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CITY OF CLEARWATER EMPLOYEES PENSION PLAN PERFORMANCE REVIEW CC ITY OF LEARWATER EPP MPLOYEES ENSION LAN PR ERFORMANCE EVIEW S30,2011 EPTEMBER Eric W. Bailey, CFA John J. Griffith Managing PrincipalSenior Investment Consultant 102 W. Whiting Street, Suite 400, Tampa, FL 33602-5140 Tel: 813/218-5000 www.captrustadv.com TC ABLE OF ONTENTS Important Disclaimer Information 1 Capital Markets Review 2 Fund Overview 3 Performance Review Total Fund 4 Domestic Equity 5 International Equity 6 Fixed Income 7 Real Estate 8 Appendix 9 City of Clearwater Employees Pension Plan Important Disclaimer Information This report has been created as a courtesy for the clients of CapTrust Advisors. The information contained herein was taken from sources believed to be reliable, but no representation or warranty is made as to its accuracy or completeness. Performance Comparison Page Information: Shaded areas represent where the investment objective was achieved either by: 1) The investment return versus the index; 2) The investment return universe ranking (The lower the number the better the ranking) Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginning on the last day of an account's inception month. Results do not include the interim period from an account's inception date to an account's first month-end. For example, for an account that has an inception date of March 15, this report begins measuring performance as of March 31. Omission of performance during this interim period is likely to result in different performance figures than if the interim period's performance was included in this report. Investment results depicted represent historical net of fees performance. Net of Fees performance is calculated from custody reports provided by the custodian. Any fees paid to a fund manager directly by the plan sponsor or other sources outside of the custodial account are not netted against performance. Therefore, in such case, performance is calculated gross of such fees. Past performance is no guarantee of future performance. This report is not the official record of your account. However, it has been prepared to assist you with your investment planning and is for information purposes only. Your Custodial Client Statement is the official record of your account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client Statement and call your Financial Advisors if you have any questions. Transactions requiring tax consideration should be reviewed carefully with your accountant or tax tax advisor. This is not a substitute for your own records and the year-end 1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors. Indices are unmanaged and you cannot invest directly in an index. For index definitions, please see the Capital Markets Review. 1 2 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 IndexQTRYTD1 Yr3 Yr5 Yr10 Yr Domestic Fixed Income 3 Month T-Bill0.01%0.05%0.09%0.15%1.57%1.96% Barclays Capital 1-3 year Gov't0.47%1.35%1.23%2.74%3.96%3.44% Barclays Capital Interm Gov't3.19%5.36%3.72%5.38%5.91%4.80% Barclays Capital Interm Credit0.94%4.19%2.92%10.16%6.24%5.71% Barclays Capital Interm Govt/Cred2.39%4.92%3.40%7.03%5.92%5.12% Barclays Capital Aggregate Bond3.82%6.65%5.26%7.97%6.53%5.66% Domestic Equity Standard & Poor's 500-13.87%-8.68%1.14%1.23%-1.18%2.82% Dow Jones Industrial Average-11.50%-3.90%3.84%3.15%1.37%4.67% Dow Jones US Total Full Cap-15.32%-10.23%0.31%1.75%-0.57%3.93% Dow Jones US Select REIT -14.54%-5.20%1.87%-2.16%-3.18%9.08% Russell 1000 - Large Cap-14.68%-9.25%0.91%1.61%-0.91%3.28% Russell 1000 Growth - Large Cap-13.14%-7.20%3.78%4.69%1.62%3.01% Russell 1000 Value - Large Cap-16.20%-11.24%-1.89%-1.52%-3.53%3. Russell Midcap-18.90%-12.34%-0.88%3.97%0.56%7.45% Russell Midcap Growth-19.33%-11.59%0.80%5.89%1.64%6.70% Russell Midcap Value-18.46%-13.01%-2.36%1.98%-0.84%7.54% Russell 2000 - Small Cap-21.87%-17.02%-3.53%-0.37%-1.02%6.12% Russell 2000 Growth - Small Cap-22.25%-15.57%-1.12%2.07%0.96%5.4 Russell 2000 Value - Small Cap-21.48%-18.51%-5.99%-2.78%-3.08%6. International Equity MSCI EAFE-19.01%-14.98%-9.36%-1.13%-3.46%5.03% MSCI World-16.61%-12.20%-4.35%-0.07%-2.23%3.71% MSCI EM -23.19%-23.53%-18.14%3.81%2.50%13.35% Blended Benchmarks 30% S&P 500 / 70% Barclays Agg-1.49%2.05%4.02%5.95%4.22%4.81% 40% S&P 500 / 60% Barclays Agg-3.26%0.52%3.61%5.27%3.45%4.52% 50% S&P 500 / 50% Barclays Agg-5.03%-1.02%3.20%4.60%2.68%4.24% 60% S&P 500 / 40% Barclays Agg-6.79%-2.55%2.79%3.93%1.90%3.96% 70% S&P 500 / 30% Barclays Agg-8.56%-4.08%2.38%3.25%1.13%3.67% This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 3 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Capital Markets Summary Concerns over the fate of the global economy increased this quarter. Weighing heavily on the markets was a steady supply of mixed economic reports from the U.S., continuing debt problems in Europe, and indications of a softening economy in China. Investors gained little confidence from the possibility of another round of easing in the U.S. or the announcement of a $400 billion bond buy/sell program. “Operation Twist” received mixed reviews from economists and market watchers on its ability to change the current economic landscape. Market stability was further hampered by the Fed’s assessment of “significant”downside economic risk that raised the fear of a double-dip recession. While the U.S. economy continued to plod along, European leaders met to discuss Greece’s potential default. This was in addition to a previous announcement that the established EuroZonebailout fund may not be enough to resolve the European debt dilemma. China provided no relief this quarter as key manufacturing data from the pacific rim leader showed a decline for the third straight month. Korea alsomissed factory production estimates and Japan, of course, is still suffering from infrastructure damage caused by the tsunami earlier this year. In domestic markets, the major averages all finished decidedly lower this quarter and are now in negative territory for the year. The Dow Jones Industrial Average (DJIA) is down 3.9% YTD. The S&P 500 lost for the fifth straight month. The total return for the index is down 8.7% for the year. The NASDAQ Composite (NASDAQ) is down 8.2% YTD. Small and mid-cap stocks each suffered double digit loses in September. The S&P Mid-Cap 400 lost 10.58%, and is down 13.02% YTD. The S&P 600 lost 10.28%, and is down 13.8% YTD. Jobless claims, unemployment, S&P’slowered credit rating, political posturing –debt ceiling and jobs package, and the renewed threat of a recession all weighed heavily on consumer confidence this quarter. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 4 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Capital Markets Summary European leaders continue to work on solutions to a debt problem that threatens not only the European, but the global economy. Greece is the face of the debt problem, but its extension into other countries is causing economic and political problems for Germany and France. European Union leaders are seeking additional financial stimulus, however, Germany is reluctant to sponsor moves that could threaten its economy. Emerging markets suffered losses across all indices this quarter. Moving these markets lower were concerns over a global economic slowdown that could hurt commodities and exports. The MSCI EM Index lost just under 22.5% this quarter, and is now down more than 21.6% for the year. Domestic equity underwritings are at their lowest levels since the failure of Lehman Brothers Holdings in 2008. Offerings are down 32% from the year ago period, and 31% from the second quarter. Globally, IPOs are down 16% from the year ago period, and at their lowest levels since 2009. Fixed income offerings are at a yearly low. Corporations issued $157.9billion of investment grade bonds during the quarter, the slowest pace since the second quarter of2010. For the quarter, rates on the 10-year Treasury bond fell 122 basis points from 3.16%, the biggest decline since the fourth quarter of 2008. Thirty-year bond yields are down 146 basis points since the beginning of the quarter and yields are near the lowest levels since 2009. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 5 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Domestic Equity The month of September is historically the Broad Domestic Equity Performance worst performing month of the year for equity markets. This September repeated history as 10.00% all the major averages were down at least 5% 5.00% for the month, extending the streak of 0.00% consecutive negative monthly returns to five. -5.00% After falling 2% in July, the DJIA fell 4% in Large Cap Mid Cap August, and then ended the quarter with a 6% -10.00%Small Cap loss in September. This story repeated -15.00% throughout the other domestic indices. While -20.00% all the indices entered the third quarter with -25.00% positive year-to-date returns, by the end of the 3Q111 year3 years5 years10 years quarter each was in negative territory with small caps especially hard hit. Looking at the major indices, the DJIA was down 11.5% for the quarter and is now down 3.9% for the year. Likewise, the S&P 500 Index extended its own losing streak to 5 months as it fell 13.87% in the quarter (7% in September alone) and is now down 8.68% for the year. The Russell 3000 was down 15.28% for the quarter and is down 9.90% for the year. The NASDAQ Composite faired just as poorly as it fell 6.3% in September on its way to an 12.69% loss for the quarter and -8.24% the year. wz©7vÒ©·;© 5;·z-9¨Òz·äw;·Ò© ValueGrowth -16.20-14.68-13.14 -18.5-18.90-19.33 -21.47-21.87-22.25 -10-50510 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 6 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Domestic Equity For market caps, small caps were {µt v {;-·©w;·Ò© particularly hard hit this quarter as the Utilities 1.55 Russell 2000 was down 11.2% in ConsumerStaples 4.19 September and 21.87% for the quarter, InformationTechnology 7.70 pushing its year-to-date return into negative Telecommunication 8.01 HealthCare territory with a 17.02% decline. As market 10.02 ConsumerDiscretionary 12.98 caps increased, returns improved. The S&P500 13.87 Russell Midcap lost 18.90% in the quarter, Energy 20.46 the Russell 1000 lost 14.68% and the Industrials 21.02 Russell Top 200 Megacaplost 12.8%. Financials 22.80 Materials 24.52 In comparing styles, returns were mixed as large cap growth stocks outperformed large cap value stocks. The Russell 1000 Growth Style Performance 10 Year Growth of $100 fell 13.14% for the quarter compared to a 300 decline of 16.20% for the Russell 1000 250 Value. Although the Russell 1000 Growth 200 outperformed its value counterpart in all three months of the quarter, this differential 150 narrowed from a 2.3% gap in July, to a 100 1.0% gap in August, to a 0.3% gap in 50 September. In smaller caps, The Russell 0 2000 Value slightly outperformed with a 21.47% loss versus a 22.25% loss for the R1000 ValueR1000 GrowthR2000 ValueR2000 Growth Russell 2000 Growth in the quarter. Year- to-date, growth has outperformed value by 3% in small caps and 4% in large caps. Sector returns in the S&P 500 were mostly down for the quarter. Utilities were the only bright spot as steady returns from the Multi-Utilities and Electric Utilities industries helped the sector post a 1.6% gain for the quarter. All other sectors of the S&P 500 were down during the quarter. Consumer Staples, Information Technology, Telecommunication, Health Care,and Consumer Discretionary all outperformed the broader index. The remaining four sectors all posted losses of greater than 20% as the Materials sector was hit the hardest with a 24.5% decline. Within Materials, the Metals and Mining subsector was a battle of extremes as it had the best performingindustry within the S&P 500 (Gold up 17.1%) but also three of the worst industries in the quarter (Steel down 38.9%, Aluminum down 39.5%, and Diversified Metals & Mining down 41.4%). This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 7 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 International Markets Fear of a possible global economic recession and anxiety over Greece hit all equity markets hard and took an especially large toll on international indices. The MSCI Emerging Markets led all major indices lower with a loss of 22.46%. The MSCI Frontier Markets only lost about half of that coming in at -12.04% and the MSCI EAFE Index returned -18.95%. Germany had so far weathered the recession and recovery better than most of its peers. The European Union’s industrial giant did not fare so well this quarter. A slowingeconomy and forecasts that some believe will suffer further downward revision hit the MSCI Germany Index for a 31% loss this quarter. Leading think-tanks now believe that the German economy will grow .8% in 2012,1% shy of current government estimates of 1.8%. The MSCI Japan Index has been resilient comparatively in the post tsunami timeframe reporting a 6.37% loss for the quarter while maintaining a slight positive one-year return of .07%. Greece is old news but still remains in the headlines and continued to have an impact on markets and volatility this quarter. The inability for the individual European countries to come to consensus on backing indebted countries such as Greece with euro issued bonds, or letting them fail, allows Greek debt to continue to overhang the market. Some believe the best scenario is to continue to buy time for banks to continue to raise capital and try to insulate themselves from an eventual Greek default on its bonds. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 8 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Fixed Income The U.S. fixed income markets saw significant movements in the third quarter of 2011. Fears of a double dip recession and poor economic news set the tone. A highly publicized debt ceiling debate led Standard and Poor’s to downgrade U.S. credit from its top triple-A rating to AA+. As the initial shock wore off, Treasuries became the big winner for their perceived safety and liquidity. Economic uncertainty continued through the quarter as European debt concerns filled the headlines. The BofAMerrill Lynch US Treasury Master Index had a total return for the quarter of 6.36%. 15.00% In an attempt to further stimulate the economy the 10.00% Federal Reserve announced its plans for a $400 5.00% billion program labeled “Operation Twist”. This 0.00% program is similar in structure to a 1960’s program 3Q11YTD1YR3YR5YR10YR GovtsCorpsMortgagesMunis of selling short-term Treasury securities and purchasing longer-term Treasuries with the proceeds. "This program should put downward pressure on longer-term interest rates and help make broader financial conditions more accommodative" the Fed said in its official statement. Treasury yields fell across the board, amplified in products with a longer maturity. Two- year Treasuries moved 36 basis points lower to yield 0.24% as 10-year Treasuries fell 101 basis points to yield 1.97%. Corporate bonds performed well in the third quarter, but widening credit spreads brought down lower rated securities. The BofAMerrill Lynch US Corporate Master Bond Index had a total returnfor the quarter of 2.26%. High yield securities were the worst performing bonds of the quarter, with the BofA Merrill Lynch High Yield Master II Index losing -6.32%. The international bond markets did not fare as well as the U.S. market as investors remain cautious of the global economy and the Euro nations in particular. The Citigroup Non-USD World Government Bond Index returned a modest 0.95%. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 9 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 Commodities The global economic slowdown is taking its toll on commodities. Oil finished the quarter below $79 per barrel, and is down more than 13% YTD. Natural Gas lost morethan 14% during the quarter and is now down more than 16% for the year. In metals, copper ended thequarter down after declining more than 24% in September, losing 7% in one trading session, and is now down more than 30% for the year. Silver was also volatile this quarter losing 27.86% in September and is now nearly flat for the year, up .44%. Palladium and platinum are down more than 24% and14%, respectively, for the year. Gold set a new high over $1,900 per ounce early in September before pulling back, but is still up more than 16% YTD. Currency The Dollar Index is at its highest levels since January and the Dollar continued its gain against the Euro finishing the quarter at an eight month high. The Dollar gained more than 7% against the Euro this quarter and is now up 2.37% for the year. The Yen gained against the Dollar and Euro as a flight to safety trade. The Yen is now trading near a ten year high against Euro. 1 Year Country And Currency Returns As of September 30, 2011 9.9% Australia -8.9% 4.9% Canada -6.2% -1.1% -14.2% Europe 9.3% Japan 0.1% 6.0% U.K. -5.3% 15.00%10.00%5.00%0.00%5.00%10.00% CurrencyCountryReturn This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Zephyr StyleAdvisor, Barclay’s Capital, MSCI Barra& Standard & Poor’s Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 10 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 CAPITAL MARKET INDEX RETURNS 19921993199419951996199719981999200020012002200320042005200620072008200920102011 Russell Russell DJ Russell Russell Russell DJ Russell BarclaysRussell DJ DJ DJ Russell BarclaysRussell Russell Barclays MSCI MSCI 20001000Wilshire 100010002000Wilshire 2000Agg2000Wilshire Wilshire Wilshire 1000Agg10002000Agg BEST EAFEEAFE ValueValueREITValueGrowthGrowthREITValueBondGrowthREITREITREITGrowthBondGrowthGrowthBond 29.15%32.94%8.06%38.35%37.04%35.18%38.71%43.09%31.04%13.96%10.27%48.53%33.14%14.00%36.13%11.81%5.24%37.21%29.09%6.65% DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ DJ S&P S&P S&P MSCI MSCI MSCI Wilshire 20001000100010002000Wilshire Wilshire 2000200020002000Wilshire Wilshire EAFEEAFE 500500500EAFE REITValueGrowthGrowthGrowthValueREITREITValueValueValueGrowthREITREIT 15.13%23.84%2.66%37.53%23.12%33.35%28.57%33.16%22.83%12.36%3.60%46.02%22.25%13.54%26.34%11.17%-28.92%34.47%28.07%-5.20% Russell Russell DJ Russell Russell BarclaysBarclaysRussell Russell Russell Russell Russell Russell Russell S&P MSCI MSCI MSCI MSCI MSCI 10001000Wilshire 10002000AggAgg2000100020002000100020001000 500EAFEEAFEEAFEEAFEEAFE ValueValueREITGrowthValueBondBondValueValueValueGrowthValueValueGrowth 13.81%18.12%2.66%37.19%22.94%31.78%20.33%27.30%11.63%8.44%-11.42%39.16%20.25%7.05%23.48%7.05%-36.85%31.78%24.50%-7.20% Russell DJ Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell BarclaysDJ Russell S&P S&P S&P S&P 2000Wilshire 2000100010001000100010001000Wilshire 100010001000AggWilshire 1000 500500500500 GrowthREITGrowthValueGrowthValueValueValueValueREITValueGrowthValueBondREITGrowth 7.77%15.14%1.31%31.04%21.64%30.49%15.63%21.04%7.01%-5.59%-15.52%36.06%16.49%5.26%22.25%6.97%-37.00%28.46%16.71%-8.68% Russell Russell Russell Russell DJ BarclaysRussell Russell Russell Russell Russell Russell Russell S&P S&P MSCI S&P S&P S&P S&P 2000200020002000Wilshire Agg1000200010002000100010001000 500500EAFE500500500500 GrowthValueValueValueREITBondValueGrowthValueGrowthGrowthValueValue 7.62%13.37%-1.55%25.75%21.37%19.67%8.67%7.35%-9.10%-9.22%-15.94%30.03%14.31%4.91%15.79%5.49%-38.44%26.46%15.51%-11.24% BarclaysRussell BarclaysRussell Russell Russell DJ Russell Russell Russell Russell Russell Russell S&P MSCI S&P S&P S&P S&P MSCI Agg1000Agg200020002000Wilshire 100020002000100020002000 500EAFE500500500500EAFE BondValueBondGrowthGrowthGrowthREITGrowthValueGrowthValueGrowthValue 7.40%10.06%-1.99%18.48%11.26%12.95%1.23%-2.57%-13.96%-11.88%-22.09%29.76%10.87%4.71%13.35%-0.17%-38.54%20.58%15.06%-14.98% Russell BarclaysRussell DJ BarclaysRussell BarclaysRussell Russell Russell Russell Russell Russell Russell DJ Russell Russell MSCI S&P MSCI 1000Agg2000Wilshire Agg2000Agg1000100010001000200010002000Wilshire 10002000 EAFE500EAFE GrowthBondGrowthREITBondValueBondGrowthGrowthGrowthGrowthGrowthGrowthValueREITValueGrowth 5.00%9.75%-2.44%12.24%6.36%9.68%-6.46%-0.83%-22.42%-20.42%-27.89%28.67%6.30%4.15%9.07%-9.78%-39.20%19.69%7.75%-15.57% Russell BarclaysBarclaysDJ Russell Russell Russell BarclaysBarclaysBarclaysBarclaysDJ BarclaysBarclaysRussell MSCI MSCI MSCI MSCI MSCI 1000AggAggWilshire 200020002000AggAggAggAggWilshire AggAgg2000 EAFEEAFEEAFEEAFEEAFE GrowthBondBondREITValueGrowthGrowthBondBondBondBondREITBondBondValue WORST -11.85%2.90%-2.92%11.55%3.61%2.06%-17.00%-1.49%-22.43%-22.00%-30.27%4.11%4.34%2.43%4.33%-17.56%-45.09%5.93%6.54%-18.51% Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth rates. Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields, and higher forecasted growth rates. Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russell 2000 Growth Index. Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell 2000 Value Index. MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the performance of developed stock markets in these areas. Barclays AggBond is the Lehman Brothers Aggregate Bond Index. This index includes U.S. government, corporate and mortgage-backed securities rated investment grade or higher with maturities up to 30 years. S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy. DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index is comprised of companies whose charter is the equity ownership andoperation of commercial real estate. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 11 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 RELATIVE PERFORMANCE OF KEY INDICES Asian Crisis Black Monday -Oct '87 Aug '82 ÏDJIA 776 Invasion of Iraq This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 12 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 13 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 14 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. 15 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 GENERAL DISCLOSURE STATEMENT FIRM: Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE. CONFLICTS OF INTEREST: To review important information about certain relationships and potential conflicts of interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned inthis report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosuresor call your Financial Advisor. STATEMENT OF OPINION : This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and are subject to change without notice. The report herein is not a complete analysis ofevery material fact in respect to any company, industry or security. Any market prices are only indications of market values and are subject to change. The material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any security or instrument or to participate in any trading strategy. Additional information is available upon request. ASSET CLASS SUITABILITY: Stocks of small companies are typically more volatile than stocks of larger companies. They often involve higher risks because they may lack the management expertise, financial resources, product diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest payments. Global/International investing involves risks not typically associated with US investing, including currency fluctuations, political instability, uncertain economic conditions and different accounting standards. PAST PERFORMANCE: Past performance is not an indication of future results. ASSET CLASS PERFORMANCE REPRESENTATIONS: Long Term Treasuries = BC Treasury Long; Municipals = BC Municipal; Foreign Bonds = Salomon World BIG –IB; US Govt/Credit = BC Govt/Credit; MtgeBacked Securities = ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap USValue = RU 2000 Value; MidCapUS Stocks = RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks =Salomon Europe BMI; Small Cap US Stocks = RU 2000; LgCap US Growth = RU 1000 Growth; Latin American Stocks = SalomonLatin America BMI; SmCap US Growth = RU 2000 Growth BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS : Large-Cap = S&P 500 or Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE DATA SOURCES: Information found in this document was derived from the following sources: Zephyr Associates StyleAdvisor, InformaM-Watch, Investor Force, Barclays Capital, MSCI Barra, and Standard & Poor’s. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. 16 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 GENERAL DISCLOSURE STATEMENT Dow Jones Industrial Average -This index is comprised of 30 "blue-chip" US stocks selected for their history of successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US stocks and about 25% of the NYSE market capitalization. It is aprice-weighted arithmetic average, with the divisor adjusted to reflect stock splits and the occasional stock switches in the index. NASDAQ Composite -A cap-weighted index comprised of all common stocks that are listed onthe NASDAQ Stock Market (National Association of Securities Dealers Automated Quotation system). S&P 500 -A broad-based measurement of changes in stock market conditions based onthe average performance of 500 widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks traded in the U.S. While many of the stocks are among the largest, thisindex also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.S. market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding),calculated on a total return basis with dividends reinvested. S&P 500/Citigroup Growth -The S&P/Citigroup Growth tracks the performance of those stocksin the S&P 500 with lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the S&P 500. S&P 500/Citigroup Value -The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to- price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than the S&P 500. Russell 1000 -The 1000 largest companies in the Russell 3000 index, based on market capitalization. Russell 1000 Growth -A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Value index. Russell 1000 Value -Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth Index. Russell Mid Cap -The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and it represents over 35% of the Russell 1000 total market cap. Russell 2000 -The 2000 smallest companies in the Russell 3000 index. Russell 2000 Growth -A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index. Russell 2000 Value -A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index. Russell 2500 -The index consisting of the bottom 500 stocks in the Russell 1000(as ranked by market capitalization) and all of the stocks in the Russell 2000. This index is intended tobe used as a measure of small to medium/small stock performance, and it represents over 22% of the Russell 3000 total market cap. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. 17 CAPITAL MARKETS REVIEW –SEPTEMBER 30, 2011 GENERAL DISCLOSURE STATEMENT MSCI EAFE -A market capitalization-weighted index representing all of the MSCI developed markets outside North America. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries in the MSCI Europe and the 6 Pacific countries in the MSCI Pacific.This index is created by aggregating the 20 different country indexes, all if which are created separately. MSCI World -This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world. It is created by aggregating the 22 different country indexes, all if which are created separately. MSCI Emerging Markets Free (EMF) -A market capitalization-weighted index representing 26 of the emerging markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different country indexes, all if which are created separately. Barclays Capital Government/Credit -This index includes all bonds that are in the Barclays Capital Government Bond and the Barclays Capital Credit Bond indices. Barclays Capital Government Intermediate -All bonds covered by the Barclays Capital Government Bond indexwith maturities of 1 and 10 years. Barclays Capital Aggregate Bond -This index is made up of the Barclays Capital Government/Credit, the Mortgage- Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment grade or higher, have at least one year to maturity, and have an outstanding par value of at least $100 million. Barclays Capital Government Long Term -All bonds covered by the Barclays Capital Government Bond indexwith maturities of 10 years or greater. Barclays Capital Municipal Bond -This market cap weighted index includes investment grade tax-exempt bonds and is classified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index, the original transaction size of a bond must have been greater than $50 million. Merrill Lynch Convertibles -The convertible securities used in this index span all corporate sectors and must have a par amount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to or greater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks. When the component bonds of this index convert into common stock, the converted securities are dropped from the index. Merrill Lynch High Yield Master -Market-cap weighted index providing a broad-based measure of bonds in the US domestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 or below as rated by Moody’s and/or S&P, at least $100 million in face value outstanding and a remaining term to final maturity equal to or greater than one year. Dow Jones Wilshire REIT Index -A measurement of equity REITs and Real Estate Operating Companies. No special- purpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculated monthly using buy and hold methodology; it is rebalanced monthly. Citigroup 3 Month Treasury Bill -Representing the monthly return equivalents of yield averages that are not marked to market, this index is an average of the last three three-month Treasury bill issues. 50/50 Blend (S&P 500/BCIGC) –A blended benchmark consisting of 50% S&P 500 and 50% Barclays Capital Government/Credit Intermediate indices. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at theconclusion of this report. Past performance is not indicative of future results. 18 City of Clearwater Asset Allocation vs Target & Policy Total Fund As of 9/30/11 Market ManagerValueActual %Policy % ING Investment Mgmt84,055,687.2613.88 Aletheia Research24,192,987.834.00 NTGI-QM R1000V38,066,504.786.29 Artisan Partners33,681,695.855.56 Wedge Capital Mgmt32,037,172.655.29 Atlanta Capital Mgmt10,898,733.111.80 Systematic Financial Mgt8,501,149.641.40 Riverbridge Partners18,102,180.812.99 Total Domestic Equity249,536,111.9341.2142.00 Earnest Partners25,710,686.044.25 Wentworth & Violich24,580,308.914.06 Eaton Vance Mgmt24,473,261.914.04 Wellington Mgmt21,764,692.833.59 Total International Equity96,528,949.6915.9418.00 Dodge & Cox109,892,455.5318.15 Western Asset Management Co.86,180,126.8714.23 Security Lending Income Account39,930.850.01 In House Account806,813.410.13 Total Domestic Fixed Income196,919,326.6632.5230.00 Multi Employer Property Trust23,087,470.143.81 Security Capital36,928,195.956.10 Molpus Woodlands Group2,463,299.000.41 Total Real Estate62,478,965.0910.3210.00 Total Fund605,463,353.37100.00 19 City of Clearwater Sources of Fund Growth Total Fund 6/30/11 - 9/30/11 BeginningNetInvestInvestEnding Manager NameValueContribFeesGain/LossValue ING Investment Mgmt96,464,501-5790-12,408,23484,055,687 Aletheia Research30,538,357-2850-6,345,08424,192,988 NTGI-QM R1000V45,400,41400-7,333,91038,066,505 Artisan Partners45,233,808-5,001,2680-6,550,84433,681,696 Wedge Capital Mgmt44,685,982-4,000,2710-8,648,53932,037,173 Atlanta Capital Mgmt12,938,391-1810-2,039,47710,898,733 Systematic Financial Mgt11,691,217-910-3,189,9768,501,150 Riverbridge Partners21,523,036-2350-3,420,62018,102,181 Managed Equity308,475,706-9,002,9110-49,936,683249,536,112 Earnest Partners32,104,183-2,5360-6,390,96125,710,686 Wentworth & Violich32,370,514-770-7,790,12824,580,309 Eaton Vance Mgmt31,008,48100-6,535,21924,473,262 Wellington Mgmt27,744,64400-5,979,95121,764,693 International EQ Comp123,227,822-2,6140-26,696,25996,528,950 Dodge & Cox108,989,174-7910904,072109,892,456 Western Asset Management Co.83,727,328-12,12102,464,92086,180,127 Security Lending Income Account207,248-167,478016139,931 In House Account-1,117,5151,924,32800806,813 Fixed Income Comp191,806,2351,743,93903,369,153196,919,327 Multi Employer Property Trust22,354,95500732,51623,087,470 Security Capital46,098,475-2,352,3340-6,817,94536,928,196 Molpus Woodlands Group111,2992,352,000002,463,299 Real Estate Comp68,564,729-3340-6,085,43062,478,965 Total Fund692,074,491-7,261,9190-79,349,219605,463,353 20 City of Clearwater Executive Summary Table Periods Ending September 30, 2011 Net of Fee Return ValuePeriods Ending 9/30/11Since Inception Name$(000)Cur Qtr1 Year3 Yrs5 Yrs7 Yrs10 Yrs15 YrsRetDate Total Fund605,463-11.490.086.933.215.355.526.218.7512/31/87 Policy Index-9.880.554.492.235.336.416.778.9912/31/87 Domestic Equity Comp249,536-16.271.393.640.644.154.905.819.9812/31/87 S&P 500-13.861.151.23-1.182.292.815.239.0412/31/87 Large Cap Equity Comp146,315-15.130.031.16-0.732.873.314.979.10 3/31/88 R1000-14.680.911.60-0.912.683.285.429.01 3/31/88 Aletheia Research24,193-20.78-10.08-2.07-6.72 6/30/07 R1000V-16.21-1.90-1.52-7.19 6/30/07 ING Investment Mgmt84,056-12.864.263.712.255.094.316.6110.4312/31/87 R1000G-13.143.784.691.623.623.014.168.5012/31/87 NTGI-QM R1000V38,067-16.15-1.78-1.22-6.98 6/30/07 R1000V-16.21-1.90-1.52-7.19 6/30/07 Mid Cap Equity Comp65,719-17.173.517.433.196.107.627.1811.44 3/31/88 R Mid Cap-18.90-0.893.960.565.037.458.0110.55 3/31/88 Artisan Partners33,682-14.747.7011.277.279.149.377.01 7/31/01 R Mid Cap G-19.330.805.891.635.276.693.93 7/31/01 Wedge Capital Mgmt32,037-19.63-0.633.31-1.14 2/28/07 R Mid Cap V-18.47-2.361.98-3.43 2/28/07 Small Cap Equity Comp37,502-18.742.664.170.524.565.41 8/31/03 R2000-21.86-3.53-0.37-1.013.034.58 8/31/03 Atlanta Capital Mgmt10,899-15.768.578.056.728.679.26 8/31/03 R2000V-21.47-6.00-2.79-3.081.994.49 8/31/03 Riverbridge Partners18,102-15.897.277.27 9/30/10 R2000G-22.26-1.14-1.14 9/30/10 Systematic Financial Mgt8,501-27.29-11.580.84-2.742.583.42 8/31/03 R2000V-21.47-6.00-2.79-3.081.994.49 8/31/03 International EQ Comp96,529-21.66-12.873.19-1.035.276.104.07 5/31/01 MSCI EAFE-18.95-8.94-0.66-3.003.795.483.37 5/31/01 Earnest Partners25,711-19.91-7.696.27-3.44 4/30/08 MSCI EAFE-18.95-8.94-0.66-9.02 4/30/08 Eaton Vance Mgmt24,473-21.08-15.005.44-4.92 4/30/08 MSCI Emg Mkts-22.46-15.896.59-5.89 4/30/08 Wellington Mgmt21,765-21.55-18.804.54-4.01 3/31/08 MSCI Emg Mkts-22.46-15.896.59-3.63 3/31/08 Wentworth & Violich24,580-24.07-10.08-1.15-8.17 4/30/08 MSCI EAFE-18.95-8.94-0.66-9.02 4/30/08 Fixed Income Comp196,9191.764.299.606.855.935.526.186.9812/31/87 BC Agg3.825.267.976.535.575.676.467.4012/31/87 21 City of Clearwater Executive Summary Table Periods Ending September 30, 2011 Net of Fee Return ValuePeriods Ending 9/30/11Since Inception Name$(000)Cur Qtr1 Year3 Yrs5 Yrs7 Yrs10 Yrs15 YrsRetDate Dodge & Cox109,8920.834.129.796.845.985.64 2/29/04 BC Agg3.825.267.976.535.575.33 2/29/04 In House Account8070.000.000.000.000.000.000.000.7712/31/87 3-month T-Bill0.010.110.201.622.141.922.993.9612/31/87 Security Lending Income Account400.061.0213.809.878.036.94 6/30/03 3-month T-Bill0.010.110.201.622.141.97 6/30/03 Western Asset Management Co.86,1802.944.659.206.785.855.85 9/30/04 BC Agg3.825.267.976.535.575.57 9/30/04 Real Estate Comp62,479-8.886.220.09-2.62 4/30/08 Policy Index-8.947.43-1.18-3.05 4/30/08 Molpus Woodlands Group2,4630.000.00 6/30/11 NCREIF Timberland Index-0.35-0.35 6/30/11 Multi Employer Property Trust23,0873.2815.4415.44 9/30/10 NCREIF ODCE3.5218.2718.27 9/30/10 Security Capital36,928-15.510.35-1.79-4.23 4/30/08 Wilshire RESI-15.081.76-2.20-3.96 4/30/08 22 City of Clearwater Executive Summary Table September 30, 2011 Net of Fee Return ValueCalendar Years Name$(000)YTD20102009200820072006 Total Fund605,463-6.8317.7330.28-27.107.2011.76 Policy Index-5.3213.9626.00-27.736.6916.59 Domestic Equity Comp249,536-10.0222.5332.14-37.767.1813.01 S&P 500-8.6715.0526.45-36.995.5215.81 Large Cap Equity Comp146,315-10.0516.8724.59-35.237.7611.52 R1000-9.2516.1028.42-37.605.7715.46 Aletheia Research24,193-20.2516.9836.50-37.97 R1000V-11.2515.5119.69-36.85 ING Investment Mgmt84,056-6.0617.1024.43-33.1817.107.14 R1000G-7.2116.7237.21-38.4311.829.09 NTGI-QM R1000V38,067-11.1415.7520.35-36.86 R1000V-11.2515.5119.69-36.85 Mid Cap Equity Comp65,719-8.9828.0345.33-41.7910.2612.53 R Mid Cap-12.3525.4940.47-41.465.5915.27 Artisan Partners33,682-5.6733.1551.38-42.8722.3110.94 R Mid Cap G-11.5926.3946.30-44.3211.4110.64 Wedge Capital Mgmt32,037-12.2823.3038.51-34.89 R Mid Cap V-13.0024.7634.20-38.45 Small Cap Equity Comp37,502-11.9029.2733.51-38.633.2717.40 R2000-17.0226.8527.19-33.80-1.5518.35 Atlanta Capital Mgmt10,899-5.3425.9826.83-19.526.9116.22 R2000V-18.5224.5120.57-28.92-9.7723.48 Riverbridge Partners18,102-7.84 R2000G-15.58 Systematic Financial Mgt8,501-25.5335.5035.72-40.710.4918.61 R2000V-18.5224.5120.57-28.92-9.7723.48 International EQ Comp96,529-20.1218.3757.93-47.9411.0227.62 MSCI EAFE-14.628.2132.46-43.0611.6326.85 Earnest Partners25,711-13.4516.6155.54 MSCI EAFE-14.628.2132.46 Eaton Vance Mgmt24,473-21.0023.3367.01 MSCI Emg Mkts-21.6619.1979.02 Wellington Mgmt21,765-24.3915.9974.44 MSCI Emg Mkts-21.6619.1979.02 Wentworth & Violich24,580-21.6517.5855.98 MSCI EAFE-14.628.2132.46 Fixed Income Comp196,9194.707.3712.372.545.945.05 BC Agg6.656.545.935.246.964.33 23 City of Clearwater Executive Summary Table September 30, 2011 Net of Fee Return ValueCalendar Years Name$(000)YTD20102009200820072006 Dodge & Cox109,8923.987.5314.531.375.475.62 BC Agg6.656.545.935.246.964.33 In House Account8070.000.000.000.000.000.00 3-month T-Bill0.070.130.161.804.744.76 Security Lending Income Account402.7321.7017.482.435.104.87 3-month T-Bill0.070.130.161.804.744.76 Western Asset Management Co.86,1805.807.099.243.926.514.66 BC Agg6.656.545.935.246.964.33 Real Estate Comp62,479-0.7230.5124.68 Policy Index0.2824.9629.20 Molpus Woodlands Group2,463 NCREIF Timberland Index Multi Employer Property Trust23,08710.24 NCREIF ODCE12.65 Security Capital36,928-7.0031.6224.68 Wilshire RESI-5.9329.1229.20 24 City of Clearwater Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 9/11 10% 8% 1 T T T 1 1 6% 1 T T T 1 1 4% T 1 T 2% 1 T 1 0% T 1 -2% -4% -6% -8% -10% 1 T -12% -14% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-4.184.838.026.412.544.555.125.976.908.236.72 1st Qt-7.751.916.004.860.953.163.984.975.716.795.68 Median-9.210.675.194.17-0.352.373.364.415.126.285.01 3rd Qt-10.70-0.224.253.13-1.421.492.713.994.605.714.54 Low-12.04-1.793.331.95-2.900.571.963.264.174.863.84 T Total Fund Net Ret-11.490.087.216.930.753.214.215.355.836.975.52 Rank88649229241813212032 1 Policy Index Net Ret-9.880.556.134.49-0.882.233.805.336.387.906.41 Rank59532137595431141079 25 City of Clearwater Calendar Year Performance Comparison Total Returns of Total Fund Public Sponsors Years Ending December 35% 30% T 1 25% 1 20% T T 1 15% 1 1 T 10% T 1 T 1T 5% 0% 1 -5% 1T T 1 T -10% -15% -20% -25% T 1 -30% -35% 9/30/11 YTD2010200920082007200620052004200320022001 High0.3317.2427.37-9.7110.7716.3210.3413.9126.041.584.40 1st Qt-3.4613.9721.60-20.208.6914.058.1111.7922.56-5.91-0.68 Median-4.7812.6719.11-24.047.5212.086.529.9019.72-8.28-2.68 3rd Qt-6.1211.2315.60-27.216.3810.285.338.4017.04-9.76-4.76 Low-7.699.339.61-30.384.366.633.915.7011.34-12.76-8.99 T Total Fund Net Ret-6.8317.7330.28-27.107.2011.766.719.9019.63-8.74-5.35 Rank89337459544650516081 1 Policy Index Net Ret-5.3213.9626.00-27.736.6916.598.2513.4825.03-8.11-3.38 Rank6125779664236104859 26 City of Clearwater Performance Summary Total Fund September 30, 2011 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 QtrYTD1 Year3 Year5 YearIncept 12/31/87 Total FundPolicy Index Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Total Fund-11.49-6.830.086.943.228.7512/31/87$605,463,353 Policy Index-9.88-5.320.554.492.238.99 Rank888964224 ING Investment Mgmt-12.86-6.064.263.712.2510.4312/31/87$84,055,687 R1000G-13.14-7.213.784.691.628.50 Rank2319233527 Aletheia Research-20.78-20.25-10.08-2.07-6.72 6/30/07$24,192,988 R1000V-16.21-11.25-1.90-1.52-7.19 Rank93979786 NTGI-QM R1000V-16.15-11.14-1.78-1.22-6.98 6/30/07$38,066,505 R1000V-16.21-11.25-1.90-1.52-7.19 Rank53494870 Artisan Partners-14.74-5.677.7011.277.277.01 7/31/01$33,681,696 R Mid Cap G-19.33-11.590.805.891.633.93 Rank78622 Wedge Capital Mgmt-19.63-12.28-0.633.31-1.14 2/28/07$32,037,173 R Mid Cap V-18.47-13.00-2.361.98-3.43 Rank61505035 Atlanta Capital Mgmt-15.76-5.348.578.056.729.26 8/31/03$10,898,733 R2000V-21.47-18.52-6.00-2.79-3.084.49 Rank21111 27 City of Clearwater Performance Summary Total Fund September 30, 2011 Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Systematic Financial Mgt-27.29-25.53-11.580.84-2.743.42 8/31/03$8,501,150 R2000V-21.47-18.52-6.00-2.79-3.084.49 Rank9899994685 Riverbridge Partners-15.89-7.847.277.27 9/30/10$18,102,181 R2000G-22.26-15.58-1.14-1.14 Rank6914 Earnest Partners-19.91-13.45-7.696.27-3.44 4/30/08$25,710,686 MSCI EAFE-18.95-14.62-8.94-0.66-9.02 Rank43202512 Wentworth & Violich-24.07-21.65-10.08-1.15-8.17 4/30/08$24,580,309 MSCI EAFE-18.95-14.62-8.94-0.66-9.02 Rank92894575 Eaton Vance Mgmt-21.08-21.00-15.005.66-4.75 4/30/08$24,473,262 MSCI Emg Mkts-22.46-21.66-15.896.59-5.89 Rank51523650 Wellington Mgmt-21.55-24.39-18.804.54-4.01 3/31/08$21,764,693 MSCI Emg Mkts-22.46-21.66-15.896.59-3.63 Rank53777264 Dodge & Cox0.833.984.129.796.845.64 2/29/04$109,892,456 BC Agg3.826.655.267.976.535.33 Rank5856452937 Western Asset Management Co.2.945.804.659.206.785.85 9/30/04$86,180,127 BC Agg3.826.655.267.976.535.57 Rank303436363943 Security Lending Income Account0.062.731.0214.7910.447.28 6/30/03$39,931 3-month T-Bill0.010.070.110.201.621.97 In House Account0.000.000.000.000.000.7712/31/87$806,813 3-month T-Bill0.010.070.110.201.623.96 28 City of Clearwater Performance Summary Total Fund September 30, 2011 Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Multi Employer Property Trust3.2810.2415.4415.44 9/30/10$23,087,470 NCREIF ODCE3.5212.6518.2718.27 Rank29453939 Security Capital-15.51-7.000.35-1.79-4.23 4/30/08$36,928,196 Wilshire RESI-15.08-5.931.76-2.20-3.96 Rank87858126 Molpus Woodlands Group0.000.00 6/30/11$2,463,299 NCREIF Timberland Index-0.35-0.35 29 30 City of Clearwater Domestic Equity Comp as of 9/30/11 Portfolio Performance (%) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 QtrYTD1 Year3 Year5 Year10 YearIncept 12/31/87 Domestic Equity CompS&P 500 Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year12/31/87 Domestic Equity Comp-16.27-10.021.393.640.644.909.98 S&P 500-13.86-8.671.151.23-1.182.819.04 Asset Growth ($000) Beginning Market Value308,476287,057252,774217,643290,407197,70032,236 Net Contributions & Withdrawals-9,003-9,006-7,008-14,139-14,139-14,139-14,139 Gain/Loss + Income-49,937-28,5153,77146,031-26,73365,975231,439 Ending Market Value249,536249,536249,536249,536249,536249,536249,536 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple Computer IncInformation Technology2.93Energy9.05 Exxon Mobil CorpEnergy2.62Materials6.28 Microsoft CorpInformation Technology1.70Industrials14.10 Google IncInformation Technology1.39Consumer Discretionary15.54 Philip Morris Intl IConsumer Staples1.27Consumer Staples8.41 McDonalds CorpConsumer Discretionary1.18Health Care12.06 Johnson & JohnsonHealth Care1.05Financials10.17 Qualcomm IncInformation Technology1.02Information Technology22.44 Roper Inds Inc NewIndustrials1.01Telecom Services0.01 Danaher CorpIndustrials0.95Utilities1.94 Holdings and allocations only include SMA accounts. 31 City of Clearwater Domestic Equity Comp as of 9/30/11 Asset Allocation ($000) Cash & Equiv $4,192 1.68% Domestic EquityOther $244,106 97.82%$1,238 0.50% Risk/Return Analysis Periods from 12/87 to 9/11 Alpha0.16 Beta1.09 R-Squared0.94 10.5 E 10.0 9.5 1 9.0 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.5 T 4.0 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio E Domestic Equity Comp 9.98 18.15 0.32 0.23 1 S&P 500 9.04 16.10 0.31 T 91-Day Treasury Bill 4.11 1.18 0.00 Holdings and allocations only include SMA accounts. 32 City of Clearwater Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% E E 1 1 5% E E E 1 E 1 1 E E 1 1 1 E 0% 1 E -5% 1 -10% 1 -15% E -20% -25% -30% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-4.337.9313.089.713.046.146.778.509.7512.2110.68 1st Qt-13.722.147.814.39-1.522.303.445.537.069.437.60 Median-15.760.085.691.88-4.020.101.623.625.227.444.85 3rd Qt-19.89-3.213.480.53-5.37-1.270.562.373.785.862.96 Low-24.70-10.75-1.70-2.75-8.73-4.09-1.880.912.534.311.98 E Domestic Equity Comp Net Ret-16.271.398.003.64-3.160.642.194.155.247.664.90 Rank5429223141444242494749 1 S&P 500 Net Ret-13.861.155.551.23-5.15-1.180.732.293.675.792.81 Rank2833576571737181828085 33 City of Clearwater Calendar Year Performance Comparison Total Returns of Equity Portfolios Years Ending December 70% 60% 50% 40% E E 30% 1 1 E 20% 1 1 E E 10% 1 E E 1 1 0% -10% 1 E E 1 -20% E 1 -30% 1 E -40% -50% -60% 9/30/11 YTD2010200920082007200620052004200320022001 High0.4032.0454.50-15.8822.1623.1616.0425.3858.79-3.4619.83 1st Qt-7.8125.0936.65-33.4410.1817.5210.4918.1339.38-14.463.14 Median-10.3217.0928.69-37.015.4114.596.9013.0231.40-20.85-8.39 3rd Qt-14.3814.1124.08-41.100.289.994.569.9727.52-24.74-14.06 Low-21.306.388.75-49.27-7.561.64-0.103.3217.91-35.43-30.94 E Domestic Equity Comp Net Ret-10.0222.5332.14-37.767.1813.018.1213.1833.74-21.30-10.98 Rank4832385735614148415356 1 S&P 500 Net Ret-8.6715.0526.45-36.995.5215.814.8910.8728.69-22.12-11.88 Rank3267644947387067666263 34 City of Clearwater Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1144783127 Positive Periods338813126468 Up Market Capture1.211.141.121.09 Down Market Capture1.171.011.001.05 Batting Average0.750.750.650.55 Worst Quarter-16.27-13.86-23.59-21.93-23.59-21.93-23.59-21.93 Best Quarter12.6810.7618.1415.9318.1415.9322.0821.32 Worst 4 Quarters1.391.15-4.56-6.90-37.76-38.07-37.76-38.07 Best 4 Quarters1.391.1555.8649.7555.8649.7555.8649.75 Standard Deviation27.0925.2422.1820.6818.1516.10 Beta1.071.071.09 Alpha0.640.550.16 R-Squared0.990.990.94 Sharpe Ratio0.130.04-0.05-0.140.320.31 Treynor Ratio3.20-1.025.37 Tracking Error2.942.744.84 Information Ratio0.960.780.23 35 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 9/30/11 12.0 10.0 8.0 6.0 4.0 E Median 2.0 S Return 0.0 -2.0 -4.0 -6.0 -8.0 14.016.619.221.824.427.029.632.234.837.440.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank E Domestic Equity Comp3.643127.0952 S Standard & Poors 5001.236525.2430 Median1.8826.94 5 Years Ending 9/30/11 8.0 6.0 4.0 2.0 E Median 0.0 Return S -2.0 -4.0 -6.0 -8.0 12.014.016.018.020.022.024.026.028.030.032.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank E Domestic Equity Comp0.644422.1849 S Standard & Poors 500-1.187320.6826 Median0.1022.30 36 City of Clearwater Large Cap Equity Comp as of 9/30/11 Portfolio Performance (%) 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 QtrYTD1 Year3 Year5 Year10 YearIncept 3/31/88 Large Cap Equity CompR1000 Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 3/31/88 Large Cap Equity Comp-15.13-10.050.031.16-0.733.319.10 R1000-14.68-9.250.911.60-0.913.289.01 Asset Growth ($000) Beginning Market Value172,403162,657144,290107,048152,902136,08818,032 Net Contributions & Withdrawals-1-21,99833,86833,86833,86833,868 Gain/Loss + Income-26,087-16,341275,399-40,455-23,64194,415 Ending Market Value146,315146,315146,315146,315146,315146,315146,315 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple Computer IncInformation Technology5.73Energy12.38 Exxon Mobil CorpEnergy5.12Materials8.80 Microsoft CorpInformation Technology3.34Industrials10.71 Google IncInformation Technology2.72Consumer Discretionary15.54 Philip Morris Intl IConsumer Staples2.49Consumer Staples12.59 McDonalds CorpConsumer Discretionary2.31Health Care9.04 Johnson & JohnsonHealth Care2.05Financials5.65 Qualcomm IncInformation Technology1.99Information Technology23.94 Danaher CorpIndustrials1.85Telecom Services0.00 Wal Mart Stores Inc Consumer Staples1.85Utilities1.34 Holdings and allocations only include SMA accounts. 37 City of Clearwater Large Cap Equity Comp as of 9/30/11 Asset Allocation ($000) Cash & Equiv $1,794 1.23% Domestic EquityOther $143,282 97.93%$1,238 0.85% Risk/Return Analysis Periods from 3/88 to 9/11 Alpha0.05 Beta0.98 R-Squared0.96 9.5 L 1 9.0 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.5 T 4.0 0.02.04.06.08.010.012.014.016.018.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio L Large Cap Equity Comp 9.10 16.59 0.30 0.01 1 R1000 9.01 16.58 0.30 T 91-Day Treasury Bill 4.08 1.18 0.00 Holdings and allocations only include SMA accounts. 38 City of Clearwater Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 10% L 1 1 L 5% L 1 L 1 L 1 1 L L 1 1 0% L L 1 L -5% 1 -10% -15% 1 L -20% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-8.604.288.773.93-0.661.973.674.806.258.236.13 1st Qt-13.861.205.801.73-4.46-0.611.143.004.586.584.15 Median-13.971.115.561.31-5.08-1.100.782.433.805.912.93 3rd Qt-15.250.294.641.09-5.17-1.170.692.313.685.802.82 Low-19.57-5.540.77-1.10-7.10-2.95-0.291.713.165.312.66 L Large Cap Equity Comp Net Ret-15.130.035.631.16-4.39-0.730.942.874.146.533.31 Rank6777407424303333382843 1 R1000 Net Ret-14.680.915.721.60-4.93-0.910.862.684.016.183.28 Rank6358313441373940454143 39 City of Clearwater Large Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 50% 40% L 30% 1 1 L 20% L 1 1 L 1 L 10% L L 1 1 0% -10% 1 L 1 L -20% 1 L -30% L 1 -40% -50% 9/30/11 YTD2010200920082007200620052004200320022001 High-3.3920.2138.93-27.8712.4420.5012.8019.9739.49-11.668.89 1st Qt-8.5916.6429.44-35.515.9116.489.0912.8431.48-20.66-6.89 Median-8.7015.0926.70-36.935.5115.805.0410.9328.73-22.00-11.77 3rd Qt-9.8614.5126.29-37.215.0115.604.8810.8228.59-22.08-11.93 Low-16.0811.2318.60-42.02-0.2011.423.448.1624.60-23.79-12.38 L Large Cap Equity Comp Net Ret-10.0516.8724.59-35.237.7611.528.6311.2431.37-22.02-12.65 Rank8123852412942842265597 1 R1000 Net Ret-9.2516.1028.42-37.605.7715.466.2711.3929.90-21.65-12.46 Rank6628358029794140354196 40 City of Clearwater Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2154983127 Positive Periods237811126367 Up Market Capture0.980.970.960.99 Down Market Capture1.031.000.970.98 Batting Average0.250.580.650.52 Worst Quarter-15.13-14.68-20.96-22.48-20.96-22.48-20.96-22.48 Best Quarter11.2011.2016.9116.4916.9116.4920.1221.88 Worst 4 Quarters0.030.91-7.21-6.14-37.57-38.26-37.57-38.26 Best 4 Quarters0.030.9149.3151.5749.3151.5749.3151.57 Standard Deviation25.3525.8720.5821.2116.5916.58 Beta0.980.970.98 Alpha-0.120.010.05 R-Squared0.990.990.96 Sharpe Ratio0.040.05-0.12-0.120.300.30 Treynor Ratio0.97-2.555.12 Tracking Error2.122.073.17 Information Ratio-0.280.020.01 41 City of Clearwater Return vs Risk Total Returns of Large Neutral Portfolios 3 Years Ending 9/30/11 5.0 4.3 3.6 2.9 2.2 1 1.5 Median L Return 0.8 0.1 -0.5 -1.3 -2.0 16.017.819.621.423.225.026.828.630.432.234.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank L Large Cap Equity Comp1.167425.3561 1 R10001.603425.8770 Median1.3125.25 5 Years Ending 9/30/11 4.0 3.0 2.0 1.0 0.0 L 1 Median -1.0 Return -2.0 -3.0 -4.0 -5.0 -6.0 14.015.416.818.219.621.022.423.825.226.628.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank L Large Cap Equity Comp-0.733020.5821 1 R1000-0.913721.2168 Median-1.1020.69 42 City of Clearwater ING Investment Mgmt as of 9/30/11 Portfolio Performance (%) 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 QtrYTD1 Year3 Year5 Year10 YearIncept 12/31/87 ING Investment MgmtR1000G Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year12/31/87 ING Investment Mgmt-12.86-6.064.263.712.254.3110.43 R1000G-13.14-7.213.784.691.623.018.50 Asset Growth ($000) Beginning Market Value96,46589,48180,62152,04851,92461,85817,469 Net Contributions & Withdrawals-1-1-123,38623,38623,38623,386 Gain/Loss + Income-12,408-5,4253,4368,6218,745-1,18843,201 Ending Market Value84,05684,05684,05684,05684,05684,05684,056 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple Computer IncInformation Technology7.29Energy11.24 Exxon Mobil CorpEnergy5.85Materials4.92 Microsoft CorpInformation Technology4.25Industrials11.71 Google IncInformation Technology3.46Consumer Discretionary16.77 Philip Morris Intl IConsumer Staples3.17Consumer Staples12.38 Qualcomm IncInformation Technology2.54Health Care10.07 Danaher CorpIndustrials2.36Financials4.12 McDonalds CorpConsumer Discretionary2.29Information Technology28.80 Johnson & JohnsonHealth Care2.25Telecom Services0.00 Monsanto Co NewMaterials2.12Utilities0.00 43 City of Clearwater ING Investment Mgmt as of 9/30/11 Asset Allocation ($000) Cash & Equiv $1,406 1.67% Domestic Equity $82,650 98.33% Risk/Return Analysis Periods from 12/87 to 9/11 Alpha0.58 Beta0.83 R-Squared0.93 11.0 10.5 i 10.0 9.5 9.0 1 8.5 8.0 7.5 7.0 6.5 6.0 5.5 5.0 4.5 T 4.0 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio i ING Investment Mgmt 10.43 16.52 0.38 0.22 1 R1000G 8.50 18.97 0.23 T 91-Day Treasury Bill 4.11 1.18 0.00 44 City of Clearwater Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% i 1 i 1 i 5% i 1 i i 1 1 i 1 i 1 1 i 1 0% i 1 -5% -10% i 1 -15% -20% -25% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-9.877.1512.359.990.654.574.626.207.379.626.81 1st Qt-13.054.108.314.73-2.012.383.204.775.857.885.06 Median-14.641.526.332.95-3.521.082.023.814.736.783.82 3rd Qt-16.69-1.523.800.92-5.37-0.390.922.884.005.703.15 Low-20.15-6.48-0.93-1.14-7.22-2.12-1.081.092.534.551.63 i ING Investment Mgmt Net Ret-12.864.268.603.71-1.472.253.205.095.837.414.31 Rank2323203519272517283139 1 R1000G Net Ret-13.143.788.134.69-2.391.622.353.624.106.323.01 Rank2828272635404153736275 45 City of Clearwater Large Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 60% 50% 40% 1 30% i 1 i 20% ii 1 i 1 10% i 1 i 1 1 0% i 1 -10% -20% 1 i i 1 -30% i 1 -40% -50% -60% 9/30/11 YTD2010200920082007200620052004200320022001 High-2.7326.4554.26-29.4725.9915.7817.7121.3050.58-15.71-5.52 1st Qt-6.6618.6939.38-35.2119.4711.2512.5213.6833.26-20.78-12.60 Median-9.2415.5034.43-38.5514.138.678.6411.0129.82-23.85-16.75 3rd Qt-12.3912.6529.68-42.4111.044.805.367.0326.33-27.67-20.69 Low-16.247.1420.58-49.095.11-3.092.634.6718.63-33.45-26.21 i ING Investment Mgmt Net Ret-6.0617.1024.43-33.1817.107.1412.0210.2730.00-22.22-21.29 Rank1937901233642953493080 1 R1000G Net Ret-7.2116.7237.21-38.4311.829.095.276.3029.75-27.89-20.42 Rank3243334967497781537973 46 City of Clearwater September 30, 2011 47 City of Clearwater Risk Measure Summary ING Investment Mgmt Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1144772831 Positive Periods338813136764 Up Market Capture1.010.930.920.95 Down Market Capture0.980.980.910.79 Batting Average0.750.580.550.55 Worst Quarter-12.86-13.14-18.51-22.79-18.51-22.79-18.51-22.79 Best Quarter10.9911.8414.6516.3214.6516.3223.2626.75 Worst 4 Quarters4.263.78-5.43-1.85-33.18-38.43-33.74-45.64 Best 4 Quarters4.263.7843.3849.7543.3849.7544.3849.75 Standard Deviation22.7124.8318.9920.9316.5218.97 Beta0.900.880.83 Alpha-0.180.110.58 R-Squared0.960.960.93 Sharpe Ratio0.150.180.03-0.010.380.23 Treynor Ratio3.900.597.57 Tracking Error5.094.685.46 Information Ratio-0.310.020.22 48 City of Clearwater Return vs Risk Total Returns of Large Growth Portfolios 3 Years Ending 9/30/11 12.0 10.2 8.4 6.6 4.8 1 i Median 3.0 Return 1.2 -0.5 -2.3 -4.2 -6.0 18.020.022.024.026.028.030.032.034.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank i ING Investment Mgmt3.713522.7117 1 R1000G4.692624.8344 Median2.9525.19 5 Years Ending 9/30/11 5.0 4.0 3.0 i 2.0 1 Median 1.0 Return 0.0 -1.0 -2.0 -3.0 12.013.815.617.419.221.022.824.626.428.230.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank i ING Investment Mgmt2.252718.9914 1 R1000G1.624020.9349 Median1.0821.16 49 City of Clearwater Equity Summary Statistics ING Investment Mgmt Period Ending 9/11 PortfolioR1000G Total Number Of Securities58590 Equity Market Value82,649,714 Average Capitalization $(000)97,381,89488,265,974 Median Capitalization $(000)15,324,6434,923,488 Equity Segment Yield1.641.74 Equity Segment P/E - Average14.8915.33 Equity Segment P/E - Median15.1416.23 Equity Segment Beta1.021.00 Price/Book Ratio3.073.53 Debt/Equity Ratio32.6541.67 Five Year Earnings Growth12.3411.41 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Apple Computer Inc6,018,8327.2913.56 Exxon Mobil Corp4,833,5275.85-10.14 Microsoft Corp3,506,4784.25-3.67 Google Inc2,857,8953.461.58 Philip Morris Intl I2,619,7103.17-5.45 Qualcomm Inc2,093,8132.54-13.98 Danaher Corp1,947,3582.36-20.81 McDonalds Corp1,893,3992.294.85 Johnson & Johnson1,854,5982.25-3.37 Monsanto Co New1,748,3652.12-16.92 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Apple Computer Inc13.56Cliffs Natural Resou-44.44 Waste Connections In6.84Albemarle Corp-41.41 Amazon Com Inc5.74Halliburton Co-40.03 Range Res Corp5.40Netapp Inc-35.70 McDonalds Corp4.85National-Oilwell Inc-34.40 Hershey Foods Corp4.83Citrix Sys Inc-31.84 Whole Foods Mkt Inc 3.08Dover Corp-30.88 Lorillard Inc2.87BMC Software Inc-29.51 Google Inc1.58Blackstone Group L P-27.09 Coca Cola Co1.08St Jude Med Inc-23.67 50 City of Clearwater Equity Contribution to Return ING Investment Mgmt Period Ending 9/11 PortfolioR1000G Total Number Of Securities58590 Equity Market Value82,649,714 Average Capitalization $(000)97,381,89488,265,974 Median Capitalization $(000)15,324,6434,923,488 Equity Segment Yield1.641.74 Equity Segment P/E - Average14.8915.33 Equity Segment P/E - Median15.1416.23 Equity Segment Beta1.021.00 Price/Book Ratio3.073.53 Debt/Equity Ratio32.6541.67 Five Year Earnings Growth12.3411.41 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Apple Computer Inc6,018,8327.2913.56 McDonalds Corp1,893,3992.294.85 Amazon Com Inc1,466,0391.785.74 Range Res Corp1,158,0931.405.40 Waste Connections In869,8501.056.84 Hershey Foods Corp1,188,9471.444.83 Google Inc2,857,8953.461.58 Whole Foods Mkt Inc 1,226,9791.493.08 Lorillard Inc1,029,5101.252.87 Coca Cola Co1,294,4501.571.08 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Exxon Mobil Corp4,833,5275.85-10.14 Danaher Corp1,947,3582.36-20.81 Netapp Inc1,070,8071.30-35.70 National-Oilwell Inc1,099,2841.33-34.40 United Technologies 1,588,3071.92-19.98 Citrix Sys Inc992,9911.20-31.84 Albemarle Corp756,6920.92-41.41 BMC Software Inc1,032,0581.25-29.51 Monsanto Co New1,748,3652.12-16.92 Qualcomm Inc2,093,8132.54-13.98 51 City of Clearwater Equity Sector Attribution Analysis ING Investment Mgmt Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy11.8811.25-18.34-22.180.46-0.060.40 Materials6.526.01-26.22-24.24-0.13-0.06-0.19 Industrials10.5213.52-18.92-21.910.310.260.58 Consumer Discretionary15.6014.10-12.11-11.18-0.150.03-0.12 Consumer Staples11.9011.87-2.92-4.460.180.000.19 Health Care10.0110.97-13.09-12.58-0.05-0.01-0.06 Financials4.493.99-23.55-17.41-0.28-0.02-0.30 Information Technology29.0927.05-8.70-7.40-0.380.12-0.26 Telecom. Services0.001.16-7.040.00-0.07-0.07 Utilities0.000.08-0.800.00-0.01-0.01 100.00100.00-13.01-13.18-0.030.190.16 Index - R1000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.05% [ Actual Return -13.06% ] - [ Buy Hold Return -13.01% ] 52 City of Clearwater Equity Sector Attribution Chart ING Investment Mgmt Quarter Ending 9/11 % Allocation% Return% Variance 11.88-18.34 Energy 0.40 11.25-22.18 6.52-26.22 Materials -0.19 6.01-24.24 10.52-18.92 Industrials 0.58 13.52-21.91 15.60-12.11 -0.12 Con. Discretionary 14.10-11.18 11.90-2.92 0.19 Consumer Staples 11.87-4.46 10.01-13.09 -0.06 Health Care 10.97-12.58 4.49-23.55 -0.30 Financials 3.99-17.41 -0.26 29.09-8.70 Infomation Tech. 27.05-7.40 -0.07 0.00 Telecom. Services 1.16-7.04 -0.01 0.00 Utilities 0.08-0.80 ING Investment MgmtR1000G 53 City of Clearwater Aletheia Research as of 9/30/11 Portfolio Performance (%) 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 -20.0 -22.0 QtrYTD1 Year3 Year5 Year10 YearIncept 6/30/07 Aletheia ResearchR1000V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 6/30/07 Aletheia Research-20.78-20.25-10.08-2.07-6.72 R1000V-16.21-11.25-1.90-1.52-7.19 Asset Growth ($000) Beginning Market Value30,53830,33624,91415,51219,365 Net Contributions & Withdrawals0-11,99910,48210,482 Gain/Loss + Income-6,345-6,142-2,721-1,801-5,654 Ending Market Value24,19324,19324,19324,19324,193 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Kraft Foods IncConsumer Staples3.01Energy16.54 Intl Business McHnInformation Technology2.58Materials23.03 Goldcorp Inc NewMaterials2.48Industrials7.07 Exxon Mobil CorpEnergy2.44Consumer Discretionary11.06 McDonalds CorpConsumer Discretionary2.38Consumer Staples13.38 Newmont Mng Corp HldMaterials2.28Health Care5.27 Barrick Gold CorpMaterials2.25Financials11.25 Coca Cola CoConsumer Staples2.10Information Technology6.15 Comcast Corp NewConsumer Discretionary2.06Telecom Services0.00 Wal Mart Stores Inc Consumer Staples1.95Utilities6.25 54 City of Clearwater Aletheia Research as of 9/30/11 Asset Allocation ($000) Cash & Equiv $389 1.61% Domestic EquityOther $22,566 93.28%$1,238 5.12% Risk/Return Analysis Periods from 6/07 to 9/11 Alpha0.36 Beta1.05 R-Squared0.91 2.0 T 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 a -7.0 1 -8.0 0.02.04.06.08.010.012.014.016.018.020.022.024.026.028.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio a Aletheia Research -6.72 26.18 -0.30 0.11 1 R1000V -7.19 23.68 -0.35 T 91-Day Treasury Bill 1.14 0.84 0.00 55 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% 5% 1 0% a 1 1 a -5% a 1 -10% a -15% 1 -20% a -25% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High-5.155.909.464.54-0.76 1st Qt-13.151.586.761.74-4.94 Median-16.00-1.833.55-0.07-6.47 3rd Qt-18.37-4.081.59-1.45-7.57 Low-21.92-7.79-0.66-2.94-8.86 a Aletheia Research Net Ret-20.78-10.08-0.40-2.07-6.81 Rank9397948655 1 R1000V Net Ret-16.21-1.903.37-1.52-7.57 Rank5753557775 56 City of Clearwater Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 50% 40% a 30% 20% 1 a 1 10% 0% -10% 1 -20% a -30% 1 a -40% -50% 9/30/11 YTD201020092008 High-0.3921.2241.44-26.51 1st Qt-7.1116.3429.54-34.31 Median-11.1713.9524.49-36.88 3rd Qt-13.5111.8420.94-39.77 Low-17.809.4816.32-44.44 a Aletheia Research Net Ret-20.2516.9836.50-37.97 Rank97201461 1 R1000V Net Ret-11.2515.5119.69-36.85 Rank54328649 57 City of Clearwater September 30, 2011 58 City of Clearwater Risk Measure Summary Aletheia Research Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2255910 Positive Periods227787 Up Market Capture1.001.091.09 Down Market Capture1.421.071.02 Batting Average0.250.500.53 Worst Quarter-20.78-16.21-26.26-22.17-26.26-22.17 Best Quarter12.7510.5421.4718.2421.4718.24 Worst 4 Quarters-10.08-1.90-10.08-10.62-42.20-42.42 Best 4 Quarters-10.08-1.9059.1253.5759.1253.57 Standard Deviation30.2927.5526.1823.68 Beta1.081.05 Alpha0.020.36 R-Squared0.960.91 Sharpe Ratio-0.08-0.06-0.30-0.35 Treynor Ratio-2.13-7.46 Tracking Error6.677.94 Information Ratio0.010.11 59 City of Clearwater Return vs Risk Total Returns of Large Value Portfolios 3 Years Ending 9/30/11 4.0 3.0 2.0 1.0 0.0 Median Return -1.0 1 -2.0 a -3.0 -4.0 16.018.420.823.225.628.030.432.835.237.640.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank a Aletheia Research-2.078630.2986 1 R1000V-1.527727.5555 Median-0.0727.50 60 City of Clearwater Equity Summary Statistics Aletheia Research Period Ending 9/11 PortfolioR1000V Total Number Of Securities75656 Equity Market Value22,566,261 Average Capitalization $(000)49,230,54966,090,131 Median Capitalization $(000)16,206,3514,089,574 Equity Segment Yield2.062.85 Equity Segment P/E - Average17.2112.61 Equity Segment P/E - Median12.5812.92 Equity Segment Beta1.151.04 Price/Book Ratio1.391.29 Debt/Equity Ratio62.8053.27 Five Year Earnings Growth-0.570.18 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Kraft Foods Inc678,6523.01-3.88 Intl Business McHn581,9752.582.49 Goldcorp Inc New558,6342.48-5.26 Exxon Mobil Corp549,8092.44-10.14 McDonalds Corp537,0192.384.85 Newmont Mng Corp Hld514,2082.2817.09 Barrick Gold Corp508,0192.253.25 Coca Cola Co473,5962.101.08 Comcast Corp New463,3532.06-17.16 Wal Mart Stores Inc 438,8151.95-1.60 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Opko Health Inc17.34Cemex S A-63.26 Newmont Mng Corp Hld17.09Sunpower Corp-58.15 Dominion Res Inc Va 6.22United States Stl Co-52.11 Southern Co6.18Atp Oil & Gas Corp-49.64 McDonalds Corp4.85Overseas Shipholdng -47.80 Barrick Gold Corp3.25AMR Corp-45.19 Intl Business McHn2.49Cliffs Natural Resou-44.44 Market Vectors Etf T1.10Bank Amer Corp-44.09 Coca Cola Co1.08Peabody Energy Corp -42.40 Wal Mart Stores Inc -1.60Freeport-McMoran Cop-42.18 61 City of Clearwater Equity Contribution to Return Aletheia Research Period Ending 9/11 PortfolioR1000V Total Number Of Securities75656 Equity Market Value22,566,261 Average Capitalization $(000)49,230,54966,090,131 Median Capitalization $(000)16,206,3514,089,574 Equity Segment Yield2.062.85 Equity Segment P/E - Average17.2112.61 Equity Segment P/E - Median12.5812.92 Equity Segment Beta1.151.04 Price/Book Ratio1.391.29 Debt/Equity Ratio62.8053.27 Five Year Earnings Growth-0.570.18 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Newmont Mng Corp Hld514,2082.2817.09 Opko Health Inc345,2531.5317.34 McDonalds Corp537,0192.384.85 Southern Co414,1671.846.18 Dominion Res Inc Va 343,7131.536.22 Barrick Gold Corp508,0192.253.25 Intl Business McHn581,9752.582.49 Coca Cola Co473,5962.101.08 Market Vectors Etf T316,5151.401.10 Wal Mart Stores Inc 438,8151.95-1.60 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Atp Oil & Gas Corp402,8481.79-49.64 Freeport-McMoran Cop346,3691.54-42.18 Suncor Energy Inc Ne392,9211.74-34.70 Caterpillar Inc431,5951.92-30.34 Canadian Nat Res Ltd413,8781.84-29.89 United States Stl Co233,8561.04-52.11 Cliffs Natural Resou269,6661.20-44.44 Morgan Stanley279,7201.24-41.20 Bank Amer Corp256,2571.14-44.09 Sunpower Corp184,2900.82-58.15 62 City of Clearwater Equity Sector Attribution Analysis Aletheia Research Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy16.8311.82-31.19-20.50-1.80-0.21-2.01 Materials23.792.88-26.08-25.03-0.25-1.84-2.09 Industrials8.459.50-25.37-21.79-0.300.06-0.24 Consumer Discretionary10.389.08-22.37-19.09-0.34-0.04-0.38 Consumer Staples12.777.22-12.24-4.29-1.020.66-0.35 Health Care4.3012.31-2.11-9.550.32-0.54-0.22 Financials9.9226.89-21.60-22.870.131.131.25 Information Technology8.218.71-20.88-14.16-0.55-0.01-0.56 Telecom. Services0.004.75-9.390.00-0.33-0.33 Utilities5.356.850.600.280.02-0.25-0.23 100.00100.00-21.40-16.24-3.80-1.36-5.16 Index - R1000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.34% [ Actual Return -21.74% ] - [ Buy Hold Return -21.40% ] 63 City of Clearwater Equity Sector Attribution Chart Aletheia Research Quarter Ending 9/11 % Allocation% Return% Variance 16.83-31.19 Energy -2.01 11.82-20.50 23.79-26.08 Materials -2.09 2.88-25.03 8.45-25.37 Industrials -0.24 9.50-21.79 10.38-22.37 -0.38 Con. Discretionary 9.08-19.09 12.77-12.24 -0.35 Consumer Staples 7.22-4.29 4.30-2.11 -0.22 Health Care 12.31-9.55 9.92-21.60 1.25 Financials 26.89-22.87 -0.56 8.21-20.88 Infomation Tech. 8.71-14.16 -0.33 0.00 Telecom. Services 4.75-9.39 -0.23 5.350.60 Utilities 6.850.28 Aletheia ResearchR1000V 64 City of Clearwater NTGI-QM R1000V as of 9/30/11 Portfolio Performance (%) 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 QtrYTD1 Year3 Year5 Year10 YearIncept 6/30/07 NTGI-QM R1000VR1000V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 6/30/07 NTGI-QM R1000V-16.15-11.14-1.78-1.22-6.98 R1000V-16.21-11.25-1.90-1.52-7.19 Asset Growth ($000) Beginning Market Value45,40042,84038,75539,48526,197 Net Contributions & Withdrawals00000 Gain/Loss + Income-7,334-4,774-688-1,41911,869 Ending Market Value38,06738,06738,06738,06738,067 65 City of Clearwater NTGI-QM R1000V as of 9/30/11 Asset Allocation ($000) Domestic Equity $38,067 100.00% Risk/Return Analysis Periods from 6/07 to 9/11 Alpha0.06 Beta1.00 R-Squared1.00 2.0 T 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 n -7.0 1 -8.0 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio n NTGI-QM R1000V -6.98 23.70 -0.34 1.29 1 R1000V -7.19 23.68 -0.35 T 91-Day Treasury Bill 1.14 0.84 0.00 66 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% 5% n 1 0% n 1 n 1 -5% n 1 -10% -15% n 1 -20% -25% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High-5.155.909.464.54-0.76 1st Qt-13.151.586.761.74-4.94 Median-16.00-1.833.55-0.07-6.47 3rd Qt-18.37-4.081.59-1.45-7.57 Low-21.92-7.79-0.66-2.94-8.86 n NTGI-QM R1000V Net Ret-16.15-1.783.67-1.22-7.36 Rank5348487068 1 R1000V Net Ret-16.21-1.903.37-1.52-7.57 Rank5753557775 67 City of Clearwater Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 50% 40% 30% 20% n 1 n 1 10% 0% -10% n 1 -20% -30% n1 -40% -50% 9/30/11 YTD201020092008 High-0.3921.2241.44-26.51 1st Qt-7.1116.3429.54-34.31 Median-11.1713.9524.49-36.88 3rd Qt-13.5111.8420.94-39.77 Low-17.809.4816.32-44.44 n NTGI-QM R1000V Net Ret-11.1415.7520.35-36.86 Rank49298049 1 R1000V Net Ret-11.2515.5119.69-36.85 Rank54328649 68 City of Clearwater September 30, 2011 69 City of Clearwater Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods22551010 Positive Periods227777 Up Market Capture1.001.011.01 Down Market Capture0.991.001.00 Batting Average1.001.000.88 Worst Quarter-16.15-16.21-22.13-22.17-22.13-22.17 Best Quarter10.5410.5418.2918.2418.2918.24 Worst 4 Quarters-1.78-1.90-10.32-10.62-42.31-42.42 Best 4 Quarters-1.78-1.9054.3353.5754.3353.57 Standard Deviation27.5527.5523.7023.68 Beta1.001.00 Alpha0.080.06 R-Squared1.001.00 Sharpe Ratio-0.05-0.06-0.34-0.35 Treynor Ratio-1.43-8.12 Tracking Error0.150.17 Information Ratio2.081.29 70 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 9/30/11 12.0 10.0 8.0 6.0 4.0 2.0 Median Return 0.0 n 1 -2.0 -4.0 -6.0 -8.0 14.016.619.221.824.427.029.632.234.837.440.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank n NTGI-QM R1000V-1.228827.5556 1 R1000V-1.529027.5556 Median1.8826.94 71 City of Clearwater Mid Cap Equity Comp as of 9/30/11 Portfolio Performance (%) 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 QtrYTD1 Year3 Year5 Year10 YearIncept 3/31/88 Mid Cap Equity CompR Mid Cap Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 3/31/88 Mid Cap Equity Comp-17.17-8.983.517.433.197.6211.44 R Mid Cap-18.90-12.35-0.893.960.567.4510.55 Asset Growth ($000) Beginning Market Value89,92081,82971,95047,26777,03861,63515,585 Net Contributions & Withdrawals-9,002-9,003-9,003-9,003-9,003-9,003-9,003 Gain/Loss + Income-15,199-7,1072,77227,455-2,31613,08759,137 Ending Market Value65,71965,71965,71965,71965,71965,71965,719 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Cerner CorpHealth Care2.14Energy7.27 Allstate CorpFinancials2.04Materials4.44 Computer Sciences CoInformation Technology2.03Industrials17.34 Duke-Weeks Realty CoFinancials1.99Consumer Discretionary16.17 Transdigm Group Inc Industrials1.98Consumer Staples3.43 Sonoco Prods CoMaterials1.92Health Care12.99 Donnelley R R & SonsIndustrials1.88Financials16.43 Lincoln Natl Corp InFinancials1.72Information Technology18.17 Pg&E CorpUtilities1.66Telecom Services0.00 Borg-Warner AutomotiConsumer Discretionary1.66Utilities3.77 Holdings and allocations only include SMA accounts. 72 City of Clearwater Mid Cap Equity Comp as of 9/30/11 Asset Allocation ($000) Cash & Equiv $1,516 2.31% Domestic Equity $64,203 97.69% Risk/Return Analysis Periods from 3/88 to 9/11 Alpha0.14 Beta1.15 R-Squared0.82 12.0 M 11.0 1 10.0 9.0 8.0 7.0 6.0 5.0 T 4.0 3.0 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio M Mid Cap Equity Comp 11.44 23.68 0.31 0.12 1 R Mid Cap 10.55 18.68 0.35 T 91-Day Treasury Bill 4.08 1.18 0.00 Holdings and allocations only include SMA accounts. 73 City of Clearwater Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% M 10% 1 M 1 M M1 1 M M 5% 1 M 1 M M 1 1 0% 1 M 1 -5% -10% -15% M 1 -20% -25% -30% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-14.263.8510.3813.693.675.7810.658.4610.1813.8310.46 1st Qt-16.172.407.956.510.764.585.687.908.7610.339.70 Median-19.46-1.246.694.88-1.992.312.905.587.069.057.73 3rd Qt-21.62-4.395.102.60-3.810.601.204.086.468.547.48 Low-28.53-13.62-1.380.22-8.30-2.66-1.263.755.257.075.79 M Mid Cap Equity Comp Net Ret-17.173.5111.417.43-1.163.194.236.106.699.327.62 Rank33511535322741604154 1 R Mid Cap Net Ret-18.90-0.897.943.96-3.360.562.015.036.859.457.45 Rank4046266169756063604179 74 City of Clearwater Midcap Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 70% 60% 50% M 40% 1 1 M 30% M 1 20% 1 1 M 1 M 10% M M 1 0% 1 M -10% M 1 1 -20% M -30% -40% 1 M -50% -60% 9/30/11 YTD2010200920082007200620052004200320022001 High-6.4534.8161.89-21.0716.9824.5717.4724.5943.43-4.5226.71 1st Qt-9.3526.9742.82-32.739.2618.6112.6021.1739.40-9.8115.75 Median-12.9424.8437.59-36.935.9214.0111.3519.9336.44-12.330.43 3rd Qt-15.1323.0435.51-41.77-0.0610.568.5316.7134.16-14.56-3.06 Low-27.0020.5726.66-50.25-2.868.211.2413.8027.16-16.55-5.61 M Mid Cap Equity Comp Net Ret-8.9828.0345.33-41.7910.2612.537.8514.4838.95-19.87-7.30 Rank2020217815587993359999 1 R Mid Cap Net Ret-12.3525.4940.47-41.465.5915.2712.6520.2340.08-16.19-5.62 Rank4346347250412345129199 75 City of Clearwater Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1144783031 Positive Periods338813126463 Up Market Capture1.121.021.021.17 Down Market Capture0.910.920.911.17 Batting Average1.000.830.700.57 Worst Quarter-17.17-18.90-26.78-27.28-26.78-27.28-26.78-27.28 Best Quarter13.7313.0823.0520.8023.0520.8049.2420.80 Worst 4 Quarters3.51-0.89-0.10-3.56-41.79-41.46-41.79-41.46 Best 4 Quarters3.51-0.8965.8067.7265.8067.7277.7467.72 Standard Deviation29.7030.7524.6925.2523.6818.68 Beta0.960.971.15 Alpha0.830.620.14 R-Squared0.990.980.82 Sharpe Ratio0.240.120.06-0.050.310.35 Treynor Ratio7.511.506.40 Tracking Error3.193.1710.31 Information Ratio0.940.760.12 76 City of Clearwater Artisan Partners as of 9/30/11 Portfolio Performance (%) 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 QtrYTD1 Year3 Year5 Year10 YearIncept 7/31/01 Artisan PartnersR Mid Cap G Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 7/31/01 Artisan Partners-14.74-5.677.7011.277.279.377.01 R Mid Cap G-19.33-11.590.805.891.636.693.93 Asset Growth ($000) Beginning Market Value45,23440,88635,81020,79034,10224,31829,914 Net Contributions & Withdrawals-5,001-5,002-5,002-5,003-5,003-5,003-5,003 Gain/Loss + Income-6,551-2,2022,87417,8954,58214,3668,771 Ending Market Value33,68233,68233,68233,68233,68233,68233,682 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Cerner CorpHealth Care4.23Energy7.88 Regeneron PharmaceutHealth Care2.98Materials0.00 Ihs IncIndustrials2.93Industrials13.15 Allergan IncHealth Care2.93Consumer Discretionary20.21 Cameron InternationaEnergy2.87Consumer Staples2.65 Roper Inds Inc NewIndustrials2.68Health Care23.68 Teradata Corp DelInformation Technology2.66Financials5.30 Precision Castparts Industrials2.64Information Technology27.13 Athenahealth IncHealth Care2.43Telecom Services0.00 Coach IncConsumer Discretionary2.29Utilities0.00 77 City of Clearwater Artisan Partners as of 9/30/11 Asset Allocation ($000) Cash & Equiv $1,290 3.83% Domestic Equity $32,391 96.17% Risk/Return Analysis Periods from 7/01 to 9/11 Alpha0.69 Beta0.93 R-Squared0.96 7.5 r 7.0 6.5 6.0 5.5 5.0 4.5 4.0 1 3.5 3.0 2.5 T 2.0 0.02.04.06.08.010.012.014.016.018.020.022.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio r Artisan Partners 7.01 20.12 0.25 0.44 1 R Mid Cap G 3.93 20.37 0.09 T 91-Day Treasury Bill 2.06 0.52 0.00 78 City of Clearwater Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 20% 15% r r r 10% r 1 r 1 r r r r 1 1 1 5% 1 1 r 1 1 0% 1 -5% -10% -15% r 1 -20% -25% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-12.999.5114.2710.001.446.106.778.969.6311.809.22 1st Qt-16.623.9510.986.73-0.683.945.057.168.3411.038.49 Median-18.500.748.504.76-2.291.963.896.166.669.457.17 3rd Qt-22.08-2.856.023.11-3.991.222.605.335.908.256.01 Low-23.71-7.512.900.37-5.64-0.911.084.805.697.884.46 r Artisan Partners Net Ret-14.747.7015.1311.272.047.277.539.149.8111.809.37 Rank76323211161 1 R Mid Cap G Net Ret-19.330.809.195.89-2.741.632.515.276.299.506.69 Rank5648423659617577545058 79 City of Clearwater Midcap Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 70% 60% 50% r 1 1 40% r r 30% 1 r 20% r 1 1 10% 1 r 1 r 0% r -10% 1 -20% r 1 -30% -40% r 1 -50% -60% 9/30/11 YTD201020092008200720062005200420032002 High-0.7335.4458.21-33.1325.5130.3223.2024.9851.00-8.61 1st Qt-8.3829.5546.06-36.9721.5516.2014.8318.3939.45-19.46 Median-11.8926.9638.63-40.9016.6813.3412.3616.3537.89-21.96 3rd Qt-14.8824.3436.32-44.2810.3910.419.8512.6732.91-25.52 Low-19.4018.4428.46-49.084.905.335.7010.8629.41-31.39 r Artisan Partners Net Ret-5.6733.1551.38-42.8722.3110.9410.1916.0733.84-23.37 Rank881462176864616761 1 R Mid Cap G Net Ret-11.5926.3946.30-44.3211.4110.6412.1015.4842.72-27.41 Rank49572475716852611585 80 City of Clearwater September 30, 2011 81 City of Clearwater Risk Measure Summary Artisan Partners Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1134671314 Positive Periods339814132726 Up Market Capture1.051.031.081.02 Down Market Capture0.760.860.840.88 Batting Average0.750.500.500.43 Worst Quarter-14.74-19.33-27.54-27.36-27.54-27.36-27.54-27.36 Best Quarter14.1714.0120.5020.6720.5020.6726.7027.06 Worst 4 Quarters7.700.803.93-0.40-42.87-44.32-42.87-44.32 Best 4 Quarters7.700.8058.5962.9858.5962.9858.5962.98 Standard Deviation28.7630.0024.4725.5322.0223.31 Beta0.950.940.93 Alpha1.301.340.69 R-Squared0.980.960.96 Sharpe Ratio0.380.190.23-0.000.330.20 Treynor Ratio11.655.917.95 Tracking Error4.595.334.76 Information Ratio1.020.960.44 82 City of Clearwater Return vs Risk Total Returns of Midcap Growth Portfolios 3 Years Ending 9/30/11 14.0 12.2 r 10.4 8.6 6.8 1 5.0Median Return 3.1 1.3 -0.4 -2.2 -4.0 20.022.024.026.028.030.032.034.036.038.040.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank r Artisan Partners11.27228.7648 1 R Mid Cap G5.893630.0062 Median4.7629.31 5 Years Ending 9/30/11 10.0 8.0 r 6.0 4.0 Median 2.0 1 Return 0.0 -2.0 -4.0 -6.0 19.020.321.622.924.225.526.828.129.430.732.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank r Artisan Partners7.27224.4746 1 R Mid Cap G1.636125.5357 Median1.9625.07 83 City of Clearwater Equity Summary Statistics Artisan Partners Period Ending 9/11 PortfolioR Mid Cap G Total Number Of Securities69468 Equity Market Value32,391,339 Average Capitalization $(000)8,839,2827,077,597 Median Capitalization $(000)5,297,6673,933,517 Equity Segment Yield0.391.11 Equity Segment P/E - Average26.8918.70 Equity Segment P/E - Median26.3716.51 Equity Segment Beta1.171.15 Price/Book Ratio4.173.38 Debt/Equity Ratio22.2945.10 Five Year Earnings Growth11.856.96 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Cerner Corp1,370,4004.2312.13 Regeneron Pharmaceut966,1202.982.63 Ihs Inc950,0872.93-10.32 Allergan Inc947,3702.93-0.98 Cameron Internationa930,4962.87-17.40 Roper Inds Inc New868,2662.68-17.17 Teradata Corp Del861,8332.66-11.08 Precision Castparts 855,0302.64-5.56 Athenahealth Inc786,0602.4344.89 Coach Inc741,1692.29-18.60 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Pharmasset Inc46.83Netflix Com Inc-56.92 Athenahealth Inc44.89Illumina Inc-45.55 Universal Display Co36.62Juniper Networks-45.21 Alexion Pharmaceutic36.21Opentable Inc-44.65 Treehouse Foods Inc 13.24Amerigroup Corp-44.64 Cerner Corp12.13Ipg Photonics Corp-40.26 Cepheid Inc12.10Agilent Technologies-38.86 Arcos Dorados Holdin10.24Qlik Technologies In-36.41 Diamond Foods Inc4.58Mercadolibre Inc-32.16 Regeneron Pharmaceut2.63Citrix Sys Inc-31.84 84 City of Clearwater Equity Contribution to Return Artisan Partners Period Ending 9/11 PortfolioR Mid Cap G Total Number Of Securities69468 Equity Market Value32,391,339 Average Capitalization $(000)8,839,2827,077,597 Median Capitalization $(000)5,297,6673,933,517 Equity Segment Yield0.391.11 Equity Segment P/E - Average26.8918.70 Equity Segment P/E - Median26.3716.51 Equity Segment Beta1.171.15 Price/Book Ratio4.173.38 Debt/Equity Ratio22.2945.10 Five Year Earnings Growth11.856.96 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Athenahealth Inc786,0602.4344.89 Cerner Corp1,370,4004.2312.13 Universal Display Co431,4601.3336.62 Alexion Pharmaceutic345,9241.0736.21 Pharmasset Inc255,3470.7946.83 Cepheid Inc531,9711.6412.10 Treehouse Foods Inc 408,1441.2613.24 Arcos Dorados Holdin294,5130.9110.24 Regeneron Pharmaceut966,1202.982.63 Diamond Foods Inc279,2650.864.58 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Agilent Technologies721,8752.23-38.86 Juniper Networks485,0061.50-45.21 Fossil Inc664,6922.05-31.14 Citrix Sys Inc572,5651.77-31.84 Dresser-Rand Group I737,6462.28-24.60 Salesforce Com Inc697,1082.15-23.29 Cameron Internationa930,4962.87-17.40 Mercadolibre Inc478,3751.48-32.16 Roper Inds Inc New868,2662.68-17.17 Qlik Technologies In387,7141.20-36.41 85 City of Clearwater Equity Sector Attribution Analysis Artisan Partners Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy7.0310.08-20.42-27.530.500.240.74 Materials0.008.96-22.780.000.290.29 Industrials17.2914.74-17.63-22.000.75-0.060.69 Consumer Discretionary18.9019.15-19.28-15.26-0.76-0.01-0.77 Consumer Staples0.805.707.63-6.770.12-0.63-0.51 Health Care21.0913.64-4.72-17.252.640.172.81 Financials6.446.64-17.34-19.640.150.000.15 Information Technology28.4519.23-22.19-21.94-0.07-0.22-0.29 Telecom. Services0.001.60-18.010.00-0.02-0.02 Utilities0.000.25-0.800.00-0.05-0.05 100.00100.00-16.49-19.533.33-0.293.04 Index - R Mid Cap G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.87% [ Actual Return -15.62% ] - [ Buy Hold Return -16.49% ] 86 City of Clearwater Equity Sector Attribution Chart Artisan Partners Quarter Ending 9/11 % Allocation% Return% Variance 7.03-20.42 Energy 0.74 10.08-27.53 0.00 Materials 0.29 8.96-22.78 17.29-17.63 Industrials 0.69 14.74-22.00 18.90-19.28 -0.77 Con. Discretionary 19.15-15.26 0.807.63 -0.51 Consumer Staples 5.70-6.77 21.09-4.72 2.81 Health Care 13.64-17.25 6.44-17.34 0.15 Financials 6.64-19.64 -0.29 28.45-22.19 Infomation Tech. 19.23-21.94 -0.02 0.00 Telecom. Services 1.60-18.01 -0.05 0.00 Utilities 0.25-0.80 Artisan PartnersR Mid Cap G 87 City of Clearwater Wedge Capital Mgmt as of 9/30/11 Portfolio Performance (%) 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 -20.0 QtrYTD1 Year3 Year5 Year10 YearIncept 2/28/07 Wedge Capital MgmtR Mid Cap V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 2/28/07 Wedge Capital Mgmt-19.63-12.28-0.633.31-1.14 R Mid Cap V-18.47-13.00-2.361.98-3.43 Asset Growth ($000) Beginning Market Value44,68640,94336,14026,13830,365 Net Contributions & Withdrawals-4,000-4,001-4,001-4,001-4,001 Gain/Loss + Income-8,649-4,906-1029,9005,672 Ending Market Value32,03732,03732,03732,03732,037 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Allstate CorpFinancials4.13Energy6.65 Computer Sciences CoInformation Technology4.10Materials8.98 Duke-Weeks Realty CoFinancials4.01Industrials21.61 Transdigm Group Inc Industrials4.01Consumer Discretionary12.04 Sonoco Prods CoMaterials3.87Consumer Staples4.21 Donnelley R R & SonsIndustrials3.79Health Care2.08 Lincoln Natl Corp InFinancials3.48Financials27.78 Pg&E CorpUtilities3.36Information Technology9.03 Pinnacle West Cap CoUtilities3.25Telecom Services0.00 Bemis IncMaterials3.14Utilities7.61 88 City of Clearwater Wedge Capital Mgmt as of 9/30/11 Asset Allocation ($000) Cash & Equiv $225 0.70% Domestic Equity $31,812 99.30% Risk/Return Analysis Periods from 2/07 to 9/11 Alpha0.57 Beta0.98 R-Squared0.97 2.0 1.5 T 1.0 0.5 0.0 -0.5 -1.0 w -1.5 -2.0 -2.5 -3.0 1 -3.5 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio w Wedge Capital Mgmt -1.14 23.15 -0.11 0.47 1 R Mid Cap V -3.43 23.51 -0.21 T 91-Day Treasury Bill 1.44 0.58 0.00 89 City of Clearwater Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 25% 20% 15% 10% w 1 5% w 1 0% w w 1 1 -5% -10% -15% 1 -20% w -25% -30% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High-3.4810.9319.7014.433.52 1st Qt-15.232.709.274.90-1.16 Median-19.23-0.636.622.48-2.87 3rd Qt-23.01-5.985.861.91-4.04 Low-25.19-9.992.350.31-8.67 w Wedge Capital Mgmt Net Ret-19.63-0.637.803.31-2.03 Rank6150403531 1 R Mid Cap V Net Ret-18.47-2.366.861.98-4.18 Rank4759466678 90 City of Clearwater Midcap Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 70% 60% 50% 40% w 1 30% 1 w 20% 10% 0% -10% w 1 -20% -30% w -40%1 -50% -60% 9/30/11 YTD201020092008 High9.2432.4163.14-26.24 1st Qt-7.4025.7645.34-31.89 Median-12.2824.2934.08-34.45 3rd Qt-17.1521.4528.00-37.68 Low-22.9414.3916.38-51.14 w Wedge Capital Mgmt Net Ret-12.2823.3038.51-34.89 Rank50583359 1 R Mid Cap V Net Ret-13.0024.7634.20-38.45 Rank52364781 91 City of Clearwater September 30, 2011 92 City of Clearwater Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods225599 Positive Periods227799 Up Market Capture1.151.001.03 Down Market Capture1.040.960.94 Batting Average0.750.580.67 Worst Quarter-19.63-18.47-26.40-27.19-26.40-27.19 Best Quarter13.2912.2425.6523.6225.6523.62 Worst 4 Quarters-0.63-2.36-5.12-7.11-39.75-42.51 Best 4 Quarters-0.63-2.3673.1572.4173.1572.41 Standard Deviation32.1532.0326.7726.79 Beta0.990.98 Alpha0.350.57 R-Squared0.970.97 Sharpe Ratio0.100.06-0.10-0.19 Treynor Ratio3.13-2.86 Tracking Error5.614.75 Information Ratio0.210.47 93 City of Clearwater Return vs Risk Total Returns of Midcap Value Portfolios 3 Years Ending 9/30/11 12.0 10.2 8.4 6.6 4.8 w 3.0 Median 1 Return 1.2 -0.5 -2.3 -4.2 -6.0 16.018.821.624.427.230.032.835.638.441.244.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank w Wedge Capital Mgmt3.313532.1573 1 R Mid Cap V1.986632.0373 Median2.4829.13 94 City of Clearwater Equity Summary Statistics Wedge Capital Mgmt Period Ending 9/11 PortfolioR Mid Cap V Total Number Of Securities41528 Equity Market Value31,811,789 Average Capitalization $(000)4,909,3417,060,713 Median Capitalization $(000)2,982,8843,247,075 Equity Segment Yield2.882.63 Equity Segment P/E - Average13.4213.90 Equity Segment P/E - Median12.6513.16 Equity Segment Beta1.141.15 Price/Book Ratio1.211.23 Debt/Equity Ratio60.1865.06 Five Year Earnings Growth1.76-0.44 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Allstate Corp1,310,0574.13-21.78 Computer Sciences Co1,300,6414.10-28.77 Duke-Weeks Realty Co1,273,4094.01-23.96 Transdigm Group Inc 1,272,0104.01-10.44 Sonoco Prods Co1,228,5703.87-19.79 Donnelley R R & Sons1,203,8433.79-26.86 Lincoln Natl Corp In1,103,6343.48-45.05 Pg&E Corp1,066,2123.361.74 Pinnacle West Cap Co1,030,5603.25-2.49 Bemis Inc996,5403.14-12.54 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret V F Corp12.54Lincoln Natl Corp In-45.05 Arch Cap Group Ltd2.37Steelcase Inc-44.09 Pg&E Corp1.74Qep Res Inc-35.25 Comtech Telecommunic1.05Carlisle Corp-34.93 Pinnacle West Cap Co-2.49URS Corp New-33.71 Health Care Reit Inc-9.34TCF Bkg & Svgs Fa Mi-33.36 Ruddick Corp-10.16Murphy Oil Corp-32.38 Transdigm Group Inc -10.44Convergys Corp-31.23 Capstead Mtg Corp-10.65Brunswick Corp-31.18 Bemis Inc-12.54Dover Corp-30.88 95 City of Clearwater Equity Contribution to Return Wedge Capital Mgmt Period Ending 9/11 PortfolioR Mid Cap V Total Number Of Securities41528 Equity Market Value31,811,789 Average Capitalization $(000)4,909,3417,060,713 Median Capitalization $(000)2,982,8843,247,075 Equity Segment Yield2.882.63 Equity Segment P/E - Average13.4213.90 Equity Segment P/E - Median12.6513.16 Equity Segment Beta1.141.15 Price/Book Ratio1.211.23 Debt/Equity Ratio60.1865.06 Five Year Earnings Growth1.76-0.44 Ten Best Contributors Market Value% of PortfolioQuarterly Ret V F Corp972,1603.0612.54 Pg&E Corp1,066,2123.361.74 Arch Cap Group Ltd679,6402.142.37 Comtech Telecommunic896,0712.821.05 Pinnacle West Cap Co1,030,5603.25-2.49 Capstead Mtg Corp297,1670.94-10.65 Northrop Corp136,5550.43-24.05 Entertainment Pptys 327,4321.03-15.03 UGI Corp New317,8671.00-16.87 Health Care Reit Inc650,8942.05-9.34 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Lincoln Natl Corp In1,103,6343.48-45.05 Computer Sciences Co1,300,6414.10-28.77 Donnelley R R & Sons1,203,8433.79-26.86 URS Corp New946,1542.98-33.71 Duke-Weeks Realty Co1,273,4094.01-23.96 Carlisle Corp873,5122.75-34.93 Brunswick Corp954,7203.01-31.18 Allstate Corp1,310,0574.13-21.78 Dover Corp922,6802.91-30.88 Steelcase Inc583,0441.84-44.09 96 City of Clearwater Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy6.436.86-27.62-27.52-0.010.040.03 Materials9.454.84-16.14-27.281.05-0.400.65 Industrials22.4410.98-27.56-25.76-0.40-0.82-1.22 Consumer Discretionary14.1411.44-12.69-19.660.99-0.030.96 Consumer Staples4.376.07-11.64-7.70-0.17-0.19-0.36 Health Care2.006.72-26.20-18.41-0.16-0.01-0.16 Financials26.7131.43-22.07-21.14-0.250.12-0.13 Information Technology7.588.23-24.73-17.96-0.51-0.00-0.52 Telecom. Services0.000.95-25.410.000.060.06 Utilities6.8812.49-2.82-1.97-0.06-0.93-0.99 100.00100.00-20.28-18.600.48-2.16-1.68 Index - R Mid Cap V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.22% [ Actual Return -20.06% ] - [ Buy Hold Return -20.28% ] 97 City of Clearwater Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 9/11 % Allocation% Return% Variance 6.43-27.62 Energy 0.03 6.86-27.52 9.45-16.14 Materials 0.65 4.84-27.28 22.44-27.56 Industrials -1.22 10.98-25.76 14.14-12.69 0.96 Con. Discretionary 11.44-19.66 4.37-11.64 -0.36 Consumer Staples 6.07-7.70 2.00-26.20 -0.16 Health Care 6.72-18.41 26.71-22.07 -0.13 Financials 31.43-21.14 -0.52 7.58-24.73 Infomation Tech. 8.23-17.96 0.06 0.00 Telecom. Services 0.95-25.41 -0.99 6.88-2.82 Utilities 12.49-1.97 Wedge Capital MgmtR Mid Cap V 98 City of Clearwater Small Cap Equity Comp as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 8/31/03 Small Cap Equity CompR2000 Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 8/31/03 Small Cap Equity Comp-18.74-11.902.664.170.525.41 R2000-21.86-17.02-3.53-0.37-1.014.58 Asset Growth ($000) Beginning Market Value46,15342,57136,53463,33160,47629,988 Net Contributions & Withdrawals-1-1-4-39,004-39,004-39,004 Gain/Loss + Income-8,650-5,06897113,17516,03046,517 Ending Market Value37,50237,50237,50237,50237,50237,502 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Cepheid IncHealth Care2.81Energy2.60 Lkq CorpConsumer Discretionary2.26Materials2.26 Rollins IncIndustrials2.02Industrials18.19 National Instrs CorpInformation Technology1.92Consumer Discretionary14.41 Ultimate Software GrInformation Technology1.77Consumer Staples5.13 Chemed Corp NewHealth Care1.69Health Care19.13 Techne CorpHealth Care1.47Financials12.18 Mednax IncHealth Care1.42Information Technology25.57 Semtech CorpInformation Technology1.41Telecom Services0.08 United Nat Foods IncConsumer Staples1.40Utilities0.45 Holdings and allocations only include SMA accounts. 99 City of Clearwater Small Cap Equity Comp as of 9/30/11 Asset Allocation ($000) Cash & Equiv $881 2.35% Domestic Equity $36,621 97.65% Risk/Return Analysis Periods from 8/03 to 9/11 Alpha0.29 Beta0.91 R-Squared0.95 5.5 S 5.0 1 4.5 4.0 3.5 3.0 2.5 T 2.0 0.02.04.06.08.010.012.014.016.018.020.022.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio S Small Cap Equity Comp 5.41 19.81 0.17 0.12 1 R2000 4.58 20.60 0.12 T 91-Day Treasury Bill 2.10 0.57 0.00 Holdings and allocations only include SMA accounts. 100 City of Clearwater Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% S S 5% 1 1 S S 1 S S 1 0%S 1 1 S 1 1 -5% -10% -15% S -20% 1 -25% -30% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High-14.974.1610.026.841.794.565.567.198.48 1st Qt-19.32-0.217.703.76-0.472.263.415.627.97 Median-21.00-1.836.111.99-2.650.712.134.636.61 3rd Qt-21.86-4.044.610.42-3.91-0.771.253.825.90 Low-24.58-8.36-0.16-2.56-5.97-2.31-0.182.184.69 S Small Cap Equity Comp Net Ret-18.742.669.184.17-3.050.522.394.565.93 Rank171212216054465173 1 R2000 Net Ret-21.86-3.534.57-0.37-4.10-1.010.733.034.87 Rank756975827985838993 101 City of Clearwater Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 60% 50% 40% S 30% S 1 1 20% 11 S S 10% S 1 S 0% 1 -10% S 1 -20% -30% 1 -40%S -50% 9/30/11 YTD2010200920082007200620052004 High-8.1432.7852.91-22.1511.2322.9412.4725.69 1st Qt-13.3928.8037.35-29.403.5219.6310.4922.55 Median-15.0426.7330.06-33.10-0.1717.308.8420.82 3rd Qt-16.9624.0726.61-36.70-3.1215.596.1318.65 Low-21.5517.6918.82-44.05-8.1212.803.5015.58 S Small Cap Equity Comp Net Ret-11.9029.2733.51-38.633.2717.407.2115.69 Rank1521388428487193 1 R2000 Net Ret-17.0226.8527.19-33.80-1.5518.354.5618.32 Rank7648685959388879 102 City of Clearwater Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2255891112 Positive Periods227712112120 Up Market Capture1.050.981.000.96 Down Market Capture0.830.870.940.90 Batting Average1.000.830.700.63 Worst Quarter-18.74-21.86-25.65-26.12-25.65-26.12-25.65-26.12 Best Quarter16.5316.2520.7420.6820.7420.6820.7420.68 Worst 4 Quarters2.66-3.53-5.17-9.54-38.63-37.50-38.63-37.50 Best 4 Quarters2.66-3.5357.5562.7757.5562.7757.5562.77 Standard Deviation29.2532.0024.0225.3820.3021.88 Beta0.900.930.91 Alpha1.020.310.29 R-Squared0.980.950.95 Sharpe Ratio0.14-0.02-0.05-0.110.190.13 Treynor Ratio4.37-1.314.21 Tracking Error5.265.544.78 Information Ratio0.680.190.12 103 City of Clearwater Return vs Risk Total Returns of Small Neutral Portfolios 3 Years Ending 9/30/11 10.0 8.0 6.0 S 4.0 Median 2.0 Return 0.0 1 -2.0 -4.0 -6.0 20.022.224.426.628.831.033.235.437.639.842.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank S Small Cap Equity Comp4.172129.2525 1 R2000-0.378232.0071 Median1.9931.19 5 Years Ending 9/30/11 5.0 4.0 3.0 2.0 1.0 Median S Return 0.0 1 -1.0 -2.0 -3.0 14.016.218.420.622.825.027.229.431.633.836.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank S Small Cap Equity Comp0.525424.0229 1 R2000-1.018525.3859 Median0.7125.28 104 City of Clearwater Riverbridge Partners as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 9/30/10 Riverbridge PartnersR2000G Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 9/30/10 Riverbridge Partners-15.89-7.847.277.27 R2000G-22.26-15.58-1.14-1.14 Asset Growth ($000) Beginning Market Value21,52319,64216,87616,876 Net Contributions & Withdrawals0000 Gain/Loss + Income-3,421-1,5391,2261,226 Ending Market Value18,10218,10218,10218,102 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Cepheid IncHealth Care5.77Energy0.00 Rollins IncIndustrials4.16Materials0.00 Ultimate Software GrInformation Technology3.65Industrials14.89 Chemed Corp NewHealth Care3.47Consumer Discretionary10.23 National Instrs CorpInformation Technology3.44Consumer Staples4.69 Lkq CorpConsumer Discretionary3.00Health Care30.50 Mednax IncHealth Care2.92Financials3.80 Semtech CorpInformation Technology2.90Information Technology35.90 United Nat Foods IncConsumer Staples2.88Telecom Services0.00 Ritchie Bros AuctionIndustrials2.69Utilities0.00 105 City of Clearwater Riverbridge Partners as of 9/30/11 Asset Allocation ($000) Cash & Equiv $330 1.82% Domestic Equity $17,772 98.18% Risk/Return Analysis (Number of returns < 12) Periods from 9/10 to 9/11 AlphaN/A BetaN/A R-SquaredN/A 8.0 R 7.0 6.0 5.0 4.0 3.0 2.0 1.0 T 0.0 -1.0 1 -2.0 -2.00.02.04.06.08.010.012.014.016.018.020.022.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio R Riverbridge Partners 7.27 16.21 0.44 1 R2000G -1.14 20.53 -0.06 T 91-Day Treasury Bill 0.14 0.03 0.00 106 City of Clearwater Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% 10% R 5% 0% 1 -5% R -10% -15% R1 R -20% 1 1 -25% -30% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High-15.71-14.85-6.0810.57 1st Qt-19.50-18.59-10.844.44 Median-20.53-21.06-13.641.07 3rd Qt-22.12-22.75-15.61-1.62 Low-25.06-26.94-19.40-7.22 R Riverbridge Partners Return-15.89-15.60-7.847.27 Rank69914 1 R2000G Return-22.26-22.72-15.58-1.14 Rank77747467 107 City of Clearwater Small Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December -5% -6% -7% -8% R -9% -10% -11% -12% -13% -14% -15% 1 -16% -17% -18% -19% -20% 9/30/11 YTD High-6.08 1st Qt-10.84 Median-13.64 3rd Qt-15.61 Low-19.40 R Riverbridge Partners Return-7.84 Rank9 1 R2000G Return-15.58 Rank74 108 City of Clearwater Equity Summary Statistics Riverbridge Partners Period Ending 9/11 PortfolioR2000G Total Number Of Securities531,159 Equity Market Value17,772,063 Average Capitalization $(000)1,513,6221,180,752 Median Capitalization $(000)801,425480,039 Equity Segment Yield0.450.80 Equity Segment P/E - Average26.2228.02 Equity Segment P/E - Median26.8313.30 Equity Segment Beta1.041.27 Price/Book Ratio3.062.75 Debt/Equity Ratio12.7225.94 Five Year Earnings Growth6.235.91 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Cepheid Inc1,025,0345.7712.10 Rollins Inc739,3634.16-7.81 Ultimate Software Gr648,0063.65-14.17 Chemed Corp New616,3763.47-15.88 National Instrs Corp611,2083.44-22.69 Lkq Corp532,4863.00-7.40 Mednax Inc519,5992.92-13.23 Semtech Corp515,6842.90-22.82 United Nat Foods Inc511,8932.88-13.19 Ritchie Bros Auction478,6242.69-26.19 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Athenahealth Inc44.89Stratasys Inc-44.99 Grand Canyon Ed Inc 13.89Enernoc Inc-42.82 Cepheid Inc12.10Pegasystems Inc-34.18 Quality Sys Inc11.52Capella Education Co-32.19 Fresh Mkt Inc-1.34Constant Contact Inc-31.88 Forrester Resh Inc-1.37Dealertrack Hldgs In-31.72 Innerworkings Inc-6.00Financial Engines In-30.13 Allscripts Healthcar-7.21Beacon Roofing Suppl-29.93 Lkq Corp-7.40Verint Sys Inc-29.02 Angiodynamics Inc-7.66Faro Technologies In-27.97 109 City of Clearwater Equity Contribution to Return Riverbridge Partners Period Ending 9/11 PortfolioRussell 2000 Growth Total Number Of Securities531,159 Equity Market Value17,772,063 Average Capitalization $(000)1,513,6221,180,752 Median Capitalization $(000)801,425480,039 Equity Segment Yield0.450.80 Equity Segment P/E - Average26.2228.02 Equity Segment P/E - Median26.8313.30 Equity Segment Beta1.041.27 Price/Book Ratio3.062.75 Debt/Equity Ratio12.7225.94 Five Year Earnings Growth6.235.91 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Athenahealth Inc418,1012.3544.89 Cepheid Inc1,025,0345.7712.10 Grand Canyon Ed Inc 335,4191.8913.89 Quality Sys Inc349,6851.9711.52 Forrester Resh Inc314,0471.77-1.37 Fresh Mkt Inc320,8871.81-1.34 Napco Sec Sys Inc27,9040.16-22.90 Innerworkings Inc239,2771.35-6.00 Sps Comm Inc209,2781.18-8.43 Guidance Software In101,3740.57-20.37 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret National Instrs Corp611,2083.44-22.69 Ritchie Bros Auction478,6242.69-26.19 Semtech Corp515,6842.90-22.82 Portfolio Recovery A432,4292.43-26.62 Neogen Corp440,8052.48-23.20 Beacon Roofing Suppl327,5551.84-29.93 Chemed Corp New616,3763.47-15.88 Pegasystems Inc269,7051.52-34.18 Ultimate Software Gr648,0063.65-14.17 Gentex Corp448,4122.52-20.13 110 City of Clearwater Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy0.008.70-32.930.000.920.92 Materials0.674.61-19.39-32.130.080.380.47 Industrials15.5715.59-19.16-22.840.570.000.57 Consumer Discretionary10.0514.71-15.55-21.270.57-0.050.52 Consumer Staples2.803.79-13.19-7.52-0.16-0.15-0.31 Health Care27.8119.26-6.53-17.793.130.393.52 Financials3.777.28-27.53-16.11-0.43-0.22-0.65 Information Technology39.3324.69-21.70-24.861.24-0.360.88 Telecom. Services0.001.30-24.480.000.030.03 Utilities0.000.08-6.850.00-0.01-0.01 100.00100.00-16.43-22.385.010.935.94 Index - R2000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.15% [ Actual Return -16.29% ] - [ Buy Hold Return -16.43% ] 111 City of Clearwater Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 9/11 % Allocation% Return% Variance 0.00 Energy 0.92 8.70-32.93 0.67-19.39 Materials 0.47 4.61-32.13 15.57-19.16 Industrials 0.57 15.59-22.84 10.05-15.55 0.52 Con. Discretionary 14.71-21.27 2.80-13.19 -0.31 Consumer Staples 3.79-7.52 27.81-6.53 3.52 Health Care 19.26-17.79 3.77-27.53 -0.65 Financials 7.28-16.11 0.88 39.33-21.70 Infomation Tech. 24.69-24.86 0.03 0.00 Telecom. Services 1.30-24.48 -0.01 0.00 Utilities 0.08-6.85 Riverbridge PartnersR2000G 112 City of Clearwater Atlanta Capital Mgmt as of 9/30/11 Portfolio Performance (%) 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 8/31/03 Atlanta Capital MgmtR2000V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 8/31/03 Atlanta Capital Mgmt-15.76-5.348.578.056.729.26 R2000V-21.47-18.52-6.00-2.79-3.084.49 Asset Growth ($000) Beginning Market Value12,93811,51410,03817,61430,13614,990 Net Contributions & Withdrawals000-10,000-10,000-10,000 Gain/Loss + Income-2,039-6158613,286-9,2375,909 Ending Market Value10,89910,89910,89910,89910,89910,899 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Morningstar IncConsumer Discretionary4.43Energy2.63 Kirby Expl Co.Industrials3.30Materials3.71 Henry Jack & Assoc IInformation Technology2.96Industrials25.70 Lkq CorpConsumer Discretionary2.80Consumer Discretionary21.18 Bio Rad Labs IncHealth Care2.64Consumer Staples6.20 Dril-Quip IncEnergy2.63Health Care9.96 Blackbaud IncInformation Technology2.62Financials12.71 Sally Beauty Hldgs IConsumer Discretionary2.54Information Technology17.93 Diamond Foods IncConsumer Staples2.46Telecom Services0.00 Aptargroup IncMaterials2.36Utilities0.00 113 City of Clearwater Atlanta Capital Mgmt as of 9/30/11 Asset Allocation ($000) Cash & Equiv $462 4.24% Domestic Equity $10,437 95.76% Risk/Return Analysis Periods from 8/03 to 9/11 Alpha1.29 Beta0.71 R-Squared0.92 10.0 t 9.0 8.0 7.0 6.0 5.0 1 4.0 3.0 T 2.0 0.02.04.06.08.010.012.014.016.018.020.022.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio t Atlanta Capital Mgmt 9.26 17.45 0.41 0.44 1 R2000V 4.49 20.68 0.12 T 91-Day Treasury Bill 2.10 0.57 0.00 114 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 15% t 10% t t t t t t 5% 1 t 1 1 0% 1 1 1 -5% 1 1 -10% -15% t -20% 1 -25% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High-17.310.288.395.260.752.674.416.599.01 1st Qt-19.27-2.166.702.53-1.131.263.135.277.76 Median-20.91-5.194.500.79-2.920.492.204.646.69 3rd Qt-22.55-6.023.52-0.24-4.81-1.600.863.445.87 Low-24.54-9.121.85-2.22-5.37-2.93-0.592.445.14 t Atlanta Capital Mgmt Net Ret-15.768.5711.648.054.346.727.058.679.83 Rank211111111 1 R2000V Net Ret-21.47-6.002.53-2.79-5.24-3.08-0.421.994.69 Rank607385998697839999 115 City of Clearwater Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 60% 50% 40% 30% t t 1 1 1 20% 1 t t 10% t t 1 0% t -10% 1 1 -20% t -30% 1 -40% 9/30/11 YTD2010200920082007200620052004 High-11.8833.4453.30-23.217.2229.9811.5528.23 1st Qt-14.2430.9035.72-28.67-1.4821.788.2726.31 Median-17.3928.0826.24-30.43-5.1019.377.0523.25 3rd Qt-19.6424.1523.62-33.57-9.6017.064.7619.26 Low-22.0221.4718.36-38.47-11.8311.452.3317.23 t Atlanta Capital Mgmt Net Ret-5.3425.9826.83-19.526.9116.226.2320.24 Rank1654716805866 1 R2000V Net Ret-18.5224.5120.57-28.92-9.7723.484.7022.25 Rank6871932876127554 116 City of Clearwater September 30, 2011 117 City of Clearwater Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1245791011 Positive Periods328713112221 Up Market Capture1.110.930.930.87 Down Market Capture0.580.670.580.59 Batting Average0.750.750.750.63 Worst Quarter-15.76-21.47-16.60-24.89-16.60-24.89-16.60-24.89 Best Quarter14.7015.3618.0022.7018.0022.7018.0022.70 Worst 4 Quarters8.57-6.001.21-12.62-24.55-38.89-24.55-38.89 Best 4 Quarters8.57-6.0052.5365.0552.5365.0552.5365.05 Standard Deviation24.7432.5219.4825.8416.3822.17 Beta0.750.730.71 Alpha2.231.941.29 R-Squared0.970.940.92 Sharpe Ratio0.32-0.090.26-0.190.470.12 Treynor Ratio10.456.8110.87 Tracking Error9.248.397.93 Information Ratio0.890.960.44 118 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios 3 Years Ending 9/30/11 10.0 8.2 t 6.4 4.6 2.8 Median 1.0 Return -0.7 -2.5 1 -4.3 -6.2 -8.0 18.020.823.626.429.232.034.837.640.443.246.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank t Atlanta Capital Mgmt8.05124.741 1 R2000V-2.799932.5255 Median0.7932.44 5 Years Ending 9/30/11 10.0 8.0 t 6.0 4.0 2.0 Median 0.0 Return -2.0 1 -4.0 -6.0 -8.0 -10.0 16.018.020.022.024.026.028.030.032.034.036.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank t Atlanta Capital Mgmt6.72119.481 1 R2000V-3.089725.8443 Median0.4926.37 119 City of Clearwater Equity Summary Statistics Atlanta Capital Mgmt Period Ending 9/11 PortfolioR2000V Total Number Of Securities641,364 Equity Market Value10,436,529 Average Capitalization $(000)1,672,012926,696 Median Capitalization $(000)1,375,668348,432 Equity Segment Yield1.092.50 Equity Segment P/E - Average18.4119.45 Equity Segment P/E - Median18.2011.10 Equity Segment Beta1.031.19 Price/Book Ratio2.551.01 Debt/Equity Ratio20.6847.66 Five Year Earnings Growth5.44-0.06 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Morningstar Inc462,2444.43-7.07 Kirby Expl Co.344,2663.30-7.11 Henry Jack & Assoc I308,9272.96-3.07 Lkq Corp292,3362.80-7.40 Bio Rad Labs Inc275,0332.64-23.95 Dril-Quip Inc273,8632.63-20.52 Blackbaud Inc273,6982.62-19.25 Sally Beauty Hldgs I264,9362.54-2.92 Diamond Foods Inc256,9242.464.58 Aptargroup Inc246,5782.36-14.29 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Liquidity Services I35.83Rofin Sinar Technolo-43.78 Advisory Brd Co11.49Forest City Enterpri-42.90 Diamond Foods Inc4.58Acuity Brands Inc-35.23 RLI Corp3.17Carlisle Corp-34.93 Young Innovations In0.07Meridian Bioscience -34.13 Caseys Gen Stores-0.46Graco Inc-32.33 Sally Beauty Hldgs I-2.92II VI Inc-31.64 Henry Jack & Assoc I-3.07City Natl Corp-30.13 J & J Snack Foods Co-3.38Pss World Med Inc-29.70 Peets Coffee & Tea I-3.57Aaon Inc-27.88 120 City of Clearwater Equity Contribution to Return Atlanta Capital Mgmt Period Ending 9/11 PortfolioR2000V Total Number Of Securities641,364 Equity Market Value10,436,529 Average Capitalization $(000)1,672,012926,696 Median Capitalization $(000)1,375,668348,432 Equity Segment Yield1.092.50 Equity Segment P/E - Average18.4119.45 Equity Segment P/E - Median18.2011.10 Equity Segment Beta1.031.19 Price/Book Ratio2.551.01 Debt/Equity Ratio20.6847.66 Five Year Earnings Growth5.44-0.06 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Liquidity Services I220,9622.1235.83 Advisory Brd Co204,5601.9611.49 Diamond Foods Inc256,9242.464.58 RLI Corp166,5801.603.17 Young Innovations In78,3750.750.07 Caseys Gen Stores119,6011.15-0.46 Peets Coffee & Tea I117,4001.13-3.57 J & J Snack Foods Co160,0071.53-3.38 Sally Beauty Hldgs I264,9362.54-2.92 Manhattan Assocs Inc222,6282.13-3.95 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Bio Rad Labs Inc275,0332.64-23.95 Dril-Quip Inc273,8632.63-20.52 Acuity Brands Inc159,2971.53-35.23 Meridian Bioscience 162,1221.55-34.13 Graco Inc163,8721.57-32.33 Blackbaud Inc273,6982.62-19.25 Forest City Enterpri120,2451.15-42.90 Moog Inc 'a'204,5271.96-25.05 Fair Isaac Corp170,2741.63-27.66 Forward Air Corp184,0041.76-24.47 121 City of Clearwater Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy2.755.39-20.52-31.880.310.270.59 Materials3.625.27-14.46-24.660.370.050.42 Industrials26.1315.23-19.59-25.531.55-0.441.11 Consumer Discretionary22.0711.87-10.21-24.143.07-0.272.80 Consumer Staples5.232.89-1.12-16.300.790.120.92 Health Care10.545.75-22.38-26.590.44-0.250.20 Financials13.5334.09-22.25-17.85-0.60-0.74-1.34 Information Technology16.1212.22-13.90-25.611.89-0.161.73 Telecom. Services0.000.86-31.910.000.090.09 Utilities0.006.42-3.120.00-1.18-1.18 100.00100.00-16.13-21.467.84-2.515.33 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.22% [ Actual Return -16.35% ] - [ Buy Hold Return -16.13% ] 122 City of Clearwater Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 9/11 % Allocation% Return% Variance 2.75-20.52 Energy 0.59 5.39-31.88 3.62-14.46 Materials 0.42 5.27-24.66 26.13-19.59 Industrials 1.11 15.23-25.53 22.07-10.21 2.80 Con. Discretionary 11.87-24.14 5.23-1.12 0.92 Consumer Staples 2.89-16.30 10.54-22.38 0.20 Health Care 5.75-26.59 13.53-22.25 -1.34 Financials 34.09-17.85 1.73 16.12-13.90 Infomation Tech. 12.22-25.61 0.09 0.00 Telecom. Services 0.86-31.91 -1.18 0.00 Utilities 6.42-3.12 Atlanta Capital MgmtR2000V 123 City of Clearwater Systematic Financial Mgt as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 -30.0 QtrYTD1 Year3 Year5 Year10 YearIncept 8/31/03 Systematic Financial MgtR2000V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 8/31/03 Systematic Financial Mgt-27.29-25.53-11.580.84-2.743.42 R2000V-21.47-18.52-6.00-2.79-3.084.49 Asset Growth ($000) Beginning Market Value11,69111,4169,61413,84130,34915,001 Net Contributions & Withdrawals000-6,000-6,000-6,000 Gain/Loss + Income-3,190-2,914-1,113661-15,847-500 Ending Market Value8,5018,5018,5018,5018,5018,501 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Dupont Fabros TechnoFinancials3.55Energy8.13 Cbl & Assoc Pptys InFinancials3.21Materials5.27 Pier I Imports IncConsumer Discretionary2.65Industrials15.83 Cno Finl Group IncFinancials2.46Consumer Discretionary14.86 Hain Celestial GroupConsumer Staples2.31Consumer Staples4.73 Polyone CorpMaterials2.17Health Care6.34 Western Refng IncEnergy2.00Financials29.43 Triumph Group Inc NeIndustrials1.99Information Technology13.10 Ellis Perry Intl IncConsumer Discretionary1.94Telecom Services0.34 Elizabeth Arden Inc Consumer Staples1.88Utilities1.97 124 City of Clearwater Systematic Financial Mgt as of 9/30/11 Asset Allocation ($000) Cash & Equiv $89 1.05% Domestic Equity $8,412 98.95% Risk/Return Analysis Periods from 8/03 to 9/11 Alpha-0.08 Beta1.02 R-Squared0.85 4.6 1 4.4 4.2 4.0 3.8 3.6 s 3.4 3.2 3.0 2.8 2.6 2.4 2.2 T 2.0 0.02.04.06.08.010.012.014.016.018.020.022.024.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio s Systematic Financial Mgt 3.42 22.05 0.06 -0.07 1 R2000V 4.49 20.68 0.12 T 91-Day Treasury Bill 2.10 0.57 0.00 125 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 9/11 10% 5% 1 s s s 1 1 s 0% s 1 s 1 1 -5% 1 1 s -10% s -15% -20% 1 -25% s -30% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High-17.310.288.395.260.752.674.416.599.01 1st Qt-19.27-2.166.702.53-1.131.263.135.277.76 Median-20.91-5.194.500.79-2.920.492.204.646.69 3rd Qt-22.55-6.023.52-0.24-4.81-1.600.863.445.87 Low-24.54-9.121.85-2.22-5.37-2.93-0.592.445.14 s Systematic Financial Mgt Net Ret-27.29-11.582.560.84-6.99-2.740.172.583.90 Rank98998446100858085100 1 R2000V Net Ret-21.47-6.002.53-2.79-5.24-3.08-0.421.994.69 Rank607385998697839999 126 City of Clearwater Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 60% 50% 40% s s 30% 1 1 1 20% 1 s s 10% s 1 0% s -10% 1 1 -20% s -30% 1 -40% s -50% 9/30/11 YTD2010200920082007200620052004 High-11.8833.4453.30-23.217.2229.9811.5528.23 1st Qt-14.2430.9035.72-28.67-1.4821.788.2726.31 Median-17.3928.0826.24-30.43-5.1019.377.0523.25 3rd Qt-19.6424.1523.62-33.57-9.6017.064.7619.26 Low-22.0221.4718.36-38.47-11.8311.452.3317.23 s Systematic Financial Mgt Net Ret-25.5335.5035.72-40.710.4918.618.2711.42 Rank9912598216327100 1 R2000V Net Ret-18.5224.5120.57-28.92-9.7723.484.7022.25 Rank6871932876127554 127 City of Clearwater September 30, 2011 128 City of Clearwater Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2255991311 Positive Periods227711111921 Up Market Capture1.211.221.000.94 Down Market Capture1.311.020.990.99 Batting Average0.500.670.600.53 Worst Quarter-27.29-21.47-27.29-24.89-27.29-24.89-27.29-24.89 Best Quarter18.7415.3625.3722.7025.3722.7025.3722.70 Worst 4 Quarters-11.58-6.00-11.58-12.62-40.88-38.89-40.88-38.89 Best 4 Quarters-11.58-6.0074.7365.0574.7365.0574.7365.05 Standard Deviation35.2532.5229.0225.8424.6022.17 Beta1.071.031.02 Alpha1.100.31-0.08 R-Squared0.970.840.85 Sharpe Ratio0.02-0.09-0.15-0.190.070.12 Treynor Ratio0.58-4.341.76 Tracking Error6.6911.569.57 Information Ratio0.660.04-0.07 129 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios 3 Years Ending 9/30/11 6.0 5.0 4.0 3.0 2.0 1.0 Median s Return 0.0 -1.0 -2.0 1 -3.0 -4.0 18.020.823.626.429.232.034.837.640.443.246.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank s Systematic Financial Mgt0.844635.2580 1 R2000V-2.799932.5255 Median0.7932.44 5 Years Ending 9/30/11 5.0 4.1 3.2 2.3 1.4 Median 0.5 Return -0.3 -1.2 -2.1 s 1 -3.1 -4.0 16.018.020.022.024.026.028.030.032.034.036.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank s Systematic Financial Mgt-2.748529.0276 1 R2000V-3.089725.8443 Median0.4926.37 130 City of Clearwater Equity Summary Statistics Systematic Financial Mgt Period Ending 9/11 PortfolioR2000V Total Number Of Securities1011,364 Equity Market Value8,412,142 Average Capitalization $(000)1,268,571926,696 Median Capitalization $(000)1,131,567348,432 Equity Segment Yield1.342.50 Equity Segment P/E - Average12.8219.45 Equity Segment P/E - Median11.6711.10 Equity Segment Beta1.591.19 Price/Book Ratio1.251.01 Debt/Equity Ratio48.8747.66 Five Year Earnings Growth-3.01-0.06 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Dupont Fabros Techno295,3503.55-21.87 Cbl & Assoc Pptys In266,9603.21-36.24 Pier I Imports Inc220,8322.65-15.47 Cno Finl Group Inc205,0392.46-31.61 Hain Celestial Group192,4652.31-8.42 Polyone Corp180,9992.17-30.53 Western Refng Inc166,3412.00-31.05 Triumph Group Inc Ne165,7161.99-2.03 Ellis Perry Intl Inc161,6801.94-25.54 Elizabeth Arden Inc 156,4201.88-2.03 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Nu Skin Enterprises 8.36Nn Inc-66.24 Arctic Cat Inc7.89Omnivision Technolog-59.67 Silicon Motion Techn7.84Basic Energy Svcs In-55.00 Black Hills Pwr & Lt3.09Pioneer Drilling Co -52.89 Cooper Cos Inc-0.08Wabash Natl Corp-49.09 Elizabeth Arden Inc -2.03Huntsman Corp-48.28 Triumph Group Inc Ne-2.03Hercules Offshore In-47.01 Viropharma Inc-2.32Popular Inc-45.65 Nv Energy Inc-3.38Universal Stainless -45.64 Infinity Ppty & Cas -3.64Opnext Inc-45.18 131 City of Clearwater Equity Contribution to Return Systematic Financial Mgt Period Ending 9/11 PortfolioR2000V Total Number Of Securities1011,364 Equity Market Value8,412,142 Average Capitalization $(000)1,268,571926,696 Median Capitalization $(000)1,131,567348,432 Equity Segment Yield1.342.50 Equity Segment P/E - Average12.8219.45 Equity Segment P/E - Median11.6711.10 Equity Segment Beta1.591.19 Price/Book Ratio1.251.01 Debt/Equity Ratio48.8747.66 Five Year Earnings Growth-3.01-0.06 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Arctic Cat Inc73,8990.897.89 Silicon Motion Techn67,0480.817.84 Nu Skin Enterprises 44,5720.548.36 Black Hills Pwr & Lt61,2800.743.09 Cooper Cos Inc102,8951.24-0.08 Viropharma Inc34,3330.41-2.32 Nv Energy Inc58,8400.71-3.38 Elizabeth Arden Inc 156,4201.88-2.03 Triumph Group Inc Ne165,7161.99-2.03 Gallagher Arthur J &52,6000.63-6.68 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Cbl & Assoc Pptys In266,9603.21-36.24 Cno Finl Group Inc205,0392.46-31.61 Dupont Fabros Techno295,3503.55-21.87 Dana Holding Corp139,6501.68-42.62 U S Airways Group In151,8001.82-38.27 Polyone Corp180,9992.17-30.53 Western Refng Inc166,3412.00-31.05 Ryder Sys Inc142,5381.71-33.57 Universal Stainless 101,6801.22-45.64 Hercules Offshore In96,3601.16-47.01 132 City of Clearwater Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy8.415.39-36.52-31.88-0.39-0.31-0.71 Materials9.275.27-39.54-24.66-1.38-0.13-1.51 Industrials15.2015.23-29.07-25.53-0.540.00-0.54 Consumer Discretionary12.3611.87-21.25-24.140.36-0.010.34 Consumer Staples4.922.89-9.25-16.300.350.100.45 Health Care7.395.75-24.43-26.590.16-0.080.08 Financials28.5434.09-26.99-17.85-2.61-0.20-2.81 Information Technology12.4412.22-26.39-25.61-0.10-0.01-0.11 Telecom. Services0.420.86-41.04-31.91-0.040.050.01 Utilities1.066.42-0.18-3.120.03-0.98-0.95 100.00100.00-27.20-21.46-4.16-1.58-5.74 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.30% [ Actual Return -27.50% ] - [ Buy Hold Return -27.20% ] 133 City of Clearwater Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 9/11 % Allocation% Return% Variance 8.41-36.52 Energy -0.71 5.39-31.88 9.27-39.54 Materials -1.51 5.27-24.66 15.20-29.07 Industrials -0.54 15.23-25.53 12.36-21.25 0.34 Con. Discretionary 11.87-24.14 4.92-9.25 0.45 Consumer Staples 2.89-16.30 7.39-24.43 0.08 Health Care 5.75-26.59 28.54-26.99 -2.81 Financials 34.09-17.85 -0.11 12.44-26.39 Infomation Tech. 12.22-25.61 0.01 0.42-41.04 Telecom. Services 0.86-31.91 -0.95 1.06-0.18 Utilities 6.42-3.12 Systematic Financial MgtR2000V 134 City of Clearwater International EQ Comp as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 5/31/01 International EQ CompMSCI EAFE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 5/31/01 International EQ Comp-21.66-20.12-12.873.19-1.036.104.07 MSCI EAFE-18.95-14.62-8.94-0.66-3.005.483.37 Asset Growth ($000) Beginning Market Value123,228120,850110,79277,29361,00333,65420,000 Net Contributions & Withdrawals-3-7-8-170-170-170-170 Gain/Loss + Income-26,696-24,314-14,25519,40635,69663,04576,699 Ending Market Value96,52996,52996,52996,52996,52996,52996,529 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Bhp Billiton LtdMaterials4.25Energy21.56 Core Laboratories N Energy3.16Materials20.64 Potash Corp Sask IncMaterials3.03Industrials11.26 Agrium IncMaterials2.65Consumer Discretionary3.18 Arm Hldgs PlcInformation Technology2.56Consumer Staples9.51 Rio Tinto PlcMaterials2.54Health Care8.46 Nestle S AConsumer Staples2.48Financials17.90 Novartis A GHealth Care2.41Information Technology4.96 Transocean Ltd ZugEnergy2.41Telecom Services2.53 Noble Corporation BaEnergy2.40Utilities0.00 Holdings and allocations only include SMA accounts. 135 City of Clearwater International EQ Comp as of 9/30/11 Asset Allocation ($000) Cash & Equiv $19,306 20.00% Other $-15,000 -15.54% Intl Equity $92,223 95.54% Risk/Return Analysis Periods from 5/01 to 9/11 Alpha0.19 Beta1.03 R-Squared0.96 4.2 I 4.0 3.8 3.6 3.4 1 3.2 3.0 2.8 2.6 2.4 2.2 T 2.0 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio I International EQ Comp 4.07 19.16 0.10 0.16 1 MSCI EAFE 3.37 18.57 0.07 T 91-Day Treasury Bill 2.09 0.52 0.00 Holdings and allocations only include SMA accounts. 136 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 9/11 20% 15% 10% I 1 I I 1 5% 1 I 1 I I 0% 1 I 1 I 1 1 -5% I 1 1 -10% I -15% 1 -20% I -25% -30% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High-8.930.566.849.450.975.878.0412.3614.0617.4316.53 1st Qt-17.82-7.620.963.31-5.591.043.907.309.2211.589.47 Median-20.41-10.49-2.010.50-7.45-1.451.965.167.569.457.05 3rd Qt-21.72-12.66-3.25-1.15-9.10-3.170.293.635.868.055.78 Low-24.97-18.85-6.16-4.27-11.88-4.94-1.192.413.766.814.37 I International EQ Comp Net Ret-21.66-12.870.433.19-6.64-1.032.195.276.798.396.10 Rank7076282635474749576771 1 MSCI EAFE Net Ret-18.95-8.94-2.82-0.66-9.03-3.000.453.795.978.085.48 Rank3133616772727172697180 137 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December 80% 70% 60% I 50% 40% 1 1 30% I I 1 20% 1 I I 1 I 10%1 I 1 0% -10% I 1 1 -20% I -30% -40% 1 I -50% -60% 9/30/11 YTD201020092008200720062005200420032002 High-4.6324.7875.57-24.1639.1635.4136.3931.4357.984.02 1st Qt-14.2417.0242.19-40.2717.9129.4420.7723.5543.10-9.37 Median-16.7711.9835.69-43.3311.7526.0915.1519.9837.49-14.21 3rd Qt-18.968.4526.17-47.407.7022.3611.5617.1632.40-17.03 Low-24.512.379.83-57.570.7412.126.4410.2424.03-22.65 I International EQ Comp Net Ret-20.1218.3757.93-47.9411.0227.6213.1517.6631.06-13.03 Rank84201078573764728140 1 MSCI EAFE Net Ret-14.628.2132.46-43.0611.6326.8514.0120.6939.16-15.66 Rank26765947514156404063 138 City of Clearwater Risk Measure Summary International EQ Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2154881515 Positive Periods237812122626 Up Market Capture0.911.191.131.03 Down Market Capture1.140.991.001.00 Batting Average0.250.580.550.49 Worst Quarter-21.66-18.95-26.42-19.90-26.42-20.50-26.42-20.50 Best Quarter9.086.6531.0525.8531.0525.8531.0525.85 Worst 4 Quarters-12.87-8.94-12.87-8.94-47.94-46.20-47.94-46.20 Best 4 Quarters-12.87-8.9471.8155.2071.8155.2071.8158.14 Standard Deviation33.4830.2428.8025.9723.7922.53 Beta1.081.081.03 Alpha1.160.740.20 R-Squared0.940.950.96 Sharpe Ratio0.09-0.03-0.09-0.180.100.08 Treynor Ratio2.81-2.522.27 Tracking Error8.206.755.10 Information Ratio0.570.390.16 139 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 9/30/11 10.0 8.2 6.4 4.6 I 2.8 1.0 Median Return 1 -0.7 -2.5 -4.3 -6.2 -8.0 15.020.025.030.035.040.045.050.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank I International EQ Comp3.192633.4975 1 MSCI EAFE-0.666730.2444 Median0.5030.99 5 Years Ending 9/30/11 8.0 6.2 4.4 2.6 0.8 I -0.9 Median Return -2.7 1 -4.5 -6.3 -8.2 -10.0 14.016.619.221.824.427.029.632.234.837.440.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank I International EQ Comp-1.034728.8077 1 MSCI EAFE-3.007225.9744 Median-1.4526.29 140 City of Clearwater Earnest Partners as of 9/30/11 Portfolio Performance (%) 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 -20.0 -22.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Earnest PartnersMSCI EAFE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Earnest Partners-19.91-13.45-7.696.27-3.44 MSCI EAFE-18.95-14.62-8.94-0.66-9.02 Asset Growth ($000) Beginning Market Value32,10429,71127,85821,44029,002 Net Contributions & Withdrawals-3-5-5-9-9 Gain/Loss + Income-6,391-3,996-2,1424,280-3,282 Ending Market Value25,71125,71125,71125,71125,711 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Arm Hldgs PlcInformation Technology4.94Energy13.52 United Industrial CoFinancials3.91Materials10.88 Weichai Power CoIndustrials3.52Industrials8.82 ShireHealth Care3.48Consumer Discretionary6.14 Core Laboratories N Energy3.18Consumer Staples2.31 Schoeller Bleckmann Energy2.98Health Care13.28 Bancolombia S AFinancials2.72Financials30.60 Is MSCI EafeIndustrials2.60Information Technology9.57 Roche Holdings AgHealth Care2.59Telecom Services4.88 Bhp Billiton LtdMaterials2.49Utilities0.00 141 City of Clearwater Earnest Partners as of 9/30/11 Asset Allocation ($000) Cash & Equiv $1,918 7.46% Intl Equity $23,793 92.54% Risk/Return Analysis Periods from 4/08 to 9/11 Alpha1.87 Beta1.09 R-Squared0.98 1.0 T 0.0 -1.0 -2.0 -3.0 e -4.0 -5.0 -6.0 -7.0 -8.0 1 -9.0 -10.0 -5.00.05.010.015.020.025.030.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio e Earnest Partners -3.44 27.23 -0.14 1.25 1 MSCI EAFE -9.02 25.61 -0.37 T 91-Day Treasury Bill 0.43 0.22 0.00 142 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 9/11 15% 10% e 5% e 0% 1 1 -5% e 1 -10% -15% 1 -20% e -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High-8.930.566.849.45 1st Qt-17.82-7.620.963.31 Median-20.41-10.49-2.010.50 3rd Qt-21.72-12.66-3.25-1.15 Low-24.97-18.85-6.16-4.27 e Earnest Partners Net Ret-19.91-7.693.306.27 Rank43251212 1 MSCI EAFE Net Ret-18.95-8.94-2.82-0.66 Rank31336167 143 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December 80% 70% 60% e 50% 40% 1 30% 20% e 10% 1 0% -10% e 1 -20% -30% 9/30/11 YTD20102009 High-4.6324.7875.57 1st Qt-14.2417.0242.19 Median-16.7711.9835.69 3rd Qt-18.968.4526.17 Low-24.512.379.83 e Earnest Partners Net Ret-13.4516.6155.54 Rank202712 1 MSCI EAFE Net Ret-14.628.2132.46 Rank267659 144 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 9/30/11 10.0 8.2 6.4 e 4.6 2.8 1.0 Median Return 1 -0.7 -2.5 -4.3 -6.2 -8.0 15.020.025.030.035.040.045.050.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank e Earnest Partners6.271233.3574 1 MSCI EAFE-0.666730.2444 Median0.5030.99 145 City of Clearwater Global Equity Summary Statistics Earnest Partners Period Ending 9/11 PortfolioMSCI EAFE Total Number Of Securities53943 Equity Market Value23,792,586 Average Capitalization $(000)27,197,29643,817,574 Median Capitalization $(000)15,267,7786,209,444 Equity Segment Yield2.793.91 Equity Segment P/E - Average11.1711.61 Equity Segment P/E - Median10.6012.86 Equity Segment Beta1.041.00 Price/Book Ratio1.411.24 Debt/Equity Ratio90.3387.18 Five Year Earnings Growth4.84-2.01 Five Year Dividend Growth1.793.08 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Arm Hldgs Plc1,173,0004.94-10.11 United Industrial Co928,9893.91-12.07 Weichai Power Co835,9283.52-21.07 Shire826,6313.480.36 Core Laboratories N 754,5723.18-19.29 Schoeller Bleckmann 708,3532.98-19.81 Bancolombia S A646,1202.72-16.53 Is MSCI Eafe616,3622.60-20.55 Roche Holdings Ag615,4132.59-3.08 Bhp Billiton Ltd591,3162.49-28.86 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Grupo Elektra(New)48.86Societe Generale-54.77 Secom Co2.19China Shipping Conta-54.01 Shire0.36Erste Group Bank Ag -50.44 Everest Re Group Ltd-2.32Bnp Paribas-47.76 Roche Holdings Ag-3.08Anhui Conch Cement-40.69 Diageo-3.97Norsk Hydro Asa-40.11 Koninklijke Kpn Nv-6.07Rio Tinto Plc-38.45 Novartis A G-8.74China Merchants Bank-36.31 Nippon Steel Corp-9.14Orient Overseas Int -35.85 Arm Hldgs Plc-10.11Industrial & Commerc-35.39 146 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 9/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Australia8.618.61-11.63-19.772.910.00-28.86-28.86-0.230.42-0.50-0.31 Austria0.340.34-32.65-37.676.246.07-26.08-31.59-1.00-0.100.41-0.69 Belgium0.960.96-12.54-19.070.000.00-0.030.030.00 Bermuda0.150.15-13.63-25.140.000.00-0.000.010.01 Brazil0.000.005.690.00-31.41-31.410.89-1.79-0.90 Canada0.000.001.880.00-12.61-12.610.29-0.240.06 Cayman Islands0.120.12-14.46-14.500.000.00-0.00-0.00-0.01 Channel Islands0.060.06-17.31-19.760.000.000.00-0.000.00 China0.020.02-26.33-26.3612.200.00-33.10-33.13-1.30-0.00-0.83-2.13 Colombia0.000.002.670.00-16.53-16.530.42-0.44-0.02 Cyprus0.020.02-42.36-46.660.000.000.010.000.01 Czech Republic0.000.000.760.74-15.99-23.460.120.02-0.120.02 Denmark1.061.06-18.23-24.150.000.000.030.030.06 Finland0.980.98-20.15-26.110.000.000.040.030.07 France10.2310.23-24.45-30.083.533.44-46.44-50.440.590.16-0.78-0.03 Germany9.029.02-25.57-31.120.000.000.890.201.10 Greece0.200.20-42.25-46.560.000.000.050.000.06 Hong Kong2.582.58-20.07-20.112.0113.84-35.82-35.850.030.37-0.320.07 India0.000.002.040.00-29.57-29.570.32-0.60-0.28 Ireland0.250.25-14.19-20.592.060.00-31.75-31.750.030.01-0.36-0.33 Isle of Man0.080.08-20.21-24.830.000.000.000.000.00 Israel0.710.71-17.62-25.341.410.00-19.68-19.68-0.010.03-0.03-0.01 Italy2.682.68-25.01-30.610.000.000.250.060.31 Japan19.9319.93-10.59-6.327.026.84-11.65-7.43-0.65-0.99-0.07-1.72 Kazakhstan0.040.04-42.23-43.950.000.000.01-0.000.01 Luxembourg0.300.30-7.70-23.050.000.00-0.020.040.01 Mexico0.000.001.211.1875.5548.860.190.040.911.14 Netherlands2.762.76-15.25-21.624.901.62-13.85-14.800.010.040.070.11 New Zealand0.120.121.54-6.020.000.00-0.020.01-0.02 Norway0.750.75-14.39-21.765.894.01-25.19-27.220.06-0.13-0.64-0.70 Benchmark : MSCI EAFE Index Gross Dividend 147 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 9/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Panama0.000.000.690.00-18.84-18.840.11-0.13-0.02 Portugal0.260.26-15.71-22.000.000.000.000.010.01 Scotland0.090.09-23.96-26.210.000.000.01-0.000.01 Singapore1.581.58-12.16-17.163.653.55-6.67-12.070.07-0.030.200.24 South Korea0.000.002.400.00-27.18-27.180.38-0.65-0.28 Spain3.543.54-15.70-21.992.052.00-8.64-15.450.000.050.150.19 Sweden3.073.07-20.71-27.162.152.09-11.13-18.350.050.030.210.28 Switzerland8.268.26-11.11-17.605.552.14-11.27-13.30-0.120.20-0.010.06 Taiwan0.000.002.090.00-15.29-15.290.33-0.320.01 United Kingdom21.1121.11-12.60-15.1916.397.53-14.51-14.30-0.14-0.09-0.31-0.55 United States0.100.10-0.61-7.862.6244.96-11.17-11.170.38-1.78-0.28-1.68 100.00100.00-15.65-18.93100.00100.00-20.11-21.422.01-1.37-6.47-5.83 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Bench Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - ( Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Bench 148 City of Clearwater International Equity Sector Attribution Analysis Earnest Partners Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy12.918.11-20.76-18.08-0.350.04-0.30 Materials13.1111.33-33.34-27.83-0.72-0.16-0.88 Industrials9.0212.88-21.76-22.150.040.120.16 Consumer Discretionary3.9710.545.39-19.861.000.061.06 Consumer Staples1.9710.19-3.97-8.520.09-0.86-0.77 Health Care12.078.59-12.12-9.68-0.290.320.03 Financials32.9423.58-28.01-24.08-1.29-0.48-1.77 Information Technology9.464.71-13.09-15.760.250.150.40 Telecom. Services4.555.48-13.03-11.49-0.07-0.07-0.14 Utilities0.004.61-13.910.00-0.23-0.23 100.00100.00-21.40-18.95-1.35-1.10-2.44 Index - MSCI EAFE Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.14% [ Actual Return -21.54% ] - [ Buy Hold Return -21.40% ] 149 City of Clearwater Wentworth & Violich as of 9/30/11 Portfolio Performance (%) 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 -18.0 -20.0 -22.0 -24.0 -26.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Wentworth & ViolichMSCI EAFE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Wentworth & Violich-24.07-21.65-10.08-1.15-8.17 MSCI EAFE-18.95-14.62-8.94-0.66-9.02 Asset Growth ($000) Beginning Market Value32,37131,37427,33922,44129,002 Net Contributions & Withdrawals0-2-3-4-4 Gain/Loss + Income-7,790-6,792-2,7552,144-4,417 Ending Market Value24,58024,58024,58024,58024,580 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Potash Corp Sask IncMaterials6.29Energy30.20 Bhp Billiton LtdMaterials6.15Materials31.12 Agrium IncMaterials5.50Industrials13.89 Nestle S AConsumer Staples5.14Consumer Discretionary0.00 Noble Corporation BaEnergy4.99Consumer Staples17.25 Schlumberger LtdEnergy4.83Health Care3.28 Cooper Industries PlIndustrials4.03Financials4.26 Canadian Natl Ry Co Industrials3.77Information Technology0.00 British Amern Tob PlConsumer Staples3.73Telecom Services0.00 Vale S AMaterials3.64Utilities0.00 150 City of Clearwater Wentworth & Violich as of 9/30/11 Asset Allocation ($000) Cash & Equiv $2,442 9.94% Intl Equity $22,138 90.06% Risk/Return Analysis Periods from 4/08 to 9/11 Alpha0.01 Beta1.15 R-Squared0.90 1.0 T 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 -6.0 -7.0 -8.0 w 1 -9.0 -10.0 -5.00.05.010.015.020.025.030.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio w Wentworth & Violich -8.17 28.64 -0.30 -0.10 1 MSCI EAFE -9.02 25.61 -0.37 T 91-Day Treasury Bill 0.43 0.22 0.00 151 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 9/11 15% 10% 5% 0% w 1 w 1 -5% 1 -10% w -15% 1 -20% w -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High-8.930.566.849.45 1st Qt-17.82-7.620.963.31 Median-20.41-10.49-2.010.50 3rd Qt-21.72-12.66-3.25-1.15 Low-24.97-18.85-6.16-4.27 w Wentworth & Violich Net Ret-24.07-10.080.13-1.15 Rank92453075 1 MSCI EAFE Net Ret-18.95-8.94-2.82-0.66 Rank31336167 152 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December 80% 70% 60% w 50% 40% 1 30% 20% w 10% 1 0% -10% 1 -20% w -30% 9/30/11 YTD20102009 High-4.6324.7875.57 1st Qt-14.2417.0242.19 Median-16.7711.9835.69 3rd Qt-18.968.4526.17 Low-24.512.379.83 w Wentworth & Violich Net Ret-21.6517.5855.98 Rank892312 1 MSCI EAFE Net Ret-14.628.2132.46 Rank267659 153 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 9/30/11 10.0 8.2 6.4 4.6 2.8 1.0 Median Return 1 -0.7 w -2.5 -4.3 -6.2 -8.0 15.020.025.030.035.040.045.050.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank w Wentworth & Violich-1.157535.8784 1 MSCI EAFE-0.666730.2444 Median0.5030.99 154 City of Clearwater Global Equity Summary Statistics Wentworth & Violich Period Ending 9/11 PortfolioMSCI EAFE Total Number Of Securities36943 Equity Market Value22,138,135 Average Capitalization $(000)47,763,89543,817,574 Median Capitalization $(000)18,689,1686,209,444 Equity Segment Yield2.203.91 Equity Segment P/E - Average14.6511.61 Equity Segment P/E - Median13.0312.86 Equity Segment Beta1.231.00 Price/Book Ratio1.761.24 Debt/Equity Ratio46.9287.18 Five Year Earnings Growth12.61-2.01 Five Year Dividend Growth5.223.08 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Potash Corp Sask Inc1,388,6596.29-24.07 Bhp Billiton Ltd1,358,6986.15-28.86 Agrium Inc1,215,2125.50-24.04 Nestle S A1,135,0605.14-11.67 Noble Corporation Ba1,102,0934.99-25.22 Schlumberger Ltd1,066,1814.83-30.64 Cooper Industries Pl891,2694.03-22.22 Canadian Natl Ry Co 833,9153.77-16.27 British Amern Tob Pl823,9993.73-2.40 Vale S A804,2703.64-27.11 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret British Amern Tob Pl-2.40Nabors Industries Lt-50.24 Unilever N V-3.29Tenaris S A-44.35 Diageo-5.33Fibria Celulose S A -42.61 Novartis A G-8.74Teck Resources Ltd-42.47 Nestle S A-11.67Axa Sa-42.27 Bunge Limited-15.12Talisman Energy Inc -40.12 Canadian Natl Ry Co -16.27Rio Tinto Plc-38.45 Brookfield Asset Mgm-16.60Basf Ag-37.92 Core Laboratories N -19.29Ingersoll-Rand Plc-37.91 Cooper Industries Pl-22.22Finning Tractor & Eq-37.62 155 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 9/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Australia8.618.61-11.63-19.776.560.00-28.86-28.86-0.080.42-1.13-0.79 Austria0.340.34-32.65-37.670.000.000.060.010.06 Belgium0.960.96-12.54-19.070.000.00-0.030.030.00 Bermuda0.150.15-13.63-25.149.990.00-30.96-30.960.200.01-1.73-1.52 Brazil0.000.003.930.00-27.53-27.530.61-1.08-0.47 Canada0.000.0027.100.23-26.95-27.004.240.01-7.30-3.06 Cayman Islands0.120.12-14.46-14.505.010.00-25.22-25.220.06-0.00-0.54-0.49 Channel Islands0.060.06-17.31-19.760.000.000.00-0.000.00 China0.020.02-26.33-26.360.000.000.00-0.000.00 Cyprus0.020.02-42.36-46.660.000.000.010.000.01 Denmark1.061.06-18.23-24.150.000.000.030.030.06 Finland0.980.98-20.15-26.110.000.000.040.030.07 France10.2310.23-24.45-30.080.680.00-42.27-42.270.840.24-0.120.96 Germany9.029.02-25.57-31.123.070.00-37.92-37.920.590.20-0.380.42 Greece0.200.20-42.25-46.560.000.000.050.000.06 Hong Kong2.582.58-20.07-20.110.000.000.11-0.080.03 Ireland0.250.25-14.19-20.592.830.00-37.91-37.910.040.01-0.67-0.63 Isle of Man0.080.08-20.21-24.830.000.000.000.000.00 Israel0.710.71-17.62-25.340.000.000.010.030.05 Italy2.682.68-25.01-30.610.000.000.250.060.31 Japan19.9319.93-10.59-6.320.000.00-1.01-1.50-2.51 Kazakhstan0.040.04-42.23-43.950.000.000.01-0.000.01 Luxembourg0.300.30-7.70-23.053.670.00-44.35-44.350.270.04-1.34-1.04 Netherland Antilles0.000.005.220.00-30.64-30.640.82-1.60-0.78 Netherlands2.762.76-15.25-21.625.380.00-12.00-12.000.010.090.170.27 New Zealand0.120.121.54-6.020.000.00-0.020.01-0.02 Norway0.750.75-14.39-21.760.170.00-31.72-31.72-0.010.03-0.03-0.01 Portugal0.260.26-15.71-22.000.000.000.000.010.01 Scotland0.090.09-23.96-26.210.000.000.01-0.000.01 Singapore1.581.58-12.16-17.160.000.00-0.060.03-0.03 Benchmark : MSCI EAFE Index Gross Dividend 156 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 9/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Spain3.543.54-15.70-21.990.000.000.000.110.11 Sweden3.073.07-20.71-27.160.000.000.160.100.25 Switzerland8.268.26-11.11-17.6017.270.00-21.81-21.810.410.27-1.85-1.17 United Kingdom21.1121.11-12.60-15.199.120.00-16.86-16.86-0.37-0.14-0.39-0.90 United States0.100.10-0.61-7.860.0099.77-0.02-3.96-3.98 100.00100.00-15.65-18.93100.00100.00-26.39-26.407.25-3.96-17.99-14.70 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Bench Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - ( Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Bench 157 City of Clearwater International Equity Sector Attribution Analysis Wentworth & Violich Quarter Ending 9/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy33.848.11-32.95-18.08-5.030.22-4.81 Materials31.0511.33-29.89-27.83-0.64-1.75-2.39 Industrials13.8012.88-24.27-22.15-0.29-0.03-0.32 Consumer Discretionary0.0010.54-19.860.000.100.10 Consumer Staples14.0710.19-7.43-8.520.150.410.56 Health Care2.698.59-8.74-9.680.03-0.55-0.52 Financials4.5423.58-29.54-24.08-0.250.980.73 Information Technology0.004.71-15.760.00-0.15-0.15 Telecom. Services0.005.48-11.490.00-0.41-0.41 Utilities0.004.61-13.910.00-0.23-0.23 100.00100.00-26.40-18.95-6.03-1.42-7.45 Index - MSCI EAFE Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.04% [ Actual Return -26.44% ] - [ Buy Hold Return -26.40% ] 158 City of Clearwater Eaton Vance Mgmt as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Eaton Vance MgmtMSCI Emg Mkts Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Eaton Vance Mgmt-21.08-21.00-15.005.44-4.92 MSCI Emg Mkts-22.46-21.66-15.896.59-5.89 Asset Growth ($000) Beginning Market Value31,00830,98028,7925,9128,277 Net Contributions & Withdrawals000-157-157 Gain/Loss + Income-6,535-6,507-4,31818,71816,353 Ending Market Value24,47324,47324,47324,47324,473 159 City of Clearwater Eaton Vance Mgmt as of 9/30/11 Asset Allocation ($000) Intl Equity $24,473 100.00% Risk/Return Analysis Periods from 4/08 to 9/11 Alpha0.12 Beta0.99 R-Squared0.98 1.0 0.5 T 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 -4.0 -4.5 v -5.0 -5.5 1 -6.0 -5.00.05.010.015.020.025.030.035.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio v Eaton Vance Mgmt -4.92 30.15 -0.18 0.06 1 MSCI Emg Mkts -5.89 31.18 -0.20 T 91-Day Treasury Bill 0.43 0.22 0.00 160 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 9/11 15% 10% 1 5% v v 1 0% -5% -10% -15% v 1 -20% v 1 -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High-12.22-5.0112.9513.45 1st Qt-17.06-12.922.858.50 Median-20.87-15.971.315.66 3rd Qt-23.95-18.85-1.053.99 Low-26.91-22.16-3.43-1.67 v Eaton Vance Mgmt Net Ret-21.08-15.001.535.44 Rank51364353 1 MSCI Emg Mkts Net Ret-22.46-15.890.696.59 Rank58465428 161 City of Clearwater Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December 100% 90% 80% 1 70% v 60% 50% 40% 30% v 20% 1 10% 0% -10% -20% v 1 -30% 9/30/11 YTD20102009 High-7.2629.4892.22 1st Qt-16.0824.1077.74 Median-20.8520.8070.53 3rd Qt-23.6418.4350.52 Low-28.178.8827.05 v Eaton Vance Mgmt Net Ret-21.0023.3367.01 Rank523662 1 MSCI Emg Mkts Net Ret-21.6619.1979.02 Rank606121 162 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 9/30/11 14.0 12.2 10.4 8.6 6.8 1 Median v 5.0 Return 3.1 1.3 -0.4 -2.2 -4.0 15.019.524.028.533.037.542.046.551.055.560.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank v Eaton Vance Mgmt5.445336.2076 1 MSCI Emg Mkts6.592834.9048 Median5.6635.69 163 City of Clearwater Wellington Mgmt as of 9/30/11 Portfolio Performance (%) 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 QtrYTD1 Year3 Year5 Year10 YearIncept 3/31/08 Wellington MgmtMSCI Emg Mkts Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 3/31/08 Wellington Mgmt-21.55-24.39-18.804.54-4.01 MSCI Emg Mkts-22.46-21.66-15.896.59-3.63 Asset Growth ($000) Beginning Market Value27,74528,78426,80411,9228,000 Net Contributions & Withdrawals00000 Gain/Loss + Income-5,980-7,019-5,0399,84313,765 Ending Market Value21,76521,76521,76521,76521,765 164 City of Clearwater Wellington Mgmt as of 9/30/11 Asset Allocation ($000) Cash & Equiv $14,945 68.67% Other $-15,000 -68.92% Intl Equity $21,819 100.25% Risk/Return Analysis Periods from 3/08 to 9/11 Alpha-0.18 Beta0.97 R-Squared0.99 1.0 0.5 T 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 1 l -4.0 -4.5 -5.00.05.010.015.020.025.030.035.040.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio l Wellington Mgmt -4.01 34.91 -0.13 -0.24 1 MSCI Emg Mkts -3.63 35.84 -0.11 T 91-Day Treasury Bill 0.45 0.34 0.00 165 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 9/11 15% 10% 1 5% l 1 0% l -5% -10% -15% 1 l -20% l 1 -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High-12.22-5.0112.9513.45 1st Qt-17.06-12.922.858.50 Median-20.87-15.971.315.66 3rd Qt-23.95-18.85-1.053.99 Low-26.91-22.16-3.43-1.67 l Wellington Mgmt Net Ret-21.55-18.80-3.024.54 Rank53729264 1 MSCI Emg Mkts Net Ret-22.46-15.890.696.59 Rank58465428 166 City of Clearwater Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December 100% 90% 80% 1 l 70% 60% 50% 40% 30% 20% 1 l 10% 0% -10% -20% 1 l -30% 9/30/11 YTD20102009 High-7.2629.4892.22 1st Qt-16.0824.1077.74 Median-20.8520.8070.53 3rd Qt-23.6418.4350.52 Low-28.178.8827.05 l Wellington Mgmt Net Ret-24.3915.9974.44 Rank778731 1 MSCI Emg Mkts Net Ret-21.6619.1979.02 Rank606121 167 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 9/30/11 14.0 12.2 10.4 8.6 6.8 1 Median 5.0 Return l 3.1 1.3 -0.4 -2.2 -4.0 15.019.524.028.533.037.542.046.551.055.560.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank l Wellington Mgmt4.546434.1337 1 MSCI Emg Mkts6.592834.9048 Median5.6635.69 168 City of Clearwater Fixed Income Comp as of 9/30/11 Portfolio Performance (%) 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 QtrYTD1 Year3 Year5 Year10 YearIncept 12/31/87 Fixed Income CompBC Agg Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year12/31/87 Fixed Income Comp1.764.704.299.606.855.526.98 BC Agg3.826.655.267.976.535.677.40 Asset Growth ($000) Beginning Market Value191,806192,283190,209189,242205,686179,27659,224 Net Contributions & Withdrawals1,744-4,297-1,467-5,235-5,235-5,235-5,235 Gain/Loss + Income3,3698,9338,17712,912-3,53122,879142,930 Ending Market Value196,919196,919196,919196,919196,919196,919196,919 Top Fixed Income HoldingsSector Allocation Sector% Port% Port FNMA 30yr Oct FwdMortgage3.79Finance18.31 FNMA 30yr Fwd TbaMortgage1.70Government12.56 United States TreasGovernment1.67Industrials16.77 FNMA Pool #ad0494Mortgage1.48Mortgage44.95 FNMA 30yr Fwd TbaMortgage1.24Transportation1.60 FNMA Pool #ad0217Mortgage1.02Utilities0.94 Fhgld Pool #g06409Mortgage0.94Municipals3.91 Fhgld Pool #g03771Mortgage0.92Foreign0.53 United States TreasGovernment0.91Miscellaneous0.43 Xerox Corp Sr Nt 6.4Industrials0.90 Holdings and allocations only include SMA accounts. 169 City of Clearwater Fixed Income Comp as of 9/30/11 Asset Allocation ($000) Other $0 0.00% Domestic FixedDomestic Equity $178,645 90.72%$0 0.00% Cash & Equiv $18,274 9.28% Risk/Return Analysis Periods from 12/87 to 9/11 Alpha0.23 Beta0.59 R-Squared0.57 7.5 1 7.0 F 6.5 6.0 5.5 5.0 4.5 T 4.0 1.01.52.02.53.03.54.04.5 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio F Fixed Income Comp 6.98 3.15 0.91 -0.17 1 BC Agg 7.40 4.13 0.80 T 91-Day Treasury Bill 4.11 1.18 0.00 Holdings and allocations only include SMA accounts. 170 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 9/11 16% 14% 12% 10% F 8% 1 F 1 F 1 F 1 F 6% 1 F 1 1F F F 11 1 4%F 1 2% F 0% -2% -4% -6% -8% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High5.619.8312.2914.388.988.437.857.787.859.369.00 1st Qt3.375.278.219.937.587.206.696.306.126.296.42 Median1.523.876.708.196.746.576.105.675.435.515.75 3rd Qt-0.812.025.476.255.315.495.254.994.764.845.10 Low-6.33-0.021.380.681.112.092.752.863.073.303.72 F Fixed Income Comp Net Ret1.764.296.599.607.306.856.385.935.575.495.52 Rank4542533132373738455061 1 BC Agg Net Ret3.825.266.707.976.886.536.045.575.345.345.67 Rank1725505546515356565855 171 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% F 10% 1 1 F F 1 1 1 1F F 5% 1 F F 11 1 F F F F 1 0% -5% -10% -15% 9/30/11 YTD2010200920082007200620052004200320022001 High10.5915.4319.379.609.6511.386.6710.4617.3112.2510.59 1st Qt6.539.7213.015.507.475.303.075.205.7810.419.12 Median4.747.028.223.476.514.572.544.344.449.318.38 3rd Qt1.885.695.28-0.995.044.132.033.163.556.987.17 Low-2.130.69-0.27-10.582.162.891.321.321.770.952.54 F Fixed Income Comp Net Ret4.707.3712.372.545.945.052.593.933.778.065.57 Rank5045265760304761706686 1 BC Agg Net Ret6.656.545.935.246.964.332.434.344.1110.268.43 Rank2161692939655650622848 172 City of Clearwater Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1121541619 Positive Periods33101115167976 Up Market Capture0.711.161.070.88 Down Market Capture0.300.301.220.30 Batting Average0.500.580.550.46 Worst Quarter-0.39-1.30-0.39-1.30-2.54-1.30-2.54-2.87 Best Quarter1.993.825.724.575.724.575.727.96 Worst 4 Quarters4.295.264.293.900.683.13-0.07-3.23 Best 4 Quarters4.295.2615.8710.5615.8710.5615.8718.48 Standard Deviation3.953.604.033.463.154.13 Beta0.810.970.59 Alpha0.750.120.23 R-Squared0.530.670.57 Sharpe Ratio2.382.151.271.390.910.80 Treynor Ratio11.635.294.89 Tracking Error2.922.542.65 Information Ratio0.520.12-0.17 173 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 9/30/11 16.0 14.0 12.0 10.0 F Median 1 8.0 Return 6.0 4.0 2.0 0.0 0.01.83.65.47.29.010.812.614.416.218.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank F Fixed Income Comp9.60313.9543 1 BC Agg7.97553.6035 Median8.194.44 5 Years Ending 9/30/11 10.9 10.0 9.2 8.3 7.4 F Median 1 6.5 Return 5.6 4.7 3.8 2.9 2.0 0.02.04.06.08.010.012.014.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank F Fixed Income Comp6.85374.0348 1 BC Agg6.53513.4630 Median6.574.17 174 City of Clearwater Dodge & Cox as of 9/30/11 Portfolio Performance (%) 11.0 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 QtrYTD1 Year3 Year5 Year10 YearIncept 2/29/04 Dodge & CoxBC Agg Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 2/29/04 Dodge & Cox0.833.984.129.796.845.64 BC Agg3.826.655.267.976.535.33 Asset Growth ($000) Beginning Market Value108,989105,690105,54894,94294,84775,656 Net Contributions & Withdrawals-1-2-2-2,417-2,417-2,417 Gain/Loss + Income9044,2054,34617,36717,46236,653 Ending Market Value109,892109,892109,892109,892109,892109,892 Top Fixed Income HoldingsSector Allocation Sector% Port% Port United States TreasGovernment2.99Finance20.78 FNMA Pool #ad0494Mortgage2.65Government10.84 FNMA Pool #ad0217Mortgage1.83Industrials17.85 Fhgld Pool #g03771Mortgage1.65Mortgage40.04 United States TreasGovernment1.64Transportation2.48 Xerox Corp Sr Nt 6.4Industrials1.61Utilities0.91 FNMA Pool Ae0381Mortgage1.61Municipals6.58 United States TreasGovernment1.59Foreign0.24 FNMA Pool #ad0119Mortgage1.48Miscellaneous0.28 Aol Time Warner IncIndustrials1.45 175 City of Clearwater Dodge & Cox as of 9/30/11 Asset Allocation ($000) Domestic FixedCash & Equiv $106,233 96.67%$3,660 3.33% Risk/Return Analysis Periods from 2/04 to 9/11 Alpha0.21 Beta0.84 R-Squared0.58 6.0 d 5.5 1 5.0 4.5 4.0 3.5 3.0 2.5 T 2.0 0.51.01.52.02.53.03.54.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio d Dodge & Cox 5.64 3.65 0.95 0.10 1 BC Agg 5.33 3.55 0.89 T 91-Day Treasury Bill 2.17 0.58 0.00 176 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 9/11 16% 14% 12% 10% d 8% 1 d 1 d 1 d 1 d 6% 1 d 1 1 4% d 1 2% d 0% -2% -4% -6% -8% LastLastLast 2Last 3Last 4Last 5Last 6Last 7 QtrYearYearsYearsYearsYearsYearsYears High5.619.8312.2914.388.988.437.857.78 1st Qt3.375.278.219.937.587.206.696.30 Median1.523.876.708.196.746.576.105.67 3rd Qt-0.812.025.476.255.315.495.254.99 Low-6.33-0.021.380.681.112.092.752.86 d Dodge & Cox Net Ret0.834.126.639.797.226.846.445.98 Rank5845532936373435 1 BC Agg Net Ret3.825.266.707.976.886.536.045.57 Rank1725505546515356 177 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% d 10% d 1 1 1 1 d 5%d 1 1 d d1 d 0% -5% -10% -15% 9/30/11 YTD201020092008200720062005 High10.5915.4319.379.609.6511.386.67 1st Qt6.539.7213.015.507.475.303.07 Median4.747.028.223.476.514.572.54 3rd Qt1.885.695.28-0.995.044.132.03 Low-2.130.69-0.27-10.582.162.891.32 d Dodge & Cox Net Ret3.987.5314.531.375.475.622.40 Rank56431563672058 1 BC Agg Net Ret6.656.545.935.246.964.332.43 Rank21616929396556 178 City of Clearwater September 30, 2011 179 City of Clearwater Risk Measure Summary Dodge & Cox Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods01114479 Positive Periods43111116162321 Up Market Capture0.601.151.041.01 Down Market Capture-0.10-0.100.920.72 Batting Average0.500.500.500.53 Worst Quarter0.13-1.30-0.43-1.30-2.88-1.30-2.88-2.44 Best Quarter1.913.826.984.576.984.576.984.57 Worst 4 Quarters4.125.264.123.90-0.263.13-0.26-0.81 Best 4 Quarters4.125.2617.7810.5617.7810.5617.7810.56 Standard Deviation4.303.604.223.464.013.69 Beta0.620.830.84 Alpha1.150.280.21 R-Squared0.270.450.58 Sharpe Ratio2.232.151.211.390.860.84 Treynor Ratio15.406.164.11 Tracking Error4.093.492.87 Information Ratio0.410.080.10 180 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 9/30/11 16.0 14.0 12.0 10.0 d Median 1 8.0 Return 6.0 4.0 2.0 0.0 0.01.83.65.47.29.010.812.614.416.218.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank d Dodge & Cox9.79294.3049 1 BC Agg7.97553.6035 Median8.194.44 5 Years Ending 9/30/11 10.9 10.0 9.2 8.3 7.4 d Median 1 6.5 Return 5.6 4.7 3.8 2.9 2.0 0.02.04.06.08.010.012.014.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank d Dodge & Cox6.84374.2252 1 BC Agg6.53513.4630 Median6.574.17 181 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 9/11 PortfolioBC Agg Total Number Of Securities1767,833 Total Market Value106,232,910 Yield to Maturity2.522.35 Time to Maturity14.527.16 Current Coupon5.784.11 Duration4.905.18 Effective Convexity0.43-0.42 Effective Duration4.504.96 Effective Maturity6.877.16 Yield to Maturity Time to Maturity Coupon 0 - 113.9% 0 - 19.4% 0 - 39.0% 1 - 213.1% 1 - 33.4% 3 - 58.1% 2 - 320.1% 3 - 510.7% 5 - 763.3% 3 - 417.0% 5 - 711.0% 7 - 918.5% 4 - 514.2% 7 - 1011.8% 9 - 111.1% 5+ 21.7%10+ 53.6%11+ 0.0% Quality Duration Effective Duration GOVT 9.0% 0 - 110.2%0 - 113.0% AAA 40.9% 1 - 328.8%1 - 329.5% AA 6.2% 3 - 410.0%3 - 49.5% A 14.5% BAA 22.1% 4 - 627.2%4 - 625.9% BA 4.8% 6 - 85.9%6 - 85.7% B 0.4% 8+ 17.9%8+ 16.3% NR 2.1% 182 City of Clearwater Percent Invested by Sector and Quality Dodge & Cox As of 9/30/11 Moody's Quality Ratings NameAaaAaABaaBaBOtherNRTotal Government 10.84---------------------10.84 Treasury7.93---------------------7.93 Agency2.90---------------------2.90 Corporate ---4.858.8020.974.750.41------39.78 Industrial---1.541.8110.843.65---------17.84 Utility---------0.50---0.41------0.91 Finance---3.316.759.621.10---------20.78 Yankee------0.24---------------0.24 Transportation ---0.550.831.09------------2.47 Mortgage 39.07------------------0.9740.04 GNMA--------------------------- FHLMC8.26---------------------8.26 FNMA28.23------------------0.9729.20 Other Mortgage2.58---------------------2.58 Municipals ---0.544.89------------1.166.59 Cash --------------------------- Other ---0.28------------------0.28 Total 49.916.2214.5222.064.750.41---2.12100.00 183 City of Clearwater Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 9/11 WeightReturnSelection PortfolioIndexPortfolioIndexSecuritySectorTotal Finance20.420.00-1.26-0.16-0.23-0.03-0.26 Government13.690.000.465.08-0.630.690.06 Industrials16.450.002.125.08-0.490.830.35 Mortgage40.480.001.422.56-0.461.040.57 Transportation2.400.004.047.75-0.090.190.10 Utilities0.720.00-10.395.93-0.120.04-0.08 Municipals5.350.008.801.680.380.090.47 Foreign0.240.00-2.162.28-0.010.01-0.01 Miscellaneous0.260.002.720.000.010.01 100.001.220.00-1.642.861.22 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.39% [ Actual Return 0.83% ] - [ Buy Hold Return 1.22% ] 184 City of Clearwater Western Asset Management Co. as of 9/30/11 Portfolio Performance (%) 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 -1.0 QtrYTD1 Year3 Year5 Year10 YearIncept 9/30/04 Western Asset Management Co.BC Agg Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 9/30/04 Western Asset Management Co.2.945.804.659.206.785.85 BC Agg3.826.655.267.976.535.57 Asset Growth ($000) Beginning Market Value83,72781,48282,37894,70493,39174,568 Net Contributions & Withdrawals-12-24-24-24-24-24 Gain/Loss + Income2,4654,7223,826-8,499-7,18711,636 Ending Market Value86,18086,18086,18086,18086,18086,180 Top Fixed Income HoldingsSector Allocation Sector% Port% Port FNMA 30yr Oct FwdMortgage8.65Finance14.70 FNMA 30yr Fwd TbaMortgage3.89Government15.08 FNMA 30yr Fwd TbaMortgage2.83Industrials15.18 Fhgld Pool #g06409Mortgage2.14Mortgage52.14 GNMA Ii Pool 004978Mortgage1.84Transportation0.30 FNMA 30yr Oct FwdMortgage1.76Utilities0.98 Federal Home Ln MtgGovernment1.73Municipals0.00 GNMA Ii Pool 004772Mortgage1.72Foreign0.97 GNMA 30yr Fwd TbaMortgage1.64Miscellaneous0.65 Fhlm Pool A74793Mortgage1.63 185 City of Clearwater Western Asset Management Co. as of 9/30/11 Asset Allocation ($000) Other $0 0.00% Domestic FixedDomestic Equity $72,412 84.02%$0 0.00% Cash & Equiv $13,767 15.98% Risk/Return Analysis Periods from 9/04 to 9/11 Alpha0.01 Beta1.07 R-Squared0.91 6.0 w 1 5.5 5.0 4.5 4.0 3.5 3.0 2.5 T 2.0 0.51.01.52.02.53.03.54.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio w Western Asset Management 5.85 3.89 0.93 0.21 1 BC Agg 5.57 3.47 0.96 T 91-Day Treasury Bill 2.25 1.02 0.00 186 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 9/11 16% 14% 12% 10% w 8% 1 w 1 w 1 w 1 6% w 1 w 1 1 w 4% 1 w 2% 0% -2% -4% -6% -8% LastLastLast 2Last 3Last 4Last 5Last 6Last 7 QtrYearYearsYearsYearsYearsYearsYears High5.619.8312.2914.388.988.437.857.78 1st Qt3.375.278.219.937.587.206.696.30 Median1.523.876.708.196.746.576.105.67 3rd Qt-0.812.025.476.255.315.495.254.99 Low-6.33-0.021.380.681.112.092.752.86 w Western Asset Management Co. Net Ret2.944.656.609.207.246.786.275.85 Rank3036533634394243 1 BC Agg Net Ret3.825.266.707.976.886.536.045.57 Rank1725505546515356 187 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% 10% w w 1 1 1 w 1 w 5% 1 w 1 w w 1 0% -5% -10% -15% 9/30/11 YTD201020092008200720062005 High10.5915.4319.379.609.6511.386.67 1st Qt6.539.7213.015.507.475.303.07 Median4.747.028.223.476.514.572.54 3rd Qt1.885.695.28-0.995.044.132.03 Low-2.130.69-0.27-10.582.162.891.32 w Western Asset Management Co. Net Ret5.807.099.243.926.514.662.77 Rank34494346504438 1 BC Agg Net Ret6.656.545.935.246.964.332.43 Rank21616929396556 188 City of Clearwater September 30, 2011 189 City of Clearwater Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods11215498 Positive Periods33101115161920 Up Market Capture0.871.141.091.07 Down Market Capture0.840.841.531.23 Batting Average0.500.670.600.61 Worst Quarter-1.09-1.30-1.09-1.30-2.17-1.30-2.17-1.30 Best Quarter2.943.825.224.575.224.575.224.57 Worst 4 Quarters4.655.264.463.901.563.13-0.46-0.81 Best 4 Quarters4.655.2614.6010.5614.6010.5614.6010.56 Standard Deviation3.973.604.073.463.893.47 Beta1.021.111.07 Alpha0.25-0.070.01 R-Squared0.860.890.91 Sharpe Ratio2.272.151.241.390.930.96 Treynor Ratio8.784.543.36 Tracking Error1.551.501.27 Information Ratio0.750.170.21 190 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 9/30/11 16.0 14.0 12.0 10.0 w Median 1 8.0 Return 6.0 4.0 2.0 0.0 0.01.83.65.47.29.010.812.614.416.218.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank w Western Asset Management Co.9.20363.9743 1 BC Agg7.97553.6035 Median8.194.44 5 Years Ending 9/30/11 10.9 10.0 9.2 8.3 7.4 w Median 1 6.5 Return 5.6 4.7 3.8 2.9 2.0 0.02.04.06.08.010.012.014.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank w Western Asset Management Co.6.78394.0749 1 BC Agg6.53513.4630 Median6.574.17 191 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 9/11 PortfolioBC Agg Total Number Of Securities2577,833 Total Market Value72,412,341 Yield to Maturity2.612.35 Time to Maturity21.387.16 Current Coupon5.164.11 Duration5.995.18 Effective Convexity0.72-0.42 Effective Duration5.424.96 Effective Maturity9.077.16 Yield to Maturity Time to Maturity Coupon 0 - 123.0% 0 - 12.2% 0 - 38.4% 1 - 217.0% 1 - 35.0% 3 - 529.7% 2 - 329.5% 3 - 56.4% 5 - 755.7% 3 - 412.4% 5 - 77.2% 7 - 94.3% 4 - 57.2% 7 - 109.8% 9 - 111.7% 5+ 10.9%10+ 69.4%11+ 0.1% Quality Duration Effective Duration GOVT 35.0% 0 - 12.2%0 - 15.6% AAA 30.8% 1 - 342.6%1 - 349.6% AA 5.5% 3 - 417.0%3 - 48.4% A 12.4% BAA 13.1% 4 - 611.0%4 - 610.2% BA 0.7% 6 - 86.1%6 - 86.3% B 0.9% 8+ 21.1%8+ 19.8% NR 1.6% 192 City of Clearwater Percent Invested by Sector and Quality Western Asset Management Co. As of 9/30/11 Moody's Quality Ratings NameAaaAaABaaBaBOtherNRTotal Government 14.580.240.090.17------------15.08 Treasury8.68---------------------8.68 Agency5.890.240.090.17------------6.39 Corporate 0.164.4712.2812.880.720.430.000.8931.83 Industrial---1.235.298.280.39---------15.19 Utility------0.680.16---0.14------0.98 Finance---3.246.013.940.330.290.000.8914.70 Yankee0.16---0.310.50------------0.97 Transportation ---0.20---0.09------------0.29 Mortgage 50.910.55---------------0.6752.13 GNMA12.88------------------0.3813.26 FHLMC7.07---------------------7.07 FNMA29.14---------------------29.14 Other Mortgage1.820.55---------------0.292.66 Municipals --------------------------- Cash --------------------------- Other 0.14------------0.51------0.65 Total 65.785.4712.3713.150.720.940.001.56100.00 193 City of Clearwater Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 9/11 WeightReturnSelection PortfolioIndexPortfolioIndexSecuritySectorTotal Finance15.840.00-2.36-0.16-0.35-0.03-0.37 Government15.890.0014.365.081.470.812.28 Industrials14.210.004.565.08-0.070.720.65 Mortgage51.450.002.572.560.011.321.32 Transportation0.290.004.097.75-0.010.020.01 Utilities0.600.007.125.930.010.040.04 Municipals0.000.000.001.68-0.000.000.00 Foreign1.050.00-2.502.28-0.050.02-0.03 Miscellaneous0.670.002.720.000.020.02 100.003.910.001.012.923.93 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.43% [ Actual Return 3.48% ] - [ Buy Hold Return 3.91% ] 194 City of Clearwater Real Estate Comp as of 9/30/11 Portfolio Performance (%) 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Real Estate CompPolicy Index Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Real Estate Comp-8.88-0.726.220.09-2.62 Policy Index-8.940.287.43-1.18-3.05 Asset Growth ($000) Beginning Market Value68,56562,82360,71233,86319,347 Net Contributions & Withdrawals0111-1,889-1,889-1,889 Gain/Loss + Income-6,085-4553,65630,50545,022 Ending Market Value62,47962,47962,47962,47962,479 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Hyatt Hotels CorpConsumer Discretionary100.00Energy0.00 Materials0.00 Industrials0.00 Consumer Discretionary100.00 Consumer Staples0.00 Health Care0.00 Financials0.00 Information Technology0.00 Telecom Services0.00 Utilities0.00 195 City of Clearwater Real Estate Comp as of 9/30/11 Asset Allocation ($000) Domestic Equity $618 0.99% Cash & Equiv $967 1.55% Real Estate $60,894 97.46% Risk/Return Analysis Periods from 4/08 to 9/11 Alpha0.17 Beta1.00 R-Squared0.99 1.0 0.5 T 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 R -3.0 1 -3.5 -5.00.05.010.015.020.025.030.035.040.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio R Real Estate Comp -2.62 38.62 -0.08 0.18 1 Policy Index -3.05 38.77 -0.09 T 91-Day Treasury Bill 0.43 0.22 0.00 196 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 9/11 30% 25% 20% 15% 10% 1 R 5% 0% 1 R -5% 1 R R 1 -10% -15% -20% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High6.0213.4719.5026.40 1st Qt3.488.5213.1118.52 Median2.016.489.0013.76 3rd Qt-9.83-7.11-4.541.91 Low-19.27-17.62-15.80-11.17 R Real Estate Comp Net Ret-8.88-5.81-0.726.22 Rank74747165 1 Policy Index Net Ret-8.94-5.180.287.43 Rank74746961 197 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 40% 30% R 1 1 R 20% 10% 0% 1 R -10% -20% -30% -40% -50% 9/30/11 YTD20102009 High19.5030.1136.12 1st Qt13.1118.66-5.52 Median9.0015.49-28.27 3rd Qt-4.5410.65-30.79 Low-15.80-12.72-45.55 R Real Estate Comp Net Ret-0.7230.5124.68 Rank71313 1 Policy Index Net Ret0.2824.9629.20 Rank691110 198 City of Clearwater Risk Measure Summary Real Estate Comp Quarterly Periods Ending 9/30/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods114444 Positive Periods338899 Up Market Capture0.921.031.01 Down Market Capture0.990.990.99 Batting Average0.250.580.54 Worst Quarter-8.88-8.94-37.93-40.40-37.93-40.40 Best Quarter6.997.1333.9835.9333.9835.93 Worst 4 Quarters6.227.43-29.65-29.31-45.85-45.65 Best 4 Quarters6.227.43118.01115.40118.01115.40 Standard Deviation44.9044.8242.9942.93 Beta1.001.00 Alpha0.330.17 R-Squared0.990.99 Sharpe Ratio-0.00-0.030.01-0.00 Treynor Ratio-0.130.54 Tracking Error3.503.54 Information Ratio0.360.18 199 City of Clearwater Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 9/30/11 20.0 15.0 10.0 5.0 0.0 R 1 -5.0 Median Return -10.0 -15.0 -20.0 -25.0 -30.0 0.04.89.614.419.224.028.833.638.443.248.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank R Real Estate Comp0.091544.9097 1 Policy Index-1.182144.8297 Median-6.5716.40 200 City of Clearwater Security Capital as of 9/30/11 Portfolio Performance (%) 4.0 2.0 0.0 -2.0 -4.0 -6.0 -8.0 -10.0 -12.0 -14.0 -16.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Security CapitalWilshire RESI Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Security Capital-15.51-7.000.35-1.79-4.23 Wilshire RESI-15.08-5.931.76-2.20-3.96 Asset Growth ($000) Beginning Market Value46,09841,87960,71233,86319,347 Net Contributions & Withdrawals-2,352-2,353-24,353-24,353-24,353 Gain/Loss + Income-6,818-2,59956927,41841,934 Ending Market Value36,92836,92836,92836,92836,928 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Hyatt Hotels CorpConsumer Discretionary100.00Energy0.00 Materials0.00 Industrials0.00 Consumer Discretionary100.00 Consumer Staples0.00 Health Care0.00 Financials0.00 Information Technology0.00 Telecom Services0.00 Utilities0.00 201 City of Clearwater Security Capital as of 9/30/11 Asset Allocation ($000) Domestic Equity $618 1.67% Cash & Equiv $964 2.61% Real Estate $35,346 95.71% Risk/Return Analysis Periods from 4/08 to 9/11 Alpha-0.03 Beta1.00 R-Squared0.99 1.0 0.5 T 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 1 -4.0 s -4.5 -5.00.05.010.015.020.025.030.035.040.045.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio s Security Capital -4.23 39.28 -0.12 -0.07 1 Wilshire RESI -3.96 39.63 -0.11 T 91-Day Treasury Bill 0.43 0.22 0.00 202 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 9/11 30% 25% 20% s 15% 1 10% 5% 1 0% s s 1 -5% -10% -15% 1 s -20% -25% -30% -35% LastLastLast 2Last 3 QtrYearYearsYears High6.0226.4017.797.50 1st Qt3.4818.5213.07-1.64 Median2.0113.769.83-6.57 3rd Qt-9.831.913.65-8.49 Low-19.27-11.17-11.36-29.67 s Security Capital Net Ret-15.510.3516.03-1.79 Rank8781926 1 Wilshire RESI Net Ret-15.081.7615.03-2.20 Rank85751426 203 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 40% s 30% 1 1 s 20% 10% 0% 1 s -10% -20% -30% -40% -50% 9/30/11 YTD20102009 High19.5030.1136.12 1st Qt13.1118.66-5.52 Median9.0015.49-28.27 3rd Qt-4.5410.65-30.79 Low-15.80-12.72-45.55 s Security Capital Net Ret-7.0031.6224.68 Rank85113 1 Wilshire RESI Net Ret-5.9329.1229.20 Rank82610 204 City of Clearwater Multi Employer Property Trust as of 9/30/11 Portfolio Performance (%) 20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 QtrYTD1 Year3 Year5 Year10 YearIncept 9/30/10 Multi Employer Property TrustNCREIF ODCE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 9/30/10 Multi Employer Property Trust3.2810.2415.4415.44 NCREIF ODCE3.5212.6518.2718.27 Asset Growth ($000) Beginning Market Value22,35520,94400 Net Contributions & Withdrawals0020,00020,000 Gain/Loss + Income7332,1443,0873,087 Ending Market Value23,08723,08723,08723,087 205 City of Clearwater Multi Employer Property Trust as of 9/30/11 Asset Allocation ($000) Cash & Equiv $2 0.01% Real Estate $23,085 99.99% Risk/Return Analysis (Number of returns < 12) Periods from 9/10 to 9/11 AlphaN/A BetaN/A R-SquaredN/A 20.0 1 18.0 16.0 M 14.0 12.0 10.0 8.0 6.0 4.0 2.0 T 0.0 -2.0 0.00.20.40.60.81.01.21.41.6 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio M Multi Employer Property 15.44 1.43 10.67 1 NCREIF ODCE 18.27 1.30 13.93 T 91-Day Treasury Bill 0.14 0.03 0.00 206 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 9/11 30% 25% 20% O 15% M O 10% M O M 5% O M 0% -5% -10% -15% -20% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High6.0213.4719.5026.40 1st Qt3.488.5213.1118.52 Median2.016.489.0013.76 3rd Qt-9.83-7.11-4.541.91 Low-19.27-17.62-15.80-11.17 M Multi Employer Property Trust Net Ret3.286.8410.2415.44 Rank29424539 O NCREIF ODCE Fund Index Net Ret3.528.3012.6518.27 Rank22262726 207 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 25% 20% 15% O 10% M 5% 0% -5% -10% -15% -20% 9/30/11 YTD High19.50 1st Qt13.11 Median9.00 3rd Qt-4.54 Low-15.80 M Multi Employer Property Trust Net Ret10.24 Rank45 O NCREIF ODCE Fund Index Net Ret12.65 Rank27 208 209 210 211 212