State Board of Administration of Florida. Major Mandate Review First Quarter 2013

Transcription

1 State Board of Administration of Florida Major Mandate Review First Quarter 2013

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3 Table of Contents 1. Executive Summary 2. Pension Plan Review 3. Investment Plan Review 4. CAT Fund Review 5. Lawton Chiles Endowment Fund Review 6. Florida PRIME and Fund B Review 7. Appendix 3

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5 Executive Summary First Quarter 2013

6 Executive Summary The major mandates outperformed their respective benchmarks over all longer time periods through March 31, The Pension Plan outperformed its Performance Benchmark during the first quarter and over the trailing one-, three-, five-, ten- and fifteen-year time periods. Global Equity, and specifically Foreign Equities, has been the main source of value added over the trailing one- and five-year time periods. Fixed Income, Real Estate and Strategic Investments have also added value. The Pension Plan ranked in the top quartile of the TUCS Top Ten Defined Benefit Plan universe over the trailing oneand ten-year periods and ranked in the top half of the universe over the trailing five-year period. The FRS Investment Plan outperformed the Total Plan Aggregate Benchmark during the first quarter and over all trailing periods. The Lawton Chiles Endowment Fund outperformed its benchmark over all trailing periods, primarily due to strong public equity performance. The CAT Funds and Florida PRIME continued to outperform their respective benchmarks over both short and long time periods. 6

7 State Board of Administration of Florida Florida Retirement System Pension Plan Review First Quarter 2013

8 Executive Summary The Pension Plan assets totaled $133.7 billion as of March 31, 2013 which represents a $5.0 billion increase since last quarter. The Pension Plan, when measured against the Performance Benchmark, outperformed over the trailing one-, three-, five-, ten- and fifteen-year periods. Relative to the Absolute Nominal Target Rate of Return, the Pension Plan underperformed over the five- and fifteenyear periods, but has outperformed over the trailing one-, three-, ten-, twenty- and twenty five-year time periods. The Pension Plan is well-diversified across six broad asset classes, and each asset class is also well-diversified. Public market asset class investments do not significantly deviate from their broad market based benchmarks, e.g., sectors, market capitalizations, global regions, credit quality, duration, and security types. Private market asset classes are well-diversified by vintage year, geography, property type, sectors, investment vehicle/asset type and investment strategy. Asset allocation is monitored on a daily basis to ensure the actual asset allocation of the Pension Plan remains close to the long-term policy targets set forth in the Investment Policy Statement. Hewitt EnnisKnupp and SBA staff revisit the plan design annually through informal and formal asset allocation and asset liability reviews. Adequate liquidity exists within the asset allocation to pay the monthly obligations of the Pension Plan consistently and on a timely basis. 8

9 FRS Pension Plan Change in Market Value Periods Ending 3/31/2013 Summary of Cash Flows First Quarter Fiscal YTD* Beginning Market Value $128,614,037,816 $122,745,973,551 +/- Net Contributions/(Withdrawals) ($1,539,133,242) ($4,715,116,797) Investment Earnings $6,575,726,424 $15,619,774,244 = Ending Market Value $133,650,630,998 $133,650,630,998 Net Change $5,036,593,182 $10,904,657,447 *Period July 2012 March

10 Asset Allocation as of 3/31/2013 Total Fund Assets = $133.7 Billion 10

11 FRS Pension Plan Investment Results Periods Ending 3/31/2013 Total FRS Pension Plan Performance Benchmark Absolute Nominal Target Rate of Return Rate of Return (%) Quarter 1-Year 3-Year 5-Year 10-Year 15-Year 11

12 FRS Pension Plan Investment Results Periods Ending 3/31/2013 Long-Term FRS Pension Plan Performance Results vs. SBA's Long-Term Investment Objective Total FRS Absolute Nominal Target Rate of Return Annualized Return (%) Last 20 Years Last 25 Years Last 30 Years 12

13 Comparison of Asset Allocation As of 3/31/2013 FRS Pension Plan vs. Top Ten Defined Benefit Plans FRS TOTAL FUND TUCS TOP TEN Private Equity 5.0% Strategic Investments 4.8% Cash 0.9% Alternatives 15.8% Cash 3.4% Real Estate 7.5% Real Estate 6.9% Global Equity** 49.2% Fixed Income 22.3% Global Equity* 59.4% Fixed Income 24.7% *Global Equity Allocation: 26.9% Domestic Equities; 29.4% Foreign Equities;3.1% Global Equities. Percentages are of the Total FRS Fund. **Global Equity Allocation: 30.1% Domestic Equities; 19.1% Foreign Equities. Note: The TUCS Top Ten Universe includes $1,162.1 billion in total assets. The median fund size was $117.5 billion and the average fund size was $116.2 billion. 13

14 FRS Results Relative to TUCS Top Ten Defined Benefit Plans Periods Ending 3/31/2013 Total FRS (Gross) Top Ten Median Defined Benefit Plan Fund (Gross) Rate of Return (%) Quarter 1-Year 3-Year 5-Year 10-Year Note: The TUCS Top Ten Universe includes $1,162.1 billion in total assets. The median fund size was $117.5 billion and the average fund size was $116.2 billion. 14

15 Top Ten Defined Benefit Plans FRS Universe Comparison (TUCS) Periods Ending 3/31/ Total FRS Top Ten Median Defined Benefit Plan Universe Rate of Return (%) Year 3-Year 5-Year 10-Year FRS Percentile Ranking Note: The TUCS Top Ten Universe includes $1,162.1 billion in total assets. The median fund size was $117.5 billion and the average fund size was $116.2 billion. 15

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17 State Board of Administration of Florida Florida Retirement System Investment Plan Review First Quarter 2013

18 Executive Summary The FRS Investment Plan outperformed the Total Plan Aggregate Benchmark over the trailing one-, three-, five- and ten-year periods. This suggests strong relative performance of the underlying fund options in which participants are investing. The Investment Plan Expense Ratio for the FRS Investment Plan is lower, on average, when compared to a defined contribution peer group and is significantly lower than the average corporate and public defined benefit plan. Management fees are lower than the median as represented by Morningstar s mutual fund universe for every investment category. The FRS Investment Plan offers an appropriate number of fund options that span the risk and return spectrum. The Investment Policy Statement is revisited periodically to ensure the structure and guidelines of the FRS Investment Plan are appropriate, taking into consideration the FRS Investment Plan s goals and objectives. 18

19 Total Investment Plan Returns & Cost Periods Ending 3/31/2013 One-Year Three-Year Five-Year Ten-Year FRS Investment Plan 8.3% 7.6% 4.3% 7.5% Total Plan Aggregate Benchmark* FRS Investment Plan vs. Total Plan Aggregate Benchmark Periods Ending 12/31/2011*** Five-Year Average Return Five-Year Net Value Added Expense Ratio FRS Investment Plan 1.75% 0.69% 0.22% Peer Group 1.78** 0.12** 0.24*** FRS Investment Plan vs. Peer Group *Aggregate benchmark returns are an average of the individual portfolio benchmark returns at their actual weights. **Represents the U.S. Median plan return based on the CEM 2011 Survey (most recent available) that included 166 U.S. defined contribution plans with aggregate assets totaling $1,017 billion. The median DC plan in the universe has $2.5 billion in assets and the average DC plan has $6.1 billion in assets. ***Source: CEM Benchmarking 2011 Report (most recent available) Custom Peer Group for FSBA of 19 DC plans including corporate and public plans with assets between $2.0 - $12.6 billion. Note: The CEM 2012 Survey is expected to be available late summer

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21 State Board of Administration of Florida CAT Fund Review First Quarter 2013

22 Executive Summary Performance of the CAT Funds on both an absolute and relative basis has been strong over shortand long-term time periods. The CAT Funds are adequately diversified across issuers within the short-term bond market. The Investment Policy Statement appropriately constrains the CAT Funds to invest in short-term and high quality bonds to minimize both interest rate and credit risk. Adequate liquidity exists to address the cash flow obligations of the CAT Funds. The Investment Policy Statement is revisited periodically to ensure that the structure and guidelines of the CAT Funds are appropriate, taking into consideration the CAT Funds goals and objectives. 22

23 CAT Funds Investment Results Periods Ending 3/31/2013 Rate of Return (%) Rate of Return (%) CAT Operating Fund* Performance Benchmark** Quarter 1-Year 3-Year 5-Year 10-Year CAT 2007 A Fund Performance Benchmark*** Quarter 1-Year 3-Year 5- Year *CAT Operating Fund: Beginning March 2008, the returns for the CAT Fund reflect marked-to-market returns. Prior to that time, cost-based returns are used. **Performance Benchmark: The CAT Fund was benchmarked to the IBC First Tier through February From March 2008 to December 2009, it was the Merrill Lynch 1-Month LIBOR. From January 2010 to June 2010, it was a blend of the average of the 3-Month Treasury Bill rate and the imoneynet First Tier Institutional Money Market Funds Gross Index. Effective July 2010, it is a blend of the average of the 3-Month Treasury Bill rate and the imoneynet First Tier Institutional Money Market Funds Net Index. ***Performance Benchmark: The CAT 2007 A Fund was benchmarked to the Merrill Lynch 1-Month LIBOR from March 2008 to December From January 2010 to June 2010, it was a blend of the average of the 3-Month Treasury Bill rate and the imoneynet First Tier Institutional Money Market Funds Gross Index. Effective July 2010, it is a blend of the average of the 3-Month Treasury Bill rate and the imoneynet First Tier Institutional Money Market Funds Net Index. 23

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25 State Board of Administration of Florida Lawton Chiles Endowment Fund Review First Quarter 2013

26 Executive Summary Established in July 1999, the Lawton Chiles Endowment Fund (LCEF) was created to provide a source of funding for child health and welfare programs, elder programs and research related to tobacco use. The investment objective is to preserve the real value of the net contributed principal and provide annual cash flows for appropriation. The Endowment s investments are diversified across various asset classes including global equity, fixed income, inflation-indexed bonds (TIPS) and cash. The Endowment assets totaled $850.1 million as of March 31, The Endowment s return outperformed that of its Target over the trailing one-, three-, fiveand ten-year time periods. 26

27 Asset Allocation as of 3/31/2013 Total LCEF Assets = $850.1 Million Note: In anticipation of an extraordinary payout expected in June 2013, the Endowment currently has a large cash balance. Per the LCEF Investment Policy Statement, this allows for the suspension of normal asset allocation procedures. In particular, policy weights become equal to month-end actual weights, and policy ranges are not applicable. Once the mandated payout has been made, target allocations and policy ranges will revert to the values above. 27

28 LCEF Investment Results Periods Ending 3/31/2013 Total LCEF Performance Benchmark Annualized Return (%) Quarter 1-Year 3-Year 5-Year 10-Year 28

29 State Board of Administration of Florida Florida PRIME and Fund B Review First Quarter 2013

30 Executive Summary The purpose of Florida PRIME is safety, liquidity, and competitive returns with minimal risk for participants. The Investment Policy Statement appropriately constrains Florida PRIME to invest in short-term and high quality bonds to minimize both interest rate and credit risk. Florida PRIME is adequately diversified across issuers within the short-term bond market and adequate liquidity exists to address the cash flow obligations of Florida PRIME. Performance of Florida PRIME on both an absolute and relative basis has been strong over shortand long-term time periods. As of March 31, 2013, the total market value of Florida PRIME was $8.48 billion. Hewitt EnnisKnupp, in conjunction with SBA staff, compiles an annual best practices report that includes a full review of the Investment Policy Statement, operational items, and investment structure for Florida PRIME. 30

31 Florida PRIME Investment Results Periods Ending 3/31/2013 FL PRIME Yield S&P AAA & AA GIP All 30-Day Net Yield Index** 4.0 Rate of Return (%) st Quarter* 1-Year 3-Years 5-Years 10-Years Since Jan *Returns less than one year are not annualized. **S&P AAA & AA GIP All 30-Day Net Yield Index for all time periods shown. 31

32 Florida PRIME Risk vs. Return 5 Years Ending 3/31/ M LIBOR Florida PRIME S&P US AAA & AA Rated GIP All 30-Day Net 90-Day T-Bill 32

33 Fund B Change in Market Value Period Ending 3/31/2013 Cash Flows as of 3/31/2013 First Quarter Fiscal YTD* Opening Balance $242,818,032 $231,848,908 Participant Distributions ($11,390,000) ($42,130,000) Expenses Paid ($6,363) ($17,208) Price Change $14,989,374 $56,709,343 Closing Balance $246,411,043 $246,411,043 Change $3,593,011 $14,562,135 *Period July 2012 March 2013 As of March 2013, 88.3% of the original principal in Fund B has been returned to participants. 33

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35 Appendix

36 FRS Investment Plan Costs Investment Category Investment Plan Fee* Average Mutual Fund Fee** Large Cap Equity 0.34% 0.83% Mid Cap Equity 0.37% 0.96% Small Cap Equity 0.89% 1.05% International Equity 0.40% 1.04% Diversified Bonds 0.28% 0.55% Balanced Funds 0.05% 0.92% Money Market 0.06% 0.24% *Average fee if multiple products in category as of 3/31/2013. **Source: Morningstar as of 3/31/

37 Investment Plan Fiscal Year End Assets Under Management $9,000 By Fiscal Year ($ millions) $8,000 $7,000 $6,733 $7,136 $7,858 $6,000 $5,000 $4,000 $3,688 $4,365 $4,075 $5,048 $3,000 $2,000 $1,426 $2,306 $1,000 $333 $706 $0 FY FY FY FY FY FY FY FY FY FY FY 12-13* *Period Ending 3/31/2013 Source: Investment Plan Administrator 37

38 Investment Plan Membership 160, , , , , , , , , ,000 98,070 80,000 75,377 60,000 56,034 40,000 38,347 20,000 0 FY FY FY FY FY FY FY FY FY FY 12-13* *Period Ending 3/31/2013 Source: Investment Plan Administrator 38

39 Florida Hurricane Catastrophe Fund Background The purpose of the Florida Hurricane Catastrophe Fund (FHCF) is to provide a stable, ongoing and timely source of reimbursement to insurers for a portion of their hurricane losses. The State Board of Administration of Florida (SBA) manages five FHCF accounts, the CAT Fund (Operating Fund), the CAT 2006 A Fund (Post-Event Tax-Exempt Revenue Bonds), the CAT 2007 A Fund (Pre-Event Floating Rate Taxable Notes), the CAT 2008 A Fund (Post-Event Tax-Exempt Revenue Bonds), and the CAT 2010 A Fund (Post-Event Tax-Exempt Revenue Bonds). Both the CAT Fund (Operating Fund) and the CAT 2007 A Fund are internally managed portfolios benchmarked to a blend of the average of the 3-Month Treasury Bill rate and the imoneynet First Tier Institutional Money Market Funds Net Index. The CAT 2006 A Fund, the CAT 2008 A Fund and the CAT 2010 A Fund are invested in State and Local Government Series (SLGS) securities. As of March 31, 2013, the total value of all FHCF accounts was $8.5 billion. 39

40 CAT Operating Fund Characteristics Period Ending 3/31/2013 Effective Maturity Schedule O/N* - 14 Days 23.9% Days Days Days Days Days Days Days Days Days Days Days Days ,098 Days 4.1 1,099-1,875 Days 0.6 Total % of Portfolio: 100.0% S & P Credit Quality Composition AAA 52.8% AA 9.8 A 36.8 BBB 0.0 Non-Investment Grade 0.6 Total % of Portfolio: 100.0% *O/N stands for overnight. 40

41 Florida PRIME Characteristics Quarter Ending 3/31/2013 Cash Flows as of 3/31/2013 First Quarter Fiscal YTD* Opening Balance $8,476,195,715 Participant Deposits $3,132,232,137 Transfers from Fund B $11,390,000 Gross Earnings $5,460,620 Participant Withdrawals ($3,142,773,600) Fees ($640,809) Closing Balance (3/31/2013) $8,481,864,061 Change $5,668,346 $6,752,444,139 $12,217,819,557 $42,130,000 $16,118,336 ($10,545,021,356) ($1,626,615) $8,481,864,061 $1,729,419,922 *Period July 2012 March

42 Florida PRIME Characteristics Quarter Ending 3/31/2013 Portfolio Composition Bank Instrument - Fixed 2.3% 2.2% 3.7% Repurchase Agreements Corporate Commercial Paper - Fixed 6.3% 2.2% 34.8% Bank Instrument - Floating Mutual Funds - Money Market 17.7% Asset-Backed Commercial Paper - Fixed Corporate Notes - Floating 15.5% 15.3% Asset-Backed Commercial Paper - Floating Corporate Commercial Paper - Floating 42

43 Florida PRIME Characteristics Period Ending 3/31/2013 Effective Maturity Schedule 1-7 Days 40.1% 8-30 Days Days Days Days 1.1 Total % of Portfolio: 100.0% S & P Credit Quality Composition A % A Total % of Portfolio: 100.0% 43

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45 State Board of Administration of Florida FRS Pension Plan First Quarter 2013 Hewitt EnnisKnupp, Inc. 10 South Riverside Plaza, Suite 1600 Chicago, IL phone: fax:

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47 CONTENTS 1 Market Environment 17 Total Fund 29 Global Equity 31 Domestic Equities 37 Foreign Equities 43 Global Equities 47 Fixed Income 53 Private Equity 63 Real Estate 71 Strategic Investments 79 Cash 83 Appendix

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49 Market Environment First Quarter 2013

50 Market Highlights SHORT TERM RETURNS AS OF 03/31/ % 15% 10% 5% 10.61% 13.96% 12.39% 16.30% 5.13% 11.26% 1.96% First Quarter % One-Year 7.42% 9.83% 2.90% 13.13% 0% -5% -1.62% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Source: Russell, MSCI, Barclays, DJ-UBS -0.12% Barclays Aggregate -2.26% -1.80% Barclays Long Gov't Barclays Long Credit Barclays High Yield -1.13% -3.03% Dow Jones-UBS Commodity LONG TERM ANNUALIZED RETURNS AS OF 03/31/ % 15% 10% 5% 0% -5% 5.81% 8.53% 8.24% 11.52% -0.89% 9.69% 1.09% 17.05% 5.48% Five-Year Ten-Year 10.45% 8.28% 7.24% 7.72% 5.03% 11.65% 10.13% 3.67% -10% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Source: Russell, MSCI, Barclays, DJ-UBS Barclays Aggregate Barclays Long Gov't Barclays Long Credit Barclays High Yield -7.11% Dow Jones-UBS Commodity 2

51 Market Highlights Returns of the Major Capital Markets Periods Ending 3/31/2013 First Quarter 1-Year 3-Year 5-Year 10-Year Domestic Stock Indices Dow Jones U.S. Total Stock Market Index 11.1% 14.5% 13.1% 6.5% 9.4% Russell 3000 Index 11.1% 14.6% 13.0% 6.3% 9.2% S&P 500 Index 10.6% 14.0% 12.7% 5.8% 8.5% Russell 2000 Index 12.4% 16.3% 13.5% 8.2% 11.5% Global Stock Indices MSCI All Country World IMI Index 6.9% 11.0% 8.1% 2.6% 9.9% MSCI All Country World ex-u.s. IMI Index 3.6% 8.6% 4.7% 0.0% 11.3% MSCI EAFE Index 5.1% 11.3% 5.0% -0.9% 9.7% MSCI Emerging Markets Index -1.6% 2.0% 3.3% 1.1% 17.1% Domestic/Foreign Bond Indices Barclays Aggregate Bond Index -0.1% 3.8% 5.5% 5.5% 5.0% Barclays Long Gov't Index -2.3% 7.4% 12.4% 8.3% 7.2% Barclays Long Credit Index -1.8% 9.8% 12.1% 10.5% 7.7% Barclays Long Gov't/Credit Index -2.0% 8.9% 12.3% 9.6% 7.5% SSB Non-U.S. WGBI Index -3.8% -2.2% 3.3% 2.3% 5.6% 3

52 Global Equity Markets GLOBAL MSCI IMI INDEX RETURNS AS OF 03/31/ % First Quarter 2013 One-Year 40% 30% 20% 10% 0% 18.54% 13.62% 10.95% 10.81% 12.27% 10.80% 11.06% 8.62% 9.00% 6.90% 7.22% 6.99% 3.57% 2.89% 2.31% 0.66% 3.05% 1.50% 2.78% -0.95% -10% Source: MSCI ACWI IMI 52.2% ACWI ex-u.s. IMI 47.8% USA IMI 7.9% UK IMI 8.0% Japan IMI 4.0% Canada IMI 0.2% Israel IMI 14.8% Europe ex-uk IMI 5.2% Pacific ex-japan IMI 12.1% Emerging Markets IMI Equity markets posted positive returns during the quarter despite Eurozone worries resulting from an Italian election in which no party claimed a majority, corruption allegations in Spain, and a Cypriot bailout. Equity markets were pushed higher by positive U.S. economic data and the U.S. fiscal cliff deal that was reached at the beginning of the quarter. Japan proved to be the best performing region as investors were pleased with the Prime Minister s ongoing pressure to increase the money supply. The worst performing region was Emerging Markets. 4

53 Global Equity Markets MSCI MSCI ALL COUNTRY WORLD IMI IMI INDEX INDEX GEOGRAPHIC ALLOCATION AS AS OF OF 03/31/2013 Pacific ex-japan 5.2% Canada Japan 4.0% 8.0% Europe Europe ex-uk UK ex-uk 14.8% 7.9% 14.8% Israel Israel 0.2% 0.2% Latin America 2.5% Emerging Markets 12.1% Emerging Markets 12.1% Asia Asia 7.5% 7.5% USA 47.8% USA 47.8% Eastern Europe, Middle Eastern East Europe & Middle AfricaEast & 2.0% Africa 2.1% Source: MSCI MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2013 The two exhibits on this slide illustrate the percentage that each country/region represents of the global equity market as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-u.s. IMI Index. Europe ex-uk 28.4% Israel 0.4% Latin America 4.8% Japan 15.3% Emerging Markets 23.1% Asia 14.4% Source: MSCI Pacific ex-japan 10.0% Canada 7.7% UK 15.1% Eastern Europe, Middle East & Africa 3.9% 5

54 U.S. Equity Markets RUSSELL GICS SECTOR RETURNS AS OF 03/31/ % First Quarter % One-Year RUSSELL STYLE RETURNS AS OF 03/31/ % First Quarter 2013 One-Year 40% 30% 20% 10% 0% 19.97% 19.98% 18.34% 14.57% 14.59% 15.70% 11.07% 11.07% 12.25% 14.59% 12.25% 12.04% 10.57% 10.26% 10.26% 24.94% 24.84% 17.39% 17.66% 12.23% 13.38% 10.00% 8.62% 5.39% 5.24% -0.53% - 30% 20% 10% 14.57% 11.07% 11.45% 17.49% 8.77% 9.06% 14.21% 21.49% 12.76% 11.51% 11.63% 18.09% 14.52% 13.21% -10% Russell 3000 Source: : Russell Indexes 12.5% Cons. Disc. 9.9% Energy 9.5% 17.2% 12.3% 11.3% Cons. Stap. Financials Healthcare Industrials 17.3% IT 3.9% 2.6% 3.5% Materials Telecomms Utilities 2013 started strong for U.S. equities as Congress acted to delay negotiations regarding the debt ceiling. The rally continued through the second half of the quarter as fourth quarter earnings proved to be strong with roughly three-fourths of companies meeting or beating expectations. The Russell 3000 rose 11.07% during the quarter and returned 14.57% over the one-year period. The Healthcare, Utilities, Consumer Discretionary, and Industrial sectors were the best performing sectors during the fourth quarter, posting returns of 15.70%, 13.38%, 12.25%, and 12.23%, respectively. The Information Technology and Materials sectors were the worst performing areas, producing returns of 5.39% and 5.24%, respectively, during the first quarter. Overall, mid cap outperformed both small cap and large cap during the first quarter. Value outperformed growth in the large and mid cap sectors but growth prevailed amongst small cap stocks during the quarter. 0% Russell % Large Value Source: Russell Indexes 31.5% Large Growth 15.1% Medium Value 12.8% Medium Growth 4.0% Small Value 3.7% Small Growth 6

55 U.S. Fixed Income Markets BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 03/31/2013 8% 7% 6% 5% 4% 3% 2% 1% 0% -1% First Quarter 2013 One-Year 3.77% 3.01% 7.47% -0.12% -0.16% -0.11% -0.05% Barclays Agg. Bond 46.8% Gov't 21.7% Corp. 29.3% MBS 1.97% 2.85% 0.05% 0.13% 0.3% ABS 1.8% CMBS 6.14% BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 03/31/ % 12% 10% 8% 6% 4% 2% 0% -2% First Quarter 2013 One-Year -0.11% 2.60% 0.08% 4.27% 7.13% -0.26% -0.15% 8.57% 2.89% Aaa Aa A Baa High Yield 13.13% Source: Barclays Live The Barclays Aggregate Bond Index returned -0.12% in the first quarter. Commercial mortgage-backed securities and asset-backed securities were the strongest performing sectors, returning 0.13% and 0.05%, respectively, over the course of the first quarter. In the investment grade market, higher quality bonds outperformed lower quality bonds during the first quarter. High yield bonds outperformed investment grade bonds as investors sought yield in a low interest rate environment. From a maturity perspective, shorter term bonds outperformed, with the 1-3 yr. and 3-5 yr. posting positive returns of 0.19% and 0.26%, respectively, during the first quarter. Source: Barclays Live BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 03/31/ % 8% 6% 4% 2% 0% -2% -4% Source: Barclays Live First Quarter 2013 One-Year 1.09% 2.38% 0.19% 0.26% 0.09% 4.09% -0.39% 6.42% -1.99% 1-3 Yr. 3-5 Yr. 5-7 Yr Yr. >10 Yr. 8.93% 7

56 U.S. Fixed Income Markets U.S. TREASURY YIELD CURVE 4.0% 3.5% 3/31/2012 U.S. 10-YEAR TREASURY AND TIPS YIELDS 6.0% 5.0% 10Y Treasury Yield 10Y TIPS Yield 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 12/31/2012 3/31/ % 3.0% 2.0% 1.0% 0.0% -1.0% 0.0% Maturity (Years) Source: U.S. Department of Treasury -2.0% Mar 03 Mar 04 Mar 05 Mar 06 Mar 07 Mar 08 Mar 09 Mar 10 Mar 11 Mar 12 Mar 13 Source: U.S. Department of Treasury The Treasury yield curve steepened during the quarter; both the intermediate (1 to 10 years) and the long-term segments of the yield curve rose. The 10-year U.S. Treasury yield ended the quarter at a yield of 1.87%, roughly 9 basis points higher than its level at the beginning of the quarter. 10-year TIPS yields remained in negative territory, but rose by 3 basis points to -0.64% over the quarter. 8

57 European Fixed Income Markets EUROZONE PERIPHERAL BOND SPREADS (10-YEAR SPREADS OVER GERMAN BUNDS) 45% 40% 35% 30% 25% 20% 15% 10% 5% Spain Portugal Ireland Italy Greece 0% Mar 08 Jun 08 Sep 08 Dec 08 Mar 09 Jun 09 Sep 09 Dec 09 Mar 10 Jun 10 Sep 10 Dec 10 Mar 11 Jun 11 Sep 11 Dec 11 Mar 12 Jun 12 Sep 12 Dec 12 Mar 13 Source: DataStream Cyprus was one of the focal points of the Eurozone debt crisis during the quarter as issues arose around the terms of the losses that depositors should face in the country s bailout. By the end of the quarter, Cyprus re-opened its banks after accepting 10 billion of financial aid under the condition that Cypriot bank depositors with deposits over 100,000 would bear significant losses. 9

58 Credit Spreads Spread (bps) 3/31/ /31/2012 3/31/2012 Quarterly Change (bps) 1-Year Change (bps) U.S. Aggregate Long Gov't Long Credit Long Gov't/Credit MBS CMBS ABS Corporate High Yield Global Emerging Markets Source: Barclays Live Credit spreads rose modestly across most markets during the quarter with the exceptions of Long Government, Corporate, High Yield, and Global Emerging Markets. The High Yield segment experienced the largest drop in spreads during both the quarter and the one-year period. Credit spreads across most segments as of March 31, 2013 were lower relative to a year prior with the exception of MBS, which rose by 6 bps. 10

59 Commodities COMMODITY RETURNS AS OF 03/31/ % -20% -15% -10% -5% 0% 5% 10% DJ-UBS Commodity Index Ex-Energy Energy Industrial Metals Prec. Metals Agric. First Quarter 2013 One-Year % -1.13% -3.03% -5.08% -6.30% -7.84% -5.46% -7.40% -3.16% -2.41% 3.39% 7.12% Softs % Grains -3.20% -3.74% 7.87% Livestock -6.43% -4.81% Source: Dow Jones-UBS Driven by negative returns across most market sectors, the Dow Jones-UBS Commodity Index decreased by 1.13% during the first quarter. The strongest and only positive performing segment of the market was Energy with a return of 7.12% during the quarter. Industrial Metals and Livestock were the worst performing sectors of the market during the first quarter with returns of -7.84% and -6.43%, respectively. 11

60 Currency TRADE WEIGHTED U.S. DOLLAR INDEX (1997 = 100) 120 DIFFERENCE BETWEEN MSCI EAFE UNHEDGED AND HEDGED INDICES AS OF 03/31/ % Mar 08 Jun 08 Sep 08 Source: Federal Reserve Dec 08 Mar 09 Jun 09 Sep 09 Dec 09 Mar 10 Jun 10 Sep 10 Dec 10 Mar 11 Jun 11 Sep 11 Dec 11 Mar 12 Jun 12 Sep 12 Dec 12 Mar 13 20% 15% 10% 5% 0% -5% -10% -15% -20% -9.68% 2000 Source: MSCI -5.50% % % % % % 5.72% % % % % -0.24% UNHEDGED OUTPERFORMS -4.41% -5.49% 0.27% -2.11% HEDGED OUTPERFORMS YTD 1-Year 3-Years 5-Years 1.56% 10-Years As measured through the broad trade weighted U.S. dollar index, the U.S. dollar appreciated during the quarter and the 1-year period. The MSCI EAFE Unhedged Index significantly underperformed the MSCI EAFE 100% Hedged Index during the year-to-date period reflecting the appreciation of the U.S. dollar. The Unhedged index underperformed the Hedged index during the trailing 1- and 5-year periods. 12

61 Hedge Fund Markets Overview HEDGE FUND PERFORMANCE AS OF 03/31/2013 0% 2% 4% 6% 8% 10% 12% Fixed Income/Convertible Arb. Global Macro Equity Hedge Emerging Markets Event-Driven Distressed-Restructuring Relative Value Fund-Weighted Composite Index Fund of Funds Composite Index 1.37% 0.62% 2.85% 2.81% 3.27% 3.36% 3.90% 3.81% 4.55% 5.06% 5.23% 5.75% 4.78% 5.76% 5.46% 7.89% Note: Latest 5 months of HFR data are estimated by HFR and may change in the future. Source: HFR First Quarter 2013 One-Year 9.82% 9.69% All major hedge fund strategies types posted positive returns in the first quarter and 1-year period. The HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of 3.87% and 3.46%, respectively, during the first quarter. Equity Hedge and Distressed-Restructuring strategies were the strongest performers during the quarter gaining 5.29% and 4.37%, respectively. 13

62 Private Equity Market Overview Q LTM GLOBAL SPONSOR M&A DEAL VOLUME AND VALUE (TRAILING 12 MONTH DATA) $1,200 PURCHASE PRICE MULTIPLES 12 x 6,000 Others Equity/EBITDA Sub Debt/EBITDA $1,000 $800 Value ($ billions), LHS Number of Deals, RHS 10 x 5,000 4,000 8 x 6.6 x 7.1 x 7.3 x 8.4 x 8.4 x 9.7 x 9.1 x 7.7 x Senior Debt/EBITDA 8.8 x 8.5 x 8.7 x $600 3,000 6 x $400 $200 $0 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 Source: ThomsonOne 2,000 1, x 2 x 0 x Source: S&P Fundraising: $265 billion was raised in 2012, which is flat with This is a healthy but not excessive level and is well below the peak pre-crisis levels ($490B). Dry powder available to invest is significant ($789B) but decreasing and resides primarily within large cap and mega funds. Buyout: The number and value of deals completed is trending up but is 33.5% below the 10-year average. Some mega deals are getting done although small and middle market deals comprise the bulk of the number of deals. Purchase price multiples remained relatively steady for the last three years; European and US large cap prices are above their 10-year average while middle market is at its 10-year average. Europe activity remains slow due to economic uncertainty. Venture capital: $25.5 billion was invested in new deals, lagging the solid $29 billion in Pre money valuations stabilized with the exception of series B valuations which increased 34% to levels not seen since Exit activity was slightly lower than 2011 due to reduced M&A activity and poor performance of consumer technology IPOs. Mezzanine: U.S. mezzanine lenders are getting squeezed out of larger transactions due to robust and less expensive high yield market. In smaller deals, mezzanine is facing competition from senior lenders who are beginning to provide higher levels of leverage. Distressed Debt: Investment activity remains low due to high refinance activity and continued low high yield default rates; looking forward to , attractive opportunities exist primarily in mid to lower cap market and in Europe where bulk of troubled situations have yet to be resolved. Secondaries: $20 billion raised which is the highest level since $24 billion of deals was completed, the second highest level for this strategy. Purchase prices for buyout funds increased to 90% of value due to improving valuations, increased expected liquidity and higher levels of capital raised. Venture pricing fell to 69% of value, but is largely contingent on the specific fund being priced. Solid activity expected in 2013 but smaller transactions and lesser quality assets. Infrastructure: $23.2 billion raised, 5% greater than Infrastructure debt funds are being raised to replace the void left by the banks. Activity plateaued at lower levels due to debt availability and increased regulation in Europe. 14

63 U.S. Commercial Real Estate Markets PRIVATE VS. PUBLIC REAL ESTATE RETURNS AS OF 03/31/ % 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% -2% Private (NFI-ODCE Gross)* Public (NAREIT Gross) 2.69% 8.19% 10.79% 15.13% -0.84% First Quarter Year 3-Years 5-Years 10-Years *First quarter returns are preliminary Sources: NCREIF, NAREIT 15.29% 17.17% 6.83% 6.80% 12.44% CURRENT POSITION IN REAL ESTATE RECOVERY CYCLE Construction Reignites Growth in Rental Rates Declining Vacancy Net Absorption Turns Positive Demand Drivers Rebound Apartments Hotels Office Industrial Retail 2013 U.S. Real Estate Outlook: U.S. economy expected to remain in slow-growth mode for much of 2013, though still strong enough to support continued measured improvements in real estate fundamentals New supply expected to become more noticeable in 2013, first in apartments with some uptick in industrial as well; other new property type deliveries are still well restrained Current low interest rate environment continues to support price recovery/growth Relative value of Real Estate versus other asset classes remains attractive Core rebound is mature and returns are expected to continue to moderate (consensus NPI forecast range is 6 9%...generally in line with long-term average) Still solid investment option for long-term investors seeking diversification and yield Consider debt plays as a substitute for Core returns (also good alternative for fixed income) Non Core opportunities remain in the sector s sweet spot, with above average return potential Distress, recapitalization, lease up, repositioning, even some development attractive Headwinds remain, both domestic and global, thus do not discount the potential for above average volatility in the sector to continue 15

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65 Total Fund

66 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Highlights Executive Summary Performance of the Pension Plan, when measured against the Performance Benchmark, has been strong over short- and long-term time periods. Performance relative to peers is also competitive over short- and long-term time periods. The Pension Plan is well-diversified across six broad asset classes, and each asset class is also well-diversified. Public market asset class investments do not significantly deviate from their broad market based benchmarks, e.g., sectors, market capitalizations, global regions, credit quality, duration, and security types. Private market asset classes are well-diversified by vintage year, geography, property type, sectors, investment vehicle/asset type, or investment strategy. Asset allocation is monitored on a daily basis to ensure the actual asset allocation of the plan remains close to the long-term policy targets set forth in the Investment Policy Statement. Hewitt EnnisKnupp and SBA staff revisits the plan design annually through informal and formal asset allocation and asset liability reviews. Adequate liquidity exists within the asset allocation to pay the monthly obligations of the Pension Plan consistently and on a timely basis. Performance Highlights Over the trailing one-, three-, five- and ten-year periods, the Total Fund outperformed the Performance Benchmark. During the first quarter, the Fund returned 5.1% and outperformed its Benchmark by 0.2 percentage points. Asset Allocation The Fund assets total $133.7 billion as of March 31, 2013, which represents a $5.0 billion increase since last quarter. Actual allocations for all asset classes were within their respective policy ranges at quarter-end. The Fund was overweight to global equity with corresponding marginal underweights to fixed income, real estate and cash at quarter end. 18

67 _ Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Plan Summary Summary of Cash Flows Sources of Portfolio Growth First Quarter Fiscal YTD* Beginning Market Value $128,614,037,816 $122,745,973,551 Net Additions/Withdrawals ($1,539,133,242) ($4,715,116,797) Investment Earnings $6,575,726,424 $15,619,774,244 Ending Market Value $133,650,630,998 $133,650,630,998 *Period July March

68 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Benchmark: Performance Benchmark Plan Performance 20

69 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Trailing Period Performance Market Value ($) % of Portfolio Policy % 2013 Q1 (%) Rank 1 Yr (%) Ending March 31, 2013 Total Fund 133,650,630, Performance Benchmark Absolute Nominal Target Rate of Return Global Equity* 79,390,298, Asset Class Target Domestic Equities 35,975,335, Asset Class Target Foreign Equities 39,339,409, Asset Class Target Global Equities 4,075,024, Benchmark Fixed Income 29,830,333, Asset Class Target Private Equity 6,653,205, Asset Class Target Secondary Target** Real Estate 10,070,960, Asset Class Target Strategic Investments 6,465,500, Short-Term Target Cash 1,240,332, imoneynet First Tier Institutional Money Market Funds Net Index XXXXX Rank 3 Yrs (%) Rank 5 Yrs (%) Rank 10 Yrs (%) Rank Benchmark and universe descriptions can be found in the Appendix. * Global Equity became an asset class in July The historical return series prior to July 2010 was derived from the underlying Domestic Equities, Foreign Equities, and Global Equities components. ** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index. 21

70 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Calendar Year Performance 2012 (%) Rank 2011 (%) Rank 2010 (%) Rank 2009 (%) Rank _ Total Fund Performance Benchmark Absolute Nominal Target Rate of Return 2008 (%) Rank Global Equity* Asset Class Target Domestic Equities Asset Class Target Foreign Equities Asset Class Target Global Equities Benchmark Fixed Income Asset Class Target Private Equity Asset Class Target Secondary Target** Real Estate Asset Class Target Strategic Investments Short-Term Target Cash imoneynet First Tier Institutional Money Market Funds Net Index XXXXX 2007 (%) Rank 2006 (%) Rank 2005 (%) Rank 2004 (%) Rank 2003 (%) Rank * Global Equity became an asset class in July The historical return series prior to July 2010 was derived from the underlying Domestic Equities, Foreign Equities, and Global Equities components. ** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index. 22

71 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Universe Comparison Benchmark: Performance Benchmark Universe: Public Funds >$1B Net 23

72 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Universe Asset Allocation Comparison Benchmark: Performance Benchmark Universe: Public Funds >$1B Net *Global Equity Allocation: 26.9% Domestic Equities; 29.4% Foreign Equities; 3.1% Global Equities. Percentages are of the Total FRS Fund. **Global Equity Allocation: 28.8% Domestic Equities; 18.9% Foreign Equities. 24

73 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Risk Profile Benchmark: Performance Benchmark Universe: Public Funds >$1B Net 25

74 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Attribution 26

75 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Attribution *Other includes legacy accounts, securities lending, and unexplained differences due to methodology. 27

76 Total Fund As of March 31, 2013 $133,650.6 Million and 100.0% of Fund Asset Allocation 28

77 Global Equity

78 Global Equity* As of March 31, 2013 $79,390.3 Million and 59.4% of Fund Benchmark: Asset Class Target Overview * Global Equity became an asset class in July The historical return series prior to July 2010 was derived from the underlying Domestic Equities, Foreign Equities, and Global Equities components. Note: The current Global Equity benchmark, the Asset Class Target, is a custom version of the MSCI ACWI IMI which excludes companies divested under provisions of the Protecting Florida's Investment Act (PFIA). Prior to July 2010, the asset class benchmark is a weighted average of the underlying Domestic Equities', Foriegn Equities' and Global Equities' historical benchmarks. 30

79 Domestic Equities

80 Domestic Equities As of March 31, 2013 $35,975.3 Million and 26.9% of Fund Benchmark: Asset Class Target Overview 32

81 Domestic Equities As of March 31, 2013 $35,975.3 Million and 26.9% of Fund Overview 33

82 Domestic Equities As of March 31, 2013 $35,975.3 Million and 26.9% of Fund Universe Comparison Benchmark: Asset Class Target Universe: Public Funds >$1B - US Eq Net 34

83 Domestic Equities As of March 31, 2013 $35,975.3 Million and 26.9% of Fund Risk Profile Benchmark: Asset Class Target Universe: Public Funds >$1B - US Eq Net 35

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85 Foreign Equities

86 Foreign Equities As of March 31, 2013 $39,339.4 Million and 29.4% of Fund Benchmark: Asset Class Target Overview 38

87 Foreign Equities As of March 31, 2013 $39,339.4 Million and 29.4% of Fund Benchmark: Asset Class Target Overview 39

88 Foreign Equities As of March 31, 2013 $39,339.4 Million and 29.4% of Fund Universe Comparison Benchmark: Asset Class Target Universe: Public Funds >$1B - Non-US Eq Net 40

89 Foreign Equities As of March 31, 2013 $39,339.4 Million and 29.4% of Fund Risk Profile Benchmark: Asset Class Target Universe: Public Funds >$1B - Non-US Eq Net 41

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91 Global Equities

92 Global Equities As of March 31, 2013 $4,075.0 Million and 3.0% of Fund Benchmark: Aggregate Benchmark Overview 44

93 Global Equities As of March 31, 2013 $4,075.0 Million and 3.0% of Fund Benchmark: Aggregate Benchmark Risk Profile 45

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95 Fixed Income

96 Fixed Income As of March 31, 2013 $29,830.3 Million and 22.3% of Fund Benchmark: Asset Class Target Overview 48

97 Fixed Income As of March 31, 2013 $29,830.3 Million and 22.3% of Fund Benchmark: Asset Class Target Overview 49

98 Fixed Income As of March 31, 2013 $29,830.3 Million and 22.3% of Fund Universe Comparison Benchmark: Asset Class Target Universe: Public Funds >$1B - US FI Net 50

99 Fixed Income As of March 31, 2013 $29,830.3 Million and 22.3% of Fund Risk Profile Benchmark: Asset Class Target Universe: Public Funds >$1B - US FI Net 51

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101 Private Equity

102 Private Equity As of March 31, 2013 $6,653.2 Million and 5.0% of Fund Overview * Allocation data is as of December 31, **Allocation data is as of June 30, 2012, from the Prequin database. ** Other for the FRS Private Equity consists of Growth Capital, Secondary and PE Cash. *** Other for the Venture Economics consists of Distressed PE, Growth, Mezzanine, and other Private Equity/Special Situations. Preqin universe is comprised of 6,200 private equity funds representing $3.2 trillion. 54

103 Private Equity As of March 31, 2013 $6,653.2 Million and 5.0% of Fund Benchmark: Asset Class Target Time-Weighted Investment Results ** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index. 55

104 Private Equity Legacy As of March 31, 2013 $224.9 Million and 0.2% of Fund Benchmark: Asset Class Target Time-Weighted Investment Results ** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index. 56

105 Private Equity Post Asset Class As of March 31, 2013 $6,377.0 Million and 4.8% of Fund Benchmark: Asset Class Target Time-Weighted Investment Results ** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index. 57

106 Private Equity As of March 31, 2013 $6,653.2 Million and 5.0% of Fund Dollar-Weighted Investment Results * The Inception Date for the Legacy Portfolio is January ** The Inception Date for the Post-AC Portfolio is September *** The Secondary Target is a blend of the Cambridge Associates Private Equity Index and the Cambridge Associates Venture Capital Index based on actual ABAL weights. Secondary Target data is on a quarterly lag. 58

107 59

108 60

109 61

110 *IRR returns less than one year are not reported. **Account has not been funded. Net Paid in Capital indicates fees paid. 62

111 Real Estate

112 Real Estate As of March 31, 2013 $10,071.0 Million and 7.5% of Fund Overview *Property Allocation data is as of December 31, The FRS chart includes only the FRS private real estate assets. Property type information for the REIT portfolios is not included. **Other for the FRS consists of Hotel, Land, Preferred Equity, Agriculture, Self-Storage and Senior Housing. ***Other for the NFI-ODCE Index consists of Hotel, Senior Living, Health Care, Mixed Use, Single Family Residential, Parking, Timber/Agriculture, Land and Infrastructure. 64

113 Real Estate As of March 31, 2013 $10,071.0 Million and 7.5% of Fund Benchmark: Asset Class Target Overview 65

114 Principal Investments As of March 31, 2013 $5,083.3 Million and 3.8% of Fund Benchmark: NCREIF NPI Index Principal Investments 66

115 Pooled Funds As of March 31, 2013 $2,676.2 Million and 2.0% of Fund Benchmark: NFI-ODCE Index Net of Fees Pooled Funds 67

116 REITs As of March 31, 2013 $1,284.5 Million and 1.0% of Fund Benchmark: FTSE EPRA/NAREIT Developed Index REITs 68

117 69

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119 Strategic Investments

120 Strategic Investments As of March 31, 2013 $6,465.5 Million and 4.8% of Fund Benchmark: Short-Term Target Overview 72

121 Strategic Investments As of March 31, 2013 $6,465.5 Million and 4.8% of Fund Benchmark: Short-Term Target Overview 73

122 Strategic Investments As of March 31, 2013 $6,465.5 Million and 4.8% of Fund Benchmark: Short-Term Target Risk Profile 74

123 75

124 76

125 77

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127 Cash

128 Cash As of March 31, 2013 $1,240.3 Million and 0.9% of Fund Benchmark: imoneynet First Tier Institutional Money Market Funds Net Index Overview 80

129 Cash As of March 31, 2013 $1,240.3 Million and 0.9% of Fund Benchmark: imoneynet First Tier Institutional Money Market Funds Net Index Overview 81

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131 Appendix

132 As of March 31, 2013 Securities Lending 84

133 Appendix Returns Of The Major Capital Markets First Annualized Periods Ending 3/31/13 Quarter 1-Year 3-Year 5-Year 10-Year 15-Year Domestic Stock Indices: Dow Jones US Total Stock Index S&P 500 Index Russell 3000 Index Russell 1000 Value Index Russell 1000 Growth Index Russell MidCap Value Index Russell MidCap Growth Index Russell 2000 Value Index Russell 2000 Growth Index Domestic Bond Indices: Barclays Capital Aggregate Index Barclays Capital Govt/Credit Index Barclays Capital Long Govt/Credit Index Barclays Capital 1-3 Year Govt/Credit Index Barclays Capital U.S. MBS Index Barclays Capital High Yield Index Barclays Capital Universal Index Real Estate Indices: NCREIF Property Index NCREIF ODCE Index Dow Jones Real Estate Securities Index FTSE NAREIT US Real Estate Index Foreign/Global Stock Indices: MSCI All Country World Index MSCI All Country World IMI MSCI All Country World ex-u.s. Index MSCI All Country World ex-u.s. IMI MSCI All Country World ex-u.s. Small Cap Index MSCI EAFE Index MSCI EAFE IMI MSCI EAFE Index (in local currency) MSCI Emerging Markets IMI Foreign Bond Indices: Citigroup World Gov't Bond Index Citigroup Hedged World Gov't Bond Index Cash Equivalents: Treasury Bills (30-Day) Hewitt EnnisKnupp STIF Index Inflation Index: Consumer Price Index

134 Historical Policy Allocation 86

135 Appendix Total FRS Assets Performance Benchmark - A combination of the Global Equity Target, the Barclays Aggregate Bond Index, the Private Equity Target Index, the Real Estate Investments Target Index, the Strategic Investments Target Benchmark, and the imoneynet First Tier Institutional Money Market Funds Net Index. The short-term target policy allocations to the Strategic Investments, Real Estate and Private Equity asset classes are floating and based on the actual average monthly balance of the Global Equity asset class. Prior to July 2010, the Performance Benchmark was a combination of the Russell 3000 Index, the Foreign Equity Target Index, the Strategic Investments Target Benchmark, the Barclays Aggregate Bond Index, the Real Estate Investments Target Index, the Private Equity Target Index, the Barclays U.S. High Yield Ba/B 2% Issuer Capped Index, and the imoneynet First Tier Institutional Money Market Funds Gross Index. During this time, the short-term target policy allocations to Strategic Investments, Real Estate and Private Equity asset classes were floating and based on the actual average monthly balance of the Strategic Investments, Real Estate and Private Equity asset classes. The target weights shown for Real Estate and Private Equity were the allocations that the asset classes were centered around. The actual target weight floated around this target month to month based on changes in asset values. Total Global Equity Performance Benchmark - A custom version of the MSCI All Country World Investable Market Index, adjusted to exclude companies divested under the provisions of the Protecting Florida's Investments Act (PFIA). Total Domestic Equities Performance Benchmark - The Russell 3000 Index. Prior to July 1, 2002, the benchmark was the Wilshire 2500 Stock Index. Prior to January 1, 2001, the benchmark was the Wilshire 2500 Stock Index ex-tobacco. Prior to May 1, 1997, the benchmark was the Wilshire 2500 Stock Index. Prior to September 1, 1994, the benchmark was the S&P 500 Stock Index. Total Foreign Equities Performance Benchmark - A custom version of the MSCI ACWI ex-u.s. Investable Market Index adjusted to exclude companies divested under the PFIA. Prior to April 1, 2008, it was the MSCI All Country World Index ex-u.s. Investable Market Index. Prior to September 24, 2007, the target was the MSCI All Country World Ex-U.S. Free Index. Prior to November 1, 1999, the benchmark was 85% of the MSCI Europe, Australasia and Far East (EAFE) Foreign Stock Index and 15% of the IFCI Emerging Markets Index with a half weight in Malaysia. Prior to March 31, 1995, the benchmark was the EAFE Index. Total Global Equities Performance Benchmark - Aggregated based on each underlying manager's individual benchmark. The calculation accounts for the actual weight and the benchmark return. The benchmarks used for the underlying managers include both the MSCI FSB All Country World ex-sudan ex-iran Net Index and MSCI FSB All Country World ex-sudan ex-iran Net Investable Market Index (IMI). 87

136 Appendix Total Fixed Income Performance Benchmark - The Barclays U.S. Aggregate Bond Index. Prior to June 1, 2007, it was the Fixed Income Management Aggregate (FIMA). Prior to July 1, 1999, the benchmark was the Florida High Yield Extended Duration Index. Prior to July 31, 1997, the benchmark was the Florida Extended Duration Index. Prior to July 1, 1989, the Salomon Brothers Broad Investment-Grade Bond Index was the benchmark. For calendar year 1985, the performance benchmark was 70% Shearson Lehman Extended Duration and 30% Salomon Brothers Mortgage Index. Total Private Equity Performance Benchmark - The domestic equities target index return (Russell 3000 Index) plus a fixed premium return of 300 basis points per annum. Prior to July 1, 2010, it was the domestic equities target index return plus a fixed premium return of 450 basis points per annum. Prior to November 1, 1999, Private Equities was part of the Domestic Equities asset class and its benchmark was the domestic equities target index return plus 750 basis points. Total Real Estate Performance Benchmark - A combination of 90% of the NCREIF ODCE Index, net of fees, and 10% of the FTSE EPRA/NAREIT Developed Index, net of fees. Prior to July 1, 2010, it was a combination of 90% of the NCREIF ODCE Index, gross of fees, and 10% of the Dow Jones U.S. Select RESI. Prior to June 1, 2007, it was the Consumer Price Index plus 450 basis points annually. Prior to July 1, 2003, the benchmark was the Dow Jones U.S. Select Real Estate Securities Index Un-Levered. Prior to November 1, 1999, the benchmark was the Russell-NCREIF Property Index. Total Strategic Investments Performance Benchmark - Long-term, 5% plus the contemporaneous rate of inflation or CPI. Short-term, a weighted aggregation of individual portfolio level benchmarks. Total Cash Performance Benchmark - The imoneynet First Tier Institutional Money Market Funds Net Index. Prior to July 1, 2010, it was the imoneynet First Tier Institutional Money Market Funds Gross Index. Prior to June 1, 2007, it was the return of the Merrill Lynch 90-Day (Auction Average) Treasury Bill Yield Index. 88

137 Appendix Description of Benchmarks Barclays Aggregate Bond Index - A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $200 million or greater. The index is a broad measure of the performance of the investment-grade U.S. fixed income market. Consumer Price Index (CPI) - The CPI, an index consisting of a fixed basket of goods bought by the typical consumer and used to measure consumer inflation. FTSE EPRA/NAREIT Developed Index - Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate. This index covers the four primary core asset classes (Industrial, Retail, Office, and Apartment). imoneynet First Tier Institutional Money Market Funds Net Index - An average of non-governmental institutional funds that do not hold any second tier securities. It includes money market mutual funds, net of fees, that invest in commercial paper, bank obligations and short-term investments in the highest ratings category and is open to corporations and fiduciaries only. MSCI All Country World Investable Market Index - A free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. This investable market index contains constituents from the large, mid, and small cap size segments and targets a coverage range around 99% of free-float adjusted market capitalization. NCREIF ODCE Property Index - The NCREIF ODCE is a capitalization-weighted, gross of fee, time-weighted return index. The index is a summation of open-end funds, which NCREIF defines as infinite-life vehicles consisting of multiple investors who have the ability to enter or exit the fund on a periodic basis, subject to contribution and/or redemption requests. Russell 3000 Index - A capitalization-weighted stock index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This represents most publicly traded, liquid U.S. stocks. 89

138 Appendix Description of Universes Total Fund - A universe comprised of 68 total fund portfolio returns, net of fees, of public defined benefit plans calculated and provided by BNY Mellon Performance & Risk Analytics. Aggregate assets in the universe comprised $711.3 billion as of quarter-end and the average market value was $20.9 billion. Domestic Equity - A universe comprised of 51 total domestic equity portfolio returns, net of fees, of public defined benefit plans calculated and provided by BNY Mellon Performance & Risk Analytics. Aggregate assets in the universe comprised $179.7 billion as of quarter-end and the average market value was $5.6 billion. Foreign Equity - A universe comprised of 49 total international equity portfolio returns, net of fees, of public defined benefit plans calculated and provided by BNY Mellon Performance & Risk Analytics. Aggregate assets in the universe comprised $144.7 billion as of quarter-end and the average market value was $5.0 billion. Fixed Income - A universe comprised of 52 total fixed income portfolio returns, net of fees, of public defined benefit plans calculated and provided by BNY Mellon Performance & Risk Analytics. Aggregate assets in the universe comprised $189.8 billion as of quarter-end and the average market value was $5.9 billion. Real Estate - A universe comprised of 21 total real estate portfolio returns, net of fees, of public defined benefit plans calculated and provided by BNY Mellon Performance & Risk Analytics. Aggregate assets in the universe comprised $31.0 billion as of quarter-end and the average market value was $2.8 billion. Private Equity - An appropriate universe for private equity is unavailable. Strategic Investments - An appropriate universe for strategic investments is unavailable. 90

139 Appendix Explanation of Exhibits Quarterly and Cumulative Excess Performance - The vertical axis, excess return, is a measure of fund performance less the return of the primary benchmark. The horizontal axis represents the time series. The quarterly bars represent the underlying funds' relative performance for the quarter. Risk-Return Graph - The horizontal axis, annualized standard deviation, is a statistical measure of risk, or the volatility of returns. The vertical axis is the annualized rate of return. As investors generally prefer less risk to more risk and always prefer greater returns, the upper left corner of the graph is the most attractive place to be. The line on this exhibit represents the risk and return trade-offs associated with market portfolios, or index funds. Ratio of Cumulative Wealth Graph - An illustration of a portfolio's cumulative, un-annualized performance relative to that of its benchmark. An upward-sloping line indicates superior fund performance versus its benchmark. Conversely, a downward-sloping line indicates underperformance by the fund. A flat line is indicative of benchmark-like performance. Performance Comparison - Universe Comparison - An illustration of the distribution of returns for a particular asset class. The component's return is indicated by the circle and its performance benchmark by the triangle. The top and bottom borders represent the 5th and 95th percentiles, respectively. The solid line indicates the median while the dotted lines represent the 25th and 75th percentiles. 91

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141 State Board of Administration of Florida FRS Investment Plan First Quarter 2013 Hewitt EnnisKnupp, Inc. 10 South Riverside Plaza, Suite 1600 Chicago, IL phone: fax:

142

143 CONTENTS 1 FRS Investment Plan 9 Appendix

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145 FRS Investment Plan

146 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Trailing Period Performance Market Value ($) % of Portfolio 2013 Q1 (%) Rank 1 Yr (%) Ending March 31, 2013 FRS Investment Plan 7,858,400, Total Plan Aggregate Benchmark Balanced Funds 3,462,215, FRS Select Conservative Balanced Fund 712,403, Conservative Balanced Fund Target Benchmark FRS Select Moderate Balanced Fund 2,098,186, Moderate Balanced Fund Target Benchmark FRS Select Aggressive Balanced Fund 651,625, Aggressive Balanced Fund Target Benchmark Cash 899,582, FRS Select Yield Plus Money Market Active Fund 899,582, imoneynet 1st Tier Institutional Net Index TIPS 316,467, FRS Select TIPS Fund 316,467, Barclays Capital US TIPS Fixed Income 708,814, FRS Select U.S. Bond Enhanced Index Fund 147,360, Barclays Aggregate Bond Index Pyramis Intermediate Duration Pool Fund 72,196, Barclays Int Aggregate FRS Select High Yield Fund 162,676, Barclays Capital U.S. High Yield BA/B 1% Issuer Cap Index PIMCO Total Return Fund 326,580, Barclays Aggregate Bond Index Rank 3 Yrs (%) Rank 5 Yrs (%) Rank 10 Yrs (%) Rank 2

147 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Trailing Period Performance Market Value ($) % of Portfolio 2013 Q1 (%) Rank 1 Yr (%) Ending March 31, 2013 Domestic Equity 1,942,825, FRS Select U.S. Stock Market Index Fund 326,628, Russell 3000 Index FRS Select U.S. Large Value Stock Fund 236,186, Russell 1000 Value Index QMA Mid Cap Quantitative Core Fund 351,371, S&P 400 MidCap FRS Select U.S. Large Growth Stock Active Fund 107,506, Russell 1000 Growth Index Pioneer Fund 137,533, S&P 500 Index Fidelity Growth Company Fund 339,273, Russell 3000 Growth Index American Beacon Small Cap Value Fund 148,202, Russell 2000 Value Index T. Rowe Price Small Cap Stock Fund 271,600, Russell 2000 Index Fidelity Low Priced Stock Fund 24,522, Russell 2500 Value Index International/Global Equity 528,495, FRS Select Foreign Stock Index Fund 154,791, MSCI World ex USA American Funds New Perspective Fund 204,520, MSCI All Country World Index Net American Funds Euro-Pacific Growth Fund 169,183, MSCI All Country World ex-u.s. Index XXXXX Rank 3 Yrs (%) Rank 5 Yrs (%) Rank 10 Yrs (%) Rank 3

148 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Calendar Year Performance 2012 (%) Rank 2011 (%) Rank 2010 (%) Rank _ FRS Investment Plan Total Plan Aggregate Benchmark Balanced Funds FRS Select Conservative Balanced Fund Conservative Balanced Fund Target Benchmark 2009 (%) Rank FRS Select Moderate Balanced Fund Moderate Balanced Fund Target Benchmark FRS Select Aggressive Balanced Fund Aggressive Balanced Fund Target Benchmark Cash FRS Select Yield Plus Money Market Active Fund imoneynet 1st Tier Institutional Net Index TIPS FRS Select TIPS Fund Barclays Capital US TIPS Fixed Income FRS Select U.S. Bond Enhanced Index Fund Barclays Aggregate Bond Index Pyramis Intermediate Duration Pool Fund Barclays Int Aggregate FRS Select High Yield Fund Barclays Capital U.S. High Yield BA/B 1% Issuer Cap Index PIMCO Total Return Fund Barclays Aggregate Bond Index (%) Rank 2007 (%) Rank 2006 (%) Rank 2005 (%) Rank 4

149 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Calendar Year Performance 2012 (%) Rank 2011 (%) Rank 2010 (%) Rank _ Domestic Equity FRS Select U.S. Stock Market Index Fund Russell 3000 Index FRS Select U.S. Large Value Stock Fund Russell 1000 Value Index QMA Mid Cap Quantitative Core Fund S&P 400 MidCap FRS Select U.S. Large Growth Stock Active Fund 2009 (%) Rank Russell 1000 Growth Index Pioneer Fund S&P 500 Index Fidelity Growth Company Fund Russell 3000 Growth Index American Beacon Small Cap Value Fund Russell 2000 Value Index T. Rowe Price Small Cap Stock Fund Russell 2000 Index Fidelity Low Priced Stock Fund Russell 2500 Value Index International/Global Equity FRS Select Foreign Stock Index Fund MSCI World ex USA American Funds New Perspective Fund MSCI All Country World Index Net American Funds Euro-Pacific Growth Fund MSCI All Country World ex-u.s. Index XXXXX 2008 (%) Rank 2007 (%) Rank 2006 (%) Rank 2005 (%) Rank 5

150 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Asset Allocation Balanced Funds Cash TIPS Total Market Value % of Portfolio FRS Select Conservative Balanced Fund $712,403, % $712,403,484 FRS Select Moderate Balanced Fund $2,098,186, % $2,098,186,755 FRS Select Aggressive Balanced Fund $651,625, % $651,625,273 U.S. Equity Non-U.S. Equity Balanced Fixed Income TIPS Cash _ FRS Select Yield Plus Money Market Active Fund $899,582, % $899,582,351 FRS Select TIPS Fund $316,467, % $316,467,583 Fixed Income FRS Select U.S. Bond Enhanced Index Fund $147,360, % $147,360,500 Pyramis Intermediate Duration Pool Fund $72,196, % $72,196,838 FRS Select High Yield Fund $162,676, % $162,676,856 PIMCO Total Return Fund $326,580, % $326,580,171 Domestic Equity FRS Select U.S. Stock Market Index Fund $326,628, % $326,628,726 FRS Select U.S. Large Value Stock Fund $236,186, % $236,186,173 QMA Mid Cap Quantitative Core Fund $351,371, % $351,371,892 FRS Select U.S. Large Growth Stock Active Fund $107,506, % $107,506,712 Pioneer Fund $137,533, % $137,533,170 Fidelity Growth Company Fund $339,273, % $339,273,143 American Beacon Small Cap Value Fund $148,202, % $148,202,764 T. Rowe Price Small Cap Stock Fund $271,600, % $271,600,611 Fidelity Low Priced Stock Fund $24,522, % $24,522,091 International/Global Equity FRS Select Foreign Stock Index Fund $154,791, % $154,791,492 American Funds New Perspective Fund $204,520, % $204,520,168 American Funds Euro-Pacific Growth Fund $169,183, % $169,183,383 Total $7,858,400, % $1,942,825,283 $528,495,043 $3,462,215,512 $708,814,365 $316,467,583 $899,582,351 Percent of Total 24.7% 6.7% 44.1% 9.0% 4.0% 11.4% XXXXX 6

151 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Asset Allocation 7

152 FRS Investment Plan As of March 31, 2013 $7,858.4 Million and 100.0% of Fund Manager Scorecard Statistics Summary 3 Years Ending March 31, 2013 Annualized Return (%) Annualized Standard Deviation Sharpe Ratio Tracking Error Information Ratio Up Market Capture Ratio (%) Down Market Capture Ratio (%) FRS Investment Plan 7.64% 8.27% % % % FRS Select Conservative Balanced Fund 4.74% 2.63% % % 99.07% FRS Select Moderate Balanced Fund 7.50% 7.59% % % 98.60% FRS Select Aggressive Balanced Fund 8.38% 10.79% % % 98.45% FRS Select Yield Plus Money Market Active Fund 0.26% 0.01% % % -- FRS Select TIPS Fund 8.66% 4.31% % % 96.90% FRS Select U.S. Bond Enhanced Index Fund 5.69% 2.44% % % 95.68% Pyramis Intermediate Duration Pool Fund 5.35% 2.15% % % % FRS Select High Yield Fund 10.11% 5.74% % % % PIMCO Total Return Fund 6.78% 3.23% % % 88.83% FRS Select U.S. Stock Market Index Fund 13.03% 15.69% % % 99.99% FRS Select U.S. Large Value Stock Fund 12.51% 15.69% % % % QMA Mid Cap Quantitative Core Fund 17.02% 18.91% % % % FRS Select U.S. Large Growth Stock Active Fund 11.54% 16.23% % % % Pioneer Fund 9.09% 16.49% % % % Fidelity Growth Company Fund 14.02% 17.44% % % % American Beacon Small Cap Value Fund 13.20% 20.64% % % % T. Rowe Price Small Cap Stock Fund 17.06% 19.32% % % 88.97% Fidelity Low Priced Stock Fund 13.61% 16.12% % % 87.16% FRS Select Foreign Stock Index Fund 5.16% 18.75% % % 98.67% American Funds New Perspective Fund 9.55% 16.07% % % 93.33% American Funds Euro-Pacific Growth Fund 5.15% 18.34% % % 95.65% _ XXXXX 8

153 Appendix

154 Market Returns First Annualized Periods Ending 3/31/13 Quarter 1-Year 3-Year 5-Year 10-Year 15-Year Domestic Stock Indices: Dow Jones US Total Stock Index S&P 500 Index Russell 3000 Index Russell 1000 Value Index Russell 1000 Growth Index Russell MidCap Value Index Russell MidCap Growth Index Russell 2000 Value Index Russell 2000 Growth Index Domestic Bond Indices: Barclays Capital Aggregate Index Barclays Capital Govt/Credit Index Barclays Capital Long Govt/Credit Index Barclays Capital 1-3 Year Govt/Credit Index Barclays Capital U.S. MBS Index Barclays Capital High Yield Index Barclays Capital Universal Index Real Estate Indices: NCREIF Property Index NCREIF ODCE Index Dow Jones Real Estate Securities Index FTSE NAREIT US Real Estate Index Foreign/Global Stock Indices: MSCI All Country World Index MSCI All Country World IMI MSCI All Country World ex-u.s. Index MSCI All Country World ex-u.s. IMI MSCI All Country World ex-u.s. Small Cap Index MSCI EAFE Index MSCI EAFE IMI MSCI EAFE Index (in local currency) MSCI Emerging Markets IMI Foreign Bond Indices: Citigroup World Gov't Bond Index Citigroup Hedged World Gov't Bond Index Cash Equivalents: Treasury Bills (30-Day) Hewitt EnnisKnupp STIF Index Inflation Index: Consumer Price Index

155 Benchmark Descriptions Balanced Benchmarks - A weighted average composite of the underlying components' benchmarks for each fund. imoneynet 1st Tier Institutional Net Index - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets. Barclays Inflation Index - Measures the performance of the U.S. Treasury Inflation-Protected Securities ("TIPS") market. Barclays Aggregate Bond Index - A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market. Barclays Intermediate Aggregate Bond Index - A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 million or greater. Barclays U.S. High Yield BA/B 1% Issuer Cap Index - An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 million or greater and at least one year of maturity remaining. Russell 3000 Index - A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market. Russell 3000 Growth Index - Measures the performance of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 1000 Value Index - An index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower I/B/E/S growth forecasts. Russell 1000 Growth Index - An index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher I/B/E/S growth forecasts. 11

156 Benchmark Descriptions Russell 2000 Value Index - A capitalization-weighted index representing those companies within the Russell 2000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 2000 Index - An index that measures the performance of approximately 2000 small capitalization stocks. Russell 2500 Value Index - A capitalization-weighted index representing those companies within the Russell 2500 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. S&P 400 Mid-Cap Index - A market capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market. S&P 500 Index - A capitalization-weighted stock index consisting of 500 of the largest publicly traded U.S. stocks by capitalization. MSCI All Country World ex-u.s. Index - A capitalization-weighted index consisting of 23 developed and 21 emerging countries, but excluding the U.S. MSCI All Country World Index Net - A capitalization-weighted index of stocks representing approximately 46 developed and emerging countries, including the U.S. and Canadian markets. MSCI World ex-u.s. Index - A capitalization-weighted index of stocks representing 22 developed country stock markets, including Canada and excluding the U.S. market. 12

157 Description of Universes FRS Select Yield Plus Money Market Active Fund - A money market universe calculated and provided by Morningstar. FRS Select TIPS Fund - An inflation-protected bond universe calculated and provided by Morningstar. FRS Select U.S. Bond Enhanced Index Fund - A long-term bond fixed income universe calculated and provided by Morningstar. Pyramis Intermediate Duration Pool Fund - A broad intermediate-term fixed income universe calculated and provided by Morningstar. FRS Select High Yield Fund - A high yield bond fixed income universe calculated and provided by Morningstar. PIMCO Total Return Fund - A broad intermediate-term fixed income universe calculated and provided by Morningstar. FRS Select U.S. Stock Market Index Fund - A large-cap blend universe calculated and provided by Morningstar. FRS Select U.S. Large Value Stock Fund - A large-cap value universe calculated and provided by Morningstar. QMA Mid Cap Quantitative Core Fund - A mid-cap universe calculated and provided by Morningstar. FRS Select U.S. Large Growth Stock Active Fund - A large-cap growth universe calculated and provided by Morningstar. Pioneer Fund - A large-cap blend universe calculated and provided by Morningstar. Fidelity Growth Company Fund - A large-cap growth universe calculated and provided by Morningstar. American Beacon Small Cap Value Fund - A small-cap value universe calculated and provided by Morningstar. 13

158 Description of Universes T. Rowe Price Small Cap Stock Fund - A small-cap growth universe calculated and provided by Morningstar. Fidelity Low Priced Stock Fund - A mid-cap blend universe calculated and provided by Morningstar. FRS Select Foreign Stock Index Fund - A foreign blend universe calculated and provided by Morningstar. American Funds New Perspective Fund - A global stock universe calculated and provided by Morningstar. American Funds Euro-Pacific Growth Fund - A foreign large blend universe calculated and provided by Morningstar. 14

159 Lawton Chiles Endowment Fund First Quarter 2013 Hewitt EnnisKnupp, Inc. 10 South Riverside Plaza, Suite 1600 Chicago, IL phone: fax:

160

161 CONTENTS 1 LCEF Total Fund 11 Global Equity 15 Fixed Income 19 TIPS 23 Cash Equivalents 27 Appendix

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163 LCEF Total Fund

164 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Plan Summary Summary of Cash Flows Sources of Portfolio Growth First Quarter Fiscal YTD* Beginning Market Value $821,878,917 $776,130,661 Net Additions/Withdrawals -- $30,770 Investment Earnings $28,220,038 $73,937,524 Ending Market Value $850,098,955 $850,098,955 *Period July March

165 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Benchmark: Total Endowment Target Plan Performance 3

166 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Trailing Period Performance Market Value ($) % of Portfolio Policy % Ending March 31, 2013 LCEF Total Fund 850,098, Total Endowment Target Global Equity* 369,418, Global Equity Target Fixed Income 132,379, Barclays Aggregate Bond Index TIPS 89,915, Barclays U.S. TIPS Cash Equivalents 258,384, S&P US AAA & AA Rated GIP 30D Net Yield Index XXXXX 2013 Q1 (%) Rank 1 Yr (%) Rank 3 Yrs (%) Rank 5 Yrs (%) Rank 10 Yrs (%) Rank Benchmark and universe descriptions are provided in the Appendix. *Global Equity became an asset class in September 2012 by merging the Domestic Equities and Foreign Equities asset classes. The return series prior to September 2012 is a weighted average of Domestic Equities' and Foreign Equities' historical performance. Due to the mandated payout scheduled for June 30, 2013, Target Allocations will float at the actual month-end average balances. 4

167 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Calendar Year Performance 2012 (%) Rank 2011 (%) Rank 2010 (%) Rank 2009 (%) Rank 2008 (%) Rank 2007 (%) Rank 2006 (%) Rank 2005 (%) Rank 2004 (%) Rank 2003 (%) Rank LCEF Total Fund Total Endowment Target Global Equity* Global Equity Target Fixed Income Barclays Aggregate Bond Index TIPS Barclays U.S. TIPS Cash Equivalents S&P US AAA & AA Rated GIP 30D Net Yield Index XXXXX *Global Equity became an asset class in September 2012 by merging the Domestic Equities and Foreign Equities asset classes. The return series prior to September 2012 is a weighted average of Domestic Equities' and Foreign Equities' historical performance. 5

168 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Universe Comparison Benchmark: Total Endowment Target Universe: Endowments Net 6

169 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Universe Asset Allocation Comparison Benchmark: Total Endowment Target Universe: Endowments Net 7

170 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Risk Profile Benchmark: Total Endowment Target Universe: Endowments Net 8

171 LCEF Total Fund As of March 31, 2013 $850.1 Million and 100.0% of Fund Attribution 9

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173 Global Equity

174 Global Equity* As of March 31, 2013 $369.4 Million and 43.5% of Fund Benchmark: Global Equity Target Overview *Global Equity became an asset class in September 2012 by merging the Domestic Equities and Foreign Equities asset classes. The return series prior to September 2012 is a weighted average of Domestic Equities' and Foreign Equities' historical performance. 12

175 Global Equity* As of March 31, 2013 $369.4 Million and 43.5% of Fund Benchmark: Global Equity Target Risk Profile *Global Equity became an asset class in September 2012 by merging the Domestic Equities and Foreign Equities asset classes. The return series prior to September 2012 is a weighted average of Domestic Equities' and Foreign Equities' historical performance. 13

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177 Fixed Income

178 Fixed Income As of March 31, 2013 $132.4 Million and 15.6% of Fund Benchmark: Barclays Aggregate Bond Index Overview 16

179 Fixed Income As of March 31, 2013 $132.4 Million and 15.6% of Fund Universe Comparison Benchmark: Barclays Aggregate Bond Index Universe: Endowments - US FI Net 17

180 Fixed Income As of March 31, 2013 $132.4 Million and 15.6% of Fund Risk Profile Benchmark: Barclays Aggregate Bond Index Universe: Endowments - US FI Net 18

181 TIPS

182 TIPS As of March 31, 2013 $89.9 Million and 10.6% of Fund Benchmark: Barclays U.S. TIPS Overview 20

183 TIPS As of March 31, 2013 $89.9 Million and 10.6% of Fund Benchmark: Barclays U.S. TIPS Risk Profile 21

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185 Cash Equivalents

186 Cash Equivalents As of March 31, 2013 $258.4 Million and 30.4% of Fund Benchmark: S&P US AAA & AA Rated GIP 30D Net Yield Index Overview 24

187 Cash Equivalents As of March 31, 2013 $258.4 Million and 30.4% of Fund Benchmark: S&P US AAA & AA Rated GIP 30D Net Yield Index Risk Profile 25

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189 Appendix

190 As of March 31, 2013 Securities Lending 28