Ft.lauderdale 3rd Qtr 11 Full Report

8/3/2019 Ft.lauderdale 3rd Qtr 11 Full Report

1/140

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

CITY OF FT.LAUDERDALE

POLICE AND FIRE RETIREMENT SYSTEM

PERFORMANCE REVIEWSEPTEMBER30,2011


2/140


3/140

TABLE OF CONTENTS

Important Disclaimer Information 1

Capital Markets Review 2

Performance Review

Total Fund 3

Domestic Equity 4

International Equity 5

Fixed Income 6

Alternative Investments 7

Appendix 8


4/140


5/140

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

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

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

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

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

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

Past performance is no guarantee of future performance.

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

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

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

For index definitions, please see the Capital Markets Review.

City ofFt. Lauderdale Police and Fire

Important Disclaimer Information

1


6/140

2


7/140

CAPITAL MARKETS REVIEW SEPTEMBER 30, 2011

Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr

Domestic Fixed Income

3 Month T-Bill 0.01% 0.05% 0.09% 0.15% 1.57% 1.96%

Barclays Capital 1-3 year Gov't 0.47% 1.35% 1.23% 2.74% 3.96% 3.44%Barclays Capital Interm Gov't 3.19% 5.36% 3.72% 5.38% 5.91% 4.80%

Barclays Capital Interm Credit 0.94% 4.19% 2.92% 10.16% 6.24% 5.71%

Barclays Capital Interm Govt/Cred 2.39% 4.92% 3.40% 7.03% 5.92% 5.12%

Barclays Capital Aggregate Bond 3.82% 6.65% 5.26% 7.97% 6.53% 5.66%

Domestic Equity

Standard & Poor's 500 -13.87% -8.68% 1.14% 1.23% -1.18% 2.82%

Dow Jones Industrial Average -11.50% -3.90% 3.84% 3.15% 1.37% 4.67%Dow Jones US Total Full Cap -15.32% -10.23% 0.31% 1.75% -0.57% 3.93%

Dow Jones US Select REIT -14.54% -5.20% 1.87% -2.16% -3.18% 9.08%

Russell 1000 - Large Cap -14.68% -9.25% 0.91% 1.61% -0.91% 3.28%

Russell 1000 Growth - Large Cap -13.14% -7.20% 3.78% 4.69% 1.62% 3.01%

Russell 1000 Value - Large Cap -16.20% -11.24% -1.89% -1.52% -3.53% 3.36%

Russell Midcap -18.90% -12.34% -0.88% 3.97% 0.56% 7.45%

Russell Midcap Growth -19.33% -11.59% 0.80% 5.89% 1.64% 6.70%

Russell Midcap Value -18.46% -13.01% -2.36% 1.98% -0.84% 7.54%

Russell 2000 - Small Cap -21.87% -17.02% -3.53% -0.37% -1.02% 6.12%

Russell 2000 Growth - Small Cap -22.25% -15.57% -1.12% 2.07% 0.96% 5.45%

Russell 2000 Value - Small Cap -21.48% -18.51% -5.99% -2.78% -3.08% 6.47%

International Equity

MSCI EAFE -19.01% -14.98% -9.36% -1.13% -3.46% 5.03%

MSCI World -16.61% -12.20% -4.35% -0.07% -2.23% 3.71%

MSCI EM -23.19% -23.53% -18.14% 3.81% 2.50% 13.35%

Blended Benchmarks

30% S&P 500 / 70% Barclays Agg -1.49% 2.05% 4.02% 5.95% 4.22% 4.81%

40% S&P 500 / 60% Barclays Agg -3.26% 0.52% 3.61% 5.27% 3.45% 4.52%

50% S&P 500 / 50% Barclays Agg -5.03% -1.02% 3.20% 4.60% 2.68% 4.24%

60% S&P 500 / 40% Barclays Agg -6.79% -2.55% 2.79% 3.93% 1.90% 3.96%

70% S&P 500 / 30% Barclays Agg -8.56% -4.08% 2.38% 3.25% 1.13% 3.67%

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

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

3


8/140


Capital Markets Summary

Concerns over the fate of the global economy

increased this quarter. Weighing heavily onthe markets was a steady supply of mixed

economic reports from the U.S., continuing

debt problems in Europe, and indications of a

softening economy in China.

Investors gained little confidence from the

possibility of another round of easing in the

U.S. or the announcement of a $400 billion

bond buy/sell program. Operation Twist

received mixed reviews from economists and

market watchers on its ability to change the

current economic landscape. Market stability

was further hampered by the Feds assessment

of significant downside economic risk that

raised the fear of a double-dip recession.

While the U.S. economy continued to plod

along, European leaders met to discuss Greeces potential default. This was in addition to a previou

announcement that the established EuroZone bailout fund may not be enough to resolve the Europea

debt dilemma. China provided no relief this quarter as key manufacturing data from the pacific rimleader showed a decline for the third straight month. Korea also missed factory production estimate

and Japan, of course, is still suffering from infrastructure damage caused by the tsunami earlier thi

year.

In domestic markets, the major averages all finished decidedly lower this quarter and are now in

negative territory for the year. The Dow Jones Industrial Average (DJIA) is down 3.9% YTD. Th

S&P 500 lost for the fifth straight month. The total return for the index is down 8.7% for the year. The

NASDAQ Composite (NASDAQ) is down 8.2% YTD.

Small and mid-cap stocks each suffered double digit loses in September. The S&P Mid-Cap 400 los

10.58%, and is down 13.02% YTD. The S&P 600 lost 10.28%, and is down 13.8% YTD. Jobles

claims, unemployment, S&Ps lowered credit rating, political posturing debt ceiling and job

package, and the renewed threat of a recession all weighed heavily on consumer confidence thi

quarter.

Long Term Treasury Bonds

Mortgage Backed Bonds

Corporate Bonds

Foreign Bonds

Municipal Bonds

LCG Equities

High Yield Bonds

S&P 500

LC Equities

MCG Equities

3-Month T-Bill

MC Equities

SCG Equities

LCV Equities

MCV Equities

SC Equities

SCV Equities

Intl Developed Equities

Intl Frontier Equities

Intl Emerging Equities

17.1%

5.6%

4.5%

3.9%

3.9%

3.8%

1.4%

1.1%

0.9%

0.8%

0.1%

-0.9%

-1.1%

-1.9%

-2.4%

-3.5%

-6.0%

-8.9%

-10.1%

-15.9%

One Year P erformance of Asset Classes As Of

September 30, 2011



4


9/140


Capital Markets Summary

European leaders continue to work on solutions to a

debt problem that threatens not only the European,but the global economy. Greece is the face of the

debt problem, but its extension into other countries

is causing economic and political problems for

Germany and France. European Union leaders are

seeking additional financial stimulus, however,

Germany is reluctant to sponsor moves that could

threaten its economy.

Emerging markets suffered losses across all indices

this quarter. Moving these markets lower wereconcerns over a global economic slowdown that

could hurt commodities and exports. The MSCI EM Index lost just under 22.5% this quarter, and i

now down more than 21.6% for the year.

Domestic equity underwritings are at their lowest levels since the failure of Lehman Brothers Holding

in 2008. Offerings are down 32% from the year ago period, and 31% from the second quarter

Globally, IPOs are down 16% from the year ago period, and at their lowest levels since 2009. Fixe

income offerings are at a yearly low. Corporations issued $157.9 billion of investment grade bond

during the quarter, the slowest pace since the second quarter of 2010.

For the quarter, rates on the 10-year Treasury bond fell 122 basis points from 3.16%, the bigges

decline since the fourth quarter of 2008. Thirty-year bond yields are down 146 basis points since th

beginning of the quarter and yields are near the lowest levels since 2009.



5


10/140


Domestic Equity

The month of September is historically the

worst performing month of the year for equity

markets. This September repeated history asall the major averages were down at least 5%

for the month, extending the streak of

consecutive negative monthly returns to five.

After falling 2% in July, the DJIA fell 4% in

August, and then ended the quarter with a 6%

loss in September. This story repeated

throughout the other domestic indices. While

all the indices entered the third quarter with

positive year-to-date returns, by the end of thequarter each was in negative territory with

small caps especially hard hit.

Looking at the major indices, the DJIA was down 11.5% for the quarter and is now down 3.9% for th

year. Likewise, the S&P 500 Index extended its own losing streak to 5 months as it fell 13.87% in th

quarter (7% in September alone) and is now down 8.68% for the year. The Russell 3000 was down

15.28% for the quarter and is down 9.90% for the year. The NASDAQ Composite faired just as poorl

as it fell 6.3% in September on its way to an 12.69% loss for the quarter and -8.24% the year.

-25.00%

-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

3Q11 1 year 3 years 5 years 10 years

Return(%)

Broad Domestic Equity Per formance

Large Ca

Mid Cap

Small Ca

Russell

1000

-14.68

Russell

Midcap

-18.90

Russell

2000

-21.87

-10 -5 0 5 10

ThirdQuarter

-22.25-21.47

-18.5

-16.20

DomesticEquityReturnsValue Growth

-13.14

-19.33



6


11/140


Domestic Equity

For market caps, small caps were

particularly hard hit this quarter as the

Russell 2000 was down 11.2% in

September and 21.87% for the quarter,

pushing its year-to-date return into negative

territory with a 17.02% decline. As market

caps increased, returns improved. The

Russell Midcap lost 18.90% in the quarter,

the Russell 1000 lost 14.68% and the

Russell Top 200 Megacap lost 12.8%.

In comparing styles, returns were mixed aslarge cap growth stocks outperformed large

cap value stocks. The Russell 1000 Growth

fell 13.14% for the quarter compared to a

decline of 16.20% for the Russell 1000

Value. Although the Russell 1000 Growth

outperformed its value counterpart in all

three months of the quarter, this differential

narrowed from a 2.3% gap in July, to a

1.0% gap in August, to a 0.3% gap in

September. In smaller caps, The Russell2000 Value slightly outperformed with a

21.47% loss versus a 22.25% loss for the

Russell 2000 Growth in the quarter. Year-

to-date, growth has outperformed value by

3% in small caps and 4% in large caps.

Sector returns in the S&P 500 were mostly down for the quarter. Utilities were the only bright spot a

steady returns from the Multi-Utilities and Electric Utilities industries helped the sector post a 1.6%

gain for the quarter. All other sectors of the S&P 500 were down during the quarter. ConsumeStaples, Information Technology, Telecommunication, Health Care, and Consumer Discretionary a

outperformed the broader index. The remaining four sectors all posted losses of greater than 20% as th

Materials sector was hit the hardest with a 24.5% decline. Within Materials, the Metals and Minin

subsector was a battle of extremes as it had the best performing industry within the S&P 500 (Gold u

17.1%) but also three of the worst industries in the quarter (Steel down 38.9%, Aluminum down 39.5%

and Diversified Metals & Mining down 41.4%).

0

50

100

150

200

250

300

Style P erformance

10 Year Growth of $100

R1000 Va lue R1000 G ro wth R2000 Va lue R2000 G ro wth

24.52

22.80

21.02

20.46

13.87

12.98

10.02

8.01

7.70

4.19

1.55

Materials

Financials

Industrials

Energy

S&P500

ConsumerDiscretionary

HealthCare

Telecommunication

InformationTechnology

ConsumerStaples

Utilities

S&P5003Q2011SectorReturns



7


12/140


International Markets

Fear of a possible global economic recession and anxiety over Greece hit all equity markets hard an

took an especially large toll on international indices. The MSCI Emerging Markets led all majo

indices lower with a loss of 22.46%. The MSCI Frontier Markets only lost about half of that coming i

at -12.04% and the MSCI EAFE Index returned -18.95%.

Germany had so far weathered the recession and recovery better than most of its peers. The Europea

Unions industrial giant did not fare so well this quarter. A slowing economy and forecasts that som

believe will suffer further downward revision hit the MSCI Germany Index for a 31% loss this quarter

Leading think-tanks now believe that the German economy will grow .8% in 2012, 1% shy of curren

government estimates of 1.8%. The MSCI Japan Index has been resilient comparatively in the pos

tsunami timeframe reporting a 6.37% loss for the quarter while maintaining a slight positive one-yea

return of .07%.

Greece is old news but still remains in the headlines and continued to have an impact on markets an

volatility this quarter. The inability for the individual European countries to come to consensus o

backing indebted countries such as Greece with euro issued bonds, or letting them fail, allows Gree

debt to continue to overhang the market. Some believe the best scenario is to continue to buy time fo

banks to continue to raise capital and try to insulate themselves from an eventual Greek default on it

bonds.

Brazil

India

China

Germany

Russia

South Africa

Australia

Mexico

United Kingdom

Japan

-25.5%

-25.1%

-23.9%

-13.0%

-11.5%

-9.5%

-8.9%

-6.3%

-5.3%

0.1%

One Year International (Gross) Returns

As Of Septem ber 30, 2011



8


13/140


Fixed Income

The U.S. fixed income markets saw significant

movements in the third quarter of 2011. Fears of a

double dip recession and poor economic news set

the tone. A highly publicized debt ceiling debate

led Standard and Poors to downgrade U.S. credit

from its top triple-A rating to AA+. As the initial

shock wore off, Treasuries became the big winner

for their perceived safety and liquidity. Economic

uncertainty continued through the quarter as

European debt concerns filled the headlines. The

BofA Merrill Lynch US Treasury Master Index had

a total return for the quarter of 6.36%.

In an attempt to further stimulate the economy the

Federal Reserve announced its plans for a $400

billion program labeled Operation Twist. This

program is similar in structure to a 1960s program

of selling short-term Treasury securities and

purchasing longer-term Treasuries with the

proceeds. "This program should put downward

pressure on longer-term interest rates and help

make broader financial conditions moreaccommodative" the Fed said in its official

statement. Treasury yields fell across the board,

amplified in products with a longer maturity. Two-

year Treasuries moved 36 basis points lower to

yield 0.24% as 10-year Treasuries fell 101 basis

points to yield 1.97%.

Corporate bonds performed well in the third quarter, but widening credit spreads brought down lowe

rated securities. The BofA Merrill Lynch US Corporate Master Bond Index had a total return for th

quarter of 2.26%. High yield securities were the worst performing bonds of the quarter, with the BofA

Merrill Lynch High Yield Master II Index losing -6.32%.

The international bond markets did not fare as well as the U.S. market as investors remain cautious o

the global economy and the Euro nations in particular. The Citigroup Non-USD World Governmen

Bond Index returned a modest 0.95%.

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

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

12/ 31/200 8 12/31/20 09 12/31 /2010 9/3 0/2011

0.00%

5.00%

10.00%

15.00%

3Q11 YTD 1YR 3YR 5YR 10YR

SectorPerformance

G ov ts C or ps M or tg ag es M un is

5.00%

0.00%

5.00%

10.00%

15.00%

3Q11 YTD 1YR 3YR 5YRCreditPerformance

AAA

AA

A

BBB

BB



9


14/140


Commodities

The global economic slowdown is taking its toll on commodities. Oil finished the quarter below $79

per barrel, and is down more than 13% YTD. Natural Gas lost more than 14% during the quarter and i

now down more than 16% for the year. In metals, copper ended the quarter down after declining morethan 24% in September, losing 7% in one trading session, and is now down more than 30% for the

year. Silver was also volatile this quarter losing 27.86% in September and is now nearly flat for the

year, up .44%. Palladium and platinum are down more than 24% and 14%, respectively, for the year

Gold set a new high over $1,900 per ounce early in September before pulling back, but is still up more

than 16% YTD.

Currency

The Dollar Index is at its highest levels since January and the Dollar continued its gain against the

Euro finishing the quarter at an eight month high. The Dollar gained more than 7% against the Eurothis quarter and is now up 2.37% for the year. The Yen gained against the Dollar and Euro as a flight

to safety trade. The Yen is now trading near a ten year high against Euro.

15.00% 10.00% 5.00% 0.00% 5.00% 10.00%

U.K.

Japan

Europe

Canada

Australia

-5.3%

0.1%

-14.2%

-6.2%

-8.9%

6.0%

9.3%

-1.1%

4.9%

9.9%

1 Year Country And Currency Returns

As of September 30, 2011

Currency CountryReturn



10


15/140

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

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

forecasted growth rates.

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

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

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

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

2000 Growth Index.

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

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

2000 Value Index.

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

performance of developed stock markets in these areas.

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

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

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

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

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


CAPITAL MARKET INDEX RETURNS


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

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

Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell Barc

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

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

29. 15% 32 .94% 8 . 06% 38.35% 37.04% 35.18% 3 8 .71% 4 3 .0 9 % 3 1.0 4 % 13 .9 6 % 10 .2 7% 4 8 .53 % 3 3 .14 % 14 .0 0 % 3 6 .13 % 11.8 1% 5.2 4 % 3 7.2 1% 2 9 .0 9 % 6 .6DJ Russ ell Russ ell Russ ell Russ ell Russ ell DJ DJ Russ ell Russ ell Russ ell Russ ell DJ DJ

Wilshire 2000 1000 1000 1000 2 000 Wilshire Wilshire 2000 200 0 2000 2000 Wilshire Wilsh

REIT Value Growth Growth Gro wth Value REIT REIT Value Value Value Growth REIT RE

15.13% 23 .84% 2 . 66% 37.53% 23.12% 33.35% 28.57% 3 3 .16 % 2 2 .8 3 % 12 .3 6 % 3 .6 0 % 4 6 .0 2 % 2 2 .2 5% 13 .54 % 2 6 .3 4 % 11.17% - 28 .9 2 % 3 4 . 4 7% 2 8 .0 7% - 5.2

Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russ10 00 10 00 Wilshire 1000 2000 Ag g Agg 2000 1000 20 00 2 000 100 0 2 00 0 10 0

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

13.81% 18.12% 2. 66% 37.19% 22.94% 31. 78% 20 . 33% 27 .30% 11.63% 8 . 44% -11.42% 39 . 16% 20 . 25% 7.05% 23.48% 7 .05% -36.85% 31.78% 24. 50% -7.2

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

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

7.77% 15.14% 1.31% 31.04 % 21.64 % 30.49% 15.63% 21.04% 7 .01% -5.59% -15 .52% 36.06% 16.49 % 5.26% 22.25% 6.97% -37.00% 28.46% 16.71% -8.6

Russ ell Russ ell Russ ell Russ ell DJ Barclays Russell Russell Russell Russell Russell Russell Russ2 00 0 2 00 0 2 00 0 2 00 0 Wils hire Ag g 1000 2000 1000 2000 1000 10 00 10 0

Gro wt h Value Value Value R EIT B ond Value Growth Value Growth Growth Value Val

7.62% 13.37% -1.55% 25 .75% 21. 37% 19 . 67% 8 . 67% 7.35% -9.10% -9.22% -15.94% 30.03% 14.31% 4. 91% 15.79% 5 .49% -38.44% 26.46% 15.51% -11.2

Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell RussellAgg 1000 Agg 2000 2000 200 0 Wilshire 1000 20 00 2 000 100 0 2000 2000

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

7.40% 10.06% -1.99% 18. 48% 11.26% 12 . 95% 1.23% -2 .57% -13 .96% -11.88% -22.09% 29.76% 10.87% 4.71% 13.35% -0.17% -38.54% 20.58% 15.06% -14.9

Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Russ

1000 Ag g 2000 Wilshire Agg 200 0 Agg 1000 1000 1000 1000 200 0 1000 2 000 Wilshire 1000 200Gro wth Bo nd Gro wth REIT Bo nd Value Bo nd Gro wth Gro wth Gro wth Gro wth Gro wth Gro wth Value REIT Value Grow

5.0 0 % 9 .75% - 2 .4 4 % 12 .2 4 % 6 .3 6 % 9 .6 8 % - 6.4 6 % - 0.8 3 % - 22 .4 2 % - 20 .4 2 % - 2 7.8 9 % 28.67% 6 .3 0 % 4 .15% 9 .0 7% - 9.78 % - 39 .2 0 % 19.69% 7.75% -15.5

Rus s e ll Ba rc lays Barc lays DJ Rus s e ll Rus s e ll Rus s e ll Ba rc lays Barc lays Barc lays Barc lays DJ Barc lays Barc lays Rus1000 Agg Agg Wilshire 2 000 2000 2000 Agg A gg Agg Agg Wilshire Agg A gg 200

WORS T Growth Bond Bond REIT Value Gro wth Growth Bond B ond B o nd B ond REIT Bond B ond Val

- 11.8 5% 2 .9 0 % - 2 .9 2 % 11.55% 3 .6 1% 2 .0 6 % - 17.0 0 % - 1.4 9 % - 2 2 .4 3 % - 22 .0 0 % - 3 0.2 7% 4 .11% 4 .3 4 % 2 .4 3 % 4 .3 3 % - 17.56 % - 4 5.0 9 % 5.9 3 % 6 .54 % - 18 .5

MSCI

EAFE

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

S&P

500

S&P

500

S&P

500

S&P

500

S&

50

MS

EA

S&P

500

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

S&P

500

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

MSCI

EAFE

S&P

500

S&P

500

S&P

500

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

MSCI

EAFE

S&P

500

MSCI

EAFE

MSCI

EAFE

S&P

500

11


16/140


RELATIVE PERFORMANCE OF KEY INDICES



Aug '82 DJIA 776

Black Monday - Oct '87 Asian Crisis

Invasion of Iraq

12


17/140





13


18/140





14


19/140





15


20/140


GENERAL DISCLOSURE STATEMENT


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

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

not a legal or tax advisor.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Growth = RU 2000 Growth

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

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

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

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

16


21/140



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

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

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

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

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

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

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

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

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

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

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

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

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


17


22/140



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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

18


23/140

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

Total Fund CompositeAs of 9/30/11

Manager

MarketValue

Actual %

Target %

Systematic Financial Management

Intech Large Core

Rhumbline Large Cap Fund

Sawgrass

Lee Munder Small Cap Value

Eagle Asset Management

Franklin Portfolio Advisors

Rhumbline Mid Cap Fund

Total Domestic Equity

Artio IE II Group Trust

Thornburg

Total International Equity

Agincourt

Atlanta Capital

Boyd Watterson

Total Domestic Fixed Income

Cash

Total Short Term

Core Realty Fund

Prudential RE Investors PRISA II

Total Real Estate

K2 Advisors Long/Short

PIMCO All Asset

Total Special Investments

Total Fund Composite

27,337,357.64

19,398,412.11

24,125,848.95

29,707,302.24

22,494,120.96

8,283,952.28

8,200,389.86

12,608,750.57

152,156,134.61

22,487,181.04

28,954,542.86

51,441,723.90

84,965,103.58

26,095,212.58

33,459,157.33

144,519,473.49

12,339,922.26

12,339,922.26

26,009,761.82

12,912,247.82

38,922,009.64

21,632,414.27

18,502,395.54

40,134,809.81

439,514,073.71

6.22

4.41

5.49

6.76

5.12

1.88

1.87

2.87

34.62

5.12

6.59

11.70

19.33

5.94

7.61

32.88

2.81

2.81

5.92

2.94

8.86

4.92

4.21

9.13

100.00

6.25

6.25

6.25

6.25

2.50

2.50

2.50

2.50

35.00

7.50

7.50

15.00

20.00

5.00

5.00

30.00

0.00

0.00

6.67

3.33

10.00

5.00

5.00

10.00

100.00

19


24/140

City of Ft. Lauderdale Police and FireSources of Fund Growth

Total Fund Composite6/30/11 - 9/30/11

Manager Name

BeginningValue

$(000)

NetContrib

$(000)

InvestFees

$(000)

InvestGain/Loss

$(000)

EndingValue

$(000)

Net ofFees

Return(%)


Intech Large Core


Sawgrass





Managed Equity


Thornburg

International Equity Composite

Agincourt

Atlanta Capital

Boyd Watterson


CashManaged Short Term

Core Realty Fund


Real Estate Composite


PIMCO All Asset

Special Investments


35,237

22,607

27,994

33,196

28,934

10,795

10,278

13,182

182,225

29,769

36,814

66,583

82,656

25,468

25,519

133,643

11,53211,532

25,267

12,278

37,545

43,693

0

43,693

475,224

25

18

4

37

47

15

15

2,502

2,664

48

0

48

45

11

7,514

7,570

801801

51

41

93

-20,000

20,000

0

11,175

0

0

0

0

0

0

0

0

0

0

62

62

0

0

0

0

00

0

0

0

0

0

0

62

-7,925

-3,227

-3,873

-3,525

-6,487

-2,527

-2,093

-3,075

-32,732

-7,330

-7,797

-15,127

2,264

617

426

3,306

77

692

593

1,285

-2,061

-1,498

-3,559

-46,823

27,337

19,398

24,126

29,707

22,494

8,284

8,200

12,609

152,156

22,487

28,955

51,442

84,965

26,095

33,459

144,519

12,34012,340

26,010

12,912

38,922

21,632

18,502

40,135

439,514

-22.49

-14.27

-13.83

-10.62

-22.42

-23.41

-20.36

-19.88

-24.62

-21.35

-22.81

2.74

2.42

1.47

2.39

0.07

2.73

4.83

3.42

-8.68

NA

-9.74

20


25/140

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending September 30, 2011Net of Fee Return

NameValue$(000)

% ofFund

Periods Ending 9/30/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since InceptionRet Date


Policy Index

Large Cap Composite

Intech Large Core

Standard & Poors 500



Sawgrass

Russell 1000 Growth


Russell 1000 Value

Small/Mid Cap Composite


Russell 2000 Growth


Russell 2000 Growth


Russell 2000 Value


S&P 400/Citigroup Growth Index

International Equity Composite


MSCI EAFE (Net)

Thornburg

MSCI EAFE (Net)


Agincourt

Barclays U.S. Aggregate

Atlanta Capital

Barclays Int Govt/Credit

Boyd Watterson

Barclays Int Govt/Credit

Cash

Citigroup 3-month T-Bill

Real Estate Composite

439,514

100,569

19,398

24,126

29,707

27,337

51,587

8,284

8,200

22,494

12,609

51,442

22,487

28,955

144,519

84,965

26,095

33,459

12,340

38,922

100.0

22.9

4.4

5.5

6.8

6.2

11.7

1.9

1.9

5.1

2.9

11.7

5.1

6.6

32.9

19.3

5.9

7.6

2.8

8.9

-9.74

-8.41

-15.58

-14.27

-13.86

-13.83

-13.86

-10.62

-13.14

-22.49

-16.21

-21.66

-23.41

-22.26

-20.36

-22.26

-22.42

-21.47

-19.88

-18.83

-22.81

-24.62

-19.01

-21.35

-19.01

2.39

2.74

3.82

2.42

2.40

1.47

2.40

0.07

0.01

3.42

-9.11

-7.33

-14.68

-13.01

-13.78

-13.29

-13.78

-8.09

-12.48

-22.78

-16.63

-23.77

-23.29

-23.56

-22.53

-24.72

-17.74

-20.75

-17.74

5.05

5.10

6.20

0.10

0.04

7.51

-5.81

-3.77

-9.37

-7.58

-8.67

-8.31

-8.67

-2.07

-7.21

-17.80

-11.25

-18.79

-19.73

-18.52

-20.15

-23.31

-14.98

-17.43

-14.98

5.73

5.81

6.65

0.13

0.07

12.29

0.16

2.44

0.09

1.74

1.15

1.43

1.15

5.22

3.78

-6.82

-1.90

-2.28

-8.27

-6.00

-14.41

-18.48

-9.36

-10.80

-9.36

4.33

4.38

5.26

-0.05

0.11

17.47

2.60

3.23

1.32

1.72

1.23

1.48

1.23

3.29

4.69

-1.03

-1.52

2.32

2.18

-2.79

-2.40

-5.34

-1.13

0.37

-1.13

8.72

9.38

7.97

1.26

0.20

-8.65

1.32

1.58

-0.56

-1.18

-0.96

-1.18

-2.87

-3.53

-4.41

6.65

6.69

6.53

2.47

6.53

6.42

-2.60

3.38

2.11

6.27

6.11

-0.54

0.24

5.94

4.43

-1.32

-23.41

-22.26

-20.36

-22.26

0.87

-4.73

-19.88

-18.83

1.22

-12.55

-9.98

-8.03

-9.98

5.82

6.41

6.18

3.23

3.40

2.34

3.40

2.55

-4.15

9/30/95

9/30/95

1/31/07

3/31/04

3/31/04

9/30/95

9/30/95

3/31/07

3/31/07

11/30/02

11/30/02

10/31/06

6/30/11

6/30/11

6/30/11

6/30/11

11/30/06

11/30/06

6/30/11

6/30/11

11/30/00

11/30/07

11/30/07

11/30/07

11/30/07

5/31/05

12/31/95

12/31/95

4/30/11

4/30/11

4/30/11

4/30/11

1/31/06

1/31/06

6/30/07

21


26/140

City of Ft. Lauderdale Police and FireExecutive Summary Table

Periods Ending September 30, 2011Net of Fee Return

NameValue$(000)

% ofFund

Periods Ending 9/30/11Cur Qtr 2 Qtrs 3 Qtrs 1 Year 3 Yrs 5 Yrs

Since InceptionRet Date

Core Realty Fund

NCREIF Prop Index


NCREIF Prop Index



PIMCO All Asset

Consumer Price Index + 5%

26,010

12,912

21,632

18,502

5.9

2.9

4.9

4.2

2.73

3.30

4.83

3.30

-8.68

-13.86

6.09

7.37

10.25

7.37

-9.74

-13.78

10.38

10.98

15.93

10.98

-8.19

-8.67

14.22

16.10

23.67

16.10

-3.95

1.15

-7.60

-1.45

-13.03

-1.45

-0.18

1.23

-3.35

1.03

-8.06

1.03

-2.41

-3.62

-7.49

1.26

7/31/07

7/31/07

7/31/07

7/31/07

4/30/08

4/30/08

7/31/11

7/31/11

22


27/140

City of Ft. Lauderdale Police and FireCumulative Performance Comparison

Total Returns of Total Fund Public SponsorsPeriods Ending 9/11

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank

1 Policy Index

Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

Last 8

Years

Last 9

Years

Last 10

Years

0.94

-7.55

-9.15-10.57

-12.09

-9.74

60

-8.41

37

4.54

1.95

0.73-0.16

-2.04

0.16

64

2.44

19

7.28

6.00

5.114.26

3.13

4.15

76

5.62

32

6.41

4.71

4.113.03

1.86

2.60

85

3.23

72

2.87

1.30

-0.37-1.52

-2.92

-1.44

73

-0.86

57

4.55

3.27

2.361.46

0.56

1.32

81

1.58

71

5.11

4.00

3.352.74

1.95

2.36

85

2.61

81

5.69

4.97

4.403.92

3.34

3.69

85

3.43

94

6.53

5.60

5.114.64

4.21

4.53

81

4.22

94

7.86

6.74

6.285.71

4.90

5.62

79

5.54

84

6.66

5.68

5.014.59

3.84

4.31

81

4.00

93

-14%

-12%

-10%-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

1

1

1

1

1

11

11

1

1

23


28/140

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

Years Ending December

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank

1 Policy Index

Net Ret

Rank

9/30/11

YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001

2.32

-3.28

-4.66-5.87

-7.71

-5.81

74

-3.77

32

17.24

13.97

12.6711.23

9.33

12.33

54

12.92

42

27.37

21.60

19.1115.60

9.61

15.13

78

15.86

73

-9.71

-20.20

-24.04-27.21

-30.38

-22.08

36

-22.66

40

10.77

8.69

7.526.38

4.36

7.38

54

6.30

76

16.32

14.05

12.0810.28

6.63

10.66

71

11.14

65

10.34

8.11

6.525.33

3.91

6.81

44

3.93

94

13.91

11.79

9.908.40

5.70

10.42

40

8.35

75

26.04

22.56

19.7217.04

11.34

18.01

66

18.64

59

1.58

-5.91

-8.28-9.76

-12.76

-8.68

59

-9.50

72

4.40

-0.68

-2.68-4.76

-8.99

-2.27

42

-3.34

58

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%25%

30%

1

11

1

1

1

1

1

1

1

1

24


29/140

City of Ft. Lauderdale Police and FireReturn vs Risk

Total Returns of Total Fund Public Sponsors

AnnualizedRateofReturn

2.0 4.6 7.2 9.8 12.4 15.0 17.6 20.2 22.8 25.4 28.0

0.0

0.9

1.8

2.6

3.6

4.5

5.4

6.3

7.2

8.1

9.0

1

Media

n

Risk

Median

Return

Historical Standard Deviation of Return

3 Years Ending 9/30/11

Annualized Net of Fee Return Standard Deviation

Value Rank Value Rank


1 Policy Index

Median

2.60 85 14.61 39

3.23 72 15.60 52

4.11 15.55


6.0 7.4 8.8 10.2 11.6 13.0 14.4 15.8 17.2 18.6 20.0

0.0

0.4

0.9

1.3

1.8

2.2

2.7

3.1

3.6

4.0

4.5

1

Median

Risk

Median

Return






1 Policy Index

Median

1.32 81 12.18 39

1.58 71 12.74 45

2.36 13.24

25


30/140

City of Ft. Lauderdale Police and FireRisk Measure Summary

Total Fund CompositeQuarterly Periods Ending 9/30/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

0.93

1.16

0.00

-9.73

6.38

0.24

0.24

1

3

-8.41

6.45

2.44

2.44

4

8

0.91

0.96

0.25

-11.33

10.07

-0.42

26.88

14.61

0.93

-0.11

0.99

0.17

2.59

1.67

-0.44

4

8

-12.61

11.10

-1.39

29.38

15.60

0.19

8

12

0.95

0.98

0.40

-11.33

10.07

-22.18

26.88

12.18

0.95

-0.07

0.99

-0.03

-0.42

1.62

-0.20

8

12

-12.61

11.10

-24.64

29.38

12.74

-0.01

19

45

0.98

0.94

0.48

-11.33

14.12

-22.18

33.57

10.46

0.96

0.06

0.96

0.31

3.42

2.04

0.03

19

45

-12.61

12.93

-24.64

32.86

10.70

0.30

26


31/140

City of Ft. Lauderdale Police and FireIntech Large Core as of 9/30/11

Exxon Mobil CorpApple Computer Inc

At&T Inc

Intl Business McHn

Chevron Corp

General Elec Co

Procter & Gamble Co

Pfizer Inc

Johnson & Johnson

Coca Cola Co

GICS Sector % Port

EnergyInformation Technology

Telecom Services

Information Technology

Energy

Industrials

Consumer Staples

Health Care

Health Care

Consumer Staples

4.262.38

2.23

2.09

2.05

1.69

1.58

1.34

1.32

1.19

EnergyMaterials

Industrials

Consumer Discretionary

Consumer Staples

Health Care

Financials


Telecom Services

Utilities

% Port

14.274.17

10.51

9.91

13.73

13.11

9.19

15.14

4.51

5.45

-16.0-14.0-12.0-10.0

-8.0-6.0-4.0

-2.00.02.04.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/04

Intech Large Core Standard & Poors 500

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

3/31/04

Intech Large Core


Asset Growth ($000)

Beginning Market Value

Net Contributions & Withdrawals

Gain/Loss + Income

Ending Market Value

-14.27

-13.86

22,607

18

-3,227

19,398

-7.58

-8.67

26,915

-6,241

-1,276

19,398

1.74

1.15

24,448

-6,241

1,191

19,398

1.72

1.23

33,682

-15,770

1,485

19,398

-0.56

-1.18

40,136

-19,470

-1,268

19,398

3.38

2.11

33,478

-23,366

9,286

19,398

Portfolio Performance (%)

Top Equity Holdings GICS Sector Allocation

27


32/140

City of Ft. Lauderdale Police and FireIntech Large Core as of 9/30/11

Cash & Equiv$123 0.63%

Domestic Equity$19,276 99.37%

Periods from 3/04 to 9/11

Alpha

Beta

R-Squared

0.31

0.97

0.99

AnnualizedReturn%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0

2.0

2.2

2.4

2.6

2.8

3.0

3.2

3.4

3.6

i

1T

Annualized Standard Deviation%

i Intech Large Core

1 Standard & Poors 500

T 91-Day Treasury Bill

AnnualizedNet Ret

Std.Dev.

SharpeRatio

InfoRatio

3.38

2.11

2.18

16.95

17.32

0.99

0.07

-0.00

0.00

0.59

Asset Allocation ($000)

Risk/Return Analysis

28


33/140

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

Total Returns of Equity PortfoliosPeriods Ending 9/11

High

1st Qt

Median3rd Qt

Low

i Intech Large Core

Net Ret

Rank


Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

-8.22

-13.86

-13.99-15.24

-19.03

-14.27

55

-13.86

27

5.27

1.23

1.110.46

-5.28

1.74

16

1.15

36

9.30

5.83

5.564.52

0.74

6.65

17

5.55

61

3.77

1.72

1.291.04

-1.04

1.72

25

1.23

70

-0.96

-4.51

-5.09-5.22

-7.19

-4.06

17

-5.15

71

1.51

-0.61

-1.13-1.33

-3.24

-0.56

21

-1.18

70

3.06

1.13

0.760.46

-0.54

1.31

17

0.73

70

4.66

3.00

2.422.31

1.70

3.36

18

2.29

82

-20%

-15%

-10%

-5%

0%

5%

10%

15%

i 1

i 1

i1

i 1

i1

i 1

i 1

i1

29


34/140

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

Total Returns of Equity PortfoliosYears Ending December

High

1st Qt

Median3rd Qt

Low

i Intech Large Core

Net Ret

Rank


Net Ret

Rank

9/30/11

YTD 2010 2009 2008 2007 2006 2005

-3.10

-8.61

-8.70-9.86

-15.75

-7.58

15

-8.67

37

20.21

16.64

15.0914.51

11.23

15.77

32

15.05

62

38.93

29.44

26.7026.29

18.60

25.49

79

26.45

71

-27.87

-35.51

-36.93-37.21

-42.02

-36.60

36

-36.99

68

12.44

5.91

5.515.01

-0.20

7.61

12

5.52

49

20.50

16.48

15.8015.60

11.42

14.84

84

15.81

49

12.80

9.09

5.044.88

3.44

9.24

23

4.89

74

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

i 1

i 1

i 1

i 1

i 1

i 1

i1

30


35/140


Total Returns of Large Neutral Portfolios


16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0

-2.0

-1.3

-0.5

0.1

0.8

1.5

2.2

2.9

3.6

4.3

5.0

i1

Media

n

Risk

Median

Return





i Intech Large Core


Median

1.72 25 24.80 16

1.23 70 25.24 40

1.29 25.25


14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

i1

Median

Risk

Median

Return





i Intech Large Core


Median

-0.56 21 20.23 15

-1.18 70 20.68 35

-1.13 20.69

31


36/140

City of Ft. Lauderdale Police and FireRisk Measure Summary

Intech Large CoreQuarterly Periods Ending 9/30/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

1.07

1.03

0.50

-14.27

10.09

1.74

1.74

1

3

-13.86

10.76

1.15

1.15

4

8

1.01

0.99

0.67

-21.62

15.35

-7.47

48.89

24.80

0.98

0.12

1.00

0.06

1.53

1.23

0.31

4

8

-21.93

15.93

-6.90

49.75

25.24

0.04

8

12

0.99

0.96

0.60

-21.62

15.35

-37.08

48.89

20.23

0.97

0.13

0.99

-0.11

-2.35

2.11

0.25

8

12

-21.93

15.93

-38.07

49.75

20.68

-0.14

10

20

1.02

0.93

0.67

-21.62

15.35

-37.08

48.89

16.95

0.97

0.31

0.99

0.07

1.23

1.98

0.59

11

19

-21.93

15.93

-38.07

49.75

17.32

-0.00

32


37/140

City of Ft. Lauderdale Police and FireEquity Summary Statistics

Intech Large CorePeriod Ending 9/11

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

Portfolio Standard & Poors 500

35119,275,65871,904,93511,572,017

2.5013.5814.550.982.01

51.035.51

500

86,962,3489,792,575

2.3813.5314.221.001.92

47.466.13

Ten Largest Holdings

Exxon Mobil CorpApple Computer IncAt&T IncIntl Business McHn

Chevron CorpGeneral Elec CoProcter & Gamble CoPfizer IncJohnson & JohnsonCoca Cola Co

Market Value % of Portfolio Quarterly Ret

820,719457,416428,285402,569

394,043326,136303,264257,085254,840229,704

4.262.382.232.09

2.051.691.581.341.321.19

-10.1413.56-7.952.49

-9.32-18.44

0.20-13.22-3.371.08

Ten Best Performers

Motorola Mobility HlGoodrich B F CoApple Computer IncCerner CorpProgress Energy IncBristol Myers SquibbConsolidated EdisonAutozone IncKimberly Clark CorpDuke Energy Corp New

Quarterly Ret

71.4226.7813.5612.13

9.128.368.278.267.787.70

Ten Worst Performers

Alpha Natural ResourNetflix Com IncNabors Industries LtMetropcs CommunicatiPulte Homes CorpCb Richard Ellis GroRegions Finl CorpCliffs Natural ResouBank Amer CorpSprint Nextel Corp

Quarterly Ret

-61.07-56.92-50.24-49.39-48.43-46.40-46.15-44.44-44.09-43.60

33


38/140

City of Ft. Lauderdale Police and FireEquity Contribution to Return

Intech Large CorePeriod Ending 9/11

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

Portfolio Standard & Poors 500

35119,275,65871,904,93511,572,017

2.5013.5814.550.982.01

51.035.51

500

86,962,3489,792,575

2.3813.5314.221.001.92

47.466.13

Ten Best Contributors

Apple Computer IncIntl Business McHnGoodrich B F CoAutozone Inc

Consolidated EdisonMcDonalds CorpAltria Group IncCerner CorpDominion Res Inc VaBristol Myers Squibb


457,416402,569

36,20495,757

85,530140,512198,394

47,96471,07843,932

2.382.090.190.50

0.440.731.030.250.370.23

13.562.49

26.788.26

8.274.853.10

12.136.228.36

Ten Worst Contributors

Exxon Mobil CorpGeneral Elec CoCaterpillar IncDu Pont E I De NemouNational-Oilwell IncAgilent TechnologiesRockwell AutomationChevron CorpAt&T IncPfizer Inc


820,719326,136177,216183,862128,050106,250117,600394,043428,285257,085

4.261.690.920.960.670.550.612.052.231.34

-10.14-18.44-30.34-25.40-34.40-38.86-35.01-9.32-7.95

-13.22

34


39/140

City of Ft. Lauderdale Police and FireEquity Sector Attribution Analysis

Intech Large CoreQuarter Ending 9/11

GICS Sectors

Weight

Portfolio Index

Return

Portfolio Index

Selection

Stock Sector Total

Energy

Materials

Industrials


Consumer Staples

Health CareFinancials


Telecom. Services

Utilities

14.49

6.01

11.33

11.56

11.84

8.528.87

16.71

4.80

5.86

100.00

12.17

3.69

11.32

10.70

10.71

11.7815.23

17.90

3.11

3.40

100.00

-21.24

-24.75

-21.80

-14.84

-4.78

-12.79-21.11

-9.21

-11.12

0.26

-14.34

-20.57

-24.06

-21.02

-12.96

-4.26

-10.06-22.86

-7.56

-7.98

1.55

-13.83

-0.10

-0.04

-0.09

-0.22

-0.06

-0.230.16

-0.28

-0.15

-0.08

-1.09

-0.16

-0.24

-0.00

0.01

0.11

-0.120.57

-0.07

0.10

0.38

0.58

-0.25

-0.28

-0.09

-0.21

0.05

-0.360.73

-0.35

-0.05

0.30

-0.51

Index - Standard & Poors 500

Stock Selection Return Attribution

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

Sector Selection Return Attribution

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

Trading Effect 0.06%

[ Actual Return -14.28% ] - [ Buy Hold Return -14.34% ]

35


40/140

City of Ft. Lauderdale Police and FireEquity Sector Attribution Chart

Intech Large CoreQuarter Ending 9/11

% Allocation

Energy 14.49 12.17

Materials 6.01 3.69

Industrials 11.33 11.32

Con. Discretionary 11.56

10.70

Consumer Staples 11.84 10.71

Health Care 8.52 11.78

Financials 8.87 15.23

Infomation Tech. 16.71 17.90

Telecom. Services 4.80 3.11

Utilities 5.86 3.40

Intech Large Core Standard & Poors 500

% Return

-21.24

-20.57

-24.75

-24.06

-21.80

-21.02

-14.84

-12.96

-4.78

-4.26

-12.79

-10.06

-21.11

-22.86

-9.21

-7.56

-11.12

-7.98

0.26

1.55

% Variance

-0.25

-0.28

-0.09

-0.21

0.05

-0.36

0.73

-0.35

-0.05

0.30

36


41/140

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 9/30/11

-16.0

-14.0

-12.0

-10.0

-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

9/30/95

Rhumbline Large Cap Fund Standard & Poors 500

Net of Fee Returns

Qtr

YTD

1 Year

3 Year

5 Year

10 Year

Incept

9/30/95



Asset Growth ($000)

Beginning Market Value

Net Contributions & Withdrawals

Gain/Loss + Income

Ending Market Value

-13.83

-13.86

27,994

4

-3,873

24,126

-8.31

-8.67

41,073

-15,663

-1,285

24,126

1.43

1.15

26,110

-4,263

2,279

24,126

1.48

1.23

34,145

-13,074

3,055

24,126

-0.96

-1.18

38,848

-13,909

-813

24,126

2.95

2.81

15,906

-4,320

12,539

24,126

6.27

6.11

8,000

9,754

6,372

24,126

Portfolio Performance (%)

37


42/140

City of Ft. Lauderdale Police and FireRhumbline Large Cap Fund as of 9/30/11

Cash & Equiv$13 0.06%

Domestic Equity$24,113 99.94%

Periods from 9/95 to 9/11

Alpha

Beta

R-Squared

0.04

0.99

1.00

AnnualizedReturn%

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

l1

T

Annualized Standard Deviation%

l Rhumbline Large Cap Fund


T 91-Day Treasury Bill

AnnualizedNet Ret

Std.Dev.

SharpeRatio

InfoRatio

6.27

6.11

3.26

17.82

18.06

1.06

0.17

0.16

0.00

0.16

Asset Allocation ($000)

Risk/Return Analysis

38


43/140

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

Total Returns of Equity PortfoliosPeriods Ending 9/11

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank


Net Ret

Rank

Last

Qtr

Last

Year

Last 2

Years

Last 3

Years

Last 4

Years

Last 5

Years

Last 6

Years

Last 7

Years

Last 8

Years

Last 9

Years

Last 10

Years

-8.22

-13.86

-13.99-15.24

-19.03

-13.83

18

-13.86

27

5.27

1.23

1.110.46

-5.28

1.43

20

1.15

36

9.30

5.83

5.564.52

0.74

5.72

32

5.55

61

3.77

1.72

1.291.04

-1.04

1.48

36

1.23

70

-0.96

-4.51

-5.09-5.22

-7.19

-4.90

38

-5.15

71

1.51

-0.61

-1.13-1.33

-3.24

-0.96

36

-1.18

70

3.06

1.13

0.760.46

-0.54

0.92

32

0.73

70

4.66

3.00

2.422.31

1.70

2.46

46

2.29

82

6.24

4.58

3.843.68

3.06

3.81

50

3.67

82

8.24

6.61

6.075.80

5.31

5.92

52

5.79

80

6.07

4.41

2.942.82

2.66

2.95

49

2.81

83

-20%

-15%

-10%

-5%

0%

5%

10%

15%

l1

l1

l1

l1

l1

l1

l1l1

l1

l1

l1

39


44/140

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

Total Returns of Equity PortfoliosYears Ending December

High

1st Qt

Median3rd Qt

Low


Net Ret

Rank


Net Ret

Rank

9/30/11

YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001

-3.10

-8.61

-8.70-9.86

-15.75

-8.31

19

-8.67

37

20.21

16.64

15.0914.51

11.23

14.93

67

15.05

62

38.93

29.44

26.7026.29

18.60

26.51

70

26.45

71

-27.87

-35.51

-36.93-37.21

-42.02

-36.56

35

-36.99

68

12.44

5.91

5.515.01

-0.20

5.60

34

5.52

49

20.50

16.48

15.8015.60

11.42

15.86

38

15.81

49

12.80

9.09

5.044.88

3.44

4.90

73

4.89

74

19.97

12.84

10.9310.82

8.16

10.85

71

10.87

66

39.49

31.48

28.7328.59

24.60

28.59

75

28.69

57

-11.66

-20.66

-22.00-22.08

-23.79

-21.92

44

-22.12

83

8.89

-6.89

-11.77-11.93

-12.38

-11.68

48

-11.88

66

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

l1

l1

l1

l1

l1

l1

l1

l1

l1

l1

l1

40


45/140


Total Returns of Large Neutral Portfolios


16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0

-2.0

-1.3

-0.5

0.1

0.8

1.5

2.2

2.9

3.6

4.3

5.0

l1

Media

n

Risk

Median

Return







Median

1.48 36 25.05 23

1.23 70 25.24 40

1.29 25.25


14.0 15.4 16.8 18.2 19.6 21.0 22.4 23.8 25.2 26.6 28.0

-6.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

l1

Median

Risk

Median

Return







Median

-0.96 36 20.53 20

-1.18 70 20.68 35

-1.13 20.69

41


46/140

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

Quarterly Periods Ending 9/30/11

Risk Measures

1 Year

Portfolio Bench

3 Years

Portfolio Bench

5 Years

Portfolio Bench

Inception

Portfolio Bench

Negative Periods

Positive Periods

Up Market Capture

Down Market Capture

Batting Average

Worst Quarter

Best Quarter

Worst 4 Quarters

Best 4 Quarters

Standard Deviation

Beta

Alpha

R-Squared

Sharpe Ratio

Treynor Ratio

Tracking Error

Information Ratio

1

3

1.02

1.00

0.50

-13.83

10.62

1.43

1.43

1

3

-13.86

10.76

1.15

1.15

4

8

1.00

0.99

0.50

-21.62

15.88

-6.51

49.68

25.05

0.99

0.06

1.00

0.05

1.27

0.40

0.50

4

8

-21.93

15.93

-6.90

49.75

25.24

0.04

8

12

1.00

0.99

0.65

-21.62

15.88

-37.64

49.68

20.53

0.99

0.04

1.00

-0.13

-2.72

0.31

0.59

8

12

-21.93

15.93

-38.07

49.75

20.68

-0.14

21

43

1.00

0.99

0.64

-21.62

21.07

-37.64

49.68

17.82

0.99

0.04

1.00

0.17

3.05

0.68

0.16

21

43

-21.93

21.32

-38.07

49.75

18.06

0.16

42


47/140

City of Ft. Lauderdale Police and FireSawgrass as of 9/30/11

Intl Business McHnApple Computer Inc

Microsoft Corp

Coca Cola Co

McDonalds Corp

Google Inc

Directv

Celgene Corp

Exxon Mobil Corp

American Express Co

GICS Sector % Port

Information TechnologyInformation Technology


Consumer Staples




Health Care

Energy

Financials

5.294.87

4.33

3.69

3.64

3.51

3.38

3.35

3.24

2.85

EnergyMaterials

Industrials


Consumer Staples

Health Care

Financials


Telecom Services

Utilities

% Port

Ft.lauderdale 3rd Qtr 11 Full Report

Documents

Transcript of Ft.lauderdale 3rd Qtr 11 Full Report