-- Water and Power Employees Retirement Plan Preliminary Summary ollnvoetment Returne For the Period Ending September 30. 2012 InvestmentStyla Ilncapuonl,ncapuonMar1<atl·.1 CUlTant Mar1<atl",ol.T .. Cltl Month I 3-Months I YTD I FYTD 11.v..r 13.vaars I Sovearsl Sinca 11.vrSlatual Watch Data Valua Valua Portfolio TaflllLla Endlllll Incaptlon Sl!!lus P.O Total Retirement .Plan 0 '. ",' '" ...'. :,,:,;::1 ..J'<: Total Retirement Plan (Net) . '" >".' ,.' " ."'.". Retirement Policy Benchmark Added Value Domestic Equity Mil;lligers. >:'(;'\\ '.' .,'.". 03 0 60 35 34 5 09 29 AbOva ItllsckRock RUBSalll000 (GroBS) I La/lla Gap COrs-S I Aug' 1 1,766,100,000 1"'1 ..•. %1 ' 2.0%, I 2. 1 6. 1 16. 1 6:3 1 30. 1 13. 1 ,.221 6.52 735'174'5331·.·.·.:·.'.9 58 ...• BlsckRock Ruasalll000 Inda. Inda. (Net)(b) (Redemption 01 " >"">";",,,?,:-::. 2.60 6.35 16.33 6.35 30.06 13.28 1.21 6.51 Russell 1000 $1,762,000,000) '., ::L:.:':-: 2.57 6.31 16.28 6.31 30.05 13.27 1.22 6.45 Value Added ". . .:'.:;":: ":';:'" 0.03 0.04 0.05 0.04 0.03 0.01 -0,01 0.06 IMFS (Groas) Balow P I Aug. 2012 MFS (Net) (b) Russell 1000 Value Value Added tlelow 04 26 07 ,4 07 17 05 41 Balow IEamast Partners (GRlss) I SrnaU Gap Growth-G I N°V' I 94,000,000 '·.·.·1 106'366'5741'.' .•. '1·: .. 2. 1 8. 1 9. 1 6. 1 28. 1 13. 1 2. 1 5.lX Eamast Parlnara (Nst) (b) ..>.,:'"..... ',.'.• ,.... ".: , 2.21 5.92 8.69 5.92 27.57 12.45 1.81 4.40 Russell 2000 Valuelnde. ..': .:'.""<•. ::> 3.58 5.67 14.37 5.67 32.63 11.72 1.35 4.17 .' , '. ., ...... ;',.,.,y,."" . ·1.35 0.25 -5.68 0.25 -5.06 0.73 0.46 0.23 94 Below ronUar(GRlas) 1 SrrialrcapGroWllf-G'1 Apr· 101 100,800",."..'. .•. ·I· .. i';'.1.".;4 ... 1. 1 3.331 3:331 NJ)\I N/AI 7.49 ... 5:% ...•. May 2Ot2 Rus.ell2ooo Growth Inde. .' ; .. ,,:.':,:. ',;:, 3.00 4.84 14.06 4.84 31.18 N/A N/A 10.58 Value Added "..',,'.,"- .;;'.,. ,;)::/.. -1.14 ·1.76 '5,09 -1.76 -7.93 N/A N/A -4.09 65 16 61 29 39 FronUar (Nat)(b) '·":'",.':.Y,'''.,'·'.'.:.:.. ' 1.86 3.08 8.99 3.06 23.25 N/A N/A 6.49 Balow Sub-tolal DomesUc Equity (Gross) I I I 1':'1 2,665,478,370 I 2. 1 6.61/ 16. 1 6. 1 29. 1 12. 1 0.97 Sub-Iolal DomasUc Equity(Nat)· -<' " .• ' 2.64 6.59 18.07 8.59 29.20 12.30 0.87 Bsnchmar1< Russall3000 Indax ' • , .. " 2.63 6.23 16.13 8.23 30.20 13.28 1.30 Vslus Addsd . '.; ':" 0.01 0.36 -0.06 0.38 -1.00 -0.98 -0.43 ....,:•.. :t .. InternstionaIEaultvM;lnagers' "I ""CC:; I· ······1·1·· ';1; ':1<;· J "::.\:1.;; Above co I Devaloped COre·S Jun-D4 270.000,000.. 3.68 .>. 3.26 Sapt. 2011 I» Structural 2.86 ... 0.40 prr eve pe aue- r· Below Sspt.2011 Above 393,000,000 ep· 2 08, 0, N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0 00 92 1 45 1 02 1 45 97 ,4 06 1 Balow PfT IThaBoslonCompsnyEmarglng{GRlss) I Eme/lllngMldValue·C 1 Mar.051 50'000'0001"1 1 :: : .. 1; 5.09" •.. 1 -0. 0. 3. 0. 1' 5. 1 -0. 1 '1. % 9.43 Ths Boalon COmpsny Emerging (Nel)(b) .. ' :<., .... ,: ,;......... -0.99 0.25 2.41 0.25 5.15 -0.96 -1.90 8.61 Sept. 2011 MSCI EMF IMI ND Index '. .(:... ..:; '.:,':..'.": 6.05 7.82 12.47 7.82 16.78 5.82 -0.71 11.59 Value Added 'c :·.CC' .... ; :t':;,;:.;·: -7.04 ·7.58 ·10.01 ·7.58 -11.63 -6.78 -1.19 -2.98 Ema/lling M1<t Growlh·C Mar-o , 0,000 ... Abovs Mar. 2011 ep' 2 13. ,000 ,'. Balow 03 1 39 1 65 1 28 8 1 Sub-tolallntarnstlonal Equity (Gross) I I 1·.··'.·.· .. '1 t,696,366,636 (C)12o.82%121.00%1 4. 7.551 s. 7. 11. 1 1.8 -3.77 Sub-tolallntarnatlonal EqUity (Nat) 4.02 7.53 8.32 7.53 11.21 1.81 -3.84 I '.. :., :) .. Benchmar1< MSCI . . .. . . • 3.89 7.64 10.69 7.54 14.36 3.49 -3.85 Vslua Added' . 0.13 -0.01 -2.37 -0.01 -3.15 ·1.66 0.01 Nota.: 'S" lor Sapsrata Account "C" lor COmmingled Account (c) Includes International Developed and Emerging Marksts Transttion eccounts for $1.3M and $73.9M, respectively. "N/A" . Recantly IUnded sccounts and no perlonnanca available lor this perlod. (d) Portfolio refum Includes perlormsnce of International Developed and Emerging Msrkets Trans"ion accounts .. (a) Watch Status ("P" due to Parlonnance; "0" due to Organizational Change, "T" lor Tannlnated account; and "R"lor Rehired) (b) Net returns are estimated basad on contrac1usl fees scheduls, Pags 1 018 (J)
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Water and Power Employees Retirement Plan Preliminary Summary ollnvoetment Returne For the Period Ending September 30. 2012
InvestmentStyla Ilncapuonl,ncapuonMar1<atl·.1 CUlTant Mar1<atl",ol.T.. Cltl A11~'1 Month I 3-Months I YTD I FYTD 11.v..r 13.vaars I Sovearsl Sinca 11.vrSlatual Watch Data Valua Valua Portfolio TaflllLla Endlllll ~ ~ Incaptlon ~ Sl!!lus P.O
Total Retirement .Plan (Groa~)' 7.6~6,.~:~.2. 0'. ",' '" ...'. :,,:,;::1 ~;~~I'!~ ..J'<: Total Retirement Plan (Net) . '">".',.'" ~ ."'.".
"C" lor COmmingled Account (c) Includes International Developed and Emerging Marksts Transttion eccounts for $1.3M and $73.9M, respectively. "N/A" . Recantly IUnded sccounts and no perlonnanca available lor this perlod. (d) Portfolio refum Includes perlormsnce of International Developed and Emerging Msrkets Trans"ion accounts.. (a) Watch Status ("P" due to Parlonnance; "0" due to Organizational Change, "T" lor Tannlnated account; and "R"lor Rehired)
(b) Net returns are estimated basad on contrac1usl fees scheduls, Pags 1 018 (J)
Water and Power Employees Retirement Plan Preliminary Summary of Inveatment Returne For the Period Ending September 30, 2012
Prellmlnerv Annuellzed Investment Style 3-Month. YTD FYTD l·Yeer I 3·Yesr. I SoYesrs Welch
andmark XIII (GroBB) (1 Q12} - I ~: CA PENC Blend plus Russell 3000+3% Value Added I
Fund of Funds Nov·OO
':;" 27,300.000 I;~ 14,7ll4,:J4ll' PE/RE
·2.70 1.51 4:10
-2.70 4.55 4.06
·2.70 2.47
13.32
30.88 -31.11 13.32
23.94 -9.68 13,62
N/A N/A
4.92
9.57 0,65 6.441 Below
Landmark XIII (Net)Il!lIl!iIllIli!: CA PENC Blend plus Russell 3000+3%
3.60 -2.70
3,06124,73
11.201-2.70
11.20130.86
11.65123.94
3'20110.32
4.4713.23
Value Added ILandmark XIV (Gr08a) (1012)
II und 01 FUnds sep:os .400,000 I,,, 16,046:M5 ~~Hlo
6.30 4.31
-21.67 13.90 -19.68 -12.29 ·7.12 -8.76 -sorow
Landmark XIV (Net) Benchmalk: CA PENC Blend plus Russell 3000+3% Value Added I
}. ~~~. 3.74 ·2.70 6.44
NOles: 'S· for Separate Account ·C· for Corrm!ngled Account .N/A" • RocenOy lunded accounts snd no pertonnance available for IhIs period, ·PE/RE·· Private equity snd real estatelnvostmanls returns are provldod quarterly (Source: Private I) (a) Watch Slalus (.p" due 10 Pertonnance; ·0' due to Organizational Change, ·T' lor Terminated account; and 'R· tor Rehired)
(b) Net returns are estimated based on contraelual fees schedule,
Page 2 of 8
Cd;
Water and Power Employee8 Retirement Plan Preliminary Summery o'investment Returne For the Period Ending September 3D, 2012
Inveatment Style IncePllonllncepuon Mar1letl'l Current Merketl ~(l'!0!1 i~II~;ill Month 13-Montha' YTD FYTD I-Year Prellm Annu
I 3-Yeera lnary al
I ized 5-Yeara Since I-Yr Status Wetch
Date Value (In mllllon)'" Value Portlollo ,Tallleta Ending Ending Incaptlon va. Status P, 0 Plfvate Equity Feb-09 9,000,000 'i 11,949,581 PEJAE 12.34 Ilelow
PR~n:h<:&: NCREIF Index (lagged) I I I l£l Stlif.VG.;};'::1 I 2.681 8.461 2.681 12.041 6.821 2.51 I _3.45 Valu.Added.,., """"', :','.0':, :',' 0.66 -0.69 13.41 4.05 2.46 -4.43 5.37
AboveCD c» cu
Above
Above
Above
Below
IDRAGrowt ross ~ ORA Growth (Net) 11.41 ~: NCREIF Index (lagged) 10.63 Value Added 0.58
lAG Core roaa slate e 12 -3,'I'BO,OOilTT--'!5>,l.603077;'l,lTl7T31l:07'%f;:;:"G:;Tt>lE7Rrl-3.CI2T--Im\;r--3.Cl2T--N7Jl[l-I'l~--'Wiq--6:T'7l
AG Core (Net) ~: NCRElF Index (lagged) Value Added
Notes: 'N/A', - RecenUy funded eccounts end no partonnance avaJlabie lor this pelfod. 'PEJRE'· Plfvele equity and real estate investments rBlums are provided quarterly (Souree: Plfvate I) (a) Walch Status ('PO due to Perlonnance; '0' due to Organizational Change, 'r lor Termlnated account; and 'R" for Rehired)
Pege 3 ci'8
~
I
Weter end Power Employees Retirement Plen Prellmlnery Summery of Inveetment Returne
For the Period Ending September 30, 2012
Inveatment Style Incepllon
~~!t<~~~i~·;ti':,
3-Monlha VTD FYTD Prellmlnery Annuellzed
l-Vear I 3-Veara I 5-Veara 61nce 11-Vr Statual WetchI Inl!Dntlnn VA. ~tAtUA IP _0_
Real Estate Jul·121 425,000 1,464,288 ,.<..,......,.. :,.10;0: PEiRE -4.25
-4.25
2.68 -6.93
NJAINJA
NJA
NJA
-4.251-4.25
2.68 -6.93
NJAI NJAINJA NJA NJANJA
NJA NJA NJA NJA NJA NJA
-4.25
-4.25
2.88 -6.93
IAlmanec Realty (Groaa)(lQI2)
Almanac Really (Net)
~: NCREIF Index (lagged)
Value Added
6ub-total Real Eatate (Gross)
Sub-total Real Eatata (Nat)
Benchmar1l NCREIF Prop 1Q Aneara
Value Added ~~:..:.~ :.. '.:'.::~:f':.-~- .. -t,'-?::'~~ ..;;',.
co WATER AND POWER EMPLOVEES' RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND0) SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES (QUARTERL V ONLV)
1.78 (0 Intemational Benchmarks MSCI Worid Ex-US IMI, MSCI Emerging IMI, and MSCI ACWI Ex·US IMI were revised to show 'Net Dividends" elleellve September 30,2010. (ii) Private Equity BlendlRusseU 3000+3% Inde' was modilled ellective Oct. 1, 2011. Index retum as 01 June 30, 2012. . iii) Asset allocation based on New Evolvlna PoUCy /Option 2) effective April 1, 2012lhru Jun. 30, 2013.
Not.a: All manager lees are estimated. Value added Is based on net 01 'ee returns vs. the benchmarks. Sourca: BNV Weslem Trust Company (prior to December 31,2004); Mellon Biml< (alter Decembsr 31,2004).. . Retirement Plan Policy Benchmark Is comprised 01: 25% Barclays capital Univ; 21% MSCI ACWxUS IMI NO"; 34% Russell 3000; 6% T Bllls+3%; and I'll. T Bills; 4% NCREIF;
4% CA PElVC Blend plus Russel/3000+3%, and 5% S&P BuyWrite. The new Retiremenl Plan Policy Benchmark aliocaUon wasmodllled effective April 1, 2012 thru June 30, 2013. Health Plan Policy Benchmark is comprised of : 26% Barclays Capilal Unlv; 21 % MSCI ACWxUS IMI NO'; 35% Russell 3000; 6% T Bllls+3%,.and 1% T Bills; 3% NCRElF;
3% CA PElVC Blend p1ua RusseI13000t3%, and 5% S&P BuyWrite. The new Health Plan Polley Benchmark allocallon was modilled effeeUve April 1, 2012 thru June 30, 2013. Policy Benchmark lor Total Non US Equity was replaced by MSCI ACWI ex US IMI effective January 1, 2009. Intematlonal Benchmarks MSCI Worid Ex-US IMI, MSCI Emerging IMI, and MSCI ACWI Ex-US 1M! were revised 10 show "Net Dividends" effective September 30, 2010. Private Equity Benchmark LOWGXPE3BLNO rellects both Cambridge PENC lrom inception thru .Sept., 2011 and Russell 3000+3% from Oct. 2011 Ihru current (one-quartar-In-arrears)
Page 4 of 8
rdY
Water and Power Employees Retirement Plan Preliminary Summary of Invaslmanl Ralurns
"NlA" - RecenUy Iunded accounts and no pertonnance avallable for Ihl. period. ia) Watch'Slatus rp' due to Pertonnance; '0" due to Organizational Change,"T" for Tenninated account; and "R" for Rehired)
(b) Net relurns are esllmated based on contractual lees schedule.
(c) Includes Intemallonal Developed and Emerging Markets Transilion accounts for $0.2M and $33.2M, respecllvely.
Page 5 of 8 @
Water and Power Employees Retirement Plan Preliminary Summary of Invaatmant Raturna For the Period Ending September 30, 2012
Preliminary Annualized Invastment Style IlncepUon Iincepuon Markat FYTD I l-Year I 3-Yeara I fi.Years I Since 11-Yr Status vS'1 Watch Status
Date Current Market 1;~~f:l:'1t li'~I!'~;::1 Month 13-Months I YTD
Inception Benchmartt P, 0, T (a) Value Value Portfolio' 'Targets' Ending Ending
Vista IV (Nel) I ~: CA PENC SIena piUS Mussell "UUU+"~10 Value Added
Sub-Iolal Private Equity (Gross) Sub-total Private Equity (Net) Cembrldge PENC BlendlRuaaeIl3000+3% Added Value I
I I I . I
10,149,553 .
-~.tV 1.96 2.59 1.81
-2.70 4.51
~~.,,, -27.21
7.79 8.14
24,73 -18.59
-~.,u -5.93 14.63 10.16 -2.70 12.88
1'411"\
NJA 14.63 10.16 30.88
-20.72
NlI'\
NJA 21.27 14.34 23.94 -8.60
Nfl'\
NJA NlA NlA NlA NlA
""V.DO
-37.69 22.66 15.08 13.18 1.90
Below
Notes: 's' for Separate Account 'C" lor ConvnIngled Account
'NJA' - Recanlly funded accounts and no performance avaUable lor IIlls period. 'PEJRE' - Private equily and real aslate Invaslments ratums ara provided quarterly (Source: Prlvate I) (a) Watch Slatus ('P' due 10 Perlonnance; '0' due to Organizallonal Changa. 'T' for Tanninatad account; and 'R' for Rehired)
(b) Net returns are estimated based on contractual fees schedule. Page 6 of 8
(f)
Water and Power Employeea Retirement Plan Preliminary Summary of Investmant Returns For the Period Ending September 30, 2012
Notes: "N/A" • RscenUy Iundad B<'COunts and no performance available lor II1ls psltod. "PElRE"· Prlvate equity and raaJ astalli Investments retums SIS provided quarterly (IRR Net 01 lees). (a) WatCh Slatus ("P' due 10 Performance; "0' due to Organizational Changs, '1' lor Terminated account; and"R" for Rehired)
~
Water and Power Employees Retirement Plan Preliminary Summary of Investment Returns For the Period Ending August 31,2012
calendar qtr. end dates. calendar qtr. end dates. -0.25% at 2 consecutive calenaar.qlr. ena aales.
co PJ (X)
IAII portfolio returns are evaluated gross of manager fees, except for Hedge Funds wtIich Will be evaluated net Of manager fees. Two (2) consecutive-quarters period was revised to two (2) consecullve calendar quarter-end dates in October 2010. See Addendum In Statement of Investment Policy for specific benchmark information. ~. , Return discounts trom a benchmark return based on 2/3 ot the typical tracking error estimates otthe specitied type ot porttolio. • Annualized Return is the average annual return ot either the porttolio or its benchmark. I" VRR - Value Relative Ratio - Is calculated as: Portfolio Cumulative Return Relative / Benchmark Cumulative Return Relallve. • Tracking error is a measure otthe vOlatility or the average annual dillerence between the porttOliO's return and the benchmark's return. Fund of Hedge Fund performance criteria was incorporated on Jan. 1, 2009. Global Inflation Linked Securities performance criteria was Incorporated on Feb. 1, 2011. Passive International EqUity and Active/Passive Covered Calls criterias were incorporated on May 23,2012. Active High Yield tixed Income criteria was incorporated on July 11,2012.
Page 8 of 8
(/!:I
MONTHLY REPORT OF INVESTMENT MANAGERS ON WATCH*
Return vs. Benchmark Since Watch As of September 30, 2012
Performance Since Beain Watch Status'
Portfolio Style Group Concern Begin Watch
Status Last
Reviewed First
Month First 3 Months
First 6 Months
First 9 Months
First 12 Months
Since Placed on Watch
co p)
CO
N/M
10.3Small Cap Growth
Russell 2000 Growth
Tbills + 3 %
Hedge FOFs
Large Cap Growth
Russell 1000 Growth
Large Cap Value
Russell 1000 Large Cap Value
Large Cap Growth
Russell 1000 Growth
Russell 2000 Growth
Russell 1000 Growth
Tbills + 3 %/\
Aetos vs. Target
Fred Alger vs. Target
Frontier vs. Target
:·;'~~3mi~j&:~H~~JI)~>"... " 6.7
Loomis Sayles vs. N/M BC High Yield High Yield 2.1 5.3
BC High Yield N/M N/MTaraet
'Flnal performance data through 9/30/12 provided by LDZ, and preliminary performance data through 9130/12 provided by Mellon. "Performance data from manager, net of fees. Periods marked as '•••' do not Indicate that returns are not available for these periods; only that the manager in question has not been on watch status for these periods. Periods marked as "N/M" indicate returns are not meaningful enough to fairly Judge investment performance.