HomeMy Public PortalAbout2013 1st Quarter ReportInvestment Performance AnalysisAs of March 31, 2013May 1, 2013Kristin Finney-Cooke, CAIA, Senior ConsultantKristen Jackson, CFA, Sr. AnalystThe Metropolitan St. Louis Sewer District Employees’ Pension Plan
Table of ContentsInvestment Outlook1Market Environment2Executive Summary3Asset Allocation4Manager Summary5Manager Pages 6 TabThe Metropolitan St. Louis Sewer District Employees’ Pension PlanMarch 31, 20131
Investment Outlook2
" F o c u s o n s t r a t e g i c a l l o c a t i o n s i n a t i m e w i t h f e w t a c t i c a l o p p o r t u n i t i e s R e b a l a n c e a c r o s s a n d w i t h i n a s s e t c l a s s e s W i t h r u n i n U S e q u i t i e s , c a p t u r i n g g a i n s a n d r e b a l a n c i n g t o e m e r g i n g a p p e a r s a t t r a c t i v e " P o s i t i o n f o r a c o n t i n u a t i o n o f m a c r o - d r i v e n t h e m e s V o l a t i l i t y b e c a m e e v e n m o r e s u b d u e d b u t i s u n l i k e l y t o p e r s i s t R e m a i n v i g i l a n t a n d p r o v i d e s k i l l e d m a n a g e r s ( G A A , u n c o n s t r a i n e d f i x e d i n c o m e ) w i t h f l e x i b i l i t y t o m a n a g e r i s k e x p o s u r e s " U s e R i s k P a r i t y a s a s t a b l e f o u n d a t i o n o f a d i v e r s i f i e d p r o g r a m O n e q u a r t e r o f l o w e r p e r f o r m a n c e r e l a t i v e t o e q u i t y h e a v y p o r t f o l i o s i s n o r e a s o n t o a b a n d o n a p p r o a c h " C o n t i n u e b u i l d i n g a l l o c a t i o n s i n e m e r g i n g m a r k e t s a n d r e a l a s s e t s E m e r g i n g e q u i t i e s l o o k m o r e a t t r a c t i v e a f t e r u n d e r p e r f o r m i n g i n t h e f i r s t q u a r t e r I n f l a t i o n r e m a i n s s u b d u e d r e c e n t c o m m o d i t y p e r f o r m a n c e m a y o f f e r a r e a s o n a b l e e n t r y p o i n t " A l l o c a t e t o l e s s l i q u i d s t r a t e g i e s w i t h p a t i e n c e C o n t i n u e t o p r u d e n t l y d e p l o y c a p i t a l p a r t i c u l a r l y t o l e n d i n g s t r a t e g i e s K e y T h e m e s i n A s s e t A l l o c a t i o n N E P C 2 0 1 3 G e n e r a l A c t i o n s f o r C l i e n t s ( w i t h u p d a t e d c o m m e n t s a s o f 3 / 3 1 ) 3
" G l o b a l e q u i t y m a r k e t s s u r g e d t o s t a r t 2 0 1 3 ; l e a d b y U S e q u i t i e s T h e F e d e r a l R e s e r v e c o n t i n u e d t o 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 a s m a r k e t v o l a t i l i t y w a s s u p p r e s s e d M a r k e t s s h r u g g e d o f f w o r r i e s o f f i s c a l t i g h t e n i n g a s i n v e s t o r s c o n f o r m e d u n r e s e r v e d l y t o t h e r i s k - o n e n v i r o n m e n t T h o u g h e m e r g i n g m a r k e t s l a g g e d , i n t e r n a t i o n a l d e v e l o p e d e q u i t i e s p o s t e d s o l i d g a i n s , d r i v e n b y h e a v y m o n e t a r y s t i m u l u s i n J a p a n " 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 D P g r o w t h r e v i s e d t o 0 . 4 % i n Q 4 , b u t i n i t i a l Q 1 p r o j e c t i o n s a r o u n d 3 % a r e m o r e p r o m i s i n g A l l B R I C a n d m o s t E u r o z o n e c o u n t r i e s h a v e p r o j e c t e d 2 0 1 3 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 , b u t s a w s l i g h t i n c r e a s e s " C r e d i t m a r k e t s w e r e m i x e d , a s r i s k i e r m a r k e t s e g m e n t s c o n t i n u e d t o t h r i v e b u t i n v e s t m e n t g r a d e a n d c o r e b o n d s s t r u g g l e d , p o s t i n g m a r g i n a l q u a r t e r l y l o s s e s " C o m m o d i t i e s r e m a i n e d i n a s l i d e , r e c o r d i n g a s e c o n d c o n s e c u t i v e n e g a t i v e q u a r t e r a s g o l d r e c e d e d f u r t h e r f r o m 2 0 1 2 h i g h s F i r s t Q u a r t e r M a r k e t s S u m m a r y 4
" S t r o n g p e r f o r m a n c e o f e q u i t i e s , p a r t i c u l a r l y i n t h e U S , a p p e a r s t o b o r r o w f r o m t h e f u t u r e " C o n t i n u e d m o n e t a r y s t i m u l a t i o n , c o m b i n e d w i t h a l o w v o l a t i l i t y l a n d s c a p e , h a s p r o v e n a p r e v a i l i n g p a n a c e a " M a j o r m a c r o r i s k s r e m a i n E u r o p e " O n g o i n g d e b t c o n c e r n s r e t u r n e d t o h e a d l i n e s b y t h e C y p r i o t c r i s i s U S F i s c a l T i g h t e n i n g " F i s c a l C l i f f a n d S e q u e s t e r f a i l e d t o d e r a i l m a r k e t s , b u t f i s c a l c h a l l e n g e s r e m a i n C h i n a " G r o w t h i s s l o w i n g & h o w m u c h ? I n f l a t i o n " P o t e n t i a l c r e a t i o n o f 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 t h r o u g h c e n t r a l b a n k b o n d p u r c h a s e s " T i m e t o r e b a l a n c e t o f u n d a m e n t a l l y a t t r a c t i v e a s s e t c l a s s e s a n d e x e r c i s e p a t i e n c e i n p r e p a r i n g t o s e i z e n e w o p p o r t u n i t i e s M a i n t a i n e q u i t y a l l o c a t i o n s t o t a r g e t s w h i l e t a k i n g p r o f i t s i n U S s t o c k s " I n t e r n a t i o n a l a n d E m e r g i n g M a r k e t r e t u r n s h a v e b e e n l e s s p o s i t i v e d e s p i t e a h i g h e r p r o j e c t e d r e t u r n p r e m i u m T h o u g h s t i m u l a t i o n i s l i k e l y t o p e r s i s t i t i s p r u d e n t t o p r e p a r e f o r o t h e r o p p o r t u n i t i e s " W h e n r e t u r n s n o r m a l i z e , d o w n s i d e v o l a t i l i t y i s l i k e l y t o r e s u r f a c e , g e n e r a t i n g a t t r a c t i v e b u y i n g o p p o r t u n i t i e s f o r i n v e s t o r s w i t h t h e a b i l i t y t o a c t p r o m p t l y O u t l o o k 5
Market Environment6
Investment Market Update: As of March 31, 2013PERFORMANCE THROUGH 3/31/2013SectorIndex20082009201020112012JANFEBMAR2013Small Cap Growth R2000 Growth-38.5%34.5% 29.1%-2.9%14.6% 6.6% 1.1% 5.1% 13.2%SMID Cap R2500-36.8%34.4% 26.7%-2.5%17.9% 6.8% 1.1% 4.4% 12.8%Small Cap Russell 2000-33.8%27.2% 26.9%-4.2%16.4% 6.3% 1.1% 4.6% 12.4%Large Cap Value R1000 Value-36.9%19.7% 15.5% 0.4% 17.5% 6.5% 1.4% 4.0% 12.3%Small Cap Value R2000 Value-28.9%20.6% 24.5%-5.5%18.1% 6.0% 1.1% 4.2% 11.6%Large Cap Russell 1000-37.6%28.4% 16.1% 1.5% 16.4% 5.4% 1.3% 3.9% 11.0%Large Cap S&P 500-37.0%26.5% 15.1% 2.1% 16.0% 5.2% 1.4% 3.8% 10.6%Large Cap Growth R1000 Growth-38.4%37.2% 16.7% 2.6% 15.3% 4.3% 1.2% 3.8% 9.5%REITS Wilshire REIT-39.2%28.6% 28.6% 9.2% 17.6% 3.5% 0.9% 2.8% 7.4%Diversified Diversified*-24.5%24.1% 13.5% 1.3% 12.7% 3.1% 0.6% 2.0% 5.9%Int. Equity EAFE (net)-43.4%31.8% 7.8%-12.1%17.3% 5.3%-0.9%0.8% 5.1%High Yield BC HY-26.2%58.2% 15.1% 5.0% 15.8% 1.3% 0.5% 1.0% 2.9%Muni Bonds BC Muni (unadj)-2.5%12.9% 2.4% 10.7% 6.8% 0.4% 0.3%-0.4%0.3%Gov/Credit BC 1-5 Yr Gov/Cred 5.1% 4.6% 4.1% 3.1% 2.2%-0.1%0.3% 0.1% 0.3%Int. Gov/Credit BC Intermediate GC 5.1% 5.2% 5.9% 5.8% 3.9%-0.4%0.5% 0.1% 0.3%Gov/Credit BC 1-3 Yr Gov/Cred 5.0% 3.8% 2.8% 1.6% 1.3% 0.0% 0.1% 0.0% 0.2%Int. Core FI BC Intermediate Agg 5.2% 5.9% 6.5% 7.8% 4.2%-0.7%0.4% 0.1% 0.2%Core FI BC Aggregate 5.2% 5.9% 6.5% 7.8% 4.2%-0.7%0.5% 0.1%-0.1%EMD Loc. GBI-EM Glob. Div.-5.2%22.0% 15.7%-1.8%16.8% 0.7%-0.3% -0.5% -0.1%Commodities DJ UBS Commodity-35.7%18.9% 16.8%-13.3% -1.1%2.4%-4.1%0.7%-1.1%Emerging FI BC Emerging (USD)-14.8%34.2% 12.8% 7.0% 18.0%-0.7% -0.2% -0.6% -1.5%Emerging EM (net)-53.3%78.5% 18.9%-18.4%18.2% 1.4%-1.3% -1.7% -1.6%Long Credit BC Long Credit-3.9%16.8% 10.7% 17.1% 12.7%-2.2%0.9%-0.5% -1.8%Long Gov/Credit BC Long Gov/Credit 8.4% 1.9% 10.2% 22.5% 8.8%-2.7%1.0%-0.3% -2.0%Global FI Citigroup WGBI 10.9% 2.6% 5.2% 6.4% 1.7%-1.3% -1.2% -0.3% -2.8%Treasury STRIPS BC 20+ STRIPS59.5%-36.0%10.9% 58.5% 3.0%-5.9%1.5%-0.9% -5.4%* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSSources: Barclays, Bloomberg, Wilshire7
8 % 6 % 4 % 2 % 0 % 2 % 4 % 6 % 8 % 1 0 % Q 1 9 4 Q 4 9 4 Q 3 9 5 Q 2 9 6 Q 1 9 7 Q 4 9 7 Q 3 9 8 Q 2 9 9 Q 1 0 0 Q 4 0 0 Q 3 0 1 Q 2 0 2 Q 1 0 3 Q 4 0 3 Q 3 0 4 Q 2 0 5 Q 1 0 6 Q 4 0 6 Q 3 0 7 Q 2 0 8 Q 1 0 9 Q 4 0 9 Q 3 1 0 Q 2 1 1 Q 1 1 2 Q 4 1 2 R e a l � G r o s s � D o m e s t i c � P r o d u c t � G r o w t h U S E c o n o m i c E n v i r o n m e n t S o u r c e : B l o o m b e r g a s o f 3 / 3 1 S o u r c e : B l o o m b e r g a s o f 3 / 3 1 S o u r c e : B l o o m b e r g a s o f 3 / 3 1 S o u r c e : B l o o m b e r g a s o f 3 / 3 1 C o n s u m e r c o n f i d e n c e r e c e d e d t o J a n u a r y l e v e l s a f t e r e x p e r i e n c i n g a F e b r u a r y b o o s t ; t h e C a s e - S h i l l e r h o m e p r i c e i n d e x ( A s o f 1 2 / 3 1 ) f e l l m a r g i n a l l y t h r o u g h D e c e m b e r R o l l i n g 1 2 m o n t h C P I f e l l t o 1 . 5 % a t e n d o f M a r c h ; c a p a c i t y u t i l i z a t i o n i n c r e a s e d t o 7 8 . 5 % i n t h e m o n t h F o u r t h q u a r t e r G D P g r o w t h w a s r e v i s e d u p w a r d s t o 0 . 4 % U n e m p l o y m e n t d e c r e a s e d t o 7 . 6 % i n M a r c h , i t s l o w e s t l e v e l s i n c e 2 0 0 8 ; U - 6 d e c r e a s e d t o 1 3 . 8 % 0 . 4 % 0 % 2 % 4 % 6 % 8 % 1 0 % 1 2 % 1 4 % 1 6 % 1 8 % U n e m p l o y m e n t � R a t e � v s . � U 6 U n e m p l o y m e n t � R a t e U 6 6 0 % 6 5 % 7 0 % 7 5 % 8 0 % 8 5 % 9 0 % 9 5 % 1 0 0 % 6 % 3 % 0 % 3 % 6 % 9 % 1 2 % 1 5 % 1 8 % 1 9 7 2 1 9 7 4 1 9 7 6 1 9 7 8 1 9 8 0 1 9 8 2 1 9 8 4 1 9 8 6 1 9 8 8 1 9 9 0 1 9 9 2 1 9 9 4 1 9 9 6 1 9 9 8 2 0 0 0 2 0 0 2 2 0 0 4 2 0 0 6 2 0 0 8 2 0 1 0 2 0 1 2 % � o f � T o t a l � C a p a c i t y R o l l i n g � 1 2 � M o n t h � C P I C a p a c i t y � U t i l i z a t i o n � v s . � R o l l i n g � 1 2 � M o n t h � C P I 1 2 M o � C P I C a p a c i t y � U t i l i z a t i o n 0 3 0 6 0 9 0 1 2 0 1 5 0 1 8 0 2 1 0 1 9 9 0 1 9 9 1 1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 1 2 0 1 2 H o m e � P r i c e � I n d e x � a n d � C o n s u m e r � C o n f i d e n c e S & P � C a s e S h i l l e r � H o m e � P r i c e � I n d e x C o n s u m e r � C o n f i d e n c e 8
Components of GDPSource: Bloomberg as of 12/31Source: Bloomberg as of 2/28Source: Bloomberg as of 3/31Source: Bloomberg as of 2/28Corporate Profits as a percent of GDP remained near secular highs and increased to 12.7% at Q4 endThe trade deficit decreased slightly in February, backtracking on a large January increaseRetail sales fell to a 2.0% year-over-year growth rate in MarchThe inventory-to-sales ratio has remained mostly flat since early 2010 - closing at 1.28 in February‐10%‐5%0%5%10%15%199519961997199819992000200120022003200420052006200720082009201020112012Annual % ChangeRetail Sales 1.21.31.41.51.6199319941995199619971998199920002001200220032004200520062007200820092010201120122013Inventory to Sales Ratio ‐$80‐$70‐$60‐$50‐$40‐$30‐$20‐$10$01994199519961997199819992000200120022003200420052006200720082009201020112012BillionsU.S. Trade Surplus (Deficit) 6%7%8%9%10%11%12%13%197219741976197819801982198419861988199019921994199619982000200220042006200820102012Corporate Profits as % of GDP Profits/GDPAverage9
Key Economic IndicatorsSource: Bureau of Economic Analysis, Congressional Budget Office as of 10/1Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31US GDP relative to potential GDP decreased in the third quarter of 2012 and remained below the historical averageChicago Fed National Activity 3 Month moving average decreased through MarchThe rolling percentage change in the Leading Economic Indicators index fell to 1.72% through MarchThe small business optimism index declined slightly in March, closing the first quarter up marginally from year end‐20%‐15%‐10%‐5%0%5%10%15%20%12 Month Rolling ChangeEcon. Conference Board Leading Econ. Indicators 808590951001051101151992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Index Value (1986 = 100)Small Business Optimism Index ‐5‐4‐3‐2‐10123Chicago Fed National Activity 3‐Mo. Mvg. Avg.‐10%‐8%‐6%‐4%‐2%0%2%4%6%8%1949195219551958196119641967197019731976197919821985198819911994199720002003200620092012US GDP Relative to Potential10
Economic Environment – Banks and Monetary PolicySource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31The Japanese Yen weakened 8.0% relative to the US dollar in the first quarter; while the MSCI Japan TR Net Local Index returned 21.4%After more dramatic movements in 2012 Eurozone excess reserves have steadily decreased as US excess reserves experienced a sharp increase through MarchFederal Reserve Bank balance sheet increased in 2013 while European Central Bank balance sheet has decreased significantlyCentral bank assets worldwide have risen significantly since 2008 but have experienced a recent slowdown€400 €800 €1,200 €1,600 €2,000 €2,400 €2,800 €3,200 $500$1,000$1,500$2,000$2,500$3,000$3,500$4,000Jan‐08Apr‐08Jul‐08Oct‐08Jan‐09Apr‐09Jul‐09Oct‐09Jan‐10Apr‐10Jul‐10Oct‐10Jan‐11Apr‐11Jul‐11Oct‐11Jan‐12Apr‐12Jul‐12Oct‐12Jan‐13BillionsBillionsFed vs. ECB Balance SheetsFedECB€0€200€400€600€800€1,000€1,200€1,400$0$200$400$600$800$1,000$1,200$1,400$1,600$1,800Jan‐08Apr‐08Jul‐08Oct‐08Jan‐09Apr‐09Jul‐09Oct‐09Jan‐10Apr‐10Jul‐10Oct‐10Jan‐11Apr‐11Jul‐11Oct‐11Jan‐12Apr‐12Jul‐12Oct‐12Jan‐13BillionsBillionsUS vs. Eurozone Excess ReservesUSEurozone$0$2,000,000$4,000,000$6,000,000$8,000,000$10,000,000$12,000,000$14,000,000$16,000,000USD (000,000s)Central Bank AssetsPBoCSNBBoJBoEECBFED4004505005506006507007580859095100Japanese Yen Spot vs. MSCI Japan LocalJapanese Yen Spot USD (LHS)MSCI Japan Local Index (RHS)11
Economic Environment – Macro IssuesSource: Morningstar as of 3/31*Shown as the midpoint of a range; Source: CRFB, Capital EconomicsSource: Bloomberg as of 3/31Source: IMF as of 3/31‐6%‐5%‐4%‐3%‐2%‐1%0%CBO* CapitalEconomicsCRFB Zandi GoldmanSachsMorganStanley*Estimates of “Fiscal Cliff” Drag on GDP GrowthRevised Estimated drag on GDP from 2013 fiscal austerity02004006008001000120014001600Jun‐07Sep‐07Dec‐07Mar‐08Jun‐08Sep‐08Dec‐08Mar‐09Jun‐09Sep‐09Dec‐09Mar‐10Jun‐10Sep‐10Dec‐10Mar‐11Jun‐11Sep‐11Dec‐11Mar‐12Jun‐12Sep‐12Dec‐12Basis PointsEurozone CDSPortugalItalyGermanySpain0%5%10%15%20%25%30%S&P 500 MSCI EAFE MSCI EM BC US Agg Treasury BC US Corp HYMarket Volatility1 Yr Return Std Dev10 Yr Return Std Dev‐5%‐4%‐3%‐2%‐1%0%1%2%3%Greece Spain Italy Portugal France Ireland GermanyReal GDP Growth10 Yr Average2013 Projected12
05101520253035Equity Valuations: S&P 500 P/E RatioP/E RatioLT Avg.6008001000120014001600May‐08Aug‐08Nov‐08Feb‐09May‐09Aug‐09Nov‐09Feb‐10May‐10Aug‐10Nov‐10Feb‐11May‐11Aug‐11Nov‐11Feb‐12May‐12Aug‐12Nov‐12Feb‐13S&P 500 and Periods of Fed ActivityMarket Environment – US EquitySource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31The S&P 500's 50-day moving average remained above its 150-day moving average in MarchS&P valuations remain below the long-term average The VIX fell below 13% in March, while the S&P 500 rose 3.8%QE1QE2Op. TwistOp. Twist Ext. / QE3*Ex-negative earners02004006008001000120014001600180001020304050607080902002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013S&P 500VIXVIX vs S&P 500VIXS&P 500120012501300135014001450150015501600S&P 500 MomentumS&P 50050 Day Mov. Avg.150 Day Mov. Avg.13
US Stock Market PerformanceSource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Value stocks have outperformed growth in 2013 Domestic equity has outperformed international equity in 2013Healthcare lead all sectors in the first quarter; IT and Materials lagged but delivered positive returnsSmall cap has marginally outperformed large cap in 2013‐5% 0% 5% 10% 15% 20% 25% 30%Con.Discretionary (11.6%)Con.Staples (11.01%)Energy (10.97%)Financials (15.92%)Health Care (12.61%)Industrials (10.04%)Info Tech. (17.92%)Materials (3.41%)Telecom (3.01%)Utilities (3.52%)S&P 500 Sector Returns and WeightsQ11 Yr‐25%‐15%‐5%5%15%25%35%19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Large Cap vs. Small Cap Equity ReturnsLarge Cap OutperformsSmall Cap Outperforms‐55%‐45%‐35%‐25%‐15%‐5%5%15%25%35%19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Domestic vs. International Equity ReturnsDomestic OutperformsInt'l Outperforms‐35%‐25%‐15%‐5%5%15%25%35%19791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Large Value vs. Large Growth Equity ReturnsValue OutperformsGrowth Outperforms14
Non-US Stock PerformanceSource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Developed Market Equity Returns (U.S. Dollars)YTDQ11 Yr.3 Yr. Ann.Europe ex UK2.4% 2.4% 7.7% 0.3%United Kingdom1.4% 1.4% 5.6% 4.3%Japan10.7% 10.7% 6.3% 1.2%Pacific Ex Japan6.1% 6.1% 15.0% 5.7%Canada0.3% 0.3% 1.1% 0.9%USA10.1% 10.1% 11.3% 11.6%US Dollar Return vs. Major Foreign Currencies(Negative = Dollar Depreciates, Positive = Dollar Appreciates)YTD Q11 Yr. 3 Yr. Ann.Euro2.8% 2.8% 3.9% 1.7%Japanese Yen8.0% 8.0% 12.1% 0.3%British Pound6.5% 6.5% 5.1%-0.0%Canada2.5% 2.5% 2.0% 0.1%Australia0.1% 0.1%-0.7% -4.5%Currency Impact on Developed Mkt. Returns(Negative = Currency Hurt, Positive = Currency Helped)YTD Q11 Yr. 3 Yr. Ann.MSCI EAFE (Local) 9.7% 9.7% 16.7% 4.5%MSCI EAFE (USD)5.1% 5.1% 11.3% 5.3%Currency Impact-4.5% -4.5% -5.5%0.7%‐15%‐10%‐5% 0% 5% 10% 15% 20% 25%Con.Discretionary (10.97%)Con.Staples (12.33%)Energy (7.16%)Financials (24.84%)Health Care (10.29%)Industrials (12.59%)Info Tech. (4.35%)Materials (8.86%)Telecom (4.93%)Utilities (3.67%)MSCI EAFE Sector Returns (Wgts.)1 YrQ1468101214161820Jan‐05May‐05Sep‐05Jan‐06May‐06Sep‐06Jan‐07May‐07Sep‐07Jan‐08May‐08Sep‐08Jan‐09May‐09Sep‐09Jan‐10May‐10Sep‐10Jan‐11May‐11Sep‐11Jan‐12May‐12Sep‐12Jan‐13EAFE and EM Equity P/E RatioMSCI EAFEMSCI EM*Ex‐Negative Earners‐100%‐80%‐60%‐40%‐20%0%20%40%60%1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Developed vs. Emerging Markets Equity ReturnsEmerging OutperformsDeveloped Outperforms15
Emerging Markets- MSCI EM P/E Ratio and the MSCI EM Small Cap P/E Ratio are both below historical averages- MSCI EM P/B and P/S Ratios are in line with historical averages- MSCI EM Small Cap P/B Ratio is above historical average- MSCI EM Small Cap P/S Ratio is below historical averageSource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31US Dollar Return vs. Major EM Currencies(Negative = Dollar Depreciates, Positive = Dollar Appreciates)YTD Q11 Yr. 3 Yr. Ann.Brazilian Real-1.4% -1.4%9.7% 4.0%Russian Ruble1.7% 1.7% 5.7% 1.8%Indian Rupee-0.7% -0.7%6.5% 5.9%Chinese Renminbi-0.3% -0.3% -1.3% -3.3%Singapore Dollar-0.2% -0.2% -0.9% -0.9%Hungarian Forint7.1% 7.1% 7.1% 5.8%Turkish Lira1.4% 1.4% 1.4% 5.4%Mexican Peso-4.4% -4.4% -4.0% -0.1%So. African Rand8.3% 8.3% 16.9% 7.1%So. Korean Won4.4% 4.4%-1.7% -0.6%Emerging Markets ValuationMSCI EMMSCI EM Small CapPE Ratio12.2716.15PE Historical Avg15.6421.64PB Ratio1.591.32Historical Avg1.561.17PS Ratio 1.020.64Historical Avg1.030.690%2%4%6%8%10%12%BrazilRussiaIndiaChinaBRIC GDP Growth Rates10 Yr Avg. Real GDP GrowthProjected 2013 Real GDP Growth0123456782002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012EM Sovereign Bond SpreadEM (Local) ‐ US Bond SpreadAverage16
Market Environment – Interest RatesSource: Bloomberg as of 3/31Source: Citigroup as of 3/31Source: US Treasury as of 3/31Source: Bloomberg as of 3/31Fed Funds rate remained at 0.25% while the 10 Yr. Treasury Yield finished March at 1.85%Citi Pension discount rate rose slightly to 4.32% through March, but remained near all-time lowsBond yields across the globe have experienced mixed changes in 20130.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%0 5 10 15 20 25 30Years to Maturity U.S. Treasury Yield CurveMar‐13Dec‐12Dec‐11Dec‐100%1%2%3%4%5%6%US UK Euro Japan Australia EM*Global Bond Yields12/31/123/29/130%1%2%3%4%5%6%7%8%9%199219931994199519961997199819992000200120022003200420052006200720082009201020112012201310 Year Treasury vs. Fed Funds Rate10 YR TreasuryFed Funds Rate3%4%5%6%7%8%9%1995199619971998199920002001200220032004200520062007200820092010201120122013Citigroup Pension Liabililty Index17
Fixed Income PerformanceSource: Barclays as of 3/31Source: Barclays, Bloomberg as of 3/31Source: Barclays as of 3/31Source: Barclays as of 3/31‐4%‐2%0%2%4%6%8%10%12%14%1‐3 Yr. Trs.3‐5 Yr. Trs. 7‐10 Yr.Trs.25+ Yr.Trs.Core High Yield GlobalBondEMDFixed Income ReturnsQ11 Yr02004006008001000120014002003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013Basis PointsCorporate Spreads AaABaaBa‐15%‐10%‐5%0%5%10%15%WGBI US UK Japan Canada Australia JPM EMBIGlobal Bond ReturnsQ11 Yr‐4%‐2%0%2%4%6%8%10%12%Treasuries Agencies MBS ABS Inv.Gr.Corp.Inter. Corp. Long Corp.Investment Grade Sector ReturnsQ11 Yr18
Market Environment – CommoditiesSource: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Source: Bloomberg as of 3/31Corn prices finished March at $7.50 per bushelOil prices finished March at $97.23 per barrelGold prices finished March at $1,598.75 per ounce$0$1$2$3$4$5$6$7$8$92002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013Corn Spot Price Per Bushel‐3%‐2%‐1% 0% 1% 2% 3% 4%Nat GasCoffeeCopperZincCottonLeadCocoaWheatNickelOilGoldSilverAverageSoybeanSugarCornGasolineRelative Roll YieldBackwardationContango$0$200$400$600$800$1,000$1,200$1,400$1,600$1,800$2,0002002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013Gold Spot Price Per Ounce$0$20$40$60$80$100$120$140$1602002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013Oil Spot Price Per Barrel 19
Executive Summary20
Portfolio CommentaryTotal ReturnCurrent Allocation Total CompositeInvestment SummaryLast QuarterLast YearLast 3 YearsLast 5 YearsTotal Composite3.7 8.8 8.9 6.0Rank88 75 55 16Median Public Funds 5.0 9.8 9.0 5.2Policy Index3.9 8.6 8.4 5.2Periods longer than one year are annualized.Returns are shown gross of fees.*Rankings versus total Public Fund s1=best, 100=worst.20.0%5.0%10.0%3.0%13.0%5.0%5.0%8.0%2.0%10.0%4.0%5.0%5.0%5.0%0.0%‐15.0%‐10.0%‐5.0%0.0%5.0%10.0%15.0%20.0%25.0%Over/Under TargetPolicy Target•Goals & Objectives–The portfolios investment objective is to achieve a rate ofreturn consistent with that of the set asset allocation,while maintaining a long term investment horizon for theFund•Recent Decisions and Ongoing Activities–Funded new US Large Cap Growth Equity managersduring March: T. Rowe Price and Holland Capital.–Reviewed Penn Capital’s high yield performance. PennCapital was initially hired as a low volatility high yieldmanager. While trailing the benchmark index, Penn hasprovided high yield exposure in a lower risk “moreconservative” manner than the benchmark and othermanagers in the asset class.•Total Fund Performance / Asset Growth–As of the end of the 1stquarter of 2013, the marketvalue of assets held was $228.8 million, up from $223.8million at 2012 year end. During the 1stquarter, the netcash out flow was $3.5 million and the net investmentearnings were $8.5 million.–The Fund returned 3.7% for the quarter, which ranked inthe 88thpercentile in the IF Public DB Fund ExtendedUniverse.–Trailing performance ranks below the median for the lastquarter and one and three year periods and above for thefive year period.•Total Fund Asset Allocation–Currently, the Fund is relatively close to its policybenchmark in all classes.7March 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan21
5 Years Ending March 31, 2013
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 6.02% 16 10.75% 29 0.54 36 0.67 34
Composite Allocation Index 5.24%48 10.58%28 0.47 45 0.59 44
Policy Index 5.16% 51 11.44% 41 0.43 53 0.52 51
XXXXX
Market Value 3 Mo Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank
_
Composite $228,841,721 3.7%88 8.8%75 8.9%55 6.0%16
Composite Allocation Index 4.1%84 8.5%79 8.4%73 5.2%48
Policy Index 3.9%85 8.6%77 8.4%73 5.2%51
IFx Public DB Gross Median 5.0%9.8%9.0%5.2%
XXXXX
March 31, 2013
Note: All performance shown is gross of fees.
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Summary
3 Years Ending March 31, 2013
Anlzd Ret Rank Anlzd Std
Dev Rank Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 8.91% 55 8.98% 51 0.98 61 1.33 71
Composite Allocation Index 8.35%73 8.63%45 0.96 65 1.42 51
Policy Index 8.35% 73 8.83% 47 0.94 70 1.37 64
22
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
3 Years Ending March 31, 2013
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 8.91% 55 8.98% 51
Composite Allocation Index --8.35%73 8.63%45
Policy Index -- 8.35% 73 8.83% 47
IFx Public DB Gross Median --9.00%--8.96%--
XXXXX
3 Years Ending March 31, 2013
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 0.98 61 1.33 71
Composite Allocation Index --0.96 65 1.42 51
Policy Index -- 0.94 70 1.37 64
IFx Public DB Gross Median --1.00 --1.40 --
XXXXX
Note: All performance is shown gross of fees.
23
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk/Return
5 Years Ending March 31, 2013
% of Tot Anlzd Ret Rank Anlzd Std
Dev Rank
_
Composite 100.00% 6.02% 16 10.75% 29
Composite Allocation Index --5.24%48 10.58%28
Policy Index -- 5.16% 51 11.44% 41
IFx Public DB Gross Median --5.18%--11.95%--
XXXXX
5 Years Ending March 31, 2013
% of Tot Sharpe
Ratio Rank Sortino
Ratio RF Rank
_
Composite 100.00% 0.54 36 0.67 34
Composite Allocation Index --0.47 45 0.59 44
Policy Index -- 0.43 53 0.52 51
IFx Public DB Gross Median --0.41 --0.49 --
XXXXX
Note: All performance is shown gross of fees.
24
Sources of Portfolio Growth Last Three
Months One Year Three Years
_
Beginning Market Value $223,825,557 $211,812,549 $181,778,520
Net Additions/Withdrawals -$3,458,333 -$1,402,097 -$4,275,330
Investment Earnings $8,474,497 $18,431,270 $51,338,531
Ending Market Value $228,841,721 $228,841,721 $228,841,721
_
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Growth Summary
25
March 31, 2013
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.
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Growth Summary by Manager
Quarter Ending March 31, 2013
Beginning
Market Value Withdrawals Contributions Net Cash Flow Net Investment
Change
Ending
Market Value
_
Brandywine Global Bond $17,569,186 $0 $5,308 $5,308 -$33,446 $17,541,048
Buford Dickson Harper & Sparrow $5,347,280 -$5,680,178 $0 -$5,680,178 $332,898 $0
Cash $1,195,719 -$3,331,533 $3,328,343 -$3,189 $10 $1,192,539
GMO Asset Allocation Fund $22,296,706 -$430,416 $0 -$430,416 $816,073 $22,682,363
Holland Capital --$0 $11,017,200 $11,017,200 $203,243 $11,220,443
Income Research $28,346,535 $0 $0 $0 $115,668 $28,462,203
Kennedy $5,855,808 -$399,558 $0 -$399,558 $788,249 $6,244,499
Loomis Credit Asset Fund $4,573,298 $0 $0 $0 $91,623 $4,664,921
Morgan Stanley Inst Emg Mkt Port.$6,816,129 $0 $0 $0 $55,181 $6,871,310
Morgan Stanley Int'l Equity Fund $23,232,447 -$1,522,000 $0 -$1,522,000 $1,311,900 $23,022,348
Penn Capital $11,672,173 $0 $0 $0 $271,305 $11,943,478
Pictet Emerging Local Curr. Debt Fd $11,543,870 -$11,283 $0 -$11,283 -$31,318 $11,501,269
PIMCO All Asset $10,373,826 $0 $0 $0 $90,364 $10,464,190
Pyramis Mkt Neutral $10,230,030 $0 $0 $0 -$37,917 $10,192,113
T. Rowe Price --$0 $11,019,000 $11,019,000 $113,338 $11,132,338
TimesSquare Small Cap Growth Fund $5,887,292 -$300,000 $0 -$300,000 $800,969 $6,388,262
UBS Realty - Trumbull Property Fund $9,751,253 -$29,254 $0 -$29,254 $161,061 $9,883,061
Vanguard Institutional Index $7,437,453 -$600,000 $0 -$600,000 $760,921 $7,598,374
Vanguard Windsor II $15,597,069 -$73,000 $0 -$73,000 $1,612,089 $17,136,158
Waddell & Reed $15,364,036 -$16,450,962 $0 -$16,450,962 $1,086,927 $0
Wellington Diver. Inflation $10,735,447 $0 $0 $0 -$34,642 $10,700,805
Total $223,825,557 -$28,828,184 $25,369,851 -$3,458,333 $8,474,497 $228,841,721
XXXXX
26
Redemptions / Contributions during the 1stQuarter were:Vanguard Windsor II - $73,000 redemptionVanguard Institutional Index - $600,000 redemptionKennedy - $400,000 redemption less cash adjustment of $442.TimesSquare - $300,000 redemptionMorgan Stanley Int’l - $1,522,000 redemptionsGMO GAA - $430,000 redemption plus $416 transaction feePictet – Management Fees $11,283UBS – Management Fees $29,254Buford Dickson and Waddell & Reed – full redemption of all holdingsT. Rowe Price and Holland Capital – funding of new investmentsDetail on Total Fund Asset Growth SummaryMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan27
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Composite 228,841,721 100.0 100.0 3.7 88 8.8 75 8.9 55 6.0 16 8.7 23 8.8 Oct-82
Composite Allocation Index 4.1 84 8.5 79 8.4 73 5.2 48 8.2 42 --Oct-82
Over/Under -0.4 0.3 0.5 0.8 0.5
Policy Index 3.9 85 8.6 77 8.4 73 5.2 51 8.1 47 --Oct-82
IFx Public DB Gross Median 5.0 9.8 9.0 5.2 7.9 9.8 Oct-82
Large Cap Equity Composite 47,087,314 20.6 20.0 8.0 88 8.9 79 10.8 73 5.0 76 ------Jun-03
S&P 500 10.6 47 14.0 44 12.7 40 5.8 60 8.5 79 7.3 Jun-03
Over/Under -2.6 -5.1 -1.9 -0.8
eA US Large Cap Equity Gross Median 10.5 13.3 12.1 6.2 9.6 8.3 Jun-03
Vanguard Windsor II 17,136,158 7.5 7.0 10.4 79 14.9 66 11.7 59 6.3 38 9.9 53 5.7 May-01
Russell 1000 Value 12.3 30 18.8 18 12.7 42 4.8 72 9.2 73 5.3 May-01
Over/Under -1.9 -3.9 -1.0 1.5 0.7 0.4
eA US Large Cap Value Equity Gross Median 11.5 16.0 12.3 5.9 9.9 6.1 May-01
Vanguard Institutional Index 7,598,374 3.3 3.0 10.6 52 13.9 45 12.7 42 5.9 60 8.6 79 3.5 Oct-99
S&P 500 10.6 53 14.0 44 12.7 42 5.8 61 8.5 81 3.4 Oct-99
Over/Under 0.0 -0.1 0.0 0.1 0.1 0.1
eA US Large Cap Core Equity Gross Median 10.7 13.5 12.2 6.3 9.5 5.0 Oct-99
T. Rowe Price 11,132,338 4.9 5.0 --------------------1.0 Mar-13
Russell 1000 Growth 9.5 36 10.1 39 13.1 30 7.3 37 8.6 69 3.8 Mar-13
Over/Under -2.8
eA US Large Cap Growth Equity Gross Median 8.9 8.8 12.0 6.6 9.2 3.1 Mar-13
Holland Capital 11,220,443 4.9 5.0 --------------------1.8 Mar-13
Russell 1000 Growth 9.5 36 10.1 39 13.1 30 7.3 37 8.6 69 3.8 Mar-13
Over/Under -2.0
eA US Large Cap Growth Equity Gross Median 8.9 8.8 12.0 6.6 9.2 3.1 Mar-13
Small Cap Equity Composite 12,632,761 5.5 5.0 14.0 24 17.0 42 16.4 33 12.3 18 ----12.0 Jun-03
Russell 2000 12.4 54 16.3 49 13.5 70 8.2 68 11.5 81 9.6 Jun-03
Over/Under 1.6 0.7 2.9 4.1 2.4
eA US Small Cap Equity Gross Median 12.6 16.2 14.8 9.6 13.0 11.2 Jun-03
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Gross of Fees
28
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Gross of Fee
March 31, 2013
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Kennedy 6,244,499 2.7 2.5 13.8 34 14.1 83 14.7 43 11.2 19 ----10.1 Feb-08
Russell MidCap Value 14.2 29 21.5 20 15.0 40 8.5 65 12.6 67 7.3 Feb-08
Over/Under -0.4 -7.4 -0.3 2.7 2.8
eA US Mid Cap Value Equity Gross Median 13.0 18.6 14.3 9.4 13.0 7.8 Feb-08
TimesSquare Small Cap Growth Fund 6,388,262 2.8 2.5 14.1 28 20.0 12 18.2 22 13.3 15 14.7 15 11.1 Feb-02
Russell 2000 Growth 13.2 45 14.5 45 14.7 64 9.0 57 11.6 74 6.8 Feb-02
Over/Under 0.9 5.5 3.5 4.3 3.1 4.3
eA US Small Cap Growth Equity Gross Median 12.9 13.9 16.1 9.7 12.7 8.4 Feb-02
International Equity Composite 23,022,348 10.1 10.0 6.0 39 14.0 39 7.8 45 2.5 30 10.4 72 5.4 May-99
S&P EPAC LargeMidCap 4.9 56 11.6 63 5.7 73 0.0 68 10.4 72 4.0 May-99
Over/Under 1.1 2.4 2.1 2.5 0.0 1.4
eA All EAFE Equity Gross Median 5.2 12.8 7.4 0.9 11.2 6.3 May-99
Morgan Stanley Int'l Equity Fund 23,022,348 10.1 10.0 6.0 39 13.9 39 7.8 45 2.5 31 ----5.7 Apr-05
MSCI EAFE 5.1 51 11.3 66 5.0 82 -0.9 85 9.7 84 4.2 Apr-05
Over/Under 0.9 2.6 2.8 3.4 1.5
eA All EAFE Equity Gross Median 5.2 12.8 7.4 0.9 11.2 5.8 Apr-05
International Emerging Composite 6,871,310 3.0 3.0 1.2 39 8.8 25 6.4 38 1.6 65 ----12.2 Apr-05
MSCI Emerging Markets -1.6 78 2.0 73 3.3 68 1.1 70 17.1 83 10.8 Apr-05
Over/Under 2.8 6.8 3.1 0.5 1.4
eA Emg Mkts Equity Gross Median 0.2 5.5 4.9 2.4 18.6 12.3 Apr-05
Morgan Stanley Inst Emg Mkt Port.6,871,310 3.0 3.0 1.2 39 8.7 26 6.4 38 1.6 66 ----12.2 Apr-05
MSCI Emerging Markets -1.6 78 2.0 73 3.3 68 1.1 70 17.1 83 10.8 Apr-05
Over/Under 2.8 6.7 3.1 0.5 1.4
eA Emg Mkts Equity Gross Median 0.2 5.5 4.9 2.4 18.6 12.3 Apr-05
Fixed Income Composite 74,112,918 32.4 33.0 0.6 29 7.8 28 7.5 35 7.6 28 ----6.0 Jun-03
Barclays Int Govt/Credit 0.3 55 3.5 73 4.7 75 4.6 78 4.5 75 4.3 Jun-03
Over/Under 0.3 4.3 2.8 3.0 1.7
eA All US Fixed Inc Gross Median 0.3 5.0 6.3 6.1 5.4 5.2 Jun-03
Income Research 28,462,203 12.4 13.0 0.4 36 4.9 22 5.7 25 6.3 18 5.6 10 6.1 Jul-01
Barclays Int Govt/Credit 0.3 72 3.5 72 4.7 78 4.6 92 4.5 91 5.2 Jul-01
Over/Under 0.1 1.4 1.0 1.7 1.1 0.9
eA US Interm Duration Fixed Inc Gross Median 0.3 3.9 5.2 5.5 4.9 5.6 Jul-01
29
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
Penn Capital 11,943,478 5.2 5.0 2.5 72 11.2 78 10.7 71 9.8 77 ----8.0 Aug-05
BofA Merrill Lynch High Yield Cash Pay 2.9 52 13.0 45 10.9 69 11.2 46 9.8 52 8.6 Aug-05
Over/Under -0.4 -1.8 -0.2 -1.4 -0.6
eA US High Yield Fixed Inc Gross Median 2.9 12.7 11.2 10.9 9.9 8.8 Aug-05
Loomis Credit Asset Fund 4,664,921 2.0 2.0 2.0 4 11.1 14 9.7 25 --------10.3 Mar-10
50% BC Credit/ 25% S&P-LSTA/ 25% BC HY 1.2 18 8.7 56 8.3 82 8.7 57 7.0 45 8.6 Mar-10
Over/Under 0.8 2.4 1.4 1.7
eA US Corporate Fixed Inc Gross Median 0.3 9.0 9.1 9.0 6.8 9.1 Mar-10
Brandywine Global Bond 17,541,048 7.7 8.0 -0.2 49 10.4 17 11.2 8 8.9 16 ----7.8 Jan-05
Citigroup WGBI -2.8 89 -0.7 95 3.9 91 2.8 91 5.4 87 4.0 Jan-05
Over/Under 2.6 11.1 7.3 6.1 3.8
eA All Global Fixed Inc Gross Median -0.3 5.6 6.2 5.2 6.4 5.2 Jan-05
Pictet Emerging Local Curr. Debt Fd 11,501,269 5.0 5.0 -0.3 54 6.8 90 ------------10.4 Oct-11
JP Morgan GBI - EM Diversified -0.1 50 7.7 82 7.9 83 8.4 81 11.9 57 11.1 Oct-11
Over/Under -0.2 -0.9 -0.7
eA All Emg Mkts Fixed Inc Gross Median -0.1 11.1 9.8 9.9 12.2 15.0 Oct-11
Tactical Asset Allocation Composite 22,682,363 9.9 10.0 3.8 29 8.4 29 7.9 30 6.2 28 ----7.1 Jun-03
S&P 500 10.6 1 14.0 4 12.7 7 5.8 35 8.5 94 7.3 Jun-03
Over/Under -6.8 -5.6 -4.8 0.4 -0.2
eA Global TAA Gross Median 1.7 5.2 6.8 4.8 9.4 8.5 Jun-03
GMO Asset Allocation Fund 22,682,363 9.9 10.0 3.8 29 8.4 29 7.9 30 6.2 28 ----6.5 Sep-06
65% MSCI World (Net) /35% BC Agg 5.0 11 9.2 26 7.8 31 3.9 62 7.9 99 4.4 Sep-06
Over/Under -1.2 -0.8 0.1 2.3 2.1
eA Global TAA Gross Median 1.7 5.2 6.8 4.8 9.4 5.8 Sep-06
Alternative Assets
Pyramis Mkt Neutral 10,192,113 4.5 5.0 -0.4 70 4.0 42 1.0 75 0.6 72 ----4.1 Aug-05
91 Day T-Bill + 3%0.8 51 3.1 46 3.1 60 3.3 56 4.7 65 4.7 Aug-05
Over/Under -1.2 0.9 -2.1 -2.7 -0.6
eA|HFN Market Neutral Equity Net Median 0.9 2.6 3.7 4.7 6.1 5.4 Aug-05
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Gross of Fee
March 31, 2013
30
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Gross of Fee
March 31, 2013
Market Value
($)
% of
Portfolio Policy %3 Mo
(%)Rank 1 Yr
(%)Rank 3 Yrs
(%)Rank 5 Yrs
(%)Rank 10 Yrs
(%)Rank Return
(%)Since
_
PIMCO All Asset 10,464,190 4.6 4.0 1.0 67 10.6 14 10.7 13 8.0 6 ----7.8 Jan-06
CPI + 5% 1.8 50 6.5 36 7.3 32 6.8 23 7.4 99 7.3 Jan-06
Over/Under -0.8 4.1 3.4 1.2 0.5
eA Global TAA Gross Median 1.7 5.2 6.8 4.8 9.4 6.2 Jan-06
UBS Realty - Trumbull Property Fund 9,883,061 4.3 5.0 1.7 --8.0 --13.1 --0.8 ------4.1 Jul-06
NCREIF ODCE 0.0 --7.9 --14.1 ---1.4 --6.5 --2.5 Jul-06
Over/Under 1.7 0.1 -1.0 2.2 1.6
Wellington Diver. Inflation 10,700,805 4.7 5.0 -0.3 --0.1 --4.8 ----------4.7 Mar-10
Wellington DIH Index 4.4 --6.1 --7.0 --0.2 --7.1 --8.1 Mar-10
Over/Under -4.7 -6.0 -2.2 -3.4
Cash 1,192,539 0.5 0.0 0.0 --0.0 --0.1 --0.5 --1.8 --1.8 Jun-03
BofA Merrill Lynch 91-Day T-Bill 0.0 --0.1 --0.1 --0.3 --1.8 --1.8 Jun-03
Over/Under 0.0 -0.1 0.0 0.2 0.0 0.0
XXXXX
31
Market Value
($)Policy %% of
Portfolio
1 Mo
(%)
3 Mo
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Return
(%)Since
_
Composite 228,841,721 100.0 100.0 1.3 3.6 8.4 8.3 5.5 8.2 8.6 Oct-82
Composite Allocation Index 1.3 4.1 8.5 8.4 5.2 8.2 --Oct-82
Policy Index 1.3 3.9 8.6 8.4 5.2 8.1 --Oct-82
Large Cap Equity Composite 47,087,314 20.0 20.6 2.2 8.0 8.7 10.5 4.8 ----Jun-03
S&P 500 3.8 10.6 14.0 12.7 5.8 8.5 7.3 Jun-03
Vanguard Windsor II 17,136,158 7.0 7.5 4.4 10.3 14.6 11.4 6.0 9.5 5.4 May-01
Russell 1000 Value 4.0 12.3 18.8 12.7 4.8 9.2 5.3 May-01
Vanguard Institutional Index 7,598,374 3.0 3.3 3.7 10.6 13.8 12.6 5.8 8.5 3.4 Oct-99
S&P 500 3.8 10.6 14.0 12.7 5.8 8.5 3.4 Oct-99
T. Rowe Price 11,132,338 5.0 4.9 1.0 ----------1.0 Mar-13
Russell 1000 Growth 3.8 9.5 10.1 13.1 7.3 8.6 3.8 Mar-13
Holland Capital 11,220,443 5.0 4.9 1.8 ----------1.8 Mar-13
Russell 1000 Growth 3.8 9.5 10.1 13.1 7.3 8.6 3.8 Mar-13
Small Cap Equity Composite 12,632,761 5.0 5.5 4.9 13.8 16.2 15.4 11.4 --11.3 Jun-03
Russell 2000 4.6 12.4 16.3 13.5 8.2 11.5 9.6 Jun-03
Kennedy 6,244,499 2.5 2.7 4.3 13.8 13.8 14.0 10.7 --9.5 Feb-08
Russell MidCap Value 4.5 14.2 21.5 15.0 8.5 12.6 7.3 Feb-08
TimesSquare Small Cap Growth Fund 6,388,262 2.5 2.8 5.5 13.9 18.8 17.0 12.1 13.6 9.9 Feb-02
Russell 2000 Growth 5.1 13.2 14.5 14.7 9.0 11.6 6.8 Feb-02
International Equity Composite 23,022,348 10.0 10.1 2.6 5.8 13.0 6.8 1.5 9.5 4.9 May-99
S&P EPAC LargeMidCap 0.8 4.9 11.6 5.7 0.0 10.4 4.0 May-99
Morgan Stanley Int'l Equity Fund 23,022,348 10.0 10.1 2.6 5.8 13.0 6.8 1.5 --4.7 Apr-05
MSCI EAFE 0.8 5.1 11.3 5.0 -0.9 9.7 4.2 Apr-05
International Emerging Composite 6,871,310 3.0 3.0 0.2 0.8 7.2 4.9 0.2 --10.7 Apr-05
MSCI Emerging Markets -1.7 -1.6 2.0 3.3 1.1 17.1 10.8 Apr-05
Morgan Stanley Inst Emg Mkt Port.6,871,310 3.0 3.0 0.2 0.8 7.2 4.9 0.2 --10.7 Apr-05
MSCI Emerging Markets -1.7 -1.6 2.0 3.3 1.1 17.1 10.8 Apr-05
Fixed Income Composite 74,112,918 33.0 32.4 0.3 0.5 7.6 7.0 7.2 --5.8 Jun-03
Barclays Int Govt/Credit 0.1 0.3 3.5 4.7 4.6 4.5 4.3 Jun-03
Income Research 28,462,203 13.0 12.4 0.2 0.4 4.8 5.4 6.0 5.5 6.0 Jul-01
Barclays Int Govt/Credit 0.1 0.3 3.5 4.7 4.6 4.5 5.2 Jul-01
Penn Capital 11,943,478 5.0 5.2 0.9 2.3 10.4 9.8 9.1 --7.4 Aug-05
BofA Merrill Lynch High Yield Cash Pay 1.0 2.9 13.0 10.9 11.2 9.8 8.6 Aug-05
Loomis Credit Asset Fund 4,664,921 2.0 2.0 0.6 2.0 10.8 9.3 ----9.9 Mar-10
50% BC Credit/ 25% S&P-LSTA/ 25% BC HY 0.5 1.2 8.7 8.3 8.7 7.0 8.6 Mar-10
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Net of Fee
March 31, 2013
32
Market Value
($)Policy %% of
Portfolio
1 Mo
(%)
3 Mo
(%)
1 Yr
(%)
3 Yrs
(%)
5 Yrs
(%)
10 Yrs
(%)
Return
(%)Since
_
Brandywine Global Bond 17,541,048 8.0 7.7 0.8 -0.2 10.3 10.9 8.6 --7.6 Jan-05
Citigroup WGBI -0.3 -2.8 -0.7 3.9 2.8 5.4 4.0 Jan-05
Pictet Emerging Local Curr. Debt Fd 11,501,269 5.0 5.0 -0.8 -0.3 6.5 ------9.8 Oct-11
JP Morgan GBI - EM Diversified -0.5 -0.1 7.7 7.9 8.4 11.9 11.1 Oct-11
Tactical Asset Allocation Composite 22,682,363 10.0 9.9 1.1 3.7 7.9 7.4 5.6 --6.4 Jun-03
S&P 500 3.8 10.6 14.0 12.7 5.8 8.5 7.3 Jun-03
GMO Asset Allocation Fund 22,682,363 10.0 9.9 1.1 3.7 7.9 7.4 5.6 --5.7 Sep-06
65% MSCI World (Net) /35% BC Agg 1.6 5.0 9.2 7.8 3.9 7.9 4.4 Sep-06
Alternative Assets
Pyramis Mkt Neutral 10,192,113 5.0 4.5 -0.7 -0.4 3.7 0.3 0.0 --3.7 Aug-05
91 Day T-Bill + 3%0.3 0.8 3.1 3.1 3.3 4.7 4.7 Aug-05
PIMCO All Asset 10,464,190 4.0 4.6 0.0 0.9 9.8 9.8 7.1 --6.8 Jan-06
CPI + 5% 0.2 1.8 6.5 7.3 6.8 7.4 7.3 Jan-06
UBS Realty - Trumbull Property Fund 9,883,061 5.0 4.3 1.7 1.7 8.0 12.5 0.2 --3.5 Jul-06
NCREIF ODCE 0.0 0.0 7.9 14.1 -1.4 6.5 2.5 Jul-06
Wellington Diver. Inflation 10,700,805 5.0 4.7 0.4 -0.3 -0.1 4.1 ----4.0 Mar-10
Wellington DIH Index 1.6 4.4 6.1 7.0 0.2 7.1 8.1 Mar-10
Cash 1,192,539 0.0 0.5 0.0 0.0 0.0 -0.5 0.1 1.6 1.6 Jun-03
BofA Merrill Lynch 91-Day T-Bill 0.0 0.0 0.1 0.1 0.3 1.8 1.8 Jun-03
XXXXX
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Performance Detail - Net of Fee
March 31, 2013
Note: Results for periods longer than one year are annualized
Note: Total percentages may add to more than 100% due to rounding
Note: All returns are gross of fees
Note: PIMCO All Asset Benchmark: 40% BG Agg/30% US TIPS/10% S&P 500/10% HY/10% JPM
EMBI+
Note: Wellington benchmark: 55% MSCI World/25% GSCI/20% BC 1-10 yr TIPS
33
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary
34
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
Note: All performance is shown gross of fees.
35
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Return Summary vs. Peer Universe
Note: All performance is shown gross of fees.
36
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk Statistics vs. Peer Universe
Composite vs. IFx Public DB Gross
3 Years
37
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Risk Statistics vs. Peer Universe
Composite vs. IFx Public DB Gross
5 Years
38
Asset Allocation39
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation vs. Policy Targets
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 $47,087,314 20.0%20.6%0.6%16.0% - 24.0%Yes
Small/Mid Cap Equity $12,632,761 5.0%5.5%0.5%3.0% - 7.0%Yes
Equity - International $23,022,348 10.0%10.1%0.1%8.0% - 12.0%Yes
Equity - Emerging $6,871,310 3.0%3.0%0.0%2.0% - 5.0%Yes
Core Bonds $28,462,203 13.0%12.4%-0.6%10.0% - 20.0%Yes
High Yield Corporate Bonds $11,943,478 5.0%5.2%0.2%3.0% - 7.0%Yes
Fixed Income - Emerging $11,501,269 5.0%5.0%0.0%3.0% - 7.0%Yes
Global Bonds $17,541,048 8.0%7.7%-0.3%6.0% - 10.0%Yes
Balanced - GAA $22,682,363 10.0%9.9%-0.1%8.0% - 12.0%Yes
Opportunistic Credit $4,664,921 2.0%2.0%0.0%0.0% - 5.0%Yes
Absolute Return $10,464,190 4.0%4.6%0.6%3.0% - 7.0%Yes
Market Neutral $10,192,113 5.0%4.5%-0.5%3.0% - 7.0%Yes
Real Estate $9,883,061 5.0%4.3%-0.7%3.0% - 7.0%Yes
Real Assets $10,700,805 5.0%4.7%-0.3%3.0% - 7.0%Yes
Cash $1,192,539 --0.5%0.5%--No
Total $228,841,721 100.0%100.0%
XXXXX
*Difference between Policy and Current Allocation
40
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Total Fund Asset Allocation History
41
Manager Summary 42
Manager Watch ListMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension PlanManager Probation Guidelines provide a performance based measure for inclusion on “watch” status. Managers who do not remain in the upper half of their universe and lag their index over a rolling 3-year period for three consecutive quarters will be considered for placement on watch status. The table above has highlighted in pale red managers that do not meet those performance guidelines. “N/A” indicates that the manager either does not have three years of performance or an appropriate universe for comparison.In addition to the performance measures, other scenarios could lead to “watch” status. These scenarios include changes in strategy, change in organizational structure or personnel, compliance related issues, changes in MSD’s asset allocation, or any other issue that requires heightened review.Penn Capital is more conservative than the benchmark and will therefore often have a performance lag. This performance is expected.3Q 2012 3Q 2012 4Q 2012 4Q 2012 1Q 2013 1Q 20133 Year Annualized Performance - Gross of FeeExcess Perf to BenchmarkRankExcess Perf to BenchmarkRankExcess Perf to BenchmarkRank ActionVanguard Windsor II0.539-0.652-1.059T. Rowe Pricen/an/an/an/an/an/aHolland Capitaln/an/an/an/an/an/aVanguard Inst Index0.1340.0380.042Kennedy1.3170.130-0.343TimesSquare3.4292.2413.522Morgan Stanley Intl Equity Fund2.9482.8462.845Morgan Stanley Emg Mkts Port.1.6461.6503.138Income Research1.8121.7121.025Penn Capital-0.769-0.470-0.271Loomis Credit Asset Fundn/an/an/an/a1.425Brandywine Global Bond7.1127.977.38Pictet Emg Mkts LCDn/an/an/an/an/an/aGMO Asset Allocation Fund0.8370.3430.130Pyramis Mkt Neutral-3.683-2.980-2.175PIMCO All Asset3.7154.283.413UBS Realty - Trumbull Prop Fund-0.9n/a-1.4n/a-1.0n/aWellington DIHn/an/an/an/a-2.2n/a43
Manager Executive Summary – Gross of Fee AnalysisMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan44
Manager Executive Summary – Gross of Fee AnalysisMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan45
Manager Executive Summary – Gross of Fee AnalysisMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan46
Wellington Management Company•Wellington announced that Ricardo Adrogue, a lead member of their emerging market debt team will be departing the Firm in mid-April. Ricardo is the lead PM for local currency EM debt portfolios and is a key member involved in the Opportunistic EMD portfolio. Ricardo’s departure is amicable and he is leaving to work with a family member running a hedge fund based in California. In addition, Ricardo and the EMD team are involved in the EMD allocations to a smaller degree within the following Wellington strategies; Opportunistic Investments (GAA), Diversified Alpha Strategies (DAS), Diversified Inflation Hedges (DIH), IGUAZO, Real Total Return and Target Date Strategies.•NO ACTIONPenn Capital Management Company•PENN Capital was initially hired by the Pension as a low risk conservative manager for high yield fixed income. PENN has fulfilled this objective. Performance has been slightly lower than the statement benchmark; however, Penn’s performance has lower volatility than its peers.Manager UpdatesThe Metropolitan St. Louis Sewer District Employees’ Pension PlanMarch 31, 201347
Manager Pages48
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
49
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
*The 3 Year Style Map is a returns-based graph
50
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Vanguard Windsor II
Portfolio Fund Information as of 12/31/2012
Ticker VWNAX
Morningstar Category Large Value
Average Market Cap ($mm)48,625.3
Net Assets ($mm)22,194.1
% Assets in Top 10
Holdings 24.3
Total Number of Holdings 282
Manager Name James P. Barrow
Manager Tenure 28
Expense Ratio 0.3%
Closed to New Investors No
Sector Allocation as of 12/31/2012
BASIC MATERIALS 1.4%
COMMUNICATION SERVICES 4.0%
CONSUMER CYCLICAL 5.4%
CONSUMER DEFENSIVE 11.6%
ENERGY 12.5%
FINANCIAL SERVICES 19.6%
HEALTHCARE 15.6%
INDUSTRIALS 12.1%
REAL ESTATE 0.1%
TECHNOLOGY 10.3%
Top Holdings as of 12/31/2012
PFIZER INC 3.0%
PHILIP MORRIS INTERNATIONAL,
INC.2.8%
JPMORGAN CHASE & CO 2.5%
JOHNSON & JOHNSON 2.5%
AMERICAN EXPRESS CO 2.4%
BAXTER INTERNATIONAL INC.2.3%
WELLS FARGO & CO 2.2%
MICROSOFT CORPORATION 2.2%
CONOCOPHILLIPS 2.2%
RAYTHEON COMPANY 2.1%
Fund Characteristics as of 12/31/2012
Sharpe Ratio (3 Year)
Average Market Cap ($mm)48,625.3
Price/Earnings 11.3
Price/Book 1.6
Price/Sales 1.1
Price/Cash Flow 5.8
Dividend Yield 2.8
Number of Equity Holdings 274
R-Squared (3 Year)
Alpha (3 Year)
51
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
52
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
*The 3 Year Style Map is a returns-based graph
53
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Kennedy
Top Negative Contributors
Relative
Contribution
%Return %
TERADYNE -0.1%-4.0%
BOSTON PROPERTIES -0.1%-3.9%
KENNAMETAL 0.0%-2.0%
FMC 0.0%-2.3%
HARMAN INTL.INDS.0.0%0.3%
CAMDEN PROPERTY TST.0.0%1.6%
NETAPP 0.0%1.8%
HOSPIRA 0.1%5.1%
WATERS 0.1%7.8%
FOSSIL 0.1%3.8%
_
Top Positive Contributors
Relative
Contribution
%Return %
AXIALL 0.9%50.8%
HORMEL FOODS 0.7%33.0%
WMS INDUSTRIES 0.7%44.1%
METHANEX 0.6%28.7%
VALERO ENERGY 0.5%33.9%
TRINITY INDS.0.5%26.9%
TIMKEN 0.5%18.8%
QUESTAR 0.4%24.0%
MARVELL TECH.GROUP 0.4%46.5%
TORCHMARK 0.4%16.1%
_
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy 0.2% 0.1% 0.0% 0.0% 17.2% 16.0% 12.4% 9.2%
Materials 1.3% 1.3% -0.1% 0.1% 25.2% 5.6% 6.9% 6.3%
Industrials -0.3% -0.3% 0.0% -0.1% 13.0% 15.6% 13.2% 11.2%
Cons. Disc.-0.3% -0.3% 0.0% -0.1% 12.3% 15.9% 9.7% 9.4%
Cons. Staples 0.2% 0.6% -0.1% -0.3% 33.0% 19.6% 2.3% 4.7%
Health Care -0.6% -0.5% 0.0% -0.1% 9.6% 17.1% 8.4% 7.0%
Financials -0.4% -0.5% 0.0% 0.1% 12.2% 13.7% 25.9% 30.4%
Info. Tech -0.5% -0.5% 0.0% 0.0% 11.5% 16.1% 10.7% 10.1%
Telecomm.0.2% -- 0.2% -- -- 3.1% 0.0% 1.4%
Utilities 0.4% 0.4% 0.0% 0.0% 18.4% 14.3% 10.5% 10.2%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 0.1%=0.4%+0.1%+-0.4% 14.6% 14.5% 100.0% 100.0%
_
Characteristics
Portfolio
Russell
MidCap
Value
Number of Holdings 54 562
Weighted Avg. Market Cap. ($B)6.4 9.7
Median Market Cap. ($B)5.4 4.6
Price To Earnings 16.1 17.9
Price To Book 2.0 2.0
Price To Sales 1.7 1.6
Return on Equity (%)9.7 10.2
Yield (%)1.5 1.9
Beta 1.0 1.0
R-Squared 1.0 1.0
54
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
55
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
*The 3 Year Style Map is a returns-based graph
56
Characteristics
Portfolio
Russell
2000
Growth
Number of Holdings 131 1,104
Weighted Avg. Market Cap. ($B)3.9 1.8
Median Market Cap. ($B)1.5 0.7
Price To Earnings 23.1 20.3
Price To Book 3.9 4.3
Price To Sales 2.5 2.7
Return on Equity (%)14.0 14.8
Yield (%)0.9 0.5
Beta 0.9 1.0
R-Squared 1.0 1.0
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
TimesSquare Small Cap Growth Fund
Top Positive Contributors
Relative
Contribution
%Return %
OWENS ILLINOIS NEW 0.6%25.3%
AVON PRODUCTS 0.5%44.8%
KEYCORP 0.5%18.9%
COMERICA 0.4%19.0%
TORCHMARK 0.4%16.1%
REGIONS FINL.NEW 0.4%15.0%
MOLSON COORS BREWING 'B'0.4%15.2%
ABBOTT LABORATORIES 0.3%13.2%
TJX COS.0.3%10.4%
SHUTTERSTOCK 0.2%73.0%
_
Equity Sector Attribution
Attribution Effects Returns Sector Weights
Total Selection Allocation Interaction
Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark
_
Energy -0.2% -0.1% 0.0% 0.0% 9.5% 11.3% 7.6% 5.7%
Materials 0.2% 0.2% 0.0% 0.0% 16.9% 11.7% 4.0% 4.8%
Industrials -0.4% -0.4% 0.0% 0.0% 12.8% 14.8% 16.9% 18.1%
Cons. Disc.-1.0% -1.3% 0.0% 0.2% 3.2% 11.4% 13.2% 16.0%
Cons. Staples 0.3% 0.2% 0.0% 0.1% 16.9% 11.7% 7.1% 4.7%
Health Care -0.9% -1.0% -0.1% 0.2% 10.2% 15.1% 16.8% 20.1%
Financials 0.5% 0.2% 0.1% 0.2% 17.3% 15.0% 15.2% 7.9%
Info. Tech 0.1% 0.1% 0.0% 0.0% 12.9% 12.5% 19.0% 21.5%
Telecomm.0.0% -0.1% 0.1% 0.1% -4.4% 4.5% 0.2% 0.9%
Utilities 0.0% -- 0.0% -- -- 2.9% 0.0% 0.3%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio -1.2%=-2.0%+0.1%+0.7% 12.0% 13.2% 100.0% 100.0%
_
Top Negative Contributors
Relative
Contribution
%Return %
PENNEY JC -0.3%-23.3%
FAMILY DOLLAR STORES -0.1%-6.5%
BRIGHTCOVE -0.1%-31.3%
ALLOT COMMUNICATIONS -0.1%-33.0%
VOLTERRA SEMICON.-0.1%-17.3%
BROADSOFT -0.1%-27.1%
QUEST DIAGNOSTICS 0.0%-2.1%
VOCERA COMMUNICATIONS 0.0%-8.4%
INCITEC PIVOT 0.0%-3.9%
VITAMIN SHOPPE 0.0%-14.8%
_
57
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
58
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
59
March 31, 2013
The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Int'l Equity Fund
Top Positive Contributors
Relative
Contribution
%Return %
RECKITT BENCKISER GROUP 0.6%15.5%
SUMITOMO MITSUI TST.HDG.0.4%36.6%
UNILEVER CERTS.0.3%8.8%
NOVARTIS 'R'0.3%17.7%
PRUDENTIAL 0.3%17.2%
NESTLE 'R'0.3%11.3%
SEKISUI HOUSE 0.3%26.9%
BRITISH AMERICAN TOBACCO 0.3%8.4%
ROCHE HOLDING 0.3%20.1%
MITSUBISHI ESTATE 0.2%16.8%
_
Top Negative Contributors
Relative
Contribution
%Return %
IMPERIAL TOBACCO GP.-0.3%-6.7%
TURQUOISE HILL RES.-0.1%-16.6%
VOLKSWAGEN PREF.-0.1%-12.0%
VALLOUREC -0.1%-7.5%
BHP BILLITON -0.1%-14.5%
ARCELORMITTAL -0.1%-24.3%
ENI -0.1%-6.9%
FRANCE TELECOM 0.0%-7.9%
MITSUBISHI ELECTRIC 0.0%-4.0%
BASF 0.0%-5.9%
_
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% 0.0% 0.1% 3.2% -1.6% 8.3% 7.7%
Materials 0.3% 0.2% 0.2% 0.0% -3.9% -4.7% 8.4% 9.8%
Industrials 0.0% -0.2% 0.0% 0.2% 3.3% 5.8% 8.0% 12.5%
Cons. Disc.0.4% 0.7% -0.2% -0.2% 11.4% 7.4% 5.9% 10.7%
Cons. Staples -0.7% -0.3% 0.9% -1.3% 8.0% 11.1% 26.1% 11.7%
Health Care 0.3% 0.1% 0.2% 0.0% 14.5% 12.5% 12.5% 9.8%
Financials 1.0% 1.5% 0.1% -0.5% 9.2% 5.2% 18.3% 24.7%
Info. Tech -0.2% 0.0% 0.0% -0.2% 3.4% 5.2% 5.5% 4.3%
Telecomm.0.0% 0.1% 0.0% 0.0% 6.8% 6.2% 5.0% 4.9%
Utilities 0.2% 0.1% 0.1% 0.0% -0.5% -0.9% 2.0% 3.9%
Cash 0.0% -- -- -- -- -- 0.0% 0.0%
Portfolio 1.7%=2.5%+1.2%+-2.0% 7.0% 5.2% 100.0% 100.0%
_
Characteristics
Portfolio MSCI EAFE
Number of Holdings 76 909
Weighted Avg. Market Cap. ($B)72.4 55.6
Median Market Cap. ($B)24.0 7.8
Price To Earnings 17.4 17.2
Price To Book 3.1 2.1
Price To Sales 1.8 1.6
Return on Equity (%)17.6 13.4
Yield (%)3.1 3.1
Beta 0.9 1.0
R-Squared 1.0 1.0
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
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Morgan Stanley Inst Emg Mkt Port.
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Morgan Stanley Inst Emg Mkt Port.
Sector Allocation as of 12/31/2012
BASIC MATERIALS 8.5%
COMMUNICATION
SERVICES 4.6%
CONSUMER CYCLICAL 10.6%
CONSUMER DEFENSIVE 14.8%
ENERGY 7.0%
FINANCIAL SERVICES 19.1%
HEALTHCARE 3.4%
INDUSTRIALS 7.7%
REAL ESTATE 2.5%
TECHNOLOGY 12.8%
UTILITIES 0.4%
Top Regions as of 12/31/2012
ASIA EMERGING 33.7%
ASIA DEVELOPED 20.3%
LATIN AMERICA 16.5%
EUROPE EMERGING 10.4%
AFRICA 3.8%
Portfolio Fund Information as of 12/31/2012
Ticker MGEMX
Morningstar Category Diversified Emerging
Mkts
Average Market Cap ($mm)14,489.6
Net Assets ($mm)1,320.7
% Assets in Top 10
Holdings 19.9
Total Number of Holdings 177
Manager Name Paul Psaila
Manager Tenure 19
Expense Ratio 1.3%
Closed to New Investors No
Top Holdings as of 12/31/2012
SAMSUNG ELECTRONICS
CO LTD 5.1%
TAIWAN SEMICONDUCTOR
MANUFACTURING 1.9%
TURKIYE GARANTI BANKASI 1.9%
HYUNDAI MOTOR CO LTD 1.8%
LUKOIL OIL COMPANY JSC
ADR 1.7%
BRF - BRASIL FOODS SA 1.7%
WAL - MART DE MEXICO,
S.A.B. DE C.V. CLASS V 1.6%
COMPANHIA DE BEBIDAS
DAS AMERICAS AMBEV ADR 1.5%
TENCENT HOLDINGS LTD.1.4%
ANADOLU EFES BIRACILIK
VE MALT SANAYI A.S.1.3%
Top Countries as of 12/31/2012
South Korea 13.0%
China 11.2%
India 8.1%
Brazil 7.1%
Taiwan 6.4%
Mexico 5.3%
Philippines 5.2%
Thailand 4.9%
Turkey 4.4%
Fund Characteristics as of 12/31/2012
Sharpe Ratio (3 Year)0.3
Average Market Cap
($mm)14,489.6
Price/Earnings 12.9
Price/Book 2.0
Price/Sales 1.0
Price/Cash Flow 6.2
Dividend Yield 1.8
Number of Equity Holdings 150
R-Squared (3 Year)1.0
Alpha (3 Year)0.3%
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Income Research
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Income Research
*The 3 Year Style Map is a returns-based graph
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Income Research
66
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Penn Capital
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Penn Capital
*The 3 Year Style Map is a returns-based graph
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Penn Capital
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Loomis Credit Asset Fund
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Loomis Credit Asset Fund
*The 2 Year Style Map is a returns-based graph
71
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The Metropolitan St. Louis Sewer District Employees' Pension Plan
Brandywine Global Bond
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Brandywine Global Bond
*The 3 Year Style Map is a returns-based graph
73
Pictet - EMD Local Currency March 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan74
GMO (Global Asset Allocation)Historical AllocationAsset AllocationMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension Plan75
Market Neutral - PyramisThe Metropolitan St. Louis Sewer District Employees’ Pension PlanMarch 31, 201376
PIMCO All AssetMarch 31, 2013The Metropolitan St. Louis Sewer District Employees’ Pension PlanSource: PIMCO77
UBS Trumbull Property FundMarch 31, 2013Portfolio Distribution by Property TypeKey StatisticsDistribution by Geographic DivisionThe Metropolitan St. Louis Sewer District Employees’ Pension Plan78
Wellington Diversified Inflation HedgesMarch 31, 2013Portfolio ReturnsActive Portfolio weightsAttribution ChartAsset Class Allocation Summary(1) See Appendix79
" T h e s e m a t e r i a l s c o n t a i n s u m m a r y i n f o r m a t i o n r e g a r d i n g t h e i n v e s t m e n t m a n a g e m e n t a p p r o a c h e s d e s c r i b e d h e r e i n a n d a r e n o t a c o m p l e t e d e s c r i p t i o n o f t h e i n v e s t m e n t o b j e c t i v e s , p o l i c i e s , g u i d e l i n e s o r p o r t f o l i o m a n a g e m e n t a n d r e s e a r c h t h a t s u p p o r t s t h e s e a p p r o a c h e s . T h i s a n a l y s i s 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 t o i m p l e m e n t a n y o f t h e a f o r e m e n t i o n e d a p p r o a c h e s . T h e i n f o r m a t i o n h a s b e e n o b t a i n e d f r o m s o u r c e s N E P C b e l i e v e s t o b e r e l i a b l e , b u t w e c a n n o t g u a r a n t e e i t s a c c u r a c y o r c o m p l e t e n e s s . " 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 s e a r c h r e p o r t s 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 a r e i n t e n d e d o n l y f o r t h e d e s i g n a t e d r e c i p i e n t ( s ) . I f y o u a r e n o t a d e s i g n a t e d r e c i p i e n t , y o u m a y n o t c o p y o r d i s t r i b u t e t h i s d o c u m e n t . I n f o r m a t i o n D i s c l o s u r e 8 0