Investment Performance Review. Oklahoma Municipal Retirement Fund

Transcription

1 Investment Performance Review 231 South Bemiston Avenue, 14th Floor St. Louis, Missouri Oklahoma Municipal Retirement Fund

2 Table of Contents Tab 1 Tab 2 Tab 3 Tab 4 Tab 5 Glossary Market Overview Report Card Defined Benefit Performance Balanced Funds Managers Defined Contribution Performance

3 Market Overview 28 Asset Consulting Group, Inc. All Rights Reserved 1

4 Overview of Capital Markets (Second Quarter) Market Overview Real GDP (final) rose modestly at an annual rate of 1.% on an inflation-adjusted basis in the first quarter of 28 a revision upward from the earlier estimates, and above the anemic.6% experienced in the 4th quarter of 27. After lowering the Fed Funds rate again by 25 basis points at the end of April, the Fed ended a nine month period of rate drops, leaving the key short-term interest rate unchanged at 2.% at their June meeting citing concerns over the risk of inflation. In the second quarter of 28, the US Dollar rebounded versus the Yen (+6.) but remained relatively stable against the Euro (+.4%) and the Pound (+.3%). After narrowing more than expected in March to $56.5 billion, the international trade deficit widened in April to $6.5 billion as overall imports fueled by surging oil prices more than offset a solid 3.3% gain in exports. The trade gap narrowed unexpectedly in May to $59.8 billion as exports, helped by the weak dollar, climbed to all-time highs. Oil prices jumped sharply during the 2nd quarter, with new highs being recorded on nearly a daily basis, closing at just over a record $14/barrel up from $11/barrel at the end of March. Prices have doubled in the past year a year ago, the cost of oil was $7/barrel. The Consumer Price Index surged 1.1% in June on rising energy and food prices, following a.6% jump in May and a more modest.2% rise in April. Overall prices have risen by 5.% in the last 12 months, the highest annual increase since May The PMI index rose unexpectedly to 5.2% in June (up from 49.6% in May), a level that indicates expansion in the manufacturing sector for the first time since January. Industrial production advanced a larger than expected.5% in June after tumbling.7% in April and.2% in May. June manufacturing output was boosted by a 5.4% jump in motor vehicles and parts following the end of a strike that had idled plants since February. For the quarter as a whole, output declined at an annual rate of 3.1%. The total business inventory to sales ratio dropped to 1.24 at the end of May, which is below the 1.26 level a year ago. First quarter productivity in the non-farm business sector was revised upward to 2.6%, while unit labor costs the best measure of inflationary pressures emanating from the labor market were revised down to a relatively benign gain of 2.2%. Year-over-year, productivity grew at stellar 3.3% and unit labor costs just.7%. The unemployment rate jumped.5% to 5.5% in May, remaining at that level in June as employers continued to trim jobs from their payrolls for the sixth straight month. May's was the largest monthly gain in more than 2 years and left the rate at its highest since October 24. Retail sales jumped a higher-than expected 1% in May, as the impact of the economic stimulus checks kicked in. However, they rose a meager.1% in June reflecting plunging sales in the auto industry and soaring gasoline prices. The housing market continues to struggle: After rising 2% in May, existing home sales fell 2.6% in June a seasonally adjusted annual rate of 4.86 million units 15.5% below the level a year ago. Housing prices have risen for the last 4 months although they are 6.1% below June 27 prices. New home sales rose 3.3% in the quarter, declining in May and June following a 5.6% rise in April and ended at a seasonally adjusted 53, annual rate which is 33.2% below the June 27 level. Housing starts rose 7.9% in the second quarter to an annual rate of 1,66, units. However, much of this gain was attributed to builders in New York City who began construction before a building code change on July 1. Consumer confidence continues to erode: the Conference Board's Consumer Confidence index dropped 14.1 points in the quarter to an abysmally low 5.4, suggesting that consumers are at their most down-beat in over 16 years. 28 Asset Consulting Group, Inc. All Rights Reserved 2

5 Equity Index Returns 25.% (2.7)% (1.7)% (5.3%) (3.6%) (1.9%) (.9%) (11.9)% (11.)% (13.6%) (9.1%) (3.9%) (9.4%) (9.8%) (8.9%) (1.6%) (9.9%) (13.1)% (12.7)% (18.8%) (6.%) (7.3%) (16.2%) (21.6%) (1.8%) (1.2%) (6.2%) 1.3% 5.4%.6% 4.5% 4.4% 4.7% 3.5% 5.9% 7.5% 3.8% 1.4% 6.1% 13.3% 7.6% 8.4% 8.9% 7.3% 12.6% 1.3% 1 1.4% 16.2% 17.2% 19.4% 2.% 15.% 1.% 5.%.% (5.%) (1.%) (15.%) (2.%) (25.%) Quarter Two Quarters One Year Three Years Five Years S&P 5 Russell 3 Russell 1 Value Russell 1 Growth S&P Midcap Russell 2 Russell 2 Value Russell 2 Growth EAFE MSCI All Country World ex U.S. 28 Asset Consulting Group, Inc. All Rights Reserved 3

6 Equity Sector Returns 45.% (41.9%) (4.2%) (17.3%) (19.9%) 6.5% 7.2% (8.%) (13.2%) (27.%) (4.1%) 1.8% 16.4% 8.2% 23.6% 25.5% 29.4% (18.3%) (29.3%) (9.2%) (1.1%) (1.2%) (12.6%) (11.7%) 1.1% 2.4% (9.9%) (13.6%) (12.6%) 5.3% 9.6% 8.3% 4.4% 11.7% % (5.3%) (7.3%).9% 7.8% 8.1% 2.5% (13.1%) (7.3%) 5.6% 7.3% 8.% (2.8%) 6.4% 12.5% 17.1% 3.% 15.%.% (15.%) (3.%) (45.%) (6.%) Communications Consumer Discretionary Energy Financials Health Care Industrials Materials Consumer Staples Information Technology Utilities Quarter Two Quarters One Year Three Years Five Years 28 Asset Consulting Group, Inc. All Rights Reserved 4

7 Equity Style Spectrum - Median Returns 2 (3.4)% (8.9)% (2.4)% 1.8% 1.6% 3.2% (9.9)% (12.6)% 5.8% 11.2% 1.1% (7.3)% (16.)% 4.9% 11.8% 3.3% (7.1)% (1.9)% 6.2% 12.%.4% (7.4)% (14.5)% 4.2% 11.7% 4.3% (7.3)% (6.7)% 1.2% 13.9% 3.% (5.9)% (1.8)% 6.9% 12.7% (4.4)% (14.2)% (19.)% 3.6% 9.8% 1.9% (9.6)% (4.1)% 6.1% 9.2% (2.7)% (11.8)% (13.)% 4.5% 7.8% (.2)% (1.6)% (12.9)% 4.9% 9.8% 15.% 1 5.% -5.% % % Small Value Small Growth Small Core SMID Mid Value Mid Growth Mid Core Large Value Large Growth Large Core Equity Manager Universe Quarter Two Quarters One Year Three Years Five Years 28 Asset Consulting Group, Inc. All Rights Reserved 5

8 International Index Returns 4 (13.3)% (16.1)% (1.9)% (1.6)% (1.2)% 13.3% 17.2% (4.1)%.2% (7.8)% (4.1)% (.8)% (11.6)% (5.5)% (12.)% (.9)% (9.9)% (6.2)% 11.5% 17.6% 15.1% 16.6% 4.9% 2.5% 8.6% 13.% 16.2% 19.4% 27.5% 3.1% MSCI EAFE MSCI Value MSCI Growth MSCI Emg. Markets Free MSCI Japan MSCI All County World ex U.S. Quarter Two Quarters One Year Three Years Five Years 28 Asset Consulting Group, Inc. All Rights Reserved 6

9 2.% Fixed Income Index Returns (1.2)% (2.)% (1.)% (1.9)% (4.2)% (.9)% (.5)%.3% 1.2% 3.6% 4.3% 3.2% 2.3% 4.% 4.8% 4.% 3.5% (.5)% 1.9% 7.8% 4.8% 4.6% 1.8% 4.6% 6.8% 1.1% 7.1% 4.1% 3.9% 2.1% 9.7% 4.6% 3.8% 5.% 6.2% 6.4% 2.8% 3.8% 3.3% 17.% 15.% 1.% 5.%.% (5.%) (1.%) 9-Day US T-Bills CPI Lehman Bros. Mortgage-Backed Merrill Lynch High Yield Lehman Bros. Aggregate Lehman Bros. Government Citi World Gov't Bond Lehman Bros. Credit Quarter Two Quarters One Year Three Years Five Years 28 Asset Consulting Group, Inc. All Rights Reserved 7

10 Fixed Income Market Environment Nominal Returns by Sector As of 6/3/8 1-Month QTD 1-Year 3-Year* Aggregate -.8% -1.2% 7.12% 4.9% Treasury.79% -2.1% 1.33% 4.59% Gov't-Related.12% -1.65% 8.38% 4.62% Corporate -.64% -.69% 2.95% 2.41% MBS -.6% -.49% 7.83% 4.82% CMBS -2.14%.18% 2.6% 2.38% ABS -.48% -.8% -2.8% 1.52% High Yield (Corporate) -2.8% 1.76% -2.26% 4.59% Nominal Returns by Quality As of 6/3/8 1-Month QTD 1-Year 3-Year* AAA.8% -1.9% 8.18% 4.5% AA -.8% -1.67% 4.27% 2.93% A -.68% -.89% 2.85% 2.26% BBB -.55%.13% 2.6% 2.52% BB -1.3% 1.12%.4% 4.1% B -3.67% 1.4% -1.6% 4.94% CCC -2.96% 4.27% -6.97% 5.58% Nominal Returns by Maturity As of 6/3/8 1-Month QTD 1-Year 3-Year* 1-3 Yr..14% -.19% 6.75% 4.7% 3-5 Yr..7% -.78% 7.28% 4.56% 5-7 Yr. -.13% -.97% 7.44% 4.33% 7-1 Yr. -.47% -1.55% 6.86% 3.46% 1+ Yr..38% -1.53% 6.61% 2.18% *Annualized Source: Lehman Brothers Excess Return (bps) Excess Return (bps) Excess Returns by Sector as of June 3, Gov't-Related Corporate MBS CMBS ABS High Yield (Corporate) Month QTD 1-Year 3-Year* Excess Returns by Quality as of June 3, AAA AA A BBB BB B CCC 1-Month QTD 1-Year 3-Year* Asset Consulting Group, Inc. All Rights Reserved 8

11 MISSING DATA - CANNOT PRODUCE REPORT 6.% Interest Rate Term Structure Government Issues - 3 Months to 3 Year Maturity 5.% Yield-to-Maturity 4.% 3.% 2.% 1.%.% Years-to-Maturity 6/3/28 3/31/28 12/31/27 9 Days 18 Days 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 1 Years 2 Years 3 Years 6/3/28 3/31/28 12/31/27 1.9% 1.38% 3.36% 2.17% 1.51% 3.49% 2.36% 1.55% 3.34% 2.63% 1.62% 3.5% 2.91% 1.79% 3.7% 3.13% 2.13% 3.41% 3.34% 2.46% 3.45% 3.61% 2.88% 3.85% 3.99% 3.45% 4.4% 4.59% 4.3% 4.47% 4.53% 4.3% 4.45% 28 Asset Consulting Group, Inc. All Rights Reserved 9

12 Monthly Indices Report Periods Ending June 3, 28 Returns Index Name Style Month Qtr 2 Qtrs 1 Year 3 Years 5 Years 1 Years Domestic Equity Indices S&P 5 Large Cap Core (8.43)% (2.72)% (11.91)% (13.11)% 4.41% 7.59% 2.89% S&P Equal Weighted Large Cap Core (9.78)% (2.48)% (1.87)% (16.89)% 4.5% 9.92% 6.52% Russell 1 Large Cap Core (8.31)% (1.9)% (11.21)% (12.38)% 4.8% 8.22% 3.38% Russell 1 Growth Large Cap Growth (7.2)% 1.26% (9.6)% (5.96)% 5.92% 7.33%.96% Russell 1 Value Large Cap Value (9.57)% (5.32)% (13.58)% (18.79)% 3.51% 8.91% 4.91% Russell Mid Cap Mid Cap Core (7.99)% 2.68% (7.57)% (11.2)% 6.84% 13.7% 8.1% Russell 2 Small Cap Core (7.7)%.58% (9.38)% (16.19)% 3.79% 1.29% 5.52% Russell 2 Growth Small Cap Growth (5.96)% 4.47% (8.92)% (1.82)% 6.8% 1.37% 2.8% Russell 2 Value Small Cap Value (9.6)% (3.55)% (9.84)% (21.63)% 1.39% 1.2% 7.47% Wilshire 5 Broad Equities (8.14)% (1.55)% (1.92)% (12.53)% 5.2% 8.73% 3.59% International Equity Indices MSCI World Broad Global (7.94)% (1.42)% (1.24)% (1.17)% 9.44% 12.55% 4.63% MSCI EAFE Developed Markets Intl (8.16)% (1.93)% (1.58)% (1.15)% 13.34% 17.16% 6.22% MSCI EAFE Growth Developed Markets Intl Growth (6.82)%.24% (7.85)% (4.7)% 15.7% 16.63% 4.42% MSCI EAFE Value Developed Markets Intl Value (9.52)% (4.13)% (13.32)% (16.6)% 11.52% 17.56% 7.81% MSCI Emerging Markets Free Emerging Market (9.96)% (.81)% (11.64)% 4.9% 27.52% 3.15% 15.51% Domestic Fixed Income Indices Treasury Bills Cash.18%.32% 1.21% 3.64% 4.27% 3.18% 3.63% Merrill Lynch 1-3 Yr Treasuries Treasuries.29% (.85)% 2.11% 7.31% 4.71% 3.29% 4.66% Lehman Muni 5 Yr 5 Yr Municipal Bonds (1.2)% (.8)% 1.11% 5.67% 3.25% 2.87% 4.45% Merrill Lynch High Yield High Yield Bonds (2.66)% 1.8% (1.24)% (2.4)% 4.59% 6.84% 5.21% Lehman Aggregate Core Bonds (.8)% (1.2)% 1.13% 7.13% 4.8% 3.85% 5.68% Lehman Government Government Bonds.58% (1.91)% 2.6% 9.69% 4.6% 3.78% 5.7% Lehman U.S. Credit Index Corporate Bonds (.53)% (.9)% (.47)% 3.81% 2.76% 3.27% 5.57% Lehman Muni 1 Yr 1 Yr Municipal Bonds (1.4)%.4%.35% 4.67% 3.17% 3.49% 4.98% Real Estate Indices NCREIF Property Real Estate N/A.56% 2.17% 9.27% 14.95% 14.72% 12.19% NAREIT Real Estate (1.88)% (4.93)% (3.61)% (13.65)% 4.98% 14.29% 1.65% 28 Asset Consulting Group, Inc. All Rights Reserved 1

13 Monthly Indices Report Periods Ending July 31, 28 Returns Index Name Style Month Qtr YTD 1 Year 3 Years 5 Years 1 Years Domestic Equity Indices S&P 5 Large Cap Core (.84)% (8.2)% (12.65)% (11.9)% 2.86% 7.3% 2.91 % S&P Equal Weighted Large Cap Core (.48)% (7.8)% (11.3)% (13.37)% 2.18% 9.25% 6.96 % Russell 1 Large Cap Core (1.16)% (7.72)% (12.24)% (1.63)% 3.7% 7.54% 3.38 % Russell 1 Growth Large Cap Growth (1.9)% (5.62)% (1.79)% (6.29)% 3.58% 6.39%.83 % Russell 1 Value Large Cap Value (.36)% (1.4)% (13.89)% (15.16)% 2.41% 8.51% 5.6 % Russell 25 Mid Cap Core.69% (3.12)% (7.47)% (8.43)% 3.18 % 1.47% 8.34 % Russell 2 Small Cap Core 3.7%.11% (6.2)% (6.71)% 2.92% 9.76 % 6.81 % Russell 2 Growth Small Cap Growth 2.33% 1.68% (6.8)% (3.75)% 4.52% 9.27% 3.94 % Russell 2 Value Small Cap Value 5.13% (1.71)% (5.21)% (9.95)% 1.21 % 1.5 % 8.89 % Wilshire 5 Broad Equities (.86)% (7.3)% (11.68)% (1.23)% 3.31% 8.3% 3.73 % International Equity Indices MSCI World Broad Global (2.42)% (8.69)% (12.41)% (1.38)% 7.31% 11.55% 4.39 % EAFE Developed Markets Intl (3.2)% (1.7)% (13.45)% (11.74)% 1.99% 15.84% 5.77 % EAFE Growth Developed Markets Intl Growth (3.48)% (7.89)% (11.6)% (6.66)% 12.58% 15.51% 4. % EAFE Value Developed Markets Intl Value (2.91)% (12.27)% (15.84)% (16.74)% 9.31% 16.6% 7.32 % MSCI Emerging Markets Free Emerging Market (3.69)% (11.65)% (14.9)% (4.8)% 23.9% 27.61% % MSCI All Country World ex US Emerging Market (3.58)% (9.96)% (13.9)% (9.33)% 13.37% 17.93% 7.24% Domestic Fixed Income Indices Treasury Bills Cash.18%.39% 1.39% 3.42% 4.25% 3.2% 3.6 % Merrill Lynch 1-3 Yr Treasuries Treasuries.4%.33% 2.52% 6.77% 4.95% 3.48% 4.65 % Lehman Muni 5 Yr 5 Yr Municipal Bonds 1.41%.69% 2.54% 6.24% 3.92% 3.61% 4.56 % Merrill Lynch High Yield High Yield Bonds (1.59)% (3.81)% (2.81)% (.49)% 3.5% 6.81% 4.98 % Lehman Aggregate Core Bonds (.8)% (.89)% 1.5% 6.16% 4.37% 4.55% 5.65 % Lehman Government Government Bonds.44% (.8)% 2.51% 8.61% 5.18% 4.75% 5.73 % Lehman U.S. Credit Index Corporate Bonds (.59)% (2.5)% (1.6)% 2.85% 2.9% 4.5% 5.52 % Lehman Muni 1 Yr 1 Yr Municipal Bonds.77%.22% 1.12% 4.53% 3.73% 4.54% 5.5 % Real Estate Indices NCREIF Property Real Estate N/A.56% 2.17% 9.27% 14.95% 14.72% % NAREIT Real Estate 3.47% (7.8)% (.26)% (3.9)% 3.77% 13.88% % *Real Estate returns are updated 45 days after quarter end. For comparison purposes, prior quarter returns are used until returns are published. 28 Asset Consulting Group, Inc. All Rights Reserved 11

14 Report Card 28 Asset Consulting Group, Inc. All Rights Reserved 12

15 Performance vs. Objectives* For the Period Ending June 3, 28 Benchmark OMRF Objective Met? The Pension Fund's annualized total return should equal or exceed the Fund's actuarial interest rate assumption (currently 7.5%). The Pension Fund's total return should exceed the total return of an index composed as follows: 4% S&P 5 Stock Index 15% Russell 25 Index 1% MSCI EAFE Index 3% Lehman Brothers Aggregate Bond Index 5% NCREIF Index Volatility or standard deviation in line with that of the blended policy index, as described above. The Pension Fund's total return should rank at median or above when compared to a universe of total fund portfolios with a similar allocation to equities (55% - 7%). 7.5% 7.7% 7.7% 7.7% % 7.7% 5th 85th Yes No No No * All benchmark and actual returns shown are for five years ending June 3, Asset Consulting Group, Inc. All Rights Reserved 13

16 Defined Benefit Performance 28 Asset Consulting Group, Inc. All Rights Reserved 14

17 Defined Benefit Plan Asset Allocation For the Period Ending June 3, 28 Int'l Equity $31,527, % Real Estate $15,258, % Domestic Equity $148,94, % STIF $3,52, % Bonds $84,929,939 3 Total Assets: $282,862, Asset Consulting Group, Inc. All Rights Reserved 15

18 Defined Benefit Plan Manager Allocation Equity $ 149,396, % INTECH 38,875,54 SSgA S&P 5 Fund 68,44,118 Earnest Partners SMID Value 22,443,131 Transamerica Investment Management 2,33,528 International Equity $ 31,527, % Frontegra New Star 15,82,438 GMO International Intrinsic Value 15,76,89 Fixed Income $ 84,931,28 3.3% JP Morgan Fixed Income 29,16,59 Mellon Lehman Aggregate Index 28,792,88 Western Asset Core Plus Fund 26,977,81 Real Estate $ 15,258, % JP Morgan Strategic Property Fund 1,147,34 JP Morgan Special Situation Property 5,111,727 Cash & Cash Equivalents $ 1,749,242.62% JP Morgan Misc Assets 1,748,932 International Funds Cash 31 Total Market Value: $282,862, Asset Consulting Group, Inc. All Rights Reserved. 16

19 Defined Benefit Plan Total Fund Dollar Reconciliation ('s) This Quarter Year-To-Date Last Twelve Months Beginning Market Value $286,127 $36,723 $35,644 Net Additions ,345 Return on Investment -3,198-23,99-19,436 Income Received 1,44 2,172 8,336 Gain/Loss -4,241-26,163-27,772 Ending Market Value 282, , , Asset Consulting Group, Inc. All Rights Reserved 17

20 Defined Benefit Plan Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Defined Benefit Plan Policy Index Median Total Fund (Between 55-7% Eqty) 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's ranking versus the total fund with similar equity allocation universe. The rankings are on a scale of 1 to 1 with 1 being the best. *Effective January 1, 27 the Policy Index is comprised of 4% S&P 5, 15% Russell 25, 1% MSCI EAFE, 3% LB Aggregate, 5% NCREIF. Prior to that the Policy Index was comprised of 4% S&P 5, 15% Russell 25, 1% MSCI EAFE, and 35% LB Aggregate. 28 Asset Consulting Group, Inc. All Rights Reserved 18

21 Risk vs. Return Analysis Three and Five Years Ending June 3, 28 Three Year Risk/Return Five Year Risk/Return MTF (55-7% Equity Allocation) 9 MTF (55-7% Equity Allocation) Return Return Policy Index Defined Benefit Plan Standard Deviation Policy Index Defined Benefit Plan Standard Deviation Annualized Return Standard Deviation Sharpe Ratio Annualized Return Standard Deviation Defined Benefit Plan Defined Benefit Plan Policy Index Policy Index MTF (55-7% Equity Allocation) MTF (55-7% Equity Allocation) Sharpe Ratio *Effective January 1, 27 the Policy Index is comprised of 4% S&P 5, 15% Russell 25, 1% MSCI EAFE, 3% LB Aggregate, 5% NCREIF. Prior to that the Policy Index was comprised of 4% S&P 5, 15% Russell 25, 1% MSCI EAFE, and 35% LB Aggregate. 28 Asset Consulting Group, Inc. All Rights Reserved 19

22 Balanced Funds Managers 28 Asset Consulting Group, Inc. All Rights Reserved 2

23 Asset Allocation - Defined Benefit Total Assets: $38,875,54 STIF $25,322.5% INTECH For the Period Ending June 3, 28 Large Cap Core Inception Date: September 24 Strategy Performance Goals Outperform the S&P 5 Index by 175 basis points over a market cycle of 3-5 years. Domestic Equity $38,67, % Asset Allocation - Defined Contribution Commentary Total Assets: $8,991,971 STIF $633 INTECH s large cap core strategy returned -1.8% in the second quarter and outperformed the S&P 5 Index by 9 basis points. This ranked the portfolio in the top third percentile among their large cap core peers. Year-to-date the strategy has declined 11.9% and is in-line with the S&P 5 Index and the median large cap core manager. Over the trailing one year period the strategy has generated a - 1.8% return but is outperforming the S&P 5 Index (-13.1%) and ranks in the top quartile among their peers. Domestic Equity $8,991,338 1 Late in the first quarter, INTECH announced that Dr. Cary Maguire, Co-Chief Investment Officer, resigned from the firm for personal reasons. Dr. Robert Fernholz, INTECH s founder, will continue to serve as Chief Investment Officer. Representatives from ACG and the Investment Committee visited INTECH s office during the second quarter and discussed this departure at length. The firm has a great deal of organizational continuity and the size and depth of the team are mitigating factors to the pending change, but ACG will continue to monitor this transition and keep the Board of Trustees apprised of any further developments. Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 21

24 INTECH As of June 3, 28, INTECH held 373 securities in their portfolio. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) Characteristics INTECH S&P 5 EXXON MOBIL CORP 4.5% CHEVRON CORP 1.6% GENERAL ELEC CO 3.3% COCA COLA CO 1.4% 8 AT & T INC 2.3% MERCK & CO INC COM 1.3% MICROSOFT 1.8% BANK OF AMERICA CORP 1.2% PROCTER & GAMBLE CO 1.8% HEWLETT PACKARD CO 1.2% Ten Best Performers (Quarter) Avg Mkt Cap ($Bil) Med Mkt Cap ($Bil) Erngs Grth P/B P/E Yield PEABODY ENERGY CORP 72.8% CHESAPEAKE ENERGY CORP 43.1% CONSOL ENERGY INC 62.6% CUMMINS ENGINE INC COM 4.2% Sector Allocation NATIONAL-OILWELL VARCO INC 52.% BIG LOTS INC 4.1% UNITED STS STL CORP NEW 45.9% NOBLE ENERGY INC 38.4% HESS CORPORATION 43.2% SCHERING PLOUGH CORP 37.1% Ten Worst Performers (Quarter) MBIA INC -64.1% BANK OF AMERICA CORP -35.8% WASHINGTON MUT INC -52.1% FEDERAL HOME LN MTG CORP -34.5% CENTEX CORP -44.7% TESORO CORP -33.8% GENERAL MTRS CORP -38.9% PULTE HOMES INC -33.6% AMERICAN INTL GROUP INC COM -38.5% SUNTRUST BKS INC -33.4% Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary INTECH S&P Materials Information Technology.4. Miscellaneous Utilities Telecommunication Services 28 Asset Consulting Group, Inc. All Rights Reserved 22

25 INTECH Risk vs. Return (3 Year Annualized) Portfolio Statistics 5.2% 5.1% INTECH 3 Years Rate of Return 5.% 4.9% 4.8% 4.7% 4.6% 4.5% 4.4% S&P 5 4.3% 1.2% 1.25% 1.3% 1.35% 1.4% 1.45% 1.5% 1.55% 1.6% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square INTECH S&P Return Histogram (3 Years) Return Analysis INTECH S&P Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months INTECH S&P % -8.18% % % -8.43% % -4% to -3% Less than -4% -1% to % -2% to -1% -3% to -2% 3% to 4% 2% to 3% 1% to 2% % to 1% Greater than 5% 4% to 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 23

26 INTECH Ranking Rate of Return % Quarter 2 Quarters 1 Year 2 Years 3 Years INTECH S&P 5 Median Large Core Mgr 1 Quarter 2 Quarters 1 Year 2 Years 3 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the large cap core peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 24

27 Asset Allocation - Defined Benefit Total Assets: $68,44,118 STIF $189 SSgA S&P 5 Fund For the Period Ending June 3, 28 Passively Managed Large Cap Core Equity - S&P 5 Equity Index Fund Inception Date: December 24 Strategy Beginning in December 24 returns of the Bank One product were linked with those of SSgA to report longer history. Performance Goals Mirror the risk and return profile of the S&P 5 Index over all time periods. Domestic Equity $68,43,929 1 Asset Allocation - Defined Contribution Commentary Domestic Equity $13,97,7 1 Total Assets: $13,97,971 STIF $271 After rebounding in April and May, weak performance in June resulted in a total return of -2.7% for the S&P 5 Index in the second quarter. This contributed to a year-to-date return of -11.9%. Despite the negative performance over the past year, the strategy has returned an annualized 4.5% over the past three years. The two main themes in the second quarter were related to the rise in oil prices and the decline in financial stocks. The fallout from the housing market and credit crisis continued to spread and financial institutions continued to post large write downs. As a result, the financial sector in the S&P 5 Index posted a negative return of 18.3% and accounted for 61% of the S&P 5 s negative performance in the second quarter. Conversely, the energy sector continued to benefit form the rise in oil prices and posted the highest return in the Index with a 16.4% return. Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 25

28 SSgA S&P 5 Fund As of June 3, 28, SSgA S&P 5 Fund held 54 securitues. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) EXXON MOBIL CORP 4.2% PROCTER & GAMBLE CO 1.7% GENERAL ELECTRIC CO 2.4% JOHNSON & JOHNSON 1.6% MICROSOFT CORP 2.% IBM 1.5% CHEVRON CORP 1.8% APPLE INC 1.3% AT&T INC 1.8% CONOCOPHILLIPS 1.3% Ten Best Performers (Quarter) JABIL CIRCUIT INC 74.5% ELECTRONIC DATA SYSTEMS 48.3% PEABODY ENERGY CORP 72.8% UNITED STATES STEEL CORP 45.9% CONSOL ENERGY INC 62.6% NABORS INDUSTRIES LTD 45.8% Wtd. Avg Mkt Cap ($bil) Characteristics SSgA S&P 5 Fund S&P 5 Projected 5 Year Growth Sector Allocation P/B Projected P/E Yield SSgA S&P 5 Fund S&P SAFECO CORP 54.5% HESS CORP 43.2% 25 NATIONAL OILWELL VARCO 52.% CHESAPEAKE ENERGY CORP 43.1% Ten Worst Performers (Quarter) AMBAC FINANCIAL GROUP -67.4% KEYCORP -49.2% MBIA INC -64.1% LEHMAN BROTHERS HOLDINGS -47.2% WASHINGTON MUTUAL -52.1% FIRST HORIZON NATIONAL CORP -45.7% NATIONAL CITY CORP -52.% HUNTINGTON BANCSHARES -45.3% FIFTH THIRD BANCORP -5.6% CENTEX CORP -44.7% Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Characteristic data provided by the manager. 28 Asset Consulting Group, Inc. All Rights Reserved 26

29 SSgA S&P 5 Fund Risk vs. Return (1 Years Annualized) Portfolio Statistics 2.9% S&P 5 1 Years Rate of Return 2.85% 2.8% 2.75% 2.7% SSgA S&P 5 Fund 2.65% 16.68% 16.7% 16.72% 16.74% 16.76% 16.78% 16.8% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Tracking Error SSgA S&P 5 Fund S&P Return Histogram (1 Years) Return Analysis SSgA S&P 5 Fund S&P Number of Quarters Highest Quarterly Return Lowest Quarterly Return Number of Pos. Quarters Number of Neg. Quarters % Positive Quarters SSgA S&P 5 Fund S&P % % % % % % -16% to -12% Less than -16% -4% to % -8% to -4% -12% to -8% 12% to 16% 8% to 12% 4% to 8% % to 4% Greater than 2% 16% to 2% All information calculated using quarterly data. 28 Asset Consulting Group, Inc. All Rights Reserved 27

30 SSgA S&P 5 Fund Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years SSgA S&P 5 Fund S&P 5 Median Large Core Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the large cap core peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 28

31 Asset Allocation - Defined Benefit Total Assets: $22,443,131 STIF $569, % Earnest Partners SMID Value For the Period Ending June 3, 28 SMID Equity Value Inception Date: March 24 Strategy Domestic Equity $21,873, % Performance Goals Exceed the return of the Russell 25 Value Index over a complete market cycle (3 to 5 years). Rank above median in the small cap value equity universe over a complete market cycle (3 to 5 years). Asset Allocation - Defined Contribution Commentary Total Assets: $4,445,47 STIF $119, % Earnest Partner s portfolio posted a strong return of 5.1% in the second quarter, well ahead of the -1.2% return for the Russell 25 Value Index and the -3.4% return for the median small value peer. Positive stock selection in the strong performing energy sector was the largest contributor to the relative outperformance in the second quarter, as multiple holdings posted significant double digit returns. Additionally, the portfolio benefited from its holdings in the information technology and industrials sectors. Domestic Equity $4,325, % Year-to-date the strategy has outperformed the Russell 25 Index with a negative 4.7% return vs. the Russell 25 Index at -8.4%. Over the trailing year, results are similar and Earnest Partners has protected capital in the negative market environment. Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 29

32 Earnest Partners SMID Value As of June 3, 28, Earnest Partners SMID Value held 59 securities in their portfolio. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) FLIR SYS INC 5.4% PIONEER NAT RES CO 3.5% XTO ENERGY INC 5.% PHARMACEUTICAL PROD DEV INC 3.4% CUMMINS ENGINE INC COM 4.3% COVANCE INC 3.% NEWFIELD EXPL CO 3.8% EXPRESS SCRIPTS INC 2.5% AMERICAN TOWER CORP 3.5% EATON VANCE CORP 2.4% Characteristics Earnest Partners SMID Value Russell 25 Value Ten Best Performers (Quarter) Avg Mkt Cap ($Bil) Med Mkt Cap ($Bil) Erngs Grth P/B P/E Yield PIONEER NAT RES CO 59.4% NEWFIELD EXPL CO 23.5% SCIENTIFIC GAMES CORP 4.3% IMMUCOR INC 21.3% Sector Allocation CUMMINS ENGINE INC COM 4.2% ADMINISTAFF INC 18.6% FLIR SYS INC 34.8% ALLIED WASTE INDS INC 16.7% EATON VANCE CORP 3.9% RAYMOND JAMES FINL INC 15.3% Ten Worst Performers (Quarter) AAR CORP -5.4% D R HORTON INC -3.8% HOVNANIAN ENTERPRISES INC -48.3% ASTORIA FINL CORP -25.3% SCOTTS CO -45.6% COVENTRY HEALTH CARE INC -24.6% PULTE HOMES INC -33.6% SANMINA-SCI CORP -21.% SONIC CORP -32.9% DELPHI FINL GROUP INC CLASS A -2.6% Earnest Partners SMID Value Russell 25 Value Health Care Financials Energy Consumer Staples Consumer Discretionary Materials Information Technology Industrials Utilities Telecommunication Services 28 Asset Consulting Group, Inc. All Rights Reserved 3

33 Earnest Partners SMID Value Risk vs. Return (4 Year Annualized) Portfolio Statistics 12.% 4 Years Rate of Return 1.% 8.% 6.% 4.% 2.% Russell 25 Value Earnest Partners SMID Value.% 12.6% 12.6% 12.6% 12.6% 12.61% 12.61% 12.61% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Earnest Partners SMID Value Russell 25 Value Return Histogram (4 Years) Return Analysis Earnest Partners SMID Value Russell 25 Value Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months Earnest Partners SMID Value % -7.26% % Russell 25 Value % -9.34% % -4% to -3% Less than -4% -1% to % -2% to -1% -3% to -2% 4% to 5% 3% to 4% 2% to 3% 1% to 2% % to 1% Greater than 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 31

34 Earnest Partners SMID Value Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 4 Years -2.4 Earnest Partners SMID Value Russell 25 Value Median Small Value 1 Quarter 2 Quarters 1 Year 3 Years 4 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the small cap value peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 32

35 Asset Allocation - Defined Benefit Total Assets: $2,33,528 Transamerica Investment Management STIF $527,96 2.6% For the Period Ending June 3, 28 SMID Equity Growth Inception Date: March 24 Strategy Domestic Equity $19,56, % Performance Goals Exceed the return of the Russell 25 Growth Index over a complete market cycle (3 to 5 years). Rank above median in the small cap growth equity universe over a complete market cycle (3 to 5 years). Asset Allocation - Defined Contribution Commentary Total Assets: $4,13,79 STIF $11, % The Transamerica SMID growth portfolio underperformed the Russell 25 Growth index in the second quarter with a return of -2.2% relative to the Index at 3.6%. This ranked the portfolio in the 92nd percentile of the median small cap growth manager universe. During the second quarter the portfolio s underperformance can primarily be attributed to poor stock selection in the technology sector as well as in the healthcare and financial sector. Significant underweight allocations to energy and materials also detracted from results as both sector generated strong results. Domestic Equity $3,911, % Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 33

36 Transamerica Investment Management As of June 3, 28, Transamerica Investment Management held 43 securities in their portfolio. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) STRAYER ED INC 5.9% POLYPORE INTL INC COM 3.7% MACROVISION SOLUTIONS CORP 4.6% FOSSIL INC 3.3% VALUECLICK INC 4.4% IDEXX CORP 3.3% Characteristics Transamerica Investment Management Russell 25 Growth ARTHROCARE CORP 4.% NEUSTAR INC CLASS A 3.3% UTI WORLDWIDE INC 3.9% NIGHTHAWK RADIOLOGY HLDGS I COM 3.1% Ten Best Performers (Quarter) Avg Mkt Cap ($Bil) Med Mkt Cap ($Bil) Erngs Grth P/B P/E Yield F5 NETWORKS INC 56.4% ARTHROCARE CORP 22.4% SCIENTIFIC GAMES CORP 4.3% DONALDSON INC 11.1% Sector Allocation STRAYER ED INC 37.4% KENNAMETAL INC COM 11.% HELIX ENERGY SOLUTIONS GROUP 32.2% CAPELLA EDUCATION COMPANY COM 9.3% POLYPORE INTL INC COM 22.4% COVANCE INC 3.7% Ten Worst Performers (Quarter) TENNECO INC -51.6% APPLERA CORP -22.7% WINTRUST FINL CORP -31.8% P F CHANGS CHINA BISTRO INC -21.4% VERAZ NETWORKS INC COM -3.9% NEUSTAR INC CLASS A -18.6% WHOLE FOODS MKT INC -27.7% PEETS COFFEE & TEA INC -15.7% NIGHTHAWK RADIOLOGY HLDGS I COM -24.4% EURONET SVCS INC -12.3% Consumer Staples Consumer Discretionary Transamerica Investment Management Russell 25 Growth Energy Financials Health Care Industrials Information Technology Materials Utilities Telecommunication Services Asset Consulting Group, Inc. All Rights Reserved 34

37 Transamerica Investment Management Risk vs. Return (4 Year Annualized) Portfolio Statistics Rate of Return 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.% Russell 25 Growth Transamerica Investment Management.% 14.% 14.5% 15.% 15.5% 16.% 16.5% 17.% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square 4 Years Transamerica Investment Management Russell 25 Growth Return Histogram (4 Years) Return Analysis Transamerica Investment Management Russell 25 Growth Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months Transamerica Investment Management % -9.54% % Russell 25 Growth % -8.15% % -4% to -3% Less than -4% -2% to -1% -3% to -2% % to 1% -1% to % 4% to 5% 3% to 4% 2% to 3% 1% to 2% Greater than 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 35

38 Transamerica Investment Management Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 4 Years Transamerica Investment Management Russell 25 Growth Median Small Growth 1 Quarter 2 Quarters 1 Year 3 Years 4 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the small cap growth peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 36

39 Asset Allocation - Defined Benefit Total Assets: $15,82,438 Frontegra New Star For the Period Ending June 3, 28 International Equity Growth Inception Date: November 25 Strategy Int'l Equity $15,82,438 1 Performance Goals Exceed the returns of the MSCI EAFE Index and relevant style benchmark over a complete market cycle (3 to 5 years). Rank above median in the international developed markets equity universe over a complete market cycle (3 to 5 years). Int'l Equity $3,232,158 1 Asset Allocation - Defined Contribution Total Assets: $3,232,158 Commentary The Frontegra New Star portfolio outperformed the MSCI EAFE index in the second quarter with a return of -.5% relative to the -1.9% return for the Index but underperformed the MSCI EAFE Growth index ( -.5% vs..2%). Year-to-date the strategy is slightly ahead of the MSCI EAFE Index but behind the MSCI EAFE Growth Index -1.4% vs.1-.6% and -7.9%, respectively). During the second quarter the portfolio s overweight exposure to energy had a significant positive impact on results relative to the MSCI EAFE Index. An underweight position in European and UK Banks also contributed to results as credit crunch fears pressured this sector of the market. Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 37

40 Frontegra New Star As of June 3, 28, Frontegra New Star held 93 securities in their portfolio. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) Frontegra New Star Characteristics MSCI EAFE ROCHE HOLDINGS 2.4% VODA FONE GROUP PLC 2.% DEUTSCHE TELEKOM AG-REG 2.3% GLAXOSMITHKLINE PLC 2.% BP PLC 2.2% TELEFONICA SA 2.% UNILEVER NV CVA 2.1% RIO TINTO LIMITED 1.7% TOTAL COMPANY 2.1% ROYAL DUTCH SHELL 1.7% Country Allocation % Holdings MSCI EAFE Australia 5.7% 6.8% Austria.7% Belgium 1.% Canada.8% Denmark 1.% Finland 2.7% 1.6% France 13.3% 1.8% Germany 8.5% 9.1% Greece.8%.7% Holland 6.2% 2.6% Hong Kong 4.1% 2.1% Ireland.6% Italy 2.5% 3.8% Japan 2.2% 21.4% Luxembourg 1.3% New Zealand.1% Norway 1.1% Portugal.3% Singapore 1.8% 1.2% Spain 2.6% 4.1% Sweden.5% 2.2% Switzerland 7.1% 7.1% United Kingdom 15.9% 21.9% Emerging Markets 6.% Cash *Characteristic data provided by manager Average Market Cap. ($Bil) 9.1% 9.7% Consumer Discretionary 5.% 8.1% Consumer Staples 14.2% 9.3% 2.4 Frontegra New Star Energy 18.9% Financials Sector Allocation P/B P/E Dividend Yield 25.1% 8.% 6.8% Health Care 11.9% 12.% 8.5% 5.2% Industrials Information Technology MSCI EAFE 11.8% 11.9% 7.6% 5.6% Materials Telecommunication Services 5.% 6.4% Utilities 28 Asset Consulting Group, Inc. All Rights Reserved. 38

41 Frontegra New Star Risk vs. Return (2 Year Annualized) Portfolio Statistics 12.% 2 Years Rate of Return 1.% 8.% 6.% 4.% 2.% MSCI EAFE Growth Gross MSCI EAFE Frontegra New Star.% 12.22% 12.32% 12.42% 12.52% 12.62% 12.72% 12.82% 12.92% 13.2% 13.12% 13.22% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Frontegra New Star MSCI EAFE Return Histogram (2 Years) Return Analysis Frontegra New Star MSCI EAFE MSCI EAFE Growth Gross Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months Frontegra New Star % -9.28% % MSCI EAFE % -9.23% % -4% to -3% Less than -4% % to 1% -1% to % -2% to -1% -3% to -2% 2% to 3% 1% to 2% 3% to 4% Greater than 5% 4% to 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 39

42 Frontegra New Star Ranking Rate of Return % Quarter 2 Quarters 1 Year 2 Years Frontegra New Star MSCI EAFE MSCI EAFE Growth Median Intl Dev Mkt Eqty 1 Quarter 2 Quarters 1 Year 2 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the international developed markets equity peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 4

43 For the Period Ending June 3, 28 Asset Allocation - Defined Benefit International Equity Value Total Assets: $15,76,89 Inception Date: November 25 GMO International Intrinsic Value Strategy Int'l Equity $15,76,89 1 Performance Goals Exceed the returns of the S&P/Citigroup PMI EPAC Value Index and relevant style benchmark over a complete market cycle (3 to 5 years). Rank above median in the international developed markets equity universe over a complete market cycle (3 to 5 years). Int'l Equity $3,183,145 1 Asset Allocation - Defined Contribution Total Assets: $3,183,145 Commentary The International Intrinsic Value Strategy returned -1.6% in the second quarter and outperformed the MSCI EAFE Value (-4.1%) and S&P/Citigroup PMI EPAC (-2.%). This ranked the portfolio in the 46th percentile among their peers. During the quarter stock selection and sector exposure were the primary contributors to performance. Stock selection in France, Italy and Japan helped as did an overweight allocation to the energy sector and underweight position to financials. Country allocation also contributed to results specifically an overweight to Canada and Japan. GMO announced recently that the firm plans to adopt the MSCI indices as their primary benchmarks instead of the S&P/Citigroup indices that are currently being used. This change will become effective on January 1, 29. Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 41

44 GMO International Intrinsic Value As of June 3, 28, GMO International Intrinsic Value held 293 securities in their portfolio. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) GMO International Intrinsic Value Characteristics S&P/Citigroup PMI EPAC Value GLAXOSMITHKLINE PLC 4.9% ROYAL DUTCH SHELL PLC 2.7% 6 TOTAL SA 4.8% NOVARTIS AG 2.4% 45. ENI S P A 3.7% ING GROEP NV 1.9% SANOFI-AVENTIS 2.8% RIO TINTO PLC 1.9% VODAFONE GROUP PLC 2.8% HONDA MOTOR CO LTD 1.8% S&P/ CITIGROUP PMI EPAC % Holdings VALUE Australia 3.6% 6.% Austria.2%.6% Belgium 1.% 1.% Canada 2.9% Denmark.3% 1.2% Finland 2.5% 1.6% France 12.8% 9.2% Germany 8.9% 7.9% Greece.2%.7% Hong Kong 2.2% 2.4% Ireland.4%.6% Italy 4.5% 3.8% Japan 24.4% 22.3% Korea 3.5% Netherlands 3.3% 2.3% New Zealand.1% Norway.8% 1.1% Portugal.4% Singapore 3.% 1.4% Spain.8% 4.4% Sweden 1.2% 2.4% Switzerland 5.1% 6.1% United Kingdom 2.5% 2.1% Other Countries.9% Emerging Markets Cash 1.3% *Characteristic data provided by manager. Country Allocation Weighted Median Market Cap ($Bil) Consumer Discretionary GMO International Intrinsic Value Consumer Staples 8.4 Energy 8.3 Financials 11.3 Sector Allocation P/B P/E Dividend Yield Health Care S&P/Citigroup PMI EPAC Value 5.9 Industrials Information Technology Materials Telecommunication Services 5. Utilities Asset Consulting Group, Inc. All Rights Reserved. 42

45 GMO International Intrinsic Value Risk vs. Return (2 Year Annualized) Portfolio Statistics Rate of Return 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.% GMO International Intrinsic Value Citigroup PMI EPAC MSCI EAFE Value Gross.% 11.5% 12.% 12.5% 13.% 13.5% 14.% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square 2 Years GMO International Intrinsic Value Citigroup PMI EPAC Return Histogram (2 Years) Return Analysis GMO International Intrinsic Value Citigroup PMI EPAC MSCI EAFE Value Gross Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months GMO International Intrinsic Value % -7.99% % Citigroup PMI EPAC % -9.34% % -4% to -3% Less than -4% -2% to -1% -3% to -2% 1% to 2% % to 1% -1% to % 3% to 4% 2% to 3% Greater than 5% 4% to 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 43

46 GMO International Intrinsic Value Ranking Rate of Return % Quarter 2 Quarters 1 Year 2 Years GMO International Intrinsic Value S&P/Citigroup PMI EPAC MSCI EAFE Value Median Intl Dev Mkt Eqty 1 Quarter 2 Quarters 1 Year 2 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the international developed markets equity peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 44

47 Asset Allocation - Defined Benefit Total Assets: $29,16,59 STIF $39 JP Morgan Fixed Income For the Period Ending June 3, 28 Domestic Investment Grade Fixed Income Inception Date: June 1991 Strategy Performance Goals Exceed the returns of the Lehman Aggregate Index over a complete market cycle (3 to 5 years). Rank above median in the core bonds universe over a complete market cycle (3 to 5 years). Bonds $29,16,2 1 Asset Allocation - Defined Contribution Total Assets: $7,844,989 STIF $16 Commentary The JP Morgan core bond portfolio returned -.8% in the second quarter and outperformed the Lehman Aggregate Index (-1.%) and the median core bond manager (-.9%). Despite the quarterly loss, the portfolio remains in positive territory year-to-date with a 1.5% return. As volatility remains a dominant theme in the fixed income marketplace, the portfolio continues to benefit from its high quality focus, particularly in the credit and mortgage sectors as both sectors outperformed Treasuries in the second quarter. In addition, the portfolio continues to overweight the short end of the yield curve with an average maturity more than 2 years shorter than the Index which also contributed to second quarter results. Bonds $7,844,883 1 Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 45

48 JP Morgan Fixed Income As of June 3, 28, JP Morgan Fixed Income held 1,83 securities in their portfolio. Holdings and portfolio characteristics are as follows: Sector Allocation Characteristics JP Morgan Fixed Income Lehman Aggregate JP Morgan Fixed Income Lehman Aggregate % ABS 5.8%.4% Agencies 9.9% 4.8% Cash 46.% CMO 14.9% 21.6% Corporates 13.2% Mortgages 38.7% 16.5% 21.9% Treasuries 1.5% 2.% Utility Avg Maturity (yrs) Avg Cpn (%) Avg Quality Duration (yrs) YTM (%) Quality Duration JP Morgan Fixed Income Lehman Aggregate JP Morgan Fixed Income Lehman Aggregate % 7.5% 23.5% 8.3% 5.5% 5.2% 5.4% 8.4% 4.2% 7.6%.3% %.9% 13.4% 19.5% 31.4% 19.3% 19.8% 12.6% 17.1% 34.4% 6.9% 7.2% 1.6% 6.3% GOVT AAA AA A BAA BA -1 Years 1-3 Years 3-5 Years 5-7 Years 7-1 Years 1-2 Years 2+ Years *Characteristic data provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 46

49 JP Morgan Fixed Income Risk vs. Return (8 Years Annualized) Portfolio Statistics Rate of Return 6.4% 6.35% 6.3% 6.25% 6.2% 6.15% Lehman Brothers Aggregate JP Morgan Fixed Income Lehman Brothers Government/Credit 6.1% 1.% 2.% 3.% 4.% 5.% 6.% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square 8 Years JP Morgan Fixed Income Lehman Brothers Aggregate Return Histogram (8 Years) Return Analysis JP Morgan Fixed Income Lehman Brothers Government/Credit Lehman Brothers Aggregate Number of Quarters Highest Quarterly Return Lowest Quarterly Return Number of Pos. Quarters Number of Neg. Quarters % Positive Quarters JP Morgan Fixed Income % -2.84% % Lehman Brothers Aggregate % -2.44% % -16% to -12% Less than -16% % to 4% -4% to % -8% to -4% -12% to -8% 8% to 12% 4% to 8% Greater than 2% 16% to 2% 12% to 16% All information calculated using quarterly data. 28 Asset Consulting Group, Inc. All Rights Reserved 47

50 JP Morgan Fixed Income Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years JP Morgan Fixed Income Lehman Aggregate Lehman G/C Median Core Bd Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars are the rankings for this portfolio versus the core bond peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 48

51 Asset Allocation - Defined Benefit Total Assets: $28,792,881 STIF $626 Mellon Aggregate Index For the Period Ending June 3, 28 Strategy Passively Managed Core Bonds - Lehman Aggregate Index Fund Inception Date: March 1997 Performance Goals Mirror the risk and return profile of the Lehman Aggregate Index over all time periods. Bonds $28,792,255 1 Asset Allocation - Defined Contribution Total Assets: $5,518,626 STIF $319 Commentary Mellon s Lehman Aggregate Index fund declined 1.% in the second quarter and was in-line with the return of the Index. This ranked the portfolio in the 52nd percentile in the median core bond manager universe. During the second quarter spread products rebounded and outperformed US Treasuries. Commercial mortgage backed securities posted the largest excess return in the second quarter followed by asset backed securities and corporates. Bonds $5,518,37 1 Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 49

52 Mellon Aggregate Index As of June 3, 28, Mellon Aggregate Index held 1,218 securities in their portfolio. Holdings and portfolio characteristics are as follows: Sector Allocation Characteristics Mellon Aggregate Index Lehman Aggregate Mellon Aggregate Index Lehman Aggregate % 21.9% Treasuries 1 9.9% Agencies 17.6% 17.8% Corporates 2.% 2.% Utility 38.8% 38.7% Mortgages 5.% 5.% CMBS.7%.8% ABS 3.8% 3.8% Foreign Avg Maturity (yrs) Avg Cpn (%) Avg Quality Duration (yrs) YTM (%) Quality Duration Mellon Aggregate Index Lehman Aggregate Mellon Aggregate Index Lehman Aggregate % 78.7% % 39.9% % 5.4% 8.4% 8.4% 7.4% 7.6% % 1.4% 25.8% 26.3% 18.6% 17.% 6.6% 7.4% 8.2% 8.% AAA AA A BAA -1 Years 1-3 Years 3-5 Years 5-7 Years 7-1 Years 1+ Years Characteristic data provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 5

53 Mellon Aggregate Index Risk vs. Return (8 Years Annualized) Portfolio Statistics Rate of Return 6.19% 6.18% 6.18% 6.17% 6.17% 6.16% 6.16% Mellon Aggregate Index 6.15% Lehman Brothers Aggregate 6.15% 3.68% 3.69% 3.7% 3.71% 3.72% 3.73% 3.74% 3.75% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Tracking Error 8 Years Mellon Aggregate Index Lehman Brothers Aggregate Return Histogram (8 Years) Return Analysis Mellon Aggregate Index 9 8 Lehman Brothers Aggregate Number of Quarters Highest Quarterly Return Lowest Quarterly Return Number of Pos. Quarters Number of Neg. Quarters % Positive Quarters Mellon Aggregate Index % -2.41% % Lehman Brothers Aggregate % -2.44% % -16% to -12% Less than -16% % to 4% -4% to % -8% to -4% -12% to -8% 8% to 12% 4% to 8% Greater than 2% 16% to 2% 12% to 16% All information calculated using quarterly data. 28 Asset Consulting Group, Inc. All Rights Reserved 51

54 Mellon Aggregate Index Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Mellon Aggregate Index Lehman Aggregate Median Core Bd Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars are the rankings for this portfolio versus the core bond peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 52

55 Asset Allocation - Defined Benefit Total Assets: $26,977,811 STIF $327 Western Asset Core Plus Fund For the Period Ending June 3, 28 Core Plus Fixed Income Commingled Fund Inception Date: April 25 Strategy Performance Goals Exceed the returns of the Lehman Aggregate Index over a complete market cycle (3 to 5 years). Bonds $26,977,484 1 Rank above median in the core bonds and core plus bonds universes over a complete market cycle (3 to 5 years). Asset Allocation - Defined Contribution Commentary Total Assets: $7,376,623 STIF $238 Western Asset s core plus portfolio continued to struggle in the second quarter and underperformed the Lehman Aggregate index -2.1% vs. 1.%. Year-to-date the strategy lags the index (-3.8% vs. 1.1%). The fixed income markets continued to experience wide swings in the second quarter. In the first half of the quarter spreads tightened and WAMCO s portfolio rebounded. However in the second half of the quarter spreads widened and WAMCO s portfolio gave back all that was gained in the first half of the quarter plus some more. In the end, WAMCO s portfolio underperformed primarily due to their exposure to financials and autos. Exposure to nonagency mortgages also detracted from performance and contributed to relative results. Bonds $7,376,385 1 Holdings, characteristics, and performance data displayed are from the Defined Benefit portfolio. The Defined Contribution data may vary slightly. 28 Asset Consulting Group, Inc. All Rights Reserved 53

56 Western Asset Core Plus Fund As of June 3, 28, Western Asset Core Plus Fund holdings and portfolio characteristics are as follows: Sector Allocation Characteristics Western Asset Core Plus Bond Lehman Aggregate Western Asset Core Plus Bond Lehman Aggregate % 21.9% 2.% 9.9% 4.% 12.% 55.% 38.7%.8% 7.% 8.% 3.% 3.8% 14.% 2.% 17.8% Treasury Agency TIPS Credit Mortgage- Backed ABS High Yield Foreign Cash Utility Corporates Avg Maturity (yrs) Avg Cpn (%) Avg Quality Duration (yrs) Quality Western Asset Core Plus Bond Lehman Aggregate % 77.% % 3.% 5.4% 4.% 8.4% 8.% 7.6% 8.% GOVT AAA AA A BAA <BAA * Characteristics provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 54

57 Western Asset Core Plus Fund Risk vs. Return (3 Year Annualized) Portfolio Statistics Rate of Return 4.5% 4.% 3.5% 3.% 2.5% 2.% 1.5% 1.%.5% Lehman Brothers Aggregate Western Asset Core Plus Fund.% 2.% 2.5% 3.% 3.5% 4.% 4.5% 5.% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square 3 Years Western Asset Core Plus Fund Lehman Brothers Aggregate Return Histogram (3 Years) Return Analysis Western Asset Core Plus Fund Lehman Brothers Aggregate Western Asset Core Plus Fund Lehman Brothers Aggregate Number of Months Highest Monthly Return Lowest Monthly Return Number of Pos. Months Number of Neg. Months % Positive Months % -2.41% % % -1.3% % -4% to -3% Less than -4% -2% to -1% -3% to -2% 1% to 2% % to 1% -1% to % 2% to 3% 3% to 4% 4% to 5% Greater than 5% All information calculated using monthly data. 28 Asset Consulting Group, Inc. All Rights Reserved 55

58 Western Asset Core Plus Fund Ranking 99 / / / / / Rate of Return % Quarter 2 Quarters 1 Year 2 Years 3 Years Western Asset Core Plus Fund Lehman Aggregate Median Core Bd Mgr Median Core Plus Bond Manager 1 Quarter 2 Quarters 1 Year 2 Years 3 Years 5th Percentile.1 / / / / / th Percentile -.54 / / / / / th Percentile -.92 / / / / / th Percentile / / / / / th Percentile / / / / / 1.99 Observations 436 / / / / / 29 The numbers above the bars are the rankings for this portfolio versus the listed universes. The first number represents the manager's ranking versus the core bond universe and the second represents their ranking versus the core plus bond universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 56

59 Oklahoma Municpal Retirement Fund -Defined Benefit Geographic Region Allocation West 29.9% JP Morgan Special Situation Property Strategy & Objective Value Added Real Estate Fund Outperform the NCREIF Property Index by 3 basis points over 3 to 5 years. South 22.4% Midwest 9.3% OMRF Market Value OMRF Inception Date Characteristics $5,111,727 3/1/27 East 38.5% Property Type Allocation Residential 35.5% Fund's Gross Market Value Fund's Net Market Value Cash Balance of Fund Qtr Income Return # of Properties # of Participants Retail Office Industrial Residential Hotel $5,267,94,348 $2,981,564,937 $167,963, % 9 14 Hotel 5.9% Industrial 15.7% Retail 4.7% Office 38.2% Quarter 1 Year *Characteristic data provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 57

60 JP Morgan Special Situation Property Ranking Rate of Return % Quarter 2 Quarters 3 Quarters 1 Year JP Morgan Special Situation Property NCREIF Property Index Median Real Estate Fds 1 Quarter 2 Quarters 3 Quarters 1 Year 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The number above the bars is the ranking for this portfolio versus their real estate peers. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 58

61 Geographic Region Allocation West 35.6% JP Morgan Strategic Property Fund Strategy & Objective Strategic Property Fund Achieve a rate of return 1 basis points above the NCREIF Property Index. South 24.8% East 32.1% Property Type Allocation Midwest 7.5% OMRF Market Value OMRF Inception Date Characteristics Fund's Gross Market Value Fund's Net Market Value Cash Balance of Fund Qtr Income Return # of Properties # of Participants Returns by Property Type $1,147,34 4/1/27 $2,6,, $16,,, $554,4,.98% Industrial 12.% Retail Office Industrial Residential Office 41.1% Residential 22.9% Quarter 1 Year Retail 24.% *Characteristic data provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 59

62 JP Morgan Strategic Property Fund Ranking Rate of Return % Quarter 2 Quarters 3 Quarters 1 Year JP Morgan Strategic Property Fund NCREIF Property Index Median Real Estate Fds 1 Quarter 2 Quarters 3 Quarters 1 Year 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The number above the bars is the ranking for this portfolio versus their real estate peers. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 6

63 Oklahoma Municipal Retirement Fund - Defined Contribution Defined Contribution Performance 28 Asset Consulting Group, Inc. All Rights Reserved 61

64 Oklahoma Municipal Retirement Fund - Defined Contribution Defined Contribution Balanced Fund Asset Allocation For the Period Ending June 3, 28 Int'l Equity $6,415,32 11.% STIF $36,585.5% Domestic Equity $31,136, % Bonds $2,739, % Total Assets: $58,598,15 28 Asset Consulting Group, Inc. All Rights Reserved 62

65 Oklahoma Municipal Retirement Fund - Defined Contribution Defined Contribution Balanced Fund Manager Allocation Equity $ 31,358, % INTECH 8,991,971 SSgA S&P 5 Fund 13,97,97 Earnest Partners SMID Value 4,445,47 Transamerica Investment Management 4,13,79 International Equity $ 6,415, % Frontegra New Star 3,232,158 GMO International Intrinsic Value 3,183,145 Fixed Income $ 2,74, % JP Morgan Fixed Income 7,844,989 Mellon Lehman Aggregate Index 5,518,626 Western Asset Core Plus Fund 7,376,623 Cash & Cash Equivalents $ 84,47.14% JP Morgan Misc Assets 83,695 International Funds Cash 352 Total Market Value: $58,598,15 28 Asset Consulting Group, Inc. All Rights Reserved 63

66 Oklahoma Municipal Retirement Fund - Defined Contribution Defined Contribution Balanced Fund Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Defined Contribution Balanced Fund Policy Index Median Total Fund (Between 55-7% Eqty) 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's ranking versus the total fund with similar equity allocation universe. The rankings are on a scale of 1 to 1 with 1 being the best. *Policy Index is composed of 4% S&P 5, 15% Russell 25, 1% MSCI EAFE, and 35% LB Aggregate. 28 Asset Consulting Group, Inc. All Rights Reserved 64

67 Oklahoma Municipal Retirement Fund - Defined Contribution Fund of Fund Asset Allocation For the Period Ending June 3, 28 GIC's $11,711, % Int'l Equity $8,736,42 1.4% Domestic Equity $39,955, % STIF $12,41, % Bonds $11,55, % Total Assets: $83,859,61 28 Asset Consulting Group, Inc. All Rights Reserved 65

68 Oklahoma Municipal Retirement Fund - Defined Contribution Allocation History Growth and Value Option For the Period Ending June 3, 28 Strategy Domestic Equity STIF Large Cap Core Equity Option - Large cap equities are companies with market capitalizations greater than $1 billion. 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Sep-5 This option includes a combination of "growth" and "value" portfolios focused in the large cap asset class. Performance goals: 1) to achieve returns 1 basis points in excess of the S&P 5 Index, and 2) to rank above median in a universe of large cap core managers over a complete market cycle. Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Asset Allocation Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Manager Allocation Total Assets: $13,55,826 STIF $347 INTECH LC - Fund of Funds $4,86, % Gr/Val Cash $347 Vanguard Total Stock $4,469, % Domestic Equity $13,55,479 1 Vang Windsor II $4,498, % 28 Asset Consulting Group, Inc. All Rights Reserved 66

69 Oklahoma Municipal Retirement Fund - Defined Contribution Growth and Value Option Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Growth and Value Option S&P 5 Median Large Core Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the large cap core peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 67

70 Oklahoma Municipal Retirement Fund - Defined Contribution Allocation History Aggressive Equity Option For the Period Ending June 3, 28 Strategy Domestic Equity STIF Small to Mid Cap Equity Option 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Sep-5 This option includes a combination of portfolios focused in the small and mid cap asset classes. Performance goals: 1) to achieve returns 1 basis points in excess of the Russell 25 Index, and 2) to exceed the return of the median small / mid cap core manager over a complete market cycle (3 to 5 years). Asset Allocation Manager Allocation Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Total Assets: $15,827,637 STIF $252,3 1.6% Roxbury Small Cap Growth $4,699, % Aggressive Equity Cash $654 Domestic Equity $15,575, % Earnest Small Cap Value $5,123, % Axa Rosenberg Small Cap Core $6,4, % 28 Asset Consulting Group, Inc. All Rights Reserved 68

71 Oklahoma Municipal Retirement Fund - Defined Contribution Aggressive Equity Option Ranking 22 / / / / / / 85 Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Aggressive Equity Option Russell 25 Russell Mid Cap Growth Median Mid Growth Median Small Growth 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile 1.28 / / / / / / th Percentile 6.42 / / / / / / 9.6 5th Percentile 4.33 / / / / / / th Percentile 2.85 / / / / / / th Percentile.22 / / / / / / 3.41 Observations 338 / / / / / / 46 The numbers above the bars represent the manager's ranking versus the mid cap growth universe and the second represents their ranking versus the small cap growth universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 69

72 Oklahoma Municipal Retirement Fund - Defined Contribution Allocation History International Option For the Period Ending June 3, 28 Strategy Int'l Equity STIF International Equity Option 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Sep-5 This option includes a combination of international equity portfolios across complementary styles of management. Performance goals: 1) to achieve returns 1 basis points in excess of the MSCI EAFE Index, and 2) to exceed the return of the median international developed markets equity manager over a complete market cycle (3 to 5 years). Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Asset Allocation Manager Allocation Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Total Assets: $8,736,728 STIF $38 Frontegra New Star $4,354, % International Cash $38 Int'l Equity $8,736,42 1 GMO International Intrinsic Value $4,381, % 28 Asset Consulting Group, Inc. All Rights Reserved 7

73 Oklahoma Municipal Retirement Fund - Defined Contribution International Option Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years International Option MSCI EAFE Median Intl Dev Mkt Eqty 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the international developed markets equity peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 71

74 Oklahoma Municipal Retirement Fund - Defined Contribution Allocation History Investment Contract Pool Option For the Period Ending June 3, 28 Strategy GIC's STIF Investment Contract Pooled Option 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Sep-5 This option includes a combination of short term cash and stable value instruments. Performance goals: to achieve returns in excess of one year U.S. Treasury Bills. Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Asset Allocation Manager Allocation Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Total Assets: $11,712,134 STIF $421 UBS Fiduciary Trust Company GIC $4,54, % IC Pool Cash $421 GIC's $11,711,713 1 IRT Stable Value $7,27, % 28 Asset Consulting Group, Inc. All Rights Reserved 72

75 Oklahoma Municipal Retirement Fund - Defined Contribution Investment Contract Pool Option Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Investment Contract Pool Option Citigroup 1 Yr T-Bill Median Stable Value 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's ranking versus the stable value peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 73

76 Oklahoma Municipal Retirement Fund - Defined Contribution Asset Allocation Total Assets: $11,324,838 STIF $852 SSgA S&P 5 Option For the Period Ending June 3, 28 Passively Managed Large Cap Core Equity - S&P 5 Index Fund Inception Date: December 24 Strategy Domestic Equity $11,323,986 1 Allocation History Performance Goals Domestic Equity STIF Mirror the risk and return profile of the S&P 5 Index over all time periods. 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Sep-5 28 Asset Consulting Group, Inc. All Rights Reserved 74

77 Oklahoma Municipal Retirement Fund - Defined Contribution SSgA S&P 5 Option As of June 3, 28, SSgA S&P 5 Fund held 54 securitues. Holdings and portfolio characteristics are as follows: Ten Largest Holdings (Weight) EXXON MOBIL CORP 4.2% PROCTER & GAMBLE CO 1.7% GENERAL ELECTRIC CO 2.4% JOHNSON & JOHNSON 1.6% MICROSOFT CORP 2.% IBM 1.5% CHEVRON CORP 1.8% APPLE INC 1.3% AT&T INC 1.8% CONOCOPHILLIPS 1.3% Ten Best Performers (Quarter) JABIL CIRCUIT INC 74.5% ELECTRONIC DATA SYSTEMS 48.3% PEABODY ENERGY CORP 72.8% UNITED STATES STEEL CORP 45.9% CONSOL ENERGY INC 62.6% NABORS INDUSTRIES LTD 45.8% Characteristics SSgA S&P 5 Option S&P 5 Wtd. Avg Mkt Cap ($bil) Projected 5 Year Growth Sector Allocation P/B Projected P/E Yield SSgA S&P 5 Option S&P SAFECO CORP 54.5% HESS CORP 43.2% 25 NATIONAL OILWELL VARCO 52.% CHESAPEAKE ENERGY CORP 43.1% Ten Worst Performers (Quarter) AMBAC FINANCIAL GROUP -67.4% KEYCORP -49.2% MBIA INC -64.1% LEHMAN BROTHERS HOLDINGS -47.2% WASHINGTON MUTUAL -52.1% FIRST HORIZON NATIONAL CORP -45.7% NATIONAL CITY CORP -52.% HUNTINGTON BANCSHARES -45.3% FIFTH THIRD BANCORP -5.6% CENTEX CORP -44.7% Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Characteristic data provided by the manager. 28 Asset Consulting Group, Inc. All Rights Reserved 75

78 Oklahoma Municipal Retirement Fund - Defined Contribution SSgA S&P 5 Option Risk vs. Return (1 Years Annualized) Portfolio Statistics 2.95% 1 Years Rate of Return 2.9% 2.85% 2.8% 2.75% 2.7% 2.65% S&P 5 2.6% SSgA S&P 5 Option 2.55% 16.64% 16.66% 16.68% 16.7% 16.72% 16.74% 16.76% 16.78% 16.8% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Tracking Error SSgA S&P 5 Option S&P Return Histogram (1 Years) Return Analysis SSgA S&P 5 Option S&P Number of Quarters Highest Quarterly Return Lowest Quarterly Return Number of Pos. Quarters Number of Neg. Quarters % Positive Quarters SSgA S&P 5 Option S&P % % % % % % -16% to -12% Less than -16% -4% to % -8% to -4% -12% to -8% 12% to 16% 8% to 12% 4% to 8% % to 4% Greater than 2% 16% to 2% All information calculated using quarterly data. 28 Asset Consulting Group, Inc. All Rights Reserved 76

79 Oklahoma Municipal Retirement Fund - Defined Contribution SSgA S&P 5 Option Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years SSgA S&P 5 Option S&P 5 Median Large Core Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the large cap core peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 77

80 Oklahoma Municipal Retirement Fund - Defined Contribution Mellon Aggregate Index For the Period Ending June 3, 28 Asset Allocation Lehman Aggregate Index Fund Total Assets: $11,55,82 Strategy STIF $616 Bonds $11,55,186 1 Allocation History Performance Goals Bonds STIF Produce annual returns with 99% or greater correlation to the Lehman Aggregate Index. 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Sep-5 Rank above median in a core bond universe. 28 Asset Consulting Group, Inc. All Rights Reserved 78

81 Oklahoma Municipal Retirement Fund - Defined Contribution Mellon Aggregate Bond Index Fund As of June 3, 28, Mellon Aggregate Bond Index Fund held 1,218 securities in their portfolio. Holdings and portfolio characteristics are as follows: Sector Allocation Characteristics Mellon Aggregate Bond Index Fund Lehman Aggregate Mellon Aggregate Bond Index Fund Lehman Aggregate % 21.9% Treasuries 1 9.9% Agencies 17.6% 17.8% Corporates 2.% 2.% Utility 38.8% 38.7% Mortgages 5.% 5.% CMBS.7%.8% ABS 3.8% 3.8% Foreign Avg Maturity (yrs) Avg Cpn (%) Avg Quality Duration (yrs) YTM (%) Quality Duration Mellon Aggregate Bond Index Fund Lehman Aggregate Mellon Aggregate Bond Index Fund Lehman Aggregate % 78.7% % 39.9% % 5.4% 8.4% 8.4% 7.4% 7.6% % 1.4% 25.8% 26.3% 18.6% 17.% 6.6% 7.4% 8.2% 8.% AAA AA A BAA -1 Years 1-3 Years 3-5 Years 5-7 Years 7-1 Years 1+ Years Characteristic data provided by manager. 28 Asset Consulting Group, Inc. All Rights Reserved 79

82 Oklahoma Municipal Retirement Fund - Defined Contribution Mellon Aggregate Index Risk vs. Return (8 Years Annualized) Portfolio Statistics Rate of Return 6.19% 6.18% 6.18% 6.17% 6.17% 6.16% 6.16% Mellon Aggregate Index 6.15% Lehman Brothers Aggregate 6.15% 3.68% 3.69% 3.69% 3.69% 3.69% 3.69% 3.7% Standard Deviation Standard Deviation Sharpe Ratio Beta Alpha Up Capture Down Capture Correlation R Square Tracking Error 8 Years Mellon Aggregate Index Lehman Brothers Aggregate Return Histogram (8 Years) Return Analysis Mellon Aggregate Index 9 8 Lehman Brothers Aggregate Number of Quarters Highest Quarterly Return Lowest Quarterly Return Number of Pos. Quarters Number of Neg. Quarters % Positive Quarters Mellon Aggregate Index % -2.44% % Lehman Brothers Aggregate % -2.44% % -16% to -12% Less than -16% % to 4% -4% to % -8% to -4% -12% to -8% 8% to 12% 4% to 8% Greater than 2% 16% to 2% 12% to 16% All information calculated using quarterly data. 28 Asset Consulting Group, Inc. All Rights Reserved 8

83 Oklahoma Municipal Retirement Fund - Defined Contribution Mellon Aggregate Index Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years Mellon Aggregate Index Lehman Aggregate Median Core Bd Mgr 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars represent the manager's rankings versus the core bond peer universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 81

84 Oklahoma Municipal Retirement Fund - Defined Contribution JP Morgan Money Market For the Period Ending June 3, 28 Asset Allocation Money Market Fund Total Assets: $12,146,646 Strategy STIF $12,146, % 9% 8% 7% 6% 5% 4% 3% 2% 1% % Allocation History STIF STIF Jun-8 Mar-8 Dec-7 Sep-7 Jun-7 Mar-7 Dec-6 Sep-6 Jun-6 Mar-6 Dec-5 Sep-5 Performance Goals Produce returns in excess of the 9 Day U.S. Treasury Bill. Rank above median in the cash manager universe. 28 Asset Consulting Group, Inc. All Rights Reserved 82

85 Oklahoma Municipal Retirement Fund - Defined Contribution JP Morgan Money Market Ranking Rate of Return % Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years JP Morgan Money Market 9 Day U.S. T-Bills Median Cash Manager 1 Quarter 2 Quarters 1 Year 3 Years 5 Years 1 Years 5th Percentile th Percentile th Percentile th Percentile th Percentile Observations The numbers above the bars are the rankings for this portfolio versus the cash manager universe. The rankings are on a scale of 1 to 1 with 1 being the best. 28 Asset Consulting Group, Inc. All Rights Reserved 83

86 Oklahoma Municipal Retirement Fund - Defined Contribution Income Fund Vanguard LifeStrategy Compositions For the Period Ending June 3, 28 Total Market Value: $43,765,818 Conservative Growth Fund Market Value: $5,391,78 Market Value: $11,928,872 Stock Market Index 5.% Bond Market Index 5.1% Int'l Stock Index 5.% Bond Market Index 3.1% Short Term Corp 2.3% Short Term Corp 19.9% Asset Allocation Fund 24.6% Stock Market Index 2 Asset Allocation Fund 25.% Moderate Growth Fund Growth Fund Market Value: $19,93,915 Market Value: $7,351,323 Stock Market Index 34.9% Int'l Stock Index 1 Bond Market Index 3.1% Bond Market Index Int'l Stock Index 1 15.% Asset Allocation Fund 25.% Asset Allocation Fund 25.% Stock Market Index Asset Consulting Group, Inc. All Rights Reserved