LOUISIANA SCHOOL EMPLOYEES RETIREMENT SYSTEM
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1 LOUISIANA SCHOOL EMPLOYEES RETIREMENT SYSTEM Investment Performance Analysis through March 31, 2008 May 2008 Copyright 2008 by Segal Advisors, Inc. All rights reserved.
2 1300 East Ninth Street, Suite 1900 Cleveland, OH T F May 1, 2008 Board of Trustees Louisiana School Employees' Retirement System Baton Rouge, Louisiana Dear Trustees: This report presents a comprehensive review of the System's investment performance for the time periods ended March 31, In addition to providing a summary of performance, the report also identifies how assets are currently allocated among equity, fixed income, real estate and cash holdings, and provides portfolio characteristics. Our calculations are based on data provided by the System's custodians, Northern Trust and Capital One. The historical data contained in this report was provided by Frank Russell and includes data from previously terminated investment managers. This material will assess how your investment managers have carried out the System's investment policies and will aid in your evaluation of the managers' strengths and weaknesses. This report is also useful as a basis for discussing effective investment policies for the future. Sincerely, Richard E. Ranallo, CFA Brett W. Hazen gb v1/ Investment Consultants BOSTON CHICAGO CLEVELAND LOS ANGELES NEW YORK PORTLAND TORONTO* *Investment consulting in Canada provided by the Segal Company, Ltd.
3 TABLE OF CONTENTS SECTION FINANCIAL MARKET CONDITIONS 1 EXECUTIVE SUMMARY 2 TOTAL COMPOSITE 3 U.S. EQUITY MANAGERS COMPOSITE 4 ARK ASSET MANAGEMENT NORTHERN TRUST ANALYTIC INVESTORS AXA ROSENBERG C.S. MCKEE RHUMBLINE J&W SELIGMAN BRANDYWINE ASSET MANAGEMENT CHARACTERISTICS INTERNATIONAL (NON-U.S.) EQUITY 5 WALTER SCOTT THORNBURG FIXED INCOME MANAGERS COMPOSITE 6 ORLEANS CAPITAL MANAGEMENT SCHRODER CAPITAL MANAGEMENT EVERGREEN INVESTMENT COMPANY CHARACTERISTICS REAL ESTATE 7 PRINCIPAL PRUDENTIAL INVESTMENT MANAGEMENT FEES 8 NOTES 9
4 Selected Equity and Fixed Income Index Rates of Return for Periods Ended March 31, 2008 Equity Index Returns: Quarter Ending 3/31/08 Fixed Income and Other Index Returns: Quarter Ending 3/31/08 4.0% 2.0% 0.0% 12.0% 10.0% 8.0% 10.9% -2.0% -4.0% -6.0% -8.0% -6.5% 6.0% 4.0% 2.0% 0.0% 2.2% 2.5% 3.0% 0.8% 4.1% 0.4% 2.5% 0.7% 2.2% 3.2% -10.0% -12.0% -9.4% -9.5% -9.5% -10.2% -8.7% -9.9% -8.9% -9.2% -11.0% -2.0% -4.0% -3.0% -14.0% -12.8% -6.0% Standard & Poor s 500 Russell 3000 Russell 1000 Russell 1000 Growth Russell 1000 Value Russell 2000 Russell 2000 Growth Russell 2000 Value MSCI EAFE (Net) MSCI ACWI ex- US (Net) MSCI EM (Net) Lehman Agg Govt/Credit Int. Govt/Credit LT Govt/Credit Lehman Govt Lehman Credit Mortgage HY Master II Citi Non-US WGBI 3 Month T-Bill HFN FOF - Multi-Strategy NCREIF Equity Indices Fixed Income Indices Quarter YTD 1-year 3-year 5-year 10-year Quarter YTD 1-year 3-year 5-year 10-year Standard & Poor s % Lehman Aggregate 2.2% Lehman Govt/Credit 2.5% Russell % Lehman Int. Govt/Credit 3.0% Lehman Long Govt/Credit 0.8% Russell % Lehman Govt 4.1% Russell 1000 Growth -10.2% Lehman Credit 0.4% Russell 1000 Value -8.7% Lehman Mortgage 2.5% ML High Yield Master II -3.0% Russell % Citigroup Non-US WGBI (Un) 10.9% Russell 2000 Growth -12.8% Russell 2000 Value -6.5% Citigroup 3 Month T-Bill 0.7% MSCI EAFE (Net) -8.9% Other Indices MSCI ACWI ex-us (Net) -9.2% * HFN HFOF Multi-Strategy* 2.2% MSCI EM (Net) -11.0% * NCREIF Property Index** 3.2% *For 10-year performance, Gross returns are provided. **As of 12/31/2007 1
5 EXECUTIVE SUMMARY The Louisiana School Employees Retirement System ended the first quarter of 2008 with a market value totaling $1,509.6 million. The System s assets decreased by $109.7 million during the three-month reporting period. The decrease consisted of $91.8 million in investment losses combined with $17.9 million in net withdrawals. As of March 31, 2008, 47% of the System s assets were allocated to domestic equities, 12% to foreign equities, 28% to fixed income, 7% to real estate, and 6% to cash. As of March 31, 2008, the System s two private equity investments totaled $11.3 million, representing nearly 1% of the total assets. The Retirement System is benchmarked to a Policy Index consisting of 54% to domestic equities, 10% to international equities, 30% to fixed income and 6% to real estate. The domestic equity target allocation will be reduced to 50% once the System's new private equity investments near the targeted allocation of 4% of the overall assets. The Total Composite returned negative 5.7% during the first quarter of 2008, lagging the negative 5.4% return of the Policy Index. During the first quarter, large cap manager C.S. McKee, small cap manager Brandywine and international equity manager Walter Scott, all exceeded their respective benchmarks. Large cap managers Ark, Analytic and AXA, small cap manager J&W Seligman, fixed income managers Orleans, Schroders and Evergreen, and real estate managers Principal and Prudential, all lagged their respective benchmarks over the first quarter. Ark Asset has underperformed over all measured periods, including the since inception period of 4.25 years. The Consumer Price Index plus 330 basis points annually posted a 2.5% return during the first quarter of Dating back to the since inception period beginning with the first quarter of 1990, the annualized Retirement System return is 8.4%, matching the Policy Index return. 2
6 TOTAL COMPOSITE ASSET ALLOCATION TOTAL MARKET VALUE AS OF DECEMBER 31, 2007 $1,619,226,912 TOTAL MARKET VALUE AS OF MARCH 31, 2008 $1,509,562,374 EQUITY SEGMENT EQUITY SEGMENT ALTERNATIVE INVESTMENTS ALTERNATIVE INVESTMENTS REAL ESTATE REAL ESTATE BOND SEGMENT FOREIGN EQUITY SEGMENT BOND SEGMENT FOREIGN EQUITY SEGMENT CASH SEGMENT CASH SEGMENT VALUE PERCENT EQUITY SEGMENT 797,435, BOND SEGMENT 449,320, FOREIGN EQUITY SEGMENT 192,102, REAL ESTATE 106,179, CASH SEGMENT 66,988, ALTERNATIVE INVESTMENTS 7,201, VALUE PERCENT EQUITY SEGMENT 712,943, BOND SEGMENT 423,093, FOREIGN EQUITY SEGMENT 174,758, REAL ESTATE 104,377, CASH SEGMENT 83,138, ALTERNATIVE INVESTMENTS 11,251,
7 TOTAL COMPOSITE MANAGER ALLOCATION TOTAL FUND TOTAL MARKET VALUE ON DECEMBER 31, 2007 $1,619,226,912 TOTAL MARKET VALUE ON MARCH 31, 2008 $1,509,562,374 VALUE PERCENT NORTHERN TRUST 329,937, SCHRODER 184,971, ORLEANS FI 182,446, WALTER SCOTT 121,696, EVERGREEN 116,359, ARK ASSET 106,957, C.S. MCKEE 106,227, J&W SELIGMAN 81,973, BRANDYWINE 75,135, THORNBURG 70,405, PRUDENTIAL PRISA 54,337, PRINCIPAL 51,841, RHUMBLINE 46,745, AXA ROSENBERG 31,375, ANALYTIC INVESTORS 30,222, CASH 21,391, PANTHEON VENTURES 3,912, HAMILTON LANE 3,289, VALUE PERCENT NORTHERN TRUST 298,778, ORLEANS FI 183,796, SCHRODER 172,816, EVERGREEN 114,208, WALTER SCOTT 111,709, C.S. MCKEE 98,376, ARK ASSET 94,288, BRANDYWINE 71,438, J&W SELIGMAN 67,658, THORNBURG 63,049, PRUDENTIAL PRISA 54,602, PRINCIPAL 49,774, RHUMBLINE 42,616, AXA ROSENBERG 27,619, ANALYTIC INVESTORS 27,332, CASH 20,245, HAMILTON LANE 6,289, PANTHEON VENTURES 4,962,
8 LOUISIANA SCHOOL EMPLOYEES RETIREMENT SYSTEM TOTAL COMPOSITE VALUE ADDED VS. POLICY INDEX JUNE 30, 1996 THROUGH MARCH 31, 2008 RATE OF RETURN (%) Q96 1Q97 3Q97 1Q98 3Q98 1Q99 3Q99 1Q00 3Q00 1Q01 3Q01 1Q02 3Q02 1Q03 3Q03 1Q04 3Q04 1Q05 3Q05 1Q06 3Q06 1Q07 3Q07 1Q08 Value Added Cumulative Value Added 5
9 TOTAL COMPOSITE DECEMBER 31, 1989 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION COMPOSITE POLICY INDEX CPI BP
10 TOTAL COMPOSITE INVESTMENT PERFORMANCE DECEMBER 31, 1989 THROUGH MARCH 31, 2008 LATEST ONE FIVE TEN SINCE QUARTER YEAR YEARS YEARS INCEPTION ROR ROR ROR ROR ROR TOTAL FUND ARK ASSET N/A N/A N/A NORTHERN TRUST N/A AXA ROSENBERG N/A N/A N/A N/A ANALYTIC INVESTORS N/A N/A N/A N/A C.S. MCKEE N/A N/A N/A RHUMBLINE N/A N/A N/A N/A J&W SELIGMAN N/A BRANDYWINE N/A N/A WALTER SCOTT N/A THORNBURG N/A N/A N/A PANTHEON VENTURES N/A N/A N/A HAMILTON LANE N/A N/A N/A ORLEANS FI N/A SCHRODER N/A EVERGREEN N/A N/A N/A PRINCIPAL N/A N/A N/A PRUDENTIAL PRISA N/A N/A N/A CASH COMPOSITE POLICY INDEX CPI BP
11 TOTAL COMPOSITE TOTAL FUND AND SEGMENT BENCHMARKS TOTAL FUND BENCHMARK 09/30/ Present 54% RUSSELL % LB AGGREGATE BOND 10% MSCI EAFE 6% NCREIF 03/31/ /30/ % RUSSELL % LB AGGREGATE BOND 7% MSCI EAFE 3% NCREIF 06/30/ /31/ % RUSSELL % LB AGGREGATE BOND 7% MSCI EAFE 12/31/ /30/ % LB AGGREGATE BOND 45% RUSSELL % MSCI EAFE 06/30/ /31/ % LB AGGREGATE BOND 45% RUSSELL % MSCI EAFE 10/31/ /30/ % LB AGGREGATE BOND 35% RUSSELL /31/ /31/ % LB AGGREGATE BOND 35% RUSSELL % 90 DAY U.S. TREASURY BILL 8
12 TOTAL COMPOSITE INVESTMENT EARNINGS DECEMBER 31, 2007 THROUGH MARCH 31, 2008 MANAGER BEGINNING INTEREST NET ENDING TOTAL AND MARKET NEW AND CAPITAL MARKET INVESTMENT RATE OF ASSET CLASS VALUE MONEY DIVIDENDS APPRECIATION VALUE EARNINGS RETURN ANALYTIC INVESTORS 30,222, ,172-2,901,031 27,332,218-2,889, EQUITY SEGMENT 30,222, ,172-2,901,031 27,332,218-2,889, NORTHERN TRUST (INDEX FUND) 329,937, ,602,394-32,761, ,778,708-31,158, EQUITY SEGMENT 327,271,790-1,418,257 1,571,124-32,761, ,663,617-31,189, CASH SEGMENT 2,665,564 1,418,257 31, ,115,091 31, ARK ASSET MANAGEMENT (LC GROWTH) 106,957, ,758-12,943,944 94,288,483-12,669, EQUITY SEGMENT 105,928,036-2,536, ,239-12,943,944 90,704,297-12,687, CASH SEGMENT 1,029,633 2,536,034 18, ,584,186 18, AXA ROSENBERG 31,375, ,756,155 27,619,529-3,756, EQUITY SEGMENT 31,375, ,756,155 27,619,529-3,756, BRANDYWINE (SC VALUE) 75,135, ,046-4,077,188 71,438,239-3,697, EQUITY SEGMENT 73,396, , ,028-4,077,188 70,586,699-3,714, CASH SEGMENT 1,738, ,394 17, ,540 17, IN-HOUSE ACCOUNT 21,391,891-1,353, , ,245, , CASH SEGMENT 21,391,891-1,353, , ,245, , C.S. MCKEE (LC VALUE) 106,227, ,165-8,481,394 98,376,402-7,851, EQUITY SEGMENT 103,007, , ,461-8,481,394 94,745,367-7,880, CASH SEGMENT 3,219, ,366 29, ,631,035 29, HAMILTON LANE 3,289,097 3,000, ,289, ALTERNATIVE INVESTMENTS 3,289,097 3,000, ,289, J&W SELIGMAN (SC GROWTH) 81,973, ,032-14,379,226 67,658,017-14,315, EQUITY SEGMENT 79,487, ,588 33,569-14,379,226 64,675,506-14,345, CASH SEGMENT 2,485, ,588 30, ,982,511 30, ORLEANS CAPITAL MANAGEMENT 182,446,057-2,000,000 2,706, , ,796,818 3,350, BOND SEGMENT 180,435,975-3,545,792 2,687, , ,222,127 3,331, CASH SEGMENT 2,010,082 1,545,792 18, ,574,691 18,
13 TOTAL COMPOSITE INVESTMENT EARNINGS DECEMBER 31, 2007 THROUGH MARCH 31, 2008 MANAGER BEGINNING INTEREST NET ENDING TOTAL AND MARKET NEW AND CAPITAL MARKET INVESTMENT RATE OF ASSET CLASS VALUE MONEY DIVIDENDS APPRECIATION VALUE EARNINGS RETURN PRINCIPAL 51,841,621-2,500, ,145 49,774, , REAL ESTATE 51,841,621-2,500, ,145 49,774, , PRUDENTIAL PRISA 54,337, , , ,886 54,602, , REAL ESTATE 54,337, , , ,886 54,602, , PANTHEON VENTURES 3,912,021 1,050, ,962, ALTERNATIVE INVESTMENTS 3,912,021 1,050, ,962, RHUMBLINE 46,745, ,129,595 42,616,284-4,129, EQUITY SEGMENT 46,745, ,129,595 42,616,284-4,129, EVERGREEN 116,359, ,796,535-3,947, ,208,428-2,150, BOND SEGMENT 109,376,790 5,769,432 1,724,901-3,947, ,923,905-2,222, CASH SEGMENT 6,982,321-5,769,432 71, ,284,523 71, THORNBURG 70,405, ,356,413 63,049,335-7,356, FOREIGN EQUITY SEGMENT 70,405, ,356,413 63,049,335-7,356, SCHRODER INVESTMENT MANAGEMENT 184,971,871-16,000,000 2,165,349 1,679, ,816,941 3,845, BOND SEGMENT 159,507,263-32,997,230 1,758,177 1,679, ,947,931 3,437, CASH SEGMENT 25,464,608 16,997, , ,869, , WALTER SCOTT INTERNATIONAL 121,696, ,964-10,794, ,709,185-9,987, FOREIGN EQUITY SEGMENT 121,696, ,964-10,794, ,709,185-9,987, COMPOSITE 1,619,226,912-17,911,578 11,373, ,126,942 1,509,562,374-91,752, BOND SEGMENT 449,320,028-30,773,590 6,170,301-1,622, ,093,963 4,547, EQUITY SEGMENT 797,435,348-3,897,851 2,835,593-83,429, ,943,517-80,593, ALTERNATIVE INVESTMENTS 7,201,118 4,050, ,251, FOREIGN EQUITY SEGMENT 192,102, ,964-18,150, ,758,520-17,343, CASH SEGMENT 66,988,440 15,317, , ,138, , REAL ESTATE 106,179,570-2,608, ,277 76, ,377, ,
14 TOTAL COMPOSITE CAPITAL MARKET LINE DECEMBER 31, 1989 THROUGH MARCH 31, 2008 MORE RETURN LESS RISK MORE RETURN MORE RISK 8.00 ANNUALIZED RATE OF RETURN % LESS RETURN LESS RISK LESS RETURN MORE RISK VARIABILITY OF RETURNS (RISK) RETURN STD DEV BETA ALPHA R-SQUARED TOTAL FUND POLICY INDEX
15 TOTAL COMPOSITE ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET BOND EQUITY ALTERNATIVE MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT INVESTMENTS PERCENT VALUE ROI VALUE 3/ ,722, ,326, ,347, ,241,567, / ,169, ,965, ,882, ,336,392, / ,023, ,704, ,256, ,346,533, / ,930, ,229, ,473, ,421,172, / ,883, ,228, ,044, ,452,511, / ,691, ,839, ,635, ,424,953, / ,690, ,059, ,756, ,413,607, / ,919, ,400, ,811, ,492,527, / ,650, ,631, ,810, ,456,088, / ,612, ,118, ,655, ,477,501, / ,501, ,667, ,843, ,494,158, / ,598, ,421, ,221, ,497,749, / ,188, ,018, ,198, ,525,262, / ,551, ,271, ,528, ,489,482, / ,653, ,057, ,210, , ,519,810, / ,679, ,588, ,155, , ,580,930, / ,971, ,040, ,166, ,121, ,585,888, / ,749, ,545, ,317, ,352, ,637,046, / ,088, ,121, ,029, ,047, ,653,379, / ,334, ,320, ,435, ,201, ,619,226, / ,911, ,093, ,943, ,251, ,509,562,
16 TOTAL COMPOSITE ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 FOREIGN TOTAL NET EQUITY CASH REAL MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT ESTATE PERCENT VALUE ROI VALUE 3/ ,722,304 72,168, ,724, ,241,567, / ,169,248 81,666, ,877, ,336,392, / ,023,862 91,240, ,331, ,346,533, / ,930, ,285, ,183, ,421,172, / ,883, ,253, ,984, ,452,511, / ,691, ,590, ,887, ,424,953, / ,690, ,525, ,267, ,413,607, / ,919, ,877, ,437, ,492,527, / ,650, ,231, ,414, ,456,088, / ,612, ,374, ,352, ,477,501, / ,501, ,676, ,970, ,494,158, / ,598, ,160, ,945, ,497,749, / ,188, ,488, ,528, ,027, ,525,262, / ,551, ,533, ,000, ,148, ,489,482, / ,653, ,858, ,813, ,644, ,519,810, / ,679, ,319, ,266, ,109, ,580,930, / ,971, ,021, ,416, ,122, ,585,888, / ,749, ,180, ,765, ,886, ,637,046, / ,088, ,153, ,509, ,517, ,653,379, / ,334, ,102, ,988, ,179, ,619,226, / ,911, ,758, ,138, ,377, ,509,562,
17 US EQUITY COMPOSITE MANAGER ALLOCATION TOTAL FUND TOTAL MARKET VALUE ON DECEMBER 31, 2007 $808,574,886 TOTAL MARKET VALUE ON MARCH 31, 2008 $728,107,880 NORTHERN TRUST NORTHERN TRUST ANALYTIC INVESTORS ANALYTIC INVESTORS ARK ASSET C.S. MCKEE BRANDYWINE J&W SELIGMAN AXA ROSENBERG AXA ROSENBERG C.S. MCKEE RHUMBLINE J&W SELIGMAN ARK ASSET RHUMBLINE BRANDYWINE VALUE PERCENT ANALYTIC INVESTORS 30,222, ARK ASSET 106,957, AXA ROSENBERG 31,375, BRANDYWINE 75,135, C.S. MCKEE 106,227, J&W SELIGMAN 81,973, NORTHERN TRUST 329,937, RHUMBLINE 46,745, VALUE PERCENT ANALYTIC INVESTORS 27,332, ARK ASSET 94,288, AXA ROSENBERG 27,619, BRANDYWINE 71,438, C.S. MCKEE 98,376, J&W SELIGMAN 67,658, NORTHERN TRUST 298,778, RHUMBLINE 42,616,
18 US EQUITY COMPOSITE DECEMBER 31, 1989 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION EQ COMPOSITE RUSSELL S&P
19 GROWTH COMPOSITE SEPTEMBER 30, 1994 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION GROWTH COMPOSITE RUSSELL 1000 GROWTH
20 VALUE COMPOSITE DECEMBER 31, 1995 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION VALUE COMPOSITE RUSSELL 1000 VALUE
21 US EQUITY COMPOSITE INVESTMENT PERFORMANCE DECEMBER 31, 1989 THROUGH MARCH 31, 2008 LATEST ONE THREE FIVE TEN SINCE QUARTER YEAR YEARS YEARS YEARS INCEPTION ROR ROR ROR ROR ROR ROR TOTAL FUND ANALYTIC INVESTORS N/A N/A N/A N/A N/A AXA ROSENBERG N/A N/A N/A N/A N/A ARK ASSET MANAGEMENT (LC GROWTH) N/A N/A N/A NORTHERN TRUST (INDEX FUND) N/A J&W SELIGMAN (SC GROWTH) N/A BRANDYWINE (SC VALUE) N/A N/A C.S. MCKEE (LC VALUE) N/A N/A N/A N/A RHUMBLINE N/A N/A N/A N/A N/A US EQUITY COMPOSITE S&P RUSSELL RUSSELL RUSSELL 1000 GROWTH RUSSELL 1000 VALUE RUSSELL 2000 GROWTH RUSSELL 2000 VALUE S&P MID CAP
22 US EQUITY COMPOSITE CAPITAL MARKET LINE DECEMBER 31, 1989 THROUGH MARCH 31, MORE RETURN LESS RISK MORE RETURN MORE RISK 9.00 ANNUALIZED RATE OF RETURN % LESS RETURN LESS RISK LESS RETURN MORE RISK VARIABILITY OF RETURNS (RISK) RETURN STD DEV BETA ALPHA R-SQUARED US EQUITY RUSSELL S&P
23 ARK ASSET MANAGEMENT (LC GROWTH) DECEMBER 31, 2003 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS SINCE INCEPTION ARK ASSET RUSSELL 1000 GROWTH
24 ARK ASSET MANAGEMENT (LC GROWTH) ALLOCATION OF ASSETS DECEMBER 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET EQUITY CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 12/ ,258, ,121, ,378, ,499,899 N/A /2004-7,574, ,234, ,512, ,747, / ,409, ,017, ,426, / ,866, ,151, ,018, / ,565, ,199, ,764, / ,746, ,110, ,856, / ,465, ,501, ,966, / ,209, ,255, ,464, / ,173, ,351, ,524, / ,967, ,673, ,640, / ,373, ,304, ,677, / ,701, ,634, ,336, /2006-6,000, ,304, ,704, ,008, / ,953, ,562, ,515, / ,471, ,995, ,467, / ,000, ,076, ,514, ,590, / ,000, ,928, ,029, ,957, / ,704, ,584, ,288,
25 NORTHERN TRUST (INDEX FUND) SEPTEMBER 30, 1997 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION NORTHERN TRUST S&P
26 NORTHERN TRUST (INDEX FUND) ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET EQUITY CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/ ,811, ,449, ,260, / ,640, ,727, ,368, / ,000, ,565, , ,406, / ,738, ,183, ,922, / ,938, ,452, ,390, / ,585, , ,106, / ,739, ,374, ,114, / ,426, ,343, ,770, / ,422, ,132, ,555, / ,935, ,531, ,466, / ,359, ,542, ,901, / ,088, ,068, ,156, / ,666, ,449, ,116, / ,584, ,977, ,561, / ,288, ,115, ,404, / ,645, ,087, ,733, / ,088, ,904, ,992, /2007-1,500, ,929, ,087, ,016, / ,000, ,457, ,772, ,230, / ,000, ,271, ,665, ,937, / ,663, ,115, ,778,
27 ANALYTIC INVESTORS NOVEMBER 30, 2007 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER SINCE INCEPTION ANALYTIC INVESTORS RUSSELL
28 ANALYTIC INVESTORS ALLOCATION OF ASSETS NOVEMBER 30, 2007 THROUGH MARCH 31, 2008 TOTAL NET EQUITY MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT VALUE ROI VALUE 12/ ,000,000 30,222, ,222,077 N/A / ,332, ,332,
29 AXA ROSENBERG NOVEMBER 30, 2007 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER SINCE INCEPTION AXA ROSENBERG RUSSELL
30 AXA ROSENBERG ALLOCATION OF ASSETS NOVEMBER 30, 2007 THROUGH MARCH 31, 2008 TOTAL NET EQUITY MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT VALUE ROI VALUE 12/ ,000,000 31,375, ,375,684 N/A / ,619, ,619,
31 C.S. MCKEE (LC VALUE) MARCH 31, 2006 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR SINCE INCEPTION C.S. MCKEE RUSSELL 1000 VALUE
32 C.S. MCKEE (LC VALUE) ALLOCATION OF ASSETS MARCH 31, 2006 THROUGH MARCH 31, 2008 TOTAL NET EQUITY CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/ ,494, ,663, , ,391,004 N/A / , ,248, ,198, ,446, / ,007, ,992, ,000, / ,000, ,665, ,640, ,305, / ,118, ,594, ,712, / ,337, ,288, ,626, / ,000, ,609, ,360, ,969, / ,000, ,007, ,219, ,227, / ,745, ,631, ,376,
33 RHUMBLINE JULY 31, 2007 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER SINCE INCEPTION RHUMBLINE S&P MID CAP
34 RHUMBLINE ALLOCATION OF ASSETS JULY 31, 2007 THROUGH MARCH 31, 2008 TOTAL NET EQUITY MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT VALUE ROI VALUE 9/ ,000,000 48,047, ,047,681 N/A / ,745, ,745, / ,616, ,616,
35 J&W SELIGMAN (SC GROWTH) JUNE 30, 1994 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION J&W SELIGMAN RUSSELL 2000 GROWTH
36 J&W SELIGMAN (SC GROWTH) ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET EQUITY CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/ ,491, ,176, ,668, / ,418, ,506, ,924, / ,407, ,853, ,260, / ,527, ,859, ,386, / ,600, ,420, ,020, / ,244, ,737, ,981, / ,607, ,819, ,426, / ,922, ,757, ,679, / ,017, ,650, ,667, / ,208, ,358, ,567, / ,371, ,191, ,562, / ,585, ,590, ,176, / ,915, ,205, ,121, / ,877, ,864, ,742, / ,525, ,741, ,266, / ,715, ,550, ,265, / ,778, ,525, ,303, /2007-1,500,000 87,622, ,635, ,258, /2007-5,000,000 89,858, ,507, ,365, /2007-5,000,000 79,487, ,485, ,973, / ,675, ,982, ,658,
37 BRANDYWINE (SC VALUE) SEPTEMBER 30, 1998 THROUGH MARCH 31, 2008 RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION BRANDYWINE RUSSELL 2000 VALUE
38 BRANDYWINE (SC VALUE) ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET EQUITY CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/ ,133, ,645, ,779, / ,285, ,862, ,147, / ,881, ,316, ,198, /2003-5,000,000 71,442, ,217, ,660, / ,875, ,707, ,582, / ,696, ,278, ,975, / ,491, ,391, ,882, / ,884, ,224, ,109, / ,023, ,026, ,050, / ,006, ,337, ,344, / ,359, ,973, ,333, /2005-8,000,000 83,914, ,492, ,407, / ,885, ,490, ,375, / ,444, ,800, ,245, / ,687, ,468, ,156, / ,000,000 88,825, ,794, ,620, / ,228, ,748, ,976, /2007-1,500,000 91,956, ,697, ,654, /2007-5,000,000 79,980, ,092, ,072, / ,396, ,738, ,135, / ,586, , ,438,
39 US STOCK CHARACTERISTICS AS OF MARCH 31, 2008 S&P 500 Composite Ark Asset Northern Trust Analytic Investors AXA Rosenberg C.S. McKee Rhumbline J&W Seligman Brandywine P/E RATIO P/B RATIO DIVIDEND YIELD MEDIAN MARKET VALUE 47, ,990 47,221 18,164 36,881 32,942 2,345 1, NUMBER OF STOCKS 500 1, Long/ 108 Short 159 Long/ 101 Short TURNOVER RATIO (%)
40 INTERNATIONAL EQUITY COMPOSITE MANAGER ALLOCATION TOTAL FUND TOTAL MARKET VALUE ON DECEMBER 31, 2007 $192,102,408 TOTAL MARKET VALUE ON MARCH 31, 2008 $174,758,520 THORNBURG THORNBURG WALTER SCOTT WALTER SCOTT VALUE PERCENT THORNBURG 70,405, WALTER SCOTT 121,696, VALUE PERCENT THORNBURG 63,049, WALTER SCOTT 111,709,
41 INTERNATIONAL EQUITY COMPOSITE JUNE 30, 1995 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION INT EQUITY COMPOSITE MSCI EAFE
42 INTERNATIONAL EQUITY COMPOSITE INVESTMENT PERFORMANCE JUNE 30, 1995 THROUGH MARCH 31, 2008 LATEST ONE THREE FIVE SINCE QUARTER YEAR YEARS YEARS INCEPTION ROR ROR ROR ROR ROR TOTAL FUND THORNBURG N/A N/A N/A WALTER SCOTT INTERNATIONAL INTERNATIONAL EQUITY COMPOSITE MSCI EAFE
43 INTERNATIONAL EQUITY COMPOSITE CAPITAL MARKET LINE JUNE 30, 1995 THROUGH MARCH 31, 2008 MORE RETURN LESS RISK MORE RETURN MORE RISK ANNUALIZED RATE OF RETURN % LESS RETURN LESS RISK VARIABILITY OF RETURNS (RISK) LESS RETURN MORE RISK RETURN STD DEV BETA ALPHA R-SQUARED INTL EQUITY MSCI EAFE
44 WALTER SCOTT INTERNATIONAL JUNE 30, 1995 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION WALTER SCOTT MSCI EAFE
45 WALTER SCOTT INTERNATIONAL ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 FOREIGN TOTAL NET EQUITY MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT VALUE ROI VALUE 3/ ,168, ,168, / ,666, ,666, / ,240, ,240, / ,285, ,285, / ,253, ,253, / ,590, ,590, / ,525, ,525, / ,877, ,877, / ,231, ,231, /2005-6,000, ,374, ,374, /2005-7,000, ,676, ,678, /2005-5,000, ,160, ,160, / ,488, ,488, / ,533, ,533, / ,858, ,858, / ,000, ,126, ,126, / ,026, ,026, / ,000, ,328, ,328, / ,658, ,658, /2007-5,000, ,696, ,696, / ,709, ,709,
46 THORNBURG OCTOBER 1, 2006 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR SINCE INCEPTION THORNBURG MSCI ACWI EX US
47 THORNBURG ALLOCATION OF ASSETS OCTOBER 1, 2006 THROUGH MARCH 31, 2008 FOREIGN TOTAL NET EQUITY MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT VALUE ROI VALUE 12/ ,000,000 55,193, ,193, / ,994, ,994, / ,851, ,851, / ,495, ,495, / ,405, ,405, / ,049, ,049,
48 FIXED INCOME COMPOSITE MANAGER ALLOCATION TOTAL FUND TOTAL MARKET VALUE ON DECEMBER 31, 2007 $483,777,039 TOTAL MARKET VALUE ON MARCH 31, 2008 $470,822,187 ORLEANS FI SCHRODER EVERGREEN EVERGREEN SCHRODER ORLEANS FI VALUE PERCENT EVERGREEN 116,359, ORLEANS FI 182,446, SCHRODER 184,971, VALUE PERCENT EVERGREEN 114,208, ORLEANS FI 183,796, SCHRODER 172,816,
49 FIXED INCOME COMPOSITE NOVEMBER 30, 1989 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION FI COMPOSITE LB AGGREGATE BOND
50 FIXED INCOME COMPOSITE INVESTMENT PERFORMANCE NOVEMBER 30, 1989 THROUGH MARCH 31, 2008 LATEST ONE THREE FIVE TEN SINCE QUARTER YEAR YEARS YEARS YEARS INCEPTION ROR ROR ROR ROR ROR ROR TOTAL FUND EVERGREEN N/A N/A N/A ORLEANS CAPITAL MANAGEMENT N/A SCHRODER INVESTMENT MANAGEMENT N/A FIXED INCOME COMPOSITE LB AGGREGATE BOND
51 FIXED INCOME COMPOSITE CAPITAL MARKET LINE NOVEMBER 30, 1989 THROUGH MARCH 31, 2008 MORE RETURN LESS RISK MORE RETURN MORE RISK 7.00 ANNUALIZED RATE OF RETURN % LESS RETURN LESS RISK LESS RETURN MORE RISK VARIABILITY OF RETURNS (RISK) RETURN STD DEV BETA ALPHA R-SQUARED FI COMPOSITE LB AGGREGATE BOND
52 ORLEANS CAPITAL MANAGEMENT DECEMBER 31, 1991 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION ORLEANS FI LB AGGREGATE BOND
53 ORLEANS CAPITAL MANAGEMENT ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET BOND CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/2003-9,500, ,892, ,645, ,537, / ,747, ,422, ,604, ,027, / ,338, ,650, ,989, / ,810, ,109, ,920, / ,341, ,812, ,153, / ,425, ,045, ,470, / ,303, ,188, ,491, / ,041, ,322, ,364, / ,310, ,747, ,058, /2005-6,000, ,135, ,480, ,616, / ,696, ,820, ,516, / ,037, ,643, ,680, / ,000, ,900, ,204, ,105, /2006-5,000, ,895, ,748, ,643, / ,750, ,737, ,628, ,365, /2006-6,000, ,108, ,386, ,495, / ,561, ,878, ,440, /2007-4,000, ,164, ,538, ,703, / ,833, ,055, ,889, / ,435, ,010, ,446, /2008-2,000, ,222, ,574, ,796,
54 SCHRODER INVESTMENT MANAGEMENT SEPTEMBER 30, 1994 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS FIVE YEARS SINCE INCEPTION SCHRODER LB AGGREGATE BOND
55 SCHRODER INVESTMENT MANAGEMENT ALLOCATION OF ASSETS MARCH 31, 2003 THROUGH MARCH 31, 2008 TOTAL NET BOND CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 3/2003-9,500, ,434, ,114, ,548, / ,000, ,363, ,480, ,844, / ,502, ,618, ,120, / ,558, ,907, ,466, / ,422, ,582, ,005, / ,000, ,904, ,361, ,266, / ,000, ,757, ,158, ,915, / ,000, ,692, ,461, ,154, /2005-7,500, ,541, ,626, ,167, / ,215, ,949, ,164, / ,973, ,966, ,940, / ,782, ,343, ,126, / ,000, ,969, ,366, ,335, / ,000, ,291, ,871, ,162, / ,750, ,943, ,627, ,316, /2006-6,000, ,623, ,180, ,803, / ,699, ,456, ,156, /2007-4,000, ,216, ,424, ,640, / ,069, ,973, ,042, / ,507, ,464, ,971, / ,000, ,947, ,869, ,816,
56 EVERGREEN JUNE 30, 2003 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR THREE YEARS SINCE INCEPTION EVERGREEN LB AGGREGATE BOND
57 EVERGREEN ALLOCATION OF ASSETS JUNE 30, 2003 THROUGH MARCH 31, 2008 TOTAL NET BOND CASH MARKET INDEX DATE CONTRIBUTION SEGMENT PERCENT SEGMENT PERCENT VALUE ROI VALUE 6/ ,747,162 63,178, ,905, ,084,045 N/A / ,864, ,785, ,650, / ,860, ,189, ,050, / ,464, ,299, ,764, / ,509, ,837, ,347, / ,998, ,689, ,687, / ,665, ,000, ,665, / ,780, ,890, ,670, / ,768, ,984, ,752, / ,997, ,172, ,169, / ,601, ,308, ,909, / ,148, ,272, ,420, / ,083, , ,570, / ,376, ,234, ,610, / ,856, , ,247, / ,778, ,360, ,139, /2007-4,000, ,164, , ,668, / ,219, ,688, ,908, / ,376, ,982, ,359, / ,923, ,284, ,208,
58 FIXED INCOME CHARACTERISTICS AS OF MARCH 31, 2008 Lehman Brothers Aggregate Index Fixed Income Composite Orleans Capital Schroder Capital Evergreen Investment AVERAGE MATURITY (YEARS) YIELD TO MATURITY (%) AVERAGE DURATION (YEARS) AVERAGE QUALITY AA1/AA2 AA2 AA3 AAA/AA1 AA1 TURNOVER RATIO (%)
59 REAL ESTATE COMPOSITE MANAGER ALLOCATION TOTAL FUND TOTAL MARKET VALUE ON DECEMBER 31, 2007 $106,179,570 TOTAL MARKET VALUE ON MARCH 31, 2008 $104,377,089 PRUDENTIAL PRISA PRUDENTIAL PRISA PRINCIPAL PRINCIPAL VALUE PERCENT PRUDENTIAL PRISA 54,337, PRINCIPAL 51,841, VALUE PERCENT PRUDENTIAL PRISA 54,602, PRINCIPAL 49,774,
60 REAL ESTATE COMPOSITE MARCH 31, 2006 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR SINCE INCEPTION RE COMPOSITE NCREIF NATIONAL
61 REAL ESTATE COMPOSITE INVESTMENT PERFORMANCE MARCH 31, 2006 THROUGH MARCH 31, 2008 LATEST ONE SINCE QUARTER YEAR INCEPTION ROR ROR ROR TOTAL FUND PRINCIPAL PRUDENTIAL PRISA N/A REAL ESTATE COMPOSITE NCREIF NATIONAL
62 PRINCIPAL MARCH 31, 2006 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR SINCE INCEPTION PRINCIPAL NCREIF NATIONAL
63 PRINCIPAL ALLOCATION OF ASSETS MARCH 31, 2006 THROUGH MARCH 31, 2008 TOTAL NET REAL MARKET INDEX DATE CONTRIBUTION ESTATE PERCENT VALUE ROI VALUE 3/ ,000,000 46,027, ,027,487 N/A / ,148, ,148, / ,644, ,644, / ,491, ,491, /2007-1,500,000 51,717, ,717, / ,526, ,526, / ,107, ,107, /2007-5,000,000 51,841, ,841, /2008-2,500,000 49,774, ,774,
64 PRUDENTIAL PRISA SEPTEMBER 30, 2006 THROUGH MARCH 31, RATE OF RETURN (%) LATEST QUARTER FISCAL YTD ONE YEAR SINCE INCEPTION PRUDENTIAL PRISA NCREIF NATIONAL
65 PRUDENTIAL PRISA ALLOCATION OF ASSETS SEPTEMBER 30, 2006 THROUGH MARCH 31, 2008 TOTAL NET REAL MARKET INDEX DATE CONTRIBUTION ESTATE PERCENT VALUE ROI VALUE 9/ ,000,000 45,000, ,000,000 N/A / ,617, ,617, / ,299 48,404, ,404, / ,706 51,359, ,359, / ,903 53,409, ,409, / ,685 54,337, ,337, / ,017 54,602, ,602,
66 INVESTMENT MANAGEMENT FEES AS OF MARCH 31, 2008 MANAGER: AMOUNT 1 ANNUAL PERCENT OF MARKET VALUE Ark Asset $ 422, % Northern Trust 82, Analytic Investors 163, AXA Rosenberg 221, C.S. McKee 358, RhumbLine 25, J&W Seligman 369, Brandywine Walter Scott 558, Thornburg 413, Orleans Capital 201, Schroder Capital 286, Evergreen 175, Principal 482, Prudential 430, Total $4,191, % 1 Estimated annual fee based on actual fee schedules and average assets. 2 Effective 1/1/2007 Brandywine is subject to a performance based fee schedule. 63
67 NOTES The AXA Rosenberg 130/30 equity portfolio funded on November 13, 2007, with $30 million. The Analytic Investors 130/30 equity portfolio funded on November 28, 2007, with $30 million. Schroder Investment Management received approximately $52,000 in proceeds from the WorldCom litigation during the first quarter of On July 16, 2007, $50 million was invested in the RhumbLine Mid-Cap 400 Index portfolio. Ark Asset, Northern Trust and C.S. McKee each contributed $16.7 million to the funding. During the first quarter of 2007, the Retirement System funded the Hamilton Lane private equity portfolio with $1.5 million ($0.6 million on 1/8 and $0.9 million on 1/23). Through March 31, 2008, the System has contributed $7.7 million, and received $1.2 million in distributions. The Benefit System's targeted commitment is $30 million. Effective January 1, 2007, small cap value manager Brandywine is subject to a performance based fee schedule. The Retirement System will not be assessed any fees until at least the fourth quarter of 2007, and any such fee will be based on Brandywine s rolling three-year performance as compared to the Russell 2000 Value Index. On October 2, 2006, the Thornburg International Equity portfolio was funded with $50 million. The funding was accomplished by reallocating $20 million from C.S. McKee, $20 million from Walter Scott and $10 million from Brandywine. During the third quarter of 2006, the Retirement System funded the Prudential PRISA real estate portfolio with $45.0 million. Orleans and Schroder each contributed $22.5 million on September 29, The Retirement System funded the Pantheon USA VII private equity investment with $0.3 million on September 28, Through December 31, 2007, the System has contributed $3.9 million. The Benefit System's targeted commitment is $30 million. 64
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