow as rated by Moodys and/or S&P, at least $100 million in face value outstanding and a remaining term to finalmaturity equal to or greater than one year.

Dow Jones Wilshire REIT Index - A measurement of equity REITs and Real Estate Operating Companies. No specialpurpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculatedmonthly using buy and hold methodology; it is rebalanced monthly.

Citigroup 3 Month Treasury Bill - Representing the monthly return equivalents of yield averages that are not marked tomarket, this index is an average of the last three three-month Treasury bill issues.

50/50 Blend (S&P 500/BCIGC) A blended benchmark consisting of 50% S&P 500 and 50% Barclays CapitaGovernment/Credit Intermediate indices.


15


20/142

16


21/142

City of Ft. Lauderdale Police and FireAsset Allocation vs Target & Policy

Total Fund CompositeAs of 12/31/11

Manager

MarketValue

Actual %

Target %

Systematic Financial Management

Intech Large Core

Rhumbline Large Cap Fund

Sawgrass

Lee Munder Small Cap Value

Eagle Asset Management

Franklin Portfolio Advisors

Rhumbline Mid Cap Fund

Total Domestic Equity

Thornburg

Lazard International Equity

Total International Equity

Agincourt

Atlanta Capital

Boyd Watterson

Total Domestic Fixed Income

Cash

Total Short Term

Core Realty Fund

Prudential RE Investors PRISA II

Total Real Estate

K2 Advisors Long/Short

PIMCO All Asset

Total Special Investments

Total Fund Composite

30,728,927.64

21,839,045.24

26,970,044.76

32,949,344.66

26,037,539.71

9,223,257.07

9,512,376.10

14,241,917.64

171,502,452.82

30,212,906.85

22,921,143.89

53,134,050.74

86,177,772.39

26,259,195.75

33,825,527.99

146,262,496.13

44,901,123.66

44,901,123.66

27,743,134.36

13,312,839.53

41,055,973.89

22,184,008.31

19,297,641.86

41,481,650.17

498,337,747.41

6.17

4.38

5.41

6.61

5.22

1.85

1.91

2.86

34.41

6.06

4.60

10.66

17.29

5.27

6.79

29.35

9.01

9.01

5.57

2.67

8.24

4.45

3.87

8.32

100.00

6.25

6.25

6.25

6.25

2.50

2.50

2.50

2.50

35.00

7.50

7.50

15.00

20.00

5.00

5.00

30.00

0.00

0.00

6.67

3.33

10.00

5.00

5.00

10.00

100.00

17


22/142

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending December 31, 2011Net of Fee Return

NameValue$(000)

% ofFund

Periods Ending 12/31/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since InceptionRet Date


Policy Index

Large Cap Composite

Intech Large Core

Standard & Poors 500



Sawgrass

Russell 1000 Growth


Russell 1000 Value

Small/Mid Cap Composite

Eagle Asset Management

Russell 2000 Growth

Franklin Portfolio Advisors

Russell 2000 Growth

Lee Munder Small Cap Value

Russell 2000 Value

Rhumbline Mid Cap Fund

S&P Midcap 400

International Equity Composite

Lazard International Equity

MSCI EAFE (Net)

Thornburg

MSCI EAFE (Net)

Total Domestic Fixed Income

Agincourt

Barclays U.S. Aggregate

Atlanta Capital

Barclays Int Govt/Credit

Boyd Watterson

Barclays Int Govt/Credit

Cash

Citigroup 3-month T-Bill

Real Estate Composite

498,338

112,487

21,839

26,970

32,949

30,729

59,015

9,223

9,512

26,038

14,242

53,134

22,921

30,213

146,262

86,178

26,259

33,826

44,901

41,056

100.0

22.6

4.4

5.4

6.6

6.2

11.8

1.9

1.9

5.2

2.9

10.7

4.6

6.1

29.4

17.3

5.3

6.8

9.0

8.2

5.60

6.82

11.76

12.48

11.81

11.77

11.81

10.78

10.60

12.30

13.11

14.23

11.13

14.99

15.79

14.99

15.54

15.97

12.93

12.99

3.23

4.35

3.33

1.16

1.37

1.12

0.59

0.84

1.05

0.84

0.05

0.01

2.46

-4.69

-2.17

-5.66

-3.57

-3.69

-3.69

-3.69

-0.99

-3.93

-12.96

-5.22

-10.51

-14.88

-10.60

-7.79

-10.60

-10.37

-8.93

-9.52

-9.47

-20.32

-17.93

-16.30

3.57

4.15

4.98

3.02

3.26

2.54

3.26

0.12

0.02

5.96

-4.02

-1.01

-4.64

-2.15

-3.59

-3.08

-3.59

1.82

-3.20

-13.28

-5.70

-12.92

-11.37

-11.35

-20.03

-17.30

-15.00

6.27

6.55

7.39

0.15

0.04

10.15

-0.54

2.79

1.29

3.95

2.12

2.48

2.12

8.49

2.63

-7.69

0.39

-7.23

-7.26

-5.50

-17.57

-13.84

-12.14

6.96

7.27

7.84

0.18

0.08

15.04

8.75

10.38

13.74

14.73

14.10

14.22

14.10

15.67

18.02

10.74

11.55

18.76

17.13

12.36

5.67

9.52

7.65

8.20

9.71

6.77

0.66

0.12

-4.44

1.48

2.03

0.60

-0.25

-0.04

-0.25

-2.01

-2.64

0.70

3.66

-1.87

-6.01

6.62

6.70

6.50

2.21

6.79

6.75

-0.24

4.85

3.53

6.90

6.75

1.66

2.38

7.13

5.73

1.32

-14.88

-10.60

-7.79

-10.60

3.73

-1.68

-9.52

-9.47

1.49

-1.31

-0.95

-6.59

-8.67

5.78

6.39

6.15

3.84

4.27

3.42

4.27

2.45

-3.40

9/30/95

9/30/95

1/31/07

3/31/04

3/31/04

9/30/95

9/30/95

3/31/07

3/31/07

11/30/02

11/30/02

10/31/06

6/30/11

6/30/11

6/30/11

6/30/11

11/30/06

11/30/06

6/30/11

6/30/11

11/30/00

11/30/11

11/30/11

11/30/07

11/30/07

5/31/05

12/31/95

12/31/95

4/30/11

4/30/11

4/30/11

4/30/11

1/31/06

1/31/06

6/30/07

18


23/142

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending December 31, 2011Net of Fee Return

NameValue$(000)

% ofFund

Periods Ending 12/31/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since InceptionRet Date

Core Realty Fund

NCREIF Prop Index

Prudential RE Investors PRISA II

NCREIF Prop Index

K2 Advisors Long/Short


PIMCO All Asset

Consumer Price Index + 5%

27,743

13,313

22,184

19,298

5.6

2.7

4.5

3.9

2.26

2.96

2.84

2.96

2.55

11.81

4.30

0.71

5.06

6.36

7.81

6.36

-6.35

-3.69

8.50

10.55

13.39

10.55

-7.44

-3.59

12.88

14.26

19.23

14.26

-5.85

2.12

-4.37

2.43

-6.36

2.43

2.45

14.10

-2.68

1.64

-7.03

1.64

-1.58

-0.39

-3.51

1.97

7/31/07

7/31/07

7/31/07

7/31/07

4/30/08

4/30/08

7/31/11

7/31/11

19


24/142

City of Ft. Lauderdale Police and FireCumulative Performance Comparison

Total Returns of Total Fund Public SponsorsPeriods Ending 12/11

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank

1 Policy Index

Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

Last 8

Years

Last 9

Years

Last 10

Years

8.26

6.88

5.895.00

4.14

5.60

62

6.82

26

5.17

1.92

1.100.06

-1.83

-0.54

81

2.79

13

9.74

7.43

6.795.81

4.72

5.70

79

7.73

19

15.01

11.56

10.389.24

7.13

8.75

80

10.38

50

3.65

2.59

1.720.49

-1.32

0.06

81

0.99

62

4.66

3.63

2.751.76

0.57

1.48

83

2.03

67

5.61

4.73

4.073.54

2.61

2.96

86

3.49

76

5.73

4.93

4.453.97

3.14

3.50

89

3.56

89

6.34

5.49

5.034.57

3.79

4.34

85

4.14

92

8.33

6.98

6.506.01

5.08

5.78

82

5.66

84

6.60

5.64

5.124.70

3.93

4.23

87

4.04

92

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

1

1

1

1

1

1

1 11

1

1

20


25/142

City of Ft. Lauderdale Police and FireCalendar Year Performance ComparisonTotal Returns of Total Fund Public Sponsors

Years Ending December

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank

1 Policy Index

Net Ret

Rank

2011 2010 2009 2008 2007 2006 2005 2004 2003 2002

5.17

1.92

1.100.06

-1.83

-0.54

81

2.79

13

16.54

13.94

12.5511.19

8.74

12.33

55

12.92

40

27.82

21.87

19.1615.50

9.58

15.13

78

15.86

72

-9.71

-20.21

-24.04-27.00

-30.37

-22.08

35

-22.66

39

10.77

8.76

7.606.40

4.61

7.38

56

6.30

78

16.43

14.05

12.1810.28

7.20

10.66

71

11.14

64

10.34

8.19

6.525.33

3.94

6.81

44

3.93

95

13.91

11.82

9.898.37

5.71

10.42

40

8.35

75

26.29

22.56

19.7217.04

11.34

18.01

66

18.64

60

1.58

-5.83

-8.21-9.72

-12.76

-8.68

59

-9.50

73

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%25%

30%

1

11

1

1

1

1

1

1

1

21


26/142

City of Ft. Lauderdale Police and FireReturn vs Risk

Total Returns of Total Fund Public Sponsors

AnnualizedRateofReturn

7.0 8.2 9.4 10.6 11.8 13.0 14.2 15.4 16.6 17.8 19.0

6.0

6.9

7.8

8.7

9.5

10.4

11.3

12.2

13.1

14.0

14.9

1

Media

n

Risk

Median

Return

Historical Standard Deviation of Return

3 Years Ending 12/31/11

Annualized Net of Fee Return Standard Deviation

Value Rank Value Rank


1 Policy Index

Median

8.75 80 12.58 48

10.38 50 13.26 54

10.38 13.08


6.0 7.4 8.8 10.2 11.6 13.0 14.4 15.8 17.2 18.6 20.0

-2.0

-1.1

-0.2

0.6

1.5

2.5

3.4

4.3

5.2

6.1

7.0

1

Median

Risk

Median

Return






1 Policy Index

Median

1.48 83 12.25 38

2.03 67 12.93 49

2.75 13.05

22


27/142

City of Ft. Lauderdale Police and FireRisk Measure Summary

Total Fund CompositeQuarterly Periods Ending 12/31/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

0.84

1.16

0.00

-9.73

5.61

-0.49

-0.49

1

3

-8.41

6.82

2.79

2.79

3

9

0.90

0.98

0.17

-9.73

10.07

-0.49

26.88

12.58

0.94

-0.24

0.99

0.69

9.17

1.49

-1.05

3

9

-8.41

11.10

2.44

29.38

13.26

0.77

8

12

0.93

0.98

0.35

-11.33

10.07

-22.18

26.88

12.25

0.94

-0.13

0.99

0.00

0.02

1.69

-0.36

8

12

-12.61

11.10

-24.64

29.38

12.93

0.04

19

46

0.97

0.94

0.48

-11.33

14.12

-22.18

33.57

10.42

0.96

0.05

0.96

0.34

3.75

2.04

-0.00

19

46

-12.61

12.93

-24.64

32.86

10.69

0.33

23


28/142

24


29/142

City of Ft. Lauderdale Police and FireIntech Large Core as of 12/31/11

Exxon Mobil CorpApple Inc

Chevron Corp

At&T Inc

Intl Business McHn

General Elec Co

Pfizer Inc

Procter & Gamble Co

Johnson & Johnson

Philip Morris Intl I

GICS Sector % Port

EnergyInformation Technology

Energy

Telecom Services

Information Technology

Industrials

Health Care

Consumer Staples

Health Care

Consumer Staples

4.382.24

2.19

2.10

1.95

1.55

1.39

1.32

1.21

1.20

EnergyMaterials

Industrials

Consumer Discretionary

Consumer Staples

Health Care

Financials


Telecom Services

Utilities

% Port

14.193.29

9.59

11.29

14.19

15.05

8.33

14.64

3.82

5.61

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/04

Intech Large Core Standard & Poors 500

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/04

Intech Large Core


Asset Growth ($000)

Beginning Market Value

Net Contributions & Withdrawals

Gain/Loss + Income

Ending Market Value

12.48

11.81

19,398

19

2,422

21,839

3.95

2.12

26,915

-6,222

1,146

21,839

3.95

2.12

26,915

-6,222

1,146

21,839

14.73

14.10

31,783

-21,251

11,307

21,839

0.60

-0.25

41,867

-18,731

-1,298

21,839

4.85

3.53

33,478

-23,347

11,708

21,839

Portfolio Performance (%)

Top Equity Holdings GICS Sector Allocation

25


30/142

City of Ft. Lauderdale Police and FireIntech Large Core as of 12/31/11

Cash & Equiv$149 0.68%

Domestic Equity$21,690 99.32%

Periods from 3/04 to 12/11

Alpha

Beta

R-Squared

0.33

0.98

0.99

AnnualizedReturn%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0

2.0

2.5

3.0

3.5

4.0

4.5

5.0i

1

T

Annualized Standard Deviation%

i Intech Large Core

1 Standard & Poors 500

T 91-Day Treasury Bill

AnnualizedNet Ret

Std.Dev.

SharpeRatio

InfoRatio

4.85

3.53

2.11

17.15

17.48

0.99

0.16

0.08

0.00

0.63

Asset Allocation ($000)

Risk/Return Analysis

26


31/142

City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons

Total Returns of Equity PortfoliosPeriods Ending 12/11

High

1st Qt

Median3rd Qt

Low

i Intech Large Core

Net Ret

Rank


Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

13.28

12.10

11.8111.64

8.23

12.48

13

11.81

63

6.19

2.20

2.081.09

-5.69

3.95

11

2.12

36

11.08

8.86

8.417.91

4.39

9.70

14

8.39

52

17.95

15.15

14.2414.07

11.81

14.73

35

14.10

72

2.52

-0.94

-1.50-1.61

-3.24

-1.08

33

-1.64

80

3.60

0.49

-0.15-0.23

-1.43

0.60

22

-0.25

77

5.54

2.72

2.322.23

1.22

2.84

21

2.27

74

5.02

3.37

2.822.65

2.08

3.73

19

2.64

85

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%18%

20%

i1

i

1

i1

i1

i 1

i 1

i 1i1

27


32/142

City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons

Total Returns of Equity PortfoliosYears Ending December

High

1st Qt

Median3rd Qt

Low

i Intech Large Core

Net Ret

Rank


Net Ret

Rank

2011 2010 2009 2008 2007 2006 2005

6.19

2.20

2.081.09

-5.69

3.95

11

2.12

36

21.22

17.07

15.1314.94

12.16

15.77

38

15.05

69

39.27

29.85

26.7826.47

21.28

25.49

86

26.45

75

-27.80

-35.89

-36.95-37.19

-41.46

-36.60

32

-36.99

68

10.93

6.14

5.545.25

0.65

7.61

13

5.52

53

19.93

15.93

15.7815.46

11.16

14.84

80

15.81

43

11.98

8.40

5.104.90

3.97

9.24

18

4.89

76

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

i 1

i 1

i 1

i 1

i 1

i 1

i1

28


33/142


Total Returns of Large Neutral Portfolios


15.0 16.2 17.4 18.6 19.8 21.0 22.2 23.4 24.6 25.8 27.0

10.0

10.9

11.7

12.6

13.5

14.4

15.3

16.2

17.1

18.0

18.9

i1

Media

n

Risk

Median

Return





i Intech Large Core


Median

14.73 35 20.93 15

14.10 72 21.27 38

14.24 21.28


17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

i

1

Median

Risk

Median

Return





i Intech Large Core


Median

0.60 22 20.80 18

-0.25 77 21.14 41

-0.15 21.14

29


34/142


Intech Large CoreQuarterly Periods Ending 12/31/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

1.15

1.03

0.75

-14.27

12.48

3.95

3.95

1

3

-13.86

11.81

2.12

2.12

3

9

1.02

0.99

0.67

-14.27

15.35

1.74

48.89

20.93

0.98

0.19

1.00

0.70

14.85

1.27

0.39

3

9

-13.86

15.93

1.15

49.75

21.27

0.66

8

12

1.00

0.96

0.65

-21.62

15.35

-37.08

48.89

20.80

0.98

0.20

0.99

-0.04

-0.90

2.10

0.36

8

12

-21.93

15.93

-38.07

49.75

21.14

-0.08

10

21

1.02

0.93

0.68

-21.62

15.35

-37.08

48.89

17.15

0.98

0.33

0.99

0.16

2.81

1.95

0.63

11

20

-21.93

15.93

-38.07

49.75

17.48

0.08

30


35/142

City of Ft. Lauderdale Police and FireEquity Summary Statistics

Intech Large CorePeriod Ending 12/11

Total Number Of SecuritiesEquity Market ValueAverage Capitalization $(000)Median Capitalization $(000)Equity Segment YieldEquity Segment P/E - AverageEquity Segment P/E - MedianEquity Segment BetaPrice/Book RatioDebt/Equity RatioFive Year Earnings Growth

Portfolio Standard & Poors 500

36421,689,58378,360,07912,883,270

2.2714.9015.920.942.23

50.926.18

500

95,291,39211,148,225

2.2214.3515.581.002.02

70.456.14

Ten Largest Holdings

Exxon Mobil CorpApple IncChevron CorpAt&T Inc

Intl Business McHnGeneral Elec CoPfizer IncProcter & Gamble CoJohnson & JohnsonPhilip Morris Intl I

Market Value % of Portfolio Quarterly Ret

949,312486,000474,438454,114

422,924336,708301,683286,853262,320258,984

4.382.242.192.10

1.951.551.391.321.211.20

17.396.25

15.927.64

5.4818.6323.626.443.89

27.07

Ten Best Performers

Pulte Homes CorpEl Paso CorpMasco CorpLennar Corp- Cl AHelmerich & Payne InNabors Industries LtGoodyear Tire & RubrD R Horton IncFmc Technologies IncWilliams Cos

Quarterly Ret

59.7552.0648.6245.5243.9341.4440.4439.9338.9136.71

Ten Worst Performers

Sears Hldgs CorpNetflix Com IncAbercrombie & FitchAmazon Com IncBMC Software IncNrg Energy IncFrontier CommunicatiChesapeake Energy CoFederated Invs Inc PWatson Pharmaceutica

Quarterly Ret

-44.39-38.77-20.35-19.95-14.99-14.57-12.77-12.76-12.48-11.59

31


36/142

City of Ft. Lauderdale Police and FireEquity Contribution to Return

Intech Large CorePeriod Ending 12/11


Portfolio Standard & Poors 500

36421,689,58378,360,07912,883,270

2.2714.9015.920.942.23

50.926.18

500

95,291,39211,148,225

2.2214.3515.581.002.02

70.456.14

Ten Best Contributors

Exxon Mobil CorpChevron CorpPfizer IncPhilip Morris Intl I

General Elec CoCbs CorpNational-Oilwell IncLauder Estee Cos IncOneok Inc NewHoneywell Intl Inc


949,312474,438301,683258,984

336,708146,556142,779146,016112,697141,310

4.382.191.391.20

1.550.680.660.670.520.65

17.3915.9223.6227.07

18.6333.6732.9629.1232.2224.64

Ten Worst Contributors

Netflix Com IncBaxter Intl IncOracle Systems CorpWatson PharmaceuticaAbercrombie & FitchCerner CorpTeradata Corp DelNrg Energy IncChesapeake Energy CoSt Jude Med Inc


41,574133,596112,988102,578

48,84085,75087,31832,61635,66485,750

0.190.620.520.470.230.400.400.150.160.40

-38.77-11.28-10.57-11.59-20.35-10.61-9.38

-14.57-12.76-4.64

32


37/142

City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis

Intech Large CoreQuarter Ending 12/11

GICS Sectors

Weight

Portfolio Index

Return

Portfolio Index

Selection

Stock Sector Total

Energy

Materials

Industrials


Consumer Staples

Health CareFinancials


Telecom. Services

Utilities

14.27

4.17

10.51

9.91

13.73

13.119.19

15.14

4.51

5.45

100.00

11.63

3.36

10.27

10.57

11.76

12.1413.59

19.44

3.29

3.97

100.00

20.15

14.97

18.25

12.42

11.00

8.2713.67

8.59

7.73

11.28

12.77

18.22

15.32

16.61

12.68

10.26

10.0710.83

8.78

7.62

8.25

11.86

0.27

-0.01

0.17

-0.03

0.10

-0.240.26

-0.03

0.01

0.16

0.68

0.17

0.03

0.01

-0.01

-0.03

-0.020.05

0.13

-0.05

-0.05

0.23

0.44

0.01

0.18

-0.03

0.07

-0.250.31

0.10

-0.05

0.11

0.90

Index - Standard & Poors 500

Stock Selection Return Attribution

[ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ]

Sector Selection Return Attribution

[ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ]

Trading Effect -0.09%

[ Actual Return 12.68% ] - [ Buy Hold Return 12.77% ]

33


38/142

City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart

Intech Large CoreQuarter Ending 12/11

% Allocation

Energy 14.27 11.63

Materials 4.17 3.36

Industrials 10.51 10.27

Con. Discretionary 9.91

10.57

Consumer Staples 13.73 11.76

Health Care 13.11 12.14

Financials 9.19 13.59

Infomation Tech. 15.14 19.44

Telecom. Services 4.51 3.29

Utilities 5.45 3.97

Intech Large Core Standard & Poors 500

% Return

20.15

18.22

14.97

15.32

18.25

16.61

12.42

12.68

11.00

10.26

8.27

10.07

13.67

10.83

8.59

8.78

7.73

7.62

11.28

8.25

% Variance

0.44

0.01

0.18

-0.03

0.07

-0.25

0.31

0.10

-0.05

0.11

34


39/142

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 12/31/11

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

9/30/95

Rhumbline Large Cap Fund Standard & Poors 500

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

9/30/95



Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

11.77

11.81

24,126

4

2,840

26,970

2.48

2.12

41,073

-15,659

1,555

26,970

2.48

2.12

41,073

-15,659

1,555

26,970

14.22

14.10

27,771

-14,070

13,269

26,970

-0.04

-0.25

40,711

-13,185

-555

26,970

3.05

2.92

17,606

-4,315

13,680

26,970

6.90

6.75

8,000

9,758

9,212

26,970


35


40/142

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 12/31/11




Alpha

Beta

R-Squared

0.04

0.99

1.00

AnnualizedReturn%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0l1

T


l Rhumbline Large Cap Fund



AnnualizedNet Ret

Std.Dev.

SharpeRatio

InfoRatio

6.90

6.75

3.21

17.84

18.08

1.07

0.21

0.20

0.00

0.15



36


41/142

City of Ft. Lauderdale Police and FireLarge Neutral Cumulative Performance Comparisons


High

1st Qt

Median3rd Qt

Low


Net Ret

Rank


Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

Last 8

Years

Last 9

Years

Last 10

Years

13.28

12.10

11.8111.64

8.23

11.77

70

11.81

63

6.19

2.20

2.081.09

-5.69

2.48

20

2.12

36

11.08

8.86

8.417.91

4.39

8.53

35

8.39

52

17.95

15.15

14.2414.07

11.81

14.22

50

14.10

72

2.52

-0.94

-1.50-1.61

-3.24

-1.40

45

-1.64

80

3.60

0.49

-0.15-0.23

-1.43

-0.04

42

-0.25

77

5.54

2.72

2.322.23

1.22

2.45

38

2.27

74

5.02

3.37

2.822.65

2.08

2.80

51

2.64

85

6.67

4.45

3.803.65

3.32

3.77

50

3.63

88

9.26

7.17

6.486.17

5.81

6.28

56

6.16

83

7.21

4.02

3.202.94

2.86

3.05

54

2.92

87

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%18%

20%

l1

l1

l1

l1

l1

l1

l1 l1l1

l1

l1

37


42/142

City of Ft. Lauderdale Police and FireLarge Neutral Consecutive Performance Comparisons


High

1st Qt

Median3rd Qt

Low


Net Ret

Rank


Net Ret

Rank

2011 2010 2009 2008 2007 2006 2005 2004 2003 2002

6.19

2.20

2.081.09

-5.69

2.48

20

2.12

36

21.22

17.07

15.1314.94

12.16

14.93

75

15.05

69

39.27

29.85

26.7826.47

21.28

26.51

74

26.45

75

-27.80

-35.89

-36.95-37.19

-41.46

-36.56

31

-36.99

68

10.93

6.14

5.545.25

0.65

5.60

37

5.52

53

19.93

15.93

15.7815.46

11.16

15.86

31

15.81

43

11.98

8.40

5.104.90

3.97

4.90

75

4.89

76

19.81

12.56

10.9210.82

8.99

10.85

71

10.87

66

41.03

31.54

28.7328.60

24.65

28.59

77

28.69

58

-6.83

-20.89

-22.00-22.08

-23.79

-21.92

44

-22.12

84

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

l1

l1

l1

l1

l1

l1

l1

l1

l1

l1

38


43/142


Total Returns of Large Neutral Portfolios


15.0 16.2 17.4 18.6 19.8 21.0 22.2 23.4 24.6 25.8 27.0

10.0

10.9

11.7

12.6

13.5

14.4

15.3

16.2

17.1

18.0

18.9

l1

Media

n

Risk

Median

Return







Median

14.22 50 21.14 21

14.10 72 21.27 38

14.24 21.28


17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

l1

Median

Risk

Median

Return







Median

-0.04 42 20.98 23

-0.25 77 21.14 41

-0.15 21.14

39


44/142

City of Ft. Lauderdale Police and FireRisk Measure SummaryRhumbline Large Cap Fund

Quarterly Periods Ending 12/31/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

1.02

1.00

0.50

-13.83

11.77

2.48

2.48

1

3

-13.86

11.81

2.12

2.12

3

9

1.00

1.00

0.42

-13.83

15.88

1.43

49.68

21.14

0.99

0.04

1.00

0.67

14.16

0.36

0.22

3

9

-13.86

15.93

1.15

49.75

21.27

0.66

8

12

1.00

0.99

0.65

-21.62

15.88

-37.64

49.68

20.98

0.99

0.04

1.00

-0.07

-1.53

0.31

0.56

8

12

-21.93

15.93

-38.07

49.75

21.14

-0.08

21

44

1.00

0.99

0.63

-21.62

21.07

-37.64

49.68

17.84

0.99

0.04

1.00

0.21

3.74

0.68

0.15

21

44

-21.93

21.32

-38.07

49.75

18.08

0.20

40


45/142

City of Ft. Lauderdale Police and FireSawgrass as of 12/31/11

Google IncApple Inc

Intl Business McHn

Microsoft Corp

Exxon Mobil Corp

McDonalds Corp

Coca Cola Co

Celgene Corp

Abbott Labs

Mastercard Inc

GICS Sector % Port

Information TechnologyInformation Technology



Energy


Consumer Staples

Health Care

Health Care


5.114.59

4.39

4.00

3.78

3.69

3.39

3.24

3.11

2.83

EnergyMaterials

Industrials


Consumer Staples

Health Care

Financials


Telecom Services

Utilities

% Port

10.955.07

10.46

17.16

13.32

10.15

2.65

28.29

1.96

0.00

-2.00.02.04.06.08.0

10.012.0

14.016.018.020.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/07

Sawgrass Russell 1000 Growth

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/07

Sawgrass

Russell 1000 Growth

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

10.78

10.60

29,707

40

3,202

32,949

8.49

2.63

33,515

-3,342

2,777

32,949

8.49

2.63

33,515

-3,342

2,777

32,949

15.67

18.02

38,970

-21,932

15,912

32,949

1.66

2.38

51,428

-19,797

1,318

32,949


Top Equity Holdings GICS Sector Allocation

41


46/142

City of Ft. Lauderdale Police and FireSawgrass as of 12/31/11




Alpha

Beta

R-Squared

-0.20

0.85

0.96

AnnualizedReturn%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0

1.21.31.41.51.61.71.81.92.02.12.22.32.42.5

s

1

T


s Sawgrass

1 Russell 1000 Growth


AnnualizedNet Ret

Std.Dev.

SharpeRatio

InfoRatio

1.66

2.38

1.29

18.81

21.85

0.93

0.02

0.05

0.00

-0.29



42


47/142

City of Ft. Lauderdale Police and FireLarge Growth Cumulative Performance Comparisons


High

1st Qt

Median3rd Qt

Low

s Sawgrass

Net Ret

Rank


Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

13.36

10.87

9.738.29

6.71

10.78

26

10.60

31

6.73

2.02

-0.35-4.06

-8.86

8.49

3

2.63

20

12.75

9.69

7.305.97

2.74

9.58

27

9.45

29

24.26

17.49

15.5714.39

11.34

15.67

49

18.02

22

3.11

0.53

-0.68-2.87

-4.31

-0.39

45

0.30

33

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

s 1s

1

s 1

s

1

s 1

43


48/142

City of Ft. Lauderdale Police and FireLarge Growth Consecutive Performance Comparisons


High

1st Qt

Median3rd Qt

Low

s Sawgrass

Net Ret

Rank


Net Ret

Rank

2011 2010 2009 2008

6.73

2.02

-0.35-4.06

-8.86

8.49

3

2.63

20

26.12

19.23

16.9013.38

9.66

10.69

91

16.72

53

54.26

40.87

34.6030.98

24.07

28.88

83

37.21

35

-28.78

-35.37

-38.47-42.20

-49.17

-36.37

34

-38.44

49

-60%

-50%

-40%-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

s1

s1

s

1

s 1

44


49/142


Total Returns of Large Growth Portfolios


13.0 14.5 16.0 17.5 19.0 20.5 22.0 23.5 25.0 26.5 28.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

22.0

24.0

26.0

s

1

Media

n

Risk

Median

Return





s Sawgrass


Median

15.67 49 16.14 3

18.02 22 19.72 38

15.57 20.35

45


50/142


SawgrassQuarterly Periods Ending 12/31/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

1.18

0.81

1.00

-10.62

10.78

8.49

8.49

1

3

-13.14

10.60

2.63

2.63

3

9

0.84

0.86

0.42

-10.62

13.15

5.22

40.15

16.14

0.80

0.24

0.97

0.96

19.29

4.92

-0.56

3

9

-13.14

16.32

2.63

49.75

19.72

0.91

8

11

0.47

-21.12

13.15

-36.37

40.15

7

12

-22.79

16.32

-38.44

49.75

8

11

0.83

0.89

0.47

-21.12

13.15

-36.37

40.15

18.81

0.85

-0.20

0.96

0.02

0.43

4.90

-0.29

7

12

-22.79

16.32

-38.44

49.75

21.85

0.05

46


51/142

City of Ft. Lauderdale Police and FireEquity Summary Statistics

SawgrassPeriod Ending 12/11


Portfolio Russell 1000 Growth

4132,256,528

111,830,60954,516,213

1.6515.5116.250.884.00

44.6612.68

588

96,512,0335,590,219

1.6216.2517.171.003.84

67.9011.64

Ten Largest Holdings

Google IncApple IncIntl Business McHnMicrosoft Corp

Exxon Mobil CorpMcDonalds CorpCoca Cola CoCelgene CorpAbbott LabsMastercard Inc


1,647,0451,478,2501,415,8761,290,212

1,217,1541,188,9111,091,5321,044,4201,003,706

913,409

5.114.594.394.00

3.783.693.393.243.112.83

25.576.255.485.08

17.3915.104.309.17

10.9617.61

Ten Best Performers

Occidental Pete CorpHome Depot IncGoogle IncDover CorpStarbucks CorpCaterpillar IncBoeing CoCvs CorpRoss Stores IncYum Brands Inc

Quarterly Ret

31.6828.8525.5725.3323.8623.3721.9821.8821.1120.14

Ten Worst Performers

Thermo Fisher ScientDirectvSigma Aldrich CorpCostco Whsl Corp NewE M C Corp MassDr Pepper Snapple GrCoca Cola CoUnited TechnologiesMicrosoft CorpIntl Business McHn

Quarterly Ret

-11.201.211.381.752.622.664.304.525.085.48

47


52/142

City of Ft. Lauderdale Police and FireEquity Contribution to Return

SawgrassPeriod Ending 12/11


Portfolio Russell 1000 Growth

4132,256,528

111,830,60954,516,213

1.6515.5116.250.884.00

44.6612.68

588

96,512,0335,590,219

1.6216.2517.171.003.84

67.9011.64

Ten Best Contributors

Google IncOccidental Pete CorpExxon Mobil CorpStarbucks Corp

Ross Stores IncMcDonalds CorpMedco Health SolutioCaterpillar IncCvs CorpMastercard Inc


1,647,045749,600

1,217,154816,678

903,0701,188,911

893,003714,834762,994913,409

5.112.333.782.53

2.803.692.772.222.372.83

25.5731.6817.3923.86

21.1115.1019.2223.3721.8817.61

Ten Worst Contributors

Thermo Fisher ScientSigma Aldrich CorpCostco Whsl Corp NewDirectvE M C Corp MassDr Pepper Snapple GrUnited TechnologiesCoca Cola CoAmerican Express CoIntel Corp


331,879293,562272,456615,316753,900815,262814,954

1,091,532855,711354,050

1.030.910.851.912.342.532.533.392.651.10

-11.201.381.751.212.622.664.524.305.49

14.68

48


53/142

City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis

SawgrassQuarter Ending 12/11

GICS Sectors

Weight

Portfolio Index

Return

Portfolio Index

Selection

Stock Sector Total

Energy

Materials

Industrials


Consumer Staples

Health CareFinancials


Telecom. Services

Utilities

9.82

4.94

9.00

16.45

14.39

13.002.85

27.94

1.61

0.00

100.00

10.34

5.11

12.08

14.45

13.03

11.053.74

28.87

1.24

0.09

100.00

19.30

13.29

13.95

15.30

5.60

8.575.49

9.51

10.55

11.23

18.73

15.61

15.94

9.43

8.97

7.3612.18

7.11

8.15

3.86

10.62

0.06

-0.11

-0.18

0.97

-0.49

0.16-0.19

0.67

0.04

0.00

0.92

-0.04

-0.01

-0.16

-0.02

-0.02

-0.06-0.01

0.03

-0.01

0.01

-0.31

0.01

-0.12

-0.34

0.94

-0.51

0.09-0.20

0.70

0.03

0.01

0.61

Index - Russell 1000 Growth

Stock Selection Return Attribution

[ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ]

Sector Selection Return Attribution

[ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ]

Trading Effect 0.27%

[ Actual Return 11.50% ] - [ Buy Hold Return 11.23% ]

49


54/142

City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart

SawgrassQuarter Ending 12/11

% Allocation

Energy 9.82 10.34

Materials 4.94 5.11

Industrials 9.00 12.08

Con. Discretionary 16.45

14.45

Consumer Staples 14.39 13.03

Health Care 13.00 11.05

Financials 2.85 3.74

Infomation Tech. 27.94 28.87

Telecom. Services 1.61 1.24

Utilities 0.00 0.09

Sawgrass Russell 1000 Growth

% Return

19.30

18.73

13.29

15.61

13.95

15.94

15.30

9.43

5.60

8.97

8.57

7.36

5.49

12.18

9.51

7.11

10.55

8.15

3.86

% Variance

0.01

-0.12

-0.34

0.94

-0.51

0.09

-0.20

0.70

0.03

0.01

50


55/142

City of Ft. Lauderdale Police and FireSystematic Financial Management as of 12/31/11

Chevron CorpPfizer Inc

General Elec Co

Unitedhealth Group I

At&T Inc

Discover Finl Svcs

J P Morgan Chase & C

PNC Financial Corp

First Energy Corp

Freeport-McMoran Cop

GICS Sector % Port

EnergyHealth Care

Industrials

Health Care

Telecom Services

Financials

Financials

Financials

Utilities

Materials

3.633.33

3.16

3.12

2.82

2.77

2.72

2.66

2.63

2.16

EnergyMaterials

Industrials


Consumer Staples

Health Care

Financials


Telecom Services

Utilities

% Port

13.504.90

10.20

10.88

5.20

13.78

24.34

9.37

2.82

5.01

-8.0-6.0-4.0-2.00.02.04.06.0

8.010.012.014.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/02

Systematic Financial Management Russell 1000 Value

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/02


Russell 1000 Value

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

12.30

13.11

27,337

29

3,363

30,729

-7.69

0.39

37,396

-4,379

-2,287

30,729

-7.69

0.39

37,396

-4,379

-2,287

30,729

10.74

11.55

39,205

-20,911

12,436

30,729

-2.01

-2.64

75,524

-41,982

-2,814

30,729

7.13

5.73

42,609

Ft. Lauderdale 4th Qtr 11 Full Report

Documents

Transcript of Ft. Lauderdale 4th Qtr 11 Full Report