JULY 1, JUNE 30, 2004 SUMMARY OF DETAIL ANALYSIS OF INVESTMENTS AND RELATED INCOME (AUDITED)

Transcription

1 JULY 1, JUNE 30, 2004 SUMMARY OF DETAIL ANALYSIS OF INVESTMENTS AND RELATED INCOME (AUDITED) 02/04 GAIN (LOSS) 03/04 NET MARKET AS A % OF 2003/2004 REALIZED/ VALUE AS A TOTAL NET NET UNREALIZED GAIN MARKET MARKET % OF TOTAL REALIZED/ REALIZED/ (LOSS) AS A % OF VALUE VALUE ASSETS UNREALIZED UNREALIZED MARKET VALUE NO. INVESTMENTS 6/30/2003 6/30/2004 6/30/2004 GAIN (LOSS) GAIN (LOSS) 6/30/ SEC. 14 Common & Preferred Stock... $1,133,546, $1,367,079, % %... $247,071, % (Publicly Traded) SEC. 15 Mutual Funds/Diversified % % % SEC. 16 Insurance Company % % % SEC. 17 Debt/Obligations ,473, ,773, % %... 1,515, % SEC. 19 Equity-Real/Personal ,951, ,549, % %... 18,863, % SEC. 20 Mortgages ,898, ,588, % %... 15,628, % SEC. 20a Small Bus. Investment-MI... 32,094, ,326, % %... 5,742, % SEC. 20d Basket Clause ,881, ,015, % %... 28,269, % SEC. 20k Foreign Securities** ,871, ,242, % %... 32,293, % TOTAL INVESTMENTS... $2,338,718, $2,556,575, % %... $349,384, % Cash... (4,364,483.89)... 5,479, % Accounts Receivable... 67,999, ,102, % Capital Assets...598, , % Securities Lending Collateral...140,498, ,757, % Accounts Payable... (79,127,761.57)... (134,230,077.38) % Due from Brokers on Securites Lending Collateral...(140,498,910.00)...(238,757,976.00) % Provision for Unrealized Losses % TOTAL NET ASSETS... $2,323,824, $2,521,497, % Less: Investment Expenses... 12,801, Investment Gain Before Administrative Expenses ,583, Less: Administrative Expenses... 3,862, NET INVESTMENT GAIN (LOSS)... $332,720, ** $2,699, Foreign Currencies are part of Cash on the 6/30/03 Plante & Moran audited financial statement. $2,571, Foreign Currencies are part of Cash on the 6/30/04 Plante & Moran audited financial statement.

2 INVESTMENT SECTION INVESTMENTS ESTIMATED ESTIMATED NET SECTION MARKET VALUE MARKET VALUE REALIZED/UNREALIZED NO. INVESTMENTS 6/30/03 6/30/04 GAIN (LOSS) 14 Stock (Publicly Traded) Common & Preferred... 1,114,802, ,349,227, ,359, Mesirow Arbitrage Trust... 18,743, ,851, ,509, New England , Total Section ,133,546, ,367,079, ,071, Mutual Funds/Bonds TransAmerica T Total Section Insurance Company/ B) General Accounts 29 Gic Total Section Debt/Obligations Bonds & Notes ,851, ,937, (5,925,209.94) (Held by Custodians) Short Term ,673, ,198, ,913, Mortgage Back Securities... 76,948, ,636, ,527, Total Section ,473, ,773, ,515,751.61

3 INVESTMENTS CON T ESTIMATED ESTIMATED NET SECTION MARKET VALUE MARKET VALUE REALIZED/UNREALIZED NO. INVESTMENTS 6/30/03 6/30/04 GAIN (LOSS) 19 Equity Real & Personal (1) REITS RREEF... 20,949, ,673, ,091, WELLS... 20,620, ,000, , Arch Street (Lend Lease)... 7,276, ,934, ,462, Inland Retail REIT...10,700, ,700, , Midland Multifamily REIT...20,000, ,348, (1,724,417.69) Life Insurance Companies Prudential Property... 9,988, ,461, ,176, UBS Asset Mgt... 11,100, ,172, ,072, AEW (New England) , Total Section 19 (1) ,636, ,289, ,794, (2) Including 501 (C) 25 Corps.: - Unleveraged: Equity Direct... 68,511, ,761, ,104, Leveraged: CAP-Bank West... 8,046, ,210, (627,150.79) Limited Partnerships: Walton Street II... 10,226, ,296, ,215, Walton Street III... 10,916, ,601, ,655, Walton Street IV , , Westbrook... 10,607, ,712, ,626, Lend Lease (ERE Yarmouth)... 13,974, ,890, (122,613.20) Others: JP Morgan Asset Mgt...11,032, ,131, ,098, Total Section 19 (2) ,315, ,260, ,068, Total Section 19 (1) & (2) ,951, ,549, ,863, Mortgages Direct & Participating... 44,739, ,321, ,369, Construction Loans... 16,159, ,369, ,323, Midland-Mahgt (Trust)... 40,000, ,897, ,935, Total Section ,898, ,588, ,628,263.86

4 INVESTMENT SECTION INVESTMENTS CON T ESTIMATED ESTIMATED NET SECTION MARKET VALUE MARKET VALUE REALIZED/UNREALIZED NO. INVESTMENTS 6/30/03 6/30/04 GAIN (LOSS) 20a Small Business Investment TouchStone... 6,823, ,380, ,601, Peninsula Capital... 5,532, ,783, , Princeton Capital , , (39,600.00) Windpoint III... 6,775, ,576, ,591, Windpoint IV... 8,740, ,603, (1,537,880.00) Windpoint V...3,249, ,010, (746,396.00) Total Section 20a... 32,094, ,326, ,742, d Miscellaneous Credit Suisse... 57,491, ,936, ,659, Mount Lucas... 21,702, ,875, ,172, Columbia Management ,766, ,195, Transamerica , ,439, Blue Rock Capital ,036, , Fidelity Management Trust ,823, , Salus Capital Management ,533, , Bear Stearns Constellation... 3,819, ,292, , John Hancock... 6,397, ,229, ,755, Reams Asset Management... 11,293, ,620, , Mesirow Arbitrage Trust... 4,314, ,336, , CDO Fund II... 14,624, ,739, , CAPRI Select Income... 22,933, ,084, ,425, Greenwich Street... 8,536, ,137, ,028, MHR Fund... 11,860, ,310, , MHR Fund II... 4,633, ,908, , Life Care Communities... 43,577, ,313, Midland CAPREIT Tera Venture CITICORP Venture Capital...5,525, ,991, ,114, Everest Energy...15,797, ,797, CAPRI Credit Enhancement ,989, US Power Fund... 2,373, ,417, , Total Section 20d ,881, ,015, ,269, k Foreign Securities Foreign Stocks ,646, ,589, ,508, Foreign Bonds... 93,526, ,081, (259,657.45) Foreign Currencies... 2,699, ,571, ,044, Total Section 20k ,871, ,242, ,293, TOTAL ASSETS... 2,338,718, ,556,575, ,384,453.66

5 ASSET ALLOCATION AS OF 6/30/2004 LARGE CAP 28.1% TAA 9.6% CORE 5.7% HIGH YIELD 5.4% LARGE CAP 27.3% TAA 9.3% CORE 5.5% HIGH YIELD 5.3% 32 SMALL CAP 12.6% ESTABLISHED IE 9.5% MARKET NEUTRAL 2.1% CASH 4.1% 0.3% GIC BY ASSET TYPE ALT ASSETS 6.5% REAL ESTATE 6.8% MORTGAGES 4.6% GLOBAL BONDS 4.8% SMALL CAP 12.3% ESTABLISHED IE 9.2% DIRECT INVESTMENT 2.5% MORTGAGES 4.4% MARKET NEUTRAL 2.0% PASSIVE 4.2% REAL ESTATE 7.2% ALT ASSETS 6.3% BY MANAGER TYPE GLOBAL BONDS 4.6% LARGE CAP 26.0% TAA 10.0% CORE 5.0% HIGH YIELD 5.0% MORTGAGES 5.0% SMALL CAP 12.0% ESTABLISHED IE 10.0% ALT ASSETS 7.0% BY TARGET GLOBAL BONDS 5.0% MARKET NEUTRAL 5.0% REAL ESTATE 10.0%

6 INVESTMENT SECTION INVESTMENT MANAGERS ARONSON+JOHNSON+ORTIZ... $50.7 M PHILADELPHIA, PENNSYLVANIA Manages a portfolio of large capitalization value equities. ASSOCIATED ESTATES REALTY CORPORATION... CLEVELAND, OHIO A real estate advisor which provides investment and asset management services. Investment philosophy is based on in-depth research to target optimal markets. ATLANTA CAPITAL MANAGEMENT... ATLANTA, GEORGIA Manages a portfolio of common stocks diversified across all ranges of market capitalization. $18.4 M $94.2 M BLACKROCK FINANCIAL MANAGEMENT Manages the Board s short-term cash investments using a process which focuses on sector rotation and security selection without reliance on interest rate forecasting to deliver superior returns. BLUE ROCK $20.0 M MINNEAPOLIS, MINNESOTA Manages a market neutral fund which is designed to produce a positive investment return above the risk free rate regardless of whether the US equity markets are rising or falling. BRANDYWINE ASSET MANAGEMENT... $64.6 M WILMINGTON, DELAWARE Manages a portfolio of domestic and international bonds. CAPOZZOLI ADVISORY FOR PENSIONS...$59.3 M FARMINGTON HILLS, MICHIGAN Performance-based real estate advisor. Real estate assets under management include commercial office buildings, retail shopping centers and mortgages. CAPRI CAPITAL... $61.4 M CHICAGO, ILLINOIS A real estate advisor which specializes in multifamily and commercial property mortgages. COLUMBIA MANAGEMENT CO.... $57.9 M PORTLAND, OREGON Manages a portfolio of high yield bonds whose credit quality is at or slightly below the bottom of investment grade. COOKE & BIELER... $50.5 M PHILADELPHIA, PENNSYLVANIA Manages a portfolio of large capitalization value equities. CREDIT SUISSE... $76.7 M Manages a fixed income portfolio consisting of high yield (below investment grade) bonds utilizing an investment process which relies on in-depth credit analysis coupled with sector analysis to select undervalued securities. 33

7 INVESTMENT MANAGERS CON T 34 EARNEST PARTNERS... ATLANTA, GEORGIA Manages a small capitalization equity portfolio with a value orientation. $90.4 M EDGAR LOMAX... $114.1 M SPRINGFIELD, VIRGINIA Manages a large-capitalization equity portfolio favoring companies having value as opposed to growth characteristics. FIDELITY MARKET NEUTRAL... Manages a market neutral portfolio $9.8 M GLOBALT... $64.8 M ATLANTA, GEORGIA Manages a large-cap equity portfolio for which the primary investment focus is U.S. companies with significant exposure to global opportunities. GRANTHAM, MAYO, VAN OTTERLOO... $53.8 M Manages a portfolio of domestic and international bonds. JOHN HANCOCK... $33.7 M Manages a bond portfolio which seeks to maximize returns through broad diversification by industry sector. JULIUS BAER INVESTMENT MANAGEMENT Manages an international equity portfoilio $131.4 M MACKAY SHIELDS... $90.4 M Manages a large-cap growth portfolio using a process that combines quantitative discipline and sound fundamental judgment into a strict investment policy. MELLON CAPITAL... $236.3 M SAN FRANCISCO, CA Manages a global tactical asset allocation portfolio which is designed to out perform the stock and bond markets by shifting the allocation between stocks and bonds when certain proprietary quantitative models which determine that one asset class is relatively over or under valued relative to the other. MOUNT LUCAS MANAGEMENT... $22.9M PRINCETON, NEW JERSEY Manages a portfolio of futures positions on commodities, currencies and financial instruments. MUNIMAE MIDLAND... $148.1 M CLEARWATER, FLORIDA A real estate advisor which specializes in multifamily construction loans as well as intermediate and long-term mortgages. Management style is very conservative with a focus on specialized market segments.

8 INVESTMENT SECTION INVESTMENT MANAGERS CON T PALISADES... $25.3 M SANTA MONICA, CALIFORNIA Manages a portfolio of large capitalization value equities. PIEDMONT INVESTMENT ADVISORS... DURHAM, NORTH CAROLINA Manages an enhanced S&P 500 index fund PIMCO... Manages an enhanced S&P 500 index fund PZENA INVESTMENT MANAGEMENT... Manages a small-cap value equity portfolio that utilizes a bottom-up investment approach for security selection. $5.4 M $38.3 M $89.3 M REAMS ASSET MANAGEMENT... $75.3 M NORTHBROOK, ILLINOIS Manages a core fixed income portfolio using an investment process that combines active duration and yield curve management with bottom-up issue selection. RHUMBLINE ADVISORS... Manages both a capitalization weighted and equal weighted S&P 500 index fund. $63.1 M SALUS CAPITAL MANAGEMENT... $20.5 M LOS ANGELES, CALIFORNIA Manages a market neutral fund which is designed to produce a positive investment return above the risk free rate regardless of whether the US equity markets are rising or falling. SEIZART...$25.5 M BIRMINGHAM, MICHIGAN Manages a portfolio of large capitalization value equities. TRANSAMERICAN INVESTMENT SERVICES..$32.2 M LOS ANGELES, CALIFORNIA Manages a domestic fixed income portfolio employing a researchdriven approach to deliver superior returns by selecting undervalued quality bonds falling within specific maturity guidelines. TT INTERNATIONAL... $102.2 M LONDON, ENGLAND Manages an international equity portfolio using an investment process which prioritizes country selection ahead of company selection. UBS GLOBAL... $68.2 M CHICAGO, ILLINOIS Manages a portfolio of small capitalization growth equities. UNION HERITAGE... $20.1 M DETROIT, MICHIGAN Manages a large-capitalization equity portfolio using an investment process designed to select companies whose relative value is not fully reflected in the current market price. WESTFIELD CAPITAL MANAGEMENT... $64.7 M Manages a portfolio of small capitalization growth equities. 35