INVESTMENT PERFORMANCE ANALYSIS

Transcription

1 SACRAMENTO COUNTY EMPLOYEES RETIREMENT SYSTEM INVESTMENT PERFORMANCE ANALYSIS MARCH 31, Bush Street, Suite 2000 San Francisco, CA (415)

2 Periods Ending March 31, 2011 Actual Historical Quarterly Asset Allocation 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% US Equity Int'l Equities US Fixed Income Real Estate Hedge Funds Private Equity Opportunistic / Commoditities Cash Other * 0% * Other includes SSgA Overlay and closing accounts. Page 1

3 As of March 31, 2011 Asset Allocation Analysis Total Plan ASSET ALLOCATION MARKET VALUE % US Equity 1,998,529, % International Equity 1,258,621, % US Fixed Income 1,058,254, % Real Estate 704,827, % Hedge Funds 296,927, % Private Equity 56,663, % Opportunistic / Commoditities * 262,110, % Cash 320,437, % Other ** 165,320, % TOTAL 6,121,693, % ASSET ALLOCATION ACTUAL TARGET DIFF US Equity 32.7% 30.0% 2.7% International Equity 20.6% 20.0% 0.6% US Fixed Income 17.3% 20.0% -2.7% Real Estate 11.5% 15.0% -3.5% Hedge Funds 4.9% 5.0% -0.1% Private Equity 0.9% 5.0% -4.1% Opportunistic / Commoditities * 4.3% 5.0% -0.7% Cash 5.2% 0.0% 5.2% Other ** 2.7% 0.0% 2.7% ASSET ALLOCATION TARGET MEDIAN DIFF US Equity 30.0% 28% 2.0% International Equity 20.0% 18% 2.0% US Fixed Income 20.0% 27% -7.0% Real Estate 15.0% 7% 8.0% Hedge Funds 5.0% 8% -3.0% Private Equity 5.0% 8% -3.0% Opportunistic / Commoditities * 5.0% 0% 5.0% Cash 0.0% 4% -4.0% Other ** 0.0% 0% 0.0% * Opportunistic / commodities currently not available in the State Street / ICC Universe. ** Other includes SSgA Overlay and closing accounts. Page 2

4 First Quarter 2011 Executive Performance Summary The Total Plan returned 4.3% in the first quarter of 2011 and ranked in the 34 th percentile among other public funds greater than $1 billion (4.2% median). The fund led its policy index (3.9%) during this time period. The Total Plan w/o overlay returned 4.3% for the quarter. Longer term, the five and ten-year returns of 3.7% and 5.9%, ranked below and above the median among large public plans (4.3% and 5.8%, respectively). First quarter results were enhanced by the following factors: 1. AllianceBernstein appreciated 6.2% for the quarter, and ranked in the 41 st percentile among its large cap peers (6.0% median). The Russell 1000 Index also returned 6.2%. The portfolio was supported by its stock selection in the Healthcare sector. Portfolio turnover carried a slight drag on performance. 2. BlackRock Enhanced Large Cap returned 6.7% for the quarter. It led the Russell 1000 Index (6.2%) and ranked in the top quartile among large cap core managers (6.0%). It carried positive intra-quarter trading. 3. INTECH returned 6.6% for the quarter, beat the Russell 1000 Growth Index return of 6.0% and its peer median of 5.8%. Consumer Discretionary and Materials investments fared well. 4. LSV, 8.8%, returned above the median large cap value manager (6.7%) and the Russell 1000 Value Index (6.5%), ranking its portfolios in the 10 th percentile among its peers. Strong security selection in Energy (Tesoro, Valero Energy) and Healthcare (Kinetic Concepts, Humana) aided performance. 5. Turner (11.8%) led the Russell 2000 Growth Index (9.2%) and ranked in the top quartile among small growth managers (9.2%) median. Security selection in the Healthcare (PharmAsset, Polypore Intl) and Info Tech (OpenTable, UltraTech, Ariba) sectors was a boost to performance. 6. Ahead of the Russell 2000 Value Index (6.6%), TS& W appreciated 7.0%, ranking 64 th among its small value peers. Its Materials (LSB Industries, Horsehead Holding) and Financials (Cash America, First Cash Financial Services) securities, as well as its relative underweight to the Financials sector were beneficial to performance, 7. WEDGE Capital returned 9.6%. It ranked in the 13 th percentile among small cap value managers (7.5% median). The Russell 2000 Value Index returned 6.6% during the same time period. Security selection in the Consumer Discretionary (Oxford Industries, Insight Enterprises) and Industrials (Trex) sectors, plus an underweight to Financials, boosted results. Page 3

5 First Quarter 2011 Executive Performance Summary 8. Capital Guardian-Developed Markets quarterly results (3.5%) beat the MSCI EAFE Growth Index (2.3%), and ranked above its peer median return of 3.4%. Relative performance was boosted by its large exposure to telecommunication services (SoftBank), investments in healthcare (Shire, Novo Nordisk) and less-than-benchmark weighting in utilities. 9. LSV (5.0%) out-performed the MSCI EAFE Value Index (4.6%) and ranked 10 th among international equity managers. LSV maintained its sector allocations from the prior quarter. It carried good stock selection in Japan. 10. William Blair surpassed its benchmark, the MSCI World ex US Small Cap Index (4.2% vs. 3.4%) and ranked in the 32 nd percentile among international developed market small cap managers. Performance was bolstered by strong results in discretionary, financials and IT sectors, and by hedging currency exposure out of the Swiss Franc and Japanese Yen and into the USD. 11. The Bradford & Marzec 2.0% return led its benchmark, the Barclays Capital Aggregate Index, 0.4%, and ranked in the top quartile among core bond managers, median return of 0.7%. Security selection in Investment Grade Credit and an overweight in spread products (IGC, high yield, CMBS) were main drivers of excess returns. In addition, long positions in the Australian and Canadian dollars and pound sterling contributed to performance. 12. MWAM (1.8%) beat the Barclays Aggregate Index (0.4%) and ranked above the fixed income core manager median of 0.7%. Overweight sector and issue selection in financials and shorter-than-index duration were contributors to performance. 13. Neuberger-Fixed s return of 0.5% ranked in the 67 th percentile among its fixed income peer group. The Barclays Aggregate Index returned 0.4%. Neuberger s allocation to CMBS was a positive contributor to performance. 14. The Hedge Fund Composite was ahead of the 91 Day T-Bill + 5% Index (1.8% vs. 1.3%) and ranked in the second quartile among its peers (median of 1.9%). Blackstone and Grosvenor appreciated 2.4% and 1.3%, respectively. 15. Real Estate-Separate Accounts led its benchmark, the NCREIF Property Index (7.9% vs. 3.4%). The combined accounts ranked in the top quartile among real estate managers. BlackRock I, BlackRock II and Cornerstone Leveraged accounts returned 6.5%, 3.6% and 13.6%, respectively. 16. Combined, the Value Added Real Estate managers fared better than the NCREIF + 2% Index (7.2% vs. 3.8%) and ranked in the top quartile among real estate managers. AEW, Hines US Office II and UBS appreciated 9.8%, 16.1% and 3.7%, respectively. Page 4

6 First Quarter 2011 Executive Performance Summary 17. The Opportunistic Composite appreciated 7.9% for the quarter while the Barclays Aggregate Index was up 0.4%. Met West TALF (1.8%), PIMCO Distressed Mortgages (12.5%) and PIMCO TALF (9.0%) all fared well against the Barclays Aggregate. The SSgA Real Asset Fund matched its custom benchmark return of 7.7%. Stone Tower appreciated 5.0% while the one-quarter lag Barclays Aggregate Index was down 1.3%. 18. Commodities managers Blackstone and Neuberger returned 10.3% and 7.2%, respectively. Combined, it appreciated 9.1% and ranked with its peers, while the DJ UBS Commodities Index was up 4.4%. First quarter results were hindered by the following factors: 1. The BlackRock 130/30 Fund returned 4.7%, ranking in the bottom quartile among large cap core equity managers (median 6.0%). The S&P 500 Index was up 5.9%. Earnings Quality detracted from performance. Overweights in Mead Johnson and Carnival were negative factors. 2. JP Morgan 130/30 was surpassed by its benchmark, the Russell 1000 Index (4.5% vs. 6.2%) and ranked in the 92 nd percentile among large cap core managers. It was hurt by below par stock selection in industrial cyclical, network technology and capital markets detracted most from returns. 3. UBS 130/30 appreciated 4.6% for the quarter, and ranked in the 90 th percentile among its peers (6.0% median). The Russell 1000 Index returned 6.2%. The portfolio was hindered by its underweight to the Financials and Info Tech sectors. Carnival and General Motors were the greatest detractors in the portfolio. 4. Wells Capital s return of 5.9% ranked in the second quartile among large cap growth managers (median 5.8%), but was behind its benchmark, the Russell 1000 Growth Index (6.0%). Below-par Financials (Citigroup, Goldman Sachs) and Industrials (Delta Airlines) investments, plus its portfolio turnover, hindered relative performance. 5. Pzena (5.8%) had a below par quarter. It ranked in the 78 th percentile among large cap value managers, with a median of 6.7%. The Russell 1000 Value Index returned 6.5%. Pzena was hurt by its investments in the Energy sector (British Pete) and poor intra-quarter trading. 6. Small growth manager MA Weatherbie fell behind the Russell 2000 Growth Index (9.0% vs. 9.2%) and ranked in the third quartile among its peers (median 9.2%). Negative performance attribution came primarily from its below par Industrial (Global Education & Tech, Monster Worldwide) and Energy (Dril Quip) investments. Page 5

7 First Quarter 2011 Executive Performance Summary 7. Dalton Greiner (5.3%) had a relatively weak quarter; it placed behind its benchmark, the Russell 2000 Value Index (6.6%). Its peer median returned 7.5%; the portfolio ranked in the 81 st percentile among small cap value managers. It carried overall poor stock selection, especially in the Energy (Bill Barrett) and Financials (Platinum Underwriters, Old National Bancorp, Hersha Hospitality Trust, Horace Mann Educators) investments. 8. Invesco s return of 2.2% lagged the MSCI EAFE Index return of 3.4%., and ranked the bottom quartile among its peers. Canadian stock selection (Potash, Valeant Pharmaceuticals) was a primary contributor. The portfolio fared poorly due to its European investments (Germany s Porsche, the Netherlands) and overweight to the Japanese market. 9. The Mondrian quarterly result of 3.1% trailed its benchmark, the MSCI World -ex US Small Index (3.4%), and ranked in the third quartile among international developed market small cap managers (median of 3.6%). Negative contributions arose from Singapore to its overweight exposure and from poor stock selection in France and Germany. 10. Slightly behind the MSCI Emerging Markets Index (2.1%), Capital Guardian appreciated 2.0%, ranking 29 th among its peers. Short-term detractors were stock selection in energy and consumer staples, an overweight to the Indian market, and cash drag. 11. Real Estate-Limited Partnerships did not match its benchmark, the NCREIF NFI ODCE Index (3.7% vs. 4.0%). The combined accounts ranked in the second quartile among real estate managers. BlackRock Granite and Cornerstone Patriot returns were 3.9% and 3.5%, respectively. 12. The REIT Composite fell behind the NAREIT Equity Index (4.2% vs. 6.3%) and ranked in the second quartile among REIT managers (median of 3.4%). CB Richard Ellis fared better than the FTSE EPRA NAREIT Index (1.2% vs. 0.8%). Principal Global (6.9%) and Urdang (7.5%) are benchmarked to the NAREIT Equity. 13. The Private Equity Composite returned 3.5% for the first quarter while its benchmark, the S&P % Index appreciated 6.3%. On a one-quarter lag, time-weighted basis, Abbott VI, Goldman Sachs X, HarbourVest VIII and HarbourVest Intl VI returned 0.7%, 1.0%, 6.5% and -6.1%, respectively.. Page 6

8 Periods Ending March 31, 2011 Performance Summary Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK * RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE TOTAL FUND *# Sacramento County - Gross 6,121,693, % Jun-86 Sacramento County - Net Policy Index Sacramento County w/o Overlay - Gross** Jun-86 Sacramento County w/o Overlay - Net Policy Index Total Public Funds > $1 Billion Median US EQUITY MANAGERS Large Cap BlackRock 130/30- Gross 62,911, % Jul-08 BlackRock 130/30 - Net S&P 500 Index JP Morgan 130/30 - Gross 69,394, % Jul-08 JP Morgan 130/30 - Net Russell 1000 Index UBS 130/30 - Gross 64,061, % Jul-08 UBS 130/30 - Net Russell 1000 Index Equity Active (130/30) 196,367, % Oct-08 Russell 1000 Index Total Large Cap Core Median BlackRock - Enhanced LC - Gross 97,646, % Jul-08 BlackRock - Enhanced LC - Net Russell 1000 Index Large Cap - Enhanced 97,646, % Oct-08 Russell 1000 Index Total Large Cap Core Median * Ranking are calculated using the State Street/ICC Universe and are based on gross of fee returns Ranking: 1 is best, 100 is w orst. # The total fund and US managers are ranked against their appropriate peer (style) groups. Asset class composites are ranked against asset class universes. ** Returns from 2/1/06 to 12/31/10 w ere calculated using the overlay impact provided by State Street Investment Analytics. 1 See Appendix for Benchmark History. Page 7

9 Periods Ending March 31, 2011 Performance Summary Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK * RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Alliance Bernstein - Gross 702,288, % May-89 Alliance Bernstein - Net Russell 1000 Index Large Cap - Core Index 702,288, % Oct-08 Russell 1000 Index Total Large Cap Median INTECH - Gross 139,633, % Oct-06 INTECH - Net Russell 1000 Growth Index Wells Capital - Gross 130,070, % Apr-08 Wells Capital - Net Russell 1000 Growth Index Large Cap - Growth 269,703, % Oct-08 Russell 1000 Growth Index Total Large Cap Growth Median LSV Large Value - Gross 136,014, % Oct-04 LSV Large Value - Net Russell 1000 Value Index Pzena - Gross 143,816, % Oct-04 Pzena - Net Russell 1000 Value Index Large Cap - Value 279,831, % Oct-08 Russell 1000 Value Index Total Large Cap Value Median US Equity - Large Cap Composite 1,545,838, % Mar-98 Russell 1000 Index Total Large Cap Median See Appendix for Benchmark History. Page 8

10 Periods Ending March 31, 2011 Performance Summary Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Small Cap M.A. Weatherbie - Gross 109,253, % Dec-02 M.A. Weatherbie- Net Russell 2000 Growth Index Turner Investment Partners - Gross 119,409, % Aug-10 Turner Investment Partners - Net Russell 2000 Growth Index Small Cap - Growth 228,662, % Oct-08 Russell 2000 Growth Index Total Small Cap Growth Median Dalton Greiner - Gross 107,767, % Dec-00 Dalton Greiner - Net Russell 2000 Value Index Thompson, Siegel & Walmsley - Gross 53,032, % Apr-08 Thompson, Siegel & Walmsley - Net Russell 2000 Value Index Wedge Capital - Gross 63,228, % Apr-08 Wedge Capital - Net Russell 2000 Value Index Small Cap - Value 224,028, % Oct-08 Russell 2000 Value Index Total Small Cap Value Median US Equity - Small Cap Composite 452,691, % Dec-90 Russell 2000 Index Total Small Cap Median US Equity Composite 1,998,529, % Jun-86 US Equity Benchmark US Equity Median See Appendix for Benchmark History. Page 9

11 Periods Ending March 31, 2011 Performance Summary INTERNATIONAL EQUITY MANAGERS Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Developed Markets Capital Guardian Developed - Gross 246,149, % Dec-99 Capital Guardian Developed - Net MSCI EAFE Growth Index Invesco - Gross 287,387, % Mar-05 Invesco - Net MSCI EAFE Index LSV International - Gross 222,864, % Dec-04 LSV International - net MSCI EAFE Value Index International Equity Median Mondrian - Gross 65,052, % Sep-10 Mondrian - Net MSCI World Small Cap - ex US Index William Blair - Gross 83,730, % Sep-08 William Blair - Net MSCI World Small Cap - ex US Index Intl Small Cap Equity Median International Equity - Developed 905,185, % Mar-98 MSCI EAFE Index International Equity Median Emerging Markets Cap Guardian Emg Mkts Growth - Gross 353,436, % Jan-00 Cap Guardian Emg Mkts Growth - Net MSCI Emerging Markets Index International Equity - Emerging 353,436, % Jan-00 MSCI Emerging Markets Index Intl Emerging Markets Median International Equity Composite 1,258,621, % Dec-87 MSCI ACWI -ex US Index International Equity Median See Appendix for Benchmark History. Page 10

12 Periods Ending March 31, 2011 Performance Summary US FIXED INCOME MANAGERS Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE CORE Bradford & Marzec - Gross 350,888, % Jun-88 Bradford & Marzec - net Barclays Aggregate Index Metropolitan West Fixed - Gross 364,665, % Dec-01 Metropolitan West Fixed - Net Barclays Aggregate Index Neuberger - Gross 342,701, % May-88 Neuberger - Net Barclays Aggregate Index US Fixed Income Composite 1,058,254, % Jun-86 Barclays Aggregate Index US Fixed Income Median HEDGE FUND MANAGERS Blackstone Alternative - Gross 149,108, % Sep-04 Blackstone Alternative - Net Day T Bill + 5% Grosvenor - Gross 147,819, % Aug-04 Grosvenor - Net Day T Bill + 5% Hedge Fund Composite 296,927, % Aug Day T Bill + 5% Hedge Fund Median See Appendix for Benchmark History. Page 11

13 Periods Ending March 31, 2011 Performance Summary REAL ESTATE MANAGERS Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Separate Account Portfolios BlackRock Leveraged - Gross 179,240, % Dec-98 BlackRock Leveraged - Net NCREIF Property Index BlackRock Unleveraged Sep-95 NCREIF Property Index BlackRock II Leveraged - Gross 56,173, % Jun-04 BlackRock II Leveraged - Net NCREIF Property Index BlackRock II Unleveraged Sep-00 NCREIF Property Index CornerStone Leveraged - Gross 102,848, % Apr-04 CornerStone Leveraged - Net NCREIF Property Index CornerStone Unleveraged May-04 NCREIF Property Index Real Estate - Separate 338,261, % Oct-08 NCREIF Property Index Real Estate Median Value Added 2 AEW Capital II - Gross 12,245, % May-07 AEW Capital II - Net NCREIF + 2% Hines - Gross 4,945, % Sep-07 Hines -Net NCREIF + 2% UBS RE - Gross 17,433, % Oct-06 UBS RE - Net NCREIF + 2% Real Estate - Value Added 34,624, % Oct-08 NCREIF + 2% Real Estate Median Returns are one-quarter lag. Page 12

14 Periods Ending March 31, 2011 Performance Summary Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Limited Partnerships BlackRock Granite Property - Gross 41,221, % Oct-05 BlackRock Granite Property - Net NCREIF NFI ODCE Index Cornerstone Patriot - Gross 63,084, % Sep-04 Cornerstone Patriot - Net NCREIF NFI ODCE Index Real Estate - Limited Partnerships 104,305, % Oct-08 NCREIF NFI ODCE Index Real Estate Median REITS CB Richard Ellis - Gross 108,946, % Oct-08 CB Richard Ellis - Net FTSE EPRA NAREIT Global ex US Principal Global - Gross 56,582, % Feb-06 Principal Global - Net NAREIT Equity REIT Index Urdang - Gross 62,105, % Feb-06 Urdang - Net NAREIT Equity REIT Index REITS Composite 227,635, % Oct-08 NAREIT Equity REIT Index REIT Median Real Estate Composite 704,827, % Sep-87 NCREIF Index Real Estate Median PRIVATE EQUITY MANAGERS 2 Abbott PE VI 7,900, % Jul-08 S&P % Goldman Sachs PE X 18,784, % Jul-08 S&P % HarbourVest VIII 28,380, % Dec-07 S&P % HarbourVest Intl VI 1,598, % Apr-09 S&P % Private Equity Composite 56,663, % Dec-07 S&P % Returns are one-quarter lag. Page 13

15 Periods Ending March 31, 2011 Performance Summary OPPORTUNISTIC MANAGERS Asset $ % 1 QTR FISCAL YTD 1 YEAR 3 YEAR 5 YEAR SINCE INCEPTION RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN RANK RETURN DATE Commodities Blackstone Commodities - Gross 75,497, % Apr-08 DJ UBS Commodites Neuberger Commodities - Gross 47,967, % Apr-08 DJ UBS Commodites Commodities Composite 123,465, % Apr-08 DJ UBS Commodites Commodities Funds Median Opportunistic Met West TALF - Gross 14,458, % Jun-09 Met West TALF - Net Barclays Aggregate PIMCO Distressed Mortgage - Gross 49,255, % Oct-07 PIMCO Distressed Mortgage - Net Barclays Aggregate PIMCO TALF - Gross 1,094, % Aug-09 PIMCO TALF - Net Barclays Aggregate SSgA Real Asset - Gross 36,051, % Mar-08 SSgA Real Asset - Net Blended Benchmark Stone Tower - Gross 2 37,784, % Apr-09 Stone Tower - Net Barclays Aggregate 1 Quarter Lag Opportunistic Composite 138,645, % Oct-07 Barclays Aggregate CASH Cash 313,727, % Jun Day T-Bill Treasury Cash 6,710, % Day T-Bill 0.0 Cash Composite 320,437, % Jun Day T-Bill See Appendix for Benchmark History. 2 Returns are one-quarter lag. Page 14

16 As of March 31, 2011 Manager Allocation Analysis - Total Plan FUND Ending Market Value Current % AllianceBernstein 702,288, BlackRock -Enhanced LC 97,646, BlackRock -130/30 62,911, JP Morgan -130/30 69,394, UBS -130/30 64,061, INTECH 139,633, Wells Capital 130,070, LSV -LV 136,014, Pzena 143,816, MA Weatherbie 109,253, Turner Investments 119,409, Dalton Greiner 107,767, TS & W 53,032, WEDGE Capital 63,228, Capital Guardian -Developed 246,149, Invesco 287,387, LSV -International 222,864, Mondrian 65,052, William Blair 83,730, Captial Guardian -Emerging 353,436, Bradford & Marzec 350,888, OTHERS category includes managers with less than 1% of Total Ending Market Value. Page 15

17 As of March 31, 2011 Manager Allocation Analysis - Total Plan FUND Ending Market Value Current % Met West -Fixed 364,665, Neuberger -Fixed 342,701, Blackstone Alternative 149,108, Grosvenor 147,819, BlackRock RE -Leveraged 179,240, BlackRock RE II -Leveraged 56,173, Cornerstone -Leveraged 102,848, AEW Capital II 12,245, Hines US Office II 4,945, UBS -RE 17,433, BlackRock Granite Property 41,221, Cornerstone Patriot 63,084, CB Richard Ellis 108,946, Principal Global 56,582, Urdang 62,105, Abbott PE VI 7,900, Goldman Sachs PE X 18,784, HarborVest VIII 28,380, HarborVest Intl VI 1,598, Met West -TALF 14,458, PIMCO Distressed Mortgage 49,255, OTHERS category includes managers with less than 1% of Total Ending Market Value. Page 16

18 As of March 31, 2011 Manager Allocation Analysis - Total Plan FUND Ending Market Value Current % PIMCO -TALF 1,094, SSgA Real Asset 36,051, Stone Tower 37,784, Blackstone -Commodities 75,497, Neuberger -Commodities 47,967, Cash 313,727, Treasury Cash 6,710, SSgA Overlay 134,971, Westridge 30,286, Bank of Ireland 1, Intl SC Transition Account 53, Heitman Adv JMB V 8, TOTAL 6,121,693, OTHERS category includes managers with less than 1% of Total Ending Market Value. Page 17

19 Public Funds (DB) > $1 Billion As of March 31, 2011 Risk Statistics Return Standard Deviation Sharpe Ratio Information Ratio 3 Year 5 Year 3 Year 5 Year 3 Year 5 Year 3 Year 5 Year SCERS Total Plan SCERS -ex Overlay Policy Index Median See Appendix for Benchmark History. Page 18

20 Public Funds (DB) > $1 Billion Periods Ending March 31, 2011 Total Returns 25% 22% 19% 16% 13% 10% 7% 4% 1% -2% 1 Quarter Fiscal YTD 1 Year 3 Year 5 Year 7 Year 10 Year SCERS Total Plan SCERS -ex Overlay POLICY INDEX Median Page 19

21 Public Funds (DB) > $1 Billion Calendar Year Periods Total Returns 28% 19% 10% 1% -8% -17% -26% -35% SCERS Total Plan SCERS -ex Overlay POLICY INDEX Median Page 20

22 Benchmark History Total Plan Policy Benchmark US Fixed Income Benchmark As of: As of: 1/1/2008 2/1/2006 9/1/2004 1/1/2000 7/1/1986 1/1/2000 7/1/1986 Russell % 47.0% Citigroup BIG % Russell % 30.0% 35.0% Barclays Aggregate % Russell % 5.0% 5.0% 100.0% 100.0% MSCI AC World ex-us 20.0% MSCI EAFE 15.0% 15.0% 15.0% 15.0% AllianceBernstein Benchmark MSCI Emg Mkt 5.0% 5.0% 5.0% As of: Barclays Aggregate 20.0% 25.0% 25.0% 30.0% 1/1/2001 1/1/1998 5/1/1989 Citigroup BIG 23.0% Russell % NCREIF Property 12.0% 12.0% 15.0% 10.0% 15.0% Russell % NAREIT Property 3.0% 3.0% Wilshire % 91 Day T Bill + 5% 5.0% 5.0% 5.0% 100.0% 100.0% 100.0% Dow Jones UBS Commodity 5.0% S&P % 5.0% 100% 100% 100% 100% 100% Bradford & Marzec Benchmark As of: US Equity Benchmark 10/1/1998 7/1/1988 As of: Barclays Aggregate 100% 1/1/2008 9/1/2004 1/1/2000 7/1/1986 Citigroup BIG 100% Russell % 87.50% 100.0% 100.0% Russell % 22.50% Russell % % SSgA Real Asset Benchmark 100% 100% 110% 100% As of: 2/1/2008 International Equity Benchmark MSCI World Natural Resources Index 25% As of: Wilshire REIT 30% 1/1/2008 1/1/2000 7/1/1986 BC Global Inflation Linked: US Tips 20% MSCI AC World ex-us % Goldman Sachs Commodities Index 25% MSCI EAFE 75.00% % 100.0% MSCI Emg Mkt 25.00% 100.0% 100.0% 100.0% Page 21