fort lauderdale police and fire pension 1st quarter 2011 investment review

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 REVIEW MARCH 31, 2011

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

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.

Any 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 you investmentplanning and is for information purposes only. Your Custodial Client Statement is the official record of you account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the ClientStatement 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 of Ft. Lauderdale Police and FireImportant Disclaimer Information

1

CAPITAL MARKETS REVIEW – MARCH 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 see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.

Data Sources: Zephyr StyleAdvisor , Barclay’s Capital, MSCI Barra & Standard & Poor’sData 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 YrDomestic Fixed Income3 Month T-Bill 0.03% 0.03% 0.15% 0.43% 2.08% 2.14%Barclays Capital 1-3 year Gov't 0.06% 0.06% 1.73% 2.48% 4.24% 3.79%Barclays Capital Interm Gov't 0.02% 0.02% 3.83% 3.54% 5.48% 4.81%

Barclays Capital Interm Credit 0.99% 0.99% 6.32% 6.59% 6.36% 5.91%Barclays Capital Interm Govt/Cred 0.34% 0.34% 4.63% 4.49% 5.68% 5.20%Barclays Capital Aggregate Bond 0.42% 0.42% 5.12% 5.30% 6.03% 5.57%

Domestic EquityStandard & Poor's 500 5.92% 5.92% 15.65% 2.36% 2.62% 3.29%Dow Jones Industrial Average 7.07% 7.07% 16.51% 3.12% 4.87% 4.73%Dow Jones US Total Full Cap 6.06% 6.06% 17.50% 3.83% 3.27% 4.62%Dow Jones US Select REIT 6.70% 6.70% 24.44% 1.48% 0.66% 11.25%

Russell 1000 - Large Cap 6.24% 6.24% 16.69% 2.98% 2.93% 3.83%Russell 1000 Growth - Large Cap 6.03% 6.03% 18.26% 5.19% 4.34% 2.99%Russell 1000 Value - Large Cap 6.46% 6.46% 15.15% 0.60% 1.38% 4.54%

Russell Midcap 7.63% 7.63% 24.27% 7.25% 4.67% 8.52%Russell Midcap Growth 7.85% 7.85% 26.60% 7.63% 4.93% 6.94%Russell Midcap Value 7.43% 7.43% 22.26% 6.62% 4.04% 9.24%

Russell 2000 - Small Cap 7.94% 7.94% 25.79% 8.57% 3.35% 7.87%Russell 2000 Growth - Small Cap 9.24% 9.24% 31.04% 10.16% 4.34% 6.44%Russell 2000 Value - Small Cap 6.60% 6.60% 20.63% 6.76% 2.23% 9.01%

International EquityMSCI EAFE 3.37% 3.37% 10.42% -3.02% 1.30% 5.39%MSCI World 4.80% 4.80% 13.45% -0.25% 2.08% 4.21%MSCI EM 1.69% 1.69% 15.89% 1.96% 8.25% 14.10%

Blended Benchmarks30% S&P 500 / 70% Barclays Agg 2.07% 2.07% 8.28% 4.42% 5.01% 4.89%40% S&P 500 / 60% Barclays Agg 2.62% 2.62% 9.33% 4.12% 4.67% 4.66%50% S&P 500 / 50% Barclays Agg 3.17% 3.17% 10.39% 3.83% 4.33% 4.43%60% S&P 500 / 40% Barclays Agg 3.72% 3.72% 11.44% 3.54% 3.98% 4.20%70% S&P 500 / 30% Barclays Agg 4.27% 4.27% 12.49% 3.24% 3.64% 3.97%

3




Capital Markets Summary

Price volatility, consolidation, and even reversals are considered normal following periods of strong market performance. Generally, these market actions are triggered by an unforeseen or unpredictable event with price volatility and consolidation often the result of tactical risk management. The first quarter of 2011 provided several triggering mechanisms.

Inflation, in the form of rising food (agricultural/livestock commodities) and materials (metal/lumber) prices threaten to slow global growth. Geo-political events in the Middle East and North Africa threaten to disrupt adequate oilsupplies and inflate energy costs. The earthquake and resulting tsunami that devastated Japan late in the quarter threaten the regional economies leading some economists to predict a global economic slowdown.

Domestically, the Federal Reserve has stated its comfort with the current level of inflation (presumably ex-energy), but recent commentary from several Federal Reserve Bank Presidents would indicate not all decision makers fully agree with this position. Chinese and European leaders are already taking steps to slow economic growth and manage inflationary pressures. Investors wary of impending interest rate hikes chose to begin reducing security positions of interest rate sensitive economies.

Investors then had to evaluate the economic impact of the political unrest in the Middle East and Libya. Protracted unrest or the threat of more widespread unrest in this region would likely disrupt oil supplies and further increase prices which could drain consumer resources and further stymie economic growth. Investors responded to this uncertainty by tactically managing risk and sold assets considered at political, regional, or supply risk.

MCG Equities

SC Equities

MC Equities

MCV Equities

SCV Equities

Intl Emerging Equities

LCG Equities

LC Equities

S&P 500

LCV Equities

High Yield Bonds

Intl Developed Equities

Corporate Bonds

Long Term Treasury Bonds

Foreign Bonds

Intl Frontier Equities

Mortgage Backed Bonds

Municipal Bonds

3-Month T-Bill

26.6%

25.8%

24.3%

22.3%

20.6%

18.8%

18.3%

16.7%

15.7%

15.2%

14.1%

10.9%

7.5%

7.3%

6.5%

5.5%

4.4%

1.6%

0.2%

One Year Performance of Asset Classes As Of March 31, 2011

4





The earthquake and tsunami that hit Japan on March 11 created immeasurable hardship for its people, and grabbed the world’s attention for two reasons. First and foremost is the human tragedy. Second is the damage caused to the Japanese economy that has struggled with anemic growth for the past two decades. The infrastructure damage caused by this disaster has threatened Japan’s manufacturing capacity and the effects have already been felt in the electronic and automotive sectors. Investors managed risk by reducing exposure to companies strongly tied to the Japanese economy.

Despite these triggers and the resulting volatility the domestic markets continued to move cautiously higher this quarter. The Dow Jones Industrial Average (DJIA) was up 7.07% and the S&P 500 Index ended the quarter with a gain of 5.92%, its best quarter in 13 years. The NASDAQ Composite Index gained 5.02%. The S&P400 Mid-cap Index gained 9.36%, and the S&P 600 Small Cap Index was up 7.71% for the quarter. Domestic growth is slow, but steady. Manufacturing is expanding, albeit very slowly. The labor market is showing gradual improvement. Wage growth is slow and inflation is low.

After having adjusted to post-recession estimates and predictions, investors had little to get excited about this earnings season. Investor confidence was encouraged by the number of companies that initiated, reinstated or increased dividends. With the economy remaining sluggish and upside earnings surprises likely peaked, some institutional investors now consider profit forecasts for the S&P to be the best case scenario.

Mergers and acquisitions remained strong during the quarter as company executives continued to pursue large acquisitions. Global M&A activity for the first three months of the year totaled $716.3 billion. That is up 16% from $618.5 billion a year ago.

In international markets, the most indebted countries in the Eurozone are leading market returns. Italy, Greece and Spain were each up better than 7.0% this quarter despite fears the European debt crisis is worsening. The European market is struggling with many of the same issues as the U.S. domestic market. Expansion is slow. The job market is weak and unemployment remains high. Inflation is a concern. Debt is growing. The French CAC40 was up 5.6% and kept pace with Western markets. The German DAX was up 3.0%.

BC Agg

BC Int GC

R 1000

R Mid

R 2000

MSCI EAFE

MSCI EM

T‐Bills

ML HYM

0

2

4

6

8

10

12

0 5 10 15 20 25 30

Ret

urn

(%

)

Risk (Standard Deviation %)

Risk/Return ComparisonFive Years Ending March 31, 2011

5





Japan was the focal point in Asian markets. It will be some time before the full impact of the devastation to the world’s third largest economy is known. Japan must first provide services to its affected people and deal with a potential nuclear disaster. The rebuilding process will be lengthy, and require considerable capital and resources. The Nikkei 225 Index dropped immediately following the disaster, but was making a modest recovery by the end of the quarter finishing down 5.0%. China’s manufacturing growth accelerated for the first time in four months easing concerns that monetary tightening would lead to a slowdown in the world’s second largest economy. Although volatile, the China CSI 300 Index gained 4.6% for the quarter.

In the domestic fixed income markets the Federal Reserve kept interest rates unchanged during the quarter, however, comments from several regional Fed Presidents indicate differing opinions on this position. This dissention supported the opinion of many investors who have been liquidating U.S. debt in advance of an anticipated rate hike. PIMCO, the world’s largest bond fund, announced this quarter that it had sold all of its long-term U.S. debt holdings in search of higher yields elsewhere. Corporations continued to take advantage of the low interest rate environment by issuing a record $259.4 billion in new issuance for the quarter.

Unlike the U.S. market, European economic leaders have the additional burden of managing an interest rate that must accommodate and foster growth for weak economies and not overheat stronger economies. Portugal, Ireland, and Greece need rates to remain low to avoid a sovereign debt crisis. By not raising rates, the European Central Bank risks inflationary damage to the German and French economies. Nervous bond investors hedged positions ahead of a scheduled ECB meeting in early April. Less risk adverse investors actively sought higher yields in emerging market country debt.

On a final note of interest; Last quarter China expressed its financial support for Spain and other European country debt. This quarter the Financial Times reported that China surpassed the World Bank in providing loans to developing countries.

6




Domestic Equity

The U.S. equity market remained resilient during the first quarter despite a number of event-driven risks. All major U.S. equity indices rose over 5% led by the Dow Jones Industrial Average, which posted a 7.07% return for its best first quarter since 1998. In a quarter where disaster struck Japan, social unrest escalated in the Middle East, oil and gas prices increased significantly, and the threat of a federal government shutdown the major indices ended each month of the quarter

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

1Q11 1 year 3 years 5 years 10 years

Ret

urn

(%

)

Broad Domestic Equity Performance

Large Cap

Mid Cap

Small CapRu

ssel

l 10

00 6.24

Russ

ell

Mid

cap

7.63

Russ

ell

2000 7.94

-10 -5 0 5 10

9.246.60

7.42

6.46

First Quarter Domestic Equity Returns

Value Growth

6.03

7.85

higher than they began. While February was particularly strong (with all indices up over 3% in the month), January and March also added to a strong start to the year.

Small cap stocks again outperformed large caps as the Russell 2000 rose 7.94% and the Russell 1000 rose 6.24%. Style results were mixed as the Russell 1000 Value (up 6.46%) outpaced the Russell 1000 Growth (6.03%) while the Russell 2000 Growth (9.24%) significantly outperformed the Russell 2000 Value (6.60%).

7




Domestic Equity

In sector returns, the S&P 500 Energy sector continued its blistering pace as it posted a 16.80% gain for the quarter, easily outpacing the runner-up Industrial sector’s 8.75% return. Though it did slow down to 1.54% in March, Energy had six straight months of returns eclipsing 5% from September 2010 to February 2011. The sector has now posted a 60.25% cumulative return over the past 3 quarters. Energy and Industrials were the big winners of the first three months of 2011, as all other sectors trailed the overall S&P 500 but were still all able to post positive gains for the quarter.

In U.S. mergers and acquisitions, while the total number of deals announced in first quarter 2011 declined from the first quarter of 2010, the dollar value of those deals more than doubled. Notable deals announced during the quarter were AT&T’s (T) proposed acquisition of T-Mobile USA

0

50

100

150

200

250

300

Style Performance10 Year Growth of $100

R1000 Value R1000 Growth R2000 Value R2000 Growth

2.522.743.043.47

4.544.714.855.625.92

8.7516.80

Consumer StaplesUtilitiesFinancialsInformation TechnologyMaterialsConsumer DiscretionaryTelecommunication ServicesHealth CareS&P 500IndustrialsEnergy

S&P 500 1Q 2011 Sector Returns

for $39 billion from Deutsche Telekom, and Duke Energy’s (DUK) bid for Progress Energy (PGN) at slightly more than $26 billion. Additionally, in February, the NYSE Euronext (NYX) agreed to be acquired by Deutsche Boerse for a friendly all-stock offer valued at nearly $10 billion ($35.75/ share). (However, it was announced on April 1st that NASDAQ (NDAQ) and Intercontinental Exchange (ICE) jointly made an unsolicited bid for NYSE that valued the company at $42.50/ share ($11.3 billion) and included a cash payout of $14.24 per share. The NYSE rejected this unsolicited bid in favor of keeping its deal with Deutsche Boerse (which also carries a $362 million breakup fee), though the speculation of further overtures from NDAQ and ICE remained as of this writing.) In IPOs, first quarter 2011 proceeds were $12.4 billion, a sizeable increase from the $4.2 billion received during the same quarter in 2010. HCA Holdings (HCA), Kinder Morgan (KMI), and Nielsen Holdings (NLSN) each recorded proceeds greater than $1 billion from their IPOs.

8




International Markets

The international markets started the quarter full of uncertainty as investors tried to gauge the impact of regional unrest in the Middle East and North Africa. Demonstrations that started in Tunisia have spread through most of the region. In three months we have witnessed the overthrow of governments in Egypt and Tunisia, civil war in Libya and half a dozen other countries facing protest. Some governments have promised reform, while others have used military, police and Marshall Law in attempts to stop the protests. Saudi Arabia is being watched closely, as any major unrest there will affect oil prices and possibly broader markets. The political upheaval has put a premium on oil prices that have recently traded above $110 per barrel compared to $91 at the beginning of the quarter. The turmoil has slashed over 23% from Egypt’s index as the Middle East returns trail all other regional returns for the quarter. Economists believe prolonged increased oil prices will impact world growth during the recovery.

The second major event this past quarter was the earthquake and resulting tsunami in Japan. The March 11th event has left over 12,000 confirmed dead with estimates that could go well above 20,000. The tsunami washed over the northern part of Japan causing devastation in its manufacturing sector as well as the lives and homes lost. Besides the quake, tsunami, and power outage Japan is also dealing with a nuclear reactor crises that rivals Chernobyl. In the days following the event the Japan index lost roughly 15% of its value and ended the quarter down 4.85%. Japan’s auto and electronics manufacturing was severely impaired as Sony, Toyota, Nissan, Honda and Mazda have all been impacted. All auto plants in Japan were shut down for at least a week to conserve energy and assess damage to plants and suppliers. The largest supplier of auto safety devices Autoliv Inc. was in the affected area as well as many global suppliers of parts that will affect all major auto supply chains. Some economists believe world auto production will be down 30% or 100,000 units per day in the near term. The international central banks have pledged to intervene to maintain stable Yen prices as Japan recovers and global companies headquartered in Japan bring money home to rebuild.

Japan

India

China

Brazil

United Kingdom

Australia

Mexico

Germany

South Africa

Russia

1.6%

9.5%

9.6%

9.7%

13.6%

15.0%

19.1%

20.7%

26.0%

30.1%

One Year International (Gross) ReturnsAs Of March 31, 2011

9




International Markets

With Japan and the Middle East grabbing headlines this quarter, less attention has been paid to debt and banking problems of Europe. After denying the need for a bailout for quite some time, Portugal has finally officially requested assistance from the EU and IMF. Portugal has been trying to clean up its own fiscal problems and to avoid the austerity measures that come attached to a bailout. The Portuguese government has not been able to agree on any meaningful moves to balance the budget, and the interest rate on its debt is too high to support long term. After a downgrade from Moody’s, the annual interest on its one year note jumped 1.6% to 5.9%, adding huge costs for the government. Spain and Italy are the only two remaining infamous “PIIGS” countries that have not received a bailout. Both Spain and Italy have declared their finances are good enough to avoid external assistance. Greece, Ireland and Portugal all declared the same for months until debt markets proved otherwise. The EU has also declared its first interest rate hike since the great recession. While Europe’s inflation is not nearly as high as China’s it must delicately balance the inflation problems of its core manufacturing countries , such as Germany and the slow growth and fiscal problems of countries such as Portugal.

Despite the economic problems in Europe, the MSCI Europe Index gained 6.56% this quarter. Germany, considered Europe’s current economic leader, posted market declines during the final month of the quarter, however, the MSCI Germany Index still managed a gain of 7.57%. Higher energy prices and political stability are moving the Russian markets higher. The MSCI Russia Index advanced 16.29% this quarter. The trailing one year return is 30.06%. China continued monetary tightening and chose to raise interest rates again this quarter. The MSCI China Index advanced 2.88% this quarter and is up 9.58% year over year.

Fixed Income

All things considered, the fixed income market managed to navigate a difficult first quarter with most sectors posting moderate gains. The Barclays Capital U.S. Aggregate Bond index was up 0.42% for the quarter with monthly returns of 0.12%, 0.25%, and 0.05%. The Barclays Capital U.S. Government Intermediate index was barely up at 0.01% for the quarter with monthly returns of 0.28%, -0.23%, and -0.04%. The Barclays Capital U.S. Corporate Investment Grade index increased 0.86% for the quarter with monthly returns of 0.20%, 0.79%, and -0.13%.

10




Fixed Income

Revolution in the Middle East, destruction in Japan, and uncertainty in Europe over sovereign debt all led investors to the safety of Treasury bonds, even as U.S. economic news pressured yields higher. The benchmark 10 Year Treasury rose 15 bps during the quarter, and the 5 Year climbed 22 bps plumping up the belly of the yield curve the Fed has been fighting to keep down during QE2. Fear of rising inflation built during the quarter, even as increasing food and fuel prices have yet to materialize in the headline CPI numbers. Agencies continue to perform somewhat better than Treasuries. Demand has easily absorbed the relatively low levels of issuance in Agency mortgage-backed securities.

Corporate bond returns continue to be driven by healthy earnings, solid credit fundamentals, and strong demand for new issuance. Also, the Moody’sspeculative grade default rate 12 month trailing number is below 3% compared to 11.7 % this time last year, and they reported no defaults in the month of January for the first time since June 2007. High Yield bonds were the big performer of the quarter with a return of 3.88% according to the Barclays Capital U.S. Corporate High Yield index. All high yield sectors were positive, with food and drug retailers, technology, and energy gaining the most.

0.00%1.00%2.00%3.00%4.00%5.00%

3 MO 6 MO 2 YR 5 YR 10 YR 30 YR

Tre

asu

ry Y

ield

Cu

rve

12/31/2008 12/31/2009 12/31/2010 3/31/2011

0.00%

5.00%

10.00%

15.00%

1Q11 YTD 1 YR 3 YR 5 YR

Cre

dit

Per

form

ance AAA

AA

A

BBB

BB

‐2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

1Q11 YTD 1 YR 3 YR 5 YR 10 YRSec

tor

Per

form

ance

Govts Corps Mortgages Munis

11




Commodities

Commodity prices were mixed during the quarter. Oil grabbed the most attention as it closed at a two and half year high above $106 per/bbl and advanced 16.8% for the quarter. Gold closed above $1,438, but only advanced 1.3%, the second weakest quarter since 2008. Silver increased 22.5%, closing above $37. Silver is now up more than 100% from the first quarter of last year. Aluminum advanced 6.6% during the quarter.

In addition to oil and metals, inflationary concerns helped agricultural commodities post strong gains for the quarter. Cotton was up more than 38% (up 17% in February), and corn rose more than 10%. Wheat, which was up more than 47% last year, declined slightly less than 4% during the quarter.

Currency

In March, the New York Federal Reserve Bank took the extraordinary measure of intervening in the currency markets following the earthquake and tsunami that devastated Japan and threaten to hyper-inflate the Japanese Yen. A Fed spokesperson confirmed the intervention, supported by the Group of seven major industrialized nations, but refused any specific details, saying the action was necessary as the Yen surged to post-war levels and threatened to depress the country’s exports. The action proved effective as the Yen stabilized and allowed the Dollar and Euro to advance.

A lack of monetary policy change in the U.S. and a change in investor opinion helped the Euro gain on the dollar. Much of this gain is attributed to the current U.S. monetary policy and economic stimulus program. However, there appears to have been a change in investor opinion on the status of the dollar’s value as a safe-haven. Typically, the dollar has been sought by investors during times of political or financial turmoil. The Dollar Index lost 3.8% versus a basket of six major currencies this quarter. Recently, investors have been shunning the dollar and buying the Swiss franc, Japanese Yen and Euro. The Euro closed the quarter above $1.41 with a 6% move upward from its February 14 low of $1.34.

0.00% 5.00% 10.00% 15.00% 20.00% 25.00%

U.K.

Japan

Europe

Canada

Australia

13.6%

1.6%

13.1%

23.1%

15.0%

11.3%

14.9%

3.6%

9.2%

19.8%

1 Year Country And Currency ReturnsAs of March 31, 2011

Currency Country Return

12

Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth rates.

Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields, and higher forecasted growth rates.

Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russell 2000 Growth Index.

Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell 2000 Value Index.

MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the 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 and 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 is comprised of companies whose charter is the equity ownership and operation of commercial real estate.

CAPITAL MARKETS REVIEW – MARCH 31, 2011CAPITAL MARKET INDEX RETURNS


Data Sources: MorningstarData provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance.

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 11Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell Russell

B ES T 2000 1000 Wilshire 1000 1000 2000 Wilshire 2000 Agg 2000 Wilshire Wilshire Wilshire 1000 Agg 1000 2000 2000Value Value REIT Value Growth Growth REIT Value Bond Growth REIT REIT REIT Growth Bond Growth Growth Growth

29 .15% 32 .94% 8 .06% 38 .35% 37.04% 35.18% 38 .71% 43 .09% 31.04% 13 .96% 10 .27% 48 .53% 33 .14% 14 .00% 36 .13% 11.81% 5.24% 37.21% 29 .09% 9 .24%DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ DJ

Wilshire 2000 1000 1000 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire Wilshire REIT Value Growth Growth Growth Value REIT REIT Value Value Value Growth REIT REIT

15.13% 23 .84% 2 .66% 37.53% 23 .12% 33 .35% 28 .57% 33 .16% 22 .83% 12 .36% 3 .60% 46 .02% 22 .25% 13 .54% 26 .34% 11.17% -28 .92% 34 .47% 28 .07% 6 .70%Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russell

1000 1000 Wilshire 1000 2000 Agg Agg 2000 1000 2000 2000 1000 2000 2000Value Value REIT Growth Value Bond Bond Value Value Value Growth Value Value Value13 .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% 6 .60%

Russell DJ Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell Barclays DJ Russell Russell 2000 Wilshire 2000 1000 1000 1000 1000 1000 1000 Wilshire 1000 1000 1000 Agg Wilshire 1000 1000

Growth REIT Growth Value Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth Value7.77% 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% 6 .46%

Russell Russell Russell Russell DJ Barclays Russell Russell Russell Russell Russell Russell Russell 2000 2000 2000 2000 Wilshire Agg 1000 2000 1000 2000 1000 1000 1000

Growth Value Value Value REIT Bond Value Growth Value Growth Growth Value Growth7.62% 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% 6 .03%

Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell Russell Agg 1000 Agg 2000 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000

Bond Value Bond Growth Growth Growth REIT Growth Value Growth Value Growth Value7.40% 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% 5.92%

Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell 1000 Agg 2000 Wilshire Agg 2000 Agg 1000 1000 1000 1000 2000 1000 2000 Wilshire 1000

Growth Bond Growth REIT Bond Value Bond Growth Growth Growth Growth Growth Growth Value REIT Value5.00% 9 .75% -2 .44% 12 .24% 6 .36% 9 .68% -6 .46% -0 .83% -22 .42% -20 .42% -27.89% 28 .67% 6 .30% 4 .15% 9 .07% -9 .78% -39 .20% 19 .69% 7.75% 3 .37%

Russell Barclays Barclays DJ Russell Russell Russell Barclays Barclays Barclays Barclays DJ Barclays Barclays Barclays1000 Agg Agg Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg Agg

WOR S T Growth Bond Bond REIT Value Growth Growth Bond Bond Bond Bond REIT Bond Bond Bond-11.85% 2 .90% -2 .92% 11.55% 3 .61% 2 .06% -17.00% -1.49% -22 .43% -22 .00% -30 .27% 4 .11% 4 .34% 2 .43% 4.33% -17.56% -45.09% 5.93% 6 .54% 0 .42%

S&P 500

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

MSCI EAFE

S&P 500

S&P 500

S&P 500

MSCI EAFE

MSCI EAFE

S&P 500

S&P 500

S&P 500

MSCI EAFE

MSCI EAFE

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

S&P 500

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

MSCI EAFE

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

MSCI EAFE

S&P 500

MSCI EAFE

S&P 500

MSCI EAFE

MSCI EAFE

MSCI EAFE

S&P 500

13

Equity vs. Fixed

-60

-40

-20

0

20

40

60

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Equity vs. Fixed Mean 1 Standard Deviation 2 Standard Deviations

Equity Outperforming

Fixed Outperforming

Domestic vs. Foreign

-60

-40

-20

0

20

40

60

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Domestic vs. Foreign Mean 1 Standard Deviation 2 Standard Deviations

Foreign Outperforming

Domestic Outperforming

CAPITAL MARKETS REVIEW – MARCH 31, 2011RELATIVE PERFORMANCE OF KEY INDICES



Aug '82 –DJIA 776

Black Monday - Oct '87

Asian Crisis

Invasion of Iraq

14




Large vs. Small

-60

-40

-20

0

20

40

60

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Large vs. Small Mean 1 Standard Deviation 2 Standard Deviations

Large Outperforming

Small Outperforming

Large Value vs. Large Growth

-60

-40

-20

0

20

40

60

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Large Value vs. Large Growth Mean 1 Std Deviation 2 Std Deviations

Value Outperforming

Growth Outperforming

15




Small Value vs. Small Growth

-60

-40

-20

0

20

40

60

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Small Value vs. Small Growth Mean 1 Standard Deviation 2 Standard Deviations

Value Outperforming

Growth Outperforming

Equity vs. REIT

-80

-60

-40

-20

0

20

40

60

80

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Equity vs. REIT Mean 1 Standard Deviation 2 Standard Deviations

Equity Outperforming

REIT Outperforming

16




Fixed Income vs. REIT

-120

-80

-40

0

40

80

120

12/7

9 - 1

2/80

12/8

0 - 1

2/81

12/8

1 - 1

2/82

12/8

2 - 1

2/83

12/8

3 - 1

2/84

12/8

4 - 1

2/85

12/8

5 - 1

2/86

12/8

6 - 1

2/87

12/8

7 - 1

2/88

12/8

8 - 1

2/89

12/8

9 - 1

2/90

12/9

0 - 1

2/91

12/9

1 - 1

2/92

12/9

2 - 1

2/93

12/9

3 - 1

2/94

12/9

4 - 1

2/95

12/9

5 - 1

2/96

12/9

6 - 1

2/97

12/9

7 - 1

2/98

12/9

8 - 1

2/99

12/9

9 - 1

2/00

12/0

0 - 1

2/01

12/0

1 - 1

2/02

12/0

2 - 1

2/03

12/0

3 - 1

2/04

12/0

4 - 1

2/05

12/0

5 - 1

2/06

12/0

6 - 1

2/07

12/0

7 - 1

2/08

12/0

8 - 1

2/09

12/0

9 - 1

2/10

Fixed Income vs. REIT Mean 1 Standard Deviation 2 Standard Deviations

Fixed Income Outperforming

REIT Outperforming

17

FIRM: Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE.

CONFLICTS OF INTEREST: To review important information about certain relationships and potential conflicts of interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned in this report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosures or call your Financial Advisor.

STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and 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 & Poor’s.

CAPITAL MARKETS REVIEW – MARCH 31, 2011GENERAL DISCLOSURE STATEMENT


18


Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history of successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US stocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisor adjusted 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 Stock Market (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 500 widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks traded in the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.S. market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total 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 with lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the S&P 500.

S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher book-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 reflect changes in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than the S&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 this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Value index.

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

Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, 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 this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index.

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

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


19


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

MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world. It 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 emerging markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different country indexes, all if which are created separately.

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

Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index with maturities 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 with maturities of 10 years or greater.

Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and is classified 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 par amount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to or greater 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 US domestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 or below as rated by Moody’s and/or S&P, at least $100 million in face value outstanding and a remaining term to final maturity equal to or greater than one year.

Dow Jones Wilshire REIT Index - A measurement of equity REITs and Real Estate Operating Companies. No special-purpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculated monthly 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 to market, 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 Capital Government/Credit Intermediate indices.


20

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

Total Fund CompositeAs of 3/31/11

Manager

Market

Value

Actual %

Target %

Systematic Financial Management

Intech Large Core

Rhumbline Large Cap Fund

Sawgrass

Lee Munder Small Cap Value

NorthPointe Small Cap Growth

Total Domestic Equity

Agincourt

Mellon Aggregate Bond Index Fund

SSgA Passive Bond Index Fund

Transition Account

Total Domestic Fixed Income

Cash

Total Short Term

Artio IE II Group Trust

Thornburg

Total International Equity

American Stable Value Fd Am Realty

Prudential RE Investors PRISA II

Total Real Estate

K2 Advisors Long/Short

Total Special Investments

Total Fund Composite

35,336,920.70

22,259,117.70

36,411,200.47

32,242,592.33

29,207,205.20

30,567,659.84

186,024,696.24

80,754,483.87

5,184.75

0.00

50,065,247.80

130,824,916.42

24,747,401.44

24,747,401.44

29,748,938.16

33,041,089.89

62,790,028.05

20,037,762.84

11,635,527.31

31,673,290.15

44,206,900.88

44,206,900.88

480,267,233.18

7.36

4.63

7.58

6.71

6.08

6.36

38.73

16.81

0.00

0.00

10.42

27.24

5.15

5.15

6.19

6.88

13.07

4.17

2.42

6.59

9.20

9.20

100.00

6.25

6.25

6.25

6.25

5.00

5.00

35.00

20.00

0.00

0.00

10.00

30.00

0.00

0.00

7.50

7.50

15.00

6.67

3.33

10.00

10.00

10.00

100.00

21

City of Ft. Lauderdale Police and FireSources of Fund Growth

Total Fund Composite12/31/10 - 3/31/11

Manager Name

Beginning

Value

$(000)

Net

Contrib

$(000)

Invest

Fees

$(000)

Invest

Gain/Loss

$(000)

Ending

Value

$(000)

Net of

Fees

Return(%)


Intech Large Core


Sawgrass



Managed Equity

Agincourt



Transition Account

Managed Fixed

Cash

Managed Short Term


Thornburg

International Equity Composite



Real Estate Composite


Special Investments


37,396

26,915

41,073

33,515

27,861

28,121

194,881

80,168

12,933

36,988

0

130,089

11,732

11,732

29,143

31,714

60,858

19,217

11,028

30,245

43,460

43,460

471,264

-4,500

-6,300

-7,000

-3,500

0

0

-21,300

0

-12,967

-37,248

50,215

0

13,011

13,011

0

0

0

43

0

43

0

0

-8,246

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

61

61

41

0

41

0

0

101

2,441

1,644

2,338

2,228

1,346

2,447

12,444

587

40

260

-150

736

4

4

606

1,388

1,993

819

608

1,427

747

747

17,351

35,337

22,259

36,411

32,243

29,207

30,568

186,025

80,754

5

0

50,065

130,825

24,747

24,747

29,749

33,041

62,790

20,038

11,636

31,673

44,207

44,207

480,267

6.54

6.34

5.76

6.68

4.83

8.70

0.73

0.31

0.80

NA

0.03

2.08

4.18

3.18

4.04

5.51

4.58

1.72

3.71

22

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending March 31, 2011Net of Fee Return

Name

Value

$(000)

% of

Fund

Periods Ending 3/31/11

Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since Inception

Ret Date


Policy Index

Large Cap Composite

Intech Large Core

Standard & Poors 500



Sawgrass

Russell 1000 Growth


Russell 1000 Value

Small Cap Composite


Russell 2000 Value


Russell 2000 Growth

International Equity Composite


MSCI EAFE (Net)

Thornburg

MSCI EAFE (Net)

Total Domestic Fixed Income

Agincourt

Barclays U.S. Aggregate





Transition Account

Real Estate Composite


NCREIF Prop Index


NCREIF Prop Index

Cash

Citigroup 3-month T-Bill

480,267

126,250

22,259

36,411

32,243

35,337

59,775

29,207

30,568

62,790

29,749

33,041

80,760

80,754

5

0

50,065

31,673

20,038

11,636

24,747

100.0

26.3

4.6

7.6

6.7

7.4

12.4

6.1

6.4

13.1

6.2

6.9

16.8

16.8

0.0

0.0

10.4

6.6

4.2

2.4

5.2

3.71

3.83

6.31

6.34

5.92

5.76

5.92

6.68

6.02

6.54

6.46

6.77

4.83

6.59

8.70

9.24

3.18

2.08

3.36

4.18

3.36

0.69

0.73

0.42

0.31

0.42

0.80

0.42

4.58

4.04

3.36

5.51

3.36

0.03

0.04

10.29

10.54

17.40

17.06

17.32

16.99

17.32

14.61

18.57

20.78

17.68

28.49

19.80

22.97

38.06

27.92

10.60

8.50

10.20

12.56

10.20

-0.65

-0.63

-0.88

-1.09

-0.88

-0.45

-0.88

9.41

7.66

8.14

12.55

8.14

-0.15

0.07

18.76

20.13

30.40

30.43

30.57

30.15

30.57

25.75

33.99

35.48

29.60

42.48

34.86

34.92

50.61

44.33

27.22

25.39

28.35

28.93

28.35

2.14

2.45

1.57

1.11

1.57

1.98

1.57

15.43

12.58

12.31

20.69

12.31

-0.11

0.11

12.67

13.27

15.68

16.53

15.64

15.34

15.64

13.60

18.25

17.40

15.16

28.72

21.07

20.63

36.99

31.03

13.63

10.19

10.42

16.94

10.42

5.81

6.18

5.12

4.63

5.12

5.58

5.12

21.01

16.25

16.03

30.62

16.03

-0.06

0.15

3.61

3.36

2.82

2.96

2.36

2.49

2.36

3.01

5.19

2.68

0.61

9.99

11.65

6.76

7.24

10.16

-1.66

-4.16

-3.01

0.88

-3.01

6.11

6.45

5.30

5.03

5.30

-10.44

-9.10

-3.63

-15.26

-3.63

1.68

0.47

3.74

3.95

2.95

2.63

2.74

2.63

3.19

1.37

3.77

6.39

6.44

6.02

5.90

6.02

2.73

7.42

7.16

0.88

5.72

4.46

7.47

7.34

1.54

3.67

9.67

7.01

4.83

7.39

0.80

0.33

5.18

3.83

-6.61

-6.05

-2.62

-6.05

5.45

6.28

5.97

5.56

5.64

5.58

5.12

-6.48

-5.34

-0.78

-11.41

-0.78

2.78

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

11/30/06

11/30/06

11/30/06

11/30/06

11/30/00

11/30/07

11/30/07

11/30/07

11/30/07

5/31/05

12/31/95

12/31/95

5/31/01

5/31/01

3/31/10

3/31/10

6/30/07

7/31/07

7/31/07

7/31/07

7/31/07

1/31/06

1/31/06

23

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending March 31, 2011Net of Fee Return

Name

Value

$(000)

% of

Fund

Periods Ending 3/31/11

Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since Inception

Ret Date



44,207 9.2 1.72

5.92

6.42

17.32

10.44

30.57

5.18

15.64

0.65

0.77

4/30/08

4/30/08

24

City of Ft. Lauderdale Police and FireCumulative Performance Comparison

Total Returns of Total Fund Public SponsorsPeriods Ending 3/11

High1st QtMedian3rd QtLow

Total Fund Composite Net Ret Rank1 Policy Index Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

Last 5Years

Last 6Years

Last 7Years

Last 8Years

Last 9Years

Last 10Years

4.914.233.602.991.46

3.7144

3.83

41

15.5214.2812.7411.069.10

12.6751

13.27

42

27.8123.3921.0817.7513.15

19.5667

21.06

51

6.334.984.193.200.86

3.6165

3.36

71

5.464.263.372.350.53

2.3872

2.55

69

6.135.264.583.872.54

3.7477

3.95

72

7.096.145.695.094.03

5.0378

4.60

89

7.026.115.735.194.26

5.1975

4.59

91

9.548.477.897.115.98

7.1872

6.71

85

7.426.385.855.194.72

5.0981

4.59

95

7.156.205.565.054.35

5.0475

4.42

92

0%

5%

10%

15%

20%

25%

30%

1

1

1

1 11 1 1

1

1 1

25

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

Years Ending December

High1st QtMedian3rd QtLow

Total Fund Composite Net Ret Rank1 Policy Index Net Ret Rank

3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001

4.914.233.602.991.46

3.7144

3.83

41

17.2413.9712.6711.239.33

12.3354

12.92

42

27.3721.6019.1115.609.61

15.1378

15.86

73

-9.71-20.20-24.04-27.21-30.38

-22.0836

-22.66

40

10.778.697.526.384.36

7.3854

6.30

76

16.3214.0512.0810.286.63

10.6671

11.14

65

10.348.116.525.333.91

6.8144

3.93

94

13.9111.799.908.405.70

10.4240

8.35

75

26.0422.5619.7217.0411.34

18.0166

18.64

59

1.58-5.91-8.28-9.76

-12.76

-8.6859

-9.50

72

4.40-0.68-2.68-4.76-8.99

-2.2742

-3.34

58

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

1

11

1

1

1

11

1

1

1

26

City of Ft. Lauderdale Police and FireReturn vs Risk

Total Returns of Total Fund Public Sponsors

Ann

ualiz

ed R

ate

of R

etur

n

2.0 4.6 7.2 9.8 12.4 15.0 17.6 20.2 22.8 25.4 28.00.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

1

Med

ian

Ris

k

MedianReturn

Historical Standard Deviation of Return

3 Years Ending 3/31/11

Annualized Net of Fee Return Standard DeviationValue Rank Value Rank

Total Fund Composite1 Policy Index

Median

3.61 65 13.75 363.36 71 15.10 484.19 15.17

Ann

ualiz

ed R

ate

of R

etur

n

2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.02.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

1

Med

ian

Ris

k

MedianReturn




Total Fund Composite1 Policy Index

Median

3.74 77 11.29 373.95 72 12.18 454.58 12.33

27

City of Ft. Lauderdale Police and FireRisk Measure Summary

Total Fund CompositeQuarterly Periods Ending 3/31/11

Risk Measures

1 YearPortfolio Bench

3 YearsPortfolio Bench


InceptionPortfolio Bench

Negative PeriodsPositive PeriodsUp Market CaptureDown Market CaptureBatting AverageWorst QuarterBest QuarterWorst 4 QuartersBest 4 QuartersStandard DeviationBetaAlphaR-SquaredSharpe RatioTreynor RatioTracking ErrorInformation Ratio

13

0.930.900.75

-5.137.68

12.7212.72

13

-5.718.68

13.2713.27

57

0.920.900.58

-11.3310.07

-22.1826.8813.760.910.111.000.233.431.660.04

57

-12.6111.10

-24.6429.3815.10

0.19

812

0.940.950.60

-11.3310.07

-22.1826.8811.290.92

-0.030.990.141.661.64

-0.18

812

-12.6111.10

-24.6429.3812.18

0.14

1844

0.980.920.71

-11.3314.12

-22.1833.5710.200.950.110.960.404.272.040.09

1844

-12.6112.93

-24.6432.8610.55

0.36

28

City of Ft. Lauderdale Police and FireIntech Large Core as of 3/31/11

Exxon Mobil Corp At&T Inc Apple Computer Inc Intl Business McHn Chevron Corp General Elec Co Johnson & Johnson Procter & Gamble Co Microsoft Corp Coca Cola Co

GICS Sector % Port

EnergyTelecom Services

Information TechnologyInformation Technology

EnergyIndustrials

Health CareConsumer Staples

Information TechnologyConsumer Staples

3.312.332.211.771.731.631.391.341.221.14

EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom ServicesUtilities

% Port

11.136.60

12.8113.7811.276.559.93

17.604.525.80

-2.00.02.04.06.08.0

10.012.014.016.018.0

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

6.34

5.92

26,915

-6,300

1,644

22,259

6.34

5.92

26,915

-6,300

1,644

22,259

16.53

15.64

24,561

-6,300

3,998

22,259

2.96

2.36

44,980

-23,829

1,108

22,259

2.95

2.63

40,747

-21,419

2,931

22,259

5.72

4.46

33,478

-23,426

12,206

22,259

Portfolio Performance (%)

Top Equity Holdings GICS Sector Allocation

29

City of Ft. Lauderdale Police and FireIntech Large Core as of 3/31/11

Cash & Equiv$116 0.52%

Domestic Equity$22,144 99.48%

Periods from 3/04 to 3/11AlphaBetaR-Squared

0.320.970.99

Ann

ualiz

ed R

etur

n%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.02.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0i

1

T

Annualized Standard Deviation%

i Intech Large Core1 Standard & Poors 500 T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

5.72 4.46 2.33

16.50 16.99 0.98

0.21 0.13 0.00

0.57

Asset Allocation ($000)

Risk/Return Analysis

30

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

Total Returns of Equity PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow i Intech Large Core Net Ret Rank1 Standard & Poors 500 Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

Last 5Years

Last 6Years

Last 7Years

7.616.385.935.883.09

6.3431

5.92

55

20.7117.0715.6314.6811.31

16.5331

15.64

49

37.1633.1431.6731.3126.95

31.7243

31.59

66

6.913.752.572.401.13

2.9640

2.36

80

4.381.390.590.47

-1.17

0.8242

0.45

77

5.903.262.702.641.74

2.9538

2.63

78

6.745.054.234.103.68

4.7536

4.09

84

7.105.744.824.474.22

5.7227

4.46

85

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

i 1

i 1

i 1

i 1i 1

i 1i 1

i 1

31

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

Total Returns of Equity PortfoliosYears Ending December

High1st QtMedian3rd QtLow i Intech Large Core Net Ret Rank1 Standard & Poors 500 Net Ret Rank

3/31/11YTD 2010 2009 2008 2007 2006 2005

7.616.385.935.883.09

6.3431

5.92

55

20.2116.6415.0914.5111.23

15.7732

15.05

62

38.9329.4426.7026.2918.60

25.4979

26.45

71

-27.87-35.51-36.93-37.21-42.02

-36.6036

-36.99

68

12.445.915.515.01

-0.20

7.6112

5.52

49

20.5016.4815.8015.6011.42

14.8484

15.81

49

12.809.095.044.883.44

9.2423

4.89

74

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

i 1

i 1

i 1

i 1

i 1

i 1i1

32


Total Returns of Large Neutral Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

19.0 20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0 28.0 29.0-2.0

-1.1

-0.2

0.6

1.5

2.5

3.4

4.3

5.2

6.1

7.0

i1

Med

ian

Ris

k

MedianReturn




i Intech Large Core1 Standard & Poors 500

Median

2.96 40 23.75 222.36 80 24.36 522.57 24.35

Ann

ualiz

ed R

ate

of R

etur

n

16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.00.5

0.9

1.4

1.8

2.3

2.7

3.2

3.6

4.1

4.5

4.9

i1

Med

ian

Ris

k

MedianReturn




i Intech Large Core1 Standard & Poors 500

Median

2.95 38 19.16 172.63 78 19.73 442.70 19.73

33


Intech Large CoreQuarterly Periods Ending 3/31/11

Risk Measures






13

1.000.930.75

-10.6611.4116.5316.53

13

-11.4311.30

57

0.990.970.58

-21.6215.35

-37.0848.8923.750.970.141.000.102.521.070.43

57

-21.9315.93

24.36

0.08

812

0.970.950.60

-21.6215.35

-37.0848.8919.160.970.070.990.040.752.050.09

812

-21.9315.93

19.73

0.02

919

1.010.910.64

-21.6215.35

-37.0848.8916.500.970.320.990.213.521.990.57

1018

-21.9315.93

16.99

0.13

34

City of Ft. Lauderdale Police and FireEquity Summary Statistics

Intech Large CorePeriod Ending 3/11

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

36522,143,53174,816,77113,433,559

1.9717.8018.471.002.46

52.165.76

500

93,108,41211,907,412

1.8917.0817.851.002.22

47.884.30

Ten Largest Holdings

Exxon Mobil Corp At&T Inc Apple Computer Inc Intl Business McHn Chevron Corp General Elec Co Johnson & Johnson Procter & Gamble Co Microsoft Corp Coca Cola Co

Market Value % of Portfolio Quarterly Ret

731,931514,600487,830391,368382,343360,900308,100295,680268,816252,130

3.312.332.211.771.731.631.391.341.221.14

15.675.698.03

11.5518.6110.37-3.34-3.54-8.631.61

Ten Best Performers

Marathon Oil Corp Jds Uniphase Corp Helmerich & Payne InNetflix Com Inc Rockwell Automation Cbs Corp El Paso Corp Whole Foods Mkt Inc Cb Richard Ellis GroDiscover Finl Svcs

Quarterly Ret

44.7043.9241.8335.0832.5231.7230.8930.5330.3730.17

Ten Worst Performers

American Intl Group F5 Networks Inc Akamai Technologies Target Corp Motorola Mobility HlCisco Sys Inc Marriott Intl Inc NeFrontier CommunicatiComerica Inc Netapp Inc

Quarterly Ret

-27.32-21.20-19.23-16.44-16.15-14.93-14.15-13.52-12.85-12.34

35

City of Ft. Lauderdale Police and FireEquity Contribution to Return

Intech Large CorePeriod Ending 3/11


Portfolio Standard & Poors 500

36522,143,53174,816,77113,433,559

1.9717.8018.471.002.46

52.165.76

500

93,108,41211,907,412

1.8917.0817.851.002.22

47.884.30

Ten Best Contributors

Exxon Mobil Corp Chevron Corp Intl Business McHn Apple Computer Inc General Elec Co Rockwell Automation Marathon Oil Corp Conocophillips Deere & Co At&T Inc


731,931382,343391,368487,830360,900113,58069,303

165,710174,402514,600

3.311.731.772.211.630.510.310.750.792.33

15.6718.6111.558.03

10.3732.5244.7018.2917.105.69

Ten Worst Contributors

Cisco Sys Inc Microsoft Corp Netapp Inc Ford Mtr Co Del Qwest CommunicationsAkamai Technologies F5 Networks Inc Merck & Co Inc New Procter & Gamble Co Johnson & Johnson


217,805268,816168,630152,082183,04483,60061,542

171,718295,680308,100

0.981.220.760.690.830.380.280.781.341.39

-14.93-8.63

-12.34-11.20-9.23

-19.23-21.20-7.34-3.54-3.34

36

City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis

Intech Large CoreQuarter Ending 3/11

GICS Sectors

WeightPortfolio Index

ReturnPortfolio Index

SelectionStock Sector Total

EnergyMaterialsIndustrialsConsumer DiscretionaryConsumer StaplesHealth CareFinancialsInformation TechnologyTelecom. ServicesUtilities

9.453.87

13.1412.5212.6210.7510.9716.903.785.99

100.00

11.963.72

10.8810.5710.5710.8415.9719.133.093.28

100.00

17.299.418.805.203.716.944.102.062.886.23

6.30

16.734.538.724.712.475.653.043.664.872.81

5.92

0.050.190.010.060.160.140.12

-0.27-0.080.21

0.59

-0.27-0.000.06

-0.02-0.070.000.140.05

-0.01-0.08

-0.20

-0.220.190.070.040.090.140.26

-0.22-0.080.12

0.38

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 0.15%

[ Actual Return 6.45% ] - [ Buy Hold Return 6.30% ]

37

City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart

Intech Large CoreQuarter Ending 3/11

% Allocation

Energy 9.45 11.96

Materials 3.87 3.72

Industrials 13.14 10.88

Con. Discretionary 12.52 10.57

Consumer Staples 12.62 10.57

Health Care 10.75 10.84

Financials 10.97 15.97

Infomation Tech. 16.90 19.13

Telecom. Services 3.78 3.09

Utilities 5.99 3.28

Intech Large Core Standard & Poors 500

% Return

17.29 16.73

9.41 4.53

8.80 8.72

5.20 4.71

3.71 2.47

6.94 5.65

4.10 3.04

2.06 3.66

2.88 4.87

6.23 2.81

% Variance

-0.22

0.19

0.07

0.04

0.09

0.14

0.26

-0.22

-0.08

0.12

38

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 3/31/11

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

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

5.76

5.92

41,073

-7,000

2,338

36,411

5.76

5.92

41,073

-7,000

2,338

36,411

15.34

15.64

26,484

4,400

5,528

36,411

2.49

2.36

44,965

-11,411

2,857

36,411

2.74

2.63

38,716

-6,686

4,381

36,411

3.38

3.29

17,596

4,343

14,472

36,411

7.47

7.34

8,000

18,417

9,995

36,411


39

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 3/31/11




0.040.991.00

Ann

ualiz

ed R

etur

n%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.03.03.54.04.55.05.56.06.57.07.58.0

l1

T


l Rhumbline Large Cap Fund1 Standard & Poors 500 T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

7.47 7.34 3.36

17.64 17.89 1.04

0.23 0.22 0.00

0.11



40

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


High1st QtMedian3rd QtLow l Rhumbline Large Cap Fund Net Ret Rank1 Standard & Poors 500 Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

Last 5Years

Last 6Years

Last 7Years

Last 8Years

Last 9Years

Last 10Years

7.616.385.935.883.09

5.7679

5.92

55

20.7117.0715.6314.6811.31

15.3469

15.64

49

37.1633.1431.6731.3126.95

31.3972

31.59

66

6.913.752.572.401.13

2.4953

2.36

80

4.381.390.590.47

-1.17

0.5850

0.45

77

5.903.262.702.641.74

2.7448

2.63

78

6.745.054.234.103.68

4.1954

4.09

84

7.105.744.824.474.22

4.5457

4.46

85

11.379.428.407.887.43

7.9459

7.87

80

7.065.094.113.663.47

3.7260

3.64

85

7.824.603.673.313.19

3.3858

3.29

83

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

l1

l1

l1

l1l1

l1l1 l1

l1

l1 l1

41

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


High1st QtMedian3rd QtLow l Rhumbline Large Cap Fund Net Ret Rank1 Standard & Poors 500 Net Ret Rank

3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001

7.616.385.935.883.09

5.7679

5.92

55

20.2116.6415.0914.5111.23

14.9367

15.05

62

38.9329.4426.7026.2918.60

26.5170

26.45

71

-27.87-35.51-36.93-37.21-42.02

-36.5635

-36.99

68

12.445.915.515.01

-0.20

5.6034

5.52

49

20.5016.4815.8015.6011.42

15.8638

15.81

49

12.809.095.044.883.44

4.9073

4.89

74

19.9712.8410.9310.828.16

10.8571

10.87

66

39.4931.4828.7328.5924.60

28.5975

28.69

57

-11.66-20.66-22.00-22.08-23.79

-21.9244

-22.12

83

8.89-6.89

-11.77-11.93-12.38

-11.6848

-11.88

66

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

l1

l1

l1

l1

l1

l1

l1l1

l1

l1

l1

42


Total Returns of Large Neutral Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

19.0 20.0 21.0 22.0 23.0 24.0 25.0 26.0 27.0 28.0 29.0-2.0

-1.1

-0.2

0.6

1.5

2.5

3.4

4.3

5.2

6.1

7.0

l1

Med

ian

Ris

k

MedianReturn




l Rhumbline Large Cap Fund1 Standard & Poors 500

Median

2.49 53 24.14 312.36 80 24.36 522.57 24.35

Ann

ualiz

ed R

ate

of R

etur

n

16.0 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.00.5

0.9

1.4

1.8

2.3

2.7

3.2

3.6

4.1

4.5

4.9

l1

Med

ian

Ris

k

MedianReturn




l Rhumbline Large Cap Fund1 Standard & Poors 500

Median

2.74 48 19.57 252.63 78 19.73 442.70 19.73

43

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

Quarterly Periods Ending 3/31/11

Risk Measures






13

0.991.000.75

-11.3811.2515.3415.34

13

-11.4311.30

57

0.990.990.58

-21.6215.88

-37.6449.6824.140.990.031.000.082.000.260.30

57

-21.9315.93

24.36

0.08

812

1.000.990.60

-21.6215.88

-37.6449.6819.570.990.021.000.030.530.200.38

812

-21.9315.93

19.73

0.02

2042

0.990.980.68

-21.6221.07

-37.6449.6817.640.990.041.000.234.160.680.11

2042

-21.9321.32

17.89

0.22

44

City of Ft. Lauderdale Police and FireSawgrass as of 3/31/11

Intl Business McHn Exxon Mobil Corp Apple Computer Inc Google Inc Microsoft Corp Abbott Labs McDonalds Corp Directv Wal Mart Stores Inc Oracle Systems Corp

GICS Sector % Port

Information TechnologyEnergy

Information TechnologyInformation TechnologyInformation Technology

Health CareConsumer DiscretionaryConsumer Discretionary

Consumer StaplesInformation Technology

5.104.574.103.693.523.463.203.113.072.94


% Port

12.112.41

14.8515.578.54

10.955.38

30.200.000.00

-2.00.02.04.06.08.0

10.012.014.016.018.020.0

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

6.68

6.02

33,515

-3,500

2,228

32,243

6.68

6.02

33,515

-3,500

2,228

32,243

13.60

18.25

39,471

-11,000

3,771

32,243

3.01

5.19

55,601

-25,955

2,596

32,243

1.54

3.67

51,428

-19,955

770

32,243



45

City of Ft. Lauderdale Police and FireSawgrass as of 3/31/11

Cash & Equiv$1,205 3.74%



-0.500.840.97

Ann

ualiz

ed R

etur

n%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.01.41.61.82.02.22.42.62.83.03.23.43.63.8

s

1

T


s Sawgrass1 Russell 1000 Growth T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

1.54 3.67 1.52

19.04 22.22 0.97

0.00 0.10 0.00

-0.57



46

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


High1st QtMedian3rd QtLow s Sawgrass Net Ret Rank1 Russell 1000 Growth Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

8.336.715.864.732.79

6.6825

6.02

45

26.5919.9517.2313.847.33

13.6077

18.25

37

40.4033.4830.4528.7824.86

26.1889

33.07

32

8.885.833.912.40

-0.28

3.0165

5.19

32

7.324.863.211.98

-0.09

1.5479

3.67

45

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

s 1

s

1

s

1

s1

s1

47

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


High1st QtMedian3rd QtLow s Sawgrass Net Ret Rank1 Russell 1000 Growth Net Ret Rank

3/31/11YTD 2010 2009 2008

8.336.715.864.732.79

6.6825

6.02

45

26.4518.6915.5012.657.14

10.6986

16.72

43

54.2639.3834.4329.6820.58

28.8877

37.21

33

-29.47-35.21-38.55-42.41-49.09

-36.3733

-38.44

49

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

s 1s

1

s1

s 1

48


Total Returns of Large Growth Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

s

1

Med

ian

Ris

k

MedianReturn




s Sawgrass1 Russell 1000 Growth

Median

3.01 65 20.59 35.19 32 24.65 513.91 24.66

49


SawgrassQuarterly Periods Ending 3/31/11

Risk Measures






13

0.760.820.75

-9.669.72

13.6013.60

13

-11.7413.00

57

0.750.870.67

-21.1213.15

-31.3540.1520.590.82

-0.420.970.123.035.47

-0.56

48

-22.7916.32

24.65

0.19

79

0.780.910.63

-21.1213.15

-36.3740.1519.040.84

-0.500.970.000.024.96

-0.57

610

-22.7916.32

22.22

0.10

50


SawgrassPeriod Ending 3/11


Portfolio Russell 1000 Growth

4031,037,815

103,407,91840,544,309

1.4317.3419.150.873.97

36.6013.08

626

91,252,4826,491,236

1.4318.6619.831.003.74

38.159.64


Intl Business McHn Exxon Mobil Corp Apple Computer Inc Google Inc Microsoft Corp Abbott Labs McDonalds Corp Directv Wal Mart Stores Inc Oracle Systems Corp


1,581,7791,417,5911,271,8431,143,1101,090,4801,073,705

992,975964,080952,515911,001

5.104.574.103.693.523.463.203.113.072.94

11.5515.678.03

-1.31-8.633.33

-0.0617.21-3.496.78

Ten Best Performers

Halliburton Co CSX Corp Chevron Corp Directv E M C Corp Mass Exxon Mobil Corp Starbucks Corp Dover Corp Ross Stores Inc TJX Cos Inc New

Quarterly Ret

22.3022.0918.6117.2115.9415.6715.4612.9612.7912.37


Microsoft Corp Aflac Inc Wal Mart Stores Inc Intel Corp Celgene Corp Hewlett Packard Co Google Inc McDonalds Corp Thermo Fisher ScientCostco Whsl Corp New

Quarterly Ret

-8.63-5.98-3.49-3.28-2.72-2.50-1.31-0.060.341.82

51


SawgrassPeriod Ending 3/11



4031,037,815

103,407,91840,544,309

1.4317.3419.150.873.97

36.6013.08

626

91,252,4826,491,236

1.4318.6619.831.003.74

38.159.64


Exxon Mobil Corp Intl Business McHn CSX Corp Directv Halliburton Co Chevron Corp E M C Corp Mass Apple Computer Inc Starbucks Corp Dover Corp


1,417,5911,581,779

774,210964,080707,728794,982809,775

1,271,843655,863709,992

4.575.102.503.112.282.562.614.102.112.29

15.6711.5522.0917.2122.3018.6115.948.03

15.4612.96


Microsoft Corp Aflac Inc Wal Mart Stores Inc Celgene Corp Hewlett Packard Co Google Inc Intel Corp McDonalds Corp Thermo Fisher ScientCostco Whsl Corp New


1,090,480849,230952,515716,249737,460

1,143,110294,482992,975738,815454,584

3.522.743.072.312.383.690.953.202.381.47

-8.63-5.98-3.49-2.72-2.50-1.31-3.28-0.060.341.82

52


SawgrassQuarter Ending 3/11

GICS Sectors





11.142.42

14.1414.046.80

13.615.98

31.880.000.00

100.00

10.875.26

13.3114.699.409.924.77

30.860.850.08

100.00

15.406.96

10.698.120.536.89

-0.353.84

6.71

16.602.588.352.704.416.736.173.88

-0.6814.11

6.03

-0.130.110.330.76

-0.260.02

-0.39-0.010.000.00

0.42

0.030.100.020.020.040.030.00

-0.020.06

-0.01

0.27

-0.100.200.350.78

-0.220.05

-0.39-0.030.06

-0.01

0.68Index - Russell 1000 Growth





Trading Effect 0.38%


53


SawgrassQuarter Ending 3/11

% Allocation

Energy 11.14 10.87

Materials 2.42 5.26








Utilities 0.00 0.08

Sawgrass Russell 1000 Growth

% Return

15.40 16.60

6.96 2.58

10.69 8.35

8.12 2.70

0.53 4.41

6.89 6.73

-0.35 6.17

3.84 3.88

-0.68

14.11

% Variance

-0.10

0.20

0.35

0.78

-0.22

0.05

-0.39

-0.03

0.06

-0.01

54

City of Ft. Lauderdale Police and FireSystematic Financial Management as of 3/31/11

Chevron Corp J P Morgan Chase & CUnitedhealth Group IGeneral Elec Co Pfizer Inc At&T Inc Hess Corp Citigroup Inc PNC Financial Corp Wells Fargo & Co New

GICS Sector % Port

EnergyFinancials

Health CareIndustrials

Health CareTelecom Services

EnergyFinancialsFinancialsFinancials

4.283.683.193.072.712.692.692.622.522.50


% Port

14.347.35

10.159.244.50

11.7327.029.414.561.69

-2.00.02.04.06.08.0

10.012.014.016.018.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept11/30/02

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

6.54

6.46

37,396

-4,500

2,441

35,337

6.54

6.46

37,396

-4,500

2,441

35,337

17.40

15.16

43,073

-13,208

5,472

35,337

2.68

0.61

55,731

-23,533

3,139

35,337

3.19

1.37

71,239

-46,142

10,240

35,337

9.67

7.01

42,609

-49,200

41,928

35,337



55

City of Ft. Lauderdale Police and FireSystematic Financial Management as of 3/31/11




0.530.980.95

Ann

ualiz

ed R

etur

n%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.02.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0s

1

T


s Systematic Financial Man1 Russell 1000 Value T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

9.67 7.01 2.14

16.15 15.97 0.55

0.47 0.30 0.00

0.45



56

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


High1st QtMedian3rd QtLow s Systematic Financial Management Net Ret Rank1 Russell 1000 Value Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

Last 5Years

Last 6Years

Last 7Years

Last 8Years

9.397.206.195.041.89

6.5438

6.46

44

21.2116.9414.7012.828.06

17.4019

15.16

43

43.9136.7533.3829.9925.14

34.0943

32.98

55

5.713.482.011.03

-1.07

2.6839

0.61

84

3.610.82

-0.61-2.02-4.05

0.2136

-2.16

79

6.183.692.341.11

-0.74

3.1930

1.37

74

6.815.144.313.342.05

5.2619

3.27

78

7.636.335.674.582.88

6.4816

4.63

72

11.5710.899.878.736.83

10.4333

8.58

83

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

s1

s1

s1

s1 s

1

s1

s1

s1

s1

57

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


High1st QtMedian3rd QtLow s Systematic Financial Management Net Ret Rank1 Russell 1000 Value Net Ret Rank

3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003

9.397.206.195.041.89

6.5438

6.46

44

21.2216.3413.9511.849.48

18.7310

15.51

32

41.4429.5424.4920.9416.32

23.9355

19.69

86

-26.51-34.31-36.88-39.77-44.44

-39.0369

-36.85

49

12.546.412.38

-0.72-4.00

9.1011

-0.17

72

24.5422.0319.2616.6010.33

18.4562

22.21

20

13.9811.319.286.384.16

11.5424

7.04

70

21.8219.5015.9313.2710.02

15.6753

16.49

46

41.0434.1831.6829.2224.27

35.3618

30.03

64

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

s1

s1

s1

s1

s

1

s1

s1

s1

s1

58


Total Returns of Large Value Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

19.0 20.5 22.0 23.5 25.0 26.5 28.0 29.5 31.0 32.5 34.0-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

s

1

Med

ian

Ris

k

MedianReturn




s Systematic Financial Management1 Russell 1000 Value

Median

2.68 39 26.03 490.61 84 26.16 542.01 26.11

Ann

ualiz

ed R

ate

of R

etur

n

14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0-2.0

-1.1

-0.2

0.6

1.5

2.5

3.4

4.3

5.2

6.1

7.0

s

1

Med

ian

Ris

k

MedianReturn




s Systematic Financial Management1 Russell 1000 Value

Median

3.19 30 21.17 511.37 74 21.11 492.34 21.17

59


Systematic Financial ManagementQuarterly Periods Ending 3/31/11

Risk Measures






13

1.201.200.75

-13.3513.3717.4017.40

13

-11.1410.54

57

1.070.980.58

-19.8519.48

-39.7853.1726.030.970.520.950.082.245.880.31

57

-22.1718.24

26.16

0.00

812

1.060.960.60

-19.8519.48

-39.7853.1721.170.970.450.940.051.005.190.32

812

-22.1718.24

21.11

-0.04

924

1.070.940.73

-19.8519.48

-39.7853.1718.290.980.530.950.427.804.230.45

924

-22.1718.24

18.25

0.30

60


Systematic Financial ManagementPeriod Ending 3/11


Portfolio Russell 1000 Value

7135,002,61468,748,26322,714,305

1.5115.8517.391.251.50

57.61-2.54

666

73,692,3815,293,233

2.2116.9416.761.031.58

56.14-1.17


Chevron Corp J P Morgan Chase & CUnitedhealth Group IGeneral Elec Co Pfizer Inc At&T Inc Hess Corp Citigroup Inc PNC Financial Corp Wells Fargo & Co New


1,495,9631,286,1901,116,4401,072,675

948,477942,480941,571918,034881,860874,920

4.283.683.193.072.712.692.692.622.522.50

18.618.80

25.5210.3717.215.69

11.47-6.553.912.67

Ten Best Performers

Alcatel-Lucent Marathon Oil Corp Jds Uniphase Corp Cbs Corp Discover Finl Svcs Unitedhealth Group IKbr Inc Capital One Finl CorCaterpillar Inc Chevron Corp

Quarterly Ret

96.2844.7043.9231.7230.1725.5224.1422.2119.4318.61


Constellation BrandsMedco Health SolutioXerox Corp Freeport-McMoran CopCitigroup Inc Fifth Third Bancorp Macys Inc. Huntington BancshareAmgen Lear Corp

Quarterly Ret

-8.44-8.34-7.18-7.11-6.55-5.04-3.91-3.20-2.64-0.74

61

City of Ft. Lauderdale Police and FireEquity Contribution to ReturnSystematic Financial Management

Period Ending 3/11



7135,002,61468,748,26322,714,305

1.5115.8517.391.251.50

57.61-2.54

666

73,692,3815,293,233

2.2116.9416.761.031.58

56.14-1.17


Unitedhealth Group IChevron Corp Alcatel-Lucent Discover Finl Svcs Marathon Oil Corp Pfizer Inc Caterpillar Inc J P Morgan Chase & CGeneral Elec Co Viacom Inc New -B


1,116,4401,495,963

282,947844,200537,098948,477656,965

1,286,1901,072,675

614,064

3.194.280.812.411.542.711.883.683.071.76

25.5218.6196.2830.1744.7017.2119.438.80

10.3717.85


Citigroup Inc Freeport-McMoran CopMedco Health SolutioFifth Third Bancorp Macys Inc. Constellation BrandsXerox Corp Huntington BancshareLear Corp Amgen


918,034661,045342,576472,267487,626206,856211,935185,256615,762144,315

2.621.890.981.351.390.590.610.531.760.41

-6.55-7.11-8.34-5.04-3.91-8.44-7.18-3.20-0.74-2.64

62

City of Ft. Lauderdale Police and FireEquity Style Attribution Analysis

Systematic Financial ManagementQuarter Ending 3/11

Style



SelectionStock Style Total

Large ValueLarge NeutralLarge GrowthMid ValueMid NeutralMid GrowthSmall ValueSmall NeutralSmall GrowthUnclassified

33.2914.3024.9713.195.306.570.000.000.002.39

100.00

46.2111.3122.0910.842.004.331.190.070.261.71

100.00

4.319.83

11.116.664.63

12.15

-1.45

7.50

4.934.599.007.348.01

11.748.636.480.37

22.99

6.75

-0.210.750.53

-0.09-0.180.030.000.000.00

-0.58

0.24

0.24-0.060.070.010.040.11

-0.020.000.020.11

0.51

0.030.680.59

-0.08-0.140.14

-0.020.000.02

-0.47

0.75

Index - Russell 1000 Value


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

Style Selection Return Attribution

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

Trading Effect -0.85%


63

City of Ft. Lauderdale Police and FireEquity Sector Attribution ChartSystematic Financial Management

Quarter Ending 3/11

% Allocation

Energy 12.99 12.41

Materials 7.30 3.08








Utilities 2.88 6.76

Systematic Financial Management Russell 1000 Value

% Return

15.37 16.92

3.94 9.12

10.68 9.65

5.66 9.47

-0.77 1.48

11.55 6.17

4.50 3.02

9.61 3.86

2.51 5.34

10.04 3.87

% Variance

-0.14

-0.27

0.07

-0.33

0.06

0.57

0.42

0.44

-0.11

0.28

64

City of Ft. Lauderdale Police and FireLee Munder Small Cap Value as of 3/31/11

Great Plains Energy Key Energy Svcs Inc Corn Prods Intl Inc Agl Res Inc Employers Holdings ITeledyne TechnologieGoodrich Pete Corp Coherent Inc Proassurance Corp Portland Gen Elec Co

GICS Sector % Port

UtilitiesEnergy

Consumer StaplesUtilities

FinancialsIndustrials

EnergyInformation Technology

FinancialsUtilities

2.011.721.691.651.641.641.611.591.571.57


% Port

6.296.89

19.558.885.244.22

26.8215.560.006.55

-2.00.02.04.06.08.0

10.012.014.016.018.020.022.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept11/30/06

Lee Munder Small Cap Value Russell 2000 Value

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/06


Russell 2000 Value

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

4.83

6.59

27,861

0

1,346

29,207

4.83

6.59

27,861

0

1,346

29,207

21.07

20.63

24,124

0

5,083

29,207

11.65

6.76

23,541

-2,500

8,167

29,207

7.39

0.80

26,182

-4,580

7,605

29,207



65

City of Ft. Lauderdale Police and FireLee Munder Small Cap Value as of 3/31/11




1.590.940.97

Ann

ualiz

ed R

etur

n%

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 26.00.51.01.52.02.53.03.54.04.55.05.56.06.57.07.58.0

l

1T


l Lee Munder Small Cap Val1 Russell 2000 Value T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

7.39 0.80 1.80

22.58 24.77 0.62

0.25 -0.04 0.00

1.46



66

City of Ft. Lauderdale Police and FireSmall Value Cumulative Performance Comparisons


High1st QtMedian3rd QtLow l Lee Munder Small Cap Value Net Ret Rank1 Russell 2000 Value Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

12.408.807.385.894.34

4.8390

6.59

69

31.5825.3423.4121.2618.28

21.0779

20.63

87

56.6350.5744.8941.6734.69

45.0647

41.11

78

14.5011.699.157.772.91

11.6526

6.76

88

6.945.372.851.12

-1.34

6.758

0.2890

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

l 1

l 1

l1

l

1 l

1

67

City of Ft. Lauderdale Police and FireSmall Value Consecutive Performance Comparisons


High1st QtMedian3rd QtLow l Lee Munder Small Cap Value Net Ret Rank1 Russell 2000 Value Net Ret Rank

3/31/11YTD 2010 2009 2008 2007

12.408.807.385.894.34

4.8390

6.59

69

33.4430.9028.0824.1521.47

26.7360

24.51

71

53.3035.7226.2423.6218.36

36.7221

20.57

93

-23.21-28.67-30.43-33.57-38.47

-26.0116

-28.92

28

7.22-1.48-5.10-9.60

-11.83

0.6618

-9.77

76

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

l 1

l 1

l

1

l1

l

1

68


Total Returns of Small Value Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

18.0 20.4 22.8 25.2 27.6 30.0 32.4 34.8 37.2 39.6 42.00.0

1.8

3.6

5.3

7.2

9.0

10.8

12.6

14.4

16.2

18.0

l

1

Med

ian

Ris

k

MedianReturn




l Lee Munder Small Cap Value1 Russell 2000 Value

Median

11.65 26 28.37 246.76 88 29.50 469.15 29.72

69


Lee Munder Small Cap ValueQuarterly Periods Ending 3/31/11

Risk Measures






13

1.000.970.75

-10.2314.2821.0721.07

13

-10.5915.36

48

1.070.900.67

-23.2822.56

-33.8673.8128.370.951.160.980.39

11.714.660.89

48

-24.8922.70

29.50

0.21

710

1.150.840.59

-23.2822.56

-33.8673.8124.420.941.590.970.235.984.301.46

710

-24.8922.70

25.53

-0.04

70

City of Ft. Lauderdale Police and FireEquity Summary StatisticsLee Munder Small Cap Value

Period Ending 3/11



10728,618,7251,885,7891,538,064

1.3228.9516.791.131.52

44.53-1.52

1,296

1,256,473507,737

1.8632.9215.051.231.37

50.48-1.69


Great Plains Energy Key Energy Svcs Inc Corn Prods Intl Inc Agl Res Inc Employers Holdings ITeledyne TechnologieGoodrich Pete Corp Coherent Inc Proassurance Corp Portland Gen Elec Co


575,535492,484482,496470,431469,499469,217461,287453,723448,279447,589

2.011.721.691.651.641.641.611.591.571.57

4.3619.8012.9712.4418.5517.6025.9628.734.57

10.75

Ten Best Performers

Lawson Software Inc Coherent Inc Innophos Holdings InGoodrich Pete Corp Belo A H Corp Littelfuse Inc Amsurg Corp Healthsouth Corp Key Energy Svcs Inc Terex Corp New

Quarterly Ret

30.8128.7328.4425.9624.4321.6921.4320.6219.8019.33


Hhgregg Inc Xyratex Ltd Talbots Inc Pantry Inc Tns Inc Schweitzer-Mauduit ICallaway Golf Co Platinum UnderwriterIntermec Inc Firstmerit Corp

Quarterly Ret

-36.09-31.45-29.11-25.33-25.14-19.35-15.38-15.14-14.77-12.96

71


Lee Munder Small Cap ValuePeriod Ending 3/11



10728,618,7251,885,7891,538,064

1.3228.9516.791.131.52

44.53-1.52

1,296

1,256,473507,737

1.8632.9215.051.231.37

50.48-1.69


Coherent Inc Goodrich Pete Corp Key Energy Svcs Inc Employers Holdings ITeledyne TechnologieLawson Software Inc Innophos Holdings InAmsurg Corp Berry Pete Co Corn Prods Intl Inc


453,723461,287492,484469,499469,217264,688262,873308,384417,726482,496

1.591.611.721.641.640.930.921.081.461.69

28.7325.9619.8018.5517.6030.8128.4421.4315.6412.97


Xyratex Ltd Hhgregg Inc Schweitzer-Mauduit IPantry Inc Tns Inc Talbots Inc Platinum UnderwriterIntermec Inc Emulex Corp Callaway Golf Co


247,469188,411308,721212,929194,641149,834272,077198,924332,403173,971

0.870.661.080.740.680.520.950.701.160.61

-31.45-36.09-19.35-25.33-25.14-29.11-15.14-14.77

-8.49-15.38

72

City of Ft. Lauderdale Police and FireEquity Style Attribution Analysis

Lee Munder Small Cap ValueQuarter Ending 3/11

Style



SelectionStock Style Total

Large ValueLarge NeutralLarge GrowthMid ValueMid NeutralMid GrowthSmall ValueSmall NeutralSmall GrowthUnclassified

0.000.000.00

14.343.60

12.5636.8610.4222.210.00

100.00

0.000.000.004.651.461.22

56.1314.0520.721.76

100.00

5.8713.729.206.655.79

-0.80

5.37

0.000.000.005.876.79

15.065.087.539.95

-27.54

6.04

0.000.000.000.000.25

-0.740.58

-0.18-2.390.00

-2.48

-0.00-0.00-0.00-0.020.021.020.19

-0.050.060.59

1.80

0.000.000.00

-0.020.270.290.77

-0.23-2.330.59

-0.67

Index - Russell 2000 Value


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

Style Selection Return Attribution

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



73

City of Ft. Lauderdale Police and FireStyle Attribution Chart

Lee Munder Small Cap ValueQuarter Ending 3/11

% Allocation

Large Value 0.00 0.00

Large Neutral 0.00 0.00

Large Growth 0.00 0.00

Midcap Value 14.34 4.65

Midcap Neutral 3.60 1.46

Midcap Growth 12.56 1.22

Small Value 36.86 56.13

Small Neutral 10.42 14.05

Small Growth 22.21 20.72

Unclassified 0.00 1.76

Lee Munder Small Cap Value Russell 2000 Value

% Return

5.87 5.87

13.72 6.79

9.20 15.06

6.65 5.08

5.79 7.53

-0.80 9.95

-27.54

% Variance

0.00

0.00

0.00

-0.02

0.27

0.29

0.77

-0.23

-2.33

0.59

74

City of Ft. Lauderdale Police and FireNorthPointe Small Cap Growth as of 3/31/11

Ttm Technologies InAir Trans Hldgs Inc Intrepid Potash Inc Web Com Group Inc Air Methods Corp World Fuel Svcs CorpHealthsouth Corp G-III Apparel Group Abraxas Pete Corp Globe Specialty Meta

GICS Sector % Port

Information TechnologyIndustrialsMaterials

Information TechnologyHealth Care

EnergyHealth Care

Consumer DiscretionaryEnergy

Materials

2.842.682.552.522.502.492.452.412.412.39


% Port

13.795.95

16.0214.582.05

18.861.06

27.690.000.00

-5.00.05.0

10.015.020.025.030.035.040.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept11/30/06

NorthPointe Small Cap Growth Russell 2000 Growth

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/06


Russell 2000 Growth

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

8.70

9.24

28,121

0

2,447

30,568

8.70

9.24

28,121

0

2,447

30,568

36.99

31.03

22,314

0

8,253

30,568

7.24

10.16

20,926

1,568

8,074

30,568

0.33

5.18

26,159

1,318

3,090

30,568



75

City of Ft. Lauderdale Police and FireNorthPointe Small Cap Growth as of 3/31/11




-1.141.180.95

Ann

ualiz

ed R

etur

n%

0.0 5.0 10.0 15.0 20.0 25.0 30.00.00.51.01.52.02.53.03.54.04.55.05.5

n

1

T


n NorthPointe Small Cap Gr1 Russell 2000 Growth T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

0.33 5.18 1.80

28.26 24.15 0.62

-0.05 0.14 0.00

-0.42



76

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


High1st QtMedian3rd QtLow n NorthPointe Small Cap Growth Net Ret Rank1 Russell 2000 Growth Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

13.3910.639.077.985.78

8.7059

9.24

44

42.1033.7730.8526.4921.55

36.9918

31.03

46

54.4347.1544.2341.8237.83

48.0721

44.93

40

15.2913.2110.798.453.81

7.2487

10.16

55

10.157.785.724.61

-0.62

-0.1093

5.04

66

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

60%

n 1

n

1

n1

n1

n

1

77

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


High1st QtMedian3rd QtLow n NorthPointe Small Cap Growth Net Ret Rank1 Russell 2000 Growth Net Ret Rank

3/31/11YTD 2010 2009 2008 2007

13.3910.639.077.985.78

8.7059

9.24

44

43.3831.5528.4025.3321.69

33.2416

29.07

45

49.0439.2634.0526.8515.40

41.3019

34.48

47

-24.64-31.75-37.44-41.13-48.21

-52.0898

-38.53

56

21.9912.268.202.93

-1.15

3.6668

7.05

57

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

n 1

n1

n1

n

1

n1

78


NorthPointe Small Cap GrowthQuarterly Periods Ending 3/31/11

Risk Measures






13

1.140.980.75

-9.0527.0136.9936.99

13

-9.2217.11

48

1.031.120.67

-31.8227.01

-43.7560.0633.991.15

-0.790.950.205.869.00

-0.17

48

-27.4423.38

28.78

0.34

611

1.051.230.65

-31.8227.01

-52.0860.0630.831.18

-1.140.95

-0.04-1.148.56

-0.42

611

-27.4423.38

25.32

0.14

79


NorthPointe Small Cap GrowthPeriod Ending 3/11



6130,107,1651,253,892

843,1810.06

35.7020.221.462.63

32.894.40

1,269

1,620,950594,636

0.4739.4516.631.273.34

22.945.83


Ttm Technologies InAir Trans Hldgs Inc Intrepid Potash Inc Web Com Group Inc Air Methods Corp World Fuel Svcs CorpHealthsouth Corp G-III Apparel Group Abraxas Pete Corp Globe Specialty Meta


855,209805,784767,433757,615752,259750,676738,384725,256724,727719,102

2.842.682.552.522.502.492.452.412.412.39

21.806.96

-6.6272.6619.5112.4220.626.91

28.0133.18

Ten Best Performers

Ista PharmaceuticalsWeb Com Group Inc Depomed Inc Gulfmark Offshore InGlobal Inds Ltd Georesources Inc Amerigon Inc Global Geophysical STrinity Inds Inc Magma Design Automat

Quarterly Ret

97.4772.6657.8646.4141.2740.7940.3539.3138.2136.13


Quantum-Dlt&Storage Axcelis TechnologiesPacer Intl Inc Tenn Kid Brands Inc Bioscript Inc Radiant Systems Inc Intrepid Potash Inc Akorn Inc Nve Corp Wabash Natl Corp

Quarterly Ret

-32.26-23.41-23.10-14.04-9.94-9.56-6.62-4.94-2.58-2.28

80

City of Ft. Lauderdale Police and FireEquity Contribution to ReturnNorthPointe Small Cap Growth

Period Ending 3/11



6130,107,1651,253,892

843,1810.06

35.7020.221.462.63

32.894.40

1,269

1,620,950594,636

0.4739.4516.631.273.34

22.945.83


Web Com Group Inc Depomed Inc Trinity Inds Inc Georesources Inc Globe Specialty MetaAbraxas Pete Corp Ttm Technologies InPatriot Coal Corp Ista PharmaceuticalsAtlas Air Worldwide


757,615675,421690,313637,158719,102724,727855,209550,825186,625689,182

2.522.242.292.122.392.412.841.830.622.29

72.6657.8638.2140.7933.1828.0121.8033.3597.4724.88


Quantum-Dlt&Storage Axcelis TechnologiesPacer Intl Inc Tenn Bioscript Inc Intrepid Potash Inc Kid Brands Inc Radiant Systems Inc Wabash Natl Corp Akorn Inc Nve Corp


294,213300,868255,210529,277767,433344,862266,084677,523190,670301,532

0.981.000.851.762.551.150.882.250.631.00

-32.26-23.41-23.10

-9.94-6.62

-14.04-9.56-2.28-4.94-2.58

81


NorthPointe Small Cap GrowthQuarter Ending 3/11

GICS Sectors





10.907.55

16.3416.251.92

12.722.84

31.470.000.00

100.00

5.054.95

17.7416.913.11

18.904.93

27.061.300.06

100.00

12.7011.157.404.91

15.7417.24-9.809.11

9.32

19.7110.528.414.154.526.908.04

13.513.601.56

9.25

-0.760.05

-0.160.120.221.32

-0.51-1.390.000.00

-1.12

0.610.030.010.030.060.150.030.190.070.00

1.18

-0.150.08

-0.150.160.271.46

-0.48-1.200.070.00

0.06

Index - Russell 2000 Growth







82


NorthPointe Small Cap GrowthQuarter Ending 3/11

% Allocation

Energy 10.90 5.05

Materials 7.55 4.95








Utilities 0.00 0.06

NorthPointe Small Cap Growth Russell 2000 Growth

% Return

12.70 19.71

11.15 10.52

7.40 8.41

4.91 4.15

15.74 4.52

17.24 6.90

-9.80 8.04

9.11 13.51

3.60

1.56

% Variance

-0.15

0.08

-0.15

0.16

0.27

1.46

-0.48

-1.20

0.07

0.00

83

City of Ft. Lauderdale Police and FireArtio IE II Group Trust as of 3/31/11

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept11/30/07

Artio IE II Group Trust MSCI EAFE (Net) MSCI ACWI ex US (Net)

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/07


MSCI EAFE (Net)

MSCI ACWI ex US (Net)

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

2.08

3.36

3.41

29,143

0

606

29,749

2.08

3.36

3.41

29,143

0

606

29,749

10.19

10.42

13.15

26,995

0

2,753

29,749

-4.16

-3.01

-0.85

10,091

18,044

1,614

29,749

-6.61

-6.05

-4.00

11,160

18,044

545

29,749


85

City of Ft. Lauderdale Police and FireArtio IE II Group Trust as of 3/31/11

Intl Equity$29,749 100.00%


-0.460.920.99

Ann

ualiz

ed R

etur

n%

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 26.0 28.0-7.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

a1

2

T


a Artio IE II Group Trust1 MSCI EAFE (Net) 2 MSCI ACWI ex US (NT 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

-6.61 -6.05 -4.00 0.81

23.75 25.37 26.27 0.37

-0.31 -0.27 -0.18 0.00

-0.42



86


Total Returns of International Equity PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow a Artio IE II Group Trust Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

6.644.103.242.07

-0.90

2.0874

3.36

47

3.4145

23.6316.7513.2711.646.38

10.1984

10.42

83

13.1550

48.9140.5233.3429.8621.40

27.3387

30.59

71

34.9441

7.311.950.16

-2.77-7.48

-4.1688

-3.01

79

-0.8559

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

a 1 2

a 12

a1

2

a 12

87

City of Ft. Lauderdale Police and Fire Calendar Year Performance ComparisonTotal Returns of International Equity Portfolios


High1st QtMedian3rd QtLow a Artio IE II Group Trust Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank

3/31/11YTD 2010 2009 2008

6.644.103.242.07

-0.90

2.0874

3.36

47

3.4145

24.7817.0211.988.452.37

8.4375

7.75

80

11.1555

75.5742.1935.6926.179.83

23.8581

31.77

63

41.4427

-24.16-40.27-43.33-47.40-57.57

-41.6435

-43.38

50

-45.5263

-60%-50%-40%-30%-20%-10%

0%10%20%30%40%50%60%70%80%

a 1 2a 1 2

a1

2

a 1 2

88


Total Returns of International Equity Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0-10.0

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

a1

2

Med

ian

Ris

k

MedianReturn




a Artio IE II Group Trust1 MSCI EAFE (Net) 2 MSCI ACWI ex US (Net)

Median

-4.16 88 28.27 30-3.01 79 30.58 45-0.85 59 31.59 570.16 30.93

89


Artio IE II Group TrustQuarterly Periods Ending 3/31/11

Risk Measures






13

0.900.870.75

-12.1215.5610.1910.19

13

-13.9716.48

57

0.880.970.58

-21.5319.60

-45.7047.1428.270.92

-0.420.99

-0.17-5.094.27

-0.42

57

-20.5625.43

30.58

-0.12

67

0.880.970.54

-21.5319.60

-45.7047.1427.520.92

-0.460.99

-0.27-8.014.09

-0.42

67

-20.5625.43

29.72

-0.21

90

City of Ft. Lauderdale Police and FireThornburg as of 3/31/11

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept11/30/07

Thornburg MSCI EAFE (Net) MSCI ACWI ex US (Net)

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

11/30/07

Thornburg

MSCI EAFE (Net)

MSCI ACWI ex US (Net)

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

4.18

3.36

3.41

31,714

-61

1,388

33,041

4.18

3.36

3.41

31,714

-61

1,388

33,041

16.94

10.42

13.15

28,291

-117

4,866

33,041

0.88

-3.01

-0.85

9,620

18,330

5,091

33,041

-2.62

-6.05

-4.00

10,826

18,297

3,918

33,041


91

City of Ft. Lauderdale Police and FireThornburg as of 3/31/11

Intl Equity$33,041 100.00%


0.510.890.98

Ann

ualiz

ed R

etur

n%

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 26.0 28.0-7.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

t

1

2

T


t Thornburg1 MSCI EAFE (Net) 2 MSCI ACWI ex US (NT 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

-2.62 -6.05 -4.00 0.81

22.60 25.37 26.27 0.37

-0.15 -0.27 -0.18 0.00

0.45



92


Total Returns of International Equity PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow t Thornburg Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

6.644.103.242.07

-0.90

4.1822

3.36

47

3.4145

23.6316.7513.2711.646.38

16.9424

10.42

83

13.1550

48.9140.5233.3429.8621.40

32.8852

30.59

71

34.9441

7.311.950.16

-2.77-7.48

0.8839

-3.01

79

-0.8559

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

t 1 2

t

12

t1

2

t1

2

93

City of Ft. Lauderdale Police and Fire Calendar Year Performance ComparisonTotal Returns of International Equity Portfolios


High1st QtMedian3rd QtLow t Thornburg Net Ret Rank1 MSCI EAFE (Net) Net Ret Rank2 MSCI ACWI ex US (Net) Net Ret Rank

3/31/11YTD 2010 2009 2008

6.644.103.242.07

-0.90

4.1822

3.36

47

3.4145

24.7817.0211.988.452.37

14.2337

7.75

80

11.1555

75.5742.1935.6926.179.83

33.4756

31.77

63

41.4427

-24.16-40.27-43.33-47.40-57.57

-42.0338

-43.38

50

-45.5263

-60%-50%-40%-30%-20%-10%

0%10%20%30%40%50%60%70%80%

t 1 2

t1 2

t 12

t 1 2

94


Total Returns of International Equity Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0-10.0

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

t

1

2

Med

ian

Ris

k

MedianReturn




t Thornburg1 MSCI EAFE (Net) 2 MSCI ACWI ex US (Net)

Median

0.88 39 26.87 15-3.01 79 30.58 45-0.85 59 31.59 570.16 30.93

95


ThornburgQuarterly Periods Ending 3/31/11

Risk Measures






13

1.030.670.75

-9.3014.5417.2317.23

13

-13.9716.48

57

0.970.870.58

-19.6823.51

-41.8551.0026.890.870.790.990.020.524.940.60

57

-20.5625.43

30.58

-0.12

67

0.970.890.54

-19.6823.51

-42.0351.0026.510.890.530.98

-0.12-3.584.880.47

67

-20.5625.43

29.72

-0.21

96

City of Ft. Lauderdale Police and FireAgincourt as of 3/31/11

United States TreasUnited States TreasFNMA Pool #ah2366GNMA I Pool #747834Fhlm Pool J11722FNMA Pool #ah2659Fhgld Pool #a91538FNMA Pool 745418Federal Natl Mtg AssFNMA Pool 254868

Sector % Port

GovernmentGovernment

MortgageMortgageMortgageMortgageMortgageMortgage

GovernmentMortgage

5.764.253.743.072.472.172.051.821.771.66

FinanceGovernmentIndustrialsMortgageTransportationUtilitiesMunicipalsForeignMiscellaneous

% Port

14.1714.7019.6142.612.075.630.000.960.25

-0.50.00.51.01.52.02.53.03.54.04.55.05.56.06.57.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept12/31/95

Agincourt Barclays U.S. Aggregate

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

12/31/95

Agincourt


Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

0.73

0.42

80,168

0

587

80,754

0.73

0.42

80,168

0

587

80,754

6.18

5.12

68,973

7,600

4,181

80,754

6.45

5.30

76,976

-7,950

11,729

80,754

6.44

6.02

79,284

-20,650

22,121

80,754

5.97

5.57

58,657

-16,650

38,748

80,754

6.28

5.97

48,077

-25,055

57,732

80,754


Top Fixed Income Holdings Sector Allocation

97

City of Ft. Lauderdale Police and FireAgincourt as of 3/31/11


Domestic Fixed$80,665 99.89%


0.110.950.81

Ann

ualiz

ed R

etur

n%

1.0 1.5 2.0 2.5 3.0 3.5 4.03.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5a

1

T


a Agincourt1 Barclays U.S. Aggregate T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

6.28 5.97 3.32

3.71 3.59 1.04

0.80 0.74 0.00

0.17



98

City of Ft. Lauderdale Police and FireFixed Income Core Cumulative Performance Comparisons

Total Returns of Fixed Income PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow a Agincourt Net Ret Rank1 Barclays U.S. Aggregate Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

Last 4Years

Last 5Years

Last 6Years

Last 7Years

Last 8Years

Last 9Years

Last 10Years

1.760.990.690.36

-0.52

0.7348

0.42

69

9.216.785.594.631.78

6.1839

5.12

64

14.5510.948.455.862.02

10.5525

6.40

69

8.236.856.125.173.62

6.4535

5.30

73

8.097.016.405.644.18

6.3252

5.89

70

7.726.986.475.994.24

6.4450

6.02

69

6.926.215.835.424.17

5.7850

5.39

78

6.675.535.184.804.51

5.1550

4.77

76

6.905.665.224.814.11

5.2845

4.85

72

7.286.295.875.594.44

6.0140

5.59

75

7.046.155.795.514.63

5.9737

5.57

69

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

a1

a1

a

1 a1

a1a1 a1 a1

a1a1 a1

99

City of Ft. Lauderdale Police and FireFixed Income Core Consecutive Performance Comparisons

Total Returns of Fixed Income PortfoliosYears Ending December

High1st QtMedian3rd QtLow a Agincourt Net Ret Rank1 Barclays U.S. Aggregate Net Ret Rank

3/31/11YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001

1.760.990.690.36

-0.52

0.7348

0.42

69

12.208.807.296.072.47

8.1033

6.54

65

18.3812.089.257.200.34

13.8814

5.93

83

11.426.003.290.01

-6.03

-1.6783

5.24

28

9.387.446.756.024.62

6.4959

6.96

42

5.654.844.514.143.33

4.7133

4.33

63

4.363.112.682.371.84

2.5759

2.43

71

5.984.724.333.722.10

4.6629

4.34

48

6.854.914.513.492.35

5.1318

4.11

62

15.1210.989.938.395.38

9.8850

10.26

32

9.818.918.447.814.76

9.4311

8.43

50

-8%-6%-4%-2%0%2%4%6%8%

10%12%14%16%18%20%

a1

a1

a

1

a

1a1

a1a1

a1 a1

a1 a1

100


Total Returns of Fixed Income Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

a1

Med

ian

Ris

k

MedianReturn




a Agincourt1 Barclays U.S. Aggregate

Median

6.45 37 5.01 515.30 61 3.91 295.79 5.04

Ann

ualiz

ed R

ate

of R

etur

n

0.0 1.2 2.4 3.6 4.8 6.0 7.2 8.4 9.6 10.8 12.02.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

a1

Med

ian

Ris

k

MedianReturn




a Agincourt1 Barclays U.S. Aggregate

Median

6.44 45 4.21 546.02 61 3.52 316.32 4.06

101


AgincourtQuarterly Periods Ending 3/31/11

Risk Measures






13

1.181.040.75

-1.353.646.186.18

13

-1.303.49

39

1.291.620.75

-2.415.72

-1.3015.105.010.940.360.521.196.353.700.29

39

-1.304.57

3.91

1.23

515

1.121.520.75

-2.415.72

-1.6715.104.210.950.150.591.004.442.890.13

515

-1.304.57

3.52

1.08

1447

1.050.990.75

-2.415.72

-1.6715.103.710.950.110.810.803.101.680.17

1546

-2.444.62

3.59

0.74

102

City of Ft. Lauderdale Police and FireFixed Income, Mortgage and Municipals Summary Statistics

AgincourtQuarter Ending 3/11

Total Number Of SecuritiesTotal Market ValueYield to MaturityTime to MaturityCurrent CouponDurationEffective ConvexityEffective DurationEffective Maturity

Portfolio Barclays U.S. Aggregate

22580,665,217

3.5314.185.205.03

-0.064.796.45

7,98915,093,100,183,552

3.087.254.205.350.045.127.25

Yield to Maturity

5+ 8.7%

4 - 5 18.1%

3 - 4 41.1%

2 - 3 22.1%

1 - 2 9.2%

0 - 1 0.8%

Time to Maturity

10+ 45.7%

7 - 10 15.9%

5 - 7 19.7%

3 - 5 9.5%

1 - 3 8.5%

0 - 1 0.7%

Coupon

11+ 0.0%

9 - 11 2.6%

7 - 9 8.0%

5 - 7 53.0%

3 - 5 28.3%

0 - 3 8.0%

Quality

NR 0.6%

BA 0.3%

BAA 20.0%

A 17.2%

AA 6.5%

AAA 43.2%

GOVT 12.3%

Duration

8+ 13.5%

6 - 8 3.6%

4 - 6 42.6%

3 - 4 18.6%

1 - 3 19.3%

0 - 1 2.4%

Effective Duration

8+ 12.8%

6 - 8 3.8%

4 - 6 40.7%

3 - 4 14.6%

1 - 3 25.8%

0 - 1 2.4%

103

City of Ft. Lauderdale Police and FirePercent Invested by Sector and Quality

AgincourtAs of 3/31/11

Name

Moody’s Quality RatingsAaa Aa A Baa Ba B Other NR

Total

Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash OtherTotal

14.7011.463.24

0.05

------

0.05---

---

40.653.59

13.7118.015.34

---

---

---

55.41

---------

5.631.860.143.020.62

0.27

0.61

---------

0.61

---

---

---6.50

---------

16.385.593.387.41

---

0.51

0.31---------

0.31

---

---

---17.21

---------

18.0011.862.113.680.34

1.29

0.73

---------

0.73

---

---

---20.02

---------

0.310.31

---------

---

---------------

---

---

---

0.31

---------

---------------

---

---------------

---

---

------

---------

---------------

---

---------------

---

---

------

---------

---------------

---

0.30

---------

0.30

---

---

0.250.55

14.7011.463.24

40.3719.625.63

14.160.96

2.07

42.603.59

13.7118.017.29

---

---

0.25

100.00

104

City of Ft. Lauderdale Police and FireFixed Income Sector Attribution Analysis

AgincourtQuarter Ending 3/11



SelectionSecurity Sector Total

FinanceGovernmentIndustrialsMortgageTransportationUtilitiesMunicipalsForeignMiscellaneous

13.4420.1818.6939.322.075.320.000.720.25

100.00

0.000.009.940.000.002.120.000.000.00

100.00

1.500.021.041.271.960.670.00

-2.18

0.96

0.000.000.000.000.000.000.000.000.00

0.00

0.200.000.190.500.040.040.00

-0.020.00

0.96

0.000.000.000.000.000.000.000.000.00

0.00

0.200.000.190.500.040.040.00

-0.020.00

0.96

Index - Barclays U.S. Aggregate

Security Selection Return Attribution






105

City of Ft. Lauderdale Police and FireAmerican Stable Value Fd Am Realty as of 3/31/11

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept 7/31/07

American Stable Value Fd Am Realty NCREIF Prop Index NCREIF ODCE Fund Index

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

7/31/07


NCREIF Prop Index

NCREIF ODCE Fund Index

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

4.04

3.36

4.12

19,217

2

819

20,038

4.04

3.36

4.12

19,217

2

819

20,038

16.25

16.03

20.25

17,274

-118

2,882

20,038

-9.10

-3.63

-8.92

27,033

-356

-6,639

20,038

-5.34

-0.78

-5.48

24,999

-532

-4,430

20,038

Returns of NFI-ODCE are preliminary.


107

City of Ft. Lauderdale Police and FireAmerican Stable Value Fd Am Realty as of 3/31/11

Real Estate$20,038 100.00%


-1.061.270.88

Ann

ualiz

ed R

etur

n%

0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

a

1

2

T


a American Stable Value Fd1 NCREIF Prop Index 2 NCREIF ODCE Fund IT 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

-5.34 -0.78 -5.48 1.20

11.56 8.35 12.51 0.51

-0.57 -0.24 -0.53 0.00

-1.09



Returns of NFI-ODCE are preliminary.108


Total Returns of Real Estate PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow a American Stable Value Fd Am Realty Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

7.164.753.121.08

-9.14

4.0429

3.36

40

4.1226

27.4123.7517.959.93

-10.75

16.2564

16.03

64

20.2533

62.3630.42-0.31-3.93

-27.22

-3.8174

2.42

33

-0.7153

5.67-1.53-8.67

-10.97-30.78

-9.1053

-3.63

29

-8.9253

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

a 1 2

a 12

a1

2

a1

2

109

City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison

Total Returns of Real Estate PortfoliosYears Ending December

High1st QtMedian3rd QtLow a American Stable Value Fd Am Realty Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank

3/31/11YTD 2010 2009 2008

7.164.753.121.08

-9.14

4.0429

3.36

40

4.1226

30.1118.6615.4910.65

-12.72

10.9974

13.11

66

16.3644

36.12-5.52

-28.27-30.79-45.55

-30.1971

-16.86

30

-29.7666

13.79-4.56

-10.40-25.50-44.90

-5.7331

-6.46

31

-10.0044

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

a 1 2

a 12

a

1

2

a 12

110


Total Returns of Real Estate Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

0.0 4.4 8.8 13.2 17.6 22.0 26.4 30.8 35.2 39.6 44.0-30.0

-25.5

-21.0

-16.5

-12.0

-7.5

-3.0

1.5

6.0

10.5

15.0

a

1

2

Med

ian

Ris

k

MedianReturn




a American Stable Value Fd Am Realty1 NCREIF Prop Index 2 NCREIF ODCE Fund Index

Median

-9.10 53 12.00 20-3.63 29 8.87 5-8.92 53 13.39 37-8.67 15.26

111


American Stable Value Fd Am RealtyQuarterly Periods Ending 3/31/11

Risk Measures






04

1.04

1.003.264.57

16.7416.74

04

3.314.62

75

1.011.540.50

-12.884.57

-32.6016.7412.081.27

-1.060.88

-0.79-7.444.85

-1.09

66

-8.294.62

8.87

-0.47

78

1.021.540.60

-12.884.68

-32.6016.7411.561.29

-0.910.88

-0.55-4.954.51

-0.93

69

-8.294.62

8.45

-0.24

112

City of Ft. Lauderdale Police and FirePrudential RE Investors PRISA II as of 3/31/11

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept 7/31/07

Prudential RE Investors PRISA II NCREIF Prop Index NCREIF ODCE Fund Index

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

7/31/07


NCREIF Prop Index

NCREIF ODCE Fund Index

Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

5.51

3.36

4.12

11,028

0

608

11,636

5.51

3.36

4.12

11,028

0

608

11,636

30.62

16.03

20.25

7,966

1,017

2,653

11,636

-15.26

-3.63

-8.92

7,783

7,425

-3,572

11,636

-11.41

-0.78

-5.48

3,000

11,981

-3,346

11,636

Returns for NFI-ODCE are preliminary.


113

City of Ft. Lauderdale Police and FirePrudential RE Investors PRISA II as of 3/31/11

Real Estate$11,636 100.00%


-1.652.310.93

Ann

ualiz

ed R

etur

n%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0-12.0-11.0-10.0-9.0-8.0-7.0-6.0-5.0-4.0-3.0-2.0-1.00.01.02.0

p

1

2

T


p Prudential RE Inve1 NCREIF Prop Index 2 NCREIF ODCE Fund IT 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

-11.41 -0.78 -5.48 1.20

19.82 8.35 12.51 0.51

-0.64 -0.24 -0.53 0.00

-0.84



Returns for NFI-ODCE are preliminary.114


Total Returns of Real Estate PortfoliosPeriods Ending 3/11

High1st QtMedian3rd QtLow p Prudential RE Investors PRISA II Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank

LastQtr

LastYear

Last 2Years

Last 3Years

7.164.753.121.08

-9.14

5.5123

3.36

40

4.1226

27.4123.7517.959.93

-10.75

30.622

16.0364

20.25

33

62.3630.42-0.31-3.93

-27.22

-1.7256

2.42

33

-0.7153

5.67-1.53-8.67

-10.97-30.78

-15.2684

-3.63

29

-8.9253

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

p 1 2

p

12

p1

2

p

12

115

City of Ft. Lauderdale Police and Fire Calendar Year Performance Comparison

Total Returns of Real Estate PortfoliosYears Ending December

High1st QtMedian3rd QtLow p Prudential RE Investors PRISA II Net Ret Rank1 NCREIF Prop Index Net Ret Rank2 NCREIF ODCE Fund Index Net Ret Rank

3/31/11YTD 2010 2009 2008

7.164.753.121.08

-9.14

5.5123

3.36

40

4.1226

30.1118.6615.4910.65

-12.72

24.7912

13.11

66

16.3644

36.12-5.52

-28.27-30.79-45.55

-44.8293

-16.86

30

-29.7666

13.79-4.56

-10.40-25.50-44.90

-16.1468

-6.46

31

-10.0044

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

p 1 2

p

12

p

1

2

p

12

116


Total Returns of Real Estate Portfolios

Ann

ualiz

ed R

ate

of R

etur

n

0.0 4.4 8.8 13.2 17.6 22.0 26.4 30.8 35.2 39.6 44.0-30.0

-25.5

-21.0

-16.5

-12.0

-7.5

-3.0

1.5

6.0

10.5

15.0

p

1

2

Med

ian

Ris

k

MedianReturn




p Prudential RE Investors PRISA II1 NCREIF Prop Index 2 NCREIF ODCE Fund Index

Median

-15.26 84 21.56 69-3.63 29 8.87 5-8.92 53 13.39 37-8.67 15.26

117


Prudential RE Investors PRISA IIQuarterly Periods Ending 3/31/11

Risk Measures






04

1.91

1.005.518.23

30.6230.62

04

3.314.62

57

1.852.450.50

-24.788.23

-51.1730.6221.562.35

-1.350.94

-0.73-6.7113.11-0.83

66

-8.294.62

8.87

-0.47

510

1.422.450.60

-24.788.23

-51.1730.6219.632.29

-1.770.93

-0.63-5.4311.71-0.82

69

-8.294.62

8.45

-0.24

118

City of Ft. Lauderdale Police and FireK2 Advisors Long/Short as of 3/31/11

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept 4/30/08

K2 Advisors Long/Short Standard & Poors 500

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

4/30/08



Asset Growth ($000)



Gain/Loss + Income

Ending Market Value

1.72

5.92

43,460

0

747

44,207

1.72

5.92

43,460

0

747

44,207

5.18

15.64

42,032

-35

2,210

44,207

0.65

0.77

35,000

7,965

1,242

44,207


119

City of Ft. Lauderdale Police and FireK2 Advisors Long/Short as of 3/31/11

Special Invest$44,207 100.00%


N/AN/AN/A

Ann

ualiz

ed R

etur

n%

-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.00.4

0.5

0.6

0.7

0.8

2

1

T


2 K2 Advisors Long/Short1 Standard & Poors 500 T 91-Day Treasury Bill

Annualized

Net Ret

Std. Dev.

SharpeRatio

Info

Ratio

0.65 0.77 0.49

6.36 22.04 0.23

0.03 0.01 0.00


Risk/Return Analysis (Number of returns < 12)

120

City of Ft. Lauderdale Police and FireRisk Measure SummaryK2 Advisors Long/Short

Quarterly Periods Ending 3/31/11

Risk Measures






13

0.340.420.75

-4.774.715.265.26

13

-11.4311.30

39

0.24-90.16

0.58-7.37

10,107.43-8.72

8,966.585,835.37

-24.75871.15

0.010.06

-14.955,837.92

0.06

57

-21.9315.93

24.36

0.08

39

0.24-90.16

0.58-7.37

10,107.43-8.72

8,966.585,835.37

-24.75871.15

0.010.06

-14.955,837.92

0.06

57

-21.9315.93

24.36

0.08

121

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 listed on the NASDAQ Stock Market(National Association of Securities Dealers Automated Quote 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 or the most expensive stocks tradedin the US. While many of the stocks are among the largest, this index also includes many relatively small companies.This index consists of approximately 380 industrial, 40 utility, 10 transportation, and 70 financial companies listed onthe US market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding),calculated on a total return basis with dividend reinvested.

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 thisindex have higher price-to-book and price-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 1000 Growth 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-to-earnings ratios, higher dividend yields and lower forecasted growthvalues than the Russell 1000 Growth index.

Russell Mid-Cap: This index consists of the bottom 800 securities in the Russell 1000 as ranked by total marketcapitalization, and represents over 35% of the Russell 1000 total market cap.

Russell Mid-Cap Growth: The Russell Mid-cap Growth Index offers investors access to the mid-cap growth segment ofthe U.S. equity universe. The Russell Midcap Growth Index is constructed to provide a comprehensive and unbiasedbarometer of the mid-cap growth market. Based on ongoing empirical research of investment manager behavior, themethodology used to determine growth probability approximates the aggregate mid-cap growth manager's opportunityset.

Russell Mid-Cap Value: Measures the performance of the Russell 3000 Index extended to include micro-cap securitiesof the Russell Micro-cap Index. The index represents approximately 99% of the U.S. Equity Market. As of the latestreconstitution, the average market capitalization was approximately $3.8 billion; the median market capitalization wasapproximately $612 million. The index had a total market capitalization range of approximately $368.5 billion to $67.3million.

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-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 2000 Value index.

City of Ft. Lauderdale Police and FireAppendix

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

Russell 2500: This index consists 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.

Russell 2500 Growth: A segment of the Russell 2500 with a greater-than-average growth orientation. Companies in thisindex have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth valuesthan the Russell 2500 Value index.

Russell 2500 Value: A segment of the Russell 2500 with a less-than-average growth orientation. Companies in thisindex have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth valuesthan the Russell 2500 Growth index.

Russell 3000: is composed of the 3,000 largest U.S. securities, as determined by total market capitalization.

Russell 3000 Growth: This index measures the performance of those Russell 3000 Index companies with higherprice-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell1000 Growth or the Russell 2000 Growth indexes.

Russell 3000 Value: This index measures the performance of those Russell 3000 Index companies with lowerprice-to-book ratios and lower forecasted growth values. The stocks in this index are also members of either the Russell1000Value or the Russell 2000 Value indexes.

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 countriesin the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20different country indexes, all of which are created separately.

MSCI World: A free float-adjusted market capitalization weighted index that is designed to measure the equity marketperformance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developedmarket country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong,Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UnitedKingdom, and the United States.

MSCI World ex U.S.: The MSCI World index excluding the U.S. portion of the index.

MSCI All Country World Index: a free float-adjusted market capitalization weighted index that is designed to measurethe equity market performance of developed and emerging markets. As of January 2009 the MSCI ACWI consisted of 46country indices comprising 23 developed and 23 emerging market country indices. The developed market countryindices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong,Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UnitedKingdom and the United States. The emerging market country indices included are: Argentina, Brazil, Chile, China,Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru,


MSCI All Country World Index ex U.S.: The MSCI All Country World Index excluding the U.S. portion of the index.

MSCI Emerging Markets Free (EMF): A market capitalization-weighted index representing 2 of the emerging marketsin the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, themost common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes onlysecurities that are allowed to be purchased by global investors. This index is created by aggregating the 26 differentcountry indexes, all of which are created separately.

Barclays Capital U.S. Aggregate Bond: This index is made up of the Barclays Capital U.S. Government/Credit, theMortgage-Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment gradeor higher, have at least on year maturity, and have an outstanding par value of at least $100 million.

Barclays Capital U.S. Government/Credit: This index includes all bonds that are in the Barclays Capital U.S.Government Bond and the Barclays Capital U.S. Credit Bond indices.

Barclays Capital U.S. Government/Credit Intermediate: All bonds by the Barclays Capital U.S. Government/CreditBond index with maturities of 1 to 10 years.

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

Barclays Capital U.S. Treasury Index: This index includes public obligations of the U.S. Treasury. Treasury bills areexcluded by the maturity constraint, but are part of a separate Short Treasury Index. In addition, certain special issues,such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS areexcluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to theU.S. Aggregate, U.S. Universal and Global Aggregate Indices.

Barclays Capital U.S. TIPS: This index measures the performance of U.S. Treasury Inflation Protection Securities.

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 on year. The coupon range must be equal toor greater than zero and all equity of bonds are included. Excluded from this index are preferred equity redemptionstocks. When the component bonds of this index convert into common stock, the converted securities are dropped fromthe index.

Merrill Lynch Corp/Govt 1-3 Years A or Better: An unmanaged index of government and corporate fixed-rate debtissues with maturities between one and 3 years.

Merrill Lynch High Yield Master: Market capitalization weighted index providing a broad-based measure of bonds inthe US domestic bond market rated below investment grade, but not in default. Includes only issues with a credit ratingof BB1 or below as rated by Moody's and/or S&P, at least $100 million in face value outstanding and a remaining termto final maturity equal to or greater than one year.

Dow Wilshire REIT: A measurement of equity REITs and Real Estate operating Companies. No special-purpose orhealth care REITs are included. It is a market capitalization weighted index for which returns are calculated monthly


Alpha: A risk-adjusted measure of 'excess return' on an investment. That is, it measures an active manager'sperformance in excess of a benchmark index or 'risk-free' investment. An alpha of 1.0 means the manager outperformedthe market 1.0%. A positive alpha is the extra return awarded to the investor for taking additional risk rather thanaccepting the market return.

Batting Average: The percent of periods the manager has beaten the benchmark. A high average for the fund (e.g. over50) is desirable, indicating the fund has beaten the policy frequently.

Beta: A measure of systematic risk, or the sensitivity of a manager to movements in the benchmark. A beta of 1 impliesthat you can expect the movement of a manager's return series to match that of the benchmark used to measure beta.

Down Market Capture Ratio: A measure of a manager's performance in down markets. A down-market is defined asthose periods (months or quarters) in which market return is less than 0. It tells you what percentage of the down-marketwas captured by the manager.

Information Ratio: The Information Ratio measures the consistency with which a manager beats a benchmark.

R-squared: The R-Squared (R2) of a manager versus a benchmark is a measure of how closely related the variance ofthe manager returns and the variance of the benchmark returns are.

Sharpe Ratio: The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk. It iscalculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standarddeviation of the portfolio returns.

Standard Deviation: Standard deviation of return measures the average deviations of a return series from its mean, andis often used as a measure of risk. A large standard deviation implies that there have been large swings in the returnseries of the manager.

Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of abenchmark.

Treynor Ratio: The Treynor Ratio is a risk-adjusted measure of return which uses beta to represent risk. It is calculatedby subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the portfolio's betavalue.

Up Market Capture Ratio: A measure of a manager's performance in up markets. An up-market is defined as thoseperiods (months or quarters) in which market return is greater than 0. It tells you what percentage of the up-market wascaptured by the manager.


fort lauderdale police and fire pension 1st quarter 2011 investment review

Documents