HomeMy Public PortalAbout2012 2nd Quarter ReportInvestment Performance AnalysisAugust 29, 2012Kristin Finney-Cooke, CAIA, Senior ConsultantKristen Jackson, CFA, Sr. AnalystThe Metropolitan St. Louis Sewer District Employees’ Pension Plan
Table of ContentsMarket Commentary and Update1Executive Summary2Asset Allocation3Manager Pages 4 TabThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 20121
Market Commentary and Update2
" R i s k o f f i s b a c k d u e t o s o u r i n g e c o n o m i c b a c k d r o p F r e n c h e l e c t i o n a n d d e e p e n i n g s t r e s s i n S p a i n c a s t s s h a d o w U S g r o w t h s l o w i n g C h i n a r e v i s e s t a r g e t g r o w t h d o w n t o 7 % p r o m p t i n g h a r d l a n d i n g f e a r s " E q u i t y m a r k e t s s e l l - o f f M u c h o f f i r s t q u a r t e r g a i n s l o s t b e f o r e r a l l y o n l a s t d a y o f J u n e N o n - U S d e v e l o p e d a n d e m e r g i n g m a r k e t s d e c l i n e m o r e p r e c i p i t o u s l y " T r e a s u r y y i e l d s d r o p t o r e c o r d l o w s a n d d o l l a r r i s e s i n f l i g h t t o s a f e t y " C r e d i t m a r k e t s g e n e r a l l y h o l d t h e i r g r o u n d , b e n e f i t i n g f r o m p o s i t i o n i n c a p s t r u c t u r e a n d d e c l i n i n g T r e a s u r y y i e l d s " A t a l e o f t w o q u a r t e r s f o r c o m m o d i t i e s a s g o l d , o i l , a n d m e t a l s d r o p d u e t o s l o w i n g e c o n o m i c g r o w t h w h i l e g r a i n s r i s e d u e t o U S d r o u g h t L o o k i n g B a c k S e c o n d Q u a r t e r M a r k e t s N E P C Q 2 2 0 1 2 M a r k e t s U p d a t e J u n e 3 0 , 2 0 1 2 3
" D i v e r s i f y b r o a d l y m a n y g l o b a l r i s k s r e m a i n R i s k b a l a n c e d - > r i s k p a r i t y H e d g e k n o w n l i a b i l i t i e s a n d u n c o m p e n s a t e d r i s k s " A l l o c a t e t o a t t r a c t i v e s e g m e n t s o f r i s k y a s s e t s E m e r g i n g m a r k e t s , p a r t i c u l a r l y s m a l l c a p s t o c k s a n d l o c a l c u r r e n c y d e b t C r e d i t , p a r t i c u l a r l y l e s s l i q u i d a n d m o r e c o m p l e x s e g m e n t s E u r o p e a n a n d o t h e r d i s t r e s s e d m a r k e t s " B e p r e p a r e d t o b e d y n a m i c " U s e a c t i v e s t r a t e g i e s t o e n h a n c e r e t u r n s L o o k i n g F o r w a r d W h a t T o D o i n a L o w R e t u r n , R i s k O n / R i s k O f f W o r l d ? N E P C Q 2 2 0 1 2 M a r k e t s U p d a t e J u n e 3 0 , 2 0 1 2 4
Treasury Yields At Secular LowsSource: US Treasury12/31/200012/31/20116/30/201212/31/20100.001.002.003.004.005.006.006 mo 1 yr 2 yr 3 yr 5 yr 7 yr10 yr15 yr20 yrRates %MaturityUS Treasury Yield CurvesNEPC Q2 2012 Markets UpdateJune 30, 20125
0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9.0%1 2 3 4 5 6 7 8 9 1011121314151617181920212223YearUS 10 Yr Bond Yields (2000‐Present)Japanese 10 Yr Bond Yields (1990‐Present)Japan and U.S. 10 Year Bond YieldsSource: BloombergNEPC Q2 2012 Markets UpdateJune 30, 20126
Market Outlook – “Risk On/Risk Off”Source: Bloomberg, NEPC‐15.0%‐10.0%‐5.0%0.0%5.0%10.0%15.0%20.0%S&P 500 Total ReturnS&P 500 Total Return201020112012NEPC Q2 2012 Markets UpdateJune 30, 20127
Developed Markets– 2011 Financial PositionSource: OECD; As of 6/7/2012‐14‐12‐10‐8‐6‐4‐200 50 100 150 200 250AustriaBelgiumEstoniaEurozone ‐ TotalFranceGermanyGreeceIrelandItalyJapanLuxembourgNetherlandsPolandPortugalSlovak RepublicSloveniaSpainSwitzerlandUnited KingdomUnited StatesFranceJapanIrelandU.S.GreeceSpainPortugalEurozoneDebt as % of GDPDeficit as % of GDPGermanyItalyNEPC Q2 2012 Markets UpdateJune 30, 20128
" E x t e n s i o n o f c u r r e n t a p p r o a c h : K i c k t h e c a n d o w n t h e r o a d E C B o f f e r s t h i r d L T R O a n d r e n e w s b u y i n g o f P e r i p h e r y s o v e r e i g n d e b t A l l o w E S F S / E S M s u p p o r t s t r u c t u r e s t o l e n d d i r e c t l y t o E u r o z o n e b a n k s " P r o g r e s s i o n t o a F i s c a l U n i o n C r e a t i o n o f a p a n - E u r o z o n e F D I C S o m e f o r m o f E u r o z o n e d e b t s h a r i n g ; E u r o b o n d s P a n - E u r o z o n e s t i m u l u s p l a n " T o t a l C h a o s C o m p l e t e d i s s o l u t i o n o f E u r o z o n e , d e p r e s s i o n s p r e a d i n g g l o b a l l y , s o c i a l u p h e a v a l , e t c . T h e s i t u a t i o n i s v e r y f l u i d a n d c h a n g e s o n a d a y - t o - d a y b a s i s : R i s k o f o n e o r t w o c o u n t r i e s l e a v i n g t h e E u r o w i t h i n t h e n e x t t w e l v e m o n t h s h a s i n c r e a s e d m e a n i n g f u l l y . R i s k c a n b e c o n t a i n e d w i t h p r o p e r p o l i c y r e s p o n s e f r o m E C B a n d r e m a i n i n g E u r o z o n e m e m b e r s R e q u i r e s a p o l i t i c a l s o l u t i o n a n d u l t i m a t e l y s o m e f o r m o f l o s s s h a r i n g a g r e e m e n t b e t w e e n P e r i p h e r y a n d C o r e E u r o z o n e m e m b e r s R a t i o n a l o u t c o m e i s s o m e f o r m o f f i s c a l c o n s o l i d a t i o n t o p r o t e c t S p a i n a n d I t a l y L a c k o f p o l i t i c a l w i l l c o u l d l e a d t o d e s t a b i l i z i n g f r a c t u r i n g o f E u r o z o n e E u r o - Z o n e C r i s i s : P o t e n t i a l O u t c o m e s N E P C Q 2 2 0 1 2 M a r k e t s U p d a t e J u n e 3 0 , 2 0 1 2 9
Emerging Market Equity P/E Up But Still Below AverageSource: BloombergNEPC Q2 2012 Markets UpdateJune 30, 201210
The Emerging Markets Investment Opportunity SetRisk(Volatility, Downside, Liquidity)EMD HC SovereignEMD CorporateSmall Cap EquityLarge Cap EquityEMD LCPrivate EquityReturn (Upside Potential)Equity L/SReal AssetsNEPC Q2 2012 Markets UpdateJune 30, 201211
Relative Asset Class Attractiveness – Credit Stands OutNEPC Q2 2012 Markets UpdateJune 30, 201212
Distressed Assets – Is Anything Solved?2008 – 2011 $3 Trillion Asset DispositionsBear Stearns, Iceland, Lehman Brothers, AIG, Santander, Takefuji, RBS, Bank of Ireland, Natixis, AngloIrish, Dexia2012 & After$5 - $10 Trillion Asset DispositionsBank Failures, Commercial Real Estate, Debt Maturities, Bank Asset Sales, Government Sales, Sidepockets, Bankruptcies, Insurance Companies, PIIGs, Walls of MaturityAsset Manager EstimatesNEPC Q2 2012 Markets UpdateJune 30, 201213
" W h a t i s L I B O R ? T h e L o n d o n I n t e r - B a n k O f f e r R a t e i s t h e a v e r a g e i n t e r e s t r a t e a t w h i c h b a n k s e x p e c t t h e y c o u l d b o r r o w f r o m o t h e r b a n k s I t i s c a l c u l a t e d d a i l y a t 1 1 a m f o r 1 5 m a t u r i t i e s i n 1 0 c u r r e n c i e s " H o w i s L I B O R u s e d ? L I B O R i s o n e o f t h e m a i n r a t e s u s e d t o d e t e r m i n e b o r r o w i n g c o s t s f o r l o a n s s u c h a s m o r t g a g e s , s t u d e n t l o a n s , a n d f o r d e r i v a t i v e s t r a n s a c t i o n s " W h a t h a p p e n e d ? B a r c l a y s p a i d $ 4 5 0 m i l l i o n i n f i n e s t o t h e U K a n d U S t o s e t t l e a c c u s a t i o n s t h a t i t m a n i p u l a t e d L I B O R : " F r o m 2 0 0 5 - 2 0 0 7 f o r t h e b e n e f i t o f B a r c l a y s t r a d e r s ( s u b m i t t i n g a n a r t i f i c i a l l y h i g h r a t e ) " I n 2 0 0 8 , t o o v e r s t a t e t h e h e a l t h o f t h e b a n k d u r i n g t h e f i n a n c i a l c r i s i s ( s u b m i t t i n g a n a r t i f i c i a l l y l o w r a t e ) " N e x t s t e p s T h i s i s a c o m p l e x a n d e v o l v i n g s i t u a t i o n I t i s l i k e l y t h a t t h e r e w i l l b e a d d i t i o n a l s e t t l e m e n t s w i t h f i n a n c i a l i n s t i t u t i o n s a s w e l l a s f o l l o w - o n l e g a l a c t i o n I t i s d i f f i c u l t t o a s s e s s t h e i m p a c t o f t h e s c a n d a l , o r t h e c o s t s o r b e n e f i t s t o m a r k e t p a r t i c i p a n t s I t i s u n c l e a r a t t h i s t i m e i f i n s t i t u t i o n a l i n v e s t o r s s h o u l d b e t a k i n g a n y s p e c i f i c a c t i o n s W e a r e w a t c h i n g t h e s i t u a t i o n c l o s e l y a n d w i l l k e e p a b r e a s t o f a n y i m p l i c a t i o n s f o r c l i e n t s T h e L I B O R S c a n d a l A Q u i c k O v e r v i e w N E P C Q 2 2 0 1 2 M a r k e t s U p d a t e J u n e 3 0 , 2 0 1 2 1 4
Investment Market Update: As of June 30, 2012Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Equity BenchmarksS&P 500 Large Core-2.8%9.5% 5.4% 16.4% 0.2% 5.3%Russell 2000 Small Core-3.5%8.5%-2.1%17.8% 0.5% 7.0%Russell 2000 Growth Small Growth-3.9%8.8%-2.7%18.1%2.0%7.4%Russell 2000 ValueSmall Value-3.0%8.2%-1.4%17.4%-1.0%6.5%Russell 1000Large Core-3.1%9.4% 4.4%16.6%0.4%5.7%Russell 1000 GrowthLarge Growth-4.0%10.1% 5.8%17.5%2.9%6.0%Russell 1000 ValueLarge Value-2.2%8.7% 3.0%15.8%-2.2%5.3%S&P Mid Cap 400Mid Core-4.9%7.9%-2.3%19.4%2.6%8.2%NAREIT CompositeREIT4.5% 15.3% 12.4%31.2%2.0%9.5%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.International Equity BenchmarksMSCI EAFE International Developed-7.1%3.0%-13.8%6.0%-6.1%5.1%MSCI EM Emerging Equity-8.9%3.9%-16.0%9.8%-0.1%14.1%S&P EPAC SmallCap Small Cap Int'l-8.1%5.3%-15.3%9.1%-5.1%8.7%MSCI ACWI ex-US World ex-US-7.6%2.8%-14.6%7.0%-4.6%6.7%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Fixed Income BenchmarksBarclays AggregateCore Bonds2.1% 2.4% 7.5%6.9%6.8%5.6%Barclays 1-10 Yr Muni.Municipal Bond1.3%1.8% 6.1%5.5%5.6%4.5%Barclays US High YieldHigh Yield1.8%7.3% 7.3%16.3%8.4%10.2%Barclays US TIPS 1-10 YrInflation1.3% 2.8% 6.3%7.4%7.0%6.2%Barclays Interm. Gov/CreditIntermediate Gov/Cred 1.5%2.1% 5.4%5.8%6.0%5.1%Barclays Long Gov/CreditLong Gov/Credit7.3%5.0% 24.6%14.4% 11.0%8.7%Barclays Long CreditLong Credit5.0%5.8% 19.2%15.1% 10.0%8.6%Barclays US 20+ Yr TreasLong Treasuries11.8% 4.3% 37.2%14.1% 12.5%9.3%BofA ML US 3-Month T-BillCash0.0%0.0% 0.1%0.1%1.0%1.9%Barclays 20+ Yr STRIPSSTRIPS18.8% 5.3% 67.3%20.1% 17.1%n/aQtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Global Fixed Income BenchmarksCitigroup WGBIWorld Gov. Bonds0.9% 0.4% 2.7%5.4%7.3%6.8%JPM GBI-EM Glob. Diversified Em. Mkt. Bonds (Local)-1.2%7.0%-1.7%10.8%8.8%n/aQtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Diversified BenchmarkBalanced Index*Balanced-1.6%6.4% 2.6%13.0%2.0%6.4%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Alternative BenchmarksDJ UBS Commodity Index Commodity-4.6% -3.7% -14.3%3.5%-3.7%5.0%DJCS HF CompositeHedge Fund-1.8%2.2%-2.0%6.9%1.9%6.5%HFRI Fund of Funds Fund of Funds-2.0%1.3%-5.5%2.4%-1.9%3.2%DJCS Equity Market NeutralHedge Fund-2.7% -1.4% -2.4%1.7%-8.0%-0.3%DJCS Event DrivenHedge Fund-2.8%3.4%-7.2%6.1%1.4%7.5%DJCS Long-ShortHedge Fund-5.7%2.2%-6.0%4.6%0.6%6.2%* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSNEPC Q2 2012 Markets UpdateJune 30, 201215
SectorIndex2008200920102011QTR 1AprMayJunQTR 22012REITSWilshire REIT-39.2%28.6% 28.6% 9.2% 10.8% 2.9%-4.6%5.6% 3.7% 14.9%Large Cap Growth R1000 Growth-38.4%37.2% 16.7% 2.6% 14.7%-0.2% -6.4%2.7%-4.0%10.1%Large Cap S&P 500-37.0%26.5% 15.1% 2.1% 12.6%-0.6% -6.0%4.1%-2.8%9.5%Large Cap Russell 1000-37.6%28.4% 16.1% 1.5% 12.9%-0.6% -6.1%3.8%-3.1%9.4%Small Cap Growth R2000 Growth-38.5%34.5% 29.1%-2.9%13.3%-1.6% -7.1%5.2%-3.9%8.8%Large Cap Value R1000 Value-36.8%19.7% 15.5% 0.4% 11.1%-1.0% -5.9%5.0%-2.2%8.7%Small Cap Russell 2000-33.8%27.2% 26.9%-4.2%12.4%-1.5% -6.6%5.0%-3.5%8.5%SMID Cap R2500-36.8%34.4% 26.7%-2.5%13.0%-0.7% -6.8%3.6%-4.1%8.3%Small Cap Value R2000 Value-28.9%20.6% 24.5%-5.5%11.6%-1.4% -6.1%4.8%-3.0%8.2%High Yield BC HY-26.2%58.2% 15.1% 5.0% 5.3% 1.0%-1.3%2.1% 1.8% 7.3%Emerging FI BC Emerging ($US)-14.8%34.2% 12.8% 7.0% 5.5% 1.4%-2.7%2.8% 1.4% 7.0%Diversified Diversified*-23.3%17.5% 12.6% 2.0% 8.2%-0.1% -4.6%3.3%-1.6%6.4%Long Credit BC Long Credit-3.9%16.8% 10.7% 17.1% 0.8% 2.4% 2.2% 0.3% 5.0% 5.8%Treasury STRIPS BC 20+ STRIPS 59.5%-36.0%10.9% 58.5%-11.3%6.8% 13.9%-2.3%18.8% 5.3%Long Gov/Credit BC Long Gov/Credit 8.4% 1.9% 10.2% 22.5%-2.1%3.2% 4.4%-0.4%7.3% 5.0%Emerging EM (net)-53.3%78.5% 18.9%-18.4%14.1%-1.2% -11.2%3.9%-8.9%3.9%Muni BondsBC Muni (unadj)-2.5%12.9% 2.4% 10.7% 1.7% 1.2% 0.8%-0.1%1.9% 3.7%Int. Equity EAFE (net)-43.4%31.8% 7.8%-12.1%10.9%-2.0% -11.5%7.0%-7.1%3.0%Core FIBC Aggregate5.2% 5.9% 6.5% 7.8% 0.3% 1.1% 0.9% 0.0% 2.1% 2.4%Int. Gov/Credit BC Intermediate GC 5.1% 5.2% 5.9% 5.8% 0.6% 0.9% 0.5% 0.1% 1.5% 2.1%Int. Core FI BC Intermediate Agg 4.9% 6.5% 6.2% 6.0% 0.7% 0.8% 0.4% 0.1% 1.3% 2.0%Gov/Credit BC 1-5 Yr Gov/Cred 5.1% 4.6% 4.1% 3.1% 0.5% 0.4% 0.1% 0.1% 0.6% 1.1%Gov/Credit BC 1-3 Yr Gov/Cred 5.0% 3.8% 2.8% 1.6% 0.4% 0.2%-0.2%0.0% 0.2% 0.6%Global FI Citigroup WGBI 10.9% 2.6% 5.2% 6.4%-0.5%1.5%-0.6%0.1% 0.9% 0.4%Commodities DJ UBS Commodity-35.7%18.9% 16.8%-13.3%0.9%-0.4% -9.1%5.5%-4.5% -3.7%* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSPERFORMANCE THROUGH 6/30/2012Investment Market Update: As of June 30, 2012 Sources: Barclays Capital, Bloomberg, WilshireNEPC Q2 2012 Markets UpdateJune 30, 201216
Economic EnvironmentNEPC Q2 2012 Markets UpdateJune 30, 201217
Components of U.S. GDPNEPC Q2 2012 Markets UpdateJune 30, 201218
Key Economic IndicatorsNEPC Q2 2012 Markets UpdateJune 30, 201219
Economic EnvironmentNEPC Q2 2012 Markets UpdateJune 30, 201220
Eurozone Economic EnvironmentSource: IMF, BloombergAs of 6/30Source: BloombergAs of 6/30Source:ECBAs of 12/31Source:BloombergAs of 6/30$0$200$400$600$800$1,000$1,200$1,400$1,600Eurozone CDSPortugalItalyGermanySpain60708090100110120130140150Mar‐99Nov‐99Jul‐00Mar‐01Nov‐01Jul‐02Mar‐03Nov‐03Jul‐04Mar‐05Nov‐05Jul‐06Mar‐07Nov‐07Jul‐08Mar‐09Nov‐09Jul‐10Mar‐11Nov‐11Eurozone CompetitivenessGermanyIrelandGreeceSpainFranceItalyPortugal*Based on unit labor cost, rebased to EMU inception‐40%‐30%‐20%‐10%0%10%20%30%40%50%60%70%Equity Index Performance By CountryUSItalyGermanySpainFranceUK‐1.5%‐1.0%‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%‐10%‐8%‐6%‐4%‐2%0%2%4%6%Eurozone Deficit and GDP Growth2012 Deficit (LHS)2013 ProjectedGDP Growth (RHS)NEPC Q2 2012 Markets UpdateJune 30, 201221
Market Environment – U.S. EquityNEPC Q2 2012 Markets UpdateJune 30, 201222
U.S. Stock Market PerformanceNEPC Q2 2012 Markets UpdateJune 30, 201223
Non – U.S. Stock Market PerformanceNEPC Q2 2012 Markets UpdateJune 30, 201224
Emerging MarketsSource: BloombergAs of 6/30Source: BloombergAs of 6/30US Dollar Return vs. Major EM Currencies(Negative = Dollar Depreciates, Positive = Dollar Appreciates)YTD 1 Yr. 3 Yr.Brazilian Real7.1%22.2%2.9%PE RatioRussian Ruble0.9%14.1%3.6%Historical AvgIndian Rupee4.6%19.7%13.9%Chinese Renminbi 0.9%-1.7%-7.5%PB RatioHistorical AvgSingapore Dollar-2.5%2.9%-14.4%Hungarian Forint-7.6%18.8%14.1%PS Ratio Turkish Lira-4.6%10.3%14.8%Historical AvgMexican Peso-4.3%12.3%1.3%Source: BloombergAs of 6/30S. African Rand 0.9%17.1%5.5%South Korean Won-0.6%6.8%-11.2%Source: BloombergAs of 6/30Emerging Markets Valuation11.0816.081.5316.5219.401.001.541.021.04MSCI EM Small CapMSCI EM0.600.691.200.01.02.03.04.05.06.07.0Jun‐02Dec‐02Jun‐03Dec‐03Jun‐04Dec‐04Jun‐05Dec‐05Jun‐06Dec‐06Jun‐07Dec‐07Jun‐08Dec‐08Jun‐09Dec‐09Jun‐10Dec‐10Jun‐11Dec‐11Jun‐12EM Sovereign Bond SpreadEM (Local) ‐ US Bond SpreadAverage0%2%4%6%8%10%12%BrazilRussiaIndiaChinaBRIC GDP Growth Rates10 Yr Average GDP GrowthProjected 2012 GDP GrowthNEPC Q2 2012 Markets UpdateJune 30, 201225
Market Environment – Interest Rates NEPC Q2 2012 Markets UpdateJune 30, 201226
Fixed Income PerformanceNEPC Q2 2012 Markets UpdateJune 30, 201227
Market Environment – CommoditiesSource: BloombergAs of 6/30Source: BloombergAs of 6/30Source: BloombergAs of 6/30Source: BloombergAs of 6/30-100-5005010015020012 month rolling % changeRolling 12 Month Oil Spot Prices -30-20-10010203040506012 month rolling % changeRolling 12 Month Gold Spot Prices -60-40-2002040608010012014012 month rolling % changeRolling 12 Month Corn Spot Prices Oil prices finished the month at $84.96 per barrel.Gold prices finished at $1,597 per ounce at the end of June.Corn prices finished at $6.66/bushel in June.‐10%‐8%‐6%‐4%‐2% 0% 2% 4% 6% 8% 10%Gasoline RBOBSugarCornSoybeanAverageCottonZincCocoaSilverNickelCoffeeGoldCopperLeadOilWheatNat GasRelative Roll YieldBackwardationContangoNEPC Q2 2012 Markets UpdateJune 30, 201228
Executive Summary29
Executive SummaryAsset Growth•At quarter end, the assets in the Fund totaled approximately $210.3 million, a decrease of $1.5 million over the quarter, reflecting investment losses of $3.8 million and net inflows of $2.3 million.Performance•The Fund posted a -1.7% return for the quarter, ranking in the 44thpercentile of public funds.•Active management added 10 bps to performance.•For the past 12 months, the Fund posted a return of 2.7%, ranking in the 21stpercentile of public funds.•Active management added 100 bps. •For the three-year period, performance was 11.0%, which ranked in the 61stpercentile of public funds. The five-year return of 4.0% ranked in the 10thpercentile.•A higher relative return for the five-year period was earned with a lower level of risk than the median public fund.The Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201230
Market Value 3 Mo Rank YTD Rank Fiscal
YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank
_
Composite $210,343,227 -1.7%44 5.6%54 5.6%54 2.7%21 11.0%61 4.0%10
Composite Allocation Index -1.8%49 5.0%84 5.0%84 1.7%42 10.0%82 3.1%17
Policy Index -1.5%35 5.1%77 5.1%77 1.7%41 10.5%70 2.9%23
ICC Public DB Median -1.8% 5.7% 5.7% 1.2% 11.5% 2.0%
XXXXX
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Summary
3 Years Ending June 30, 2012
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 10.99% 61 9.54% 41 1.14 55 1.74 71
Composite Allocation Index 10.02%82 9.19%35 1.08 74 1.81 69
XXXXX
5 Years Ending June 30, 2012
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 4.00% 11 10.99% 28 0.30 14 0.41 13
Composite Allocation Index 3.14%17 10.72%23 0.23 17 0.30 17
XXXXX
31
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
3 Years Ending June 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 10.99% 61 9.54% 41
Composite Allocation Index --10.02%82 9.19%35
3 Years Ending June 30, 2012
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 1.14 55 1.74 71
Composite Allocation Index --1.08 74 1.80 69
32
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
5 Years Ending June 30, 2012
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 0.30 14 0.41 13
Composite Allocation Index --0.23 17 0.30 17
5 Years Ending June 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 4.00% 11 10.99% 28
Composite Allocation Index --3.13%17 10.72%23
33
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Growth Summary
Sources of Portfolio Growth Last Three
Months Year-To-Date Fiscal Year-To-Date One Year Three Years
_
Beginning Market Value $211,812,549 $200,494,127 $200,494,127 $207,701,159 $159,878,070
Net Additions/Withdrawals $2,309,941 -$1,042,069 -$1,042,069 -$2,312,686 -$5,516,383
Investment Earnings -$3,779,263 $10,891,168 $10,891,168 $4,954,753 $55,981,540
Ending Market Value $210,343,227 $210,343,227 $210,343,227 $210,343,227 $210,343,227
_
34
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Growth Summary by Manager
Quarter Ending June 30, 2012
Beginning
Market Value Withdrawals Contributions Net Cash Flow Net Investment
Change
Ending
Market Value
_
Brandywine Global Bond $16,998,974 $0 $0 $0 $338,421 $17,337,395
Buford Dickson Harper & Sparrow $5,740,424 $0 $0 $0 -$415,728 $5,324,696
Cash $1,051,783 -$7,575,668 $7,638,458 $62,790 $116 $1,114,689
GMO Asset Allocation Fund $21,174,943 $0 $0 $0 -$383,531 $20,791,412
Income Research $27,290,276 -$350,000 $0 -$350,000 $478,353 $27,418,629
Kennedy $7,277,967 -$949,403 $438 -$948,965 -$425,137 $5,903,864
Loomis Credit Asset Fund $4,204,188 $0 $0 $0 $60,210 $4,264,398
Morgan Stanley Inst Emg Mkt Port.$6,407,196 $0 $0 $0 -$394,088 $6,013,108
Morgan Stanley Int'l Equity Fund $20,999,780 $0 $0 $0 -$1,056,882 $19,942,898
Penn Capital $9,474,814 $19,517 $1,300,000 $1,319,517 $142,576 $10,936,907
Pictet Emerging Local Curr. Debt Fd $10,808,365 $0 $0 $0 -$158,371 $10,649,994
PIMCO All Asset $5,700,348 $0 $3,150,000 $3,150,000 -$63,404 $8,786,944
Pyramis Mkt Neutral $9,805,359 $0 $0 $0 $227,502 $10,032,861
TimesSquare Small Cap Growth Fund $5,836,828 $0 $0 $0 -$211,173 $5,625,655
UBS Realty - Trumbull Property Fund $9,200,686 $0 $0 $0 $184,391 $9,385,076
Vanguard Institutional Index $8,618,419 -$250,000 $0 -$250,000 -$245,836 $8,122,584
Vanguard Windsor II $16,306,498 -$380,000 $0 -$380,000 -$472,805 $15,453,693
Waddell & Reed $15,723,983 -$200,015 $0 -$200,015 -$978,529 $14,545,439
Wellington Diver. Inflation $9,191,718 $0 $0 $0 -$498,733 $8,692,985
Total $211,812,549 -$9,685,569 $12,088,896 $2,403,327 -$3,872,649 $210,343,227
XXXXX
35
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank
Fiscal
YTD
(%)
Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Composite 210,343,227 100.0 100.0 -1.7 44 5.6 54 5.6 54 2.7 21 11.0 61 4.0 10 6.9 19 --Oct-82
Composite Allocation Index -1.8 50 5.0 84 5.0 84 1.7 43 10.0 82 3.1 17 6.5 41 --Oct-82
Over/Under 0.1 0.6 0.6 1.0 1.0 0.9 0.4
Policy Index -1.5 35 5.1 77 5.1 77 1.7 41 10.5 70 2.9 23 6.4 53 --Oct-82
ICC Public DB Median -1.8 5.7 5.7 1.2 11.5 2.0 6.4 --Oct-82
Large Cap Equity Composite 43,446,411 20.7 20.0 -4.5 54 8.2 53 8.2 53 4.0 36 14.9 59 1.1 48 ------Jun-03
S&P 500 -2.8 25 9.5 33 9.5 33 5.4 24 16.4 34 0.2 64 5.3 77 6.0 Jun-03
Over/Under -1.7 -1.3 -1.3 -1.4 -1.5 0.9
eA US Large Cap Equity Gross
Median -4.3 8.4 8.4 2.7 15.4 1.0 6.2 7.0 Jun-03
Vanguard Windsor II 15,453,693 7.3 7.0 -2.8 35 9.4 15 9.4 15 5.4 19 15.9 36 -0.8 52 6.3 48 4.6 May-01
Russell 1000 Value -2.2 25 8.7 28 8.7 28 3.0 38 15.8 39 -2.2 76 5.3 77 3.8 May-01
Over/Under -0.6 0.7 0.7 2.4 0.1 1.4 1.0 0.8
eA US Large Cap Value
Equity Gross Median -3.6 7.4 7.4 1.9 15.0 -0.6 6.1 4.6 May-01
Buford Dickson Harper &
Sparrow 5,324,696 2.5 3.0 -7.2 86 6.8 85 6.8 85 -0.2 77 11.5 95 -0.9 92 2.3 99 -0.9 Oct-00
Russell 1000 Growth -4.0 24 10.1 44 10.1 44 5.8 23 17.5 30 2.9 41 6.0 58 -1.0 Oct-00
Over/Under -3.2 -3.3 -3.3 -6.0 -6.0 -3.8 -3.7 0.1
eA US Large Cap Growth
Equity Gross Median -5.3 9.7 9.7 3.1 16.0 2.5 6.3 1.4 Oct-00
Waddell & Reed 14,545,439 6.9 7.0 -6.2 80 6.9 69 6.9 69 3.5 30 14.2 82 3.8 18 ----6.8 Dec-02
Russell 1000 Growth -4.0 45 10.1 24 10.1 24 5.8 16 17.5 45 2.9 28 6.0 75 6.5 Dec-02
Over/Under -2.2 -3.2 -3.2 -2.3 -3.3 0.9 0.3
eA All US Equity Gross
Median -4.3 8.3 8.3 0.4 17.0 1.2 7.4 8.6 Dec-02
Vanguard Institutional Index 8,122,584 3.9 3.0 -2.7 27 9.5 31 9.5 31 5.6 28 16.7 23 0.5 64 5.5 71 2.5 Oct-99
S&P 500 -2.8 28 9.5 32 9.5 32 5.4 28 16.4 29 0.2 67 5.3 76 2.3 Oct-99
Over/Under 0.1 0.0 0.0 0.2 0.3 0.3 0.2 0.2
eA US Large Cap Core Equity
Gross Median -3.9 8.7 8.7 3.4 15.4 1.0 6.1 4.1 Oct-99
36
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank
Fiscal
YTD
(%)
Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Small Cap Equity Composite 11,529,519 5.5 5.0 -4.5 49 6.2 73 6.2 73 -0.8 33 20.4 33 4.2 20 ------Jun-03
Russell 2000 -3.5 29 8.5 41 8.5 41 -2.1 47 17.8 67 0.5 67 7.0 83 8.1 Jun-03
Over/Under -1.0 -2.3 -2.3 1.3 2.6 3.7
eA US Small Cap Equity Gross
Median -4.5 7.8 7.8 -2.5 19.0 1.8 8.7 9.8 Jun-03
Kennedy 5,903,864 2.8 2.5 -5.5 73 7.6 45 7.6 45 0.0 30 21.0 16 --------7.2 Feb-08
Russell MidCap Value -3.3 22 7.8 39 7.8 39 -0.4 33 19.9 22 -0.1 75 8.2 67 3.2 Feb-08
Over/Under -2.2 -0.2 -0.2 0.4 1.1 4.0
eA US Mid Cap Value Equity
Gross Median -4.6 7.2 7.2 -2.2 17.9 1.1 9.0 4.1 Feb-08
TimesSquare Small Cap Growth
Fund 5,625,655 2.7 2.5 -3.4 28 4.8 91 4.8 91 -1.5 32 20.2 44 5.8 14 10.8 11 9.6 Feb-02
Russell 2000 Growth -3.9 33 8.8 45 8.8 45 -2.7 42 18.1 69 2.0 55 7.4 75 5.5 Feb-02
Over/Under 0.5 -4.0 -4.0 1.2 2.1 3.8 3.4 4.1
eA US Small Cap Growth
Equity Gross Median -4.9 8.5 8.5 -3.5 19.6 2.3 8.6 7.1 Feb-02
International Equity Composite 19,942,898 9.5 10.0 -4.9 14 6.7 24 6.7 24 -6.6 10 8.2 56 -2.4 24 5.8 78 4.3 May-99
S&P EPAC LargeMidCap -6.8 54 3.4 71 3.4 71 -13.4 65 7.0 75 -5.1 63 5.9 74 2.8 May-99
Over/Under 1.9 3.3 3.3 6.8 1.2 2.7 -0.1 1.5
eA All EAFE Equity Gross
Median -6.6 4.9 4.9 -12.3 8.7 -4.5 6.9 5.0 May-99
Morgan Stanley Int'l Equity Fund 19,942,898 9.5 10.0 -4.9 14 6.7 24 6.7 24 -6.6 10 8.2 56 -2.4 24 ----3.7 Apr-05
MSCI EAFE -7.1 62 3.0 79 3.0 79 -13.8 70 6.0 87 -6.1 81 5.1 87 2.1 Apr-05
Over/Under 2.2 3.7 3.7 7.2 2.2 3.7 1.6
eA All EAFE Equity Gross
Median -6.6 4.9 4.9 -12.3 8.7 -4.5 6.9 4.0 Apr-05
International Emerging
Composite 6,013,108 2.9 3.0 -5.9 11 6.6 26 6.6 26 -11.7 26 11.4 49 -0.6 65 ----11.2 Apr-05
MSCI Emerging Markets -8.9 55 3.9 63 3.9 63 -15.9 59 9.8 64 -0.1 56 14.1 75 10.3 Apr-05
Over/Under 3.0 2.7 2.7 4.2 1.6 -0.5 0.9
eA Emg Mkts Equity Gross
Median -8.5 4.8 4.8 -15.5 11.2 0.3 15.4 11.4 Apr-05
37
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank
Fiscal
YTD
(%)
Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Morgan Stanley Inst Emg Mkt
Port.6,013,108 2.9 3.0 -5.9 11 6.6 26 6.6 26 -11.7 26 11.4 49 -0.6 65 ----11.2 Apr-05
MSCI Emerging Markets -8.9 55 3.9 63 3.9 63 -15.9 59 9.8 64 -0.1 56 14.1 75 10.3 Apr-05
Over/Under 3.0 2.7 2.7 4.2 1.6 -0.5 0.9
eA Emg Mkts Equity Gross
Median -8.5 4.8 4.8 -15.5 11.2 0.3 15.4 11.4 Apr-05
Fixed Income Composite 70,607,323 33.6 33.0 1.3 69 5.3 22 5.3 22 7.0 50 9.5 35 7.7 30 ------Jun-03
Barclays Int Govt/Credit 1.5 60 2.1 74 2.1 74 5.4 70 5.8 74 6.0 69 5.1 72 4.4 Jun-03
Over/Under -0.2 3.2 3.2 1.6 3.7 1.7
eA All US Fixed Inc Gross
Median 1.7 3.2 3.2 6.9 7.8 6.9 5.9 5.3 Jun-03
Income Research 27,418,629 13.0 13.0 1.8 48 4.0 37 4.0 37 8.6 26 8.2 46 7.7 31 6.3 37 6.4 Jul-01
Barclays Int Govt/Credit 1.5 60 2.1 74 2.1 74 5.4 70 5.8 74 6.0 69 5.1 72 5.4 Jul-01
Over/Under 0.3 1.9 1.9 3.2 2.4 1.7 1.2 1.0
eA All US Fixed Inc Gross
Median 1.7 3.2 3.2 6.9 7.8 6.9 5.9 6.1 Jul-01
Penn Capital 10,936,907 5.2 5.0 1.4 69 6.6 63 6.6 63 6.4 71 14.3 64 7.2 73 ----7.4 Aug-05
BofA Merrill Lynch High Yield
Cash Pay 1.9 32 7.0 48 7.0 48 6.6 64 16.0 37 8.1 44 9.8 42 7.9 Aug-05
Over/Under -0.5 -0.4 -0.4 -0.2 -1.7 -0.9 -0.5
eA US High Yield Fixed Inc
Gross Median 1.6 6.9 6.9 7.1 15.3 7.9 9.6 7.9 Aug-05
Loomis Credit Asset Fund 4,264,398 2.0 2.0 1.5 89 6.8 9 6.8 9 7.5 82 ------------8.9 Mar-10
50% BC Credit/ 25% S&P-
LSTA/ 25% BC HY 1.9 78 5.2 62 5.2 62 7.5 82 11.7 54 7.2 81 7.2 51 8.4 Mar-10
Over/Under -0.4 1.6 1.6 0.0 0.5
eA US Corporate Fixed Inc
Gross Median 2.6 5.4 5.4 9.7 11.9 8.4 7.2 9.3 Mar-10
Brandywine Global Bond 17,337,395 8.2 8.0 2.0 11 5.4 27 5.4 27 8.7 11 12.8 16 9.4 12 ----7.5 Jan-05
Citigroup WGBI 0.9 53 0.4 97 0.4 97 2.7 67 5.4 92 7.3 51 6.8 79 4.6 Jan-05
Over/Under 1.1 5.0 5.0 6.0 7.4 2.1 2.9
eA All Global Fixed Inc Gross
Median 1.0 3.2 3.2 4.2 8.2 7.4 7.5 5.5 Jan-05
38
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank
Fiscal
YTD
(%)
Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Pictet Emerging Local Curr.
Debt Fd 10,649,994 5.1 5.0 -1.2 73 7.2 60 7.2 60 ----------------8.1 Oct-11
JP Morgan GBI EM Global
Diversified -1.2 73 7.0 70 7.0 70 -1.7 78 10.8 89 8.8 64 ----7.5 Oct-11
Over/Under 0.0 0.2 0.2 0.6
eA All Emg Mkts Fixed Inc
Gross Median 0.5 7.4 7.4 4.4 14.0 9.2 13.2 11.8 Oct-11
Tactical Asset Allocation
Composite 20,791,412 9.9 10.0 -1.6 47 4.6 55 4.6 55 1.9 39 10.3 48 3.8 33 ------Jun-03
S&P 500 -2.8 60 9.5 4 9.5 4 5.4 17 16.4 7 0.2 82 5.3 87 6.0 Jun-03
Over/Under 1.2 -4.9 -4.9 -3.5 -6.1 3.6
eA Global TAA Gross Median -1.8 4.8 4.8 -0.5 10.1 2.3 9.3 8.0 Jun-03
GMO Asset Allocation Fund 20,791,412 9.9 10.0 -1.6 47 4.6 55 4.6 55 1.9 39 10.3 48 3.8 33 ----5.5 Sep-06
65% MSCI World (Net) /35%
BC Agg -2.5 58 4.9 50 4.9 50 -0.3 49 10.0 55 0.9 74 5.7 86 3.0 Sep-06
Over/Under 0.9 -0.3 -0.3 2.2 0.3 2.9 2.5
eA Global TAA Gross Median -1.8 4.8 4.8 -0.5 10.1 2.3 9.3 4.3 Sep-06
Alternative Assets
Pyramis Mkt Neutral 10,032,861 4.8 5.0 2.3 13 0.4 59 0.4 59 4.7 25 -0.7 86 2.3 57 ----4.3 Aug-05
91 Day T-Bill + 3% 0.8 31 1.5 51 1.5 51 3.0 30 3.1 61 3.7 45 4.8 53 4.9 Aug-05
Over/Under 1.5 -1.1 -1.1 1.7 -3.8 -1.4 -0.6
eA|HFN Market Neutral
Equity Net Median -0.6 1.6 1.6 0.5 3.9 3.0 5.6 5.3 Aug-05
PIMCO All Asset 8,786,944 4.2 4.0 -0.3 20 6.1 29 6.1 29 4.0 24 12.3 37 7.1 10 ----7.0 Jan-06
CPI + 5% 1.0 9 3.2 67 3.2 67 6.8 15 7.2 88 7.1 10 7.5 81 7.3 Jan-06
Over/Under -1.3 2.9 2.9 -2.8 5.1 0.0 -0.3
eA Global TAA Gross Median -1.8 4.8 4.8 -0.5 10.1 2.3 9.3 4.9 Jan-06
UBS Realty - Trumbull Property
Fund 9,385,076 4.5 5.0 2.0 --5.1 --5.1 --10.8 --8.6 --0.8 ------3.6 Jul-06
NCREIF ODCE 2.5 --5.4 --5.4 --12.4 --8.4 ---0.9 --6.6 --2.0 Jul-06
Over/Under -0.5 -0.3 -0.3 -1.6 0.2 1.7 1.6
39
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
June 30, 2012
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank
Fiscal
YTD
(%)
Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Wellington Diver. Inflation 8,692,985 4.1 5.0 -5.4 ---0.5 ---0.5 ---10.9 --------------3.6 Mar-10
Wellington DIH Index -5.6 --2.0 --2.0 ---3.9 --8.4 ---1.0 --5.7 --5.4 Mar-10
Over/Under 0.2 -2.5 -2.5 -7.0 -1.8
Cash 1,114,689 0.5 0.0 0.0 94 0.0 96 0.0 96 0.1 99 0.1 99 1.2 94 1.8 99 1.9 Jun-03
BofA Merrill Lynch 91-Day T-
Bill 0.0 90 0.0 98 0.0 98 0.1 99 0.1 99 1.0 98 1.9 98 1.9 Jun-03
Over/Under 0.0 0.0 0.0 0.0 0.0 0.2 -0.1 0.0
eA US Cash Management
Gross Median 0.1 0.1 0.1 0.3 0.3 1.5 2.2 2.2 Jun-03
XXXXX
40
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary
41
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
42
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
43
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk Statistics vs. Peer Universe
Composite vs. ICC Public DB
3 Years
44
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk Statistics vs. Peer Universe
Composite vs. ICC Public DB
5 Years
45
3 Years Ending June 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank Anlzd AJ Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank Tracking
Error Rank
_
Composite 100.00% 10.99% 61 9.54% 41 0.63% 54 1.14 55 1.74 71 0.86% 1
Composite Allocation Index --10.02%82 9.19%35 0.00%73 1.08 74 1.80 69 0.00%1
Large Cap Equity Composite 20.66% 14.87% 59 16.47% 44 -1.81% 56 0.90 56 1.49 63 1.67% 1
S&P 500 --16.40%34 16.11%35 0.00%33 1.01 31 1.83 27 0.00%1
Small Cap Equity Composite 5.48% 20.37% 33 18.63% 13 5.48% 19 1.09 17 2.09 16 5.06% 48
Russell 2000 --17.80%67 21.87%63 0.00%72 0.81 71 1.48 64 0.00%1
International Equity Composite 9.48% 8.22% 56 18.40% 13 2.01% 47 0.44 47 0.69 46 4.09% 43
S&P EPAC LargeMidCap --7.02%75 20.48%59 0.00%77 0.34 76 0.53 74 0.00%1
International Emerging Composite 2.86% 11.35% 49 21.62% 21 2.33% 43 0.52 43 0.83 39 4.60% 52
MSCI Emerging Markets --9.78%64 22.97%50 0.00%66 0.42 65 0.67 60 0.00%1
Fixed Income Composite 33.57% 9.47% 35 4.20% 72 4.39% 25 2.23 68 5.46 34 3.58% 75
Barclays Int Govt/Credit --5.81%74 2.55%34 0.00%95 2.25 68 3.31 78 0.00%1
Tactical Asset Allocation
Composite 9.88% 10.32% 48 9.82% 44 0.94% 48 1.04 45 1.57 53 7.76% 37
S&P 500 --16.40%34 16.11%35 0.00%33 1.01 31 1.83 27 0.00%1
XXXXX
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Composite
46
5 Years Ending June 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank Anlzd AJ Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank Tracking
Error Rank
_
Composite 100.00% 4.00% 11 10.99% 28 0.82% 13 0.30 14 0.41 13 1.23% 1
Composite Allocation Index --3.13%17 10.72%23 0.00%17 0.23 17 0.30 17 0.00%1
Large Cap Equity Composite 20.66% 1.12% 48 18.91% 38 0.89% 48 0.02 47 0.03 47 2.37% 2
S&P 500 --0.22%64 19.21%45 0.00%63 -0.03 63 -0.04 63 0.00%1
Small Cap Equity Composite 5.48% 4.22% 20 20.84% 6 3.65% 20 0.17 16 0.26 16 6.35% 41
Russell 2000 --0.54%67 24.90%62 0.00%67 -0.01 67 -0.01 67 0.00%1
International Equity Composite 9.48% -2.41% 24 20.31% 6 1.75% 32 -0.15 28 -0.23 31 5.79% 57
S&P EPAC LargeMidCap ---5.13%63 23.81%51 0.00%62 -0.25 65 -0.35 66 0.00%1
International Emerging Composite 2.86% -0.56% 65 29.82% 49 -0.48% 65 -0.04 65 -0.06 65 4.79% 49
MSCI Emerging Markets ---0.09%56 29.93%51 0.00%56 -0.03 56 -0.04 56 0.00%1
Fixed Income Composite 33.57% 7.74% 30 5.30% 69 1.99% 30 1.32 62 1.55 66 4.25% 68
Barclays Int Govt/Credit --6.01%69 3.33%33 0.00%84 1.59 49 2.52 37 0.00%1
Tactical Asset Allocation
Composite 9.88% 3.77% 33 10.97% 23 3.31% 32 0.28 33 0.42 27 9.72% 45
S&P 500 --0.22%64 19.21%45 0.00%63 -0.03 63 -0.04 63 0.00%1
XXXXX
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Composite
47
Asset Allocation48
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation vs. Policy Targets
Asset Allocation vs. Target
Current Policy Current Difference
*Policy Range Within
Range
_
Large Cap Equity $43,446,411 20.0%20.7%0.7%16.0% - 24.0%Yes
Small/Mid Cap Equity $11,529,519 5.0%5.5%0.5%3.0% - 7.0%Yes
Equity - International $19,942,898 10.0%9.5%-0.5%8.0% - 12.0%Yes
Equity - Emerging $6,013,108 3.0%2.9%-0.1%2.0% - 5.0%Yes
Core Bonds $27,418,629 13.0%13.0%0.0%10.0% - 20.0%Yes
High Yield Corporate Bonds $10,936,907 5.0%5.2%0.2%3.0% - 7.0%Yes
Fixed Income - Emerging $10,649,994 5.0%5.1%0.1%3.0% - 7.0%Yes
Global Bonds $17,337,395 8.0%8.2%0.2%6.0% - 10.0%Yes
Balanced - GAA $20,791,412 10.0%9.9%-0.1%8.0% - 12.0%Yes
Opportunistic Credit $4,264,398 2.0%2.0%0.0%0.0% - 5.0%Yes
Absolute Return $8,786,944 4.0%4.2%0.2%3.0% - 7.0%Yes
Market Neutral $10,032,861 5.0%4.8%-0.2%3.0% - 7.0%Yes
Real Estate $9,385,076 5.0%4.5%-0.5%3.0% - 7.0%Yes
Real Assets $8,692,985 5.0%4.1%-0.9%3.0% - 7.0%Yes
Cash $1,114,689 --0.5%0.5%--No
Total $210,343,227 100.0%100.0%
XXXXX
*Difference between Policy and Current Allocation
49
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation History
50
Manager Pages51
Manager Executive SummaryJune 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension Plan52
Manager Executive SummaryJune 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension Plan53
Manager Executive SummaryJune 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension Plan54
Buford, Dickson, Harper & Sparrow•Gerald Sparrow is rejoining BDH&S as Chief Investment Officer. He will bring his asset base of approximately $45 million with him.•Gerald Sparrow will purchase ownership stake in firm. Other owners include Reginald Dickson, Tad Buford, Alex Ramos, David Harper, and Bill Young.•Investment Committee going forward will consist of Gerald Sparrow, Reginald Dickson, Alex Ramos, and Robert Gay.Morgan Stanley – International Equity•Walter Riddell, Managing Director, retired. He was a technology sector analyst. Bruno Paulson who has been co-covering the sector will assume full sector responsibility.•Two new analysts have been hired, Yiwen Li and Alex Gabriele, who will support the portfolio managers as generalists.Manager UpdatesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201255
TimesSquare•Changes in the Russell 2000 Growth benchmark have caused TimesSquare to modify their purchase criteria with respect to market capitalization for the Small Cap Growth Fund.•Each year, Russell reconstitutes its U.S. indexes. For the Russell 2000 Growth Index, over time a growing portion has been represented by securities with market capitalizations greater than $1.5 billion. For example, at present approximately 48% of the index weight are securities above that level (and after the reconstitution in June, it is estimated that 44% of the index will remain above that level).•TimesSquare believes that given the changes in the market capitalizations within the index, a change in the target capitalization range for the purchase of securities was warranted. Currently, the purchase capitalization range is $50 million–$1.5 billion. Beginning July 2012, the capitalization range at time of purchase will be $50 million–$2 billion.Manager UpdatesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201256
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
57
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
*The 3 Year Style Map is a returns-based graph
58
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
Sector Allocation as of 06/30/2012
BASIC MATERIALS 1.4%
COMMUNICATION SERVICES 4.5%
CONSUMER CYCLICAL 5.3%
CONSUMER DEFENSIVE 13.1%
ENERGY 12.0%
FINANCIAL SERVICES 18.5%
HEALTHCARE 14.3%
INDUSTRIALS 10.5%
REAL ESTATE 0.1%
TECHNOLOGY 12.0%
Portfolio Fund Information as of 06/30/2012
Ticker VWNAX
Morningstar Category Large Value
Average Market Cap ($mm)48,039.6
Net Assets ($mm)17,633.7
% Assets in Top 10
Holdings 25.5
Total Number of Holdings 279
Manager Name James P. Barrow
Manager Tenure 27
Expense Ratio 0.3%
Closed to New Investors No
Top Holdings as of 06/30/2012
PFIZER INC 3.3%
PHILIP MORRIS INTERNATIONAL,
INC.3.1%
WELLS FARGO & CO 2.7%
INTERNATIONAL BUSINESS
MACHINES CORP 2.6%
AMERICAN EXPRESS CO 2.5%
MICROSOFT CORPORATION 2.4%
JOHNSON & JOHNSON 2.3%
CONOCOPHILLIPS 2.3%
RAYTHEON COMPANY 2.3%
JPMORGAN CHASE & CO 2.1%
Fund Characteristics as of 06/30/2012
Sharpe Ratio (3 Year)
Average Market Cap ($mm)48,039.6
Price/Earnings 11.9
Price/Book 1.6
Price/Sales 1.1
Price/Cash Flow 5.6
Dividend Yield 2.9
Number of Equity Holdings 273
R-Squared (3 Year)
Alpha (3 Year)
59
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
60
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
61
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.7% -1.6% 0.1% 0.8% -22.6% -6.2% 5.1% 9.8%
Materials 0.0% -- 0.0% -- -- -3.5% 0.0% 5.3%
Industrials -0.2% -0.1% -0.1% 0.0% -7.2% -6.3% 15.1% 12.5%
Cons. Disc.0.1% 0.1% -0.3% 0.2% -4.1% -5.1% 33.3% 14.6%
Cons. Staples -3.6% -4.9% -0.3% 1.7% -36.6% 4.2% 7.9% 12.0%
Health Care -0.6% -0.6% 0.1% -0.1% -4.3% 1.8% 12.3% 10.2%
Financials -0.1% -- -0.1% -- -- -0.4% 0.0% 4.3%
Info. Tech 0.6% 0.6% 0.1% -0.1% -4.8% -6.6% 26.3% 30.6%
Telecomm.-0.1% -- -0.1% -- -- 7.1% 0.0% 0.8%
Utilities 0.0% -- 0.0% -- -- -6.1% 0.0% 0.1%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -4.7%=-6.5%+-0.5%+2.4% -8.3% -3.6% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
GREEN MNT.COF.ROASTERS -1.7%-53.5%
BRF-BRASIL FOODS SPN.ADR 1:1 -1.0%-23.8%
ADV.AUTO PARTS -0.9%-22.9%
COACH -0.9%-24.0%
SM ENERGY -0.8%-30.6%
CUMMINS -0.8%-18.9%
CELGENE -0.7%-17.2%
O REILLY AUTOMOTIVE -0.3%-8.3%
KOHL'S -0.3%-8.4%
DANAHER -0.3%-7.0%
_
Top Positive Contributors
Relative
Contribution
%Return %
PETSMART 0.8%19.4%
HUNT JB TRANSPORT SVS.0.4%9.9%
TJX COS.0.3%8.4%
DOLLAR TREE 0.3%13.9%
MCKESSON 0.2%7.1%
APPLE 0.1%-2.6%
NETEASE ADR 1:25 0.1%1.3%
MASTERCARD 0.1%2.3%
INTERNATIONAL BUS.MCHS.0.0%-5.9%
STRYKER 0.0%-0.3%
_
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
Characteristics
Portfolio
Russell
1000
Growth
Number of Holdings 32 572
Weighted Avg. Market Cap. ($B)65.9 106.4
Median Market Cap. ($B)22.1 5.8
Price To Earnings 20.3 20.1
Price To Book 7.0 5.4
Price To Sales 2.9 2.9
Return on Equity (%)38.9 29.3
Yield (%)0.8 1.6
Beta 0.9 1.0
R-Squared 0.9 1.0
62
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
63
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
*The 3 Year Style Map is a returns-based graph
64
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.4% -0.6% 0.1% 0.2% -12.7% -6.2% 7.3% 9.8%
Materials 0.2% 0.2% 0.0% 0.0% 0.1% -3.5% 6.5% 5.3%
Industrials 0.4% 0.4% 0.1% -0.1% -3.4% -6.3% 8.5% 12.5%
Cons. Disc.-1.3% -0.7% -0.1% -0.4% -9.9% -5.1% 23.7% 14.6%
Cons. Staples -0.8% -0.7% -0.2% 0.1% -1.8% 4.2% 9.6% 12.0%
Health Care -0.6% -0.6% -0.3% 0.3% -3.9% 1.8% 5.0% 10.2%
Financials -0.2% -0.2% 0.0% 0.0% -4.0% -0.4% 3.6% 4.3%
Info. Tech -0.2% -0.1% -0.2% 0.0% -6.8% -6.6% 35.8% 30.6%
Telecomm.-0.1% -- -0.1% -- -- 7.1% 0.0% 0.8%
Utilities 0.0% -- 0.0% -- -- -6.1% 0.0% 0.1%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -2.9%=-2.3%+-0.7%+0.1% -6.5% -3.6% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
COGNIZANT TECH.SLTN.'A'-0.6%-22.0%
NATIONAL OILWELL VARCO -0.6%-18.8%
NIKE 'B'-0.4%-18.8%
LAS VEGAS SANDS -0.4%-24.0%
QUALCOMM -0.4%-17.8%
WYNN RESORTS -0.3%-16.5%
BORGWARNER -0.3%-22.2%
ESTEE LAUDER COS.'A'-0.3%-12.6%
VMWARE -0.2%-19.0%
STARBUCKS -0.2%-4.3%
_
Top Positive Contributors
Relative
Contribution
%Return %
MONSANTO 0.1%4.2%
VISA 'A'0.1%5.0%
MASTERCARD 0.1%2.3%
STERICYCLE 0.0%9.6%
BEAM 0.0%7.1%
COLGATE-PALM.0.0%7.1%
BOEING 0.0%0.5%
UNDER ARMOUR 'A'0.0%0.5%
ORACLE 0.0%2.1%
UNITEDHEALTH GP.0.0%-0.4%
_
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
Characteristics
Portfolio
Russell
1000
Growth
Number of Holdings 49 572
Weighted Avg. Market Cap. ($B)97.5 106.4
Median Market Cap. ($B)23.9 5.8
Price To Earnings 20.1 20.1
Price To Book 5.0 5.4
Price To Sales 3.5 2.9
Return on Equity (%)27.9 29.3
Yield (%)1.2 1.6
Beta 1.1 1.0
R-Squared 1.0 1.0
65
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
66
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
67
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.4% -0.1% -0.2% -0.1% -12.1% -10.3% 9.4% 6.0%
Materials 0.5% 0.4% -0.1% 0.2% -0.3% -9.1% 6.7% 4.8%
Industrials -0.4% -0.3% 0.0% 0.0% -11.3% -8.2% 11.5% 10.8%
Cons. Disc.-0.1% -0.2% 0.1% 0.0% -8.1% -5.7% 8.4% 11.9%
Cons. Staples -0.2% -0.1% -0.2% 0.1% -0.7% 0.9% 3.4% 6.7%
Health Care -0.1% 0.0% -0.1% 0.0% -5.9% -6.5% 11.1% 6.2%
Financials -0.3% -0.3% 0.0% 0.0% -2.9% -2.0% 29.9% 32.4%
Info. Tech -0.2% -0.1% -0.1% 0.0% -12.0% -11.3% 9.5% 8.0%
Telecomm.0.0% -- 0.0% -- -- -10.3% 0.0% 0.7%
Utilities -0.1% 0.2% -0.3% 0.0% 7.8% 6.3% 9.9% 12.6%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -1.3%=-0.5%+-1.0%+0.2% -5.1% -3.8% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
NAVISTAR INTL.-0.5%-29.9%
KENNAMETAL -0.5%-25.3%
GENWORTH FINANCIAL -0.5%-32.0%
ON SEMICON.-0.5%-21.2%
HARMAN INTL.INDS.-0.4%-15.3%
WHITING PTL.-0.3%-24.3%
STEEL DYNAMICS -0.3%-18.7%
WMS INDUSTRIES -0.3%-15.9%
ATWOOD OCEANICS -0.3%-15.7%
OIL STS.INTL.-0.3%-15.2%
_
Top Positive Contributors
Relative
Contribution
%Return %
ALLIED WORLD ASR.CO.HDG.0.4%15.7%
VALSPAR 0.2%9.1%
QUESTAR 0.1%9.2%
WESTAR EN.0.1%8.4%
UGI 0.1%9.0%
XCEL ENERGY 0.1%8.3%
CENTERPOINT EN.0.1%5.9%
BOSTON PROPERTIES 0.1%3.8%
HORMEL FOODS 0.1%3.6%
HEALTH CARE REIT 0.1%7.5%
_
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
Characteristics
Portfolio
Russell
MidCap
Value
Number of Holdings 53 560
Weighted Avg. Market Cap. ($B)6.7 7.7
Median Market Cap. ($B)5.5 3.7
Price To Earnings 15.4 16.0
Price To Book 1.9 1.6
Price To Sales 1.8 1.7
Return on Equity (%)13.8 9.8
Yield (%)1.7 2.1
Beta 1.0 1.0
R-Squared 1.0 1.0
68
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
69
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
70
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.6% -0.6% 0.0% 0.0% -24.5% -16.9% 7.9% 8.3%
Materials 0.0% -- 0.0% -- -- -4.2% 0.0% 4.2%
Industrials 0.5% 0.5% -0.2% 0.2% -3.2% -6.1% 24.1% 16.5%
Cons. Disc.-0.1% -0.4% 0.1% 0.2% -7.8% -5.3% 8.8% 15.5%
Cons. Staples 0.0% 0.2% -0.1% -0.1% 7.9% 3.1% 2.7% 4.1%
Health Care 0.1% 1.0% -0.6% -0.3% 10.4% 5.2% 13.2% 20.0%
Financials -0.3% -0.3% 0.0% 0.0% -4.6% -0.6% 6.5% 7.6%
Info. Tech 0.9% 0.8% -0.3% 0.4% -3.0% -6.7% 34.0% 22.7%
Telecomm.0.0% 0.0% 0.0% 0.0% -1.6% -3.0% 1.7% 1.0%
Utilities 0.0% -- 0.0% -- -- -3.6% 0.0% 0.1%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 0.6%=1.2%+-1.1%+0.5% -3.2% -3.8% 98.8% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
BOTTOMLINE TECHS.-0.6%-35.4%
KEY ENERGY SVS.-0.5%-50.8%
SWIFT ENERGY -0.5%-35.9%
VOLTERRA SEMICON.-0.3%-31.9%
INFORMATICA -0.3%-19.9%
VERA BRADLEY -0.3%-30.2%
ALBANY INTL.'A'-0.2%-17.8%
MONRO MUFFLER BRAKE -0.2%-19.6%
KENNAMETAL -0.2%-25.3%
WABCO HOLDINGS -0.2%-12.5%
_
Top Positive Contributors
Relative
Contribution
%Return %
CATALYST HEALTH SLTN.0.7%46.6%
ULTIMATE SOFTWARE GP.0.4%21.4%
VITAMIN SHOPPE 0.3%24.2%
COSTAR GP.0.3%17.6%
PRTF.REC.ASSOCS.0.3%27.2%
IPC THE HOSPITALIST 0.2%22.8%
UTD.NTRL.FOODS 0.2%17.6%
TRANSDIGM GROUP 0.2%16.0%
MAXIMUS 0.2%27.5%
ALLEGIANT TRAVEL 0.2%27.9%
_
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
Characteristics
Portfolio
Russell
2000
Growth
Number of Holdings 112 1,135
Weighted Avg. Market Cap. ($B)1.7 1.4
Median Market Cap. ($B)1.2 0.6
Price To Earnings 19.8 17.0
Price To Book 3.9 4.3
Price To Sales 3.0 3.0
Return on Equity (%)15.2 6.7
Yield (%)0.6 0.6
Beta 0.8 1.0
R-Squared 1.0 1.0
71
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
72
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
73
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.4% -0.5% 0.0% 0.1% -13.8% -8.8% 8.1% 8.5%
Materials 0.1% 0.0% 0.1% -0.1% -13.9% -13.0% 8.3% 10.2%
Industrials 0.1% 0.0% 0.1% 0.0% -9.3% -9.3% 9.1% 12.7%
Cons. Disc.0.3% 0.0% 0.1% 0.2% -7.4% -8.9% 6.3% 10.8%
Cons. Staples 0.5% 0.0% 0.9% -0.3% -1.4% -1.3% 24.6% 11.2%
Health Care 0.2% 0.2% 0.1% -0.1% 2.5% 1.0% 10.1% 9.2%
Financials 0.1% -0.1% 0.0% 0.2% -7.2% -7.5% 18.7% 22.6%
Info. Tech 0.3% 0.2% -0.3% 0.3% -7.1% -14.2% 8.1% 4.8%
Telecomm.0.1% 0.1% 0.0% 0.1% 2.7% -0.2% 5.2% 5.4%
Utilities 0.1% 0.3% -0.1% -0.1% 2.7% -4.7% 1.5% 4.3%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 1.5%=0.3%+0.9%+0.3% -5.4% -6.9% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
SANTOS -0.4%-26.0%
VALLOUREC -0.3%-32.5%
AKZO NOBEL -0.3%-18.0%
TOKYO ELECTRON -0.3%-19.5%
RECKITT BENCKISER GROUP -0.2%-6.5%
INPEX -0.2%-18.0%
XSTRATA -0.2%-25.5%
IMPERIAL TOBACCO GP.-0.2%-4.9%
RESOLUTION -0.2%-22.0%
MITSUBISHI -0.2%-14.3%
_
Top Positive Contributors
Relative
Contribution
%Return %
DR PEPPER SNAPPLE GROUP 0.1%9.7%
LAWSON 0.1%10.5%
BAYER 0.1%5.2%
ASTELLAS PHARMA 0.1%5.1%
VODAFONE GROUP 0.0%6.1%
KEYENCE 0.0%4.1%
SANOFI 0.0%2.4%
SSE 0.0%2.7%
BRITISH AMERICAN TOBACCO 0.0%1.0%
SINGAPORE TELECOM 0.0%4.0%
_
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
Characteristics
Portfolio MSCI EAFE
Number of Holdings 75 919
Weighted Avg. Market Cap. ($B)56.0 47.3
Median Market Cap. ($B)20.5 6.4
Price To Earnings 14.6 13.8
Price To Book 2.5 2.4
Price To Sales 1.6 1.6
Return on Equity (%)18.2 14.5
Yield (%)3.5 3.7
Beta 0.9 1.0
R-Squared 1.0 1.0
74
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
75
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
76
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
Sector Allocation as of 06/30/2012
BASIC MATERIALS 6.8%
COMMUNICATION
SERVICES 5.1%
CONSUMER CYCLICAL 9.5%
CONSUMER DEFENSIVE 17.2%
ENERGY 7.7%
FINANCIAL SERVICES 16.6%
HEALTHCARE 2.7%
INDUSTRIALS 5.1%
REAL ESTATE 3.8%
TECHNOLOGY 15.4%
UTILITIES 0.5%
Top Regions as of 06/30/2012
ASIA EMERGING 33.4%
ASIA DEVELOPED 22.8%
LATIN AMERICA 15.6%
EUROPE EMERGING 10.7%
AFRICA 4.0%
Portfolio Fund Information as of 06/30/2012
Ticker MGEMX
Morningstar Category Diversified Emerging
Mkts
Average Market Cap ($mm)15,123.5
Net Assets ($mm)1,200.2
% Assets in Top 10
Holdings 18.8
Total Number of Holdings 162
Manager Name Paul Psaila
Manager Tenure 18
Expense Ratio 1.3%
Closed to New Investors No
Top Holdings as of 06/30/2012
SAMSUNG ELECTRONICS
CO LTD 4.2%
HYUNDAI MOTOR CO LTD 1.9%
TAIWAN SEMICONDUCTOR
MANUFACTURING 1.9%
TENCENT HOLDINGS LTD.1.7%
TURKIYE GARANTI BANKASI
A.S.1.7%
LUKOIL OIL COMPANY JSC
ADR 1.7%
COMPANHIA DE BEBIDAS
DAS AMERICAS AMBEV ADR 1.6%
WAL - MART DE MEXICO,
S.A.B. DE C.V. CLASS V 1.5%
FOMENTO ECONOMICO
MEXICANO SAB DE CV ADR 1.5%
Fund Characteristics as of 06/30/2012
Sharpe Ratio (3 Year)0.5
Average Market Cap
($mm)15,123.5
Price/Earnings 12.9
Price/Book 1.9
Price/Sales 1.1
Price/Cash Flow 6.4
Dividend Yield 2.0
Number of Equity Holdings 148
R-Squared (3 Year)1.0
Alpha (3 Year)0.2%
Top Countries as of 06/30/2012
South Korea 14.6%
China 9.4%
India 7.2%
Taiwan 6.8%
Brazil 6.7%
Philippines 5.2%
Indonesia 5.1%
Mexico 4.6%
Turkey 4.1%
77
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
78
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
79
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
80
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
81
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
82
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Loomis Credit Asset Fund
83
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Loomis Credit Asset Fund
*The 2 Year Style Map is a returns-based graph
84
June 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Brandywine Global Bond
85
June 30, 2012
*The 3 Year Style Map is a returns-based graph
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Brandywine Global Bond
86
Pictet JPM GBI EMNumber of Issues121172Average Coupon(%)6.86.9Duration(Yrs)4.44.7Average QualityABBB+Yield to Maturity(%)4.56.2CharacteristicsCountry AllocationPictet - EMD Local Currency Benchmark is JPM GBI-EM Global DiversifiedThe Metropolitan St. Louis Sewer District Employees’ Pension PlanCredit Distribution•Source: PictetJune 30, 201287
GMO (Global Asset Allocation)The Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201288
Market Neutral - PyramisThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201289
Absolute Return – PIMCO All Asset FundPIMCO All Asset Fund TotalFund Number736Fund NameAll Asset FundTotal Fund Net Assets ($US MM) 27,997.89/30/2010 12/31/2010 3/31/2011 6/30/2011 9/30/2011 12/31/2011 3/31/2012 4/30/2012 5/31/2012 6/30/2012Short-Term Strategies: 5.1% 0.7% 0.1% 0.3% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1%Low Duration Fund 2.6% 0.7% 0.0% 0.2% 0.0% 0.0% 0.0%Short Term Fund 2.5% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0%US Core and Long Maturity Bond Strategies: 12.4% 9.8% 8.0% 13.3% 8.4% 8.2% 6.3% 6.3% 7.2% 5.2%GNMA Fund -------Investment Grade Corporate Bond Fund5.7% 5.3% 4.8% 4.1% 5.0% 5.0% 3.2%Long Duration Total Return Fund 0.0% 0.0% 0.0% 1.3% 0.1% 0.1% 0.1%Long Term Credit Fund6.1% 4.2% 3.1% 2.8% 3.1% 3.0% 2.8%Long-Term US Government Fund0.1% 0.1% 0.1% 2.1% 0.1% 0.1% 0.0%Mortgage-Backed Securities Fund-------Total Return Fund0.6% 0.2% 0.1% 2.9% 0.0% 0.0% 0.2%EM and Global Bond Strategies:11.8% 12.0% 12.1% 13.1% 19.4% 24.1% 28.3% 29.1% 30.6% 31.0%Diversified Income Fund3.5% 3.6% 4.2% 3.9% 4.2% 4.4% 4.1%Emerging Local Bond Fund2.0% 1.5% 0.8% 1.5% 4.1% 5.7% 7.0%Emerging Markets Bond Fund0.6% 0.6% 0.2% 0.3% 1.5% 2.7% 3.8%Emerging Markets Currency3.4% 3.0% 3.9% 4.6% 6.5% 7.1% 7.7%Foreign Bond Fund (Unhedged)0.1% 0.8% 0.7% 0.7% 0.7% 1.5% 2.5%Global Advantage Strategy Bond Fund2.2% 2.6% 2.4% 2.2% 2.4% 2.7% 3.2%Global Bond Fund (Unhedged)-------Credit Strategies:18.9% 23.5% 27.8% 27.0% 28.9% 28.9% 28.2% 28.9% 29.9% 29.8%Convertible Fund3.6% 3.7% 4.2% 3.4% 3.5% 3.4% 3.2%Floating Income Fund5.3% 6.1% 6.6% 7.6% 7.7% 7.4% 6.9%High Yield Fund2.3% 3.9% 5.7% 4.6% 5.9% 6.5% 6.8%High Yield Spectrum Fund0.4% 0.8% 1.4% 1.7% 1.6% 1.6% 1.9%Income Fund7.4% 8.9% 9.8% 8.9% 9.4% 9.1% 8.6%Senior Floating Rate Fund--- 0.8% 0.9% 0.8% 0.7%Inflation Related Strategies:12.0% 18.7% 22.9% 15.3% 17.3% 17.6% 17.0% 15.4% 13.2% 12.6%CommoditiesPLUS™ Strategy Fund1.8% 3.1% 5.1% 2.6% 3.7% 4.5% 6.6%CommodityRealReturn Strategy Fund®1.9% 4.2% 5.2% 1.6% 3.8% 4.5% 2.5%Real Return Asset Fund6.0% 8.2% 8.1% 7.8% 7.3% 5.3% 4.5%Real Return Fund1.3% 1.7% 1.5% 1.4% 0.0% 0.0% 0.0%RealEstateRealReturn Strategy Fund1.0% 1.5% 3.1% 1.9% 2.6% 3.3% 3.3%US Equity Strategies:1.0% 1.0% 1.0% 1.0% 4.5% 1.3% 1.0% 1.0% 0.9% 1.0%Fundamental IndexPLUSTM0.1% 0.1% 0.1% 0.1% ---Fundamental IndexPLUSTM TR0.4% 0.4% 0.4% 0.4% 1.8% 0.2% 0.1%Small Cap StocksPLUS® Total Return Fund0.1% 0.1% 0.1% 0.2% 0.4% 0.1% 0.1%Small Company Fundamental IndexPLUS® TR Strategy Fund----0.1%0.6%0.6%StocksPLUS® Fund0.1% 0.1% 0.1% 0.1% 1.5% 0.0% 0.0%StocksPLUS® Total Return Fund0.3% 0.3% 0.3% 0.3% 0.7% 0.3% 0.1%Global Equity Strategies:7.8% 7.5% 9.6% 9.6% 12.3% 13.4% 14.8% 16.2% 15.7% 18.2%EM Fundamental IndexPLUSTM TR Strategy Fund6.0% 5.9% 7.1% 6.4% 8.2% 8.9% 9.4%EqS Dividend Fund-----0.1%0.1%EqS Emerging Markets Fund-- 0.2% 0.3% 0.3% 0.2% 0.2%EqS Pathfinder Fund1.1% 1.1% 1.4% 1.9% 2.3% 2.3% 2.0%International Fundamental IndexPLUS® TR Strategy Fund----0.1%0.8%2.2%Int'l StocksPLUS® TR Strategy Fund (U.S Dollar Hedged) 0.4% 0.3% 0.4% 0.4% 0.4% 0.5% 0.2%Int'l StocksPLUS® TR Strategy Fund (Unhedged)0.3% 0.3% 0.5% 0.6% 1.0% 0.6% 0.6%Alternative Strategies:31.0% 26.8% 18.7% 20.4% 9.0% 6.4% 4.4% 3.1% 2.3% 2.2%Credit Absolute Return Fund----0.3%0.2%0.2%EqS Long/Short Fund-------Fundamental Advantage Total Return Strategy Fund19.7% 15.7% 13.5% 14.5% 5.7% 3.6% 2.0%Unconstrained Bond Fund11.4% 11.0% 5.2% 5.8% 3.1% 2.6% 2.1%100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.00% 100.00% 100.00% 100.00%The Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201290
Real Estate – UBS Trumbull Property FundThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201291
Wellington Diversified Inflation HedgesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanJune 30, 201292
" P a s t p e r f o r m a n c e i s n o g u a r a n t e e o f f u t u r e r e s u l t s . " N E P C r e l i e s o n t h e p l a n s c u s t o d i a n b a n k f o r p o r t f o l i o p r i c i n g , c a l c u l a t i o n o f a c c r u a l s , a n d t r a n s a c t i o n i n f o r m a t i o n . I n f o r m a t i o n o n m a r k e t i n d i c e s a n d s e c u r i t y c h a r a c t e r i s t i c s i s r e c e i v e d f r o m o t h e r s o u r c e s e x t e r n a l t o N E P C . W h i l e N E P C h a s e x e r c i s e d r e a s o n a b l e p r o f e s s i o n a l c a r e i n p r e p a r i n g t h i s r e p o r t , w e c a n n o t g u a r a n t e e t h e a c c u r a c y o f a l l s o u r c e i n f o r m a t i o n c o n t a i n e d w i t h i n . " T h i s r e p o r t i s p r o v i d e d a s a m a n a g e m e n t a i d f o r t h e c l i e n t s i n t e r n a l u s e o n l y . P e r f o r m a n c e c o n t a i n e d i n t h i s r e p o r t d o e s n o t c o n s t i t u t e a r e c o m m e n d a t i o n b y N E P C . " T h i s r e p o r t m a y c o n t a i n c o n f i d e n t i a l o r p r o p r i e t a r y i n f o r m a t i o n a n d m a y n o t b e c o p i e d o r r e d i s t r i b u t e d . I n f o r m a t i o n D i s c l a i m e r 9 3