4. The Market Environment
Major Market Index Performance
The third quarter was extremely difficult for global equities as
virtually all market segments, styles and countries experienced
“double-digit” losses. During the quarter, the equity market reacted
negatively to “resolved” issues including the debt ceiling debate, the
U.S. sovereign downgrade and the Fed’s $400 billion “twist”. While
markets almost always react negatively to uncertainty, the events
listed above make it clear that unwanted resolutions often are not
viewed very favorably either. In contrast to equities, the bond
market, particularly U.S. Treasuries, posted positive results (so
much for a downgrade). Outside of the U.S., Europe’s evolving
sovereign financial crisis continued to unfold over the course of the
quarter with no palatable solutions on the horizon. As a result, the
world’s financial markets were like a swinging pendulum, reacting to
each positive and negative news event with volatile and often violent
shifts in value. As these events and their ramifications continue to
unfold, it appears that heightened volatility is likely to be a market
reality for the immediate future.
Large cap stocks, as measured by the S&P 500, returned -13.9% for
the quarter with September accounting for nearly half of the losses.
This quarter represented the worst return for the S&P 500 since the
fourth quarter of 2008 (-21.9%) and the 19th worst quarter since
1926. Mounting evidence of a second leg down in economic activity
hit small and mid cap issues particularly hard with the Russell 2000
index (small cap) returning a disappointing -21.9% and the Russell
MidCap index posting a return of -18.9%.
International equity results were also negative for the quarter with
the MSCI-ACWxUS index returning -19.8% in U.S. Dollars (USD)
and the MSCI-EM index posted a weaker -22.5%. The quarter’s
flight to the USD resulted in a large negative total return impact for
broadly diversified, un-hedged U.S. investors.
The domestic bond market was the primary benefactor of the
quarter’s equity market weakness as investors poured into high
quality bonds, particularly U.S. Treasuries. The broad market
Barclays US Aggregate index returned a strong 3.8% for the quarter.
Period Ended: September 30, 2011
Source: PARis / Investment Metrics
0.0%
2.9%
2.4%
4.5%
5.8%
3.8%
-21.9%
-18.9%
-14.7%
-15.3%
-13.9%
-22.5%
-19.0%
-19.8%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0%
3-Month T-Bill
Barclays Corp IG
Barclays MBS
Barclays US TIPS
Barclays US Govt
Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
Quarter Performance
0.1%
4.4%
5.6%
9.9%
5.6%
5.3%
-3.5%
-0.9%
0.9%
0.5%
1.1%
-15.9%
-8.9%
-10.4%
-20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0%
3-Month T-Bill
Barclays Corp IG
Barclays MBS
Barclays US TIPS
Barclays US Govt
Barclays US Agg
Russell 2000
Russell MidCap
Russell 1000
Russell 3000
S&P 500
MSCI Emerg Mkts
MSCI EAFE
MSCI ACWxUS
1-Year Performance
Page 3
5. The Market Environment
Domestic Equity Style Index Performance
Equity results were negative across the capitalization spectrum for
the quarter, but the style-based results were mixed. Growth
outperformed value in the broad and large cap segments of the
market. The Russell 1000 large cap style benchmarks recorded the
largest span with growth outperforming value by a margin of 310
basis points. In the small and mid cap segments of the market,
growth actually trailed value for the quarter. However, value’s
advantage over growth in the small and mid cap segments of the
market was less than 100 basis points for each segment.
Growth was able to outpace value in the large cap space due to the
large cap growth benchmark’s over-weighted positions in the
information technology (+19.1% vs. value) and consumer staples
(+4.6% vs. value) sectors. Although each sector was negative for
the quarter, both were down much less than the broad index results.
In contrast, financials, which represent a significant overweight in the
large cap value benchmark (+21.9% vs. growth), were down more
than 22% for the quarter. Interestingly, focusing on the small cap
segment of the market, financial sector performance was actually
less negative than the information technology sector by 700 basis
points. As a result, the financially dominated small cap value
benchmark was able to outpace the information technology
dominated growth benchmark for the quarter.
Over the one-year period, growth benchmarks outperformed value
benchmarks in all capitalization ranges. In the small cap segment of
the market, both growth and value results were negative, but value
trailed growth by a wide 490 basis points. Outside of small cap, the
style differentials appear more visually pronounced since value
results at each capitalization range were negative for the year, while
the corresponding growth results were positive.
Source: PARis / Investment Metrics
Period Ended: September 30, 2011
-22.2%
-21.9%
-21.5%
-19.3%
-18.9%
-18.5%
-13.1%
-14.7%
-16.2%
-13.9%
-15.3%
-16.6%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
Quarter Performance - Russell Style Series
-1.1%
-3.5%
-6.0%
0.8%
-0.9%
-2.4%
3.8%
0.9%
-1.9%
3.4%
0.5%
-2.2%
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0%
2000 Growth
2000 Index
2000 Value
MidCap Growth
MidCap Index
MidCap Value
1000 Growth
1000 Index
1000 Value
3000 Growth
3000 Index
3000 Value
1-Year Performance - Russell Style Series
Page 4
6. Source: Thompson Financial
The Market Environment
GICS Sector Performance & (Sector Weight)
The performance of the Global Industry Classification Standard
(GICS) economic sectors of the Russell 1000 large cap stock index
covered a span of 2,500 basis points from best to worst. The
macro-driven volatility that dominated the quarter’s results left few
sectors unscathed and only seemed to intensify as the quarter
progressed. Within the ten economic sectors of the Russell 1000,
nine posted negative performance for the quarter, with four sectors
down more than 20%. The utilities’ sector return of +0.2% was the
only economic sector of the Russell 1000 that managed to produce a
positive return for the quarter.
All ten GICS sectors of the Russell 2000 small cap index posted
negative results for the quarter. Classic defensive sectors like
consumer staples (-11.3%) and utilities (-3.3%) offered portfolios the
greatest downside protection for the quarter. However, with six
sectors of the Russell 2000 down more than 20% and two more
sectors down in the “high-teens”, there were not many places to hide
in the small cap segment of the market.
With 2010’s strong third quarter sector results rolling off the one-year
trailing performance chart, the returns are much more mixed. The
Russell 1000 posted seven positive sector results over the one-year
period. The consumer staples (+10.6%) and utilities (+11.8%)
sectors posted the strongest one-year results while financial sector
returned a disappointing -15.3% over the period. In contrast to large
cap, only three sectors of the Russell 2000 managed to post positive
results for the year. Much like the Russell 1000, the defensive
consumer staples (+9.1%) and utilities (+11.9%) sectors led the
Russell 2000’s performance for the year.
Period Ended: September 30, 2011
11.8%
3.7%
3.4%
-15.3%
6.1%
10.6%
5.4%
-4.9%
-7.0%
7.0%
0.2%
-9.0%
-9.1%
-22.1%
-11.0%
-4.3%
-14.3%
-21.9%
-24.8%
-20.9%
-30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0%
Utilities (4.1%)
Telecom Services (3.1%)
Info Technology (3.8%)
Financials (18.9%)
Health Care (10.4%)
Consumer Staples (12.1%)
Consumer Disc (14.2%)
Industrials (11.1%)
Materials (10.6%)
Energy (11.6%)
Russell 1000 Quarter 1-Year
11.9%
-2.0%
-4.8%
-6.4%
2.4%
9.1%
-5.8%
-6.2%
-8.1%
-2.7%
-3.3%
-27.5%
-24.7%
-17.7%
-19.3%
-11.3%
-22.7%
-24.2%
-28.3%
-32.5%
-40.0% -30.0% -20.0% -10.0% 0.0% 10.0%
Utilities (4.0%)
Telecom Services (1.0%)
Info Technology (4.5%)
Financials (17.2%)
Health Care (15.1%)
Consumer Staples (12.9%)
Consumer Disc (22.1%)
Industrials (6.2%)
Materials (3.8%)
Energy (13.1%)
Russell 2000 Quarter 1-Year
Page 5
7. The Market Environment
Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000
Source: Thompson Financial
Period Ended: September 30, 2011
Top 10 Weighted Stocks Top 10 Weighted Stocks
Russell 1000 Symbol Weight Return Sector Russell 2000 Symbol Weight Return Sector
Exxon Mobil Corp XOM 2.93% -10.1% Energy Interdigital Inc IDCC 0.25% 14.3% Information Technology
Apple Inc AAPL 2.75% 13.6% Information Technology Mfa Financial Inc MFA 0.24% -9.9% Financials
IBM IBM 1.64% 2.5% Information Technology Healthspring Inc HS 0.24% -20.9% Health Care
Chevron Corp CVX 1.57% -9.3% Energy Sothebys BID 0.23% -36.5% Consumer Discretionary
Microsoft Corp MSFT 1.52% -3.7% Information Technology Berry Petroleum Co BRY 0.23% -33.3% Energy
General Electric Company GE 1.39% -18.4% Industrials Amer Campus Communities Inc ACC 0.23% 5.7% Financials
Johnson & Johnson JNJ 1.39% -3.4% Health Care World Fuel Services Corp INT 0.23% -9.0% Energy
Procter & Gamble Co PG 1.37% 0.2% Consumer Staples Netlogic Microsystems Inc NETL 0.23% 19.0% Information Technology
AT&T Inc T 1.36% -8.0% Telecomm Service Rosetta Resources Inc ROSE 0.23% -33.6% Energy
Pfizer Inc PFE 1.16% -13.2% Health Care Mid Amer Apar Communities Inc MAA 0.22% -9.9% Financials
Top 10 Performing Stocks Top 10 Performing Stocks
Russell 1000 Symbol Weight Return Sector Russell 2000 Symbol Weight Return Sector
Motorola Mobility Holdings Inc MMI 0.06% 71.4% Information Technology Harleysville Group Inc HGIC 0.03% 91.6% Financials
Petrohawk Energy Corp HK 0.05% 56.9% Energy Apac Customer Services Inc APAC 0.02% 59.8% Industrials
Pharmasset Inc VRUS 0.04% 46.8% Health Care SFN Group Inc SFN 0.04% 54.0% Industrials
Emdeon Inc EM 0.00% 43.2% Health Care Stamps.Com Inc STMP 0.02% 53.2% Information Technology
Alexion Pharmaceuticals Inc ALXN 0.08% 36.2% Health Care Staar Surgical Co STAA 0.02% 47.2% Health Care
Goodrich Corp GR 0.09% 26.8% Industrials Athenahealth Inc ATHN 0.18% 44.9% Health Care
Nalco Holding Co NLC 0.04% 25.9% Materials Global Industries Ltd GLBL 0.05% 44.5% Energy
Biomarin Pharmaceutical Inc BMRN 0.03% 17.1% Health Care FXCM Inc FXCM 0.02% 42.0% Financials
Newmont Mining Corp NEM 0.23% 17.1% Materials Universal Display Corp PANL 0.14% 36.6% Information Technology
Kinetic Concepts Inc KCI 0.03% 14.3% Health Care Arch Chemicals Inc ARJ 0.10% 36.2% Materials
Bottom 10 Performing Stocks Bottom 10 Performing Stocks
Russell 1000 Symbol Weight Return Sector Russell 2000 Symbol Weight Return Sector
Dendreon Corp DNDN 0.02% -77.2% Health Care Ener1 Inc HEV 0.00% -87.5% Industrials
Terex Corp TEX 0.02% -63.9% Industrials Pmi Group Inc PMI 0.01% -81.3% Financials
Alpha Natural Resources Inc ANR 0.06% -61.1% Energy General Maritime Corp GMR 0.01% -80.7% Energy
Manitowoc Co Inc MTW 0.01% -60.2% Industrials Eastman Kodak Co EK 0.06% -78.2% Consumer Discretionary
Ak Steel Holding Corp AKS 0.01% -58.3% Materials Motricity Inc MOTR 0.01% -78.1% Information Technology
Sunpower Corp SPWRA 0.01% -58.1% Information Technology Broadwind Energy Inc BWEN 0.01% -77.9% Industrials
Netflix Inc NFLX 0.09% -56.9% Consumer Discretionary Imperial Holdings Inc IFT 0.01% -76.4% Financials
First Solar Inc FSLR 0.05% -52.2% Information Technology Gentiva Health Services Inc GTIV 0.03% -73.5% Health Care
United States Steel Corp X 0.04% -52.1% Materials Pacific Biosciences Of Cal Inc PACB 0.02% -72.6% Health Care
Monster Worldwide Inc MWW 0.01% -51.0% Information Technology Alliance Healthcare Services Inc AIQ 0.00% -70.0% Health Care
Page 6
8. The Market Environment
International and Regional Market Index Performance (Country Count)
Source: MSCI
Each of the diversified international equity benchmarks were down
roughly 20% for the quarter in U.S. Dollars (USD). In fact, none of
the 44 countries that make up the MSCI-ACWxUS index posted a
positive return in USD for the period. Greece, which remains at the
center of Europe’s concerns, posted the weakest country
performance in the index with a return of -46.6% for the quarter.
Despite the “headline” focus on Greece, the quarter’s losses were
widespread with only four countries able to avoid “double-digit”
losses for the period. The broad MSCI-ACWxUS index returned a
weak -19.8% for the quarter. Within these broad market results, the
emerging market index (MSCI-EM) posted a weaker -22.5% and the
developed market index (MSCI-EAFE) returned a slightly less
negative return of -19.0%.
Positive sector performance was nonexistent for developed and
emerging market benchmarks for the quarter. Much like domestic
equity sector performance, the negative return MSCI-ACWxUS index
was driven by weak performance in energy (-21.9%), materials
(-25.9%), industrials (-23.4%) and financial (-23.8%) sectors.
Although these outsized losses dominated results, there was little
investor downside protection in other areas of the market as only the
consumer staples sector (-9.3%) managed to stay out of
“double-digit” negative territory for the quarter.
The re-ignition of global fear was evident in the return impact of
broad currency movements during the quarter. Although the U.S.
Treasury suffered a downgrade, in a counter-intuitive result, the
USD actually strengthened against many of the world’s currencies.
With the exception of the Pacific region, whose currencies showed
mild depreciation relative to the USD, the currencies of other
international regions clearly illustrate the quarter’s USD strength.
This strength was a drag on U.S. investor returns of foreign holdings.
Over the one-year period, the developed MSCI-EAFE index returned
-8.9%, and the MSCI-EM index posted a weaker -15.9% in USD.
The Pacific region of the developed markets was the strongest
region as Japan (0.1%) and New Zealand (21.3%) represented the
only two positive performing countries over the one-year period.
Period Ended: September 30, 2011
-11.6%
-16.9%
-19.4%
-14.9%
-11.9%
-17.5%
-15.7%
-15.4%
-15.2%
-24.5%
-21.1%
-29.5%
-22.5%
-11.7%
-22.6%
-19.0%
-18.9%
-19.8%
-35.0% -30.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0%
EM Latin Amer (5)
EM Asia (8)
EM Europe (5)
Emerging Mkt (21)
Pacific (5)
Europe (16)
EAFE (22)
WORLD x US (23)
AC World x US (44)
Quarter Performance USD Local Currency
-13.9%
-12.7%
-9.7%
-11.7%
-9.1%
-10.9%
-10.4%
-9.9%
-10.3%
-21.2%
-14.2%
-17.2%
-15.9%
-4.1%
-11.3%
-8.9%
-8.7%
-10.4%
-25.0% -20.0% -15.0% -10.0% -5.0% 0.0%
EM Latin Amer (5)
EM Asia (8)
EM Europe (5)
Emerging Mkt (21)
Pacific (5)
Europe (16)
EAFE (22)
WORLD x US (23)
AC World x US (44)
1-Year Performance USD Local Currency
Page 7
9. The Market Environment
U.S. Dollar International Index Attribution & Country Detail
Source: MSCI
Period Ended: September 30, 2011
MSCI - EAFE Sector Weight Quarter Return 1-Year Return
Energy 8.2% -18.1% -2.7%
Materials 10.0% -27.9% -12.4%
Industrials 12.3% -22.1% -9.4%
Consumer Discretionary 10.2% -20.0% -7.4%
Consumer Staples 11.4% -8.6% 2.6%
Health Care 9.7% -9.7% 3.2%
Financials 22.1% -24.1% -19.8%
Information Technology 5.0% -15.5% -8.2%
Telecommunication Services 6.2% -11.3% -0.8%
Utilities 4.9% -14.0% -12.2%
Total 100.0% -19.0% -8.9%
MSCI - ACWIxUS Sector Weight Quarter Return 1-Year Return
Energy 10.9% -21.9% -8.1%
Materials 11.9% -25.9% -13.7%
Industrials 10.4% -23.4% -12.0%
Consumer Discretionary 9.2% -20.0% -7.2%
Consumer Staples 9.8% -9.3% 1.5%
Health Care 7.0% -10.3% 2.7%
Financials 23.4% -23.8% -19.0%
Information Technology 6.5% -16.2% -9.8%
Telecommunication Services 6.6% -10.7% -1.4%
Utilities 4.3% -15.8% -13.2%
Total 100.0% -19.8% -10.4%
MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year Return
Energy 13.8% -25.8% -14.7%
Materials 13.9% -27.1% -19.4%
Industrials 6.6% -29.1% -25.4%
Consumer Discretionary 8.1% -19.2% -5.3%
Consumer Staples 7.5% -12.8% -3.7%
Health Care 1.1% -17.6% -15.8%
Financials 23.7% -25.9% -23.6%
Information Technology 12.9% -16.6% -9.7%
Telecommunication Services 8.8% -9.8% -3.7%
Utilities 3.5% -24.2% -19.8%
Total 100.0% -22.5% -15.9%
MSCI-EAFE MSCI-ACWIxUS Quarter 1- Year
Country Weight Weight Return Return
Japan 23.1% 15.9% -6.4% 0.1%
United Kingdom 22.2% 15.2% -15.4% -5.3%
France 9.1% 6.2% -29.8% -16.8%
Switzerland 8.6% 5.9% -17.5% -3.0%
Australia 8.4% 5.8% -20.1% -8.9%
Germany 7.7% 5.3% -31.0% -13.0%
Spain 3.5% 2.4% -22.1% -17.1%
Sweden 2.9% 2.0% -26.6% -16.2%
Hong Kong 2.7% 1.9% -19.9% -17.2%
Netherlands 2.4% 1.7% -21.8% -15.6%
Italy 2.3% 1.6% -31.0% -24.7%
Singapore 1.7% 1.2% -18.2% -11.4%
Denmark 1.0% 0.7% -24.1% -16.7%
Belgium 1.0% 0.7% -19.1% -15.1%
Finland 0.9% 0.6% -26.1% -25.5%
Norway 0.9% 0.6% -21.6% -7.3%
Israel 0.7% 0.5% -25.4% -27.6%
Austria 0.3% 0.2% -37.7% -24.6%
Ireland 0.3% 0.2% -20.6% -0.6%
Portugal 0.3% 0.2% -22.0% -14.4%
Greece 0.2% 0.1% -46.6% -53.7%
New Zealand 0.1% 0.1% -6.5% 21.3%
Total EAFE Countries 100.0% 68.8% -19.0% -8.9%
Canada 8.2% -18.8% -6.2%
Total Developed Countries 77.0% -18.9% -8.7%
China 3.9% -25.2% -23.9%
Korea 3.4% -23.3% -6.0%
Brazil 3.4% -26.9% -25.5%
Taiwan 2.6% -17.7% -5.9%
South Africa 1.8% -16.8% -9.5%
India 1.7% -19.9% -25.1%
Russia 1.5% -31.0% -11.5%
Mexico 1.1% -19.7% -6.3%
Malaysia 0.8% -17.0% -5.5%
Indonesia 0.7% -11.0% 0.0%
Thailand 0.4% -14.3% -7.3%
Chile 0.4% -26.2% -21.7%
Poland 0.4% -32.6% -21.6%
Turkey 0.4% -15.6% -29.1%
Colombia 0.2% -12.5% -11.9%
Philippines 0.2% -6.9% -9.8%
Peru 0.1% -4.7% -18.1%
Czech Republic 0.1% -21.7% -6.5%
Egypt 0.1% -20.7% -36.9%
Hungary 0.1% -44.4% -38.4%
Morocco 0.0% -9.2% -1.5%
Total Emerging Countries 23.0% -22.5% -15.9%
Total ACWIxUS Countries 100.0% -19.8% -10.4%
Page 8
10. The Market Environment
Domestic Bond Sector & Broad/Global Bond Market Performance
Source: Barclays Capital Live
The Merrill Lynch index data that has been historically used to
compose the fixed income sector charts has been replaced with data
provided by Barclays Capital. We made this change in order to
improve the consistency of the dataset used in the Market
Environment section of the performance book. Given the similarities
in the structure of these benchmarks, this change will not materially
impact any interpretation of results.
With the exception of non-investment grade debt (high yield),
domestic broad fixed income results were positive during the quarter.
The Barclays Aggregate bond index posted a return of 3.8%. Within
the broad benchmark’s segments, the Treasury (6.5%), mortgage
(2.4%) and corporate (2.9%) portions of the index all contributed to
the broad market performance. The dominant Treasury return was
aided by a general “flight to safety” on global fears as well as the
anticipation of additional monetary stimulus by the Fed. Treasury
inflation protected securities (TIPS) were also a beneficiary of falling
rates during the quarter with a return of 4.5%. The quarter’s
preference for quality is also clearly evident in the scaled credit
benchmark results. High quality AAA issues returned 4.2%, lower
quality Baa issues returned 2.2%, and high yield issues posted a
return of -6.1%. Outside of the U.S. market, the Barclays Global
Aggregate xUS benchmark posted a return of -0.7% for the quarter
in USD. This global bond index number was also negatively
impacted by the strength in the USD as the equivalent hedged index
returned +2.6% for the quarter.
The trailing one-year returns were solid for the various broad and
sector-based fixed income indices. Much like the quarter, one-year
fixed income results were dominated by the performance of Treasury
(6.0%) and TIPS (9.9%) securities. Corporate credit results were
also strong over the year with all investment grade credits returning
in excess of 4.0% for the period. The advantage of longer-duration
portfolios in the trailing year’s falling interest rate environment is
evident in the 110 basis point return differential between the
Barclays Aggregate and the Barclays Intermediate Aggregate
benchmarks.
Period Ended: September 30, 2011
-0.7%
2.3%
3.8%
4.5%
2.9%
2.4%
6.5%
-6.1%
2.2%
2.9%
3.3%
4.2%
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0%
Global Agg x US
Intermediate Agg
Aggregate
TIPS
Corporate
Mortgage
Treasury
High Yield
Baa
A
AA
AAA
Quarter Performance
3.3%
4.2%
5.3%
9.9%
4.4%
5.6%
6.0%
1.8%
4.9%
4.4%
4.5%
5.5%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%
Global Agg x US
Intermediate Agg
Aggregate
TIPS
Corporate
Mortgage
Treasury
High Yield
Baa
A
AA
AAA
1-Year Performance
AAA, AA, A, Baa, Treasury, Mortgage & Corporate benchmarks are
sub-components of the Barclays Aggregate Index.
Page 9
11. The Market Environment
Market Rate & Yield Curve Comparison
Source: Mortgage-X.com, US Department of Treasury & St. Louis Fed
The third quarter opened with market participants assessing the
impact of the end of the Fed’s $600 billion Treasury purchase
program (QEII) and ended with participants assessing the eventual
impact of the Fed’s $400 billion portfolio “twist” (not quite QEIII).
Through this new program, the Fed will shift $400 billion of its current
portfolio of Treasury holdings of less than 3-years for $400 billion of
Treasury issues beyond 6-years by 6/30/12. This “twist” will
effectively push long-term rates lower, flattening the yield curve in
the process. While the Fed’s stated purpose of this action is to
support a stronger economic recovery and to help ensure that
inflation, over time, is at levels consistent with its dual mandate, it
will likely move investors into riskier, higher-yielding assets. The
Fed took similar policy action in 1961 (when the “twist” was a dance
craze) that is viewed through history’s lens with mixed results. In
order to support conditions in the mortgage market, the Fed also
committed to reinvest principal agency and MBS debt payments
back into MBS securities.
There was no direct action by the Fed on short-term rates during the
quarter so the fed funds rate remained unchanged (targeted at 0.0%
to 0.25%). The 10-year Treasury finished the quarter at a yield of
1.92%, which was an incredible 126 basis points lower than it
opened the quarter. This 10-year Treasury rate decrease was
accompanied by a manifestation of global investor fears over a
“second leg” down in the economy as corporate spreads (BAA/10yr)
widened by 58 basis points.
Investors growth and inflation expectations have waned dramatically
over recent quarters to the point of renewed recessionary
expectations. As a result of this negative outlook, rates closed the
current quarter below their 9/30/10 levels. While some of the
steepness has come out of the yield curve over the past year, the
absolute decrease in rates since last quarter was much larger for
longer maturities. The average yield decrease for maturities of up to
one-year was only 2.5 basis points. Out further on the yield curve,
the average decrease was 46.3 basis points for maturities between
2&5-years and 94.7 basis points for maturities in excess of 5-years.
Period Ended: September 30, 2011
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
Treasury Yield Curve
9/30/2010 12/31/2010 6/30/2011 9/30/2011
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
Sep-10 Dec-10 Mar-11 Jun-11 Sep-11
1-Year Trailing Market Rates
Fed Funds Rate TED Spread 3-Month Libor
BAA/10yr Spread 10yr Treasury 10yr TIPS
Page 10
12. 1,100
1,150
1,200
1,250
1,300
1,350
06/30 07/5 07/10 07/15 07/20 07/25 07/30 08/4 08/9 08/14 08/19 08/24 08/29 09/3 09/8 09/13 09/18 09/23 09/28
*S&P 500 3rd Quarter Total Return -13.87%
3rd Quarter by the Numbers
189.22 Cumulative Point Decline (-14.33%*)
64 Trading Days
33 Negative Days
33 +/- 1% (51.6%)
19 +/- 2.0% (29.7%)
6 +/- 4.0% (9.4%)
Worst Day 8/8/11 -79.92 points (-6.66%)
Best Day 8/9/11 + 53.07 points (+4.74%)
Open
Close
High
Low
Up Day
Close
Open
High
Low
Down Day
6/30/11
1,320.64
9/30/11
1,131.42
S&P 500 Price Index Level
The Market Environment
The 3rd Quarter Domestic Equity Market at a Glance
Daily High/Low/Open/Close for the S&P 500 Price Index Through 9/30/11
September -7.03%August -5.43%July -2.03%Total Return
8/31
7/29
Page 11
13. The Market Environment
How are you doing? How are we doing?
The 2011 Bogdahn Client Survey
Select one
choice
Very
Poor
Poor Average Good Excellent
In an effort to better serve your needs, The Bogdahn Group is
conducting its first client survey. The insights gathered from this
short electronic study will be used to direct the allocation of firm
resources as well as to enhance the effectiveness of our client
service and communication.
If you do not receive an individual e-mail from the survey
company, please participate by directing your browser to
https://www.surveymonkey.com/s/BogdahnGroupClientSurvey.
We sincerely appreciate your participation. All responses will be
kept strictly confidential.
1. Please rate your satisfaction with the structure and clarity of our
performance report.
2. Please rate your satisfaction with the level of detail in our
performance report.
3. Please rate your consultant’s ability to effectively communicate the
information in the performance report.
4. Please rate your consultant’s ability to effectively communicate
investment insights beyond those in the performance report.
5. Please rate the effort of your consultant to offer suggestions and/or
solutions to enhance your portfolio.
6. Please rate the outcomes of your consultant’s suggestions and/or
investment solutions.
7. Please rate your consultant’s level of understanding of your
Plan/Fund’s unique needs.
8. Please rate the timeliness of your consultant’s responses to regular
inquiries. (Our firm policy is to reply to all inquiries within 24 hours).
9. Please rate the detail provided in your consultant’s follow up to
inquiries.
10. Please rate your overall satisfaction with The Bogdahn Group’s
services.
10
9
8
7
6
5
4
3
2
1
The Bogdahn Client Survey link will be live through December 20, 2011.
Page 12
14. Total Fund Compliance: Yes No N/A
Equity Compliance: Yes No N/A
Fixed Income Compliance: Yes No N/A
Yes No N/A Yes No N/A Yes No N/A Yes No N/A Yes No N/A
Manager Compliance:
Lakeland Police Officers' Retirement System
Compliance Checklist as of September 30, 2011
The Total Plan return equaled or exceeded the 8% actuarial earnings assumption over the trailing three and five year periods.1. ✔
The Total Plan return equaled or exceeded the total plan benchmark over the trailing three and five year periods.2. ✔
The Total Plan return ranked within the top 40th percentile of its peer group over the trailing three and five year periods.3. ✔
Total domestic equity returns meet or exceed the benchmark over the trailing three and five year periods.1. ✔
Total domestic equity returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods.2. ✔
The total equity allocation was less than 70% of the total plan assets at market. ✔3.
Total foreign equity was less than 25% of the total plan assets at market. ✔4.
Total fixed income returns meet or exceed the benchmark over the trailing three and five year periods.1. ✔
Total fixed income returns ranked within the top 40th percentile of its peer group over the trailing three and five year periods.2. ✔
The average quality of the fixed portfolio was A or better. ✔3.
No more than 15% of the fixed income portfolio was rated below BBB/Baa. ✔4.
85% of all non government fixed income securities shall hold a rating in one of the four highest classifications of a major rating service. ✔5.
Only 3 years used when 5 years is unavailable. Some managers do not have 3 years worth of history and are marked "N/A"
Manager outperformed the index over the trailing three and five year periods. ✔
Manager ranked within the top 40th percentile over trailing three and five year periods. ✔
Less than 4 consecutive quarters of under-performance relative to the benchmark. ✔
Three and five year down market capture ratio less than 100% ✔
Manager reports compliance with PFIA. ✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
Cornerstone Westwood
1.
2.
3.
4.
5.
Bowen, H. Sawgrass Baring
Page 13
15. Yes No N/A Yes No N/A Yes No N/A Yes No N/A Yes No N/A
Manager Compliance:
Lakeland Police Officers' Retirement System
Compliance Checklist as of September 30, 2011
Manager outperformed the index over the trailing three and five year periods. ✔
Manager ranked within the top 40th percentile over trailing three and five year periods. ✔
Less than four consecutive quarters of under performance relative to the benchmark. ✔
Three and five year down market capture ratio less than 100% ✔
Manager reports compliance with PFIA. ✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
✔
IVA Galliard FI
1.
2.
3.
4.
5.
Galliard Tips American R Intercont.
Page 14
16. Asset Allocation By Style - Current QuarterAsset Allocation By Style as of Jun - 2011
September 30, 2011 : $78,273,081
Segments
Market Value
($)
Allocation
(%)
¢ Domestic Equity 34,620,166 44.2
¢ International Equity 11,793,052 15.1
¢ Domestic Fixed Income 21,151,344 27.0
¢ Global Fixed Income 3,939,864 5.0
¢ Real Estate 3,284,543 4.2
¢ Cash Equivalent 3,484,112 4.5
June 30, 2011 : $86,378,543
Segments
Market Value
($)
Allocation
(%)
¢ Domestic Equity 40,857,919 47.3
¢ International Equity 13,449,083 15.6
¢ Domestic Fixed Income 21,281,549 24.6
¢ Global Fixed Income 4,275,851 5.0
¢ Real Estate 3,224,071 3.7
¢ Cash Equivalent 3,290,070 3.8
Lakeland Police Officers' Retirement System
September 30, 2011
Page 15
17. Allocation Differences
0.0% 2.0% 4.0% 6.0% 8.0% 10.0%-2.0 %-4.0 %-6.0 %-8.0 %-10.0 %
Mutual Fund Cash
Receipt & Disbursement
Intercontinental Real Estate
American Realty
Templeton Global Return
Galliard TIPS
Galliard Fixed Income
IVA International
Baring International
Sawgrass Large Growth
Bowen Hanes Large Core
Westwood All Cap Value
Cornerstone Large Value
0.0%
0.8%
0.5%
-1.3 %
0.0%
-3.4 %
2.7%
-0.3 %
0.4%
0.7%
-0.5 %
0.1%
0.3%
Market Value
($)
Allocation
(%)
Target
(%)
Cornerstone Large Value 7,046,819 9.00 8.75
Westwood All Cap Value 6,928,021 8.85 8.75
Bowen Hanes Large Core 7,453,887 9.52 10.00
Sawgrass Large Growth 14,278,105 18.24 17.50
Baring International 6,168,131 7.88 7.50
IVA International 5,624,921 7.19 7.50
Galliard Fixed Income 21,647,324 27.66 25.00
Galliard TIPS 1,283,397 1.64 5.00
Templeton Global Return 3,939,864 5.03 5.00
American Realty 973,757 1.24 2.50
Intercontinental Real Estate 2,310,786 2.95 2.50
Receipt & Disbursement 618,068 0.79 0.00
Mutual Fund Cash - - 0.00
Total Fund 78,273,081 100.00 100.00
Lakeland Police Officers' Retirement System
Asset Allocation versus Target Allocation
As of September 30, 2011
None
Page 16
18. Asset Allocation By Manager as of Jun - 2011 Asset Allocation By Manager - Current Quarter
September 30, 2011 : $78,273,081
Market Value
($)
Allocation
(%)
¢ Galliard Fixed Income 21,647,324 27.7
¢ Sawgrass Large Cap Growth 14,278,105 18.2
¢ Bowen Hanes Large Cap Core 7,453,887 9.5
¢ Cornerstone Large Cap Value 7,046,819 9.0
¢ Westwood All Cap Value 6,928,021 8.9
¢ Baring International 6,168,131 7.9
¢ IVA International (IVIQX) 5,624,921 7.2
¢ Templeton Global Return (TTRZX) 3,939,864 5.0
¢ Intercontinental Real Estate 2,310,786 3.0
¢ Galliard TIPS 1,283,397 1.6
¢ American Realty 973,757 1.2
¢ Receipt & Disbursement 618,068 0.8
June 30, 2011 : $86,378,543
Market Value
($)
Allocation
(%)
¢ Galliard Fixed Income 21,411,481 24.8
¢ Sawgrass Large Cap Growth 16,224,050 18.8
¢ Bowen Hanes Large Cap Core 9,176,741 10.6
¢ Cornerstone Large Cap Value 8,027,818 9.3
¢ Westwood All Cap Value 8,669,723 10.0
¢ Baring International 7,272,487 8.4
¢ IVA International (IVIQX) 6,176,596 7.2
¢ Templeton Global Return (TTRZX) 4,275,851 5.0
¢ Intercontinental Real Estate 2,245,380 2.6
¢ Galliard TIPS 1,335,422 1.5
¢ American Realty 978,691 1.1
¢ Receipt & Disbursement 584,302 0.7
Lakeland Police Officers' Retirement System
September 30, 2011
Page 17
19. Sep-2011 Jun-2011 Mar-2011 Dec-2010 Sep-2010
($) % ($) % ($) % ($) % ($) %
Total Fund 78,273,081 100.00 86,378,543 100.00 85,262,758 100.00 82,956,153 100.00 79,609,546 100.00
Total Equity 47,499,885 60.68 55,547,415 64.31 55,773,228 65.41 53,711,229 64.75 50,176,152 63.03
Total Domestic Equity 35,706,833 45.62 42,098,332 48.74 42,627,886 50.00 40,959,086 49.37 38,073,887 47.83
Cornerstone Large Cap Value 7,046,819 9.00 8,027,818 9.29 8,574,620 10.06 8,304,820 10.01 7,754,868 9.74
Westwood All Cap Value 6,928,021 8.85 8,669,723 10.04 8,743,338 10.25 8,143,639 9.82 7,340,083 9.22
Bowen Hanes Large Cap Core 7,453,887 9.52 9,176,741 10.62 9,494,685 11.14 8,953,043 10.79 8,216,888 10.32
Sawgrass Large Cap Growth 14,278,105 18.24 16,224,050 18.78 15,815,244 18.55 15,557,584 18.75 14,762,047 18.54
Total International Equity 11,793,052 15.07 13,449,083 15.57 13,145,342 15.42 12,752,142 15.37 12,102,265 15.20
Baring International 6,168,131 7.88 7,272,487 8.42 7,131,003 8.36 6,936,118 8.36 12,102,265 15.20
IVA International (IVIQX) 5,624,921 7.19 6,176,596 7.15 6,014,339 7.05 5,816,024 7.01 - 0.00
Total Fixed Income 26,870,585 34.33 27,022,755 31.28 26,045,791 30.55 26,029,202 31.38 28,664,266 36.01
Total Domestic Fixed Income 22,930,721 29.30 22,746,904 26.33 25,542,417 29.96 26,029,202 31.38 28,664,266 36.01
Galliard Fixed Income 21,647,324 27.66 21,411,481 24.79 24,168,019 28.35 24,654,954 29.72 27,197,445 34.16
Galliard TIPS 1,283,397 1.64 1,335,422 1.55 1,374,399 1.61 1,374,248 1.66 1,466,821 1.84
Total Global Fixed Income 3,939,864 5.03 4,275,851 4.95 503,373 0.59 - 0.00 - 0.00
Templeton Global Return (TTRZX) 3,939,864 5.03 4,275,851 4.95 503,373 0.59 - 0.00 - 0.00
Total Real Estate 3,284,543 4.20 3,224,071 3.73 3,021,131 3.54 2,429,240 2.93 329,392 0.41
American Realty 973,757 1.24 978,691 1.13 843,432 0.99 338,501 0.41 329,392 0.41
Intercontinental Real Estate 2,310,786 2.95 2,245,380 2.60 2,177,699 2.55 2,090,739 2.52 - 0.00
Cash Accounts
Receipt & Disbursement 618,068 0.79 584,302 0.68 422,603 0.50 786,479 0.95 439,737 0.55
Mutual Fund Cash - 0.00 - 0.00 4 0.00 4 0.00 - 0.00
Lakeland Police Officers' Retirement System
Asset Allocation History by Portfolio
As of September 30, 2011
None
Page 18
20. Market Value
As of
07/01/2011
Net
Transfers
Contributions Distributions Fees Expenses
Return On
Investment
Market Value
As of
09/30/2011
Total Fund 86,378,543 - 1,238,643 -1,864,047 -98,143 -30,978 -7,350,936 78,273,081
Total Equity 55,547,415 -401,890 - - -82,348 - -7,563,293 47,499,885
Total Domestic Equity 42,098,332 -416,751 - - -67,487 - -5,907,262 35,706,833
Cornerstone Large Cap Value 8,027,818 -89,963 - - -15,052 - -875,983 7,046,819
Westwood All Cap Value 8,669,723 -74,893 - - -18,420 - -1,648,389 6,928,021
Bowen Hanes Large Cap Core 9,176,741 -71,970 - - -11,460 - -1,639,424 7,453,887
Sawgrass Large Cap Growth 16,224,050 -179,925 - - -22,554 - -1,743,466 14,278,105
Total International Equity 13,449,083 14,861 - - -14,861 - -1,656,031 11,793,052
Baring International 7,272,487 14,861 - - -14,861 - -1,104,356 6,168,131
IVA International (IVIQX) 6,176,596 - - - - - -551,675 5,624,921
Total Fixed Income 27,022,755 -287,880 - - -13,877 - 149,588 26,870,585
Total Domestic Fixed Income 22,746,904 -287,880 - - -13,877 - 485,575 22,930,721
Galliard Fixed Income 21,411,481 -215,910 - - -13,877 - 465,630 21,647,324
Galliard TIPS 1,335,422 -71,970 - - - - 19,945 1,283,397
Total Global Fixed Income 4,275,851 - - - - - -335,987 3,939,864
Templeton Global Return (TTRZX) 4,275,851 - - - - - -335,987 3,939,864
Total Real Estate 3,224,071 - - - -1,918 -374 62,764 3,284,543
American Realty 978,691 - - - 3,755 -374 -8,315 973,757
Intercontinental Real Estate 2,245,380 - - - -5,673 - 71,079 2,310,786
Cash Accounts
Receipt & Disbursement 584,302 689,770 1,238,643 -1,864,047 - -30,604 5 618,068
Mutual Fund Cash - - - - - - - -
Lakeland Police Officers' Retirement System
Financial Reconciliation Quarter to Date
1 Quarter Ending September 30, 2011
None
Page 19
21. Market Value
As of
10/01/2010
Net
Transfers
Contributions Distributions Fees Expenses
Return On
Investment
Market Value
As of
09/30/2011
Total Fund 79,609,546 - 5,105,897 -7,607,291 -436,773 -134,172 1,735,874 78,273,081
Total Equity 50,176,152 -2,931,558 - -29,875 -348,253 - 633,419 47,499,885
Total Domestic Equity 38,073,887 -3,018,961 - -29,875 -260,851 - 942,632 35,706,833
Cornerstone Large Cap Value 7,754,868 -871,577 - - -61,241 - 224,769 7,046,819
Westwood All Cap Value 7,340,083 -275,169 - -29,875 -69,894 - -37,124 6,928,021
Bowen Hanes Large Cap Core 8,216,888 -515,061 - - -44,761 - -203,180 7,453,887
Sawgrass Large Cap Growth 14,762,047 -1,357,154 - - -84,955 - 958,167 14,278,105
Total International Equity 12,102,265 87,403 - - -87,403 - -309,213 11,793,052
Baring International 12,102,265 -5,412,597 - - -87,403 - -434,134 6,168,131
IVA International (IVIQX) - 5,500,000 - - - - 124,921 5,624,921
Total Fixed Income 28,664,266 -2,421,206 - - -62,951 - 690,477 26,870,585
Total Domestic Fixed Income 28,664,266 -6,621,210 - - -62,951 - 950,616 22,930,721
Galliard Fixed Income 27,197,445 -6,347,949 - - -61,885 - 859,714 21,647,324
Galliard TIPS 1,466,821 -273,261 - - -1,066 - 90,903 1,283,397
Total Global Fixed Income - 4,200,004 - - - - -260,140 3,939,864
Templeton Global Return (TTRZX) - 4,200,004 - - - - -260,140 3,939,864
Total Real Estate 329,392 2,570,165 - - -25,568 -1,399 411,954 3,284,543
American Realty 329,392 570,165 - - -3,392 -1,399 78,992 973,757
Intercontinental Real Estate - 2,000,000 - - -22,176 - 332,962 2,310,786
Cash Accounts
Receipt & Disbursement 439,737 2,782,603 5,105,897 -7,577,416 - -132,773 20 618,068
Mutual Fund Cash - -4 - - - - 4 -
Lakeland Police Officers' Retirement System
Financial Reconciliation Fiscal Year to Date
October 1, 2010 To September 30, 2011
None
Page 20
22. 1
Quarter
Oct-2010
To
Sep-2011
1
Year
3
Years
5
Years
Since
Inception
Inception
Date
Total Fund (Net) -8.70 1.46 1.46 3.23 1.78 3.66 04/01/2004
Total Fund Policy -9.04 1.51 1.51 4.18 2.20 3.99
Difference 0.34 -0.05 -0.05 -0.95 -0.42 -0.33
Total Fund (Gross) -8.59 (22) 1.99 (19) 1.99 (19) 3.60 (59) 2.03 (51) 3.83 (54) 04/01/2004
Total Fund Policy -9.04 (30) 1.51 (25) 1.51 (25) 4.18 (40) 2.20 (42) 3.99 (48)
Difference 0.45 0.48 0.48 -0.58 -0.17 -0.16
All Public Plans-Total Fund Median -10.23 0.34 0.34 3.87 2.03 3.97
Total Equity -13.69 0.60 0.60 0.27 N/A -6.18 01/01/2008
Total Equity Policy -16.41 -2.27 -2.27 0.81 -1.41 -5.28
Difference 2.72 2.87 2.87 -0.54 N/A -0.90
Total Fixed Income 0.54 2.59 2.59 6.63 6.18 4.95 04/01/2004
Total Fixed Income Policy 2.30 4.22 4.22 6.98 6.14 4.79
Difference -1.76 -1.63 -1.63 -0.35 0.04 0.16
Total Real Estate 1.95 15.54 15.54 N/A N/A 15.54 10/01/2010
NCREIF ODCE 3.58 18.34 18.34 -6.38 0.02 18.34
Difference -1.63 -2.80 -2.80 N/A N/A -2.80
Lakeland Police Officers' Retirement System
Comparative Performance Trailing Returns
As of September 30, 2011
None
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 21
23. Lakeland Police Officers' Retirement System
Comparative Performance Trailing Returns
As of September 30, 2011
None
1
Quarter
Oct-2010
To
Sep-2011
1
Year
3
Years
5
Years
Since
Inception
Inception
Date
Total Domestic Equity -14.12 1.58 1.58 0.04 -1.50 1.71 04/01/2004
Total Domestic Equity Policy -15.28 0.55 0.55 1.45 -0.92 2.56
Difference 1.16 1.03 1.03 -1.41 -0.58 -0.85
Cornerstone Large Cap Value -11.00 (9) 1.82 (18) 1.82 (18) N/A N/A 17.02 (43) 04/01/2009
Russell 1000 Value Index -16.20 (48) -1.89 (57) -1.89 (57) -1.52 (78) -3.53 (85) 16.80 (46)
Difference 5.20 3.71 3.71 N/A N/A 0.22
IM U.S. Large Cap Value Equity (SA+CF) -16.42 -1.50 -1.50 0.44 -1.50 16.50
Westwood All Cap Value -19.13 (80) -1.17 (43) -1.17 (43) N/A N/A 10.20 (71) 07/01/2009
Russell 3000 Value Index -16.63 (47) -2.22 (62) -2.22 (62) -1.62 (94) -3.50 (94) 11.04 (57)
Difference -2.50 1.05 1.05 N/A N/A -0.84
IM U.S. All Cap Value Equity (SA+CF) -16.98 -1.44 -1.44 1.58 -0.20 11.41
Bowen Hanes Large Cap Core -17.96 (89) -3.51 (89) -3.51 (89) 0.94 (63) N/A -2.84 (76) 04/01/2008
Russell 3000 Policy -15.28 (59) 0.55 (56) 0.55 (56) 1.32 (56) N/A -2.14 (62)
Difference -2.68 -4.06 -4.06 -0.38 N/A -0.70
IM U.S. Large Cap Core Equity (SA+CF) -14.94 0.96 0.96 1.51 -0.52 -1.64
Sawgrass Large Cap Growth -10.81 (10) 5.95 (13) 5.95 (13) 2.15 (60) N/A -0.68 (52) 04/01/2008
Russell 1000 Growth Index -13.14 (26) 3.78 (25) 3.78 (25) 4.69 (26) 1.62 (39) 0.53 (29)
Difference 2.33 2.17 2.17 -2.54 N/A -1.21
IM U.S. Large Cap Growth Equity (SA+CF) -14.62 1.03 1.03 2.96 0.95 -0.57
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 22
24. Lakeland Police Officers' Retirement System
Comparative Performance Trailing Returns
As of September 30, 2011
None
1
Quarter
Oct-2010
To
Sep-2011
1
Year
3
Years
5
Years
Since
Inception
Inception
Date
Total International Equity -12.31 -2.55 -2.55 1.06 -0.53 5.39 04/01/2004
Total International Equity Policy -19.78 -10.42 -10.42 -0.37 -2.83 3.69
Difference 7.47 7.87 7.87 1.43 2.30 1.70
Baring International -15.19 (7) -6.58 (24) -6.58 (24) N/A N/A 16.29 (45) 04/01/2009
MSCI AC World ex USA -19.78 (43) -10.42 (70) -10.42 (70) 0.98 (52) -1.12 (52) 17.05 (37)
Difference 4.59 3.84 3.84 N/A N/A -0.76
IM International Large Cap Growth Equity (SA+CF) -20.11 -9.00 -9.00 1.10 -1.10 15.82
IVA International (IVIQX) -8.93 (1) N/A N/A N/A N/A 0.35 (1) 11/01/2010
MSCI AC World ex USA -19.78 (28) -10.42 (46) -10.42 (46) 0.98 (18) -1.12 (6) -13.38 (40)
Difference 10.85 N/A N/A N/A N/A 13.73
IM International Multi-Cap Value Equity (MF) -20.99 -10.77 -10.77 -2.21 -5.02 -14.31
Total Domestic Fixed Income 2.14 4.27 4.27 7.04 6.34 5.06 04/01/2004
Fixed Income Policy 2.30 4.22 4.22 6.98 6.14 4.79
Difference -0.16 0.05 0.05 0.06 0.20 0.27
Galliard Fixed Income 2.18 (37) 4.13 (28) 4.13 (28) 7.13 (78) N/A 5.99 (54) 04/01/2008
Barclays Capital Intermediate Aggregate 2.30 (33) 4.22 (20) 4.22 (20) 7.12 (79) 6.16 (63) 5.74 (63)
Difference -0.12 -0.09 -0.09 0.01 N/A 0.25
IM U.S. Intermediate Duration (SA+CF) 2.01 3.59 3.59 7.84 6.40 6.05
Galliard TIPS 1.46 (94) 6.78 (94) 6.78 (94) 5.83 (96) N/A 4.18 (96) 04/01/2008
Barclays Capital U.S. Treasury: U.S. TIPS 4.51 (65) 9.87 (36) 9.87 (36) 8.13 (67) 7.10 (68) 5.75 (69)
Difference -3.05 -3.09 -3.09 -2.30 N/A -1.57
IM U.S. TIPS (SA+CF) 4.73 9.78 9.78 8.42 7.24 5.92
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 23
25. Lakeland Police Officers' Retirement System
Comparative Performance Trailing Returns
As of September 30, 2011
None
1
Quarter
Oct-2010
To
Sep-2011
1
Year
3
Years
5
Years
Since
Inception
Inception
Date
Total Global Fixed Income -7.86 N/A N/A N/A N/A -5.73 04/01/2011
Barclays Capital Global Aggregate 0.97 4.00 4.00 7.78 6.85 4.10
Difference -8.83 N/A N/A N/A N/A -9.83
Templeton Global Return (TTRZX) -7.86 (98) N/A N/A N/A N/A -5.73 (94) 04/01/2011
Barclays Capital Global Aggregate 0.97 (32) 4.00 (11) 4.00 (11) 7.78 (42) 6.85 (25) 4.10 (22)
Difference -8.83 N/A N/A N/A N/A -9.83
IM Global Fixed Income (MF) -1.44 1.44 1.44 7.38 5.78 1.30
Total Real Estate 1.95 15.54 15.54 N/A N/A 15.54 10/01/2010
NCREIF ODCE 3.58 18.34 18.34 -6.38 0.02 18.34
Difference -1.63 -2.80 -2.80 N/A N/A -2.80
American Realty -0.85 (100) 14.50 (93) 14.50 (93) N/A N/A 14.50 (93) 10/01/2010
NCREIF ODCE 3.58 (34) 18.34 (50) 18.34 (50) -6.38 (45) 0.02 (45) 18.34 (50)
Difference -4.43 -3.84 -3.84 N/A N/A -3.84
IM U.S. Open End Private Real Estate (SA+CF) 3.39 18.32 18.32 -8.53 -1.10 18.32
Intercontinental Real Estate 3.17 (59) 16.72 (77) 16.72 (77) N/A N/A 16.72 (77) 10/01/2010
NCREIF ODCE 3.58 (34) 18.34 (50) 18.34 (50) -6.38 (45) 0.02 (45) 18.34 (50)
Difference -0.41 -1.62 -1.62 N/A N/A -1.62
IM U.S. Open End Private Real Estate (SA+CF) 3.39 18.32 18.32 -8.53 -1.10 18.32
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 24
26. Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
Oct-2005
To
Sep-2006
Total Fund (Net) 1.46 9.66 -1.14 -14.56 16.20 9.45
Total Fund Policy 1.51 9.43 1.78 -12.68 12.92 8.49
Difference -0.05 0.23 -2.92 -1.88 3.28 0.96
Total Fund (Gross) 1.99 (19) 10.19 (46) -1.05 (74) -14.43 (62) 16.20 (18) 9.45 (34)
Total Fund Policy 1.51 (25) 9.43 (67) 1.78 (44) -12.68 (39) 12.92 (76) 8.49 (53)
Difference 0.48 0.76 -2.83 -1.75 3.28 0.96
All Public Plans-Total Fund Median 0.34 9.99 1.29 -13.67 14.39 8.59
Total Equity 0.60 11.73 -10.32 N/A N/A N/A
Total Equity Policy -2.27 10.07 -4.77 -22.82 17.84 11.62
Difference 2.87 1.66 -5.55 N/A N/A N/A
Total Fixed Income 2.59 7.74 9.69 5.51 5.50 3.78
Total Fixed Income Policy 4.22 7.52 9.25 4.33 5.47 3.58
Difference -1.63 0.22 0.44 1.18 0.03 0.20
Total Real Estate 15.54 N/A N/A N/A N/A N/A
NCREIF ODCE 18.34 6.97 -35.19 3.19 18.21 17.46
Difference -2.80 N/A N/A N/A N/A N/A
Lakeland Police Officers' Retirement System
Comparative Performance Fiscal Year Returns
As of September 30, 2011
None
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 25
27. Lakeland Police Officers' Retirement System
Comparative Performance Fiscal Year Returns
As of September 30, 2011
None
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
Oct-2005
To
Sep-2006
Total Domestic Equity 1.58 11.75 -11.81 -22.43 19.41 10.83
Total Domestic Equity Policy 0.55 10.96 -6.42 -21.52 16.52 10.22
Difference 1.03 0.79 -5.39 -0.91 2.89 0.61
Cornerstone Large Cap Value 1.82 (18) 7.17 (73) N/A N/A N/A N/A
Russell 1000 Value Index -1.89 (57) 8.90 (54) -10.62 (83) -23.56 (71) 14.45 (69) 14.62 (25)
Difference 3.71 -1.73 N/A N/A N/A N/A
IM U.S. Large Cap Value Equity (SA+CF) -1.50 9.12 -5.87 -20.90 16.35 12.65
Westwood All Cap Value -1.17 (43) 9.59 (68) N/A N/A N/A N/A
Russell 3000 Value Index -2.22 (62) 9.15 (70) -10.79 (94) -22.70 (78) 13.73 (76) 14.55 (18)
Difference 1.05 0.44 N/A N/A N/A N/A
IM U.S. All Cap Value Equity (SA+CF) -1.44 10.74 -3.68 -19.98 16.80 10.47
Bowen Hanes Large Cap Core -3.51 (89) 13.42 (11) -6.03 (52) N/A N/A N/A
Russell 3000 Policy 0.55 (56) 11.11 (30) -6.91 (62) N/A N/A N/A
Difference -4.06 2.31 0.88 N/A N/A N/A
IM U.S. Large Cap Core Equity (SA+CF) 0.96 9.51 -5.88 -20.48 16.98 10.76
Sawgrass Large Cap Growth 5.95 (13) 14.36 (22) -12.03 (95) N/A N/A N/A
Russell 1000 Growth Index 3.78 (25) 12.65 (35) -1.85 (37) -20.88 (52) 19.35 (57) 6.04 (57)
Difference 2.17 1.71 -10.18 N/A N/A N/A
IM U.S. Large Cap Growth Equity (SA+CF) 1.03 11.25 -3.03 -20.55 20.19 6.77
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 26
28. Lakeland Police Officers' Retirement System
Comparative Performance Fiscal Year Returns
As of September 30, 2011
None
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
Oct-2005
To
Sep-2006
Total International Equity -2.55 9.62 -3.39 -26.08 27.63 20.05
Total International Equity Policy -10.42 6.37 3.80 -30.13 25.38 19.65
Difference 7.87 3.25 -7.19 4.05 2.25 0.40
Baring International -6.58 (24) 9.62 (48) N/A N/A N/A N/A
MSCI AC World ex USA -10.42 (70) 8.00 (56) 6.43 (33) -29.97 (54) 31.06 (47) 19.36 (42)
Difference 3.84 1.62 N/A N/A N/A N/A
IM International Large Cap Growth Equity (SA+CF) -9.00 9.26 3.24 -29.35 30.50 18.65
IVA International (IVIQX) N/A N/A N/A N/A N/A N/A
MSCI AC World ex USA -10.42 (46) 8.00 (16) 6.43 (30) -29.97 (25) 31.06 (2) 19.36 (35)
Difference N/A N/A N/A N/A N/A N/A
IM International Multi-Cap Value Equity (MF) -10.77 2.95 3.07 -32.49 22.50 18.34
Total Domestic Fixed Income 4.27 7.74 9.18 5.08 5.50 3.78
Fixed Income Policy 4.22 7.52 9.25 4.33 5.47 3.58
Difference 0.05 0.22 -0.07 0.75 0.03 0.20
Galliard Fixed Income 4.13 (28) 7.79 (70) 9.54 (83) N/A N/A N/A
Barclays Capital Intermediate Aggregate 4.22 (20) 7.52 (79) 9.69 (82) 4.16 (34) 5.33 (69) 3.84 (59)
Difference -0.09 0.27 -0.15 N/A N/A N/A
IM U.S. Intermediate Duration (SA+CF) 3.59 8.27 11.53 3.21 5.49 3.91
Galliard TIPS 6.78 (94) 6.87 (96) 3.86 (90) N/A N/A N/A
Barclays Capital U.S. Treasury: U.S. TIPS 9.87 (36) 8.89 (78) 5.67 (66) 6.20 (63) 4.97 (65) 1.91 (85)
Difference -3.09 -2.02 -1.81 N/A N/A N/A
IM U.S. TIPS (SA+CF) 9.78 9.35 6.18 6.35 5.11 2.14
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 27
29. Lakeland Police Officers' Retirement System
Comparative Performance Fiscal Year Returns
As of September 30, 2011
None
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
Oct-2005
To
Sep-2006
Total Global Fixed Income N/A N/A N/A N/A N/A N/A
Barclays Capital Global Aggregate 4.00 6.06 13.51 2.80 8.20 3.22
Difference N/A N/A N/A N/A N/A N/A
Templeton Global Return (TTRZX) N/A N/A N/A N/A N/A N/A
Barclays Capital Global Aggregate 4.00 (11) 6.06 (88) 13.51 (48) 2.80 (19) 8.20 (45) 3.22 (28)
Difference N/A N/A N/A N/A N/A N/A
IM Global Fixed Income (MF) 1.44 8.00 13.40 -1.41 7.59 2.53
Total Real Estate 15.54 N/A N/A N/A N/A N/A
NCREIF ODCE 18.34 6.97 -35.19 3.19 18.21 17.46
Difference -2.80 N/A N/A N/A N/A N/A
American Realty 14.50 (93) N/A N/A N/A N/A N/A
NCREIF ODCE 18.34 (50) 6.97 (47) -35.19 (53) 3.19 (52) 18.21 (56) 17.46 (55)
Difference -3.84 N/A N/A N/A N/A N/A
IM U.S. Open End Private Real Estate (SA+CF) 18.32 6.60 -33.44 3.47 18.53 18.08
Intercontinental Real Estate 16.72 (77) N/A N/A N/A N/A N/A
NCREIF ODCE 18.34 (50) 6.97 (47) -35.19 (53) 3.19 (52) 18.21 (56) 17.46 (55)
Difference -1.62 N/A N/A N/A N/A N/A
IM U.S. Open End Private Real Estate (SA+CF) 18.32 6.60 -33.44 3.47 18.53 18.08
Returns for periods greater than one year are annualized.
Current Total Fund Policy= 45% Russell 3000, 15% MSCI ACWI ex US, 30% Barclays Intermediate Aggregate, 5% Barclays US TIPs, 5% NCREIF ODCE.
Current Total Equity Policy= 75% Russell 3000, & 25% MSCI ACWI ex US. Current Bowen Policy= 100% Russell 3000.
Page 28
30. Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund
Comparative Performance
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Total Fund (Gross) 1.99 (19) 10.19 (46) -1.05 (74) -14.43 (62) 16.20 (18)
Å Total Fund Policy 1.51 (25) 9.43 (67) 1.78 (44) -12.68 (39) 12.92 (76)
Median 0.34 9.99 1.29 -13.67 14.39
-20.00
-18.00
-16.00
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Fund (Gross) -8.59 (22) 1.99 (19) 1.99 (19) 6.01 (24) 3.60 (59) -1.23 (66) 2.03 (51)
Å Total Fund Policy -9.04 (30) 1.51 (25) 1.51 (25) 5.40 (40) 4.18 (40) -0.32 (35) 2.20 (42)
Median -10.23 0.34 0.34 5.04 3.87 -0.78 2.03
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Fund (Gross) 2.10 (4) 4.02 (53) 5.05 (87) 8.09 (73) -5.44 (36) 3.45 (75)
Total Fund Policy 1.16 (43) 3.83 (63) 6.25 (49) 8.59 (55) -5.82 (50) 3.66 (63)
All Public Plans-Total Fund Median 1.09 4.08 6.21 8.76 -5.82 3.82
Lakeland Police Officers' Retirement System
Total Fund (Gross)
September 30, 2011
Page 29
31. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statsistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Total Fund (Gross) 19 0 (0%) 6 (32%) 10 (53%) 3 (16%)
Å Total Fund Policy 20 0 (0%) 9 (45%) 11 (55%) 0 (0%)
Over Performance Under Performance Dec-2006 Sep-2011
-10.0
-5.0
0.0
5.0
10.0
15.0
TotalFund(Gross)(%)
-9.0 -6.0 -3.0 0.0 3.0 6.0 9.0 12.0 15.0
Total Fund Policy (%)
Over
Performance
Under
Performance
-3.00
0.00
3.00
6.00
Return(%)
0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Fund (Gross) 3.60 12.37
Å Total Fund Policy 4.18 13.77
¾ Median 3.87 13.44
2.00
2.08
2.16
2.24
Return(%)
12.0 12.2 12.4 12.6 12.8 13.0 13.2 13.4
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Fund (Gross) 2.0 12.3
Å Total Fund Policy 2.2 12.9
¾ Median 2.0 13.2
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Fund (Gross) 2.61 87.88 88.60 -0.15 -0.28 0.33 0.89 9.35
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.35 1.00 10.01
90 Day U.S. Treasury Bill 13.81 0.41 -0.71 0.22 -0.35 N/A 0.00 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Fund (Gross) 2.73 97.18 98.77 -0.02 -0.09 0.09 0.93 8.83
Total Fund Policy 0.00 100.00 100.00 0.00 N/A 0.10 1.00 8.74
90 Day U.S. Treasury Bill 12.95 8.68 -6.74 1.72 -0.10 N/A 0.00 0.00
Lakeland Police Officers' Retirement System
Total Fund (Gross)
September 30, 2011
Page 30
32. Peer Group Analysis - IM U.S. All Cap Equity (SA+CF)
Comparative Performance
-40.00
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Total Domestic Equity 1.58 (31) 11.75 (40) -11.81 (93) -22.43 (68) 19.41 (50)
Å Total Domestic Equity Policy 0.55 (47) 10.96 (50) -6.42 (65) -21.52 (61) 16.52 (69)
Median -0.30 10.96 -3.89 -20.87 19.12
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Domestic Equity -14.12 (21) 1.58 (31) 1.58 (31) 6.54 (34) 0.04 (80) -6.12 (83) -1.50 (80)
Å Total Domestic Equity Policy -15.28 (36) 0.55 (47) 0.55 (47) 5.63 (46) 1.45 (66) -4.86 (65) -0.92 (71)
Median -16.24 -0.30 -0.30 5.27 2.32 -3.99 0.69
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Domestic Equity 1.87 (15) 6.32 (62) 9.22 (89) 11.03 (59) -10.27 (36) 5.55 (65)
Total Domestic Equity Policy -0.03 (53) 6.38 (57) 11.59 (55) 11.53 (45) -11.32 (59) 5.94 (51)
IM U.S. All Cap Equity (SA+CF) 0.00 6.85 11.92 11.37 -11.18 5.96
Lakeland Police Officers' Retirement System
Total Domestic Equity
September 30, 2011
Page 31
33. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Total Domestic Equity 19 0 (0%) 0 (0%) 8 (42%) 11 (58%)
Å Total Domestic Equity Policy 19 0 (0%) 0 (0%) 16 (84%) 3 (16%)
Over Performance Under Performance Dec-2006 Sep-2011
-20.0
-10.0
0.0
10.0
20.0
TotalDomesticEquity(%)
-20.0 -16.0 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0
Total Domestic Equity Policy (%)
Over
Performance
Under
Performance
-6.00
0.00
6.00
12.00
Return(%)
12.00 15.00 18.00 21.00 24.00 27.00 30.00 33.00 36.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Domestic Equity 0.04 23.88
Å Total Domestic Equity Policy 1.45 25.22
¾ Median 2.32 25.77
-5.00
0.00
5.00
Return(%)
12.00 14.00 16.00 18.00 20.00 22.00 24.00 26.00 28.00 30.00 32.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Domestic Equity -1.50 20.14
Å Total Domestic Equity Policy -0.92 20.93
¾ Median 0.69 22.22
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Domestic Equity 3.30 88.49 92.47 -1.37 -0.49 0.10 0.94 16.18
Total Domestic Equity Policy 0.00 100.00 100.00 0.00 N/A 0.17 1.00 16.33
90 Day U.S. Treasury Bill 21.87 0.27 -0.41 0.22 -0.17 N/A 0.00 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Domestic Equity 6.95 81.22 83.10 -0.57 -0.09 -0.08 0.91 14.53
Total Domestic Equity Policy 0.00 100.00 100.00 0.00 N/A -0.04 1.00 14.44
90 Day U.S. Treasury Bill 18.92 3.60 -2.91 1.72 0.04 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Total Domestic Equity
September 30, 2011
Page 32
34. Peer Group Analysis - IM U.S. Large Cap Value Equity (SA+CF)
Comparative Performance
-40.00
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Cornerstone Large Cap Value 1.82 (18) 7.17 (73) N/A N/A N/A
Å Russell 1000 Value Index -1.89 (57) 8.90 (54) -10.62 (83) -23.56 (71) 14.45 (69)
Median -1.50 9.12 -5.87 -20.90 16.35
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Cornerstone Large Cap Value -11.00 (9) 1.82 (18) 1.82 (18) 4.46 (40) N/A N/A N/A
Å Russell 1000 Value Index -16.20 (48) -1.89 (57) -1.89 (57) 3.36 (52) -1.52 (78) -7.57 (81) -3.53 (85)
Median -16.42 -1.50 -1.50 3.41 0.44 -5.64 -1.50
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Cornerstone Large Cap Value 0.75 (26) 4.31 (89) 8.85 (83) 10.85 (47) -10.93 (35) 5.42 (65)
Russell 1000 Value Index -0.50 (61) 6.46 (48) 10.54 (49) 10.13 (65) -11.15 (40) 6.78 (29)
IM U.S. Large Cap Value Equity (SA+CF) -0.22 6.36 10.48 10.76 -11.64 5.94
Lakeland Police Officers' Retirement System
Cornerstone Large Cap Value
September 30, 2011
Page 33
35. Peer Group Analysis - IM U.S. All Cap Value Equity (SA+CF)
Comparative Performance
-40.00
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Westwood All Cap Value -1.17 (43) 9.59 (68) N/A N/A N/A
Å Russell 3000 Value Index -2.22 (62) 9.15 (70) -10.79 (94) -22.70 (78) 13.73 (76)
Median -1.44 10.74 -3.68 -19.98 16.80
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Westwood All Cap Value -19.13 (80) -1.17 (43) -1.17 (43) 4.07 (57) N/A N/A N/A
Å Russell 3000 Value Index -16.63 (47) -2.22 (62) -2.22 (62) 3.31 (65) -1.62 (94) -7.38 (90) -3.50 (94)
Median -16.98 -1.44 -1.44 4.36 1.58 -3.99 -0.20
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Westwood All Cap Value 0.24 (31) 8.26 (21) 12.62 (33) 13.12 (14) -12.19 (82) 5.69 (73)
Russell 3000 Value Index -0.68 (65) 6.47 (48) 10.92 (59) 10.10 (69) -11.09 (61) 7.05 (43)
IM U.S. All Cap Value Equity (SA+CF) -0.18 6.37 11.40 10.83 -10.60 6.52
Lakeland Police Officers' Retirement System
Westwood All Cap Value
September 30, 2011
Page 34
36. Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF)
Comparative Performance
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Bowen Hanes Large Cap Core -3.51 (89) 13.42 (11) -6.03 (52) N/A N/A
Å Russell 3000 Policy 0.55 (56) 11.11 (30) -6.91 (62) N/A N/A
Median 0.96 9.51 -5.88 -20.48 16.98
-24.00
-22.00
-20.00
-18.00
-16.00
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Bowen Hanes Large Cap Core -17.96 (89) -3.51 (89) -3.51 (89) 4.61 (58) 0.94 (63) N/A N/A
Å Russell 3000 Policy -15.28 (59) 0.55 (56) 0.55 (56) 5.70 (37) 1.32 (56) N/A N/A
Median -14.94 0.96 0.96 5.01 1.51 -4.31 -0.52
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Bowen Hanes Large Cap Core -0.35 (75) 7.04 (34) 10.28 (70) 11.45 (36) -11.18 (40) 6.57 (13)
Russell 3000 Policy -0.03 (65) 6.38 (47) 11.59 (29) 11.53 (34) -11.32 (46) 5.94 (25)
IM U.S. Large Cap Core Equity (SA+CF) 0.47 6.30 10.89 11.03 -11.45 5.25
Lakeland Police Officers' Retirement System
Bowen Hanes Large Cap Core
September 30, 2011
Page 35
37. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Bowen Hanes Large Cap Core 3 0 (0%) 1 (33%) 2 (67%) 0 (0%)
Å Russell 3000 Policy 3 0 (0%) 1 (33%) 2 (67%) 0 (0%)
Under Performance Dec-2006 Sep-2011
1.0
2.0
3.0
4.0
BowenHanesLargeCapCore(%)
0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5
Russell 3000 Policy (%)
Over
Performance
Under
Performance
-5.00
0.00
5.00
Return(%)
8.00 10.00 12.00 14.00 16.00 18.00 20.00 22.00 24.00 26.00 28.00 30.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Bowen Hanes Large Cap Core 0.94 26.95
Å Russell 3000 Policy 1.32 24.67
¾ Median 1.51 23.91
-6.00
-3.00
0.00
3.00
Return(%)
6.00 8.00 10.00 12.00 14.00 16.00 18.00 20.00 22.00 24.00 26.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Bowen Hanes Large Cap Core N/A N/A
Å Russell 3000 Policy N/A N/A
¾ Median -0.52 20.19
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Bowen Hanes Large Cap Core 6.07 103.03 103.83 -0.15 -0.02 0.15 1.01 16.94
Russell 3000 Policy 0.00 100.00 100.00 0.00 N/A 0.16 1.00 15.90
90 Day U.S. Treasury Bill 21.34 0.28 -0.42 0.22 -0.16 N/A 0.00 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Bowen Hanes Large Cap Core N/A N/A N/A N/A N/A N/A N/A N/A
Russell 3000 Policy N/A N/A N/A N/A N/A N/A N/A N/A
90 Day U.S. Treasury Bill N/A N/A N/A N/A N/A N/A N/A N/A
Lakeland Police Officers' Retirement System
Bowen Hanes Large Cap Core
September 30, 2011
Page 36
38. Peer Group Analysis - IM U.S. Large Cap Growth Equity (SA+CF)
Comparative Performance
-40.00
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Sawgrass Large Cap Growth 5.95 (13) 14.36 (22) -12.03 (95) N/A N/A
Å Russell 1000 Growth Index 3.78 (25) 12.65 (35) -1.85 (37) -20.88 (52) 19.35 (57)
Median 1.03 11.25 -3.03 -20.55 20.19
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Sawgrass Large Cap Growth -10.81 (10) 5.95 (13) 5.95 (13) 10.07 (12) 2.15 (60) N/A N/A
Å Russell 1000 Growth Index -13.14 (26) 3.78 (25) 3.78 (25) 8.12 (24) 4.69 (26) -2.39 (32) 1.62 (39)
Median -14.62 1.03 1.03 5.95 2.96 -3.33 0.95
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Sawgrass Large Cap Growth 4.65 (2) 5.95 (48) 7.13 (97) 9.91 (90) -8.46 (8) 4.96 (45)
Russell 1000 Growth Index 0.76 (46) 6.03 (46) 11.83 (49) 13.00 (38) -11.75 (53) 4.65 (52)
IM U.S. Large Cap Growth Equity (SA+CF) 0.59 5.83 11.77 12.27 -11.63 4.71
Lakeland Police Officers' Retirement System
Sawgrass Large Cap Growth
September 30, 2011
Page 37
39. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Sawgrass Large Cap Growth 3 0 (0%) 0 (0%) 2 (67%) 1 (33%)
Å Russell 1000 Growth Index 20 0 (0%) 8 (40%) 11 (55%) 1 (5%)
Under Performance Dec-2006 Sep-2011
2.0
3.0
4.0
5.0
SawgrassLargeCapGrowth(%)
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
Russell 1000 Growth Index (%)
Over
Performance
Under
Performance
-5.00
0.00
5.00
10.00
Return(%)
10.00 12.00 14.00 16.00 18.00 20.00 22.00 24.00 26.00 28.00 30.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Sawgrass Large Cap Growth 2.15 20.17
Å Russell 1000 Growth Index 4.69 23.78
¾ Median 2.96 24.10
-4.00
0.00
4.00
Return(%)
8.00 10.00 12.00 14.00 16.00 18.00 20.00 22.00 24.00 26.00 28.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Sawgrass Large Cap Growth N/A N/A
Å Russell 1000 Growth Index 1.62 20.40
¾ Median 0.95 21.02
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Sawgrass Large Cap Growth 6.49 70.15 74.80 -1.68 -0.50 0.20 0.77 12.54
Russell 1000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.32 1.00 14.95
90 Day U.S. Treasury Bill 20.65 0.27 -0.46 0.22 -0.32 N/A 0.00 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Sawgrass Large Cap Growth N/A N/A N/A N/A N/A N/A N/A N/A
Russell 1000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.09 1.00 13.76
90 Day U.S. Treasury Bill 18.46 3.56 -3.17 1.73 -0.09 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Sawgrass Large Cap Growth
September 30, 2011
Page 38
40. Peer Group Analysis - IM International Equity (SA+CF+MF)
Comparative Performance
-60.00
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Total International Equity -2.55 (6) 9.62 (45) -3.39 (87) -26.08 (15) 27.63 (52)
Å Total International Equity Policy -10.42 (42) 6.37 (60) 3.80 (54) -30.13 (42) 25.38 (63)
Median -11.35 8.44 4.58 -31.06 27.87
-31.00
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total International Equity -12.31 (4) -2.55 (6) -2.55 (6) 3.35 (13) 1.06 (45) -6.54 (29) -0.53 (38)
Å Total International Equity Policy -19.78 (36) -10.42 (42) -10.42 (42) -2.39 (57) -0.37 (57) -8.82 (55) -2.83 (60)
Median -20.84 -11.35 -11.35 -1.74 0.48 -8.45 -1.91
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total International Equity 2.31 (23) 3.08 (43) 5.37 (86) 14.06 (87) -8.90 (23) 0.28 (85)
Total International Equity Policy 0.61 (61) 3.49 (32) 7.25 (55) 16.66 (63) -12.26 (55) 1.66 (52)
IM International Equity (SA+CF+MF) 1.03 2.74 7.40 17.48 -11.97 1.76
Lakeland Police Officers' Retirement System
Total International Equity
September 30, 2011
Page 39
41. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Total International Equity 19 0 (0%) 12 (63%) 7 (37%) 0 (0%)
Å Total International Equity Policy 20 0 (0%) 1 (5%) 19 (95%) 0 (0%)
Over Performance Under Performance Dec-2006 Sep-2011
-20.0
-10.0
0.0
10.0
20.0
30.0
TotalInternationalEquity(%)
-20.0 -10.0 0.0 10.0 20.0 30.0
Total International Equity Policy (%)
Over
Performance
Under
Performance
-20.00
-10.00
0.00
10.00
Return(%)
0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 32.00 36.00 40.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total International Equity 1.06 25.14
Å Total International Equity Policy -0.37 28.97
¾ Median 0.48 29.97
-14.00
-7.00
0.00
7.00
Return(%)
-4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 32.00 36.00 40.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total International Equity -0.53 22.41
Å Total International Equity Policy -2.83 25.33
¾ Median -1.91 26.48
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total International Equity 6.31 93.00 88.78 1.39 0.18 0.16 0.92 17.82
Total International Equity Policy 0.00 100.00 100.00 0.00 N/A 0.10 1.00 18.28
90 Day U.S. Treasury Bill 24.93 0.21 -0.41 0.21 -0.10 N/A 0.00 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total International Equity 8.01 90.49 83.26 2.11 0.27 0.00 0.89 15.90
Total International Equity Policy 0.00 100.00 100.00 0.00 N/A -0.09 1.00 16.79
90 Day U.S. Treasury Bill 22.01 3.47 -2.44 1.71 0.09 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Total International Equity
September 30, 2011
Page 40
42. Peer Group Analysis - IM International Large Cap Growth Equity (SA+CF)
Comparative Performance
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Baring International -6.58 (24) 9.62 (48) N/A N/A N/A
Å MSCI AC World ex USA -10.42 (70) 8.00 (56) 6.43 (33) -29.97 (54) 31.06 (47)
Median -9.00 9.26 3.24 -29.35 30.50
-28.00
-26.00
-24.00
-22.00
-20.00
-18.00
-16.00
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Baring International -15.19 (7) -6.58 (24) -6.58 (24) 1.20 (31) N/A N/A N/A
Å MSCI AC World ex USA -19.78 (43) -10.42 (70) -10.42 (70) -1.64 (67) 0.98 (52) -7.85 (52) -1.12 (52)
Median -20.11 -9.00 -9.00 -0.05 1.10 -7.76 -1.10
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Baring International 1.98 (48) 2.81 (59) 5.06 (92) 14.06 (89) -8.90 (17) 0.28 (82)
MSCI AC World ex USA 0.61 (82) 3.49 (41) 7.25 (63) 16.66 (45) -12.26 (66) 1.66 (49)
IM International Large Cap Growth Equity (SA+CF) 1.93 3.04 7.74 16.39 -11.77 1.55
Lakeland Police Officers' Retirement System
Baring International
September 30, 2011
Page 41
43. Peer Group Analysis - IM International Multi-Cap Value Equity (MF)
Comparative Performance
-50.00
-45.00
-40.00
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ IVA International (IVIQX) N/A N/A N/A N/A N/A
Å MSCI AC World ex USA -10.42 (46) 8.00 (16) 6.43 (30) -29.97 (25) 31.06 (2)
Median -10.77 2.95 3.07 -32.49 22.50
-28.00
-25.00
-22.00
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ IVA International (IVIQX) -8.93 (1) N/A N/A N/A N/A N/A N/A
Å MSCI AC World ex USA -19.78 (28) -10.42 (46) -10.42 (46) -1.64 (16) 0.98 (18) -7.85 (10) -1.12 (6)
Median -20.99 -10.77 -10.77 -4.02 -2.21 -10.88 -5.02
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
IVA International (IVIQX) 2.70 (4) 3.41 (56) N/A N/A N/A N/A
MSCI AC World ex USA 0.61 (68) 3.49 (53) 7.25 (48) 16.66 (53) -12.26 (20) 1.66 (56)
IM International Multi-Cap Value Equity (MF) 1.61 3.58 6.93 16.73 -14.41 1.87
Lakeland Police Officers' Retirement System
IVA International (IVIQX)
September 30, 2011
Page 42
44. Peer Group Analysis - IM U.S. Broad Market Fixed Income (SA+CF+MF)
Comparative Performance
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Total Fixed Income 2.59 (75) 7.74 (90) 9.69 (78) 5.51 (3) 5.50 (23)
Å Total Fixed Income Policy 4.22 (50) 7.52 (91) 9.25 (81) 4.33 (7) 5.47 (24)
Median 4.19 10.05 12.51 -1.49 4.92
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Fixed Income 0.54 (69) 2.59 (75) 2.59 (75) 5.13 (92) 6.63 (90) 6.35 (56) 6.18 (53)
Å Total Fixed Income Policy 2.30 (42) 4.22 (50) 4.22 (50) 5.86 (84) 6.98 (88) 6.31 (57) 6.14 (55)
Median 1.93 4.19 4.19 7.06 8.91 6.61 6.30
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Fixed Income 2.25 (22) 0.74 (68) -0.94 (59) 2.31 (91) 2.81 (52) 1.25 (97)
Total Fixed Income Policy 2.17 (30) 0.48 (81) -0.75 (50) 2.07 (96) 2.92 (48) 1.81 (84)
IM U.S. Broad Market Fixed Income (SA+CF+MF) 1.94 1.00 -0.78 3.25 2.86 2.48
Lakeland Police Officers' Retirement System
Total Fixed Income
September 30, 2011
Page 43
45. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Total Fixed Income 19 8 (42%) 5 (26%) 5 (26%) 1 (5%)
Å Total Fixed Income Policy 19 6 (32%) 5 (26%) 4 (21%) 4 (21%)
Over Performance Dec-2006 Sep-2011
2.0
4.0
6.0
8.0
TotalFixedIncome(%)
1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5
Total Fixed Income Policy (%)
Over
Performance
Under
Performance
-24.00
-12.00
0.00
12.00
Return(%)
-2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 16.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Fixed Income 6.63 2.15
Å Total Fixed Income Policy 6.98 2.20
¾ Median 8.91 4.58
0.00
3.00
6.00
9.00
Return(%)
0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Fixed Income 6.18 2.44
Å Total Fixed Income Policy 6.14 2.58
¾ Median 6.30 4.72
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Fixed Income 1.68 93.67 89.40 1.57 -0.21 2.17 0.72 1.55
Total Fixed Income Policy 0.00 100.00 100.00 0.00 N/A 1.88 1.00 1.84
90 Day U.S. Treasury Bill 3.52 1.55 -3.59 0.27 -1.88 N/A -0.01 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Fixed Income 2.76 90.32 58.03 2.50 0.01 1.38 0.59 1.27
Total Fixed Income Policy 0.00 100.00 100.00 0.00 N/A 1.32 1.00 1.61
90 Day U.S. Treasury Bill 3.29 16.53 -20.55 1.70 -1.32 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Total Fixed Income
September 30, 2011
Page 44
46. Peer Group Analysis - IM U.S. Broad Market Fixed Income (SA+CF+MF)
Comparative Performance
-35.00
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
Return
2010 2009 2008 2007 2006
¢ Total Domestic Fixed Income 5.49 (94) 8.65 (79) 3.71 (22) 7.29 (13) 4.53 (46)
Å Fixed Income Policy 6.15 (88) 6.94 (87) 4.18 (20) 7.37 (12) 4.10 (67)
Median 7.97 13.73 -3.86 5.68 4.44
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Domestic Fixed Income 2.14 (46) 4.27 (49) 4.27 (49) 5.99 (82) 7.04 (88) 6.55 (52) 6.34 (49)
Å Fixed Income Policy 2.30 (42) 4.22 (50) 4.22 (50) 5.86 (84) 6.98 (88) 6.31 (57) 6.14 (55)
Median 1.93 4.19 4.19 7.06 8.91 6.61 6.30
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Domestic Fixed Income 2.31 (16) 0.73 (69) -0.95 (59) 2.31 (91) 2.81 (52) 1.25 (97)
Total Fixed Income Policy 2.17 (30) 0.48 (81) -0.75 (50) 2.07 (96) 2.92 (48) 1.81 (84)
IM U.S. Broad Market Fixed Income (SA+CF+MF) 1.94 1.00 -0.78 3.25 2.86 2.48
Lakeland Police Officers' Retirement System
Total Domestic Fixed Income
September 30, 2011
Page 45
47. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Total Domestic Fixed Income 19 6 (32%) 6 (32%) 6 (32%) 1 (5%)
Å Fixed Income Policy 19 6 (32%) 5 (26%) 4 (21%) 4 (21%)
Over Performance Under Performance Dec-2006 Sep-2011
2.0
4.0
6.0
8.0
TotalDomesticFixedIncome(%)
1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5
Total Fixed Income Policy (%)
Over
Performance
Under
Performance
-24.00
-12.00
0.00
12.00
Return(%)
-2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 16.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Domestic Fixed Income 7.04 2.05
Å Fixed Income Policy 6.98 2.20
¾ Median 8.91 4.58
0.00
3.00
6.00
9.00
Return(%)
0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Total Domestic Fixed Income 6.34 2.36
Å Fixed Income Policy 6.14 2.58
¾ Median 6.30 4.72
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Domestic Fixed Income 1.48 93.02 67.51 2.06 0.02 2.45 0.71 1.40
Total Fixed Income Policy 0.00 100.00 100.00 0.00 N/A 1.88 1.00 1.84
90 Day U.S. Treasury Bill 3.52 1.55 -3.59 0.27 -1.88 N/A -0.01 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Total Domestic Fixed Income 2.69 89.88 48.35 2.68 0.07 1.45 0.59 1.18
Total Fixed Income Policy 0.00 100.00 100.00 0.00 N/A 1.32 1.00 1.61
90 Day U.S. Treasury Bill 3.29 16.53 -20.55 1.70 -1.32 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Total Domestic Fixed Income
September 30, 2011
Page 46
48. Peer Group Analysis - IM U.S. Intermediate Duration (SA+CF)
Comparative Performance
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
20.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Galliard Fixed Income 4.13 (28) 7.79 (70) 9.54 (83) N/A N/A
Å Barclays Capital Intermediate Aggregate 4.22 (20) 7.52 (79) 9.69 (82) 4.16 (34) 5.33 (69)
Median 3.59 8.27 11.53 3.21 5.49
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Galliard Fixed Income 2.18 (37) 4.13 (28) 4.13 (28) 5.94 (49) 7.13 (78) N/A N/A
Å Barclays Capital Intermediate Aggregate 2.30 (33) 4.22 (20) 4.22 (20) 5.86 (56) 7.12 (79) 6.37 (61) 6.16 (63)
Median 2.01 3.59 3.59 5.93 7.84 6.61 6.40
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Galliard Fixed Income 2.28 (6) 0.63 (46) -1.00 (42) 2.34 (80) 2.84 (52) 1.29 (95)
Barclays Capital Intermediate Aggregate 2.17 (17) 0.48 (69) -0.75 (28) 2.07 (90) 2.92 (45) 1.81 (57)
IM U.S. Intermediate Duration (SA+CF) 2.00 0.60 -1.09 2.78 2.85 1.85
Lakeland Police Officers' Retirement System
Galliard Fixed Income
September 30, 2011
Page 47
49. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Galliard Fixed Income 3 0 (0%) 0 (0%) 2 (67%) 1 (33%)
Å Barclays Capital Intermediate Aggregate 20 0 (0%) 7 (35%) 12 (60%) 1 (5%)
Over Performance Dec-2006 Sep-2011
5.0
6.0
7.0
GalliardFixedIncome(%)
4.5 5.0 5.5 6.0 6.5 7.0 7.5
Barclays Capital Intermediate Aggregate (%)
Over
Performance
Under
Performance
3.00
6.00
9.00
Return(%)
1.20 1.60 2.00 2.40 2.80 3.20 3.60 4.00 4.40 4.80 5.20 5.60 6.00
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Galliard Fixed Income 7.13 2.09
Å Barclays Capital Intermediate Aggregate 7.12 2.42
¾ Median 7.84 3.32
2.80
4.20
5.60
7.00
Return(%)
1.80 2.10 2.40 2.70 3.00 3.30 3.60 3.90 4.20 4.50 4.80 5.10 5.40
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Galliard Fixed Income N/A N/A
Å Barclays Capital Intermediate Aggregate 6.16 2.63
¾ Median 6.40 3.44
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Galliard Fixed Income 1.35 90.08 50.63 1.75 -0.01 2.56 0.75 1.26
Barclays Capital Intermediate Aggregate 0.00 100.00 100.00 0.00 N/A 2.12 1.00 1.45
90 Day U.S. Treasury Bill 3.18 1.62 -3.96 0.25 -2.12 N/A -0.01 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Galliard Fixed Income N/A N/A N/A N/A N/A N/A N/A N/A
Barclays Capital Intermediate Aggregate 0.00 100.00 100.00 0.00 N/A 1.46 1.00 1.28
90 Day U.S. Treasury Bill 2.98 16.81 -24.63 1.71 -1.46 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Galliard Fixed Income
September 30, 2011
Page 48
50. Peer Group Analysis - IM U.S. TIPS (SA+CF)
Comparative Performance
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
13.00
14.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Galliard TIPS 6.78 (94) 6.87 (96) 3.86 (90) N/A N/A
Å Barclays Capital U.S. TIPS 9.87 (36) 8.89 (78) 5.67 (66) 6.20 (63) 4.97 (65)
Median 9.78 9.35 6.18 6.35 5.11
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
9.00
10.00
11.00
12.00
13.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Galliard TIPS 1.46 (94) 6.78 (94) 6.78 (94) 6.82 (95) 5.83 (96) N/A N/A
Å Barclays Capital U.S. TIPS 4.51 (65) 9.87 (36) 9.87 (36) 9.38 (63) 8.13 (67) 7.64 (72) 7.10 (68)
Median 4.73 9.78 9.78 9.56 8.42 7.80 7.24
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Galliard TIPS 2.80 (94) 2.39 (3) -0.01 (15) 1.76 (98) 2.24 (94) 0.53 (85)
Barclays Capital U.S. TIPS 3.66 (31) 2.08 (56) -0.65 (37) 2.48 (72) 3.82 (61) 0.56 (73)
IM U.S. TIPS (SA+CF) 3.58 2.11 -0.72 2.67 3.89 0.71
Lakeland Police Officers' Retirement System
Galliard TIPS
September 30, 2011
Page 49
51. Peer Group Scattergram - 3 Years
3 Yr Rolling Under/Over Performance - 5 Years
Peer Group Scattergram - 5 Years
3 Yr Rolling Percentile Ranking - 5 Years
Historical Statistics - 3 Years
Historical Statsistics - 5 Years
0.0
25.0
50.0
75.0
100.0
ReturnPercentileRank
12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 9/11
Total Period
5-25
Count
25-Median
Count
Median-75
Count
75-95
Count
¢ Galliard TIPS 3 0 (0%) 0 (0%) 0 (0%) 3 (100%)
Å Barclays Capital U.S. TIPS 20 0 (0%) 0 (0%) 14 (70%) 6 (30%)
Under Performance Dec-2006 Sep-2011
4.0
6.0
8.0
GalliardTIPS(%)
2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5
Barclays Capital U.S. TIPS (%)
Over
Performance
Under
Performance
6.00
8.00
10.00
Return(%)
2.80 3.00 3.20 3.40 3.60 3.80 4.00 4.20 4.40 4.60 4.80 5.00 5.20 5.40
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Galliard TIPS 5.83 4.32
Å Barclays Capital U.S. TIPS 8.13 4.73
¾ Median 8.42 4.25
5.00
6.00
7.00
8.00
Return(%)
3.80 4.00 4.20 4.40 4.60 4.80 5.00 5.20 5.40 5.60 5.80
Risk (Standard Deviation %)
Return
Standard
Deviation
¢ Galliard TIPS N/A N/A
Å Barclays Capital U.S. TIPS 7.10 5.40
¾ Median 7.24 5.25
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Galliard TIPS 3.19 67.87 63.20 0.23 -0.73 0.94 0.69 4.14
Barclays Capital U.S. TIPS 0.00 100.00 100.00 0.00 N/A 0.96 1.00 5.61
90 Day U.S. Treasury Bill 8.31 0.88 -1.24 0.27 -0.96 N/A -0.01 0.01
Tracking
Error
Up
Market
Capture
Down
Market
Capture
Alpha
Information
Ratio
Sharpe
Ratio
Beta
Downside
Risk
Galliard TIPS N/A N/A N/A N/A N/A N/A N/A N/A
Barclays Capital U.S. TIPS 0.00 100.00 100.00 0.00 N/A 0.73 1.00 4.92
90 Day U.S. Treasury Bill 7.50 8.49 -9.75 1.74 -0.73 N/A 0.00 0.01
Lakeland Police Officers' Retirement System
Galliard TIPS
September 30, 2011
Page 50
52. Peer Group Analysis - IM Global Fixed Income (MF)
Comparative Performance
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
50.00
Return
2010 2009 2008 2007 2006
¢ Total Global Fixed Income N/A N/A N/A N/A N/A
Å Barclays Capital Global Aggregate 5.54 (67) 6.93 (85) 4.79 (14) 9.48 (18) 6.64 (37)
Median 6.39 12.17 -2.75 7.72 5.66
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Global Fixed Income -7.86 (98) N/A N/A N/A N/A N/A N/A
Å Barclays Capital Global Aggregate 0.97 (32) 4.00 (11) 4.00 (11) 5.02 (47) 7.78 (42) 6.51 (28) 6.85 (25)
Median -1.44 1.44 1.44 4.79 7.38 5.26 5.78
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Global Fixed Income 2.31 (49) N/A N/A N/A N/A N/A
Barclays Capital Global Aggregate 3.10 (16) 1.24 (66) -1.33 (56) 7.30 (56) -0.04 (54) -0.27 (94)
IM Global Fixed Income (MF) 2.28 1.56 -1.10 7.43 0.41 1.33
Lakeland Police Officers' Retirement System
Total Global Fixed Income
September 30, 2011
Page 51
53. Peer Group Analysis - IM Global Fixed Income (MF)
Comparative Performance
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
40.00
45.00
50.00
Return
2010 2009 2008 2007 2006
¢ Templeton Global Return (TTRZX) N/A N/A N/A N/A N/A
Å Barclays Capital Global Aggregate 5.54 (67) 6.93 (85) 4.79 (14) 9.48 (18) 6.64 (37)
Median 6.39 12.17 -2.75 7.72 5.66
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Templeton Global Return (TTRZX) -7.86 (98) N/A N/A N/A N/A N/A N/A
Å Barclays Capital Global Aggregate 0.97 (32) 4.00 (11) 4.00 (11) 5.02 (47) 7.78 (42) 6.51 (28) 6.85 (25)
Median -1.44 1.44 1.44 4.79 7.38 5.26 5.78
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Templeton Global Return (TTRZX) 2.31 (49) N/A N/A N/A N/A N/A
Barclays Capital Global Aggregate 3.10 (16) 1.24 (66) -1.33 (56) 7.30 (56) -0.04 (54) -0.27 (94)
IM Global Fixed Income (MF) 2.28 1.56 -1.10 7.43 0.41 1.33
Lakeland Police Officers' Retirement System
Templeton Global Return (TTRZX)
September 30, 2011
Page 52
54. Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-70.00
-60.00
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Total Real Estate 15.54 (91) N/A N/A N/A N/A
Å NCREIF ODCE 18.34 (50) 6.97 (47) -35.19 (53) 3.19 (52) 18.21 (56)
Median 18.32 6.60 -33.44 3.47 18.53
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Total Real Estate 1.95 (100) 15.54 (91) 15.54 (91) N/A N/A N/A N/A
Å NCREIF ODCE 3.58 (30) 18.34 (50) 18.34 (50) 12.51 (37) -6.38 (47) -4.08 (47) 0.02 (47)
Median 3.39 18.32 18.32 11.73 -8.53 -5.13 -1.10
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Total Real Estate 3.18 (88) 5.00 (39) 4.60 (45) N/A N/A N/A
NCREIF ODCE 4.62 (53) 4.01 (69) 4.99 (31) 5.45 (53) 4.32 (30) 0.75 (44)
IM U.S. Open End Private Real Estate (SA+CF) 4.79 4.49 4.55 5.90 3.47 0.68
Lakeland Police Officers' Retirement System
Total Real Estate
September 30, 2011
Page 53
55. Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-70.00
-60.00
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ American Realty 14.50 (90) N/A N/A N/A N/A
Å NCREIF ODCE 18.34 (50) 6.97 (47) -35.19 (53) 3.19 (52) 18.21 (56)
Median 18.32 6.60 -33.44 3.47 18.53
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ American Realty -0.85 (100) 14.50 (90) 14.50 (90) N/A N/A N/A N/A
Å NCREIF ODCE 3.58 (30) 18.34 (50) 18.34 (50) 12.51 (37) -6.38 (47) -4.08 (47) 0.02 (47)
Median 3.39 18.32 18.32 11.73 -8.53 -5.13 -1.10
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
American Realty 2.91 (92) 8.58 (4) 3.35 (85) N/A N/A N/A
NCREIF ODCE 4.62 (53) 4.01 (69) 4.99 (31) 5.45 (53) 4.32 (30) 0.75 (44)
IM U.S. Open End Private Real Estate (SA+CF) 4.79 4.49 4.55 5.90 3.47 0.68
Lakeland Police Officers' Retirement System
American Realty
September 30, 2011
Page 54
56. Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)
Comparative Performance
-70.00
-60.00
-50.00
-40.00
-30.00
-20.00
-10.00
0.00
10.00
20.00
30.00
40.00
Return
Oct-2010
To
Sep-2011
Oct-2009
To
Sep-2010
Oct-2008
To
Sep-2009
Oct-2007
To
Sep-2008
Oct-2006
To
Sep-2007
¢ Intercontinental Real Estate 16.72 (70) N/A N/A N/A N/A
Å NCREIF ODCE 18.34 (50) 6.97 (47) -35.19 (53) 3.19 (52) 18.21 (56)
Median 18.32 6.60 -33.44 3.47 18.53
-19.00
-16.00
-13.00
-10.00
-7.00
-4.00
-1.00
2.00
5.00
8.00
11.00
14.00
17.00
20.00
23.00
26.00
29.00
Return
1
Quarter
Oct-2010
To
Sep-2011
1
Year
2
Years
3
Years
4
Years
5
Years
¢ Intercontinental Real Estate 3.17 (59) 16.72 (70) 16.72 (70) N/A N/A N/A N/A
Å NCREIF ODCE 3.58 (30) 18.34 (50) 18.34 (50) 12.51 (37) -6.38 (47) -4.08 (47) 0.02 (47)
Median 3.39 18.32 18.32 11.73 -8.53 -5.13 -1.10
1
Quarter
Ending
Jun-2011
1
Quarter
Ending
Mar-2011
1
Quarter
Ending
Dec-2010
1
Quarter
Ending
Sep-2010
1
Quarter
Ending
Jun-2010
1
Quarter
Ending
Mar-2010
Intercontinental Real Estate 3.36 (87) 4.43 (54) 4.81 (42) N/A N/A N/A
NCREIF ODCE 4.62 (53) 4.01 (69) 4.99 (31) 5.45 (53) 4.32 (30) 0.75 (44)
IM U.S. Open End Private Real Estate (SA+CF) 4.79 4.49 4.55 5.90 3.47 0.68
Lakeland Police Officers' Retirement System
Intercontinental Real Estate
September 30, 2011
Page 55
57. Total Fund Policy Total Fixed Income Policy
Russell 3000 Policy (Bowen Hanes)
Allocation Mandate Weight (%)
Mar-2004
ML US Corporate Master Investment Grade 100.00
Sep-2004
BofA Merrill Lynch US Corp & Gov 1-10 Yrs 100.00
Apr-2008
Barclays Capital Intermediate Aggregate 87.50
Barclays Capital U.S. Treasury: U.S. TIPS 12.50
Jul-2009
Barclays Capital Intermediate Aggregate 100.00
Allocation Mandate Weight (%)
Jan-1976
S&P 500 60.00
ML US Corporate Master Investment Grade 40.00
Sep-2004
Russell 3000 Index 50.00
MSCI EAFE Index 10.00
BofA Merrill Lynch US Corp & Gov 1-10 Yrs 40.00
Apr-2008
Russell 3000 Index 50.00
MSCI EAFE Index 10.00
Barclays Capital Intermediate Aggregate 35.00
Barclays Capital U.S. Treasury: U.S. TIPS 5.00
Jul-2009
Russell 3000 Index 45.00
MSCI EAFE Index 15.00
Barclays Capital Intermediate Aggregate 40.00
Jan-2010
Russell 3000 Index 45.00
MSCI AC World ex USA 15.00
Barclays Capital Intermediate Aggregate 35.00
Barclays Capital U.S. Treasury: U.S. TIPS 5.00
Oct-2010
Russell 3000 Index 45.00
MSCI AC World ex USA 15.00
Barclays Capital Intermediate Aggregate 30.00
Barclays Capital U.S. Treasury: U.S. TIPS 5.00
NCREIF OEDC (Monthly) 5.00
Allocation Mandate Weight (%)
Mar-2008
S&P 500 100.00
Jan-2010
Russell 3000 Index 100.00
Lakeland Police Officers' Retirement System
Benchmark History
As of September 30,2011
Page 56
58. Total Equity Policy Total Domestic Equity Policy
Total International Equity Policy
Allocation Mandate Weight (%)
Mar-2004
S&P 500 100.00
Sep-2004
Russell 3000 Index 100.00
Allocation Mandate Weight (%)
Mar-2004
S&P 500 100.00
Sep-2004
Russell 3000 Index 85.00
MSCI EAFE Index 15.00
Jul-2009
Russell 3000 Index 80.00
MSCI EAFE Index 20.00
Jan-2010
Russell 3000 Index 75.00
MSCI AC World ex USA 25.00
Allocation Mandate Weight (%)
Jan-1970
MSCI EAFE Index 100.00
Jan-2010
MSCI AC World ex USA 100.00
Lakeland Police Officers' Retirement System
Benchmark History
As of September 30,2011
Page 57
59. Statistics Description
Return Compounded rate of return for the period.--
Standard Deviation A statistical measure of the range of a portfolio's performance, the variability of a return around its average return over a
specified time period.
--
Sharpe Ratio Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is
the absolute rate of return per unit of risk. The higher the value, the better the product’s historical risk-adjusted performance.
--
Alpha A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured
by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's
non-systematic return.
--
Beta A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or
systematic risk.
--
R-Squared The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Square means a
higher correlation of the portfolio's performance to the appropriate benchmark.
--
Treynor Ratio Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Represents the excess rate of return over
the risk free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the
product’s historical risk-adjusted performance.
--
Downside Risk A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by
taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product.
--
Tracking Error A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market
benchmark.
--
Information Ratio Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added
contribution by the manager.
--
Consistency The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency
figure, the more value a manager has contributed to the product’s performance.
--
Excess Return Arithmetic difference between the managers return and the risk-free return over a specified time period.--
Active Return Arithmetic difference between the managers return and the benchmark return over a specified time period.--
Excess Risk A measure of the standard deviation of a portfolio's performance relative to the risk free return.--
--
Up Market Capture The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate
better product performance.
--
Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate
better product performance.
--
Statistics Definitions
Calculation based on monthly periodicity.
Page 58