HomeMy Public PortalAbout2012 3rd Quarter ReportInvestment Performance AnalysisAs of September 30, 2012December 11, 2012Kristin Finney-Cooke, CAIA, Senior ConsultantKristen Jackson, CFA, Sr. AnalystThe Metropolitan St. Louis Sewer District Employees’ Pension Plan
Table of ContentsInvestment Outlook1Market Environment2Executive Summary3Asset Allocation4Manager Pages 5 TabThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 20121
Investment Outlook2
" S t r o n g p e r f o r m a n c e a c r o s s c a p i t a l m a r k e t s i n 2 0 1 2 W i t h f u r t h e r s u p p o r t f o r u p s i d e w i t h r e c e n t s t i m u l a t i o n " T h e r e a r e s t i l l m a j o r r i s k s t h a t w i l l a f f e c t m a r k e t s i n t h e n e a r - t e r m E u r o p e " M a j o r p r o g r e s s o n a p l a n t o w a r d s l o n g - t e r m s u s t a i n a b i l i t y b u t i s i t e n o u g h ? " W i l l p o l i t i c s g e t i n t h e w a y o f p r o g r e s s ? U S F i s c a l C l i f f " W i l l C o n g r e s s b e a b l e t o r e a c h a b a l a n c e d c o m p r o m i s e t o a v o i d a $ 6 0 0 b i l l i o n h i t t o G D P ? " H o w l o n g c a n t h e U S r u n a h i g h d e f i c i t i f c u r r e n t p o l i c i e s a r e e x t e n d e d ? C h i n a " S l o w i n g d o w n & b u t h o w b a d i s 8 % g r o w t h ? I n f l a t i o n " D o Q E 3 a n d E C B b o n d p u r c h a s e s c r e a t e l o n g - t e r m i n f l a t i o n p r e s s u r e s ? " B a l a n c e i s b e s t N o t m a n y o b v i o u s t a c t i c a l o p p o r t u n i t i e s , b u t o b v i o u s m a c r o r i s k s " I t r e m a i n s m o s t a p p r o p r i a t e t o m a i n t a i n b a l a n c e o f r i s k e x p o s u r e s T h e r e a r e s t i l l o p p o r t u n i t i e s i n c e r t a i n p a r t s o f c a p i t a l m a r k e t s " L e s s l i q u i d d i s t r e s s e d a s s e t s a n d s t r u c t u r e d c r e d i t ( b u t t i m e l i n e e x t e n d e d w i t h p a i n b e i n g s p r e a d o u t ) " N o n - U S e q u i t i e s ( b u t w i t h d o w n s i d e r i s k s ) O v e r v i e w S e p t e m b e r 3 0 , 2 0 1 2 3
" G l o b a l e q u i t y m a r k e t s r e b o u n d e d a f t e r a s l o w s e c o n d q u a r t e r T h e F e d e r a l R e s e r v e a n d E C B h e l p e d d r i v e e q u i t y m a r k e t s w i t h s t i m u l a t i v e p o l i c y S e c o n d q u a r t e r l o s s e s d u e i n p a r t t o u n c e r t a i n t y a n d s i g n s o f s l o w i n g g r o w t h w e r e r e v e r s e d b y n e w s o f u n l i m i t e d s u p p o r t f r o m D r a g h i a n d B e r n a n k e " E c o n o m i c e n v i r o n m e n t a n d u n d e r l y i n g g r o w t h p r o s p e c t s s t i l l s l o w i n g U S g r o w t h s l o w b u t s t a b l e " Q 3 G D P r e p o r t e d a t 2 . 0 % " Q 2 G D P o r i g i n a l l y r e p o r t e d a t 2 . 1 % , r e v i s e d t o 1 . 3 % B R I C c o u n t r i e s a l l h a v e p r o j e c t e d 2 0 1 2 G D P g r o w t h b e l o w 1 0 y e a r a v e r a g e s " T r e a s u r y y i e l d s r e m a i n n e a r r e c o r d l o w s " C r e d i t m a r k e t s g e n e r a l l y r o s e , b e n e f i t i n g f r o m n o r m a l i z i n g v a l u a t i o n s a n d g e n e r a l o p t i m i s m a s a r e s u l t o f m o n e t a r y s t i m u l u s " C o m m o d i t i e s r a l l i e d t o p o s t s i g n i f i c a n t g a i n s i n t h e t h i r d q u a r t e r T h i r d Q u a r t e r M a r k e t s S u m m a r y S e p t e m b e r 3 0 , 2 0 1 2 4
Asset Class Performance Through September 30, 2012September 30, 2012Source: Bloomberg2.1%4.0%5.6% 5.6%10.1%12.0%12.1%12.1%14.2%16.4%0%2%4%6%8%10%12%14%16%18%BC Treasury BC Agg Hedge Funds Commodities EAFE Emerg.MarketsHY Bonds EM Loc.BondsUS SmallCapS&P 5005
012345678910Option Adjusted Spread Corporate Spreads Investment GradeHigh YieldCredit Has Rallied Significantly in 2012September 30, 2012Source: BarclaysDown over 250 bps from 2011 peakDown almost 90 bps from 2011 peak6
0%2%4%6%8%10%12%2003 2004 2005 2006 2007 2008 2009 2010 2011 2012Unemployment Rate•Strong asset performance in recent months is in the face of continued economic sluggishness–Stubbornly high unemployment despite September drop–Slowing economic growth•Outperformance across risky asset categories has been driven by stimulation not by underlying fundamentals–Reduces the potential for higher returns in the future Economic IndicatorsSeptember 30, 2012Source: Bloomberg, as of 9/30Source: Bloomberg, as of 9/30‐5‐4‐3‐2‐101232003 2004 2005 2006 2007 2008 2009 2010 2011 2012Chicago Fed National Activity 3‐Mo Mvg. Avg.7
The Fed Has Proven It Can Make The Stock Market Go UpSeptember 30, 2012Source: Bloomberg, as of 9/306007008009001000110012001300140015001600Jan‐08Mar‐08May‐08Jul‐08Sep‐08Nov‐08Jan‐09Mar‐09May‐09Jul‐09Sep‐09Nov‐09Jan‐10Mar‐10May‐10Jul‐10Sep‐10Nov‐10Jan‐11Mar‐11May‐11Jul‐11Sep‐11Nov‐11Jan‐12Mar‐12May‐12Jul‐12Sep‐12S&P 500 and Periods of Fed ActivityQE 1QE 2OperationTwistQE 3/Op. Twist. Ext.8
" P o s i t i v e m o m e n t u m f r o m l e a d e r s h i p c h a n g e s ( I t a l y , G r e e c e ) a n d L o n g - T e r m R e f i n a n c i n g O p e r a t i o n s ( L T R O ) c a r r y o v e r t o n e w y e a r S p r e a d s n a r r o w a n d e q u i t i e s r a l l y " R a t i n g s a g e n c i e s d o w n g r a d e m a n y E u r o p e a n n a t i o n s " P r i v a t e h o l d e r s o f G r e e k d e b t a g r e e t o r e s t r u c t u r i n g " F r a n c o i s e H o l l a n d e w i n s F r e n c h p r e s i d e n c y a m i d s t w a v e o f s o c i a l i s t s u p p o r t F e a r s o f a G r e e k e x i t f r o m t h e E u r o z o n e b e g i n t o r i s e u n d e r S o c i a l i s t p a r t y p r e s s u r e b u t e l e c t i o n s t i l t t o w a r d s N e w D e m o c r a c y p a r t y w i t h g o a l o f s t a y i n g i n E U " S p a i n g e t s a � 1 0 0 b i l l i o n E U b a i l o u t " C y p r u s g e t s a b a i l o u t " P e r i p h e r a l s p r e a d s s o a r " E U l e a d e r s m e e t a t t h e e n d o f J u n e A n n o u n c e a b r o a d e n i n g o f E S M u s a g e a n d e a r l y s k e t c h e s o f b a n k i n g u n i o n " M a r i o D r a g h i ( E C B P r e s i d e n t ) p l e d g e s t o d o w h a t e v e r i t t a k e s " E C B a n n o u n c e s p l a n o f u n l i m i t e d b o n d p u r c h a s i n g p r o g r a m ( w i t h c o n d i t i o n a l i t y ) " G e r m a n c o n s t i t u t i o n a l c o u r t r u l e s i n f a v o r o f E S M " E C B p r o v i d e s m o r e d e t a i l s o n S i n g l e S u p e r v i s o r y M e c h a n i s m f o r b a n k s A T i m e l i n e o f T h e E u r o p e a n D e b t C r i s i s i n 2 0 1 2 � 1 . 2 0 � 1 . 2 5 � 1 . 3 0 � 1 . 3 5 J a n A p r J u l E U R / U S D Q 1 Q 2 Q 3 S o u r c e : S t . L o u i s F e d S e p t e m b e r 3 0 , 2 0 1 2 9
02004006008001000120014001600Basis PointsEurozone CDSPortugalItalyGermanySpainPeripheral Europe – Credit Spreads Have Narrowed Due to Recent AnnouncementsSeptember 30, 2012Source: Bloomberg, as of 9/3010
" A n a n t i - a u s t e r i t y r a l l y o u t s i d e t h e S p a n i s h p a r l i a m e n t b u i l d i n g i n M a d r i d t u r n e d v i o l e n t , a h e a d o f a b u d g e t p r e s e n t e d b y M a r i a n o R a j o y , t h e p r i m e m i n i s t e r & " A n t o n i s S a m a r a s , t h e G r e e k p r i m e m i n i s t e r , a p p r o v e d a p a c k a g e o f � 1 1 . 5 b i l l i o n ( $ 1 4 . 8 b i l l i o n ) i n b u d g e t c u t s . T h e f o l l o w i n g d a y a g e n e r a l s t r i k e w a s h e l d & " T h e P o r t u g u e s e i n c r e a s e d w o r k e r s p e n s i o n c o n t r i b u t i o n s b y r a i s i n g t a x e s a n d c u t t i n g w a g e s . P o r t u g a l , t o o , b r a c e d i t s e l f f o r a n t i - a u s t e r i t y p r o t e s t s . N o t A s R o s y A s t h e M a r k e t s A r e S u g g e s t i n g & S e p t e m b e r 3 0 , 2 0 1 2 1 1
" O n D e c e m b e r 3 1 , 2 0 1 2 , a n u m b e r o f p r o v i s i o n s r e l a t e d t o t a x r e l i e f , u n e m p l o y m e n t a n d h e a l t h b e n e f i t s , a n d d i s c r e t i o n a r y g o v e r n m e n t s p e n d i n g a r e s c h e d u l e d t o e x p i r e B u s h T a x C u t s S o c i a l S e c u r i t y P a y r o l l T a x E m e r g e n c y U n e m p l o y m e n t B e n e f i t s R e d u c t i o n s i n M e d i c a r e p a y m e n t s & n e w h e a l t h c a r e t a x e s " E s t i m a t e s o f t h e i m p a c t o f t h e s e c u t s r a n g e , b u t a r e e x p e c t e d t o c r e a t e s e v e r a l p e r c e n t a g e p o i n t s o f d r a g o n G D P A t a t i m e o f l o w g r o w t h a n d c o n t i n u e d d e l e v e r a g i n g " C o n g r e s s e x p e c t e d t o a d d r e s s t h i s f o l l o w i n g N o v e m b e r e l e c t i o n s a n d b e f o r e y e a r - e n d I n r e c e s s u n t i l a f t e r e l e c t i o n s n o t h i n g w i l l h a p p e n b e f o r e t h e n " P o t e n t i a l O u t c o m e s D o N o t h i n g r e d u c e s b u d g e t d e f i c i t b u t c a u s e s f i s c a l t i g h t e n i n g , d r a g g i n g d o w n e c o n o m i c g r o w t h " I f m a r k e t / e c o n o m i c d r a w d o w n i s s e v e r e , c o u l d s e e a q u i c k r e a c t i v e d e a l p u t t o g e t h e r t o e x t e n d N e a r - t e r m E x t e n s i o n p u s h d e a d l i n e b e y o n d J a n u a r y i n a u g u r a t i o n t o g e t p a s t p o t e n t i a l d e c i s i o n p a r a l y s i s o f l a m e d u c k s e s s i o n E x t e n d a n d c u t e l s e w h e r e n e u t r a l o n p o l i c y " U n c l e a r w h a t e c o n o m i c i m p l i c a t i o n s w o u l d b e s i n c e w h a t w o u l d b e c u t i n s t e a d i s u n k n o w n M e d i u m / L o n g - t e r m E x t e n s i o n a v o i d s f i s c a l t i g h t e n i n g b u t c r e a t e s l o n g - t e r m s u s t a i n a b i l i t y i s s u e s f o r b u d g e t / d e f i c i t T h e F i s c a l C l i f f S e p t e m b e r 3 0 , 2 0 1 2 1 2
Fiscal Cliff – Expected Drag on GrowthSeptember 30, 2012Source: CRFB, Capital Economics* CBO and Morgan Stanley estimates are shown as the midpoint of a range. ‐6%‐5%‐4%‐3%‐2%‐1%0%CBO* Capital Economics CRFB Zandi Goldman Sachs Morgan Stanley*13
" S t r o n g C h i n e s e g r o w t h o v e r t h e l a s t 1 0 p l u s y e a r s h a s b e e n a k e y c o m p o n e n t o f e m e r g i n g m a r k e t e q u i t y r e t u r n s E x p o r t g r o w t h a n d i n f r a s t r u c t u r e / r e a l e s t a t e e x p a n s i o n h a v e l e d t h e s u r g e D e v e l o p e d w o r l d d e l e v e r a g i n g p l a c e s s t r a i n o n m a n y o f t h e s e g r o w t h d r i v e r s g o i n g f o r w a r d " R e p o r t s o f a H a r d L a n d i n g i n C h i n a d r i v e n b y c o n c e r n s o f a n o v e r e x p a n s i o n t i e d t o e a s y c r e d i t i n t h e l a s t f e w y e a r s C h i n a r e p r e s e n t s 1 1 % o f g l o b a l G D P , s e c o n d o n l y t o t h e U S " I m p a c t o f s l o w d o w n i s e v e n m o r e c r i t i c a l t o d a y t h a n h i s t o r i c a l l y G r o w t h e x p e c t a t i o n s h o v e r i n g a r o u n d 8 % c u r r e n t l y , s o m e p e r c e i v e 7 % o r l o w e r a s t h e t h r e s h o l d f o r t h e h a r d l a n d i n g " P o l i t i c a l e v e n t s l o o m i n t h e n e a r t e r m O n c e - a - d e c a d e l e a d e r s h i p t r a n s i t i o n e x p e c t e d t o t a k e p l a c e i n c o m i n g m o n t h s R e c e n t n e w s o f a r e g i o n a l s p a t w i t h J a p a n o v e r d i s p u t e d t e r r i t o r i a l c l a i m s " S o m e p o s i t i v e f a c t o r s t o d a y : S t r o n g c e n t r a l b a n k b a l a n c e s h e e t T r a d e s u r p l u s R o o m f o r e a s i n g M o d e r a t e i n f l a t i o n D e c e n t v a l u a t i o n m e t r i c s C h i n a S l o w i n g D o w n & S e p t e m b e r 3 0 , 2 0 1 2 1 4
" C h i n e s e g r o w t h m o s t r e c e n t l y s l o w e d t o 7 . 6 % A f a r c r y f r o m t h e 1 0 - 1 2 % s e e n i n 2 0 0 4 - 2 0 0 8 b u t s t i l l a b o v e t r o u g h o f 2 0 0 8 F o r e c a s t s a r e m o d e s t l y h i g h e r , b u t s t r o n g r e b o u n d n o t e x p e c t e d " I n f l a t i o n s p i k e d c o m i n g o u t o f 2 0 0 8 d r i v e n b y s t i m u l u s p r o g r a m s C o r e i n f l a t i o n a t 3 % a n d h e a d l i n e a t 6 % a t t h e p e a k s i n 2 0 1 1 M o d e r a t e d i n r e c e n t p e r i o d s w i t h b o t h C o r e a n d H e a d l i n e C P I a r o u n d 2 % " R o o m f o r f u r t h e r s t i m u l u s i f G D P d i s a p p o i n t s A s i n d e v e l o p e d c o u n t r i e s , t h o u g h , f u r t h e r i n t e r v e n t i o n m a y h a v e d i m i n i s h i n g r e t u r n s G r o w t h a n d I n f l a t i o n S e p t e m b e r 3 0 , 2 0 1 2 0 2 4 6 8 1 0 1 2 1 4 T r i l l i o n s ( U S D ) G D P 6 4 2 0 2 4 6 8 1 0 - 3 - 2 - 1 0 1 2 3 4 5 C P I / C o r e C P I C o r e C P I ( l h s ) C P I ( r h s ) S o u r c e f o r c h a r t s : B l o o m b e r g ( R e d = f o r e c a s t s ) 1 5
0%5%10%15%20%25%30%35%40%% of GDP (in USD)Central Bank Assets vs. GDPFEDECBBoJ•In evaluating central bank assets relative to GDP, a dispersion between key economic regions is clear–Less than 20% today for US and over 30% for Europe and Japan•Balance sheet expansion based on September 2012 announcements from FED, ECB & BoJ shown above–In this context, QE3 is less troublesome… assuming US GDP holds–The Eurozone, however, is another storyWho is turning into Japan…and Who’s Inflating Their Way Out?September 30, 2012QE3 as announced ($40bln/mo)vs. Continuing current potential pace ($85bln/mo)16
" C u r r e n t o p t i m i s m h a s l e d t o s t r o n g c a p i t a l m a r k e t r e t u r n s P o t e n t i a l t o c o n t i n u e w i t h m o m e n t u m o f m o n e t a r y s t i m u l u s " S t r o n g r a l l i e s a c r o s s m a r k e t s s h o u l d n o t b e c o n f u s e d w i t h s t r u c t u r a l d e b t p r o b l e m s b e i n g s o l v e d M a j o r g l o b a l e c o n o m i c r i s k s e x i s t i n t h e n e a r - t e r m M a n y y e a r s o f r e s t r u c t u r i n g a n d d e l e v e r a g i n g r e m a i n a h e a d L i k e l y t o l e a d t o c o n t i n u e d l o w g r o w t h a c r o s s d e v e l o p e d c o u n t r i e s " W i t h o u t c h a n g e t o u n d e r l y i n g f u n d a m e n t a l s , h i g h e r n e a r - t e r m r e t u r n s r o b f r o m t h e f u t u r e P o t e n t i a l t o p l a c e d o w n w a r d p r e s s u r e o n 2 0 1 3 5 - 7 a s s u m p t i o n s " W i t h h i g h u n c e r t a i n t y a n d l i m i t e d h i g h r e t u r n o p p o r t u n i t i e s , a b a l a n c e d , r i s k - a w a r e a p p r o a c h t o a s s e t a l l o c a t i o n r e m a i n s p a r a m o u n t " A r e a s o f o p p o r t u n i t y c o m e w i t h c a v e a t s L i q u i d C r e d i t m a r k e t s h a v e r e c o v e r e d " A t t r a c t i v e v a l u a t i o n s h a v e n o r m a l i z e d N o n - U S E q u i t i e s h a v e a t t r a c t i v e v a l u a t i o n s " B u t a r e e x p o s e d t o s i g n i f i c a n t d o w n s i d e r i s k s i n E u r o p e ( D e b t C r i s i s ) a n d C h i n a ( H a r d L a n d i n g ) D i s t r e s s e d a s s e t s o f f e r h i g h e r r e t u r n s " T h o u g h t i m e l i n e f o r o p p o r t u n i t i e s t o p l a y o u t l i k e l y e x t e n d s w i t h c u r r e n t m o n e t a r y p o l i c y W r a p U p S e p t e m b e r 3 0 , 2 0 1 2 1 7
Market Environment18
Investment Market Update: As of September 30, 2012 September 30, 201219
Investment Market Update: As of September 30, 2012 September 30, 2012PERFORMANCE THROUGH 9/30/2012SectorIndex2008200920102011QTR 1QTR 2JulAugSepQTR 32012Large Cap Growth R1000 Growth-38.4%37.2% 16.7% 2.6% 14.7%-4.0%1.3% 2.7% 2.0% 6.1% 16.8%Large CapS&P 500-37.0%26.5% 15.1% 2.1% 12.6%-2.8%1.4% 2.3% 2.6% 6.4% 16.4%Large CapRussell 1000-37.6%28.4% 16.1% 1.5% 12.9%-3.1%1.2% 2.4% 2.6% 6.3% 16.3%Large Cap Value R1000 Value-36.8%19.7% 15.5% 0.4% 11.1%-2.2%1.0% 2.2% 3.2% 6.5% 15.7%REITSWilshire REIT-39.2%28.6% 28.6% 9.2% 10.8% 3.7% 1.9%-0.2% -1.8% -0.2%14.7%Small Cap Value R2000 Value-28.9%20.6% 24.5%-5.5%11.6%-3.0% -1.0%3.1% 3.6% 5.7% 14.4%SMID CapR2500-36.8%34.4% 26.7%-2.5%13.0%-4.1% -0.7%3.5% 2.6% 5.6% 14.3%Small CapRussell 2000-33.8%27.2% 26.9%-4.2%12.4%-3.5% -1.4%3.3% 3.3% 5.3% 14.2%Emerging FIBC Emerging ($US)-14.8%34.2% 12.8% 7.0% 5.5% 1.4% 3.8% 1.5% 1.8% 6.8% 14.1%Small Cap Growth R2000 Growth-38.5%34.5% 29.1%-2.9%13.3%-3.9% -1.7%3.6% 3.0% 4.8% 14.1%High YieldBC HY-26.2%58.2% 15.1% 5.0% 5.3% 1.8% 1.9% 1.2% 1.4% 4.5% 12.1%EMD Loc.GBI-EM Glob. Div.-5.2%22.0% 15.7%-1.8%8.3%-1.2%2.2%-0.1%2.6% 4.8% 12.1%Emerging EM (net)-53.3%78.5% 18.9%-18.4%14.1%-8.9%2.0%-0.3%6.0% 7.7% 12.0%Long CreditBC Long Credit-3.9%16.8% 10.7% 17.1% 0.8% 5.0% 5.4%-0.5%0.3% 5.2% 11.3%DiversifiedDiversified*-24.6%24.1% 13.5% 1.3% 8.2%-1.6%1.1% 1.5% 1.8% 4.6% 11.3%Int. EquityEAFE (net)-43.4%31.8% 7.8%-12.1%10.9%-7.1%1.1% 2.7% 3.0% 6.9% 10.1%Long Gov/Credit BC Long Gov/Credit 8.4% 1.9% 10.2% 22.5%-2.1%7.3% 4.4%-0.7% -0.6%3.1% 8.3%Muni BondsBC Muni (unadj)-2.5%12.9% 2.4% 10.7% 1.7% 1.9% 1.6% 0.1% 0.6% 2.3% 6.1%Commodities DJ UBS Commodity-35.7%18.9% 16.8%-13.3%0.9%-4.6%6.5% 1.3% 1.7% 9.7% 5.6%Treasury STRIPS BC 20+ STRIPS59.5%-36.0%10.9% 58.5%-11.3%18.8% 5.9%-2.3% -4.0% -0.6%4.7%Core FIBC Aggregate5.2% 5.9% 6.5% 7.8% 0.3% 2.1% 1.4% 0.1% 0.1% 1.6% 4.0%Int. Gov/Credit BC Intermediate GC 5.1% 5.2% 5.9% 5.8% 0.6% 1.5% 1.0% 0.2% 0.2% 1.4% 3.5%Global FICitigroup WGBI10.9% 2.6% 5.2% 6.4%-0.5%0.9% 1.0% 0.7% 1.3% 3.0% 3.4%Int. Core FIBC Intermediate Agg 4.9% 6.5% 6.2% 6.0% 0.7% 1.3% 0.9% 0.2% 0.2% 1.4% 3.4%Gov/CreditBC 1-5 Yr Gov/Cred 5.1% 4.6% 4.1% 3.1% 0.5% 0.6% 0.6% 0.2% 0.2% 0.9% 2.0%Gov/CreditBC 1-3 Yr Gov/Cred 5.0% 3.8% 2.8% 1.6% 0.4% 0.2% 0.3% 0.1% 0.1% 0.5% 1.1%Sources: Barclays, Bloomberg, Wilshire* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS20
US Economic EnvironmentSeptember 30, 201221
Components of GDPSeptember 30, 201222
Key Economic IndicatorsSeptember 30, 201223
Economic Environment – Banks, Debt, and ValuationsSeptember 30, 201224
Fiscal CliffSeptember 30, 201225
Eurozone Economic EnvironmentSeptember 30, 201226
Market Environment – US EquitySeptember 30, 201227
US Stock Market PerformanceSeptember 30, 201228
Non-US Stock PerformanceSeptember 30, 201229
Emerging MarketsSeptember 30, 201230
Market Environment – Interest RatesSeptember 30, 201231
Fixed Income PerformanceSeptember 30, 201232
Market Environment - CommoditiesSeptember 30, 201233
Executive Summary34
Executive SummaryAsset Growth•At quarter end, the assets in the Fund totaled approximately $216.7 million, an increase of $6.4 million over the quarter, reflecting investment gains of $9.9 million and net outflows of $3.5 million.Performance•The Fund posted a 4.7% return for the quarter, ranking in the 47thpercentile of public funds.•Active management added 20 bps to performance.•For the past 12 months, the Fund posted a return of 16.9%, ranking in the 41stpercentile of public funds.•Active management added 160 bps. •For the three-year period, performance was 9.2%, which ranked in the 51stpercentile of public funds. The five-year return of 4.3% ranked in the 9thpercentile.•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 PlanSeptember 30, 201235
Note: All performance shown is gross of fees.
The ICC Public DB Universe is comprised of 125 state and local plans with combined assets of $1.2 trillion.
3 Years Ending September 30, 2012
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 9.20% 51 9.20% 48 0.99 52 1.46 73
Composite Allocation Index 8.42%76 8.88%40 0.94 73 1.52 65
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5 Years Ending September 30, 2012
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 4.27% 9 10.93% 29 0.34 15 0.46 16
Composite Allocation Index 3.50%22 10.68%26 0.28 20 0.37 22
XXXXX
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Summary
Market Value 3 Mo Rank YTD Rank Fiscal
YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank
_
Composite $216,680,553 4.7%47 10.6%49 10.6%49 16.9%41 9.2%51 4.3%9
Composite Allocation Index 4.5%61 9.7%77 9.7%77 15.3%63 8.4%76 3.5%22
Policy Index 4.6%59 9.9%69 9.9%69 15.7%58 8.4%76 3.3%27
ICC Public DB Median 4.7% 10.5% 10.5% 16.3% 9.3% 2.5%
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36
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
3 Years Ending September 30, 2012
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 0.99 52 1.46 73
Composite Allocation Index --0.94 73 1.52 65
3 Years Ending September 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 9.21% 51 9.20% 48
Composite Allocation Index --8.42%76 8.88%40
37
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
5 Years Ending September 30, 2012
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 4.27% 9 10.93% 29
Composite Allocation Index --3.50%22 10.68%26
5 Years Ending September 30, 2012
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 0.34 15 0.46 16
Composite Allocation Index --0.28 20 0.37 22
38
September 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 $210,343,227 $200,494,127 $200,494,127 $188,140,826 $172,850,777
Net Additions/Withdrawals -$3,493,539 -$4,535,608 -$4,535,608 -$2,742,423 -$6,207,244
Investment Earnings $9,830,865 $20,722,034 $20,722,034 $31,282,151 $50,037,020
Ending Market Value $216,680,553 $216,680,553 $216,680,553 $216,680,553 $216,680,553
_
39
Note: A cash balance exists since benefits are paid from the Pension on the first business day each month. In addition, a small
cash balance is maintained to meet ongoing liquidity needs.
September 30, 2012
Quarter Ending September 30, 2012
Beginning
Market Value Withdrawals Contributions Net Cash Flow Net Investment
Change
Ending
Market Value
_
Brandywine Global Bond $17,337,395 -$1,187,500 $0 -$1,187,500 $925,278 $17,075,173
Buford Dickson Harper & Sparrow $5,324,696 $0 $0 $0 $182,408 $5,507,104
Cash $1,114,689 -$2,148,106 $2,146,757 -$1,348 $47 $1,113,388
GMO Asset Allocation Fund $20,791,412 $0 $0 $0 $827,619 $21,619,031
Income Research $27,418,629 -$500,000 $0 -$500,000 $561,231 $27,479,860
Kennedy $5,903,864 -$200,072 $0 -$200,072 $245,078 $5,948,870
Loomis Credit Asset Fund $4,264,398 $0 $0 $0 $198,953 $4,463,351
Morgan Stanley Inst Emg Mkt Port.$6,013,108 $0 $0 $0 $459,335 $6,472,443
Morgan Stanley Int'l Equity Fund $19,942,898 $0 $0 $0 $1,198,400 $21,141,298
Penn Capital $10,936,907 $0 $0 $0 $410,115 $11,347,022
Pictet Emerging Local Curr. Debt Fd $10,649,994 $0 $0 $0 $495,603 $11,145,597
PIMCO All Asset $8,786,944 $0 $0 $0 $564,803 $9,351,747
Pyramis Mkt Neutral $10,032,861 $0 $0 $0 $83,418 $10,116,279
TimesSquare Small Cap Growth Fund $5,625,655 $0 $0 $0 $426,570 $6,052,225
UBS Realty - Trumbull Property Fund $9,385,076 -$27,801 $0 -$27,801 $236,080 $9,593,355
Vanguard Institutional Index $8,122,584 -$1,107,500 $0 -$1,107,500 $451,210 $7,466,294
Vanguard Windsor II $15,453,693 -$320,000 $0 -$320,000 $880,806 $16,014,499
Waddell & Reed $14,545,439 $0 $0 $0 $859,453 $15,404,892
Wellington Diver. Inflation $8,692,985 $0 $0 $0 $675,140 $9,368,125
Total $210,343,227 -$5,490,979 $2,146,757 -$3,344,221 $9,681,548 $216,680,553
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Growth Summary by Manager
40
Redemptions during the 3rdQuarter were:Brandywine Global $1,187,500Income Research $500,000Kennedy $200,000Vanguard S&P $1,107,500Vanguard Windsor $320,000Advisory Fees taken from UBS Realty $27,801.Cash account had net cash outflow of $1,348.The cash account’s July movement was entered into our system on a net basis, which causes the totals to appear skewed. The cash account total disbursements for the quarter were $3,328,266 and the total received was $3,326,919. There is a rounding difference of $1.Detail on Total Fund Asset Growth SummarySeptember 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension Plan41
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Composite 216,680,553 100.0 100.0 4.7 47 10.6 49 16.9 41 9.2 51 4.3 9 8.4 20 8.7 Oct-82
Composite Allocation Index 4.5 61 9.7 77 15.3 63 8.4 76 3.5 22 7.9 43 --Oct-82
Over/Under 0.2 0.9 1.6 0.8 0.8 0.5
Policy Index 4.6 59 9.9 69 15.7 58 8.4 76 3.3 27 7.9 42 --Oct-82
ICC Public DB Median 4.7 10.5 16.3 9.3 2.5 7.6 --Oct-82
Large Cap Equity Composite 44,392,789 20.5 20.0 5.6 69 14.3 59 28.2 51 12.0 57 1.2 60 ------Jun-03
S&P 500 6.4 47 16.4 36 30.2 33 13.2 37 1.1 63 8.0 73 6.5 Jun-03
Over/Under -0.8 -2.1 -2.0 -1.2 0.1
eA US Large Cap Equity Gross Median 6.2 15.1 28.3 12.3 1.7 8.7 7.4 Jun-03
Vanguard Windsor II 16,014,499 7.4 7.0 5.8 60 15.7 27 30.7 27 12.3 39 0.4 53 8.9 51 5.0 May-01
Russell 1000 Value 6.5 41 15.7 26 30.9 25 11.8 48 -0.9 79 8.2 74 4.3 May-01
Over/Under -0.7 0.0 -0.2 0.5 1.3 0.7 0.7
eA US Large Cap Value Equity Gross
Median 6.0 14.0 28.2 11.7 0.6 8.9 5.2 May-01
Buford Dickson Harper & Sparrow 5,507,104 2.5 3.0 3.4 98 10.5 97 23.4 87 9.2 95 -1.2 95 4.5 99 -0.6 Oct-00
Russell 1000 Growth 6.1 57 16.8 48 29.2 38 14.7 28 3.2 33 8.4 54 -0.5 Oct-00
Over/Under -2.7 -6.3 -5.8 -5.5 -4.4 -3.9 -0.1
eA US Large Cap Growth Equity Gross
Median 6.2 16.6 27.8 13.1 2.6 8.7 1.8 Oct-00
Waddell & Reed 15,404,892 7.1 7.0 5.9 60 13.2 86 26.3 68 12.0 69 2.6 53 ----7.3 Dec-02
Russell 1000 Growth 6.1 57 16.8 48 29.2 38 14.7 28 3.2 33 8.4 54 7.0 Dec-02
Over/Under -0.2 -3.6 -2.9 -2.7 -0.6 0.3
eA US Large Cap Growth Equity Gross
Median 6.2 16.6 27.8 13.1 2.6 8.7 7.5 Dec-02
Vanguard Institutional Index 7,466,294 3.4 3.0 6.2 57 16.4 38 30.2 38 13.3 34 1.3 61 8.2 67 2.9 Oct-99
S&P 500 6.4 54 16.4 37 30.2 38 13.2 36 1.1 67 8.0 73 2.8 Oct-99
Over/Under -0.2 0.0 0.0 0.1 0.2 0.2 0.1
eA US Large Cap Core Equity Gross
Median 6.4 15.2 29.0 12.3 1.7 8.7 4.4 Oct-99
Small Cap Equity Composite 12,001,095 5.5 5.0 6.0 41 12.6 63 30.4 56 16.3 28 5.8 18 ----11.0 Jun-03
Russell 2000 5.3 57 14.2 46 31.9 45 13.0 67 2.2 68 10.2 80 8.5 Jun-03
Over/Under 0.7 -1.6 -1.5 3.3 3.6 2.5
eA US Small Cap Equity Gross Median 5.5 13.6 31.2 14.2 3.3 11.5 10.2 Jun-03
42
September 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 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Kennedy 5,948,870 2.7 2.5 4.2 88 12.1 65 28.9 46 15.2 17 --------7.8 Feb-08
Russell MidCap Value 5.8 46 14.0 43 29.3 45 13.9 35 1.7 73 11.0 69 4.2 Feb-08
Over/Under -1.6 -1.9 -0.4 1.3 3.6
eA US Mid Cap Value Equity Gross
Median 5.6 13.1 28.3 13.4 2.8 11.5 5.2 Feb-08
TimesSquare Small Cap Growth Fund 6,052,225 2.8 2.5 7.7 18 12.9 68 31.8 45 17.6 29 6.9 11 13.6 14 10.1 Feb-02
Russell 2000 Growth 4.8 65 14.1 59 31.2 51 14.2 70 3.0 54 10.5 74 5.8 Feb-02
Over/Under 2.9 -1.2 0.6 3.4 3.9 3.1 4.3
eA US Small Cap Growth Equity Gross
Median 5.7 14.6 31.3 15.9 3.2 11.5 7.6 Feb-02
International Equity Composite 21,141,298 9.8 10.0 6.3 83 13.4 41 19.4 26 5.1 47 -1.3 25 8.9 73 4.7 May-99
S&P EPAC LargeMidCap 6.8 74 10.5 74 14.4 71 2.9 78 -4.4 67 8.9 73 3.3 May-99
Over/Under -0.5 2.9 5.0 2.2 3.1 0.0 1.4
eA All EAFE Equity Gross Median 7.6 12.6 16.9 4.9 -3.6 10.0 5.7 May-99
Morgan Stanley Int'l Equity Fund 21,141,298 9.8 10.0 6.1 84 13.2 44 19.2 27 5.0 48 -1.4 25 ----4.4 Apr-05
MSCI EAFE 6.9 70 10.1 78 13.8 80 2.1 88 -5.2 80 8.2 86 2.9 Apr-05
Over/Under -0.8 3.1 5.4 2.9 3.8 1.5
eA All EAFE Equity Gross Median 7.6 12.6 16.9 4.9 -3.6 10.0 4.7 Apr-05
International Emerging Composite 6,472,443 3.0 3.0 8.0 38 15.2 30 18.9 46 7.3 43 -1.8 70 ----11.9 Apr-05
MSCI Emerging Markets 7.7 45 12.0 63 16.9 62 5.6 64 -1.3 61 17.0 76 11.0 Apr-05
Over/Under 0.3 3.2 2.0 1.7 -0.5 0.9
eA Emg Mkts Equity Gross Median 7.7 13.0 18.1 6.7 -0.6 18.3 12.2 Apr-05
Morgan Stanley Inst Emg Mkt Port.6,472,443 3.0 3.0 7.8 44 14.9 32 18.6 49 7.2 46 -1.8 70 ----11.9 Apr-05
MSCI Emerging Markets 7.7 45 12.0 63 16.9 62 5.6 64 -1.3 61 17.0 76 11.0 Apr-05
Over/Under 0.1 2.9 1.7 1.6 -0.5 0.9
eA Emg Mkts Equity Gross Median 7.7 13.0 18.1 6.7 -0.6 18.3 12.2 Apr-05
Fixed Income Composite 71,511,003 33.0 33.0 3.7 23 9.2 23 11.6 25 8.4 36 8.1 27 ----6.2 Jun-03
Barclays Int Govt/Credit 1.4 76 3.5 76 4.4 78 5.2 75 5.7 73 4.8 75 4.4 Jun-03
Over/Under 2.3 5.7 7.2 3.2 2.4 1.8
eA All US Fixed Inc Gross Median 2.1 5.5 7.0 7.1 6.9 5.7 5.4 Jun-03
43
September 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 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Income Research 27,479,860 12.7 13.0 2.1 23 6.2 9 9.0 4 7.0 12 7.6 7 6.2 3 6.4 Jul-01
Barclays Int Govt/Credit 1.4 82 3.5 82 4.4 85 5.2 79 5.7 87 4.8 88 5.4 Jul-01
Over/Under 0.7 2.7 4.6 1.8 1.9 1.4 1.0
eA US Interm Duration Fixed Inc Gross
Median 1.7 4.4 5.5 5.7 6.4 5.2 5.8 Jul-01
Penn Capital 11,347,022 5.2 5.0 3.7 83 10.6 74 15.2 86 11.8 69 8.0 74 ----7.7 Aug-05
BofA Merrill Lynch High Yield Cash Pay 4.6 37 11.9 47 18.8 43 12.5 52 9.0 45 10.6 39 8.3 Aug-05
Over/Under -0.9 -1.3 -3.6 -0.7 -1.0 -0.6
eA US High Yield Fixed Inc Gross
Median 4.4 11.8 18.5 12.6 8.7 10.3 8.4 Aug-05
Loomis Credit Asset Fund 4,463,351 2.1 2.0 4.7 17 11.8 15 16.1 5 ------------9.9 Mar-10
50% BC Credit/ 25% S&P-LSTA/ 25%
BC HY 3.8 76 9.2 68 12.7 44 9.6 73 7.8 85 7.5 47 9.1 Mar-10
Over/Under 0.9 2.6 3.4 0.8
eA US Corporate Fixed Inc Gross
Median 4.2 9.8 12.4 10.2 8.9 7.4 10.0 Mar-10
Brandywine Global Bond 17,075,173 7.9 8.0 5.5 15 11.1 22 11.9 31 11.4 12 9.3 13 ----7.9 Jan-05
Citigroup WGBI 3.0 79 3.4 91 3.3 92 4.3 91 6.5 63 6.7 78 4.8 Jan-05
Over/Under 2.5 7.7 8.6 7.1 2.8 3.1
eA All Global Fixed Inc Gross Median 3.9 7.2 8.0 6.9 6.9 7.6 5.8 Jan-05
Pictet Emerging Local Curr. Debt Fd 11,145,597 5.1 5.0 4.7 94 12.2 80 13.1 87 ------------13.1 Oct-11
JP Morgan GBI EM Diversified 4.8 90 12.1 83 12.7 90 9.4 89 8.7 78 ----12.7 Oct-11
Over/Under -0.1 0.1 0.4 0.4
eA All Emg Mkts Fixed Inc Gross
Median 6.5 14.5 19.1 12.2 10.2 14.3 19.1 Oct-11
Tactical Asset Allocation Composite 21,619,031 10.0 10.0 4.1 69 8.9 46 13.5 45 8.2 37 4.0 49 ----6.8 Jun-03
S&P 500 6.4 13 16.4 1 30.2 1 13.2 8 1.1 85 8.0 87 6.5 Jun-03
Over/Under -2.3 -7.5 -16.7 -5.0 2.9 0.3
eA Global TAA Gross Median 4.7 8.8 12.6 7.8 4.0 10.5 8.9 Jun-03
GMO Asset Allocation Fund 21,619,031 10.0 10.0 4.1 69 8.9 46 13.5 45 8.2 37 4.0 49 ----6.0 Sep-06
65% MSCI World (Net) /35% BC Agg 4.9 42 10.0 32 15.9 30 7.4 55 1.3 84 7.4 89 3.7 Sep-06
Over/Under -0.8 -1.1 -2.4 0.8 2.7 2.3
eA Global TAA Gross Median 4.7 8.8 12.6 7.8 4.0 10.5 5.4 Sep-06
44
Note: All performance shown is gross of fees.
The ICC Public DB Universe is comprised of 125 state and local plans with combined assets of $1.2 trillion.
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank YTD
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Alternative Assets
Pyramis Mkt Neutral 10,116,279 4.7 5.0 0.8 51 1.2 55 6.4 33 -0.5 83 0.8 73 ----4.3 Aug-05
91 Day T-Bill + 3% 0.8 51 2.3 50 3.1 55 3.1 60 3.5 48 4.7 53 4.8 Aug-05
Over/Under 0.0 -1.1 3.3 -3.6 -2.7 -0.5
eA|HFN Market Neutral Equity Net
Median 1.0 2.3 3.4 3.8 3.0 5.2 4.6 Aug-05
PIMCO All Asset 9,351,747 4.3 4.0 6.7 10 13.1 3 18.2 20 11.1 15 7.6 8 ----7.7 Jan-06
CPI + 5% 2.5 84 5.7 75 7.1 78 7.4 54 7.2 13 7.6 88 7.4 Jan-06
Over/Under 4.2 7.4 11.1 3.7 0.4 0.3
eA Global TAA Gross Median 4.7 8.8 12.6 7.8 4.0 10.5 5.9 Jan-06
UBS Realty - Trumbull Property Fund 9,593,355 4.4 5.0 2.5 --7.7 --10.2 --11.3 --0.8 ------3.9 Jul-06
NCREIF ODCE 2.8 --8.4 --11.6 --12.2 ---1.1 --6.7 --2.3 Jul-06
Over/Under -0.3 -0.7 -1.4 -0.9 1.9 1.6
Wellington Diver. Inflation 9,368,125 4.3 5.0 7.8 --7.2 --12.6 --------------6.3 Mar-10
Wellington DIH Index 6.9 --9.1 --16.5 --7.5 ---0.6 --7.1 --7.7 Mar-10
Over/Under 0.9 -1.9 -3.9 -1.4
Cash 1,113,388 0.5 0.0 0.0 --0.1 --0.1 --0.1 --0.9 --1.8 --1.9 Jun-03
BofA Merrill Lynch 91-Day T-Bill 0.0 --0.1 --0.1 --0.1 --0.7 --1.8 --1.9 Jun-03
Over/Under 0.0 0.0 0.0 0.0 0.2 0.0 0.0
XXXXX
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail
45
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary
46
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
47
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
48
September 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
49
September 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
50
Asset Allocation51
Note: A cash balance exists since benefits are paid from the Pension on the first
business day each month. In addition, a small cash balance is maintained to meet
ongoing liquidity needs.
Asset Allocation vs. Target
Current Policy Current Difference
*Policy Range Within
Range
_
Large Cap Equity $44,392,789 20.0%20.5%0.5%16.0% - 24.0%Yes
Small/Mid Cap Equity $12,001,095 5.0%5.5%0.5%3.0% - 7.0%Yes
Equity - International $21,141,298 10.0%9.8%-0.2%8.0% - 12.0%Yes
Equity - Emerging $6,472,443 3.0%3.0%0.0%2.0% - 5.0%Yes
Core Bonds $27,479,860 13.0%12.7%-0.3%10.0% - 20.0%Yes
High Yield Corporate Bonds $11,347,022 5.0%5.2%0.2%3.0% - 7.0%Yes
Fixed Income - Emerging $11,145,597 5.0%5.1%0.1%3.0% - 7.0%Yes
Global Bonds $17,075,173 8.0%7.9%-0.1%6.0% - 10.0%Yes
Balanced - GAA $21,619,031 10.0%10.0%0.0%8.0% - 12.0%Yes
Opportunistic Credit $4,463,351 2.0%2.1%0.1%0.0% - 5.0%Yes
Absolute Return $9,351,747 4.0%4.3%0.3%3.0% - 7.0%Yes
Market Neutral $10,116,279 5.0%4.7%-0.3%3.0% - 7.0%Yes
Real Estate $9,593,355 5.0%4.4%-0.6%3.0% - 7.0%Yes
Real Assets $9,368,125 5.0%4.3%-0.7%3.0% - 7.0%Yes
Cash $1,113,388 --0.5%0.5%--No
Total $216,680,553 100.0%100.0%
XXXXX
*Difference between Policy and Current Allocation
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation vs. Policy Targets
52
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation History
53
Manager Pages54
Manager Executive SummarySeptember 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension PlanExcess Return Vs. BenchmarkExcess Return Vs. MedianAsset Class / Manager BenchmarkOrganizationProduct &ProcessLast 3 Months 1 Year 3 Years 5 YearsLast 3 Months 1 Year 3 Years 5 YearsDOMESTIC EQUITYVanguard Windsor II Russell 1000 ValueNo changes to noteStable(0.7)% (0.2)%0.5% 1.3% (0.2)%2.5% 0.6% (0.2)%BDH&SRussell 1000 GrowthPlease see separate pagePlease see separate page.(2.7)% (5.8)% (5.5)% (4.4)% (2.8)% (4.4)% (3.9)% (3.8)%Waddell & Reed Russell 1000 GrowthNo changes to noteStable(0.2)% (2.9)% (2.7)% (0.6)% (0.3)% (1.5)% (1.1)%0.0 Vanguard Institutional IndexS&P 500Gus Sauter, CIO, is to retire effective 12/31/12. Tim Buckley, a long time Vanguard manager, will replace him.Stable(0.2)%0.0 0.1% 0.2% (0.2)%1.2% 1.0% (0.4)%Kennedy Russell MidCap ValueNo changes to noteStable(1.6)% (0.4)%1.3% n/a(1.4)%0.6% 1.8% n/aTimesSquareRussell 2000 GrowthNo changes to noteStable2.9% 0.6% 3.4% 3.9% 2.0% 0.5% 1.7% 3.7% INTERNATIONAL EQUITYMorgan Stanley InternationalMSCI EAFENo changes to noteStable(0.8)%5.4% 2.9% 3.8% (1.5)%2.3% 0.1% 2.2% Morgan Stanley EmergingMSCI Emerging Mkts FreeNo changes to noteMay Yu rejoined the firm as a Portfolio Manager focusing on China and Hong Kong, replacing Homiyar Vasania who left in September.0.1% 1.7% 1.6% (0.5)%0.1% 0.5% 0.5% (1.2)%FIXED INCOMEIncome ResearchBarclays Capital Gov't/CorpNo changes to note Stable 0.7% 4.6% 1.8% 1.9% 0.4% 3.5% 1.3% 1.2% Penn CapitalMerrill Lynch High Yield Cash PayNo changes to note Stable(0.9)% (3.6)% (0.7)% (1.0)% (0.7)% (3.3)% (0.8)% (0.7)%Loomis Credit Asset Fund50/25/25 BC Credit/HY/LLIPlease see separate page Stable 0.9% 3.4% n/a n/a 0.5% 3.7% n/a n/a55
GLOBAL / INT'L FIXED INCOMEBrandywine Global Bond FundCiti World Gov't IndexNo changes to note Stable 2.5% 8.6% 7.1% 2.8% 1.6% 3.9% 4.5% 2.4% EMG MKT DEBT LOCAL CURRENCY / FIXED INCOMEPictetJPMorgan GBI EM Global DivNo changes to noteStable(0.1)%0.4% n/a n/a(1.8)% (6.0)%n/a n/aTACTICAL ASSET ALLOCATIONGMO65% MSCI World / 35% BC AggPlease see separate pagePlease see separate page(0.8)% (2.4)%0.8% 2.7% (0.6)%0.9% 0.4% 0.0 ALTERNATIVE ASSETSPyramis90 Day T-Bill + 300bpsIn August 2012, Bob Chersi, CFO, left Fidelity. Following his departure, Chuck Senatore now leads Corporate Compliance and Ethics and Brian Ward leads Corporate Risk Management.Stable 0.0 3.3% (3.6)% (2.7)% (0.2)%3.0% (4.3)% (2.2)%PIMCO All Asset CPI + 500bps No changes to note Stable 4.2% 11.1% 3.7% 0.4% 2.0% 5.6% 3.3% 3.6% UBS Realty NCREIF ODCE No changes to note Stable(0.3)% (1.4)% (0.9)%1.9% n/a n/a n/a n/aWellington Diversified Inflation Hedge55% MSCI World/25% GSCI/20% BC US Tips 1-10 YrNo changes to note Stable 0.9% (3.9)%n/a n/a n/a n/a n/a n/aManager Executive SummarySeptember 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension PlanExcess Return Vs. BenchmarkExcess Return Vs. MedianAsset Class / ManagerBenchmarkOrganizationProduct &ProcessLast 3 Months 1 Year 3 Years 5 YearsLast 3 Months 1 Year 3 Years 5 Years56
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.Loomis, Sayles & Company•Effective October 15, 2012, Jae Park, CIO-Fixed Income since 2002, became CIO with responsibility for all Loomis investment activities, including both fixed income and equity.•NO ACTIONManager UpdatesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201257
GMO•Effective September 2012, Sam Wilderman, previously co-head of GMO’s Quantitative Equity team, joined Ben Inker as co-head of the Asset Allocation team. In conjunction with this change, David Cowan joined Tom Hancock as co-head of the Quantitative Equity team.•NEPC met with Sam Wilderman and Ben Inker to discuss the co-CIO structure and the motivation for the change. We remain comfortable with GMO as a preferred manager for GAA strategies and the addition of Mr. Wilderman to the GAA team as a long-term positive. Mr. Wilderman will aid in the development of a more structured and focused investment team that over time should aid the evolution and expansion of GMO’s capabilities. While viewed as a positive, over the coming months there will likely be an increased number of organization announcements as GAA team members’ roles are more explicitly defined.•NO ACTIONManager UpdatesSeptember 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension Plan58
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
59
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
*The 3 Year Style Map is a returns-based graph
60
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
Portfolio Fund Information as of 09/30/2012
Ticker VWNAX
Morningstar Category Large Value
Average Market Cap ($mm)49,742.3
Net Assets ($mm)19,178.0
% Assets in Top 10
Holdings 25.0
Total Number of Holdings 270
Manager Name James P. Barrow
Manager Tenure 27
Expense Ratio 0.3%
Closed to New Investors No
Top Holdings as of 09/30/2012
PFIZER INC 3.3%
PHILIP MORRIS INTERNATIONAL,
INC.3.0%
INTERNATIONAL BUSINESS
MACHINES CORP 2.6%
WELLS FARGO & CO 2.5%
JPMORGAN CHASE & CO 2.4%
AMERICAN EXPRESS CO 2.3%
JOHNSON & JOHNSON 2.3%
MICROSOFT CORPORATION 2.2%
BAXTER INTERNATIONAL INC.2.1%
CONOCOPHILLIPS 2.1%
Sector Allocation as of 09/30/2012
BASIC MATERIALS 1.5%
COMMUNICATION SERVICES 4.4%
CONSUMER CYCLICAL 5.1%
CONSUMER DEFENSIVE 11.7%
ENERGY 12.4%
FINANCIAL SERVICES 19.0%
HEALTHCARE 15.6%
INDUSTRIALS 11.1%
REAL ESTATE 0.1%
TECHNOLOGY 10.8%
Fund Characteristics as of 09/30/2012
Sharpe Ratio (3 Year)
Average Market Cap ($mm)49,742.3
Price/Earnings 12.2
Price/Book 1.6
Price/Sales 1.2
Price/Cash Flow 5.7
Dividend Yield 2.8
Number of Equity Holdings 263
R-Squared (3 Year)
Alpha (3 Year)
61
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
62
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
*The 3 Year Style Map is a returns-based graph
63
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Buford Dickson Harper & Sparrow
Top Negative Contributors
Relative
Contribution
%Return %
HUNT JB TRANSPORT SVS.-0.6%-12.5%
APPLE -0.4%14.7%
INTUITIVE SURGICAL -0.3%-10.5%
DOLLAR TREE -0.3%-10.2%
MCKESSON -0.3%-8.0%
MONSTER BEVERAGE -0.3%-24.1%
NETEASE ADR 1:25 -0.2%-4.6%
CUMMINS -0.2%-4.4%
COACH -0.1%-3.7%
ALTRIA GROUP 0.0%-2.1%
_
Top Positive Contributors
Relative
Contribution
%Return %
CELGENE 0.6%19.1%
ACCENTURE 0.5%16.5%
GOOGLE 'A'0.4%30.1%
EXPRESS SCRIPTS HOLDING 0.3%12.2%
DANAHER 0.3%5.9%
TJX COS.0.2%4.6%
FASTENAL 0.2%7.1%
SHERWIN-WILLIAMS 0.1%12.8%
ROSS STORES 0.1%3.6%
MASTERCARD 0.1%5.0%
_
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.3% -- -0.3% -- -- 14.8% 0.0% 3.7%
Materials 0.1% 0.3% 0.0% -0.2% 12.8% 4.9% 1.3% 3.8%
Industrials -0.8% -0.4% -0.2% -0.1% -1.5% 1.9% 16.7% 12.3%
Cons. Disc.-2.0% -1.1% 0.2% -1.2% 0.7% 7.3% 33.6% 16.2%
Cons. Staples 0.1% -1.0% 0.4% 0.6% -5.6% 1.7% 4.6% 13.3%
Health Care -0.8% -0.5% 0.1% -0.3% 2.4% 7.0% 18.3% 11.7%
Financials 0.2% -- 0.2% -- -- 2.2% 0.0% 4.5%
Info. Tech 0.6% 1.0% -0.1% -0.2% 11.4% 8.3% 25.4% 31.9%
Telecomm.0.0% -- 0.0% -- -- 4.6% 0.0% 2.3%
Utilities 0.0% -- 0.0% -- -- 12.3% 0.0% 0.2%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -2.9%=-1.7%+0.2%+-1.4% 3.2% 6.1% 100.0% 100.0%
_
Characteristics
Portfolio
Russell
1000
Growth
Number of Holdings 44 567
Weighted Avg. Market Cap. ($B)125.3 119.5
Median Market Cap. ($B)66.4 6.1
Price To Earnings 20.9 21.2
Price To Book 6.1 5.8
Price To Sales 3.0 2.9
Return on Equity (%)42.7 30.0
Yield (%)1.7 1.7
Beta 0.9 1.0
R-Squared 0.9 1.0
64
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
65
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
*The 3 Year Style Map is a returns-based graph
66
September 30, 2012
Top Negative Contributors
Relative
Contribution
%Return %
STARBUCKS -0.2%-4.5%
MEAD JOHNSON NUTRITION -0.1%-8.6%
UNITEDHEALTH GP.-0.1%-4.9%
BEAM -0.1%-7.6%
BOEING -0.1%-5.8%
PRAXAIR -0.1%-4.0%
FACEBOOK CLASS A -0.1%-30.3%
LAM RESEARCH 0.0%-15.8%
HARLEY-DAVIDSON 0.0%-7.0%
ALLERGAN 0.0%-1.0%
_
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Waddell & Reed
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy 0.5% 0.1% 0.3% 0.1% 17.9% 14.8% 6.7% 3.7%
Materials 0.0% 0.0% 0.0% 0.0% 5.5% 4.9% 6.0% 3.8%
Industrials 0.0% -0.1% 0.1% 0.0% 0.7% 1.9% 8.9% 12.3%
Cons. Disc.-0.5% -0.4% 0.1% -0.2% 4.8% 7.3% 22.7% 16.2%
Cons. Staples 0.2% 0.1% 0.1% 0.0% 2.3% 1.7% 10.3% 13.3%
Health Care -0.5% -0.9% -0.1% 0.4% -0.5% 7.0% 6.2% 11.7%
Financials 0.7% 0.6% 0.0% 0.2% 15.5% 2.2% 5.7% 4.5%
Info. Tech 0.5% 0.4% 0.0% 0.0% 9.7% 8.3% 33.4% 31.9%
Telecomm.0.0% -- 0.0% -- -- 4.6% 0.0% 2.3%
Utilities 0.0% -- 0.0% -- -- 12.3% 0.0% 0.2%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 0.9%=-0.2%+0.5%+0.6% 7.0% 6.1% 100.0% 100.0%
_
Top Positive Contributors
Relative
Contribution
%Return %
META FINANCIAL GROUP 0.9%23.2%
NATIONAL OILWELL VARCO 0.8%24.5%
CBS 'B'0.4%11.2%
COGNIZANT TECH.SLTN.'A'0.4%16.5%
MONSANTO 0.3%10.3%
APPLE 0.3%14.7%
SCHLUMBERGER 0.3%11.9%
VISA 'A'0.2%8.8%
ESTEE LAUDER COS.'A'0.2%13.8%
WYNN RESORTS 0.2%11.9%
_
Characteristics
Portfolio
Russell
1000
Growth
Number of Holdings 54 567
Weighted Avg. Market Cap. ($B)110.4 119.5
Median Market Cap. ($B)28.2 6.1
Price To Earnings 24.5 21.2
Price To Book 5.4 5.8
Price To Sales 3.8 2.9
Return on Equity (%)47.0 30.0
Yield (%)1.3 1.7
Beta 1.1 1.0
R-Squared 1.0 1.0
67
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
68
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
*The 3 Year Style Map is a returns-based graph
69
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
Top Negative Contributors
Relative
Contribution
%Return %
WMS INDUSTRIES -0.3%-17.9%
SKYWORKS SLTN.-0.3%-13.8%
ON SEMICON.-0.3%-13.0%
LINCOLN ELECTRIC HDG.-0.2%-10.4%
MARVELL TECH.GROUP -0.1%-18.4%
HOSPIRA -0.1%-6.2%
ULTRA PTL.-0.1%-4.7%
GENWORTH FINANCIAL -0.1%-7.6%
CAMDEN PROPERTY TST.-0.1%-3.9%
HORMEL FOODS -0.1%-3.4%
_
Top Positive Contributors
Relative
Contribution
%Return %
GILDAN ACTIVEWEAR 0.4%15.4%
VALERO ENERGY 0.4%32.0%
OIL STS.INTL.0.3%20.0%
ATWOOD OCEANICS 0.3%20.1%
HARMAN INTL.INDS.0.3%16.9%
REGAL BELOIT 0.3%13.5%
FOSSIL 0.2%10.7%
KEYCORP 0.2%13.6%
ENERGEN 0.2%16.4%
KENNAMETAL 0.2%12.3%
_
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy 0.6% 0.4% 0.1% 0.1% 15.3% 10.8% 10.3% 8.7%
Materials -0.1% -0.2% 0.0% 0.1% 4.3% 5.9% 6.2% 6.2%
Industrials -0.3% -0.3% 0.0% 0.0% 4.8% 7.5% 9.6% 10.6%
Cons. Disc.-0.1% -0.2% 0.1% 0.1% 8.2% 9.6% 10.4% 9.0%
Cons. Staples -0.1% -0.2% 0.0% 0.0% 0.3% 3.4% 3.6% 4.9%
Health Care -0.4% -0.3% 0.0% -0.1% 2.1% 6.0% 9.1% 7.2%
Financials -0.1% -0.1% 0.0% 0.0% 4.1% 4.5% 30.1% 30.8%
Info. Tech -0.9% -1.1% 0.0% 0.1% -7.8% 2.2% 9.3% 10.5%
Telecomm.-0.4% -- -0.4% -- -- 41.4% 0.0% 1.1%
Utilities 0.0% 0.1% 0.0% 0.0% 1.5% 1.1% 11.4% 11.0%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -1.7%=-1.8%+-0.2%+0.3% 4.1% 5.8% 100.0% 100.0%
_
Characteristics
Portfolio
Russell
MidCap
Value
Number of Holdings 53 560
Weighted Avg. Market Cap. ($B)7.0 8.1
Median Market Cap. ($B)5.4 4.0
Price To Earnings 11.1 14.2
Price To Book 2.0 1.7
Price To Sales 1.8 1.7
Return on Equity (%)12.1 9.5
Yield (%)1.7 2.1
Beta 1.0 1.0
R-Squared 1.0 1.0
70
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
71
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
*The 3 Year Style Map is a returns-based graph
72
September 30, 2012
Top Negative Contributors
Relative
Contribution
%Return %
CLEAN HARBORS -0.3%-13.4%
INFORMATICA -0.2%-17.7%
ANGIE'S LIST -0.2%-33.2%
INCYTE -0.1%-20.5%
POWER INTEGRATIONS -0.1%-18.2%
CYMER -0.1%-13.4%
AMERICAN STANDARD ENERGY -0.1%-60.8%
STANCORP FINL.GP.-0.1%-15.9%
DEALERTRACK HOLDINGS -0.1%-7.5%
ALLEGIANT TRAVEL -0.1%-9.1%
_
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.1% -0.1% 0.0% 0.0% 7.5% 8.9% 6.3% 5.4%
Materials -0.2% -- -0.2% -- -- 10.3% 0.0% 4.3%
Industrials 1.5% 1.1% -0.2% 0.6% 9.3% 3.0% 25.9% 17.1%
Cons. Disc.0.2% 0.7% -0.1% -0.4% 10.7% 6.5% 7.2% 16.0%
Cons. Staples 0.1% 0.1% 0.0% 0.0% 3.9% 2.1% 3.4% 4.8%
Health Care 0.8% 1.1% 0.1% -0.4% 8.8% 3.9% 14.7% 22.2%
Financials 0.0% 0.0% 0.0% 0.0% 5.3% 5.0% 6.4% 6.9%
Info. Tech 0.7% 0.5% -0.1% 0.3% 6.5% 4.0% 34.0% 22.2%
Telecomm.-0.2% -0.1% 0.0% -0.1% -1.9% 16.5% 1.1% 0.8%
Utilities 0.0% -- 0.0% -- -- 6.4% 0.0% 0.3%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 2.8%=3.3%+-0.5%+0.0% 7.7% 4.8% 99.0% 100.0%
_
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
Top Positive Contributors
Relative
Contribution
%Return %
BOTTOMLINE TECHS.0.5%36.8%
GENESEE & WYOMING 'A'0.4%26.5%
CORPORATE EXEC.BOARD 0.4%31.7%
ON ASSIGNMENT 0.3%24.8%
GULFPORT EN.0.3%51.5%
SIRONA DENTAL SYSTEMS 0.3%26.5%
ULTIMATE SOFTWARE GP.0.3%14.8%
BROOKDALE SENIOR LIVING 0.3%30.9%
J2 GLOBAL 0.2%25.2%
EXLSERVICE HDG.0.2%19.7%
_
Characteristics
Portfolio
Russell
2000
Growth
Number of Holdings 113 1,112
Weighted Avg. Market Cap. ($B)1.7 1.5
Median Market Cap. ($B)1.2 0.6
Price To Earnings 18.7 18.7
Price To Book 4.0 4.5
Price To Sales 3.1 3.0
Return on Equity (%)15.7 7.2
Yield (%)0.5 0.6
Beta 0.8 1.0
R-Squared 1.0 1.0
73
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
74
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
75
September 30, 2012
Top Positive Contributors
Relative
Contribution
%Return %
BAYER 0.4%20.1%
RECKITT BENCKISER GROUP 0.4%10.8%
LLOYDS BANKING GROUP 0.3%28.5%
PRUDENTIAL 0.3%13.0%
UNILEVER CERTS.0.2%6.7%
AKZO NOBEL 0.2%20.4%
LEGRAND 0.2%11.1%
SANOFI 0.2%12.6%
ASTELLAS PHARMA 0.2%19.3%
HSBC HOLDINGS 0.2%7.6%
_
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
Characteristics
Portfolio MSCI EAFE
Number of Holdings 73 920
Weighted Avg. Market Cap. ($B)60.9 50.3
Median Market Cap. ($B)22.4 6.9
Price To Earnings 15.9 15.0
Price To Book 0.6 2.4
Price To Sales 1.6 1.6
Return on Equity (%)17.1 14.1
Yield (%)3.5 3.5
Beta 0.9 1.0
R-Squared 1.0 1.0
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy 0.0% 0.1% 0.0% 0.0% 7.3% 6.6% 7.8% 8.4%
Materials 0.3% 0.5% 0.0% -0.2% 12.8% 7.2% 7.2% 9.5%
Industrials 0.0% 0.0% 0.1% -0.1% 5.8% 5.8% 7.7% 12.5%
Cons. Disc.-0.1% -0.4% 0.2% 0.1% -1.3% 2.6% 5.7% 10.5%
Cons. Staples -0.1% -0.2% 0.0% 0.1% 5.6% 7.2% 26.2% 12.0%
Health Care 0.6% 0.5% 0.0% 0.0% 13.7% 8.9% 11.1% 10.1%
Financials -0.4% -0.2% -0.2% 0.0% 10.3% 11.3% 19.2% 22.6%
Info. Tech 0.0% 0.0% -0.2% 0.1% 2.4% 1.4% 8.0% 4.5%
Telecomm.-0.2% -0.3% 0.0% 0.0% 0.6% 5.0% 5.6% 5.6%
Utilities 0.1% 0.2% 0.1% -0.1% 7.5% 2.5% 1.6% 4.2%
Cash 0.0% 0.0% 0.0% 0.0% 0.0% -- 0.0% 0.0%
Portfolio 0.1%=0.2%+0.1%+-0.2% 7.2% 7.0% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
NGK SPARK PLUG -0.2%-18.4%
HITACHI -0.1%-7.6%
MITSUBISHI ELECTRIC -0.1%-9.7%
IMPERIAL TOBACCO GP.-0.1%-2.7%
ADMIRAL GROUP -0.1%-5.3%
TOKYO ELECTRON 0.0%-7.0%
ASATSU-DK 0.0%-8.1%
TURQUOISE HILL RES.0.0%-13.6%
TOYOTA MOTOR 0.0%-2.3%
SUMITOMO MITSUI FINL.GP.0.0%-2.3%
_
76
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
77
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
78
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
Sector Allocation as of 09/30/2012
BASIC MATERIALS 8.1%
COMMUNICATION
SERVICES 6.2%
CONSUMER CYCLICAL 11.5%
CONSUMER DEFENSIVE 16.1%
ENERGY 6.7%
FINANCIAL SERVICES 17.7%
HEALTHCARE 3.6%
INDUSTRIALS 7.6%
REAL ESTATE 2.5%
TECHNOLOGY 13.9%
UTILITIES 0.4%
Top Countries as of 09/30/2012
South Korea 14.3%
China 10.2%
India 7.6%
Brazil 7.3%
Taiwan 6.6%
Indonesia 5.3%
Philippines 5.0%
Mexico 4.9%
Turkey 4.2%Top Regions as of 09/30/2012
ASIA EMERGING 35.4%
ASIA DEVELOPED 22.3%
LATIN AMERICA 16.5%
EUROPE EMERGING 10.3%
AFRICA 4.0%
Portfolio Fund Information as of 09/30/2012
Ticker MGEMX
Morningstar Category Diversified Emerging
Mkts
Average Market Cap ($mm)14,922.2
Net Assets ($mm)1,260.8
% Assets in Top 10
Holdings 19.2
Total Number of Holdings 166
Manager Name Paul Psaila
Manager Tenure 19
Expense Ratio 1.3%
Closed to New Investors No
Top Holdings as of 09/30/2012
SAMSUNG ELECTRONICS
CO LTD 4.5%
HYUNDAI MOTOR CO LTD 2.0%
TAIWAN SEMICONDUCTOR
MANUFACTURING 1.9%
TENCENT HOLDINGS LTD.1.8%
LUKOIL OIL COMPANY JSC
ADR 1.7%
TURKIYE GARANTI BANKASI 1.6%
BRF - BRASIL FOODS SA 1.5%
WAL - MART DE MEXICO,
S.A.B. DE C.V. CLASS V 1.5%
ANADOLU EFES BIRACILIK
VE MALT SANAYI A.S.1.4%
COMPANHIA DE BEBIDAS
DAS AMERICAS AMBEV ADR 1.4%
Fund Characteristics as of 09/30/2012
Sharpe Ratio (3 Year)0.4
Average Market Cap
($mm)14,922.2
Price/Earnings 13.9
Price/Book 1.8
Price/Sales 0.9
Price/Cash Flow 6.1
Dividend Yield 2.0
Number of Equity Holdings 153
R-Squared (3 Year)1.0
Alpha (3 Year)0.2%
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September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
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September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
*The 3 Year Style Map is a returns-based graph
81
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Income Research
82
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
83
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
*The 3 Year Style Map is a returns-based graph
84
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
85
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Loomis Credit Asset Fund
86
September 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
87
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Brandywine Global Bond
88
September 30, 2012
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Brandywine Global Bond
*The 3 Year Style Map is a returns-based graph
89
Pictet - EMD Local Currency September 30, 2012The Metropolitan St. Louis Sewer District Employees’ Pension PlanBenchmark is JPM GBI-EM Global DiversifiedSource: Pictet90
GMO (Global Asset Allocation)The Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201291
Market Neutral - PyramisThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201292
Absolute Return – PIMCO All Asset FundThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201293
Real Estate – UBS Trumbull Property FundThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201294
Wellington Diversified Inflation HedgesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanSeptember 30, 201295
" 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 6