HomeMy Public PortalAboutPension Plan 2010 4th Quarter ReportInvestment Performance AnalysisMetropolitan St. Louis Sewer DistrictFebruary 2011Dion Stevens, ConsultantMichael J. Valchine, CAIA, Consultant
Table of ContentsMarket Commentary & Update3PageMarket Commentary & Update3Executive Summary 20Asset Allocation Analysis 30Investment Performance Analysis 382 12/31/2010
Market Commentary & Update3
NEPC 2011 Capital Market Observations•Investors face an even lower market return environment–Bond yields are the lowest in over 50 years, limiting future returns–Stock fundamentals unlikely to support a higher risk premium over bondsEconomic growth muted as unemployment and debt overhang are not solved–Economic growth muted as unemployment and debt overhang are not solved–Long-term investors should expect higher nominal returns in the future, as evidenced by a very steep yield curveMt kt h b di b /td ft•Most markets have been driven by macro/top-down factors–“Risk on/risk off” determination of returns, not based on fundamentals–A return to company and security differentiation seems overdue•Quantitative easing by Federal Reserve dominates markets–Creates steep yield curve and extends macro, high correlation environment–Increases currency pressures on emerging markets –Unconventional actions by central banks have led global economy into Unconventional actions by central banks have led global economy into unchartered waters, increasing uncertainty for the future•Global currency regime under stressF l t dit d i i k f lt i iflti–Fuels recent commodity run and raises risk of long-term price inflation–Political risk of protectionism and capital controls4 12/31/2010
NEPC 2011 General Actions for Clients•Maintain asset allocation discipline–Continue to stress risk management while opportunities remain limited–Emerging market equity and debt (esp. local currency) remain attractive•Typical implementation is underweight emerging’s growing share of the world economy–Real asset prices reflect inflation fears, but may have buying opportunitiesp,yygpp•Examine portfolio structure – the implementation within each asset class – for example:–Top-down strategies that could benefit from continued macro markets–Long/short and/or quality-focused managers within the equity allocation–Long/short and/or quality-focused managers within the equity allocation–Fixed income structured into objective-driven hedges and/or global unconstrained strategies–International equity to include small cap developed and emerging•Accessing growth of the emerging consumer•Continue to build illiquid strategies – illiquidity premium remains attractive–Multiple forms of distressed lending remain attractive–Real estate offers pockets of opportunity, but proceed with caution•Consider hedging of developed market currency to reduce uncompensated risk–Some international managers have hedged or half-hedged products–Overlay managers can customize hedging across the portfolio5 12/31/2010
NEPC 2011 Focused Actions for Public Funds•Funding Requirementswill dominate the conversation–Inadequate funding due to severe (and growing) budget pressures–Many funds considering reductions to actuarial assumed RORActuarial losses from 2008 still being smoothed into 2011 valuations–Actuarial losses from 2008 still being smoothed into 2011 valuations–GASB review of public pension accounting practices•Use of market-related discount rate under consideration–Some plans considering using “normalized” projections for matching returns (i.e., 5-7 year forecast is too subdued)returns (i.e., 57 year forecast is too subdued)•Focus on Portfolio Structureby examining the desired components of exposure within broad asset classesTraditional Equities consider less directional approaches (i e long/short)–Traditional Equities –consider less directional approaches (i.e., long/short)–Fixed Income – continue to move away from BC Aggregate focus•Evaluate interest rate risk •Consider allocations to private debt, EMD, and investment grade creditPrivate markets –Private markets •Seek out sources of return from real estate & private equity•Look to cash flow intensive commitments (e.g., Mezz, Energy Mezz)•Public plans as a rule should continue to look to exploit illiquidity premium6 12/31/2010
NEPC 2011 Focused Actions for Public Funds•Incorporate Risk Analysis & Awarenessinto annual asset allocation review–Challenge base-line assumptions to examine stressed scenarios–For highly diversified complex portfolios conduct “portfolio look-throughs” (e g for –For highly diversified, complex portfolios, conduct portfolio lookthroughs (e.g., for better understanding of total credit exposure)–Consider sources of liquidity (income yield) in the alternative asset categories–For clients highly invested in illiquid strategies, be sure to consider liquidity constraintsconstraints•Continue to build diversified exposure to real assets & Inflation ProtectionsilosTIPS / Global InflationLinked Securities–TIPS / Global Inflation-Linked Securities–Commodities–Energy-related areas (however, be sure to risk budget public energy selections here)7 12/31/2010
Market Environment – Overview Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.World Equity BenchmarksMSCI World World 9.0% 11.8%-4.9%2.4% 2.3%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Domestic Equity BenchmarksS&P 500 Large Core 10.8% 15.1%-2.9%2.3% 1.4%Russell 1000 Large Core 11.2% 16.1%-2.4%2.6% 1.8%Russell 1000 Growth Large Growth 11.8% 16.7%-0.5%3.8% 0.0%Russell 1000 Value Large Value 10.5% 15.5%-4.4%1.3% 3.3%S&P Mid C 400Mid C13 5%26 6%35%57%72%S&P Mid Cap 400Mid Core13.5%26.6%3.5%5.7%7.2%Russell 2000 Small Core 16.3% 26.9% 2.2% 4.5% 6.3%Russell 2000 Growth Small Growth 17.1% 29.1% 2.2% 5.3% 3.8%Russell 2000 Value Small Value 15.4% 24.5% 2.2% 3.5% 8.4%NAREIT All Composite REIT 7.7% 27.6% 0.4% 2.2% 10.2%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.International Equity BenchmarksMSCI EAFE Int'l Developed 6.6% 7.8%-7.0%2.5% 3.5%MSCI EMEEm Mkt Eqty73%18 9%-0 3%12 8%15 9%MSCI EMEEm. Mkt. Eqty. 7.3%18.9%-0.3%12.8%15.9%MSCI ACWI ex US International 7.2% 11.2%-5.0%4.8% 5.5%S&P EPAC SmallCap Small Cap Int'l 10.2% 19.4%-3.4%4.5% 8.8%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Domestic Fixed Income BenchmarksBarclays Aggregate Core Bonds -1.3%6.5% 5.9% 5.8% 5.8%Barclays High Yield High Yield 3.2% 15.1% 10.4% 8.9% 8.9%Barclays 1-10 Muni. Municipal Bond -1.9% 3.1% 4.8% 4.6% 4.6%Barclays 1-10 TIPSInflation0.1%5.2%4.8%5.4%6.5%Barclays 110 TIPSInflation0.1%5.2%4.8%5.4%6.5%90 Day T-Bill Cash 0.0% 0.1% 0.8% 2.4% 2.4%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Global Fixed Income BenchmarksCitigroup World Govt Bond Global Bonds-1.8%5.2% 6.1% 7.1% 7.0%J.P. Morgan EMBI Plus Em. Mkt. Bonds-2.3%11.8% 8.3% 8.4% 10.6%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Diversified BenchmarkBalanced Index * Diversified 6.7% 13.8% 0.9% 4.4% 4.9%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Alternative BenchmarksDJ UBS Commodity Index Commodities 15.8% 16.8%-3.7%1.2% 5.8%NCREIF Property Index Real Estate n/a n/a n/a n/a n/aHFRI Fund of Funds Hedge Fund of Funds 3.4% 5.5%-2.6%2.4% 4.1%CS Tremont Composite All Hedge Funds 4.7% 11.0% 2.1% 6.4% 7.2%CS Tremont Event Driven Event Driven 6.0%12.6%3.7%7.9%9.3%12/31/2010CS Tremont Long-Short Long-Short 6.0% 9.3% 1.6% 6.4% 6.4%CS Tremont Market Neutral Market Neutral 0.1%-0.8% -14.9% -5.6%0.6%* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS8
Economic Environment8%10%12%14%16%18%20%ployment RateUnemployment Rate vs. U-63.2%0%2%4%6%8%10%Real Gross Domestic Product Growth0%2%4%6%8%UnempUnemployment RateU-6-10%-8%-6%-4%-2%Source: BloombergAs of 12/31Source: BloombergAs of 12/31Consensus GDP estimate of 3.2% in Q4.Unemployment is at 9.4% while U-6, a measure of broader unemployment, ended the year at 16.7%.160200xS&P/Case Shiller Home Price Index and Consumer Confidence9516%Capacity Utilization vs. Rolling 12 Month CPI406080100120140406080100120140160180onsumer Sentimentase Shiller Home Price Inde70758085900%2%4%6%8%10%12%14%pacity Utilization12‐Mo CPI02002040CoS&P/CaS&P Case-Shiller Home Price IndexConsumer Confidence6065‐4%‐2%0%Cap12-Mo CPICapacity UtilizationConsumer confidence rose in Q4; the Case-Shiller Home price index to release Q4 figure in the coming weeksCapacity utilization has stayed flat in Q4 but still remains at depressed levels while CPI has settled at 1 1%12/31/2010Source: BloombergAs of 12/31Source: BloombergAs of 12/31release Q4 figure in the coming weeks.levels while CPI has settled at 1.1%.9
Components of U.S. GDP5.0%10.0%15.0%Retail Sales 1.41.51.61.7Inventory to Sales Ratio -10.0%-5.0%0.0%Adjusted Retail Sales less Autos Yearly % Change1.01.11.21.3Inventory to Sales RatioSource: BloombergAs of 12/31Source: BloombergAs of 11/3013%Corporate Profits as % of GDP 0U.S. Trade Surplus (Deficit) Retail Sales have recovered after hitting lows in 2008, increasingly modestly in Q4.The inventory liquidation process that was a boost to 2009 growth results has worn off meaning demand must contribute to further growth.8%9%10%11%12%%Profits/GDPAverage-50-40-30-20-10$ Billions6%7%8%-80-70-60U.S. Trade Surplus (Deficit)Corporate Profits as a % of GDP continued to increase in Q4 rising above 11%The U.S. trade deficit continued to narrow in Q4.12/31/2010Source: BloombergAs of 9/30Source: BloombergAs of 11/30Q4, rising above 11%.10
Key Economic Indicators05101520g % changeEconomic Conference Board Leading Economic Indicators 951001051101986=100)Small Business Optimism Index -20-15-10-5012 month rollingLEI80859095Index Value (1Optimism IndexSource: BloombergAs of 12/31Source: BloombergAs of 12/312Chicago Fed National Activity 3-Mo Mvg. Avg.Rolling percentage change in the Leading Economic Indicators index, while still positive, has fallen in recent months.The small business optimism index rose modestly in Q4 while remaining at depressed levels.180090VIX vs S&P 500-2-1012nth moving average400600800100012001400160020304050607080S&P 500VIXVIXS&P 500-4-33 monChicago Fed National Activity 3-Mo mvg. Avg.0200010The VIX decreased in Q4 while equity markets rose over the same period.Chicago Fed National Activity 3 Month moving average has slid so far in Q412/31/2010Source: BloombergAs of 12/31Source: BloombergAs of 11/30same period.slid so far in Q4.11
Economic Environment40%5.0%6.0%7.0%8.0%IMF 2011-2015 Forecasts150020002500ionsFederal Reserve AssetsLoans, Liquidity, Rescue and Other AssetsSecurities Held Outright Less Overnight and Term0.0%1.0%2.0%3.0%4.0%World GDP G7 GDP Emerging GDP05001000$ BilliWeekly DataSource: United States Federal ReserveSource: IMFThe Fed Balance Sheet continues to grow with the second round of quantitative easing.Higher Economic growth prosepects in Emerging Markets expected to drive higher returns.140.0Dollar Index SpotWeekly Data140012M2 Money Multiplier vs. Excess Reserves40.060.080.0100.0120.040060080010001200140024681012cess Reserves ($billions) Money MultiplierM2MoneyMultiplier (RHS)The Money Multiplier remains low though banks have decreased reserves throughout 2010The dollar index remained relatively flat in Q4.0.020.0DXY Curncy0200021/1/19901/1/19911/1/19921/1/19931/1/19941/1/19951/1/19961/1/19971/1/19981/1/19991/1/20001/1/20011/1/20021/1/20031/1/20041/1/20051/1/20061/1/20071/1/20081/1/20091/1/2010ExcM2M2 Money Multiplier (RHS)Excess Reserves (LHS)12/31/2010Source: St. Louis FedSource: Bloomberg2010.12
Market Summary13Source: ICC12/31/2010
Domestic Equity14Source: ICC12/31/2010
International Equity15Source: ICC12/31/2010
Emerging Equity16Source: ICC12/31/2010
Currency Markets & Yield Curve17Source: ICC12/31/2010
Bond Markets18Source: ICC12/31/2010
Market Update 2010SectorIndex2003200420052006200720082009QTR 1QTR 2JulyAugSepQTR 3OctNovDecQTR 42010SC Growth R2000 Growth 48.5% 14.3% 4.1% 13.4% 7.1%-38.5%34.5% 7.6%-9.2%6.6%-7.3%14.2% 12.8% 4.3% 4.4% 7.6% 17.1% 29.1%REITS Wilshire REIT 36.2% 33.2% 13.8% 36.0%-17.6% -39.2%28.6% 9.8%-4.2%9.9%-1.3%4.5% 13.3% 4.7%-1.6%4.7% 7.9% 28.6%Small CapRussell 200047 3%18 3%46%18 4%16%33 8%27 2%88%99%69%74%12 5%11 3%41%35%79%16 3%26 9%PERFORMANCE THRU 12/31/2010Small CapRussell 200047.3%18.3%4.6%18.4%-1.6%-33.8%27.2%8.8%-9.9%6.9%-7.4%12.5%11.3%4.1%3.5%7.9%16.3%26.9%SMid Cap R2500 45.5% 18.3% 8.1% 16.2% 1.4%-36.8%34.4% 9.2%-10.0%7.0%-5.9%11.4% 12.2% 3.8% 2.8% 7.6% 14.9% 26.7%SC Value R2000 Value 46.0% 22.3% 4.7% 23.5%-9.8% -28.9%20.6% 10.0%-10.6%7.1%-7.5%10.7% 9.7% 3.9% 2.5% 8.3% 15.4% 24.5%Intl. Emerging EM (net) 55.8% 25.6% 34.0% 32.2% 39.4%-53.3%78.5% 2.4%-8.4%8.3%-1.9%11.1% 18.0% 2.9%-2.6%7.1% 7.3% 18.9%CommoditiesDJ UBS Commodity 24.0% 9.2% 21.4% 2.1% 16.2%-35.7%18.9%-5.1% -4.8%6.8%-2.6%7.3% 11.6% 5.0%-0.4%10.7% 15.8% 16.8%LC Growth R1000 Growth 29.8% 6.3% 5.3% 9.1% 11.8%-38.4%37.2% 4.6%-11.7%7.1%-4.7%10.7% 13.0% 4.8% 1.2% 5.5% 11.8% 16.7%Large CapRussell 1000 29.9% 11.4% 6.3% 15.5% 5.8%-37.6%28.4% 5.7%-11.4%7.0%-4.5%9.2% 11.6% 3.9% 0.3% 6.7% 11.2% 16.1%LC Value R1000 Value 30.0% 16.5% 7.1% 22.3%-0.2% -36.8%19.7% 6.8%-11.1%6.8%-4.3%7.8% 10.1% 3.0%-0.5%7.9% 10.5% 15.5%High Yield BC HY 29.0% 11.1% 2.7% 11.9% 1.9%-26.2%58.2% 4.6%-0.1%3.6% 0.0% 3.0% 6.7% 2.6%-1.2%1.8% 3.2% 15.1%S&P 500 S&P 500 28.7% 10.9% 4.9% 15.8% 5.5%-37.0%26.5% 5.4%-11.4%7.0%-4.5%8.9% 11.3% 3.8% 0.0% 6.7% 10.8% 15.1%BalancedDiversified* 26.5% 12.8% 6.4% 15.2% 5.9%-26.9%24.8% 4.2%-6.3%5.6%-2.4%6.5% 9.8% 2.8%-0.7%4.5% 6.7% 14.4%Emerging FIBC Emerging ($US)26 9%11 9%12 3%10 0%52%14 8%34 2%46%10%42%20%18%81%17%24%05%12%12 8%Emerging FIBC Emerging ($US)26.9%11.9%12.3%10.0%5.2%-14.8%34.2%4.6%1.0%4.2%2.0%1.8%8.1%1.7%-2.4%-0.5%-1.2%12.8%Intl. Dev. EAFE (net) 38.6% 20.3% 13.5% 26.3% 11.2%-43.4%31.8% 0.9%-14.0%9.5%-3.1%9.8% 16.5% 3.6%-4.8%8.1% 6.6% 7.8%Core FI BC Aggregate 4.1% 4.3% 2.4% 4.3% 7.0% 5.2% 5.9% 1.8% 3.5% 1.1% 1.3% 0.1% 2.5% 0.4%-0.6% -1.1% -1.3%6.5%Global FI Citigroup WGBI 14.9% 10.4%-6.9%6.1% 11.0% 10.9% 2.6%-1.3%0.3% 3.6% 2.0% 2.4% 8.2% 1.4%-4.8%1.8%-1.8%5.2%Muni BondsBC Muni (unadj) 5.3% 4.5% 3.5% 4.8% 3.4%-2.5%12.9% 1.3% 2.0% 1.3% 2.3%-0.2%3.4%-0.3% -2.0% -1.9% -4.2%2.4%* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS12/31/2010Sources: Lehman Live, Bloomberg, Wilshire19
Executive Summary20
Executive Summary – Total Fund•Asset Growth and Allocation–At quarter end, the assets in the Fund totaled approximately $198.8 million, an increase of $11.6 million over the quarter, reflecting investment gains of $9.7 million and net inflows of $1.9 million.The Fund’s allocation to equities was 48 6% at the end of the quarter (including equity –The Fund s allocation to equities was 48.6% at the end of the quarter (including equity allocations of GMO and PIMCO All Asset), well below the median public fund’s allocation to equities of 55.1%.–The Fund’s equity commitment ranked in the 74th percentile of the public funds universe*.•Performance–The Fund posted a 5.2% return in the quarter, ranking in the 70th percentile of public funds, nationwide. •Active management added 30 bpsgp–For the one-year period ending September 2010, the Fund posted a return of 11.9%, ranking in the 79th percentile of public funds.•Active management added 60 bps –For the three-year period, performance was 2.7%, which ranked in the 19th percentile of public funds. The five-year return of 6.2% ranked in the 1st percentile.of public funds. The fiveyear return of 6.2% ranked in the 1st percentile.•Over the above time periods, the composite, policy index and allocation index have outperformed the median public fund; additionally, active management has added value •Higher relative returns were earned with lower levels of risk than the median public fund over the three- and five- year periods.*As of December 31, 2010 the public funds universe included 115 funds with assets of approximately $946 billion.21 12/31/2010
Total Fund Asset Growth Summary22 12/31/2010
Performance23 12/31/2010
Performance – Public Funds Universe24 12/31/2010
Performance Contd. – Public Funds Universe25 12/31/2010*The above data is for trailing one-year periods
Three Year Risk vs. Return – Public Funds UniverseComposite26 12/31/2010
Five Year Risk vs. Return – Public Funds UniverseComposite27 12/31/2010
Manager Executive SummaryExcess ReturnVs. BenchmarkAsset Class / Manager Benchmark OrganizationProduct &ProcessLast 3 Months 1 Year 3 Years 5 YearsDOMESTIC EQUITYVanguard Windsor IIRussell 1000 ValueNo changes to noteIn January of 2010, Vanguard added Sanders Capital ,LLC, to the investment advisory team, bringing (0.6)% (4.4)%1.3% 0.9% Excess Return Vs. Benchmarkthe total number of advisors to six.BDH&SRussell 1000 GrowthNo changes to note Stable(4.1)% (5.1)% (5.5)% (2.9)%Waddell & ReedRussell 1000 GrowthNo changes to note Stable 0.1% (3.0)% (1.6)%0.9% Vanguard Institutional S&P 500No changes to noteStable00%01%03%02%IndexS&P 500No changes to noteStable0.0% 0.1% 0.3% 0.2% Kennedy Russell MidCap ValueNo changes to note Stable 1.1% 3.5% 7.2% n/aTimes SquareRussell 2000 GrowthNo changes to note Stable 1.8% (0.5)%4.3% 4.2% INTERNATIONAL EQUITYMorgan Stanley International MSCI EAFE No changes to note Stable 0.6% (0.6)%3.2% 1.6% Scott Piper, a Portfolio Manager on the Latin America team, decided to leave Morgan Stanley Investment Management to pursue another opportunity. His PM responsibilities areprimarilyfocusedonChileMorgan Stanley EmergingMSCI Emerging Mkts FreeNo changes to noteare primarily focused on Chile, Colombia and Peru (the Andean markets). He has contributed in this capacity to both the Latin American and Emerging Markets portfolios. Cristina Piedrahita and Gaite Ali, both Executive Directors and co-managers of the Latin America (1.0)%1.1% (2.8)%0.1% 28 12/31/2010strategies, will oversee investments in the Andean markets.
Manager Executive Summary Contd.Pdt&Lt3Excess Return Vs. BenchmarkAsset Class / Manager Benchmark OrganizationProduct &ProcessLast 3 Months 1 Year 3 Years 5 YearsFIXED INCOMEIncome ResearchBarclays Capital Gov't/CorpNo changes to note Stable 0.3% 0.6% 1.8% 1.2% Penn CapitalMerrill Lynch High Yield Cash PayEffective 1/1/2011, Paul M. Welch, CFA, Senior Research Analyst, was granted equity ownership of PENN.Stable 0.2% 0.2% (1.6)% (1.2)%Loomis Credit Asset Fund50/25/25 BC Credit/HY/LLIChris Gootkind joined Loomis Sayles from Wellington in the new role of Director of Credit Research & Credit Strategist. John Dean, former Director of Credit Research, continues to be an integral member of the credit research team. Stable 1.6% n/a n/a n/aGLOBAL / INT'L FIXED INCOMEBrandywine Global Citi World Gov't No changes to noteDuring the quarter, Brandywine added a Global Macro Analyst, 06%92%20%16%Bond FundIndexNo changes to noteMathieu Savaray. This is a new position.0.6% 9.2% 2.0% 1.6% TACTICAL ASSET ALLOCATIONGMO65% MSCI World / 35% Lehman AggIn the fourth quarter of 2010, Jamie Lee joined the GMO Asset Allocation team as a research analyst. Stable(1.1)% (2.9)%2.8% n/aALTERNATIVE ASSETSDi Q4P i ddd1 h ltttht d4 ltPyramis90 Day T-Bill + 300bpsDuring Q4, Pyramis added 1 research analyst to the team, and 4 analysts were moved from dedicated research for other products to the broader research analyst pool.Stable 2.4% (6.6)% (6.7)% (1.2)%PimcoAll AssetCPI +500bpsPaul McCulley, managing director and portfolio manager, decided to retire at the end of 2010. After taking a few months off, Paul will be joining a think tank where he will devote all his time to researching, writing and giving speeches. PIMCO and its parent have agreed to transition the distribution of PIMCO Stable(0 7)%82%02%(01)%Pimco All AssetCPI + 500bpsfunds in the U.S. from Allianz Global Investors Distributors (AGID) to PIMCO. To accomplish this, PIMCO has begun the process of creating its own broker dealer, PIMCO Investments LLC. Their distribution activities will be managed by a team comprised of senior professionals from PIMCO and from AGID who will join PIMCO as employees. Stable(0.7)%8.2% 0.2% (0.1)%UBS RealtyNCREIF Property No changes to note Stable(1.2)%3.4% (1.5)%n/a29 12/31/2010Wellington Diversified Inflation Hedge55% MSCI World/25% GSCI/20% BC US Tips 1-10 YrNo changes to note Stable 5.4% n/a n/a n/a
Asset Allocation Analysis 30
Total Fund Asset AllocationSmall Growth25%Large GrowthLarge Value7.0%Credit Opps.5.0%Market Neutral5.0%Target Asset AllocationEME3.0%Int'l Dev10.0%2.5%Mid Value2.5%10.0%Large Core3.0%GTAA10.0%Core Bonds15.0%HY5.0%Global Bonds8.0%Absolute Return4.0%RE 5.0%Real Assets5.0%Small CditOMktNtl13.0%Total Int’l25.0%Total Domestic Equity33.0%Total Fixed Income19.0%Total AlternativesActual Asset AllocationEME3.5%Int'l Dev9.7%Growth3.1%Mid Value3.2%Large Growth9.2%Large Core3.8%Large Value7.1%GTAA9.9%Core Bonds14.5%HY5.5%Global Bonds8.1%Credit Opps.1.9%Absolute Return6.0%Market Neutral4.9%RE 4.0%Real Assets4.8%Cash0.8%13.2%Total Int’l26.4%Total Domestic Equity30.0%Total Fixed Income19.7%Total Alternatives*Totals may not add to 100% due to rounding. Note: Totals include manager cash.31 12/31/2010
Asset Allocation – Proposed Mixes•Gain further exposure to emerging markets through the fixed income portfolio–Dedicated allocation to emerging market debt–Review Multisectorfixed income managers who can tactically allocate to –Review Multisectorfixed income managers who can tactically allocate to various sectors of the global fixed income market (Emerging Market Debt, High Yield, Global Bonds)•Opportunity to broaden the opportunity set for managers to Opportunity to broaden the opportunity set for managers to benefit from macro/top down factors–Examine the role of the Market Neutral allocation in the portfolio (single source of alpha)–Increase allocation to PimcoAll Asset fund to increase exposure to Increase allocation to PimcoAll Asset fund to increase exposure to inflation sensitive assets (Inflation sensitive bonds, Commodities, Emerging Market Debt)•Restructure the fixed income portfolio to benefit from the Restructure the fixed income portfolio to benefit from the growth in emerging markets and invest with managers that have a larger opportunity set–Further diversify the portfolio with balanced managers that will tactically allocate across the market as valuations shiftallocate across the market as valuations shift32 12/31/2010
Asset Allocation AnalysisTarget AllocationMix A - Dedicated EMDMix B - Multisector Fixed IncomeMix C - Increase Pimco AAMix D - MS FI and Pimco AALarge Cap Equities20% 20% 20% 20% 20%Small/Mid Cap Equities5% 5% 5% 5% 5%'lInt'l Equities10% 10% 10% 10% 10%Emerging Int'l Equities3% 3% 3% 3% 3%Total Equity38% 38% 38% 38% 38%Core Bonds15% 13% 12% 15% 12%Credit5% 5% 5% 5% 5%High-Yield Bonds5%5%5%5%5%High-Yield Bonds5%5%5%5%5%Global Bonds8% 5% 5% 8% 5%EMD (Local Currency)0% 5% 0% 0% 0%Multisector Fixed Income0% 0% 6% 0% 6%Total Fixed Income33% 33% 33% 33% 33%Real Estate10% 10% 10% 10% 10%Market Neutral5% 5% 5% 0% 0%Total Alternatives15% 15% 15% 10% 10%GAA - GMO10% 10% 10% 10% 10%Pimco All Asset4% 4% 4% 9% 9%Total Other14% 14% 14% 19% 19%Expected Return6.3% 6.5% 6.4% 6.2% 6.3%Standard Dev of Asset Return9.8% 10.2% 10.0% 10.0% 10.2%30-Year Expected Return7.9% 8.1% 8.0% 8.0% 8.0%33 12/31/2010
2011 5-to-7 Year Return ForecastsGeometric Expected Return2011Volatility2011Asset Class 2010 20112011-2010Cash 2.00% 2.00% 0.00%Treasuries 2.75% 2.00% -0.75%Credit 5.50% 4.00% -1.50%MBS 4.00% 3.50% -0.50%TIPS3 50%2 25%1 25%Asset Class 2010 20112011-2010Cash 1.50% 1.50% 0.00%Treasuries 5.50% 6.00% 0.50%Credit 7.00% 7.00% 0.00%MBS 9.00% 10.00% 1.00%TIPS7 00%7 50%0 50%TIPS3.50%2.25%-1.25%High-Yield Bonds 8.00% 6.25% -1.75%Global Bonds (Unhedged) 3.25% 1.75% -1.50%Global Bonds (Hedged) 1.92%EMD External 6.50% 5.25% -1.25%EMD Local Currency 6.25%Large Cap Equities7 75%7 00%-0 75%TIPS7.00%7.50%0.50%High-Yield Bonds 12.00% 12.00% 0.00%Global Bonds (Unhedged) 10.00% 9.00% -1.00%Global Bonds (Hedged) 5.00%EMD External 15.00% 12.00% -3.00%EMD Local Currency 15.00%Large Cap Equities18 00%18 00%0 00%Large Cap Equities7.75%7.00%-0.75%Small/Mid Cap Equities 8.00% 7.00% -1.00%Int'l Equities (Unhedged) 8.00% 7.00% -1.00%Int'l Equities (Hedged) 7.25%Emerging Int'l Equities 9.50% 9.00% -0.50%Private Equity 10.00% 9.50% -0.50%Private Debt10 00%9 25%-0 75%Large Cap Equities18.00%18.00%0.00%Small/Mid Cap Equities 23.00% 22.00% -1.00%Int'l Equities (Unhedged) 21.00% 21.00% 0.00%Int'l Equities (Hedged) 19.00%Emerging Int'l Equities 29.00% 28.00% -1.00%Private Equity 30.00% 28.00% -2.00%Private Debt19 00%19 00%0 00%Private Debt10.00%9.25%-0.75%Real Estate 7.00% 6.00% -1.00%Commodities 4.75% 4.50% -0.25%Hedge Funds Low Vol 6.25% 5.75% -0.50%Hedge Funds Mod Vol 7.50% 7.00% -0.50%Private Debt19.00%19.00%0.00%Real Estate 15.00% 15.00% 0.00%Commodities 22.00% 20.00% -2.00%Hedge Funds Low Vol 7.00% 7.00% 0.00%Hedge Funds Mod Vol 12.00% 12.00% 0.00%34 12/31/2010
Asset Allocation History35 12/31/2010
Commitment To Equity – Public Funds Universe36 12/31/2010
Actual vs. Policy WeightsAsset ClassTargetAllocationActualAllocationVariancefrom TargetEquity 38.0% 39.6% 1.6%Large Cap Equity 20.0% 20.0% 0.0%Small Cap Equity 5.0% 6.3% 1.3%International Equity 10.0% 9.7% -0.3%Emerging Markets Equity 3.0% 3.5% 0.5%Fixed Income33 0%30 1%29%Fixed Income33.0%30.1%-2.9%Core Fixed Income 15.0% 14.5% -0.5%High Yield 5.0% 5.5% 0.5%Global Bonds 8.0% 8.1% 0.1%Credit Opportunity 5.0% 1.9% -3.1%GTAA 10.0% 9.9% -0.1%Real Assets 10.0% 8.8% -1.2%Absolute Return 4.0% 6.0% 2.0%Market Neutral 5.0% 4.9% -0.1%Cash 0.0% 0.8% 0.8%Total 100.0% 100.0%37 12/31/2010
Investment Performance Analysis38
Manager Allocation39 12/31/2010
Performance Summary40 12/31/2010
Performance Summary Continued41 12/31/2010
Performance Summary Continued42 12/31/2010
Performance Summary Continued* Wellington Index consists of 55% MSCI World /25% GSCI /20 % BC 1-10 yr tips.43 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity - Vanguard Institutional FundVanguard S&P 500Number of Issues 500 500Market Cap ($Mil) 80,980 81,230P/E Ratio15 915 9CharacteristicsMV Weight (%)EXXON MOBIL CORP $228,255 3.0APPLE INC $188,063 2.5MICROSOFTCORP $135,299 1.8GENERAL ELECTRIC CO$126 04017Top 10 HoldingsP/E Ratio15.915.9P/B Ratio 2.1 2.1Dividend Yield(%) 2.0 2.0Earnings Per Share (Trailing 12 Months)($) 6.2 6.2Return on Equity(%) 20.5 20.5GENERAL ELECTRIC CO$126,040 1.7JOHNSON +JOHNSON $123,815 1.7PROCTER +GAMBLE CO/THE $123,494 1.6INTL BUSINESS MACHINES CORP $122,743 1.6AT+T INC $122,605 1.6CHEVRON CORP$118 22416Beta 1.0 1.0* As of 9/30/10CHEVRON CORP$118,224 1.6JPMORGAN CHASE + CO $109,515 1.5*As of 9/30/103Yr. Risk vs. Return (Large Core)Sector Over / Under vs. Return10 0015.0020.0025.00Over / UnderVanguardS&P 500204.06.08.010.0nVANGUARD INSTITUTIONAL INDEXS&P 500-5.000.005.0010.00-10.0-8.0-6.0-4.0-2.00.02.00.00 10.00 20.00 30.00 40.00 50.00Return* As of 9/30/10Std Dev.44 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity - Vanguard Windsor IIVanguard Russell 1000 ValueNumber of Issues 241 668Market Cap ($Mil) 66,840 66,860P/E Ratio13 715 1CharacteristicsMV Weight (%)INTL BUSINESS MACHINES CORP $496,718 3.5CONOCOPHILLIPS $476,738 3.4PFIZER INC $404,089 2.9$Top 10 HoldingsP/E Ratio13.715.1P/B Ratio 1.9 1.5Dividend Yield(%) 2.46 2.34Earnings Per Share (Trailing 12 Months)($) 3.8 3.1Return on Equity(%) 20.1 15.1JPMORGAN CHASE + CO$394,207 2.8WELLS FARGO + CO $387,590 2.7MICROSOFTCORP $377,939 2.7BRISTOL MYERS SQUIBB CO $355,327 2.5PHILIP MORRIS INTERNATIONAL $329,744 2.3RAYTHEON COMPANY$315 94922Beta 1.0 1.0* As of 9/30/10RAYTHEON COMPANY$315,949 2.2INTEL CORP $305,002 2.2* As of 9/30/103Yr. Risk vs. ReturnSector Over / Under vs. Return005.010.0rnVANGUARD WINDSOR IIRUSSELL 1000 VALUE10.0015.0020.0025.00Over / UnderVanguardRussell 1000 Value-15.0-10.0-5.00.00.00 10.00 20.00 30.00 40.00 50.00Retur-10.00-5.000.005.00Std Dev.* As of 9/30/1045 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity – BDH & SBDH & S Russell 1000 GrowthNumber of Issues 20 627Market Cap ($Mil) 31,000 76,000P/E Ratio15 216CharacteristicsMV Weight (%)MCDONALD SCORP $345,420 7.1AGILENT TECHNOLOGIES INC $310,725 6.4COACH INC $309,736 6.4Top 10 HoldingsP/E Ratio15.216P/B Ratio 4.7 4.8Dividend Yield(%) 1.3 1.4Earnings Per Share (Trailing 12 Months)($) 3.2 4.5Return on Equity(%) 21.5 22.5STARBUCKSCORP $273,105 5.6UNUM GROUP $266,420 5.5VARIAN MEDICAL SYSTEMS INC $263,264 5.4BROADCOM CORP CL A $256,945 5.3KOHLS CORP $233,662 4.8ECOLAB INC$231 93248Beta 1.0 1.0ECOLAB INC$231,932 4.8PRAXAIR INC $229,128 4.73Yr. Risk vs. Return (Large Growth)Sector Over / Under vs. Return 246810rnBDH&SRUSSELL 1000 GROWTH5010.015.020.025.0Over / UnderBDH & SRussell 1000 Growth-10-8-6-4-2020 1020304050Retur-15.0-10.0-5.00.05.0Std Dev.46 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity - Waddell & ReedWaddell Russell 1000 GrowthNumber of Issues 54 627Market Cap ($Mil) 63,280 76,000P/E Ratio23 616CharacteristicsMV Weight (%)APPLE INC $835,430 6.2SCHLUMBERGER LTD $610,970 4.6GOOGLE INCCL A $602,880 4.5$Top 10 HoldingsP/E Ratio23.616P/B Ratio 5.1 4.8Dividend Yield(%) 0.8 1.4Earnings Per Share (Trailing 12 Months)($) 4.9 4.5Return on Equity(%) 17.2 22.5COGNIZANTTECH SOLUTIONS A$522,191 3.9NETAPP INC $515,250 3.9ALLERGAN INC $463,523 3.5EMERSON ELECTRIC CO $448,785 3.4ORACLE CORP $438,983 3.3T ROWE PRICE GROUP INC$421 12431Beta 1.0 1.0T ROWE PRICE GROUP INC$421,124 3.1STARWOOD HOTELS + RESORTS $407,226 3.03Yr. Risk vs. Return (Large Growth)Sector Over / Under vs. Return 204.06.08.010.0rnWADDELL & REEDRUSSELL 1000 GROWTH15 020.025.030.035.040.0Over / UnderWaddell & ReedRussell Mid Cap Value-10.0-8.0-6.0-4.0-2.00.02.00.00 10.00 20.00 30.00 40.00 50.00Retur-10.0-5.00.05.010.015.0Std Dev.47 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity - KennedyKennedyRussell Mid Cap ValueNumber of Issues 55 541Market Cap ($Mil) 7,054 7,665CharacteristicsMV Weight (%)SM ENERGYCO $189,460 3.0AMERIPRISEFINANCIAL INC $167,183 2.7HARMAN INTERNATIONAL $165,430 2.6Top 10 HoldingsP/E Ratio 15.2 15.5P/B Ratio 2.3 1.7Dividend Yield(%) 1.2 2.0Earnings Per Share (Trailing 12 Months)($) 2.7 2.0Return on Equity(%)8478OIL STATESINTERNATIONAL INC $162,725 2.6COMERICA INC $154,387 2.4ALLIED WRLD ASSUR COM $150,621 2.4ATWOOD OCEANICS INC $142,940 2.3PIONEER NATURAL RESOURCES CO $141,951 2.3HOST HOTELS RESORTS INC$141 72722Return on Equity(%)8.47.8Beta 1.1 1.1HOST HOTELS + RESORTS INC$141,727 2.2FLIR SYSTEMS INC $138,189 2.23Yr. Risk vs. Return (Mid Value)Sector Over / Under vs. Return 79111315rnKENNEDYRUSSELL MIDCAP VALUE15.020.025.030.035.0Over / UnderKennedyRussell Mid Cap Value-5-3-113570 102030405060Retur-10.0-5.00.05.010.0Std Dev.48 12/31/2010
CharacteristicsTop 10 HoldingsDomestic Equity - Times SquareTimes SquareRussell 2000 GrowthNumber of Issues 111 1270Market Cap ($Mil) 1,664 1,371CharacteristicsMV Weight (%)SOLERA HOLDINGS INC $135,703 2.3GLOBAL PAYMENTS INC $128,815 2.2ULTIMATE SOFTWARE GROUP INC $106,512 1.8Top 10 HoldingsP/E Ratio 23.9 20.3P/B Ratio 4.2 4.4Dividend Yield(%) 0.4 0.5Earnings Per Share (Trailing 12 Months)($) 1.8 1.2Return on Equity(%)11 010 0WRIGHT EXPRESS CORP $105,332 1.8STANCORP FINANCIAL GROUP $98,868 1.7BOTTOMLINETECHNOLOGIES INC $97,263 1.6BIO RAD LABORATORIES CL A $93,051 1.6GENESEE +WYOMING INC CL A $92,252 1.6EMERGENCYMEDICAL SERVICES A$86 83715Return on Equity(%)11.010.0Beta 1.0 1.1EMERGENCYMEDICAL SERVICES A$86,837 1.5WABCO HOLDINGS INC $86,805 1.53Yr. Risk vs. Return (Small Growth)Sector Over / Under vs. Return 79111315rnTIMES SQUARERUSSELL 2000 GROWTH10 0020.0030.0040.00Over / UnderTimes SquareRussell 2000 Growth-5-3-113570 1020304050Retur-20.00-10.000.0010.00Std Dev.49 12/31/2010
CharacteristicsTop Ten HoldingsInternational Equity - Morgan StanleyMorgan Stanley MSCI EAFEPrice / Free Cash 21.6 19.9Price / Earnings 15.0 15.5Price / Cash Flow9080CharacteristicsTop Ten HoldingsMorgan StanleyNestle 3.89%Unilever3.77%Imperial Tobacco Group 3.58%Price / Cash Flow9.08.0Price / Book 1.7 1.5Dividend Yield 3.2 2.9British American Tobacco 3.51%Reckitt Benckiser 2.87%Roche Holding 2.78%Novartis 2.60%Prudential 2.58%HSBC Holdings2 13%3Yr. Risk vs. Return (Developed Int’l)Country AllocationHSBC Holdings2.13%Keyence Corporation 2.12%3-1135rnMORGAN STANLEY INTERNATIONALMSCI EAFE (NET)Morgan Stanley MSCI EAFEFRANCE7.73 9.51EURO EUROPEAN x - FRANCE12.35 19.69JAPAN24.96 22.12ASIA / PACIFICJAPAN37913 46-15-13-11-9-7-5-30 102030405060ReturASIA / PACIFIC x -JAPAN3.7913.46UNITED KINGDOM34.33 21.34NON EURO EUROPEAN x – U.K.12.5 13.09NORTH AMERICA1.35 0.0MIDDLE EAST 0.0 0.8CASH 2.09 0.0Std Dev.12/31/201050
CharacteristicsSector AllocationInternational Equity - Morgan Stanley Emerging EquityCharacteristicsSector AllocationMorgan StanleyMSCI EM FreeAverage Market Cap 15.3 29.7Price / Earnings 14.41 11.88Morgan StanleyMSCI EM FreeConsumer Discretionary8.6 6.9Consumer Staples 14.3 6.7Energy7.4 14.3Dividend Yield 1.97 3.30Price / Cash Flow 5.04 4.92Price / Book 2.10 1.52Financials 23.6 25.1Health Care 2.4 1.0Industrials 4.9 7.4Information Technology 12.6 12.9Materials 10.5 14.9Mutual Funds 1.0 0.03Yr. Risk vs. Return (Emerging Markets)Country AllocationTelecom 10.9 7.4Utilities 1.1 3.4Cash 2.7 0.0246810rnMORGAN STANLEY EMERGINGMSCI EMERGING MARKETS (NET)Morgan StanleyMSCI EM FreeASIA54.3 57.8EMERGING EURO. M. EAST, AFRICA22.1 18.6LATIN AMERICA20.0 23.5-10-8-6-4-20215 25 35 45 55ReturCASH2.7 0.0OTHER 1.1 0.0Std Dev.12/31/201051
CharacteristicsSector AllocationDomestic Fixed Income – Income ResearchIncome ResearchBarclays Capital Gov’t/CorpAverage Coupon(%) 4.3 3.5Average Maturity(Yrs) 5.9 4.4Characteristics14.723.520.9152025Sector AllocationDuration(Yrs) 3.8 3.9Number of Issues n/a n/aQuality AA AAA10.18.15.36.23.08.2051003Yr. Risk vs. Return (Core Bonds)Credit Distribution101214rnINCOME RESEARCHBC GOV/CREDIT INTERMEDIATE52.130405060024680246810Retur13.524.50.30.09.60102030Std Dev.52 12/31/2010
CharacteristicsAverage Maturity % HeldDomestic Fixed Income (High Yield) – Penn CapitalPenn CapitalMerrill Lynch HY Cash PayAverage Coupon(%) 8.7 8.2Average Maturity(Yrs) 6.2 5.8Characteristics11 218.717.314.912 00014.00016.00018.00020.000Average Maturity % HeldDuration(Yrs) 4.5 4.7Number of Issues 161Quality B+ B+0.50.710.411.210.62.52.95.05.42.0004.0006.0008.00010.00012.0000.0003Yr. Risk vs. Return (High Yield Bonds)Credit Distribution1214161820rnPENN CAPITALBofAML US HIGH YIELD CASH PAY36.8253035400246810120 5 10 15 20 25 30Retur0.51.84.48.218.818.25.00.95.405101520Std Dev.53 12/31/2010
CharacteristicsSector AllocationGlobal Fixed Income - BrandywineBrandywineCiti World Gov’tIndexAverage Coupon(%) 5.4Average Maturity(Yrs) 16.1CharacteristicsSector Allocation56.030405060Duration(Yrs) 7.96.3Number of Issues 74Quality A+Yield to Maturity(%) 5.32.062.92.38.91.514.612.51.8-0.401020303Yr. Risk vs. Return (Global Bonds)Credit Distribution -1010 012.014.016.0rnBRANDYWINE GLOBAL BOND FUNDCitigroup WGBI (All Maturities)51.34050600.02.04.06.08.010.00.00 5.00 10.00 15.00 20.00Retur4.020.48.73.13.07.71.7102030Std Dev.054 12/31/2010
CharacteristicsSector AllocationLoomis, Sayles & Company – Credit Asset TrustLoomis Sayles Blended Index*Average Maturity(Yrs)6.9n/aDuration(Yrs)3.7n/aCharacteristicsSector Allocation29.429.520253035Average QualityBaa3n/a0.63.23.67.53.917.30.50.73.7051015203Yr. Risk vs. Return (High Yield)Credit Distribution013.322.720.123.21520257.23.49.40.70510N/A* Index consists of 50% BC Corporate / 25% BC High Yield / 25% S&P/LSTA Leveraged Loan.55 12/31/2010
Absolute Return – PIMCO All Asset FundSource: PIMCO5612/31/2010
Asset AllocationHistorical AllocationTactical Asset Allocation - GMO Global BalancedAsset AllocationHistorical Allocation3 Year Risk vs. Return51015rnGMOCustom Benchmark-10-5050 5 10 15 20 25 30ReturSource: GMOStd Dev.5712/31/2010
Portfolio CharacteristicsMarket Neutral - PyramisPortfolio CharacteristicsSector Allocation Source: Pyramis5812/31/2010
Strategy / Fund DetailsGeographic DiversificationReal Estate – UBS Trumbull Property FundStrategy / Fund DetailsGeographic DiversificationProperty Type DiversificationTotal Return by Property TypeSource: UBS5912/31/2010
Portfolio ReturnsActive Portfolio WeightsWellington Diversified Inflation HedgesPortfolio ReturnsActive Portfolio WeightsAttribution ChartAsset Allocation Summary60 12/31/2010
Michael J Valchine CAIATeam BiosMichael J. Valchine, CAIAConsultantMichael’s investment career began in 1998, and he joined NEPC in 2007. As a C lt t Mi h l i d t i t f li t t i l di bli f d Consultant, Michael is exposed to a variety of client types, including public funds, Taft-Hartley funds, corporate plans, endowments, foundations and defined contribution plans. In support of his client relationships, Michael is responsible for overall plan design and asset allocation, manager selection and performance monitoring as well as asset and liability studies in conjunction with risk budgeting. He is also a member of the Small Cap Equity Advisory Group.He is also a member of the Small Cap Equity Advisory Group.Prior to joining NEPC, Michael was a Registered Client Associate within the Merrill Lynch Institutional Consulting Group. While there he supported two consultants in the four main areas of the institutional consulting relationship; investment policy statements, asset allocation studies, manager searches and performance monitoring. Prior to Merrill Lynch, Michael worked as an analyst on the pension and 401(k) investment staff of ThyssenKrupp Budd Company. While at ThyssenKrupp Budd Company he assisted the Manager of Trust Investments in the day to day management of the pension trust and 401(k) including monitoring market values and transactions, investment manager performance, and acting as a liaison between the investment committee and current and prospective service providers the investment committee and current and prospective service providers. Michael earned an M.S. degree in Finance from Walsh College in 2006 and a B.A. in Finance from Oakland University 2001. Michael became a CAIA designee in 2010.61 12/31/2010
Kristin R. Finney-CookeTeam BiosSenior ConsultantMs. Finney-Cooke joined NEPC in 2010 with over twelve years of investment experience. Prior to NEPC, Kristin was a Principal at Mercer Investment Consulting p,p gwith broad responsibility in all facets of client management, which included providing clients (both public and corporate) with advice on asset allocation, investment policy development, investment manager selection, performance measurement and risk management. While at Mercer, Kristin was their National Public Fund Segment Leader for three years where she was responsible for ensuring relevant intellectual capital l d th h t th fi li t l ti ti tti d d was leveraged throughout the firm, client solutions were proactive, cutting edge and used as a national resource for public fund clients. Additionally, Kristin led the Emerging Managers Task Force where she identified high conviction Emerging/MWDBE (Minority, Women and Disabled Persons Business Enterprise) managers, performed rigorous due diligence and helped develop and implement Emerging/MWDBE programs.programs.Prior to Mercer, Kristin was a Financial Advisor in the Private Client Services Group of Credit Suisse First Boston. At Credit Suisse First Boston, Kristin developed and implemented customized investment strategies for her high net worth and institutional client base Kristin also conducted research in the private equity and hedge fund asset client base. Kristin also conducted research in the private equity and hedge fund asset classes in order to identify opportunities for smaller institutional clients. Kristin holds an MBA in Finance and Accounting from the University of Chicago and a BS from Howard University. Kristin is a frequent speaker at conferences including, Annual NASP Plan Sponsor and Emerging Minority Manager Consortium IMN Public Annual NASP, Plan Sponsor and Emerging Minority Manager Consortium, IMN Public FundsSummit and IL PERS Conferences and the Stars and Stripes Conference. Kristin is a Level II candidate for the Chartered Alternative Investment Analyst (CAIA) designation.62 12/31/2010
Information Disclosure•NEPC uses, as its data source, the plan’s custodian bank or fund service company, and NEPC relies on those sources for security pricing, calculation of accruals, and all transactions, including income payments, splits, and distributions. While NEPC has exercised reasonable professional care in preparing this report, we hfllifiidihicannot guarantee the accuracy of all source information contained within.•The Investment Performance Analysis (IPA) is provided as a management aid for the client’s internal use only. Portfolio performance reported in the IPA does not constitute a recommendation by NEPC.•Information in this report on market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur.•S&P Index data is provided courtesy of Standard & Poor’s Financial Services LLC.63 12/31/2010